<PAGE> 1
[GRAPHIC: HAND WITH PUZZLE PIECE]
Nations Managed
Value Index Fund
Nations Managed
Index Fund
Nations Managed
SmallCap Value
Index Fund
Nations Managed
SmallCap
Index Fund
MANAGED
INDEX(SM) FUNDS
Semiannual report for the period
ended September 30, 1999
Nations Funds
<PAGE> 2
This Report is submitted for the general information of shareholders of Nations
Funds. This material must be preceded or accompanied by a current Nations Funds
prospectus.
Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of
America N.A., is not a bank, and securities offered by it are not guaranteed by
any bank or insured by the FDIC. Stephens Inc., member NYSE, SIPC.
Nations Funds investment adviser: Banc of America Advisors, Inc.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
<PAGE> 3
PRESIDENTS'
MESSAGE
DEAR SHAREHOLDER:
We're rapidly approaching the end of the year, and
the end of the twentieth century. While we all look
forward to the beginning of the next century, let's
first take a look back at the last six months and
then we'll discuss how Nations Funds is positioned as
we head into the year 2000.
RIDING THE WAVES IN THE U.S.
The last six months offered a snapshot of what we
often refer to as market volatility. And when we say
market volatility, we mean the ups and downs of the
U.S. stock market. Basically, what went up in the
second quarter of the year fell right back down in
the third quarter. During the spring, we witnessed
another Dow Jones Industrial Average*
milestone -- crossing the 11,000 mark -- and we saw a
broadening in the stock market, as value stocks and
small-company stocks came back into favor. This was a
change from the past few years where rallies have
been led by a narrow group of large-company stocks.
However, strong economic growth -- combined with
continued low inflation and low
unemployment -- caused the Federal Reserve Board to
raise interest rates twice by a total of 0.50%. These
rate hikes (on June 30 and August 24) caused the
markets to resemble the rough surf of the Atlantic
during one of our many hurricanes this past summer.
(In fact, Hurricane Floyd actually shut down Wall
Street in mid-September with torrential rains and
high winds.) At any rate, the stock market, as
represented by the Standard & Poor's 500 Composite
Stock Price Index (S&P 500)**, finished the third
quarter at 5.36% (year-to-date through September 30,
1999), 10% off its August high, with the average
stock in the S&P 500 off 20% from its high.
A BRIGHTER PICTURE OVERSEAS
International stock markets performed well in the
second quarter and actually outperformed the U.S. for
the first time in a number of years. The Morgan
Stanley Capital International (MSCI) Europe,
Australasia and Far East (EAFE) Index gained 4.4% in
the third quarter. A resurgent Japanese economy
helped to push international equity markets higher.
This is yet another example of the importance of
diversification. Investors investing exclusively in
the U.S. could miss out on opportunities overseas.
One way to ensure that your portfolio is properly
diversified is to seek the professional advice of an
investment professional. An investment professional
can help explain the additional risks involved in
international investing, as well as educate you on
the potential rewards that have historically come
from a diversified portfolio including international
investments.
* The Dow Jones Industrial Average is a
price-weighted index of 30 of the largest, most
widely held stocks traded on the New York Stock
Exchange. It is unmanaged and unavailable for
investment.
** The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500 widely held
common stocks. It is unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
PRESIDENTS'
MESSAGE continued...
STAY THE COURSE
While the ride has been bumpy over the last six
months, we believe the best course of action for an
investor is to stay focused on your long-term goals
and remain invested. We understand that Y2K has been
on investors' minds for quite some time now. As most
Americans have come to realize, substantial efforts
have been made by companies in the U.S. and abroad to
try to ensure that the Y2K problem will be avoided.
Regardless, Y2K will come and go and those investors
that stick to their long-term goals, as history has
shown, stand a better chance of attaining them.
WHAT'S NEW AT NATIONS FUNDS
We've made some great strides during the past six
months and are poised to make Nations Funds a
stronger presence in the mutual fund industry in the
new year. We completed the largest merger in mutual
fund history on May 21 when we combined Pacific
Horizon Funds with Nations Funds. Combining these two
entities provides you with more investment choices
and a broader range of investment expertise. This is
part of our ongoing commitment to providing you with
the best products and services, and helping you
pursue a lifetime of financial goals.
In fact, our selection of mutual funds continued to
grow as we introduced Nations Strategic Equity Fund,
a large-company stock fund managed for tax
efficiency, on August 1. This fund is managed by Bank
of America Investment Management -- a Nations Funds
Manager of Distinction(SM).
We look forward to the opportunities ahead of us in
the new year and to making your investment experience
with Nations Funds a successful one. Should you have
any questions or comments on your semiannual report,
please contact your investment professional or call
us at 1.800.321.7854. You can also visit us online at
www.nations-funds.com.
Once again, thank you for being a part of the Nations
Funds family.
Sincerely,
/s/ A. Max Walker
A. Max Walker
President and Chairman of the Board
/s/ Robert H. Gordon
Robert H. Gordon
President, Banc of America Advisors, Inc.
September 30, 1999
<PAGE> 5
Table
of
contents
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
FINANCIAL STATEMENTS
Statements of net assets
- Nations Managed Value Index Fund 3
- Nations Managed Index Fund 7
- Nations Managed SmallCap Value Index Fund 12
- Nations Managed SmallCap Index Fund 17
Statements of operations 23
Statements of changes in net assets 24
Schedules of capital stock activity 26
Financial highlights 30
Notes to financial statements 38
</TABLE>
<TABLE>
<S> <C>
---------------------------------------------------------------------------------
NATIONS FUNDS [DALBAR LOGO]
RECOGNIZED FOR [DALBAR...HONORS COMMITMENT TO INVESTORS 1998]
OUTSTANDING
CUSTOMER SERVICE DALBAR, Inc., is a well-respected research firm
that measures customer service levels and
In recognition of our establishes benchmarks in the financial services
commitment to retail industry.
shareholders through
consistently providing
superior customer service,
Nations Funds was awarded
DALBAR Key Honors in 1997
and 1998.
---------------------------------------------------------------------------------
</TABLE>
<PAGE> 6
THE NATIONS FUNDS FAMILY OF FUNDS
LOWER
RISK/
REWARD
POTENTIAL
MONEY
MARKET
FUNDS
Nations Prime Fund
Nations Government
Money Market Fund
Nations Treasury Fund
Nations Tax Exempt
Fund
FIXED
INCOME
FUNDS
INCOME FUNDS
Nations Diversified
Income Fund
Nations U.S. Government
Bond Fund
Nations Strategic
Fixed Income Fund
Nations Intermediate
Bond Fund
Nations Government
Securities Fund
Nations Short-
Intermediate
Government Fund
Nations Short-Term
Income Fund
TAX-EXEMPT
INCOME FUNDS
Nations Municipal
Income Fund
Nations State-Specific
Long-Term Municipal
Bond Funds (CA, FL, GA,
MD, NC, SC, TN, TX, VA)
Nations Intermediate
Municipal Bond Fund
Nations State-Specific
Intermediate Municipal
Bond Funds (FL, GA, MD,
NC, SC, TN, TX, VA)
Nations Short-Term
Municipal Income Fund
DOMESTIC
EQUITY
FUNDS
GROWTH FUNDS
Nations Small Company
Growth Fund
Nations Emerging
Growth Fund
Nations Marsico
Focused Equities Fund
Nations Disciplined
Equity Fund
Nations Capital
Growth Fund
Nations Strategic
Equity Fund
Nations Blue Chip Fund
GROWTH AND
INCOME FUNDS
Nations Marsico Growth
& Income Fund
Nations Equity
Income Fund
Nations Value Fund
Nations Asset
Allocation Fund
Nations Balanced
Assets Fund
Nations Capital
Income Fund
INTERNATIONAL
FUNDS
Nations Emerging
Markets Fund
Nations International
Growth Fund
Nations International
Equity Fund
Nations International
Value Fund
HIGHER
RISK/
REWARD
POTENTIAL
INDEX FUNDS
Nations Equity Index Fund
Nations Managed Index Fund
Nations Managed SmallCap Index Fund
Nations Managed SmallCap Value Index Fund
Nations Managed Value Index Fund
ASSET ALLOCATION PORTFOLIOS
Nations LifeGoal Balanced Growth Portfolio
Nations LifeGoal Growth Portfolio
Nations LifeGoal Income and Growth Portfolio
<PAGE> 7
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.2%
AEROSPACE AND DEFENSE -- 2.6%
300 B.F. Goodrich Company................... $ 9
1,350 Boeing Company.......................... 58
300 General Dynamics Corporation............ 19
250 Northrop Grumman Corporation............ 16
750 Raytheon Company, Class B............... 37
500 Rockwell International Corporation...... 26
50 TRW Inc. ............................... 2
------
167
------
APPAREL AND TEXTILES -- 0.6%
50 National Service Industries, Inc. ...... 2
250 Nike, Inc., Class B..................... 14
450 Russell Corporation..................... 6
150 Springs Industries Inc. ................ 5
350 V.F. Corporation........................ 11
------
38
------
AUTOMOBILE PARTS MANUFACTURERS -- 0.6%
350 Cooper Tire & Rubber Company............ 6
550 Dana Corporation........................ 20
600 Delphi Automotive Systems Corporation... 10
------
36
------
AUTOMOBILES AND TRUCKS -- 3.0%
2,000 Ford Motor Company...................... 101
850 General Motors Corporation.............. 53
350 Navistar International Corporation@..... 16
450 PACCAR, Inc. ........................... 23
------
193
------
BANKING -- 11.1%
1,250 Banc One Corporation.................... 44
800 Bank of New York Inc. .................. 27
250 BankBoston Corporation.................. 11
300 BB&T Corporation........................ 10
1,800 Chase Manhattan Corporation............. 135
150 Comerica Inc. .......................... 8
250 Fifth Third Bancorp..................... 15
1,050 First Union Corporation................. 37
1,513 Firstar Corporation..................... 39
1,350 Fleet Financial Group, Inc. ............ 49
300 Golden West Financial Corporation....... 29
275 Huntington Bancshares Inc. ............. 7
400 J.P. Morgan & Company Inc. ............. 46
800 KeyCorp................................. 21
500 Mellon Bank Corporation................. 17
1,000 National City Corporation............... 27
100 Northern Trust Corporation.............. 8
750 PNC Bank Corporation.................... 40
800 SouthTrust Corporation.................. 29
200 Summit Bancorp.......................... 6
500 SunTrust Banks, Inc. ................... 33
250 Wachovia Corporation.................... 20
1,600 Wells Fargo Company..................... 63
------
721
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
BEVERAGES -- 0.6%
350 Adolph Coors Company, Class B........... $ 19
500 Seagram Company Ltd..................... 23
------
42
------
CHEMICALS -- BASIC -- 2.9%
250 Air Products & Chemicals Inc. .......... 7
400 Dow Chemical Company.................... 45
1,300 E.I. duPont de Nemours and Company...... 80
300 FMC Corporation@........................ 14
300 Mallinckrodt Group Inc. ................ 9
150 Nalco Chemical Company.................. 8
100 PPG Industries, Inc. ................... 6
150 Praxair Inc. ........................... 7
300 Rohm & Haas Company..................... 11
------
187
------
CHEMICALS -- SPECIALTY -- 0.0%+
150 Engelhard Corporation................... 3
------
COMPUTER RELATED -- 3.3%
350 Apple Computer Inc.@.................... 22
100 Data General Corporation@............... 2
1,500 Hewlett-Packard Company................. 139
150 Honeywell Inc. ......................... 17
500 Seagate Technology Inc.@................ 15
450 Unisys Corporation@..................... 20
------
215
------
COMPUTER SERVICES -- 0.4%
100 Computer Sciences Corporation@.......... 7
400 Electronic Data Systems................. 21
------
28
------
COMPUTER SOFTWARE -- 0.5%
100 Adobe Systems Inc. ..................... 11
400 First Data Corporation.................. 18
250 Novell Inc.@............................ 5
------
34
------
CONGLOMERATE -- 1.2%
650 AlliedSignal, Inc. ..................... 39
700 United Technologies Corporation......... 41
------
80
------
CONSTRUCTION -- 1.0%
50 Armstrong World Industries, Inc. ....... 2
400 Centex Corporation...................... 12
400 Crane Company........................... 9
300 Fluor Corporation....................... 12
550 Masco Corporation....................... 17
650 Pulte Corporation....................... 14
50 Sherwin-Williams Company................ 1
------
67
------
CONTAINERS AND PACKAGING -- 0.5%
450 Ball Corporation........................ 20
250 Crown Cork & Seal Company, Inc. ........ 6
200 Owens-Illinois, Inc.@................... 4
------
30
------
DISTRIBUTION AND WHOLESALE -- 0.2%
150 Costco Wholesale Corporation@........... 11
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<PAGE> 8
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED -- 1.1%
100 Eastern Enterprises..................... $ 5
700 Fortune Brands Inc. .................... 22
350 Minnesota Mining & Manufacturing
Company............................... 33
150 Textron Inc. ........................... 12
------
72
------
DRUGS -- 0.4%
550 Pharmacia & Upjohn, Inc. ............... 27
------
ELECTRIC POWER -- 5.8%
150 Ameren Corporation...................... 6
200 CINergy Corporation..................... 6
550 Consolidated Edison, Inc. .............. 23
350 Dominion Resources, Inc. ............... 16
300 DTE Energy Company...................... 11
350 Duke Energy Corporation................. 19
1,000 Edison International.................... 24
800 Entergy Corporation..................... 23
750 FirstEnergy Corporation................. 19
100 Florida Progress Corporation............ 5
300 FPL Group Inc. ......................... 15
650 GPU, Inc. .............................. 21
950 Northern States Power Corporation....... 20
1,000 P G & E Corporation..................... 26
550 PECO Energy Company..................... 21
200 PP&L Resources Inc. .................... 5
700 Public Service Enterprise Group......... 27
850 Reliant Energy Inc. .................... 23
1,150 Southern Company........................ 30
400 Texas Utilities Company................. 15
650 Unicom Corporation...................... 24
------
379
------
ELECTRICAL EQUIPMENT -- 0.4%
450 Emerson Electric Company................ 28
------
ELECTRONICS -- 0.8%
350 Applied Materials Inc.@................. 28
300 LSI Logic Corporation@.................. 15
300 National Semiconductor Corporation@. .... 9
------
52
------
ENVIRONMENTAL -- 0.4%
350 Johnson Controls Inc. .................. 23
------
EXPLORATION AND DRILLING -- 0.2%
100 Burlington Resources Inc. .............. 4
50 Helmerich & Payne, Inc. ................ 1
500 McDermott International Inc. ........... 10
------
15
------
FINANCIAL SERVICES -- 11.9%
300 American Express Company................ 40
500 American General Corporation............ 32
850 Associates First Capital Corporation.... 31
100 Bear Stearns Companies Inc. ............ 4
200 Capital One Financial Corporation....... 8
5,200 Citigroup Inc. ......................... 230
450 Countrywide Credit Industries, Inc. .... 15
1,400 Fannie Mae.............................. 88
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- (CONTINUED)
1,200 Freddie Mac............................. $ 62
1,000 Household International Inc. ........... 40
450 Lehman Brothers Holdings Inc. .......... 26
400 Marsh & McLennan Companies Inc. ........ 27
600 Merrill Lynch & Company Inc. ........... 40
1,000 Morgan Stanley Dean Witter & Company.... 89
350 Paine Webber Group, Inc. ............... 13
900 Washington Mutual, Inc. ................ 26
------
771
------
FOOD PRODUCERS -- 0.2%
750 Nabisco Group Holdings Corporation...... 11
------
FOREST AND PAPER PRODUCTS -- 2.1%
400 Boise Cascade Corporation............... 15
300 Champion International Corporation...... 15
450 Georgia-Pacific Corporation............. 18
650 International Paper Company............. 32
450 Louisiana Pacific Corporation........... 7
