-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IEV2X9S73noXVGkt7NhhA8PIsJydIYeMKCnnUr421QpL5qGG6HfBS0f8AgZznKlW 8EO1/R5IDKtN3dZRF9rdYg== 0000950144-00-014567.txt : 20001201 0000950144-00-014567.hdr.sgml : 20001201 ACCESSION NUMBER: 0000950144-00-014567 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000930 FILED AS OF DATE: 20001130 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUNDS TRUST CENTRAL INDEX KEY: 0001097519 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-09645 FILM NUMBER: 781394 BUSINESS ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE BANKOF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 N-30D 1 g64501fsn-30d.txt FUNDS TRUST (GOV'T) 1 [GRAPHIC: PHOTO COLLAGE OF BUILDINGS] Nations Short-Term Income Fund Nations Short-Intermediate Government Fund Nations Government Securities Fund Nations U.S. Government Bond Fund Nations Intermediate Bond Fund Nations Bond Fund Nations Strategic Income Fund Nations High Yield Bond Fund GOVERNMENT & CORPORATE BOND FUNDS Semiannual report for the period ended September 30, 2000 [Nations Funds logo] 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 3 PRESIDENTS' MESSAGE Dear Shareholder: The six-month period ended September 30, 2000 proved to be quite unsettling for mutual fund investors. Several factors led to turbulence in U.S. and overseas markets. The Federal Reserve Board's practice of increasing interest rates in an attempt to slow down the economy and keep inflation at bay took a toll on the stock market. Oil prices soared over the summer causing concern across the country as several cities saw gas prices above $2.00 per gallon. The slowing economy affected earnings at a number of leading U.S. companies, causing additional volatility in the stock market. Overseas, the European Central Bank raised interest rates in August -- the fifth rate hike this year -- and the euro fell to a record low. In Japan, the Bank of Japan increased interest rates for the first time in a decade, adding additional strain to an economy that has struggled over the last several years. The only seemingly bright spot for investors during the past six months has been in the bond market. Because of the federal government's budget surplus, the U.S. Treasury has had to buy back many of its long-term securities. The shortage in long-term securities has generally increased returns on these securities, resulting in an inversion of the yield curve -- whereby short-term securities are yielding more than many longer-term securities. This is the first time in a long time that most bond sectors have outperformed both the Standard & Poor's 500 Composite Stock Price Index and the Nasdaq Composite Index*. Now, you're probably asking yourself "Is this a good time to invest in stocks or bonds?" We think the answer is "Yes." While stocks of all sizes have historically outperformed bonds over the long-term, and bonds have performed well this year, a broadly diversified portfolio -- one consisting of both stocks and bonds -- can help you weather market volatility. Remember that the financial markets tend to be cyclical and while one asset class or investment style may be the flavor of the month, it could be out of favor the next. It's also important to note that volatility tends to keep some investors on the sidelines. But waiting for the right time to invest may result in missed opportunities. Disciplined investing requires staying invested through market highs and lows. Investors can also take advantage of dollar cost averaging** during volatile times -- the practice of systematic investing where you seek to buy more shares when prices are low and fewer shares when prices are high, resulting in a lower average share price over time. Remaining invested and regularly investing is key. Whether it's growth vs. value, large cap vs. small cap, stocks vs. bonds, or U.S. vs. international, no single investment style alone will assure that you achieve your long-term financial goals. We believe diversification is the key to long-term success and an investment professional can help you create a portfolio best suited to your risk tolerance and investment time horizon. *The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is unavailable for investment. The Nasdaq Composite Index tracks the performance of domestic common stocks traded on the regular Nasdaq market as National Market System traded foreign stocks and ADRs. It is unmanaged and unavailable for investment. **Dollar cost averaging does not ensure a profit or protect against a loss in a declining market. You should carefully consider your ability to make regular investments through periods of fluctuating market conditions. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 4 PRESIDENTS' MESSAGE CONTINUED... At Nations Funds, we strongly believe in the value of advice. An investment professional can provide you with market research and analysis, years of investment experience, and work with you to determine the best strategy for surviving short-term volatility and successfully reaching your long-term goals. We remain committed to providing you with world-class investment management and competitive products to help you reach your long-term goals. Should you have any questions or comments on your semiannual report, please contact your investment professional or call us at 1.800.321.7854. You can also visit us online at www.nations-funds.com. Thank you for being a part of the Nations Funds family. Sincerely, /s/ A. Max Walker A. MAX WALKER PRESIDENT AND CHAIRMAN OF THE BOARD NATIONS FUNDS /s/ Robert H. Gordon ROBERT H. GORDON PRESIDENT BANC OF AMERICA ADVISORS, INC. September 30, 2000 5 TABLE OF CONTENTS 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 U.S. Government Bond Fund 10 Nations Intermediate Bond Fund 12 Nations Bond Fund 13 Nations Strategic Income Fund 18 Nations High Yield Bond Fund 21 Statements of operations 22 Statements of changes in net assets 24 Schedules of capital stock activity 28 Financial highlights 36 Notes to financial statements 52 Statements of net assets -- Nations Master Investment Trust Nations Intermediate Bond Master Portfolio 61 Nations High Yield Bond Master Portfolio 64 Statements of operations 69 Statements of changes in net assets 70 Supplementary data 70 Notes to financial statements 71
------------------------------------------------------------------------------ NATIONS FUNDS [DALBAR SERVICE AWARD LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc., is a well-respected CUSTOMER SERVICE research firm that measures customer service levels and IN RECOGNITION OF ITS COMMITMENT TO establishes benchmarks in the PROVIDE SHAREHOLDERS WITH THE financial services industry. HIGHEST LEVEL OF CUSTOMER SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 1999. ------------------------------------------------------------------------------
6 THE NATIONS FUNDS FAMILY OF FUNDS LOWER RISK/REWARD POTENTIAL MONEY MARKET FUNDS Nations Prime Fund Nations Cash Reserves Nations Money Market Reserves Nations Government Money Market Fund Nations Government Reserves Nations Treasury Fund Nations Treasury Reserves Nations Tax Exempt Fund Nations Municipal Reserves Nations California Tax-Exempt Reserves FIXED INCOME FUNDS INCOME FUNDS Nations High Yield Bond Fund Nations Strategic Income Fund Nations U.S. Government Bond Fund Nations Government Securities Fund Nations Bond Fund Nations Intermediate Bond Fund Nations Short-Intermediate Government Fund Nations Short-Term Income Fund TAX-EXEMPT INCOME FUNDS Nations Municipal Income Fund Nations State-Specific Long-Term Municipal Bond Funds (CA, FL, GA, KS, MD, NC, SC, TN, TX, VA) Nations Intermediate Municipal Bond Fund Nations State-Specific Intermediate Municipal Bond Funds (FL, GA, MD, NC, SC, TN, TX, VA) Nations Short-Term Municipal Income Fund DOMESTIC EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Aggressive Growth Fund Nations Capital Growth Fund Nations Strategic Growth Fund Nations Blue Chip Fund GROWTH AND INCOME FUNDS Nations Marsico Growth & Income Fund Nations Value Fund Nations Equity Income Fund Nations Asset Allocation Fund Nations Balanced Assets Fund Nations Convertible Securities Fund INTERNATIONAL FUNDS Nations Emerging Markets Fund Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund HIGHER RISK/REWARD POTENTIAL INDEX FUNDS Nations Managed Index Fund Nations LargeCap Index Fund Nations MidCap Index Fund Nations SmallCap Index Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Growth Portfolio Nations LifeGoal Income and Growth Portfolio 2 7 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 20.8% ASSET-BACKED -- AUTO LOANS -- 6.1% $ 7,900 BankBoston RV Trust, Series 1997-1, Class A-7, 6.480% 07/15/08...................... $ 7,873 10,219 Premier Auto Trust, Series 1997-2, Class A5, 6.320% 03/06/02...................... 