<PAGE> 1
[GRAPHIC: PHOTO COLLAGE OF BUILDINGS]
Nations
Short-Term
Income Fund
Nations
Short-Intermediate
Government Fund
Nations
Government
Securities Fund
Nations
Intermediate
Bond Fund
Nations
Strategic Fixed
Income Fund
Nations
U.S. Government
Bond Fund
Nations
Diversified
Income Fund
GOVERNMENT &
CORPORATE BOND FUNDS
Semiannual report for the period
ended September 30, 1999
Nations Funds
<PAGE> 2
This Report is submitted for the general information of shareholders of Nations
Funds. This material must be preceded or accompanied by a current Nations Funds
prospectus.
Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of
America N.A., is not a bank, and securities offered by it are not guaranteed by
any bank or insured by the FDIC. Stephens Inc., member NYSE, SIPC.
Nations Funds investment adviser: Banc of America Advisors, Inc.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
<PAGE> 3
PRESIDENTS'
MESSAGE
DEAR SHAREHOLDER:
We're rapidly approaching the end of the year, and
the end of the twentieth century. While we all look
forward to the beginning of the next century, let's
first take a look back at the last six months and
then we'll discuss how Nations Funds is positioned as
we head into the year 2000.
RIDING THE WAVES IN THE U.S.
The last six months offered a snapshot of what we
often refer to as market volatility. And when we say
market volatility, we mean the ups and downs of the
U.S. stock market. Basically, what went up in the
second quarter of the year fell right back down in
the third quarter. During the spring, we witnessed
another Dow Jones Industrial Average* milestone --
crossing the 11,000 mark -- and we saw a broadening
in the stock market, as value stocks and
small-company stocks came back into favor. This was a
change from the past few years where rallies have
been led by a narrow group of large-company stocks.
However, strong economic growth -- combined with
continued low inflation and low unemployment --
caused the Federal Reserve Board to raise interest
rates twice by a total of 0.50%. These rate hikes (on
June 30 and August 24) caused the markets to resemble
the rough surf of the Atlantic during one of our many
hurricanes this past summer. (In fact, Hurricane
Floyd actually shut down Wall Street in mid-September
with torrential rains and high winds.) At any rate,
the stock market, as represented by the Standard &
Poor's 500 Composite Stock Price Index (S&P 500)**,
finished the third quarter at 5.36% (year-to-date
through September 30, 1999), 10% off its August high,
with the average stock in the S&P 500 off 20% from
its high.
A BRIGHTER PICTURE OVERSEAS
International stock markets performed well in the
second quarter and actually outperformed the U.S. for
the first time in a number of years. The Morgan
Stanley Capital International (MSCI) Europe,
Australasia and Far East (EAFE) Index gained 4.4% in
the third quarter. A resurgent Japanese economy
helped to push international equity markets higher.
This is yet another example of the importance of
diversification. Investors investing exclusively in
the U.S. could miss out on opportunities overseas.
One way to ensure that your portfolio is properly
diversified is to seek the professional advice of an
investment professional. An investment professional
can help explain the additional risks involved in
international investing, as well as educate you on
the potential rewards that have historically come
from a diversified portfolio including international
investments.
* The Dow Jones Industrial Average is a
price-weighted index of 30 of the largest, most
widely held stocks traded on the New York Stock
Exchange. It is unmanaged and unavailable for
investment.
** The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500 widely held
common stocks. It is unavailable for investment.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
PRESIDENTS'
MESSAGE continued...
STAY THE COURSE
While the ride has been bumpy over the last six
months, we believe the best course of action for an
investor is to stay focused on your long-term goals
and remain invested. We understand that Y2K has been
on investors' minds for quite some time now. As most
Americans have come to realize, substantial efforts
have been made by companies in the U.S. and abroad to
try to ensure that the Y2K problem will be avoided.
Regardless, Y2K will come and go and those investors
that stick to their long-term goals, as history has
shown, stand a better chance of attaining them.
WHAT'S NEW AT NATIONS FUNDS
We've made some great strides during the past six
months and are poised to make Nations Funds a
stronger presence in the mutual fund industry in the
new year. We completed the largest merger in mutual
fund history on May 21 when we combined Pacific
Horizon Funds with Nations Funds. Combining these two
entities provides you with more investment choices
and a broader range of investment expertise. This is
part of our ongoing commitment to providing you with
the best products and services, and helping you
pursue a lifetime of financial goals.
In fact, our selection of mutual funds continued to
grow as we introduced Nations Strategic Equity Fund,
a large-company stock fund managed for tax
efficiency, on August 1. This fund is managed by Bank
of America Investment Management -- a Nations Funds
Manager of Distinction(SM).
We look forward to the opportunities ahead of us in
the new year and to making your investment experience
with Nations Funds a successful one. Should you have
any questions or comments on your semiannual report,
please contact your investment professional or call
us at 1.800.321.7854. You can also visit us online at
www.nations-funds.com.
Once again, thank you for being a part of the Nations
Funds family.
Sincerely,
/s/ A. Max Walker
A. Max Walker
President and Chairman of the Board
/s/ Robert H. Gordon
Robert H. Gordon
President, Banc of America Advisors, Inc.
September 30, 1999
<PAGE> 5
Table
of
contents
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
FINANCIAL STATEMENTS
Statements of net assets
- Nations Short-Term Income Fund 3
- Nations Short-Intermediate Government Fund 6
- Nations Government Securities Fund 8
- Nations Intermediate Bond Fund 12
- Nations Strategic Fixed Income Fund 13
- Nations U.S. Government Bond Fund 17
- Nations Diversified Income Fund 19
Statements of operations 22
Statements of changes in net assets 24
Schedules of capital stock activity 26
Financial highlights 34
Notes to financial statements 48
Statement of net assets -- Nations Master Investment Trust 55
- Nations Intermediate Bond Portfolio 55
Statement of operations 58
Statement of changes in net assets 59
Supplementary data 59
Notes to financial statements 60
</TABLE>
<TABLE>
<S> <C>
---------------------------------------------------------------------------------
NATIONS FUNDS [Dalbar Logo]
RECOGNIZED FOR
OUTSTANDING DALBAR, Inc., is a well-respected research firm
CUSTOMER SERVICE that measures customer service levels and
establishes benchmarks in the financial services
In recognition of our industry.
commitment to retail
shareholders through
consistently providing
superior customer service,
Nations Funds was awarded
DALBAR Key Honors in 1997
and 1998.
---------------------------------------------------------------------------------
</TABLE>
<PAGE> 6
THE NATIONS FUNDS FAMILY OF FUNDS
LOWER
RISK/
REWARD
POTENTIAL
MONEY
MARKET
FUNDS
Nations Prime Fund
Nations Government
Money Market Fund
Nations Treasury Fund
Nations Tax Exempt
Fund
FIXED
INCOME
FUNDS
INCOME FUNDS
Nations Diversified
Income Fund
Nations U.S. Government
Bond Fund
Nations Strategic
Fixed Income Fund
Nations Intermediate
Bond Fund
Nations Government
Securities Fund
Nations Short-
Intermediate
Government Fund
Nations Short-Term
Income Fund
TAX-EXEMPT
INCOME FUNDS
Nations Municipal
Income Fund
Nations State-Specific
Long-Term Municipal
Bond Funds (CA, FL, GA,
MD, NC, SC, TN, TX, VA)
Nations Intermediate
Municipal Bond Fund
Nations State-Specific
Intermediate Municipal
Bond Funds (FL, GA, MD,
NC, SC, TN, TX, VA)
Nations Short-Term
Municipal Income Fund
DOMESTIC
EQUITY
FUNDS
GROWTH FUNDS
Nations Small Company
Growth Fund
Nations Emerging
Growth Fund
Nations Marsico
Focused Equities Fund
Nations Disciplined
Equity Fund
Nations Capital
Growth Fund
Nations Strategic
Equity Fund
Nations Blue Chip Fund
GROWTH AND
INCOME FUNDS
Nations Marsico Growth
& Income Fund
Nations Equity
Income Fund
Nations Value Fund
Nations Asset
Allocation Fund
Nations Balanced
Assets Fund
Nations Capital
Income Fund
INTERNATIONAL
FUNDS
Nations Emerging
Markets Fund
Nations International
Growth Fund
Nations International
Equity Fund
Nations International
Value Fund
HIGHER
RISK/
REWARD
POTENTIAL
INDEX FUNDS
Nations Equity Index Fund
Nations Managed Index Fund
Nations Managed SmallCap Index Fund
Nations Managed SmallCap Value Index Fund
Nations Managed Value Index Fund
ASSET ALLOCATION PORTFOLIOS
Nations LifeGoal Balanced Growth Portfolio
Nations LifeGoal Growth Portfolio
Nations LifeGoal Income and Growth Portfolio
<PAGE> 7
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 23.6%
ASSET-BACKED -- AUTO LOANS -- 4.4%
$ 7,900 BankBoston RV Trust, Series 1997-1,
Class A-7,
6.480% 07/15/08...................... $ 7,896
10,400 Premier Auto Trust, Series 1997-2,
Class A-5,
6.320% 03/06/02...................... 10,406
--------
18,302
--------
ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 8.0%
7,000 Discover Card Master Trust, Series
1995-2, Class A,
6.550% 02/18/03...................... 7,033
5,000 Metris Master Trust, Series 1997-1,
Class B,
7.110% 10/20/05...................... 5,009
5,500 Prime Credit Card Master Trust, Series
1992-2, Class B2,
7.950% 11/15/02...................... 5,526
5,980 Sears Credit Account Master Trust,
Series 1998-1, Class A,
5.800% 08/15/05...................... 5,954
10,300 Spiegel Master Trust, Series 1995-A,
Class A,
7.500% 09/15/04...................... 10,382
--------
33,904
--------
ASSET-BACKED -- HOME EQUITY LOANS -- 7.4%
516 EQCC Home Equity Loan Trust, Series
1996-2, Class A2,
6.700% 09/15/08...................... 516
11,477 EQCC Home Equity Loan Trust, Series
1998-1, Class A4F,
6.459% 03/15/21...................... 11,345
12,000 GE Capital Mortgage Services, Inc.,
Series 1997-HE4, Class A3,
6.590% 12/25/12...................... 11,982
7,300 Residential Asset Securities
Corporation, Series 1999-KS1, Class
AI3,
6.110% 05/25/25...................... 7,123
--------
30,966
--------
ASSET-BACKED -- OTHER -- 3.8%
7,936 Fingerhut Master Trust, Series 1998-1,
Class B,
6.290% 02/15/05...................... 7,902
8,000 First Sierra Receivables, Series
1999-1, Class A4,
5.730% 09/15/04...................... 7,802
--------
15,704
--------
TOTAL ASSET-BACKED SECURITIES
(Cost $99,778)....................... 98,876
--------
CORPORATE BONDS AND NOTES -- 58.6%
BANKING AND FINANCE -- 8.6%
4,000 Banco Latinoamericano SA
7.400% 09/21/01...................... 3,998
7,000 First Chicago NBD Corporation, Sr.
Notes,
6.250% 07/21/00...................... 7,001
5,050 First Maryland Bancorp,
8.375% 05/15/02...................... 5,241
5,125 Golden State Holdings, Escrow
Corporation,
7.000% 08/01/03...................... 4,922
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
BANKING AND FINANCE -- (CONTINUED)
$ 4,000 Popular, Inc., MTN,
6.375% 09/15/03...................... $ 3,909
5,750 Union Planters National Bank, Notes,
6.470% 10/29/99...................... 5,754
5,000 Wells Fargo Company,
6.500% 09/03/02...................... 4,980
--------
35,805
--------
BROKERAGE SERVICES -- 12.7%
6,000 Bear Stearns Company, Inc.,
6.450% 08/01/02...................... 5,943
4,500 Donaldson Lufkin and Jenrette,
5.875% 04/01/02...................... 4,406
6,000 Goldman Sachs Group LP,
7.125% 03/01/03(+)................... 6,063
4,000 Lehman Brothers Holdings, Inc.,
6.500% 07/18/00...................... 4,001
6,700 Lehman Brothers Holdings, Inc.,
6.200% 01/15/02...................... 6,594
7,000 Morgan Stanley Dean Witter and Company,
7.580% 06/11/01...................... 7,136
3,000 Morgan Stanley Dean Witter and Company,
MTN,
6.090% 03/09/11...................... 2,997
8,800 Paine Webber Group, Inc.,
7.700% 02/11/00...................... 8,832
7,000 Salomon Smith Barney Holdings, Inc.,
6.650% 07/15/01...................... 7,020
--------
52,992
--------
ENERGY -- 3.0%
5,505 Coastal Corporation,
10.000% 02/01/01..................... 5,740
6,750 PDV America, Inc., Gtd. Sr. Notes,
7.750% 08/01/00...................... 6,676
--------
12,416
--------
ENTERTAINMENT -- 3.1%
8,000 Paramount Communications, Sr. Notes,
7.500% 01/15/02...................... 8,102
5,100 Time Warner, Pass-Thru,
6.100% 12/30/01(+)................... 5,072
--------
13,174
--------
FINANCIAL SERVICES -- 11.9%
3,500 American General Finance, MTN,
6.520% 06/23/00...................... 3,511
7,100 Aristar, Inc., Notes,
6.125% 12/01/00...................... 7,060
7,390 AT&T Capital Corporation,
6.875% 01/16/01...................... 7,400
6,500 Finova Capital Corporation,
6.250% 08/15/00...................... 6,492
1,500 Ford Motor Credit Company, MTN,
5.670% 02/15/01...................... 1,491
5,300 General Motors Acceptance Corporation,
7.000% 08/15/01...................... 5,367
3,250 General Motors Acceptance Corporation,
MTN,
6.700% 04/30/01...................... 3,262
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<PAGE> 8
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- (CONTINUED)
$ 7,000 Heller Financial, Inc.,
5.750% 09/25/01...................... $ 6,877
8,230 Sears Roebuck Acceptance Corporation,
6.860% 10/02/01...................... 8,282
--------
49,742
--------
HEALTHCARE -- 1.2%
5,600 HEALTHSOUTH Corporation, Sr. Notes,
6.875% 06/15/05...................... 5,009
--------
INDUSTRIAL -- 6.4%
7,000 Comdisco, Inc.,
6.130% 08/01/01...................... 6,951
6,525 Comdisco, Inc., MTN,
6.500% 06/15/00...................... 6,542
8,000 J. Seagram and Sons,
6.250% 12/15/01...................... 7,890
5,500 Waste Management Inc.,
7.700% 10/01/02...................... 5,338
--------
26,721
--------
INSURANCE -- 1.2%
5,000 Aon Corporation,
7.400% 10/01/02...................... 5,095
--------
MEDIA -- 1.2%
5,000 News America Holdings,
8.625% 02/01/03...................... 5,216
--------
PROFESSIONAL SERVICES -- 0.8%
4,000 Service Corporation International,
6.000% 12/15/05...................... 3,519
--------
RETAIL -- FOOD -- 0.7%
3,000 Safeway, Inc.,
5.875% 11/15/01...................... 2,947
--------
TRANSPORTATION -- 4.1%
10,100 ERAC USA Finance Company,
7.500% 06/15/03(+)................... 10,289
3,786 Hertz Corporation,
7.000% 04/15/01...................... 3,807
3,000 Ryder System, Inc., MTN,
7.320% 11/01/00...................... 3,023
--------
17,119
--------
UTILITIES -- DIVERSIFIED -- 2.6%
8,299 Columbia Gas System, Series A,
6.390% 11/28/00...................... 8,268
2,500 Transcontinental Gas Pipeline,
8.875% 09/15/02...................... 2,634
--------
10,902
--------
UTILITIES -- GAS & ELECTRIC -- 1.1%
4,750 Consumers Energy Company,
6.375% 09/15/03...................... 4,598
--------
TOTAL CORPORATE
BONDS AND NOTES
(Cost $247,600)...................... 245,255
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 5.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
CERTIFICATES -- 0.2%
$ 604 5.500% 07/01/01........................ $ 598
235 7.500% 09/01/01........................ 237
--------
835
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
CERTIFICATES -- 2.8%
1,163 6.000% 06/01/01........................ 1,155
6,780 6.000% 11/01/03........................ 6,624
533 6.000% 05/01/04........................ 526
598 6.500% 08/01/04........................ 595
2,126 6.000% 11/01/04........................ 2,084
807 7.500% 11/01/09........................ 819
--------
11,803
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- 2.0%
8,174 6.375% 04/20/22........................ 8,274
--------
RESIDENTIAL ACCREDITED LOANS (REMIC) -- 0.1%
286 6.750% 09/25/27........................ 285
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $21,419)....................... 21,197
--------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 9.2%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) --
5.0%
6,000 4.750% 12/14/01........................ 5,845
8,000 5.500% 05/15/02........................ 7,876
7,000 5.750% 07/15/03........................ 6,873
--------
20,594
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) --
4.2%
12,000 5.375% 03/15/02........................ 11,801
6,000 5.750% 04/15/03........................ 5,902
--------
17,703
--------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $38,354)....................... 38,297
--------
U.S. TREASURY OBLIGATIONS -- 0.6%
(Cost $2,502)
U.S. TREASURY NOTES -- 0.6%
2,500 5.625% 12/31/99........................ 2,502
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE> 9
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
- ------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 2.3% (Cost $9,728)
9,728 Nations Cash Reserves#.................. $ 9,728
--------
TOTAL INVESTMENTS
(Cost $419,381*)............... 99.4% 415,855
--------
OTHER ASSETS AND
LIABILITIES (NET).............. 0.6%
Cash.................................... $ 1
Receivable for investment securities
sold.................................. 8,314
Receivable for Fund shares sold......... 469
Interest receivable..................... 5,239
Prepaid expenses........................ 4
Payable for Fund shares redeemed........ (694)
Investment advisory fee payable......... (69)
Administration fee payable.............. (76)
Shareholder servicing and distribution
fees payable.......................... (10)
Dividends payable....................... (1,991)
Payable for investment securities
purchased............................. (8,274)
Accrued Trustees'/Directors' fees and
expenses.............................. (21)
Accrued expenses and other
liabilities........................... (214)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)................................. 2,678
--------
NET ASSETS....................... 100.0% $418,533
========
NET ASSETS CONSIST OF:
Distributions in excess of net
investment income..................... $ (3)
Accumulated net realized loss on
investments sold...................... (7,233)
Net unrealized depreciation of
investments........................... (3,526)
Paid-in capital......................... 429,295
--------
NET ASSETS.............................. $418,533
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
- ------------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share
($400,117,384 / 41,496,929 shares
outstanding).......................... $9.64
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price per
share ($13,656,722 / 1,416,353 shares
outstanding).......................... $9.64
-----
-----
Maximum sales charge.................... 1.00%
Maximum offering price per share........ $9.74
INVESTOR B SHARES:
Net asset value and offering price per
share+ ($3,461,224 / 358,949 shares
outstanding).......................... $9.64
-----
-----
INVESTOR C SHARES:
Net asset value and offering price per
share+ ($1,297,466 / 134,541 shares
outstanding).......................... $9.64
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $222 and gross depreciation
of $3,748 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $419,381.
(+) 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.
+ The redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
ABBREVIATIONS:
MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE> 10
NATIONS FUNDS
Nations Short-Intermediate Government Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 40.9%
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.8%
$ 297 Vendee Mortgage Trust, Series 1993-1,
Class D,
7.000% 11/15/12....................... $ 297
4,330 Vendee Mortgage Trust, Series 1994-3A,
Class 1H,
6.500% 12/15/01....................... 4,339
--------
4,636
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
CERTIFICATES -- 4.4%
1,500 6.000% 11/15/10......................... 1,497
1,191 5.500% 10/15/19......................... 1,185
7,711 7.000% 12/01/25......................... 7,595
15,823 7.000% 07/01/29......................... 15,564
--------
25,841
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
CERTIFICATES -- 21.8%
6,296 6.500% 08/01/00......................... 6,289
1,000 5.500% 12/25/00......................... 992
160 6.250% 12/25/05......................... 159
3,455 6.150% 03/01/08......................... 3,323
12,828 6.270% 06/01/08......................... 12,413
4,012 8.000% 12/01/09......................... 4,113
14,547 7.000% 11/01/13......................... 14,544
7,839 6.000% 12/01/13......................... 7,549
4,898 9.000% 04/01/16......................... 5,201
8,020 8.500% 04/01/17......................... 8,335
2,731 6.500% 04/01/26......................... 2,633
18,407 6.500% 03/01/28......................... 17,654
1,589 7.000% 10/01/28......................... 1,562
1,398 7.000% 10/01/28......................... 1,375
1,527 7.000% 11/01/28......................... 1,501
3,820 7.000% 12/01/28......................... 3,755
2,079 7.000% 12/01/28......................... 2,046
36,498 6.500% 06/01/29......................... 35,007
--------
128,451
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- 11.0%
6,980 6.375% 04/20/22......................... 7,058
6,257 7.500% 02/15/24......................... 6,300
5,661 7.500% 04/15/24......................... 5,700
2,247 7.500% 04/15/26......................... 2,257
8,466 7.000% 01/16/28......................... 8,324
14,767 5.500% 06/20/29......................... 14,629
20,960 6.500% 07/15/29......................... 20,042
--------
64,310
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION II (GNMA)
CERTIFICATES -- 2.9%
$17,000 6.000% 10/01/29......................... $ 16,997
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost: $243,207)...................... 240,235
--------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 32.4%
FEDERAL FARM CREDIT BANK (FFCB) -- 0.3%
1,000 4.750% 12/01/99......................... 999
1,000 6.100% 12/29/00......................... 1,000
--------
1,999
--------
FEDERAL HOME LOAN BANK (FHLB) -- 6.6%
1,000 5.650% 04/07/00......................... 999
38,000 5.125% 04/17/01......................... 37,478
--------
38,477
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) --
25.5%
40,000 5.980% 02/10/03......................... 39,063
25,000 5.750% 04/15/03......................... 24,590
30,000 5.125% 02/13/04......................... 28,584
39,000 5.880% 03/25/04......................... 37,836
20,000 6.650% 11/14/07......................... 19,456
--------
149,529
--------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $192,258)....................... 190,005
--------
U.S. TREASURY OBLIGATIONS -- 19.4%
U.S. TREASURY NOTES -- 19.4%
60,000 5.000% 04/30/01......................... 59,446
10,000 5.750% 06/30/01......................... 10,014
16,000 6.625% 06/30/01......................... 16,248
22,000 7.250% 05/15/04......................... 23,196
5,000 6.000% 08/15/09......................... 5,041
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $114,600)....................... 113,945
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE> 11
NATIONS FUNDS
Nations Short-Intermediate Government Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
- ------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 24.0%
(Cost $140,583)
140,583 Nations Cash Reserves#................. $140,583
--------
TOTAL INVESTMENTS
(Cost $690,648*).............. 116.7% 684,768
--------
OTHER ASSETS AND
LIABILITIES (NET)............. (16.7)%
Receivable for investment securities
sold................................. $ 1,690
Receivable for Fund shares sold........ 876
Interest receivable.................... 6,574
Prepaid expenses....................... 7
Collateral on securities loaned........ (76,827)
Payable for Fund shares redeemed....... (2,753)
Investment advisory fee payable........ (140)
Administration fee payable............. (107)
Shareholder servicing and distribution
fees payable......................... (24)
Due to custodian....................... (361)
Dividends payable...................... (2,633)
Payable for investment securities
purchased............................ (23,961)
Accrued Trustees'/Directors' fees and
expenses............................. (34)
Accrued expenses and other
liabilities.......................... (184)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET).................... (97,877)
--------
NET ASSETS...................... 100.0% $586,891
========
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold..................... $(21,616)
Net unrealized depreciation of
investments.......................... (5,880)
Paid-in capital........................ 614,387
--------
NET ASSETS............................. $586,891
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
- ------------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($524,720,568 / 131,055,712 shares
outstanding)......................... $4.00
-----
-----
PRIMARY B SHARES:
Net asset value, offering and
redemption price per share
($196,600 / 49,107 shares
outstanding)......................... $4.00
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price
per share ($51,305,900 / 12,820,514
shares
outstanding).........................