150 Mead Corporation........................ 5
150 Temple-Inland Inc. ..................... 9
500 Westvaco Corporation.................... 13
250 Weyerhaeuser Company.................... 14
150 Willamette Industries Inc. ............. 6
------
134
------
FURNITURE AND APPLIANCES -- 0.4%
150 Maytag Corporation...................... 5
350 Whirlpool Corporation................... 23
------
28
------
INSURANCE -- 5.5%
250 Aetna Life and Casualty Company......... 12
600 Aflac, Inc. ............................ 25
1,250 Allstate Corporation.................... 32
1,750 American International Group, Inc. ..... 153
300 CIGNA Corporation....................... 23
850 Conseco Inc. ........................... 16
550 Hartford Financial Services Group,
Inc. ................................. 22
300 Jefferson-Pilot Corporation............. 19
700 Lincoln National Corporation Ltd........ 26
150 Loews Corporation....................... 11
300 MGIC Investment Corporation............. 14
200 Torchmark Corporation................... 5
1 UnumProvident Corporation++............. 0
------
358
------
MACHINERY AND EQUIPMENT -- 1.4%
200 Briggs & Stratton Corporation........... 12
300 Caterpillar Inc. ....................... 16
200 Cooper Industries Inc. ................. 9
100 Cummins Engine Company, Inc. ........... 5
250 Illinois Tool Works, Inc. .............. 20
300 Ingersoll-Rand Company.................. 17
100 Milacron Inc. .......................... 2
50 NACCO Industries Inc., Class A.......... 3
100 Parker Hannifin Corporation............. 4
150 Timken Company.......................... 2
------
90
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE> 9
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
MEDIA -- 3.1%
650 CBS Corporation@........................ $ 30
200 Clear Channel Communications, Inc.@..... 16
650 MediaOne Group, Inc.@................... 44
1,250 Time Warner Inc. ....................... 76
900 Viacom Inc., Class B@................... 38
------
204
------
MEDICAL PRODUCTS AND SUPPLIES -- 0.4%
100 Allergan, Inc. ......................... 11
50 Bausch & Lomb Inc. ..................... 3
100 C.R. Bard Inc. ......................... 5
300 St. Jude Medical Inc.@.................. 9
------
28
------
MEDICAL SERVICES -- 1.1%
1,100 Columbia/HCA Healthcare Corporation..... 23
1,450 HEALTHSOUTH Corporation@................ 9
300 Humana Inc.@............................ 2
350 Tenet Healthcare Corporation@........... 6
550 United Healthcare Corporation........... 27
100 Wellpoint Health Networks, Inc.@........ 6
------
73
------
METALS AND MINING -- 1.6%
500 Alcan Aluminium Ltd..................... 16
500 Alcoa Inc. ............................. 31
1,200 Barrick Gold Corporation................ 26
150 Inco Ltd. .............................. 3
750 Niagara Mohawk Holdings Inc.@........... 12
100 Placer Dome Inc. ....................... 1
250 Reynolds Metals Company................. 15
------
104
------
NETWORKING EQUIPMENT AND PRODUCTS -- 1.3%
1,600 Nortel Networks Corporation............. 82
------
OIL -- DOMESTIC -- 2.4%
500 Amerada Hess Corporation................ 31
550 Atlantic Richfield Company.............. 48
300 Kerr-McGee Corporation.................. 17
350 Phillips Petroleum Company.............. 17
150 Sunoco, Inc. ........................... 4
350 Unocal Corporation...................... 13
800 USX-Marathon Group Inc. ................ 23
------
153
------
OIL -- INTERNATIONAL -- 9.9%
500 Apache Corporation...................... 22
750 Chevron Corporation..................... 67
2,950 Exxon Corporation....................... 223
900 Mobil Corporation....................... 91
3,250 Royal Dutch Petroleum Company........... 192
750 Texaco Inc. ............................ 47
------
642
------
OIL AND GAS -- 0.4%
700 Enron Corporation....................... 29
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
OIL FIELD SERVICES & EQUIPMENT -- 0.8%
50 Baker Hughes Inc. ...................... $ 1
400 Halliburton Company..................... 16
600 Schlumberger Ltd........................ 38
------
55
------
PHOTO AND OPTICAL -- 0.5%
400 Eastman Kodak Company................... 30
------
PRINTING AND PUBLISHING -- 0.7%
450 American Greetings Corporation, Class
A..................................... 12
250 Gannett Company, Inc. .................. 17
350 Knight-Ridder Inc. ..................... 19
------
48
------
PROFESSIONAL SERVICES -- 0.2%
300 H & R Block, Inc........................ 13
------
RECREATION -- 1.9%
400 Brunswick Corporation................... 10
650 Carnival Corporation.................... 28
550 Harrah's Entertainment Inc.@............ 15
350 Hasbro, Inc. ........................... 8
150 Mattel, Inc. ........................... 3
2,200 Walt Disney Company..................... 57
------
121
------
RESTAURANTS AND LODGING -- 1.6%
700 Cendant Corporation@.................... 12
950 Darden Restaurants Inc. ................ 19
150 Marriott International Inc., Class A.... 5
1,550 McDonald's Corporation.................. 67
------
103
------
RETAIL -- FOOD -- 0.5%
150 Albertson's Inc. ....................... 6
400 Great Atlantic & Pacific Tea Company,
Inc. ................................. 12
700 Supervalu Inc. ......................... 15
------
33
------
RETAIL -- GENERAL -- 2.0%
600 Dayton Hudson Corporation............... 37
650 Dillards, Inc., Class A................. 13
600 Federated Department Stores, Inc.@...... 26
1,750 K Mart Corporation@..................... 20
300 May Department Stores Company........... 11
450 Sears, Roebuck and Company.............. 14
750 Toys R Us, Inc.@........................ 11
------
132
------
RETAIL -- SPECIALTY -- 0.8%
200 Circuit City Stores - Circuit City
Group................................. 8
300 Limited Inc. ........................... 12
150 Longs Drug Stores Corporation........... 4
300 Lowe's Companies Inc. .................. 16
150 Nordstrom Inc. ......................... 4
100 PEP Boys - Manny, Moe & Jack............ 1
200 Tandy Corporation....................... 10
------
55
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE> 10
NATIONS FUNDS
Nations Managed Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- ------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS -- 0.2%
150 Advanced Micro Devices@................. $ 3
200 Micron Technology Inc.@................. 13
------
16
------
STEEL -- 0.1%
400 Worthington Industries.................. 7
------
TELECOMMUNICATIONS -- 1.8%
750 Motorola, Inc. ......................... 66
250 Nextel Communications Inc.@............. 17
450 Sprint Corporation (PCS Group)@......... 34
------
117
------
TOBACCO -- 1.3%
2,400 Philip Morris Companies Inc. ........... 82
------
TRANSPORTATION -- 1.7%
1,050 Burlington Northern Santa Fe Inc. ...... 29
150 CSX Corporation......................... 6
500 Delta Air Lines, Inc. .................. 24
300 FDX Corporation@........................ 12
675 Southwest Airlines Company.............. 10
600 Union Pacific Corporation............... 29
------
110
------
TRUCKING AND SHIPPING -- 0.1%
350 Ryder System Inc. ...................... 7
------
UNIT INVESTMENT TRUST -- 0.9%
450 Standard and Poor's Depositary
Receipts.............................. 58
------
UTILITIES -- NATURAL GAS -- 0.8%
800 Coastal Corporation..................... 33
100 Consolidated Natural Gas Company........ 6
350 Williams Companies, Inc. ............... 13
------
52
------
UTILITIES -- TELEPHONE -- 4.0%
250 ALLTEL Corporation...................... 18
300 CenturyTel, Inc. ....................... 12
1,750 MCI Worldcom, Inc.@..................... 126
1,200 Sprint Corporation (FON Group).......... 65
650 U.S. West Inc. ......................... 37
------
258
------
TOTAL COMMON STOCKS
(Cost $5,917)......................... 6,452
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
- -------------------------------------------------------------
<C> <S> <C> <C>
TOTAL INVESTMENTS
(Cost $5,917*)................. 99.2% $6,452
------
OTHER ASSETS AND LIABILITIES
(NET).......................... 0.8%
Receivable for investment securities
sold.................................. $ 26
Dividends receivable.................... 10
Receivable from investment advisor...... 11
Prepaid expenses and other assets....... 38
Administration fee payable.............. (1)
Due to custodian........................ (12)
Distributions payable................... (9)
Accrued Trustees' fees and expenses..... (11)
------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)................................. 52
------
NET ASSETS....................... 100.0% $6,504
======
NET ASSETS CONSIST OF:
Undistributed net investment income..... $ 2
Accumulated net realized gain on
investments sold...................... 196
Net unrealized appreciation of
investments........................... 535
Paid-in capital......................... 5,771
------
NET ASSETS.............................. $6,504
======
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($4,172,833 / 383,558
shares outstanding)................... $10.88
======
INVESTOR A SHARES:
Net asset value, offering and redemption
price per share ($2,330,988 / 213,986
shares outstanding)................... $10.89
======
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $921 and gross depreciation
of $386 for Federal income tax purposes. At September 30, 1999, the aggregate
cost of securities for Federal income tax purposes was $5,917.
@ Non-income producing security.
+ Amount represents less than 0.1%.
++ Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE> 11
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.5%
AEROSPACE AND DEFENSE -- 1.6%
26,800 B.F. Goodrich Company.................. $ 777
75,400 Boeing Company......................... 3,214
27,000 EG&G, Inc. ............................ 1,075
15,000 General Dynamics Corporation........... 937
8,300 Northrop Grumman Corporation........... 528
23,500 Raytheon Company, Class B.............. 1,166
44,900 Rockwell International Corporation..... 2,357
8,300 TRW Inc. .............................. 413
--------
10,467
--------
APPAREL AND TEXTILES -- 0.3%
8,700 Liz Claiborne Inc. .................... 270
16,900 Russell Corporation.................... 240
43,400 V.F. Corporation....................... 1,345
--------
1,855
--------
AUTOMOBILE PARTS MANUFACTURERS -- 0.3%
20,800 Cooper Tire & Rubber Company........... 367
17,100 Dana Corporation....................... 635
34,200 Delphi Automotive Systems
Corporation.......................... 549
4,900 Eaton Corporation...................... 423
12,800 Genuine Parts Company.................. 340
--------
2,314
--------
AUTOMOBILES AND TRUCKS -- 2.0%
122,500 Ford Motor Company..................... 6,149
48,800 General Motors Corporation............. 3,071
16,800 ITT Industries, Inc. .................. 534
47,100 Navistar International Corporation..... 2,190
18,800 PACCAR, Inc. .......................... 956
--------
12,900
--------
BANKING -- 6.4%
92,500 Banc One Corporation................... 3,220
61,100 Bank of New York Inc. ................. 2,043
21,000 BankBoston Corporation................. 911
20,200 BB&T Corporation....................... 654
75,300 Chase Manhattan Corporation............ 5,676
27,400 Comerica Inc. ......................... 1,387
81,400 First Union Corporation................ 2,895
98,611 Firstar Corporation.................... 2,527
93,700 Fleet Financial Group, Inc. ........... 3,432
25,800 Golden West Financial Corporation...... 2,535
25,600 J.P. Morgan & Company Inc. ............ 2,925
32,600 KeyCorp................................ 841
36,500 Mellon Bank Corporation................ 1,232
45,500 National City Corporation.............. 1,214
26,200 PNC Bank Corporation................... 1,380
14,900 Regions Financial Corporation.......... 447
9,300 SouthTrust Corporation................. 334
12,600 Summit Bancorp......................... 409
14,300 SunTrust Banks, Inc. .................. 940
71,800 U.S. Bancorp........................... 2,167
19,000 Wachovia Corporation................... 1,494
95,300 Wells Fargo Company.................... 3,776
--------
42,439
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
BEVERAGES -- 1.3%
19,100 Adolph Coors Company, Class B.......... $ 1,034
33,700 Anheuser-Busch Companies, Inc. ........ 2,361
103,165 Coca-Cola Company++.................... 4,958
--------
8,353
--------
CHEMICALS -- BASIC -- 1.3%
16,100 Air Products & Chemicals Inc. ......... 468
13,000 Dow Chemical Company................... 1,477
55,700 E.I. duPont de Nemours and Company..... 3,391
24,100 FMC Corporation@....................... 1,163
44,500 Mallinckrodt Group Inc. ............... 1,343
11,700 Praxair Inc. .......................... 538
12,900 Rohm & Haas Company.................... 466
--------
8,846
--------
CHEMICALS -- DIVERSIFIED -- 0.1%
23,100 Monsanto Company....................... 824
--------
CHEMICALS -- SPECIALTY -- 0.2%
22,900 Engelhard Corporation.................. 417
10,200 Great Lakes Chemical Corporation....... 388
21,300 W.R. Grace & Company@.................. 342
--------
1,147
--------
COMPUTER RELATED -- 7.0%
900 3Com Corporation@...................... 26
41,700 Apple Computer Inc.@................... 2,640
69,800 Compaq Computer Corporation............ 1,601
147,400 Dell Computer Corporation@............. 6,163
52,400 EMC Corporation@....................... 3,743
46,300 Gateway Inc.@.......................... 2,057
72,200 Hewlett-Packard Company................ 6,643
11,000 Honeywell Inc. ........................ 1,224
20,200 IMS Health Inc. ....................... 461
112,200 International Business Machines
Corporation.......................... 13,619
60,800 Seagate Technology Inc.@............... 1,873
41,000 Sun Microsystems, Inc.@................ 3,813
64,500 Unisys Corporation@.................... 2,911
--------
46,774
--------
COMPUTER SERVICES -- 0.2%
18,100 Automatic Data Processing Inc. ........ 808
10,400 Computer Sciences Corporation@......... 731
--------
1,539
--------
COMPUTER SOFTWARE -- 6.1%
14,300 Adobe Systems Inc. .................... 1,623
30,000 BMC Software, Inc.@.................... 2,147
40,500 Computer Associates International
Inc. ................................ 2,481
30,500 Compuware Corporation@................. 795
24,600 First Data Corporation................. 1,079
302,200 Microsoft Corporation++................ 27,367
53,600 Novell Inc.@........................... 1,109
80,500 Oracle Systems Corporation@............ 3,663
--------
40,264
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE> 12
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
CONGLOMERATE -- 1.8%
39,100 AlliedSignal, Inc. .................... $ 2,344
64,400 Tyco International Ltd. ............... 6,649
49,500 United Technologies Corporation........ 2,936
--------
11,929
--------
CONSTRUCTION -- 0.8%
6,600 Armstrong World Industries, Inc. ...... 297
31,500 Centex Corporation..................... 931
36,800 Crane Company.......................... 826
13,800 Fluor Corporation...................... 555
26,800 Kaufman & Broad Home Corporation....... 553
23,800 Masco Corporation...................... 738
40,100 Pulte Corporation...................... 872
9,600 Sherwin-Williams Company............... 201
--------
4,973
--------
CONTAINERS AND PACKAGING -- 0.1%
20,100 Ball Corporation....................... 886
500 Crown Cork & Seal Company, Inc. ....... 12
--------
898
--------
COSMETICS AND TOILETRIES -- 1.5%
6,000 Gillette Company....................... 204
36,800 Kimberly-Clark Corporation............. 1,932
80,800 Procter & Gamble Company............... 7,575
--------
9,711
--------
DISTRIBUTION AND WHOLESALE -- 0.1%
12,000 Costco Wholesale Corporation@.......... 864
--------
DIVERSIFIED -- 0.7%
12,900 Corning, Inc. ......................... 884
9,500 Eastern Enterprises.................... 441
64,300 Fortune Brands Inc. ................... 2,074
200 Tenneco Inc. .......................... 3
11,600 Textron Inc. .......................... 898
--------
4,300
--------
DRUGS -- 6.1%
31,100 American Home Products Corporation++... 1,291
51,200 Amgen Inc.@............................ 4,173
107,000 Bristol-Myers Squibb Company........... 7,223
56,800 Eli Lilly and Company.................. 3,635
119,600 Merck & Company, Inc. ................. 7,752
219,600 Pfizer Inc. ........................... 7,891