10,181 5,000 Premier Auto Trust, Series 1999-1, Class A4, 5.820% 10/08/03...................... 4,931 -------- 22,985 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 3.8% 8,920 Metris Master Trust, Series 1997-1, Class B, 7.110% 10/20/05...................... 8,894 5,482 Sears Credit Account Master Trust, Series 1998-1, Class A, 5.800% 08/15/05...................... 5,453 -------- 14,347 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 6.7% 11,477 EQCC Home Equity Loan Trust, Series 1998-1, Class A4F, 6.459% 03/15/21...................... 11,360 6,699 GE Capital Mortgage Services, Inc., Series 1997-HE4, Class A3, 6.590% 12/25/12...................... 6,665 7,300 Residential Asset Securities Corporation, Series 1999-KS1, Class AI3, 6.110% 05/25/25........... 7,163 -------- 25,188 -------- ASSET-BACKED -- OTHER -- 4.2% 7,936 Fingerhut Master Trust, Series 1998-1, Class B, 6.290% 02/15/05...................... 7,883 8,000 First Sierra Receivables, Series 1999-1, Class A4, 5.730% 09/15/04...................... 7,781 -------- 15,664 -------- TOTAL ASSET-BACKED SECURITIES (Cost $78,852)....................... 78,184 -------- CORPORATE BONDS AND NOTES -- 58.0% BEVERAGES -- 2.1% 8,000 J. Seagram and Sons, Inc., 6.250% 12/15/01...................... 7,908 -------- BROADCASTING AND CABLE -- 4.9% 5,000 News America Holdings, 8.625% 02/01/03...................... 5,163 8,000 Paramount Communications, Sr. Notes, 7.500% 01/15/02...................... 8,003 5,100 Time Warner Inc., Pass-Thru, 6.100% 12/30/01(-)................... 5,031 -------- 18,197 -------- COMMERCIAL BANKING -- 9.2% 4,000 Banco Latinoamericano SA, 7.400% 09/21/01...................... 4,012 5,000 Federal Home Loan Bank, 6.750% 05/01/02...................... 5,016
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 6,500 Finova Capital Corporation, 7.400% 05/06/06...................... $ 4,730 5,050 First Maryland Bancorp, 8.375% 05/15/02...................... 5,134 5,000 First Union Corporation, 6.625% 06/15/04...................... 4,893 2,000 Firstar Corporation, 6.500% 07/15/02...................... 1,985 5,125 Golden State Holdings, Escrow Corporation, 7.000% 08/01/03...................... 4,880 4,000 Popular, Inc., MTN, 6.375% 09/15/03...................... 3,925 -------- 34,575 -------- COMMERCIAL SERVICES -- 1.1% 4,000 Comdisco, Inc., 9.500% 08/15/03...................... 4,031 -------- CONGLOMERATES -- 1.5% 5,500 Waste Management Inc., 7.700% 10/01/02...................... 5,446 -------- DEPARTMENT AND DISCOUNT STORES -- 1.1% 4,000 Federated Department Stores, Inc., 8.500% 06/15/03...................... 4,082 -------- ENERGY -- MISCELLANEOUS -- 2.5% 5,505 Coastal Corporation, 10.000% 02/01/01..................... 5,547 4,000 Reliant Energy, Inc., 8.850% 02/01/01...................... 4,015 -------- 9,562 -------- FINANCE -- MISCELLANEOUS -- 11.7% 3,000 Aristar, Inc., 7.750% 06/15/01...................... 3,008 7,390 AT&T Capital Corporation, 6.875% 01/16/01...................... 7,382 5,000 Ford Motor Credit Company, 5.125% 10/15/01...................... 4,896 4,000 General Motors Acceptance Corporation, 5.910% 03/11/02...................... 3,939 7,000 Heller Financial, Inc., 5.750% 09/25/01...................... 6,898 4,000 Household Finance Corporation, 5.875% 11/01/02...................... 3,918 1,180 Norwest Financial, Inc., 6.625% 07/15/04...................... 1,162 4,000 Salomon, Inc., 6.750% 02/15/03...................... 3,975 8,230 Sears Roebuck Acceptance Corporation, 6.860% 10/02/01...................... 8,231 -------- 43,409 -------- FOOD AND DRUG STORES -- 1.3% 5,000 Safeway, Inc., 5.875% 11/15/01...................... 4,932 -------- HEALTH SERVICES -- 0.7% 3,010 HEALTHSOUTH Corporation, Sr. Notes, 6.875% 06/15/05...................... 2,574 --------
SEE NOTES TO FINANCIAL STATEMENTS. 3 8 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- INSURANCE -- 1.3% $ 5,000 Aon Corporation, 7.400% 10/01/02...................... $ 5,009 -------- INVESTMENT SERVICES -- 9.6% 5,000 Bear Stearns Company, Inc., 6.125% 02/01/03...................... 4,900 5,000 Donaldson Lufkin and Jenrette, 5.875% 04/01/02...................... 4,916 6,000 Goldman Sachs Group LP, 7.125% 03/01/03(-)................... 5,996 5,000 Lehman Brothers Holdings, Inc., 6.250% 04/01/03...................... 4,918 4,000 Merrill Lynch and Company, 7.570% 11/09/01...................... 4,032 4,000 Morgan Stanley Dean Witter and Company, 7.375% 04/15/03...................... 4,044 4,000 Paine Webber Group, Inc., 8.250% 05/01/02...................... 4,061 3,250 Washington Mutual Inc., 8.250% 10/01/02...................... 3,306 -------- 36,173 -------- RAILROADS, TRUCKING AND SHIPPING -- 4.5% 10,100 ERAC USA Finance Company, 7.500% 06/15/03(-)................... 10,175 3,786 Hertz Corporation, 7.000% 04/15/01...................... 3,777 3,000 Ryder System, Inc., MTN, 7.320% 11/01/00...................... 3,000 -------- 16,952 -------- TELECOMMUNICATIONS SERVICES -- 2.4% 4,000 Vodafone AirTouch plc, 6.859%** 12/19/01.................... 4,004 5,000 Wells Fargo Company, 5.750% 02/01/03...................... 4,891 -------- 8,895 -------- UTILITIES -- MISCELLANEOUS -- 4.1% 8,299 Columbia Gas System, Series A, 6.390% 11/28/00...................... 8,279 4,750 Consumers Energy Company, 6.375% 09/15/03...................... 4,616 2,500 Transcontinental Gas Pipeline, 8.875% 09/15/02...................... 2,581 -------- 15,476 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $219,162)...................... 217,221 --------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 13.1% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.1% $ 4,000 Mall of America Capital Company LLC, Series 2000-1, Class B, 7.019%** 03/12/05.................... $ 3,941 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 3.3% 407 5.500% 07/01/01........................ 404 156 7.500% 09/01/01........................ 155 2,000 4.750% 12/14/01........................ 1,961 3,000 6.250% 10/15/02........................ 2,985 7,000 5.750% 07/15/03........................ 6,862 -------- 12,367 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 6.9% 6,475 6.000% 06/01/01 - 11/01/04............. 6,359 6,000 5.375% 03/15/02........................ 5,905 7,000 5.250% 01/15/03........................ 6,812 6,000 5.750% 04/15/03........................ 5,890 499 6.500% 08/01/04........................ 494 636 7.500% 11/01/09 642 -------- 26,102 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.8% 6,734 7.375% 04/20/22........................ 6,778 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $49,597)....................... 49,188 -------- U.S. TREASURY OBLIGATIONS -- 7.0% U.S. TREASURY NOTES -- 7.0% 5,000 5.500% 03/31/03........................ 4,945 11,000 6.000% 08/15/04........................ 11,032 5,000 7.250% 08/15/04........................ 5,227 5,000 5.875% 11/15/04........................ 4,995 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $25,911)....................... 26,199 --------
SEE NOTES TO FINANCIAL STATEMENTS. 4 9 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
SHARES VALUE (000) (000) - ----------------------------------------------------------- INVESTMENT COMPANIES -- 0.2% (Cost $837) 837 Nations Cash Reserves#................ $ 837 -------- TOTAL INVESTMENTS (Cost $374,359*)............. 99.1% 371,629 -------- OTHER ASSETS AND LIABILITIES (NET)............ 0.9% Receivable for investment securities sold................................ $ 492 Receivable for Fund shares sold....... 174 Interest receivable................... 5,680 Payable for Fund shares redeemed...... (664) Investment advisory fee payable....... (62) Administration fee payable............ (68) Shareholder servicing and distribution fees payable........................ (5) Distributions payable................. (1,913) Accrued Trustees'/Directors' fees and expenses............................ (31) Accrued expenses and other liabilities......................... (77) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 3,526 -------- NET ASSETS..................... 100.0% $375,155 ======== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold.................... $(11,281) Net unrealized depreciation of investments......................... (2,730) Paid-in capital....................... 389,166 -------- NET ASSETS............................ $375,155 ========