$4.00
-----
-----
Maximum sales charge................... 3.25%
Maximum offering price per share....... $4.13
INVESTOR B SHARES:
Net asset value and offering price per
share+ ($9,692,074 / 2,420,637 shares
outstanding)......................... $4.00
-----
-----
INVESTOR C SHARES:
Net asset value and offering price per
share+ ($975,521 / 244,253 shares
outstanding)......................... $3.99
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $880 and gross depreciation
of $6,760 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $690,648.
+ The redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 7). The portion that represents cash collateral is
$76,827.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE> 12
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 0.7%
ASSET-BACKED -- OTHER -- 0.7%
(Cost: $1,455)
$ 1,455 Export Funding Trust, Series 1995-A,
Class A,
8.210% 12/29/06...................... $ 1,537
--------
MORTGAGE-BACKED SECURITIES -- 92.7%
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.4%
550 Asset Securitization Corporation,
Series 1997-D5, Class A1C,
6.750% 02/14/41...................... 534
2,925 Commercial Mortgage Asset Trust, Series
1999-C1, Class A1,
6.250% 08/17/06...................... 2,855
700 CS First Boston Mortgage Securities
Corporation, Series 1998-C1, Class
A1B, 6.480% 05/17/08................. 668
725 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.410% 05/10/08...................... 689
2,248 First Union-Chase Commercial Mortgage,
Series 1999-C2, Class A2,
6.645% 04/15/09...................... 2,176
180 First Union-Lehman Brothers-Bank of
America Commercial Mortgage, Series
1998-C2, Class A2,
6.560% 11/18/08...................... 174
237 GMAC Commercial Mortgage Securities
Inc., Series 1992-C2, Class A1,
6.570% 09/15/33...................... 233
650 Mortgage Capital Funding, Inc., Series
1998-MC2, Class A2,
6.423% 05/18/08...................... 623
50,108 Vendee Mortgage Trust, Series 1998-1,
Class 2, IO,
.454%** 10/01/99..................... 861
44,842 Vendee Mortgage Trust, Series 1998-3,
Class 1, IO,
.314%** 10/01/99..................... 617
--------
9,430
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
CERTIFICATES -- 10.0%
120 6.500% 03/01/00........................ 120
24 10.000% 07/01/01....................... 24
363 8.500% 09/01/01........................ 365
245 9.000% 02/01/02........................ 251
1,021 10.000% 05/01/05....................... 1,064
284 8.500% 01/01/06........................ 292
229 8.000% 08/01/07........................ 234
127 8.500% 02/01/08........................ 131
123 8.500% 03/01/08........................ 126
39 7.500% 08/01/08........................ 39
576 6.500% 01/01/09........................ 570
300 9.000% 05/01/09........................ 311
107 8.000% 09/01/09........................ 110
54 9.000% 12/01/16........................ 56
52 8.500% 03/01/17........................ 55
51 8.000% 05/01/17........................ 52
15 8.500% 06/01/17........................ 16
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC)
CERTIFICATES -- (CONTINUED)
$ 7 8.500% 06/01/17........................ $ 7
68 9.500% 04/01/18........................ 71
37 10.000% 09/01/18....................... 39
808 9.500% 01/01/19........................ 858
31 9.500% 06/01/20........................ 33
1,680 8.500% 09/01/20........................ 1,754
6 9.500% 09/01/20........................ 7
98 9.500% 06/01/21........................ 104
10,776 6.500% 09/15/25........................ 10,540
400 7.000% 05/01/29........................ 393
3,997 7.000% 08/01/29........................ 3,932
--------
21,554
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
CERTIFICATES -- 41.0%
351 6.000% 05/01/01........................ 349
4 8.500% 11/01/01........................ 4
550 7.000% 11/01/02........................ 553
286 7.000% 07/01/03........................ 287
129 8.000% 04/01/06........................ 131
2,472 6.135% 08/01/08........................ 2,370
238 7.500% 08/01/08........................ 242
11,908 5.950% 01/01/09........................ 11,267
39 8.250% 04/01/09........................ 40
49 8.250% 04/01/09........................ 51
5,581 6.300% 05/01/09........................ 5,392
128 7.500% 06/01/09........................ 130
94 8.000% 06/01/09........................ 96
253 8.500% 12/01/11........................ 262
275 6.000% 11/01/13........................ 265
6,804 6.565% 07/01/16........................ 6,638
143 9.000% 12/01/16........................ 147
42 8.500% 02/01/17........................ 44
522 10.000% 04/01/20....................... 563
27 8.500% 07/01/21........................ 28
3,702 9.500% 07/01/21........................ 3,955
1,775 6.990% 06/01/23........................ 1,768
864 9.000% 09/01/24........................ 907
7,000 6.000% 07/01/27........................ 6,529
2,090 6.750% 03/18/28........................ 2,023
3,941 7.500% 10/01/28........................ 3,954
4,994 5.500% 02/01/29........................ 4,512
9,862 6.000% 02/01/29........................ 9,199
4,993 5.500% 03/01/29........................ 4,511
17,720 6.500% 03/01/29........................ 16,995
5,000 7.500% 09/01/29........................ 5,017
391 7.291%** 08/01/36...................... 397
--------
88,626
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- 37.3%
8 10.500% 08/15/00....................... 8
10 10.500% 08/15/00....................... 10
15 10.500% 08/15/00....................... 15
1 10.500% 08/15/00....................... 1
12 11.750% 09/15/00....................... 12
36 10.500% 10/15/00....................... 36
2 10.500% 10/15/00....................... 2
2 10.500% 10/15/00....................... 2
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE> 13
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- (CONTINUED)
$ 14 10.500% 10/15/00....................... $ 15
19 10.500% 11/15/00....................... 19
17 10.500% 11/15/00....................... 18
5 10.500% 11/15/00....................... 5
4 10.000% 12/15/00....................... 4
9 10.500% 12/15/00....................... 9
1 10.500% 12/15/00....................... 1
4 10.500% 12/15/00....................... 4
13 10.500% 12/15/00....................... 14
15 11.750% 12/15/00....................... 15
3 10.500% 01/15/01....................... 3
11 10.500% 01/15/01....................... 12
5 10.500% 01/15/01....................... 5
9 10.500% 01/15/01....................... 9
11 10.500% 01/15/01....................... 11
4 10.500% 01/15/01....................... 4
5 10.500% 01/15/01....................... 5
3 10.500% 01/15/01....................... 3
3 10.000% 02/15/01....................... 3
4 10.500% 02/15/01....................... 4
14 10.500% 02/15/01....................... 14
1 10.500% 02/15/01....................... 1
2 9.500% 02/20/01........................ 2
14 9.500% 03/15/01........................ 14
7 9.500% 03/15/01........................ 7
2 9.500% 03/15/01........................ 2
1 10.000% 03/15/01....................... 1
4 10.500% 03/15/01....................... 4
1 10.500% 03/15/01....................... 1
5 11.000% 03/15/01....................... 5
6 9.500% 03/20/01........................ 6
4 9.500% 04/15/01........................ 4
25 10.000% 04/15/01....................... 26
21 10.000% 04/15/01....................... 22
7 9.500% 04/20/01........................ 7
5 10.000% 05/15/01....................... 5
20 9.500% 05/20/01........................ 21
10 9.000% 06/15/01........................ 10
7 9.500% 07/15/01........................ 7
25 9.000% 08/15/01........................ 25
10 9.000% 08/15/01........................ 10
11 9.500% 08/15/01........................ 11
12 9.500% 09/20/01........................ 12
27 9.500% 09/20/01........................ 28
37 9.500% 11/20/01........................ 38
29 9.000% 02/20/02........................ 30
22 9.500% 08/15/02........................ 23
18 9.500% 08/15/02........................ 18
17 9.500% 10/15/02........................ 17
5 10.500% 03/15/03....................... 5
15 9.500% 10/15/03........................ 16
21 9.500% 10/20/03........................ 22
11 10.000% 11/15/03....................... 11
7 9.500% 01/15/04........................ 8
42 9.500% 03/15/04........................ 44
3 10.000% 03/15/04....................... 3
64 9.500% 04/15/04........................ 68
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- (CONTINUED)
$ 38 9.500% 04/20/04........................ $ 40
8 9.500% 05/15/04........................ 9
37 10.000% 05/15/04....................... 39
7 10.000% 06/15/04....................... 8
6 10.000% 06/15/04....................... 7
5 10.000% 06/15/04....................... 5
42 9.500% 08/20/04........................ 44
13 9.500% 06/15/05........................ 13
28 10.000% 08/15/05....................... 29
56 10.000% 09/15/05....................... 59
28 9.500% 11/15/05........................ 29
14 9.500% 02/15/06........................ 15
89 9.500% 04/20/06........................ 93
35 9.000% 06/15/07........................ 37
75 7.000% 02/15/09........................ 76
14 7.000% 02/15/09........................ 14
155 8.500% 10/15/09........................ 162
324 6.000% 12/15/10........................ 314
3 13.000% 01/15/11....................... 4
27 13.000% 02/15/11....................... 31
7 13.000% 02/15/11....................... 9
15 13.000% 04/15/11....................... 17
5 10.000% 03/15/12....................... 6
1 11.000% 11/15/15....................... 1
10 11.000% 12/15/15....................... 11
3 10.000% 10/15/17....................... 3
10 10.000% 12/15/17....................... 10
10 10.500% 01/15/18....................... 11
1 10.500% 03/15/18....................... 1
15 9.000% 06/15/18........................ 15
35 10.500% 07/15/18....................... 39
1 11.000% 08/15/18....................... 1
8 10.500% 10/15/18....................... 9
7 10.000% 11/15/18....................... 8
5 10.000% 11/15/18....................... 6
6 10.000% 12/15/18....................... 7
8 10.000% 03/15/19....................... 9
15 10.000% 04/15/19....................... 16
11 11.000% 07/20/19....................... 12
35 11.000% 08/15/19....................... 39
18 11.000% 09/20/19....................... 20
8 10.000% 11/15/19....................... 8
3 10.000% 04/15/20....................... 3
31 10.000% 06/15/20....................... 34
18 10.500% 08/15/20....................... 20
27 11.000% 10/20/20....................... 30
72 10.000% 11/15/20....................... 79
13 10.500% 12/15/20....................... 14
95 10.500% 12/15/20....................... 104
9 10.500% 12/15/20....................... 10
54 10.500% 01/15/21....................... 59
21 10.500% 01/15/21....................... 23
15 10.000% 03/15/21....................... 16
35 10.500% 04/15/21....................... 39
31 8.500% 07/15/21........................ 32
72 8.500% 12/15/21........................ 75
1,652 8.500% 01/15/22........................ 1,722
153 8.500% 01/15/22........................ 159
161 7.500% 04/15/22........................ 162
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE> 14
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- (CONTINUED)
$ 1,261 8.000% 06/15/22........................ $ 1,292
69 8.500% 07/15/22........................ 72
224 8.000% 08/15/22........................ 229
97 8.500% 09/15/22........................ 101
147 8.500% 10/15/22........................ 153
65 8.500% 12/15/22........................ 68
521 8.000% 02/15/23........................ 534
269 7.000% 06/15/23........................ 266
478 7.500% 10/15/23........................ 482
566 7.500% 10/15/23........................ 570
3,665 7.000% 12/15/23........................ 3,619
134 7.500% 07/15/25........................ 134
1,795 7.500% 08/15/25........................ 1,805
21 7.500% 10/15/25........................ 21
289 7.500% 10/15/25........................ 291
359 7.500% 12/15/25........................ 361
1,129 7.500% 12/15/25........................ 1,135
1,587 8.000% 07/15/26........................ 1,624
887 9.000% 03/15/27........................ 930
5,000 6.000% 12/23/27........................ 4,641
4,064 7.000% 03/15/28........................ 3,990
12,000 6.500% 01/15/29........................ 11,479
4,995 6.500% 01/15/29........................ 4,778
17,000 6.500% 01/15/29........................ 16,262
1,500 8.500% 02/20/29........................ 1,555
4,990 6.000% 07/15/29........................ 4,634
2,992 6.000% 07/15/29........................ 2,779
3,996 6.500% 08/15/29........................ 3,823
7,994 7.500% 08/15/29........................ 8,027
--------
80,319
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $201,702)........................ 199,929
--------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS -- 4.9%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 0.3%
650 9.500% 01/01/29........................ 689
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 4.6%
5,000 6.960% 09/05/12........................ 4,924
5,000 6.875% 09/24/12........................ 4,894
--------
9,818
--------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $11,130)......................... 10,507
--------
U.S. TREASURY OBLIGATIONS -- 0.6%
U.S. TREASURY STRIPS -- 0.6%
(Cost $1,337)
5,000 Interest only 02/15/20................. 1,334
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
SHORT TERM INVESTMENTS -- 5.6%
FEDERAL HOME LOAN BANK (FHLB) -- 3.3%
$ 7,000 Discount note 10/12/99................. $ 6,989
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 2.3%
5,000 Discount note 10/21/99................. 4,985
--------
TOTAL SHORT TERM INVESTMENTS
(Cost $11,975)....................... 11,974
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- ------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 0.8% (Cost
$1,709)
1,709 Nations Cash Reserves#.................. 1,709
--------
TOTAL INVESTMENTS
(Cost $229,308*)............... 105.3% 226,990
--------
OTHER ASSETS AND LIABILITIES
(NET).......................... (5.3)%
Receivable for investment securities
sold.................................. $ 97
Receivable for Fund shares sold......... 392
Interest receivable..................... 1,266
Miscellaneous receivables............... 120
Prepaid expenses........................ 10
Payable for Fund shares redeemed........ (718)
Investment advisory fee payable......... (71)
Administration fee payable.............. (39)
Shareholder servicing and distribution
fees payable.......................... (45)
Due to custodian........................ (39)
Dividends payable....................... (1,084)
Payable for investment securities
purchased............................. (11,229)
Accrued Trustees'/Directors' fees and
expenses.............................. (16)
Accrued expenses and other
liabilities........................... (67)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)................................. (11,423)
--------
NET ASSETS....................... 100.0% $215,567
========
NET ASSETS CONSIST OF:
Distributions in excess of net
investment income..................... $ (386)
Accumulated net realized loss on
investments sold...................... (15,313)
Net unrealized depreciation of
investments........................... (2,318)
Paid-in capital......................... 233,584
--------
NET ASSETS.............................. $215,567
========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE> 15
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
- ------------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share
($116,404,756 / 12,242,796 shares
outstanding).......................... $9.51
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price
per share ($67,212,350 / 7,076,923
shares outstanding)................... $9.50
-----
-----
Maximum sales charge.................... 4.75%
Maximum offering price per share........ $9.97
INVESTOR B SHARES:
Net asset value and offering price per
share+ ($31,664,403 / 3,330,239 shares
outstanding).......................... $9.51
-----
-----
INVESTOR C SHARES:
Net asset value and offering price per
share+ ($285,290 / 30,119 shares
outstanding).......................... $9.47
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $913 and gross depreciation
of $3,231 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $229,308.
** Variable rate note. The interest rate shown reflects the rate in effect at
September 30, 1999.
+ The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE> 16
NATIONS FUNDS
Nations Intermediate Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
- ------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 100.6%
(Cost $92,259)
Nations Master Investment Trust,
Intermediate Bond Portfolio*............ $90,422
-------
TOTAL INVESTMENTS
(Cost $92,259)................... 100.6% 90,422
-------
OTHER ASSETS AND
LIABILITIES (NET)................ (0.6)%
Shareholder servicing and distribution
fees payable............................ $ (26)
Dividends payable......................... (493)
Accrued Trustees'/Directors' fees and
expenses................................ (4)
Accrued expenses and other liabilities.... (18)
-------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)....................... (541)
-------
NET ASSETS......................... 100.0% $89,881
=======
NET ASSETS CONSIST OF:
Distributions in excess of net investment
income.................................. $ (39)
Accumulated net realized loss on
investments sold........................ (1,104)
Net unrealized depreciation of
investments............................. (1,837)
Paid-in capital........................... 92,861
-------
NET ASSETS................................ $89,881
=======
</TABLE>
<TABLE>
<CAPTION>
VALUE
- ------------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and redemption
price per share ($9,980,870 / 1,071,769
shares outstanding)..................... $9.31
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price per
share ($49,344,969 / 5,292,331 shares
outstanding)............................ $9.32
-----
-----
Maximum sales charge...................... 3.25%
Maximum offering price per share.......... $9.63
INVESTOR C SHARES:
Net asset value and offering price per
share+ ($57 / 6 shares outstanding)..... $9.44
-----
-----
SEAFIRST SHARES:
Net asset value, offering and redemption
price per share ($30,554,848 / 2,887,670
shares outstanding)+.................... $10.58
------
------
</TABLE>
- ---------------
* The financial statements of the Intermediate Bond Master Portfolio, including
its portfolio of investments, are included elsewhere within this report and
should be read in conjunction with the Intermediate Bond Fund's financial
statements.
