<PAGE> 1
PACIFIC HORIZON FUNDS, INC.
REPORT TO SHAREHOLDERS
MAY 14, 1999
CALIFORNIA TAX-EXEMPT
MONEY MARKET FUND
CALIFORNIA MUNICIPAL
BOND FUND
CAPITAL INCOME FUND
ASSET ALLOCATION FUND
INTERMEDIATE BOND FUND
BLUE CHIP FUND
PACIFIC HORIZON FUNDS, INC.
<PAGE> 2
PACIFIC HORIZON FUNDS, INC.
103 Bellevue Parkway
Wilmington, DE 19809
1-800-332-3863
INVESTMENT ADVISER
Bank of America National Trust
and Savings Association
555 California Street
San Francisco, CA 94104
ADMINISTRATOR
Bank of America National
Trust and Savings Association
555 California Street
San Francisco, CA 94104
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, NY 10036
FUND COUNSEL
Drinker Biddle & Reath LLP
1345 Chestnut Street
Philadelphia, PA 19107
DISTRIBUTOR
Provident Distributors, Inc.
Four Falls Corporate Center
6th Floor
Conshohocken, PA 19428
FUND SHARES ARE NOT FEDERALLY INSURED BY, GUARANTEED BY, OBLIGATIONS OF, OR
OTHERWISE ENDORSED BY THE U.S. GOVERNMENT, THE FDIC, THE FEDERAL RESERVE BOARD,
OR ANY OTHER GOVERNMENTAL AGENCY.
The Pacific Horizon Funds, Inc. are sponsored and distributed by Provident
Distributors, Inc. which is unaffiliated with the Bank of America. Bank of
America serves as investment adviser to the Funds and receives fees for such
services. From time to time, Bank of America may provide other services to the
Funds for additional fees, as disclosed in the Funds' prospectuses.
This material must be preceded or accompanied by a current prospectus.
<TABLE>
<S> <C>
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
INVESTMENTS IN PACIFIC HORIZON FUNDS, INC. ARE NOT BANK
DEPOSITS AND ARE NOT OBLIGATIONS OF, OR GUARANTEED BY, BANK NOT
OF AMERICA OR ANY AFFILIATES. AN INVESTMENT IN MUTUAL FUNDS FDIC
INVOLVES INVESTMENT RISKS, INCLUDING THE POSSIBLE LOSS OF INSURED
THE PRINCIPAL AMOUNT INVESTED.
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
<PAGE> 3
May 14, 1999
Dear Shareholder,
We are pleased to present the Report to Shareholders for the following Pacific
Horizon Funds:
- Pacific Horizon California Tax Exempt Money Market Fund
- Pacific Horizon California Municipal Bond Fund
- Pacific Horizon Capital Income Fund
- Pacific Horizon Asset Allocation Fund
- Pacific Horizon Intermediate Bond Fund
- Pacific Horizon Blue Chip Fund.
This report covers the fiscal period of March 1, 1999 through May 14, 1999. The
report contains information concerning Fund performance, portfolio holdings and
financial statements for the fiscal period. We hope you will take a moment to
review it.
As you know, the Pacific Horizon Funds mentioned above were reorganized into
Nations Funds mutual funds on May 21, 1999. The reorganization was approved by
the Funds' shareholders at a special shareholder meeting in early May 1999.
As a Nations Funds shareholder, you will receive a semi-annual report for these
Funds at the beginning of December for the period of May 15, 1999 through
September 30, 1999.
If you have any questions or would like assistance, please contact us at (800)
321-7854 (8 a.m. - 6 p.m. Eastern Standard Time) or (800) 248-0290 (8 a.m. - 6
p.m. Pacific Standard Time).
Sincerely,
Pacific Horizon Funds, Inc.
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
- NOT FDIC INSURED MAY LOSE NO BANK
VALUE GUARANTEE
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
The Pacific Horizon Funds, Inc. are distributed by Provident Distributors, Inc.,
which is unaffiliated with Bank of America NT&SA ("Bank of America"). Bank of
America is the Funds' investment manager and administrator and receives fees for
its services.
<PAGE> 4
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO MANAGER COMMENTARY
- --------------------------------------------------------------------------------
Q: HOW DID THE FUND PERFORM OVER THE PERIOD?
A: The municipal bond market suffered from lackluster performance over the
period, as rising interest rates pushed bond prices lower. The lower bond
prices more than offset coupon income for the period producing a slight negative
total return for the overall municipal market. For the reporting period, March
1, 1999 through May 14, 1999, the Pacific Horizon California Municipal Bond Fund
returned (0.42%) (A Shares).*
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund performed in line with its benchmark, the Lehman Brothers
Municipal Bond Index,**+ as the Fund's average duration was neutral to the
market during the period. Municipal yields rose approximately 30 basis points
for bonds in the 3 to 15 year maturity range and about 15 basis points for bonds
with 15 years and longer maturity. As a result, performance along the yield
curve was very consistent with only very short maturity bonds significantly
outperforming the overall market. The Fund's above-average credit quality
benefited performance for the period as lower quality securities under-performed
higher quality securities.
- --------------------------------------------------------------------------------
* The performance shown does not reflect the maximum front-end sales charge of
4.75%, which may apply to purchases of A Shares. For standardized
performance, please refer to the "Fund Performance" table.
** The Lehman Brothers Municipal Bond Index is an unmanaged index typically used
as a performance benchmark for municipal debt investments.
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
The outlook for this Fund may differ from that presented for other Pacific
Horizon mutual funds.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
2
<PAGE> 5
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[CALIFORNIA MUNICIPAL BOND FUND GRAPH]
<TABLE>
<CAPTION>
A SHARES B SHARES LIPPER CALIFORNIA LEHMAN BROTHERS
-------- -------- MUNICIPAL BOND FUNDS MUNICIPAL BOND
AVERAGE+ INDEX+
-------------------- ---------------
<S> <C> <C> <C> <C>
2/28/89 9525 10000 10000 10000
2/28/90 9889 10385 10886 11026
2/28/91 10653 11187 11749 12043
2/29/92 11678 12264 12861 13246
2/28/93 13314 13983 14643 15070
2/28/94 14066 14772 15439 15902
2/28/95 14117 14825 15503 16207
2/29/96 15546 16326 17133 17998
2/28/97 16212 17026 17939 18992
2/28/98 17701 18589 19620 20727
2/28/99 19677 20525 20685 22001
5/14/99 19594 20408 20737 22087
</TABLE>
- ---------------
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
The chart compares the Pacific Horizon California Municipal Bond Fund (the
"Fund") to the Lehman Brothers Municipal Bond Index, which is an unmanaged index
typically used as a performance benchmark for municipal debt investments.
As illustrated, the Fund tracked the performance of other municipal debt funds.
The average of California municipal debt funds reported by Lipper Analytical
Services, Inc. measures the performance of other funds with investment
objectives and policies similar to those of the Fund. An initial $10,000
investment in the Fund for more than 10 years would be worth $19,594 for A
Shares.* The same investment made in the Lipper California Municipal Bond Funds
Average for the same time period would be worth $20,737. Correspondingly, a
$10,000 investment in B Shares for the same time period would be worth
$20,408.**
<TABLE>
<CAPTION>
CALIFORNIA MUNICIPAL BOND FUND
AVERAGE ANNUAL RETURNS++
- ---------------------------------------------------
A SHARES B SHARES
Without With* Without With**
Sales Sales Sales Sales
Load Load Load Load
- ---------------------------------------------------
<S> <C> <C> <C> <C>
1 Year 4.44% -0.52% 3.61% 0.39%
.................................................
3 Year 7.22% 5.48% 6.93% 6.05%
.................................................
5 Year 6.53% 5.49% 6.36% 6.20%
.................................................
10 Year 7.09% 6.57% 7.00% 7.00%
</TABLE>
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so an investor's shares, when redeemed, may be worth more or less
than their original cost. Return figures for the Fund include change in share
price, reinvestment of dividends, and capital gains distributions, if any.
Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper California Municipal Debt Funds Average, nor
the Lehman Brothers Municipal Bond Fund Index may be invested in directly. The
hypothetical investment in the Lehman Brothers Municipal Bond Fund Index does
not reflect any sales or management fees that would be incurred if an investor
were to actually purchase individual securities or mutual funds, while the
performance of the Fund reflects all expenses and management fees and the effect
of the maximum sales charge.
* A share performance assumes the deduction of the maximum front-end sales
charge of 4.75%.
** Average annual return figures assume the deduction of the maximum contingent
deferred sales charge of 4.00%; however, the line graph does not. B shares
were first offered on July 15, 1998. Performance results shown prior to July
15, 1998 are those of Class A shares without the sales charge. B shares have
an ongoing 0.75% distribution and administrative services fee which does not
apply to A shares and which if reflected, would have lowered performance
shown.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
3
<PAGE> 6
- --------------------------------------------------------------------------------
TAX-EXEMPT
Dollars and Sense for California Residents
The top federal income tax rate is 39.6 percent on income above $278,450. In
addition, the top California State tax rate is 9.3% on income above $67,346 for
married, filing jointly or $33,673 for single filers. By investing in the
Pacific Horizon California Municipal Bond Fund, Golden State residents may
benefit from regular income that is free from federal and state taxes.*
Use the chart to determine what the hypothetical yield on a taxable investment
would have to be to match a tax-exempt yield. For example, in order to equal a 5
percent tax-exempt yield, a taxable investment would have to yield between 7.66%
and 9.13%, depending on your combined federal and state tax brackets. The higher
your tax bracket, the better the potential after-tax result of investing in a
tax-exempt fund.
- -------------
* Certain investors may be subject to the federal Alternative Minimum Tax (AMT)
and/or certain state and local taxes. Shareholders should consult with a tax
adviser. The effective rates are based on the combined Federal, State and FICA
liabilities for 1997.
COMBINED 1998 CALIFORNIA
STATE & FEDERAL EFFECTIVE RATE
[COMBINED 1998 CALIFORNIA STATE/FED EFFECTIVE RATE]
- --------------------------------------------------------------------------------
S&P/MOODY'S
LONG-TERM RATING COMPOSITION(a)
[S&P/MOODY'S LONG-TERM RATING CHART]
<TABLE>
<S> <C>
AAA 60%
Nonrated 8%
A 13%
BBB 8%
AA 11%
</TABLE>
- ---------------
(a) The composition of the Fund's holdings is subject to change.
The Pacific Horizon California Municipal Bond Fund invests primarily in
investment-grade municipal securities that are rated in the four highest
categories by an independent rating agency such as Standard & Poor's or nonrated
securities deemed by the Fund's adviser to be of comparable quality. By
maintaining high standards, the Fund seeks to minimize risk while increasing
yield, offering an investor the opportunity for capital preservation as well as
consistent monthly dividends. Tax-exempt bond funds invest in securities issued
by states, local municipalities and governments, whose financial condition will
affect the value of their securities.
4
<PAGE> 7
PACIFIC HORIZON CAPITAL INCOME FUND
PORTFOLIO MANAGER COMMENTARY
- --------------------------------------------------------------------------------
Q: HOW DID THE FUND PERFORM OVER THE PERIOD?
A: The Fund's (A Shares) return for the period March 1 through May 14, 1999
was 6.25%, slightly underperforming the First Boston Convertible Index*+
(the "Index"), which returned over 7%.**
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The main difference in the Fund's performance compared with that of the
Index was the absence of internet stocks in the portfolio. These issues,
through April, were up more than 80%, which contributed to a large part of the
Index's gain.
The Fund has owned these issues when we felt the risk/reward tradeoff was
favorable. Over the last two months, we believed there was too much risk in
these stocks and we eliminated all our holdings. In the month of May, these
issues fell sharply, dropping over 13% for the month.
We have been increasing the technology weighting in the Fund, and while the
sector's performance was flat in May, that was better than the market and this
positioning benefited performance. The Fund is underweight in consumer staples
and this has also helped performance, as investors have stayed away from this
area of the market.
- --------------------------------------------------------------------------------
* The CS First Boston Convertible Index is a widely-used, unmanaged index which
measures the performance of convertible securities and cannot be invested in
directly.
** The performance shown does not reflect the maximum front-end sales charge of
5.75%, which may apply to purchases of A Shares. For standardized
performance, please refer to the "Fund Performance" table.
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
The outlook for this Fund may differ from that presented for other Pacific
Horizon Funds.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
5
<PAGE> 8
PACIFIC HORIZON CAPITAL INCOME FUND
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[CAPITAL INCOME FUND LINE CHART]
<TABLE>
<CAPTION>
A SHARES B SHARES K SHARES LIPPER CONVERTIBLE CS FIRST BOSTON+
-------- -------- -------- SECURITIES FUNDS ----------------
AVERAGE A
------------------
<S> <C> <C> <C> <C> <C>
2/28/89 9425.00 10000.00 10000.00 10000.00 10000.00
2/28/90 9914.00 10521.00 10521.00 10740.00 10595.00
2/28/91 10923.00 11592.00 11592.00 11560.00 11230.00
2/29/92 13786.00 14630.00 14630.00 14332.00 13818.00
2/28/93 16628.00 17646.00 17646.00 16301.00 15933.00
2/28/94 20261.00 21501.00 21501.00 19072.00 18482.00
2/28/95 19123.00 20294.00 20294.00 18550.00 17972.00
2/29/96 24088.00 25563.00 25563.00 22832.00 22252.00
2/28/97 28552.00 30300.00 30203.00 26020.00 24576.00
2/28/98 34703.00 36828.00 36537.00 31048.00 29154.00
2/28/99 41285.00 43686.00 43325.00 31042.00 29643.00
5/14/99 43865.00 46351.00 45998.00 34003.00
</TABLE>
- ---------------
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
As the chart indicates, the Pacific Horizon Capital Income Fund (the "Fund") has
consistently outperformed the market, as compared to the CS First Boston Index,
a widely-used, unmanaged index which measures the performance of convertible
securities. An initial $10,000 investment in the Fund made on February 28, 1989,
would be worth $45,901 for A Shares*. The same investment made in the CS First
Boston Index, would be worth $29,643. Correspondingly, a $10,000 investment in B
Shares for the same period would be worth $48,360,** and a $10,000 investment in
K Shares for the same period would be worth $47,974.***
The Fund also fared well compared to other convertible security funds. The
average of convertible security funds as tracked by Lipper Analytical Services,
Inc., measures the performance of other funds with investment objectives and
policies similar to those of the Fund. The same $10,000 investment made in the
Lipper Convertible Securities Funds Average would be worth $34,003.
<TABLE>
<CAPTION>
CAPITAL INCOME FUND
AVERAGE ANNUAL RETURNS++
- -----------------------------------------------------------
A SHARES B SHARES K SHARES***
Without With* Without With**
Sales Sales Sales Sales
Load Load Load Load
- -----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year 8.55% 2.32% 8.09% 3.09% 8.09%
.........................................................
3 Year 15.02% 12.77% 14.86% 14.10% 14.57%
.........................................................
5 Year 15.38% 14.02% 15.28% 15.05% 15.10%
.........................................................
10 Year 15.57% 14.88% 15.52% 15.52% 15.43%
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION(a)
AS A PERCENTAGE OF NET ASSETS
[PORTFOLIO COMPOSITION PIE CHART]
<TABLE>
<S> <C>
Convertible Bonds 44.7%
Convertible Preferred Stocks 38.1%
Common Stocks 14.2%
Cash & Other Assets & Liabilities 3.0%
</TABLE>
- ---------------
(a) The composition of the Fund's holdings is subject to change.
<TABLE>
<CAPTION>
TOP TEN HOLDINGS
AS OF MAY 14, 1999
- -------------------------------------------------------------
PERCENT OF
COMPANY NET ASSETS
- -------------------------------------------------------------
<S> <C>
U.S. Cellular, Corp. LYON 1.61%
.............................................................
International Paper Co., $2.62 1.60%
.............................................................
Sealed Air Corp., Series A, $2.00 1.51%
.............................................................
Media One Group, Inc., $3.63 1.50%
.............................................................
Bell Atlantic Financial Services 144A 1.48%
.............................................................
Cisco Systems, Inc. 1.44%
.............................................................
Xerox Corp. 1.44%
.............................................................
Atmel Corp. 144A, 3.25% 1.43%
.............................................................
Readers Digest Association, $1.93 1.42%
.............................................................
Citrix Systems, Inc. 144A 1.41%
- -------------------------------------------------------------
TOTAL 14.84%
- -------------------------------------------------------------
</TABLE>
6
<PAGE> 9
- --------------------------------------------------------------------------------
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so an investor's shares, when redeemed, may be worth more or less
than their original cost. Return figures for the Fund include change in share
price, reinvestment of dividends, and capital gain distributions, if any.
Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper Convertible Securities Funds Average, nor the
CS First Boston Index may be invested in directly. The hypothetical investment
in the CS First Boston Index does not reflect any sales or management fees that
would be incurred if an investor were to actually purchase individual securities
or mutual funds, while the performance of the Fund reflects all expenses and
management fees and the effect of the maximum sales charge.
* A share performance assumes the deduction of the maximum front-end sales
charge of 5.75%.
** Average annual return figures assume the deduction of the maximum contingent
deferred sales charge of 5.00%; however, the line graph does not. B shares
were first offered on July 15, 1998. Performance results shown prior to July
15, 1998 are those of Class A shares without the sales charge. The
performance results for B shares involved in the Financial Highlights table
in the financial statements represent actual performance from the inception
date of the B shares. B shares have an ongoing 0.75% distribution and
administrative services fee which does not apply to A shares and which if
reflected, would have lowered performance shown.
*** The inception date of the K shares was July 22, 1996. The K shares did not
commence operations until October 21, 1996. For this reason, the performance
results for K Shares are those of A Shares without the sales charge prior to
such date. The performance results for K Shares included in the Financial
Highlights table in the financial statements represent actual performance
from the inception date of the K Shares. K Shares, unlike A Shares, are sold
without a front-end sales load but have an ongoing 0.75% .75% distribution
or administrative services fee (of which 0.25% are currently being waived),
which would reduced prior performance.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
7
<PAGE> 10
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO MANAGER COMMENTARY
- --------------------------------------------------------------------------------
Q: HOW DID THE FUND PERFORM OVER THE PERIOD?
A: For the period February 28, 1999 to May 14, 1999, the Fund (A Shares)
posted a total return of 4.50%.* The Fund compares its return against two
benchmarks, the Standard & Poor's 500 Composite Stock Price Index and the Lehman
Brothers Aggregate Bond Index, which returned 8.34% and 0.05%, respectively.**+
The Fund's allocation as of the period ended May 14, 1999, was 60% in stocks,
39% in bonds and 1% in cash.
The equity portion of the Fund benefited from the strong equity market;
performance was driven in large part by a relatively small number of large
growth stocks. Investors continued to reward large-capitalization stocks, though
small-and mid-capitalization stocks made a strong comeback during the period.
The fixed income portion of the Fund posted a return that closely tracked its
benchmark, the Lehman Aggregate Bond Index. This was due to a sector allocation
that was generally in line with the index.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The technology sector continued to drive returns as Microsoft Corporation
(2.6% of net assets), America Online (0.66% of net assets) and
International Business Machines Corporation (1.5% of net assets) were the
biggest contributors to performance over the period. America Online was a new
addition during the period, after almost single-handily carrying the Standard &
Poor's 400 MidCap Index last year. Financial stocks, which were beaten down much
of last year, rebounded nicely as the big money center banks and brokerage
companies reported strong earnings. Leading the way was Citigroup Inc. (1.3% of
net assets), followed by Morgan Stanley Dean Witter & Company (0.66% of net
assets). Also, the energy sector provided some strong fuel to the returns as
large oil companies such as Exxon Corporation (1.3% of net assets), Chevron
Corporation (0.8% of net assets) and Mobil Corporation (1.4% of net assets)
posted strong returns in March.
The consumer staples and utilities sectors were the laggards for the period. The
consumer staples segment was hit hard by the poor performance of giant Phillip
Morris Companies (0.7% of net assets), with much of the damage coming in the
last few days of March following a jury verdict against the company. A mild
winter in many regions of the country hurt the cash flow of utility companies
during the latest period. Additionally, rising interest rates hurt the appeal of
this normally high yielding sector.
- --------------------------------------------------------------------------------
* The performance shown does not reflect the maximum front-end sales charge of
5.75%, which may apply to purchases of A Shares. For standardized
performance, please refer to the "Fund Performance" table.
** The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
consisting of 500 widely held common stocks. It is not available for
investment. The Lehman Aggregate Bond Index is an unmanaged index composed of
the Government/Corporate Bond Index, the Asset-Backed Securities Index and
the Mortgage-Backed Securities Index and includes U.S. Treasury issues,
agency issues, corporate bond issues and mortgage-backed issues. It includes
reinvestment of dividends and is unavailable for investment.
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
The outlook for this Fund may differ from that presented for other Pacific
Horizon Funds.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
8
<PAGE> 11
PACIFIC HORIZON ASSET ALLOCATION FUND
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[GROWTH OF $10,000 INVESTMENT LINE CHART]
<TABLE>
<CAPTION>
LEHMAN BROS
A SHARES B SHARES K SHARES AGGREGATE BOND+ S&P 500 INDEX
-------- -------- -------- --------------- -------------
<S> <C> <C> <C> <C> <C>
1/18/94 9425 10000 10000 10000 10000
2/28/94 9322 9893 9446 9826 10000
2/28/95 9790 10391 9921 10001 10444
2/29/96 12022 12759 12183 11224 14058
2/28/97 14143 15010 14324 11824 17741
2/28/98 17406 18473 17488 13050 23950
2/28/99 19968 21120 20923 13868 28683
5/14/99 20867 22020 21825 13989 31127
<CAPTION>
LIPPER BALANCED
FUNDS AVERAGE
---------------
<S> <C>
1/18/94 10000
2/28/94 9901
2/28/95 10039
2/29/96 12334
2/28/97 14133
2/28/98 17146
2/28/99 18341
5/14/99 19693
</TABLE>
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
The chart compares the performance of the Pacific Horizon Asset Allocation Fund
the (the "Fund") to the S&P 500, an unmanaged index typically used as a
performance benchmark for equity investments, and the Lehman Brothers Aggregate
Bond Index, an unmanaged index with investment policies similar to the Fund. As
illustrated, the Fund fared well compared to other asset allocation funds. The
average of asset allocation funds as tracked by Lipper Analytical Services,
Inc., measures the performance of other funds with investment objectives and
policies similar to those of the Fund. An initial $10,000 investment in the Fund
made on January 18, 1994, would be worth $20,867 for A Shares.* The same
investment made in the Lipper Balanced Funds Average would be worth $19,693.
Correspondingly, a $10,000 investment in B Shares for the same period would be
worth $22,020**, and a $10,000 investment in K Shares for the same period would
be worth $21,825.***
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
AVERAGE ANNUAL RETURNS++
- ----------------------------------------------------------
A SHARES B SHARES K SHARES***
Without With* Without With**
Sales Sales Sales Sales
Load Load Load Load
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year 16.15% 9.48% 15.48% 10.48% 15.54%
........................................................
3 Year 19.25% 16.91% 19.02% 18.31% 18.67%
........................................................
5 Year 18.09% 16.70% 17.95% 17.75% 17.74%
........................................................
Since
Inception 16.11% 14.82% 15.98% 15.89% 15.79%
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION(a)
[Asset Allocation Fund Pie Chart]
<TABLE>
<S> <C>
Common Stocks 60.3%
Bonds 38.9%
Cash & Equivalents Stocks 0.7%
Convertible Preferred Stocks 0.1%
</TABLE>
- ---------------
(a) The composition of the Fund's holdings is subject to change.
A Market-Driven Process
The Fund's adviser seeks to determine relative values among stocks, bonds and
cash equivalents and weights the portfolio accordingly.
The Fund's adviser looks for the following characteristics within each asset
class: Stock holdings that display above-average growth potential and
reasonable valuation. The diversified bond portfolio may contain
mortgage-backed securities as well as fixed-income obligations that are
undervalued in the opinion of the Fund's adviser. The Fund's cash holdings can
be viewed as a defensive position in changing markets.
9
<PAGE> 12
- --------------------------------------------------------------------------------
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so an investor's shares, when redeemed, may be worth more or less
than their original cost. Return figures for the Fund include change in share
price, reinvestment of dividends, and capital gains distributions, if any.
Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper Balanced Funds Average, the S&P 500 Index, nor
the Lehman Brothers Aggregate Bond Index may be invested in directly. The
hypothetical investment in the S&P 500 and Lehman Brothers Aggregate Bond Index
do not reflect any sales or management fees that would be incurred if an
investor were to actually purchase individual securities or mutual funds, while
the performance of the Fund reflects all expenses and management fees and the
effect of the maximum sales charge.
* A share performance assumes the deduction of the maximum front-end sales
charge of 5.75%.
** Average annual return figures assume the deduction of the maximum contingent
deferred sales charge of 5.00%; however, the line graph does not. B shares
were first offered on July 15, 1998. Performance results shown prior to July
15, 1998 are those of Class A shares without the sales charge. B shares have
an ongoing 0.75% distribution and administrative services fee which does not
apply to A shares and which if reflected, would have lowered performance
shown.
*** The inception date of the K Shares was July 22, 1996. The K Shares did not
commence operations until November 11, 1996. For this reason, the
performance results for K Shares are those of A Shares without the sales
charge prior to such date. The performance results for K Shares included in
the Financial Highlights table in the financial statements represent actual
performance from the inception date of the K Shares. K Shares, unlike A
Shares, are sold without a front-end sales load but have an ongoing 0.75%
distribution or administrative services fee (of which 0.25% are currently
being waived), which would have reduced prior performance.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
10
<PAGE> 13
PACIFIC HORIZON ASSET ALLOCATION FUND
SRF SHARES
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[GROWTH OF $10,000 INVESTMENT LINE CHART]
<TABLE>
<CAPTION>
ASSET ALLOCATION SRF LEHMAN BROTHERS LIPPER BALANCED FUNDS
SHARES AGGREGATE BOND INDEX+ S&P 500 AVERAGE
------------------- --------------------- ------- ---------------------
<S> <C> <C> <C> <C>
2/28/89 10000.00 10000.00 10000.00 10000.00
2/28/90 11379.00 11275.00 11887.00 11380.00
2/28/91 12694.00 12652.00 13636.00 12694.00
2/28/92 14375.00 14271.00 15817.00 14376.00
2/28/93 15477.00 16011.00 17503.00 15478.00
2/28/94 16772.00 16875.00 18960.00 16772.00
2/28/95 17522.00 18307.00 20354.00 17522.00
2/28/96 21455.00 19277.00 27396.00 21455.00
2/28/97 25323.00 20311.00 34431.00 25324.00
2/28/98 31183.00 22417.00 46482.00 29419.00
2/28/99 35786.00 23823.00 55667.00 31470.00
5/14/99 37404.00 24030.00 60410.00 33789.00
</TABLE>
- ---------------
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
The chart compares the performance of the SRF
Shares of the Pacific Horizon Asset Allocation Fund
the (the "Fund") to the S&P 500, an unmanaged index
typically used as a performance benchmark for
equity investments, and the Lehman Brothers
Aggregate Bond Index, an unmanaged index with
investment policies similar to the Fund. As
illustrated, the Fund fared well compared to other
asset allocation funds. The average of asset
allocation funds as tracked by Lipper Analytical
Services, Inc., measures the performance of other
funds with investment objectives and policies
similar to those of the SRF Shares of the Pacific
Horizon, Asset Allocation Fund. An initial $10,000
investment in the Fund made on February 28, 1989,
would be worth $37,404. The same investment made in
the Lipper Balanced Funds Average would be worth
$33,789.
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
SRF SHARES
AVERAGE ANNUAL RETURN*++
-------------------------
<S> <C>
1 Year 16.18%
.......................
3 Year 19.40%
.......................
5 Year 18.04%
.......................
10 Year 13.46%
</TABLE>
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE
Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper Balanced Funds Average, the S&P 500 Index, nor
the Lehman Brothers Aggregate Bond Index may be invested in directly. The
hypothetical investment in the S&P 500 and Lehman Brothers Aggregate Bond Index
does not reflect any sales or management fees that would be incurred if an
investor were to actually purchase individual securities or mutual funds, while
the performance of the Fund reflects all expenses and management fees.
* Investment return and principal value are historical and will vary with
market conditions, so an investor's shares, when redeemed, may be worth more
or less than their original cost. Return figures for the Fund include change
in share price, reinvestment of dividends, and capital gains distributions.
The SRF Share class performance prior to June 23, 1997 represents the
performance of the Seafirst Asset Allocation Fund of the former Seafirst
Retirement Funds and its predecessor Seafirst Asset Allocation Fund of the
Collective Investment Trust (CIT) for Seafirst Retirement Accounts. The
inception date of the CIT Fund was 3/9/88.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
11
<PAGE> 14
PACIFIC HORIZON INTERMEDIATE BOND FUND
PORTFOLIO MANAGER COMMENTARY
- --------------------------------------------------------------------------------
Q: HOW DID THE FUND PERFORM OVER THE PERIOD?
A: Over the period between March 1 and May 14th, Pacific Horizon Intermediate
Bond Fund (A Shares) posted a return of 0.66%**, within four basis points
of its benchmark, the Lehman Intermediate Government/Corporate Index*+ (the
"Index").
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The Fund's performance was due to an asset allocation that closely tracks
the composition of the Index. The unexpected strength in the fourth
quarter Gross Domestic Product numbers, reported at the end of March, helped
spread sectors (those securities which trade at a "spread" over U.S. Treasuries)
but was unfavorable toward the Treasury yield curve. As a result of the
perceived reduction of the "flight-to-quality" of 1998 and a return to normalcy,
the U.S. Treasury yield curve rose across the board. This rise in the yield
curve negatively impacted the performance of all indices and portfolios holding
U.S. government securities.
May was not a very auspicious month for the global capital markets. Equity
markets fell, yield levels rose and spreads widened. The generalized spread
widening was the first across-the-board risk premium expansion for U.S.
fixed-income markets since the October 1998. The rise in yields was exacerbated
by the downturn in U.S. equities. Some sectors such as asset-backed securities
gave up almost three months worth of gains, returning to mid-February trading
levels.
- --------------------------------------------------------------------------------
* The Lehman Government/Corporate Bond Index is an unmanaged index comprised of
U.S. Government, U.S. Treasury and agency securities, corporate and yankee
bonds and includes reinvestment of dividends. It is unavailable for
investment.
** The performance shown does not reflect the maximum front-end sales charge of
3.25%, which may apply to purchases of A Shares. For standardized
performance, please refer to the "Fund Performance" table.