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($364,048,493/38,036,199 shares outstanding)........................ $9.57 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($7,733,531/807,903 shares outstanding)................. $9.57 ===== Maximum sales charge.................. 1.00% Maximum offering price per share...... $9.67 INVESTOR B SHARES: Net asset value and offering price per share(+) ($2,723,072/284,419 shares outstanding)........................ $9.57 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($650,039/67,900 shares outstanding)........................ $9.57 =====
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $2,730 on investment securities was comprised of gross appreciation of $943 and gross depreciation of $3,673 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $374,359. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2000. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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 Banc of America Capital Management, Inc. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 5 10 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 67.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 7.9% $ 9,350 Chase Manhattan Bank - First Union National, Series 1999-1, Class A2, 7.439% 07/15/09...................... $ 9,507 9,340 Commercial Mortgage Acceptance Corporation, Series 1999-C1, Class A2, 7.030% 05/15/09.................. 9,252 9,350 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... 9,485 4,265 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09...................... 4,304 9,250 Salomon Brothers Mortgage Securities, Series 2000-C2, Class A2, 7.455% 04/18/10...................... 9,385 2,473 Vendee Mortgage Trust, Series 1994-3A, Class 1H, 6.500% 12/15/01...................... 2,461 -------- 44,394 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 15.6% 66,000 6.250% 10/15/02 - 07/15/04............. 65,635 1,064 6.000% 11/15/10........................ 1,058 211 5.500% 10/15/19........................ 211 21,332 7.000% 12/01/25 - 07/01/29............. 20,960 -------- 87,864 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 33.3% 1,000 5.500% 12/25/00........................ 995 3,300 5.750% 04/15/03........................ 3,240 13,325 7.000% 05/18/04 - 12/01/28............. 13,138 93,075 6.500% 08/15/04 - 03/01/28............. 92,142 3,414 6.150% 03/01/08........................ 3,282 12,679 6.270% 06/01/08........................ 12,255 3,040 8.000% 12/01/09##...................... 3,081 7,008 6.000% 12/01/13........................ 6,758 3,955 9.000% 04/01/16........................ 4,070 6,539 8.500% 04/01/17........................ 6,730 42,618 7.500% 09/01/29##...................... 42,547 -------- 188,238 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 11.1% 9,923 7.375% 04/20/22........................ 9,989 12,554 7.500% 02/15/24 - 04/15/26............. 12,622 7,496 7.000% 01/16/28........................ 7,264
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PRINCIPAL AMOUNT VALUE (000) (000) GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 11.1% -- (CONTINUED) $33,490 6.500%** 06/20/29...................... $ 12,930 33,490 6.500% 07/15/29........................ 19,796 -------- 62,601 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $384,279)...................... 383,097 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 11.9% FEDERAL FARM CREDIT BANK (FFCB) -- 0.2% 1,000 6.100% 12/29/00........................ 998 -------- FEDERAL HOME LOAN BANK (FHLB) -- 6.6% 38,000 5.125% 04/17/01........................ 37,715 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 5.1% 30,000 5.125% 02/13/04##...................... 28,706 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $68,653)....................... 67,419 -------- U.S. TREASURY OBLIGATIONS -- 12.9% U.S. TREASURY NOTES -- 10.1% 14,000 5.750% 06/30/01........................ 13,939 9,700 6.250% 10/31/01........................ 9,697 24,500 5.875% 11/30/01........................ 24,392 4,200 6.250% 01/31/02........................ 4,202 650 6.500% 05/31/02........................ 654 4,000 5.750% 10/31/02........................ 3,981 -------- 56,865 -------- U.S. TREASURY STRIPS -- 2.8% 8,000 Interest only 08/15/05................. 6,040 4,000 Interest only 02/15/10................. 2,287 8,220 Principal only 11/15/04................ 6,450 5,500 Principal only 11/15/27................ 1,108 -------- 15,885 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $72,758)....................... 72,750 --------
SHARES (000) - ------- INVESTMENT COMPANIES -- 9.8% (Cost $55,321) 55,321 Nations Cash Reserves#................ 55,321 -------- TOTAL INVESTMENTS (Cost $581,011*)............. 102.5% 578,587 --------
SEE NOTES TO FINANCIAL STATEMENTS. 6 11 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE (000) - ----------------------------------------------------------- OTHER ASSETS AND LIABILITIES (NET)............ (2.5)% Cash.................................. $ 1 Receivable for investment securities 287 sold................................ Receivable for Fund shares sold....... 123 Interest receivable................... 6,352 Variation margin/due to broker........ (2) Collateral on securities loaned....... (17,145) Payable for Fund shares redeemed...... (588) Investment advisory fee payable....... (139) Administration fee payable............ (102) Shareholder servicing and distribution fees payable........................ (15) Distributions payable................. (2,785) Accrued Trustees'/Directors' fees and expenses............................ (44) Accrued expenses and other liabilities......................... (89) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... (14,146) -------- NET ASSETS..................... 100.0% $564,441 ======== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold and futures contracts........................... $(25,983) Net unrealized depreciation of investments and futures contracts... (2,135) Paid-in capital....................... 592,559 -------- NET ASSETS............................ $564,441 ========
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($515,803,585/128,851,294 shares outstanding)........................ $4.00 ===== PRIMARY B SHARES: Net asset value, offering and redemption price per share ($131,734/32,912 shares outstanding)........................ $4.00 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($41,099,838/10,269,988 shares outstanding)................. $4.00 ===== Maximum sales charge.................. 3.25% Maximum offering price per share...... $4.14 INVESTOR B SHARES: Net asset value and offering price per share(+) ($6,993,183/1,746,984 shares outstanding)................. $4.00 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($412,231/103,145 shares outstanding)........................ $4.00 =====