+ The redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 17
NATIONS FUNDS
Nations Strategic Fixed Income Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 9.9%
ASSET-BACKED -- AUTO LOANS -- 3.4%
$ 25,000 Distribution Financial Services RV
Trust, Series 1999-1, Class A4,
5.84% 04/15/09..................... $ 24,727
10,000 Ford Credit Auto Owner Trust, Series
1997-B, Class CTFS,
6.65% 04/15/03..................... 9,991
15,000 Ford Credit Auto Owner Trust, Series
1998-A, Class B,
5.95% 10/15/02..................... 14,794
11,625 Premier Auto Trust, Series 1998-1,
Class B, 5.92% 10/06/04............ 11,425
----------
60,937
----------
ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 3.1%
20,000 Metris Master Trust, Series 1996-1,
Class B,
6.80% 02/20/02..................... 20,019
15,000 Metris Master Trust, Series 1997-1,
Class B,
7.11% 10/20/05..................... 15,028
10,000 Prime Credit Card Master Trust,
Series 1992-2, Class B2,
7.95% 11/15/02..................... 10,047
10,000 World Financial Network Credit Card
Master Trust, Series 1996-B, Class
A,
6.95% 04/15/06..................... 10,144
----------
55,238
----------
ASSET-BACKED -- HOME EQUITY LOANS -- 3.4%
9,682 Amresco Residential Securities
Mortgage Loan Trust, Series 1996-2,
Class A1,
7.43% 05/25/27..................... 9,641
12,417 First Alliance Mortgage Loan Trust,
Series 1994-2, Class A1,
7.63% 07/25/25..................... 12,551
7,500 First Plus Home Loan Trust, Series
1997-3, Class A4,
6.80% 03/10/12..................... 7,491
15,300 First Plus Home Loan Trust, Series
1997-4, Class A4,
6.57% 04/10/13..................... 15,290
16,500 IMC Home Equity Loan Trust, Series
1997-7, Class A3,
6.54% 11/20/12..................... 16,381
46 The Money Store Home Equity Trust,
Series 1993-D, Class A2,
5.07% 02/15/18..................... 46
----------
61,400
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $179,506).................... 177,575
----------
CORPORATE BONDS AND NOTES -- 30.3%
AEROSPACE AND DEFENSE -- 0.7%
12,500 Raytheon Company,
6.75% 08/15/07..................... 12,049
----------
AUTOMOBILE PARTS MANUFACTURERS -- 0.7%
13,635 Delphi Automotive Systems
Corporation,
6.13% 05/01/04..................... 13,113
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
BANKING AND FINANCE -- 9.5%
$ 20,000 Banponce Financial Corporation, MTN,
6.55% 10/10/00..................... $ 20,025
10,000 Capital One Bank,
6.65% 03/15/04..................... 9,734
11,975 Chase Manhattan Corporation,
5.75% 04/15/04..................... 11,461
12,500 FCB/NC Capital Trust I, Gtd. Notes,
8.05% 03/01/28..................... 11,596
25,000 Goldman Sachs Group, LP,
6.63% 12/01/04(+).................. 24,726
17,450 Heller Financial, Inc.,
6.00% 03/19/04..................... 16,731
19,500 Lehman Brothers Holdings Inc.,
6.63% 04/01/04..................... 19,023
18,175 Newcourt Credit Group Inc.,
6.88% 02/16/05(+).................. 17,731
15,000 Salomon Smith Barney Holdings,
6.25% 05/15/03..................... 14,658
15,000 Union Planters Capital Trust,
8.20% 12/15/26..................... 14,663
8,500 Wilmington Trust Corporation,
6.63% 05/01/08..................... 7,940
----------
168,288
----------
BEVERAGES -- 0.9%
17,000 J. Seagram & Sons, Inc.,
6.63% 12/15/05..................... 16,271
----------
ELECTRIC POWER -- 0.9%
18,250 Dominion Capital Trust I,
7.83% 12/01/27..................... 16,622
----------
ENERGY -- 1.1%
21,200 PDV America Inc., Gtd. Sr. Notes,
7.88% 08/01/03..................... 19,709
----------
ENTERTAINMENT -- 1.5%
25,000 Time Warner Inc.,
8.11% 08/15/06..................... 26,298
----------
FINANCIAL SERVICES -- 2.5%
16,000 Bear Stearns Companies Inc.,
6.65% 12/01/04..................... 15,655
2,800 DaimlerChrysler NA Holdings,
6.90% 09/01/04..................... 2,809
18,000 Ford Motor Credit Company,
5.75% 02/23/04..................... 17,281
10,000 Paine Webber Group Inc., MTN,
7.30% 10/15/03..................... 10,051
----------
45,796
----------
GAS -- 0.4%
7,000 Williams Companies, Inc.,
6.50% 08/01/06..................... 6,688
----------
HEALTHCARE -- 1.0%
19,750 HEALTHSOUTH Corporation, Sr. Notes,
6.88% 06/15/05..................... 17,666
----------
INDUSTRIAL -- 4.2%
10,000 Blount Inc.,
7.00% 06/15/05..................... 8,425
13,000 Comdisco, Inc.,
6.13% 08/01/01..................... 12,908
11,675 Georgia-Pacific Corporation,
9.88% 11/01/21..................... 12,723
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 18
NATIONS FUNDS
Nations Strategic Fixed Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
INDUSTRIAL -- (CONTINUED)
$ 17,180 Tyco International Group SA,
6.38% 06/15/05..................... $ 16,601
18,000 USA Waste Services Inc.,
7.00% 07/15/28..................... 14,109
10,818 Xerox Capital Trust I, Gtd. Notes,
8.00% 02/01/27..................... 10,232
----------
74,998
----------
INSURANCE -- 0.5%
10,000 Liberty Mutual, Notes,
7.88% 10/15/26(+).................. 9,736
----------
MEDIA -- 0.9%
18,360 British Sky Broadcasting Group plc,
6.88% 02/23/09..................... 16,627
----------
OIL -- DOMESTIC -- 1.1%
19,300 Occidental Petroleum Corporation,
7.65% 02/15/06..................... 19,419
----------
RETAIL -- FOOD -- 0.7%
13,000 Safeway Inc.,
7.00% 09/15/07..................... 12,435
----------
TELECOMMUNICATIONS -- 0.8%
15,500 GTE Corporation,
6.60% 09/22/05..................... 15,254
----------
TRANSPORTATION -- 1.9%
15,750 ERAC USA Finance Company,
6.95% 03/01/04(+).................. 15,476
19,500 ERAC USA Finance Company,
6.63% 02/15/05(+).................. 18,793
----------
34,269
----------
UTILITIES -- TELEPHONE -- 1.0%
19,630 Sprint Capital Corporation,
5.70% 11/15/03..................... 18,745
----------
TOTAL CORPORATE BONDS AND NOTES
(Cost $565,599).................... 543,983
----------
FOREIGN BONDS AND NOTES -- 4.4%
17,500 AB Spintab,
7.50%** 08/14/49(+)................ 16,695
12,000 Abbey National plc,
7.35%** 10/29/49................... 11,641
20,000 Banco Latinoamericano,
7.20%** 05/28/02(+)................ 19,842
10,000 Bank of Scotland,
7.00%** 11/29/49(+)................ 9,212
10,000 Enterprise Oil plc,
6.70% 09/15/07..................... 9,449
13,000 Skandinaviska Enskilda, FRN,
8.13%** 09/06/49(+)................ 12,748
----------
TOTAL FOREIGN BONDS AND NOTES
(Cost $84,546)..................... 79,587
----------
MORTGAGE-BACKED SECURITIES -- 47.2%
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 16.8%
24,150 Commercial Mortgage Asset Trust,
Series 1999-C1, Class A3,
6.64% 09/17/10..................... 23,068
31,260 CS First Boston Mortgage Securities
Corporation, Series 1998-C1, Class
A1B, 6.48% 05/17/08................ 29,823
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
COMMERCIAL MORTGAGE-BACKED
SECURITIES -- (CONTINUED)
$ 20,000 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.41% 05/10/08..................... $ 19,011
30,000 DLJ Commercial Mortgage Corporation,
Series 1999-CG1, Class A1B1,
6.46% 01/10/09..................... 28,701
6,100 DLJ Commercial Mortgage Corporation,
Series 1999-CG2, Class A1B,
7.30% 06/10/09..................... 6,148
31,000 GMAC Commercial Mortgage Securities
Inc., Series 1998-C2, Class A2,
6.42% 08/15/08..................... 29,657
30,000 GMAC Commercial Mortgage Securities
Inc., Series 1999-C1, Class A2,
6.18% 05/15/33..................... 27,935
109,248 JP Morgan Commercial Mortgage Finance
Corporation, Series 1997-C4, Class
X,
1.29%** 10/25/99................... 6,388
13,150 JP Morgan Commercial Mortgage Finance
Corporation, Series 1999-C7, Class
A2,
6.51% 10/15/35..................... 12,651
31,706 Morgan Stanley Capital Trust I,
Series 1999-WF1, Class A2,
6.21% 09/15/08..................... 29,880
30,000 Nomura Asset Securities Corporation,
Series 1998-D6, Class A1B,
6.59% 03/17/28..................... 28,871
30,000 Prudential Securities Secured
Financing Corporation, Series
1999-NRF1, Class A2,
6.48% 01/15/09..................... 28,623
31,000 Prudential Securities Secured
Financing Corporation, Series
1998-C1, Class A1B, 6.51%
07/15/08........................... 29,765
----------
300,521
----------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 2.5%
0 9.00% 04/01/01++................... 0
1 9.00% 06/01/01..................... 1
51 9.00% 01/01/05..................... 52
306 8.00% 11/01/09..................... 314
171 8.00% 04/01/10..................... 176
317 6.50% 04/01/11..................... 312
20,802 7.00% 06/01/11..................... 20,890
1,036 6.50% 11/01/11..................... 1,019
263 6.50% 10/01/12..................... 258
2,084 8.50% 11/01/26..................... 2,158
431 7.00% 12/01/26..................... 424
19,778 7.00% 07/01/28..................... 19,453
----------
45,057
----------
FEDERAL HOUSING AUTHORITY (FHA)
CERTIFICATES -- 1.5%
1,500 6.75% 01/01/40..................... 1,396
7,613 6.75% 01/01/40..................... 7,082
1,967 6.85% 01/01/40..................... 1,847
4,076 7.00% 01/01/40..................... 3,865
2,340 7.00% 01/01/40..................... 2,219
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE> 19
NATIONS FUNDS
Nations Strategic Fixed Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
FEDERAL HOUSING AUTHORITY (FHA)
CERTIFICATES -- (CONTINUED)
$ 2,548 6.85% 02/01/40..................... $ 2,392
1,752 6.53% 10/01/40....................... 1,600
8,044 6.53% 10/01/40....................... 7,345
----------
27,746
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 16.1%
42,516 6.50% 08/01/13....................... 41,744
9,582 6.50% 04/01/26....................... 9,238
44,883 6.50% 03/01/29....................... 43,049
129,994 7.00% 09/01/29....................... 127,740
27,000 7.50% 09/01/29....................... 27,076
39,260 8.00% 10/15/29....................... 40,057
----------
288,904
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- 10.3%
1 11.00% 07/15/00...................... 1
5 11.00% 11/15/00...................... 5
3,543 6.55% 03/15/01....................... 3,264
1,086 6.55% 03/15/01....................... 1,001
10,363 6.75% 09/15/01....................... 9,662
1,802 6.75% 09/15/01....................... 1,680
3,581 6.60% 11/15/01....................... 3,313
2,718 6.60% 11/15/01....................... 2,515
8,446 8.00% 12/01/09....................... 8,658
2 13.00% 01/15/11...................... 2
18 13.00% 01/15/11...................... 20
7 13.00% 01/15/11...................... 8
10 13.00% 02/15/11...................... 12
2,967 7.00% 10/01/11....................... 2,967
20,353 6.50% 03/01/13....................... 19,997
17,237 6.50% 04/01/13....................... 16,924
6 8.00% 05/15/17....................... 7
168 8.00% 05/15/17....................... 172
126 9.00% 07/15/17....................... 132
7,062 8.00% 11/01/23....................... 7,227
21,155 7.50% 12/15/23....................... 21,322
1,854 8.50% 02/15/25....................... 1,930
20,592 6.50% 09/01/27....................... 19,770
18,503 6.50% 05/15/28....................... 17,700
28,077 7.00% 07/15/28....................... 27,567
19,465 7.50% 07/20/28....................... 19,472
----------
185,328
----------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $876,891).................... 847,556
----------
U.S. TREASURY OBLIGATIONS -- 3.2%
U.S. TREASURY STRIPS -- 3.2%
55,000 Interest only 08/15/19............... 15,061
148,000 Principal only 11/15/21.............. 35,912
40,000 Principal only 02/15/27.............. 7,382
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $65,196)..................... 58,355
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- -----------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 11.7%
(Cost $209,760)
209,760 Nations Cash Reserves#............ $ 209,760
----------
TOTAL INVESTMENTS
(Cost $1,981,498*)....... 106.7% 1,916,816
----------
OTHER ASSETS AND
LIABILITIES (NET)........ (6.7)%
Receivable for investment
securities sold................. $ 8,004
Receivable for Fund shares sold... 4,302
Interest receivable............... 16,702
Prepaid expenses.................. 7
Collateral on securities loaned... (58,090)
Payable for Fund shares
redeemed........................ (1,635)
Investment advisory fee payable... (588)
Administration fee payable........ (324)
Shareholder servicing and
distribution fees payable....... (30)
Due to custodian.................. (8,079)
Dividends payable................. (8,936)
Payable for investment securities
purchased....................... (70,495)
Accrued Trustees'/Directors' fees
and expenses.................... (58)
Accrued expenses and other
liabilities..................... (789)
----------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)........................... (120,009)
----------
NET ASSETS................. 100.0% $1,796,807
==========
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold................ $ (8,540)
Net unrealized depreciation of
investments..................... (64,682)
Paid-in capital................... 1,870,029
----------
NET ASSETS........................ $1,796,807
==========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE> 20
NATIONS FUNDS
Nations Strategic Fixed Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
- -----------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($1,760,908,967 / 184,850,097
shares outstanding)............. $9.53
-----
-----
INVESTOR A SHARES:
Net asset value and redemption
price per share
($28,187,410 / 2,958,874 shares
outstanding).................... $9.53
-----
-----
Maximum sales charge.............. 3.25%
Maximum offering price per
share........................... $9.85
INVESTOR B SHARES:
Net asset value and offering price
per share+ ($6,395,768 / 671,395
shares outstanding)............. $9.53
-----
-----
INVESTOR C SHARES:
Net asset value and offering price
per share+ ($1,315,293 / 138,068
shares outstanding)............. $9.53
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $534 and gross depreciation
of $65,216 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $1,981,498.
** Variable rate note. The interest rate shown reflects the rate in effect at
September 30, 1999.
(+) 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.
+ The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
++ Amount represents less than $500.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 7). The portion that represents cash collateral is
$58,090.
ABBREVIATIONS:
FRN -- Floating Rate Note
MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE> 21
NATIONS FUNDS
Nations U.S. Government Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 25.7%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 5.5%
$ 5,538 6.00% 09/01/13....................... $ 5,334
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 15.7%
4,741 6.00% 03/01/13....................... 4,565
6,802 6.00% 03/01/13....................... 6,550
531 6.00% 05/01/13....................... 511
3,809 6.00% 11/01/28....................... 3,553
--------
15,179
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 4.5%
2 7.50% 09/15/07....................... 2
2,356 7.50% 04/15/29....................... 2,366
1,841 7.50% 04/15/29....................... 1,848
138 8.00% 07/15/29....................... 141
--------
4,357
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $25,421)....................... 24,870
--------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 26.1%
FEDERAL HOME LOAN BANK (FHLB) -- 2.7%
2,750 5.13% 09/15/03....................... 2,637
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 17.6%
8,245 5.75% 07/15/03....................... 8,096
9,505 5.75% 04/15/08....................... 8,952
--------
17,048
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 2.8%
3,000 5.25% 01/15/09....................... 2,709
--------
INTER-AMERICAN DEVELOPMENT BANK -- 3.0%
2,900 Inter-American Development Bank,
5.13% 02/22/01....................... 2,863
--------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $26,193)....................... 25,257
--------
U.S. TREASURY OBLIGATIONS -- 38.9%
U.S. TREASURY BONDS -- 27.3%
10,640 8.00% 11/15/21....................... 12,569
13,820 6.13% 08/15/29....................... 13,955
--------
26,524
--------
U.S. TREASURY NOTES -- 5.5%
860 6.50% 08/15/05....................... 881
4,865 4.75% 11/15/08....................... 4,428
--------
5,309
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY STRIPS -- 6.1%
$ 8,500 Principal only 08/15/05................ $ 5,951
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $39,194)....................... 37,784
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- -------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 27.6%
(Cost $26,755)
26,755 Nations Cash Reserves#............... $ 26,755
--------
TOTAL INVESTMENTS
(Cost $117,563*).......... 118.3% 114,666
--------
OTHER ASSETS AND
LIABILITIES (NET)......... (18.3)%
Receivable for investment securities
sold............................... $ 1,378
Receivable for Fund shares sold...... 673
Interest receivable.................. 1,358
Prepaid expenses..................... 6
Collateral on securities loaned...... (19,101)
Payable for Fund shares redeemed..... (390)
Investment advisory fee payable...... (43)
Administration fee payable........... (18)
Shareholder servicing and
distribution fees payable.......... (48)
Due to custodian..................... (36)
Dividends payable.................... (397)
Payable for investment securities
purchased.......................... (1,052)
Accrued Trustees'/Directors' fees
and expenses....................... (11)
Accrued expenses and other
liabilities........................ (44)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET).................. (17,725)
--------
NET ASSETS.................. 100.0% $ 96,941
========
NET ASSETS CONSIST OF:
Undistributed net investment
income............................. $ 24
Accumulated net realized loss on
investments sold................... (2,350)
Net unrealized depreciation of
investments........................ (2,897)
Paid-in capital...................... 102,164
--------
NET ASSETS........................... $ 96,941
========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE> 22
NATIONS FUNDS
Nations U.S. Government Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
- ----------------------------------------------------------
<C> <S> <C> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($84,463,228 / 8,691,018 shares
outstanding)....................... $9.72
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price
per share ($2,585,289 / 266,034
shares outstanding)................ $9.72
-----
-----
Maximum sales charge................. 4.75%
Maximum offering price per share..... $10.20
INVESTOR B SHARES:
Net asset value and offering price
per share+ ($8,630,445 / 888,143
shares outstanding)................ $9.72
-----
-----
INVESTOR C SHARES:
Net asset value and offering price
per share+ ($1,262,217 / 129,881
shares outstanding)................ $9.72
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $30 and gross depreciation
of $2,927 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $117,563.
+ The redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 7). The portion that represents cash collateral is
$19,101.
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE> 23
NATIONS FUNDS
Nations Diversified Income Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 0.2%
ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%@
$ 4 Prudential Mortgage Capital Trust,
11.625% 12/15/13..................... $ 4
--------
ASSET-BACKED -- OTHER -- 0.2%
400 Pemex Finance Ltd., Series 1998-1A,
Class A1,
5.720% 11/15/03(+)................... 392
--------
TOTAL ASSET-BACKED SECURITIES
(Cost $404).......................... 396
--------
CORPORATE BONDS AND NOTES -- 84.5%
AEROSPACE AND DEFENSE -- 3.5%
4,350 Lockheed Martin Corporation,
7.750% 04/15/23...................... 4,069
2,000 Lockheed Martin Corporation,
7.750% 05/01/26...................... 1,951
2,500 Raytheon Company,
7.000% 11/01/28...................... 2,249
--------
8,269
--------
APPAREL AND TEXTILES -- 0.6%
1,625 Westpoint Stevens Inc.,
7.875% 06/15/05...................... 1,519
--------
AUTOMOBILE PARTS MANUFACTURERS -- 1.3%
3,350 Federal-Mogul Corporation,
7.500% 07/01/04...................... 3,205
--------
BANKING AND FINANCE -- 12.1%
2,500 Capital One Bank,
6.700% 05/15/08...................... 2,328
1,000 Comerica Bank,
8.375% 07/15/24...................... 1,016
3,500 FCB/NC Capital Trust I, Gtd. Notes,
8.050% 03/01/28...................... 3,247
2,500 First Union Institutional Capital I,
8.040% 12/01/26...................... 2,420
4,275 Golden State Holdings, Escrow
Corporation,
7.000% 08/01/03...................... 4,105
500 MCN Investment Corporation,
6.890% 01/16/02...................... 493
1,000 Midland Bank plc,
7.625% 06/15/06...................... 1,025
3,925 Popular, Inc., MTN,
6.375% 09/15/03...................... 3,836
5,560 Washington Mutual Inc.,
8.206% 02/01/27...................... 5,395
2,715 Western Financial Savings Bank, Sub.
Deb.,
8.500% 07/01/03...................... 2,448
2,750 Wilmington Trust Corporation,
6.625% 05/01/08...................... 2,569
--------
28,882
--------
BEVERAGES -- 1.0%
2,500 J Seagram & Sons,
7.500% 12/15/18...................... 2,394
--------
BROKERAGE SERVICES -- 5.8%
2,500 Lehman Brothers Inc.,
11.625% 05/15/05..................... 2,987
2,500 Merrill Lynch & Company,
6.000% 02/17/09...................... 2,282
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
BROKERAGE SERVICES -- (CONTINUED)
$3,300 Morgan Stanley Finance plc, Gtd. Sub.
Deb.,
8.030%** 02/28/17.................... $ 3,330
5,120 Paine Webber Group Inc., Sr. Notes,
7.625% 10/15/08...................... 5,152
--------
13,751
--------
CHEMICALS -- SPECIALTY -- 1.5%
3,110 Equistar Chemicals, L.P.,
8.500% 02/15/04...................... 3,117
400 Praxair, Inc.,
6.750% 03/01/03...................... 397
--------
3,514
--------
CONTAINERS AND PACKAGING -- 3.3%
4,500 BWAY Corporation, Sr. Sub. Notes,
10.250% 04/15/07..................... 4,523
3,350 Owens-Illinois, Inc.,
7.850% 05/15/04...................... 3,340
--------
7,863
--------
ELECTRIC POWER -- 4.6%
3,000 CMS Energy Corporation,
8.125% 05/15/02...................... 3,007
500 Consumers Energy Company,
6.200% 05/01/03...................... 483
2,775 Dominion Capital Trust I,
7.830% 12/01/27...................... 2,527
3,402 Niagara Mohawk Power Company,
7.250% 10/01/02...................... 3,427
1,000 Pacific Gas & Electric Company,
7.880% 04/08/14...................... 1,049
400 PSEG Capital Corporation,
6.740% 10/23/01...................... 400
--------
10,893
--------
ENERGY -- 6.5%
3,210 Barrett Resources Corporation, Sr.
Notes,
7.550% 02/01/07...................... 3,046
2,000 Occidental Petroleum Corporation, Sr.
Deb.,
10.125% 09/15/09..................... 2,319
3,635 Occidental Petroleum Corporation, Sr.
Deb.,
9.250% 08/01/19...................... 4,012
5,430 PDV America Inc., Gtd. Sr. Notes,
7.875% 08/01/03...................... 5,048
1,125 PDV America, Inc., Gtd. Sr. Notes,
7.750% 08/01/00...................... 1,113
--------
15,538
--------
ENTERTAINMENT -- 4.9%
4,190 News America Holdings Inc., Gtd. Deb.,
10.125% 10/15/12..................... 4,611
2,660 Time Warner Inc.,
9.125% 01/15/13...................... 2,986
1,500 Viacom Inc.,
8.250% 08/01/22...................... 1,487
2,750 Viacom Inc.,
7.500% 07/15/23...................... 2,462
--------
11,546
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 24
NATIONS FUNDS
Nations Diversified Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES -- 3.3%
$4,150 AT & T Capital Corporation,
6.600% 05/15/05...................... $ 4,000
1,000 Commercial Credit Company,
7.875% 02/01/25...................... 1,047
3,110 Household Finance Corporation,
5.875% 02/01/09...................... 2,798
--------
7,845
--------
FOREST AND PAPER PRODUCTS -- 1.8%
450 Fort James Corporation,
8.375% 11/15/01...................... 464
4,200 Georgia - Pacific Group,
7.250% 06/01/28...................... 3,832
--------
4,296
--------
GAS -- 1.4%
3,300 Louis Dreyfus Natural Gas Corporation,
Sr. Sub. Notes,
9.250% 06/15/04...................... 3,341
--------
HEALTHCARE -- 2.8%
3,475 Healthsouth Corporation,
7.000% 06/15/08...................... 2,989
3,755 Tenet Healthcare, Inc.,
7.875% 01/15/03...................... 3,633
--------
6,622
INDUSTRIAL -- 8.3%
3,450 Alaris Medical Systems,
9.750% 12/01/06...................... 3,200
3,245 Allied Waste North America, Inc.,
7.625% 01/01/06...................... 2,925
1,650 American Standard Inc.,
7.375% 04/15/05...................... 1,559
3,805 Blount Inc.,
7.000% 06/15/05...................... 3,205
400 Case Credit Corporation,
6.125% 02/15/03...................... 386
3,700 Coltec Industries Inc.,
7.500% 04/15/08...................... 3,649
2,600 Fisher Scientific International, Sr.
