<PAGE> 1
NATIONS
FUND
FIXED
INCOME
FUNDS
ANNUAL REPORT FOR THE YEAR ENDED MARCH 31, 1996
[NATIONS FUND LOGO]
<PAGE> 2
<TABLE>
<S> NOT <C>
FDIC- MAY LOSE VALUE
INSURED NO BANK GUARANTEE
</TABLE>
NATIONS FUND DISTRIBUTOR: STEPHENS INC. STEPHENS INC., WHICH IS NOT AFFILIATED
WITH NATIONSBANK, 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 FUND INVESTMENT ADVISER: NATIONSBANC ADVISORS, INC.
NATIONS FUND INVESTMENT SUB-ADVISER: TRADESTREET INVESTMENT ASSOCIATES, INC.
<PAGE> 3
NATIONS FUND
DEAR SHAREHOLDER:
We are pleased to present the Nations Fund annual report for the fiscal period
ended March 31, 1996.* Overall, markets have rewarded investors, and during this
period, assets of the Nations Fund family of mutual funds surpassed the $18
billion level.
As noted in our letter to you dated November 30, 1995, last year marked a period
that many investors will look back upon with great fondness in the years to
come. Four factors coincided to make 1995 a memorable year for the stock and
bond markets: 1) The U.S. economy grew at a moderate pace; 2) Inflation slowed
more than most observers anticipated; 3) Both the executive and legislative
branches of the U.S. government embraced a commitment to reduce the federal
deficit; and 4) U.S. corporations continued to produce strong profitability. As
a result, those who owned financial assets enjoyed strong performance without
having it eroded or undermined by threats of an overheated economy, creeping
inflation or unbridled federal spending.
The first three months of 1996 demonstrated that ideal investment conditions do
not last indefinitely. While inflation remained subdued, the economy lost some
of its balance. In January, the economy softened under the weight of winter
storms and a partial Federal government shut down. By late February, the economy
had reawakened with surprising strength, particularly on the employment front.
However, the strong earnings gains of 1995 showed clear signs of abating.
Meanwhile, the political season opened, complicating budget negotiations and
creating harsh political rhetoric. Under these conditions, bond prices began to
fall and interest rates began to rise. While stocks posted gains in the first
months of 1996, the gains were narrower (fewer stocks participated) and
volatility increased. The early primary season put a great deal of focus on the
flat tax, and voter support for the concept appeared to erode. As a result,
municipal securities, which underperformed U.S. Treasuries last year, closed the
performance gap.
Looking ahead, the cooling and heating of the economy that we have experienced
early in the year should give way to modest growth. We do not think there will
be a boom or a bust in the foreseeable future. Inflation should not be a
significant factor, as global markets and sluggishness in the industrialized
world should keep prices and wages under control. Corporate profits will,
however, be a precious commodity. Although we expect corporate profits to
advance, they should be far less spectacular than in 1995. Clearly, the races
for President and Congress will stir up the markets from time to time. Fiscal
conservatism, which has helped to propel the markets, will get lost at times as
the candidates battle.
In summary, we believe investors will enjoy a reasonable, rather than ideal,
environment for investing. We believe that stocks and bonds will advance.
However, the advances will probably be accompanied by periodic corrections and
volatility as the market continues to adjust to a less-than-perfect investment
world.
Sincerely,
/s/ A. Max Walker /s/ Mark H. Williamson
A. Max Walker Mark H. Williamson
President and Chairman President, NationsBanc
of the Board Advisors, Inc.
March 31, 1996
* THE FISCAL YEAR END CHANGED TO MARCH 31.
<PAGE> 4
THE NATIONS FUND ADVANTAGE
A family of mutual funds provides investors with a number of advantages,
including the ability to shift investment assets among funds as their financial
objectives or market conditions change. The Nations Fund family of mutual funds
includes a broad array of professionally managed domestic and international
stock, bond and money market funds advised by NationsBanc Advisors, Inc. The
family was designed to accommodate a wide variety of investment objectives
across the risk/reward spectrum.
NATIONS FUND FAMILY GRAPH
POTENTIAL RETURN
<TABLE>
<CAPTION>
POTENTIAL RISK (VARIABILITY)
---------------------------------------------------------------------------
CURRENT INCOME GROWTH AND INCOME GROWTH AGGRESSIVE GROWTH
--------------------------------- -------------------------- -------------------------- ----------------------------
STABILITY
- ----------------
Shorter Intermediate Longer Growth Large Small Region
Money Maturity Maturity Maturity Equity And Capitalization International Capitalization Specific
Market Bond Bond Bond Balanced Income Income Growth Equity Growth International
Funds Funds Funds Funds Funds Funds Funds Funds Funds Funds Funds
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -Nations -Nations -Nations -Nations -Nations -Nations -Nations -Nations -Nations -Nations -Nations
Prime Short- Stragegic Government Balanced Equity Value Capital International Emerging Emerging
Fund Term Fixed Securities Assets Income Fund Growth Equity Fund Growth Market
- -Nations Income Income Fund Fund Fund Fund Fund Fund
Govern- Fund Fund -Nations -Nations -Nations
ment -Nations -Nations Diversified Disciplined Pacific
Money Short- Inter- Income Equity Growth
Market Term mediate Fund Fund Fund
Fund Municipal Term -Nations
- -Nations Income Municipal Long-Term
Treasury Fund Bond Municipal
Fund -Nations Funds Bond
- -Nations Short- Funds
Tax- Intermediate -Nations
Exempt Government Global
Fund Fund Government
Income Fund
</TABLE>
For specific information on developing an investment portfolio that will more
closely target your investment objectives, contact your investment
representative or Nations Fund for fund brochures and prospectuses at (800)
982-2271.
- ---------------
* The Nations Fund family also includes Nations Equity Index Fund, which seeks
to match the performance of the S&P 500 before fees and expenses.
2
<PAGE> 5
NATIONS SHORT-TERM INCOME FUND
PERFORMANCE AND COMMENTARY
PORTFOLIO MANAGER
David M. Hetherington is Senior Portfolio Manager for Nations Short-Term
Income Fund. Mr. Hetherington has worked in the investment community since 1975.
Prior to joining TradeStreet Investment Associates, Inc., sub-adviser to the
Fund, he was Senior Vice President and Director of Fixed Income in the
Investment Management Group at NationsBank, N.A. He also worked as a Portfolio
Manager, a Trust Investment Officer and Securities Analyst for First Citizens
Bank and Deposit Guarantee. In addition, Mr. Hetherington was an Economist for
the U.S. Department of Labor, Bureau of Labor Statistics. He received a B.A. in
Economics from Duke University. He holds the Chartered Financial Analyst
designation and is a member of the Association for Investment Management and
Research.
INVESTMENT OBJECTIVE
The Fund seeks as high a level of current income as is consistent with
prudent investment risk.
PERFORMANCE REVIEW*
For the one-year period ended March 31, 1996, Nations Short-Term Income
Fund Investor A Shares provided a total return of 7.92%.
PORTFOLIO MANAGER COMMENTARY
In the following interview, Mr. Hetherington shares his views on financial
market conditions and Fund performance for the one-year period ended March 31,
1996.
WHILE INTEREST RATES DECLINED IN 1995, THEY HAVE INCREASED DURING THE FIRST
QUARTER OF 1996. HOW HAS THIS AFFECTED THE FUND?
While changes in interest rates clearly have an impact on all fixed-income
investments, Nations Short-Term Income Fund is less affected than most bond
portfolios. By design, we focus on one- to three-year securities. These provide
more income over time than money market securities, but without the price
volatility of longer term bonds.
In 1995, the Fund had modest price appreciation and in the first quarter of
1996, had some modest price depreciation. The increase in interest rates has
given us the opportunity to make purchases at higher yields (lower prices).
WHERE DO YOU SEE RATES GOING AS WE HEAD INTO THE NEXT FISCAL YEAR?
That's always tough to call, but we are generally optimistic. Our outlook
calls for modest and non-inflationary economic growth. At today's interest rate
levels, that makes bonds attractive. We know there is going to be continued
market volatility. We have elections coming up and our markets are far more
influenced by international events today than in the past. But, beyond these
wildcards, we see good prospects for further interest-rate cuts by the Federal
Reserve Board which should lead interest rates back down.
HOW ARE YOU POSITIONING THE PORTFOLIO GOING FORWARD?
We continue to emphasize incremental income by focusing on investment grade
corporate bonds and asset-backed securities. We have looked more closely at
select mortgage-backed securites where maturities are consistent with our
objectives. We are also looking for select opportunities to extend maturities on
market weakness. We are keeping the Fund 8% to 10% longer than its benchmark in
terms of duration.
WHAT'S THE BIGGEST HURDLE INVESTORS FACE TODAY?
It's sticker shock: getting used to lower interest rates than investors
have seen over the past decade. It's actually a return to more normal
relationships. The important thing to focus on is a bond's yield compared to
inflation rates. That relationship says that bonds are attractive today.
- ---------------
* The performance shown includes the effect of fee waivers by the investment
adviser. Such fee waivers have the effect of increasing total return.
3
<PAGE> 6
NATIONS FUND
Nations Short-Term Income Fund
- ---------------------------------------------
PORTFOLIO BREAKDOWN AS OF 3/31/96
<TABLE>
<S> <C>
Corporate Notes 49.4%
Asset Backed Securities 19.4%
U.S. Dollar Denominated Foreign Bonds and Notes 9.3%
U.S. Treasury Notes 11.2%
Repurchase Agreement and Other Assets and Liabilities (Net) 1.1%
U.S. Government Agency Securities 9.6%
</TABLE>
PERFORMANCE COMPARISON - INVESTOR A SHARES AS OF 3/31/96
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
- ----------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------
YEAR ENDED 7.92%
03/31/96
----------------
INCEPTION
(10/02/92) 4.82%
THROUGH
03/31/96
</TABLE>
<TABLE>
<CAPTION>
GROWTH OF INVESTMENT MERRILL LYNCH 1-3
WITH DISTRIBUTIONS REINVESTED YEAR TREASURY INDEX
- ---------------------------------------------------------------------------
<S> <C> <C>
Oct. 2 1992 10,000 10,000
Nov. 20, 1992 9,914 10,018
10,226 10,239
10,398 10,350
10,585 10,498
Nov. 30, 1993 10,641 10,560
10,535 10,508
10,492 10,516
10,592 10,620
Nov. 30, 1994 10,590 10,620
10,925 10,977
11,304 11,329
11,475 11,499
Nov. 30, 1995 11,763 11,789
March 31, 1996 11,790 11,828
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Short-Term
Income Fund on October 2,
1992 (inception). The
Merrill Lynch 1-3 Year
Treasury Index is comprised
of all U.S. government and
corporate bonds with
maturities of 1-3 years.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
Portfolio holdings are subject to change and may not be representative of
current holdings.
-------------------------------------
TOP TEN HOLDINGS AS A % OF NET
ASSETS AS OF 3/31/96
<TABLE>
<S> <C>
1. U.S. Treasury Notes 11.1%
2. Federal National Mortgage Association
Certificates 9.6
3. General Motors Acceptance Corporation, MTN,
7.500% 03/16/98 3.7
4. Skandia Capital AB, Guaranteed Eurobonds,
6.000% 11/02/98 3.5
5. Equitable-Lord Realty Corporation, Euronote,
10.500% 12/30/97 3.2
6. Airplanes Pass Through Trust,
Series 1, Class A2, 5.733% 03/15/09 3.0
7. AT&T Capital Corporation, MTN, 5.650%
01/15/99 2.9
8. Discover Card Master Trust,
Series 1995-2, Class A, 6.550% 02/15/03 2.6
9. Merrill Lynch & Company, MTN, 6.140% 03/29/99 2.5
10. Advanta National Bank, MTN, 6.090% 11/10/97 2.5
</TABLE>
4
<PAGE> 7
NATIONS FUND
Nations Short-Term Income Fund
PERFORMANCE COMPARISON - INVESTOR C SHARES AS OF 3/31/96
- --------------------------------------------------------------------------------
<TABLE>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C> <C>
YEAR ENDED 7.21%* 7.71%
03/31/96
----------------------
INCEPTION
(10/02/92) 4.61% 4.61%
THROUGH
03/31/96
----------------------
Not
*Adjusted for adjusted
maximum for
contingent contingent
deferred deferred
sales charge sales
of 0.50% charge
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor C
Shares of Nations Short-Term
Income Fund on October 2,
1992 (inception). Investor C
Shares that are redeemed
within one year of purchase
are subject to a 0.50%
contingent deferred sales
charge. The Merrill Lynch
1-3 Year Treasury Index is
comprised of all U.S.
government and corporate
bonds with maturities of 1-3
years.
<TABLE>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT MERRILL LYNCH 1-3
WITH DISTRIBUTIONS REINVESTED YEAR TREASURY INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Oct. 2, 1992 10,000 10,000
Nov. 30, 1992 9,923 10,018
10,226 10,239
10,380 10,350
10,560 10,498
Nov. 30, 1993 10,609 10,560
10,497 10,508
10,450 10,516
10,546 10,620
Nov. 30, 1994 10,539 10,620
10,869 10,977
11,237 11,329
11,403 11,499
Nov. 30, 1995 11,685 11,789
March 31, 1996 11,707 11,828
</TABLE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR N SHARES AS OF 3/31/96
<TABLE>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 7.74%
03/31/96
---------------------
INCEPTION
(06/07/93) 4.78%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor N
Shares of Nations Short-Term
Income Fund on June 7, 1993
(inception). The Merrill
Lynch 1-3 Year Treasury
Index is comprised of all
U.S. government and
corporate bonds with
maturities of 1-3 years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT MERRILL LYNCH 1-3
WITH DISTRIBUTIONS REINVESTED YEAR TREASURY INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
June 7, 1993 10,000 10,000
10,277 10,218
Nov. 30, 1993 10,328 10,279
10,223 10,227
10,177 10,236
10,271 10,337
Nov. 30, 1994 10,265 10,337
10,586 10,684
10,946 11,027
11,108 11,192
Nov. 30, 1995 11,382 11,474
Mar. 31, 1996 11,405 11,512
</TABLE>
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
5
<PAGE> 8
NATIONS FUND
Nations Short-Term Income Fund
- -------------------------------------------------------
PERFORMANCE COMPARISON - PRIMARY A SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 8.11%
03/31/96
---------------------
INCEPTION
(09/30/92) 5.09%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Primary A
Shares of Nations Short-Term
Income Fund on September 30,
1992 (inception). The
Merrill Lynch 1-3 Year
Treasury Index is comprised
of all U.S. government and
corporate bonds with
maturities of 1-3 years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT MERRILL LYNCH 1-3
WITH DISTRIBUTIONS REINVESTED YEAR TREASURY INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Sept. 30, 1992 10,000 10,000
Nov. 30, 1992 9,941 10,018
10,268 10,239
10,435 10,350
10,629 10,498
Nov. 30, 1993 10,692 10,560
10,592 10,508
10,553 10,516
10,660 10,620
Nov. 30, 1994 10,663 10,620
11,006 10,977
11,391 11,329
11,569 11,499
Nov. 30, 1995 11,865 11,789
March 31, 1996 11,899 11,828
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
6
<PAGE> 9
NATIONS SHORT-INTERMEDIATE GOVERNMENT FUND
PERFORMANCE AND COMMENTARY
PORTFOLIO MANAGER
John Swaim is Senior Portfolio Manager for Nations Short-Intermediate
Government Fund. Mr. Swaim has worked in the investment community since 1986.
Prior to joining TradeStreet Investment Associates, Inc., sub-adviser to the
Fund, he was Vice President and Senior Portfolio Manager in the Investment
Management Group at NationsBank, N.A. His experience also includes derivatives
products management. Mr. Swaim received a B.S. from the University of North
Texas and an M.B.A. from the University of Texas at Arlington.
INVESTMENT OBJECTIVE
The Fund seeks as high a level of current income as is consistent with
prudent investment risk. The Fund invests essentially all of its assets in
obligations issued or guaranteed by the U.S. Government, its agencies or
instrumentalities and in repurchase agreements relating to such obligations.
PERFORMANCE REVIEW*
For the one-year period ended March 31, 1996, Nations Short-Intermediate
Government Fund Investor A Shares provided a total return of 7.15%.
PORTFOLIO MANAGER COMMENTARY
In the following interview, Mr. Swaim shares his views on financial market
conditions and Fund performance for the one-year period ended March 31, 1996.
WHAT THEMES WERE PREDOMINANT OVER THE PAST YEAR?
Duration was the big story for the fixed-income marketplace over the past
year. The Federal Reserve Board moved to a posture of easing interest rates in
1995, which initiated a market rally until the final two months of the year. At
that time, interest rates backed up with a slight rebound in economic strength,
which rattled the financial markets.
HOW DID THE FUND PERFORM IN RESPONSE TO FALLING RATES, THEN RISING RATES?
When rates declined throughout 1995, the Fund benefited from being longer
in duration than the average fund in its Lipper universe. Then, when rates began
to come back up, the Fund did comparatively well as most of the pain was felt by
those investing in longer maturity securities. Most of the value realized by the
Fund resulted from timely decisions in managing mortgages and duration, and
adding performance through barbelling -- building the portfolio from opposite
ends of the maturity spectrum. Barbelling proved to be beneficial from both an
income and total return perspective. However, the Fund has recently reversed out
of the barbell strategy as there has been more value in securities with
intermediate-term maturities.
WHAT ARE THE FUND'S CURRENT PORTFOLIO CHARACTERISTICS?
The yield curve has flattened, so we have moved positions closer to the
four- and five-year sector of the U.S. Treasury yield curve by reducing the
Fund's holdings on both the short- and long-end of the curve. As of March 31,
1996, the Fund's average maturity was 5.1 years and the average effective
duration was 3.5 years. At the end of the reporting period, approximately 38%
was invested in mortgages with the balance invested in U.S. government
securities.**
WHAT IS YOUR OUTLOOK GOING FORWARD AND HOW DO YOU ANTICIPATE POSITIONING THE
FUND IN RESPONSE?
Our outlook is tempered over the near term by the recent upturn in economic
strength, but continues to be favorable for the long term. Mortgages continue to
look favorable at current valuations, and the relatively low duration of the
Fund has been an advantage in the recent market selloff. The Fund has added
duration to take advantage of the higher yields currently available in the
market.
- ---------------
* The performance shown includes the effect of fee waivers by the investment
adviser. Such fee waivers have the effect of increasing total return.
** Portfolio holdings are subject to change and may not be representative of
current holdings.
7
<PAGE> 10
NATIONS FUND
Nations Short-Intermediate Government Fund
- ---------------------------------------
PORTFOLIO BREAKDOWN AS OF 3/31/96
<TABLE>
<S> <C>
U.S. Treasury Obligations 74.9%
Collaterialized Mortgage Obligation, U.S.
Government Agency Securities, Mortgage-
Backed Securities, Government Guaranteed
Bonds, Repurchase Agreement and Other Assets
and Liabilities (Net) 25.1%
</TABLE>
PERFORMANCE COMPARISON - INVESTOR A SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 7.15%
03/31/96
---------------------
INCEPTION
(08/05/91) 6.64%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Short-
Intermediate Government Fund
on August 5, 1991
(inception). The Lehman
Brothers 1-5 Year U.S.
Government Index is
comprised of all U.S.
government agency and U.S.
Treasury securities with
maturities between 1 and 5
years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS
WITH DISTRIBUTIONS REINVESTED 1-5 YEAR U.S.
GOVERNMENT INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Aug. 5, 1991 10,000 10,000
10,427 10,302
Nov. 30, 1991 10,925 10,738
10,762 10,689
11,239 11,064
11,632 11,481
Nov. 30, 1992 11,546 11,456
11,982 11,812
12,166 11,989
12,435 12,192
Nov. 30, 1993 12,451 12,244
12,229 12,102
12,104 12,063
12,160 12,168
Nov. 30, 1994 12,128 12,150
12,586 12,613
13,053 13,111
13,235 13,306
Nov. 30, 1995 13,610 13,690
March 31, 1996 13,485 13,678
</TABLE>
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
Portfolio holdings are subject to change and may not be representative of
current holdings.
- -------------------------------------------------------
TOP TEN HOLDINGS AS A % OF NET
ASSETS AS OF 3/31/96
- -------------------------------------------------------
<TABLE>
<S> <C>
1. U.S. Treasury Notes 64.8%
2. Federal National Mortgage Association
Certificates 18.6
3. Federal Home Loan Mortgage Corporation
Certificates 13.9
4. Government National Mortgage Association
Certificates 11.2
5. U.S. Treasury Bill 7.2
6. U.S. Treasury Bond 2.9
7. Second Attransco Tanker Corporation,
Series A, 8.500% 06/15/02 0.5
8. Third Attransco Tanker Corporation, 8.200%
11/01/97 0.3
9. Student Loan Marketing Association, 5.340%
08/02/99 0.2
10. Drexel Burnham Lambert, Series S, Class 2,
9.000% 08/01/18 0.1
</TABLE>
8
<PAGE> 11
NATIONS FUND
Nations Short-Intermediate Government Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR C SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- ----------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------
<S> <C> <C>
YEAR ENDED 6.33%* 6.83%
03/31/96
-----------------------
INCEPTION
(06/17/92) 4.63% 4.63%
THROUGH
03/31/96
-----------------------
Not
*Adjusted for adjusted
maximum for
contingent contingent
deferred deferred
sales charge sales
of 0.50% charge
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor C
Shares of Nations Short-
Intermediate Government Fund
on June 17, 1992
(inception). Investor C
Shares that are redeemed
within one year of purchase
are subject to a 0.50%
contingent deferred sales
charge. The Lehman Brothers
1-5 Year U.S. Government
Index is comprised of all
U.S. government agency and
U.S. Treasury securities
with maturities between 1
and 5 years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
LEHMAN BROTHERS 1-5
GROWTH OF INVESTMENT YEAR U.S. GOVERNMENT
WITH DISTRIBUTIONS REINVESTED INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
June 17, 1992 10,000 10,000
10,394 10,376
Nov. 30, 1992 10,299 10,354
10,673 10,676
10,820 10,835
11,043 11,019
Nov. 30, 1993 11,041 11,066
10,828 10,937
10,710 10,902
10,751 10,998
Nov. 30, 1994 10,715 10,981
11,111 11,400
11,515 11,849
11,667 12,026
Nov. 30, 1995 11,989 12,373
Mar. 31, 1996 11,870 12,363
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR N SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 6.71%
03/31/96
----------------------
INCEPTION
(06/07/93) 3.65%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor N
Shares of Nations Short-
Intermediate Government Fund
on June 7, 1993 (inception).
The Lehman Brothers 1-5 Year
U.S. Government Index is
comprised of all U.S.
government agency and U.S.
Treasury securities with
maturities between 1 and 5
years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
LEHMAN BROTHERS
GROWTH OF INVESTMENT 1-5 YEAR U.S.
WITH DISTRIBUTIONS REINVESTED GOVERNMENT INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
June 7, 1993 10,000 10,000
10,092 10,106
10,304 10,277
Nov. 30, 1993 10,307 10,321
10,113 10,201
9,999 10,168
10,035 10,257
Nov. 30, 1994 9,999 10,241
10,366 10,632
10,740 11,051
10,878 11,216
Nov. 30, 1995 11,175 11,539
Mar. 31, 1996 11,061 11,530
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
9
<PAGE> 12
NATIONS FUND
Nations Short-Intermediate Government Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - PRIMARY A SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- --------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- --------------------------------------
<S> <C>
YEAR ENDED 7.36%
03/31/96
------------------
INCEPTION
(08/01/91) 6.78%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Primary A
Shares of Nations
Short-Intermediate
Government Fund on August 1,
1991 (inception). The Lehman
Brothers 1-5 Year U.S.