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $2,424 on investment securities was comprised of gross appreciation of $1,675 and gross depreciation of $4,099 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $581,011. ## All or a portion of security segregated as collateral for futures contracts. ** Variable rate security. The interest rate shown reflects the rate in effect at September 30, 2000. (+) 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 Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 8). The portion that represents cash collateral is $17,145. SEE NOTES TO FINANCIAL STATEMENTS. 7 12 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.6% (Cost $1,308) $ 1,308 Export Funding Trust, Series 1995-A, Class A, 8.210% 12/29/06...................... $ 1,363 -------- MORTGAGE-BACKED SECURITIES -- 88.3% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 9.5% 3,900 Commercial Mortgage Asset Trust, Series 1999-C1, Class A3, 6.640% 09/17/10...................... 3,759 725 DLJ Commercial Mortgage Corporation, Series 1998-CG1, Class A1B, 6.410% 05/10/08...................... 695 3,820 DLJ Commercial Mortgage Corporation, Series 1999-CG3, Class A1B, 7.340% 09/10/09...................... 3,833 3,820 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... 3,875 650 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2, 6.423% 05/18/08...................... 621 3,800 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09...................... 3,835 3,900 Prudential Securities Secured Financing Corporation, Series 1999-C2, Class A2, 7.193% 04/15/09............ 3,908 45,095 Vendee Mortgage Trust, Series 1998-1, Class 2, IO, .453%** 09/15/27..................... 786 41,572 Vendee Mortgage Trust, Series 1998-3, Class 1, IO, .314%** 03/15/29..................... 543 -------- 21,855 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 35.0% 607 10.000% 07/01/01 - 09/01/18............ 634 1,810 8.500% 09/01/01 - 09/01/20............. 1,848 435 9.000% 02/01/02 - 12/01/16............. 445 42,000 6.250% 10/15/02 - 07/15/04............. 41,663 308 8.000% 08/01/07 - 05/01/17............. 312 29 7.500% 08/01/08........................ 29 29,011 6.500% 01/01/09 - 09/15/25............. 27,909 1,000 6.625% 09/15/09........................ 988 5,347 6.000% 09/01/13........................ 5,159 1,381 9.500% 04/01/18 - 01/01/29............. 1,432 358 7.000% 05/01/29 - 08/01/29............. 351 -------- 80,770 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 34.0% 255 8.500% 11/01/01 - 07/01/21............. 261 236 7.000% 07/01/03........................ 235
- -------------------------------------------------------------
PRINCIPAL AMOUNT VALUE (000) (000) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- (CONTINUED) $ 5,600 5.625% 05/14/04........................ $ 5,430 10,091 8.000% 04/01/06 - 11/01/29............. 10,229 1,849 10.000% 10/01/06 - 04/01/20............ 1,906 2,444 6.135% 08/01/08........................ 2,342 8,290 7.500% 08/01/08 - 02/01/15............. 8,354 61 8.250% 04/01/09........................ 63 19,946 6.000% 05/01/13 - 06/01/29............. 18,720 6,733 6.565% 07/01/16........................ 6,495 814 9.000% 12/01/16 - 09/01/24............. 840 6,386 9.500% 04/01/20 - 08/01/21............. 6,626 1,748 6.990% 06/01/23........................ 1,720 1,496 6.750% 03/18/28........................ 1,424 9,616 5.500% 02/01/29 - 03/01/29............. 8,724 4,855 6.500% 03/01/29........................ 4,663 305 8.426%** 08/01/36...................... 313 -------- 78,345 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 9.8% 260 10.500% 10/15/00 - 04/15/21............ 282 240 10.000% 12/15/00 - 03/15/21............ 254 1 11.750% 12/15/00....................... 1 357 9.500% 02/20/01 - 04/20/06............. 364 546 9.000% 06/15/01 - 03/15/27............. 565 259 7.000% 02/15/09 - 06/15/23............. 256 2,815 8.500% 10/15/09 - 02/20/29............. 2,897 9,812 6.000% 12/15/10 - 07/15/29............. 9,217 46 13.000% 1/15/11 - 04/15/11............. 50 3,348 8.000% 11/15/14 - 07/15/26............. 3,418 81 11.000% 11/15/15 - 10/20/20............ 87 5,191 7.500% 04/15/22 - 04/15/29............. 5,216 -------- 22,607 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $203,887)...................... 203,577 -------- U.S. TREASURY OBLIGATIONS -- 10.6% U.S. TREASURY NOTES -- 2.1% 4,900 5.500% 08/31/01........................ 4,865 -------- U.S. TREASURY STRIPS -- 8.5% 5,000 Interest only 02/15/10................. 2,859 16,625 Interest only 02/15/20................. 5,115 5,300 Interest only 05/15/20................. 1,613 1,750 Principal only 11/15/04................ 1,373 2,100 Principal only 05/15/20................ 640 1,500 Principal only 02/15/21................ 438 8,500 Principal only 11/15/21................ 2,372 22,075 Principal only 02/15/27................ 4,632 2,300 Principal only 11/15/27................ 463 -------- 19,505 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $23,147)....................... 24,370 --------
SEE NOTES TO FINANCIAL STATEMENTS. 8 13 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
SHARES VALUE (000) (000) - ----------------------------------------------------------- INVESTMENT COMPANIES -- 0.6% (Cost $1,289) 1,289 Nations Cash Reserves#................ $ 1,289 -------- TOTAL INVESTMENTS (Cost $229,631*)............. 100.1% 230,599 -------- OTHER ASSETS AND LIABILITIES (NET)............ (0.1)% Receivable for investment securities sold................................ $ 2,386 Receivable for Fund shares sold....... 149 Interest receivable................... 2,106 Collateral on securities loaned....... (644) Payable for Fund shares redeemed...... (2,742) Investment advisory fee payable....... (76) Administration fee payable............ (42) Shareholder servicing and distribution fees payable........................ (32) Distributions payable................. (1,186) Accrued Trustees'/Directors' fees and expenses............................ (26) Accrued expenses and other liabilities......................... (56) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... (163) -------- NET ASSETS..................... 100.0% $230,436 ======== NET ASSETS CONSIST OF: Distributions in excess of net investment income................... $ (393) Accumulated net realized loss on investments sold.................... (29,218) Net unrealized appreciation of investments......................... 968 Paid-in capital....................... 259,079 -------- Net assets............................ $230,436 ========
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($151,990,440/16,035,375 shares outstanding)........................ $9.48 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($53,237,827/5,623,627 shares outstanding)................. $9.47 ===== Maximum sales charge.................. 4.75% Maximum offering price per share...... $9.94 INVESTOR B SHARES: Net asset value and offering price per share(+) ($24,939,807/2,631,264 shares outstanding)................. $9.48 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($267,593/28,342 shares outstanding)........................ $9.44 =====
- --------------- * Federal Income Tax Information: Net unrealized appreciation of $968 on investment securities was comprised of gross appreciation of $2,964 and gross depreciation of $1,996 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $229,631. ** Variable rate Security. The interest rate shown reflects the rate in effect at September 30, 2000. (+) 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 Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 8). The portion that represents cash collateral is $644. SEE NOTES TO FINANCIAL STATEMENTS. 9 14 NATIONS FUNDS Nations U.S. Government Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 77.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 14.6% $ 1,265 Chase Manhattan Bank -- First Union National, Series 1999-1, Class A2, 7.439% 07/15/09....................... $ 1,287 1,225 Commercial Mortgage Acceptance Corporation, Series 1999-C1, Class A2, 7.030% 05/15/09....................... 1,213 1,200 Commercial Mortgage Asset Trust, Series 1999-C1, Class A3, 6.640% 09/17/10....................... 1,157 1,265 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09....................... 1,283 1,225 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09....................... 1,236 1,200 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10....................... 1,231 1,265 Prudential Securities Secured Financing Corporation, Series 1999-NRF1, Class A2, 6.480% 01/15/09............. 1,212 1,265 Salomon Brothers Mortgage Securities, Series 2000-C2, Class A2, 7.455% 04/18/10....................... 1,283 ------- 9,902 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 41.9% 925 6.250% 10/15/02......................... 920 5,975 5.750% 07/15/03......................... 5,857 4,992 6.000% 09/01/13......................... 4,817 17,450 6.500% 08/01/30......................... 16,748 ------- 28,342 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 12.0% 474 6.000% 05/01/13......................... 457 1,750 7.500% 02/01/15......................... 1,763 5,800 8.000% 05/01/30......................... 5,876 ------- 8,096 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 9.4% 3,979 7.500% 09/15/07 -- 04/15/29............. 3,991 2,350 6.500% 04/15/29......................... 2,263 127 8.000% 07/15/29......................... 130 ------- 6,384 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $52,635)........................ 52,724 ------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 5.6% (Cost $3,925) FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.6% 4,005 5.750% 04/15/08......................... 3,768 ------- U.S. TREASURY OBLIGATIONS -- 7.0% U.S. TREASURY STRIPS -- 7.0% 2,570 Interest only 05/15/20.................. 782 9,525 Principal only 11/15/21................. 2,659