Notes,
7.125% 12/15/05...................... 2,360
2,500 Waste Management, Inc.,
6.500% 12/15/02...................... 2,337
--------
19,621
--------
INSURANCE -- 3.5%
2,500 Aon Capital Trust,
8.205% 01/01/27...................... 2,472
3,000 Conseco Finance Trust III,
8.796% 04/01/27...................... 2,698
500 Hartford Life, Inc.,
6.900% 06/15/04...................... 499
2,620 Jefferson-Pilot Capital Trust B,
8.285% 03/01/46(+)................... 2,535
--------
8,204
--------
MACHINERY AND EQUIPMENT -- 0.2%
375 Thermo Electron Corporation,
7.625% 10/30/08...................... 359
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
MEDIA -- 4.9%
$ 425 A.H. Belo Corporation,
6.875% 06/01/02...................... $ 421
2,500 British Sky Broadcasting Group Plc,
8.200% 07/15/09...................... 2,476
500 Cox Radio, Inc.,
6.250% 05/15/03...................... 486
3,505 Lenfest Communications, Inc.,
10.500% 06/15/06..................... 3,961
4,735 PRIMEDIA Inc.,
7.625% 04/01/08...................... 4,285
--------
11,629
--------
MEDICAL PRODUCTS AND SUPPLIES -- 0.9%
2,355 Beckman Coulter,
7.450% 03/04/08...................... 2,189
--------
MISCELLANEOUS -- 0.3%
719 Allied Signal,
9.065% 06/01/33...................... 820
--------
PROFESSIONAL SERVICES -- 1.0%
2,650 Service Corporation International,
6.000% 12/15/05...................... 2,331
--------
REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2%
500 Homeside Lending, Inc.,
6.200% 05/15/03...................... 485
--------
RETAIL -- SPECIALTY -- 0.4%
1,000 JC Penney Company, Inc.,
6.500% 12/15/07...................... 895
--------
TELECOMMUNICATIONS -- 5.9%
2,500 CSC Holdings, Inc.,
8.125% 07/15/09...................... 2,516
4,675 GTE Corporation,
7.900% 02/01/27...................... 4,580
2,000 Jones Intercable Inc., Sr. Notes,
9.625% 03/15/02...................... 2,125
4,500 Rogers Cablesystems Limited, Deb.,
10.000% 12/01/07..................... 4,792
--------
14,013
--------
TRANSPORTATION -- 3.5%
4,025 ERAC USA Finance Company,
6.625% 02/15/05(+)................... 3,879
3,950 Federal Express Corporation, Notes,
9.650% 06/15/12...................... 4,421
--------
8,300
--------
UTILITIES -- TELEPHONE -- 1.0%
2,500 LCI International, Inc.,
7.250% 06/15/07...................... 2,458
--------
TOTAL CORPORATE BONDS AND NOTES
(Cost $209,303)...................... 200,782
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 25
NATIONS FUNDS
Nations Diversified Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
FOREIGN BONDS AND NOTES -- 2.6%
$ 375 Banco Latinoamericano,
7.200%** 05/28/02(+)................. $ 372
2,500 Corp Andina De Fomento,
7.750% 03/01/04...................... 2,499
4,500 United Mexican States, Senior Notes,
6.250% 12/31/19...................... 3,307
--------
TOTAL FOREIGN BONDS AND NOTES
(Cost $6,126)........................ 6,178
--------
MORTGAGE-BACKED SECURITIES -- 1.1%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
CERTIFICATES -- 1.1%
(Cost $2,659)
2,755 5.625% 05/14/04........................ 2,673
--------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 3.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 3.0%
(Cost: $7,151)
7,920 5.250% 01/15/09........................ 7,153
--------
U.S. TREASURY OBLIGATIONS -- 4.2%
U.S. TREASURY BONDS -- 4.2%
7,285 9.125% 05/15/09........................ 8,137
1,000 10.625% 08/15/15....................... 1,411
295 8.125% 05/15/21........................ 352
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $10,173)...................... 9,900
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- ------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 9.4%
(Cost $22,329)
22,329 Nations Cash Reserves#................ 22,329
--------
TOTAL INVESTMENTS
(Cost $258,145*)............. 105.0% 249,411
--------
OTHER ASSETS AND LIABILITIES
(NET) (5.0)%
Receivable for investment securities
sold................................ $ 7,977
Receivable for Fund shares sold....... 300
Interest receivable................... 5,488
Prepaid expenses...................... 9
Collateral on securities loaned....... (18,680)
Payable for Fund shares redeemed...... (324)
Investment advisory fee payable....... (64)
Administration fee payable............ (43)
Shareholder servicing and distribution
fees payable........................ (102)
Due to custodian...................... (13)
Dividends payable..................... (1,311)
Payable for investment securities
purchased........................... (4,948)
Accrued Trustees'/Directors' fees and
expenses............................ (22)
Accrued expenses and other
liabilities......................... (169)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... (11,902)
--------
NET ASSETS..................... 100.0% $237,509
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
- ----------------------------------------------------------
- ------
<C> <S> <C> <C>
NET ASSETS CONSIST OF:
Undistributed net investment income... $ 14
Accumulated net realized loss on
investments sold.................... (10,084)
Net unrealized depreciation of
investments......................... (8,734)
Paid-in capital....................... 256,313
--------
NET ASSETS............................ $237,509
========
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($136,243,316 / 13,932,592 shares
outstanding)........................ $9.78
-----
-----
INVESTOR A SHARES:
Net asset value and redemption price
per share ($34,915,867 / 3,573,144
shares outstanding)................. $9.77
-----
-----
Maximum sales charge.................. 4.75%
Maximum offering price per share...... $10.26
INVESTOR B SHARES:
Net asset value and offering price per
share+ ($64,830,366 / 6,630,536
shares outstanding)................. $9.78
-----
-----
INVESTOR C SHARES:
Net asset value and offering price per
share+ ($1,519,792 / 155,555 shares
outstanding)........................ $9.77
-----
-----
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $521 and gross depreciation
of $9,255 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $258,145.
** Variable rate note. The interest rate shown reflects the rate in effect at
September 30, 1999.
(+) 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.
+ The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
@ Amount represents less than 0.1%.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc. A
portion of this amount represents cash collateral received from securities
lending activity (Note 7). The portion that represents cash collateral is
$18,680.
ABBREVIATIONS:
MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 26
NATIONS FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
For the six months ended September 30, 1999
<TABLE>
SHORT-
SHORT-TERM INTERMEDIATE GOVERNMENT
INCOME GOVERNMENT SECURITIES
------------------------------------------------------------------------
<S> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Interest...................................... $ 13,077 $ 18,202 $ 7,019
Interest allocated from Portfolio+............ -- -- --
Dividends..................................... -- -- --
Dividends allocated from Portfolio+........... -- -- --
Securities lending income..................... -- 93 17
Expenses allocated from Portfolio+............ -- -- --
Fees waived by investment advisor............. -- -- --
------------------- ------------------- -------------------
Total investment income................... 13,077 18,295 7,036
------------------- ------------------- -------------------
EXPENSES:
Investment advisory fee....................... 787 1,169 540
Administration fee............................ 408 601 208
Transfer agent fees........................... 93 143 38
Custodian fees................................ 20 30 22
Legal and audit fees.......................... 46 48 40
Registration and filing fees.................. 23 29 24
Trustees'/Directors' fees and expenses........ 8 8 8
Interest expense.............................. -- -- --*
Other......................................... 36 64 --
------------------- ------------------- -------------------
Subtotal.................................. 1,421 2,092 880
Shareholder servicing and distribution fees:
Primary B Shares............................ -- 1 --
Investor A Shares........................... 18 68 73
Investor B Shares........................... 22 50 155
Investor C Shares........................... 6 5 3
Seafirst Shares............................. -- -- --
------------------- ------------------- -------------------
Total expenses............................ 1,467 2,216 1,111
Fees waived by investment advisor and/or
distributor................................. (332) (236) (125)
Fees reduced by credits allowed by the
custodian................................... (1) (3) (2)
------------------- ------------------- -------------------
Net expenses.............................. 1,134 1,977 984
------------------- ------------------- -------------------
NET INVESTMENT INCOME......................... 11,943 16,318 6,052
------------------- ------------------- -------------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) on investments....... (1,559) (9,249) (6,950)
Net realized gain/(loss) on investments
allocated from Portfolio+................... -- -- --
Net change in unrealized
appreciation/(depreciation) of
investments................................. (4,680) (5,276) (1,025)
Net change in unrealized
appreciation/(depreciation) of investments
allocated from Portfolio+................... -- -- --
------------------- ------------------- -------------------
Net realized and unrealized gain/(loss) on
investments................................. (6,239) (14,525) (7,975)
------------------- ------------------- -------------------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................... $ 5,704 $ 1,793 $ (1,923)
=================== =================== ===================
</TABLE>
- ---------------
* Amount represents less than $500.
+ Allocated from Nations Intermediate Bond Master Portfolio.
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Fund, which was reorganized into Nations Intermediate Bond Fund on May 21,
1999.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
<TABLE>
INTERMEDIATE BOND
-----------------------------------------
FOR THE PERIOD
MAY 15, 1999 TO FOR THE PERIOD STRATEGIC
SEPTEMBER 30, 1999 MARCH 1, 1999 TO FIXED U.S. GOVERNMENT DIVERSIFIED
(UNAUDITED) MAY 14, 1999(a) INCOME BOND INCOME
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ -- $ -- $ 60,201 $ 3,122 $ 10,202
2,135 1,190 -- -- --
-- -- -- -- --
-- -- -- -- --
-- -- 29 28 4
(178) (75) -- -- --
53 -- -- -- --
------------------- ------------------- ------------------- ------------------- -------------------
2,010 1,115 60,230 3,150 10,206
------------------- ------------------- ------------------- ------------------- -------------------
-- -- 4,082 290 738
58 30 1,758 106 258
20 8 403 25 68
-- 8 98 10 18
19 -- 65 42 42
21 28 23 32 25
2 -- 8 8 8
-- -- -- --* --*
42 22 123 21 39
------------------- ------------------- ------------------- ------------------- -------------------
162 96 6,560 534 1,196
-- -- -- -- --
43 32 37 4 40
-- -- 31 38 336
1 1 6 7 8
27 17 -- -- --
------------------- ------------------- ------------------- ------------------- -------------------
233 146 6,634 583 1,580
(12) (14) (230) (95) (237)
-- -- (19) (3) (3)
------------------- ------------------- ------------------- ------------------- -------------------
221 132 6,385 485 1,340
------------------- ------------------- ------------------- ------------------- -------------------
1,789 983 53,845 2,665 8,866
------------------- ------------------- ------------------- ------------------- -------------------
-- -- (10,545) (2,456) (10,090)
(1,009) (101) -- -- --
-- -- (56,330) (1,724) (4,050)
(440) (230) -- -- --
------------------- ------------------- ------------------- ------------------- -------------------
(1,449) (331) (66,875) (4,180) (14,140)
------------------- ------------------- ------------------- ------------------- -------------------
$ 340 $ 652 $ (13,030) $ (1,515) $ (5,274)
=================== =================== =================== =================== ===================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE
SHORT-TERM INCOME GOVERNMENT
----------------------------- -----------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
9/30/99 YEAR ENDED 9/30/99 YEAR ENDED
(UNAUDITED) 3/31/99 (UNAUDITED) 3/31/99
----------------------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
Net investment income.......... $ 11,943 $ 24,445 $ 16,318 $ 36,822
Net realized gain/(loss) on
investments.................. (1,559) 647 (9,249) 674
Net realized gain/(loss) on
investments allocated from
Portfolio+................... -- -- -- --
Net change in unrealized
appreciation/(depreciation)
of investments............... (4,680) 120 (5,276) (3,584)
Net change in unrealized
appreciation/(depreciation)
of investments allocated from
Portfolio+................... -- -- -- --
----------- ----------- ----------- -----------
Net increase/(decrease) in net
assets resulting from
operations................... 5,704 25,212 1,793 33,912
Distributions to shareholders
from net investment income:
Primary A Shares............. (11,396) (23,117) (14,672) (33,806)
Primary B Shares............. -- -- (6) (14)
Investor A Shares............ (400) (942) (1,394) (2,497)
Investor B Shares............ (117) (318) (222) (451)
Investor C Shares............ (30) (69) (24) (55)
Seafirst Shares.............. -- -- -- --
Distributions to shareholders
from net realized gain on
investments:
Primary A Shares............. -- -- -- --
Primary B Shares............. -- -- -- --
Investor A Shares............ -- -- -- --
Investor B Shares............ -- -- -- --
Investor C Shares............ -- -- -- --
Seafirst Shares.............. -- -- -- --
Net increase/(decrease) in net
assets from Fund share
transactions................. 5,084 65,679 (43,523) (77,344)
----------- ----------- ----------- -----------
Net increase/(decrease) in net
assets....................... (1,155) 66,445 (58,048) (80,255)
NET ASSETS:
Beginning of period............ 419,688 353,243 644,939 725,194
----------- ----------- ----------- -----------
End of period.................. $ 418,533 $ 419,688 $ 586,891 $ 644,939
=========== =========== =========== ===========
Undistributed net investment
income/(distributions in
excess of net investment
income) at end of period..... $ (3) $ (3) $ -- $ --
=========== =========== =========== ===========
<CAPTION>
GOVERNMENT SECURITIES
----------------------------
SIX MONTHS
ENDED
9/30/99 YEAR ENDED
(UNAUDITED) 3/31/99
----------------------------
<S> <C> <C>
(IN THOUSANDS)
Net investment income.......... $ 6,052 $ 9,231
Net realized gain/(loss) on
investments.................. (6,950) 2,056
Net realized gain/(loss) on
investments allocated from
Portfolio+................... -- --
Net change in unrealized
appreciation/(depreciation)
of investments............... (1,025) (2,701)
Net change in unrealized
appreciation/(depreciation)
of investments allocated from
Portfolio+................... -- --
----------- -----------
Net increase/(decrease) in net
assets resulting from
operations................... (1,923) 8,586
Distributions to shareholders
from net investment income:
Primary A Shares............. (3,555) (6,592)
Primary B Shares............. -- --
Investor A Shares............ (1,686) (1,111)
Investor B Shares............ (795) (1,513)
Investor C Shares............ (14) (16)
Seafirst Shares.............. -- --
Distributions to shareholders
from net realized gain on
investments:
Primary A Shares............. -- --
Primary B Shares............. -- --
Investor A Shares............ -- --
Investor B Shares............ -- --
Investor C Shares............ -- --
Seafirst Shares.............. -- --
Net increase/(decrease) in net
assets from Fund share
transactions................. 54,393 52,362
----------- -----------
Net increase/(decrease) in net
assets....................... 46,420 51,716
NET ASSETS:
Beginning of period............ 169,147 117,431
----------- -----------
End of period.................. $ 215,567 $ 169,147
=========== ===========
Undistributed net investment
income/(distributions in
excess of net investment
income) at end of period..... $ (386) $ (388)
=========== ===========
</TABLE>
- ---------------
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Fund, which was reorganized into Nations Intermediate Bond Fund on May 21,
1999.
+ Allocated from Nations Intermediate Bond Master Portfolio.
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
INTERMEDIATE BOND STRATEGIC FIXED INCOME U.S. GOVERNMENT BOND DIVERSIFIED INCOME
--------------------------------------- ------------------------- ------------------------- -------------------------
PERIOD PERIOD SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED ENDED ENDED ENDED
9/30/99 9/30/99 3/31/99 9/30/99 YEAR ENDED 9/30/99 YEAR ENDED 9/30/99 YEAR ENDED
(UNAUDITED) (a) (a) (UNAUDITED) 3/31/99 (UNAUDITED) 3/31/99 (UNAUDITED) 3/31/99
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 1,789 $ 983 $ 4,566 $ 53,845 $ 109,211 $ 2,665 $ 8,835 $ 8,866 $ 23,415
-- -- -- (10,545) 16,587 (2,456) 2,128 (10,090) 2,481
(1,009) (101) 1,017 -- -- -- -- -- --
-- -- -- (56,330) (23,298) (1,724) 1,275 (4,050) (8,154)
(440) (230) (1,825) -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
340 652 3,758 (13,030) 102,500 (1,515) 12,238 (5,274) 17,742
(217) -- -- (52,795) (107,116) (2,422) (8,563) (5,818) (18,940)
(1,083) (541) (2,957) (864) (1,854) (66) (105) (1,039) (765)
-- -- -- (158) (180) (152) (142) (1,962) (3,613)
(3) (4) (23) (28) (60) (25) (28) (47) (98)
(620) (256) (1,622) -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
-- -- -- (7,863) (10,814) -- (6,877) -- (2,686)
-- -- -- -- -- -- -- -- --
-- -- (772) (135) (198) -- (93) -- (115)
-- -- -- (25) (20) -- (77) -- (603)
-- -- (5) (5) (7) -- (55) -- (16)
-- -- (353) -- -- -- -- -- --
(2,855) (2,880) 21,773 34,859 142,950 (18,252) (144,617) (148,367) 65,986
----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
(4,438) (3,029) 19,799 (40,044) 125,201 (22,432) (148,319) (162,507) 56,892
94,319 97,348 77,549 1,836,851 1,711,650 119,373 267,692 400,016 343,124
----------- ----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 89,881 $ 94,319 $ 97,348 $ 1,796,807 $ 1,836,851 $ 96,941 $ 119,373 $ 237,509 $ 400,016
=========== =========== =========== =========== =========== =========== =========== =========== ===========
$ (39) $ 96 $ (86) $ -- $ 1 $ 24 $ 23 $ 14 $ 13
=========== =========== =========== =========== =========== =========== =========== =========== ===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
SHORT-TERM INCOME
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------ --------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 5,339 $ 51,796 9,560 $ 95,118
Issued in exchange for assets of Institutional Shares of
Emerald Short-Term Income Fund (Note 9)................. -- -- 9,960 97,328
Issued as reinvestment of dividends....................... 75 727 220 2,155
Redeemed.................................................. (4,533) (43,942) (13,100) (129,838)
------ -------- ------- ---------
Net increase/(decrease)................................... 881 $ 8,581 6,640 $ 64,763
====== ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 364 $ 3,546 649 $ 6,379
Issued in exchange for Retail Shares of Emerald Short-Term
Income Fund (Note 9).................................... -- -- 394 3,850
Issued as reinvestment of dividends....................... 26 252 73 754
Redeemed.................................................. (471) (4,573) (1,019) (10,035)
------ -------- ------- ---------
Net increase/(decrease)................................... (81) $ (775) 97 $ 948
====== ======== ======= =========
INVESTOR B SHARES:
Sold...................................................... -- $ -- 338 $ 3,306
Issued as reinvestment of dividends....................... 9 85 28 276
Redeemed.................................................. (245) (2,379) (242) (2,369)
------ -------- ------- ---------
Net increase/(decrease)................................... (236) $ (2,294) 124 $ 1,213
====== ======== ======= =========
INVESTOR C SHARES:
Sold...................................................... 19 $ 185 118 $ 1,168
Issued as reinvestment of dividends....................... 1 15 5 46
Redeemed.................................................. (64) (628) (251) (2,459)
------ -------- ------- ---------
Net increase/(decrease)................................... (44) $ (428) (128) $ (1,245)
====== ======== ======= =========
Total net increase/(decrease)............................. 520 $ 5,084 6,733 $ 65,679
====== ======== ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE GOVERNMENT
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
-------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 13,639 $ 54,926 24,666 $ 103,136
Issued in exchange for assets of Common Trust Two-Year
Government Fund (Note 9)................................ -- -- 1,373 5,670
Issued as reinvestment of dividends....................... 69 280 241 1,013
Redeemed.................................................. (26,429) (106,572) (43,680) (181,917)
------- --------- ------- ---------
Net increase/(decrease)................................... (12,721) $ (51,366) (17,400) $ (72,098)
======= ========= ======= =========
PRIMARY B SHARES:
Sold...................................................... -- $ -- -- $ --
Issued as reinvestment of dividends....................... 1 5 3 13
Redeemed.................................................. (18) (76) -- --
------- --------- ------- ---------
Net increase/(decrease)................................... (17) $ (71) 3 $ 13
======= ========= ======= =========
INVESTOR A SHARES:
Sold...................................................... 14,661 $ 59,092 1,415 $ 5,858
Issued in exchange for A Shares of Pacific Horizon
Short-Term Government Fund (Note 9)..................... 4,739 19,247 -- --
Issued as reinvestment of dividends....................... 173 698 435 1,802
Redeemed.................................................. (17,685) (71,271) (2,930) (12,131)
------- --------- ------- ---------
Net increase/(decrease)................................... 1,888 $ 7,766 (1,080) $ (4,471)
======= ========= ======= =========
INVESTOR B SHARES:
Sold...................................................... 374 $ 1,522 628 $ 2,651
Issued as reinvestment of dividends....................... 32 128 69 286
Redeemed.................................................. (326) (1,312) (740) (3,109)
------- --------- ------- ---------
Net increase/(decrease)................................... 80 $ 338 (43) $ (172)
======= ========= ======= =========
INVESTOR C SHARES:
Sold...................................................... 11 $ 43 131 $ 539
Issued as reinvestment of dividends....................... 4 17 11 47
Redeemed.................................................. (62) (250) (290) (1,202)
------- --------- ------- ---------
Net increase/(decrease)................................... (47) $ (190) (148) $ (616)
======= ========= ======= =========
Total net increase/(decrease)............................. (10,817) $ (43,523) (18,668) $ (77,344)
======= ========= ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------ ------------------
SHARES DOLLARS SHARES DOLLARS
-----------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 1,836 $ 17,753 2,562 $ 25,739
Issued in exchange for:
Institutional Shares of Emerald U.S. Government
Securities Fund (Note 9).............................. -- -- 4,567 45,329
Assets of Common Trust Government Bond Fund (Note 9).... -- -- 598 5,957
Issued as reinvestment of dividends....................... 19 187 43 420
Redeemed.................................................. (1,742) (16,768) (3,293) (33,049)
------ -------- ------ --------
Net increase/(decrease)................................... 113 $ 1,172 4,477 $ 44,396
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 1,150 $ 11,280 230 $ 2,311
Issued in exchange for:
A Shares of Pacific Horizon U.S. Government Fund (Note
9).................................................... 6,013 58,531 -- --
Retail Shares Emerald U.S. Government Securities Fund
(Note 9).............................................. -- -- 1,879 18,654
Issued as reinvestment of dividends....................... 102 977 59 597
Redeemed.................................................. (2,131) (20,398) (1,084) (10,876)
------ -------- ------ --------
Net increase/(decrease)................................... 5,134 $ 50,390 1,084 $ 10,686
====== ======== ====== ========
INVESTOR B SHARES:
Sold...................................................... 721 $ 6,957 430 $ 4,314
Issued as reinvestment of dividends....................... 46 439 94 952
Redeemed.................................................. (489) (4,704) (742) (7,449)
------ -------- ------ --------
Net increase/(decrease)................................... 278 $ 2,692 (218) $ (2,183)
====== ======== ====== ========
INVESTOR C SHARES:
Sold...................................................... 29 $ 317 --* $ 2
Issued in exchange for K Shares of Pacific Horizon U.S.