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
The outlook for this Fund may differ from that presented for other Pacific
Horizon Funds.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
12
<PAGE> 15
PACIFIC HORIZON INTERMEDIATE BOND FUND
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[GROWTH OF $10,000 INVESTMENT LINE CHART]
<TABLE>
<CAPTION>
A SHARES K SHARES LEHMAN BROTHERS
-------- -------- LIPPER INTERMEDIATE INTERMEDIATE
INVESTMENT FUNDS GOVERNMENT CORPORATE
AVERAGE+ BOND INDEX+
------------------- --------------------
<S> <C> <C> <C> <C>
1/24/94 9675.00 10000.00 10000.00 10000.00
2/28/94 9565.00 9890.00 9891.00 9852.00
8/31/94 9514.00 9837.00 9839.00 9800.00
2/28/95 9782.00 10115.00 10116.00 10066.00
8/31/95 10412.00 10766.00 10767.00 10727.00
2/29/96 10804.00 11172.00 11173.00 11148.00
8/31/96 10793.00 11160.00 11162.00 11203.00
2/28/97 11228.00 11596.00 11586.00 11705.00
2/28/98 12059.00 12385.00 12617.00 12708.00
2/28/99 12649.00 12974.00 13219.00 13486.00
5/14/99 12732.00 13035.00 13356.00 13664.00
</TABLE>
- ---------------
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
The chart compares the performance of the Pacific Horizon Intermediate Bond Fund
(the "Fund") to the Lehman Brothers Intermediate Government/Corporate Bond Index
which is an unmanaged index typically used as a performance benchmark for
intermediate term investments.
As illustrated, the Fund tracked the performance of other intermediate bond
funds. The average of intermediate investment funds reported by Lipper
Analytical Services, Inc. measures the performance of other funds with
investment objectives and policies similar to those of the Fund. An initial
$10,000 investment in the Fund made on January 24, 1994, would be worth $12,732
for A Shares.* The same investment made in the Lipper Intermediate Investment
Funds Average would be worth $13,356. Correspondingly, a $10,000 investment in K
Shares for the same period would be worth $13,035.**
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
AVERAGE ANNUAL RETURN++
- ---------------------------------------------------------------
A SHARES K SHARES**
Without With*
Sales Sales
Load Load
- ---------------------------------------------------------------
<S> <C> <C> <C>
1 Year 3.96% 0.54% 3.68%
.............................................................
3 Year 6.07% 4.91% 5.72%
.............................................................
5 Year 6.33% 5.62% 6.12%
.............................................................
Since Inception 5.32% 4.66% 5.12%
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION(a)
[Intermediate Bond Fund Portfolio Composition Pie Chart]
<TABLE>
<S> <C>
Corporate Bonds 35.3%
Cash Equivalents 1.9%
U.S. Treasury Obligations 21.2%
Collateralized Mortgage Obligations 10.7%
U.S. Gov't Agency Obligations 9.3%
Asset Backed Securities 21.6%
</TABLE>
- ---------------
(a) The composition of the Fund's holdings is subject to change.
Quality
This fund invests in a diversified portfolio of investment-grade U.S.
Government, mortgage-backed, asset-backed, corporate and municipal bonds in
order to provide current income and capital appreciation. The security
selection process also depends on information about broad economic factors
that can affect the bond markets.
13
<PAGE> 16
- --------------------------------------------------------------------------------
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so an investor's shares, when redeemed, may be worth more or less
than their original cost. Return figures for the Fund include change in share
price, reinvestment of dividends, and capital gains distributions, if any.
Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper Intermediate Investment Funds Average, nor the
Lehman Brothers Intermediate Government/Corporate Bond Index may be invested in
directly. The hypothetical investment in the Lehman Brothers Intermediate
Government/Corporate Bond Index does not reflect any sales or management fees
that would be incurred if an investor were to actually purchase individual
securities or mutual funds, while the performance of the Fund reflects all
expenses and management fees and the effect of the maximum sales charge.
* A share performance assumes the deduction of the maximum front-end sales
charge of 3.25%.
** The inception date of the K Shares was July 22, 1996. The K Shares did not
commence operations until November 20, 1996. For this reason, the performance
results for K Shares are those of A Shares without the sales charge for the
period prior to November 20, 1996 combined with actual K Share performance
from November 20, 1996 through February 28, 1999. The performance results for
K Shares included in the Financial Highlights table in the financial
statements represent actual performance from the inception date of the K
Shares. K Shares, unlike A Shares, are sold without a front-end sales load
but have an ongoing 0.75% distribution or administrative services fee (of
which 0.25% are currently being waived), which would have reduced prior
performance.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
14
<PAGE> 17
PACIFIC HORIZON INTERMEDIATE BOND FUND
SRF SHARES
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[GROWTH OF $10,000 INVESTMENT LINE CHART]
<TABLE>
<CAPTION>
LEHMAN BROS INTERMEDIATE
INTERMEDIATE BOND SRF LIPPER INTERNATIONAL GOVERNMENT/CORPORATE
SHARES INVESTMENT FUNDS AVERAGE+ BOND INDEX+
--------------------- ------------------------- ------------------------
<S> <C> <C> <C>
2/28/89 10000.00 10000.00 10000.00
2/28/90 11130.00 11005.00 11176.00
2/28/91 12350.00 12143.00 12456.00
2/28/92 13684.00 13680.00 13947.00
2/28/93 15118.00 15361.00 15571.00
2/28/94 15586.00 16209.00 16169.00
2/28/95 15830.00 16336.00 16387.00
2/28/96 17397.00 18175.00 18150.00
2/28/97 18048.00 19495.00 19349.00
2/28/98 19344.00 21289.00 20046.00
2/28/99 20287.00 22304.00 21273.00
5/14/99 20425.00 22536.00 21554.00
</TABLE>
- ---------------
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
HOW PERFORMANCE COMPARES
The chart compares the performance of the SRF
Shares of the Pacific Horizon Intermediate Bond
Fund (the "Fund") to the Lehman Brothers
Intermediate Government/ Corporate Bond Index,
which is an unmanaged index typically used as a
performance benchmark for intermediate term
investments.
As illustrated, the Fund tracked the performance of
other intermediate bond funds. The average of
intermediate investment funds reported by Lipper
Analytical Services, Inc. measures the performance
of other funds with investment objectives and
policies similar to those of the Fund. An initial
$10,000 investment in the Fund made on February 28,
1989, would be worth $20,425. The same investment
made in the Lipper Intermediate Investment Funds
Average would be worth $22,536.
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
SRF SHARES
AVERAGE ANNUAL RETURNS*++
-------------------------
<S> <C>
1 Year 3.87%
.......................
3 Year 5.98%
.......................
5 Year 6.09%
.......................
10 Year 6.93%
</TABLE>
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
* Lipper Analytical Services, Inc. is an independent mutual fund-monitoring
organization. Neither the Lipper Intermediate Investment Funds Average, nor
the Lehman Brothers Intermediate Government/Corporate Bond Index may be
invested in directly. The hypothetical Investment in the Lehman Brothers
Intermediate Government/Corporate Bond Index, does not reflect any sales of
management fees that would be incurred if an investor were to actually
purchase individual securities or mutual funds, while the performance of the
Fund reflects all expenses and management fees and the effect of the maximum
sales charge.
* Investment return and principal value are historical and will vary with
market conditions, so an investor's shares, when redeemed, may be worth more
or less than their original cost. Return figures for the Fund include change
in share price, reinvestment of dividends, and capital gains distributions.
The SRF Share class performance prior to June 23, 1997 represents the
performance of the Seafirst Intermediate Bond Fund of the former Seafirst
Retirement Funds and its predecessor Seafirst Intermediate Bond Fund of the
Collective Investment Trust (CIT) for Seafirst Retirement Accounts. The
inception date of the CIT Fund was 3/9/88.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
15
<PAGE> 18
PACIFIC HORIZON BLUE CHIP FUND
PORTFOLIO MANAGER COMMENTARY
- --------------------------------------------------------------------------------
Q: HOW DID THE FUND PERFORM OVER THE PERIOD?
A: The Fund posted a total return of 7.45%** (A Shares) compared to 8.34% for
the Standard & Poor's 500 Composite Stock Price Index*+ for the period
March 1, 1999 to May 14, 1999.
The Fund benefited from the strong equity markets; performance was driven in
large part by a relatively small number of large growth stocks. Investors
continued to reward large-capitalization stocks, though small- and
mid-capitalization stocks made a strong comeback during the period.
Q: WHY DID THE FUND PERFORM THIS WAY?
A: The technology sector continued to drive returns as Microsoft Corporation
(4.2% of net assets), America Online (1.1% of net assets) and
International Business Machines Corporation (2.5% of net assets) were the
biggest contributors to performance over the period. America Online was a new
addition during the period, after almost single-handily carrying the S&P 400
MidCap index last year. Financials, which were beaten down much of last year,
rebounded nicely as the big money center banks and brokerage companies reported
strong earnings. Leading the way was Citigroup Inc. (2.2% of net assets),
followed by Morgan Stanley Dean Witter & Company (1.1% of net assets). Also, the
energy sector provided some fuel to returns as large oil companies such as Exxon
Corporation (2.3% of net assets) and Mobil Corporation (1.3% of net assets)
showed strong performance during March.
The consumer staples and utilities sectors were the laggards for the period and
detracted from performance. The consumer staples segment was hit hard by the
poor performance of giant Phillip Morris Companies (1.1% of net assets), with
much of the damage coming in the last few days of March following a jury verdict
against the company. A mild winter in many regions of the country hurt the cash
flow of utility companies during the latest period. Additionally, rising
interest rates hurt the appeal of this normally high yielding sector.
- --------------------------------------------------------------------------------
* The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index
consisting of 500 widely held common stocks. It is not available for
investment.
** The performance shown does not reflect the maximum front-end sales charge of
5.75%, which may apply to purchases of A Shares. For standardized
performance, please refer to the "Fund Performance" table.
+ The benchmark values above are calculated through April 30, 1999. Mid month
benchmark values were not available as of May 14, 1999.
The outlook for this Fund may differ from that presented for other Pacific
Horizon Funds.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
16
<PAGE> 19
PACIFIC HORIZON BLUE CHIP FUND
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[BLUE CHIP FUND PERFORMANCE GRAPH]
<TABLE>
<CAPTION>
LIPPER GROWTH
A SHARES B SHARES K SHARES FUNDS AVERAGE S&P 500 INDEX
-------- -------- -------- ------------- -------------
<S> <C> <C> <C> <C> <C>
1/13/94 9425.00 10000.00 10000.00 10000.00 10000.00
2/28/94 9403.00 9980.00 9980.00 9844.00 9729.00
8/31/94 9739.00 10337.00 10337.00 9814.00 10046.00
2/28/95 10118.00 10738.00 10730.00 9941.00 10444.00
8/31/95 11769.00 12491.00 12491.00 11856.00 12197.00
2/29/96 13496.00 14323.00 14023.00 13066.00 14064.00
8/31/96 13885.00 14737.00 14737.00 13397.00 14481.00
2/28/97 17140.00 18192.00 18158.00 15454.00 17741.00
2/28/98 22961.00 24369.00 24177.00 20150.00 23950.00
2/28/99 27227.00 28790.00 28520.00 22816.00 27866.00
5/14/99 29264.00 30889.00 30622.00 25184.00 30240.00
</TABLE>
HOW PERFORMANCE COMPARES
The chart compares the performance of the Pacific Horizon Blue Chip Fund (the
"Fund") to the S&P 500, which is an unmanaged index typically used as a
performance benchmark for equity investments. As illustrated, the Fund has fared
well compared to other growth funds. The average of growth funds as tracked by
Lipper Analytical Services, Inc. measures the performance of other funds with
investment objectives and policies similar to those of the Pacific Horizon Blue
Chip Fund.
An initial $10,000 investment in the Fund made on January 13, 1994, would be
worth $29,264 for A Shares*. The same investment made in the Lipper Growth Funds
Average, would be worth only $25,184. Correspondingly, a $10,000 investment in B
Shares for the same period would be worth $30,889**, and a $10,000 in K Shares
for the same period would be worth $30,622.***
<TABLE>
<CAPTION>
BLUE CHIP FUND
AVERAGE ANNUAL RETURNS++
- ------------------------------------------------------------
CLASS A CLASS B CLASS K***
Without With* Without With**
Sales Sales Sales Sales
Load Load Load Load
- ------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 Year 22.52% 15.46% 21.89% 16.89% 21.91%
..........................................................
3 Year 27.65% 25.16% 27.43% 26.81% 27.06%
..........................................................
5 Year 26.02% 24.54% 25.89% 25.73% 25.67%
..........................................................
Since
Inception 23.65% 22.28% 23.53% 23.46% 23.33%
</TABLE>
- --------------------------------------------------------------------------------
PORTFOLIO COMPOSITION(a)
[BLUE CHIP FUND PORTFOLIO PIE CHART]
<TABLE>
<S> <C>
Other Industries 38.3%
Cash Equivalents 1.1%
Computer Hardware 6.3%
Utilities - Telephone 8.4%
Communications 5.3%
Retail 5.2%
Oil (International) 4.9%
Cosmetics & Toiletries 3.2%
Financial - Banks & Trusts 7.9%
Financial Services 5.7%
Pharmaceuticals 8.1%
Computer Services & Software 5.6%
</TABLE>
- ---------------
(a) The composition of the Fund's holdings is subject to change.
<TABLE>
<CAPTION>
TOP TEN HOLDINGS
AS OF MAY 14, 1999
- -------------------------------------------------------------
PERCENT OF
COMPANY NET ASSETS
- -------------------------------------------------------------
<S> <C>
Microsoft Corp. 4.25%
.............................................................
General Electric Co. 2.90%
.............................................................
International Business Machines Corp. 2.49%
.............................................................
Exxon Corp. 2.29%
.............................................................
Citigroup, Inc. 2.18%
.............................................................
MCI WorldCom, Inc. 2.17%
.............................................................
Wal-Mart Stores, Inc. 2.04%
.............................................................
Cisco Systems, Inc. 1.96%
.............................................................
Bristol-Meyers Squibb Co. 1.94%
.............................................................
BellSouth Corp. 1.77%
- -------------------------------------------------------------
TOTAL 23.99%
- -------------------------------------------------------------
</TABLE>
17
<PAGE> 20
- --------------------------------------------------------------------------------
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so an investor's shares, when redeemed, may be worth more or less
than their original cost. Return figures for the Fund include change in share
price, reinvestment of dividends, and capital gain distributions, if any.
Lipper Analytical Services, Inc., is an independent mutual fund-monitoring
organization. Neither Lipper Growth Funds Average or the S&P 500 can be invested
in directly. The hypothetical investment if the S&P 500 does not reflect any
sales or management fees that would be incurred if an investor were to actually
purchase individual securities or mutual funds, while the performance of the
Fund reflects all expenses and management fees and the effect of the maximum
sales charge.
* A share performance assumes the deduction of the maximum front-end sales
charge of 5.75%.
** Average annual return figures assume the deduction of the maximum contingent
deferred sales charge of 5.00% however, the line graph does not. B shares
were first offered on July 15, 1998. Performance results shown prior to July
15, 1998 are those of Class A shares without the sales charge. B shares have
an ongoing 0.75% distribution and administrative services fee which does not
apply to A shares and which if reflected, would have lowered performance
shown.
*** The inception date of the K Shares (the date K shares were initially funded)
was July 22, 1996. The K shares did not commence operations until November
11, 1996. For this reason, the performance results for K Shares are those of
A Shares without the sales charge prior to such date. The performance
results for K Shares included in the Financial Highlights table in the
financial statements represent actual performance from the inception date of
the K Shares. K Shares, unlike A Shares, are sold without a front-end sales
load but have an ongoing 0.75% distribution or administrative services fee
(of which 0.25% are currently being waived), which would have reduced prior
performance.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
18
<PAGE> 21
PACIFIC HORIZON BLUE CHIP FUND
SRF SHARES
(AS OF MAY 14, 1999)
- --------------------------------------------------------------------------------
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
<TABLE>
<CAPTION>
PACIFIC HORIZON BLUE CHIP LIPPER GROWTH FUNDS
FUND SRF SHARES AVERAGE S&P 500
------------------------- ------------------- -------
<S> <C> <C> <C>
2/28/89 10000.00 10000.00 10000.00
2/28/90 11927.00 11517.00 11887.00
2/28/91 13412.00 13216.00 13636.00
2/29/92 15347.00 16157.00 15817.00
2/28/93 16111.00 17069.00 17503.00
2/28/94 18163.00 19333.00 18960.00
2/28/95 19426.00 20021.00 20956.00
2/29/96 25908.00 25552.00 27369.00
2/28/97 33011.00 31883.00 34431.00
2/28/98 44340.00 41572.00 46482.00
2/28/99 52716.00 47072.00 55667.00
5/14/99 56680.00 51958.00 60410.00
</TABLE>
HOW PERFORMANCE COMPARES
The chart compares the performance of the SRF
Shares of the Pacific Horizon Blue Chip Fund (the
"Fund") to the S&P 500, which is an unmanaged index
typically used as a performance benchmark for
equity investments. As illustrated, the Fund has
fared well compared to other growth funds. The
average of growth funds as tracked by Lipper
Analytical Services, Inc. measures the performance
of other funds with investment objectives and
policies similar to those of the SRF Shares of the
Pacific Horizon Blue Chip Fund. An initial $10,000
investment in the Fund made on February 28, 1989,
would be worth $56,680. The same investment made in
the Lipper Growth Funds Average, would be worth
only $51,958.
<TABLE>
<CAPTION>
BLUE CHIP FUND
SRF SHARES
AVERAGE ANNUAL RETURN*++
-------------------------
<S> <C>
1 Year 22.90%
.......................
3 Year 28.02%
.......................
5 Year 26.10%
.......................
10 Year 17.77%
</TABLE>
SEE INVESTMENT MANAGER INTERVIEW FOR FACTORS AFFECTING FUND PERFORMANCE.
Lipper Analytical Services, Inc., is an independent mutual fund-monitoring
organization. Neither the Lipper Growth Funds Average nor the S&P 500 can be
invested in directly. The hypothetical investment in the S&P 500 does not
reflect any sales or management fees that would be incurred in an investor were
to actually purchase individual securities or mutual funds, while the
performance of the Fund reflects all expenses and management fees.
* Investment return and principal value are historical and will vary with
market conditions, so an investor's shares, when redeemed, may be worth more
or less than their original cost. Return figures for the Fund include change
in share price, reinvestment of dividends, and capital gain distributions.
The SRF Share class performance prior to June 23, 1997 represents the
performance of the Seafirst Blue Chip Fund of the former Seafirst Retirement
Funds and its predecessor Seafirst Blue Chip Fund of the Collective
Investment Trust (CIT) for Seafirst Retirement Accounts. The inception date
of the CIT fund was 3/9/88.
++ The total returns above are calculated from May 31, rather than May 14, for
each respective period owing to the unavailability of historical mid-month
performance information.
19
<PAGE> 22
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM TAX-EXEMPT INVESTMENTS
CALIFORNIA -- 88.5%
Alameda Corridor Transportation Authority,
Municipal Securities Treasury Receipts,
Series CMC1 (final maturity 10/1/13)*.... VMIG1/Aaa A1c/AAA 3.40% 05/17/99 $ 7,740,000 $ 7,740,000
California General Obligation (final
maturity 4/1/04)* 144A................... NR/NR A1+/AAA 3.25% 05/15/99 15,100,000 15,100,000
California General Obligation, Class A
(final maturity 2/1/06)* 144A............ A1+/AA NR/NR 3.44% 05/20/99 10,000,000 10,000,000
California Health Facilities Financing
Authority (final maturity 8/1/16)*
144A..................................... NR/Aaa NR/AAA 3.10% 05/17/99 11,950,000 11,950,000
California Health Facilities Financing
Authority, Adventist Health System,
Series A (MBIA Insured) (final maturity
9/1/28)*................................. VMIG1/Aaa A1+/AAA 3.35% 05/17/99 4,950,000 4,950,000
California Health Facilities Financing
Authority, Kaiser Permanente, Series A
(final maturity 10/1/18)*................ A3/NR A/NR 7.00% 05/17/99 8,770,000 9,111,767
California Health Facilities Financing
Authority, Memorial Health Services
(final maturity 10/1/24)*................ VMIG1/A1 A1+/AA- 3.40% 05/19/99 8,100,000 8,100,000
California Health Facilities Financing
Authority, Series C (final maturity
6/1/12)*................................. VMIG1/Aaa NR/NR 3.40% 05/19/99 10,995,000 10,995,000
California Health Facilities Financing
Authority, Stanford Health Care, Series B
(AMBAC Insured).......................... Aaa/A1 AAA/A+ 5.00% 11/15/99 1,200,000 1,211,819
California Housing Finance Agency, Single
Family Meeting Purchase, Series B (AMT)
(GIC-FGIC Insured) (final maturity
2/1/00)*................................. MIG1/NR Sp1+/NR 3.00% 02/01/00 6,865,000 6,865,000
California Housing Financing Agency (final
maturity 2/1/24)*........................ VMIG1/Aa2 NR/NR 3.46% 05/17/99 4,900,000 4,900,000
California Housing Financing Agency, Multi-
Unit Rental Revenue Authority (MBIA
Insured) (final maturity 8/1/07)*........ NR/Aaa NR/AAA 3.00% 05/17/99 2,000,000 2,000,000
California Housing Financing Agency, Multi-
Unit Rental Revenue Authority (MBIA
Insured) (final maturity 8/1/08)*........ NR/Aaa NR/AAA 3.00% 05/17/99 2,775,000 2,775,000
California Pollution Control Financing
Authority, Atlantic Richfield Company
Project, Series 1994 (AMT) (final
maturity 12/1/24)*....................... VMIG1/A2 A1/A 3.45% 5/20/99 10,700,000 10,700,000
California Pollution Control Financing
Authority, Calsan, Inc. Project, Series A
(AMT) (final maturity 12/1/11)*.......... NR/NR NR/NR 3.60% 05/19/99 1,600,000 1,600,000
California Pollution Control Financing
Authority, Chevron USA Inc. Project
(final maturity 5/15/02)*................ P1/Aa2 AA/NR 3.10% 05/15/99 3,790,000 3,793,638
California Pollution Control Financing
Authority, Delano Power Project (AMT)
(LOC -- ABN AMRO Bank) (final maturity
8/1/19)*................................. NR/Aa2 NR/NR 3.45% 05/17/99 3,600,000 3,600,000
California Pollution Control Financing
Authority, Pacific Gas & Electric
(LOC -- Toronto Dominion Bank) (final
maturity 12/1/18)*....................... NR/NR A1+/AA+ 3.35% 05/17/99 1,900,000 1,900,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE> 23
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
California Pollution Control Financing
Authority, Pacific Gas & Electric, Series
B (AMT) (LOC -- Rabobank Nederland)
(final maturity 12/1/16)*................ NR/NR A1+/AAA 3.45% 05/19/99 $ 1,000,000 $ 1,000,000
California Pollution Control Financing
Authority, Pacific Gas & Electric, Series
1997C (AMT) (LOC -- Kredietbank N.V.)
(final maturity 11/1/26)*................ NR/NR A1+/AA+ 3.40% 05/17/99 67,000,000 67,000,000
California Pollution Control Financing
Authority, Solid Waste Disposal, Santa
Clara Valley, Series A (AMT)
(LOC -- Commerica Bank) (final maturity
3/1/18)*................................. NR/NR NR/NR 3.60% 05/19/99 1,900,000 1,900,000
California Pollution Control Financing
Authority, Southern California Edison Co.
Project, Series 1986D (final maturity
2/28/08)*................................ P1/A1 A1/A+ 3.35% 05/17/99 18,000,000 18,000,000
California Pollution Control Revenue
Financing Authority, Southern California
Edison, Series 1985B (final maturity
3/01/08)*................................ P1/NR A1+/NR 2.90% 07/08/99 4,200,000 4,200,000
California Pollution Control Revenue
Financing Authority, Southern California
Edison, Series 1985B..................... P1/NR A1+/NR 2.70% 08/24/99 15,100,000 15,100,000
California Pollution Control Revenue
Financing Authority, Southern California
Edison, Series 1985D (final maturity
3/01/08)*................................ P1/NR A1+/NR 2.75% 09/09/99 9,800,000 9,800,000
California School Cash Reserve Program
Authority Pool, Series A................. MIG1/NR Sp1+/NR 4.50% 07/02/99 42,050,000 42,098,049
California State Department of Water (final
maturity 12/1/29)*....................... NR/AAA A+/AA 3.44% 05/20/99 17,270,000 17,270,000
California State Economic Development
Financing Authority, Industrial
Development Revenue, Volk Enterprises
Incorporation Project (LOC -- Harris
Trust & Savings Bank) (final maturity
6/1/21)*................................. NR/NR A1+/AA- 3.35% 05/19/99 2,050,000 2,050,000
California State Municipal Receipts (AMBAC
Insured) (final maturity 6/1/21)* 144A... NR/NR NR/NR 3.40% 05/19/99 15,950,000 15,950,000
California State Municipal Receipts (FGIC
Insured) (final maturity 9/1/21)* 144A... NR/NR A1+/AAA 3.46% 05/19/99 3,975,000 3,975,000
California State Revenue Anticipation
Notes.................................... MIG1/NR Sp1+/NR 4.00% 06/30/99 33,000,000 33,040,049
California State (final maturity
2/1/21)*................................. NR/NR A1+c/AAA 3.49% 05/19/99 35,000,000 35,000,000
California State (final maturity
9/1/16)*................................. NR/NR A1+/AAA 3.49% 05/19/99 8,385,000 8,385,000
California Statewide Community Development
Authority, Certificates of Participation,
Memorial Health Services (final maturity
10/1/26)*................................ VMIG1/A1 A1+/AA- 3.40% 05/19/99 23,600,000 23,600,000
California Statewide Community Development
Authority, Chevron USA, Inc. Project
(AMT) (final maturity 12/15/24)*......... NR/Aa2 NR/NR 3.40% 05/17/99 2,500,000 2,500,000
California Statewide Community Development
Authority, Pittsburgh Plaza Apartments,
Series K (final maturity 9/1/27)*........ NR/NR A1+/AAA 3.60% 05/17/99 4,600,000 4,600,000
California Statewide Community Development
Authority, Special Facilities (final
maturity 10/1/34)*....................... NR/NR NR/NR 3.54% 05/17/99 23,940,000 23,940,000
</TABLE>
See Notes to Financial Statements.
21
<PAGE> 24
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
California Statewide Community Development
Authority, The Terraces at PK Marino
Project (AMT) (final maturity 7/1/27)*... NR/NR A1+/AAA 3.60% 05/17/99 $ 7,355,000 $ 7,355,000
California Statewide Community Development,
Series B (AMT) (final maturity
11/1/15)*................................ NR/NR A1+/AA+ 3.50% 05/19/99 1,005,000 1,005,000
California Transportation Finance Authority
(FSA Insured) (final maturity
10/1/27)*................................ NR/NR A1+/AAA 3.40% 05/19/99 4,000,000 4,000,000
Campbell Elementary School, Tax & Revenue
Anticipation Notes....................... MIG1/NR NR/NR 4.00% 08/02/99 2,000,000 2,001,880
Chaffey High School District, Series A
(FGIC Insured)........................... A1/Aaa AAA/NR 4.00% 08/01/99 2,365,000 2,366,960
Chula Vista Industrial Development, San
Diego Gas & Electric Co., Series 1992C
(AMT).................................... P1/NR A1+/NR 2.85% 08/13/99 3,000,000 3,000,000
Chula Vista Industrial Development Revenue,
San Diego Gas & Electric, Series A (final
maturity 7/1/21)*........................ VMIG1/A2 A1/A+ 3.35% 05/17/99 5,200,000 5,200,000
Chula Vista Industrial Development, San
Diego Gas & Electric Co., Series B (AMT)
(final maturity 12/1/27)*................ VMIG1/A1 A1+/AA- 3.45% 05/19/99 11,000,000 11,000,000
City of Long Beach (final maturity
5/15/15)*................................ NR/NR A1+/AAA 3.44% 05/19/99 13,000,000 13,000,000
Contra Costa County Multi-Family Housing
Revenue, Park Regency, Series A (AMT)
(LOC -- State Street Bank & Trust) (final
maturity 8/1/32)*........................ NR/NR A1+/AA 3.40% 05/19/99 7,500,000 7,500,000
Duarte Certificates of Participation, City
of Hope, National Medical Center (final
maturity 4/1/00)*........................ Baa2/NR NR/NR 5.50% 05/17/99 3,020,000 3,081,149
Foothill/Eastern Corridor Agency, Toll Road
Revenue, Series B (LOC -- Morgan Guaranty
Trust) (final maturity 1/2/35)*.......... NR/NR A1+/AA+ 3.30% 05/20/99 20,200,000 20,200,000
Foothill/Eastern Corridor Agency, Toll Road
Revenue, Series D (final maturity
1/2/35)*................................. NR/NR A1+/AA+ 3.35% 05/20/99 15,000,000 15,000,000
Fremont Multi-Family Housing Authority,
Series E (LOC -- Bayerische Landesbank)
(final maturity 9/1/14)*................. NR/NR A1+/AAA 3.40% 05/20/99 9,790,000 9,790,000
Grossmont United High School District,
Certificates of Participation, 1997
Facility Bridge Funding Project (FSA
Insured) (final maturity 9/1/26)*........ VMIG1/Aaa A1+/AAA 4.10% 09/01/99 2,385,000 2,392,642
Hayward Multi-Family Housing Revenue,
Shorewood, Series A (FGIC Insured) (final
maturity 8/1/14)*........................ VMIG1/Aaa AAA/NR 3.30% 05/20/99 17,800,000 17,800,000
Hayward Multi-Family Housing Revenue,
Timber Apartments, Series A (AMT)
(LOC -- Chase Manhattan Bank) (final
maturity 3/1/33)*........................ VMIG1/Aa2 NR/NR 3.40% 05/19/99 3,800,000 3,800,000
Indio Multi-Family Housing, Western Federal
Savings Project (LOC -- Wells Fargo &
Co.) (final maturity 6/1/05)*............ NR/NR A1+/AA- 3.45% 05/20/99 4,965,000 4,965,000
Irvine Improvement Bond Act 1915, District
87-8, (LOC -- KBC Bank N.V.) (final
maturity 9/2/24)*........................ VMIG1/Aa3 A1+/AA- 3.35% 05/17/99 1,100,000 1,100,000
Irvine Improvement Board Act 1915 (LOC --
National Westminster) (final maturity
9/2/15)*................................. VMIG1/Aa2 A1+/AA- 3.35% 05/17/99 10,682,000 10,682,000
</TABLE>
See Notes to Financial Statements.