Government Index is
comprised of all U.S.
government agency and U.S.
Treasury securities with
maturities between 1 and 5
years.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
LEHMAN BROTHERS
GROWTH OF INVESTMENT 1-5 YEAR U.S.
WITH DISTRIBUTIONS REINVESTED GOVERNMENT INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Aug. 1, 1991 10,000 10,000
10,427 10,302
Nov. 30, 1991 10,925 10,738
10,762 10,689
11,242 11,064
11,639 11,481
Nov. 30, 1992 11,556 11,456
11,997 11,812
12,185 11,989
12,461 12,192
Nov. 30, 1993 12,483 12,244
12,266 12,102
12,147 12,063
12,208 12,168
Nov. 30, 1994 12,183 12,150
12,648 12,613
13,124 13,111
13,314 13,306
Nov. 30, 1995 13,699 13,690
Mar. 31, 1996 13,580 13,678
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
10
<PAGE> 13
NATIONS STRATEGIC FIXED INCOME FUND
PERFORMANCE AND COMMENTARY
PORTFOLIO MANAGER
Greg Cobb is Senior Portfolio Manager for Nations Strategic Fixed Income
Fund. Mr. Cobb has worked in the investment community since 1987. Prior to
joining TradeStreet Investment Associates, Inc., sub-adviser to the Fund, he was
Vice President and Senior Portfolio Manager in the Investment Management Group
at NationsBank, N.A. and has managed intermediate-duration portfolios and
insurance products for Trust Company Bank and Barnett Bank Trust Company, Inc.
Mr. Cobb received a B.A. in Economics from the University of North Carolina at
Chapel Hill.
INVESTMENT OBJECTIVE
The Fund seeks to maximize total investment return through the active
management of fixed-income securities.
PERFORMANCE REVIEW*
For the one-year period ended March 31, 1996, Nations Strategic Fixed
Income Fund Investor A Shares provided a total return of 9.16%.
PORTFOLIO MANAGER COMMENTARY
In the following interview, Mr. Cobb shares his views on financial market
conditions and Fund performance for the one-year period ended March 31, 1996.
PLEASE DESCRIBE YOUR OVERALL INVESTMENT PHILOSOPHY AND THE FUND'S INVESTMENT
APPROACH.
Our investment philosophy is biased toward total return, recognizing that
the combination of current income and price movement is ultimately more
important than current income alone. We use a combination of investment
strategies -- duration management (management of interest rate risk), market
sector selection, security selection and yield curve positioning to seek to add
value to the Fund over time. By using multiple strategies, we avoid making "big
bets" and each strategy adds incremental income without any single one
dominating returns.
Nations Strategic Fixed Income Fund invests in the investment-grade sectors
of the broad bond market, buying mainly U.S. government securities,
mortgage-backed securities, asset-backed securities and corporate bonds. The
decision-making process focuses on identifying the relative value between these
broad market sectors and taking advantage of those that offer the most
attractive risk/reward trade-off.
HOW DID FINANCIAL MARKET CONDITIONS AFFECT THE FUND'S PERFORMANCE?
For most of the one-year period ending March 31, 1996 the bond market
behaved well. However, since year end, it has been a difficult market as
interest rates have risen in excess of 65 basis points on all maturities longer
than three years. This interest rate move is a direct result of expectations of
further easing of rates by the Federal Reserve Board (the "Fed") not being
realized. The market is expecting the Fed to be on hold with a bias towards a
tightening.
Our outlook at the beginning of 1996 was for continued weak economic growth
and a move to lower interest rates so the portfolio was positioned with a longer
duration than its benchmark. This resulted in underperformance during the first
quarter. We have maintained this long position in the portfolio as we anticipate
that economic activity will prove to be only a "growth scare," and rates will
trend lower as the economy weakens.
WHAT ARE THE FUND'S CURRENT PORTFOLIO CHARACTERISTICS?
As of March 31, 1996 the Fund had a weighted average maturity of 9.24
years, with a duration of 5.22 years. The average quality of the portfolio was
AAA.
WHERE DID YOU FIND THE STRONGEST PERFORMANCE OVER THE COURSE OF THE LAST TWELVE
MONTHS?
For the three months ended March 31, 1996, the Fund's exposure to the
corporate market provided the strongest performance. Continued strong credit
fundamentals, limited supply and strong demand produced attractive returns. The
portfolio is currently overweighted in this sector, as these positive trends are
expected to continue.
- ---------------
* The performance shown includes the effect of fee waivers by the investment
adviser. Such fee waivers have the effect of increasing total return.
11
<PAGE> 14
WHICH SECTOR PROVIDED THE WEAKEST PERFORMANCE?
In a complete reversal of the last nine months, long-duration U.S.
Treasuries, especially 30-year bonds, have been the worst performers. Over the
twelve month period, the price of the 30-year U.S. Treasury bond declined in
excess of 7% as interest rates have risen.
GOING FORWARD, WHERE DO YOU EXPECT TO FIND THE BEST VALUES?
Mortgage-backed securities represent an attractive sector going forward.
Given the recent rise in interest rates, we expect refinancings to decline,
which should add more stability to the mortgage market. We are looking for
opportunities to increase the Fund's exposure.
WHAT IS YOUR OUTLOOK FOR THE FIXED INCOME MARKETS IN 1996?
We believe that the economy and job growth will slow in the coming months,
leading to lower interest rates. The Fund is well positioned to take advantage
of this environment.
12
<PAGE> 15
NATIONS FUND
Nations Strategic Fixed Income Fund
- ----------------------------------------
PORTFOLIO BREAKDOWN AS OF 3/31/96
<TABLE>
<S> <C>
Mortgage-Backed Securities 30.7%
Corporate Bonds and Notes 19.0%
Asset-Backed Securities 8.3%
U.S. Dollar Denominated Foreign Bond,
Repurchase Agreement and Other
Assets and Liabilities (Net) 2.2%
U.S. Treasury Obligations 39.8%
</TABLE>
- -------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR A SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 9.16%
03/31/96
---------------------
INCEPTION
(11/19/92) 6.38%
THROUGH
03/31/96
</TABLE>
----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Strategic
Fixed Income Fund on
November 19, 1992
(inception). Figures for the
Lehman Brothers Aggregate
Bond Index, which is
comprised of the Lehman
Government/Corporate Index,
the Asset-Backed Securities
Index and the Mortgage-
Backed Securities Index
which include U.S. Treasury
issues, agency issues,
corporate bond issues and
mortgage-backed securities,
include reinvestment of all
dividends.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS
WITH DISTRIBUTIONS REINVESTED AGGREGATE BOND INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Nov. 19, 1992 10,000 10,000
Nov. 30, 1992 10,111 10,157
10,334 10,352
10,590 10,577
10,876 10,858
Nov. 30, 1993 11,212 11,414
11,183 11,148
10,865 10,828
10,733 10,717
Nov. 30, 1994 10,787 10,782
10,791 10,823
11,280 11,369
11,945 12,061
Nov. 30, 1995 12,118 12,298
12,631 12,822
March 31, 1996 12,313 12,595
Assumes the reinvestment of all distributions.
</TABLE>
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
Portfolio holdings are subject to change and may not be representative of
current holdings.
- -------------------------------------
TOP TEN HOLDINGS AS A % OF NET
ASSETS AS OF 3/31/96
<TABLE>
<S> <C>
1. U.S. Treasury Notes 26.5%
2. Federal National Mortgage Association
Certificates 16.9
3. U.S. Treasury Bonds 13.3
4. Government National Mortgage Association
Certificates 9.1
5. Federal Home Loan Mortgage Corporation
Certificate 4.7
6. AT&T Universal Card, Master Trust, Series
95-2A, 5.950% 10/17/02 1.9
7. American Express Company, Master Trust,
Series 1994-3, Class A, 7.850% 08/15/05 1.9
8. Time Warner Inc., Notes, 7.450% 02/01/98 1.7
9. News America Holdings Inc., Sr. Notes, 8.625%
02/01/03 1.6
10. Nationwide Mutual, 9.875% 02/15/25 1.5
</TABLE>
13
<PAGE> 16
NATIONS FUND
Nations Strategic Fixed Income Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR C SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C> <C>
YEAR ENDED 8.32%* 8.82%
03/31/96
----------------------
INCEPTION
(11/16/92) 6.01% 6.01%
THROUGH
03/31/96
----------------------
*Adjusted for Not
maximum adjusted
contingent for
deferred contingent
sales charge deferred
of 0.50% sales
charge
</TABLE>
- ----------------------------
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor C
Shares of Nations Strategic
Fixed Income Fund on
November 16, 1992
(inception). Investor C
Shares that are redeemed
within one year of purchase
are subject to a 0.50%
contingent deferred sales
charge. Figures for the
Lehman Brothers Aggregate
Bond Index, which is
comprised of the Lehman
Government/Corporate Index,
the Asset-Backed Securities
Index and the
Mortgage-Backed Securities
Index which include U.S.
Treasury issues, agency
issues, corporate bond
issues and mortgage-backed
securities, include
reinvestment of all
dividends.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS
WITH DISTRIBUTIONS REINVESTED AGGREGATE BOND INDEX
- -------------------------------------------------------------------------------
<S> <C> <C>
Nov. 16, 1992 10,000 10,000
Nov. 30, 1992 10,133 10,157
10,598 10,577
10,867 10,858
11,185 11,141
Nov. 30, 1993 11,140 11,148
10,807 10,828
10,668 10,717
10,714 10,782
Nov. 30, 1994 10,710 10,823
11,187 11,369
11,837 12,061
12,000 12,298
Nov. 30, 1995 12,498 12,822
Mar. 31, 1996 12,174 12,595
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR N SHARES AS OF 3/31/96
<TABLE>
<CAPTION>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 8.67%
03/31/96
----------------------
INCEPTION
(06/07/93) 4.58%
THROUGH
03/31/96
</TABLE>
- ----------------------------
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor N
Shares of Nations Strategic
Fixed Income Fund on June 7,
1993 (inception). Figures
for the Lehman Brothers
Aggregate Bond Index, which
is comprised of the Lehman
Government/Corporate Index,
the Asset-Backed Securities
Index and the
Mortgage-Backed Securities
Index which include U.S.
Treasury issues, agency
issues, corporate bond
issues and mortgage-backed
securities, include
reinvestment of all
dividends.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS
WITH DISTRIBUTIONS REINVESTED AGGREGATE BOND INDEX
- -------------------------------------------------------------------------------
<S> <C> <C>
June 7, 1993 10,000 10,000
10,418 10,417
Nov. 30, 1993 10,397 10,364
10,410 10,343
10,071 9,997
10,261 10,151
Nov. 30, 1994 10,079 9,928
10,595 10,388
11,227 10,969
11,421 11,094
Nov. 30, 1995 11,857 11,486
11,893 11,444
Mar. 30, 1996 11,810 11,342
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
14
<PAGE> 17
NATIONS FUND
Nations Strategic Fixed Income Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - PRIMARY A SHARES AS OF 3/31/96
<TABLE>
<S> <C>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
YEAR ENDED 9.38%
03/31/96
------------------
INCEPTION
(10/30/92) 6.58%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Primary A
Shares of Nations Strategic
Fixed Income Fund on October
30, 1992 (inception).
Figures for the Lehman
Brothers Aggregate Bond
Index, which is comprised of
the Lehman Government/
Corporate Index, the
Asset-Backed Securities
Index and the
Mortgage-Backed Securities
Index which include U.S.
Treasury issues, agency
issues, corporate bond
issues and mortgage-backed
securities, include
reinvestment of all
dividends.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS
WITH DISTRIBUTIONS REINVESTED AGGREGATE BOND INDEX
- --------------------------------------------------------------------------------
<S> <C> <C>
Oct. 30, 1992 10,000 10,000
Nov. 30, 1992 10,151 10,161
10,636 10,581
10,928 10,862
11,269 11,145
Nov. 30, 1993 11,245 11,152
10,928 10,832
10,801 10,721
10,861 10,786
Nov. 30, 1994 10,871 10,827
11,369 11,373
12,045 12,066
12,226 12,303
Nov. 30, 1995 12,750 12,827
Mar. 31, 1996 12,436 12,599
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
15
<PAGE> 18
NATIONS GOVERNMENT SECURITIES FUND
PERFORMANCE AND COMMENTARY
PORTFOLIO MANAGER
John Swaim is Senior Portfolio Manager for Nations Government Securities
Fund. Mr. Swaim has worked in the investment community since 1986. Prior to
joining TradeStreet Investment Associates, Inc., sub-adviser to the Fund, he was
Vice President and Senior Portfolio Manager in the Investment Management Group
at NationsBank, N.A. His past experience also includes derivatives products
management. Mr. Swaim received a B.S. from the University of North Texas and an
M.B.A. from the University of Texas at Arlington.
INVESTMENT OBJECTIVE
The Fund seeks to provide current income and preservation of capital. The
Fund seeks to achieve its objective by investing primarily in obligations issued
or guaranteed by the U.S. Government, its agencies or instrumentalities.
PERFORMANCE REVIEW*
For the one-year period ended March 31, 1996, Nations Government Securities
Fund Investor A Shares provided a total return of 7.36%.
PORTFOLIO MANAGER COMMENTARY
In the following interview, Mr. Swaim shares his views on financial market
conditions and Fund performance for the one-year period ended March 31, 1996.
WHAT HAPPENED IN THE FIXED-INCOME MARKET OVER THE LAST TWELVE MONTHS?
The market was extremely favorable for bonds in 1995, due to a favorable
environment of low inflation, moderate economic growth and accommodative
monetary policy. In the first quarter of 1996, the bond market corrected in the
face of stronger-than-anticipated economic data. This convinced the Federal
Reserve Board (the "Fed") to adopt a neutral stance, rather than reduce rates as
investors had anticipated.
HOW DID YOU POSITION THE PORTFOLIO IN RESPONSE TO THIS MARKET VOLATILITY?
In light of the increasing volatility that we have seen in the fixed-income
market over the past several years, we repositioned the Fund. Previously, the
Fund concentrated primarily on mortgage-backed securities to provide above-
average income. While this was effective, it somewhat limited opportunities to
add incremental total return. Going forward, we are taking a more balanced
approach, focusing on both mortgage-backed and U.S. Treasury securities. This
new positioning has given the Fund increased flexibility to react more
effectively to changing market conditions.
HAS THIS STRATEGIC CHANGE BEEN SUCCESSFUL?
Yes, it has. In fact, during the first quarter of 1996, the Fund was ranked
in the top quartile (54 out of 184 funds) in its Lipper Analytical Services,
Inc. category, General U.S. Government Funds, based on both total return and
income versus a ranking in the last quartile (155 out of 173 funds) for the
one-year period ending March 31, 1996.
EXACTLY HOW DO MORTGAGES AND U.S. TREASURIES COMPLIMENT ONE ANOTHER?
Mortgages perform best during periods of fairly stable interest rates,
generally providing more attractive income levels than U.S. Treasuries. However,
over the last few years, that stability has been absent in the marketplace. The
challenge with mortgages is that there is always an element of uncertainty as to
when the mortgage security will mature. When interest rates fall rapidly,
mortgage holders tend to refinance and, thus, mortgage securities mature much
more quickly than expected. That is the prepayment risk. The converse is also
true. When interest rates rise, mortgages do not mature as quickly as expected,
resulting in extension risk.
U.S. Treasuries, on the other hand, are more predictable than mortgages in
terms of maturity; their maturities are known. The Fund is able to use U.S.
Treasury securities of all maturities, which can provide upside potential in a
falling interest rate environment and protect net asset value in rising interest
rate environments.
- ---------------
* The performance shown includes the effect of fee waivers by the investment
adviser. Such fee waivers have the effect of increasing total return.
16
<PAGE> 19
WHAT'S YOUR VIEW ON INTEREST RATES GOING FORWARD?
We think that the economy is not going to be able to maintain the growth
spurt that we've seen in the first three months of 1996. As the year progresses,
concerns over economic growth will change from whether there is too much to
whether there actually is enough. As such, the Fed may ease interest rates.
HOW WILL YOU POSITION THE FUND IN RESPONSE?
The Fund has added incremental duration after the recent interest rate
increase to position for a longer-term positive market view.
17
<PAGE> 20
NATIONS FUND
Nations Government Securities Fund
- ---------------------------------------------
PORTFOLIO BREAKDOWN AS OF 3/31/96
<TABLE>
<S> <C>
U.S. Government Agency Securities 3.2%
U.S. Treasury Securities 36.2%
Collaterized Mortgage Obligation,
Repurchase Agreement and Other
Assets and Liabilities (Net) 1.4%
Mortgage-Backed Securities 59.2%
</TABLE>
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR A SHARES AS OF 3/31/96
<TABLE>
<S> <C>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
YEAR ENDED 7.36%
03/31/96
----------------------
INCEPTION
(04/17/91) 6.16%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations Government
Securities Fund on April 17,
1991 (inception). Figures
for the Lehman Intermediate
Treasury Index track the
market value of U.S.
Treasury securities with
maturities of 3 to 10 years.
The Salomon Brothers
Mortgage Index is comprised
of 30 year and 15 year GNMA,
FNMA and FHLMC securities,
and FNMA and FHLMC balloon
mortgages. Both indices are
unmanaged.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN INTERMEDIATE SOLOMON BROTHERS
WITH DISTRIBUTIONS REINVESTED TREASURY INDEX MORTGAGE INDEX
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
April 17, 1991 10,000 10,000 10,000
May 31, 1991 10,104 10,063 10,097
10,626 10,541 10,657
11,149 11,055 11,129
10,949 10,933 11,070
May 31, 1992 11,378 11,359 11,517
11,744 11,866 11,857
11,716 11,823 11,949
12,063 12,270 12,299
May 31, 1993 12,311 12,512 12,560
12,600 12,777 12,674
12,607 12,796 12,790
12,223 12,558 12,521
May 31, 1994 12,009 12,489 12,453
11,940 12,584 12,552
11,936 12,570 12,607
12,522 13,090 13,272
May 31, 1995 13,094 13,705 13,959
13,312 13,913 14,242
13,726 14,383 14,721
Mar. 31, 1996 13,444 14,281 14,667
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
Portfolio holdings are subject to change and may not be representative of
current holdings.
- -------------------------------------
TOP TEN HOLDINGS AS A % OF NET
ASSET AS OF 3/31/96
<TABLE>
<S> <C>
1. Federal National Mortgage Association
Certificates 28.9%
2. U.S. Treasury Bonds 27.4
3. Government National Mortgage Association
Certificates 21.9
4. U.S. Treasury Notes 8.8
5. Federal Home Loan Mortgage Corporation
Certificates 6.7
6. Federal Agricultural Mortgage Corporation,
9.400% 07/15/08 1.9
7. Federal Home Loan Bank Certificate 1.6
8. Federal Farm Credit Systems, 9.450% 11/21/03 1.3
9. CS First Boston Mortgage Securities, Series
1989-5, Class A-1, 7.500% 12/25/19 0.4
10. Government National Mortgage Association II
Certificate 0.1
</TABLE>
18
<PAGE> 21
NATIONS FUND
Nations Government Securities Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR C SHARES AS OF 3/31/96
<TABLE>
<S> <C> <C>
- ----------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ----------------------------------------
YEAR ENDED 6.40%* 6.90%
03/31/96
---------------------
INCEPTION
(07/06/92) 3.78% 3.78%
THROUGH
03/31/9
---------------------
*Adjusted Not
for maximum adjusted
contingent for
deferred contingent
sales charge deferred
of 0.50% sales
charge
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor C
Shares of Nations Government
Securities Fund on July 6,
1992 (inception). Investor C
Shares that are redeemed
within one year of purchase
are subject to a 0.50%
contingent deferred sales
charge. Figures for the
Lehman Intermediate Treasury
Index track the market value
of U.S. Treasury securities
with maturities of 3 to 10
years. The Salomon Brothers
Mortgage Index is comprised
of 30 year and 15 year GNMA,
FNMA and FHLMC securities,
and FNMA and FHLMC balloon
mortgages. Both indices are
unmanaged.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN INTERMEDIATE SOLOMON BROTHERS
WITH DISTRIBUTIONS REINVESTED TREASURY INDEX MORTGAGE INDEX
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
July 6, 1992 10,000 10,000 10,000
10,223 10,447 10,295
10,181 10,409 10,375
10,478 10,802 10,679
May 31, 1993 10,667 11,016 10,905
10,900 11,249 11,005
10,890 11,265 11,105
10,543 11,056 10,872
May 31, 1994 10,345 10,995 10,813
10,273 11,079 10,898
10,257 11,067 10,946
10,747 11,524 11,523
May 31, 1995 11,224 12,065 12,120
11,397 12,249 12,365
11,736 12,663 12,782
March 31, 1996 11,488 12,573 12,734
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR N SHARES AS OF 3/31/96
<TABLE>
<S> <C>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
YEAR ENDED 6.94%
03/31/96
---------------------
INCEPTION
(06/07/93) 3.01%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor N
Shares of Nations Government
Securities Fund on June 7,
1993 (inception). Figures
for the Lehman Intermediate
Treasury Index track the
market value of U.S.
Treasury securities with
maturities of 3 to 10 years.
The Salomon Brothers
Mortgage Index is comprised
of 30 year and 15 year GNMA,
FNMA and FHLMC securities,
and FNMA and FHLMC balloon
mortgages. Both indices are
unmanaged.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN INTERMEDIATE SOLOMON BROTHERS
WITH DISTRIBUTIONS REINVESTED TREASURY INDEX MORTGAGE INDEX
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
June 7, 1993 10,000 10,000 10,000
10,073 10,147 10,097
10,296 10,362 10,190
10,289 10,378 10,282
9,963 10,184 10,066
May 31, 1994 9,779 10,129 10,012
9,713 10,206 10,091
9,700 10,195 10,136
10,166 10,616 10,670
May 31, 1995 10,620 11,115 11,222
10,786 11,283 11,450
11,110 11,665 11,835
March 31, 1996 10,871 11,582 11,791
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
19
<PAGE> 22
NATIONS FUND
Nations Government Securities Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - PRIMARY A SHARES AS OF 3/31/96
<TABLE>
<S> <C>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
YEAR ENDED 7.63%
03/31/96
---------------------
INCEPTION
(04/11/91) 6.38%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Primary A
Shares of Nations Government
Securities Fund on April 11,
1991 (inception). Figures
for the Lehman Intermediate
Treasury Index track the
market value of U.S.
Treasury securities with
maturities of 3 to 10 years.
The Salomon Brothers
Mortgage Index is comprised
of 30 year and 15 year GNMA,
FNMA and FHLMC securities,
and FNMA and FHLMC balloon
mortgages. Both indices are
unmanaged.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN INTERMEDIATE SOLOMON BROTHERS
WITH DISTRIBUTIONS REINVESTED TREASURY INDEX MORTGAGE INDEX
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
April 11, 1991 10,000 10,000 10,000
May 31, 1991 10,118 10,167 10,203
10,647 10,650 10,768
11,178 11,170 11,245
10,983 11,047 11,185
May 31, 1992 11,419 11,476 11,637
11,794 11,989 11,980
11,782 11,946 12,074
12,136 12,397 12,427
May 31, 1993 12,378 12,642 12,691
12,673 12,909 12,807
12,685 12,928 12,923
12,303 12,688 12,652
May 31, 1994 12,096 12,618 12,583
12,033 12,714 12,683
12,037 12,700 12,739
12,635 13,225 13,410
May 31, 1995 13,221 13,847 14,105
13,449 14,057 14,390
13,876 14,532 14,875
March 31, 1996 13,599 14,428 14,820
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
20
<PAGE> 23
NATIONS DIVERSIFIED INCOME FUND
PERFORMANCE AND COMMENTARY
PORTFOLIO MANAGER
Mark Ahnrud is Senior Portfolio Manager for Nations Diversified Income
Fund. Mr. Ahnrud has worked in the investment community since 1985. Prior to
joining TradeStreet Investment Associates, Inc., sub-adviser to the Fund, he was
Vice President and Senior Portfolio Manager in the Investment Management Group
at NationsBank, N.A. His experience includes institutional investment management
sales and high yield credit analysis. Mr. Ahnrud received a dual B.S. in Finance
and Investments from Babson College and an M.B.A. from Duke University, Fuqua
School of Business. He holds the Chartered Financial Analyst designation and is
a member of the Association for Investment Management and Research as well as
the North Carolina Society of Financial Analysts, Inc.