Government Fund (Note 9)................................ 152 1,478 -- --
Issued as reinvestment of dividends....................... 2 16 1 10
Redeemed.................................................. (175) (1,672) (54) (549)
------ -------- ------ --------
Net increase/(decrease)................................... 8 $ 139 (53) $ (537)
====== ======== ====== ========
Total net increase/(decrease)............................. 5,533 $ 54,393 5,290 $ 52,362
====== ======== ====== ========
</TABLE>
- ---------------
* Amount represents less than 500 shares.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE BOND
PERIOD ENDED
SEPTEMBER 30, 1999 PERIOD ENDED YEAR ENDED
(UNAUDITED) MAY 14, 1999(a) FEBRUARY 28, 1999(a)
------------------ ----------------- --------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold........................................... 1,172 $ 11,070 -- $ -- -- $ --
Issued as reinvestment of dividends............ 1 14 -- -- -- --
Redeemed....................................... (101) (950) -- -- -- --
------ -------- ---- ------- ------ --------
Net increase/(decrease)........................ 1,072 $ 10,134 -- $ -- -- $ --
====== ======== ==== ======= ====== ========
INVESTOR A SHARES:
Sold........................................... 649 $ 6,086 229 $ 2,187 3,819 $ 37,589
Issued as reinvestment of dividends............ 15 141 14 135 108 1,049
Redeemed....................................... (1,839) (17,390) (437) (4,195) (1,588) (15,485)
------ -------- ---- ------- ------ --------
Net increase/(decrease)........................ (1,175) $(11,163) (194) $(1,873) 2,339 $ 23,153
====== ======== ==== ======= ====== ========
INVESTOR C SHARES:
Sold........................................... 2 $ 10 5 $ 44 25 $ 246
Issued as reinvestment of dividends............ --* 4 -- 4 3 28
Redeemed....................................... (51) (476) (8) (72) (29) (285)
------ -------- ---- ------- ------ --------
Net increase/(decrease)........................ (49) $ (462) (3) $ (24) (1) $ (11)
====== ======== ==== ======= ====== ========
SEAFIRST SHARES:
Sold........................................... 47 $ 508 61 $ 666 469 $ 5,164
Issued as reinvestment of dividends............ 32 337 24 256 180 1,974
Redeemed....................................... (208) (2,209) (175) (1,905) (776) (8,507)
------ -------- ---- ------- ------ --------
Net increase/(decrease)........................ (129) $ (1,364) (90) $ (983) (127) $ (1,369)
====== ======== ==== ======= ====== ========
Total net increase/(decrease).................. (281) $ (2,855) (287) $(2,880) 2,211 $ 21,773
====== ======== ==== ======= ====== ========
</TABLE>
- ---------------
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Fund, which was reorganized into Nations Intermediate Bond Fund on May 21,
1999.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
STRATEGIC FIXED INCOME
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
-------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 29,403 $ 284,325 49,350 $ 494,694
Issued in exchange for:
Institutional Shares of Emerald Managed Bond Fund (Note
9).................................................... -- -- 7,464 74,663
Assets of Common Trust Bond Fund (Note 9)............... -- -- 6,909 69,407
Assets of Common Trust Intermediate Bond Fund (Note
9).................................................... -- -- 7,156 71,850
Issued as reinvestment of dividends....................... 456 4,441 1,534 16,762
Redeemed.................................................. (26,133) (252,639) (59,014) (593,850)
------- --------- ------- ---------
Net increase/(decrease)................................... 3,726 $ 36,127 13,399 $ 133,526
======= ========= ======= =========
INVESTOR A SHARES:
Sold...................................................... 585 $ 5,623 1,498 $ 14,738
Issued in exchange for Retail Shares of Emerald Managed
Bond Fund (Note 9)...................................... -- -- 258 2,583
Issued as reinvestment of dividends....................... 72 693 162 1,692
Redeemed.................................................. (933) (9,015) (1,281) (12,595)
------- --------- ------- ---------
Net increase/(decrease)................................... (276) $ (2,699) 637 $ 6,418
======= ========= ======= =========
INVESTOR B SHARES:
Sold...................................................... 187 $ 1,827 331 $ 3,313
Issued as reinvestment of dividends....................... 15 144 17 175
Redeemed.................................................. (79) (763) (65) (688)
------- --------- ------- ---------
Net increase/(decrease)................................... 123 $ 1,208 283 $ 2,800
======= ========= ======= =========
INVESTOR C SHARES:
Sold...................................................... 26 $ 237 74 $ 740
Issued as reinvestment of dividends....................... 2 21 5 51
Redeemed.................................................. (4) (35) (58) (585)
------- --------- ------- ---------
Net increase/(decrease)................................... 24 $ 223 21 $ 206
======= ========= ======= =========
Total net increase/(decrease)............................. 3,597 $ 34,859 14,340 $ 142,950
======= ========= ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT BOND
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
------------------ --------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 387 $ 3,824 1,191 $ 12,083
Issued as reinvestment of dividends....................... 8 74 517 5,293
Redeemed.................................................. (2,523) (24,706) (16,293) (168,334)
------ -------- ------- ---------
Net increase/(decrease)................................... (2,128) $(20,808) (14,585) $(150,958)
====== ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 170 $ 1,692 87 $ 882
Issued as reinvestment of dividends....................... 4 39 10 125
Redeemed.................................................. (137) (1,344) (54) (556)
------ -------- ------- ---------
Net increase/(decrease)................................... 37 $ 387 43 $ 451
====== ======== ======= =========
INVESTOR B SHARES:
Sold...................................................... 381 $ 3,756 615 $ 6,346
Issued as reinvestment of dividends....................... 11 111 20 206
Redeemed.................................................. (177) (1,753) (59) (711)
------ -------- ------- ---------
Net increase/(decrease)................................... 215 $ 2,114 576 $ 5,841
====== ======== ======= =========
INVESTOR C SHARES:
Sold...................................................... 26 $ 256 6 $ 80
Issued as reinvestment of dividends....................... 1 13 6 77
Redeemed.................................................. (22) (214) (15) (108)
------ -------- ------- ---------
Net increase/(decrease)................................... 5 $ 55 (3) $ 49
====== ======== ======= =========
Total net increase/(decrease)............................. (1,871) $(18,252) (13,969) $(144,617)
====== ======== ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
DIVERSIFIED INCOME
SIX MONTHS ENDED
SEPTEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MARCH 31, 1999
-------------------- ------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 3,421 $ 34,597 8,342 $ 88,223
Issued as reinvestment of dividends....................... 227 2,328 1,269 13,365
Redeemed.................................................. (20,543) (210,296) (3,803) (40,256)
------- --------- ------ --------
Net increase/(decrease)................................... (16,895) $(173,371) 5,808 $ 61,332
======= ========= ====== ========
INVESTOR A SHARES:
Sold...................................................... 206 $ 2,252 394 $ 4,150
Issued in exchange for A Shares of Pacific Horizon
Flexible Income Fund (Note 9)........................... 3,474 35,581 -- --
Issued as reinvestment of dividends....................... 49 491 56 585
Redeemed.................................................. (1,412) (14,259) (326) (3,419)
------- --------- ------ --------
Net increase/(decrease)................................... 2,317 $ 24,065 124 $ 1,316
======= ========= ====== ========
INVESTOR B SHARES:
Sold...................................................... 946 $ 9,537 1,627 $ 17,162
Issued as reinvestment of dividends....................... 108 1,084 247 2,704
Redeemed.................................................. (983) (9,853) (1,502) (15,942)
------- --------- ------ --------
Net increase/(decrease)................................... 71 $ 768 372 $ 3,924
======= ========= ====== ========
INVESTOR C SHARES:
Sold...................................................... 49 $ 516 66 $ 692
Issued in exchange for K Shares of Pacific Horizon
Flexible Income Fund (Note 9)........................... 54 555 -- --
Issued as reinvestment of dividends....................... 3 34 8 81
Redeemed.................................................. (93) (934) (129) (1,359)
------- --------- ------ --------
Net increase/(decrease)................................... 13 $ 171 (55) $ (586)
======= ========= ====== ========
Total net increase/(decrease)............................. (14,494) $(148,367) 6,249 $ 65,986
======= ========= ====== ========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
(THIS PAGE INTENTIONALLY LEFT BLANK)
33
<PAGE> 38
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
DISTRIBUTIONS
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS IN EXCESS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET OF NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT INVESTMENT
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME INCOME
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SHORT-TERM INCOME
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)............. $ 9.79 $0.28 $(0.15) $ 0.13 $(0.28) --
Year ended 3/31/1999...... 9.77 0.56 0.02 0.58 (0.56) --
Year ended 3/31/1998...... 9.68 0.56 0.09 0.65 (0.56) --
Year ended 3/31/1997#..... 9.76 0.58 (0.08) 0.50 (0.58) --
Period ended
3/31/1996(a)#........... 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) $(0.02)
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)............. $ 9.79 $0.27 $(0.15) $ 0.12 $(0.27) --
Year ended 3/31/1999...... 9.77 0.54 0.02 0.56 (0.54) --
Year ended 3/31/1998...... 9.68 0.54 0.09 0.63 (0.54) --
Year ended 3/31/1997#..... 9.76 0.56 (0.08) 0.48 (0.56) --
Period ended
3/31/1996(a)#........... 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) $(0.02)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)............. $ 9.79 $0.26 $(0.15) $ 0.11 $(0.26) --
Year ended 3/31/1999...... 9.77 0.52 0.02 0.54 (0.52) --
Year ended 3/31/1998...... 9.68 0.53 0.09 0.62 (0.53) --
Year ended 3/31/1997#..... 9.76 0.55 (0.08) 0.47 (0.55) --
Period ended
3/31/1996(a)#........... 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) $(0.02)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)............. $ 9.79 $0.23 $(0.15) $ 0.08 $(0.23) --
Year ended 3/31/1999...... 9.77 0.52 0.02 0.54 (0.52) --
Year ended 3/31/1998...... 9.68 0.53 0.09 0.62 (0.53) --
Year ended 3/31/1997#..... 9.76 0.55 (0.08) 0.47 (0.55) --
Period ended
3/31/1996(a)#........... 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) $(0.02)
DISTRIBUTIONS
FROM
CAPITAL
-------------------------
<S> <C>
SHORT-TERM INCOME
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)............. --
Year ended 3/31/1999...... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 11/30/1995#.... --
Year ended 11/30/1994#.... $(0.02)
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)............. --
Year ended 3/31/1999...... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 11/30/1995#.... --
Year ended 11/30/1994#.... $(0.02)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)............. --
Year ended 3/31/1999...... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 11/30/1995#.... --
Year ended 11/30/1994#.... $(0.02)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)............. --
Year ended 3/31/1999...... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 11/30/1995#.... --
Year ended 11/30/1994#.... $(0.02)
</TABLE>
- ---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
(c) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.28) $9.64 1.32% $400,117 0.53%+(c) 5.72%+ 43% 0.68%+(c)
(0.56) 9.79 6.07 397,467 0.50(c) 5.70 64 0.80(c)
(0.56) 9.77 6.89 331,961 0.56(b)(c) 5.75 66 0.86(c)
(0.58) 9.68 5.25 181,455 0.55(b) 5.97 172 0.85
(0.20) 9.76 1.19 179,957 0.55+ 6.07+ 73 0.88+
(0.61) 9.84 10.48 169,291 0.56 6.32 224 0.86
(0.52) 9.48 (0.11) 176,712 0.50 5.23 293 0.82
$(0.27) $9.64 1.22% $ 13,657 0.74%+(c) 5.51%+ 43% 0.93%+(c)
(0.54) 9.79 5.85 14,652 0.70(c) 5.50 64 1.05(c)
(0.54) 9.77 6.67 13,688 0.76(b)(c) 5.55 66 1.06(c)
(0.56) 9.68 5.04 6,169 0.75(b) 5.77 172 1.05
(0.19) 9.76 1.13 2,810 0.75+ 5.87+ 73 1.08+
(0.59) 9.84 10.29 2,969 0.76 6.12 224 1.06
(0.50) 9.48 (0.33) 2,490 0.71 5.02 293 1.03
$(0.26) $9.64 1.14% $ 3,461 0.89%+(c) 5.36%+ 43% 1.68%+(c)
(0.52) 9.79 5.70 5,825 0.85(c) 5.35 64 1.80(c)
(0.53) 9.77 6.51 4,602 0.91(b)(c) 5.40 66 1.21(c)
(0.55) 9.68 4.89 5,536 0.90(b) 5.62 172 1.20
(0.19) 9.76 1.08 7,339 0.90+ 5.72+ 73 1.23+
(0.57) 9.84 10.10 8,873 0.91 5.97 224 1.21
(0.49) 9.48 (0.46) 16,550 0.85 4.88 293 1.17
$(0.23) $9.64 0.81% $ 1,298 1.53%+(c) 4.72%+ 43% 1.68%+(c)
(0.52) 9.79 5.64 1,744 1.01(c) 5.19 64 1.80(c)
(0.53) 9.77 6.51 2,992 0.91(b)(c) 5.40 66 1.21(c)
(0.55) 9.68 4.89 4,063 0.90(b) 5.62 172 1.20
(0.19) 9.76 1.07 6,121 0.90+ 5.72+ 73 1.23+
(0.57) 9.84 10.08 6,056 0.91 5.97 224 1.21
(0.48) 9.48 (0.51) 8,102 0.89 4.84 293 1.21
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
SHORT-INTERMEDIATE GOVERNMENT
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)..................... $4.10 $0.10 $(0.10) -- $(0.10) --
Year ended 3/31/1999.............. 4.12 0.22 (0.02) $ 0.20 (0.22) --
Year ended 3/31/1998.............. 3.99 0.23 0.13 0.36 (0.23) --
Year ended 3/31/1997#............. 4.07 0.23 (0.08) 0.15 (0.23) --
Period ended 3/31/1996(b)#........ 4.14 0.07 (0.07) 0.00 (0.07)(a) --
Year ended 11/30/1995#............ 3.93 0.24 0.21 0.45 (0.24)(a) --
Year ended 11/30/1994............. 4.28 0.23 (0.33) (0.10) (0.23)(a) $(0.02)
PRIMARY B SHARES
Six months ended 9/30/1999
(unaudited)..................... $4.10 $0.10 $(0.10) -- $(0.10) --
Year ended 3/31/1999#............. 4.12 0.21 (0.02) $ 0.19 (0.21) --
Year ended 3/31/1998.............. 3.99 0.21 0.13 0.34 (0.21) --
Six months ended 3/31/1997*#...... 4.02 0.16 (0.03) 0.13 (0.16) --
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)..................... $4.10 $0.10 $(0.10) -- $(0.10) --
Year ended 3/31/1999.............. 4.12 0.21 (0.02) $ 0.19 (0.21) --
Year ended 3/31/1998.............. 3.99 0.22 0.13 0.35 (0.22) --
Year ended 3/31/1997#............. 4.07 0.22 (0.08) 0.14 (0.22) --
Period ended 3/31/1996(b)#........ 4.14 0.07 (0.07) 0.00 (0.07)(a) --
Year ended 11/30/1995#............ 3.93 0.23 0.21 0.44 (0.23)(a) --
Year ended 11/30/1994............. 4.28 0.22 (0.33) (0.11) (0.22)(a) $(0.02)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)..................... $4.10 $0.09 $(0.10) $(0.01) $(0.09) --
Year ended 3/31/1999.............. 4.12 0.19 (0.02) 0.17 (0.19) --
Year ended 3/31/1998.............. 3.99 0.20 0.13 0.33 (0.20) --
Year ended 3/31/1997#............. 4.07 0.20 (0.08) 0.12 (0.20) --
Period ended 3/31/1996(b)#........ 4.14 0.07 (0.07) 0.00 (0.07)(a) --
Year ended 11/30/1995#............ 3.93 0.21 0.21 0.42 (0.21)(a) --
Year ended 11/30/1994............. 4.28 0.20 (0.33) (0.13) (0.20)(a) $(0.02)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)..................... $4.09 $0.09 $(0.10) $(0.01) $(0.09) --
Year ended 3/31/1999.............. 4.12 0.19 (0.03) 0.16 (0.19) --
Year ended 3/31/1998.............. 3.99 0.20 0.13 0.33 (0.20) --
Year ended 3/31/1997#............. 4.07 0.21 (0.08) 0.13 (0.21) --
Period ended 3/31/1996(b)#........ 4.14 0.07 (0.07) 0.00 (0.07)(a) --
Year ended 11/30/1995#............ 3.93 0.22 0.21 0.43 (0.22)(a) --
Year ended 11/30/1994............. 4.28 0.20 (0.33) (0.13) (0.20)(a) $(0.02)
</TABLE>
- ---------------
* Short-Intermediate Government Primary B Shares commenced operations on June
28, 1996.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
## Amount represents less than 0.01%.
(a) Includes distribution in excess of less than $0.01 per share.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
(c) The effect of interest expense on the operating expense ratio was less than
0.01%.
(d) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.10) $4.00 0.19% $524,720 0.61%+(d) 5.31%+ 120% 0.68%+(d)
(0.22) 4.10 4.97 589,092 0.58(d) 5.36 242 0.78(d)
(0.23) 4.12 9.11 663,833 0.61 5.53 538 0.81
(0.23) 3.99 3.72 371,118 0.63(c)(d) 5.73 529 0.83(d)
(0.07) 4.07 0.07 399,915 0.63+ 5.32+ 189 0.86+
(0.24) 4.14 11.70 425,200 0.60 5.88 328 0.80
(0.25) 3.93 (2.23) 433,278 0.59 5.76 133 0.80
$(0.10) $4.00 0.01% $ 197 0.96%+(d) 4.96%+ 120% 1.03%+(d)
(0.21) 4.10 4.61 273 0.93(d) 5.01 242 1.38(d)
(0.21) 4.12 8.74 261 0.96 5.18 538 1.16
(0.16) 3.99 3.31 16,980 0.98+(c)(d) 5.38+ 529 1.18+(d)
$(0.10) $4.00 0.09% $ 51,306 0.81%+(d) 5.11%+ 120% 0.93%+(d)
(0.21) 4.10 4.76 44,793 0.78(d) 5.16 242 1.03(d)
(0.22) 4.12 8.89 49,478 0.81 5.33 538 1.01
(0.22) 3.99 3.51 42,468 0.83(c)(d) 5.53 529 1.03(d)
(0.07) 4.07 0.00## 57,381 0.83+ 5.12+ 189 1.06+
(0.23) 4.14 11.48 64,848 0.80 5.68 328 1.00
(0.24) 3.93 (2.41) 77,128 0.77 5.58 133 0.98
$(0.09) $4.00 (0.23)% $ 9,692 1.44%+(d) 4.48%+ 120% 1.68%+(d)
(0.19) 4.10 4.14 9,591 1.38(d) 4.56 242 1.78(d)
(0.20) 4.12 8.35 9,815 1.34 4.80 538 1.54
(0.20) 3.99 3.10 10,788 1.23(c)(d) 5.13 529 1.43(d)
(0.07) 4.07 (0.13) 13,789 1.23+ 4.72+ 189 1.46+
(0.21) 4.14 11.02 14,893 1.20 5.28 328 1.40
(0.22) 3.93 (2.81) 10,974 1.19 5.16 133 1.40
$(0.09) $3.99 (0.20)% $ 976 1.38%+(d) 4.54%+ 120% 1.68%+(d)
(0.19) 4.09 4.05 1,190 1.34(d) 4.60 242 1.78(d)
(0.20) 4.12 8.45 1,808 1.31 4.83 538 1.51
(0.21) 3.99 3.21 8,334 1.13(c)(d) 5.23 529 1.33(d)
(0.07) 4.07 (0.10) 11,820 1.13+ 4.82+ 189 1.36+
(0.22) 4.14 11.15 13,206 1.10 5.38 328 1.30
(0.22) 3.93 (2.80) 16,725 1.17 5.18 133 1.38
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
NET REALIZED DISTRIBUTIONS
NET ASSET AND UNREALIZED NET INCREASE / DIVIDENDS IN EXCESS OF
VALUE NET GAIN (DECREASE) IN FROM NET NET
BEGINNING INVESTMENT /(LOSS) ON NET ASSET VALUE INVESTMENT INVESTMENT
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME INCOME
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
GOVERNMENT SECURITIES
PRIMARY A SHARES
Six months ended
9/30/1999#
(unaudited)............. $ 9.86 $0.29 $(0.35) $(0.06) $(0.29) --
Year ended 3/31/1999#..... 9.90 0.58 (0.05) 0.53 (0.57) --
Year ended 3/31/1998...... 9.39 0.55 0.51 1.06 (0.55) --
Year ended 3/31/1997#..... 9.67 0.60 (0.30) 0.30 (0.58) --
Period ended
3/31/1996(a)#........... 9.86 0.52 (0.19) 0.33 (0.50) $(0.02)
Year ended 5/31/1995#..... 9.80 0.64 0.06 0.70 (0.60) --
Year ended 5/31/1994...... 10.46 0.64 (0.61) 0.03 (0.58) (0.02)
INVESTOR A SHARES
Six months ended
9/30/1999#
(unaudited)............. $ 9.86 $0.29 $(0.37) $(0.08) $(0.28) --
Year ended 3/31/1999#..... 9.90 0.56 (0.05) 0.51 (0.55) --
Year ended 3/31/1998...... 9.39 0.52 0.51 1.03 (0.52) --
Year ended 3/31/1997#..... 9.67 0.58 (0.30) 0.28 (0.56) --
Period ended
3/31/1996(a)#........... 9.86 0.50 (0.19) 0.31 (0.48) $(0.02)
Year ended 5/31/1995#..... 9.80 0.61 0.06 0.67 (0.57) --
Year ended 5/31/1994...... 10.46 0.62 (0.61) 0.01 (0.56) (0.02)
INVESTOR B SHARES
Six months ended
9/30/1999#
(unaudited)............. $ 9.86 $0.25 $(0.35) $(0.10) $(0.25) --
Year ended 3/31/1999#..... 9.90 0.49 (0.04) 0.45 (0.49) --
Year ended 3/31/1998...... 9.39 0.47 0.51 0.98 (0.47) --
Year ended 3/31/1997#..... 9.67 0.54 (0.30) 0.24 (0.52) --
Period ended
3/31/1996(a)#........... 9.86 0.47 (0.19) 0.28 (0.45) $(0.02)
Year ended 5/31/1995#..... 9.80 0.58 0.06 0.64 (0.54) --
Six months ended
5/31/1994*.............. 10.49 0.54 (0.64) (0.10) (0.49) (0.01)
INVESTOR C SHARES
Six months ended
9/30/1999#
(unaudited)............. $ 9.86 $0.24 $(0.39) $(0.15) $(0.24) --
Year ended 3/31/1999#..... 9.90 0.49 (0.04) 0.45 (0.49) --
Year ended 3/31/1998...... 9.39 0.48 0.51 0.99 (0.48) --
Year ended 3/31/1997#..... 9.67 0.55 (0.30) 0.25 (0.53) --
Period ended
3/31/1996(a)#........... 9.86 0.47 (0.19) 0.28 (0.45) $(0.02)
Year ended 5/31/1995#..... 9.80 0.57 0.06 0.63 (0.53) --
Year ended 5/31/1994...... 10.46 0.55 (0.61) (0.06) (0.50) (0.01)
<CAPTION>
DISTRIBUTIONS
IN EXCESS OF
NET REALIZED
CAPITAL
GAINS
-------------
<S> <C>
GOVERNMENT SECURITIES
PRIMARY A SHARES
Six months ended
9/30/1999#
(unaudited)............. --
Year ended 3/31/1999#..... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 5/31/1995#..... --
Year ended 5/31/1994...... $(0.05)
INVESTOR A SHARES
Six months ended
9/30/1999#
(unaudited)............. --
Year ended 3/31/1999#..... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 5/31/1995#..... --
Year ended 5/31/1994...... $(0.05)
INVESTOR B SHARES
Six months ended
9/30/1999#
(unaudited)............. --
Year ended 3/31/1999#..... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 5/31/1995#..... --
Six months ended
5/31/1994*.............. $(0.05)
INVESTOR C SHARES
Six months ended
9/30/1999#
(unaudited)............. --
Year ended 3/31/1999#..... --
Year ended 3/31/1998...... --
Year ended 3/31/1997#..... --
Period ended
3/31/1996(a)#........... --
Year ended 5/31/1995#..... --
Year ended 5/31/1994...... $(0.05)
</TABLE>
- ---------------
* Government Securities Investor B Shares commenced operations on June 7,
1993.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
May 31.
(b) Amount represents less than $0.01.
(c) The effect of interest expense on the operating expense ratio was less than
0.01%.