22
<PAGE> 25
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Irvine Improvement Board Act 1915, District
97-16 (LOC -- Societe Generale) (final
maturity 9/2/22)*........................ VMIG1/Aa3 A1+/AA- 3.35% 05/17/99 $ 8,000,000 $ 8,000,000
Irvine Ranch Water District (LOC --
Commerzbank A.G.) (final maturity
1/1/21)*................................. VMIG1/Aa3 A1+/AA- 3.35% 05/17/99 1,600,000 1,600,000
Irvine Ranch Water District (LOC --
Landesbank Hessen) (final maturity
10/1/00)*................................ NR/NR A1+/AAA 3.35% 05/17/99 4,200,000 4,200,000
Long Beach Harbor (AMT).................... P1/NR A1+/NR 2.85% 07/14/99 3,900,000 3,900,000
Long Beach Harbor (AMT).................... P1/NR A1+/NR 2.90% 07/14/99 10,000,000 10,000,000
Long Beach Health Facilities, Memorial
Health Service (final maturity
10/1/16)*................................ VMIG1/A1 A1+/AA- 3.40% 05/19/99 8,950,000 8,950,000
Long Beach (AMT) (final maturity 5/15/07)*
144A..................................... VMIG1/Aaa NR/NR 3.55% 05/19/99 9,995,000 9,995,000
Los Angeles Community Redevelopment Agency,
Academy Village Apartments, Series A
(AMT) (LOC -- Swiss Bank) (final maturity
10/1/19)*................................ VMIG1/Aaa NR/NR 3.45% 05/17/99 20,000,000 20,000,000
Los Angeles Convention & Exhibition Center
Authority, Certificates of Participation,
Series A (final maturity 8/15/18)*....... AAA/NR AAA/NR 7.375% 05/17/99 7,880,000 8,078,835
Los Angeles County Capital Asset Lease
Corporation.............................. P1/NR A1+/NR 3.00% 08/04/99 12,060,000 12,060,000
Los Angeles County Metropolitan
Transportation Authority (AMBAC Insured)
(final maturity 7/1/17)* 144A............ NR/NR A1+/AAA 3.49% 05/20/99 2,100,000 2,100,000
Los Angeles County Metropolitan
Transportation Authority, Municipal
Treasury Receipts, Series SGB3 (FSA
Insured) (final maturity 7/1/16)*........ NR/NR A1+/AAA 3.46% 05/20/99 5,500,000 5,500,000
Los Angeles County Transportation
Commission, Sales Tax Revenue............ P1/NR A1+/NR 2.75% 08/11/99 7,500,000 7,500,000
Los Angeles County, Metropolitan
Transportation Authority, Sales Tax
Revenue, Series CMC2 (final maturity
7/1/11)* 144A............................ VMIG1/Aaa NR/NR 3.40% 05/19/99 13,355,000 13,355,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.75% 06/25/99 10,000,000 10,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.75% 06/25/99 7,000,000 7,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.60% 07/15/99 10,000,000 10,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.85% 08/06/99 35,000,000 35,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.85% 08/09/99 15,000,000 15,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 2.75% 06/25/99 19,000,000 19,000,000
Los Angeles Department of Water & Power.... P1/NR A1+/NR 3.05% 08/30/99 3,500,000 3,500,000
Los Angeles Industrial Development
Authority Industrial Development Revenue,
Delta Tau Data System Inc. Project (AMT)
(final maturity 8/1/23)*................. NR/NR A1+/AA+ 3.50% 05/17/99 2,000,000 2,000,000
Los Angeles United School District, Tax &
Revenue Anticipation Notes, Series A..... MIG1/NR Sp1+/NR 4.50% 07/01/99 43,780,000 43,827,298
Monterey County Financing Authority,
Reclamation and Distribution Project
(LOC -- Credit Local De France) (final
maturity 9/1/36)*........................ VMIG1/Aa1 NR/NR 3.40% 05/20/99 6,500,000 6,500,000
Mountain View, Mariposa, Series A (FGIC
Insured) (final maturity 3/1/17)*........ VMIG1/Aaa AAA/NR 3.30% 05/20/99 16,500,000 16,500,000
</TABLE>
See Notes to Financial Statements.
23
<PAGE> 26
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
North City West School Facilities,
Financing Authority, Special Tax
Community Facilities District No 1,
Series A (final maturity 9/1/19)*........ AAA/NR NR/NR 7.85% 09/01/99 $ 1,525,000 $ 1,575,186
Northern California Power Agency,
Geothermal Project Number 3, Series B
(AMBAC Insured).......................... Aaa/NR Baa3/NR 5.00% 07/01/99 8,000,000 8,014,008
Oakland United School District, Alameda
County, Tax & Revenue Anticipation
Notes.................................... NR/NR Sp1+/NR 3.25% 11/09/99 5,000,000 5,010,660
Orange County Apartment Development
Revenue, Robinson Ranch Apartments,
Series Y (LOC -- Banque Paribas) (final
maturity 11/1/08)*....................... NR/NR A2/A- 3.60% 05/19/99 3,800,000 3,800,000
Orange County Apartment Development
Authority, Bear Brand Apartments Project,
Series Z (LOC -- Kredietbank N.V.) (final
maturity 11/1/07)*....................... VMIG1/Aa3 NR/NR 3.45% 05/19/99 19,500,000 19,500,000
Orange County Apartment Development
Authority, Pointe Niguel Project, Series
C (LOC -- Wells Fargo & Company) (final
maturity 11/1/05)*....................... VMIG1/Aa2 NR/NR 3.70% 05/20/99 24,600,000 24,600,000
Orange County Housing Authority Apartment
Development Revenue, Oasis Martinique
(FNMA Insured) (final maturity
6/15/28)*................................ NR/NR AAA/NR 3.45% 05/20/99 20,000,000 20,000,000
Orange County Sanitation District,
Certificates of Participation, Various
Sanitation Districts (AMBAC Insured)
(final maturity 8/1/13)*................. VMIG1/Aaa A1+/AAA 3.40% 05/19/99 15,700,000 15,700,000
Orange County Sanitation Districts,
Certificates of Participation, Capital
Improvements Project (LOC -- National
Westminster Bank) (final maturity
8/1/15)*................................. VMIG1/Aa2 A1+/AA 3.35% 05/17/99 17,000,000 17,000,000
Orange County Special Financing Authority,
Teeter Plan Revenue, Series C (AMBAC
Insured) (final maturity 11/1/14)*....... VMIG1/Aaa A1/AAA 6.15% 11/01/99 2,600,000 2,635,724
Paramount Uniform School District,
Certificates of Participation, School
Facility Bridge Funding (AMT) (final
maturity 9/1/08)*........................ VMIG1/Aaa A1+/AAA 3.40% 05/19/99 1,275,000 1,275,000
Paramount Uniform School District,
Certificates of Participation, School
Facility Bridge Funding (AMT) (final
maturity 9/1/27)*........................ VMIG1/Aaa A1+/AAA 3.40% 05/19/99 1,940,000 1,940,000
Paramount Uniform School District,
Certificates of Participation, School
Facility Bridge Funding (AMT) (final
maturity 9/1/15)*........................ VMIG1/Aaa A1+/AAA 3.40% 05/19/99 1,925,000 1,925,000
Pico Rivera Redevelopment Agency,
Certificates of Participation, Crossroads
Plaza Project, (LOC -- Wachovia Bank of
Georgia) (final maturity 12/1/10)*....... NR/NR A1+/AA 3.45% 05/19/99 7,800,000 7,800,000
Pomona Public Financing Authority, Water
Facilities Project, Series AA (FSA
Insured) (final maturity 5/1/00)*........ A2/Aaa A/AAA 3.50% 05/17/99 455,000 456,705
Riverside County Asset Leasing Corp.,
Riverside County Hospital Project, Series
A (final maturity 6/1/19)*............... NR/NR Ap/NR 6.25% 05/17/99 9,000,000 9,012,373
Riverside County Community Facilities
District, Special Tax No. 88-4
(LOC -- Kredietbank N.V.) (final maturity
9/1/14)*................................. VMIG1/Aa2 NR/NR 3.35% 05/19/99 9,400,000 9,400,000
</TABLE>
See Notes to Financial Statements.
24
<PAGE> 27
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Riverside County Community Facilities
District, Special Tax No. 89-5 (AMBAC
Insured) (final maturity 9/1/28)*........ VMIG1/Aaa A1+/AAA 3.50% 05/17/99 $ 8,000,000 $ 8,000,000
Riverside County Tax & Revenue Anticipation
Notes.................................... MIG1/NR Sp1+/NR 4.50% 09/30/99 5,000,000 5,025,610
Riverside Electric Revenue, Series CMC5
(AMBAC Insured) (final maturity 10/1/11)*
144A..................................... VMIG1/Aaa NR/NR 3.40% 05/19/99 6,800,000 6,800,000
Roseville Finance Authority Hospital Lease
Revenue, Series A (LOC -- Toronto
Dominion Bank) (final maturity
10/1/14)*................................ NR/NR A1+/AA 3.35% 05/19/99 10,650,000 10,650,000
Sacramento County Housing Authority,
Multifamily Housing Revenue, California
Place Apartments, Series B (AMT) (LOC --
Bank One Arizona, N.A.) (final maturity
5/1/27)*................................. NR/NR A1+/AA- 3.55% 05/17/99 4,500,000 4,500,000
Sacramento County Housing Authority,
Multifamily Housing Revenue, Series B
(LOC -- Bank One Arizona, N.A.) (final
maturity 4/15/07)*....................... NR/NR A1+/AA- 3.45% 05/17/99 5,100,000 5,100,000
Sacramento Municipal Utilities District,
Series 1................................. P1/NR A1+/NR 2.75% 08/11/99 10,000,000 10,000,000
Sacramento Municipal Utilities District,
Series 1................................. P1/NR A1+/NR 2.90% 08/12/99 20,000,000 20,000,000
Sacramento Municipal Utilities District,
Series 1................................. P1/NR A1+/NR 3.05% 08/16/99 1,500,000 1,500,000
Sacramento Municipal Utilities District,
Series 1................................. P1/NR A1+/NR 3.00% 09/14/99 1,500,000 1,500,000
San Bernardino County Housing Authority,
Multi-Family Housing, Brookside Meadows,
Series A (final maturity 8/1/05)*........ VMIG1/Aa2 NR/NR 3.40% 05/19/99 22,000,000 22,000,000
San Bernardino County, Certificates of
Participation (final maturity 8/1/28)*... NR/NR A1+/AAA 3.49% 05/19/99 2,500,000 2,500,000
San Bernardino County, Industrial
Development Authority, Aqua Service (AMT)
(final maturity 5/1/09)*................. NR/NR A1+/AA+ 3.50% 05/19/99 1,200,000 1,200,000
San Bernardino County, Tax & Revenue
Anticipation Notes....................... MIG1/NR Sp1+/NR 4.50% 09/30/99 12,000,000 12,048,839
San Diego City Industrial Development
Authority, San Diego Gas & Electric,
Series A (final maturity 9/1/20)*........ VMIG1/A1 A1+/AA- 2.80% 08/13/99 5,200,000 5,200,000
San Diego County Tax & Revenue
Anticipation............................. MIG1/NR Sp1+/NR 4.50% 09/30/99 7,000,000 7,039,293
San Diego County Teeter Obligation Notes... P1/NR A1+/NR 2.90% 06/15/99 2,561,000 2,561,000
San Diego Housing Authority Multi-Family
Housing Revenue, La Cima Apartments,
Series K (LOC -- Citibank N.A.) (final
maturity 12/1/08)*....................... VMIG1/Aa2 AAA/NR 3.35% 05/20/99 7,740,000 7,740,000
San Diego Housing Authority, Multi-Family
Housing, Nobel Ct. Apartments, Series L
(final maturity 12/1/08)*................ VMIG1/A1 NR/NR 3.40% 05/17/99 11,910,000 11,910,000
San Diego Housing Authority, Multi-Family
Housing, Nobel Ct. Apartments, Series L
(final maturity 12/1/08)*................ VMIG1/Aa2 NR/NR 3.35% 05/20/99 19,165,000 19,165,000
San Diego United School District, Tax &
Revenue Anticipation Notes, Series A
(final maturity 10/1/99)*................ MIG1/NR A1+/SP1 4.50% 10/01/99 2,200,000 2,210,812
</TABLE>
See Notes to Financial Statements.
25
<PAGE> 28
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
San Francisco Bay Area Transit Finance
Authority, Series A...................... P1/NR A1+/NR 2.75% 08/11/99 $ 1,000,000 $ 1,000,000
San Francisco City and County Community
International Airport (AMT) (MBIA
Insured) (final maturity 5/1/16)* 144A... NR/NR A1+/AAA 3.40% 05/19/99 14,300,000 14,300,000
San Francisco City and County Community
International Airport (final maturity
5/1/21)* 144A............................ NR/NR NR/NR 3.46% 05/20/99 5,345,000 5,345,000
San Francisco City and County, Community
International Airport Revenue (final
maturity 5/1/20)*........................ NR/NR NR/NR 3.46% 05/17/99 9,775,000 9,775,000
San Francisco City & County School District
Tax & Revenue Anticipation Notes......... MIG1/NR Sp1+/NR 4.50% 09/22/99 10,000,000 10,038,120
Santa Ana Health Facility Revenue, Multi
Modal Town & Country (LOC -- Banque
Nationale de Paris) (final maturity
10/1/20)*................................ NR/NR A1/A+ 3.35% 05/17/99 3,783,000 3,783,000
Santa Clara County, Tax & Revenue
Anticipation Notes....................... MIG1/NR Sp1+/NR 4.50% 10/01/99 12,000,000 12,074,279
Santa Clara Electric Revenue Bond, Series A
(LOC -- National Westminster) (final
maturity 7/1/10)*........................ VMIG1/Aa2 NR/NR 3.35% 05/19/99 9,600,000 9,600,000
Santa Clara Unified School District (FGIC
Insured)................................. NR/NR AAA/NR 7.00% 08/01/99 2,605,000 2,627,351
Southern Kern California, Unified School
District, Certificates of Participation,
Series A (FSA Insured) (final maturity
9/1/26)*................................. VMIG1/Aaa A1/AAA 3.35% 05/20/99 4,030,000 4,030,000
Southern Metropolitan Water District....... P1/NR A1+/NR 2.85% 08/09/99 6,300,000 6,300,000
University of California Revenue (final
maturity 9/1/19)*........................ NR/NR A1+c/AAA 3.46% 05/20/99 11,300,000 11,300,000
University of California Revenue,
Multi-Purpose Project, Series B (AMBAC
Insured)................................. Aa3/Aaa AAA/NR 7.10% 09/01/99 1,000,000 1,010,527
Wateruse Finance Authority (FSA Insured)
(final maturity 5/1/28)*................. NR/Aaa A1+/AAA 3.40% 05/19/99 20,000,000 20,000,000
--------------
1,302,984,573
--------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE> 29
PACIFIC HORIZON CALIFORNIA TAX EXEMPT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S S&P AMORTIZED
RATINGS+ RATINGS+ MATURITY PRINCIPAL COST
DESCRIPTION (UNAUDITED) (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ----------- ---- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
PUERTO RICO -- 7.8%
Puerto Rico Commonwealth Infrastructure
Financing Authority, Series C (final
maturity 7/1/12)* 144A................... VMIG1/Aaa NR/NR 3.45% 05/19/99 $10,995,000 $ 10,995,000
Puerto Rico Commonwealth, Tax & Revenue
Anticipation Notes, Series A............. MIG1/NR Sp1+/NR 3.50% 07/30/99 56,000,000 56,057,224
Puerto Rico Electric Power Authority
(LOC -- Societe Generale) (final maturity
7/1/22)* 144A............................ NR/NR A1+/AAA 3.35% 05/19/99 27,900,000 27,900,000
Puerto Rico Government Development Bond.... P1/NR A1+/AAA 2.80% 05/26/99 20,000,000 20,000,000
--------------
114,952,224
--------------
TOTAL INVESTMENTS -- 96.3% (AMORTIZED COST
$1,417,936,797)(A)........................... 1,417,936,797
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 3.7%.......................... 54,321,937
--------------
NET ASSETS -- 100.0%........................... $1,472,258,734
==============
</TABLE>
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $1,472,258,734.
(a) Cost for Federal income tax and financial reporting purposes is
substantially the same.
AMBAC -- AMBAC Indemnity Corporation.
AMT -- Interest on securities subject to Federal Alternative Minimum Tax.
FGIC -- Financial Guaranty Insurance Company.
FNMA -- Federal National Mortgage Association.
FSA -- Financial Security Assurance.
GIC -- Guaranty Insurance Company.
LOC -- Letter of Credit.
MBIA -- Municipal Bond Insurance Association.
NR -- No rating assigned by Moody's or S&P.
* Variable rate security. Maturity date reflects the next rate change date.
+ The ratings provided consist of short-term and long-term ratings.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 10.0% of net assets.
See Notes to Financial Statements.
27
<PAGE> 30
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
MUNICIPAL BONDS -- 97.8%
CALIFORNIA -- 95.2%
ABAG Finance Authority For Nonprofit
Corporation, California Certificates of
Participation, Episcopal Homes Foundation.... NR/A- 4.625% 07/01/04 $1,465,000 $ 1,490,637
ABAG Financial Corporation, Certificates of
Participation, Series A, Callable on 6/1/00
@102......................................... NR/A 6.25% 06/01/11 1,000,000 1,034,190
Alameda County Certificates of Participation,
Capital Projects (AMBAC Insured), Callable
6/1/07 @102.................................. Aaa/AAA 5.00% 06/01/22 4,780,000 4,600,750
Alameda County Certificates of Participation,
Santa Rita Jail Project (MBIA Insured),
Callable on 12/1/03 @102..................... Aaa/AAA 5.70% 12/01/14 3,000,000 3,202,500
Alameda County Water District, Certificates of
Participation, Water Systems Project (FGIC
Insured), Callable on 6/1/04 @102............ Aaa/AAA 6.00% 06/01/15 2,515,000 2,788,506
Bodega Bay Fire Protection District,
Certificates of Participation, Fire Station
Project, Callable on 10/1/14 @102............ NR/BBB- 6.45% 10/01/31 1,185,000 1,306,462
California Health Facilities Financing
Authority, Adventist Health Systems West,
Series B (MBIA Insured), Callable on 3/1/01
@102......................................... Aaa/AAA 6.50% 03/01/07 1,000,000 1,063,750
California Health Facilities Financing
Authority, Adventist Health Systems, Series A
(MBIA Insured), Callable on 3/1/01 @102...... Aaa/AAA 7.00% 03/01/13 1,000,000 1,071,250
California Health Facilities Financing
Authority, Kaiser Permanente Medical Care,
Series A, Prerefunded on 12/1/00 @102........ NR/NR 6.50% 12/01/20 1,000,000 1,063,750
California Health Facilities Financing
Authority, Kaiser Permanente, Series A (FSA
Insured)..................................... Aaa/AAA 5.00% 06/01/07 2,500,000 2,618,750
California Health Facilities Financing
Authority, Sutter Health Facilities, Series C
(FSA Insured), Callable 8/15/07 @102......... Aaa/AAA 5.125% 08/15/22 3,000,000 2,936,250
California Housing Finance Agency (AMT) (MBIA
Insured), Callable on 8/1/05 @102............ Aaa/AAA 6.10% 08/01/15 2,000,000 2,085,000
California Housing Finance Agency (AMT) (MBIA
Insured), Callable on 8/1/07 @102............ Aaa/AAA 5.75% 02/01/29 3,000,000 3,090,000
California Housing Finance Agency, Series B
(AMT) (FHA Insured), Callable on 2/1/08
@101.5....................................... Aaa/AAA 5.40% 08/01/28 2,050,000 2,050,000
California Housing Finance Authority (AMT)
(MBIA Insured), Callable on 8/1/07 @102...... Aaa/AAA 5.65% 08/01/17 2,750,000 2,818,750
California Pollution Control Financing
Authority, Pacific Gas & Electric Co., Series
A (AMT), Callable on 6/1/02 @102............. A1/AA- 6.625% 06/01/09 1,000,000 1,075,000
California Pollution Control Financing
Authority, Southern California Edison, Series
A (AMT), Callable on 9/1/99 @102............. NR/A+ 6.90% 09/01/06 1,000,000 1,027,700
California Pollution Control Financing
Authority, Southern California Edison, Series
B (AMT), Callable on 12/1/02 @102............ A1/A+ 6.40% 12/01/24 1,000,000 1,085,000
California State Department of Water Revenue,
Residential Central Valley Project, Series S,
Callable on 12/1/07 @101..................... Aa2/AA 5.00% 12/01/17 2,000,000 1,982,500
California State Department of Water Revenue,
Central Valley Project, Series L, Callable on
6/1/03 @101.5................................ Aa2/AA 5.70% 12/01/16 4,500,000 4,753,125
</TABLE>
See Notes to Financial Statements.
28
<PAGE> 31
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
California State General Obligation Bond (FGIC-
TCRS Insured), Callable on 10/1/05 @101...... Aaa/AAA 5.25% 10/01/17 $2,600,000 $ 2,639,000
California State Public Works Board, Lease
Revenue, Department of Corrections, State
Prison, Series E, Callable on 6/1/04 @102.... A2/A 5.50% 06/01/19 7,970,000 8,219,062
California State Unrefunded (AMBAC Insured)
TCRS, Callable on 5/1/04 @102................ Aaa/AAA 6.00% 05/01/12 210,000 229,950
California Statewide Communities Development
Authority Revenue, Certificates of
Participation, John Muir/Mt. Diablo Health
System (MBIA Insured), Callable on 8/15/07
@102......................................... Aaa/AAA 5.125% 08/15/17 3,000,000 3,000,000
Capital Area Development Authority, Series A
(MBIA Insured), Callable on 4/1/02 @102...... Aaa/AAA 6.50% 04/01/12 1,000,000 1,087,500
Central Valley Financing Authority,
Cogeneration Project, Carson Ice, Callable on
7/1/03 @102.................................. NR/BBB- 6.00% 07/01/09 3,000,000 3,176,250
Chino Unified School District, Certificates of
Participation, Convertible Capital
Appreciation Land Acquisition, Series A (FSA
Insured), Callable 7/26/99 @99.3624 (Step
Bond), due 9/1/14............................ Aaa/AAA 2.52%* 09/01/14 1,280,000 1,334,400
Contra Costa Water District, Series H, Callable
10/1/07 @100................................. A1/AA- 5.00% 10/01/22 4,000,000 3,850,000
Del Mar Race Track Revenue Authority, Callable
on 8/15/06 @102.............................. NR/NR 6.00% 08/15/08 1,200,000 1,296,000
Del Mar Race Track Revenue Authority, Callable
on 8/15/06 @102.............................. NR/NR 6.20% 08/15/11 1,000,000 1,087,500
Del Mar Race Track Revenue Authority, Sinking
Date 8/15/02 @100............................ NR/NR 6.00% 08/15/06 1,000,000 1,067,500
East Bay Municipal Utility District Water
System (FGIC Insured), Callable on 6/1/06
@102......................................... Aaa/AAA 5.00% 06/01/16 3,000,000 2,988,750
Eastern Municipal Water District, Certificates
of Participation (FGIC Insured), Sinking Date
7/1/09 @100.................................. Aaa/AAA 6.75% 07/01/12 1,000,000 1,201,250
Elsinore Valley Municipal Water District,
Certificates of Participation, Series A (FGIC
Insured), Sinking Date 7/1/10 @100........... Aaa/AAA 6.00% 07/01/12 1,500,000 1,693,125
Emeryville Public Financing Authority,
Redevelopment Project, Series A, Callable on
5/1/02 @102.................................. NR/A- 6.50% 05/01/21 925,000 987,437
Escondido Joint Powers Financing Authority,
Lease Revenue, California Center for the
Arts, (AMBAC Insured), Callable on 9/1/05
@102......................................... Aaa/AAA 6.00% 09/01/18 1,500,000 1,636,875
Foothill/Eastern Corridor Agency, California
Toll Road Revenue Bond, Series A, Callable on
1/1/10 @100.................................. Baa/BBB- 6.00% 01/01/16 3,000,000 3,300,000
Fremont Public Financing Authority, Local
Improvement District 39R, Callable on 9/2/99
@102......................................... NR/NR 6.00% 09/01/11 1,965,000 2,008,761
Fresno Sewer, Series A-1 (AMBAC Insured),
Sinking Date 9/1/11 @100..................... Aaa/AAA 6.25% 09/01/14 5,000,000 5,781,250
Industrial Urban Development Agency, Tax
Allocation Transportation District, Project
3, Callable on 11/1/02 @101.75............... NR/A- 6.90% 11/01/16 1,000,000 1,085,000
Long Beach Harbor Revenue (AMT) (MBIA Insured),
Callable on 5/15/05 @102..................... Aaa/AAA 5.375% 05/15/20 4,000,000 4,015,000
</TABLE>
See Notes to Financial Statements.
29
<PAGE> 32
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Los Angeles Convention & Exhibition Center
Authority, Series A (MBIA Insured)........... Aaa/AAA 6.00% 08/15/10 $3,000,000 $ 3,378,750
Los Angeles County Transportation, Community
Sales Tax Revenue, Series B, Callable on
7/1/01 @102.................................. A1/AA- 6.50% 07/01/13 2,500,000 2,671,875
Los Angeles County, Sanitation District
Financing Authority, Revenue Capital
Projects, Series A, Callable on 10/1/03
@102......................................... Aa/AA 5.375% 10/01/13 1,500,000 1,563,750
Los Angeles Department of Water & Power,
Callable on 4/15/03 @102..................... Aa3/AA 5.75% 04/15/12 2,000,000 2,132,500
Los Angeles Harbor Department, Series B (AMT),
Callable on 8/1/02 @102...................... Aa3/AA 6.625% 08/01/25 2,000,000 2,162,500
Manhattan Beach Unified School District,
Certificates of Participation, Convertible
Capital Appreciation, Series B (MBIA
Insured), Callable on 8/1/05 @102 (Step
Bond), due 8/1/20, 6.50% beginning 8/1/00.... Aaa/AAA 6.35%* 08/01/20 2,000,000 1,987,500
Metropolitan Water District, Southern
California Waterworks, Series 1993A, Sinking
Date 7/1/14 @100............................. Aa2/AA 5.75% 07/01/21 4,500,000 4,882,500
Natomas Unified School District, Series A (MBIA
Insured), Callable on 9/1/03 @102............ Aaa/AAA 5.75% 09/01/17 1,000,000 1,067,500
Northern California Transmission, Ore
Transmission Project, Series A (MBIA
Insured), Callable on 5/1/02 @102............ Aaa/AAA 6.25% 05/01/10 2,000,000 2,155,000
Northridge Water District, Certificates of
Participation (AMBAC Insured), Callable on
2/1/06 @102.................................. Aaa/AAA 5.25% 02/01/18 2,500,000 2,531,250
Oakland California State Building Authority
Lease Revenue, Elihu M. Harris, Series A
(AMBAC Insured), Callable on 4/1/08 @101..... Aaa/AAA 5.00% 04/01/17 1,000,000 991,250
Orange County California Airport Revenue (AMT)
(MBIA Insured), Callable on 7/1/07 @102...... Aaa/AAA 5.50% 07/01/10 2,500,000 2,690,625
Orange County California Airport Revenue (AMT)
(MBIA Insured), Callable on 7/1/07 @102...... Aaa/AAA 5.50% 07/01/11 4,000,000 4,270,000
Orange County Community Facilities District,
Special Tax No. 86-1 (FSA Insured), Callable
on 8/15/99 @102.............................. Aaa/AAA 7.125% 08/15/17 1,500,000 1,541,880
Pasadena Community Multi-Family Housing, Civic
Center, Series A (AMT) (FSA Insured),
Callable on 12/1/02 @102..................... Aaa/AAA 6.40% 12/01/12 2,500,000 2,631,250
Port Oakland, Port Authority, Series H (AMT)
(MBIA Insured), Callable on 11/1/07 @102..... Aaa/AAA 5.50% 11/01/15 5,000,000 5,262,500
Poway Certificates of Participation, Poinsettia
Mobilehome Park (FSA Insured), Callable on
6/1/02 @102.................................. Aaa/AAA 6.375% 06/01/18 2,500,000 2,703,125
Rancho Water District Financing Authority
(AMBAC Insured), Callable on 8/15/01
@101.5....................................... Aaa/AAA 6.40% 08/15/04 1,000,000 1,076,250
Rancho Water District Financing Authority (FGIC
Insured), Callable on 11/1/05 @102........... Aaa/AAA 5.90% 11/01/15 2,000,000 2,180,000
Riverside Water Revenue, Callable on 10/1/08
@101......................................... NR/AA 5.375% 10/01/11 1,500,000 1,591,875
Sacramento Power Authority Cogeneration
Project, Callable on 7/1/06 @102............. NR/BBB- 5.875% 07/01/15 2,900,000 3,066,750
San Diego Convention Center Expansion Financing
Authority Lease, Series A (AMBAC Insured),
Callable on 10/1/08 @101..................... Aaa/AAA 4.75% 04/01/28 2,000,000 1,850,000
</TABLE>
See Notes to Financial Statements.