28,300 Pharmacia & Upjohn, Inc. .............. 1,404
87,600 Schering-Plough Corporation............ 3,822
45,800 Warner-Lambert Company................. 3,040
--------
40,231
--------
ELECTRIC POWER -- 3.9%
7,500 Ameren Corporation..................... 284
10,400 American Electric Power Inc. .......... 355
10,200 Carolina Power & Light Company......... 361
19,400 Central & South West Corporation....... 410
21,000 CINergy Corporation.................... 595
8,000 CMS Energy Corporation................. 272
23,300 Consolidated Edison, Inc. ............. 967
12,800 Constell Energy........................ 360
10,700 Dominion Resources, Inc. .............. 483
61,100 DTE Energy Company..................... 2,207
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
ELECTRIC POWER -- (CONTINUED)
25,000 Duke Energy Corporation................ $ 1,378
103,800 Edison International................... 2,523
31,400 Entergy Corporation.................... 909
12,800 FirstEnergy Corporation................ 326
14,300 FPL Group Inc. ........................ 720
60,400 GPU, Inc. ............................. 1,971
27,200 Northern States Power Corporation...... 587
36,500 P G & E Corporation.................... 944
49,600 PECO Energy Company.................... 1,860
85,800 PP&L Resources Inc. ................... 2,321
18,300 Public Service Enterprise Group........ 707
19,800 Reliant Energy Inc. ................... 536
67,400 Southern Company....................... 1,736
17,200 Texas Utilities Company................ 642
68,500 Unicom Corporation..................... 2,529
--------
25,983
--------
ELECTRICAL EQUIPMENT -- 0.1%
11,000 Thomas & Betts Corporation............. 561
--------
ELECTRONICS -- 0.3%
15,100 Applied Materials Inc.@................ 1,173
11,900 Solectron Corporation@................. 855
--------
2,028
--------
ENVIRONMENTAL -- 0.2%
23,700 Johnson Controls Inc. ................. 1,572
--------
EXPLORATION AND DRILLING -- 0.1%
21,000 McDermott International Inc. .......... 425
--------
FINANCIAL SERVICES -- 6.8%
31,300 American Express Company............... 4,214
18,300 American General Corporation........... 1,156
50,900 Associates First Capital Corporation... 1,832
22,300 Bear Stearns Companies Inc. ........... 857
15,700 Charles Schwab Corporation............. 529
269,000 Citigroup Inc.++....................... 11,837
34,600 Countrywide Credit Industries, Inc. ... 1,116
72,600 Fannie Mae............................. 4,551
49,600 Freddie Mac............................ 2,579
32,600 Household International Inc. .......... 1,308
20,300 Lehman Brothers Holdings Inc. ......... 1,184
25,800 Marsh & McLennan Companies Inc. ....... 1,767
80,400 MBNA Corporation....................... 1,834
28,100 Merrill Lynch & Company Inc. .......... 1,888
64,800 Morgan Stanley Dean Witter & Company... 5,779
22,800 Paine Webber Group, Inc. .............. 827
9,400 Providian Financial Corporation........ 744
53,800 Washington Mutual, Inc. ............... 1,574
--------
45,576
--------
FOOD PRODUCERS -- 0.6%
34,200 ConAgra Inc. .......................... 771
22,300 Nabisco Group Holdings Corporation..... 335
7,900 Quaker Oats Company.................... 489
18,800 Ralston Purina Group................... 523
15,300 Sara Lee Corporation................... 359
26,400 Unilever NV............................ 1,798
--------
4,275
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE> 13
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
FOREST AND PAPER PRODUCTS -- 1.0%
28,900 Boise Cascade Corporation.............. $ 1,053
5,100 Champion International Corporation..... 262
10,900 Fort James Corporation................. 291
31,700 Georgia-Pacific Corporation............ 1,283
20,700 International Paper Company............ 995
40,300 Louisiana Pacific Corporation.......... 630
7,100 Mead Corporation....................... 244
3,600 Temple-Inland Inc. .................... 218
18,000 Weyerhaeuser Company................... 1,037
7,300 Willamette Industries Inc. ............ 315
--------
6,328
--------
FURNITURE AND APPLIANCES -- 0.4%
12,000 Black & Decker Corporation............. 548
21,300 Maytag Corporation..................... 710
19,700 Whirlpool Corporation.................. 1,286
--------
2,544
--------
INSURANCE -- 3.4%
16,300 Aetna Life and Casualty Company........ 803
14,300 Aflac, Inc. ........................... 599
86,800 Allstate Corporation................... 2,165
99,000 American International Group, Inc. .... 8,608
26,300 Aon Corporation........................ 777
7,100 CIGNA Corporation...................... 552
35,300 Conseco Inc. .......................... 682
37,200 Hartford Financial Services Group,
Inc. ................................ 1,521
24,300 Jefferson-Pilot Corporation............ 1,535
56,900 Lincoln National Corporation Ltd. ..... 2,137
10,500 Loews Corporation...................... 737
9,200 MBIA Inc. ............................. 429
25,600 MGIC Investment Corporation............ 1,222
11,300 Torchmark Corporation.................. 292
22,600 UnumProvident Corporation.............. 665
--------
22,724
--------
INTERNET -- 1.0%
62,800 America Online Inc.@++................. 6,531
--------
MACHINERY AND EQUIPMENT -- 1.1%
22,800 Briggs & Stratton Corporation.......... 1,331
12,000 Caterpillar Inc. ...................... 658
10,600 Cooper Industries Inc. ................ 496
7,900 Cummins Engine Company, Inc. .......... 394
22,300 Foster Wheeler Corporation............. 269
43,400 Ingersoll-Rand Company................. 2,383
17,700 Milacron Inc. ......................... 314
6,200 NACCO Industries Inc., Class A......... 433
16,000 Parker Hannifin Corporation............ 717
--------
6,995
--------
MANUFACTURING -- 3.4%
9,600 Danaher Corporation.................... 506
183,500 General Electric Company++............. 21,756
--------
22,262
--------
MEDIA -- 1.5%
47,800 CBS Corporation@....................... 2,211
15,700 King World Productions, Inc.@.......... 589
22,500 MediaOne Group, Inc.@.................. 1,537
5,200 Omnicom Group.......................... 412
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
MEDIA -- (CONTINUED)
37,800 Time Warner Inc. ...................... $ 2,296
60,500 Viacom Inc., Class B@.................. 2,556
--------
9,601
--------
MEDICAL PRODUCTS AND SUPPLIES -- 2.4%
83,600 Abbott Laboratories.................... 3,072
11,500 Allergan, Inc. ........................ 1,265
5,700 Bausch & Lomb Inc. .................... 376
12,500 Baxter International Inc. ............. 753
8,300 Becton Dickinson & Company............. 233
14,200 Cardinal Health, Inc. ................. 774
85,300 Johnson & Johnson...................... 7,837
24,200 Medtronic, Inc. ....................... 859
28,900 St. Jude Medical Inc.@................. 910
--------
16,079
--------
MEDICAL SERVICES -- 0.5%
45,500 Columbia/HCA Healthcare Corporation.... 964
200 HBO & Company, Inc. ................... 6
79,100 HEALTHSOUTH Corporation@............... 480
15,000 Manor Care, Inc.@...................... 258
8,800 Tenet Healthcare Corporation@.......... 155
30,300 United Healthcare Corporation.......... 1,474
--------
3,337
--------
METALS AND MINING -- 0.6%
15,400 Alcan Aluminium Ltd. .................. 481
24,100 Alcoa Inc. ............................ 1,496
24,600 Barrick Gold Corporation............... 535
67,700 Niagara Mohawk Holdings Inc.@.......... 1,045
20,200 Placer Dome Inc. ...................... 300
4,900 Reynolds Metals Company................ 296
--------
4,153
--------
NETWORKING EQUIPMENT AND PRODUCTS -- 2.8%
201,500 Cisco Systems, Inc.@................... 13,815
92,900 Nortel Networks Corporation............ 4,738
--------
18,553
--------
OFFICE EQUIPMENT -- 0.2%
11,800 Pitney Bowes, Inc. .................... 719
21,800 Xerox Corporation...................... 914
--------
1,633
--------
OIL -- DOMESTIC -- 1.1%
41,700 Amerada Hess Corporation............... 2,554
17,400 Atlantic Richfield Company............. 1,542
5,600 Columbia Energy Group.................. 310
18,800 Occidental Petroleum Corporation....... 435
36,500 Sunoco, Inc. .......................... 999
38,000 USX-Marathon Group Inc. ............... 1,112
--------
6,952
--------
OIL -- INTERNATIONAL -- 4.3%
11,700 Apache Corporation..................... 505
36,300 Chevron Corporation.................... 3,222
114,700 Exxon Corporation++.................... 8,710
39,300 Mobil Corporation...................... 3,959
175,000 Royal Dutch Petroleum Company.......... 10,337
29,200 Texaco Inc. ........................... 1,843
--------
28,576
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE> 14
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
OIL FIELD SERVICES & EQUIPMENT -- 0.0%+
14,500 Sempra Energy.......................... $ 302
--------
PHOTO AND OPTICAL -- 0.3%
22,800 Eastman Kodak Company.................. 1,720
--------
PRINTING AND PUBLISHING -- 0.9%
14,800 American Greetings Corporation, Class
A.................................... 381
25,900 Deluxe Corporation..................... 881
5,200 Dow Jones & Company Inc. .............. 278
21,600 Gannett Company, Inc. ................. 1,494
28,600 Knight-Ridder Inc. .................... 1,568
22,200 New York Times Company, Class A........ 833
10,200 R.R. Donnelley & Sons Company.......... 295
--------
5,730
--------
PROFESSIONAL SERVICES -- 0.2%
5,300 H & R Block, Inc. ..................... 230
20,000 Interpublic Group Companies, Inc. ..... 823
--------
1,053
--------
RECREATION -- 0.7%
22,500 Brunswick Corporation.................. 560
18,900 Carnival Corporation................... 822
2,700 Fleetwood Enterprises Inc. ............ 55
24,100 Harrah's Entertainment Inc.@........... 669
10,900 Hasbro, Inc. .......................... 234
77,600 Walt Disney Company.................... 2,007
--------
4,347
--------
RESTAURANTS AND LODGING -- 0.7%
72,500 Darden Restaurants Inc. ............... 1,418
13,300 Marriott International Inc., Class A... 435
52,700 McDonald's Corporation................. 2,266
8,400 Tricon Global Restaurants Inc.@........ 344
--------
4,463
--------
RETAIL -- FOOD -- 0.5%
24,600 Albertson's Inc. ...................... 973
34,100 Safeway, Inc.@......................... 1,298
36,500 Supervalu Inc. ........................ 796
--------
3,067
--------
RETAIL -- GENERAL -- 3.5%
35,600 Dayton Hudson Corporation.............. 2,138
37,300 Dillards, Inc., Class A................ 758
41,800 Federated Department Stores, Inc.@..... 1,826
14,600 J.C. Penney Company, Inc. ............. 502
62,000 K Mart Corporation@.................... 725
19,100 May Department Stores Company.......... 696
26,300 Sears, Roebuck and Company............. 825
36,600 Toys R Us, Inc.@....................... 549
311,500 Wal-Mart Stores, Inc.++................ 14,815
--------
22,834
--------
RETAIL -- SPECIALTY -- 2.4%
14,200 Circuit City Stores - Circuit City
Group................................ 599
26,600 CVS Corporation........................ 1,086
65,500 Gap Inc. .............................. 2,096
103,400 Home Depot Inc. ....................... 7,096
22,500 Limited Inc. .......................... 861
12,400 Longs Drug Stores Corporation.......... 370
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
RETAIL -- SPECIALTY -- (CONTINUED)
26,300 Lowe's Companies Inc. ................. $ 1,282
13,000 Staples Inc.@.......................... 284
16,800 Tandy Corporation...................... 868
58,100 TJX Companies Inc. .................... 1,630
--------
16,172
--------
SEMICONDUCTORS -- 3.2%
222,300 Intel Corporation++.................... 16,520
54,700 Texas Instruments Inc. ................ 4,499
--------
21,019
--------
TELECOMMUNICATIONS -- 2.8%
9,200 General Instruments Corporation@....... 443
196,400 Lucent Technologies, Inc. ............. 12,741
42,500 Motorola, Inc. ........................ 3,740
6,500 Sprint Corporation (PCS Group)@........ 485
25,200 Tellabs, Inc.@......................... 1,435
--------
18,844
--------
TOBACCO -- 0.7%
134,500 Philip Morris Companies Inc. .......... 4,598
--------
TRANSPORTATION -- 1.2%
15,100 AMR Corporation@....................... 823
69,700 Burlington Northern Santa Fe Inc. ..... 1,917
24,600 Delta Air Lines, Inc. ................. 1,193
25,300 FDX Corporation@....................... 980
6,300 Kansas City Southern Industries........ 293
84,100 Southwest Airlines Company............. 1,277
26,400 Union Pacific Corporation.............. 1,269
4,700 US Airways Group Inc.@................. 123
--------
7,875
--------
TRUCKING AND SHIPPING -- 0.0%+
9,000 Ryder System Inc. ..................... 183
--------
UTILITIES -- NATURAL GAS -- 0.4%
57,200 Coastal Corporation.................... 2,342
6,800 Consolidated Natural Gas Company....... 424
--------
2,766
--------
UTILITIES -- TELEPHONE -- 8.4%
19,500 ALLTEL Corporation..................... 1,372
78,400 Ameritech Corporation.................. 5,268
242,300 AT&T Corporation++..................... 10,540
108,200 Bell Atlantic Corporation.............. 7,283
143,200 BellSouth Corporation.................. 6,444
7,600 CenturyTel, Inc. ...................... 309
69,200 GTE Corporation........................ 5,320
127,700 MCI Worldcom, Inc.@.................... 9,178
118,300 SBC Communications Inc. ............... 6,041
58,700 Sprint Corporation (FON Group)......... 3,184
23,100 U.S. West Inc. ........................ 1,318
--------
56,257
--------
WASTE MANAGEMENT -- 0.0%+
1,700 Waste Management Inc. ................. 33
--------
TOTAL COMMON STOCKS
(Cost $437,960)........................ 658,579
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE> 15
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
- -----------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 1.7%
(Cost $10,938)
10,938 Nations Cash Reserves#................. $ 10,938
--------
TOTAL INVESTMENTS
(Cost $448,898*).............. 101.2% 669,517
--------
OTHER ASSETS AND LIABILITIES
(NET)......................... (1.2)%
Receivable for investment securities
sold................................. $ 24,662
Receivable for Fund shares sold........ 483
Dividends receivable................... 953
Interest receivable.................... 2
Variation margin....................... 8
Unamortized organization costs......... 4
Prepaid expenses....................... 15
Payable for line of credit............. (22,567)
Collateral on securities loaned........ (10,938)
Payable for Fund shares redeemed....... (462)
Investment advisory fee payable........ (110)
Administration fee payable............. (134)
Shareholder servicing and distribution
fees payable......................... (11)
Due to custodian....................... (12)
Distributions payable.................. (10)
Accrued Trustees' fees and expenses.... (12)
Accrued expenses and other
liabilities.......................... (124)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET).................... (8,253)
--------
NET ASSETS...................... 100.0% $661,264
========
NET ASSETS CONSIST OF:
Undistributed net investment income.... $ 133
Accumulated net realized gain on
investments sold and futures
contracts............................ 158
Net unrealized appreciation of
investments and futures contracts.... 220,669
Paid-in capital........................ 440,304
--------
NET ASSETS............................. $661,264
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
- -----------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($610,710,321 / 31,758,812 shares
outstanding)......................... $19.23
------
------
PRIMARY B SHARES:
Net asset value, offering and
redemption price per share
($4,467 / 233 shares outstanding).... $19.21
------
------
INVESTOR A SHARES:
Net asset value, offering and
redemption price per share
($50,549,414 / 2,628,653 shares
outstanding)......................... $19.23
------
------
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $240,025 and gross
depreciation of $19,406 for Federal income tax purposes. At September 30,
1999, the aggregate cost of securities for Federal income tax purposes was
$448,898.
@ Non-income producing security.
++ A portion of the security is segregated as collateral for futures contracts.
+ Amount represents less than 0.1%.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
Represents cash collateral received from securities lending activity (Note
8).