INVESTMENT OBJECTIVE
The Fund seeks as high a level of current income as is consistent with
prudent investment risk.
PERFORMANCE REVIEW*
For the one-year period ended March 31, 1996, Nations Diversified Income
Fund Investor A Shares provided a total return of 10.94%.
PORTFOLIO MANAGER COMMENTARY
In the following interview, Mr. Ahnrud shares his views on financial market
conditions and Fund performance for the one-year period ended March 31, 1996.
BRIEFLY DESCRIBE YOUR OVERALL INVESTMENT PHILOSOPHY AND THE INVESTMENT APPROACH
OF THE FUND.
Our investment philosophy is biased toward total return, recognizing that
the combination of current income and price movement is ultimately more
important than current income alone. We use a combination of investment
strategies -- duration management (management of interest rate risk), market
sector selection, security selection and yield-curve positioning to seek to add
value to the Fund over time. By using multiple strategies, we avoid making "big
bets" and each strategy adds incremental income without any single one
dominating returns.
Nations Diversified Income Fund invests in government securities and
corporate bonds, including high-yield corporates. High-yield corporate bonds and
government securities are not highly correlated to one another; they react
differently to changes in interest rates and the economy. This divergence in
performance is the key to the Fund's strategy as the Fund balances credit risk
and interest-rate risk by allocating assets to the different sectors as market
conditions warrant. When interest rates are falling, the Fund will overweight
long-term government securities whose prices rise with falling rates. In a
rising interest-rate environment, often a sign of a strong economy, the Fund
will allocate more assets to high yielding, lower-rated corporate bonds, which
tend to perform better in that environment than higher-quality securities.
HOW DID MARKET CONDITIONS AFFECT THE FUND'S PERFORMANCE?
For most of the reporting period market conditions were very favorable.
Good economic fundamentals allowed the corporate bond market to perform well and
the Fund was positioned to take advantage of these conditions. The first quarter
of 1996 was a more difficult environment, as interest rates rose in excess of 70
basis points on all maturities longer than three years. This move was a direct
result of expectations for a resurgance of economic activity. The market is now
pricing in the Federal Reserve Board's next move to be a tightening.
Our outlook at the beginning of 1996 was for continued weak economic growth
and a move to lower rates, so the portfolio was positioned with a longer
duration than its benchmark. This resulted in some underperformance during the
quarter. We have maintained this long position in the portfolio as we anticipate
that the economic activity seen in the first quarter will prove to be only a
"growth scare," and interest rates will trend lower later in the year as the
economy weakens.
- ---------------
* The performance shown includes the effect of fee waivers by the investment
adviser. Such fee waivers have the effect of increasing total return.
21
<PAGE> 24
WHAT ARE THE FUND'S CURRENT PORTFOLIO CHARACTERISTICS?
The Fund has maintained an average effective maturity and duration longer
than it's peer group. As of March 31, 1996, the average maturity was 14.20
years, while the duration was 6.94 years. The average credit rating for the
Fund's portfolio holdings is A2 (Moody's) or A (the S&P equivalent). The Fund is
currently 25% in high-yield (non-investment grade) bonds and 36.6% in investment
grade corporate bonds.
WHERE DID YOU FIND THE STRONGEST PERFORMANCE OVER THE COURSE OF THE LAST TWELVE
MONTHS?
For the nine months ended December 31, 1995, the 30-year U.S. Treasury bond
had the best performance. For the three months ended March 31, 1996, the
high-yield market provided the strongest performance, as high-yield bonds are
less sensitive to movements in interest rates. Holdings of high-yield names,
particularly in the cable and media sector, were very beneficial in the first
quarter.
WHICH SECTOR PROVIDED THE WEAKEST PERFORMANCE?
In a complete reversal of the last fiscal year, long-duration U.S.
Treasuries, especially 30-year bonds, were the worst performers. Over the
twelve-month period, the price of the 30-year U.S. Treasury bond declined in
excess of 7%, as yields rose in excess of 60 basis points.
GOING FORWARD, WHERE DO YOU EXPECT TO FIND THE BEST VALUES?
The best values will probably be found in the high-yield market in the
coming months, as weak economic growth will lead this sector to underperform,
creating a buying opportunity for the Fund. Specifically, the restructuring
currently taking place in both the media/cable industry and the electric utility
industry will present opportunities.
WHAT IS YOUR OUTLOOK FOR THE FIXED INCOME MARKETS IN 1996?
We believe that economic growth and job growth will both slow in the coming
months, leading to lower interest rates. The Fund is well positioned to take
advantage of this environment.
22
<PAGE> 25
NATIONS FUND
Nations Diversified Income Fund
- ---------------------------------------------
PORTFOLIO BREAKDOWN AS OF 3/31/96
<TABLE>
<S> <C>
U.S. Dollar Denominated Foreign Bonds and Notes 8.0%
U.S. Treasury Obligations 27.3%
Mortgage-Backed Securities 10.9%
Repurchase Agreement and Other Assets
and Liabilities (Net) 2.1%
Corporate Bonds and Notes 51.7%
</TABLE>
- --------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR A SHARES AS OF 3/31/96
<TABLE>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 10.94%
03/31/96
---------------------
INCEPTION
(11/25/92) 8.91%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor A
Shares of Nations
Diversified Income Fund on
November 25, 1992
(inception). The Lehman
Brothers
Government/Corporate Bond
Index is comprised of U.S.
government, Treasury and
agency securities, corporate
and yankee bonds.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS GOVERNMENT
WITH DISTRIBUTIONS REINVESTED CORPORATE BOND INDEX
- ---------------------------------------------------------------------------------------
<S> <C> <C>
Nov. 25, 1992 10,000 10,000
Nov. 30, 1992 10,138 10,171
10,799 10,644
11,225 10,964
11,634 11,326
Nov. 30, 1993 11,722 11,293
11,404 10,940
11,231 10,804
11,322 10,857
Nov. 30, 1994 11,401 10,897
11,994 11,440
12,883 12,182
13,109 12,415
Nov. 30, 1995 13,751 12,994
March 31, 1996 13,305 12,690
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
Portfolio holdings are subject to change and may not be representative of
current holdings.
- -------------------------------------
TOP TEN HOLDINGS AS A % OF NET
ASSETS AS OF 3/31/96
<TABLE>
<S> <C>
1. U.S. Treasury Bonds 16.0%
2. U.S. Treasury Notes 11.3
3. Federal National Mortgage Association
Certificates 10.9
4. Hydro-Quebec, Deb., Series H, 9.400% 02/01/21 2.1
5. Nova Scotia Province (of Canada), 9.125%
05/01/21 2.1
6. Nationwide Mutual, 9.875% 02/15/25 2.0
7. Liberty Mutual, Note, 8.200% 05/04/07 1.9
8. Security Pacific Corporation, Sub. Note,
11.000% 03/01/01 1.8
9. Auburn Hills Trust Certificates, Deb.,
12.000% 05/01/20 1.8
10. Valassis Inserts Inc., Sr. Note, 9.375%
03/15/99 1.7
</TABLE>
23
<PAGE> 26
NATIONS FUND
Nations Diversified Income Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR C SHARES AS OF 3/31/96
<TABLE>
<S> <C> <C>
- ------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ------------------------------------------
YEAR ENDED 9.95%* 10.45%
03/31/96
----------------------
INCEPTION
(11/09/92) 8.57% 8.57%
THROUGH
03/31/96
----------------------
*Adjusted Not
for adjusted
maximum for
contingent contingent
deferred deferred
sales charge sales
of 0.50% charge
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor C
Shares of Nations
Diversified Income Fund on
November 9, 1992
(inception). Investor C
Shares that are redeemed
within one year of purchase
are subject to a 0.50%
contingent deferred sales
charge. The Lehman Brothers
Government/Corporate Bond
Index is comprised of U.S.
government, Treasury and
agency securities, corporate
and yankee bonds.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS GOVERNMENT/
WITH DISTRIBUTIONS REINVESTED CORPORATE BOND INDEX
- --------------------------------------------------------------------------------------
<S> <C> <C>
Nov. 9, 1992 10,000 10,000
Nov. 30, 1992 10,242 10,163
10,893 10,636
11,307 10,955
11,701 11,317
Nov. 30, 1993 11,772 11,284
11,435 10,931
11,248 10,795
11,324 10,848
Nov. 30, 1994 11,389 10,888
11,967 11,431
12,838 12,172
13,047 12,405
Nov. 30, 1995 13,668 12,983
March 31, 1996 13,217 12,680
</TABLE>
Assumes the Reinvestment of all distributions.
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - INVESTOR N SHARES AS OF 3/31/96
<TABLE>
- -------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- -------------------------------------
<S> <C>
YEAR ENDED 10.38%
03/31/96
----------------------
INCEPTION
(06/07/93) 6.35%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Investor N
Shares of Nations
Diversified Income Fund on
June 7, 1993 (inception).
The Lehman Brothers
Government/Corporate Bond
Index is comprised of U.S.
government, Treasury and
agency securities, corporate
and yankee bonds.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS GOVERNMENT/
WITH DISTRIBUTIONS REINVESTED CORPORATE BOND INDEX
- --------------------------------------------------------------------------------------
<S> <C> <C>
June 7, 1993 10,000 10,000
10,533 10,565
Nov. 30, 1993 10,597 10,534
10,295 10,205
10,125 10,078
10,194 10,128
Nov. 30, 1994 10,253 10,165
10,773 10,671
11,558 11,364
11,745 11,581
Nov. 30, 1995 12,305 12,121
March 31, 1996 11,891 11,837
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
24
<PAGE> 27
NATIONS FUND
Nations Diversified Income Fund
- --------------------------------------------------------------------------------
PERFORMANCE COMPARISON - PRIMARY A SHARES AS OF 3/31/96
<TABLE>
- ---------------------------------------
AVERAGE ANNUAL TOTAL RETURN
- ---------------------------------------
<S> <C>
YEAR ENDED 11.21%
03/31/96
------------------
INCEPTION
(10/30/92) 9.17%
THROUGH
03/31/96
</TABLE>
- ----------------------------
The chart to the right shows
the growth in value of a
hypothetical $10,000
investment in Primary A
Shares of Nations
Diversified Income Fund on
October 30, 1992
(inception). The
Lehman Brothers
Government/Corporate Bond
Index is comprised of U.S.
government, Treasury and
agency securities, corporate
and yankee bonds.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------
GROWTH OF INVESTMENT LEHMAN BROTHERS GOVERNMENT/
WITH DISTRIBUTIONS REINVESTED CORPORATE BOND INDEX
- --------------------------------------------------------------------------------------
<S> <C> <C>
Oct. 30, 1992 10,000 10,000
Nov. 30, 1992 10,225 10,163
10,894 10,636
11,318 10,955
11,735 11,317
Nov. 30, 1993 11,828 11,284
11,512 10,931
11,344 10,795
11,442 10,848
Nov. 30, 1994 11,530 10,888
12,136 11,431
13,045 12,172
13,281 12,405
Nov. 30, 1995 13,940 12,983
March 31, 1996 13,497 12,680
</TABLE>
Assumes the reinvestment of all distributions.
- --------------------------------------------------------------------------------
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF
FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH
MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN ORIGINAL COST.
Average annual total returns are historical in nature and measure net investment
income and capital gain or loss from portfolio investments assuming reinvestment
of dividends.
Effective January 1, 1996, Nations Fund changed the pricing structure for its
Investor A, Investor C and Investor N Shares. Under the new pricing structure,
the front-end sales charge for Investor A Shares was eliminated, the 1 year
contingent deferred sales charge on Investor C Shares was reduced from 1.00% to
0.50% (for new accounts) and the contingent deferred sales charge on Investor N
Shares was eliminated (for new accounts). Please note that the one-year and
since inception performance figures provided above reflect how the Fund would
have performed during those periods under the new pricing structure.
25
<PAGE> 28
NATIONS FUND
Nations Short-Term Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
ASSET-BACKED SECURITIES -- 19.4%
$ 6,000,000 Airplanes Pass Through Trust,
Series 1, Class A2,
5.733% 03/15/09+................ $ 5,958,600
5,000,000 Discover Card Master Trust,
Series 1995-2, Class A,
6.550% 02/15/03................. 5,020,300
2,128,123 EQCC Home Equity Loan Trust,
Series 1994-2, Class A1,
6.350% 06/15/14................. 2,130,783
3,000,010 First Bank Automobile Receivables
Grantor Trust, Series 1995-A,
8.000% 01/15/00................. 3,053,917
1,941,798 Ford Credit Auto Lease Trust,
Series 1995-1, Class A2,
6.350% 10/15/98................. 1,950,885
3,000,000 Ford Credit Auto Loan Master
Trust, Series 1992-2-A,
7.375% 04/15/99................. 3,046,860
920 Home Savings & Loan Association of
California, IO Strip,
8.420% 03/01/08+................ 929
4,553,284 Olympic Automobile Receivables
Trust, Series 1995-B, Class A2,
7.350% 10/15/01................. 4,625,852
2,250,000 Prime Credit Card Master Trust,
Series 1, Class B1,
7.550% 02/15/01................. 2,294,280
1,753,595 SCFC Recreation Vehicle Loan,
Series 1991-1-A,
7.250% 09/15/06................. 1,761,258
4,000,000 Sears Credit Account Master Trust
II, Series 1994-2, Class A,
7.250% 02/15/98................. 4,071,240
4,000,000 Standard Credit Card Master Trust,
Series 1990-6, Class A,
9.375% 09/10/98................. 4,158,720
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $37,831,813).............. 38,073,624
============
CORPORATE NOTES -- 49.4%
BANKING -- 4.7%
5,000,000 Advanta National Bank, MTN,
6.090% 11/10/97................. 4,987,250
4,000,000 Capital One Bank,
8.125% 02/27/98................. 4,122,800
------------
9,110,050
------------
BROKERAGE -- 2.5%
5,000,000 Paine Webber Group Inc., Sr. Note,
6.250% 06/15/98................. 4,953,800
------------
CAPTIVE FINANCE -- 13.1%
5,750,000 AT&T Capital Corporation, MTN,
5.650% 01/15/99................. 5,647,708
Ford Motor Credit Corporation,
MTN:
1,000,000 9.200% 05/07/97................. 1,035,810
4,250,000 6.050% 03/31/98................. 4,242,435
7,000,000 General Motors Acceptance
Corporation, MTN,
7.500% 03/16/98................. 7,174,580
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
CORPORATE NOTES -- (CONTINUED)
CAPTIVE FINANCE -- (CONTINUED)
$ 4,500,000 Potomac Capital Investment
Company, MTN,
6.190% 04/28/97**............... $ 4,502,250
3,000,000 Textron Financial Corporation,
MTN, 7.380% 08/30/98**.......... 3,054,300
------------
25,657,083
------------
FINANCIAL -- 19.7%
4,500,000 Associates Corporation N.A.,
Notes, 6.625% 05/15/98.......... 4,535,640
Banponce Financial Corporation,
MTN:
5,000,000 5.450% 01/07/97................... 4,979,550
2,000,000 8.320% 01/30/97................... 2,036,680
3,000,000 Chrysler Financial Corporation,
MTN, 5.990% 11/17/97............ 2,988,780
3,150,000 Goldman Sachs Group, MTN,
9.140% 12/01/97**............... 3,291,939
2,500,000 Heller Financial, Inc., Notes,
9.375% 03/15/98................. 2,639,000
4,050,000 Lehman Brothers, Inc., Sr. Sub.
Notes, 7.000% 05/15/97.......... 4,084,546
5,000,000 Merrill Lynch & Company, MTN,
6.140% 03/29/99................. 4,998,100
3,000,000 NYNEX, MTN,
6.720% 06/15/98**............... 3,030,630
4,000,000 Salomon Inc., MTN,
8.660% 02/14/97................. 4,073,960
2,000,000 Smith Barney Holdings, Inc.,
Notes,
5.625% 11/15/98................. 1,962,340
------------
38,621,165
------------
INDEPENDENT FINANCE -- 2.5%
North American Mortgage Company,
MTN:
2,500,000 5.400% 11/12/96................. 2,498,350
2,500,000 5.800% 11/02/98................. 2,449,000
------------
4,947,350
============
INDUSTRIAL -- 4.1%
3,500,000 Comdisco, Inc., MTN,
7.730% 02/18/97................. 3,548,650
3,000,000 TCI Communications, Inc., Notes,
6.820% 09/15/10................. 3,001,530
1,500,000 Tele-Communications Inc., MTN,
6.430% 03/09/98................. 1,497,090
------------
8,047,270
------------
RETAIL -- 2.7%
Sears, Roebuck & Company, MTN:
4,000,000 7.690% 02/27/98................. 4,085,200
1,130,000 9.230% 08/06/98................. 1,201,269
------------
5,286,469
------------
TELECOMMUNICATIONS -- 0.1%
250,000 Bell Atlantic Tricon Corporation,
8.000% 03/03/97................. 255,187
------------
TOTAL CORPORATE NOTES
(Cost $96,496,814).............. 96,878,374
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 29
NATIONS FUND
Nations Short-Term Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
FOREIGN BONDS AND NOTES -- 9.3%
$ 3,000,000 Boral Limited, Note,
7.340% 06/20/97................. $ 3,059,640
6,000,000 Equitable-Lord Realty Corporation,
Euronote,
10.500% 12/30/97................ 6,296,700
1,950,000 Fletcher Challenge, Deb.,
9.800% 06/15/98................. 2,077,842
7,000,000 Skandia Capital AB, Guaranteed
Eurobonds,
6.000% 11/02/98................. 6,907,320
------------
TOTAL FOREIGN BONDS AND NOTES
(Cost $18,092,410).............. 18,341,502
============
U.S. GOVERNMENT AGENCY SECURITIES -- 9.6%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA) CERTIFICATES
-- 9.6%
10,672,431 6.000% 04/01/01................. 10,515,685
8,479,158 6.000% 11/01/03................. 8,370,184
------------
TOTAL U.S. GOVERNMENT AGENCY
SECURITIES
(Cost $19,299,723).............. 18,885,869
============
U.S. TREASURY NOTES -- 11.2%
13,450,000 9.250% 08/15/98................. 14,437,768
5,350,000 6.250% 08/31/00................. 5,376,750
2,100,000 5.625% 11/30/00................. 2,058,651
------------
TOTAL U.S. TREASURY NOTES
(Cost $22,104,205).............. 21,873,169
============
TOTAL SECURITIES
(Cost $193,824,965)............. 194,052,538
============
REPURCHASE AGREEMENT -- 0.1%
(Cost $182,000)
182,000 Agreement with CS First Boston
Corporation, 5.260% dated
03/29/96, to be repurchased at
$182,080 on 04/01/96,
collateralized by: $186,550 U.S.
Treasury Bonds, 7.500% - 12.000%
due 05/15/05 - 05/15/18......... 182,000
============
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
<S> <C> <C>
- ------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $194,006,965*)............. 99.0% $194,234,538
OTHER ASSETS AND
LIABILITIES (NET)................ 1.0 1,992,219
----- ------------
NET ASSETS......................... 100.0% $196,226,757
===== ============
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes is $194,063,639.
** Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
+ Variable rate security. The interest rate shown reflects the rate in effect
at March 31, 1996.
ABBREVIATIONS:
<TABLE>
<S> <C>
IO Interest Only
MTN Medium Term Note
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 30
NATIONS FUND
Nations Short-Intermediate Government Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATION -- 0.1%
(Cost $659,336)
$ 621,052 Drexel Burnham Lambert,
Series S, Class 2,
9.000% 08/01/18.................. $ 632,113
============
GOVERNMENT GUARANTEED BONDS -- 0.9%
2,561,000 Second Attransco Tanker
Corporation,
Series A,
8.500% 06/15/02.................. 2,625,025
1,374,000 Third Attransco Tanker Corporation,
8.200% 11/01/97.................. 1,407,333
------------
TOTAL GOVERNMENT GUARANTEED BONDS
(Cost $3,962,029)................ 4,032,358
============
MORTGAGE-BACKED SECURITIES -- 43.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 13.9%
97,594 6.500% 09/01/03.................. 97,325
725,168 8.500% 04/01/08.................. 753,080
11,984,801 7.000% 08/01/09.................. 11,999,782
7,758,889 8.500% 08/01/09.................. 8,081,348
3,561,605 8.500% 05/01/17.................. 3,701,256
1,606,947 7.178% 11/01/24+++............... 1,646,861
REMIC:
1,582,942 Series 77, Class F,
8.500% 06/15/17................ 1,590,857
1,786,271 Series 105, Class D,
6.000% 01/15/19................ 1,778,447
30 Year Gold Pass Thru:
13,000,000 7.000% 02/15/26, TBA++........... 12,679,030
18,000,000 6.500% 03/13/26, TBA++........... 17,111,160
8,000,000 7.000% 03/15/26, TBA++........... 7,802,480
------------
67,241,626
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
CERTIFICATES -- 18.6%
1,700,000 8.150% 05/11/98.................. 1,772,522
15,000,000 7.900% 04/10/02.................. 15,234,300
8,000,000 7.550% 06/10/04.................. 8,127,520
4,000,000 8.550% 12/01/04.................. 4,127,480
6,000,000 6.830% 03/10/06.................. 5,878,140
12,785,924 8.500% 11/01/09.................. 13,341,217
5,867,921 9.000% 04/01/16.................. 6,227,272
2,891,086 7.753% 06/01/18.................. 2,976,922
2,451,308 7.486% 11/01/18.................. 2,500,334
1,442,856 7.891% 12/01/21.................. 1,471,944
10,000,000 7.000% 01/25/25, TBA++........... 9,743,700
19,000,000 6.500% 12/25/25, TBA++........... 18,038,030
REMIC,
142,439 Series 1989-81D,
9.000% 06/25/16................ 142,750
------------
89,582,131
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES - 11.2%
5,191,154 8.500% 02/15/05 - 08/15/08
(27 Pools)..................... 5,520,105
3,399,249 9.000% 09/15/09.................. 3,645,694
9,048,335 8.000% 05/15/22.................. 9,272,372
9,042,928 7.500% 02/15/24.................. 9,023,124
9,000,000 9.000% 12/15/23, TBA++........... 9,497,790
13,000,000 8.000% 05/11/24, TBA++........... 13,268,060
4,000,000 7.500% 10/01/24, TBA++........... 3,991,240
------------
54,218,385
------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $211,309,236).............. 211,042,142
===========
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.3%
Student Loan Marketing Association:
$ 500,000 4.625% 06/01/98+++............... $ 486,350
1,000,000 5.340% 08/02/99+++............... 992,350
------------
TOTAL U.S. GOVERNMENT AGENCY
SECURITIES
(Cost $1,498,955)................ 1,478,700
===========
U.S. TREASURY OBLIGATIONS -- 74.9%
U.S. TREASURY BILL -- 7.2%
35,000,000 5.350% 05/30/96+................. 34,695,209
------------
U.S. TREASURY BOND -- 2.9%
11,000,000 10.375% 11/15/12................. 14,275,910
------------
U.S. TREASURY NOTES -- 64.8%
68,500,000 7.875% 07/15/96.................. 68,992,515
74,000 7.250% 11/15/96.................. 74,810
22,000,000 8.550% 10/15/97.................. 22,969,320
1,850,000 4.750% 09/30/98.................. 1,802,585
23,000,000 8.875% 11/15/98.................. 24,631,620
5,000,000 5.000% 02/15/99.................. 4,882,800
27,500,000 7.750% 11/30/99.................. 29,029,550
14,000,000 8.500% 02/15/00.................. 15,174,740
47,000,000 6.250% 08/31/00.................. 47,235,000
46,000,000 5.750% 10/31/00.................. 45,331,620
8,000,000 5.625% 11/30/00.................. 7,842,480
17,000,000 5.625% 02/28/01.................. 16,665,270
5,000,000 7.500% 11/15/01.................. 5,306,250
8,000,000 7.500% 02/15/05.................. 8,584,960
15,000,000 5.625% 02/15/06.................. 14,226,600
------------
312,750,120
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $365,692,259).............. 361,721,239
===========
TOTAL SECURITIES
(Cost $583,121,815).............. 578,906,552
===========
REPURCHASE AGREEMENT -- 0.4%
(Cost $1,926,000)
1,926,000 Agreement with CS First Boston
Corporation, 5.260% dated
03/29/96, to be repurchased at
$1,926,844 on 04/01/96,
collateralized by: $1,974,152
U.S. Treasury Bonds, 7.500% -
12.000% due 05/15/05 -
05/15/18......................... 1,926,000
===========
TOTAL INVESTMENTS
(Cost $585,047,815*)................. 120.3% 580,832,552
OTHER ASSETS AND
LIABILITIES (NET).................... (20.3) (97,927,846)
----- ------------
NET ASSETS............................. 100.0% $482,904,706
===== ============
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes is $585,769,873.