30
<PAGE> 33
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
San Diego Special Tax Community Facilities
District No. 1, Series B, Prerefunded on
9/1/05 @102.................................. NR/NR 7.00% 09/01/15 $2,000,000 $ 2,340,000
San Francisco Bay Area Rapid Transportation
District Sales Tax Revenue Unrefunded (FGIC
Insured), Callable on 7/1/05 @101............ Aaa/AAA 5.50% 07/01/20 610,000 630,587
San Francisco Building Authority, General
Service, Series A (MBIA Insured)............. Aaa/AAA 5.00% 10/01/08 1,000,000 1,050,000
San Francisco City & County Airport, Community
International Airport, Second Series Issue
10A (MBIA Insured), Callable on 5/1/03
@102......................................... Aaa/AAA 5.70% 05/01/26 3,000,000 3,138,750
San Francisco City & County Airport, Community
International Airport, Issue 2 (MBIA Insured)
Prerefunded on 5/1/03 @102................... Aaa/AAA 6.75% 05/01/13 1,450,000 1,614,937
San Francisco City & County Airport, Community
International Airport, Issue 2, (MBIA
Insured) Prerefunded on 5/1/03 @102.......... NR/AAA 6.75% 05/01/13 280,000 314,650
San Joaquin County Certificates of
Participation, Capital Facilities Project
(MBIA Insured), Sinking Date 11/15/11 @100... Aaa/AAA 5.50% 11/15/13 1,750,000 1,887,813
San Joaquin Hills Transportation Corridor
Agency, Series A, Callable 1/15/14 @102,
(Step Bond), due 11/15/12, 5.60%, beginning
1/15/07...................................... Baa3/BBB- 5.57%* 01/15/16 3,000,000 2,096,250
San Jose Financing Authority, Convention Center
Project, Series C, Callable on 9/1/01 @102... A1/A+ 6.40% 09/01/17 3,000,000 3,198,750
San Jose Redevelopment Agency Tax Allocation,
Merged Area Redevelopment Project (MBIA
Insured)..................................... Aaa/AAA 6.00% 08/01/15 3,670,000 4,156,275
San Jose Redevelopment Agency Tax Allocation,
Merged Area Redevelopment Project, Callable
on 8/1/08 @102............................... A2/A 5.25% 08/01/29 5,000,000 4,956,250
San Mateo County Joint Powers Authority Lease
Revenue Capital Projects, Series A (FSA
Insured), Callable on 7/15/08 @101........... Aaa/AAA 5.125% 07/15/32 2,000,000 1,957,500
Santa Ana Financing Authority, Police
Administration and Holding Facility, Series A
(MBIA Insured), Callable on 7/1/04 @102...... Aaa/AAA 5.625% 07/01/09 1,130,000 1,216,163
Scotts Valley Unified School District, Series B
(FGIC Insured), Callable 8/1/05 @102......... Aaa/NR 5.375% 08/01/17 1,295,000 1,330,613
Southern California Public Power Authority,
Power Project................................ A/A 6.75% 07/01/13 1,000,000 1,193,750
Southern California Rapid Transit District,
Certificates of Participation, Workers
Compensation Fund (MBIA Insured), Callable on
1/1/01 @102.5................................ Aaa/AAA 6.00% 07/01/10 1,000,000 1,055,000
Thousand Oaks Redevelopment Agency, Thousand
Oaks Boulevard Redevelopment (MBIA Insured),
Callable on 12/1/05 @102..................... Aaa/AAA 5.40% 12/01/09 1,290,000 1,375,463
Thousand Oaks Redevelopment Agency, Thousand
Oaks Boulevard Redevelopment (MBIA Insured),
Callable on 12/1/05 @102..................... Aaa/AAA 5.25% 12/01/08 1,370,000 1,457,338
Union City Community Redevelopment Agency, Tax
Allocation Redevelopment Project (AMBAC
Insured), Callable on 10/1/03 @102........... Aaa/AAA 5.85% 10/01/23 1,250,000 1,326,563
University of California, Hospital Medical
Center (AMBAC Insured), Callable on 7/1/06
@101......................................... Aaa/AAA 5.75% 07/01/24 5,000,000 5,300,000
</TABLE>
See Notes to Financial Statements.
31
<PAGE> 34
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
University of California, Hospital Medical
Center (AMBAC Insured), Callable on 7/1/06
@101......................................... Aaa/AAA 6.00% 07/01/26 $3,000,000 $ 3,288,750
West Covina Redevelopment Agency, Community
Facilities Special Tax, Fashion Plaza,
Sinking Date 9/1/10 @100..................... NR/A 6.00% 09/01/17 3,000,000 3,292,500
Westwood Unified School District, Callable on
8/1/06 @102.................................. NR/BBB 6.50% 08/01/21 1,025,000 1,128,781
------------
198,523,793
------------
PUERTO RICO -- 2.6%
Puerto Rico Electric Power Authority, Series U,
Callable on 7/1/04 @102...................... Baa1/BBB+ 6.00% 07/01/14 5,000,000 5,462,500
------------
TOTAL INVESTMENTS -- 97.8% (COST
$191,004,899)(a)................................. 203,986,293
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.2%...... 4,670,881
------------
NET ASSETS -- 100.0%............................... $208,657,174
============
</TABLE>
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $208,657,174.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $13,199,015
Unrealized depreciation..................................... (217,621)
-----------
Net unrealized appreciation................................. $12,981,394
===========
</TABLE>
AMBAC -- AMBAC Indemnity Corporation.
AMT -- Interest on securities subject to Federal Alternative Minimum Tax.
FGIC -- Financial Guaranty Insurance Company.
FHA -- Federal Housing Authority.
FSA -- Financial Security Assurance, Inc.
MBIA -- Municipal Bond Insurance Association.
TCRS -- Trust Certificate Receipts.
NR -- No rating assigned by Moody's or S&P.
* Rate represents effective yield at date of purchase.
See Notes to Financial Statements.
32
<PAGE> 35
PACIFIC HORIZON CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C>
COMMON STOCK -- 14.2%
CAPITAL GOODS -- 0.3%
Mark IV Industries, Inc..................................................... 50,000 $ 981,250
------------
CONSUMER CYCLICALS -- 0.9%
Nordstrom, Inc.............................................................. 100,000 3,243,750
------------
CONSUMER STAPLES --1.3%
McDonald's Corp............................................................. 115,000 4,643,125
------------
ELECTRONICS -- 0.5%
Motorola, Inc............................................................... 20,000 1,660,000
------------
ENERGY -- 1.1%
BP Amoco PLC ADR............................................................ 35,000 3,771,250
Seacor Holdings, Inc.**..................................................... 2,000 101,750
------------
3,873,000
------------
FINANCIAL -- BANKS & TRUSTS -- 1.5%
Fleet Financial Group, Inc.................................................. 75,000 3,234,375
Sovereign Bancorp, Inc...................................................... 170,000 2,199,375
------------
5,433,750
------------
HEALTH CARE -- 2.7%
American Home Products Corp................................................. 60,000 3,690,000
Lilly, (Eli) & Co........................................................... 40,000 3,077,500
Pfizer, Inc................................................................. 25,000 2,829,687
------------
9,597,187
------------
INSURANCE -- 0.2%
Frontier Insurance Group, Inc............................................... 60,000 933,750
------------
MACHINERY -- 0.3%
Ingersoll-Rand Co........................................................... 15,000 1,013,438
------------
PAPER & FOREST PRODUCTS -- 0.5%
Georgia-Pacific Corp........................................................ 20,000 1,823,750
------------
TECHNOLOGY -- 3.6%
Cisco Systems, Inc.**....................................................... 45,000 5,194,687
Intel Corp.................................................................. 65,000 3,770,000
Xilinx, Inc................................................................. 90,000 4,196,250
------------
13,160,937
------------
UTILITIES -- 1.3%
AT&T Corp................................................................... 82,000 4,832,875
------------
TOTAL COMMON STOCK (COST $35,412,352)........................................... 51,196,812
------------
CONVERTIBLE PREFERRED STOCK -- 38.1%
BASICS -- 1.6%
International Paper Co., $2.62.............................................. 105,000 5,748,750
------------
CONSUMER CYCLICALS -- 6.7%
Fleetwood Capital Trust, $3.00.............................................. 20,300 832,300
Fleetwood Capital Trust 144A, $3.00......................................... 89,600 3,673,600
Houston Industries, Inc., $3.29............................................. 38,000 4,714,375
Owens-Illinois, Inc., $2.37................................................. 112,000 4,480,000
Readers Digest Association, $1.93........................................... 160,000 5,120,000
Sealed Air Corp., Series A, $2.00........................................... 90,000 5,445,000
------------
24,265,275
------------
</TABLE>
See Notes to Financial Statements.
33
<PAGE> 36
PACIFIC HORIZON CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C>
CONSUMER STAPLES -- 3.5%
Newell Financial Trust I, $2.62............................................. 85,000 $ 4,717,500
Ralston Purina Co., $4.34................................................... 86,000 3,999,000
Wendy's Financing, Inc., $2.50.............................................. 64,200 3,791,812
------------
12,508,312
------------
ENERGY -- 4.4%
El Paso Energy Capital Trust I, $2.37....................................... 94,000 4,664,750
Nisource Inc., $3.88........................................................ 82,000 4,100,000
Occidental Petroleum Corp., $3.00........................................... 40,000 2,165,000
Unocal Corp., $3.12......................................................... 85,000 4,887,500
------------
15,817,250
------------
FINANCIAL -- 7.1%
Amerus Life Holdings, Inc., $2.21........................................... 185,800 4,598,550
CNB Capital Trust I, $1.50.................................................. 177,300 4,498,987
Frontier Insurance Group, Inc., $3.12....................................... 62,000 2,782,250
Frontier Insurance Group, Inc. 144A, $3.12.................................. 50,000 2,243,750
Philadelphia Consolidated Holding Corp., Income PRIDES, $.70*............... 391,000 3,910,000
Protective Life Corp., $3.25................................................ 73,300 4,471,300
St. Paul Capital Corp., $3.00............................................... 50,000 3,031,250
------------
25,536,087
------------
HEALTH CARE -- 1.3%
Monsanto Co., $2.60......................................................... 100,000 4,737,500
------------
REAL ESTATE -- 1.1%
Apartment Investment & Management Co. REIT.................................. 159,000 4,124,062
------------
TECHNOLOGY -- 1.4%
Microsoft Corp., Series A, $2.20............................................ 50,000 4,984,375
------------
TELECOMMUNICATIONS -- 4.9%
Adelphia Communications, $2.25.............................................. 21,000 4,735,500
Chancellor Media Corp., $3.50............................................... 28,000 4,389,000
Media One Group, Inc., $3.63................................................ 65,000 5,411,250
Media One Group, Inc., $2.25................................................ 20,000 3,130,000
------------
17,665,750
------------
TRANSPORTATION -- 1.5%
Union Pacific Capital Trust, $3.12.......................................... 18,000 976,500
Union Pacific Capital Trust 144A*, $3.12.................................... 80,000 4,340,000
------------
5,316,500
------------
UTILITIES -- 4.6%
Avista Corp., $1.24......................................................... 224,500 3,844,563
Calenergy Capital Trust II, $3.12........................................... 25,000 1,256,250
Calenergy Capital Trust II 144A, $3.12...................................... 70,000 3,517,500
Citizens Utilities Trust, $2.50............................................. 85,000 3,787,813
Texas Utilities Co., Income PRIDES, $4.62................................... 80,000 4,330,000
------------
16,736,126
------------
TOTAL CONVERTIBLE PREFERRED STOCK (COST $130,254,088)........................... 137,439,987
------------
</TABLE>
See Notes to Financial Statements.
34
<PAGE> 37
PACIFIC HORIZON CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PRINCIPAL VALUE
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
----------- ---- -------- --------- --------
<S> <C> <C> <C> <C>
CONVERTIBLE BONDS -- 44.7%
BASICS -- 1.3%
Agnico Eagle Mines, Ltd................................. 3.50% 01/27/04 $ 7,350,000 $ 4,814,250
------------
CAPITAL GOODS -- 2.6%
Mark IV Industries, Inc. 144A........................... 4.75% 11/01/04 2,135,000 1,884,138
Waste Management, Inc................................... 4.00% 02/01/02 2,800,000 3,769,500
WMX Technologies, Inc................................... 2.00% 01/24/05 3,210,000 3,555,075
------------
9,208,713
------------
COMPUTERS -- 1.4%
Hewlett-Packard Co. LYON................................ 3.20%+ 10/14/17 8,400,000 5,008,500
------------
CONSUMER CYCLICALS -- 8.7%
Clear Channel Communications, Inc....................... 2.63% 04/01/03 4,000,000 5,015,000
Hilton Hotels Corp...................................... 5.00% 05/15/06 4,900,000 4,716,250
Home Depot, Inc......................................... 3.25% 10/01/01 1,690,000 4,250,350
Magna International, Inc. 144A*......................... 4.88% 02/15/05 4,100,000 4,258,875
Omnicom Group, Inc. 144A*............................... 2.25% 01/06/13 2,500,000 4,046,875
Pep Boys, Inc. LYON..................................... 4.26%+ 09/20/11 8,800,000 4,796,000
Times Mirror Co. LYON................................... 4.30%+ 04/15/17 5,525,000 2,603,656
Tower Automotive, Inc. 144A............................. 5.00% 08/01/04 1,600,000 1,764,000
------------
31,451,006
------------
ENERGY -- 3.7%
Loews Corp.............................................. 3.13% 09/15/07 5,100,000 4,322,250
Pennzenergy Co.......................................... 4.95% 08/15/08 4,500,000 4,623,750
Seacor Holdings, Inc.................................... 5.38% 11/15/06 2,900,000 2,871,000
Seacor Holdings, Inc. 144A.............................. 5.38% 11/15/06 1,500,000 1,485,000
------------
13,302,000
------------
FINANCIAL SERVICES -- 2.5%
Bank Atlantic Bancorp, Inc.............................. 5.63% 12/01/07 4,300,000 3,531,375
Penn Treaty American Corp............................... 6.25% 12/01/03 4,180,000 4,357,650
Penn Treaty American Corp............................... 6.25% 12/01/03 890,000 927,825
------------
8,816,850
------------
HEALTH CARE -- 5.4%
Alza Corp............................................... 5.00% 05/01/06 2,790,000 3,208,500
Athena Neurosciences, Inc............................... 4.75% 11/15/04 1,000,000 1,071,250
Elan Finance Corp. 144A LYON............................ 3.28%+ 12/14/18 8,500,000 4,398,750
Roche Holdings, Inc. Notes 144A LYON.................... 5.13%+ 04/20/10 2,390,000 1,410,100
Roche Holdings, Inc. Notes 144A LYON.................... 5.80%+ 05/06/12 9,000,000 4,657,500
Total Renal Care Holdings, CV B 144A*................... 7.00% 05/15/09 5,600,000 4,669,000
------------
19,415,100
------------
HEALTH CARE SERVICES -- 0.9%
Omnicare, Inc........................................... 5.00% 12/01/07 475,000 445,906
Omnicare, Inc. 144A*.................................... 5.00% 12/01/07 2,900,000 2,722,375
------------
3,168,281
------------
INDUSTRIAL & COMMERCIAL SERVICES -- 1.4%
Xerox Corp.............................................. 0.57% 04/21/18 8,100,000 5,173,875
------------
MANUFACTURING & DESIGN TECHNOLOGY -- 1.4%
Citrix Systems, Inc. 144A............................... 5.39% 03/22/19 12,350,000 5,094,375
------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE> 38
PACIFIC HORIZON CAPITAL INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MATURITY PRINCIPAL VALUE
DESCRIPTION RATE DATE AMOUNT (NOTE 2)
----------- ---- -------- --------- --------
<S> <C> <C> <C> <C>
TECHNOLOGY -- 8.7%
Affiliated Computer Services 144A....................... 4.00% 03/15/05 $ 2,850,000 $ 3,302,438
Atmel Corp. 144A, 3.25% due 6/1/02; 8.25%, beginning
6/1/00++.............................................. 3.25% 06/01/02 5,660,000 5,164,750
LSI Logic Corp. 144A.................................... 4.25% 03/15/04 3,000,000 4,230,000
Micron Technology, Inc.................................. 7.00% 07/01/04 4,300,000 4,273,125
Motorola, Inc. LYON..................................... 1.87%+ 09/27/13 3,350,000 3,283,000
Photronics, Inc......................................... 6.00% 06/01/04 4,075,000 4,482,500
Sanmina Corp. 144A...................................... 4.25% 05/01/04 1,895,000 2,153,194
Solectron Corp. 144A* LYON.............................. 4.00%+ 01/27/19 8,600,000 4,504,250
------------
31,393,257
------------
TELECOMMUNICATIONS -- 1.1%
ITC Deltacom, Inc....................................... 4.50% 05/15/06 3,550,000 3,891,688
------------
UTILITIES -- 4.4%
Bell Atlantic Financial Services 144A*.................. 5.75% 04/01/03 4,500,000 4,736,250
Bell Atlantic Financial Services 144A*.................. 4.25% 09/15/05 5,000,000 5,318,750
U.S. Cellular, Corp. LYON............................... 5.75%+ 06/15/15 12,000,000 5,820,000
------------
15,875,000
------------
UTILITIES -- ELECTRIC -- 1.2%
Aes Corp................................................ 4.50% 08/15/05 3,850,000 4,350,500
------------
TOTAL CONVERTIBLE BONDS (COST $150,371,231)................. 160,963,395
------------
TOTAL INVESTMENTS -- 97.0% (COST $316,037,671)(a)........... 349,600,194
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.0%............... 10,776,736
------------
NET ASSETS -- 100.0%........................................ $360,376,930
============
</TABLE>
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $360,376,930.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $ 44,016,018
Unrealized deprecation...................................... (10,453,495)
------------
Net unrealized appreciation................................. $ 33,562,523
============
</TABLE>
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 22.1% of net assets.
* Private placement security.
** Non-income producing security.
+ Rate shown is the effective yield at purchase date.
++ Step-Up Bond. Rate shown is the rate in effect at period end.
ADR -- American Depositary Receipt.
LYON -- Liquid Yield Option Note: Callable, zero coupon securities priced at a
deep discount from par. They include a "put" feature that enables
holders to redeem them on a specific date, at a specific price. Put
prices reflect fixed interest rates and therefore increase over time.
PLC -- Public Limited Company.
PRIDES -- Preferred Redeemable Increased Dividend Security.
REIT -- Real Estate Investment Trust.
See Notes to Financial Statements.
36
<PAGE> 39
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS -- 60.3%
ADVERTISING -- 0.1%
Omnicom Group, Inc. .................................................................. 5,600 $ 412,650
------------
AEROSPACE -- 1.2%
Goodrich (B.F.) Co. .................................................................. 14,900 635,112
United Technologies Corp. ............................................................ 20,100 2,844,150
------------
3,479,262
------------
AIRLINES -- 0.3%
Delta Air Lines, Inc. ................................................................ 11,000 714,312
UAL Corp.**........................................................................... 3,900 314,194
------------
1,028,506
------------
APPAREL/TEXTILE -- 0.2%
Tommy Hilfiger Corp.**................................................................ 8,000 645,500
------------
AUTOMOBILES -- 0.9%
Ford Motor Co. ....................................................................... 26,300 1,597,725
General Motors Corp. ................................................................. 14,600 1,212,712
------------
2,810,437
------------
BEVERAGES -- 1.5%
Anheuser-Busch Cos., Inc. ............................................................ 27,800 2,001,600
Coca-Cola Co. ........................................................................ 26,800 1,755,400
Coca-Cola Enterprises, Inc. .......................................................... 12,000 399,750
PepsiCo, Inc. ........................................................................ 11,000 420,062
------------
4,576,812
------------
BIOMEDICAL -- 0.4%
Amgen, Inc.**......................................................................... 18,600 1,134,600
------------
BUILDING & RELATED/APPLIANCE -- 0.2%
Centex Corp. ......................................................................... 16,800 626,850
------------
CHEMICALS -- 1.0%
Dow Chemical Co. ..................................................................... 13,800 1,867,312
Solutia, Inc. ........................................................................ 18,000 429,750
Union Carbide Corp. .................................................................. 13,900 758,419
------------
3,055,481
------------
COMMUNICATIONS -- 2.9%
Cisco Systems, Inc.**................................................................. 29,100 3,359,231
Lucent Technologies, Inc. ............................................................ 44,600 2,606,312
Sprint Corp. (PCS Group)**............................................................ 4,050 192,122
Tellabs, Inc.**....................................................................... 20,200 2,383,600
------------
8,541,265
------------
COMPUTER HARDWARE -- 2.9%
Dell Computer Corp.**................................................................. 39,600 1,631,025
EMC Corp.**........................................................................... 22,300 2,313,625
International Business Machines....................................................... 19,100 4,581,612
------------
8,526,262
------------
COMPUTER SERVICES & SOFTWARE -- 3.5%
America Online, Inc.**................................................................ 15,700 1,977,219
Compuware Corp.**..................................................................... 20,200 501,212
Microsoft Corp.**..................................................................... 101,800 7,825,875
------------
10,304,306
------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE> 40
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C> <C>
COMPUTER SOFTWARE/HARDWARE -- 0.7%
Hewlett-Packard Co. .................................................................. 17,900 $ 1,509,194
Seagate Technology, Inc.**............................................................ 18,000 563,625
------------
2,072,819
------------
CONSUMER PRODUCTS AND SERVICES -- 0.4%
Bausch & Lomb, Inc. .................................................................. 14,000 1,138,375
------------
COSMETICS & TOILETRIES -- 2.0%
Avon Products, Inc. .................................................................. 22,400 1,162,000
Clorox Co. ........................................................................... 11,400 1,235,475
Kimberly-Clark Corp. ................................................................. 15,700 946,906
Procter & Gamble Co. ................................................................. 26,900 2,483,206
------------
5,827,587
------------
ELECTRIC -- 0.6%
Edison International.................................................................. 30,500 813,969
FPL Group, Inc. ...................................................................... 18,500 1,060,281
------------
1,874,250
------------
ELECTRICAL EQUIPMENT -- 1.8%
General Electric Co. ................................................................. 49,400 5,233,312
------------
ENERGY RELATED -- 0.9%
PECO Energy Co. ...................................................................... 30,400 1,421,200
Reliant Energy, Inc. ................................................................. 26,000 776,750
Transocean Offshore, Inc. ............................................................ 21,300 577,762
------------
2,775,712
------------
ENTERTAINMENT -- 2.1%
Carnival Cruise Lines, Inc. .......................................................... 21,000 904,312
CBS Corp.**........................................................................... 29,900 1,371,663
Time Warner, Inc. .................................................................... 36,300 2,677,125
Viacom, Inc., Cl-B**.................................................................. 35,200 1,381,600
------------
6,334,700
------------
FINANCIAL -- BANKS & TRUSTS -- 4.2%
Chase Manhattan Corp. ................................................................ 43,000 3,399,687
Fleet Financial Group, Inc. .......................................................... 62,700 2,703,937
Freddie Mac........................................................................... 23,400 1,437,637
Mellon Bank Corp. .................................................................... 24,900 1,772,569
National City Corp. .................................................................. 16,800 1,164,450
PNC Bank Corp. ....................................................................... 7,900 449,312
Wells Fargo Co. ...................................................................... 36,000 1,512,000
------------
12,439,592
------------
FINANCIAL SERVICES -- 4.2%
Citigroup, Inc. ...................................................................... 53,700 3,812,700
Hartford Financial Services, Inc. .................................................... 25,300 1,600,225
Lehman Brothers Holdings, Inc. ....................................................... 9,900 553,162
Morgan (J.P.) & Co., Inc. ............................................................ 12,000 1,691,250
Morgan Stanley Dean Witter & Co. ..................................................... 19,600 1,979,600
Providian Financial Corp. ............................................................ 22,800 2,787,300
------------
12,424,237
------------
FOOD & RELATED -- 1.0%
Conagra, Inc. ........................................................................ 29,600 819,550
Heinz (H.J.) Co. ..................................................................... 16,700 866,312
Quaker Oats Co. ...................................................................... 20,700 1,390,781
------------
3,076,643
------------
</TABLE>
See Notes to Financial Statements.
38
<PAGE> 41
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C> <C>
HOSPITAL MANAGEMENT -- 0.4%
United Healthcare Corp. .............................................................. 18,800 $ 1,076,300
------------
HOSPITAL SUPPLY -- 1.3%
Allergan, Inc. ....................................................................... 13,300 1,199,494
Boston Scientific Corp.**............................................................. 3,400 143,650
Johnson & Johnson Co. ................................................................ 27,700 2,569,175
------------
3,912,319
------------
INSURANCE -- 1.4%
Allstate Corp. ....................................................................... 38,600 1,483,687
Conseco, Inc. ........................................................................ 37,700 1,234,675
Equitable Companies, Inc. ............................................................ 22,400 1,512,000
------------
4,230,362
------------
MACHINERY -- 0.6%
Applied Materials, Inc.**............................................................. 12,100 734,319
Ingersoll-Rand Co..................................................................... 17,200 1,162,075
------------
1,896,394
------------
METALS & MINING -- 0.5%
Alcoa, Inc. .......................................................................... 8,000 500,000
USX-U.S. Steel Group, Inc. ........................................................... 31,300 983,994
------------
1,483,994
------------
MULTI-INDUSTRY -- 2.0%
AlliedSignal, Inc. ................................................................... 15,700 948,869
Rockwell International Corp. ......................................................... 24,800 1,559,300
Tyco International Ltd. .............................................................. 38,700 3,490,256
------------
5,998,425
------------
OIL (DOMESTIC) -- 0.2%
Sunoco, Inc. ......................................................................... 16,900 549,250
------------
OIL (INTERNATIONAL) -- 3.0%
Chevron Corp. ........................................................................ 25,800 2,442,938
Exxon Corp. .......................................................................... 50,900 4,008,375
Mobil Corp. .......................................................................... 23,900 2,345,188
------------
8,796,501
------------
PAPER & FOREST PRODUCTS -- 0.8%
Avery Dennison Corp. ................................................................. 14,500 920,750
Georgia Pacific Corp. ................................................................ 9,300 848,044
Weyerhaeuser Co. ..................................................................... 9,200 634,225
------------
2,403,019
------------
PHARMACEUTICALS -- 4.2%
Biogen, Inc.**........................................................................ 12,800 1,331,200
Bristol-Meyers Squibb Co. ............................................................ 51,800 3,470,600
Cardinal Health, Inc. ................................................................ 11,300 700,600
Merck & Co., Inc. .................................................................... 17,000 1,211,250
Pfizer, Inc. ......................................................................... 17,300 1,958,144
Schering-Plough Corp. ................................................................ 43,000 2,053,250
Warner-Lambert Co. ................................................................... 28,400 1,888,600
------------
12,613,644
------------
PRINTING & PUBLISHING -- 0.4%
McGraw-Hill Cos., Inc. ............................................................... 17,400 953,738
New York Times Co., Cl-A.............................................................. 11,000 375,375
------------
1,329,113
------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE> 42
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C> <C>
RESTAURANTS/LODGING -- 0.3%
Tricon Global Restaurants, Inc.**..................................................... 16,400 $ 988,100
------------
RETAIL -- 3.1%
Federated Department Stores, Inc.**................................................... 31,200 1,717,950
Gap, Inc. ............................................................................ 29,900 1,872,488
Home Depot, Inc. ..................................................................... 24,000 1,393,500
TJX Cos., Inc. ....................................................................... 28,200 831,900
Wal-Mart Stores, Inc. ................................................................ 77,200 3,570,500
------------
9,386,338
------------
RETAIL FOOD/DRUG -- 0.6%
Albertson's, Inc. .................................................................... 11,700 598,894
Safeway, Inc.**....................................................................... 23,200 1,162,900
------------
1,761,794
------------
SEMICONDUCTORS/INSTRUMENTATION -- 2.0%
Intel Corp. .......................................................................... 52,900 3,068,200
Motorola, Inc. ....................................................................... 13,500 1,120,500
Solectron Corp.**..................................................................... 18,400 1,002,800
Texas Instruments, Inc................................................................ 8,200 869,200
------------
6,060,700
------------
TOBACCO -- 0.7%
Philip Morris Cos., Inc. ............................................................. 49,700 1,938,300
------------
TRANSPORTATION -- 0.3%
Union Pacific Corp. .................................................................. 13,600 827,050
------------
UTILITIES -- GAS & PIPELINE -- 0.4%
Coastal Corp. ........................................................................ 31,400 1,181,425
------------
UTILITIES -- TELEPHONE -- 5.1%
Ameritech Corp. ...................................................................... 10,900 718,038
AT&T Corp. ........................................................................... 51,200 3,017,600
BellSouth Corp. ...................................................................... 70,600 3,229,950
GTE Corp. ............................................................................ 49,700 3,236,713
MCI Worldcom, Inc.**.................................................................. 56,424 4,873,623
------------
15,075,924
------------
TOTAL COMMON STOCKS (COST $129,120,911)................................................... 179,848,110
------------
CONVERTIBLE PREFERRED STOCK -- 0.1%
Sealed Air Corp. (Cost $245,177)...................................................... 4,845 293,123
------------
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL
(UNAUDITED) RATE DATE AMOUNT
--------- ------ -------- -----------
ASSET BACKED SECURITIES -- 0.8%
Chevy Chase Auto Receivables Trust, Series 1998-2,
Class A............................................ Aaa/AAA 5.91% 12/15/04 $ 935,633 937,359
Circuit City Credit Card Master Trust, Series 1995-1,
Class A............................................ Aaa/AAA 6.375% 08/15/05 1,300,000 1,315,907
------------
TOTAL ASSET BACKED SECURITIES (COST $2,245,359).......... 2,253,266
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.7%
AESOP Funding II, Series 1997-1, Class A1, 144A...... Aaa/AAA 6.22% 10/20/01 1,000,000 1,003,234
Asset Securitization Corp., Series 1997-D5, Class
A1C................................................ Aaa/AAA 6.75% 02/14/41 1,750,000 1,765,715
Commercial Mortgage Acceptance Corp., Series 1998-C1,
Class A2........................................... Aaa/AAA 6.49% 05/15/08 1,715,000 1,711,613
Credit Suisse First Boston Mortgage Securities Corp.,
Series 1998-C1, Class A1B.......................... Aaa/AAA 6.48% 05/17/08 1,800,000 1,773,693
</TABLE>
See Notes to Financial Statements.