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE> 16
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.6%
ADVERTISING AND MARKETING SERVICES -- 0.1%
650 HA-LO Industries, Inc.@................... $ 4
------
AEROSPACE AND DEFENSE -- 0.5%
450 AAR Corporation........................... 8
700 BE Aerospace, Inc.@....................... 8
650 Orbital Sciences Corporation@............. 12
------
28
------
APPAREL AND TEXTILES -- 2.2%
750 Authentic Fitness Corporation............. 13
900 Brown Shoe Company, Inc. ................. 17
1,500 Cone Mills Corporation@................... 7
1,350 Delta Woodside Industries Inc. ........... 4
300 Footstar Inc.@............................ 11
500 Haggar Corporation........................ 6
1,050 Hartmarx Corporation@..................... 4
550 J. Baker Inc. ............................ 4
300 K-Swiss Inc. ............................. 9
500 Nautica Enterprises Inc.@................. 8
400 Oxford Industries Inc. ................... 9
900 Phillips-Van Heusen Corporation........... 8
350 Pillowtex Corporation..................... 3
2,150 Stride Rite Corporation................... 15
------
118
------
AUTOMOBILE PARTS MANUFACTURERS -- 2.5%
1,250 Intermet Corporation...................... 11
990 Myers Industries Inc. .................... 17
950 Simpson Industries........................ 11
900 Spartan Motors Inc. ...................... 5
650 Standard Motor Products, Inc. ............ 13
400 Standard Products Company................. 13
1,250 TBC Corporation@.......................... 9
950 Titan International Inc. ................. 10
1,800 Tower Automotive Inc.@.................... 35
500 Wynn's International, Inc. ............... 8
------
132
------
BANKING -- 3.0%
450 Anchor Bancorp Wisconsin Inc. ............ 7
850 BankNorth Group Inc. ..................... 25
1,250 Community First Bankshares, Inc. ......... 21
500 Downey Financial Corporation.............. 10
1,300 MAF Bancorp Inc. ......................... 26
1,250 Provident Bankshares Corporation.......... 27
1,150 Silicon Valley Bancshares@................ 28
950 Susquehanna Bancshares Inc. .............. 16
------
160
------
BEVERAGES -- 0.9%
750 Canandaigua Brands Inc., Class A@......... 45
------
BUILDING MATERIALS -- 4.1%
850 Building Materials Holding
Corporation@............................ 9
200 Butler Manufacturing Company.............. 5
1,550 Champion Enterprises Inc.@................ 14
700 Coachmen Industries Inc. ................. 11
700 Florida Rock Industries................... 24
1,100 Hughes Supply Inc. ....................... 24
850 Insteel Industries, Inc. ................. 8
1,000 Lone Star Industries...................... 49
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
BUILDING MATERIALS -- (CONTINUED)
400 Service Experts Inc.@..................... $ 4
400 Skyline Corporation....................... 10
700 Texas Industries Inc. .................... 26
1,150 Universal Forest Products................. 15
1,200 Watsco Inc. .............................. 14
------
213
------
CHEMICALS -- BASIC -- 0.6%
1,150 Cambrex Corporation....................... 30
------
CHEMICALS -- SPECIALTY -- 1.3%
400 Chemed Corporation........................ 12
600 Lilly Industries Inc., Class A............ 8
950 OM Group, Inc. ........................... 37
450 Penford Corporation....................... 6
450 Quaker Chemical Corporation............... 7
------
70
------
COMMERCIAL SERVICES -- 1.8%
650 Insurance Auto Auctions Inc.@............. 10
3,300 Interim Services Inc.@.................... 54
550 Lason, Inc.@.............................. 24
550 NFO Worldwide Inc.@....................... 7
------
95
------
COMPUTER RELATED -- 0.8%
850 Hutchinson Technology, Inc.@.............. 23
2,200 Standard Microsystems Corporation@........ 20
------
43
------
COMPUTER SERVICES -- 1.0%
1,100 Gerber Scientific Inc. ................... 25
1,000 Primark Corporation@...................... 28
------
53
------
COMPUTER SOFTWARE -- 0.9%
1,000 Avid Technology, Inc.@.................... 13
1,350 Epicor Software Corporation@.............. 8
800 Hyperion Solutions Corporation@........... 18
1,450 Read-Rite Corporation..................... 6
------
45
------
CONSTRUCTION -- 3.8%
2,600 D.R. Horton Inc. ......................... 34
750 Halter Marine Group Inc.@................. 4
850 Insituform Technologies Inc., Class A@.... 21
1,000 M.D.C. Holdings, Inc. .................... 16
2,650 Morrison Knudsen Corporation@............. 27
850 Ryland Group Inc. ........................ 19
1,000 Southern Energy Homes Inc.@............... 3
1,250 Standard Pacific Corporation.............. 13
850 TJ International Inc. .................... 21
1,300 Toll Brothers Inc.@....................... 25
650 U.S. Home Corporation@.................... 18
------
201
------
CONSUMER GOODS AND SERVICES -- 3.8%
450 Angelica Corporation...................... 5
2,450 Fedders Corporation....................... 15
750 Harman International Industries........... 31
1,700 Kaman Corporation......................... 22
1,050 Kellwood Company.......................... 23
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 17
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
CONSUMER GOODS AND SERVICES -- (CONTINUED)
800 La-Z-Boy Inc. ............................ $ 15
1,750 Oakwood Homes Corporation................. 8
950 Royal Appliance Manufacturing Company@.... 5
800 Russ Berrie & Company Inc. ............... 17
1,600 Smithfield Foods Inc.@.................... 42
900 Thomas Industries Inc. ................... 17
------
200
------
CONTAINERS AND PACKAGING -- 0.8%
1,600 AptarGroup Inc. .......................... 43
------
DISTRIBUTION AND WHOLESALE -- 0.6%
350 Aviation Sales Company@................... 7
2,150 Brightpoint Inc.@......................... 15
500 Lawson Products........................... 11
------
33
------
DIVERSIFIED -- 0.6%
1,550 Justin Industries Inc. ................... 22
400 Standex International Corporation......... 11
------
33
------
DRUGS -- 1.8%
750 Alpharma Inc., Class A.................... 26
1,100 Bindley Western Industries................ 16
1,350 Roberts Pharmaceutical Corporation@....... 41
300 Syncor International Corporation@......... 11
------
94
------
ELECTRIC POWER -- 2.8%
450 Bangor Hydro-Electric Company............. 7
700 Central Vermont Public Services........... 9
500 CILCORP Inc. ............................. 33
200 Green Mountain Power Corporation.......... 2
372 NSTAR..................................... 14
1,800 Sierra Pacific Resources.................. 41
500 TNP Enterprises Inc. ..................... 19
450 United Illuminating Company............... 22
------
147
------
ELECTRICAL EQUIPMENT -- 1.0%
200 C-COR Electronics@........................ 6
550 Intermagnetics General Corporation@....... 3
1,000 KEMET Corporation@........................ 32
350 Park Electrochemical Corporation.......... 12
------
53
------
ELECTRONICS -- 3.5%
400 Benchmark Electronics Inc.@............... 14
1,650 Checkpoint Systems Inc.@.................. 15
700 CTS Corporation........................... 41
100 Dallas Semiconductor Corporation.......... 5
300 Electro Scientific Industries, Inc.@...... 16
450 Esterline Technologies Corporation@....... 7
400 Hadco Corporation@........................ 17
850 Itron Inc.@............................... 5
800 Kent Electronics Corporation@............. 15
350 Kulicke & Soffa Industries Inc.@.......... 9
750 Methode Electronics Inc. ................. 14
1,850 Pioneer Standard Electronics.............. 27
------
185
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
ENERGY -- 0.3%
450 Barrett Resources Corporation@............ $ 17
------
ENVIRONMENTAL -- 0.9%
400 American States Water Company............. 13
1,000 Clarcor Inc. ............................. 17
1,350 IMCO Recycling Inc. ...................... 20
------
50
------
EXPLORATION AND DRILLING -- 2.1%
850 Devon Energy Corporation.................. 36
1,550 Energen Corporation....................... 31
1,100 Northwest Natural Gas Company............. 28
2,000 Southwestern Energy Company............... 18
------
113
------
FINANCIAL SERVICES -- 5.6%
1,550 Americredit Corporation@.................. 23
2,400 Commercial Federal Corporation............ 47
600 Dain Rauscher Corporation................. 29
1,700 Enhance Financial Services Group Inc. .... 30
1,350 Hambrecht & Quist Group@.................. 67
350 JSB Financial Inc. ....................... 20
1,550 Raymond James Financial, Inc. ............ 31
850 Riggs National Corporation................ 14
1,250 St. Paul Bancorp Inc. .................... 29
------
290
------
FOOD PRODUCERS -- 2.2%
2,600 Chiquita Brands International Inc. ....... 15
1,450 Corn Products International Inc. ......... 45
300 J & J Snack Foods Corporation@............ 6
850 Michael Foods Inc. ....................... 22
900 Panera Bread Company, Class A@............ 6
1,250 Ralcorp Holdings, Inc.@................... 22
------
116
------
FOREST AND PAPER PRODUCTS -- 0.4%
1,200 Pope & Talbot Inc. ....................... 15
650 Schweitzer-Mauduit International Inc. .... 8
------
23
------
FURNITURE AND APPLIANCES -- 0.5%
700 Bassett Furniture Industries, Inc. ....... 14
2,000 Interface Inc. ........................... 10
------
24
------
GAS AND ELECTRIC -- 0.3%
450 Central Hudson Gas & Electric............. 18
------
HEALTHCARE -- 1.7%
2,300 Coventry Health Care Inc.@................ 22
1,550 Magellan Health Services, Inc.@........... 11
1,150 Orthodontic Centers of America@........... 20
550 Pediatrix Medical Group Inc.@............. 8
3,100 US Oncology, Inc.@........................ 28
------
89
------
HOUSEHOLD PRODUCTS -- 0.2%
300 National Presto Industries, Inc. ......... 12
------
INDUSTRIAL -- 0.4%
750 Geon Company.............................. 19
------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 18
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
INSURANCE -- 3.4%
1,250 Capital Re Corporation.................... $ 13
950 Delphi Financial Group Inc., Class A@..... 28
1,050 Fidelity National Financial, Inc. ........ 16
1,950 First American Financial Corporation...... 26
2,900 Fremont General Corporation............... 28
1,300 Radin Group Inc. ......................... 55
1,350 Sierra Health Services, Inc.@............. 14
------
180
------
MACHINERY AND EQUIPMENT -- 1.7%
950 Applied Industrial Technologies, Inc. .... 17
700 Applied Power, Inc., Class A.............. 22
850 Gardner Denver Machinery Inc.@............ 13
900 Global Industries Technologies, Inc.@..... 11
1,500 Paxar Corporation@........................ 14
500 Regal Beloit.............................. 10
------
87
------
MANUFACTURING -- 1.4%
1,300 A. O. Smith Corporation................... 40
800 Belden Inc. .............................. 16
750 Dixie Group Inc. ......................... 6
600 Lydall Inc.@.............................. 6
700 Sturm, Ruger & Company Inc. .............. 6
------
74
------
MEDICAL PRODUCTS AND SUPPLIES -- 2.6%
350 Cooper Companies Inc. .................... 11
500 Datascope Corporation@.................... 18
1,550 Dura Pharmaceuticals Inc.@................ 22
1,000 Maxxim Medical Inc.@...................... 23
2,400 Molecular Biosystems, Inc.@............... 4
950 Sola International Inc.@.................. 15
600 SpaceLabs Medical Inc.@................... 9
800 Varian Medical Systems, Inc. ............. 18
750 Vital Signs Inc. ......................... 15
------
135
------
MEDICAL SERVICES -- 0.9%
950 Cerner Corporation@....................... 14
750 Coherent Inc.@............................ 18
1,350 Integrated Health Services Inc.@.......... 2
950 NCS Healthcare Inc., Class A@............. 2
3,150 PhyCor Inc.@.............................. 14
------
50
------
METALS AND MINING -- 3.3%
1,450 AMCOL International Corporation........... 21
750 Brush Wellman Inc. ....................... 11
900 Commercial Metals Company................. 26
800 Commonwealth Industries, Inc. ............ 11
900 Material Sciences Corporation@............ 12
950 Mueller Industries Inc.@.................. 28
600 Quanex Corporation........................ 15
1,050 Reliance Steel & Aluminum Company......... 22
850 RTI International Metals, Inc.@........... 9
950 Steel Technologies Inc. .................. 11
600 Wolverine Tube Inc.@...................... 9
------
175
------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
OFFICE EQUIPMENT -- 1.3%
950 Brady Corporation......................... $ 30
1,550 John H. Harland Company................... 31
600 Nashua Corporation@....................... 5
------
66
------
OIL AND GAS -- 3.9%
650 Cabot Oil & Gas Corporation............... 11
700 HS Resources, Inc.@....................... 11
1,600 Input/Output, Inc.@....................... 11
450 New Jersey Resources Corporation.......... 18
1,400 Oceaneering International Inc.@........... 24
1,000 Pool Energy Services Company@............. 25
2,000 Pride International Inc.@................. 28
2,000 Seitel Inc.@.............................. 20
1,200 Vintage Petroleum Inc. ................... 16
1,350 Wicor Inc. ............................... 39
------
203
------
OIL FIELD SERVICES & EQUIPMENT -- 0.3%
350 Seacor Smit, Inc.@........................ 18
------
PRINTING AND PUBLISHING -- 1.7%
1,000 Bowne & Company Inc. ..................... 12
500 Merrill Corporation....................... 10
1,000 Thomas Nelson, Inc. ...................... 10
1,550 World Color Press Inc.@................... 58
------
90
------
PROFESSIONAL SERVICES -- 1.5%
750 CDI Corporation@.......................... 21
1,400 InaCom Corporation@....................... 13
1,350 Offshore Logistics Inc.@.................. 14
750 URS Corporation@.......................... 18
450 Volt Information Sciences Inc.@........... 11
------
77
------
RECREATION -- 2.0%
1,350 Arctic Cat Inc. .......................... 13
2,150 Aztar Corporation@........................ 22
850 Family Golf Centers, Inc.@................ 2
200 GC Companies Inc.@........................ 6
1,350 Hollywood Park Inc.@...................... 21
300 Huffy Corporation......................... 3
600 K2 Inc. .................................. 5
2,200 Players International, Inc.@.............. 16
400 Thor Industries Inc. ..................... 10
400 Winnebago Industries...................... 10
------
108
------
RESTAURANTS AND LODGING -- 2.9%
600 Applebees International Inc. ............. 20
1,400 CKE Restaurant Inc. ...................... 10
800 IHOP Corporation@......................... 16
1,250 Landry's Seafood Restaurants Inc.@........ 10
600 Luby's Inc. .............................. 7
1,000 Marcus Corporation........................ 12
2,750 Prime Hospitality Corporation@............ 22
900 Ruby Tuesday Inc. ........................ 18
2,200 Ryan's Family Steak Houses Inc.@.......... 20
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE> 19
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
RESTAURANTS AND LODGING -- (CONTINUED)
1,300 Taco Cabana Inc., Class A@................ $ 13
1,200 TCBY Enterprises Inc. .................... 5
------
153
------
RETAIL -- FOOD -- 1.0%
1,750 Earthgrains Company....................... 39
1,000 Fleming Companies Inc. ................... 10
600 Nash-Finch Company........................ 4
------
53
------
RETAIL -- GENERAL -- 0.8%
1,000 Cash America Investments Inc. ............ 9
1,050 ShopKo Stores, Inc.@...................... 31
------
40
------
RETAIL -- SPECIALTY -- 4.5%
200 AnnTaylor Stores Corporation@............. 8
600 Books-A-Million Inc.@..................... 5
1,650 Cato Corporation.......................... 23
400 Discount Auto Parts Inc.@................. 6
850 Dress Barn Inc.@.......................... 16
1,150 Goody's Family Clothing Inc.@............. 9
800 Gottschalks Inc.@......................... 7
1,800 Jan Bell Marketing Inc.@.................. 6
850 Jo-Ann Stores Inc.@....................... 11
1,300 Just For Feet Inc.@....................... 3
1,350 Michaels Stores Inc.@..................... 39
2,300 Pier 1 Imports Inc. ...................... 16
1,650 The Bombay Company Inc.@.................. 8
550 Toro Company.............................. 21
1,450 Zale Corporation@......................... 55
------
233
------
SEMICONDUCTORS -- 1.7%
2,000 International Rectifier Corporation@...... 31
1,400 Lattice Semiconductor Corporation@........ 41
450 Watkins-Johnson Company................... 15
216 Zilog Inc.@............................... 2
------
89
------
STEEL -- 0.1%
800 Birmingham Steel Corporation.............. 6
------
TECHNOLOGY -- 1.0%
750 Marshall Industries@...................... 27
2,300 S3 Inc.@.................................. 24
------
51
------
TELECOMMUNICATIONS -- 0.3%
400 Digi International Inc.@.................. 4
1,500 SymmetriCom Inc.@......................... 12
------
16
------
TRANSPORTATION -- 2.7%
600 Air Express International Corporation..... 14
1,550 American Freightways Corporation@......... 28
1,000 Fritz Companies, Inc.@.................... 10
1,350 Mesa Air Group Inc.@...................... 8
900 Pittston BAX Group........................ 7
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
TRANSPORTATION -- (CONTINUED)
800 Railtex Inc.@............................. $ 13
450 SkyWest Inc. ............................. 10
1,100 U.S. Freightways Corporation.............. 53
------
143
------
TRUCKING AND SHIPPING -- 2.8%
1,100 Arkansas Best Corporation@................ 14
1,000 Frozen Food Express Industries, Inc. ..... 6
250 Landstar System Inc.@..................... 9
650 M.S. Carriers Inc.@....................... 16
2,650 Rollins Truck Leasing Corporation......... 27
1,100 Wabash National Corporation............... 22
2,150 Werner Enterprises Inc. .................. 37
1,000 Yellow Corporation@....................... 17
------
148
------
UTILITIES -- NATURAL GAS -- 1.7%
700 Cascade Natural Gas Corporation........... 13
250 Connecticut Energy Corporation............ 10
650 Piedmont Natural Gas Company, Inc. ....... 20
1,350 Southwest Gas Corporation................. 35
700 Valmont Industries Inc. .................. 12
------
90
------
UTILITIES -- WATER -- 0.7%
1,200 United Water Resources Inc. .............. 39
------
WIRE AND CABLE PRODUCTS -- 1.4%
1,150 Anixter International Inc.@............... 27
850 Barnes Group Inc. ........................ 17
1,400 Cable Design Technologies Corporation@.... 32
------
76
------
TOTAL COMMON STOCKS
(Cost $5,370)........................... 5,196
------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- ------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 0.5%
(Cost $26)
26 Nations Cash Reserves#.................. 26
------
TOTAL INVESTMENTS
(Cost $5,396*)................... 99.1% 5,222
------
OTHER ASSETS AND
LIABILITIES (NET).............. 0.9%
Cash.................................... $ 20
Dividends receivable.................... 4
Receivable from investment advisor...... 10
Prepaid expenses and other assets....... 46
Administration fee payable.............. (1)
Distributions payable................... (1)
Payable for investment securities
purchased............................. (20)
Accrued Trustees' fees and expenses..... (11)
------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)..................... 47
------
NET ASSETS....................... 100.0% $5,269
======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE> 20
NATIONS FUNDS
Nations Managed SmallCap Value Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
- -----------------------------------------------------------
<C> <S> <C> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income..... $ 5
Accumulated net realized loss on
investments sold...................... (78)
Net unrealized depreciation of
investments........................... (174)
Paid-in capital......................... 5,516
------
NET ASSETS.............................. $5,269
======
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($3,399,982 / 343,621
shares outstanding)................... $9.89
-----
-----
INVESTOR A SHARES:
Net asset value, offering and redemption
price per share ($1,869,011 / 188,769
shares outstanding)................... $9.90
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $633 and gross depreciation
of $807 for Federal income tax purposes. At September 30, 1999, the aggregate
cost of securities for Federal income tax purposes was $5,396.