(d) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 43
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF NET RATIO OF
TOTAL NET ASSETS OPERATING INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES INCOME TO PORTFOLIO EXPENSES TO
DISTRIBUTIONS AND VALUE TOTAL PERIOD TO AVERAGE AVERAGE NET TURNOVER AVERAGE
FROM CAPITAL DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS ASSETS RATE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -- $(0.29) $9.51 (0.61)% $116,405 0.74%+(c)(d) 5.99%+ 179% 0.84%+(d)
- -- (0.57) 9.86 5.41 119,659 0.73(d) 5.70 600 0.84(d)
- -- (0.55) 9.90 11.65 75,796 0.85(c)(d) 5.63 303 0.99(d)
$(0.00)(b) (0.58) 9.39 3.18 52,606 0.80 6.28 468 0.94
- -- (0.52) 9.67 3.41 55,962 0.80+ 6.36+ 199 0.95+
(0.04) (0.64) 9.86 7.55 39,909 0.76 6.69 413 0.94
(0.04) (0.69) 9.80 0.06 44,536 0.73 6.08 56 0.94
- -- $(0.28) $9.50 (0.84)% $ 67,212 0.99%+(c)(d) 5.74%+ 179% 1.09%+(d)
- -- (0.55) 9.86 5.16 19,167 0.98(d) 5.45 600 1.09(d)
- -- (0.52) 9.90 11.37 8,509 1.10(c)(d) 5.38 303 1.24(d)
$(0.00)(b) (0.56) 9.39 2.92 9,852 1.05 6.03 468 1.19
- -- (0.50) 9.67 3.20 11,662 1.05+ 6.11+ 199 1.20+
(0.04) (0.61) 9.86 7.29 10,928 1.01 6.44 413 1.19
(0.04) (0.67) 9.80 (0.11) 14,044 0.90 5.91 56 1.11
- -- $(0.25) $9.51 (1.05)% $ 31,665 1.62%+(c)(d) 5.11%+ 179% 1.84%+(d)
- -- (0.49) 9.86 4.53 30,109 1.58(d) 4.85 600 1.84(d)
- -- (0.47) 9.90 10.78 32,391 1.63(c)(d) 4.85 303 1.77(d)
$(0.00)(b) (0.52) 9.39 2.51 38,807 1.45 5.63 468 1.59
- -- (0.47) 9.67 2.85 50,958 1.45+ 5.71+ 199 1.60+
(0.04) (0.58) 9.86 6.86 56,155 1.41 6.04 413 1.59
(0.04) (0.59) 9.80 (1.09) 56,313 1.38+ 5.43+ 56 1.59+
- -- $(0.24) $9.47 (1.51)% $ 285 1.74%+(c)(d) 4.99%+ 179% 1.84%+(d)
- -- (0.49) 9.86 4.52 213 1.59(d) 4.84 600 1.84(d)
- -- (0.48) 9.90 10.84 735 1.58(c)(d) 4.90 303 1.72(d)
$(0.00)(b) (0.53) 9.39 2.67 1,835 1.30 5.78 468 1.44
- -- (0.47) 9.67 2.83 2,558 1.48+ 5.68+ 199 1.63+
(0.04) (0.57) 9.86 6.76 2,945 1.51 5.94 413 1.69
(0.04) (0.60) 9.80 (0.69) 5,265 1.48 5.33 56 1.69
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTERMEDIATE BOND
PRIMARY A SHARES
Period ended 9/30/1999#***
(unaudited)..................... $ 9.52 $0.25 $(0.24) $ 0.01 $(0.22) --
INVESTOR A SHARES*
Period ended 9/30/1999#
(unaudited)..................... $ 9.50 $0.17 $(0.10) $ 0.07 $(0.25) --
Period ended 5/14/1999............ 9.52 0.10 (0.04) 0.06 (0.08) --
Year ended 2/28/1999.............. 9.69 0.50 (0.03) 0.47 (0.53) $(0.11)
Year ended 2/28/1998.............. 9.54 0.49 0.20 0.69 (0.51) (0.03)
Year ended 2/28/1997**............ 9.75 0.52 (0.15) 0.37 (0.52) (0.06)
Year ended 2/29/1996.............. 9.44 0.59 0.33 0.92 (0.59) (0.02)
Year ended 2/28/1995.............. 9.81 0.59 (0.37) 0.22 (0.59) --
INVESTOR C SHARES*
Period ended 9/30/1999#
(unaudited)..................... $ 9.56 $0.11 $(0.12) $(0.01) $(0.11) --
Period ended 5/14/1999............ 9.59 0.09 (0.04) 0.05 (0.08) --
Year ended 2/28/1999.............. 9.72 0.46 -- 0.46 (0.48) $(0.11)
Year ended 2/28/1998.............. 9.54 0.44 0.19 0.63 (0.42) (0.03)
Period ended 2/28/1997***......... 9.53 0.31 0.07 0.38 (0.31) (0.06)
SEAFIRST SHARES*
Period ended 9/30/1999#
(unaudited)..................... $10.75 $0.21 $(0.14) $ 0.08 $(0.25) --
Period ended 5/14/1999............ 10.76 0.11 (0.04) 0.07 (0.08) --
Year ended 2/28/1999.............. 10.87 0.57 (0.05) 0.52 (0.52) $(0.11)
Period ended 2/28/1998***......... 10.72 0.40 0.13 0.53 (0.38) --
</TABLE>
- ---------------
* The financial information for the fiscal periods through May 14, 1999
reflect the financial information for the Pacific Horizon Intermediate Bond
Fund's A Shares, K Shares and SRF Shares, which were reorganized into the
Investor A Shares, Investor C Shares and Seafirst Shares, respectively, as
of May 21, 1999.
** As of July 22, 1996 the Fund designated the existing series of shares as "A"
shares.
*** Intermediate Bond's Primary A Shares, Investor C Shares and Seafirst Shares
commenced operations on May 21, 1999, July 22, 1996 and June 23, 1997,
respectively.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
+++ Amount represents less than $500.
# Per share net investment income has been calculated using the monthly
average shares method.
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 45
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(0.22) $ 9.31 0.12% $ 9,981 0.82%+ 5.47%+ 0.97%+
$(0.25) $ 9.32 0.29% $49,345 1.07%+ 5.22%+ 1.22%+
(0.08) 9.50 0.66 61,412 1.09+ 4.90+ 1.12+
(0.64) 9.52 4.89 63,404 0.90 5.14 0.90
(0.54) 9.69 7.40 41,875 0.90 5.50 1.21
(0.58) 9.54 3.92 22,937 0.75 5.45 2.26
(0.61) 9.75 10.45 13,179 0.27 6.13 5.00
(0.59) 9.44 2.27 1,964 0.00 6.43 17.95
$(0.11) $ 9.44 0.36% --+++ 1.82%+ 4.47%+ 1.97%+
(0.08) 9.56 0.47 469 1.57+ 4.42+ 1.84+
(0.59) 9.59 4.76 495 1.39 4.67 1.65
(0.45) 9.72 6.80 513 1.39 4.99 1.73
(0.37) 9.54 3.73 332 1.43+ 5.41+ 2.71+
$(0.25) $10.58 0.40% $30,555 0.95%+ 5.34%+ 1.22%+
(0.08) 10.75 0.68 32,438 0.95+ 5.04+ 1.10+
(0.63) 10.76 4.88 33,449 0.90 5.16 0.90
(0.38) 10.87 4.86 35,161 0.95+ 5.45+ 1.07+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 46
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
DISTRIBUTIONS
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS IN EXCESS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET OF NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT INVESTMENT
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME INCOME
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
STRATEGIC FIXED INCOME
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)................ $ 9.93 $0.29 $(0.36) $(0.07) $(0.29) --
Year ended 3/31/1999......... 10.03 0.59 (0.04) 0.55 (0.59) --
Year ended 3/31/1998......... 9.62 0.58 0.41 0.99 (0.58) --
Year ended 3/31/1997#........ 9.93 0.58 (0.20) 0.38 (0.58) --
Period ended 3/31/1996(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)
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)................ $ 9.93 $0.28 $(0.36) $(0.08) $(0.28) --
Year ended 3/31/1999......... 10.03 0.57 (0.04) 0.53 (0.57) --
Year ended 3/31/1998......... 9.62 0.56 0.41 0.97 (0.56) --
Year ended 3/31/1997#........ 9.93 0.56 (0.20) 0.36 (0.56) --
Period ended 3/31/1996(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)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)................ $ 9.93 $0.25 $(0.36) $(0.11) $(0.25) --
Year ended 3/31/1999......... 10.03 0.51 (0.04) 0.47 (0.51) --
Year ended 3/31/1998......... 9.62 0.51 0.41 0.92 (0.51) --
Year ended 3/31/1997#........ 9.93 0.52 (0.20) 0.32 (0.52) --
Period ended 3/31/1996(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)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)................ $ 9.93 $0.23 $(0.36) $(0.13) $(0.23) --
Year ended 3/31/1999......... 10.03 0.51 (0.04) 0.47 (0.51) --
Year ended 3/31/1998......... 9.62 0.52 0.41 0.93 (0.52) --
Year ended 3/31/1997#........ 9.93 0.53 (0.20) 0.33 (0.53) --
Period ended 3/31/1996(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)
<CAPTION>
DISTRIBUTIONS
FROM NET
REALIZED
CAPITAL GAINS
-------------
<S> <C>
STRATEGIC FIXED INCOME
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)................ $(0.04)
Year ended 3/31/1999......... (0.06)
Year ended 3/31/1998......... --
Year ended 3/31/1997#........ (0.11)
Period ended 3/31/1996(a).... --
Year ended 11/30/1995........ --
Year ended 11/30/1994........ (0.34)
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)................ $(0.04)
Year ended 3/31/1999......... (0.06)
Year ended 3/31/1998......... --
Year ended 3/31/1997#........ (0.11)
Period ended 3/31/1996(a).... --
Year ended 11/30/1995........ --
Year ended 11/30/1994........ (0.34)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)................ $(0.04)
Year ended 3/31/1999......... (0.06)
Year ended 3/31/1998......... --
Year ended 3/31/1997#........ (0.11)
Period ended 3/31/1996(a).... --
Year ended 11/30/1995........ --
Year ended 11/30/1994........ (0.34)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)................ $(0.04)
Year ended 3/31/1999......... (0.06)
Year ended 3/31/1998......... --
Year ended 3/31/1997#........ (0.11)
Period ended 3/31/1996(a).... --
Year ended 11/30/1995........ --
Year ended 11/30/1994........ (0.34)
</TABLE>
- ---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
(b) Amount represents less than $0.01.
(c) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(d) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 47
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
DISTRIBUTIONS AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
FROM CAPITAL DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-- $(0.33) $ 9.53 (0.69)% $1,760,909 0.70%+(c) 5.96%+ 33% 0.72%+(c)
-- (0.65) 9.93 5.61 1,798,155 0.68(c) 5.86 107 0.78(c)
-- (0.58) 10.03 10.53 1,681,990 0.72(c)(d) 5.86 244 0.83(d)
$(0.00)(b) (0.69) 9.62 3.90 947,277 0.71(c) 5.98 368 0.81(d)
-- (0.19) 9.93 (1.04) 823,890 0.72+ 5.49+ 133 0.83+
-- (0.59) 10.22 16.45 823,098 0.71 6.05 228 0.81
-- (0.87) 9.32 (3.58) 550,697 0.68 5.43 307 0.76
-- $(0.32) $ 9.53 (0.79)% $ 28,187 0.91%+(c) 5.75%+ 33% 0.97%+(c)
-- (0.63) 9.93 5.40 32,119 0.88(c) 5.66 107 1.03(c)
-- (0.56) 10.03 10.30 26,054 0.92(c)(d) 5.66 244 1.03(d)
$(0.00)(b) (0.67) 9.62 3.70 6,345 0.91(c) 5.78 368 1.01(d)
-- (0.18) 9.93 (1.11) 6,440 0.92+ 5.29+ 133 1.03+
-- (0.57) 10.22 16.22 6,662 0.91 5.85 228 1.01
-- (0.85) 9.32 (3.76) 967 0.86 5.25 307 0.94
-- $(0.29) $ 9.53 (1.10)% $ 6,396 1.54%+(c) 5.12%+ 33% 1.72%+(c)
-- (0.57) 9.93 4.76 5,440 1.48(c) 5.06 107 1.78(c)
-- (0.51) 10.03 9.73 2,662 1.47(c)(d) 5.11 244 1.58(d)
$(0.00)(b) (0.63) 9.62 3.23 2,109 1.36(c) 5.33 368 1.46(d)
-- (0.16) 9.93 (1.26) 2,496 1.37+ 4.84+ 133 1.48+
-- (0.53) 10.22 15.70 2,578 1.36 5.40 228 1.46
-- (0.81) 9.32 (4.21) 2,145 1.33 4.78 307 1.41
-- $(0.27) $ 9.53 (1.27)% $ 1,315 1.70%+(c) 4.96%+ 33% 1.72%+(c)
-- (0.57) 9.93 4.90 1,137 1.40(c) 5.14 107 1.78(c)
-- (0.52) 10.03 9.87 943 1.42(c)(d) 5.16 244 1.53(d)
$(0.00)(b) (0.64) 9.62 3.38 1,068 1.21(c) 5.48 368 1.31(d)
-- (0.17) 9.93 (1.22) 299 1.22+ 4.99+ 133 1.33+
-- (0.54) 10.22 15.87 227 1.21 5.55 228 1.31
-- (0.81) 9.32 (4.14) 41 1.43 4.68 307 1.51
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 48
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT BOND
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)..................... $10.08 $0.24 $(0.36) $(0.12) $(0.24) --
Year ended 3/31/1999#............. 10.37 0.52 0.07 0.59 (0.52) $(0.36)
Period ended 3/31/1998*........... 10.19 0.48 0.31 0.79 (0.48) (0.13)
Period ended 5/16/1997............ 10.53 0.41 0.17 0.58 (0.41) (0.51)
Year ended 8/31/1996.............. 11.20 0.61 (0.22) 0.39 (0.61) (0.45)
Six months ended 8/31/1995(b)..... 10.00 0.56 1.20 1.76 (0.56) --
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)..................... $10.08 $0.23 $(0.36) $(0.13) $(0.23) --
Year ended 3/31/1999#............. 10.37 0.50 0.07 0.57 (0.50) $(0.36)
Period ended 3/31/1998*........... 10.20 0.46 0.30 0.76 (0.46) (0.13)
Period ended 5/16/1997............ 10.54 0.39 0.17 0.56 (0.39) (0.51)
Year ended 8/31/1996.............. 11.19 0.59 (0.20) 0.39 (0.59) (0.45)
Year ended 8/31/1995(b)........... 10.48 0.37 0.71 1.08 (0.37) --
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)..................... $10.08 $0.20 $(0.36) $(0.16) $(0.20) --
Year ended 3/31/1999#............. 10.37 0.44 0.07 0.51 (0.44) $(0.36)
Period ended 3/31/1998*........... 10.19 0.41 0.31 0.72 (0.41) (0.13)
Period ended 5/16/1997............ 10.52 0.34 0.18 0.52 (0.34) (0.51)
Year ended 8/31/1996.............. 11.19 0.51 (0.22) 0.29 (0.51) (0.45)
Six months ended 8/31/1995(b)..... 10.05 0.46 1.14 1.60 (0.46) --
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)..................... $10.08 $0.19 $(0.36) $(0.17) $(0.19) --
Year ended 3/31/1999#............. 10.37 0.44 0.07 0.51 (0.44) $(0.36)
Period ended 3/31/1998**.......... 10.41 0.25 0.09 0.34 (0.25) (0.13)
</TABLE>
- ---------------
* The financial information for the fiscal periods prior to May 23, 1997
reflects the financial information for the Pilot U.S. Government Securities
Fund's Pilot Shares, Class A Shares and Class B Shares, which were
reorganized into the Primary A Shares, Investor A Shares and Investor B
Shares, respectively, as of May 23, 1997.
** U.S. Government Bond Investor C Shares commenced operations on September 19,
1997.
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The Pilot U.S. Government Securities Fund's Pilot Shares, Class A Shares
and Class B Shares commenced operations on November 7, 1994, February 7,
1995 and November 10, 1994, respectively.
(c) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 49
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSE TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.24) $ 9.72 (1.16)% $ 84,463 0.80%+(a)(c) 4.92%+ 208% 0.97%+(a)
(0.88) 10.08 5.83 109,028 0.59(a)(c) 5.06 270 0.87(a)
(0.61) 10.37 7.84 263,428 0.60+(a) 5.26+ 188 0.86+(a)
(0.92) 10.19 5.62 148,082 0.62+ 5.60+ 58 0.77+
(1.06) 10.53 3.46 145,066 0.65 5.61 87 0.82
(0.56) 11.20 18.03 137,261 0.62+ 6.45+ 132 0.87+
$(0.23) $ 9.72 (1.29)% $ 2,585 1.05%+(a)(c) 4.67%+ 208% 1.22%+(a)
(0.86) 10.08 5.57 2,311 0.84(a)(c) 4.81 270 1.12(a)
(0.59) 10.37 7.51 1,927 0.85+(a) 5.01+ 188 1.11+(a)
(0.90) 10.20 5.44 734 0.87+ 5.35+ 58 1.07+
(1.04) 10.54 3.44 632 0.85 5.44 87 1.07
(0.37) 11.19 10.41 87 0.82+ 5.76+ 132 1.12+
$(0.20) $ 9.72 (1.60)% $ 8,631 1.68%+(a)(c) 4.04%+ 208% 1.97%+(a)
(0.80) 10.08 4.93 6,779 1.44(a)(c) 4.21 270 1.87(a)
(0.54) 10.37 7.14 1,004 1.40+(a) 4.46+ 188 1.66+(a)
(0.85) 10.19 4.99 1,529 1.62+ 4.60+ 58 1.77+
(0.96) 10.52 2.43 1,237 1.65 4.60 87 1.82
(0.46) 11.19 16.19 146 1.62+ 5.19+ 132 1.87+
$(0.19) $ 9.72 (1.71)% $ 1,262 1.80%+(a)(c) 3.92%+ 208% 1.97%+(a)
(0.80) 10.08 5.13 1,255 1.34(a)(c) 4.31 270 1.87(a)
(0.38) 10.37 3.50 1,332 1.45+(a) 4.41+ 188 1.71+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 50
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
NET REALIZED
NET ASSET AND NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME INVESTMENTS FROM OPERATIONS INCOME CAPITAL GAINS
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
DIVERSIFIED INCOME
PRIMARY A SHARES
Six months ended 9/30/1999
(unaudited)........................... $10.31 $0.34 $(0.53) $(0.19) $(0.34) --
Year ended 3/31/1999#................... 10.55 0.66 (0.14) 0.52 (0.66) $(0.10)
Year ended 3/31/1998.................... 10.11 0.65 0.44 1.09 (0.65) --
Year ended 3/31/1997#................... 10.42 0.69 (0.18) 0.51 (0.69) (0.13)
Period ended 3/31/1996(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)(a) (0.15)
INVESTOR A SHARES
Six months ended 9/30/1999
(unaudited)........................... $10.31 $0.33 $(0.54) $(0.21) $(0.33) --
Year ended 3/31/1999#................... 10.55 0.63 (0.14) 0.49 (0.63) $(0.10)
Year ended 3/31/1998.................... 10.11 0.63 0.44 1.07 (0.63) --
Year ended 3/31/1997#................... 10.42 0.66 (0.18) 0.48 (0.66) (0.13)
Period ended 3/31/1996(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)(a) (0.15)
INVESTOR B SHARES
Six months ended 9/30/1999
(unaudited)........................... $10.31 $0.29 $(0.53) $(0.24) $(0.29) --
Year ended 3/31/1999#................... 10.55 0.57 (0.14) 0.43 (0.57) $(0.10)
Year ended 3/31/1998.................... 10.11 0.57 0.44 1.01 (0.57) --
Year ended 3/31/1997#................... 10.42 0.61 (0.18) 0.43 (0.61) (0.13)
Period ended 3/31/1996(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)(a) (0.15)
INVESTOR C SHARES
Six months ended 9/30/1999
(unaudited)........................... $10.31 $0.29 $(0.54) $(0.25) $(0.29) --
Year ended 3/31/1999#................... 10.55 0.57 (0.14) 0.43 (0.57) $(0.10)
Year ended 3/31/1998.................... 10.11 0.58 0.44 1.02 (0.58) --
Year ended 3/31/1997#................... 10.42 0.63 (0.18) 0.45 (0.63) (0.13)
Period ended 3/31/1996(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)(a) (0.15)
</TABLE>
- ---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
# Per share net investment income has been calculated using the monthly average
shares method.
(a) Includes distribution in excess of less than $0.01 per share.
(b) Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
(c) The effect of the custodial expense offset (Note 2) on the operating
expenses ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(d) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE> 51
NATIONS FUNDS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME TO PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.34) $ 9.78 (1.89)% $136,243 0.72%+(c)(d) 6.61%+ 52% 0.86%+(c)
(0.76) 10.31 5.00 317,937 0.70(c) 6.27 94 0.80(c)
(0.65) 10.55 11.07 263,840 0.73(c) 6.27 203 0.83(c)
(0.82) 10.11 4.97 152,070 0.75(c) 6.73 278 0.85(c)
(0.23) 10.42 (1.59) 65,081 0.77+ 6.49+ 69 0.87+
(0.73) 10.82 20.11 64,800 0.80 7.03 96 0.93
(0.89) 9.67 (3.05) 22,298 0.74 7.31 144 0.95
$(0.33) $ 9.77 (2.11)% $ 34,916 0.97%+(c)(d) 6.36%+ 52% 1.11%+(c)
(0.73) 10.31 4.74 12,954 0.95(c) 6.02 94 1.05(c)
(0.63) 10.55 10.80 11,946 0.98(c) 6.02 203 1.08(c)
(0.79) 10.11 4.71 11,662 1.00(c) 6.48 278 1.10(c)
(0.22) 10.42 (1.67) 13,332 1.02+ 6.24+ 69 1.12+
(0.71) 10.82 19.82 13,150 1.05 6.78 96 1.18
(0.87) 9.67 (3.26) 10,819 0.96 7.09 144 1.17
$(0.29) $ 9.78 (2.32)% $ 64,830 1.60%+(c)(d) 5.73%+ 52% 1.86%+(c)
(0.67) 10.31 4.11 67,651 1.55(c) 5.42 94 1.80(c)
(0.57) 10.55 10.18 65,248 1.55(c) 5.45 203 1.65(c)
(0.74) 10.11 4.18 70,631 1.50(c) 5.98 278 1.60(c)
(0.21) 10.42 (1.83) 84,692 1.52+ 5.74+ 69 1.62+
(0.66) 10.82 19.22 90,887 1.55 6.28 96 1.68
(0.82) 9.67 (3.77) 55,058 1.49 6.56 144 1.70
$(0.29) $ 9.77 (2.48)% $ 1,520 1.72%+(c)(d) 5.61%+ 52% 1.86%+(c)
(0.67) 10.31 4.09 1,474 1.56(c) 5.41 94 1.80(c)
(0.58) 10.55 10.27 2,090 1.46(c) 5.54 203 1.56(c)
(0.76) 10.11 4.44 3,343 1.25(c) 6.23 278 1.35(c)
(0.21) 10.42 (1.77) 3,454 1.33+ 5.93+ 69 1.43+
(0.66) 10.82 19.22 3,582 1.55 6.28 96 1.68
(0.82) 9.67 (3.77) 2,636 1.49 6.56 144 1.70
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 52
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Fund Trust (the "Trust"), Nations Fund, Inc. (the "Company") and Nations
Reserves ("Reserves") are each registered under the Investment Company Act of
1940, as amended (the "1940 Act"), as an open-end investment company. At
September 30, 1999, the Trust offered thirty-six separate portfolios, the
Company offered seven separate portfolios and Reserves offered sixteen separate
portfolios. These financial statements pertain only to the U.S. government and
corporate bond portfolios of the Trust, the Company and Reserves (each a "Fund"
and collectively, the "Funds"). Financial statements for the other portfolios of
the Trust, the Company and Reserves are presented under separate cover. The
Funds currently offer four classes of shares: Primary A Shares, Investor A
Shares, Investor B Shares and Investor C Shares. In addition, Intermediate Bond
Fund offers Seafirst Shares and Short-Intermediate Government Fund offers
Primary B Shares. Shareholders of a Fund have equal voting rights on matters
affecting all shareholders of the Fund. In addition, each class of shares of a
Fund has exclusive voting rights on matters that relate solely to that class and
separate voting rights on matters in which the interests of one class differ
from the interests of any other class.