40
<PAGE> 43
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Criimi Mae CMBS Corp., Series 1998-1, Class A1,
144A*.............................................. Aaa/AAA 5.697% 10/20/01 $ 1,800,283 $ 1,769,905
Donaldson, Lufkin, Jenrette, Commercial Mortgage
Corp., Series 1998-CG1, Class A1B.................. NR/AAA 6.41% 05/10/08 1,900,000 1,881,295
Fingerhut Master Trust, Series 1998-1, Class A....... Aaa/AAA 6.07% 02/15/05 1,300,000 1,310,082
General Growth Properties, Series 1, Class A2*....... Aaa/NR 6.602% 11/15/07 1,600,000 1,604,360
GMAC Commercial Mortgage Securities, Inc., Series
1997-C2, Class A3.................................. Aaa/AAA 6.566% 11/15/07 2,075,000 2,066,088
Lehman Brothers Commercial Conduit Mortgage Trust,
Series 1998-C1, Class A3........................... Aaa/AAA 6.48% 01/18/08 2,350,000 2,334,737
Mortgage Capital Funding, Inc., Series 1998-MC1,
Class A2........................................... NR/AAA 6.663% 01/18/08 750,000 757,391
Mortgage Capital Funding, Inc., Series 1998-MC2,
Class A2........................................... Aaa/NR 6.423% 05/18/08 1,850,000 1,837,152
Nomura Asset Securities Corp., Series 1998-D6, Class
A1B................................................ Aaa/AAA 6.59% 03/17/28 2,050,000 2,050,318
Pemex Corp., Series 144A............................. Aaa/AAA 5.72% 11/15/03 1,800,000 1,791,000
UAF Auto Grantor Trust, Series 1998-A, Class A,
144A............................................... Aaa/AAA 6.10% 05/17/04 790,681 792,657
Vendee Mortgage Trust, Series 1998-1, Class 2,
Interest Only Obligation........................... NR/NR 0.455% 09/15/27 49,855,344 861,376
Vendee Mortgage Trust, Series 1998-3, Class 1,
Interest Only Obligation........................... NR/NR 0.317% 03/15/29 51,549,026 620,508
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $26,479,012)..................................... 25,931,124
------------
CORPORATE OBLIGATIONS -- 15.5%
AON Corp. ........................................... A3/AA- 7.40% 10/01/02 1,000,000 1,033,750
Banco Latinoamericano 144A........................... Baa1/BBB 7.20% 05/28/02 1,000,000 993,750
Bear Stearns Co. .................................... A2/A 6.15% 03/02/04 1,100,000 1,084,875
BHP Finance USA Ltd. ................................ A3/A- 6.42% 03/01/26 1,600,000 1,588,000
British Sky Broadcasting............................. Baa2/BBB- 6.875% 02/23/09 1,150,000 1,119,813
Cable & Wireless Communications...................... Baa1/A- 6.375% 03/06/03 1,200,000 1,198,500
Capital One Bank..................................... Baa3/BBB- 7.00% 04/30/01 1,400,000 1,408,750
Case Credit Corp. ................................... Baa1/A- 6.125% 02/15/03 1,400,000 1,387,750
Coastal Corp. ....................................... Baa3/BBB- 8.125% 09/15/02 1,605,000 1,689,263
Consumers Energy Co. ................................ Baa3/BBB 6.20% 05/01/03 1,300,000 1,280,500
Cox Radio, Inc. ..................................... Baa2/A- 6.25% 05/15/03 1,200,000 1,194,000
Crown Cork & Seal.................................... Baa2/BBB 6.75% 12/15/03 1,050,000 1,050,000
Delphi Auto Systems Corp. ........................... Baa2/BBB 6.125% 05/01/04 1,200,000 1,186,500
Finova Capital Corp. ................................ Baa1/A- 6.625% 09/15/01 2,200,000 2,227,500
Ford Motor Credit Co. ............................... A1/A 5.75% 02/23/04 1,400,000 1,372,000
GTE Corp. ........................................... Baa1/A 9.10% 06/01/03 1,200,000 1,317,000
GMAC................................................. A2/A 6.15% 04/05/07 1,500,000 1,470,000
Hanson Overseas B.V. ................................ A3/A 7.375% 01/15/03 1,350,000 1,392,188
James River Corp. ................................... Baa2/BBB- 8.375% 11/15/01 1,250,000 1,317,188
KN Energy, Inc. ..................................... Baa2/BBB- 6.45% 03/01/03 1,000,000 1,002,500
Lehman Brothers Holdings, Inc. ...................... Baa1/A 6.625% 04/01/04 1,200,000 1,189,500
MCN Investment Corp. ................................ Baa3/BBB 6.89% 01/16/02 1,500,000 1,513,125
Nabisco, Inc. ....................................... Baa2/BBB 6.125% 02/01/03 1,500,000 1,473,750
Newcourt Credit Group 144A........................... Baa3/BBB 6.875% 02/16/05 1,200,000 1,212,000
Paine Webber Group, Inc. ............................ Baa1/BBB 7.015% 02/10/04 1,250,000 1,256,250
Praxair, Inc. ....................................... A3/BBB 6.75% 03/01/03 1,500,000 1,520,625
PSEG Capital Corp. 144A.............................. Baa2/BBB 6.74% 10/23/01 1,100,000 1,112,375
Salomon Smith Barney Holdings, Inc. ................. Aa3/A 6.25% 05/15/03 1,300,000 1,296,750
Sears Roebuck Acceptance Corp. ...................... A2/A- 6.00% 03/20/03 1,200,000 1,188,000
</TABLE>
See Notes to Financial Statements.
41
<PAGE> 44
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
RATINGS MATURITY PRINCIPAL VALUE
DESCRIPTION (UNAUDITED) RATE DATE AMOUNT (NOTE 2)
----------- ----------- ---- -------- --------- --------
<S> <C> <C> <C> <C> <C>
Service Corp. International.......................... Baa1/BBB 6.30% 03/15/03 $ 1,100,000 $ 1,072,500
Sprint Capital Corp. ................................ Baa1/BBB+ 5.70% 11/15/03 1,200,000 1,170,000
Thermo Electron Corp. ............................... Baa2/A 7.625% 10/30/08 1,200,000 1,122,000
Tyco International Group Notes....................... Baa1/A- 6.375% 06/15/05 1,200,000 1,194,000
USG Corp. ........................................... Baa3/BBB 9.25% 09/15/01 1,100,000 1,166,000
Williams Cos., Inc. ................................. Baa2/BBB- 6.125% 02/01/01 1,000,000 1,001,250
Worldcom, Inc. ...................................... Baa2/BBB 6.40% 08/15/05 1,400,000 1,387,750
------------
TOTAL CORPORATE OBLIGATIONS (COST $46,363,804)........... 46,189,702
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.8%
FHLMC Pool #533301................................... 10.50% 04/01/19 9,094 9,972
FHLMC Pool #E60891................................... 6.50% 07/01/10 2,082,145 2,092,555
FHLMC Pool #G10304................................... 6.50% 04/01/09 540,172 542,873
FNCI Pool #400028.................................... 6.50% 02/01/13 2,437,103 2,446,242
FNCL Pool #313349.................................... 10.00% 09/01/18 680,179 736,081
FNCL Pool #313644.................................... 7.00% 08/01/27 3,530,117 3,558,799
FNCL Pool #325602.................................... 6.50% 10/01/10 273,517 274,543
FNCX Pool #323191.................................... 6.50% 06/01/05 958,584 966,972
FNMA Pool #345858.................................... 6.241% 08/01/36 872,246 891,871
FNMA Pool #405210.................................... 7.00% 05/01/28 3,306,084 3,332,946
FNMA Pool #405307.................................... 6.50% 12/01/27 5,853,821 5,769,672
FNMA Pool #437420.................................... 7.00% 08/01/28 2,916,729 2,940,427
GNMA Pool #146301.................................... 10.00% 02/15/16 37,009 40,386
GNMA Pool #436800.................................... 8.00% 07/15/27 2,427,991 2,529,663
GNMA Pool #448913.................................... 8.00% 06/15/28 2,346,943 2,445,221
GNMA Pool #448958.................................... 8.00% 09/15/27 463,291 482,692
GNMA Pool #449104.................................... 8.00% 06/15/28 876,181 912,871
GNMA Pool #467788.................................... 8.00% 04/15/28 128,943 134,343
GNMA, Class C (Montibello)........................... 6.75% 06/01/39 802,000 790,652
GNSF Pool #231236.................................... 9.00% 01/15/20 114,279 122,029
GNSF Pool #258039.................................... 9.00% 01/15/20 140,359 149,877
GNSF Pool #276635.................................... 9.00% 10/15/19 172,332 184,019
GNSF Pool #278853.................................... 9.00% 11/15/19 182,382 194,750
GNSF Pool #780330.................................... 9.00% 12/15/19 661,636 706,917
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $32,325,768)..................................... 32,256,373
------------
U.S. GOVERNMENT OBLIGATIONS -- 3.1%
U.S. Treasury Strips................................. 5.343%+ 08/15/12 4,650,000 2,073,447
U.S. Treasury Strips................................. 5.66%+ 08/15/14 1,200,000 466,712
U.S. Treasury Strips................................. 5.981%+ 05/15/17 13,000,000 4,243,090
U.S. Treasury Strips................................. 5.87%+ 05/15/18 950,000 290,296
U.S. Treasury Strips................................. 6.128%+ 08/15/19 1,500,000 423,852
U.S. Treasury Strips................................. 5.408%+ 02/15/27 9,400,000 1,783,770
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $10,234,717)..................................... 9,281,167
------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE> 45
PACIFIC HORIZON ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 14, 1999 (CONCLUDED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE
DESCRIPTION SHARES (NOTE 2)
----------- ------ --------
<S> <C> <C> <C> <C> <C>
TEMPORARY INVESTMENTS -- 0.5%
Temporary Investment Cash Fund....................... 819,623 $ 819,623
Temporary Investment Fund............................ 819,623 819,623
------------
TOTAL TEMPORARY INVESTMENTS (COST $1,639,246)............ 1,639,246
------------
TOTAL INVESTMENTS -- 99.8% (COST $248,653,994)(a)........ 297,692,111
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%............ 664,057
------------
NET ASSETS -- 100.0%..................................... $298,356,168
============
</TABLE>
- --------------------------------------------------------------------------------
Percentages indicated are based on net assets of $298,356,168.
(a) Represents cost for Federal income tax and book purposes and differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $53,983,843
Unrealized depreciation..................................... (4,945,726)
-----------
Net unrealized appreciation................................. $49,038,117
===========
</TABLE>
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 3.5% of net assets.
* Private placement security.
** Non-income producing security.
+ Rate shown is the effective yield at purchase date.
FHLMC -- Federal Home Loan Mortgage Corporation.
FNCI -- Federal National Mortgage Association -- 15 Year Fixed.
FNCL -- Federal National Mortgage Association -- 30 Year Fixed.
FNCX -- Federal National Mortgage Association -- 30/7 Year Balloon.
FNMA -- Federal National Mortgage Association.
GNMA -- Government National Mortgage Association.
GNSF -- Government National Mortgage Association -- 30 Year Fixed.
Interest Only Obligation -- security pays coupon proceeds based on a notional
principal amount.
NR -- Not Rated.
See Notes to Financial Statements.
43
<PAGE> 46
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA TAX- CALIFORNIA
EXEMPT MONEY MUNICIPAL BOND CAPITAL INCOME ASSET ALLOCATION
MARKET FUND FUND FUND FUND
--------------- -------------- -------------- ----------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities at value(a).................... $1,417,936,797 $203,986,293 $349,600,194 $297,692,111
Cash..................................................... 4,048,065 2,990,183 8,135,436 --
Receivable for investment securities sold................ 46,300,000 -- 1,815,000 --
Receivable for dividends and interest.................... 12,466,287 3,227,990 2,310,948 1,432,468
Receivable for capital shares sold....................... 306 125,116 138,962 454,144
Prepaid expenses......................................... 8,642 584 1,749 1,633
-------------- ------------ ------------ ------------
Total Assets....................................... 1,480,760,097 210,330,166 362,002,289 299,580,356
-------------- ------------ ------------ ------------
LIABILITIES:
Accrued dividends payable................................ 1,580,020 356,445 -- --
Payable for investment securities purchased.............. 6,429,362 -- -- 794,712
Payable for capital shares redeemed...................... 985 1,158,875 1,330,290 259,370
Investment advisory fees payable......................... 56,096 24,310 67,267 89,067
Administration fees payable.............................. 55,939 16,325 30,092 17,081
Special management fees payable.......................... 62,634 -- -- --
Shareholder service fees payable......................... 96,267 20,286 34,760 4,817
Distribution fees payable................................ 33,972 764 2,008 3,494
Custodian and fund accounting fees payable............... 35,413 19,230 7,528 11,659
Legal fees payable....................................... 30,497 4,845 8,526 5,543
Other accrued expenses payable........................... 120,178 71,912 144,888 38,445
-------------- ------------ ------------ ------------
Total Liabilities.................................. 8,501,363 1,672,992 1,625,359 1,224,188
-------------- ------------ ------------ ------------
NET ASSETS................................................. $1,472,258,734 $208,657,174 $360,376,930 $298,356,168
============== ============ ============ ============
NET ASSETS:
Pacific Horizon Shares................................... $ 502,620,649 $ -- $ -- $ --
Horizon Service Shares................................... 636,021,586 -- -- --
A Shares................................................. -- 205,884,348 352,091,461 72,196,221
B Shares................................................. -- 2,772,826 4,396,728 10,328,437
K Shares................................................. -- -- 3,888,741 2,308,779
S Shares................................................. 296,769,613 -- -- --
SRF Shares............................................... -- -- -- 213,522,731
X Shares................................................. 36,846,886 -- -- --
-------------- ------------ ------------ ------------
Total.............................................. $1,472,258,734 $208,657,174 $360,376,930 $298,356,168
============== ============ ============ ============
Shares Outstanding ($0.001 par value, 40 billion, 200
million, 300 million, and 400 million shares authorized,
respectively):
Pacific Horizon Shares................................... 502,641,465 -- -- --
Horizon Service Shares................................... 636,060,885 -- -- --
A Shares................................................. -- 27,442,666 19,227,644 3,085,877
B Shares................................................. -- 369,363 240,659 442,903
K Shares................................................. -- -- 211,915 98,981
S Shares................................................. 296,768,918 -- -- --
SRF Shares............................................... -- -- -- 12,092,641
X Shares................................................. 36,848,784 -- -- --
-------------- ------------ ------------ ------------
Total.............................................. 1,472,320,052 27,812,029 19,680,218 15,720,402
============== ============ ============ ============
NET ASSET VALUE:
Pacific Horizon, Horizon Service, S and X Shares -- Net
asset value, offering and redemption price per share... $ 1.00 $ -- $ -- $ --
============== ============ ============ ============
A Shares -- Net asset value and redemption price per
share.................................................. -- $ 7.50 $ 18.31 $ 23.40
============== ============ ============ ============
Maximum Sales Charge (A Shares).......................... N/A 4.75% 5.75% 5.75%
Maximum Offering Price per share (A Shares) (Net Asset
Value of A Shares/(100% -- Maximum Sales Charge)).... -- $ 7.87 $ 19.43 $ 24.83
============== ============ ============ ============
B Shares -- Net asset value and offering price per
share.................................................. -- $ 7.51 $ 18.27 $ 23.32
============== ============ ============ ============
K Shares -- Net asset value, offering and redemption
price per share........................................ -- -- $ 18.35 $ 23.33
============== ============ ============ ============
SRF Shares -- Net asset value, offering and redemption
price per share........................................ -- -- -- $ 17.66
============== ============ ============ ============
COMPONENTS OF NET ASSETS
Shares of common stock, at par............................. $ 1,472,320 $ 27,812 $ 19,680 $ 15,720
Additional paid-in capital................................. 1,470,784,271 193,908,704 300,068,370 232,519,376
Undistributed net investment income........................ 61,428 291,788 1,526,775 499,348
Accumulated net realized gains (losses) on investment
transactions............................................. (59,285) 1,447,476 25,199,582 16,283,607
Net unrealized appreciation on investments................. -- 12,981,394 33,562,523 49,038,117
-------------- ------------ ------------ ------------
NET ASSETS................................................. $1,472,258,734 $208,657,174 $360,376,930 $298,356,168
============== ============ ============ ============
(a) Cost:.................................................. $1,417,936,797 $191,004,899 $316,037,671 $248,653,994
============== ============ ============ ============
</TABLE>
See Notes to Financial Statements.
44
<PAGE> 47
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 14, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE BLUE CHIP
BOND FUND FUND
------------ ------------
<S> <C> <C>
ASSETS:
Investment in Master Investment Trust, Series
I -- Investment Grade Bond Portfolio and Blue Chip
Portfolio, respectively, at value....................... $94,413,910 $903,841,465
Receivable for dividends and interest..................... 1,266 16,937
Prepaid expenses.......................................... 1,765 3,737
----------- ------------
Total Assets....................................... 94,416,941 903,862,139
----------- ------------
LIABILITIES:
Accrued dividends payable................................. 70 --
Administration fees payable............................... -- 130,009
Shareholder service fees payable.......................... 20,380 35,826
Distribution fees payable................................. 382 10,234
Custodian and fund accounting fees payable................ 2,932 2,974
Legal fees payable........................................ 2,511 15,386
Other accrued expenses payable............................ 71,207 189,406
----------- ------------
Total Liabilities.................................. 97,482 383,835
----------- ------------
NET ASSETS.................................................. $94,319,459 $903,478,304
=========== ============
NET ASSETS:
A Shares.................................................. $61,412,184 $423,307,869
B Shares.................................................. -- 21,002,239
K Shares.................................................. 469,455 15,036,443
SRF Shares................................................ 32,437,820 444,131,753
----------- ------------
Total.............................................. $94,319,459 $903,478,304
=========== ============
Shares Outstanding ($0.001 par value, 300 million and 400
million shares authorized, respectively):
A Shares.................................................. 6,466,634 11,783,668
B Shares.................................................. -- 587,200
K Shares.................................................. 49,088 421,341
SRF Shares................................................ 3,016,658 14,036,648
----------- ------------
Total.............................................. 9,532,380 26,828,857
=========== ============
NET ASSET VALUE:
A Shares -- Net asset value and redemption price per
share................................................... $ 9.50 $ 35.92
=========== ============
Maximum Sales Charge (A Shares)........................... 3.25% 5.75%
Maximum Offering Price per share (A Shares) (Net Asset
Value of A Shares/(100% -- Maximum Sales Charge))..... $ 9.82 $ 38.11
=========== ============
B Shares -- Net asset value and offering price per
share................................................... -- $ 35.77
=========== ============
K Shares -- Net asset value, offering and redemption price
per share............................................... $ 9.56 $ 35.69
=========== ============
SRF Shares -- Net asset value, offering and redemption
price per share......................................... $ 10.75 $ 31.64
=========== ============
COMPONENTS OF NET ASSETS
Shares of common stock, at par.............................. $ 9,532 $ 26,829
Additional paid-in capital.................................. 95,706,500 577,549,813
Undistributed net investment income......................... 96,311 152,026
Accumulated net realized gains (losses) on investment
transactions.............................................. (95,373) 79,295,678
Net unrealized appreciation (depreciation) on investments... (1,397,511) 246,453,958
----------- ------------
NET ASSETS.................................................. $94,319,459 $903,478,304
=========== ============
</TABLE>
See Notes to Financial Statements.
45
<PAGE> 48
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA TAX-EXEMPT
MONEY MARKET FUND
---------------------------------
FOR THE FOR THE
PERIOD ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999
---------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest.................................................. $9,731,558 $48,709,796
Dividend.................................................. -- --
---------- -----------
Total Investment Income................................... 9,731,558 48,709,796
---------- -----------
EXPENSES:
Investment advisory fees.................................. 324,031 1,548,799
Administration fees....................................... 324,031 1,548,799
Distribution fees: (B Shares)............................. -- --
(K Shares).............................. -- --
(S Shares).............................. 508,084 1,890,092
(X Shares).............................. 21,795 97,966
Shareholder service fees: (Horizon Service Shares)........ 347,837 1,702,931
(A Shares)..................... -- --
(B Shares)..................... -- --
(K Shares)..................... -- --
(SRF Shares)................... -- --
(S Shares)..................... 169,361 636,646
(X Shares)..................... 18,163 81,640
Special management fees (Pacific Horizon Shares).......... 384,603 2,037,930
Custodian and fund accounting fees........................ 63,106 187,552
Directors' fees........................................... 17,144 38,158
Legal fees................................................ 18,606 50,293
Registration fees......................................... 49,276 --
Reports to shareholders................................... 23,995 91,064
Retirement fees........................................... 47,772 8,149
Transfer agent fees....................................... -- 23,319
Other expenses............................................ 10,950 215,190
---------- -----------
Total Expenses.................................... 2,328,754 10,158,528
Less: Fee waivers and reimbursements.............. (384,798) (1,311,622)
Expenses paid by third parties.............. -- (14,087)
---------- -----------
Total Net Expenses................................ 1,943,956 8,832,819
---------- -----------
NET INVESTMENT INCOME....................................... 7,787,602 39,876,977
---------- -----------
REALIZED/UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investment transactions....... -- (3,147)
Net change in unrealized appreciation (depreciation) on
investments............................................ -- --
---------- -----------
Net realized/unrealized gain (loss) on investment
transactions........................................... -- (3,147)
---------- -----------
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $7,787,602 $39,873,830
========== ===========
</TABLE>
- --------------------------------------------------------------------------------
(a) Period from July 15, 1998 (date of initial offering).
See Notes to Financial Statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA MUNICIPAL BOND FUND CAPITAL INCOME FUND ASSET ALLOCATION FUND
-------------------------------- -------------------------------- --------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 MAY 14, 1999 FEBRUARY 28, 1999 MAY 14, 1999 FEBRUARY 28, 1999
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 2,368,082 $12,253,831 $ 1,340,151 $ 8,037,821 $ 1,540,822 $ 7,781,781
-- -- 1,910,279 7,881,972 414,333 1,978,265
----------- ----------- ----------- ----------- ----------- -----------
2,368,082 12,253,831 3,250,430 15,919,793 1,955,155 9,760,046
----------- ----------- ----------- ----------- ----------- -----------
133,037 687,688 334,975 1,740,699 244,476 1,089,007
88,691 458,461 148,878 773,648 91,679 408,379
4,058 6,593(a) 6,014 9,842(a) 11,930 10,505(a)
-- -- 6,400 24,570 3,180 11,332
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
109,512 570,875 181,958 955,581 38,031 169,809
1,353 2,198(a) 2,018 3,329(a) 3,977 3,502(a)
-- -- 2,120 8,142 1,060 3,789
-- -- -- -- 109,730 503,529
-- -- -- -- -- --
-- -- -- -- -- --
-- -- -- -- -- --
22,563 105,975 14,072 81,753 42,465 117,107
527 -- 3,228 10,677 2,761 6,278
1,826 8,420 4,504 14,151 3,705 9,080
1,162 -- 23,295 19,561 30,006 16,137
15,188 55,811 65,253 95,389 95,059 52,470
14,021 1,222 15,472 1,448 1,399 365
38,461 170,733 181,918 726,888 48,751 133,027
1,375 77,959 4,383 47,598 21,911 58,498
----------- ----------- ----------- ----------- ----------- -----------
431,774 2,145,935 994,488 4,513,276 750,120 2,592,814
(13,794) -- (17,346) (8,190) (111,809) (28,398)
-- (5,515) (44,485) -- --
----------- ----------- ----------- ----------- ----------- -----------
417,980 2,140,420 977,142 4,460,601 638,311 2,564,416
----------- ----------- ----------- ----------- ----------- -----------
1,950,102 10,113,411 2,273,288 11,459,192 1,316,844 7,195,630
----------- ----------- ----------- ----------- ----------- -----------
1,092,666 2,446,540 12,894,127 12,406,163 9,905,227 23,764,494
(3,923,357) 1,309,875 6,834,724 (8,323,165) 1,711,744 6,281,484
----------- ----------- ----------- ----------- ----------- -----------
(2,830,691) 3,756,415 19,728,851 4,082,998 11,616,971 30,045,978
----------- ----------- ----------- ----------- ----------- -----------
$ (880,589) $13,869,826 $22,002,139 $15,542,190 $12,933,815 $37,241,608
=========== =========== =========== =========== =========== ===========
</TABLE>
- --------------------------------------------------------------------------------
47
<PAGE> 50
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE BOND BLUE CHIP FUND
--------------------------------- ---------------------------------
FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 MAY 14, 1999 FEBRUARY 28, 1999
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Investment Income from Master Investment
Trust, Series I -- Investment Grade Bond
Portfolio and Blue Chip Portfolio,
respectively:
Interest...................................... $1,189,840 $ 5,370,427 $ 170,284 $ 10,071,631
Dividend...................................... -- -- 2,149,898 1,242,581
---------- ----------- ----------- ------------
1,189,840 5,370,427 2,320,182 11,314,212
Expenses...................................... (74,700) (314,701) (1,123,001) (4,774,901)
Less: Fee waivers and expense
reimbursements.............................. -- -- -- 60,782
---------- ----------- ----------- ------------
(74,700) (314,701) (1,123,001) (4,714,119)
---------- ----------- ----------- ------------
Net Investment Income from Master Investment
Trust, Series I -- Investment Grade Bond
Portfolio and Blue Chip Portfolio,
respectively:............................... 1,115,140 5,055,726 1,197,181 6,600,093
---------- ----------- ----------- ------------
EXPENSES:
Administration fees........................... 29,692 133,058 276,759 1,155,027
Distribution fees: (B Shares)................. -- -- 25,828 29,318(a)
(K Shares)................... 782 3,563 22,591 70,117
Shareholder service fees: (A Shares).......... 32,206 134,963 215,645 920,154
(B Shares)............ -- -- 8,609 9,773(a)
(K Shares)............ 261 1,191 7,530 23,412
(SRF Shares).......... 17,020 85,610 225,667 971,730
Custodian and fund accounting fees............ 7,854 30,000 5,349 29,999
Directors' fees............................... -- -- 8,706 18,171
Legal fees.................................... 148 3,244 13,682 22,717
Registration fees............................. 27,861 10,089 27,200 --
Reports to shareholders....................... 1,866 39,024 214,309 139,449
Retirement fees............................... 5,617 365 18,509 1,491
Transfer agent fees........................... 7,602 25,977 266,454 826,462
Other expenses................................ 15,917 23,935 38,249 120,588
---------- ----------- ----------- ------------
Total Expenses......................... 146,826 491,019 1,375,087 4,338,408
Less: Fee waivers and reimbursements... (14,485) (1,707) (396,283) (855,850)
---------- ----------- ----------- ------------
Total Net Expenses..................... 132,341 489,312 978,804 3,482,558
---------- ----------- ----------- ------------
Net Investment Income........................... 982,799 4,566,414 218,377 3,117,535
---------- ----------- ----------- ------------
NET REALIZED/UNREALIZED GAIN (LOSS) ON
INVESTMENTS FROM MASTER INVESTMENT TRUST,
SERIES I -- INVESTMENT GRADE BOND PORTFOLIO
AND BLUE CHIP PORTFOLIO, RESPECTIVELY:
Net realized gain (loss) on investment
transactions and futures contracts.......... (101,295) 1,017,451 53,031,501 58,970,885
Net change in unrealized appreciation
(depreciation) on investments............... (229,833) (1,825,215) 10,011,723 67,560,696
---------- ----------- ----------- ------------
Net realized/unrealized gain (loss) on
investment transactions..................... (331,128) (807,764) 63,043,224 126,531,581
---------- ----------- ----------- ------------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.................................... $ 651,671 $ 3,758,650 $63,261,601 $129,649,116
========== =========== =========== ============
</TABLE>
- --------------------------------------------------------------------------------
(a) Period from July 15, 1998 (date of initial offering) to February 28, 1999.
See Notes to Financial Statements.
48
<PAGE> 51
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
-------------------------------------------------------
FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
-------------------------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income....... $ 7,787,602 $ 39,876,977 $ 34,700,392
Net realized gain (loss) on
investment transactions... -- (3,147) (45,278)
Net change in unrealized
appreciation
(depreciation) on
investments............... -- -- --
--------------- --------------- ---------------
Net Increase (decrease) in
Net Assets from
Operations.............. 7,787,602 39,873,830 34,655,114
--------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income:
Pacific Horizon Shares.... (2,670,982) (15,175,264) (15,910,817)
Horizon Service Shares.... (3,459,068) (18,045,318) (16,451,344)
A Shares.................. -- -- --
B Shares.................. -- -- --
K Shares.................. -- -- --
S Shares.................. (1,497,038) (5,889,927) (1,319,384)(a)
SRF Shares................ -- -- --
X Shares.................. (160,425) (767,430) (1,018,847)
Net realized gains from
investment transactions:
A Shares.................. -- -- --
B Shares.................. -- -- --
K Shares.................. -- -- --
SRF Shares................ -- -- --
--------------- --------------- ---------------
Total Dividends and
Distributions to
Shareholders............ (7,787,513) (39,877,939) (34,700,392)
--------------- --------------- ---------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares
issued.................... 1,006,439,024 3,447,276,433 3,024,788,107
Dividends reinvested........ 4,544,207 29,385,958 26,426,275
Cost of shares redeemed..... (1,123,276,313) (3,333,744,304) (2,603,253,345)
--------------- --------------- ---------------
Change in net assets from
capital share
transactions............ (112,293,082) 142,918,087 447,961,037
--------------- --------------- ---------------
Change in net assets........ (112,292,993) 142,913,978 447,915,759
NET ASSETS
Beginning of Period......... 1,584,551,727 1,441,637,749 993,721,990
--------------- --------------- ---------------
End of Period............... $ 1,472,258,734 $ 1,584,551,727 $ 1,441,637,749
=============== =============== ===============
Accumulated Undistributed Net
Investment Income........... $ 61,428 $ 61,339 $ 62,301
=============== =============== ===============
<CAPTION>
CALIFORNIA MUNICIPAL BOND FUND
----------------------------------------------------
FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------------------------------------------
<S> <C> <C> <C>
FROM OPERATIONS
Net investment income....... $ 1,950,102 $ 10,113,411 10,401,567
Net realized gain (loss) on
investment transactions... 1,092,666 2,446,540 2,654,339
Net change in unrealized
appreciation
(depreciation) on
investments............... (3,923,357) 1,309,875 6,125,217
------------ ------------ ------------
Net Increase (decrease) in
Net Assets from
Operations.............. (880,589) 13,869,826 19,181,123
------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income:
Pacific Horizon Shares.... -- -- --
Horizon Service Shares.... -- -- --
A Shares.................. (1,930,219) (10,081,160) (10,401,540)
B Shares.................. (19,873) (32,256)(b) --
K Shares.................. -- -- (27)
S Shares.................. -- -- --
SRF Shares................ -- -- --
X Shares.................. -- -- --
Net realized gains from
investment transactions:
A Shares.................. -- (4,298,874) (414,788)
B Shares.................. -- (25,431)(b) --
K Shares.................. -- -- --
SRF Shares................ -- -- --
------------ ------------ ------------
Total Dividends and
Distributions to
Shareholders............ (1,950,092) (14,437,721) (10,816,355)
------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares
issued.................... 7,604,693 62,888,237 31,684,108
Dividends reinvested........ 1,001,516 9,359,233 6,597,508
Cost of shares redeemed..... (18,305,042) (64,477,863) (53,772,246)
------------ ------------ ------------
Change in net assets from
capital share
transactions............ (9,698,833) 7,769,607 (15,490,630)
------------ ------------ ------------
Change in net assets........ (12,529,514) 7,201,712 (7,125,862)
NET ASSETS
Beginning of Period......... 221,186,688 213,984,976 221,110,838
------------ ------------ ------------
End of Period............... $208,657,174 $221,186,688 $213,984,976
============ ============ ============
Accumulated Undistributed Net
Investment Income........... $ 291,788 $ 291,778 $ 291,783
============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
(a) Period from June 18, 1997 (inception date) to February 28, 1998.