@ Non-income producing security.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE> 21
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.6%
ADVERTISING AND MARKETING SERVICES -- 1.0%
7,200 Catalina Marketing Corporation@......... $ 611
40,600 HA-LO Industries, Inc.@................. 254
29,100 True North Communications............... 1,058
--------
1,923
--------
AEROSPACE AND DEFENSE -- 0.9%
25,200 AAR Corporation......................... 454
10,400 Alliant Techsystems Inc.@............... 720
33,000 BE Aerospace, Inc.@..................... 394
18,200 Orbital Sciences Corporation@........... 319
--------
1,887
--------
APPAREL AND TEXTILES -- 3.4%
18,100 Authentic Fitness Corporation........... 318
18,400 Brown Shoe Company, Inc. ............... 337
32,200 Cone Mills Corporation@................. 157
31,600 Delta Woodside Industries Inc. ......... 87
13,900 Footstar Inc.@.......................... 490
13,500 Haggar Corporation...................... 170
17,400 Hartmarx Corporation@................... 70
14,900 J. Baker Inc. .......................... 117
14,500 K-Swiss Inc. ........................... 458
24,300 Linens 'N Things Inc.@+................. 820
31,900 Nautica Enterprises Inc.@............... 514
28,000 Oshkosh B'Gosh Inc. .................... 447
11,100 Oxford Industries Inc. ................. 239
15,600 Pacific Sunwear of California@.......... 437
25,100 Phillips-Van Heusen Corporation......... 223
12,000 Pillowtex Corporation................... 90
13,800 Quiksilver, Inc.@....................... 252
46,200 Stride Rite Corporation................. 323
25,400 The Men's Wearhouse Inc.@............... 546
21,400 Timberland Company, Class A@............ 837
--------
6,932
--------
AUTOMOBILE PARTS MANUFACTURERS -- 1.7%
22,900 Intermet Corporation.................... 194
24,090 Myers Industries Inc. .................. 428
18,800 Simpson Industries...................... 208
7,900 Spartan Motors Inc...................... 40
33,200 Standard Motor Products, Inc............ 645
9,400 Standard Products Company............... 333
31,400 TBC Corporation@........................ 217
10,500 Titan International Inc. ............... 108
53,000 Tower Automotive Inc.@.................. 1,050
16,400 Wynn's International, Inc............... 261
--------
3,484
--------
BANKING -- 4.8%
18,900 Anchor Bancorp Wisconsin Inc. .......... 307
23,100 BankNorth Group Inc. ................... 690
9,700 Carolina First Corporation.............. 192
13,600 Commerce Bancorp, Inc. ................. 564
23,600 Community First Bankshares, Inc......... 398
27,500 Cullen Frost Bankers Inc. .............. 688
18,900 Downey Financial Corporation............ 380
23,000 Firstbank Corporation................... 455
42,500 Firstmerit Corporation.................. 1,079
24,800 Hudson United Bancorp................... 764
23,700 MAF Bancorp Inc......................... 471
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
BANKING -- (CONTINUED)
15,900 Provident Bankshares Corporation........ $ 338
14,800 Queens County Bancorp Inc............... 409
23,700 Silicon Valley Bancshares@.............. 572
17,900 Susquehanna Bancshares Inc.............. 309
9,400 U.S. Trust Corporation.................. 756
21,600 United Bankshares Inc................... 525
34,100 UST Corporation......................... 1,050
--------
9,947
--------
BEVERAGES -- 0.6%
21,000 Canandaigua Brands Inc., Class A@+...... 1,255
--------
BUILDING MATERIALS -- 2.5%
31,300 Building Materials Holding
Corporation@.......................... 313
3,800 Butler Manufacturing Company............ 100
38,700 Champion Enterprises Inc.@.............. 348
10,400 Coachmen Industries Inc. ............... 160
16,200 Florida Rock Industries................. 563
23,600 Hughes Supply Inc. ..................... 513
31,400 Insteel Industries, Inc................. 283
26,000 Lone Star Industries.................... 1,297
10,900 Service Experts Inc.@................... 113
7,300 Simpson Manufacturing Company, Inc.@.... 342
8,000 Skyline Corporation..................... 206
10,600 Texas Industries Inc. .................. 392
13,200 Universal Forest Products............... 172
21,900 Watsco Inc. ............................ 249
--------
5,051
--------
BUSINESS SERVICES -- 0.3%
3,800 CustomTracks Corporation@............... 113
15,900 Fair, Issac and Company Inc............. 446
--------
559
--------
CHEMICALS -- BASIC -- 0.4%
18,200 Cambrex Corporation..................... 481
11,500 Scotts Company, Class A@................ 398
--------
879
--------
CHEMICALS -- SPECIALTY -- 0.7%
4,800 Chemed Corporation...................... 145
16,700 Lilly Industries Inc., Class A.......... 228
5,500 MacDermid, Inc.......................... 187
13,000 OM Group, Inc........................... 499
4,700 Penford Corporation..................... 64
16,700 Quaker Chemical Corporation............. 278
--------
1,401
--------
COMMERCIAL SERVICES -- 2.3%
36,500 Computer Task Group Inc................. 538
38,100 Insurance Auto Auctions Inc.@........... 567
86,450 Interim Services Inc.@.................. 1,416
9,500 Lason, Inc.@............................ 423
10,700 NFO Worldwide Inc.@..................... 136
38,000 Prepaid Legal Services Inc.@............ 1,496
--------
4,576
--------
COMPUTER RELATED -- 2.2%
39,000 American Management Systems@+........... 1,001
28,700 Exabyte Corporation@.................... 125
21,900 Hutchinson Technology, Inc.@............ 591
15,000 Jack Henry & Associates................. 554
15,600 Kronos Inc.@............................ 572
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE> 22
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
COMPUTER RELATED -- (CONTINUED)
8,100 Micros Systems, Inc.@................... $ 328
22,500 National Computer Systems Inc........... 863
37,400 Standard Microsystems Corporation@...... 346
7,700 Wall Data Inc.@......................... 41
--------
4,421
--------
COMPUTER SERVICES - 2.5%
50,100 Acxiom Corporation@+.................... 985
47,600 Ciber Inc.@............................. 729
4,200 Factset Research Systems Inc. .......... 239
24,700 Gerber Scientific Inc. ................. 553
21,600 Primark Corporation@.................... 614
20,600 Technology Solutions Company@........... 291
10,300 The BISYS Group, Inc.@.................. 483
30,000 Whittman-Hart, Inc.@.................... 1,163
--------
5,057
--------
COMPUTER SOFTWARE -- 2.3%
43,000 Avid Technology, Inc.@.................. 564
51,100 Epicor Software Corporation@............ 294
12,100 Harbinger Corporation@.................. 204
12,900 HNC Software Inc.@...................... 512
31,900 Hyperion Solutions Corporation@......... 702
25,600 Macromedia Inc.@+....................... 1,046
18,400 Mercury Interactive Corporation@........ 1,188
15,300 Midway Games Inc.@...................... 241
--------
4,751
--------
CONSTRUCTION -- 3.2%
13,900 Apogee Enterprises, Inc. ............... 98
61,600 D.R. Horton Inc. ....................... 796
14,700 Dycom Industries Inc.@.................. 620
12,300 Elcor Corporation....................... 308
14,500 Halter Marine Group Inc.@............... 79
46,900 Insituform Technologies Inc., Class
A@.................................... 1,172
23,700 M.D.C. Holdings, Inc. .................. 384
47,400 Morrison Knudsen Corporation@........... 489
20,100 Ryland Group Inc. ...................... 457
20,100 Southern Energy Homes Inc.@............. 53
39,400 Standard Pacific Corporation............ 404
20,300 TJ International Inc. .................. 510
33,000 Toll Brothers Inc.@..................... 629
15,500 U.S. Home Corporation@.................. 431
--------
6,430
--------
CONSUMER GOODS AND SERVICES -- 2.7%
10,800 ABM Industries Inc...................... 274
18,100 ADVO Inc.@.............................. 361
10,500 Angelica Corporation.................... 121
27,200 Fedders Corporation..................... 163
13,800 Harman International Industries......... 580
28,500 Kaman Corporation....................... 363
17,300 Kellwood Company........................ 381
59,300 La-Z-Boy Inc. .......................... 1,129
30,000 Oakwood Homes Corporation............... 135
12,500 Royal Appliance Manufacturing
Company@.............................. 63
13,900 Russ Berrie & Company Inc. ............. 291
29,300 Smithfield Foods Inc.@.................. 784
24,700 Thomas Industries Inc. ................. 462
29,600 Wolverine World Wide.................... 337
--------
5,444
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
CONTAINERS AND PACKAGING -- 0.4%
26,100 AptarGroup Inc.......................... $ 698
13,700 Shorewood Packaging Corporation@........ 186
--------
884
--------
COSMETICS AND TOILETRIES -- 0.4%
4,217 Kimberly-Clark Corporation.............. 221
22,900 Natures Sunshine Products Inc........... 217
52,400 NBTY, Inc.@............................. 400
--------
838
--------
DISTRIBUTION AND WHOLESALE -- 0.4%
6,300 Aviation Sales Company@................. 120
63,500 Brightpoint Inc.@....................... 462
6,800 Lawson Products......................... 147
--------
729
--------
DIVERSIFIED -- 0.8%
27,100 Justin Industries Inc................... 384
23,100 Mascotech, Inc.......................... 374
15,100 SPS Technologies Inc.@.................. 574
10,200 Standex International Corporation....... 275
--------
1,607
--------
DRUGS -- 3.4%
24,000 Alpharma Inc., Class A.................. 848
29,300 Barr Laboratories, Inc.@................ 930
35,601 Bindley Western Industries.............. 510
60,600 Bio-Technology General Corporation@..... 581
34,200 Jones Pharma Incorporated............... 1,128
14,400 Pharmaceutical Product Development,
Inc.@................................. 195
25,400 Regeneron Pharmaceuticals, Inc.@........ 206
49,500 Roberts Pharmaceutical Corporation@..... 1,498
23,900 Syncor International Corporation@....... 896
--------
6,792
--------
EDUCATION -- 0.3%
26,400 DeVry, Inc.@............................ 528
--------
ELECTRIC POWER -- 1.5%
16,300 Bangor Hydro-Electric Company........... 269
11,000 Central Vermont Public Services......... 145
10,400 CILCORP Inc............................. 674
3,900 Green Mountain Power Corporation........ 40
37,008 Sierra Pacific Resources................ 824
12,700 TNP Enterprises Inc..................... 495
12,700 United Illuminating Company............. 614
--------
3,061
--------
ELECTRICAL EQUIPMENT -- 1.0%
7,900 C&D Technologies, Inc................... 287
13,000 C-COR Electronics@...................... 395
36,300 General Semiconductor, Inc.@............ 374
25,300 Intermagnetics General Corporation@..... 152
13,600 Micrel Inc.@............................ 590
5,200 Park Electrochemical Corporation........ 171
--------
1,969
--------
ELECTRONICS -- 4.7%
5,400 Analogic Corporation.................... 170
8,300 Benchmark Electronics Inc.@............. 293
18,400 Burr-Brown Corporation@................. 727
7,700 C-Cube Microsystems Inc.@............... 335
22,000 Checkpoint Systems Inc.@................ 205
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE> 23
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
ELECTRONICS -- (CONTINUED)
30,800 CTS Corporation......................... $ 1,772
11,400 Dallas Semiconductor Corporation........ 609
6,100 Dionex Corporation@..................... 261
4,400 Electro Scientific Industries, Inc.@.... 234
8,700 Esterline Technologies Corporation@..... 137
46,500 Gentex Corporation@..................... 961
6,700 Hadco Corporation@...................... 290
7,000 Harmon Industries Inc................... 88
50,700 Intervoice Inc.@........................ 561
7,400 Itron Inc.@............................. 43
8,900 Kulicke & Soffa Industries Inc.@........ 216
17,800 Methode Electronics Inc. ............... 336
12,000 Oak Industries Inc.@.................... 408
30,400 Pioneer Standard Electronics............ 439
12,400 Technitrol Inc. ........................ 437
30,000 Unitrode Corporation@................... 1,260
--------
9,782
--------
ENERGY -- 0.3%
15,900 Barrett Resources Corporation@.......... 587
--------
ENTERTAINMENT -- 0.2%
6,100 Anchor Gaming@.......................... 363
--------
ENVIRONMENTAL -- 0.5%
8,200 American States Water Company........... 272
12,500 Clarcor Inc. ........................... 210
10,400 IMCO Recycling Inc. .................... 156
24,600 Tetra Tech Inc.@........................ 410
--------
1,048
--------
EXPLORATION AND DRILLING -- 0.6%
29,100 Energen Corporation..................... 589
15,600 Northwest Natural Gas Company........... 403
15,600 Southwestern Energy Company............. 141
--------
1,133
--------
FINANCIAL SERVICES -- 4.5%
64,200 Americredit Corporation@................ 959
9,700 AMRESCO Inc.@........................... 29
16,000 Centura Banks Inc. ..................... 662
31,700 Commercial Federal Corporation.......... 622
7,900 Dain Rauscher Corporation............... 387
17,900 Eaton Vance Corporation................. 573
31,500 Enhance Financial Services Group
Inc. ................................. 557
15,200 Hambrecht & Quist Group@................ 744
6,700 JSB Financial Inc. ..................... 384
34,100 Legg Mason Inc.+........................ 1,305
11,900 Mutual Risk Management Ltd. ............ 146
42,500 Raymond James Financial, Inc. .......... 847
13,500 Riggs National Corporation.............. 228
13,200 SEI Investment Company.................. 1,179
20,800 St. Paul Bancorp Inc. .................. 476
6,400 Whitney Holding Corporation............. 220
--------
9,318
--------
FOOD PRODUCERS -- 1.1%
55,800 Chiquita Brands International Inc. ..... 331
22,400 Corn Products International Inc. ....... 682
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
FOOD PRODUCERS -- (CONTINUED)
11,800 J & J Snack Foods Corporation@.......... $ 233
13,300 Michael Foods Inc. ..................... 350
6,600 Panera Bread Company, Class A@.......... 44
27,900 Ralcorp Holdings, Inc.@................. 493
--------
2,133
--------
FOREST AND PAPER PRODUCTS -- 0.3%
8,900 Buckeye Technologies Inc.@.............. 140
12,500 Caraustar Industries, Inc. ............. 318
8,500 Pope & Talbot Inc. ..................... 105
8,000 Schweitzer-Mauduit International
Inc. ................................. 104
--------
667
--------
FURNITURE AND APPLIANCES -- 0.6%
6,400 Bassett Furniture Industries, Inc. ..... 122
29,300 Ethan Allen Interiors, Inc. ............ 932
39,400 Interface Inc. ......................... 202
--------
1,256
--------
GAS AND ELECTRIC -- 0.2%
12,200 Central Hudson Gas & Electric........... 480
--------
HEALTHCARE -- 0.9%
42,900 Coventry Health Care Inc.@.............. 408
19,900 Magellan Health Services, Inc.@......... 146
6,100 MedQuist Inc.@.......................... 204
32,300 Orthodontic Centers of America@......... 565
11,700 Pediatrix Medical Group Inc.@........... 162
26,400 US Oncology, Inc.@...................... 239
--------
1,724
--------
HOUSEHOLD PRODUCTS -- 0.2%
3,700 National Presto Industries, Inc. ....... 143
14,700 SLI, Inc.@.............................. 313
7,500 USA Detergents, Inc.@................... 37
--------
493
--------
INDUSTRIAL -- 0.2%
14,700 Geon Company............................ 379
--------
INSURANCE -- 2.6%
10,100 Arthur J. Gallagher & Company........... 538
29,700 Capital Re Corporation.................. 297
26,400 Delphi Financial Group Inc., Class
A@+................................... 796
32,100 Fidelity National Financial, Inc. ...... 488
52,000 First American Financial Corporation.... 696
63,600 Fremont General Corporation+............ 604
9,300 Orion Capital Corporation............... 441