+ Rate represents annualized yield at date of purchase.
++ Security purchased on a when-issued or delayed delivery basis (Note 1).
+++ Variable rate security. The interest rate shown reflects the rate in effect
at March 31, 1996.
ABBREVIATIONS:
<TABLE>
<S> <C>
Gold Payments are on accelerated 45 day payment cycle
instead of regular 75 day cycle
REMIC Real Estate Mortgage Investment Conduit
TBA To Be Announced
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 31
NATIONS FUND
Nations Strategic Fixed Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.3%
$15,000,000 American Express Company, Master
Trust, Series 1994-3, Class A,
7.850% 08/15/05................ $ 15,867,150
16,500,000 AT&T Universal Card, Master
Trust, Series 95-2A,
5.950% 10/17/02................ 16,226,595
10,621,964 Chase Manhattan, Grantor Trust,
Series 1996-A, Class A,
5.200% 04/15/02................ 10,489,189
7,750,000 EQCC Home Equity Loan Trust,
Series 1994-2, Class A1,
6.350% 10/15/09................ 7,696,719
8,500,000 Ford Credit Auto Loan Master
Trust, Series 1996-1, Class A,
5.500% 02/15/01................ 8,154,645
11,000,000 Premier Auto Trust, Series
1996-1, Class A4,
6.050% 04/06/00................ 10,914,200
-------------
TOTAL ASSET-BACKED SECURITIES
(Cost $71,056,184)............. 69,348,498
============
CORPORATE BONDS AND NOTES -- 19.0%
BANKING AND FINANCE -- 10.9%
8,500,000 Ahmanson (HF) & Company, MTN,
6.530% 06/01/98................ 8,496,090
7,500,000 Beneficial Corporation, MTN,
8.100% 11/23/98................ 7,816,125
8,490,000 Capital One Bank, Notes,
5.650% 02/08/99................ 8,342,783
Ford Motor Credit Corporation,
MTN:
8,725,000 7.450% 07/12/99................ 8,989,455
8,000,000 6.060% 12/27/00................ 7,808,640
7,750,000 General Motors Acceptance
Corporation, MTN,
6.250% 10/18/99................ 7,698,617
8,000,000 International Lease, MTN,
6.270% 02/10/99................ 7,979,120
19,828 Morgan Stanley Group Inc., Notes,
8.000% 07/20/17................ 19,834
Nationwide Mutual:
1,300,000 6.500% 02/15/04**.............. 1,250,860
11,250,000 9.875% 02/15/25**.............. 12,447,112
9,600,000 Sun Canada Financial Company,
6.625% 12/15/07**.............. 9,199,008
10,500,000 US West Capital Funding, MTN,
6.200% 11/30/00................ 10,266,165
-------------
90,313,809
-------------
ENTERTAINMENT -- 1.6%
13,550,000 Time Warner Inc., Notes,
7.450% 02/01/98................ 13,776,149
-------------
INDUSTRIAL -- 1.2%
6,820,000 Auburn Hills Trust Certificates,
Deb., 12.000% 05/01/20++....... 9,991,573
-------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
CORPORATE BONDS AND NOTES -- (CONTINUED)
INSURANCE -- 1.0%
$ 8,335,000 Prudential Insurance, Notes,
7.650% 07/01/07**.............. $ 8,461,192
-------------
PUBLISHING -- 1.6%
11,950,000 News America Holdings Inc., Sr.
Notes,
8.625% 02/01/03................ 12,916,158
-------------
RETAIL -- 0.9%
8,000,000 Sears Roebuck Acceptance
Corporation, MTN,
5.600% 11/16/98................ 7,858,880
-------------
TELECOMMUNICATIONS -- 1.1%
8,000,000 TKR Cable 1, Inc., Sr. Deb.,
10.500% 10/30/07............... 9,063,360
-------------
TRANSPORTATION -- 0.7%
6,000,000 Qantas Airways Limited, Sr. Note,
6.625% 06/30/98**.............. 6,000,420
-------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $161,977,532)............ 158,381,541
============
FOREIGN BOND -- 0.6%
(Cost $4,542,883)
4,680,000 Skandia Capital AB, Guaranteed
Eurobonds,
6.000% 11/02/98................ 4,618,037
------------
MORTGAGE-BACKED SECURITIES -- 30.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATE -- 4.7%
39,000,000 7.500% 03/13/26, TBA+.......... 38,938,770
-------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
CERTIFICATES -- 16.9%
12,786,337 9.000% 08/01/24................ 13,425,654
16,650,572 7.500% 09/01/25................ 16,608,946
17,800,801 8.000% 09/15/25................ 18,140,975
49,400,000 7.000% 02/15/11, TBA+.......... 49,291,814
27,000,000 6.500% 12/20/23, TBA+.......... 25,632,990
17,500,000 8.500% 01/12/24, TBA+.......... 18,112,500
-------------
141,212,879
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 9.1%
66,990 9.000% 04/15/20................ 71,588
5,732,787 8.000% 03/15/23................ 5,868,597
981,402 9.500% 01/15/25................ 1,052,554
15,132,643 9.500% 02/15/25................ 16,229,759
16,537,287 8.000% 03/15/25................ 16,878,285
12,000,000 8.500% 02/15/26, TBA+.......... 12,532,440
24,000,000 6.500% 02/20/26, TBA+.......... 22,732,320
-------------
75,365,543
-------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $257,702,154)............ 255,517,192
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 32
NATIONS FUND
Nations Strategic Fixed Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 39.8%
U.S. TREASURY BONDS -- 13.3%
$46,265,000 8.750% 08/15/20................ $ 56,385,469
59,500,000 6.250% 08/15/23................ 55,009,535
-------------
111,395,004
=============
U.S. TREASURY NOTES -- 26.5%
13,850,000 8.250% 07/15/98................ 14,559,813
86,870,000 6.875% 03/31/00................ 89,285,855
23,500,000 5.625% 11/30/00................ 23,037,285
59,060,000 6.250% 02/15/03................ 58,884,592
35,975,000 5.875% 11/15/05................ 34,670,906
-------------
220,438,451
-------------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost $337,715,029)............ 331,833,455
============
TOTAL SECURITIES
(Cost $832,993,782)............ 819,698,723
============
REPURCHASE AGREEMENT -- 21.4%
(Cost $178,532,000)
178,532,000 Agreement with CS First Boston
Corporation, 5.260% dated
03/29/96, to be repurchased at
$178,610,257 on 04/01/96,
collateralized by: $182,995,523
U.S. Treasury Bonds,
7.500% - 12.000% due 05/15/05 -
05/15/18....................... 178,532,000
============
</TABLE>
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
<S> <C> <C>
- ------------------------------------------------------------
TOTAL INVESTMENTS
(Cost $1,011,525,782*)............ 119.8% $ 998,230,723
OTHER ASSETS AND
LIABILITIES (NET)................. (19.8) (165,105,674)
----- -------------
NET ASSETS............................ 100.0% $ 833,125,049
===== =============
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes is $1,013,474,335.
** Security exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
+ Security purchased on a when-issued or delayed delivery basis (Note 1).
++ Step coupon bond. Effective yield was 12.39% at acquistion date.
ABBREVIATIONS:
MTN Medium Term Note
TBA To Be Announced
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 33
NATIONS FUND
Nations Government Securities Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATION -- 0.4%
(Cost $519,902)
$ 520,763 CS First Boston Mortgage
Securities, Series 1989-5, Class
A-1,
7.500% 12/25/19................. $ 519,867
============
MORTGAGE-BACKED SECURITIES -- 59.2%
FEDERAL HOME LOAN BANK (FHLB)
CERTIFICATE -- 1.6%
2,000,000 7.000% 02/03/11................. 1,928,120
------------
FEDERAL HOME LOAN MORTGAGE
CORPORATION (FHLMC)
CERTIFICATES -- 6.7%
343,352 7.500% 08/01/08 - 06/01/09
(2 Pools)..................... 349,563
1,036,333 8.000% 08/01/07 - 05/01/17
(6 Pools)..................... 1,063,925
2,000,000 8.375% 03/15/10................. 2,097,820
2,394,351 8.500% 02/01/08 - 06/01/17
(6 Pools)..................... 2,488,928
724,097 9.000% 05/01/09 - 12/01/16
(2 Pools)..................... 765,575
879,073 9.500% 04/01/18 - 06/01/21
(4 Pools)..................... 945,636
118,415 10.000% 07/01/01................ 124,484
223,284 REMIC,
6.000% 01/15/19................. 222,306
------------
8,058,237
------------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
CERTIFICATES -- 28.9%
12,072,862 6.500% 02/01/24 - 01/01/26
(19 Pools).................... 11,461,613
6,850,977 7.000% 08/01/25................. 6,675,386
1,473,694 8.000% 04/01/06 - 06/01/20
(5 Pools)..................... 1,518,686
254,262 8.250% 04/01/09 (2 Pools)....... 262,188
8,853,552 8.500% 11/01/09 - 07/01/21
(4 Pools)..................... 9,239,891
3,000,000 8.550% 12/10/04................. 3,095,610
2,592,935 9.000% 04/01/16................. 2,751,726
------------
35,005,100
------------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION (GNMA) CERTIFICATES -- 21.9%
4,388,486 7.000% 07/15/10 - 06/15/23
(4 Pools)..................... 4,362,159
9,263,988 7.500% 12/15/23 - 03/15/24
(2 Pools)..................... 9,243,699
2,263,819 8.000% 09/15/06 - 07/15/22
(14 Pools).................... 2,331,585
5,636,592 8.500% 09/15/04 - 05/15/22
(40 Pools).................... 5,960,911
1,980,288 9.000% 11/15/08 - 08/15/20
(18 Pools).................... 2,122,182
817,232 9.500% 06/15/09 - 08/15/21
(8 Pools)..................... 888,964
1,042,310 10.000% 11/15/09 - 08/15/20
(13 Pools).................... 1,152,400
217,270 10.500% 12/15/20................ 238,725
240,753 11.750% 09/15/00 - 12/15/00
(2 Pools)..................... 252,565
31,192 12.750% 12/15/97................ 32,751
------------
26,585,941
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION II (GNMA II)
CERTIFICATE -- 0.1%
$ 147,700 11.000% 10/20/20................ $ 165,146
------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $72,036,297).............. 71,742,544
============
U.S. GOVERNMENT AGENCY SECURITIES -- 3.2%
2,000,000 Federal Agricultural Mortgage
Corporation,
9.400% 07/15/08................. 2,260,940
1,500,000 Federal Farm Credit Systems,
9.450% 11/21/03................. 1,616,490
------------
TOTAL U.S. GOVERNMENT AGENCY
SECURITIES
(Cost $4,078,858)............... 3,877,430
===========
U.S. TREASURY SECURITIES -- 36.2%
U.S. TREASURY BONDS -- 27.4%
5,000,000 9.125% 05/15/09................. 5,809,350
10,000,000 7.250% 05/15/16................. 10,432,800
13,300,000 7.125% 02/15/23................. 13,713,497
3,500,000 6.250% 08/15/23................. 3,235,855
------------
33,191,502
------------
U.S. TREASURY NOTES -- 8.8%
3,000,000 8.875% 11/15/98................. 3,212,820
7,800,000 5.625% 02/15/06................. 7,397,832
------------
10,610,652
------------
TOTAL U.S. TREASURY
SECURITIES
(Cost $44,812,646)............ 43,802,154
===========
TOTAL SECURITIES
(Cost $121,447,703)............. 119,941,995
===========
REPURCHASE AGREEMENT -- 0.0%**
(Cost $25,000)
25,000 Agreement with CS First Boston
Corporation, 5.260% dated
03/29/96, to be repurchased at
$25,011 on 04/01/96,
collateralized by: $25,625 U.S.
Treasury Bonds, 7.500% - 12.000%
due 05/15/05 - 05/15/18......... 25,000
===========
TOTAL INVESTMENTS
(Cost $121,472,703*)................. 99.0% 119,966,995
OTHER ASSETS AND
LIABILITIES (NET).................... 1.0 1,172,735
----- ------------
NET ASSETS............................. 100.0% $121,139,730
===== ============
</TABLE>
- ---------------
* Aggregate cost for Federal tax purposes is $121,721,780.
** Amount represents less than 0.1% of net assets.
ABBREVIATION:
REMIC Real Estate Mortgage Investment Conduit
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 34
NATIONS FUND
Nations Diversified Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
CORPORATE BONDS AND NOTES -- 51.7%
BANKING AND FINANCE -- 16.3%
$ 2,000,000 Banponce Financial Corporation,
Sub. Note,
6.750% 12/15/05................ $ 1,919,580
2,000,000 Donaldson Lufkin & Jenrette, Sr.
Note,
6.875% 11/01/05................ 1,953,480
1,476,815 G.P.A. Leasing USA, Series BN-5,
9.125% 12/02/96**.............. 1,491,583
1,500,000 Leucadia National Corporation,
Sr. Sub. Note,
8.250% 06/15/05................ 1,518,750
3,000,000 Liberty Mutual, Note,
8.200% 05/04/07................ 3,198,630
2,500,000 MBIA Inc., Deb.,
7.000% 12/15/25................ 2,336,350
3,000,000 Nationwide Mutual,
9.875% 02/15/25**.............. 3,319,230
2,000,000 Paine Webber Group, Inc.,
Sr. Note,
8.875% 03/15/05................ 2,165,100
2,000,000 Salomon Inc., Sr. Note,
7.125% 08/01/99................ 2,000,580
2,500,000 Security Pacific Corporation,
Sub. Note,
11.000% 03/01/01............... 2,953,100
2,000,000 TIG Holdings, Inc., Note,
8.125% 04/15/05................ 2,084,000
2,150,000 Western Financial Savings Bank,
Sub. Deb.,
8.500% 07/01/03................ 2,180,444
------------
27,120,827
------------
COMPUTER -- 0.9%
1,500,000 Unisys Corporation, Sr. Note,
10.625% 10/01/99............... 1,477,500
------------
ENERGY -- 4.9%
2,000,000 Clark Oil & Refining Corporation,
Sr. Note,
9.500% 09/15/04................ 2,040,000
2,000,000 Cogentrix Energy, Inc., Sr. Note,
8.100% 03/15/04................ 2,001,420
2,000,000 Occidental Petroleum Corporation,
Sr. Deb.,
10.125% 09/15/09............... 2,437,640
1,500,000 USX-Marathon Group, Deb.,
9.625% 08/15/03................ 1,678,680
------------
8,157,740
------------
ENTERTAINMENT -- 1.0%
1,500,000 Time Warner Inc., Deb.,
9.150% 02/01/23................ 1,614,690
------------
FOOD -- 1.5%
1,500,000 Borden, Inc., Sinking Fund Deb.,
9.250% 06/15/19................ 1,488,375
1,000,000 Chiquita Brands International
Inc.,
Sub. Note,
11.500% 06/01/01............... 1,055,000
------------
2,543,375
------------
GAS -- 0.9%
1,500,000 Louis Dreyfus Natural Gas
Corporation, Sr. Sub. Note,
9.250% 06/15/04................ 1,561,980
------------
HEALTH CARE -- 1.2%
2,000,000 Tenet Healthcare Corporation, Sr.
Note,
8.625% 12/01/03................ 2,050,000
------------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
CORPORATE BONDS AND NOTES -- (CONTINUED)
INDUSTRIAL -- 10.7%
$ 2,000,000 Auburn Hills Trust Certificates,
Deb.,
12.000% 05/01/20+.............. $ 2,930,080
1,000,000 Bowater Inc., Deb.,
9.500% 10/15/12................ 1,176,600
1,500,000 Domtar, Inc., Sr. Note,
12.000% 04/15/01............... 1,717,500
2,000,000 Fisher Scientific International,
Sr. Note,
7.125% 12/15/05................ 1,922,040
1,500,000 Inland Steel Company, First
Mortgage, Series T,
12.000% 12/01/98............... 1,642,500
2,000,000 Stone Container Corporation, Sr.
Note,
11.875% 12/01/98............... 2,090,000
1,500,000 United States Can Company,
Sr. Sub. Note,
13.500% 01/15/02............... 1,590,000
2,775,000 Valassis Inserts Inc., Sr. Note,
9.375% 03/15/99................ 2,812,268
2,000,000 Viacom Inc., Sr. Note,
7.750% 06/01/05................ 1,992,380
------------
17,873,368
------------
INSURANCE -- 4.0%
2,000,000 CCP Insurance Inc., Sr. Note,
10.500% 12/15/04............... 2,263,400
2,500,000 John Hancock Mutual Life
Insurance, Note,
7.375% 02/15/24**.............. 2,359,100
2,000,000 Pacific Mutual Life Insurance
Company,
7.900% 12/30/23**.............. 1,981,600
------------
6,604,100
------------
PUBLISHING -- 1.1%
2,000,000 News America Holdings Inc.,
Sr. Deb.,
7.700% 10/30/25................ 1,881,860
------------
TELECOMMUNICATIONS -- 3.5%
2,000,000 Jones Intercable, Inc., Sr. Note,
9.625% 03/15/02................ 2,070,000
2,000,000 Rogers Cablesystems Limited,
Deb.,
10.000% 12/01/07............... 2,075,000
1,500,000 TKR Cable 1, Inc., Sr. Deb.,
10.500% 10/30/07............... 1,699,380
------------
5,844,380
------------
TRANSPORTATION -- 3.4%
2,000,000 Delta Air Lines, Inc., Deb.,
10.125% 05/15/10............... 2,346,840
1,500,000 Federal Express Corporation,
Note,
9.650% 06/15/12................ 1,775,895
1,500,000 Qantas Airways Limited, Sr. Note,
6.625% 06/30/98**.............. 1,500,105
------------
5,622,840
------------
UTILITIES -- 2.3%
1,000,000 Commonwealth Edison Company,
First Mortgage,
8.625% 02/01/22................ 1,048,660
2,000,000 Empresa Electrica Del Norte,
Sinking Fund Bond,
7.750% 03/15/06................ 1,989,400
750,000 GTE Corporation, Deb.,
7.830% 05/01/23................ 746,085
------------
3,784,145
------------
TOTAL CORPORATE BONDS
AND NOTES
(Cost $86,645,031)............. 86,136,805
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 35
NATIONS FUND
Nations Diversified Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) MARCH 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
FOREIGN BONDS AND NOTES -- 8.0%
$ 3,000,000 Argentina (Republic of) Par
Bonds,
Series L-GP,
5.000% 03/31/23++.............. $ 1,533,750
2,250,000 Brazil (Federative Republic of)
Par Bonds,
4.250% 04/15/24+++............. 1,136,250
3,000,000 Hydro-Quebec, Deb., Series H,
9.400% 02/01/21................ 3,517,290
3,000,000 Nova Scotia Province (of Canada),
9.125% 05/01/21................ 3,471,030
1,750,000 United Mexican States, Note,
9.750% 02/06/01................ 1,701,875
3,000,000 United Mexican States Par Bond,
Series B, Deb.,
(oil value recovery rights
attached expiring 06/30/04)
6.250% 12/31/19++++............ 1,890,000
------------
TOTAL FOREIGN BONDS AND NOTES
(Cost $13,792,828)............. 13,250,195
===========
MORTGAGE-BACKED SECURITIES -- 10.9%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION (FNMA)
CERTIFICATES -- 10.9%
13,586,265 8.000% 07/01/25.................. 13,824,025
4,404,199 7.000% 08/01/25.................. 4,291,320
------------
TOTAL MORTGAGE-BACKED
SECURITIES
(Cost $18,373,514)............. 18,115,345
===========
U. S. TREASURY OBLIGATIONS -- 27.3%
U. S. TREASURY BONDS -- 16.0%
12,475,000 8.750% 08/15/20.................. 15,203,906
7,150,000 6.250% 08/15/23.................. 6,610,390
4,350,000 7.625% 02/15/25.................. 4,787,044
------------
26,601,340
------------
U. S. TREASURY NOTES -- 11.3%
4,000,000 6.125% 09/30/00.................. 4,000,640
4,860,000 6.250% 02/15/03.................. 4,845,566
5,500,000 5.750% 08/15/03.................. 5,311,790
5,000,000 5.625% 02/15/06.................. 4,742,200
------------
18,900,196
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $46,836,351)............. 45,501,536
===========
TOTAL SECURITIES
(Cost $165,647,724)............ 163,003,881
===========
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
<C> <S> <C>
------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.7%
(Cost $1,202,000)
$ 1,202,000 Agreement with CS First Boston
Corporation, 5.260% dated
03/29/96, to be repurchased at
$1,202,527 on 04/01/96,
collateralized by: $1,232,051
U.S. Treasury Bonds, 7.500% --
12.000% due 05/15/05 -
05/15/18....................... $ 1,202,000
===========
TOTAL INVESTMENTS
(Cost $166,849,724*)................. 98.6% 164,205,881
OTHER ASSETS AND
LIABILITIES (NET).................... 1.4 2,353,109
----- -------------
NET ASSETS............................. 100.0% $166,558,990
===== ===========
</TABLE>
- ---------------
<TABLE>
<C> <S>
* Aggregate cost for Federal tax purposes is
$166,862,598.
** Security exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration,
normally to qualified institutional buyers.
+ Step coupon bond. Effective yield was 12.39% at
acquisition date.
++ Step coupon bond. Effective yield was 10.39% at
acquistion date.
+++ Step coupon bond. Effective yield was 10.98% at
acquisition date.