(b) Period from July 15, 1998 (date of initial offering) to February 28, 1999.
(c) Period from June 23, 1997 (inception date) to February 28, 1998.
See Notes to Financial Statements.
50
<PAGE> 52
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL INCOME FUND ASSET ALLOCATION FUND
------------------------------------------------------ ------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998 MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 2,273,288 $ 11,459,192 $ 12,184,863 $ 1,316,844 $ 7,195,630 $ 4,657,471
12,894,127 12,406,163 40,172,797 9,905,227 23,764,494 16,121,025
6,834,724 (8,323,165) 15,462,278 1,711,744 6,281,484 10,917,084
------------ ------------- ------------ ------------ ------------ ------------
22,002,139 15,542,190 67,819,938 12,933,815 37,241,608 31,695,580
------------ ------------- ------------ ------------ ------------ ------------
-- -- -- -- -- --
-- -- -- -- -- --
(2,167,829) (11,927,899) (11,941,341) (352,434) (1,374,728) (948,423)
(17,532) (76,860)(b) -- (27,008) (20,292)(b) --
(21,129) (32,376) (44,897) (7,520) (25,004) (16,758)
-- -- -- -- -- --
-- -- -- (1,428,437) (5,495,494) (2,815,255)(c)
-- -- -- -- -- --
-- (4,002,223) (58,050,678) -- (4,627,382) (3,507,686)
-- (34,031)(b) -- -- (164,418)(b) --
-- (18,272) (294,934) -- (105,795) (82,265)
-- -- -- -- (17,214,123) (9,820,897)(c)
------------ ------------- ------------ ------------ ------------ ------------
(2,206,490) (16,091,661) (70,331,850) (1,815,399) (29,027,236) (17,191,284)
------------ ------------- ------------ ------------ ------------ ------------
5,784,429 74,472,445 95,805,004 11,978,133 54,174,467 208,437,645
1,975,519 14,660,424 65,580,717 1,800,599 28,787,784 16,979,819
(30,612,506) (118,820,579) (75,563,249) (13,800,789) (51,715,342) (27,709,016)
------------ ------------- ------------ ------------ ------------ ------------
)
(22,852,558 (29,687,710) 85,822,472 (22,057) 31,246,909 197,708,448
------------ ------------- ------------ ------------ ------------ ------------
(3,056,909) (30,237,181) 83,310,560 11,096,359 39,461,281 212,212,744
363,433,839 393,671,020 310,360,460 287,259,809 247,798,528 35,585,784
------------ ------------- ------------ ------------ ------------ ------------
$360,376,930 $ 363,433,839 $393,671,020 $298,356,168 $287,259,809 $247,798,528
============ ============= ============ ============ ============ ============
$ 1,526,775 $ 1,459,977 $ 2,096,055 $ 499,348 $ 1,029,034 $ 951,491
============ ============= ============ ============ ============ ============
</TABLE>
- --------------------------------------------------------------------------------
51
<PAGE> 53
PACIFIC HORIZON FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND BLUE CHIP FUND
---------------------------------------------------- ------------
FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998 MAY 14, 1999
---------------------------------------------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income................... $ 982,799 $ 4,566,414 $ 3,224,372 $ 218,377
Net realized gain (loss) on investment
transactions and futures contracts.... (101,295) 1,017,451 185,294 53,031,501
Net change in unrealized appreciation
(depreciation) on investments......... (229,833) (1,825,215) 785,462 10,011,723
----------- ------------ ------------ ------------
Net Increase in Net Assets from
Operations.......................... 651,671 3,758,650 4,195,128 63,261,601
----------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income:
A Shares.............................. (540,724) (2,957,272) (1,917,899) (2,590)
B Shares.............................. -- -- -- --
K Shares.............................. (4,041) (23,092) (19,507) --
SRF Shares............................ (255,608) (1,621,803) (1,259,022)(b) (343,248)
Net realized gains from investment
transactions:
A Shares.............................. -- (772,161) -- --
B Shares.............................. -- -- -- --
K Shares.............................. -- (5,402) -- --
SRF Shares............................ -- (352,884) -- --
----------- ------------ ------------ ------------
Total Dividends and Distributions to
Shareholders........................ (800,373) (5,732,614) (3,196,428) (345,838)
----------- ------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares issued............. 2,898,109 42,998,811 68,314,617 38,871,030
Dividends reinvested.................... 394,462 3,051,322 1,826,828 348,830
Cost of shares redeemed................. (6,172,852) (24,277,192) (16,859,701) (43,272,882)
----------- ------------ ------------ ------------
Change in net assets from capital
share transactions.................. (2,880,281) 21,772,941 53,281,744 (4,053,022)
----------- ------------ ------------ ------------
Change in net assets.................... (3,028,983) 19,798,977 54,280,444 58,862,741
NET ASSETS
Beginning of Period..................... 97,348,442 77,549,465 23,269,021 844,615,563
----------- ------------ ------------ ------------
End of Period........................... $94,319,459 $ 97,348,442 $ 77,549,465 $903,478,304
=========== ============ ============ ============
Accumulated Undistributed Net Investment
Income.................................. $ 96,311 $ -- $ 34,547 $ 152,026
=========== ============ ============ ============
Distributions in Excess of Net Investment
Income.................................. $ -- $ 86,115 $ -- $ --
=========== ============ ============ ============
<CAPTION>
BLUE CHIP FUND
---------------------------------------
FOR THE FOR THE
YEAR ENDED YEAR ENDED
FEBRUARY 28, 1999 FEBRUARY 28, 1998
---------------------------------------
<S> <C> <C>
FROM OPERATIONS
Net investment income................... $ 3,117,535 $ 3,219,113
Net realized gain (loss) on investment
transactions and futures contracts.... 58,970,885 45,222,647
Net change in unrealized appreciation
(depreciation) on investments......... 67,560,696 72,902,865
------------- ------------
Net Increase in Net Assets from
Operations.......................... 129,649,116 121,344,625
------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income:
A Shares.............................. (1,252,152) (1,127,669)
B Shares.............................. (2,615)(a) --
K Shares.............................. (198) (3,838)
SRF Shares............................ (2,302,330) (1,629,501)(b)
Net realized gains from investment
transactions:
A Shares.............................. (20,306,882) (24,949,427)
B Shares.............................. (335,964)(a) --
K Shares.............................. (573,737) (388,442)
SRF Shares............................ (23,679,815) (19,671,559)(b)
------------- ------------
Total Dividends and Distributions to
Shareholders........................ (48,453,693) (47,770,436)
------------- ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares issued............. 250,159,978 475,502,874
Dividends reinvested.................... 45,963,643 44,254,196
Cost of shares redeemed................. (198,118,661) (82,117,652)
------------- ------------
Change in net assets from capital
share transactions.................. 98,004,960 437,639,418
------------- ------------
Change in net assets.................... 179,200,383 511,213,607
NET ASSETS
Beginning of Period..................... 665,415,180 154,201,573
------------- ------------
End of Period........................... $ 844,615,563 $665,415,180
============= ============
Accumulated Undistributed Net Investment
Income.................................. $ 279,487 $ 636,250
============= ============
Distributions in Excess of Net Investment
Income.................................. $ -- $ --
============= ============
</TABLE>
- --------------------------------------------------------------------------------
(a) Period from July 15, 1998 (date of initial offering) to February 28, 1999.
(b) Period from June 23, 1997 (inception date) to February 28, 1998.
See Notes to Financial Statements.
52
<PAGE> 54
PACIFIC HORIZON FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS
PERIOD ENDED MAY 14, 1999
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Pacific Horizon Funds, Inc. (the "Company"), a Maryland corporation, is
registered under the Investment Company Act of 1940, as amended (the "Act"), as
an open-end management investment company. At May 14, 1999, the Company operated
as a series company comprised of seventeen funds. The accompanying financial
statements and notes are those of the Pacific Horizon California Tax-Exempt
Money Market Fund (the "California Tax-Exempt Fund"), the Pacific Horizon
California Municipal Bond Fund (the "California Municipal Bond Fund"), the
Pacific Horizon Capital Income Fund (the "Capital Income Fund"), the Pacific
Horizon Asset Allocation Fund (the "Asset Allocation Fund"), the Pacific Horizon
Intermediate Bond Fund (the "Intermediate Bond Fund") and the Pacific Horizon
Blue Chip Fund (the "Blue Chip Fund"), (collectively the "Funds.")
The California Tax-Exempt Fund issues four classes of shares (Pacific Horizon
Shares, Horizon Service Shares, X Shares and S Shares). The California
Tax-Exempt Fund is authorized to issue a fifth class of shares (Horizon Shares).
Pacific Horizon Shares have a Special Management Services Plan while the Horizon
Service Shares have a Shareholder Services Plan. X Shares and S Shares have a
Distribution and Services Plan.
The California Municipal Bond Fund offers A Shares and effective July 15, 1998,
the Fund began offering B Shares. A Shares have a Shareholder Services Plan and
B Shares have a Distribution and Shareholder Services Plan. B Shares of the
California Municipal Bond Fund will automatically convert into A Shares of the
Fund at the end of the month on which the eighth anniversary of the date of
purchase occurs.
The Capital Income, Asset Allocation, Intermediate Bond and Blue Chip Funds each
offer A Shares and K Shares and, effective July 15, 1998, the Capital Income,
Asset Allocation and Blue Chip Funds began offering B Shares. Additionally, the
Asset Allocation, Intermediate Bond and Blue Chip Funds offer SRF Shares. A
Shares and SRF Shares have a Shareholder Services Plan, B Shares have
Distribution and Services Plans, and K Shares have Distribution, Administrative
and Shareholder Services Plans. B Shares of the Funds will automatically convert
into A Shares of the Funds at the end of the month on which the eighth
anniversary of the date of purchase occurs.
The Funds' investment objectives are as follows:
The California Tax-Exempt Fund -- seeks to provide current income exempt from
Federal income taxes, a stable share price and daily liquidity. In addition, the
California Tax-Exempt Fund seeks to provide income that is also exempt from
California state income taxes.
The California Municipal Bond Fund -- seeks to achieve a high level of current
income exempt from Federal income tax and California State personal income tax
as well, as is consistent with prudent investment management and preservation of
capital.
The Capital Income Fund -- seeks to provide investors with a total investment
return, comprised of current income and capital appreciation, consistent with
prudent investment risk.
The Asset Allocation Fund -- seeks to obtain long term growth from capital
appreciation, dividend and interest income. The Asset Allocation Fund seeks to
achieve its objective by actively allocating investments among the three major
asset categories, bonds, equity securities and cash equivalents. Prior to June
23, 1997, the Asset Allocation Fund sought to achieve its investment objective
by investing substantially all of its assets in the Asset Allocation Portfolio
of Master Investment Trust, Series I (the "Trust"), which had the same
investment objective as that of the Asset Allocation Fund. Effective June 23,
1997, the Asset Allocation Fund withdrew its investment in the Asset Allocation
Portfolio and began investing its assets directly in securities.
The Intermediate Bond Fund -- seeks to achieve its investment objective by
investing substantially all of its assets in the Investment Grade Bond Portfolio
(the "Bond Portfolio") of the Master Investment Trust, Series I (the "Trust"),
an open-end management investment company, that has the same investment
objectives as that of the Intermediate Bond Fund. The value of the Intermediate
Bond Fund's investment in the Bond Portfolio included in the accompanying
Statements of Assets and Liabilities reflects the Intermediate Bond Fund's
proportionate beneficial interest in the net assets of the Bond Portfolio (60.6%
at May 14, 1999). The financial statements of the Bond Portfolio, including its
portfolio of investments, are included elsewhere within this report and should
be read in conjunction with the Intermediate Bond Fund's financial statements.
The Blue Chip Fund -- seeks to achieve its investment objective by investing
substantially all of its assets in the
53
<PAGE> 55
- --------------------------------------------------------------------------------
Blue Chip Portfolio of the Trust, an open-end management company that has the
same investment objective as that of the Blue Chip Fund. The value of the Blue
Chip Fund's investment in the Blue Chip Portfolio included in the accompanying
Statements of Assets and Liabilities reflects the Blue Chip Fund's proportionate
beneficial interest in the net assets of the Blue Chip Portfolio (93.0% at May
14, 1999). The financial statements of the Blue Chip Portfolio, including its
portfolio of investments, are included elsewhere within this report and should
be read in conjunction with the Blue Chip Fund's financial statements.
Adviser and Administrator
Bank of America National Trust and Savings Association ("Bank of America"), a
subsidiary of BankAmerica Corporation ("BankAmerica"), serves as investment
adviser and administrator to each of the funds.
On October 1, 1998, BankAmerica, the Advisor's and Administrator's ultimate
parent company, completed its merger with NationsBank Corporation. The combined
company operates under the name Bank of America Corporation. BankAmerica
continues to serve the Funds on substantially identical terms described in Note
3.
Bank of America has entered into an agreement with PFPC Inc. ("PFPC"), an
indirect wholly-owned subsidiary of PNC Bank Corp., pursuant to which PFPC has
agreed to provide certain sub-administration services to the Funds, including,
but not limited to, assisting in the developing and monitoring of compliance
procedures, participating in periodic updating each of the Funds' prospectuses
and statements of additional information, providing periodic reports to the
Company's Board and providing certain record-keeping services. Bank of America
bears all fees and expenses charged by PFPC for such services.
Furthermore, pursuant to authority granted in the Administration Agreement, Bank
of America has entered into an agreement with PFPC under which PFPC has agreed
to provide certain accounting, bookkeeping, pricing and dividend and
distribution calculation services for the Asset Allocation, Intermediate Bond
and Blue Chip Funds. The Asset Allocation, Intermediate Bond and Blue Chip Funds
bear all fees and expenses charged by PFPC for these services.
In addition, pursuant to authority granted in the Administration Agreement, Bank
of America has entered into an agreement with The Bank of New York ("BONY")
under which BONY has agreed to provide certain accounting, bookkeeping, pricing
and dividend and distribution calculation services for the California
Tax-Exempt, California Municipal Bond and Capital Income Funds. The California
Tax-Exempt, California Municipal Bond and Capital Income Funds bear all fees and
expenses charged by BONY for these services.
Distributor and Transfer Agent
Provident Distributors, Inc. ("PDI") serves as principal underwriter and
distributor of the Funds' shares. PFPC serves as the Funds' transfer agent and
dividend disbursing agent.
NOTE 2 -- SIGNIFICANT ACCOUNTING
POLICIES
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual results could differ from
those estimates.
Portfolio Valuations:
The securities of the California Tax-Exempt Fund are valued in accordance with
Rule 2a-7 of the Act, at amortized cost, which approximates market value. The
amortized cost method involves valuing a security at its cost on the date of
purchase and thereafter assuming a constant amortization to maturity of the
difference between principal amount due at maturity and initial cost.
The California Municipal Bond, Capital Income, and Asset Allocation Funds value
portfolio securities (other than debt securities with remaining maturities of 60
days or less) at the last reported sales price on the securities exchange on
which such securities are primarily traded or at the last reported sales price
on the NASDAQ National Securities Market. Securities not listed on an exchange
or the NASDAQ National Securities Market or securities for which there were no
transactions are valued at the mean between the current quoted bid and ask
prices on the date of valuation. Bid price is used when no ask price is
available. The California Municipal Bond, Capital Income, and Asset Allocation
Funds may also use an independent pricing service, approved by the Board of
Directors, to value certain of their securities. Such prices
54
<PAGE> 56
- --------------------------------------------------------------------------------
reflect market values which may be established through the use of electronic
data processing techniques and matrix systems. Restricted securities and
securities for which market quotations are not readily available, if any, are
valued at fair value using methods approved by the Board of Directors. Debt
securities with remaining maturities of 60 days or less are valued at amortized
cost, which approximates market value.
The valuation of securities of the Intermediate Bond and Blue Chip Funds'
investments in the respective Portfolios of the Trust is discussed in Note 2 of
the Trust's financial statements which are included elsewhere in this report.
Securities Transactions and Related Income:
The Funds record security transactions on a trade date basis. Interest income,
including accretion of discount and amortization of premium, is accrued daily.
Dividend income is recognized on the ex-dividend date. Realized gains and losses
from security transactions are recorded on an identified cost basis.
The Intermediate Bond and Blue Chip Funds' record their share of the investment
income, expenses and realized and unrealized gains and losses recorded by the
Bond and Blue Chip Portfolios on a daily basis. The investment income, expenses
and realized and unrealized gains and losses are allocated daily to investors in
the Bond and Blue Chip Portfolios based upon the value of their investments in
the Bond and Blue Chip Portfolios. Such investments are adjusted on a daily
basis.
Expenses:
The Company accounts separately for the assets, liabilities and operations of
each Fund. Direct expenses of a fund are charged to that fund while general
Company expenses are allocated among the Company's respective portfolios.
The investment income and expenses of a fund (other than class specific
expenses) and realized and unrealized gains and losses on investments of a fund
are allocated to each class of shares based upon their relative net asset value
on the date income is earned or expenses and realized and unrealized gains and
losses are incurred.
The California Tax-Exempt and California Municipal Bond Funds maintain a cash
balance with their custodian and receive a reduction of their custody fees and
expenses for the amount of interest earned on such uninvested cash balances. The
Funds could have invested such cash amounts in income producing assets if they
had not agreed to a reduction of fees or expenses under the expense offset
arrangement with their custodian.
Dividends and Distributions to Shareholders:
The California Tax-Exempt and California Municipal Bond Funds' net investment
income is declared as a dividend daily, and paid monthly, to shareholders of
record at the close of business on record date. Intermediate Bond Fund's net
investment income is declared monthly and paid within five business days after
the end of each month as a dividend to shareholders of record. The Capital
Income, Asset Allocation and Blue Chip Funds' net investment income, if any, is
declared and paid as a dividend to shareholders of record at the close of
business on record date at least quarterly. Net realized gains on portfolio
securities, if any, are distributed at least annually. However, to the extent
that net realized gains of the Funds can be offset by capital loss carryovers of
the Funds, such gains will not be distributed. The Funds record dividends and
distributions on the ex-dividend date.
The amount of dividends from net investment income and of distributions from net
realized gains are determined in accordance with Federal income tax regulations
which may differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the composition of net assets based on their federal tax-basis treatment;
temporary differences do not require reclassification. Dividends and
distributions to shareholders which exceed net investment income and net
realized capital gains for financial reporting purposes but not for tax purposes
are reported as dividends in excess of net investment income or distributions in
excess of net realized gains. To the extent they exceed net investment income
and net realized gains for tax purposes, they are reported as distributions of
capital.
As of May 14, 1999, the following reclassifications have been made to increase
(decrease) such accounts with offsetting adjustments made to paid-in capital:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED ACCUMULATED NET REALIZED
NET INVESTMENT INCOME GAIN/(LOSS) ON INVESTMENTS
------------------------- --------------------------
<S> <C> <C>
Asset Allocation Fund..... $(31,131) 31,131
</TABLE>
55
<PAGE> 57
- --------------------------------------------------------------------------------
Federal Income Taxes:
It is the Funds' policy to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute timely, all
of its net investment company taxable income and net capital gains to
shareholders. Therefore, no Federal income tax provision is required.
At May 14, 1999, the California Tax-Exempt Fund had the following capital loss
carryovers:
<TABLE>
<CAPTION>
CAPITAL LOSS EXPIRATION
FUND CARRYOVER DATE
---- ------------ ----------
<S> <C> <C>
California Tax-Exempt Fund....................... $ 4,266 2004
51,872 2006
349 2007
-------
$56,487
=======
</TABLE>
To the extent that these loss carryovers are used to offset future capital
gains, it is probable that the gains so offset will not be distributed to
shareholders.
Capital losses incurred after October 31 for the Funds are deemed to arise on
the first business day of the following fiscal year for tax purposes. The
California Tax-Exempt Fund has incurred and elected to defer capital losses of
$2,798 after October 31, 1998.
NOTE 3 -- AGREEMENTS AND OTHER
TRANSACTIONS WITH AFFILIATES
The California Tax-Exempt Fund has an Investment Advisory Agreement and an
Administration Agreement with Bank of America. Bank of America is entitled to an
Advisory fee from the California Tax Exempt Fund, which is accrued daily and
payable monthly, at an annual rate of 0.10% of the California Tax Exempt Fund's
first $3 billion of net assets, plus 0.09% of the California Tax Exempt Fund's
next $2 billion of net assets, plus 0.08% of the California Tax Exempt Fund's
net assets in excess of $5 billion. The Administration Agreement entitles Bank
of America to fees from the California Tax Exempt Fund for administrative
services performed, which are accrued daily and payable monthly, at an annual
rate of 0.10% of the California Tax Exempt Fund's first $7 billion of net
assets, plus 0.09% of the California Tax Exempt Fund's next $3 billion of net
assets, plus 0.08% of the California Tax Exempt Fund's net assets in excess of
$10 billion. For the period ended May 14, 1999, the California Tax-Exempt Fund
was advised that Bank of America and its affiliates earned $324,031 pursuant to
the Administrative Agreement.
The California Tax-Exempt Fund has adopted a Special Management Services Plan
(the "Services Plan") pursuant to which Service Organizations agree to provide
certain services to their clients who are beneficial owners of Pacific Horizon
Shares in return for a payment by the Fund of a fee at an annual rate of 0.35%
of the average daily net assets of the outstanding Pacific Horizon Shares.
Currently, the California Tax-Exempt Fund is waiving 0.03% in special management
fees. Fees under the Services Plan are borne solely by the Pacific Horizon
Shares. Service Organizations may include Bank of America and its affiliates and
PDI. Bank of America and PDI waived $32,966, in special management fees for the
California Tax-Exempt Fund. For the period ended May 14, 1999, the California
Tax Exempt Fund was advised that Bank of America and its affiliates earned
$279,832, while PDI earned $70,929, pursuant to the Services Agreement and
Services Plan.
The California Tax-Exempt Fund has also adopted a Shareholder Services Plan (the
"Horizon Services Plan") pursuant to which Service Organizations agree to
provide certain services to their clients who are beneficial owners of Horizon
Service Shares in return for payment by the California Tax Exempt Fund of a fee
at an annual rate of 0.25% of the average daily net assets of the Fund's Horizon
Service Shares. Fees under the Horizon Services Plan are borne solely by the
Horizon Service Shares. For the period ended May 14, 1999, the California Tax-
Exempt Fund was advised that Bank of America and its affiliates earned $340,017
pursuant to the Horizon Services Plan.
The California Tax-Exempt Fund has adopted the Distribution and Services Plan
under which the Fund pays PDI and Service Organizations for the provision of
support services with respect to the beneficial owners of X Shares. Payments for
distribution expenses and shareholder servicing expenses may not exceed the
annual rate of 0.30% and 0.25%, respectively, of the average daily net assets of
the Fund's X Shares. For the period ended May 14, 1999, the Funds were advised
that Bank of America and its affiliates earned $39,958 pursuant to the
Distribution and Services Plan.
The California Tax-Exempt Fund has adopted the Distribution and Services Plan
under which the Fund pays the Distributor and Service Organizations for the
provision of support services with respect to the beneficial owners of S Shares.
Payments for the distribution expenses and shareholder servicing expenses may
not exceed the annual rate of 0.75% and 0.25%, respectively, of the average
daily
56
<PAGE> 58
- --------------------------------------------------------------------------------
net assets of the Fund's S Shares. For the period ended May 14, 1999, the Fund
was advised that Bank of America and it Affiliates waived $304,850 for the
California Tax-Exempt Fund. For the same period, the California Tax-Exempt Fund
was advised that Bank of America and its affiliates earned $372,062 pursuant to
the Distribution and Services Plan.
The California Municipal Bond, Capital Income and Asset Allocation Funds have an
Investment Advisory Agreement and an Administration Agreement with Bank of
America. Pursuant to the terms of the Investment Advisory Agreement, Bank of
America is entitled to a fee from the California Municipal Bond, Capital Income
and Asset Allocation Funds, which is accrued daily and payable monthly, at an
annual rate of 0.30%, 0.45% and 0.40%, respectively, of each of the Funds'
average daily net assets. Pursuant to the terms of the Administration Agreement,
Bank of America is entitled to a fee which is accrued daily and payable monthly,
at an annual rate of 0.20%, 0.20%, 0.15%, 0.15% and 0.15% of the average daily
net assets of the California Municipal Bond, Capital Income, Asset Allocation,
Intermediate Bond and Blue Chip Funds, respectively. For the period ended May
14, 1999, Bank of America waived $13,180 and $144,924 of its fees as
Administrator for the Asset Allocation and Blue Chip Funds, respectively.
For the period ended May 14, 1999, PDI advised the Funds that it retained
$1,464, $8,253, $9,144, $294, and $41,462 from commissions earned on sales of
the California Municipal Bond, Capital Income, Asset Allocation, Intermediate
Bond and Blue Chip Funds shares, respectively. For the same period, Bank of
America and its affiliates advised the Funds that they retained $14,221,
$22,500, $59,155, $1,414 and $260,926 from commissions earned on sales of shares
of the California Municipal Bond, Capital Income, Asset Allocation, Intermediate
Bond and Blue Chip Funds, respectively.
The California Municipal Bond, Capital Income, Asset Allocation, Intermediate
Bond and Blue Chip Funds have a Shareholder Services Plan (the "Plan") under
which each pays PDI for shareholder servicing expenses incurred in connection
with A Shares of each Fund. Under the Plan, payments for shareholder servicing
expenses may not exceed 0.25% of each Fund's average daily net assets for A
Shares. For the period ended May 14, 1999, the California Municipal Bond,
Capital Income, Asset Allocation, Intermediate Bond and Blue Chip Funds incurred
charges of $109,512, $181,958, $38,031, $32,206 and $215,645, respectively,
pursuant to the Plan. The Funds were advised that of these amounts, PDI retained
$32,577, $4,697, $472, $1,002 and $5,528, from the California Municipal Bond,
Capital Income, Asset Allocation, Intermediate Bond and Blue Chip Funds,
respectively, and affiliates of Bank of America retained $65,830, $142,711,
$30,435, $30,225 and $183,413, respectively. The Plan provides that if, in any
month, the fees paid to PDI are less than the costs incurred by PDI, the excess
costs will be included in future computations of the fee, provided that any
excess costs will not be carried forward beyond the end of the fiscal period in
which such excess costs were incurred.
The California Municipal Bond, Capital Income, Asset Allocation, and Blue Chip
Funds have adopted a Distribution and Services Plan pursuant to Rule 12b-1 under
the 1940 Act, under which the B Shares of the California Municipal Bond, Capital
Income, Asset Allocation, and Blue Chip Funds pay Bank of America for costs
incurred in connection with distribution of the B Shares and for shareholder
servicing fees to Service Organizations. Payments for distribution expenses and
shareholder servicing expenses may not exceed the annual rate of 0.75% and
0.25%, respectively, of the average daily net assets of each of the Funds' B
Shares. For the period ended May 14, 1999, the California Municipal Bond,
Capital Income, Asset Allocation, and Blue Chip Funds incurred charges of
$5,411, $8,032, $15,907 and $34,437, respectively, pursuant to the Plan. The
Funds were advised that of these amounts, affiliates of Bank of America retained
$5,411, $8,032, $15,907 and $34,437 from the California Municipal Bond, Capital
Income, Asset Allocation, and Blue Chip Funds, respectively.
The Capital Income, Asset Allocation, Intermediate Bond and Blue Chip Funds have
adopted a Distribution Plan and an Administrative and Shareholder Services Plan
(the "Administrative Plan") with respect to K Shares of the Funds. Under the
Distribution Plan, the Funds paid PDI for expenses primarily intended to result
in the sale of the Funds' K Shares. Under the Distribution Plan, payments by the
Funds for distribution expenses may not exceed 0.75% of the average daily net
assets of each Fund's K Shares. Payments for distribution expenses under the
Distribution Plan are subject to Rule 12b-1 under the Act. For the period ended
May 14, 1999, the Capital Income, Asset Allocation, Intermediate Bond and Blue
Chip Funds incurred charges of $8,520, $4,240, $1,043 and $30,121, respectively,
pursuant to the Distribution and Administrative Plan. The Capital Income Fund
was advised that of these amounts, PDI retained
57
<PAGE> 59
- --------------------------------------------------------------------------------
$188 and affiliates of Bank of America retained $292. For the same period,
$2,133, $1,060, $261 and $7,530 of distribution fees were waived by PDI for the
Capital Income, Asset Allocation, Intermediate Bond and Blue Chip Funds,
respectively. Under the Administrative Plan, the Funds pay for expenses incurred
in connection with shareholder services provided by PDI and payments to Service
Organizations for the provision of support services with respect to beneficial
owners of K Shares. Under the Administrative Plan, payments for shareholder
services and administrative services may not exceed 0.25% and 0.75%,
respectively, of the average daily net assets of each of the Funds' K Shares.
The total of all payments under the Distribution Plan and the Administrative
Plan may not exceed, in the aggregate, the annual rate of 1.00% of the average
daily net assets of each of the Fund's K Shares.
The Asset Allocation, Intermediate Bond and Blue Chip Funds have a Shareholder
Services Plan under which the Funds pay PDI for shareholder servicing expenses
incurred in connection with the SRF shares. Under the Plan, payments for
shareholder servicing expenses may not exceed 0.25% of each of the Funds'
average daily net assets for SRF Shares. For the period ended May 14, 1999, the
Asset Allocation, Intermediate Bond and Blue Chip Funds incurred charges of
$109,730, $17,020 and $225,667, pursuant to the Plan. The Asset Allocation and
Intermediate Bond Funds were advised that of this amount the affiliates of Bank
of America retained $13,486 and $7,692, respectively. For the same period Bank
of America waived $96,244, $8,682 and $225,667 of shareholder servicing fees for
the Asset Allocation, Intermediate Bond and Blue Chip Funds, respectively.
For the period ended May 14, 1999, PFPC earned $38,461, $181,918, $48,751,
$7,602 and $266,454 from the California Municipal Bond, Capital Income, Asset
Allocation, Intermediate Bond and Blue Chip Funds, respectively, for transfer
agency and dividend disbursing agency services performed.
A partner of Drinker Biddle & Reath LLP ("DBR") serves as Secretary of the
Company. Legal fees earned by DBR are stated in the statement of operations for
each fund.
Certain officers of the Company are affiliated with PFPC. Such persons are not
paid directly by the Company for serving in these capacities.