23,100 Radin Group Inc. ....................... 991
5,500 Selective Insurance Group............... 104
21,200 Sierra Health Services, Inc.@........... 215
--------
5,170
--------
MACHINERY AND EQUIPMENT -- 3.4%
10,800 Applied Industrial Technologies,
Inc. ................................. 194
34,300 Applied Power, Inc., Class A............ 1,042
25,400 Astec Industries Inc.@.................. 613
13,000 CPI Corporation......................... 444
19,900 Gardner Denver Machinery Inc.@.......... 301
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 24
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
MACHINERY AND EQUIPMENT -- (CONTINUED)
11,000 Global Industries Technologies,
Inc.@................................. $ 134
11,400 Graco Inc. ............................. 374
41,700 JLG Industries Inc. .................... 633
30,900 Manitowoc Company, Inc. ................ 1,055
26,300 Paxar Corporation@...................... 253
13,000 Regal Beloit............................ 270
5,500 Robbins & Myers, Inc. .................. 85
10,600 X-Rite, Inc. ........................... 69
30,800 Zebra Technologies Corporation@......... 1,401
--------
6,868
--------
MANUFACTURING -- 1.6%
25,700 A. O. Smith Corporation................. 777
12,200 Belden Inc. ............................ 250
3 Bolount International, Inc.@+........... 0
25,400 Dixie Group Inc. ....................... 197
14,400 Griffon Corporation@.................... 115
9,800 Libbey Inc. ............................ 290
9,800 Lydall Inc.@............................ 101
15,200 Roper Industries, Inc. ................. 581
8,900 Scott Technologies, Inc.@............... 176
13,500 Sturm, Ruger & Company Inc. ............ 122
31,400 Tredegar Industries, Inc. .............. 671
--------
3,280
--------
MEDIA -- 0.9%
40,500 Xircom Inc.@............................ 1,729
--------
MEDICAL PRODUCTS AND SUPPLIES -- 3.1%
17,500 Cooper Companies Inc. .................. 540
11,700 Datascope Corporation@.................. 411
30,100 Dura Pharmaceuticals Inc.@.............. 420
9,400 Hanger Orthopedic Group, Inc.@.......... 136
30,500 IDEXX Laboratories Inc.@................ 525
19,400 Liposome Company Inc.@.................. 148
8,900 Maxxim Medical Inc.@.................... 213
17,700 Molecular Biosystems, Inc.@............. 31
18,100 Owens & Minor, Inc. .................... 174
19,000 Patterson Dental Company@............... 943
11,900 Priority Healthcare Corporation@........ 367
15,800 Respironics, Inc.@...................... 130
35,600 Safeskin Corporation@................... 293
24,900 Sola International Inc.@................ 386
8,800 SpaceLabs Medical Inc.@................. 133
34,700 Summit Technology Inc.@................. 635
15,000 Varian Medical Systems, Inc. ........... 328
7,900 Vital Signs Inc. ....................... 161
8,600 Wesley Jessen Visioncare, Inc.@......... 268
--------
6,242
--------
MEDICAL SERVICES -- 2.4%
39,900 ADAC Laboratories Designs@.............. 392
31,700 Cerner Corporation@..................... 483
19,500 Coherent Inc.@.......................... 435
8,100 Curative Health Services, Inc.@......... 38
17,700 Express Scripts Inc., Class A@+......... 1,386
32,600 Genesis Health Ventures, Inc.@.......... 77
39,000 Integrated Health Services Inc. ........ 61
19,200 Invacare Corporation.................... 376
41,700 NCS Healthcare Inc., Class A@........... 109
74,200 PhyCor Inc.@............................ 325
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
MEDICAL SERVICES -- (CONTINUED)
26,400 Renal Care Group, Inc.@................. $ 578
22,000 Universal Health Services Inc., Class
B@+................................... 569
--------
4,829
--------
METALS AND MINING -- 2.1%
11,200 Amcast Industrial Corporation........... 149
30,500 AMCOL International Corporation......... 450
8,300 Brush Wellman Inc. ..................... 122
14,800 Commercial Metals Company............... 426
10,000 Commonwealth Industries, Inc. .......... 134
31,700 Hecla Mining Company@................... 93
9,800 Material Sciences Corporation@.......... 130
26,200 Mueller Industries Inc.@................ 778
19,200 Quanex Corporation...................... 492
23,700 Reliance Steel & Aluminum Company....... 498
10,400 RTI International Metals, Inc.@......... 104
18,500 Steel Technologies Inc.................. 215
20,500 Stillwater Mining Company@.............. 551
12,400 Wolverine Tube Inc.@.................... 192
--------
4,334
--------
OFFICE EQUIPMENT -- 0.5%
14,100 Brady Corporation....................... 451
27,400 John H. Harland Company................. 532
11,100 Nashua Corporation@..................... 99
--------
1,082
--------
OIL AND GAS -- 1.9%
12,500 Cabot Oil & Gas Corporation............. 216
9,300 HS Resources, Inc.@..................... 152
10,000 New Jersey Resources Corporation........ 400
31,700 Oceaneering International Inc.@......... 533
5,300 Pennsylvania Enterprises, Inc. ......... 172
24,500 Pool Energy Services Company@........... 603
51,500 Pride International Inc.@............... 731
27,200 Seitel Inc.@............................ 265
23,400 Wicor Inc............................... 680
--------
3,752
--------
OIL FIELD SERVICES & EQUIPMENT -- 0.2%
6,400 Seacor Smit, Inc.@...................... 328
--------
PRINTING AND PUBLISHING -- 2.1%
28,100 Bowne & Company Inc. ................... 339
8,500 Consolidated Graphics Inc.@............. 358
18,800 Merrill Corporation..................... 375
20,900 Thomas Nelson, Inc. .................... 204
40,500 Valassis Communications Inc.@........... 1,779
32,900 World Color Press Inc.@................. 1,226
--------
4,281
--------
PROFESSIONAL SERVICES -- 1.0%
17,000 CDI Corporation@........................ 464
22,400 InaCom Corporation@..................... 206
21,100 National Data Corporation............... 548
27,200 Offshore Logistics Inc.@................ 281
9,600 URS Corporation@........................ 235
10,600 Volt Information Sciences Inc.@......... 57
--------
1,991
--------
RECREATION -- 1.7%
20,100 Arctic Cat Inc. ........................ 192
55,600 Aztar Corporation@...................... 570
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 25
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
RECREATION -- (CONTINUED)
5,700 Carmike Cinemas Inc., Class A@.......... $ 75
16,100 Family Golf Centers, Inc.@.............. 41
3,900 GC Companies Inc.@...................... 117
32,200 Hollywood Park Inc.@.................... 495
19,800 Huffy Corporation....................... 196
9,600 K2 Inc. ................................ 85
48,800 Players International, Inc.@............ 361
17,000 Polaris Industries Inc. ................ 588
10,900 Thor Industries Inc. ................... 278
18,500 Winnebago Industries.................... 443
--------
3,441
--------
RESTAURANTS AND LODGING -- 3.4%
21,700 Applebees International Inc. ........... 731
34,950 CEC Entertainment Inc.@................. 1,254
36,100 CKE Restaurant Inc. .................... 262
42,400 Foodmaker Inc.@......................... 1,057
24,400 IHOP Corporation@....................... 494
30,600 Landry's Seafood Restaurants Inc.@...... 245
11,400 Luby's Inc. ............................ 131
15,700 Marcus Corporation...................... 189
32,700 Prime Hospitality Corporation@.......... 262
30,000 Ruby Tuesday Inc........................ 585
42,800 Ryan's Family Steak Houses Inc.@........ 385
14,100 Sonic Corporation@...................... 429
41,000 Taco Cabana Inc., Class A@.............. 397
27,800 TCBY Enterprises Inc.................... 127
9,900 The Cheesecake Factory@................. 275
--------
6,823
--------
RETAIL -- FOOD -- 0.9%
44,500 Earthgrains Company..................... 984
19,100 Fleming Companies Inc. ................. 187
18,100 Nash-Finch Company...................... 127
16,100 Whole Foods Market Inc.@................ 527
--------
1,825
--------
RETAIL -- GENERAL -- 1.2%
19,300 Ames Department Stores@................. 614
40,800 Casey's General Stores, Inc. ........... 547
12,600 Cash America Investments Inc. .......... 119
15,100 MicroAge Inc.@.......................... 33
31,100 Regis Corporation....................... 599
18,900 ShopKo Stores, Inc.@.................... 548
--------
2,460
--------
RETAIL -- SPECIALTY -- 4.2%
8,500 Action Performance Companies, Inc.@..... 179
29,100 AnnTaylor Stores Corporation@+.......... 1,189
11,100 Books-A-Million Inc.@................... 91
30,000 Cato Corporation........................ 423
4,600 Damark International, Inc.@............. 46
8,400 Discount Auto Parts Inc.@............... 135
20,600 Dress Barn Inc.@........................ 378
20,800 Goody's Family Clothing Inc.@........... 168
16,600 Gottschalks Inc.@....................... 149
12,100 Gymboree Corporation@................... 83
18,300 Insight Enterprises Inc.@............... 595
31,900 Jan Bell Marketing Inc.@................ 98
20,900 Jo-Ann Stores Inc.@..................... 260
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
RETAIL -- SPECIALTY -- (CONTINUED)
25,600 Just For Feet Inc.@..................... $ 53
4,600 Lillian Vernon Corporation.............. 58
26,800 Michaels Stores Inc.@................... 791
12,200 O'Reilly Automotive Inc.@............... 581
72,200 Pier 1 Imports Inc. .................... 487
6,400 Stein Mart Inc.@........................ 46
30,800 The Bombay Company Inc.@................ 156
25,800 Toro Company............................ 964
39,200 Zale Corporation@+...................... 1,502
--------
8,432
--------
SEMICONDUCTORS -- 1.4%
9,500 Alpha Industries, Inc.@................. 536
25,900 International Rectifier Corporation@.... 395
19,800 Lattice Semiconductor Corporation@...... 588
12,600 Novellus Systems Inc.@.................. 849
11,700 Plexus Corporation@..................... 358
3,300 Watkins-Johnson Company................. 111
--------
2,837
--------
STEEL -- 0.1%
14,900 Birmingham Steel Corporation............ 114
--------
TECHNOLOGY -- 0.9%
8,400 Marshall Industries@.................... 307
27,800 Progress Software Corporation@.......... 872
44,500 S3 Inc.@................................ 464
20,800 Telxon Corporation...................... 174
--------
1,817
--------
TELECOMMUNICATIONS -- 1.5%
20,200 Aspect Telecommunications@.............. 343
32,800 CommScope, Inc.@........................ 1,065
20,100 Digi International Inc.@................ 220
3,500 DSP Communications, Inc.@............... 67
28,800 Inter-Tel Inc. ......................... 511
13,900 Plantronics Inc.@....................... 691
9,400 SymmetriCom Inc.@....................... 71
--------
2,968
--------
TRANSPORTATION -- 2.2%
16,900 Air Express International Corporation... 383
45,800 American Freightways Corporation@....... 834
25,400 Expeditors International of Washington,
Inc. ................................. 815
38,600 Fritz Companies, Inc.@.................. 400
10,400 Kirby Corporation@...................... 204
21,200 Mesa Air Group Inc.@.................... 130
13,800 Pittston BAX Group...................... 111
17,500 Railtex Inc.@........................... 289
13,100 SkyWest Inc. ........................... 287
22,800 U.S. Freightways Corporation............ 1,081
--------
4,534
--------
TRUCKING AND SHIPPING -- 2.3%
36,200 Arkansas Best Corporation@.............. 448
10,400 Frozen Food Express Industries, Inc. ... 64
8,100 Heartland Express Inc.@................. 114
19,800 Landstar System Inc.@................... 688
21,400 M.S. Carriers Inc.@..................... 514
77,800 Rollins Truck Leasing Corporation....... 788
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 26
NATIONS FUNDS
Nations Managed SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- -----------------------------------------------------------
<C> <S> <C>
TRUCKING AND SHIPPING -- (CONTINUED)
21,800 Wabash National Corporation............. $ 443
63,300 Werner Enterprises Inc. ................ 1,115
26,700 Yellow Corporation@..................... 442
--------
4,616
--------
UTILITIES -- NATURAL GAS -- 1.1%
18,900 Cascade Natural Gas Corporation......... 338
12,200 Connecticut Energy Corporation.......... 472
14,500 Piedmont Natural Gas Company, Inc. ..... 440
25,700 Southwest Gas Corporation............... 691
12,600 Valmont Industries Inc. ................ 213
--------
2,154
--------
UTILITIES -- WATER -- 0.8%
6,300 Aquarion Company........................ 226
11,300 Philadelphia Suburban Corporation....... 266
32,700 United Water Resources Inc. ............ 1,067
--------
1,559
--------
WIRE AND CABLE PRODUCTS -- 1.1%
46,200 Anixter International Inc.@............. 1,075
20,800 Barnes Group Inc. ...................... 417
31,700.. Cable Design Technologies
Corporation@............................ 723
--------
2,215
--------
TOTAL COMMON STOCKS
(Cost $196,828)....................... 199,449
--------
U.S. TREASURY OBLIGATIONS -- 0.1%
(Cost $198)
U.S. TREASURY BILLS -- 0.1%
200 4.749%** 12/23/99....................... 198
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- ------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 5.4%
(Cost $10,961)
10,961 Nations Cash Reserves#................. $ 10,961
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
- -----------------------------------------------------------
<C> <S> <C> <C>
TOTAL INVESTMENTS
(Cost $207,987*).............. 104.1% $210,608
--------
OTHER ASSETS AND LIABILITIES
(NET)......................... (4.1)%
Cash................................... $ 401
Receivable for investment securities
sold................................. 1,409
Receivable for Fund shares sold........ 310
Dividends receivable................... 121
Interest receivable.................... 17
Variation margin....................... 49
Unamortized organization costs......... 4
Prepaid expenses....................... 5
Collateral on securities loaned........ (8,759)
Payable for Fund shares redeemed....... (160)
Investment advisory fee payable........ (10)
Administration fee payable............. (39)
Shareholder servicing and distribution
fees payable......................... (2)
Distributions payable.................. (22)
Payable for investment securities
purchased............................ (1,355)
Accrued Trustees' fees and expenses.... (13)
Accrued expenses and other
liabilities.......................... (193)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)................................ (8,237)
--------
NET ASSETS...................... 100.0% $202,371
========
NET ASSETS CONSIST OF:
Undistributed net investment income.... $ 29
Accumulated net realized loss on
investments sold and futures
contracts............................ (13,023)
Net unrealized appreciation of
investments and futures contracts.... 2,614
Paid-in capital........................ 212,751
--------
NET ASSETS............................. $202,371
========
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($193,631,013 / 16,276,559 shares
outstanding)......................... $11.90
-----
-----
INVESTOR A SHARES:
Net asset value, offering and
redemption price per share
($8,740,080 / 735,260 shares
outstanding)......................... $11.89
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized appreciation of investment
securities was comprised of gross appreciation of $33,596 and gross
depreciation of $30,975 for Federal income tax purposes. At September 30,
1999, the aggregate cost of securities for Federal income tax purposes was
$207,987.
** Rate represents annualized yield at date of purchase.
@ Non-income producing security.
+ Security segregated as collateral for futures contracts.