- -------------------------------------------------------------
PRINCIPAL AMOUNT VALUE (000) (000) U.S. TREASURY STRIPS -- (CONTINUED) $ 4,525 Principal only 02/15/27................. $ 949 1,700 Principal only 11/15/27................. 343 ------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,585)......................... 4,733 ------- SHORT TERM INVESTMENTS -- 8.7% (Cost $5,877) FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 8.7% 5,890 Discount note 10/13/00.................. 5,877 -------
SHARES (000) - ------- INVESTMENT COMPANIES -- 8.6% (Cost $5,794) 5,794 Nations Cash Reserves#................. 5,794 ------- TOTAL INVESTMENTS (Cost $72,816*)............... 107.8% 72,896 ------- OTHER ASSETS AND LIABILITIES (NET)............. (7.8)% Cash................................... $ 1 Receivable for investment securities sold................................. 865 Receivable for Fund shares sold........ 558 Interest receivable.................... 473 Payable for Fund shares redeemed....... (913) Investment advisory fee payable........ (23) Administration fee payable............. (12) Shareholder servicing and distribution fees payable......................... (8) Distributions payable.................. (318) Payable for investment securities purchased............................ (5,842) Accrued Trustees'/Directors' fees and expenses............................. (21) Accrued expenses and other liabilities.......................... (51) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................... (5,291) ------- NET ASSETS...................... 100.0% $67,605 ======= NET ASSETS CONSIST OF: Undistributed net investment income.... $ 20 Accumulated net realized loss on investments sold..................... (6,170) Net unrealized appreciation of investments.......................... 80 Paid-in capital........................ 73,675 ------- NET ASSETS............................. $67,605 =======
SEE NOTES TO FINANCIAL STATEMENTS. 10 15 NATIONS FUNDS Nations U.S. Government Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($55,630,974/5,746,515 shares outstanding)......................... $9.68 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($2,607,193/268,667 shares outstanding).................. $9.70 ===== Maximum sales charge................... 4.75% Maximum offering price per share....... $10.18 INVESTOR B SHARES: Net asset value and offering price per share(+) ($8,645,303/893,173 shares outstanding)......................... $9.68 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($721,153/74,478 shares outstanding)......................... $9.68 =====
- --------------- * Federal Income Tax Information: Net unrealized appreciation of $80 on investment securities was comprised of gross appreciation of $559 and gross depreciation of $479 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $72,816. (+) 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 Banc of America Capital Management, Inc. SEE NOTES TO FINANCIAL STATEMENTS. 11 16 NATIONS FUNDS Nations Intermediate Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
VALUE (000) - ----------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, Intermediate Bond Master Portfolio*........................... $95,960 ------- TOTAL INVESTMENTS............... 100.1% 95,960 ------- OTHER ASSETS AND LIABILITIES (NET)............. (0.1)% Administration fee payable............. $ (13) Shareholder servicing and distribution fees payable......................... (14) Accrued Trustees'/Directors' fees and expenses............................. (21) Accrued expenses and other liabilities.......................... (22) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................... (70) ------- NET ASSETS...................... 100.0% $95,890 ======= NET ASSETS CONSIST OF: Undistributed net investment income.... $ 29 Accumulated net realized loss on investment........................... (2,647) Net unrealized depreciation of investment........................... (1,021) Paid-in capital........................ 99,529 ------- NET ASSETS............................. $95,890 =======
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($28,540,601/3,092,179 shares outstanding)......................... $9.23 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($66,803,171/7,221,048 shares outstanding).................. $9.25 ===== Maximum sales charge................... 3.25% Maximum offering price per share....... $9.56 INVESTOR B SHARES: Net asset value and offering price per share+ ($485,461/52,637 shares outstanding)......................... $9.22 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($60,700/5,993 shares outstanding)......................... $10.13 ======
- --------------- * 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 17 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ ASSET-BACKED SECURITIES -- 5.6% ASSET-BACKED -- AUTO LOANS -- 2.6% $ 25,000 Distribution Financial Services RV Trust, Series 1999-1, Class A4, 5.840% 04/15/09................... $ 24,268 10,000 Ford Credit Auto Owner Trust, Series 1997-B, Class CTFS, 6.650% 04/15/03................... 9,975 15,000 Ford Credit Auto Owner Trust, Series 1998-A, Class B, 5.950% 10/15/02................... 14,864 11,625 Premier Auto Trust, Series 1998-1, Class B, 5.920% 10/06/04................... 11,469 4,150 Premier Auto Trust, Series 1998-3, Class A4, 5.960% 10/08/02................... 4,115 ---------- 64,691 ---------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 1.1% 15,000 Metris Master Trust, Series 1997-1, Class B, 7.110% 10/20/05................... 14,957 10,000 World Financial Network Credit Card Master Trust, Series 1996-B, Class A, 6.950% 04/15/06................... 10,075 ---------- 25,032 ---------- ASSET-BACKED -- HOME EQUITY LOANS -- 1.7% 7,572 Amresco Residential Securities Mortgage Loan Trust, Series 1996-2, Class A1, 7.425% 05/25/27................... 7,559 1,960 Bombardier Capital Mortgage Securitization, Series 1998A, Class A3, 6.230% 04/15/28................... 1,925 9,978 First Alliance Mortgage Loan Trust, Series 1994-2, Class A1, 7.625% 07/25/25................... 10,024 2,026 First Plus Home Loan Trust, Series 1997-4, Class A4, 6.570% 04/10/13................... 2,021 6,550 IMC Home Equity Loan Trust, Series 1997-5, Class A7, 6.900% 01/20/22................... 6,515 7,968 IMC Home Equity Loan Trust, Series 1997-7, Class A3, 6.540% 11/20/12................... 7,908 2,070 Residential Asset Securities Corporation, Series 1999-KS1, Class AI3, 6.110% 05/25/25................... 2,031 2,665 Residential Asset Securities Corporation, Series 1999-KS1, Class AI4, 6.280% 08/25/25................... 2,573 ---------- 40,556 ---------- ASSET-BACKED -- OTHER -- 0.2% 3,768 Caterpillar Financial Asset Trust, Series 1998A, Class A3, 5.850% 04/25/03................... 3,750 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $135,992)................... 134,029 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- 33.6% AEROSPACE AND DEFENSE -- 0.7% $ 5,515 Raytheon Company, 7.900% 03/01/03(-)................ $ 5,608 12,500 Raytheon Company, 6.750% 08/15/07................... 11,842 ---------- 17,450 ---------- AUTOMOTIVE -- 0.6% 15,835 Delphi Automotive Systems Corporation, 6.125% 05/01/04................... 15,113 ---------- BEVERAGES -- 0.2% 3,500 J. Seagram & Sons, Inc., 6.625% 12/15/05................... 3,413 900 Pepsi Bottling Holdings, Inc., 5.375% 02/17/04(-)................ 