NOTE 4 -- DIRECTORS' COMPENSATION
Each Director of the Company is entitled to an annual retainer of $60,000, plus
$1,000 for each day the director participates in all or part of a Board or
Committee meeting, and the Chairman of each Committee receives a retainer of
$1,000 for services as Chairman of the Committee. In addition, the Company's
President is entitled to an annual salary of $40,000 for services as President.
The Board has also established a retirement plan (the "Retirement Plan") for the
Directors. The Retirement Plan provides that each Director who dies or resigns
after five years of service as a director will be entitled to receive ten annual
payments each equal to the greater of: (i) 50% of the annual Director's retainer
that was payable during the year of that director's death or resignation, or
(ii) 50% of the annual Director's retainer then in effect for Directors of the
Company during the year of such payment. A director will receive an additional
10% of their annual Director's retainer for each year of service between years
six and nine, plus one half of the difference between 100% and the director's
applicable percentage. A Director who dies or resigns after ten years of service
as a director will be entitled to receive ten annual payments equal to the
greater of: (i) 100% of the annual Director's retainer that was payable during
the year of that Director's death or resignation, or (ii) 100% of the annual
Director's retainer then in effect for Directors of the Company during the year
of such payment. In addition, the amount payable each year to a Director who
dies or resigns shall be increased by $1,000 for each year of service that the
Director served as Chairman of the Board. Each Director may receive any benefits
payable under the Retirement Plan, at his or her election, either in one lump
sum payment or ten annual installments. A Director's years of service for the
purpose of calculating the payments described above shall be based upon service
as a Director after February 28, 1994; however, a director in office on March
18, 1998 who either resigns in good standing or dies before completing five
years of service as a director should be assigned an Applicable Percentage of 50
percent. Aggregate costs pursuant to the Retirement Plan amounted to $47,772,
$14,021, $15,472, $1,399, $5,617 and $18,509 for the California Tax-Exempt,
California Municipal Bond, Capital Income, Asset Allocation, Intermediate Bond
and Blue Chip Funds, respectively, for the period ended May 14, 1999 which
settled all of the Funds' obligations under the Retirement Plan. For the same
period, NationsBank reimbursed $46,982, $13,794, $15,213, $1,325, $5,542 and
$18,162, of aggregate costs
58
<PAGE> 60
- --------------------------------------------------------------------------------
pursuant to the Retirement Plan for the California Tax-Exempt, California
Municipal Bond, Capital Income, Asset Allocation, Intermediate Bond and Blue
Chip Funds, respectively.
NOTE 5 -- SECURITIES TRANSACTIONS
Purchases and sales of securities, other than short-term obligations, during the
period ended May 14, 1999, were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER SECURITIES
--------------------------- -------------------------
PURCHASES SALES PURCHASES SALES
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
California Municipal
Bond................. $ -- $ -- $ 1,500,000 $13,653,520
Capital Income........ $ -- $ -- $55,978,617 $86,021,958
Asset Allocation...... $16,158,719 $11,548,778 $43,761,844 $46,803,667
</TABLE>
NOTE 6 -- CONCENTRATION OF CREDIT RISK
The California Tax-Exempt and the California Municipal Bond Funds invest
substantially all of their assets in a nondiversified portfolio of tax-exempt
debt obligations primarily consisting of issuers in the State of California. The
issuers' abilities to meet their obligations may be affected by economic,
regional or political developments.
The California Tax-Exempt and California Municipal Bond Funds had the following
concentrations by industry sector at May 14, 1999 (as a percentage of total
investments):
<TABLE>
<CAPTION>
CALIFORNIA
TAX-EXEMPT CALIFORNIA MUNICIPAL
MONEY MARKET FUND BOND FUND
--------------------- --------------------
<S> <C> <C>
Airport Facilities............ 1.1% 6.9%
Certificates of
Participation................ 1.3 6.6
Commercial Paper.............. 16.5 --
Convention, Sports &
Exhibition Centers........... 1.2 --
Education..................... 5.9 2.1
General Obligations........... 5.4 1.2
Healthcare.................... 5.6 5.1
Housing Developments.......... 17.1 7.8
Industrial Development
Revenue...................... 1.4 1.2
Leases........................ 0.6 6.1
Municipal Notes & Bonds....... 5.7 1.3
Pollution Control............. 7.7 8.6
Power Projects................ 2.4 2.1
Public Facilities............. -- 6.2
Revenue....................... 14.6 33.7
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA
TAX-EXEMPT CALIFORNIA MUNICIPAL
MONEY MARKET FUND BOND FUND
--------------------- --------------------
<S> <C> <C>
Sewer Projects................ 2.0 --
Special Tax................... 5.0 --
Transportation................ 4.5 1.9
Utilities..................... 0.7 1.6
Water Projects................ 1.3 7.6
----- -----
100.0% 100.0%
===== =====
</TABLE>
NOTE 7 -- CAPITAL SHARE TRANSACTIONS
The Funds' transactions in shares of common stock are summarized below:
<TABLE>
<CAPTION>
CALIFORNIA TAX-EXEMPT
MONEY MARKET FUND(a)
----------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28,
1999 1999 1998
------------ ------------ ------------
<S> <C> <C> <C>
PACIFIC HORIZON SHARES
Issued................... 484,932,428 1,025,796,118 924,399,780
Reinvested............... 2,091,734 15,042,302 15,765,764
Redeemed................. (523,636,381) (1,099,334,988) (835,476,867)
------------ -------------- --------------
Net (decrease)............ (36,612,219) (58,496,568) 104,688,677
============ ============== ==============
HORIZON SERVICE SHARES
Issued................... 360,556,907 1,819,930,900 1,844,862,775
Reinvested............... 1,134,199 7,687,183 8,320,478
Redeemed................. (434,616,904) (1,790,234,139) (1,653,155,809)
------------ -------------- --------------
Net increase/(decrease)... (72,925,798) 37,383,944 200,027,444
============ ============== ==============
X SHARES
Issued................... 15,917,679 84,751,490 62,397,815
Reinvested............... 124,667 767,398 1,019,371
Redeemed................. (16,521,085) (78,903,271) (61,802,419)
------------ -------------- --------------
Net increase/(decrease)... (478,739) 6,615,617 1,614,767
============ ============== ==============
S SHARES
Issued................... 145,032,010 516,797,925 193,127,737
Reinvested............... 1,193,607 5,889,075 1,320,662
Redeemed................. (148,501,943) (365,271,906) (52,818,250)
------------ -------------- --------------
Net increase/(decrease)... (2,276,326) 157,415,094 141,630,149(b)
============ ============== ==============
</TABLE>
- ------------------------------------------------------------
(a) Transactions in shares (at $1.00 per share).
(b) Period from July 8, 1997 (inception date) to February 28, 1998.
59
<PAGE> 61
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CALIFORNIA MUNICIPAL BOND FUND
----------------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------- ------------------ -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ -------- ------- -------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
A SHARES (000's)
Issued.............. 904 $ 6,861 7,925 $60,153 4,291 $ 31,684
Reinvested.......... 130 989 1,220 9,312 885 6,597
Redeemed............ (2,361) (17,923) (8,401) (64,141) (7,234) (53,771)
------ -------- ------ ------- ------ --------
Net increase/
(decrease).......... (1,327) $(10,073) 744 $ 5,324 (2,058) $(15,490)
====== ======== ====== ======= ====== ========
B SHARES (000's)(d)
Issued.............. 98 $ 744 358 $ 2,735 -- $ --
Reinvested.......... 2 12 6 47 -- --
Redeemed............ (50) (381) (44) (336) -- --
------ -------- ------ ------- ------ --------
Net increase......... 50 $ 375 320 $ 2,446 -- $ --
====== ======== ====== ======= ====== ========
K SHARES(c)
Issued.............. -- $ -- -- $ -- -- $ --
Reinvested.......... -- -- -- -- 4 31
Redeemed............ -- -- -- -- (146) (1,094)
------ -------- ------ ------- ------ --------
Net increase/
(decrease).......... -- $ -- -- $ -- (142) $ (1,063)
====== ======== ====== ======= ====== ========
</TABLE>
- ------------------------------------------------------------
(c) During the fiscal year ended February 28, 1998 the Funds' former
administrator redeemed 146 shares, of K Shares of California Municipal Bond
Fund valued at $1,094, which resulted in a complete liquidation of this
class of shares.
(d) Period from July 15, 1998 (date of initial offering) to February 28, 1999.
<TABLE>
<CAPTION>
CAPITAL INCOME
----------------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------- ------------------ -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ -------- ------ --------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
A SHARES (000's)
Issued.............. 249 $ 4,450 3,936 $ 68,014 5,211 $ 94,279
Reinvested.......... 110 1,937 867 14,499 3,816 65,240
Redeemed............ (1,666) (29,719) (6,909) (116,880) (4,209) (75,226)
------ -------- ------ --------- ------ --------
Net (decrease)....... (1,307) $(23,332) (2,106) $ (34,367) 4,818 $ 84,293
====== ======== ====== ========= ====== ========
B SHARES (000's)(d)
Issued.............. 52 $ 918 220 $ 3,707 -- $ --
Reinvested.......... 1 17 3 50 -- --
Redeemed............ (6) (113) (29) (488) -- --
------ -------- ------ --------- ------ --------
Net increase/
(decrease).......... 47 $ 822 194 $ 3,269 -- $ --
====== ======== ====== ========= ====== ========
K SHARES (000's)
Issued.............. 23 $ 417 162 $ 2,751 84 $ 1,526
Reinvested.......... 1 21 7 111 20 341
Redeemed............ (43) (781) (85) (1,453) (18) (337)
------ -------- ------ --------- ------ --------
Net increase/
decrease............ (19) $ (343) 84 $ 1,409 86 $ 1,530
====== ======== ====== ========= ====== ========
</TABLE>
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
--------------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
---------------- ----------------- -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
A SHARES (000's)
Issued.............. 129 $ 3,015 1,494 $ 32,957 734 $ 14,942
Reinvested.......... 15 338 265 5,769 211 4,243
Redeemed............ (261) (6,117) (856) (18,891) (441) (8,989)
---- ------- ------ -------- ------ --------
Net increase/
(decrease).......... (117) $(2,764) 903 $ 19,835 504 $ 10,196
==== ======= ====== ======== ====== ========
B SHARES (000's)(d)
Issued.............. 199 $ 4,627 246 $ 5,456 -- $ --
Reinvested.......... 1 27 8 183 -- --
Redeemed............ (6) (130) (6) (139) -- --
---- ------- ------ -------- ------ --------
Net increase......... 194 $ 4,524 248 $ 5,500 -- $ --
==== ======= ====== ======== ====== ========
K SHARES (000's)
Issued.............. 26 $ 611 48 $ 1,051 58 $ 1,194
Reinvested.......... -- 8 6 131 5 99
Redeemed............ (7) (176) (52) (1,161) (24) (485)
---- ------- ------ -------- ------ --------
Net increase......... 19 $ 443 2 $ 21 39 $ 808
==== ======= ====== ======== ====== ========
SRF SHARES (000's)
Issued.............. 211 $ 3,725 860 $ 14,710 12,164 $192,302
Reinvested.......... 82 1,428 1,370 22,704 797 12,637
Redeemed............ (418) (7,377) (1,854) (31,524) (1,120) (18,235)
---- ------- ------ -------- ------ --------
Net increase/
(decrease).......... (125) $(2,224) 376 $ 5,890 11,841(e) $186,704(e)
==== ======= ====== ======== ====== ========
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
--------------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
---------------- ----------------- -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ ------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
A SHARES (000's)
Issued.............. 229 $ 2,188 3,819 $ 37,589 3,051 $ 29,325
Reinvested.......... 14 135 108 1,049 52 496
Redeemed............ (437) (4,195) (1,588) (15,485) (1,184) (11,407)
---- ------- ------ -------- ------ --------
Net increase/
(decrease).......... (194) $(1,872) 2,339 $ 23,153 1,919 $ 18,414
==== ======= ====== ======== ====== ========
K SHARES (000's)
Issued.............. 5 $ 44 25 $ 246 34 $ 329
Reinvested.......... -- 4 3 28 2 18
Redeemed............ (8) (72) (29) (285) (18) (174)
---- ------- ------ -------- ------ --------
Net (decrease)....... (3) $ (24) (1) $ (11) 18 $ 173
==== ======= ====== ======== ====== ========
SRF SHARES (000's)
Issued.............. 61 $ 666 469 $ 5,164 3,617 $ 38,661
Reinvested.......... 24 256 180 1,974 104 1,313
Redeemed............ (175) (1,905) (776) (8,507) (487) (5,279)
---- ------- ------ -------- ------ --------
Net increase/
(decrease).......... (90) $ (983) (127) $ (1,369) 3,234(e) $ 34,695(e)
==== ======= ====== ======== ====== ========
</TABLE>
60
<PAGE> 62
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BLUE CHIP FUND
----------------------------------------------------------
PERIOD ENDED YEAR ENDED YEAR ENDED
MAY 14, 1999 FEBRUARY 28, 1999 FEBRUARY 28, 1998
----------------- ------------------ -----------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
------ -------- ------ --------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
A SHARES (000's)
Issued.............. 520 $ 18,417 5,779 $ 181,139 4,831 $131,727
Reinvested.......... -- 6 625 19,069 835 22,562
Redeemed............ (721) (25,590) (4,060) (125,766) (2,082) (56,813)
---- -------- ------ --------- ------ --------
Net increase/
(decrease).......... (201) $ (7,167) 2,344 $ 74,442 3,584 $ 97,476
==== ======== ====== ========= ====== ========
B SHARES (000's)(d)
Issued.............. 210 $ 7,461 390 $ 12,295 -- $ --
Reinvested.......... -- -- 11 336 -- --
Redeemed............ (9) (311) (15) (480) -- --
---- -------- ------ --------- ------ --------
Net increase......... 201 $ 7,150 386 $ 12,151 -- $ --
==== ======== ====== ========= ====== ========
K SHARES (000's)
Issued.............. 58 $ 2,048 277 $ 8,600 186 $ 5,146
Reinvested.......... -- -- 19 577 15 392
Redeemed............ (37) (1,319) (126) (4,046) (29) (785)
---- -------- ------ --------- ------ --------
Net increase......... 21 $ 729 170 $ 5,131 172 $ 4,753
==== ======== ====== ========= ====== ========
SRF SHARES (000's)
Issued.............. 350 $ 10,944 1,723 $ 48,126 14,066 $338,628
Reinvested.......... 11 343 964 25,981 875 21,300
Redeemed............ (513) (16,053) (2,459) (67,827) (981) (24,519)
---- -------- ------ --------- ------ --------
Net increase/
(decrease).......... (152) $ (4,766) 228 $ 6,280 13,960(e) $335,409(e)
==== ======== ====== ========= ====== ========
</TABLE>
- ------------------------------------------------------------
(d) Period from July 15, 1998 (date of initial offering) to February 28, 1999.
(e) Period from June 23, 1997 (inception date) to February 28, 1998.
NOTE 8 -- REORGANIZATION
The Board of Directors of the Company has approved Agreements and Plan of
Reorganization ("Agreements") between the Company and Nations Institutional
Reserves. The Agreements, which are part of a broader reorganization of Pacific
Horizon Funds, Inc., into the Nations family of Funds, provide for the transfer
of all of the assets of the Pacific Horizon California Tax-Exempt Money Market,
California Municipal Bond, Capital Income, Asset Allocation, Intermediate Bond
and Blue Chip Funds to the Nations California Tax-Exempt Reserves, California
Municipal Bond, Capital Income, Asset Allocation, Intermediate Bond and Blue
Chip Funds, respectively, in exchange solely for the following shares at the
same net asset value:
<TABLE>
<CAPTION>
PACIFIC HORIZON
FUNDS/ SHARE CLASS NATIONS INSTITUTIONAL RESERVES/SHARE CLASS
------------------ ------------------------------------------
<S> <C>
California Tax-Exempt Nations California Tax-Exempt
Money Market Reserves
Horizon Service Shares Advisor Shares
Pacific Horizon Shares Investor Shares
S Shares Daily Shares
X Shares Daily Shares
California Municipal Bond Nations California Municipal Bond
A Shares Investor A Shares
B Shares Investor B Shares
Capital Income Nations Capital Income
A Shares Investor A Shares
B Shares Investor B Shares
K Shares Investor C Shares
Asset Allocation Nations Asset Allocation
A Shares Investor A Shares
B Shares Investor B Shares
K Shares Investor C Shares
SRF Shares Seafirst Shares
Intermediate Bond Nations Intermediate Bond
A Shares Investor A Shares
K Shares Investor C Shares
SRF Shares Seafirst Shares
Blue Chip Nations Blue Chip
A Shares Investor A Shares
B Shares Investor B Shares
K Shares Investor C Shares
SRF Shares Seafirst Shares
</TABLE>
The Agreements also provided for the assumption by the Nations California
Tax-Exempt Reserves, California Municipal Bond, Capital Income, Asset
Allocation, Intermediate Bond and Blue Chip Funds of all of the liabilities of
each of these Funds. The Agreements were approved on May 4, 1999, by the vote of
a majority of outstanding interests of outstanding shares of each of the Funds.
The transfer of shares was completed as of the close of business of the New York
Stock Exchange on May 21, 1999 when the reorganization became effective.
61
<PAGE> 63
PACIFIC HORIZON FUNDS, INC.
- --------------------------------------------------------------------------------
RESULTS (UNAUDITED) OF SPECIAL MEETING OF SHAREHOLDERS
CONVENED ON APRIL 12, 1999
RECONVENED ON APRIL 19, 1999 AND MAY 3, 1999
RECONVENED AND ADJOURNED ON MAY 4, 1999
A Special Meeting of Shareholders of Pacific Horizon Funds, Inc. (the "Company")
was convened on April 12, 1999, reconvened on April 19, 1999 and May 3, 1999,
and reconvened and adjourned on May 4, 1999. The Funds of the Company are:
Aggressive Growth Fund, Asset Allocation Fund, Blue Chip Fund, California
Municipal Bond Fund (formerly California Tax-Exempt Bond Fund), California
Tax-Exempt Money Market Fund, Capital Income Fund, Flexible Income Fund
(formerly Corporate Bond Fund), Government Fund, Intermediate Bond Fund,
International Equity Fund, National Municipal Bond Fund, Prime Fund, Short-Term
Government Fund, Tax-Exempt Money Fund, Treasury Fund, Treasury Only Fund, and
U.S. Government Securities Fund. The Special Meeting was held in order to vote
on the following proposal:
PROPOSAL (UNAUDITED)
TO APPROVE A PROPOSED AGREEMENT AND PLAN OF REORGANIZATION DATED AS OF
FEBRUARY 8, 1999 (THE "REORGANIZATION AGREEMENT") BY AND BETWEEN PACIFIC
HORIZON AND NATIONS FUND, INC. ("NATIONS"), WHICH PROVIDES FOR (a) THE
TRANSFER OF THE ASSETS AND LIABILITIES OF EACH PACIFIC HORIZON FUND TO A
CORRESPONDING FUND OF NATIONS IN EXCHANGE FOR SHARES OF DESIGNATED CLASSES
OF THE CORRESPONDING NATIONS FUND OF EQUAL VALUE; (b) THE DISTRIBUTION OF
THE SHARES OF DESIGNATED CLASSES OF THE CORRESPONDING NATIONS FUND TO
SHAREHOLDERS OF EACH PACIFIC HORIZON FUND; (c) THE TRANSFER OF ASSETS AND
LIABILITIES OF PACIFIC HORIZON; AND (d) THE DISSOLUTION UNDER STATE LAW AND
THE DEREGISTRATION UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, OF
PACIFIC HORIZON.
At the adjournment of the special meeting on May 4, 1999, the voting results for
the proposal were as follows for the California Tax-Exempt Money Market,
California Municipal Bond, Asset Allocation, Blue Chip, Capital Income and
Intermediate Bond Funds:
PACIFIC HORIZON CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
1,636,105,079 891,529,680 847,463,844 8,351,353 35,714,483 Pass
</TABLE>
PACIFIC HORIZON CALIFORNIA MUNICIPAL BOND FUND (FORMERLY CALIFORNIA TAX-EXEMPT
BOND FUND)
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
29,156,380 18,077,041 16,098,006 867,521 1,111,513 Pass
</TABLE>
PACIFIC HORIZON ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
15,824,288 9,701,630 8,398,482 387,602 915,543 Pass
</TABLE>
PACIFIC HORIZON BLUE CHIP FUND
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
26,881,450 15,731,020 13,805,392 756,306 1,169,320 Pass
</TABLE>
62
<PAGE> 64
PACIFIC HORIZON CAPITAL INCOME FUND
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
21,591,111 12,051,580 10,855,984 396,879 798,716 Pass
</TABLE>
PACIFIC HORIZON INTERMEDIATE BOND FUND
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
- ------------ ------------ ----------- --------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
9,934,853 7,341,618 7,081,212 76,442 183,963 Pass
</TABLE>
63
<PAGE> 65
PACIFIC HORIZON
CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(a) 1998 1997 1996 1995
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PACIFIC HORIZON SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD............ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from Investment
Operations:
Net investment income.......... 0.0100 0.0261 0.0302 0.0284 0.0324 0.0249
Net realized gains/(losses) on
investment transactions...... -- -- -- -- (0.0001) (0.0001)
-------- -------- -------- -------- -------- --------
Total income from investment
operations................... 0.0100 0.0261 0.0302 0.0284 0.0323 0.0248
Less dividends to shareholders
from net investment income..... (0.0100) (0.0261) (0.0302) (0.0284) (0.0324) (0.0249)
-------- -------- -------- -------- -------- --------
Net change in net asset value per
share.......................... -- -- -- -- (0.0001) (0.0001)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF
PERIOD......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return..................... 0.50%(e) 2.64% 3.06% 2.88% 3.29% 2.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)................... $ 503 $ 539 $ 598 $ 493 $ 528 $ 187
Ratio of expenses to average
net assets................... 0.58%(d) 0.56% 0.57% 0.57% 0.62% 0.62%
Ratio of net investment income
to average net assets........ 2.43%(d) 2.61% 3.01% 2.83% 3.35% 2.48%
Ratio of expenses to average
net assets*.................. 0.62%(d) 0.59%(c) 0.60%(c) 0.60%** 0.63%** (b)
Ratio of net investment income
to average net assets*....... 2.39%(d) 2.58%(c) 2.98%(c) 2.80% (c) (b)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the years ended February 28, 1997 and February 29,
1996, the Portfolio received credits from its custodian for
interest earned on uninvested cash balances which were used
to offset custodian fees and expenses. If such credits had
not occurred, the expense ratio would have been as
indicated. The ratio of net investment income was not
affected.
(a) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(b) There were no fee waivers or expense reimbursements during
the year.
(c) Fees paid by third parties had no effect on the ratios.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
64
<PAGE> 66
PACIFIC HORIZON
CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(a) 1998 1997 1996 1995
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
HORIZON SERVICE SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD.............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income............ 0.0100 0.0268 0.0309 0.0291 0.0331 0.0256
Net realized gains/(losses) on
investment transactions........ -- -- -- -- 0.0001 (0.0001)
-------- -------- -------- -------- -------- --------
Total income from investment
operations..................... 0.0100 0.0268 0.0309 0.0291 0.0332 0.0255
Less dividends to shareholders from
net investment income............ (0.0100) (0.0268) (0.0309) (0.0291) (0.0331) (0.0256)
-------- -------- -------- -------- -------- --------
Net change in net asset value per
share............................ -- -- -- -- 0.0001 (0.0001)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE PER SHARE, END OF
PERIOD........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return....................... 0.52%(e) 2.71% 3.13% 2.95% 3.36% 2.59%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)..................... $ 636 $ 709 $ 671 $ 472 $ 203 $ 88
Ratio of expenses to average
net assets..................... 0.50%(d) 0.49% 0.50% 0.50% 0.55% 0.55%
Ratio of net investment income to
average net assets............. 2.49%(d) 2.65% 3.06% 2.92% 3.43% 2.50%
Ratio of expenses to average
net assets*.................... 0.52%(d) (b)(c) (b)(c) (b)(c) 0.55%** (b)
Ratio of net investment income to
average net assets*............ 2.47%(d) (b)(c) (b)(c) (b)(c) 3.42% (b)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the year ended February 29, 1996 the Portfolio
received credits from its custodian for interest earned on
uninvested cash balances which were used to offset custodian
fees and expenses. If such credits had not occurred, the
expense ratio would have been as indicated. The ratio of net
investment income was not affected.
(a) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(b) There were no fee waivers or expense reimbursements during
the year.
(c) Fees paid by third parties had no effect on the ratios.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
65
<PAGE> 67
PACIFIC HORIZON
CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED YEAR ENDED PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28,
1999 1999(b) 1998(a)
--------------------------------------------
<S> <C> <C> <C>
S SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD........... $ 1.00 $ 1.00 $ 1.00
------ -------- --------
Income from Investment Operations:
Net investment income.................................. --(f) 0.0238 0.0194
Less dividends to shareholders from net investment
income................................................. -- (0.0238) (0.0194)
------ -------- --------
Net change in net asset value per share.................. -- -- --
------ -------- --------
NET ASSET VALUE PER SHARE, END OF PERIOD................. $ 1.00 $ 1.00 $ 1.00
====== ======== ========
Total Return............................................. 0.45%(d) 2.41% 1.96%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions)................. $ 297 $ 299 $ 141
Ratio of expenses to average net assets................ 0.80%(c) 0.79%(c) 0.79%(c)
Ratio of net investment income to average net assets... 2.21%(c) 2.33%(c) 2.69%(c)
Ratio of expenses to average net assets*............... 1.27%(c) 1.24%(c) 1.23%(c)(e)
Ratio of net investment income to average net
assets*............................................. 1.74%(c) 1.88%(c) 2.25%(c)(e)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
(a) Period from June 18, 1997 (inception date) to February 28,
1998.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) Annualized.
(d) Not annualized.
(e) Fees paid by third parties had no effect on the ratios.
(f) Amount represents less than a penny per share.
</TABLE>
See Notes to Financial Statements.
66
<PAGE> 68
PACIFIC HORIZON
CALIFORNIA TAX-EXEMPT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED --------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28,
1999 1999(b) 1998 1997(a)
------------------------------------------------------------
<S> <C> <C> <C> <C>
X SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD........................................ $ 1.00 $ 1.00 $ 1.00 $ 1.00
------ -------- -------- --------
Income from Investment Operations:
Net investment income......................... --(f) 0.0238 0.0279 0.0107
Less dividends to shareholders from net
investment income............................. -- (0.0238) (0.0279) (0.0107)
------ -------- -------- --------
Net change in net asset value per share......... -- -- -- --
------ -------- -------- --------
NET ASSET VALUE PER SHARE, END OF PERIOD........ $ 1.00 $ 1.00 $ 1.00 $ 1.00
====== ======== ======== ========
Total Return.................................... 0.45%(e) 2.41% 2.83% 1.09%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions)........ $ 37 $ 37 $ 31 $ 29
Ratio of expenses to average net assets....... 0.80%(d) 0.79% 0.80% 0.80%(d)
Ratio of net investment income to average
net assets................................. 2.21%(d) 2.35% 2.80% 2.66%(d)
Ratio of expenses to average net assets*...... 0.82%(d) (c) (c) (c)
Ratio of net investment income to average net
assets*.................................... 2.19%(d) (c) (c) (c)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
(a) Period from October 2, 1996 (inception date) to February 29,
1997.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) Fees paid by third parties had no effect on the ratios.
(d) Annualized.
(e) Not annualized.
(f) Amount represents less than a penny per share.
</TABLE>
See Notes to Financial Statements.
67
<PAGE> 69
PACIFIC HORIZON
CALIFORNIA MUNICIPAL BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(d) 1998 1997(a) 1996 1995
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD......... $ 7.60 $ 7.64 $ 7.35 $ 7.45 $ 7.12 $ 7.49
------- ------ ------ ------ ------- ------
Income from Investment
Operations:
Net investment income....... 0.07 0.34 0.35 0.36 0.37 0.38
Net realized and unrealized
gains (losses) on
investment transactions... (0.10) 0.10 0.29 (0.05) 0.33 (0.37)
------- ------ ------ ------ ------- ------
Total income from investment
operations................ (0.03) 0.44 0.64 0.31 0.70 0.01
------- ------ ------ ------ ------- ------
Less Dividends and
Distributions:
Dividends to shareholders
from net investment
income.................... (0.07) (0.34) (0.35) (0.36) (0.37) (0.38)
Distributions to
shareholders from net
realized gains on
investment transactions... -- (0.14) -- (0.05) -- --
------- ------ ------ ------ ------- ------
Total Dividends and
Distributions............... (0.07) (0.48) (0.35) (0.41) (0.37) (0.38)
------- ------ ------ ------ ------- ------
Net change in net asset value
per share................... (0.10) (0.04) 0.29 (0.10) 0.33 (0.37)
------- ------ ------ ------ ------- ------
NET ASSET VALUE PER SHARE, END
OF PERIOD................... $ 7.50 $ 7.60 $ 7.64 $ 7.35 $ 7.45 $ 7.12
======= ====== ====== ====== ======= ======
Total Return (excludes sales
charge)..................... (0.42%)(c) 5.94% 9.18% 4.29% 10.12% 0.36%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)................ $ 206 $ 219 $ 214 $ 221 $ 221 $ 195
Ratio of expenses to average
net assets................ 0.93%(b) 0.93% 0.90% 0.90% 0.94% 0.95%
Ratio of net investment
income to average net
assets.................... 4.40%(b) 4.42% 4.74% 4.88% 5.11% 5.43%
Ratio of expenses to average
net assets*............... 0.96%(b) 0.93%(e)*** 1.06%** 1.10%** 1.14%** 1.15%
Ratio of net investment
income to average net
assets*................... 4.37%(b) 4.42%(e)*** 4.58% 4.68% 4.91% 5.23%
Portfolio turnover rate..... 1%(c) 42% 28% 34% 57% 20%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the years ended February 28, 1998 and 1997 and
February 29, 1996, the Portfolio received credits from its
custodian for interest earned on uninvested balances which
were used to offset custodian fees and expenses. If such
credits had not occurred, the expense ratios would have been
as indicated. The ratio of net investment income was not
affected.
*** Fees paid to third parties had no effect on the ratios.
(a) As of July 22, 1996, the Fund designated the existing series
of shares as "A" Shares.
(b) Annualized.
(c) Not annualized.
(d) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(e) There were no fee waivers or expense reimbursements during
the year.
</TABLE>
See Notes to Financial Statements.