++++ Step coupon bond. Effective yield was 9.97% at
acquisition date.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 36
NATIONS FUND
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1996
<TABLE>
<CAPTION>
NATIONS NATIONS
NATIONS SHORT- STRATEGIC NATIONS
SHORT-TERM INTERMEDIATE FIXED GOVERNMENT NATIONS
INCOME GOVERNMENT INCOME SECURITIES DIVERSIFIED
FUND FUND FUND FUND INCOME FUND
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------
ASSETS:
Investments, at value (Note 1)
See accompanying schedules:
Securities...................................... $194,052,538 $578,906,552 $ 819,698,723 $119,941,995 $163,003,881
Repurchase agreements........................... 182,000 1,926,000 178,532,000 25,000 1,202,000
------------ ------------ -------------- ------------ ------------
Total investments............................. 194,234,538 580,832,552 998,230,723 119,966,995 164,205,881
Cash.............................................. 499 166 573 48 117
Interest receivable............................... 2,533,604 7,752,235 9,837,187 1,409,606 2,860,516
Receivable for investment securities sold......... -- 12,833,125 -- -- --
Receivable for Fund shares sold................... 601,044 1,637,712 2,859,905 447,982 33,362
Unamortized organization costs (Note 6)........... 6,049 2,331 6,387 -- 6,387
Prepaid expenses and other assets................. -- 42,175 8,925 1,584 --
------------ ------------ -------------- ------------ ------------
Total Assets.................................. 197,375,734 603,100,296 1,010,943,700 121,826,215 167,106,263
------------ ------------ -------------- ------------ ------------
LIABILITIES:
Payable for Fund shares redeemed.................. 554,594 851,417 5,968,591 152,797 54,640
Payable for investment securities purchased
(Notes 1 and 4)................................. -- 117,622,972 169,077,391 -- --
Investment advisory fee payable (Note 2).......... 46,419 165,519 354,136 51,959 70,940
Administration fee payable (Note 2)............... 16,578 41,380 70,827 10,391 14,188
Shareholder servicing and distribution fees
payable
(Note 3)........................................ 5,058 23,090 2,877 32,063 62,820
Transfer agent fees payable (Note 2).............. 21,594 52,552 88,655 14,029 17,868
Custodian fees payable (Note 2)................... 2,726 6,168 10,151 2,325 2,552
Dividends payable................................. 459,539 1,376,277 2,133,206 383,495 290,567
Accrued Trustees'/Directors' fees and expenses
(Note 2)........................................ 4,513 11,813 19,468 2,409 3,916
Accrued expenses and other payables............... 37,956 44,402 93,349 37,017 29,782
------------ ------------ -------------- ------------ ------------
Total Liabilities............................. 1,148,977 120,195,590 177,818,651 686,485 547,273
------------ ------------ -------------- ------------ ------------
NET ASSETS........................................ $196,226,757 $482,904,706 $ 833,125,049 $121,139,730 $166,558,990
============ ============ ============== ============ ============
Investments, at cost.............................. $194,006,965 $585,047,815 $1,011,525,782 $121,472,703 $166,849,724
============ ============ ============== ============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 37
NATIONS FUND
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) MARCH 31, 1996
<TABLE>
<CAPTION>
NATIONS NATIONS
NATIONS SHORT- STRATEGIC NATIONS NATIONS
SHORT-TERM INTERMEDIATE FIXED GOVERNMENT DIVERSIFIED
INCOME GOVERNMENT INCOME SECURITIES INCOME
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Distributions in excess of net investment
income........................................ $ (772,975) $ (2,116,748) $ (1,545,477) $ (604,959) $ (147,511)
Accumulated net realized gain/(loss) on
investments sold.............................. (6,973,947) (14,978,435) 8,097,730 (6,882,533) 2,356,472
Net unrealized appreciation/(depreciation) of
investments................................... 227,573 (4,215,263) (13,295,059) (1,505,708) (2,643,843)
Paid-in capital................................. 203,746,106 504,215,152 839,867,855 130,132,930 166,993,872
------------ ------------ -------------- ------------ ------------
$196,226,757 $482,904,706 $ 833,125,049 $121,139,730 $166,558,990
============ ============ ============== ============ ============
NET ASSETS:
Primary A Shares (formerly Trust A Shares)...... $179,956,646 $399,914,687 $ 823,889,660 $ 55,961,765 $ 65,081,401
============ ============ ============== ============ ============
Investor A Shares............................... $ 2,809,627 $ 57,380,878 $ 6,440,116 $ 11,662,107 $ 13,332,035
============ ============ ============== ============ ============
Investor C Shares............................... $ 6,120,985 $ 11,819,819 $ 299,452 $ 2,558,028 $ 3,453,576
============ ============ ============== ============ ============
Investor N Shares............................... $ 7,339,499 $ 13,789,322 $ 2,495,821 $ 50,957,830 $ 84,691,978
============ ============ ============== ============ ============
SHARES OUTSTANDING:
Primary A Shares (formerly Trust A Shares)...... 18,435,920 98,274,320 82,995,242 5,786,936 6,248,230
============ ============ ============== ============ ============
Investor A Shares............................... 287,841 14,100,094 648,716 1,205,962 1,279,967
============ ============ ============== ============ ============
Investor C Shares............................... 627,077 2,904,476 30,165 264,514 331,576
============ ============ ============== ============ ============
Investor N Shares............................... 751,882 3,388,598 251,414 5,269,516 8,131,136
============ ============ ============== ============ ============
PRIMARY A SHARES (formerly Trust A Shares):
Net asset value, offering and redemption price
per share..................................... $9.76 $4.07 $9.93 $9.67 $10.42
===== ===== ===== ===== ======
INVESTOR A SHARES:
Net asset value, offering and redemption price
per share..................................... $9.76 $4.07 $9.93 $9.67 $10.42
===== ===== ===== ===== ======
INVESTOR C SHARES:
Net asset value and offering price per share*... $9.76 $4.07 $9.93 $9.67 $10.42
===== ===== ===== ===== ======
INVESTOR N SHARES:
Net asset value, offering and redemption price
per share..................................... $9.76 $4.07 $9.93 $9.67 $10.42
===== ===== ===== ===== ======
</TABLE>
- ---------------
* Redemption price per share is equal to Net Asset Value less any applicable
contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 38
NATIONS FUND
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
NATIONS NATIONS
NATIONS SHORT- STRATEGIC NATIONS NATIONS
SHORT-TERM INTERMEDIATE FIXED GOVERNMENT DIVERSIFIED
INCOME GOVERNMENT INCOME SECURITIES INCOME
FUND(A) FUND(A) FUND(A) FUND(B) FUND(A)
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------
INVESTMENT INCOME:
Interest................................................... $4,303,813 $ 9,956,707 $ 17,405,786 $6,911,382 $ 4,165,648
Fee income (Note 4)........................................ -- -- -- 28,256 --
----------- ----------- ----------- ----------- -----------
Total investment income................................ 4,303,813 9,956,707 17,405,786 6,939,638 4,165,648
----------- ----------- ----------- ----------- -----------
EXPENSES:
Investment advisory fee (Note 2)........................... 390,150 1,003,723 1,682,917 616,476 344,040
Administration fee (Note 2)................................ 65,025 167,287 280,486 96,960 57,340
Transfer agent fees (Note 2)............................... 43,610 109,540 181,611 68,742 39,397
Custodian fees (Note 2).................................... 11,198 25,439 40,211 22,976 10,413
Legal and audit fees....................................... 17,877 22,925 25,577 50,771 17,755
Trustees'/Directors' fees and expenses (Note 2)............ 3,909 10,051 17,234 2,849 3,542
Amortization of organization costs (Note 6)................ 1,344 2,332 1,344 1,010 1,344
Interest expense (Note 7).................................. 49 -- 83 82 --
Other...................................................... 41,208 96,163 85,564 65,020 24,939
----------- ----------- ----------- ----------- -----------
Subtotal............................................... 574,370 1,437,460 2,315,027 924,886 498,770
Shareholder servicing and distribution fees (Note 3):
Investor A Shares........................................ 1,986 40,480 4,470 22,641 11,252
Investor C Shares........................................ 7,308 21,014 506 15,800 6,566
Investor N Shares........................................ 9,584 29,061 5,561 299,749 223,770
Fees waived by investment adviser (Note 2)................. (216,740 ) (384,574 ) (294,244) (147,897 ) (57,340)
----------- ----------- ----------- ----------- -----------
Total expenses......................................... 376,508 1,143,441 2,031,320 1,115,179 683,018
----------- ----------- ----------- ----------- -----------
NET INVESTMENT INCOME...................................... 3,927,305 8,813,266 15,374,466 5,824,459 3,482,630
----------- ----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS (NOTES 1 AND 4):
Net realized gain on investments during the period......... 739,233 534,819 23,781,522 110,292 2,934,675
Net unrealized depreciation of investments during the
period................................................... (2,409,577 ) (9,128,807 ) (48,262,684) (2,382,181 ) (9,439,511)
----------- ----------- ----------- ----------- -----------
Net realized and unrealized loss on investments............ (1,670,344 ) (8,593,988 ) (24,481,162) (2,271,889 ) (6,504,836)
----------- ----------- ----------- ----------- -----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $2,256,961 $ 219,278 $ (9,106,696) $3,552,570 $(3,022,206)
=========== =========== ============ =========== ===========
</TABLE>
- ---------------
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30. The numbers reflected are for the period December 1, 1995
through March 31, 1996.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
May 31. The numbers reflected are for the period June 1, 1995 through March
31, 1996.
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 39
NATIONS FUND
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
PERIOD ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
NATIONS NATIONS
NATIONS SHORT- STRATEGIC NATIONS NATIONS
SHORT-TERM INTERMEDIATE FIXED GOVERNMENT DIVERSIFIED
INCOME GOVERNMENT INCOME SECURITIES INCOME
FUND(A) FUND(A) FUND(A) FUND(B) FUND(A)
<S> <C> <C> <C> <C> <C>
------------ --------------------------------------------------------
Net investment income.......................... $ 3,927,305 $ 8,813,266 $ 15,374,466 $ 5,824,459 $ 3,482,630
Net realized gain on investments............... 739,233 534,819 23,781,522 110,292 2,934,675
Change in unrealized depreciation of
investments.................................. (2,409,577) (9,128,807) (48,262,684) (2,382,181) (9,439,511)
------------ ------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting
from operations.............................. 2,256,961 219,278 (9,106,696) 3,552,570 (3,022,206)
Distributions to shareholders from net
investment income:
Primary A Shares............................. (3,565,554) (7,220,634) (15,210,029) (2,364,638) (1,419,419)
Investor A Shares............................ (57,809) (1,030,983) (118,080) (531,600) (281,185)
Investor C Shares............................ (118,157) (199,970) (5,049) (125,779) (69,099)
Investor N Shares............................ (155,101) (224,691) (41,308) (2,513,856) (1,712,773)
Distributions to shareholders in excess of net
investment income:
Primary A Shares............................. -- (112,834) -- (116,271) --
Investor A Shares............................ -- (16,747) -- (27,280) --
Investor C Shares............................ -- (3,441) -- (6,931) --
Investor N Shares............................ -- (3,966) -- (138,103) --
Net increase/(decrease) in net assets from Fund
share transactions:
Primary A Shares............................. 12,171,837 (18,177,375) 24,995,290 17,057,546 2,798,971
Investor A Shares............................ (135,027) (6,438,309) (28,347) 992,151 700,759
Investor C Shares............................ 114,573 (1,176,183) 81,673 (340,453) 2,187
Investor N Shares............................ (1,474,499) (857,349) (6,901) (4,234,782) (2,857,371)
------------ ------------ ------------ ------------ ------------
Net increase/(decrease) in net assets.......... 9,037,224 (35,243,204) 560,553 11,202,574 (5,860,136)
NET ASSETS:
Beginning of period............................ 187,189,533 518,147,910 832,564,496 109,937,156 172,419,126
------------ ------------ ------------ ------------ ------------
End of period.................................. $196,226,757 $482,904,706 $833,125,049 $121,139,730 $166,558,990
============ ============ ============ ============ ============
Distributions in excess of net investment
income at end of period...................... $ (772,975) $ (2,116,748) $ (1,545,477) $ (604,959) $ (147,511)
============ ============ ============ ============ ============
</TABLE>
- ---------------
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30. The numbers reflected are for the period December 1, 1995
through March 31, 1996.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
May 31. The numbers reflected are for the period June 1, 1995 through March
31, 1996.
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 40
NATIONS FUND
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
YEARS ENDED MAY 31, 1995 AND NOVEMBER 30, 1995
<TABLE>
<CAPTION>
NATIONS NATIONS
NATIONS SHORT- STRATEGIC NATIONS NATIONS
SHORT-TERM INTERMEDIATE FIXED GOVERNMENT DIVERSIFIED
INCOME GOVERNMENT INCOME SECURITIES INCOME
FUND(A) FUND(A) FUND(A) FUND(B) FUND(A)
<S> <C> <C> <C> <C> <C>
------------ --------------------------------------------------------
Net investment income.......................... $11,825,740 $29,790,506 $ 38,147,289 $ 7,075,024 $ 7,471,940
Net realized gain/(loss) on investments........ (424,531 ) 12,467,455 10,600,616 (5,534,882 ) 1,984,218
Change in unrealized appreciation of
investments.................................. 7,297,230 14,300,508 51,955,979 5,468,488 10,816,554
------------ ------------ ------------ ------------ ------------
Net increase in net assets resulting from
operations................................... 18,698,439 56,558,469 100,703,884 7,008,630 20,272,712
Distributions to shareholders from net
investment
income:
Primary A Shares............................. (10,476,071 ) (24,494,854 ) (37,889,240) (2,523,573 ) (1,933,237)
Investor A Shares............................ (159,498 ) (3,827,906 ) (132,124) (695,474 ) (825,992)
Investor C Shares............................ (414,795 ) (765,312 ) (3,800) (221,446 ) (192,391)
Investor N Shares............................ (655,895 ) (615,456 ) (122,106) (3,167,986 ) (4,520,320)
Distributions to shareholders in excess of net
investment income:
Primary A Shares............................. -- (71,082 ) -- -- --
Investor A Shares............................ -- (11,483 ) -- -- --
Investor C Shares............................ -- (2,410 ) -- -- --
Investor N Shares............................ -- (2,003 ) -- -- --
Distributions to shareholders from capital:
Primary A Shares............................. -- -- -- (167,558 ) --
Investor A Shares............................ -- -- -- (47,777 ) --
Investor C Share............................. -- -- -- (16,490 ) --
Investor N Shares............................ -- -- -- (234,720 ) --
Net increase/(decrease) in net assets from Fund
share transactions:
Primary A Shares............................. (13,648,786 ) (29,897,299 ) 210,323,838 (4,498,777 ) 39,262,795
Investor A Shares............................ 381,422 (15,830,656 ) 5,443,406 (3,076,060 ) 988,601
Investor C Shares............................ (2,296,003 ) (4,283,855 ) 178,133 (2,265,980 ) 606,887
Investor N Shares............................ (8,093,168 ) 3,285,599 213,298 (313,210 ) 27,949,143
------------ ------------ ------------ ------------ ------------
Net increase/(decrease) in net assets.......... (16,664,355 ) (19,958,248 ) 278,715,289 (10,220,421 ) 81,608,198
NET ASSETS:
Beginning of year.............................. 203,853,888 538,106,158 553,849,207 120,157,577 90,810,928
------------ ------------ ------------ ------------ ------------
End of year.................................... $187,189,533 $518,147,910 $832,564,496 $109,937,156 $172,419,126
============ ============ ============ ============ ============
Distributions in excess of net investment
income at end of year........................ $ (800,993 ) $(1,979,760 ) $ (1,416,564) $ (364,809 ) $ (137,179)
============ ============ ============ ============ ============
</TABLE>
- ---------------
(a) Nations Short-Term Income Fund, Nations Short-Intermediate Government Fund,
Nations Strategic Fixed Income Fund and Nations Diversified Income Fund
reflect information for year ended November 30, 1995.
(b) Nations Government Securities Fund reflects information for year ended May
31, 1995.
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 41
NATIONS FUND
- --------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
NATIONS SHORT-TERM INCOME FUND
PERIOD ENDED YEAR ENDED
MARCH 31, 1996(A) NOVEMBER 30, 1995
-------------------------------- --------------------------------
SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------------
<S> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold.............................................. 3,296,223 $ 32,508,452 6,241,414 $ 60,571,190
Issued as reinvestment of dividends............... 172,406 1,695,467 374,797 3,634,442
Redeemed.......................................... (2,236,024) (22,032,082) (8,060,456) (77,854,418)
----------- ------------ ----------- ------------
Net increase/(decrease)............................. 1,232,605 $ 12,171,837 (1,444,245) $(13,648,786)
=========== ============ =========== ============
INVESTOR A SHARES:
Sold.............................................. 42,961 $ 422,917 98,847 $ 957,538
Issued as reinvestment of dividends............... 4,994 49,132 14,396 139,563
Redeemed.......................................... (61,870) (607,076) (74,265) (715,679)
----------- ------------ ----------- ------------
Net increase/(decrease)............................. (13,915) $ (135,027) 38,978 $ 381,422
=========== ============ =========== ============
INVESTOR C SHARES:
Sold.............................................. 109,316 $ 1,078,053 121,077 $ 1,180,504
Issued as reinvestment of dividends............... 9,036 88,887 31,936 309,332
Redeemed.......................................... (106,715) (1,052,367) (392,484) (3,785,839)
----------- ------------ ----------- ------------
Net increase/(decrease)........................... 11,637 $ 114,573 (239,471) $ (2,296,003)
=========== ============ =========== ============
INVESTOR N SHARES:
Sold.............................................. 33,310 $ 328,462 257,188 $ 2,483,655
Issued as reinvestment of dividends............... 13,560 133,432 58,175 562,749
Redeemed.......................................... (196,694) (1,936,393) (1,160,085) (11,139,572)
----------- ------------ ----------- ------------
Net decrease...................................... (149,824) $ (1,474,499) (844,722) $ (8,093,168)
=========== ============ =========== ============
</TABLE>
- ---------------
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 42
NATIONS FUND
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY (CONTINUED)
<CAPTION>
NATIONS SHORT-INTERMEDIATE GOVERNMENT FUND NATIONS STRATEGIC FIXED INCOME FUND
PERIOD ENDED YEAR ENDED PERIOD ENDED YEAR ENDED
MARCH 31, 1996(a) NOVEMBER 30, 1995 MARCH 31, 1996(a) NOVEMBER 30, 1995
--------------------- --------------------- --------------------- -----------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
===========================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold.................. 8,023,715 $ 33,168,896 24,579,332 $ 99,680,275 10,281,111 $104,671,102 28,277,398 $ 274,652,648
Issued in exchange for
Trust A Shares of
Nations Managed Bond
Fund (Note 9)........ -- -- -- -- -- -- 12,318,582 123,242,998
Issued in exchange for
Trust A Shares of
Nations Adjustable
Rate Government
Fund (Note 9)........ -- -- 6,025,104 24,522,175 -- -- -- --
Issued as reinvestment
of dividends......... 504,483 2,082,733 1,896,220 7,679,648 645,969 6,558,919 1,855,783 18,284,223
Redeemed.............. (12,928,325) (53,429,004) (40,147,433) (161,779,397) (8,463,213) (86,234,731) (21,002,335) (205,856,031)
---------- ------------ ---------- ------------- --------- ------------ ---------- -------------
Net increase/
(decrease)........... (4,400,127) $(18,177,375) (7,646,777) $ (29,897,299) 2,463,867 $ 24,995,290 21,449,428 $ 210,323,838
========== ============ ========== ============= ========= ============ ========== =============
INVESTOR A SHARES:
Sold.................. 192,318 $ 794,577 2,037,368 $ 8,237,086 55,747 $ 570,159 250,746 $ 2,451,468
Issued in exchange for
Investor A Shares of
Nations Managed Bond
Fund (Note 9)........ -- -- -- -- -- -- 420,573 4,207,301
Issued in exchange for
Investor A Shares of
Nations Adjustable
Rate Government Fund
(Note 9)............. -- -- 1,443,458 5,874,874 -- -- -- --
Issued as reinvestment
of dividends......... 180,559 745,524 654,212 2,647,022 8,723 88,613 10,070 100,616
Redeemed.............. (1,931,727) (7,978,410) (8,115,045) (32,589,638) (67,518) (687,119) (133,334) (1,315,979)
---------- ------------ ---------- ------------- --------- ------------ ---------- -------------
Net increase/
(decrease)........... (1,558,850) $ (6,438,309) (3,980,007) $ (15,830,656) (3,048) $ (28,347) 548,055 $ 5,443,406
========== ============ ========== ============= ========= ============ ========== =============
INVESTOR C SHARES
Sold.................. 4,936 $ 20,431 74,021 $ 310,866 7,802 $ 79,891 10,408 $ 104,308
Issued in exchange for
Investor C Shares of
Nations Managed Bond
Fund (Note 9)........ -- -- -- -- -- -- 7,675 76,789
Issued in exchange for
Investor C Shares of
Nations Adjustable
Rate Government Fund
(Note 9)............. -- -- 460,999 1,876,267 -- -- -- --
Issued as reinvestment
of dividends......... 34,127 140,922 134,005 542,106 404 4,103 317 3,153
Redeemed.............. (323,540) (1,337,536) (1,738,728) (7,013,094) (228) (2,321) (654) (6,117)
---------- ------------ ---------- ------------- --------- ------------ ---------- -------------
Net increase/
(decrease)........... (284,477) $ (1,176,183) (1,069,703) $ (4,283,855) 7,978 $ 81,673 17,746 $ 178,133
========== ============ ========== ============= ========= ============ ========== =============
INVESTOR N SHARES
Sold.................. 91,903 $ 379,562 515,977 $ 2,097,656 16,308 $ 166,977 42,018 $ 406,207
Issued in exchange for
Investor N Shares of
Nations Adjustable
Rate Government Fund
(Note 9)............. -- -- 1,161,767 4,728,391 -- -- -- --
Issued as reinvestment
of dividends......... 33,414 137,966 93,848 380,870 3,066 31,132 9,445 92,989
Redeemed.............. (333,038) (1,374,877) (969,418) (3,921,318) (20,158) (205,010) (29,355) (285,898)
---------- ------------ ---------- ------------- --------- ------------ ---------- -------------
Net increase/
(decrease)........... (207,721) $ (857,349) 802,174 $ 3,285,599 (784) $ (6,901) 22,108 $ 213,298
========== ============ ========== ============= ========= ============ ========== =============
<FN>
- ---------------
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 43
NATIONS FUND
- --------------------------------------------------------------------------------
SCHEDULE OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
NATIONS DIVERSIFIED
NATIONS GOVERNMENT SECURITIES FUND INCOME FUND
PERIOD ENDED YEAR ENDED PERIOD ENDED
MARCH 31, 1996(B) MAY 31, 1995 MARCH 31, 1996(A)
--------------------------- --------------------------- ------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PRIMARY A SHARES:
Sold............................... 1,429,108 $ 14,525,565 1,463,730 $ 14,002,608 246,328 $ 2,659,348
Issued in exchange for Trust A
Shares of Nations Mortgage-Backed
Securities Fund (Note 9)......... 1,913,042 18,401,388 -- -- -- --
Issued as reinvestment of
dividends........................ 24,136 238,465 3,352 32,232 54,957 577,516
Redeemed........................... (1,627,897) (16,107,872) (1,964,709) (18,533,617) (41,015) (437,893)
---------- ------------ ---------- ------------ -------- -----------
Net increase/(decrease)............ 1,738,389 $ 17,057,546 (497,627) $ (4,498,777) 260,270 $ 2,798,971
========== ============ ========== ============ ======== ===========
INVESTOR A SHARES:
Sold............................... 701,960 $ 7,015,566 204,950 $ 1,955,744 150,996 $ 1,631,309
Issued as reinvestment of
dividends........................ 28,709 283,397 38,414 366,488 14,397 154,212
Redeemed........................... (633,283) (6,306,812) (568,335) (5,398,292) (100,604) (1,084,762)
---------- ------------ ---------- ------------ -------- -----------
Net increase/(decrease)............ 97,386 $ 992,151 (324,971) $ (3,076,060) 64,789 $ 700,759
========== ============ ========== ============ ======== ===========
INVESTOR C SHARES:
Sold............................... 36,493 $ 360,644 26,987 $ 260,866 29,052 $ 309,150
Issued as reinvestment of
dividends........................ 7,802 77,066 14,602 139,252 4,283 45,862
Redeemed........................... (78,586) (778,163) (280,270) (2,666,098) (32,809) (352,825)
---------- ------------ ---------- ------------ -------- -----------
Net increase/(decrease)............ (34,291) $ (340,453) (238,681) $ (2,265,980) 526 $ 2,187
========== ============ ========== ============ ======== ===========
INVESTOR N SHARES:
Sold............................... 528,231 $ 5,215,631 1,490,959 $ 14,332,577 243,789 $ 2,636,764
Issued as reinvestment of
dividends........................ 161,380 1,594,350 217,970 2,077,961 92,508 991,836
Redeemed........................... (1,116,861) (11,044,763) (1,760,483) (16,723,748) (603,828) (6,485,971)
---------- ------------ ---------- ------------ -------- -----------
Net increase/(decrease)............ (427,250) $ (4,234,782) (51,554) $ (313,210) (267,531) $(2,857,371)
========== ============ ========== ============ ======== ===========
<CAPTION>
NATIONS DIVERSIFIED
INCOME FUND
YEAR ENDED
NOVEMBER 30, 1995
---------------------------
SHARES DOLLARS
---------------------------
<S> <C> <C>
PRIMARY A SHARES:
Sold............................... 4,023,586 $ 42,829,820
Issued in exchange for Trust A
Shares of Nations Mortgage-Backed
Securities Fund (Note 9)......... -- --
Issued as reinvestment of
dividends........................ 3,345 34,589
Redeemed........................... (344,739) (3,601,614)
---------- ------------
Net increase/(decrease)............ 3,682,192 $ 39,262,795
========== ============
INVESTOR A SHARES:
Sold............................... 287,506 $ 2,967,377
Issued as reinvestment of
dividends........................ 38,406 396,397
Redeemed........................... (229,529) (2,375,173)
---------- ------------
Net increase/(decrease)............ 96,383 $ 988,601
========== ============
INVESTOR C SHARES:
Sold............................... 137,697 $ 1,424,178
Issued as reinvestment of
dividends........................ 10,464 108,171
Redeemed........................... (89,726) (925,462)
---------- ------------
Net increase/(decrease)............ 58,435 $ 606,887
========== ============
INVESTOR N SHARES:
Sold............................... 3,599,450 $ 37,140,498
Issued as reinvestment of
dividends........................ 238,534 2,468,253
Redeemed........................... (1,132,789) (11,659,608)
---------- ------------
Net increase/(decrease)............ 2,705,195 $ 27,949,143
========== ============
</TABLE>
- ---------------
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
May 31.