858 ---------- 4,271 ---------- BROADCASTING AND CABLE -- 2.2% 18,360 British Sky Broadcasting Group plc, 6.875% 02/23/09................... 15,938 14,000 Clear Channel Communications, Inc., 7.250% 09/15/03................... 14,032 12,715 Time Warner Inc., 8.110% 08/15/06................... 13,242 11,200 Time Warner Inc., 6.625% 05/15/29................... 9,496 ---------- 52,708 ---------- CHEMICALS -- SPECIALTY -- 0.4% 8,750 Equistar Chemicals, L.P., 8.500% 02/15/04................... 8,679 345 Rohm and Haas Company, 7.850% 07/15/29................... 340 ---------- 9,019 ---------- COMMERCIAL BANKING -- 3.7% 5,300 Abbey National plc, 6.690% 10/17/05................... 5,208 20,000 Banponce Financial Corporation, MTN, 6.550% 10/10/00................... 19,999 800 Chase Manhattan Corporation, 5.750% 04/15/04................... 769 12,500 FCB/NC Capital Trust I, Gtd. Notes, 8.050% 03/01/28................... 10,409 23,000 First Union Corporation, 7.550% 08/18/05................... 23,280 820 PNC Funding Corporation, 7.000% 09/01/04................... 812 5,000 SunTrust Banks, Inc., 6.820%** 04/22/02................. 5,001 15,000 Union Planters Capital Trust, 8.200% 12/15/26................... 12,847 2,200 Wells Fargo & Company, 6.625% 07/15/04................... 2,175 8,500 Wilmington Trust Corporation, 6.625% 05/01/08................... 7,917 ---------- 88,417 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 13 18 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ COMMERCIAL SERVICES -- 2.0% $ 25,000 Comdisco, Inc., 9.500% 08/15/03................... $ 25,196 11,750 Cox Enterprises, Inc., 8.000% 02/15/07(-)................ 11,736 14,768 Xerox Capital Trust I, Gtd. Notes, 8.000% 02/01/27................... 10,536 ---------- 47,468 ---------- COMPUTER SERVICES -- 0.0%+ 800 Electronic Data Systems Corporation, 6.850% 10/15/04................... 794 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.1% 25,000 Compaq Computer Corporation, 7.450% 08/01/02................... 25,097 800 Hewlett Packard Company, 7.150% 06/15/05................... 811 ---------- 25,908 ---------- CONGLOMERATES -- 0.8% 18,125 USA Waste Services Inc., 7.000% 07/15/28................... 14,851 3,400 Waste Management, Inc., 6.125% 07/15/01................... 3,319 ---------- 18,170 ---------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 22,500 Capital One Bank, 8.250% 06/15/05................... 22,833 ---------- CONSUMER SERVICES -- 0.2% 5,000 Union Tank Car Company, 6.680% 01/15/08................... 4,836 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 6,000 J.C. Penny Company, Inc., 7.400% 04/01/37................... 5,161 ---------- DIVERSIFIED MANUFACTURING -- 1.1% 10,000 Blount Inc., 7.000% 06/15/05................... 8,700 17,495 Tyco International Group SA, 6.375% 06/15/05................... 16,995 ---------- 25,695 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.1% 3,500 Baltimore Gas & Electric, 6.750% 06/05/12................... 3,505 3,250 Baltimore Gas & Electric, 6.730% 06/12/12................... 3,239 18,250 Dominion Capital Trust I, 7.830% 12/01/27................... 15,818 2,960 SCANA Corporation, 6.050% 01/13/03................... 2,891 ---------- 25,453 ---------- ENERGY -- MISCELLANEOUS -- 1.2% 21,200 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03................... 20,359 8,100 USX Corporation, 6.650% 02/01/06................... 7,846 ---------- 28,205 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ FINANCE -- MISCELLANEOUS -- 6.0% $ 5,000 Associates Corporation of North America, 5.960% 05/15/37................... $ 4,968 4,000 Case Credit Corporation, 6.125% 02/15/03................... 3,701 4,400 Caterpillar Financial Services Corporation, 6.875% 08/01/04................... 4,352 3,500 CIT Group, Inc., 7.375% 03/15/03................... 3,504 2,800 DaimlerChrysler NA Holdings, 6.900% 09/01/04................... 2,772 19,500 ERAC USA Finance Company, 6.625% 02/15/05(+)................ 18,647 22,330 Finova Capital Corporation, 7.250% 11/08/04................... 16,818 25,300 Ford Motor Credit Company, 7.600% 08/01/05................... 25,563 4,485 General Motors Acceptance Corporation, 6.150% 04/05/07................... 4,193 21,100 Heller Financial, Inc., 6.000% 03/19/04................... 20,315 23,000 Household Finance Corporation, 8.000% 05/09/05................... 23,764 12,900 Paine Webber Group, Inc., 6.375% 05/15/04................... 12,589 2,300 Washington Mutual, Inc., 7.500% 08/15/06................... 2,304 ---------- 143,490 ---------- FOOD AND DRUG STORES -- 0.7% 13,000 Safeway Inc., 7.000% 09/15/07................... 12,651 2,860 Safeway Inc., Sr. Notes, 7.250% 09/15/04................... 2,855 ---------- 15,506 ---------- HEALTH SERVICES -- 0.5% 3,070 HCA - The Healthcare Corporation, 8.750% 09/01/10................... 3,136 10,615 HEALTHSOUTH Corporation, Sr. Notes, 6.875% 06/15/05................... 9,078 ---------- 12,214 ---------- HEAVY MACHINERY -- 0.1% 3,700 Thermo Electron Corporation, 7.625% 10/30/08................... 3,523 ---------- INSURANCE -- 0.1% 1,200 American General Finance Corporation, 7.450% 01/15/05................... 1,212 ---------- INTEGRATED OIL -- 1.0% 4,200 Conoco Inc., Class A, 5.900% 04/15/04................... 4,066 19,300 Occidental Petroleum Corporation, Sr. Notes, 7.650% 02/15/06................... 19,555 1,090 Union Oil Company of California, 7.500% 02/15/29................... 1,039 ---------- 24,660 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 14 19 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ INVESTMENT SERVICES -- 5.9% $ 20,650 Aristar, Inc., 8.250% 06/15/05................... $ 21,361 23,000 Bear Stearns Companies, Inc., 7.800% 08/15/07................... 23,282 6,915 Donaldson Lufkin and Jenrette, 5.875% 04/01/02................... 6,798 7,535 FleetBoston Financial Corporation, 7.250% 09/15/05................... 7,586 6,500 Goldman Sachs Group, Inc., 7.625% 08/17/05................... 6,627 21,230 Goldman Sachs Group, LP, 6.625% 12/01/04(-)................ 20,879 24,195 Lehman Brothers Holdings Inc., 6.625% 04/01/04................... 23,715 4,987 Merrill Lynch & Company, Inc., 6.000% 07/15/05................... 4,775 8,775 Morgan Stanley Dean Witter and Company, 7.750% 06/15/05................... 9,034 16,100 Salomon Smith Barney Holdings, Inc., 6.250% 05/15/03................... 15,848 ---------- 139,905 ---------- NATURAL GAS PIPELINES -- 0.9% 4,853 KN Energy, Inc., 6.450% 03/01/03................... 4,765 17,920 Williams Companies, Inc., 6.500% 08/01/06................... 17,193 ---------- 21,958 ---------- PHARMACEUTICALS -- 0.1% 1,510 Pharmacia Corporation, 5.375% 12/01/01................... 1,477 2,040 Pharmacia Corporation, 6.600% 12/01/28................... 1,815 ---------- 3,292 ---------- TELECOMMUNICATIONS SERVICES -- 1.8% 800 AT&T Corporation, 5.625% 03/15/04................... 763 10,000 CSC Holdings, Inc., 8.125% 07/15/09................... 9,932 900 MCI Worldcom, Inc., 6.400% 08/15/05................... 876 21,830 Sprint Capital Corporation, 5.875% 05/01/04................... 20,869 1,200 Sprint Capital Corporation, 6.875% 11/15/28................... 1,036 8,250 Vodafone AirTouch plc, 7.625% 02/15/05(-)................ 8,367 ---------- 41,843 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $822,033)................... 799,104 ---------- FOREIGN BONDS AND NOTES -- 3.7% 3,000 AT&T Canada Inc., 8.350%*** 06/15/08................ 2,446 19,800 AT&T Canada Inc., Sr. Notes, 7.650% 09/15/06................... 20,015