++ Amount represents less than $500.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 8). The portion that represents cash collateral is
$8,759.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
For the six months ended September 30, 1999
<TABLE>
MANAGED
MANAGED SMALLCAP MANAGED
VALUE MANAGED VALUE SMALLCAP
INDEX INDEX INDEX INDEX
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Dividends........................................... $ 64 $ 4,926 $ 32 $ 869
Interest............................................ 1 147 1 59
Securities lending.................................. -- 15 -- 8
-------------- -------------- -------------- --------------
Total investment income......................... 65 5,088 33 936
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fee............................. 15 1,611 12 446
Administration fee.................................. 7 778 6 216
Transfer agent fees................................. 2 166 2 48
Custodian fees...................................... 8 47 7 54
Legal and audit fees................................ 30 47 30 38
Registration and filing fees........................ 16 22 16 23
Trustees' fees and expenses......................... 8 8 8 8
Amortization of organization costs.................. -- 1 -- 1
Interest expense.................................... --* 15 --* 3
Other............................................... 39 55 37 42
-------------- -------------- -------------- --------------
Subtotal........................................ 125 2,750 118 879
Shareholder servicing and distribution fees:
Primary B Shares.................................. -- --* -- --
Investor A Shares................................. 3 66 3 12
-------------- -------------- -------------- --------------
Total expenses.................................. 128 2,816 121 891
Fees waived and expenses reimbursed by investment
advisor and/or distributor........................ (107) (887) (105) (353)
Fees reduced by credits allowed by the custodian.... --* --* --* --*
-------------- -------------- -------------- --------------
Net expenses.................................... 21 1,929 16 538
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME............................... 44 3,159 17 398
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) from:
Security transactions............................. 162 2,943 5 3,720
Futures contracts................................. -- (218) -- (88)
-------------- -------------- -------------- --------------
Net realized gain/(loss) on investments............. 162 2,725 5 3,632
-------------- -------------- -------------- --------------
Change in unrealized appreciation/(depreciation) of:
Securities........................................ (231) (7,901) 507 11,667
Futures contracts................................. -- 128 -- (11)
-------------- -------------- -------------- --------------
Net change in unrealized appreciation/(depreciation)
of investments.................................... (231) (7,773) 507 11,656
-------------- -------------- -------------- --------------
Net realized and unrealized gain/(loss) on
investments....................................... (69) (5,048) 512 15,288
-------------- -------------- -------------- --------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS:....................................... $ (25) $ (1,889) $ 529 $ 15,686
============== ============== ============== ==============
</TABLE>
- ---------------
* Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
MANAGED VALUE INDEX
------------------------------------
SIX MONTHS
ENDED
9/30/99 YEAR ENDED
(UNAUDITED) 3/31/99
------------------------------------
<S> <C> <C>
(IN THOUSANDS)
Net investment income....................................... $ 44 $ 154
Net realized gain/(loss) on investments..................... 162 403
Net change in unrealized appreciation/(depreciation) of
investments............................................... (231) (229)
-------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ (25) 328
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (29) (131)
Primary B Shares.......................................... --
Investor A Shares......................................... (13) (37)
Investor C Shares+........................................ -- --*
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... (202) (47)
Primary B Shares.......................................... -- --*
Investor A Shares......................................... (97) (14)
Investor C Shares+........................................ -- --*
Net increase/(decrease) in net assets from Fund share
transactions.............................................. 474 (3,407)
-------------- --------------
Net increase/(decrease) in net assets....................... 108 (3,308)
-------------- --------------
NET ASSETS:
Beginning of period......................................... 6,396 9,704
-------------- --------------
End of period............................................... $ 6,504 $ 6,396
============== ==============
Undistributed net investment income/(distributions in excess
of net investment income)
at end of period.......................................... $ 2 $ --
============== ==============
</TABLE>
- ---------------
* Amount represents less than $500.
+ Investor C Shares converted to Investor A Shares on March 19, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
MANAGED INDEX MANAGED SMALLCAP VALUE INDEX MANAGED SMALLCAP INDEX
------------------------------- ------------------------------- -------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
9/30/99 YEAR ENDED 9/30/99 YEAR ENDED 9/30/99 YEAR ENDED
(UNAUDITED) 3/31/99 (UNAUDITED) 3/31/99 (UNAUDITED) 3/31/99
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 3,159 $ 6,150 $ 17 $ 41 $ 398 $ 1,040
2,725 (1,305) 5 (77) 3,632 (15,412)
(7,773) 88,214 507 (1,162) 11,656 (34,178)
-------------- -------------- -------------- -------------- -------------- --------------
(1,889) 93,059 529 (1,198) 15,686 (48,550)
(2,872) (5,873) (12) (26) (363) (1,025)
--* --* -- --* -- --*
(155) (255) (5) (14) (5) (26)
-- (20) -- --* -- --*
-- (3,308) -- (14) -- (1,102)
-- --* -- --* -- (2)
-- (227) -- (20) -- (140)
-- (38) -- --* -- (11)
(50,894) 229,499 (232) 2,280 (12,108) 133,128
-------------- -------------- -------------- -------------- -------------- --------------
(55,810) 312,837 280 1,008 3,210 82,272
-------------- -------------- -------------- -------------- -------------- --------------
717,074 404,237 4,989 3,981 199,161 116,889
-------------- -------------- -------------- -------------- -------------- --------------
$ 661,264 $ 717,074 $ 5,269 $ 4,989 $ 202,371 $ 199,161
============== ============== ============== ============== ============== ==============
$ 133 $ -- $ 5 $ 6 $ 29 $ --
============== ============== ============== ============== ============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
MANAGED VALUE INDEX
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 58 $ 700 448 $ 4,997
Issued as reinvestment of dividends....................... 14 165 13 145
Redeemed.................................................. (64) (754) (733) (8,231)
--- ----- ---- -------
Net increase/(decrease)................................... 8 $ 111 (272) $(3,089)
=== ===== ==== =======
INVESTOR A SHARES:
Sold...................................................... 45 $ 542 116 $ 1,289
Issued as reinvestment of dividends....................... 9 109 5 51
Redeemed.................................................. (24) (288) (146) (1,653)
--- ----- ---- -------
Net increase/(decrease)................................... 30 $ 363 (25) $ (313)
=== ===== ==== =======
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 2 $ 22
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (2) (27)
--- ----- ---- -------
Net increase/(decrease)................................... -- $ -- -- $ (5)
=== ===== ==== =======
Total net increase/(decrease)............................. 38 $ 474 (297) $(3,407)
=== ===== ==== =======
</TABLE>
- ---------------
+ Investor C Shares converted to Investor A Shares on March 19, 1999.
(a) Amount represents less than 500 shares.
(b) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED INDEX
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------ ------------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 1,380 $ 27,612 16,315 $281,875
Issued as reinvestment of dividends....................... 82 1,628 279 4,881
Redeemed.................................................. (4,034) (79,699) (4,119) (73,925)
------ -------- ------ --------
Net increase/(decrease)................................... (2,572) $(50,459) 12,475 $212,831
====== ======== ====== ========
PRIMARY B SHARES:
Sold...................................................... --(a) $ --(b) --(a) $ --(b)
Issued as reinvestment of dividends....................... --(a) --(b) --(a) --(b)
Redeemed.................................................. --(a) --(b) --(a) --(b)
------ -------- ------ --------
Net increase/(decrease)................................... --(a) $ --(b) --(a) $ --(b)
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 432 $ 8,768 2,063 $ 37,053
Issued as reinvestment of dividends....................... 6 127 25 434
Redeemed.................................................. (462) (9,330) (920) (15,876)
------ -------- ------ --------
Net increase/(decrease)................................... (24) $ (435) 1,168 $ 21,611
====== ======== ====== ========
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 188 $ 3,237
Issued as reinvestment of dividends....................... -- -- 3 58
Redeemed.................................................. -- -- (441) (8,238)
------ -------- ------ --------
Net increase/(decrease)................................... -- $ -- (250) $ (4,943)
====== ======== ====== ========
Total net increase/(decrease)............................. (2,596) $(50,894) 13,393 $229,499
====== ======== ====== ========
</TABLE>
- ---------------
+ Investor C Shares converted to Investor A Shares on March 19, 1999.
(a) Amount represents less than 500 shares.
(b) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP VALUE INDEX
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 32 $ 322 304 $ 2,894
Issued as reinvestment of dividends....................... 1 10 58 738
Redeemed.................................................. (33) (328) (202) (2,003)
--- ----- ---- -------
Net increase/(decrease)................................... --(a) $ 4 160 $ 1,629
=== ===== ==== =======
INVESTOR A SHARES:
Sold...................................................... 22 $ 218 178 $ 1,805
Issued as reinvestment of dividends....................... --(a) 5 12 160
Redeemed.................................................. (45) (459) (141) (1,322)
--- ----- ---- -------
Net increase/(decrease)................................... (23) $(236) 49 $ 643
=== ===== ==== =======
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 10 $ 119
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (12) (111)
--- ----- ---- -------
Net increase/(decrease)................................... -- $ -- (2) $ 8
=== ===== ==== =======
Total net increase/(decrease)............................. (23) $(232) 207 $ 2,280
=== ===== ==== =======
</TABLE>
- ---------------
+ Investor C Shares converted to Investor A Shares on March 19, 1999.
(a) Amount represents less than 500 shares.
(b) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED SMALLCAP INDEX
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
---------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 2,495 $ 30,632 17,693 $ 229,414
Issued as reinvestment of dividends....................... 10 124 58 738
Redeemed.................................................. (3,387) (41,052) (7,858) (94,934)
------- -------- ------- ---------
Net increase/(decrease)................................... (882) $(10,296) 9,893 $ 135,218
======= ======== ======= =========
PRIMARY B SHARES:
Sold...................................................... -- $ -- 6 $ 82
Issued as reinvestment of dividends....................... -- -- -- --
Redeemed.................................................. -- -- (17) (210)
------- -------- ------- ---------
Net increase/(decrease)................................... -- $ -- (11) $ (128)
======= ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 121 $ 1,455 898 $ 10,749
Issued as reinvestment of dividends....................... --(a) 5 12 160
Redeemed.................................................. (273) (3,272) (1,001) (12,589)
------- -------- ------- ---------
Net increase/(decrease)................................... (152) $ (1,812) (91) $ (1,680)
======= ======== ======= =========
INVESTOR C SHARES:+
Sold...................................................... -- $ -- 72 $ 964
Issued as reinvestment of dividends....................... -- -- --(a) --(b)
Redeemed.................................................. -- -- (109) (1,246)
------- -------- ------- ---------
Net increase/(decrease)................................... -- $ -- (37) $ (282)
======= ======== ======= =========
Total net increase/(decrease)............................. (1,034) $(12,108) 9,754 $ 133,128
======= ======== ======= =========
</TABLE>
- ---------------
+ Investor C Shares converted to Investor A Shares on March 19, 1999.
(a) Amount represents less than 500 shares.
(b) Amount represents less than $500.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED VALUE INDEX
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)..................... $11.42 $0.08 -- $0.08 $(0.08) $(0.54)
Year ended 3/31/1999#............. 11.32 0.16 $ 0.18 0.34 (0.19) (0.05)
Period ended 3/31/1998*#.......... 10.00 0.07 1.31 1.38 (0.06) --
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)..................... $11.44 $0.06 $(0.01) $0.05 $(0.06) $(0.54)
Year ended 3/31/1999#............. 11.32 0.13 0.20 0.33 (0.16) (0.05)
Period ended 3/31/1998*#.......... 10.00 0.05 1.32 1.37 (0.05) --
</TABLE>
- ---------------
* Managed Value Index Primary A and Investor A Shares commenced operations on
November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/ or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF NET AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES TO ---------------
RATIO OF AVERAGE RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET ASSETS NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCLUDING INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET INTEREST AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS EXPENSE ASSETS RATE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.62) $10.88 0.19% $4,173 0.50%+(a)(b) -- 1.32%+ 31% 3.52%+(a)
(0.24) 11.42 3.06 4,292 0.50(a) 0.55%(a) 1.45 115 1.99(a)
(0.06) 11.32 13.78 7,330 0.50+(a)(b) -- 1.72+ 3 1.57+(a)
$(0.60) $10.89 (0.02)% $2,331 0.75%+(a)(b) -- 1.07%+ 31% 3.77%+(a)
(0.21) 11.44 2.97 2,104 0.75(a) 0.80%(a) 1.20 115 2.24(a)
(0.05) 11.32 13.68 2,370 0.75+(a)(b) -- 1.47+ 3 1.82+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED INDEX
PRIMARY A SHARES
Six months ended 9/30/1999#
(unaudited)..................... $19.39 $0.09 $(0.17) $(0.08) $(0.08) --
Year ended 3/31/1999#............. 17.14 0.18 2.40 2.58 (0.18) $(0.15)
Year ended 3/31/1998.............. 11.89 0.15 5.42 5.57 (0.17) (0.15)
Period ended 3/31/1997*........... 10.00 0.15 1.87 2.02 (0.13) --
PRIMARY B SHARES
Six months ended 9/30/1999#
(unaudited)..................... $19.38 $0.04 $(0.17) $(0.13) $(0.04) --
Year ended 3/31/1999#............. 17.11 0.09 2.41 2.50 (0.08) $(0.15)
Period ended 3/31/1998**.......... 14.52 0.14 2.73 2.87 (0.13) (0.15)
INVESTOR A SHARES
Six months ended 9/30/1999#
(unaudited)..................... $19.39 $0.06 $(0.16) $(0.10) $(0.06) --
Year ended 3/31/1999#............. 17.14 0.14 2.39 2.53 (0.13) $(0.15)
Year ended 3/31/1998.............. 11.89 0.14 5.40 5.54 (0.14) (0.15)
Period ended 3/31/1997*........... 10.00 0.12 1.89 2.01 (0.12) --
</TABLE>
- ---------------
* Managed Index Primary A and Investor A Shares commenced operations on July
31, 1996.
** Managed Index Primary B Shares commenced operations on September 4, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.08) $19.23 (0.40)% $610,711 0.50%+(a)(b) 0.87%+ 9% 0.74%+(a)
(0.33) 19.39 15.25 665,631 0.50(a) 1.03 35 0.73(a)
(0.32) 17.14 47.54 374,504 0.50(a)(b) 1.26 30 0.80(a)
(0.13) 11.89 20.22 42,226 0.50+(a) 1.92+ 17 1.05+(a)
$(0.04) $19.21 (0.70)% $ 4 1.00%+(a)(b) 0.37%+ 9% 1.34%+(a)
(0.23) 19.38 14.78 4 1.00(a) 0.53 35 1.33(a)
(0.28) 17.11 18.24 3 1.00+(a)(b) 0.76+ 30 1.30+(a)
$(0.06) $19.23 (0.53)% $ 50,549 0.75%+(a)(b) 0.62%+ 9% 0.99%+(a)
(0.28) 19.39 14.97 51,439 0.75(a) 0.78 35 0.98(a)
(0.29) 17.14 47.21 25,447 0.75(a)(b) 1.01 30 1.05(a)
(0.12) 11.89 20.12 3,038 0.75+(a) 1.67+ 17 1.30+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP VALUE INDEX
PRIMARY A SHARES
Six months ended 9/30/1999#
(unaudited)..................... $ 8.98 $0.04 $ 0.91 $ 0.95 $(0.04) --
Year ended 3/31/1999#............. 11.46 0.09 (2.38) (2.29) (0.07) $(0.12)
Period ended 3/31/1998*........... 10.00 0.03 1.46 1.49 (0.03) --
INVESTOR A SHARES
Six months ended 9/30/1999#
(unaudited)..................... $ 8.99 $0.02 $ 0.91 $ 0.93 $(0.02) --
Year ended 3/31/1999#............. 11.46 0.07 (2.35) (2.28) (0.07) $(0.12)
Period ended 3/31/1998*........... 10.00 0.02 1.46 1.48 (0.02) --
</TABLE>
- ---------------
* Managed SmallCap Value Index Primary A and Investor A Shares commenced
operations on November 24, 1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/ or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000'S) ASSETS ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.04) $ 9.89 10.51% $3,400 0.50%+(a)(b) 0.71%+ 30% 4.32%+(a)
(0.19) 8.98 (20.11) 3,084 0.50(a)(b) 0.96 136 3.56(a)
(0.03) 11.46 14.88 2,106 0.50+(a)(b) 0.78+ 30 2.17+(a)
$(0.02) $ 9.90 10.37% $1,869 0.75%+(a)(b) 0.46%+ 30% 4.57%+(a)
(0.19) 8.99 (20.23) 1,904 0.75(a)(b) 0.71 136 3.81(a)
(0.02) 11.46 14.79 1,859 0.75+(a)(b) 0.53+ 30 2.42+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MANAGED SMALLCAP INDEX
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)..................... $11.04 $0.02 $ 0.86 $ 0.88 $(0.02) --
Year ended 3/31/1999#............. 14.10 0.06 (2.92) (2.86) (0.06) $(0.14)
Year ended 3/31/1998.............. 9.83 0.06 4.58 4.64 (0.06) (0.31)
Period ended 3/31/1997*........... 10.00 0.03 (0.17) (0.14) (0.03) --
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)..................... $11.03 $0.01 $ 0.86 $ 0.87 $(0.01) --
Year ended 3/31/1999#............. 14.08 0.03 (2.91) (2.88) (0.03) $(0.14)
Year ended 3/31/1998.............. 9.82 0.03 4.57 4.60 (0.03) (0.31)
Period ended 3/31/1997*........... 10.00 0.03 (0.18) (0.15) (0.03) --
</TABLE>
- ---------------
* Managed SmallCap Index Primary A and Investor A Shares commenced operations
on October 15, 1996.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (IN 000'S) ASSETS ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.02) $11.90 7.99% $193,631 0.50%+(a)(b) 0.39%+ 13% 0.84%+(a)
(0.20) 11.04 (20.50) 189,379 0.50(a)(b) 0.52 65 0.82(a)
(0.37) 14.10 47.71 102,437 0.50(a)(b) 0.52 62 1.02(a)
(0.03) 9.83 (1.37) 40,851 0.50+ 1.05+ 18 1.21+
$(0.01) $11.89 7.85% $ 8,740 0.75%+(a)(b) 0.14%+ 13% 1.09%+(a)
(0.17) 11.03 (20.67) 9,782 0.75(a)(b) 0.27 65 1.07(a)
(0.34) 14.08 47.35 13,768 0.75(a)(b) 0.27 62 1.27(a)
(0.03) 9.82 (1.52) 334 0.75+ 0.80+ 18 1.46+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Fund Trust (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as an open-end investment company. At
September 30, 1999, the Trust offered thirty-six separate portfolios. These
financial statements pertain only to the four managed index portfolios of the
Trust (each a "Fund" and collectively, the "Funds"). Financial statements for
the other portfolios of the Trust are presented under separate cover. The Funds
currently offer two classes of shares: Primary A Shares and Investor A Shares.