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 44
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET INCREASE/ DIVIDENDS
NET ASSET NET REALIZED (DECREASE) FROM
VALUE NET AND UNREALIZED IN NET NET
BEGINNING INVESTMENT GAIN/(LOSS) ASSET VALUE INVESTMENT
OF PERIOD INCOME ON INVESTMENTS FROM OPERATIONS INCOME
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATIONS SHORT-TERM
INCOME FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... $ 9.84 $0.20 $ (0.08) $ 0.12 $ (0.20)
Year ended 11/30/1995#.......................... 9.48 0.61 0.36 0.97 (0.61)
Year ended 11/30/1994#.......................... 10.01 0.50 (0.51) (0.01) (0.48)
Year ended 11/30/1993........................... 9.75 0.53 0.26 0.79 (0.53)
Period ended 11/30/1992*........................ 10.00 0.09 (0.25) (0.16) (0.09)
INVESTOR A
Period ended 03/31/1996(b)#..................... $ 9.84 $0.19 $ (0.08) $ 0.11 $ (0.19)
Year ended 11/30/1995#.......................... 9.48 0.59 0.36 0.95 (0.59)
Year ended 11/30/1994#.......................... 10.01 0.48 (0.51) (0.03) (0.46)
Year ended 11/30/1993........................... 9.75 0.51 0.26 0.77 (0.51)
Period ended 11/30/1992*........................ 10.00 0.08 (0.26) (0.18) (0.07)
INVESTOR C
Period ended 03/31/1996(b)#..................... $ 9.84 $0.19 $ (0.08) $ 0.11 $ (0.19)
Year ended 11/30/1995#.......................... 9.48 0.57 0.36 0.93 (0.57)
Year ended 11/30/1994#.......................... 10.01 0.46 (0.51) (0.05) (0.44)
Year ended 11/30/1993........................... 9.75 0.48 0.26 0.74 (0.48)
Period ended 11/30/1992*........................ 10.00 0.08 (0.26) (0.18) (0.07)
INVESTOR N
Period ended 03/31/1996(b)#..................... $ 9.84 $0.19 $ (0.08) $ 0.11 $ (0.19)
Year ended 11/30/1995#.......................... 9.48 0.57 0.36 0.93 (0.57)
Year ended 11/30/1994#.......................... 10.01 0.47 (0.51) (0.04) (0.45)
Period ended 11/30/1993*........................ 9.94 0.22 0.07 0.29 (0.22)
NATIONS SHORT-INTERMEDIATE
GOVERNMENT FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... $ 4.14 $0.07 $ (0.07) $ 0.00 $ (0.07)
Year ended 11/30/1995#.......................... 3.93 0.24 0.21 0.45 (0.24)
Year ended 11/30/1994........................... 4.28 0.23 (0.33) (0.10) (0.23)
Year ended 11/30/1993........................... 4.16 0.23 0.14 0.37 (0.23)
Year ended 11/30/1992........................... 4.17 0.28 (0.01) 0.27 (0.28)
Period ended 11/30/1991**....................... 4.00## 0.10 0.17 0.27 (0.10)
INVESTOR A
Period ended 03/31/1996(b)#..................... $ 4.14 $0.07 $ (0.07) $ 0.00 $ (0.07)
Year ended 11/30/1995#.......................... 3.93 0.23 0.21 0.44 (0.23)
Year ended 11/30/1994........................... 4.28 0.22 (0.33) (0.11) (0.22)
Year ended 11/30/1993........................... 4.16 0.22 0.14 0.36 (0.22)
Year ended 11/30/1992........................... 4.17 0.27 (0.01) 0.26 (0.27)
Period ended 11/30/1991**....................... 4.00## 0.10 0.17 0.27 (0.10)
INVESTOR C
Period ended 03/31/1996(b)#..................... $ 4.14 $0.07 $ (0.07) $ 0.00 $ (0.07)
Year ended 11/30/1995#.......................... 3.93 0.22 0.21 0.43 (0.22)
Year ended 11/30/1994........................... 4.28 0.20 (0.33) (0.13) (0.20)
Year ended 11/30/1993........................... 4.16 0.20 0.14 0.34 (0.20)
Period ended 11/30/1992**....................... 4.19 0.10 (0.03) 0.07 (0.10)
INVESTOR N
Period ended 03/31/1996(b)#..................... $ 4.14 $0.07 $ (0.07) $ 0.00 $ (0.07)
Year ended 11/30/1995#.......................... 3.93 0.21 0.21 0.42 (0.21)
Year ended 11/30/1994........................... 4.28 0.20 (0.33) (0.13) (0.20)
Period ended 11/30/1993**....................... 4.26 0.09 0.02 0.11 (0.09)
<CAPTION>
DISTRIBUTIONS DISTRIBUTIONS
IN EXCESS FROM NET
OF NET REALIZED
INVESTMENT CAPITAL
INCOME GAINS
---------------------------------
<S> <C> <C>
NATIONS SHORT-TERM
INCOME FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... -- --
Year ended 11/30/1995#.......................... -- --
Year ended 11/30/1994#.......................... $(0.02) --
Year ended 11/30/1993........................... -- --
Period ended 11/30/1992*........................ -- --
INVESTOR A
Period ended 03/31/1996(b)#..................... -- --
Year ended 11/30/1995#.......................... -- --
Year ended 11/30/1994#.......................... $(0.02) --
Year ended 11/30/1993........................... -- --
Period ended 11/30/1992*........................ -- --
INVESTOR C
Period ended 03/31/1996(b)#..................... -- --
Year ended 11/30/1995#.......................... -- --
Year ended 11/30/1994#.......................... $(0.02) --
Year ended 11/30/1993........................... -- --
Period ended 11/30/1992*........................ -- --
INVESTOR N
Period ended 03/31/1996(b)#..................... -- --
Year ended 11/30/1995#.......................... -- --
Year ended 11/30/1994#.......................... $(0.02) --
Period ended 11/30/1993*........................ -- --
NATIONS SHORT-INTERMEDIATE
GOVERNMENT FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... $(0.00)(a) --
Year ended 11/30/1995#.......................... (0.00)(a) --
Year ended 11/30/1994........................... (0.00)(a) $(0.02)
Year ended 11/30/1993........................... -- (0.02)
Year ended 11/30/1992........................... -- --
Period ended 11/30/1991**....................... -- --
INVESTOR A
Period ended 03/31/1996(b)#..................... $(0.00)(a) --
Year ended 11/30/1995#.......................... (0.00)(a) --
Year ended 11/30/1994........................... (0.00)(a) $(0.02)
Year ended 11/30/1993........................... -- (0.02)
Year ended 11/30/1992........................... -- --
Period ended 11/30/1991**....................... -- --
INVESTOR C
Period ended 03/31/1996(b)#..................... $(0.00)(a) --
Year ended 11/30/1995#.......................... (0.00)(a) --
Year ended 11/30/1994........................... (0.00)(a) $(0.02)
Year ended 11/30/1993........................... -- (0.02)
Period ended 11/30/1992**....................... -- --
INVESTOR N
Period ended 03/31/1996(b)#..................... $(0.00)(a) --
Year ended 11/30/1995#.......................... (0.00)(a) --
Year ended 11/30/1994........................... (0.00)(a) $(0.02)
Period ended 11/30/1993**....................... -- --
</TABLE>
- ---------------
* Nations Short-Term Income Fund's Primary A, Investor A, Investor C and
Investor N Shares commenced operations on September 30, 1992, October 2,
1992, October 2, 1992 and June 7, 1993, respectively.
** Nations Short-Intermediate Government Fund's Primary A, Investor A, Investor
C and Investor N Shares commenced operations on August 1, 1991, August 5,
1991, June 17, 1992 and June 7, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
+++ Unaudited.
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the
period since use of the undistributed income method did not accord with the
results of operations.
## Nations Short-Intermediate Government Fund's net asset value upon
commencement of operations was $2.00 per share. Effective September 25, 1991,
the net asset value doubled as a result of the reclassification of each
outstanding share into half as many shares (reverse split).
### Amount represents less than 0.01%.
(a) Amount represents less than $0.01.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 45
<TABLE>
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<CAPTION>
TOTAL NET ASSET NET ASSETS
DISTRIBUTIONS DIVIDENDS VALUE END OF
FROM AND END OF TOTAL PERIOD
CAPITAL DISTRIBUTIONS PERIOD RETURN++ (IN 000'S)
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATIONS SHORT-TERM
INCOME FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... -- $ (0.20) $ 9.76 1.19% $ 179,957
Year ended 11/30/1995#.......................... -- (0.61) 9.84 10.48 169,291
Year ended 11/30/1994#.......................... $ (0.02) (0.52) 9.48 (0.11) 176,712
Year ended 11/30/1993........................... -- (0.53) 10.01 8.26 201,738
Period ended 11/30/1992*........................ -- (0.09) 9.75 (1.58)+++ 190,680
INVESTOR A
Period ended 03/31/1996(b)#..................... -- $ (0.19) $ 9.76 1.13% $ 2,810
Year ended 11/30/1995#.......................... -- (0.59) 9.84 10.29 2,969
Year ended 11/30/1994#.......................... $ (0.02) (0.50) 9.48 (0.33) 2,490
Year ended 11/30/1993........................... -- (0.51) 10.01 8.03 11,205
Period ended 11/30/1992*........................ -- (0.07) 9.75 (1.81)+++ 254
INVESTOR C
Period ended 03/31/1996(b)#..................... -- $ (0.19) $ 9.76 1.07% $ 6,121
Year ended 11/30/1995#.......................... -- (0.57) 9.84 10.08 6,056
Year ended 11/30/1994#.......................... $ (0.02) (0.48) 9.48 (0.51) 8,102
Year ended 11/30/1993........................... -- (0.48) 10.01 7.73 19,851
Period ended 11/30/1992*........................ -- (0.07) 9.75 (1.82)+++ 6,747
INVESTOR N
Period ended 03/31/1996(b)#..................... -- $ (0.19) $ 9.76 1.08% $ 7,339
Year ended 11/30/1995#.......................... -- (0.57) 9.84 10.10 8,873
Year ended 11/30/1994#.......................... $ (0.02) (0.49) 9.48 (0.46) 16,550
Period ended 11/30/1993*........................ -- (0.22) 10.01 2.96 39,861
NATIONS SHORT-INTERMEDIATE
GOVERNMENT FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... -- $ (0.07) $ 4.07 0.07% $ 399,915
Year ended 11/30/1995#.......................... -- (0.24) 4.14 11.70 425,200
Year ended 11/30/1994........................... -- (0.25) 3.93 (2.23) 433,278
Year ended 11/30/1993........................... -- (0.25) 4.28 9.03 443,426
Year ended 11/30/1992........................... -- (0.28) 4.16 6.70+++ 360,497
Period ended 11/30/1991**....................... -- (0.10) 4.17 6.81+++ 158,435
INVESTOR A
Period ended 03/31/1996(b)#..................... -- $ (0.07) $ 4.07 0.00%### $ 57,381
Year ended 11/30/1995#.......................... -- (0.23) 4.14 11.48 64,848
Year ended 11/30/1994........................... -- (0.24) 3.93 (2.41) 77,128
Year ended 11/30/1993........................... -- (0.24) 4.28 8.85 173,449
Year ended 11/30/1992........................... -- (0.27) 4.16 6.61 188,624
Period ended 11/30/1991**....................... -- (0.10) 4.17 6.81+++ 53,874
INVESTOR C
Period ended 03/31/1996(b)#..................... -- $ (0.07) $ 4.07 (0.10)% $ 11,820
Year ended 11/30/1995#.......................... -- (0.22) 4.14 11.15 13,206
Year ended 11/30/1994........................... -- (0.22) 3.93 (2.80) 16,725
Year ended 11/30/1993........................... -- (0.22) 4.28 8.20 31,440
Period ended 11/30/1992**....................... -- (0.10) 4.16 1.64+++ 24,352
INVESTOR N
Period ended 03/31/1996(b)#..................... -- $ (0.07) $ 4.07 (0.13)% $ 13,789
Year ended 11/30/1995#.......................... -- (0.21) 4.14 11.02 14,893
Year ended 11/30/1994........................... -- (0.22) 3.93 (2.81) 10,974
Period ended 11/30/1993**....................... -- (0.09) 4.28 2.65 8,847
</TABLE>
<TABLE>
<CAPTION>
RATIO OF WITHOUT WAIVERS AND/OR
EXPENSE REIMBURSEMENTS
-------------------------------
RATIO OF RATIO OF RATIO OF
OPERATING NET INVESTMENT OPERATING NET
EXPENSES INCOME PORTFOLIO EXPENSES TO INVESTMENT
TO AVERAGE TO AVERAGE TURNOVER AVERAGE INCOME PER
NET ASSETS NET ASSETS RATE NET ASSETS SHARE
--------------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C>
NATIONS SHORT-TERM
INCOME FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... 0.55%+ 6.07%+ 73% 0.88%+ $ 0.19
Year ended 11/30/1995#.......................... 0.56 6.32 224 0.86 0.58
Year ended 11/30/1994#.......................... 0.50 5.23 293 0.82 0.47
Year ended 11/30/1993........................... 0.37 5.27 121 0.79 0.48
Period ended 11/30/1992*........................ 0.30+ 5.54+ 45 0.90+ 0.08
INVESTOR A
Period ended 03/31/1996(b)#..................... 0.75%+ 5.87%+ 73% 1.08%+ $ 0.18
Year ended 11/30/1995#.......................... 0.76 6.12 224 1.06 0.56
Year ended 11/30/1994#.......................... 0.71 5.02 293 1.03 0.45
Year ended 11/30/1993........................... 0.57 5.07 121 0.99 0.48
Period ended 11/30/1992*........................ 0.45+ 5.39+ 45 1.05+ 0.07
INVESTOR C
Period ended 03/31/1996(b)#..................... 0.90%+ 5.72%+ 73% 1.23%+ $ 0.18
Year ended 11/30/1995#.......................... 0.91 5.97 224 1.21 0.54
Year ended 11/30/1994#.......................... 0.89 4.84 293 1.21 0.43
Year ended 11/30/1993........................... 0.87 4.77 121 1.29 0.45
Period ended 11/30/1992*........................ 0.80+ 5.04+ 45 1.40+ 0.07
INVESTOR N
Period ended 03/31/1996(b)#..................... 0.90%+ 5.72%+ 73% 1.23%+ $ 0.18
Year ended 11/30/1995#.......................... 0.91 5.97 224 1.21 0.54
Year ended 11/30/1994#.......................... 0.85 4.88 293 1.17 0.44
Period ended 11/30/1993*........................ 0.72+ 4.92+ 121 1.14+ 0.21
NATIONS SHORT-INTERMEDIATE
GOVERNMENT FUND
PRIMARY A
Period ended 03/31/1996(b)#..................... 0.63%+ 5.32%+ 189% 0.86%+ $ 0.06
Year ended 11/30/1995#.......................... 0.60 5.88 328 0.80 0.23
Year ended 11/30/1994........................... 0.59 5.76 133 0.80 0.22
Year ended 11/30/1993........................... 0.55 5.40 92 0.79 0.22
Year ended 11/30/1992........................... 0.37 6.48 25 0.77 0.26
Period ended 11/30/1991**....................... 0.08+ 7.21+ 11 0.82+ 0.00(a)
INVESTOR A
Period ended 03/31/1996(b)#..................... 0.83%+ 5.12%+ 189% 1.06%+ $ 0.06
Year ended 11/30/1995#.......................... 0.80 5.68 328 1.00 0.22
Year ended 11/30/1994........................... 0.77 5.58 133 0.98 0.21
Year ended 11/30/1993........................... 0.70 5.25 92 0.94 0.21
Year ended 11/30/1992........................... 0.48 6.34 25 0.88 0.25
Period ended 11/30/1991**....................... 0.08+ 7.21+ 11 0.82+ 0.00(a)
INVESTOR C
Period ended 03/31/1996(b)#..................... 1.13%+ 4.82%+ 189% 1.36%+ $ 0.06
Year ended 11/30/1995#.......................... 1.10 5.38 328 1.30 0.21
Year ended 11/30/1994........................... 1.17 5.18 133 1.38 0.19
Year ended 11/30/1993........................... 1.30 4.65 92 1.54 0.19
Period ended 11/30/1992**....................... 1.18+ 4.80+ 25 1.44+ 0.09
INVESTOR N
Period ended 03/31/1996(b)#..................... 1.23%+ 4.72%+ 189% 1.46%+ $ 0.06
Year ended 11/30/1995#.......................... 1.20 5.28 328 1.40 0.20
Year ended 11/30/1994........................... 1.19 5.16 133 1.40 0.19
Period ended 11/30/1993**....................... 1.15+ 4.80+ 92 1.39+ 0.09
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 46
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET INCREASE/ DIVIDENDS DISTRIBUTIONS
NET ASSET NET REALIZED (DECREASE) FROM IN EXCESS
VALUE NET AND UNREALIZED IN NET NET OF NET
BEGINNING INVESTMENT GAIN/(LOSS) ASSET VALUE INVESTMENT INVESTMENT
OF PERIOD INCOME ON INVESTMENTS FROM OPERATIONS INCOME INCOME
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
NATIONS STRATEGIC FIXED INCOME FUND
PRIMARY A
Period ended 03/31/1996(a).............. $10.22 $ 0.19 $(0.29) $ (0.10) $(0.19) --
Year ended 11/30/1995................... 9.32 0.59 0.90 1.49 (0.59) --
Year ended 11/30/1994................... 10.55 0.53 (0.89) (0.36) (0.51) $ (0.02)
Year ended 11/30/1993................... 9.94 0.56 0.62 1.18 (0.56) --
Period ended 11/30/1992*................ 10.00 0.05 (0.06) (0.01) (0.05) --
INVESTOR A
Period ended 03/31/1996(a).............. $10.22 $ 0.18 $(0.29) $ (0.11) $(0.18) --
Year ended 11/30/1995................... 9.32 0.57 0.90 1.47 (0.57) --
Year ended 11/30/1994................... 10.55 0.51 (0.89) (0.38) (0.49) $ (0.02)
Year ended 11/30/1993................... 9.94 0.54 0.62 1.16 (0.54) --
Period ended 11/30/1992*................ 9.99 0.01 (0.06) (0.05) -- --
INVESTOR C
Period ended 03/31/1996(a).............. $10.22 $ 0.17 $(0.29) $ (0.12) $(0.17) --
Year ended 11/30/1995................... 9.32 0.54 0.90 1.44 (0.54) --
Year ended 11/30/1994................... 10.55 0.47 (0.89) (0.42) (0.45) $ (0.02)
Year ended 11/30/1993................... 9.94 0.48 0.62 1.10 (0.48) --
Period ended 11/30/1992*................ 9.97 0.02 (0.04) (0.02) (0.01) --
INVESTOR N
Period ended 03/31/1996(a).............. $10.22 $ 0.16 $(0.29) $ (0.13) $(0.16) --
Year ended 11/30/1995................... 9.32 0.53 0.90 1.43 (0.53) --
Year ended 11/30/1994................... 10.55 0.47 (0.89) (0.42) (0.45) $ (0.02)
Period ended 11/30/1993*................ 10.39 0.21 0.17 0.38 (0.21) --
NATIONS GOVERNMENT SECURITIES FUND
PRIMARY A
Period ended 03/31/1996(b)#............. $ 9.86 $ 0.52 $(0.19) $ 0.33 $(0.50) $ (0.02)
Year ended 05/31/1995#.................. 9.80 0.64 0.06 0.70 (0.60) --
Year ended 05/31/1994................... 10.46 0.64 (0.61) 0.03 (0.58) (0.02)
Year ended 05/31/1993#.................. 10.36 0.71 0.13 0.84 (0.70) --
Year ended 05/31/1992................... 10.05 0.74 0.37 1.11 (0.77) --
Period ended 05/31/1991**............... 10.00 0.10 0.02 0.12 (0.07) --
INVESTOR A
Period ended 03/31/1996(b)#............. $ 9.86 $ 0.50 $(0.19) $ 0.31 $(0.48) $ (0.02)
Year ended 05/31/1995#.................. 9.80 0.61 0.06 0.67 (0.57) --
Year ended 05/31/1994................... 10.46 0.62 (0.61) 0.01 (0.56) (0.02)
Year ended 05/31/1993#.................. 10.36 0.66 0.16 0.82 (0.68) --
Year ended 05/31/1992................... 10.05 0.71 0.38 1.09 (0.75) --
Period ended 05/31/1991**............... 10.01 0.09 0.02 0.11 (0.07) --
INVESTOR C
Period ended 03/31/1996(b)#............. $ 9.86 $ 0.47 $(0.19) $ 0.28 $(0.45) $ (0.02)
Year ended 05/31/1995#.................. 9.80 0.57 0.06 0.63 (0.53) --
Year ended 05/31/1994................... 10.46 0.55 (0.61) (0.06) (0.50) (0.01)
Period ended 05/31/1993**#.............. 10.52 0.59 0.02 0.61 (0.63) --
INVESTOR N
Period ended 03/31/1996(b)#............. $ 9.86 $ 0.47 $(0.19) $ 0.28 $(0.45) $ (0.02)
Year ended 05/31/1995#.................. 9.80 0.58 0.06 0.64 (0.54) --
Period ended 05/31/1994**............... 10.49 0.54 (0.64) (0.10) (0.49) (0.01)
<CAPTION>
DISTRIBUTIONS DISTRIBUTIONS
FROM NET IN EXCESS
REALIZED OF NET REALIZED
CAPITAL CAPITAL
GAINS GAINS
<S> <C> <C>
-------------------------------
NATIONS STRATEGIC FIXED INCOME FUND
PRIMARY A
Period ended 03/31/1996(a).............. -- --
Year ended 11/30/1995................... -- --
Year ended 11/30/1994................... $ (0.34) --
Year ended 11/30/1993................... (0.01) --
Period ended 11/30/1992*................ -- --
INVESTOR A
Period ended 03/31/1996(a).............. -- --
Year ended 11/30/1995................... -- --
Year ended 11/30/1994................... $ (0.34) --
Year ended 11/30/1993................... (0.01) --
Period ended 11/30/1992*................ -- --
INVESTOR C
Period ended 03/31/1996(a).............. -- --
Year ended 11/30/1995................... -- --
Year ended 11/30/1994................... $ (0.34) --
Year ended 11/30/1993................... (0.01) --
Period ended 11/30/1992*................ -- --
INVESTOR N
Period ended 03/31/1996(a).............. -- --
Year ended 11/30/1995................... -- --
Year ended 11/30/1994................... $ (0.34) --
Period ended 11/30/1993*................ (0.01) --
NATIONS GOVERNMENT SECURITIES FUND
PRIMARY A
Period ended 03/31/1996(b)#............. -- --
Year ended 05/31/1995#.................. -- --
Year ended 05/31/1994................... -- $ (0.05)
Year ended 05/31/1993#.................. -- (0.04)
Year ended 05/31/1992................... -- (0.03)
Period ended 05/31/1991**............... -- --
INVESTOR A
Period ended 03/31/1996(b)#............. -- --
Year ended 05/31/1995#.................. -- --
Year ended 05/31/1994................... -- $ (0.05)
Year ended 05/31/1993#.................. -- (0.04)
Year ended 05/31/1992................... -- (0.03)
Period ended 05/31/1991**............... -- --
INVESTOR C
Period ended 03/31/1996(b)#............. -- --
Year ended 05/31/1995#.................. -- --
Year ended 05/31/1994................... -- $ (0.05)
Period ended 05/31/1993**#.............. -- (0.04)
INVESTOR N
Period ended 03/31/1996(b)#............. -- --
Year ended 05/31/1995#.................. -- --
Period ended 05/31/1994**............... -- $ (0.05)
</TABLE>
- ---------------
<TABLE>
<S> <C>
* Nations Strategic Fixed Income Fund's Primary A, Investor A, Investor C and Investor N Shares commenced operations on October
30, 1992, November 19, 1992, November 16, 1992 and June 7, 1993, respectively.