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ FOREIGN BONDS AND NOTES -- (CONTINUED) $ 20,000 Banco Latinoamericano, 7.200% 05/28/02##(-).............. $ 19,655 20,100 Corp Andina De Fomento, 8.875% 06/01/05................... 20,968 10,000 Enterprise Oil plc, 6.700% 09/15/07................... 9,494 13,000 Skandinaviska Enskilda, 8.125% 09/06/49(-)................ 12,673 4,305 Tyco International Group SA, 6.875% 01/15/29................... 3,747 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $89,858).................... 88,998 ---------- MORTGAGE-BACKED SECURITIES -- 51.5% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 20.2% 4,750 CMC Securities Corporation, Series 1997-2, Class IA14, 6.600% 11/25/27................... 4,602 31,985 Commercial Mortgage Asset Trust, Series 1999-C1, Class A3, 6.640% 09/17/10................... 30,829 38,300 CS First Boston Mortgage Securities Corporation, Series 1998-C1, Class A1B, 6.480% 05/17/08##................. 36,788 26,235 DLJ Commercial Mortgage Corporation, Series 1998-CG1, Class A1B, 6.410% 05/10/08................... 25,165 30,000 DLJ Commercial Mortgage Corporation, Series 1999-CG1, Class A1B, 6.460% 01/10/09##................. 28,768 29,995 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09................... 30,242 10,290 DLJ Commercial Mortgage Corporation, Series 1999-CG3, Class A1B, 7.340% 09/10/09................... 10,324 12,735 DLJ Commercial Mortgage Corporation, Series 2000-CF1, Class A1B, 7.620% 05/10/10................... 13,082 11,320 First Union-Chase Commercial Mortgage, Series 1999-C2, Class A2, 6.645% 04/15/09................... 11,023 78,668 GMAC Commercial Mortgage Securities Inc., Series 1997-C1, Class X, 1.645%** 07/15/27................. 5,819 31,000 GMAC Commercial Mortgage Securities Inc., Series 1998-C2, Class A2, 6.420% 08/15/08##................. 29,495 37,060 GMAC Commercial Mortgage Securities Inc., Series 1999-C1, Class A2, 6.175% 05/15/33................... 34,754 23,140 Heller Financial Commercial Mortgage Asset Corporation, Series 2000-PH1, Class A2, 7.750% 11/15/09................... 23,947
SEE NOTES TO FINANCIAL STATEMENTS. 15 20 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $105,391 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.290%** 12/26/28................. $ 5,809 13,150 JP Morgan Commercial Mortgage Finance Corporation, Series 1999-C7, Class A2, 6.507% 10/15/35................... 12,656 31,706 Morgan Stanley Capital Trust I, Series 1999-WF1, Class A2, 6.210% 09/15/08##................. 30,127 6,015 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2, 6.423% 05/18/08................... 5,749 7,000 Nomura Asset Securities Corporation, Series 1998-D6, Class A1B, 6.590% 03/17/28##................. 6,795 23,000 Nomura Asset Securities Corporation, Series 1998-D6, Class A1C, 6.690% 03/17/28................... 22,050 11,445 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09................... 11,549 36,660 Prudential Securities Secured Financing Corporation, Series 1998-C1, Class A1B, 6.506% 07/15/08##................. 35,246 9,600 Prudential Securities Secured Financing Corporation, Series 1999-C2, Class A2, 7.193% 04/15/09................... 9,616 38,625 Prudential Securities Secured Financing Corporation, Series 1999-NRF1, Class A2, 6.480% 01/15/09##................. 37,003 10,492 Salomon Brothers Mortgage Securities, Series 2000-C1, Class A2, 7.520% 12/18/09................... 10,694 7,268 Salomon Brothers Mortgage Securities, Series 2000-NL1, Class A1, 6.601% 04/15/08(-)................ 7,111 ---------- 479,243 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 2.9% 35 9.000% 01/01/05..................... 35 44,034 8.000% 11/01/09 - 06/01/30.......... 44,626 1,408 6.500% 04/01/11 - 10/01/12.......... 1,386 1,733 8.500% 11/01/26..................... 1,783 20,521 7.000% 12/01/26 - 07/01/28.......... 20,163 ---------- 67,993 ---------- FEDERAL HOUSING AUTHORITY (FHA) CERTIFICATES -- 1.4% 5,365 6.500% 02/15/29..................... 5,167 9,084 6.750% 01/01/40..................... 8,535
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ FEDERAL HOUSING AUTHORITY (FHA) CERTIFICATES -- (CONTINUED) $ 6,397 7.000% 01/01/40..................... $ 6,119 4,508 6.850% 02/01/40..................... 4,247 9,796 6.530% 10/01/40..................... 9,062 ---------- 33,130 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 19.4% 131,290 7.000% 12/01/02 - 10/01/29##........ 128,688 500 8.250% 03/25/06..................... 508 262,565 6.500% 01/01/09 - 09/01/30.......... 253,851 5,230 5.500% 04/01/09..................... 5,045 37,901 7.500% 06/15/22 - 09/01/29.......... 37,854 34,266 8.000% 11/01/29..................... 34,737 ---------- 460,683 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 7.6% 12,165 6.750% 09/15/01..................... 11,503 6,412 6.600% 11/15/01..................... 5,997 28,173 7.000% 07/20/02 - 07/15/28.......... 27,792 1,548 8.500% 12/15/05 - 02/15/25.......... 1,594 12,800 8.000% 11/15/07 - 11/01/23.......... 13,012 55 9.500% 06/15/09 - 09/15/09.......... 58 31 13.000% 01/15/11 - 02/15/11......... 34 73,530 6.500% 03/01/13 - 02/15/29.......... 71,452 108 9.000% 07/15/17..................... 113 45,012 7.500% 12/15/23 - 09/15/28.......... 45,170 4,555 6.550% 03/15/40..................... 4,256 ---------- 180,981 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,242,810)................. 1,222,030 ---------- MUNICIPAL BONDS AND NOTES -- 0.2% (Cost $4,998) NEW YORK -- 0.2% 5,000 Nassau County, New York, GO, Series 1993, (AMBAC Insured), 5.500% 10/15/00................... 4,998 ---------- U.S. TREASURY OBLIGATIONS -- 3.5% U.S. TREASURY STRIPS -- 3.5% 26,700 Principal only 05/15/20............. 8,135 195,850 Principal only 11/15/21............. 54,661 20,000 Principal only 08/15/26............. 4,312 73,090 Principal only 02/15/27............. 15,336 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $81,059).................... 82,444 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 16 21 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------ INVESTMENT COMPANIES -- 6.2% (Cost $147,746) 147,746 Nations Cash Reserves#............... $ 147,746 ---------- TOTAL INVESTMENTS (Cost $2,524,496*).......... 104.3% 2,479,349 ---------- OTHER ASSETS AND LIABILITIES (NET)....................... (4.3)% Receivable for investment securities sold............................... $ 1 Receivable for Fund shares sold...... 2,252 Interest receivable.................. 23,539 Receivable for variation margin...... 193 Collateral on securities loaned...... (70,942) Payable for Fund shares redeemed..... (2,056) Investment advisory fee payable...... (775) Administration fee payable........... (427) Shareholder servicing and distribution fees payable.......... (10) Due to custodian..................... (19) Distributions payable................ (12,901) Payable for investment securities purchased.......................... (41,070) Accrued Trustees'/Directors' fees and expenses........................... (68) Accrued expenses and other liabilities........................ (433) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET).............................. (102,716) ---------- NET ASSETS.................... 100.0% $2,376,633 ========== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold and futures contracts.......................... $ (30,861) Net unrealized depreciation of investments and futures contracts.......................... (46,102) Paid-in capital...................... 2,453,596 ---------- NET ASSETS........................... $2,376,633 ==========
VALUE - ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($2,345,447,201/247,236,722 shares outstanding)................ $9.49 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($24,704,177/2,604,550 shares outstanding)................ $9.48 ===== Maximum sales charge................. 3.25% Maximum offering price per share..... $9.80 INVESTOR B SHARES: Net asset value and offering price per share(+) ($5,551,141/585,159 shares outstanding)................ $9.49 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($930,647/98,114 shares outstanding)................ $9.49 =====
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $45,147 on investment securities was comprised of gross appreciation of $15,672 and gross depreciation of $60,819 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $2,524,496. ## All or a portion of security segregated as collateral for futures contracts. ** Variable rate security. The interest rate shown reflects the rate in effect at September 30, 2000. *** Zero coupon security. The rate shown reflects the yield to maturity. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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 Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 8). The portion that represents cash collateral is $70,942. ABBREVIATIONS: MTN -- Medium Term Note AMBAC -- American Municipal Bond Assurance Corporation