Managed Index Fund also offers Primary B Shares. Shareholders of a Fund have
equal voting rights on matters affecting all shareholders of the Fund. In
addition, each class of shares of a Fund has exclusive voting rights on matters
that relate solely to that class and separate voting rights on matters in which
the interests of one class differ from the interests of any other class.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies followed by the Funds in the preparation of
their financial statements.
Securities valuation: Securities which are traded on a recognized exchange or
on NASDAQ are valued at the last sales price on the exchange or market on which
such securities are primarily traded. Securities traded only over-the-counter
are valued at the closing bid prices or, if no sale occurred on such day, at the
mean of the current bid and asked prices. Restricted securities, securities for
which market quotations are not readily available, and certain other assets are
valued by the investment advisor under the supervision of the Board of Trustees.
Short-term investments that mature in 60 days or less are valued at amortized
cost.
Futures contracts: Each Fund may invest in futures contracts. Upon entering
into a futures contract, the Fund is required to deposit with the broker an
amount of cash or cash equivalents equal to a specified percentage of the
contract amount. This is known as the "initial margin." Subsequent payments
("variation margin") are made or received by the Fund each day, depending on the
daily fluctuation of the value of the contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking-to-market" on
a daily basis to reflect the market value of the contract. The Fund recognizes a
realized gain or loss when the contract is closed, equal to the difference
between the proceeds from (or cost of) the closing transaction and the Fund's
basis in the contract.
Risks of investments in futures contracts include the possible movement of the
securities or indices underlying the contracts, the possibility that there may
not be a liquid secondary market for the contracts, that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities, or that the counterparty to a contract may default on its obligation
to perform.
Securities transactions and investment income: Securities transactions are
accounted for on trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on ex-
dividend date. Each Fund's investment income and realized and unrealized gains
and losses are allocated among its classes based upon the relative net assets of
each class of shares.
Dividends and distributions to shareholders: Distributions from net investment
income are declared and paid each month by the Managed Index Fund; all other
Funds declare and pay distributions each calendar quarter. Each Fund will
distribute net realized capital gains (including net short-term capital gains),
at least annually after the fiscal year in which the capital gains were earned,
unless offset by any available capital loss carryforward. Income distributions
and capital gain distributions on a Fund level are determined in accordance with
federal income tax regulations which may differ from generally accepted
accounting principles.
Federal income tax: Each Fund intends to continue to qualify as a regulated
investment company by complying with the applicable requirements of the Internal
Revenue Code of 1986, as amended, and by distributing substantially all of its
earnings to its shareholders. Therefore, no provision is made for Federal income
or excise taxes.
Expenses: General expenses of the Trust are allocated to the Funds based upon
relative net assets or other expense allocation methodologies determined by the
38
<PAGE> 43
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
nature of the expense. Expenses directly attributable to a Fund or class of
shares are charged to such Fund or class in accordance with generally accepted
accounting principles. The Funds bear all costs in connection with their
organization, including the fees and expenses of registering and qualifying
their shares for distribution under Federal and state securities regulations.
All such costs are being amortized on a straight line basis over a period of
five years from commencement of operations.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
The Trust has entered into an investment advisory agreement (the "Investment
Advisory Agreement") with Banc of America Advisors, Inc. ("BAAI") (formerly
known as NationsBanc Advisors, Inc.), a wholly-owned subsidiary of Bank of
America, N.A. ("Bank of America") (formerly known as NationsBank, N.A.), which
in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a
bank holding company organized as a Delaware corporation. Pursuant to the
Investment Advisory Agreements, BAAI provides investment advisory services to
the Funds and is currently entitled to receive an advisory fee, calculated daily
and payable monthly, at the maximum annual rate of 0.40% of each Fund's average
daily net assets. Effective May 14, 1999, the maximum advisory fee payable by
the Funds decreased by 0.10% of the Funds' average daily net assets. Prior to
that date, BAAI was entitled to receive an advisory fee of 0.50% of each Funds'
average daily net assets.
The Trust has entered into a sub-advisory agreement with BAAI and TradeStreet
Investment Associates, Inc. ("TradeStreet"), a wholly-owned subsidiary of Bank
of America, pursuant to which TradeStreet is entitled to receive a sub-advisory
fee from BAAI at the maximum annual rate of 0.10% of each Fund's average daily
net assets.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust.
Under the co-administration agreements, Stephens and BAAI are entitled to
receive a combined fee, computed daily and paid monthly, at the maximum annual
rate of 0.23% of each Fund's average daily net assets. Effective May 14, 1999,
the combined co-administration fee payable by the Funds to Stephens and BAAI
increased by 0.10% of each Fund's average daily net assets. Prior to that date,
the combined co-administration fee payable by the Funds was 0.13% of a Fund's
average daily net assets. The Bank of New York ("BNY") serves as
sub-administrator of the Trust pursuant to an agreement with BAAI. For the six
months ended September 30, 1999, Stephens and BAAI earned $290,656 and $410,771,
respectively, from the Funds for their co-administration services.
BAAI and/or the sub-advisor and Stephens may, from time to time, reduce their
fees payable by each Fund. Effective August 1, 1999, BAAI and/or the sub-advisor
and Stephens agreed to reimburse expenses and/or waive their fees until July 31,
2000 to the extent that total expenses (excluding shareholder servicing and
distribution fees) exceed an annual rate of 0.50% of each respective Fund's
average daily net assets. Prior to that date, BAAI and/or the sub-advisor and
Stephens had voluntarily agreed to reimburse expenses and/or waive their fees to
maintain these total expense limits.
BNY serves as the custodian of the Trust's assets. For the six months ended
September 30, 1999, expenses of the Funds were reduced by $481 under expense
offset arrangements with BNY. The Funds could have invested a portion of the
assets utilized in connection with the expense offset arrangements in an income
producing asset if they had not entered into such arrangements.
First Data Investor Services Group, Inc., a wholly-owned subsidiary of First
Data Corporation, serves as the transfer agent for the Funds' shares. Bank of
America serves as the sub-transfer agent for the Primary Shares of the Funds.
For the six months ended September 30, 1999, Bank of America earned
approximately $8,230 for providing such services.
Stephens also serves as distributor of the Funds' shares. For the six months
ended September 30, 1999, the Funds were informed that the distributor received
$0 in front end sales charges for sales of Investor A Shares and less than $500
in contingent deferred sales charges from the redemptions of shares which were
subject to such charges. A substantial portion of these fees is paid to
affiliates of Bank of America.
Effective July 1, 1999, the Board of Trustees of the Trust, along with the
Boards of Trustees/Directors of the other open-end registered investment
companies in the Nations Funds family, approved a new compensation structure for
the unaffiliated Trustees/Directors. The new structure compensates the
unaffiliated Trustees/Directors for their services to the open-end registered
investment companies in the Nations Funds family as a whole, rather than to
particular registered investment companies, or series or portfolios thereof. As
of September 30, 1999, the open-end registered investment companies in the
Nations Funds family were the Trust, Nations Funds, Inc., Nations
39
<PAGE> 44
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
Reserves, Nations Annuity Trust, Nations LifeGoal Funds, Inc. and Nations Master
Investment Trust. Under the new structure, each unaffiliated Trustee/Director
receives a base retainer fee from the open-end registered investment companies
in the amount of $65,000 per year, in addition to $5,000 for each in-person
meeting attended and $1,000 for each telephonic meeting attended. Each
unaffiliated Trustee/Director will be compensated only for a maximum of six
in-person meetings per calendar year. The Chairman of the Boards receives an
additional fee of 20% of the base retainer fee and the Chairman of the Audit
Committee receives an additional fee of 10% of the base retainer fee. The
members of the Nominating Committee receive additional compensation at the rate
of $1,000 per meeting attended. Each unaffiliated Trustee/ Director is also
reimbursed for expenses incurred in attending such meetings.
Prior to July 1, 1999, the Trust paid each unaffiliated Trustee an annual fee of
$1,000 ($3,000 for the Chairman of the Board), plus $500 per Fund and an
additional $1,000 for each in-person board meeting, and $500 for each telephonic
board meeting attended. The Trust also reimbursed expenses incurred by each
unaffiliated Trustee in attending such meetings.
The Trust's eligible Trustees may participate in non-qualified deferred
compensation and retirement plans which may be terminated at any time. All
benefits provided under these plans are unfunded and any payments to plan
participants are paid solely out of the Funds' assets. Income earned on each
plan participant's deferral account is tied to the rate of return of the
eligible mutual funds selected by the participants or, if no funds are selected,
to the rate of return of Nations Treasury Fund, a portfolio of Nations Fund,
Inc. The expense for the deferred compensation and retirement plans is included
in "Trustees' fees and expenses" in the Statements of operations.
Certain Funds have made daily investments of cash balances in Nations Cash
Reserves, a portfolio of Nations Reserves, another registered investment company
in the Nations Funds family, pursuant to an exemptive order received from the
Securities and Exchange Commission. For the six months ended September 30, 1999,
the Funds earned $184,951 in the aggregate from such investments, which is
included in interest income.
A significant portion of each Fund's Primary A Shares represents investments by
fiduciary accounts over which Bank of America has either sole or joint
investment discretion.
3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS
The Trust has adopted a shareholder administration plan for Primary B Shares of
the Managed Index Fund and shareholder servicing plans and distribution plans
for the Investor A Shares of each Fund. The shareholder administration plan
permits the Managed Index Fund to compensate institutions for shareholder
administration services provided to customers that own Primary B Shares. The
shareholder servicing plans permit the Funds to compensate or reimburse
servicing agents for shareholder services provided by the servicing agents. The
distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit
the Funds to compensate or reimburse the distributor (and for Investor A Shares,
the distributor and/or selling agents) for activities or expenses primarily
intended to result in the sale of the classes' shares. Payments are made at an
annual rate, as a percentage of average daily net assets set from time to time
by the Board of Trustees, and are charged as expenses of each Fund directly to
the applicable class. A substantial portion of the expenses incurred pursuant to
these plans is paid to affiliates of Bank of America and BAAI.
At September 30, 1999, the rates in effect and plan limits, as a percentage of
average daily net assets, were as follows:
<TABLE>
<CAPTION>
CURRENT PLAN
RATE LIMIT
----------------
<S> <C> <C>
Primary B Shareholder Administration
Plan
Managed Index Fund................... 0.50% 0.60%
Investor A Combined Shareholder
Servicing and Distribution Plan.... 0.25% 0.25%
</TABLE>
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, for the six
months ended September 30, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Managed Value Index.............. $ 2,302 $ 2,133
Managed Index.................... 66,695 115,357
Managed SmallCap Value Index..... 1,614 2,013
Managed SmallCap Index........... 27,295 38,794
</TABLE>
There were no purchases or sales of long-term U.S. government securities for the
six months ended September 30, 1999.
40
<PAGE> 45
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
5. FUTURES CONTRACTS
At September 30, 1999, the following Funds had futures contracts open:
<TABLE>
<CAPTION>
UNREALIZED
VALUE OF CONTRACT MARKET VALUE APPRECIATION/
NUMBER OF WHEN OPENED OF CONTRACTS (DEPRECIATION)
DESCRIPTION CONTRACTS (000) (000) (000)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MANAGED INDEX:
S&P 500 Futures (long position) expiring December
1999(a)................................................. 8 $2,546 $2,596 $50
MANAGED SMALLCAP INDEX
Russell 2000 Futures (long position) expiring
December 1999(a)...................................... 13 2,799 2,792 (7)
</TABLE>
- ---------------
(a) Securities have been segregated as collateral for Managed Index and Managed
SmallCap Index for open futures contracts.
6. SHARES OF BENEFICIAL INTEREST
As of September 30, 1999, an unlimited number of shares of beneficial interest
without par value were authorized for the Trust. The Trust's Declaration of
Trust authorizes the Board of Trustees to classify or reclassify any authorized,
but unissued shares into one or more additional classes or series of shares. See
Schedules of capital stock activity.
7. LINE OF CREDIT
The Trust participates in an uncommitted line of credit provided by BNY under a
line of credit agreement (the "Agreement"). Advances under the Agreement are
taken primarily for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. Interest on borrowings is payable at a specified Federal Funds rate
plus 0.50% on an annualized basis. Each participating Fund maintains a ratio of
no less than 4 to 1 net assets (not including amounts borrowed pursuant to the
Agreement) to the aggregate amount of indebtedness pursuant to the Agreement.
For the six months ended September 30, 1999, borrowings by the Funds under the
Agreement were as follows:
<TABLE>
<CAPTION>
AVERAGE
AMOUNT AVERAGE
OUTSTANDING INTEREST
FUND (000) RATE
- ---------------------------------------------------------
<S> <C> <C>
Managed Value Index............. $ 7 5.48%
Managed Index................... 505 5.74
Managed SmallCap Value Index.... 6 5.27
Managed SmallCap Index.......... 120 5.31
</TABLE>
The average amount outstanding was calculated based on daily balances in the
period.
8. SECURITIES LENDING
Under an agreement with BNY, the Funds can lend their portfolio securities to
approved brokers, dealers and other financial institutions. Loans are
collateralized by cash, in an amount at least equal to the market value of the
securities loaned. The cash collateral received is invested in Nations Cash
Reserves, a portfolio of Nations Reserves. A portion of the income generated by
the investment of the collateral, net of any rebates paid by BNY to borrowers,
is remitted to BNY as lending agent, and the remainder is paid to the Fund.
Generally, in the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There would be a potential loss to the
Fund in the event the Fund is delayed or prevented from exercising its right to
dispose of the collateral. The Fund bears the risk of loss with respect to the
investment of collateral.
At September 30, 1999, the following Funds had securities on loan:
<TABLE>
<CAPTION>
MARKET VALUE MARKET
OF LOANED VALUE OF
SECURITIES COLLATERAL
FUND (000) (000)
- ----------------------------------------------------------
<S> <C> <C>
Managed Index................. $10,801 $10,938
Managed SmallCap Index........ 8,331 8,759
</TABLE>
9. CAPITAL LOSS CARRYFORWARD
At March 31,1999, Managed Index and Managed SmallCap Index had available for
Federal Income tax purposes unused capital losses expiring March 31, 2007 of
$1,090,295 and $742,571, respectively.
41
<PAGE> 46
P.O. Box 34602
Charlotte, NC 28234-4602
Toll free 1.800.982.2271
Nations Funds
SAR7 991427 (9/99)