The Intermediate Bond Fund seeks to achieve its investment objective by
investing substantially all of its assets in the Intermediate Bond Master
Portfolio, a series of Nations Master Investment Trust (the "Master Trust"),
another open-end management investment company in the Nations Funds family. This
Master Portfolio has the same investment objective as that of the Intermediate
Bond Fund. The value of the Intermediate Bond Fund's investment in the
Intermediate Bond Master Portfolio included in the Statements of net assets
reflects the Intermediate Bond Fund's proportionate beneficial interest in the
net assets of the Intermediate Bond Master Portfolio (65.5% at September 30,
1999). The financial statements of the Intermediate Bond Master Portfolio,
including its portfolio of investments, are included elsewhere within this
report and should be read in conjunction with the Intermediate Bond Fund's
financial statements. Another fund not registered under the 1940 Act offered by
the Nations Offshore Funds and managed by Banc of America Advisors, Inc.
("BAAI"), whose financial statements are not presented here, also invests in the
Intermediate Bond Master Portfolio.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies followed by the Funds in the preparation of
their financial statements.
Securities valuation: Securities are valued using broker quotations or prices
provided by a pricing service approved by the Board of Trustees/Directors.
Certain prices provided by brokers or the pricing service may be based on a
matrix pricing 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. Securities for which market quotations are not
readily available are valued by the investment advisor under the supervision of
the Board of Trustees/Directors. Short-term investments that mature in 60 days
or less are valued at amortized cost.
The valuation of the Intermediate Bond Fund's investment in the Intermediate
Bond Master Portfolio of the Master Trust is based on the reported net asset
value of that Portfolio. The Portfolio uses valuation policies consistent with
those described above.
Securities transactions and investment income: Securities transactions are
accounted for on trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on ex-
dividend date. Each Fund's investment income and realized and unrealized gains
and losses are allocated among its classes based upon the relative net assets of
each class of shares.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after trade date; interest income is not accrued until
settlement date. At the time a Fund enters into such transactions, it instructs
its custodian to segregate assets with a current value at least equal to the
amount of its when-issued or delayed-delivery purchase commitments.
Stripped mortgage-backed securities are derivative multi-class mortgage
securities structured so that one class receives most, if not all, of the
principal from the 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
48
<PAGE> 53
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
anticipated prepayments of principal, a Fund may fail to fully recoup its
initial investment in an interest-only security. The fair market value of these
securities is unusually volatile in response to changes in interest rates.
The Intermediate Bond Fund records its share of the investment income and
realized and unrealized gains and losses reported by the Intermediate Bond
Master Portfolio on a daily basis. The investment income and realized and
unrealized gains and losses are allocated daily to interest holders in the
Intermediate Bond Master Portfolio based upon the value of the Intermediate Bond
Fund's investment in the Intermediate Bond Master Portfolio.
Dividends and distributions to shareholders: It is the policy of each Fund to
declare dividends from net investment income daily and to pay such dividends
monthly. Each Fund will distribute net realized capital gains (including net
short-term capital gains), at least annually after the fiscal year in which the
capital gains were earned, unless offset by any available capital loss
carryforward. Income distributions and capital gain distributions on a Fund
level are determined in accordance with federal income tax regulations which may
differ from generally accepted accounting principles.
Federal income tax: Each Fund intends to continue to qualify as a regulated
investment company by complying with the applicable requirements of the Internal
Revenue Code of 1986, as amended, and by distributing substantially all of its
earnings to its shareholders. Therefore, no provision is made for Federal income
or excise taxes.
Expenses: General expenses of the Trust, the Company and Reserves are allocated
to the Funds based upon their relative net assets or other expense allocation
methodologies determined by the nature of the expense in accordance with
generally accepted accounting principles. Expenses directly attributable to a
Fund or class of shares are charged to such Fund or class.
The Intermediate Bond Fund records its share of the expenses reported by the
Intermediate Bond Master Portfolio on a daily basis. The expenses are allocated
daily to interest holders in the Intermediate Bond Master Portfolio based upon
the value of the Intermediate Bond Fund's investment in the Intermediate Bond
Master Portfolio.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
Each of the Trust and the Company has entered into an investment advisory
agreement (the "Investment Advisory Agreements") with BAAI (formerly known as
NationsBanc Advisors, Inc.), a wholly-owned subsidiary of Bank of America, N.A.
("Bank of America") (formerly known as NationsBank, N.A.), which in turn is a
wholly-owned banking subsidiary of Bank of America Corporation, a bank holding
company organized as a Delaware corporation, pursuant to which BAAI provides
investment advisory services to the Funds. Under the Investment Advisory
Agreements, BAAI is currently entitled to receive a maximum advisory fee, as set
forth below, calculated daily on the Fund's average daily net assets, and
payable monthly. Effective May 14, 1999, the maximum advisory fee payable by the
Funds decreased. The following table shows the change in the annual rate and the
rate currently in effect:
<TABLE>
<CAPTION>
CURRENT RATE
EFFECTIVE RATE IN EFFECT
MAY 14, THROUGH
1999 MAY 13, 1999
------------------------------
<S> <C> <C>
U.S. Government Bond,
Diversified Income........ 0.50% 0.60%
Strategic Fixed Income...... 0.40% 0.60%
Short-Term Income, Short-
Intermediate Government... 0.30% 0.60%
</TABLE>
Effective May 14, 1999, BAAI is entitled to receive a maximum advisory fee,
calculated daily and payable monthly, based on the average daily net assets of
the Government Securities Fund as follows: at the annual rate of 0.50% of its
net assets up to $200 million, 0.45% of net assets in excess of $200 million and
up to $250 million and 0.40% of net assets in excess of $250 million. Prior to
May 14, 1999, the advisory fee was calculated daily and payable monthly, based
on the Fund's average daily net assets, as follows: at the annual rate of 0.65%
of net assets up to $100 million, 0.55% of net assets in excess of $100 million
and up to $250 million and 0.50% of net assets in excess of $250 million.
Intermediate Bond Fund indirectly pays for investment advisory services through
its investment in the Intermediate Bond Master Portfolio (see Note 2 of Notes to
financial statements of the Intermediate Bond Master Portfolio).
Each of the Trust, the Company and Reserves, except for U.S. Government Bond
Fund, has entered into a sub-advisory agreement with BAAI and TradeStreet
Investment Associates, Inc. ("TradeStreet"), a wholly-owned subsidiary of Bank
of America, pursuant to which TradeStreet is entitled to receive a sub-advisory
fee from BAAI at the maximum annual rate of 0.15% of each Fund's average daily
net assets.
49
<PAGE> 54
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
The Company has, on behalf of the U.S. Government Bond Fund, entered into a
sub-advisory agreement with BAAI and Boatmen's Capital Management, Inc.
("Boatmen's"), a wholly-owned subsidiary of Bank of America, pursuant to which
Boatmen's is entitled to receive a sub-advisory fee from BAAI at the maximum
annual rate of 0.15% of the Fund's average daily net assets.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust, the
Company and Reserves. Under the co-administration agreements, Stephens and BAAI
are entitled to receive a combined fee, computed daily and paid monthly, at the
maximum annual rate of 0.22% of a Fund's average daily net assets except for
Intermediate Bond Fund, which pays a monthly fee at the maximum annual rate of
0.17% of its average daily net assets. Effective May 14, 1999, the combined co-
administration fee payable by the Funds (except for Intermediate Bond Fund) to
Stephens and BAAI increased by 0.10% of the Fund's average daily net assets.
Prior to that date, the combined co-administration fee payable by the Funds
(except Intermediate Bond Fund) was 0.12% of the average daily net assets. The
Bank of New York ("BNY") serves as sub-administrator of the Trust, the Company
and Reserves pursuant to an agreement with BAAI. For the six months ended
September 30, 1999, Stephens and BAAI earned $671,080 and $1,466,465,
respectively, from the Funds for their co-administration services.
BAAI and/or the sub-advisors and Stephens may, from time to time, reduce their
fees payable by each Fund. Effective August 1, 1999, BAAI and/or the
sub-advisors agreed to waive their fees until July 31, 2000 in the following
amounts for the Funds set forth below:
<TABLE>
<S> <C>
Short-Term Income............................. 0.10%
Government Securities......................... 0.10%
U.S. Government Bond.......................... 0.10%
Diversified Income............................ 0.10%
</TABLE>
Prior to that date, BAAI and/or the sub-advisors had voluntarily agreed to waive
their fees in these amounts.
In addition, effective August 1, 1999, BAAI and/or the sub-advisors and Stephens
agreed to reimburse expenses and/or waive their fees until May 2000 to the
extent total expenses (excluding shareholder servicing and distribution fees),
as a percentage of the respective Fund's average daily net assets, exceed the
following annual rates: 0.60% for the Short-Intermediate Government Fund, 0.85%
for the Government Securities Fund, 0.81% for the Intermediate Bond Fund and
0.72% for the Diversified Income Fund. Prior to that date, BAAI and/or the
sub-advisors and Stephens voluntarily agreed to reimburse expenses and/or waive
their fees to maintain these total expense limits.
BNY also serves as the custodian of the Trust's, the Company's and Reserves'
assets. For the six months ended September 30, 1999, expenses of the Funds were
reduced by $30,209 under expense offset arrangements with BNY. The Funds could
have invested a portion of the assets utilized in connection with the expense
offset arrangements in an income producing asset if they had not entered into
such arrangements.
First Data Investor Services Group, Inc., a wholly-owned subsidiary of First
Data Corporation, serves as the transfer agent for each Fund's shares. Bank of
America serves as the sub-transfer agent for the Primary Shares of the Funds.
For the six months ended September 30, 1999, Bank of America earned
approximately $14,402 for providing such services.
Stephens serves as distributor of the Funds' shares. For the six months ended
September 30, 1999, the Funds were informed that the distributor received
$5,587,868 in front end sales charges for sales of Investor A Shares and
$280,470 in contingent deferred sales charges from redemption of shares which
were subject to such charges. A substantial portion of these fees is paid to
affiliates of Bank of America.
Effective July 1, 1999, the Boards of Trustees/Directors of the Trust, the
Company and Reserves, along with the Boards of Trustees/Directors of the other
open-end registered investment companies in the Nations Funds family, approved a
new compensation structure for the unaffiliated Trustees/Directors. The new
structure compensates the unaffiliated Trustees/Directors for their services to
the open-end registered investment companies in the Nations Funds family as a
whole, rather than to particular registered investment companies, or series or
portfolios thereof. As of September 30, 1999, the open-end registered investment
companies in the Nations Funds family were the Trust, the Company, Reserves,
Nations Annuity Trust, Nations LifeGoal Funds, Inc. and Nations Master
Investment Trust. Under the new structure, each unaffiliated Trustee/Director
receives a base retainer fee from the open-end registered investment companies
in the amount of $65,000 per year, in addition to $5,000 for each in-person
meeting attended and $1,000 for each telephonic meeting attended. Each
unaffiliated Trustee/ Director will be compensated only for a maximum of six
in-person meetings per calendar year. The Chairman of the Board receives an
additional fee of 20% of the base retainer fee and the Chairman of the Audit
Committee
50
<PAGE> 55
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
receives an additional fee of 10% of the base retainer fee. The members of the
Nominating Committee receive additional compensation at the rate of $1,000 per
meeting attended. Each unaffiliated Trustee/Director is also reimbursed for
expenses incurred in attending such meetings.
Prior to July 1, 1999, the Trust, the Company and Reserves each paid an
unaffiliated Trustee or Director an annual fee of $1,000 ($3,000 for the
Chairman of the Boards), plus $500 per Fund and an additional $1,000 for each
in-person board meeting, and $500 for each telephonic board meeting attended.
The Trust, the Company and Reserves also reimbursed expenses incurred by each
unaffiliated Trustee or Director in attending such meetings.
The Trust's, the Company's and Reserves' eligible Trustees/Directors,
respectively, may participate in non-qualified deferred compensation and
retirement plans which may be terminated at any time. All benefits provided
under these plans are unfunded and any payments to plan participants are paid
solely out of the Funds' assets. Income earned on each plan participant's
deferral account is tied to the rate of return of the eligible mutual funds
selected by the participants or, if no funds are selected, to the rate of return
of Nations Treasury Fund, a portfolio of the Company. The expense for the
deferred compensation and retirement plans is included in "Trustees'/Directors'
fees and expenses" in the Statements of operations.
Certain Funds have made daily investments of cash balances in the Nations Cash
Reserves, a portfolio of Reserves, pursuant to an exemptive order received from
the Securities and Exchange Commission. For the six months ended September 30,
1999, the Funds earned $5,306,964 in the aggregate from such investments, which
is included in interest income.
A significant portion of each Fund's Primary A Shares represents investments by
fiduciary accounts over which Bank of America has either sole or joint
investment discretion.
3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS
The Trust, the Company and Reserves have each adopted shareholder servicing
plans and distribution plans for the Investor A, Investor B and Investor C
Shares of each Fund. In addition, the Trust has adopted a shareholder
administration plan for Primary B Shares of Short-Intermediate Government Fund
and Reserves has adopted a shareholder servicing plan for Seafirst Shares of the
Intermediate Bond Fund. The administration plan permits the Short-Intermediate
Government Fund to compensate institutions for shareholder administration
services provided to their customers that own Primary B Shares. The shareholder
servicing plans permit the Funds to compensate or reimburse servicing agents for
shareholder services provided by the servicing agents. The distribution plans,
adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to
compensate or reimburse the distributor (and for Investor A Shares, the
distributor and/or selling agents) for activities or expenses primarily intended
to result in the sale of the applicable classes' shares. Payments are made at an
annual rate, as a percentage of average daily net assets set from time to time
by the Board of Trustees/Directors, and are charged as expenses of each Fund
directly to the applicable class. A substantial portion of the expenses incurred
pursuant to these plans is paid to affiliates of Bank of America and BAAI.
At September 30, 1999, the rates in effect and plan limits, as a percentage of
average daily net assets, were as follows:
<TABLE>
<CAPTION>
CURRENT PLAN
RATE LIMIT
------------------
<S> <C> <C>
Primary B Shareholder
Administration Plan:
Short-Intermediate Government...... 0.50%* 0.60%
Investor A Combined Shareholder
Servicing and Distribution Plan:
Short-Intermediate Government.... 0.20% 0.25%
Other Income Funds(6)............ 0.25%** 0.25%
Investor B Distribution Plan:
Short-Term Income................ 0.20%*** 0.75%
Other Income Funds(6)............ 0.75%**** 0.75%
Investor C Distribution Plan....... 0.75% 0.75%
Investor B and Investor C
Shareholder Servicing Plans...... 0.25% 0.25%
Seafirst Shareholder Servicing
Plan............................. 0.14% 0.25%
</TABLE>
- ---------------
* Reflects a rate change effective September 1, 1999 from 0.35%.
** Reflects a rate change effective September 1, 1999 from 0.20% for
Short-Term Income and Strategic Fixed Income Funds. In addition, a
separate shareholder servicing plan has been adopted for Investor A Shares
of the Short-Term Income Fund.
*** Reflects a rate change effective September 1, 1999 from 0.10%.
**** Reflects a rate change effective September 1, 1999 from 0.55% for
Short-Intermediate Government, Intermediate Bond and Strategic Fixed
Income Funds and 0.60% for all other income funds.
51
<PAGE> 56
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, for the six
months ended September 30, 1999 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Short-Term Income..................... $113,965 $122,718
Short-Intermediate Government......... 7,348 3,214
Government Securities................. 28,107 15,964
Strategic Fixed Income................ 250,472 322,975
U.S. Government Bond.................. 2,883 --
Diversified Income.................... 119,578 159,517
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
government securities for the six months ended September 30, 1999 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Short-Term Income..................... $ 46,583 $ 28,743
Short-Intermediate Government......... 684,686 737,467
Government Securities................. 403,343 347,527
Strategic Fixed Income................ 317,273 270,669
U.S. Government Bond.................. 212,356 232,122
Diversified Income.................... 26,130 136,140
</TABLE>
5. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK
As of September 30, 1999, an unlimited number of shares of beneficial interest
without par value were authorized for each of the Trust and Reserves and
480,000,000,000 shares of $.001 par value capital stock were authorized for the
Company. The Trust's and Reserves' Declarations of Trust and the Company's
Articles of Incorporation authorize the Boards of Trustees/Directors to classify
or reclassify any authorized, but unissued shares into one or more additional
classes or series of shares. See Schedules of capital stock activity.
6. LINE OF CREDIT
The Trust, the Company and Reserves each participate in an uncommitted line of
credit provided by BNY under a line of credit agreement (the "Agreement").
Advances under the Agreement may be made for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. Interest on borrowings is payable at a
specified Federal Funds rate plus 0.50% on an annualized basis. Each
participating Fund maintains a ratio of no less than 4 to 1 net assets (not
including amounts borrowed pursuant to the Agreement) to the aggregate amount of
indebtedness pursuant to the Agreement.
At September 30, 1999, there were no loans outstanding under this Agreement. For
the six months ended September 30, 1999, borrowings by the Funds under the
Agreement were as follows:
<TABLE>
<CAPTION>
AVERAGE AVERAGE
AMOUNT INTEREST
FUND OUTSTANDING RATE
- ---------------------------------------------------------
<S> <C> <C>
Government Securities........... $15 5.38%
U.S. Government Bond............ 2 5.23
Diversified Income.............. 2 5.49
</TABLE>
The average amount outstanding was calculated based on daily balances in the
period.
7. SECURITIES LENDING
Under an agreement with BNY, the Funds can lend their portfolio securities to
approved brokers, dealers and other financial institutions. Loans are
collateralized by cash, in an amount at least equal to the market value of the
securities loaned. The cash collateral received is invested in Nations Cash
Reserves, a portfolio of Reserves. A portion of the income generated by the
investment of the collateral, net of any rebates paid by BNY to borrowers, is
remitted to BNY as lending agent, and the remainder is paid to the Fund.
Generally, in the event of counterparty default, the Fund has the right to use
the collateral to offset losses incurred. There would be a potential loss to the
Fund in the event the Fund is delayed or prevented from exercising its right to
dispose of the collateral. The Fund bears the risk of loss with respect to the
investment of collateral.
At September 30, 1999, the following Funds had securities on loan:
<TABLE>
<CAPTION>
MARKET VALUE OF MARKET VALUE
LOANED SECURITIES OF COLLATERAL
FUND (000) (000)
- -----------------------------------------------------------
<S> <C> <C>
Short-Intermediate
Government........... $75,335 $76,827
Strategic Fixed
Income............... 56,402 58,090
U.S. Government Bond... 18,780 19,101
Diversified Income..... 17,922 18,680
</TABLE>
52
<PAGE> 57
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
8. CAPITAL LOSS CARRYFORWARD
At March 31, 1999, the following Funds had available for Federal income tax
purposes the following unused capital losses expiring March 31:
<TABLE>
<CAPTION>
2002 2003 2004 2005
NAME OF FUND (000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Short-Term Income........................................... $4,900 $ 651 -- $ 13
Short-Intermediate Government............................... 974 -- -- 6,939
Government Securities....................................... -- 4,250 -- 2,302
</TABLE>
Under the current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal year.
For the year ended March 31, 1999, the following Funds elected to defer losses
occurring between November 1, 1998 and March 31, 1999 under these rules:
<TABLE>
<CAPTION>
POST-OCTOBER
LONG TERM
CAPITAL LOSS DEFERRAL
FUND (000)
- --------------------------------------------------------
<S> <C>
Short-Intermediate Government...
$330
Government Securities...........
211
</TABLE>
9. REORGANIZATIONS
ACQUISITION OF THE EMERALD FUNDS
On May 15, 1998, certain Funds, as listed below (each an "Acquiring Fund"),
acquired the assets and certain liabilities of The Emerald Funds, also listed
below (each an "Acquired Fund"), in a tax-free reorganization in exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders. The number and value of shares issued by the
Acquiring Fund are presented in the Schedules of capital stock activity. Net
assets and unrealized appreciation as of the reorganization date were as
follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND
OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION UNREALIZED APPRECIATION
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Term Income Emerald Short-Term
Fixed Income Fund $ 101,178 $ 355,256 $ 456,434 $ 525
Government Securities Emerald U.S.
Government
Securities Fund 63,983 122,410 186,393 $ 856
Strategic Fixed Income Emerald Managed
Bond Fund 77,246 1,848,855 1,926,101 9
</TABLE>
CONVERSION OF COMMON TRUST FUNDS
On April 17, 1998, certain Funds, as listed below (each an "Acquiring Fund"),
acquired the assets of certain common trust funds, managed by NationsBank, N.A.,
also listed below (each an "Acquired Fund"), in a tax-free exchange for shares
of the Acquiring Fund. The number and value of shares issued by the Acquiring
Fund are presented in the
53
<PAGE> 58
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
Schedules of capital stock activity. Net assets and unrealized
appreciation/(depreciation) as of the conversion date were as follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS ACQUIRED FUND
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION
OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION)
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Government Securities NationsBank
Common Trust
Government
Bond Fund $ 5,957 $ 117,450 $ 123,407 $ 70
Strategic Fixed Income NationsBank
Common Trust
Bond Fund 69,407 1,705,412 1,774,819 398
Strategic Fixed Income NationsBank
Common Trust
Intermediate
Bond Fund 71,850 1,774,819 1,846,669 (2)
Short-Intermediate NationsBank
Government Common Trust
Two-Year
Government
Bond Fund 5,670 722,445 728,115 11
</TABLE>
ACQUISITION OF THE PACIFIC HORIZON FUNDS
On May 14, 1999, certain Funds, as listed below (each an "Acquiring Fund"),
acquired the assets and liabilities of The Pacific Horizon Funds, also listed
below (each an "Acquired Fund"), in a tax-free reorganization in exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders. The number and value of shares issued by the
Acquiring Fund are presented in the Schedules of capital stock activity. Net
assets and unrealized appreciation as of the reorganization date were as
follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS ACQUIRED FUND
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION
OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION)
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Intermediate Pacific
Government Horizon
Short-Term
Government
Fund $19,247 $625,358 $644,605 $ 1
Government Securities Pacific
Horizon U.S.