** Nations Government Securities Fund's Primary A, Investor A, Investor C and Investor N Shares commenced operations on April
11, 1991, April 17, 1991, July 6, 1992 and June 7, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and does not reflect the deduction of any applicable
sales charges.
+++ Unaudited.
# Per share numbers have been calculated using the monthly average share method, which more appropriately represents the per
share data for the period since use of the undistributed income method did not accord with the results of operations.
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was May 31.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 47
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
RATIO OF
NET ASSETS OPERATING
TOTAL NET ASSET END OF EXPENSES
DISTRIBUTIONS DIVIDENDS AND VALUE END TOTAL PERIOD TO AVERAGE
FROM CAPITAL DISTRIBUTIONS OF PERIOD RETURN++ (IN 000'S) NET ASSETS
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------
NATIONS STRATEGIC FIXED INCOME FUND
PRIMARY A
Period ended 03/31/1996(a)......... -- $ (0.19) $ 9.93 (1.04)% $ 823,890 0.72%+
Year ended 11/30/1995.............. -- (0.59) 10.22 16.45 823,098 0.71
Year ended 11/30/1994.............. -- (0.87) 9.32 (3.58) 550,697 0.68
Year ended 11/30/1993.............. -- (0.57) 10.55 12.05 545,538 0.61
Period ended 11/30/1992*........... -- (0.05) 9.94 (0.11)+++ 581,329 0.26+
INVESTOR A
Period ended 03/31/1996(a)......... -- $ (0.18) $ 9.93 (1.11)% $ 6,440 0.92%+
Year ended 11/30/1995.............. -- (0.57) 10.22 16.22 6,662 0.91
Year ended 11/30/1994.............. -- (0.85) 9.32 (3.76) 967 0.86
Year ended 11/30/1993.............. -- (0.55) 10.55 11.88 1,138 0.76
Period ended 11/30/1992*........... -- -- 9.94 (0.49)+++ 113 0.40+
INVESTOR C
Period ended 03/31/1996(a)......... -- $ (0.17) $ 9.93 (1.22)% $ 299 1.22%+
Year ended 11/30/1995.............. -- (0.54) 10.22 15.87 227 1.21
Year ended 11/30/1994.............. -- (0.81) 9.32 (4.14) 41 1.43
Year ended 11/30/1993.............. -- (0.49) 10.55 11.20 65 1.36
Period ended 11/30/1992*........... -- (0.01) 9.94 (0.22)+++ 84 1.03+
INVESTOR N
Period ended 03/31/1996(a)......... -- $ (0.16) $ 9.93 (1.26)% $ 2,496 1.37%+
Year ended 11/30/1995.............. -- (0.53) 10.22 15.70 2,578 1.36
Year ended 11/30/1994.............. -- (0.81) 9.32 (4.21) 2,145 1.33
Period ended 11/30/1993*........... -- (0.22) 10.55 3.64 1,620 1.26+
NATIONS GOVERNMENT SECURITIES FUND
PRIMARY A
Period ended 03/31/1996(b)#........ -- $ (0.52) $ 9.67 3.41% $ 55,962 0.80%+
Year ended 05/31/1995#............. $ (0.04) (0.64) 9.86 7.55 39,909 0.76
Year ended 05/31/1994.............. (0.04) (0.69) 9.80 0.06 44,536 0.73
Year ended 05/31/1993#............. -- (0.74) 10.46 8.37 40,472 0.85
Year ended 05/31/1992.............. -- (0.80) 10.36 11.43+++ 42,256 1.06
Period ended 05/31/1991**.......... -- (0.07) 10.05 1.19+++ 10,047 1.10+
INVESTOR A
Period ended 03/31/1996(b)#........ -- $ (0.50) $ 9.67 3.20% $ 11,662 1.05%+
Year ended 05/31/1995#............. $ (0.04) (0.61) 9.86 7.29 10,928 1.01
Year ended 05/31/1994.............. (0.04) (0.67) 9.80 (0.11) 14,044 0.90
Year ended 05/31/1993#............. -- (0.72) 10.46 8.18 15,354 1.00
Year ended 05/31/1992.............. -- (0.78) 10.36 11.18+++ 3,326 1.31
Period ended 05/31/1991**.......... -- (0.07) 10.05 1.07+++ 661 1.35+
INVESTOR C
Period ended 03/31/1996(b)#........ -- $ (0.47) $ 9.67 2.83% $ 2,558 1.48%+
Year ended 05/31/1995#............. $ (0.04) (0.57) 9.86 6.76 2,945 1.51
Year ended 05/31/1994.............. (0.04) (0.60) 9.80 (0.69) 5,265 1.48
Period ended 05/31/1993**#......... -- (0.67) 10.46 5.37 5,998 1.60+
INVESTOR N
Period ended 03/31/1996(b)#........ -- $ (0.47) $ 9.67 2.85% $ 50,958 1.45%+
Year ended 05/31/1995#............. $ (0.04) (0.58) 9.86 6.86 56,155 1.41
Period ended 05/31/1994**.......... (0.04) (0.59) 9.80 (1.09) 56,313 1.38+
<CAPTION>
WITHOUT WAIVERS AND/OR EXPENSE REIMBUSEMENTS
--------------------------------------------
RATIO OF RATIO OF
NET INVESTMENT OPERATING NET
INCOME PORTFOLIO EXPENSES TO INVESTMENT
TO AVERAGE TURNOVER AVERAGE INCOME PER
NET ASSETS RATE NET ASSETS SHARE
<C> <C> <C> <C>
---------------------------------------------------------------------
NATIONS STRATEGIC FIXED INCOME FUND
PRIMARY A
Period ended 03/31/1996(a)......... 5.49%+ 133% 0.83%+ $ 0.19
Year ended 11/30/1995.............. 6.05 228 0.81 0.58
Year ended 11/30/1994.............. 5.43 307 0.76 0.52
Year ended 11/30/1993.............. 5.40 161 0.77 0.55
Period ended 11/30/1992*........... 6.15+ 12 0.86+ 0.04
INVESTOR A
Period ended 03/31/1996(a)......... 5.29%+ 133% 1.03%+ $ 0.18
Year ended 11/30/1995.............. 5.85 228 1.01 0.56
Year ended 11/30/1994.............. 5.25 307 0.94 0.50
Year ended 11/30/1993.............. 5.25 161 0.92 0.53
Period ended 11/30/1992*........... 6.00+ 12 1.00+ 0.01
INVESTOR C
Period ended 03/31/1996(a)......... 4.99%+ 133% 1.33%+ $ 0.17
Year ended 11/30/1995.............. 5.55 228 1.31 0.53
Year ended 11/30/1994.............. 4.68 307 1.51 0.46
Year ended 11/30/1993.............. 4.65 161 1.52 0.47
Period ended 11/30/1992*........... 5.40+ 12 1.63+ 0.02
INVESTOR N
Period ended 03/31/1996(a)......... 4.84%+ 133% 1.48%+ $ 0.16
Year ended 11/30/1995.............. 5.40 228 1.46 0.52
Year ended 11/30/1994.............. 4.78 307 1.41 0.46
Period ended 11/30/1993*........... 4.75+ 161 1.42+ 0.21
NATIONS GOVERNMENT SECURITIES FUND
PRIMARY A
Period ended 03/31/1996(b)#........ 6.36%+ 199% 0.95%+ $ 0.51
Year ended 05/31/1995#............. 6.69 413 0.94 0.62
Year ended 05/31/1994.............. 6.08 56 0.94 0.61
Year ended 05/31/1993#............. 6.67 103 1.00 0.60
Year ended 05/31/1992.............. 7.15 130 1.72 0.07
Period ended 05/31/1991**.......... 7.18+ 5 1.69+++ 0.09+++
INVESTOR A
Period ended 03/31/1996(b)#........ 6.11%+ 199% 1.20%+ $ 0.49
Year ended 05/31/1995#............. 6.44 413 1.19 0.59
Year ended 05/31/1994.............. 5.91 56 1.11 0.59
Year ended 05/31/1993#............. 6.52 103 1.15 0.55
Year ended 05/31/1992.............. 6.90 130 1.97 0.07
Period ended 05/31/1991**.......... 7.22+ 5 1.94+++ 0.08+++
INVESTOR C
Period ended 03/31/1996(b)#........ 5.68%+ 199% 1.63%+ $ 0.46
Year ended 05/31/1995#............. 5.94 413 1.69 0.55
Year ended 05/31/1994.............. 5.33 56 1.69 0.53
Period ended 05/31/1993**#......... 5.92+ 103 1.75+ 0.42
INVESTOR N
Period ended 03/31/1996(b)#........ 5.71%+ 199% 1.60%+ $ 0.46
Year ended 05/31/1995#............. 6.04 413 1.59 0.56
Period ended 05/31/1994**.......... 5.43+ 56 1.59+ 0.52
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 48
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
<TABLE>
<CAPTION>
NET INCREASE/ DIVIDENDS DISTRIBUTIONS DISTRIBUTIONS
NET ASSET NET REALIZED (DECREASE) FROM IN EXCESS FROM NET
VALUE NET AND UNREALIZED IN NET NET OF NET REALIZED
BEGINNING INVESTMENT GAIN/(LOSS) ASSET VALUE INVESTMENT INVESTMENT CAPITAL
OF PERIOD INCOME ON INVESTMENTS FROM OPERATIONS INCOME INCOME GAINS
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NATIONS DIVERSIFIED
INCOME FUND
PRIMARY A
Period ended
03/31/1996(b)............ $10.82 $0.23 $(0.40) $ (0.17) $ (0.23) -- --
Year ended 11/30/1995...... 9.67 0.73 1.15 1.88 (0.73) -- --
Year ended 11/30/1994#..... 10.88 0.74 (1.06) (0.32) (0.74) $(0.00)(a) $(0.15)
Year ended 11/30/1993#..... 9.97 0.78 0.91 1.69 (0.78) -- --
Period ended 11/30/1992*... 10.00 0.06 (0.03) 0.03 (0.06) -- --
INVESTOR A
Period ended
03/31/1996(b)............ $10.82 $0.22 $(0.40) $ (0.18) $ (0.22) -- --
Year ended 11/30/1995...... 9.67 0.71 1.15 1.86 (0.71) -- --
Year ended 11/30/1994#..... 10.88 0.72 (1.06) (0.34) (0.72) $(0.00)(a) $(0.15)
Year ended 11/30/1993#..... 9.96 0.76 0.92 1.68 (0.76) -- --
Period ended 11/30/1992*... 10.02 0.01 (0.06) (0.05) (0.01) -- --
INVESTOR C
Period ended
03/31/1996(b)............ $10.82 $0.21 $(0.40) $ (0.19) $ (0.21) -- --
Year ended 11/30/1995...... 9.67 0.66 1.15 1.81 (0.66) -- --
Year ended 11/30/1994#..... 10.88 0.67 (1.06) (0.39) (0.67) $(0.00)(a) $(0.15)
Year ended 11/30/1993#..... 9.96 0.70 0.92 1.62 (0.70) -- --
Period ended 11/30/1992*... 9.93 0.03 0.02 0.05 (0.02) -- --
INVESTOR N
Period ended
03/31/1996(b)............ $10.82 $0.21 $(0.40) $ (0.19) $ (0.21) -- --
Year ended 11/30/1995...... 9.67 0.66 1.15 1.81 (0.66) -- --
Year ended 11/30/1994#..... 10.88 0.67 (1.06) (0.39) (0.67) $(0.00)(a) $(0.15)
Period ended
11/30/1993*#............. 10.59 0.30 0.29 0.59 (0.30) -- --
</TABLE>
- ---------------
* Nations Diversified Income Fund's Primary A, Investor A, Investor C and
Investor N Shares commenced operations on October 30, 1992, November 25,
1992, November 9, 1992 and June 7, 1993, respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated and
does not reflect the deduction of any applicable sales charges.
+++ Unaudited.
# Per share numbers have been calculated using the monthly average share
method, which more appropriately represents the per share data for the period
since use of the undistributed income method did not accord with the results
of operations.
(a) Amount represents less than $0.01.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE> 49
<TABLE>
NATIONS FUND
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<CAPTION>
RATIO OF RATIO OF
TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT
DIVIDENDS VALUE END OF EXPENSES INCOME PORTFOLIO
AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER
DISTRIBUTIONS PERIOD RETURN++ (IN 000'S) NET ASSETS NET ASSETS RATE
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
NATIONS DIVERSIFIED
INCOME FUND
PRIMARY A
Period ended
03/31/1996(b)............ $ (0.23) $10.42 (1.59)% $ 65,081 0.77%+ 6.49%+ 69%
Year ended 11/30/1995...... (0.73) 10.82 20.11 64,800 0.80 7.03 96
Year ended 11/30/1994#..... (0.89) 9.67 (3.05) 22,298 0.74 7.31 144
Year ended 11/30/1993#..... (0.78) 10.88 17.40 28,553 0.55 7.02 86
Period ended 11/30/1992*... (0.06) 9.97 0.32+++ 23,962 0.25+ 7.76+ 46
INVESTOR A
Period ended
03/31/1996(b)............ $ (0.22) $10.42 (1.67)% $ 13,332 1.02%+ 6.24%+ 69%
Year ended 11/30/1995...... (0.71) 10.82 19.82 13,150 1.05 6.78 96
Year ended 11/30/1994#..... (0.87) 9.67 (3.26) 10,819 0.96 7.09 144
Year ended 11/30/1993#..... (0.76) 10.88 17.32 13,291 0.70 6.87 86
Period ended 11/30/1992*... (0.01) 9.96 (0.49)+++ 18 0.40+ 7.61+ 46
INVESTOR C
Period ended
03/31/1996(b)............ $ (0.21) $10.42 (1.77)% $ 3,454 1.33%+ 5.93%+ 69%
Year ended 11/30/1995...... (0.66) 10.82 19.22 3,582 1.55 6.28 96
Year ended 11/30/1994#..... (0.82) 9.67 (3.77) 2,636 1.49 6.56 144
Year ended 11/30/1993#..... (0.70) 10.88 16.65 3,633 1.30 6.27 86
Period ended 11/30/1992*... (0.02) 9.96 0.54+++ 149 1.00+ 7.01+ 46
INVESTOR N
Period ended
03/31/1996(b)............ $ (0.21) $10.42 (1.83)% $ 84,692 1.52%+ 5.74%+ 69
Year ended 11/30/1995...... (0.66) 10.82 19.22 90,887 1.55 6.28 96
Year ended 11/30/1994#..... (0.82) 9.67 (3.77) 55,058 1.49 6.56 144
Period ended
11/30/1993*#............. (0.30) 10.88 5.58 24,630 1.30+ 6.27+ 86
</TABLE>
<TABLE>
<CAPTION> WITHOUT
WAIVERS NET
AND/OR INVESTMENT
EXPENSE INCOME PER
REIMBURSEMENTS SHARE
- -------------------------------------------------------------------------------
<S> <C> <C>
NATIONS DIVERSIFIED
INCOME FUND
PRIMARY A
Period ended
03/31/1996(b)............ 0.87%+ $ 0.23
Year ended 11/30/1995...... 0.93 0.72
Year ended 11/30/1994#..... 0.95 0.72
Year ended 11/30/1993#..... 0.95 0.70
Period ended 11/30/1992*... 0.85+ 0.05
INVESTOR A
Period ended
03/31/1996(b)............ 1.12%+ $ 0.22
Year ended 11/30/1995...... 1.18 0.70
Year ended 11/30/1994#..... 1.17 0.70
Year ended 11/30/1993#..... 1.10 0.70
Period ended 11/30/1992*... 1.00+ 0.01
INVESTOR C
Period ended
03/31/1996(b)............ 1.43%+ $ 0.21
Year ended 11/30/1995...... 1.68 0.65
Year ended 11/30/1994#..... 1.70 0.65
Year ended 11/30/1993#..... 1.70 0.64
Period ended 11/30/1992*... 1.60+ 0.03
INVESTOR N
Period ended
03/31/1996(b)............ 1.62%+ $ 0.21
Year ended 11/30/1995...... 1.68 0.65
Year ended 11/30/1994#..... 1.70 0.65
Period ended
11/30/1993*#............. 1.70+ 0.27
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 50
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES.
Nations Fund Trust (the "Trust") and Nations Fund, Inc. (the "Company") are
registered under the Investment Company Act of 1940, as amended, (the "1940
Act"), as open-end investment companies. As of the date of this report, the
Trust offers thirty-one separate portfolios and the Company offers five separate
portfolios. The Trust changed its fiscal year end from November 30 to March 31
and the Company changed its fiscal year end from May 31 to March 31. The
information presented for the Trust is for the period from December 1, 1995 to
March 31, 1996. The information presented for the Company is for the period from
June 1, 1995 to March 31, 1996. Information presented in these financial
statements pertains only to: Nations Short-Term Income Fund, Nations
Short-Intermediate Government Fund, Nations Strategic Fixed Income Fund, Nations
Government Securities Fund and Nations Diversified Income Fund, (individually
the "Fund", collectively the "Funds"). The financial statements for the
remaining funds of the Trust and the Company are presented under separate cover.
On February 28, 1996 a special meeting of the Board of Trustees of the Trust and
the Board of Directors of the Company was held to approve the name change from
Trust A and Trust B Shares to Primary A and Primary B Shares, respectively. The
Funds currently offer four classes of shares: Primary A Shares (formerly known
as Trust A Shares) Investor A Shares, Investor C Shares and Investor N Shares.
The Board of Trustees of the Trust and the Board of Directors of the Company
have authorized the issuance of Primary B Shares (formerly known as Trust B
Shares) for all Funds. As of March 31, 1996, no Primary B Shares have been
issued. Shareholders of a Fund have equal voting rights on matters affecting all
shareholders of the Fund equally. In addition, each class of shares of a Fund
has exclusive voting rights on matters that relate solely to its class and
separate voting rights on matters in which the interests of one class of shares
differ from the interests of any other class. 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: The Funds' portfolio securities are valued using broker
quotations or on the basis of prices provided by a pricing service. Certain
securities are valued using broker quotations which are based on a matrix system
which considers such factors as security prices, yields and maturities. The
value of mortgage-backed securities can be significantly affected by changes in
interest rates. Certain securities may be valued by one or more principal market
makers. Restricted securities, securities for which market quotations are not
readily available, and other assets are valued at fair value under the
supervision of the Board of Trustees or the Board of Directors. Short-term
investments that mature in 60 days or less are valued at amortized cost.
Repurchase Agreements: Each Fund may engage in repurchase agreement
transactions. Under the terms of a typical repurchase agreement, the Fund takes
possession of an underlying debt obligation subject to an obligation of the
seller to repurchase, and the Fund to resell, the obligation at an agreed-upon
price and time, thereby determining the yield during the Fund's holding period.
This arrangement results in a fixed rate of return that is not subject to market
fluctuations during the Fund's holding period. The value of the collateral is at
least equal at all times to the total amount of the repurchase obligations,
including interest. Generally, in the event of counterparty default, the Fund
has the right to use the collateral to offset losses incurred. There is
potential loss to the Fund in the event the Fund is delayed or prevented from
exercising its right to dispose of the collateral securities, including the risk
of a possible decline in the value of the underlying securities during the
period while the Fund seeks to assert its right. Unless permitted by the
Securities and Exchange Commission, the Fund will not enter into repurchase
agreements with the investment adviser, the distributor or any of their
affiliates. The Funds' investment adviser, acting under the supervision of the
Board of Trustees and the Board of Directors, monitors the value of the
collateral received as well as the creditworthiness of those banks and dealers
with which the Funds enter into repurchase agreements to evaluate potential
risks.