68
<PAGE> 70
PACIFIC HORIZON
CALIFORNIA MUNICIPAL BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED PERIOD ENDED
MAY 14, FEBRUARY 28,
1999 1999(a)(b)
----------------------------
<S> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $ 7.61 $ 7.61
------- ------
Income from Investment Operations:
Net investment income..................................... 0.06 0.16
Net realized and unrealized gains (losses) on investment
transactions........................................... (0.10) 0.14
------- ------
Total income from investment operations................... (0.04) 0.30
------- ------
Less Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.06) (0.16)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (0.14)
------- ------
Total Dividends and Distributions........................... (0.06) (0.30)
------- ------
Net change in net asset value per share..................... (0.10) --
------- ------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $ 7.51 $ 7.61
======= ======
Total Return (excludes sales charge)........................ (0.57%)(e) 4.09%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions).................... $ 3 $ 2
Ratio of expenses to average net assets................... 1.66%(d) 1.70%(c)(d)
Ratio of net investment income to average net assets...... 3.63%(d) 3.67%(c)(d)
Ratio of expenses to average net assets*.................. 1.69%(d) 1.71%**(c)(d)
Ratio of net investment income to average net assets*..... 3.60%(d) 3.67%**(c)(d)
Portfolio turnover rate................................... 1%(e) 42%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the period ended February 28, 1999, the Portfolio
received credits from its custodian for interest earned on
uninvested balances which were used to offset custodian fees
and expenses. If such credits had not occurred, the expense
ratios would have been as indicated. The ratio of net
investment income was not affected.
(a) Period from July 15, 1998 (inception date) to February 28,
1999.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) There were no fee waivers or expense reimbursements during
the year.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
69
<PAGE> 71
PACIFIC HORIZON
CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(b) 1998 1997(a) 1996 1995
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD......... $17.34 $17.28 $ 17.35 $ 16.42 $ 13.65 $ 15.42
------ ------ ------- ------- ------- -------
Income from Investment
Operations:
Net investment income....... 0.12 0.51 0.58 0.57 0.62 0.57
Net realized and unrealized
gains (losses) on
investment transactions... 0.96 0.25 2.89 2.34 2.84 (1.43)
------ ------ ------- ------- ------- -------
Total income (loss) from
investment operations..... 1.08 0.76 3.47 2.91 3.46 (0.86)
------ ------ ------- ------- ------- -------
Less Dividends and
Distributions:
Dividends to shareholders
from net investment
income.................... (0.11) (0.52) (0.59) (0.57) (0.69) (0.54)
Distributions to
shareholders from net
realized gains on
investment transactions... -- (0.18) (2.95) (1.41) -- (0.37)
------ ------ ------- ------- ------- -------
Total Dividends and
Distributions............... (0.11) (0.70) (3.54) (1.98) (0.69) (0.91)
------ ------ ------- ------- ------- -------
Net change in net asset value
per share................... 0.97 0.06 (0.07) 0.93 2.77 (1.77)
------ ------ ------- ------- ------- -------
NET ASSET VALUE PER SHARE, END
OF PERIOD................... $18.31 $17.34 $ 17.28 $ 17.35 $ 16.42 $ 13.65
====== ====== ======= ======= ======= =======
Total Return (excludes sales
charge)..................... 6.25%(e) 4.64% 21.54% 18.53% 25.96% (5.61%)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)................ $ 352 $ 356 $ 391 $ 309 $ 247 $ 198
Ratio of expenses to average
net assets................ 1.30%(d) 1.15% 1.10% 1.18% 1.23% 0.97%
Ratio of net investment
income to average net
assets.................... 3.07%(d) 2.97% 3.35% 3.40% 4.05% 4.48%
Ratio of expenses to average
net assets*............... 1.32%(d) 1.16%**(c) 1.12%** 1.19%** 1.26%** 1.14%
Ratio of net investment
income to average net
assets*................... 3.05%(d) 2.96%**(c) 3.33% (c) (c) 4.31%
Portfolio turnover rate..... 16%(e) 66% 69% 124% 57% 94%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the years ended February 28, 1999, 1998, 1997 and
February 29, 1996, the Portfolio received credits from its
custodian for interest earned on uninvested balances which
were used to offset custodian fees and expenses. If such
credits had not occurred, the expense ratios would have been
as indicated. The ratio of net investment income was not
affected.
(a) As of July 22, 1996, the Portfolio designated the existing
series of shares as "A" Shares.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) There were no fee waivers or expense reimbursements during
the period.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
70
<PAGE> 72
PACIFIC HORIZON
CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED PERIOD ENDED
MAY 14, FEBRUARY 28,
1999 1999(a)(b)
----------------------------
<S> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $17.30 $17.67
------ ------
Income from Investment Operations:
Net investment income..................................... 0.09 0.22
Net realized losses on investment transactions............ 0.96 (0.17)
------ ------
Total income from investment operations................... 1.05 0.05
------ ------
Less: Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.08) (0.24)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (0.18)
------ ------
Total Dividends and Distributions........................... (0.08) (0.42)
------ ------
Net change in net asset value per share..................... 0.97 (0.37)
------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $18.27 $17.30
====== ======
Total Return................................................ 6.10%(e) 0.44%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions).................... $ 4 $ 3
Ratio of expenses to average net assets................... 2.06%(d) 1.96%(d)
Ratio of net investment income to average net assets...... 2.34%(d) 2.14%(d)
Ratio of expenses to average net assets................... 2.08%*(d) 1.97%**(c)(d)
Ratio of net investment income to average net assets...... 2.32%*(d) 2.13%**(c)(d)
Portfolio turnover rate................................... 16%(e) 66%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
** During the period ended February 28, 1999, the Portfolio
received credits from its custodian for interest earned on
uninvested balances which were used to offset custodian fees
and expenses. If such credits had not occurred, the expense
ratios would have been as indicated. The ratio of net
investment income was not affected.
(a) Period from July 15, 1998 (inception date) to February 28,
1999.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) There were no fee waivers or expense reimbursements during
the period.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
71
<PAGE> 73
PACIFIC HORIZON
CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ---------------------------- PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28,
1999 1999(b) 1998 1997(a)
------------------------------------------------------------
<S> <C> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD... $17.37 $17.24 $ 17.30 $ 16.24
------ ------ ------- -------
Income from Investment Operations:
Net investment income.......................... 0.10 0.40 0.48 0.32
Net realized gains on investment
transactions................................ 0.97 0.31 2.89 2.43
------ ------ ------- -------
Total income from investment operations........ 1.07 0.71 3.37 2.75
------ ------ ------- -------
Less: Dividends and Distributions:
Dividends to shareholders from net investment
income...................................... (0.09) (0.40) (0.48) (0.28)
Distributions to shareholders from net realized
gains on investment transactions............ -- (0.18) (2.95) (1.41)
------ ------ ------- -------
Total Dividends and Distributions................ (0.09) (0.58) (3.43) (1.69)
------ ------ ------- -------
Net change in net asset value per share.......... 0.98 0.13 (0.06) 1.06
------ ------ ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD......... $18.35 $17.37 $ 17.24 $ 17.30
====== ====== ======= =======
Total Return..................................... 6.17%(d) 4.29% 20.97% 17.47%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions)......... $ 4 $ 4 $ 3 $ 1
Ratio of expenses to average net assets........ 1.80%(c) 1.65% 1.60% 1.66%(c)
Ratio of net investment income to average net
assets...................................... 2.56%(c) 2.45% 2.85% 2.85%(c)
Ratio of expenses to average net assets*....... 2.07%(c) 1.91%+ 1.86% 1.91%(c)**
Ratio of net investment income to average net
assets*..................................... 2.29%(c) 2.19%+ 2.59% 2.60%(c)
Portfolio turnover rate........................ 16%(d) 66% 69% 124%
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Fees paid by third parties had no effect on the ratios.
+ During the year ended February 28, 1999, the Portfolio received credits from
its custodian for interest earned on uninvested balances which were used to
offset custodian fees and expenses. If such credits had not occurred, the
expense ratios would have been as indicated. The ratio of net investment
income was not affected.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(c) Annualized.
(d) Not annualized.
See Notes to Financial Statements.
72
<PAGE> 74
PACIFIC HORIZON
ASSET ALLOCATION FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999(b) 1998 1997(a) 1996 1995
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD......... $22.50 $ 21.41 $ 19.40 $ 17.52 $ 15.15 $ 14.84
------ ------- ------- ------- ------- -------
Income from Investment
Operations:
Net investment income....... 0.10 0.55 0.52 0.48 0.52 0.48
Net realized and unrealized
gains on investment
transactions.............. 0.91 2.48 3.72 2.50 2.86 0.24
------ ------- ------- ------- ------- -------
Total income from investment
operations................ 1.01 3.03 4.24 2.98 3.38 0.72
------ ------- ------- ------- ------- -------
Less Dividends and
Distributions:
Dividends to shareholders
from net investment
income.................... (0.11) (0.45) (0.47) (0.46) (0.53) (0.41)
Distributions to
shareholders from net
realized gains on
investment transactions... -- (1.49) (1.76) (0.64) (0.48) --
------ ------- ------- ------- ------- -------
Total Dividends and
Distributions............... (0.11) (1.94) (2.23) (1.10) (1.01) (0.41)
------ ------- ------- ------- ------- -------
Net change in net asset value
per share................... 0.90 1.09 2.01 1.88 2.37 0.31
------ ------- ------- ------- ------- -------
NET ASSET VALUE PER SHARE, END
OF PERIOD................... $23.40 $ 22.50 $ 21.41 $ 19.40 $ 17.52 $ 15.15
====== ======= ======= ======= ======= =======
Total Return (excludes sales
charge)..................... 4.50%(e) 14.72% 23.07% 17.64% 22.80% 5.03%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)................ $ 72 $ 72 $ 49 $ 35 $ 22 $ 6
Ratio of expenses to average
net assets................ 1.18%(d) 0.94% 1.03% 1.25% 0.62% 0.00%
Ratio of net investment
income to average net
assets.................... 2.01%(d) 2.64% 2.67% 2.59% 3.49% 4.25%
Ratio of expenses to average
net assets*............... 1.20%(d) (c) 1.09% 1.94% 2.92% 7.89%
Ratio of net investment
income (loss) to average
net assets*............... 1.99%(d) (c) 2.61% 1.90% 1.19% (3.64%)
Portfolio turnover rate..... 20%(e) 114% 67% 116% 157% 142%
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) As of July 22, 1996, the Fund designated the existing series of shares as
"A" Shares.
(b) On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(c) There were no fee waivers or expense reimbursements during the period.
(d) Annualized.
(e) Not annualized.
See Notes to Financial Statements.
73
<PAGE> 75
PACIFIC HORIZON
ASSET ALLOCATION FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED PERIOD ENDED
MAY 14, FEBRUARY 28,
1999 1999(a)(b)
------------------------------
<S> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $22.45 $23.17
------ ------
Income from Investment Operations:
Net investment income..................................... 0.06 0.22
Net realized and unrealized gains on investment
transactions........................................... 0.89 0.75
------ ------
Total income from investment operations................... 0.95 0.97
------ ------
Less Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.08) (0.20)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (1.49)
------ ------
Total Dividends and Distributions........................... (0.08) (1.69)
------ ------
Net change in net asset value per share..................... 0.87 (0.72)
------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $23.32 $22.45
====== ======
Total Return................................................ 4.26%(e) 4.59%(e)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions)...................... $ 10 $ 6
Ratio of expenses to average net assets................... 1.95%(d) 1.74%(d)
Ratio of net investment income to average net assets...... 1.26%(d) 1.92%(d)
Ratio of expenses to average net assets*.................. 1.97%(d) (c)
Ratio of net investment income to average net assets*..... 1.24%(d) (c)
Portfolio turnover rate................................... 20%(e) 114%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
* During the period, certain fees were voluntarily reduced and
expenses reimbursed. If such voluntary fee reductions and
expense reimbursements had not occurred, the ratios would
have been as indicated.
(a) Period from July 15, 1998 (inception date) to February 28,
1999.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) There were no fee waivers or expense reimbursements during
the period.
(d) Annualized.
(e) Not annualized.
</TABLE>
See Notes to Financial Statements.
74
<PAGE> 76
PACIFIC HORIZON
ASSET ALLOCATION FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ---------------------------- PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28,
1999 1999(b) 1998 1997(a)
------------------------------------------------------------
<S> <C> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD... $22.45 $ 21.36 $ 19.40 $ 17.23
------ ------- ------- -------
Income from Investment Operations:
Net investment income.......................... 0.05 0.44 0.41 0.19
Net realized gains on investment
transactions................................ 0.92 2.49 3.66 2.80
------ ------- ------- -------
Total income from investment operations........ 0.97 2.93 4.07 2.99
------ ------- ------- -------
Less: Dividends and Distributions:
Dividends to shareholders from net investment
income...................................... (0.09) (0.35) (0.36) (0.18)
Distributions to shareholders from net realized
gains on investment transactions............ -- (1.49) (1.75) (0.64)
------ ------- ------- -------
Total Dividends and Distributions................ (0.09) (1.84) (2.11) (0.82)
------ ------- ------- -------
Net change in net asset value per share.......... 0.88 1.09 1.96 2.17
------ ------- ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD......... $23.33 $ 22.45 $ 21.36 $ 19.40
====== ======= ======= =======
Total Return..................................... 4.31%(d) 14.23% 22.10% 17.69%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions)......... $ 2 $ 2 $ 2 $ 1
Ratio of expenses to average net assets........ 1.67%(c) 1.44% 1.52% 1.94%(c)
Ratio of net investment income to average net
assets...................................... 1.52%(c) 2.14% 2.17% 2.31%(c)
Ratio of expenses to average net assets*....... 1.96%(c) 1.69% 1.58% 3.26%(c)
Ratio of net investment income to average net
assets*..................................... 1.23%(c) 1.89% 2.11% 0.99%(c)
Portfolio turnover rate........................ 20%(d) 114% 67% 116%
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(c) Annualized.
(d) Not annualized.
See Notes to Financial Statements.
75
<PAGE> 77
PACIFIC HORIZON
ASSET ALLOCATION FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED YEAR ENDED PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28,
1999 1999(b) 1998(a)
--------------------------------------------
<S> <C> <C> <C>
SRF SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $ 17.01 $ 16.63 $ 15.79
------- ------- -------
Income from Investment Operations:
Net investment income..................................... 0.08 0.45 0.30
Net realized and unrealized gains on investment
transactions........................................... 0.69 1.88 1.65
------- ------- -------
Total income from investment operations................... 0.77 2.33 1.95
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.12) (0.46) (0.24)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (1.49) (0.87)
------- ------- -------
Total Dividends and Distributions........................... (0.12) (1.95) (1.11)
------- ------- -------
Net change in net asset value per share..................... 0.65 0.38 0.84
------- ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $ 17.66 $ 17.01 $ 16.63
======= ======= =======
Total Return................................................ 4.52%(d) 14.76% 13.56%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (millions)...................... $ 214 $ 208 $ 197
Ratio of expenses to average net assets................... 0.95%(c) 0.93% 0.95%(c)
Ratio of net investment income to average net assets...... 2.23%(c) 2.65% 2.73%(c)
Ratio of expenses to average net assets*.................. 1.19%(c) 0.94% 0.97%(c)
Ratio of net investment income to average net assets*..... 1.99%(c) 2.64% 2.71%(c)
Portfolio turnover rate................................... 20%(d) 114% 67%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
* During the period, certain fees were voluntarily reduced and
expenses reimbursed. If such voluntary fee reductions and
expense reimbursements had not occurred, the ratios would
have been as indicated.
(a) Period from June 23, 1997 (inception date) to February 28,
1998.
(b) On October 1, 1998, BankAmerica Corp., the parent company of
the Fund's Advisor, merged with NationsBank Corporation.
(c) Annualized.
(d) Not annualized.
</TABLE>
See Notes to Financial Statements.
76
<PAGE> 78
PACIFIC HORIZON
INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999 1998 1997(b) 1996 1995
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD......... $ 9.52 $ 9.69 $ 9.54 $ 9.75 $ 9.44 $ 9.81
------- ------- ------- ------- ------- -------
Income from Investment
Operations:
Net investment income....... 0.10 0.50 0.49 0.52 0.59 0.59
Net realized and unrealized
gains (losses) on
investment transactions... (0.04) (0.03) 0.20 (0.15) 0.33 (0.37)
------- ------- ------- ------- ------- -------
Total income gains (losses)
from investment
operations................ 0.06 0.47 0.69 0.37 0.92 0.22
------- ------- ------- ------- ------- -------
Less Dividends and
Distributions:
Dividends to shareholders
from net investment
income.................... (0.08) (0.53) (0.51) (0.52) (0.59) (0.59)
Distributions to
shareholders from net
realized gains on
investment transactions... -- (0.11) (0.03) (0.06) (0.02) --
------- ------- ------- ------- ------- -------
Total Dividends and
Distributions............... (0.08) (0.64) (0.54) (0.58) (0.61) (0.59)
------- ------- ------- ------- ------- -------
Net change in net asset value
per share................... (0.02) (0.17) 0.15 (0.21) 0.31 (0.37)
------- ------- ------- ------- ------- -------
NET ASSET VALUE PER SHARE, END
OF PERIOD................... $ 9.50 $ 9.52 $ 9.69 $ 9.54 $ 9.75 $ 9.44
======= ======= ======= ======= ======= =======
Total Return (excludes sales
charge)..................... 0.66%(d) 4.89% 7.40% 3.92% 10.45% 2.27%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000)..................... $61,412 $63,404 $41,875 $22,937 $13,179 $ 1,964
Ratio of expenses to average
net assets................ 1.09%(c) 0.90% 0.90% 0.75% 0.27% 0.00%
Ratio of net investment
income to average net
assets.................... 4.90%(c) 5.14% 5.50% 5.45% 6.13% 6.43%
Ratio of expenses to average
net assets*............... 1.12%(c) (b) 1.21% 2.26% 5.00% 17.95%
Ratio of net investment
income (loss) to average
net assets*............... 4.87%(c) (b) 5.19% 3.94% 1.40% (11.52%)
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred, the ratios would have been as indicated.
(a) As of July 22, 1996 the Fund designated the existing series of shares as "A"
shares.
(b) There were no fee waivers or expense reimbursements during the period.
(c) Annualized.
(d) Not annualized.
See Notes to Financial Statements.
77
<PAGE> 79
PACIFIC HORIZON
INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ---------------------------- PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28,
1999 1999 1998 1997(a)
------------------------------------------------------------
<S> <C> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD... $ 9.59 $ 9.72 $ 9.54 $ 9.53
------ ------ ------ ------
Income from Investment Operations:
Net investment income.......................... 0.09 0.46 0.44 0.31
Net realized and unrealized gains on
investments................................. (0.04) -- 0.19 0.07
------ ------ ------ ------
Total income from investment operations........ 0.05 0.46 0.63 0.38
------ ------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income...................................... (0.08) (0.48) (0.42) (0.31)
Distributions to shareholders from net realized
gains on investment transactions............ -- (0.11) (0.03) (0.06)
------ ------ ------ ------
Total Dividends and Distributions................ (0.08) (0.59) (0.45) (0.37)
------ ------ ------ ------
Net change in net asset value per share.......... (0.03) (0.13) 0.18 0.01
------ ------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD......... $ 9.56 $ 9.59 $ 9.72 $ 9.54
====== ====== ====== ======
Total Return..................................... 0.47%(c) 4.76% 6.80% 3.73%(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000).............. $ 469 $ 495 $ 513 $ 332
Ratio of expenses to average net assets........ 1.57%(b) 1.39% 1.39% 1.43%(b)
Ratio of net investment income to average net
assets...................................... 4.42%(b) 4.67% 4.99% 5.41%(b)
Ratio of expenses to average net assets*....... 1.84%(b) 1.65% 1.73% 2.71%(b)
Ratio of net investment income to average net
assets*..................................... 4.15%(b) 4.41% 4.65% 4.13%(b)
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and expenses
reimbursed. If such voluntary fee reductions and expense reimbursements had
not occurred, the ratios would have been as indicated.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Annualized.
(c) Not annualized.
See Notes to Financial Statements.
78
<PAGE> 80
PACIFIC HORIZON
INTERMEDIATE BOND FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED YEAR ENDED PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28,
1999 1999 1998(a)
---------------------------------------------
<S> <C> <C> <C>
SRF SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $ 10.76 $ 10.87 $ 10.72
------- ------- -------
Income from Investment Operations:
Net investment income..................................... 0.11 0.57 0.40
Net realized and unrealized gains (losses) on investment
transactions........................................... (0.04) (0.05) 0.13
------- ------- -------
Total income from investment operations................... 0.07 0.52 0.53
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.08) (0.52) (0.38)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (0.11) --
------- ------- -------
Total Dividends and Distributions........................... (0.08) (0.63) (0.38)
------- ------- -------
Net change in net asset value per share..................... (0.01) (0.11) 0.15
------- ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $ 10.75 $ 10.76 $ 10.87
======= ======= =======
Total Return................................................ 0.68%(d) 4.88% 4.86%(d)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $32,438 $33,449 $35,161
Ratio of expenses to average net assets................... 0.95%(c) 0.90% 0.95%(c)
Ratio of net investment income to average net assets...... 5.04%(c) 5.16% 5.45%(c)
Ratio of expenses to average net assets*.................. 1.10%(c) (b) 1.07%(c)
Ratio of net investment income to average net assets*..... 4.89%(c) (b) 5.33%(c)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
* During the period, certain fees were voluntarily reduced and
expenses reimbursed. If such voluntary fee reductions and
expense reimbursements had not occurred, the ratios would
have been as indicated.
(a) Period from June 23, 1997 (inception date) to February 28,
1998.
(b) There were no fee waivers or expense reimbursements during
the period.
(c) Annualized.
(d) Not annualized.
</TABLE>
See Notes to Financial Statements.
79
<PAGE> 81
PACIFIC HORIZON
BLUE CHIP FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ----------------------------------------------------------------------------
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28, FEBRUARY 29, FEBRUARY 28,
1999 1999 1998 1997(a) 1996 1995
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD......... $ 33.43 $ 29.90 $ 25.22 $ 20.53 $ 15.81 $ 14.97
------- ------- ------- ------- ------- -------
Income from Investment
Operations:
Net investment income....... --(d) 0.09 0.16 0.23 0.26 0.31
Net realized and unrealized
gains on investment
transactions.............. 2.49 5.26 7.91 5.21 4.96 0.80
------- ------- ------- ------- ------- -------
Total income from investment
operations................ 2.49 5.35 8.07 5.44 5.22 1.11
------- ------- ------- ------- ------- -------
Less Dividends and
Distributions:
Dividends to shareholders
from net investment
income.................... -- (0.10) (0.15) (0.22) (0.28) (0.27)
Distributions to
shareholders from net
realized gains on
investment transactions... -- (1.72) (3.24) (0.53) (0.22) --
------- ------- ------- ------- ------- -------
Total Dividends and
Distributions............... -- (1.82) (3.39) (0.75) (0.50) (0.27)
------- ------- ------- ------- ------- -------
Net change in net asset value
per share................... 2.49 3.53 4.68 4.69 4.72 0.84
------- ------- ------- ------- ------- -------
NET ASSET VALUE PER SHARE, END
OF PERIOD................... $ 35.92 $ 33.43 $ 29.90 $ 25.22 $ 20.53 $ 15.81
======= ======= ======= ======= ======= =======
Total Return (excludes sales
charge)..................... 7.45%(c) 18.58% 33.96% 27.01% 33.39% 7.60%
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(millions)................ $ 423 $ 401 $ 288 $ 153 $ 67 $ 6
Ratio of expenses to average
net assets................ 1.29%(b) 1.16% 1.18% 1.28% 0.83% 0.00%
Ratio of net investment
income to average net
assets.................... (0.03%)(b) 0.31% 0.63% 0.99% 1.63% 2.46%
Ratio of expenses to average
net assets*............... 1.33%(b) 1.17% 1.22% 1.71% 2.28% 6.32%
Ratio of net investment
income to average net
assets*................... (0.07%)(b) 0.30% 0.59% 0.56% 0.18% (3.86%)
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) As of July 22, 1996, the Fund designated the existing series of shares as
"A" Shares.
(b) Annualized.
(c) Not annualized.
(d) Amount represents less than a penny per share.
See Notes to Financial Statements.
80
<PAGE> 82
PACIFIC HORIZON
BLUE CHIP FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED PERIOD ENDED
MAY 14, FEBRUARY 28,
1999 1999(a)
----------------------------
<S> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $ 33.34 $ 33.73
------- -------
Income from Investment Operations:
Net investment loss....................................... (0.02) (0.05)
Net realized gains on investment transactions............. 2.45 1.39
------- -------
Total income from investment operations................... 2.43 1.34
------- -------
Less: Dividends and Distributions:
Dividends to shareholders from net investment income...... -- (0.01)
Distributions to shareholders from net realized gains on
investment transactions................................ -- (1.72)
------- -------
Total Dividends and Distributions........................... -- (1.73)
------- -------
Net change in net asset value per share..................... 2.43 (0.39)
------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $ 35.77 $ 33.34
======= =======
Total Return................................................ 7.29%(c) 4.53%(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions).................... $ 21 $ 13
Ratio of expenses to average net assets................... 2.05%(b) 1.97%(b)
Ratio of net investment loss to average net assets........ (0.77%)(b) (0.58%)(b)
Ratio of expenses to average net assets*.................. 2.09%(b) 1.99%(b)
Ratio of net investment loss to average net assets*....... (0.81%)(b) (0.60%)(b)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
* During the period, certain fees were voluntarily reduced
and/or reimbursed. If such voluntary fee reductions and/or
reimbursements had not occurred, the ratios would have been
as indicated.
(a) Period from July 15, 1998 (date of initial offering) to
February 28, 1999.
(b) Annualized.
(c) Not annualized.
</TABLE>
See Notes to Financial Statements.
81
<PAGE> 83
PACIFIC HORIZON
BLUE CHIP FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED
PERIOD ENDED ---------------------------- PERIOD ENDED
MAY 14, FEBRUARY 28, FEBRUARY 28, FEBRUARY 28,
1999 1999 1998 1997(a)
------------------------------------------------------------
<S> <C> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD... $ 33.24 $ 29.79 $ 25.20 $ 20.38
------- ------- ------- -------
Income from Investment Operations:
Net investment income/(losses)................. (0.04) (0.06) 0.04 0.07
Net realized gains on investment
transactions................................ 2.49 5.23 7.83 5.35
------- ------- ------- -------
Total income from investment operations........ 2.45 5.17 7.87 5.42
------- ------- ------- -------
Less: Dividends and Distributions:
Dividends to shareholders from net investment
income...................................... -- -- (0.04) (0.07)
Distributions to shareholders from net realized
gains on investment transactions............ -- (1.72) (3.24) (0.53)
------- ------- ------- -------
Total Dividends and Distributions................ -- (1.72) (3.28) (0.60)
------- ------- ------- -------
Net change in net asset value per share.......... 2.45 3.45 4.59 4.82
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD......... $ 35.69 $ 33.24 $ 29.79 $ 25.20
======= ======= ======= =======
Total Return..................................... 7.37%(c) 17.96% 33.08% 26.96%(c)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (millions)......... $ 15 $ 13 $ 7 $ 1
Ratio of expenses to average net assets........ 1.80%(b) 1.66% 1.67% 1.92%(b)
Ratio of net investment income/(loss) to
average net assets.......................... (0.54%)(b) (0.22%) 0.12% 0.45%(b)
Ratio of expenses to average net assets*....... 2.08%(b) 1.92% 1.69% 2.12%(b)
Ratio of net investment income/(loss) to
average net assets*......................... (0.82%)(b) (0.48%) 0.10% 0.25%(b)
</TABLE>
- --------------------------------------------------------------------------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(a) Period from July 22, 1996 (inception date) to February 28, 1997.
(b) Annualized.
(c) Not annualized.
See Notes to Financial Statements.
82
<PAGE> 84
PACIFIC HORIZON
BLUE CHIP FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD
JUNE 23,
PERIOD ENDED YEAR ENDED 1997(a) THROUGH
MAY 14, FEBRUARY 28, FEBRUARY 28,
1999 1999 1998
----------------------------------------------
<S> <C> <C> <C>
SRF SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD.............. $ 29.45 $ 26.53 $ 24.02
------- ------- -------
Income from Investment Operations:
Net investment income..................................... 0.02 0.14 0.14
Net realized and unrealized gains on investment
transactions........................................... 2.19 4.66 3.99
------- ------- -------
Total income from investment operations................... 2.21 4.80 4.13
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment income...... (0.02) (0.16) (0.12)
Distributions to shareholders from net realized gains..... -- (1.72) (1.50)
------- ------- -------
Total Dividends and Distributions........................... (0.02) (1.88) (1.62)
------- ------- -------
Net change in net asset value per share..................... 2.19 2.92 2.51
------- ------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD.................... $ 31.64 $ 29.45 $ 26.53
======= ======= =======
Total Return................................................ 7.52%(c) 18.89% 19.30%(c)
RATIO/SUPPLEMENTAL DATA:
Net assets, end of period (millions)...................... $ 444 $ 418 $ 370
Ratio of expenses to average net assets................... 0.95%(b) 0.95% 0.95%(b)
Ratio of net investment income to average net assets...... 0.32%(b) 0.52% 0.81%(b)
Ratio of expenses to average net assets*.................. 1.34%(b) 1.17% 1.15%(b)
Ratio of net investment income to average net assets*..... (0.07%)(b) 0.30% 0.61%(b)
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
* During the period, certain fees were voluntarily reduced and
expenses reimbursed. If such voluntary fee reductions and
expense reimbursements had not occurred, the ratios would
have been as indicated.
(a) Date of commencement of operations of SRF Shares of the
Fund.
(b) Annualized.
(c) Not annualized.
</TABLE>
See Notes to Financial Statements.
83
<PAGE> 85
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE BOARD OF DIRECTORS
AND SHAREHOLDERS OF
PACIFIC HORIZON FUNDS, INC.
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Pacific Horizon California
Tax-Exempt Money Market Fund, California Municipal Bond Fund, Capital Income
Fund, Asset Allocation Fund, Intermediate Bond Fund and Blue Chip Fund (six of
the portfolios constituting Pacific Horizon Funds, Inc., hereafter referred to
as the "Funds") at May 14, 1999, the results of each of their operations for the
period ended May 14, 1999 and for the year ended February 28, 1999, and the
changes in each of their net assets and the financial highlights for each of the
periods presented, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at May 14,
1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
As explained in Note 8, the Funds have been reorganized into the Nations family
of funds effective May 21, 1999.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
July 8, 1999
84