Government 60,009 168,447 228,456 (273)
Diversified Income Pacific
Horizon
Flexible
Income Fund 36,136 228,362 264,498 (213)
</TABLE>
On May 21, 1999, the Intermediate Bond Fund, a newly established portfolio,
acquired the assets and liabilities of the Pacific Horizon Intermediate Bond
Fund pursuant to a plan of reorganization approved by its shareholders. The
acquisition was accomplished by a tax-free exchange of shares of Intermediate
Bond Fund in an amount equal to the outstanding shares of the Pacific Horizon
Intermediate Bond Fund. The financial statements of the Intermediate Bond Fund
reflect the historical financial results of the Pacific Horizon Intermediate
Bond Fund prior to the reorganization.
<TABLE>
<CAPTION>
PACIFIC HORIZON FUND SHARE CLASS CORRESPONDING RESERVES SHARE CLASS
--------------------------------------------------------------------
<S> <C>
Intermediate Bond Nations Intermediate Bond
A Shares Investor A Shares
K Shares Investor C Shares
SRF Shares Seafirst Shares
</TABLE>
54
<PAGE> 59
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Portfolio
STATEMENT OF NET ASSETS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 12.3%
ASSET-BACKED -- AUTO LOANS -- 5.1%
$ 2,000 AESOP Funding II LLC, Series 1997-1A,
Class A1,
6.220% 10/20/01(+)................... $ 2,002
761 Chevy Chase Auto Receivables Trust,
Series 1998-2, Class A,
5.910% 12/15/04...................... 756
2,000 Daimler-Benz Vehicle Trust, Series
1998-A, Class A4,
5.220% 12/22/03...................... 1,949
2,220 World Omni Automobile Lease
Securitization Trust, Series 1997-A,
Class A4,
6.900% 06/25/03...................... 2,230
--------
6,937
--------
ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 3.5%
1,000 Circuit City Credit Card Master Trust,
Series 1995-1, Class A,
6.375% 08/15/05...................... 1,002
1,340 First Chicago Master Trust II, Series
1995-0, Series A,
5.499% 02/15/04...................... 1,337
2,500 Standard Credit Card Master Trust,
Series 1995-3, Class A,
7.850% 02/07/02...................... 2,517
--------
4,856
--------
ASSET-BACKED -- HOME EQUITY LOANS -- 2.5%
769 Contimortgage Home Equity Loan Trust,
Series 1996-4, Class A5,
6.600% 10/15/11...................... 767
2,000 Contimortgage Home Equity Loan Trust,
Series 1997-3, Class A5,
7.010% 08/15/13...................... 1,998
699 The Money Store Home Equity Trust,
Series 1996-B, Class A6,
7.380% 03/15/17...................... 698
--------
3,463
--------
ASSET-BACKED -- OTHER -- 1.2%
1,675 Pemex Finance Ltd., Series 1998-1A,
Class A1,
5.720% 11/15/03(+)................... 1,641
--------
TOTAL ASSET-BACKED SECURITIES
(Cost $17,021)....................... 16,897
--------
CORPORATE BONDS AND NOTES -- 37.9%
AUTOMOBILE PARTS MANUFACTURERS -- 1.1%
1,600 Delphi Automotive Systems Corporation,
6.125% 05/01/04...................... 1,539
--------
BANKING AND FINANCE -- 10.8%
1,500 Bear Stearns Companies Inc.,
6.150% 03/02/04...................... 1,446
1,280 Capital One Bank,
6.650% 03/15/04...................... 1,246
1,600 Chase Manhattan Corporation,
5.750% 04/15/04...................... 1,531
1,500 Crown Cork & Seal Financial plc,
6.750% 12/15/03...................... 1,467
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
BANKING AND FINANCE -- (CONTINUED)
$ 1,500 Finova Capital Corporation,
6.625% 09/15/01...................... $ 1,498
1,500 Hanson Overseas B.V.,
7.375% 01/15/03...................... 1,528
1,500 Heller Financial, Inc.,
6.000% 03/19/04...................... 1,438
1,600 Lehman Brothers Holdings Inc.,
6.625% 04/01/04...................... 1,546
1,600 Newcourt Credit Group Inc.,
6.875% 02/16/05(+)................... 1,561
1,500 Salomon Smith Barney Holdings,
6.250% 05/15/03...................... 1,466
--------
14,727
--------
BEVERAGES -- 0.9%
1,350 J. Seagram & Sons, Inc.,
6.625% 12/15/05...................... 1,292
--------
CHEMICALS -- SPECIALTY -- 1.2%
1,600 Praxair, Inc.,
6.750% 03/01/03...................... 1,587
--------
CONSTRUCTION -- 1.1%
1,400 USG Corporation,
9.250% 09/15/01...................... 1,451
--------
ELECTRIC POWER -- 1.9%
1,400 Consumers Energy Company,
6.200% 05/01/03...................... 1,351
1,300 PSEG Capital Corporation,
6.740% 10/23/01...................... 1,301
--------
2,652
--------
FINANCIAL SERVICES -- 4.9%
1,500 DaimlerChrysler NA Holdings,
6.900% 09/01/04...................... 1,505
2,000 Ford Motor Credit Company,
5.750% 02/23/04...................... 1,919
2,000 General Motors Acceptance Corporation,
6.150% 04/05/07...................... 1,882
1,300 Sears Roebuck Acceptance Corporation,
6.000% 03/20/03...................... 1,266
--------
6,572
--------
FOOD PRODUCERS -- 1.2%
1,750 Nabisco Inc.,
6.125% 02/01/33...................... 1,690
--------
GAS -- 1.9%
1,200 KN Energy, Inc.,
6.450% 03/01/03...................... 1,164
1,500 Williams Companies, Inc.,
6.500% 08/01/06...................... 1,433
--------
2,597
--------
INDUSTRIAL -- 2.0%
1,300 Case Credit Corporation,
6.125% 02/15/03...................... 1,256
--------
1,600 Tyco International Group SA,
6.375% 06/15/05...................... 1,546
--------
2,802
--------
</TABLE>
55
<PAGE> 60
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
INSURANCE -- 1.6%
$ 1,200 Aon Corporation,
7.400% 10/01/02...................... $ 1,223
1,000 Hartford Life, Inc.,
6.900% 06/15/04...................... 997
--------
2,220
--------
MACHINERY AND EQUIPMENT -- 1.1%
1,600 Thermo Electron Corporation,
7.625% 10/30/08...................... 1,530
--------
MEDIA -- 3.0%
1,300 A.H. Belo Corporation,
6.875% 06/01/02...................... 1,289
1,550 British Sky Broadcasting Group plc,
6.875% 02/23/09...................... 1,404
1,300 Cox Radio, Inc.,
6.250% 05/15/03...................... 1,264
--------
3,957
--------
OIL -- DOMESTIC -- 1.1%
1,500 Occidental Petroleum Corporation,
7.650% 02/15/06...................... 1,509
--------
PROFESSIONAL SERVICES -- 0.9%
1,300 Service Corporation International,
6.300% 03/15/03...................... 1,228
--------
TELECOMMUNICATIONS -- 1.1%
1,575 Cable & Wireless Communications plc,
6.375% 03/06/03...................... 1,574
--------
UTILITIES -- TELEPHONE -- 2.1%
1,400 MCI Worldcom, Inc.,
6.400% 08/15/05...................... 1,353
1,600 Sprint Capital Corporation,
5.700% 11/15/03...................... 1,528
--------
2,881
--------
TOTAL CORPORATE BONDS AND NOTES
(Cost $53,162)....................... 51,808
--------
FOREIGN BONDS AND NOTES -- 1.0%
(Cost $1,386)
1,385 Banco Latinoamericano,
7.200%** 05/28/02(+)................. 1,374
--------
MORTGAGE-BACKED SECURITIES -- 30.5%
COMMERCIAL MORTGAGE-BACKED SECURITIES -- 21.5%
3,050 Asset Securitization Corporation,
Series 1997-D5, Class A1C,
6.750% 02/14/41...................... 2,956
1,850 Commercial Mortgage Acceptance
Corporation, Series 1998-C1, Class
A2,
6.490% 05/15/08...................... 1,781
1,848 Criimi Mae CMBS Corporation, Series
1998-1, Class A1,
5.697% 10/20/01...................... 1,779
2,250 CS First Boston Mortgage Securities
Corporation, Series 1998-C1, Class
A1B,
6.480% 05/17/08...................... 2,147
500 CS First Boston Mortgage Securities
Corporation, Series 1998-C2, Class
A2,
6.300% 11/15/08...................... 475
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
COMMERCIAL MORTGAGE-BACKED
SECURITIES -- (CONTINUED)
$ 1,500 DLJ Commercial Mortgage Corporation,
Series 1998-CF2, Class A1B,
6.240% 11/12/31...................... $ 1,416
1,300 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.410% 05/10/08...................... 1,236
1,900 General Growth Properties, Series
1997-1, Class A2,
6.602% 11/15/07...................... 1,841
2,300 GMAC Commercial Mortgage Securities
Inc., Series 1997-C2, Class A3,
6.566% 11/15/07...................... 2,213
8,723 JP Morgan Commercial Mortgage Finance
Corporation, Series 1997-C4, Class X,
1.292%** 12/26/28.................... 510
2,100 Lehman Brothers Commercial Conduit
Mortgage Trust, Series 1998-C1,
Class A3, 6.480% 01/18/08............ 2,003
1,000 Morgan Stanley Capital I, Series
1998-HF2, Class A
2,6.480% 11/15/30.................... 962
2,950 Mortgage Capital Funding, Inc., Series
1998-MC1, Class A2,
6.663% 01/18/08...................... 2,876
1,300 Mortgage Capital Funding, Inc., Series
1998-MC2, Class A2,
6.423% 05/18/08...................... 1,246
2,180 Nomura Asset Securities Corporation,
Series 1998-D6, Class A1B,
6.590% 03/17/28...................... 2,098
2,200 Prudential Securities Secured Financing
Corporation, Series 1998-C1,
Class A1B, 6.506% 07/15/08........... 2,112
58,160 Vendee Mortgage Trust, Series 1998-1,
Class 2, IO,
.454%** 09/15/27..................... 1,000
55,698 Vendee Mortgage Trust, Series 1998-3,
Class 1, IO,
.314%** 03/15/29..................... 766
--------
29,417
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA)
CERTIFICATES -- 8.7%
898 7.000% 09/01/29........................ 883
10,548 7.000% 09/01/29........................ 10,365
735 7.291%** 08/01/36...................... 747
--------
11,995
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA)
CERTIFICATES -- 0.3%
192 10.000% 07/15/16....................... 210
60 10.000% 07/15/17....................... 66
83 10.000% 08/15/17....................... 91
--------
367
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $43,383)....................... 41,779
--------
</TABLE>
56
<PAGE> 61
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
- -------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 6.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 6.6%
(Cost $9,067)
$ 9,250 5.500% 05/15/02........................ $ 9,107
U.S. TREASURY OBLIGATIONS -- 5.4%
U.S. TREASURY NOTES -- 2.9%
3,000 5.500% 12/31/00........................ 2,997
1,000 5.000% 02/28/01........................ 992
--------
3,989
--------
U.S. TREASURY STRIPS -- 2.5%
2,000 Interest only 02/15/02................. 1,748
1,875 Interest only 11/15/04................. 1,381
1,800 Principal only 02/15/27................ 332
--------
3,461
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,480)........................ 7,450
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
- ------
- -------------------------------------------------------------
<C> <S> <C> <C>
INVESTMENT COMPANIES -- 4.7%
(Cost $6,493)
6,493 Nations Cash Reserves#................ 6,493
--------
TOTAL INVESTMENTS (Cost
$137,992*)................... 98.4% 134,908
--------
OTHER ASSETS AND
LIABILITIES (NET)............ 1.6%
Cash.................................. $ 590
Receivable for investment securities
sold................................ 7,492
Interest receivable................... 1,413
Miscellaneous receivables............. 123
Investment advisory fee payable....... (42)
Administration fee payable............ (6)
Payable for investment securities
purchased........................... (7,334)
Accrued Directors' fees and
expenses............................ (1)
Accrued expenses and other
liabilities......................... (14)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... 2,221
--------
NET ASSETS..................... 100.0% $137,129
========
</TABLE>
- ---------------
* Federal Income Tax Information: Net unrealized depreciation of investment
securities was comprised of gross appreciation of $262 and gross depreciation
of $3,346 for Federal income tax purposes. At September 30, 1999, the
aggregate cost of securities for Federal income tax purposes was $137,992.
** Variable rate note. The interest rate shown reflects the rate in effect at
September 30, 1999.
(+) 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.
# Money market mutual fund registered under the Investment Company Act of 1940,
as amended, and sub-advised by TradeStreet Investment Associates, Inc.
57
<PAGE> 62
NATIONS MASTER INVESTMENT TRUST
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
INTERMEDIATE BOND
PORTFOLIO
-------------------------------------------
FOR THE PERIOD
MAY 15, 1999 TO FOR THE PERIOD
SEPTEMBER 30, 1999 MARCH 1, 1999 TO
(UNAUDITED) MAY 14, 1999(A)
-------------------------------------------
<S> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Interest.................................................... $ 3,529 $ 1,950
------------------- -------------------
EXPENSES:
Investment advisory fee..................................... 163 97
Administration fee.......................................... 84 16
Fund accounting fees and expenses........................... -- 18
Custodian fees.............................................. 16 4
Legal and audit fees........................................ 19 --
Directors' fees and expenses................................ 10 --
Other....................................................... 7 2
------------------- -------------------
Total expenses.......................................... 299 137
Fees waived by investment advisor and/or distributor........ (2) (14)
Fees reduced by credits allowed by the custodian............ (6) --
------------------- -------------------
Net expenses............................................ 291 123
------------------- -------------------
NET INVESTMENT INCOME....................................... 3,238 1,827
------------------- -------------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) on investments..................... (1,516) (143)
Net change in unrealized appreciation/(depreciation) of
investments............................................... (1,036) (433)
------------------- -------------------
Net realized and unrealized gain/(loss) on investments...... (2,552) (576)
------------------- -------------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 686 $ 1,251
=================== ===================
</TABLE>
- ---------------
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Portfolio, which was reorganized into Nations Intermediate Bond Portfolio on
May 21, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE> 63
NATIONS MASTER INVESTMENT TRUST
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
INTERMEDIATE BOND
PORTFOLIO
----------------------------------------------
PERIOD ENDED
9/30/99 PERIOD ENDED YEAR ENDED
(UNAUDITED) 5/14/99 2/28/99
----------------------------------------------
<S> <C> <C> <C>
(IN THOUSANDS)
Net investment income....................................... $ 3,238 $ 1,827 $ 8,140
Net realized gain/(loss) on investments..................... (1,516) (143) 1,863
Net change in unrealized appreciation/(depreciation) of
investments............................................... (1,036) (433) (3,025)
-------------- -------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ 686 1,251 6,978
Contributions............................................... 8,738 9,177 62,766
Withdrawals................................................. (28,188) (11,824) (38,022)
-------------- -------------- --------------
Net increase/(decrease) in net assets....................... (18,764) (1,396) 31,722
NET ASSETS:
Beginning of period......................................... 155,893 157,289 125,567
-------------- -------------- --------------
End of period............................................... $ 137,129 $ 155,893 $ 157,289
============== ============== ==============
</TABLE>
SUPPLEMENTARY DATA
<TABLE>
WITHOUT
WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
--------------
RATIO OF RATIO OF NET RATIO OF
OPERATING INVESTMENT OPERATING
EXPENSES INCOME(LOSS) PORTFOLIO EXPENSE TO
TO AVERAGE TO AVERAGE TURNOVER AVERAGE
NET ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERMEDIATE BOND PORTFOLIO:
Period ended 9/30/1999 (unaudited)................ 0.55%+(a) 5.86%+ 43% 0.57%+(a)
Period ended 5/14/1999............................ 0.38+ 5.61+ 19 0.42+
Year ended 2/28/1999.............................. 0.35 5.69 137 0.45
Year ended 2/28/1998.............................. 0.35 5.99 127 0.55
Year ended 2/28/1997.............................. 0.35 5.86 83 0.65
Year ended 2/29/1996.............................. 0.18 6.47 172 0.68
Year ended 2/28/1995.............................. 0.25 6.22 240 0.75
</TABLE>
- ---------------
+ Annualized.
(a) The effect of the custodial expense offset (Note 2) on the operating expense
ratio, with and without waivers and/or expense reimbursements, was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE> 64
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Master Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. At September 30, 1999, the Trust offered five separate
series or Master Portfolios (each a "Master Portfolio" and collectively the
"Master Portfolios"). These financial statements pertain only to the
Intermediate Bond Master Portfolio ("the Portfolio"). Financial statements for
the other portfolios of the Trust are presented under separate cover.
The following shareholders were invested in the Portfolio at September 30, 1999:
<TABLE>
<S> <C>
Intermediate Bond Master Portfolio:
Nations Intermediate Bond Fund............... 65.5%
Nations Intermediate Bond Fund (Offshore)
(formerly World Horizon U.S. Bond Fund).... 34.5%
</TABLE>
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates. The following is a summary of
significant accounting policies followed by the Portfolio in the preparation of
its financial statements.
Securities valuation: Securities are valued using broker quotations or prices
provided by a pricing service approved by the Board of Trustees. Certain prices
provided by brokers or the pricing service may be based on a matrix pricing
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. Securities for which market quotations are not readily available
are valued by the investment advisor under the supervision of the Board of
Trustees. Short-term investments that mature in 60 days or less are valued at
amortized cost.
Securities transactions and investment income: Securities transactions are
accounted for on trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on ex-
dividend date.
Securities purchased or sold on a when-issued or delay-delivery basis may be
settled a month or more after trade date; interest income is not accrued until
settlement date. At the time the Portfolio enters into such transactions, it
instructs the custodian to segregate assets with a current value at least equal
to the amount of its when-issued or delayed delivery purchase commitments.
Expenses: Expenses directly attributable to the Portfolio are charged to it,
while general Trust expenses are allocated among the respective portfolios of
the Trust.
Federal income taxes: The Portfolio is treated as a partnership for Federal
income tax purposes and therefore is not subject to Federal income tax. Each
interest holder in the Portfolio will be taxed on its share of the Portfolio's
ordinary income and capital gains. The Master Trust intends to conduct its
operations in such a way that each portfolio will be able to qualify as a
regulated investment company under the Internal Revenue Code of 1986, as
amended.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
The Trust has entered into an investment advisory agreement (the "Investment
Advisory Agreement") with Banc of America Advisors, Inc. ("BAAI") (formerly
known as NationsBanc Advisors, Inc.), a wholly-owned subsidiary of Bank of
America, N.A. ("Bank of America") (formerly known as NationsBank, N.A.), which
in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a
bank holding company organized as a Delaware corporation, pursuant to which BAAI
provides investment advisory services to the Portfolio. Under the Investment
Advisory Agreement, BAAI is entitled to receive an advisory fee, calculated
daily and payable monthly, at the maximum annual rate of 0.40% of the
Portfolio's average daily net assets.
The Trust has entered into a sub-advisory agreement with BAAI and TradeStreet
Investment Associates, Inc. ("TradeStreet"), a wholly-owned subsidiary of Bank
of America, pursuant to which TradeStreet is entitled to receive a sub-advisory
fee from BAAI at the maximum annual rate of 0.15% of the Portfolio's average
daily net assets.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust.
Under the co-administration agreements, Stephens and BAAI are entitled to
receive a combined fee, computed daily and paid monthly, at the annual rate of
0.05% of the Portfolio's average daily net
60
<PAGE> 65
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
assets. The Bank of New York ("BNY") serves as sub-administrator of the Trust
pursuant to an agreement with. BAAI. For the six months ended September 30,
1999, BAAI earned $26,132 from the Portfolio for its co-administration services.
BNY serves as the custodian of the Trust's assets. For the six months ended
September 30, 1999, expenses of the Portfolio were reduced by $6,168 under
expense offset arrangements with BNY. The Portfolio could have invested a
portion of the assets utilized in connection with the expense offset
arrangements in an income producing asset if they had not entered into such
arrangements.
Effective July 1, 1999, the Board of Trustees of the Trust, along with the
Boards of Trustees/Directors of the other open-end registered investment
companies in the Nations Funds family approved a new compensation structure for
the unaffiliated Trustees/Directors. The new structure compensates the
unaffiliated Trustees/Directors for their services to the open-end registered
investment companies in the Nations Funds family as a whole, rather than to
particular registered investment companies, or series or portfolios thereof. As
of September 30, 1999, the open-end registered investment companies in the
Nations Funds family were the Nations Fund Trust, Nations Fund, Inc., Nations
Reserves, Nations Annuity Trust, Nations LifeGoal Funds, Inc. and the Trust.
Under the new structure, each unaffiliated Trustee/Director receives a base
retainer fee from the open-end investment companies in the amount of $65,000 per
year, in addition to $5,000 for each in-person meeting attended and $1,000 for
each telephonic meeting attended. Each unaffiliated Trustee/Director will be
compensated only for a maximum of six in-person meetings per calendar year. The
Chairman of the Boards receives an additional fee of 20% of the base retainer
fee; the Chairman of the Audit Committee receives an additional fee of 10% of
the base retainer fee. The members of the Nominating Committee receive
additional compensation at the rate of $1,000 per meeting attended. Each
unaffiliated Trustee/Director is also reimbursed for expenses incurred in
attending such meetings.
Prior to July 1, 1999, the Trust each paid an unaffiliated Trustee an annual fee
of $1,000 ($3,000 for the Chairman of the Board), plus $500 per Portfolio and an
additional $1,000 for each in-person board meeting, and $500 for each telephonic
board meeting attended. The Trust also reimbursed expenses incurred by each
unaffiliated Trustee in attending such meetings.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, was $9,270 and
$13,966, respectively, for the six months ended September 30, 1999.
The aggregate cost of purchases and proceeds from sales of long-term U.S.
government securities for the six months ended September 30, 1999 was $40,514
and $57,833, respectively.
4. SHARES OF BENEFICIAL INTEREST
The Trust's Declaration of Trust authorizes the Board of Trustees to issue an
unlimited number of shares of beneficial interest and to establish and designate
such shares of beneficial interest into one or more Master Portfolios.
5. REORGANIZATION OF MASTER INVESTMENT TRUST, SERIES I
On May 21, 1999, the Intermediate Bond Master Portfolio, a newly established
portfolio, acquired the assets and liabilities of Intermediate Bond Master
Portfolio ("Acquired Portfolio"), a series of Master Investment Trust, Series I,
pursuant to a plan of reorganization approved by its interest holders. The
acquisition was accomplished by a tax-free exchange of interests of Intermediate
Bond Master Portfolio in an amount equal to the outstanding interests of the
Acquired Portfolio. The financial statements of the Intermediate Bond Master
Portfolio reflect the historical financial results of the Acquired Portfolio
prior to the reorganization. Additionally, the fiscal year end of the
Intermediate Bond Master Portfolio for financial reporting purposes was changed
to coincide with that of the Trust.
61
<PAGE> 66
P.O. Box 34602
Charlotte, NC 28234-4602
Toll free 1.800.982.2271
Nations Funds
SAR5 991396 (9/99)