Dollar Roll Transactions: Certain Funds may enter into dollar roll transactions
with financial institutions to take advantage of opportunities in the mortgage
market. Dollar roll transactions consist of the sale by the Fund of mortgage-
backed or other asset-backed securities, together with a commitment to purchase
similar, but not identical, securities at a future date, at the same price. The
Funds are paid a fee as consideration for entering into a commitment to
purchase. This fee is accrued as income over the life of the dollar roll
contract. If the broker/dealer to whom a Fund sells the security becomes
insolvent, the Fund's right to purchase or repurchase the security may be
restricted; the value of the security may change adversely over the term of the
dollar roll; the security that the Fund is required to repurchase may be worth
less
48
<PAGE> 51
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
than the security that the Fund originally held; and the return earned by the
Fund with the proceeds of a dollar roll may not exceed transaction costs.
Securities Transactions and Investment Income: Securities transactions are
accounted for on a trade date basis. Realized gains and losses are computed on
the specific identification of the securities sold. Interest income, adjusted
for amortization of market discounts and premiums on investments, is earned from
settlement date and is recorded on the accrual basis. Amortization of discounts
and premiums on stripped mortgage-backed securities, zero coupon bonds, original
issue discount bonds and step-up bonds is accounted for using the effective
yield method. Dividend income is recorded on the 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.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income is not accrued
until settlement date. Each Fund instructs the custodian to segregate assets in
a separate account with a current value at least equal to the amount of its
when-issued purchase commitments.
Stripped mortgage-backed securities ("SMBS") are derivative multi-class mortgage
securities structured so that one class receives most, if not all, of the
principal from the mortgage assets, while the other class receives most, if not
all, of the interest and the remainder of the principal. If the underlying
mortgage assets experience greater than anticipated repayments of principal, a
Fund may fail to fully recoup its initial investment in an interest-only
security. The market value of these securities is unusually volatile in response
to changes in interest rates.
Dividends and Distributions to Shareholders: It is the policy of each Fund to
declare dividends daily from net investment income and to pay such dividends
monthly. Each Fund will distribute net realized capital gains (including net
short-term capital gains), unless offset by any available capital loss
carryforward, annually after the fiscal year in which earned. Additional
distributions of net investment income and capital gains may be made at the
discretion of the Board of Trustees or Board of Directors in order to avoid
application of the 4% non-deductible Federal excise tax. Income distributions
and capital gain distributions on a Fund level are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to timing differences and
differing characterization of distributions made by the Fund as a whole.
Reclassifications are made to each Fund's capital accounts to reflect income and
gains available for distribution (or available capital loss carryforwards) under
Federal income tax regulations. Certain reclassification adjustments are made
between undistributed net investment income and realized gains due to different
book and tax accounting for paydowns.
Reclassifications for the period ended March 31, 1996 were as follows:
<TABLE>
<CAPTION>
DECREASE INCREASE/(DECREASE)
INCREASE/(DECREASE) UNDISTRIBUTED NET ACCUMULATED NET
PAID-IN CAPITAL INVESTMENT INCOME REALIZED GAIN/(LOSS)
----------------------------------------------------------------
<S> <C> <C> <C>
Nations Short-Term Income Fund........ -- $ (2,666) $ 2,666
Nations Short-Intermediate Government
Fund................................ $ (661,738) (136,988) 798,726
Nations Strategic Fixed Income Fund... 3,767,646 (128,913) (3,638,733)
Nations Government Securities Fund.... 143,827 (240,151) 96,324
Nations Diversified Income Fund....... -- (10,486) 10,486
</TABLE>
Federal Income Tax: Each Fund intends to qualify as a regulated investment
company by complying with the requirements of the Internal Revenue Code of 1986,
as amended, applicable to regulated investment companies and by distributing
substantially all of its earnings to its shareholders. Therefore, no Federal
income or excise tax provision is required.
Expenses: General expenses of the Trust or the Company are allocated to the
relevant Funds based upon relative net assets. Operating expenses directly
attributable to a Fund or class of shares are charged to that Fund's or class'
operations. Expenses of each Fund not directly attributable to the operations of
any class of shares are prorated among the classes based on the relative average
net assets of each class of shares.
49
<PAGE> 52
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS.
Each of the Trust and the Company has, on behalf of its Funds, entered into an
Investment Advisory Agreement with NationsBanc Advisors, Inc. ("NBAI"), a
wholly-owned subsidiary of NationsBank, N.A., pursuant to which NBAI provides
investment advisory services to the Funds. Prior to January 1, 1996,
NationsBank, N.A. acted as investment adviser. The investment advisory fees
under the new Investment Advisory Agreements are the same as those under the
prior agreements.
Under the terms of these Investment Advisory Agreements, NBAI is entitled to
receive an advisory fee, on an annualized basis, at 0.60% of average daily net
assets of Nations Short-Term Income Fund, Nations Short-Intermediate Government
Fund, Nations Strategic Fixed Income Fund and Nations Diversified Income Fund;
and 0.65% of the average daily net assets up to $100 million, 0.55% of the
average daily net assets between $100 million and $250 million, and 0.50% of the
average daily net assets exceeding $250 million for Nations Government
Securities Fund.
The Trust and the Company and NBAI have entered into Sub-Advisory Agreements
with TradeStreet Investment Associates, Inc. ("TradeStreet"), a wholly-owned
subsidiary of NationsBank, N.A. Under the terms of these Sub-Advisory
Agreements, TradeStreet is entitled to receive from NBAI a sub-advisory fee for
each Fund at the annual rate of 0.15% of each Fund's average daily net assets.
Stephens Inc. ("Stephens") serves as the administrator of the Trust and the
Company pursuant to Administration Agreements. First Data Investor Services
Group, Inc., a wholly-owned subsidiary of First Data Corporation, serves as the
co-administrator of the Trust and the Company pursuant to Co-Administration
Agreements. Pursuant to the Administration and Co-Administration Agreements, the
administrator and the co-administrator are entitled to receive a combined fee,
computed daily and paid monthly, at the annual rate of 0.10% of average daily
net assets of the Trust and the Company and the investment portfolios of Nations
Fund Portfolios, Inc. (another registered open-end investment company which is
part of the Nations Fund Family) on a combined basis. NationsBank, N.A. serves
as the sub-administrator of the Trust and the Company pursuant to
Sub-Administration Agreements with Stephens. For the period ended March 31,
1996, Stephens earned $430,361 (after fee waivers) from the Funds for its
administration services of which $29,950 was paid to NationsBank, N.A.
The investment adviser, sub-adviser, administrator and co-administrator may,
from time to time, reduce their fees payable by each Fund (either voluntarily or
pursuant to applicable state limitations). For the period ended March 31, 1996,
the investment adviser voluntarily waived fees as follows:
<TABLE>
<CAPTION>
FEES WAIVED BY
ADVISER
-------------
<S> <C>
Nations Short-Term Income Fund....................................... $216,740
Nations Short-Intermediate Government Fund........................... 384,574
Nations Strategic Fixed Income Fund.................................. 294,244
Nations Government Securities Fund................................... 147,897
Nations Diversified Income Fund...................................... 57,340
</TABLE>
NationsBank of Texas, N.A., acts as the custodian for the Funds and, for the
period ended March 31, 1996, earned $110,237 for providing such services. First
Data Investor Services Group, Inc. serves as the transfer agent for the Funds'
shares. NationsBank of Texas, N.A. acts as the sub-transfer agent for the
Primary A Shares of the Funds and for the period ended March 31, 1996 earned
approximately $12,541 for providing such services.
Stephens acts as distributor of the Funds' shares. For the period ended March
31, 1996, the Funds were informed that the distributor received $7,693,
representing commissions (sales charges) on sales of Investor A Shares of the
Funds. For the period ended March 31, 1996, the Funds were informed that the
distributor received $391,062, in contingent deferred sales charges from
Investor C and Investor N Shares of the Funds. A substantial portion of these
fees are paid to affiliates of NationsBank, N.A.
No officer, director or employee of NBAI, TradeStreet, Stephens or First Data
Investor Services Group, Inc., or any affiliate thereof, receives any
compensation from the Trust or the Company for serving as a trustee, director or
officer of the Trust or the Company. The Trust and the Company pay each Trustee
or Director 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
50
<PAGE> 53
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
each telephonic board meeting attended. The Trust and the Company also reimburse
expenses incurred by each Trustee or Director in attending such meetings.
The Funds' eligible Trustees or Directors may participate in a nonqualified
deferred compensation plan and retirement plan 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 fund of the Company. The
expense for the deferred compensation plan is included in the
"Trustees'/Directors' fees and expenses" line of the Statements of Operations.
A summary of the above expenses is as follows:
<TABLE>
<CAPTION>
SUB SUB TRANSFER
ADMINISTRATION AGENT CUSTODIAN
ADVISORY ADMINISTRATION FEES(b) FEES(c) FEES(d)
FEES* FEES(a) (NATIONSBANK, (NATIONSBANK (NATIONSBANK
FUND (NBAI) (STEPHENS) N.A.) OF TEXAS, N.A.) OF TEXAS, N.A.)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NATIONS FUND TRUST
Nations Short-Term Income Fund........... $ 173,410 $ 39,093 $ 3,239 $ 1,946 $ 11,198
Nations Short-Intermediate Government
Fund................................... 619,149 100,569 8,100 1,946 25,439
Nations Strategic Fixed Income Fund...... 1,388,673 168,624 13,775 1,946 40,211
Nations Diversified Income Fund.......... 286,700 34,472 2,789 1,946 10,413
---------- ----------- ----------- ----------- ------------
2,467,932 342,758 27,903 7,784 87,261
---------- ----------- ----------- ----------- ------------
NATIONS FUND, INC.
Nations Government Securities Fund....... 468,579 57,653 2,047 4,757 22,976
---------- ----------- ----------- ----------- ------------
Total.................................... $2,936,511 $400,411 $ 29,950 $12,541 $ 110,237
========= =========== =========== =========== ===========
</TABLE>
- ---------------
* Advisory fees are shown net of waivers for the period ended March 31, 1996.
This amount includes fees paid to NationsBank, N.A. under the prior advisory
agreement.
(a) Represents the portion of the administration fees paid to Stephens Inc. for
the period ended March 31, 1996.
(b) Represents the sub-administration fees paid to NationsBank, N.A. for the
period ended March 31, 1996.
(c) Represents the sub-transfer agent fees paid to NationsBank of Texas, N.A.
for the period ended March 31, 1996.
(d) Represents the custodian fees paid to NationsBank of Texas, N.A. for the
period ended March 31, 1996.
3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS.
The Trust and the Company each have adopted shareholder servicing and
distribution plans pursuant to Rule 12b-1 under the 1940 Act for Investor A
Shares of each Fund ("Investor A Plan"), a shareholder servicing plan
("Servicing Plan") for Investor A Shares of Nations Short-Term Income Fund,
Investor C Shares and Investor N Shares of each Fund and a distribution plan
("Distribution Plan") pursuant to Rule 12b-1 under the 1940 Act for Investor C
Shares and Investor N Shares of each Fund. The Investor A Plan permits the Funds
to compensate (i) Servicing Agents and Selling Agents that have entered into a
servicing agreement with the Funds for services provided to their customers that
own Investor A Shares and (ii) Stephens for distribution-related expenses
incurred in connection with Investor A Shares. The Servicing Plan permits the
Funds to compensate Servicing Agents for services provided to their customers
that own Investor A Shares of Nations Short-Term Income Fund, Investor C Shares
and Investor N Shares, respectively. The Distribution Plan permits the Funds to
compensate or reimburse Stephens for any activities or expenses primarily
intended to result in the sale of the Funds' Investor C Shares or Investor N
Shares, respectively. Payments under the plans are accrued daily and paid
monthly at a rate set from time to time by the Funds. Fees paid pursuant to the
plans are charged as expenses of Investor A Shares, Investor C Shares and
Investor N Shares, respectively, of each Fund as accrued.
51
<PAGE> 54
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
For the period ended March 31, 1996, the effective rates paid by the Funds, as a
percentage of average daily net assets, pursuant to the plans are as follows:
<TABLE>
<CAPTION>
INVESTOR A INVESTOR C INVESTOR C INVESTOR N INVESTOR N
INVESTOR SERVICING DISTRIBUTION SERVICING DISTRIBUTION SERVICING
FUND A PLAN PLAN PLAN PLAN PLAN PLAN
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Nations Short-Term Income Fund......... 0.15% 0.05% 0.16% 0.19% 0.10% 0.25%
Nations Short-Intermediate Government
Fund................................. 0.20% -- 0.32% 0.18% 0.35% 0.25%
Nations Strategic Fixed Income Fund.... 0.20% -- 0.31% 0.19% 0.40% 0.25%
Nations Government Securities Fund..... 0.25% -- 0.61% 0.07% 0.40% 0.25%
Nations Diversified Income Fund........ 0.25% -- 0.38% 0.18% 0.50% 0.25%
</TABLE>
A substantial portion of the fees paid pursuant to the plans described above are
paid to affiliates of NationsBank, N.A. and NBAI.
4. PURCHASES AND SALES OF SECURITIES.
The aggregate cost of purchases and proceeds from sales of securities, excluding
U.S. government securities and short-term investments, for the period ended
March 31, 1996 was as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------------------------
<S> <C> <C>
Nations Short-Term Income Fund.............................. $ 25,794,093 $ 33,846,811
Nations Strategic Fixed Income Fund......................... 217,163,443 135,929,010
Nations Diversified Income Fund............................. 52,058,335 22,188,911
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
government securities for the period ended March 31, 1996 was as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------------------------
<S> <C> <C>
Nations Short-Term Income Fund.............................. $ 125,947,320 $105,915,805
Nations Short-Intermediate Government Fund.................. 1,017,185,856 966,742,775
Nations Strategic Fixed Income Fund......................... 926,386,449 958,161,296
Nations Government Securities Fund.......................... 243,892,804 219,615,311
Nations Diversified Income Fund............................. 68,652,756 93,296,113
</TABLE>
At March 31, 1996, aggregate gross unrealized appreciation and unrealized
depreciation for tax purposes was as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
---------------------------------
<S> <C> <C>
Nations Short-Term Income Fund.............................. $ 1,263,205 $ 1,092,306
Nations Short-Intermediate Government Fund.................. 1,486,344 6,423,665
Nations Strategic Fixed Income Fund......................... 759,208 16,002,820
Nations Government Securities Fund.......................... 517,973 2,272,758
Nations Diversified Income Fund............................. 1,137,433 3,794,150
</TABLE>
Information regarding dollar roll transactions for Nations Government Securities
Fund is as follows:
<TABLE>
<S> <C>
Maximum amount outstanding during the period................ $ 22,283,720
Average amount outstanding during the period................ 2,155,594
Average monthly shares outstanding during the period........ 11,792,140
Average debt per share outstanding during the period........ $0.18
</TABLE>
The average amount outstanding during the period was calculated by summing
borrowings at the end of each day and dividing the sum by the number of days in
the period ended March 31, 1996.
Fee income earned for the period ended March 31, 1996, by the Fund under dollar
roll transactions aggregated $28,256.
52
<PAGE> 55
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK.
As of March 31, 1996, an unlimited number of shares without par value were
authorized for the Trust and 270,000,000,000 shares of $.001 par value capital
stock were authorized for the Company. 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
Schedule of Capital Stock Activity.
6. ORGANIZATION COSTS.
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 the straight-line method over a period of five years from
commencement of operations. In the event that any of the shares issued by the
Funds to their sponsor prior to the commencement of the Funds' public offering
("initial shares") are redeemed during such amortization period by any holder
thereof, the Funds will be reimbursed by the holder for any unamortized
organization costs in the same proportion as the number of initial shares
redeemed bears to the number of initial shares outstanding at the time of
redemption. All such costs for Nations Government Securities Fund have been
fully amortized.
7. LINE OF CREDIT.
The Trust and the Company participate in a $25 million line of credit provided
by Mellon Bank, N.A. (the "Bank") under a Line of Credit Agreement (the
"Agreement") dated March 17, 1994. 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. Under the Agreement, each Fund may borrow up to the lesser of $10
million or 5% of its net assets. Interest on borrowings is payable either at the
higher of the Bank's Money Market Rate or the London Interbank Offered Rate
(LIBOR) plus 0.25% on an annualized basis. The Funds and the other affiliated
entities which are parties to the Agreement are charged an aggregate commitment
fee of 0.25% per annum on the amount of the line of credit. Each Fund is liable
only for that portion of any commitment with respect to such Fund and shall not
be liable for the portion of the commitment fee of any other fund. The Agreement
requires, among other things, that each participating Fund maintain a ratio of
net assets (not including funds borrowed pursuant to the Agreement) to aggregate
amount of indebtedness pursuant to the Agreement of no less than 4 to 1.
At March 31, 1996, there were no loans outstanding under this Agreement. During
the period ended March 31, 1996, the following Funds borrowed under this
Agreement:
<TABLE>
<CAPTION>
MAXIMUM AVERAGE AVERAGE INTEREST
AMOUNT AMOUNT AVERAGE DEBT RATE INTEREST
FUND OUTSTANDING OUTSTANDING SHARES PER SHARE HIGH LOW EXPENSE
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Nations Short-Term Income Fund.............. $ 100,000 $ 2,459 19,675,392 $0.00(a) 6.00% 5.70% $49
Nations Strategic Fixed Income Fund......... 500,000 4,098 82,571,919 0.00(a) 6.00 6.00 83
Nations Government Securities Fund.......... 500,000 1,639 11,792,140 0.00(a) 5.88 5.88 82
</TABLE>
- ---------------
(a) Amount represents less than $0.01 per share.
The average amount outstanding was calculated by adding the borrowings at the
end of each day and dividing the sum by the number of days in the period ended
March 31, 1996.
53
<PAGE> 56
NATIONS FUND
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
8. CAPITAL LOSS CARRYFORWARD.
At March 31, 1996, the following Funds had available for Federal income tax
purposes the following unused capital losses:
<TABLE>
<CAPTION>
LOSSES DEFERRED LOSSES DEFERRED
FUND EXPIRING IN 2002 EXPIRING IN 2003
------------------------------------------------------------------------------------------------------
<S> <C> <C>
Nations Short-Term Income Fund............................... $ 6,266,621 $ 650,652
Nations Short-Intermediate Government Fund................... 15,004,550 --
Nations Government Securities Fund........................... 2,565,227 6,633,456
</TABLE>
In connection with the acquisition of Nations Adjustable Rate Government Fund by
Nations Short-Intermediate Government Fund and Nations Managed Bond Fund by
Nations Strategic Fixed Income Fund, capital loss carryforwards of $2,761,731
and $4,015,691 were acquired of which $2,013,558 and $4,015,691 have been used
as of March 31, 1996, respectively.
In connection with the acquisition of Nations Mortgage-Backed Securities Fund,
by Nations Government Securities Fund capital loss carryforward of $2,759,301
was acquired of which $194,074 has been used as of March 31, 1996.
9. REORGANIZATION.
Each Acquiring Fund, as listed below, acquired the assets and certain
liabilities of the Acquired Fund, also listed below, in a tax-free exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders. Total shares issued by the Acquiring Fund, the
value of the shares issued by the Acquiring Fund, the total net assets of the
Acquired Fund and the Acquiring Fund and any unrealized
appreciation/(depreciation) included in the Acquired Fund's total net assets at
the acquisition date are as follows:
<TABLE>
<CAPTION>
SHARES VALUE OF TOTAL NET TOTAL NET
ISSUED BY SHARES ISSUED ASSETS OF ASSETS OF
ACQUIRING BY ACQUIRING ACQUIRED ACQUIRING
ACQUIRING FUND ACQUIRED FUND DATE FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Nations Short- Nations
Intermediate Adjustable Rate
Government Fund Government Fund 08/18/1995 9,091,328 $ 37,001,707 $ 37,001,707 $493,002,053
Nations Strategic
Fixed Income Nations Managed
Fund Bond Fund 09/22/1995 12,746,830 $127,527,088 $127,527,088 $671,853,768
Nations Nations
Government Mortgage-Backed
Securities Fund Securities Fund 11/17/1995 1,913,042 $ 18,401,388 $ 18,401,388 $109,473,874
<CAPTION>
TOTAL NET ACQUIRED
ASSETS OF FUND
ACQUIRING UNREALIZED
FUND AFTER APPRECIATION/
ACQUIRING FUND ACQUISITION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Nations Short-
Intermediate
Government Fund $530,016,851 $ (255,036)
Nations Strategic
Fixed Income
Fund $799,400,337 $4,348,554
Nations
Government
Securities Fund $127,875,262 $ 185,782
</TABLE>
54
<PAGE> 57
NATIONS FUND
- --------------------------------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS, DIRECTORS AND TRUSTEES OF NATIONS FUND
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Nations Short-Term Income Fund,
Nations Short-Intermediate Government Fund, Nations Strategic Fixed Income Fund,
Nations Government Securities Fund and Nations Diversified Income Fund
(collectively referred to as the "Funds") at March, 31, 1996, the results of
each of their operations, the changes in each of their net assets and the
financial highlights for the periods indicated, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1996 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
May 17, 1996
55
<PAGE> 58
NATIONS FUND
- --------------------------------------------------------------------------------
MEETING OF SHAREHOLDERS
On November 15, 1995, a Special Meeting of Shareholders of Nations
Mortgage-Backed Securities Fund was held. The purpose of the meeting was to
approve the merger of Nations Mortgage-Backed Securities Fund into Nations
Government Securities Fund. At the meeting, 5,705,995 votes were cast in favor
of the proposal, no votes were cast against the proposal and there were no
abstentions.
56
<PAGE> 59
THE NATIONS FUND FAMILY
EQUITY FUNDS
GROWTH
Nations Capital Growth Fund
Nations Disciplined Equity Fund
Nations Emerging Growth Fund
Nations Emerging Markets Fund
Nations Equity Index Fund
Nations International Equity Fund
Nations Pacific Growth Fund
GROWTH AND INCOME
Nations Balanced Assets Fund
Nations Equity Income Fund
Nations Value Fund
BOND FUNDS
INCOME
Nations Diversified Income Fund
Nations Global Government Income Fund
Nations Government Securities Fund
Nations Short-Intermediate Government Fund
Nations Short-Term Income Fund
Nations Strategic Fixed Income Fund
TAX-EXEMPT INCOME
Nations Florida Municipal Bond Fund
Nations Florida Intermediate Municipal Bond Fund
Nations Georgia Municipal Bond Fund
Nations Georgia Intermediate Municipal Bond Fund
Nations Maryland Municipal Bond Fund
Nations Maryland Intermediate Municipal Bond Fund
Nations North Carolina Municipal Bond Fund
Nations North Carolina Intermediate Municipal Bond Fund
Nations South Carolina Municipal Bond Fund
Nations South Carolina Intermediate Municipal Bond Fund
Nations Tennessee Municipal Bond Fund
Nations Tennessee Intermediate Municipal Bond Fund
Nations Texas Municipal Bond Fund
Nations Texas Intermediate Municipal Bond Fund
Nations Virginia Municipal Bond Fund
Nations Virginia Intermediate Municipal Bond Fund
Nations Municipal Income Fund
Nations Intermediate Municipal Bond Fund
Nations Short-Term Municipal Income Fund
MONEY MARKET FUNDS
Nations Government Money Market Fund
Nations Prime Fund
Nations Tax Exempt Fund
Nations Treasury Fund
<PAGE> 60
This report is submitted for the general information of shareholders of Nations
Fund. This material must be accompanied or preceded by a Nations Fund
prospectus.
<PAGE> 61
[NATIONS LOGO] BULK RATE
U.S. POSTAGE
P.O. Box 34602 PAID
Charlotte, NC 28234-4602 BOSTON, MA
Toll Free 1-800-982-2271 PERMIT NO.
54201
AR5IN-96120-596