SEE NOTES TO FINANCIAL STATEMENTS. 17 22 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- 55.3% AEROSPACE AND DEFENSE -- 1.5% $ 719 Allied Signal, 9.065% 06/01/33..................... $ 788 2,000 Lockheed Martin Corporation, 7.750% 05/01/26..................... 1,932 1,000 Raytheon Company, 6.750% 08/15/07..................... 947 -------- 3,667 -------- AIRLINES -- 0.4% 1,000 US Airways, Inc., 8.020% 02/05/19..................... 1,012 -------- AUTOMOTIVE -- 0.8% 2,125 Delphi Automotive Systems Corporation, 6.125% 05/01/04..................... 2,028 -------- BEVERAGES -- 1.0% 2,500 J. Seagram & Sons, Inc., 6.625% 12/15/05..................... 2,438 -------- BROADCASTING AND CABLE -- 2.9% 2,200 British Sky Broadcasting Group plc, 6.875% 02/23/09..................... 1,910 500 Clear Channel Communications, Inc., 7.250% 09/15/03..................... 501 2,190 Lenfest Communications, Inc., 10.500% 06/15/06##.................. 2,387 2,300 Time Warner Inc., 8.110% 08/15/06..................... 2,395 -------- 7,193 -------- CHEMICALS -- SPECIALTY -- 1.2% 3,110 Equistar Chemicals, L.P., 8.500% 02/15/04..................... 3,085 -------- COMMERCIAL BANKING -- 5.5% 3,500 FCB/NC Capital Trust I, Gtd. Notes, 8.050% 03/01/28..................... 2,915 825 First Union Corporation, 7.550% 08/18/05..................... 835 3,775 Golden State Holdings, Escrow Corporation, 7.000% 08/01/03..................... 3,595 3,925 Popular, Inc., MTN, 6.375% 09/15/03..................... 3,852 2,750 Wilmington Trust Corporation, 6.625% 05/01/08##................... 2,561 -------- 13,758 -------- COMMERCIAL SERVICES -- 1.1% 2,600 Comdisco, Inc., 9.500% 08/15/03##................... 2,620 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.0% 2,600 Compaq Computer Corporation, 7.450% 08/01/02..................... 2,610 -------- CONGLOMERATES -- 0.9% 2,600 USA Waste Services Inc., 7.000% 07/15/28..................... 2,130 -------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 2,500 Capital One Bank, 8.250% 06/15/05..................... 2,537 -------- CONSUMER SERVICES -- 0.8% 2,100 Union Tank Car Company, 6.680% 01/15/08##................... 2,031 --------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ DIVERSIFIED MANUFACTURING -- 4.7% $ 1,650 American Standard Inc., 7.375% 04/15/05..................... $ 1,584 3,805 Blount Inc., 7.000% 06/15/05..................... 3,310 4,500 BWAY Corporation, Sr. Sub. Notes, 10.250% 04/15/07##.................. 4,410 2,600 Fisher Scientific International, Sr Notes, 7.125% 12/15/05##................... 2,301 -------- 11,605 -------- ELECTRIC POWER -- NON NUCLEAR -- 2.1% 2,420 CMS Energy Corporation, 8.125% 05/15/02..................... 2,403 500 Consumers Energy Company, 6.200% 05/01/03..................... 476 2,775 Dominion Capital Trust I, 7.830% 12/01/27..................... 2,405 -------- 5,284 -------- ENERGY -- MISCELLANEOUS -- 5.4% 2,480 Barrett Resources Corporation, Sr. Notes, 7.550% 02/01/07..................... 2,372 3,635 Occidental Petroleum Corporation, Sr. Deb., 9.250% 08/01/19..................... 4,035 5,430 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03##................... 5,215 2,000 USX Corporation, 6.650% 02/01/06..................... 1,937 -------- 13,559 -------- EXPLORATION AND PRODUCTION -- 1.4% 3,300 Louis Dreyfus Natural Gas Corporation, Sr. Sub Notes, 9.250% 06/15/04..................... 3,378 -------- FINANCE -- MISCELLANEOUS -- 7.7% 2,000 Case Credit Corporation, 6.125% 02/15/03..................... 1,851 4,025 ERAC USA Finance Company, 6.625% 02/15/05(-).................. 3,849 2,200 Finova Capital Corporation, 7.250% 11/08/04..................... 1,657 2,600 Ford Motor Credit Company, 7.600% 08/01/05..................... 2,627 2,200 Household Finance Corporation, 8.000% 05/09/05..................... 2,273 2,900 Newcourt Credit Group Inc., 6.875% 02/16/05..................... 2,863 2,000 Paine Webber Group, Inc., 6.375% 05/15/04..................... 1,952 2,300 Washington Mutual, Inc., 7.500% 08/15/06..................... 2,304 -------- 19,376 -------- FOOD AND DRUG STORES -- 0.9% 2,145 Safeway Inc., Sr. Notes, 7.250% 09/15/04..................... 2,141 -------- HEALTH SERVICES -- 1.5% 1,060 HCA - The Healthcare Corporation, 8.750% 09/01/10..................... 1,083 3,475 HEALTHSOUTH Corporation, 7.000% 06/15/08..................... 2,774 -------- 3,857 --------
SEE NOTES TO FINANCIAL STATEMENTS. 18 23 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ HEAVY MACHINERY -- 0.8% $ 2,175 Thermo Electron Corporation, 7.625% 10/30/08##................... $ 2,071 -------- INSURANCE -- 0.5% 3,000 Conseco Finance Trust III, 8.796% 04/01/27##................... 1,290 -------- INTEGRATED OIL -- 0.5% 1,235 Conoco Inc., Class A, 5.900% 04/15/04..................... 1,196 -------- INVESTMENT SERVICES -- 2.7% 2,500 Lehman Brothers Inc., 11.625% 05/15/05.................... 2,925 500 MCN Investment Corporation, 6.890% 01/16/02..................... 497 3,300 Morgan Stanley Finance plc, Gtd. Sub. Deb., 8.030% 02/28/17..................... 3,348 -------- 6,770 -------- MEDICAL DEVICES AND SUPPLIES -- 0.9% 2,475 Beckman Coulter, Inc., 7.450% 03/04/08(-).................. 2,293 -------- NATURAL GAS PIPELINES -- 1.8% 2,200 KN Energy, Inc., 6.450% 03/01/03..................... 2,160 2,500 Williams Companies, Inc., 6.500% 08/01/06..................... 2,399 -------- 4,559 -------- PAPER AND FOREST PRODUCTS -- 1.1% 2,600 Abitibi-Consolidated Inc., 8.550% 08/01/10..................... 2,645 -------- PUBLISHING AND ADVERTISING -- 1.7% 4,735 PRIMEDIA Inc., 7.625% 04/01/08..................... 4,309 -------- TELECOMMUNICATIONS SERVICES -- 3.5% 2,500 CSC Holdings, Inc., 8.125% 07/15/09..................... 2,483 2,200 Global Crossing Holdings Ltd., 9.125% 11/15/06..................... 2,178 2,100 Sprint Capital Corporation, 6.875% 11/15/28..................... 1,813 2,100 Vodafone AirTouch plc, 7.750% 02/15/10(-).................. 2,137 -------- 8,611 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $143,908)..................... 138,053 -------- FOREIGN BONDS AND NOTES -- 3.4% 2,200 AT&T Canada Inc., Sr. Notes, 7.650% 09/15/06..................... 2,223 375 Banco Latinoamericano, 7.200% 05/28/02(-).................. 369 2,105 Corp Andina De Fomento, 8.875% 06/01/05..................... 2,196 720,000 Hellenic Republic, 6.000% 05/19/10(a).................. 1,869 2,200 Tyco International Group SA, 6.875% 01/15/29..................... 1,915 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $8,515)....................... 8,572 --------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ MORTGAGE-BACKED SECURITIES -- 26.3% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 15.0% $ 4,355 Commercial Mortgage Asset Trust, Series 1999-C1, Class A3, 6.640% 09/17/10..................... $ 4,198 3,430 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09..................... 3,458 4,295 DLJ Commercial Mortgage Corporation, Series 1999-CG3, Class A1B, 7.340% 09/10/09..................... 4,309 4,350 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09..................... 4,414 3,340 First Union-Chase Commercial Mortgage, Series 1999-C2, Class A2, 6.645% 04/15/09..................... 3,252 3,350 Heller Financial Commercial Mortgage Asset Corporation, Series 2000-PH1, Class A2, 7.750% 11/15/09..................... 3,467 3,000 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09..................... 3,027 3,470 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10..................... 3,560 4,355 Prudential Securities Secured Financing Corporation, Series 1999-C2, Class A2, 7.193% 04/15/09..................... 4,362 3,340 Salomon Brothers Mortgage Securities, Series 2000-C1, Class A2, 7.520% 12/18/09..................... 3,404 -------- 37,451 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 11.3% 1,600 5.500% 05/15/02....................... 1,575 10,400 7.375% 05/15/03....................... 10,606 2,000 5.750% 07/15/03....................... 1,961 5,600 6.250% 07/15/04....................... 5,539 8,550 6.625% 09/15/09....................... 8,448 -------- 28,129 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $64,139)...................... 65,580 -------- U.S. TREASURY OBLIGATIONS -- 9.8% U.S. TREASURY BILLS -- 1.0% 2,500 Discount note 10/13/00................ 2,494 -------- U.S. TREASURY NOTES -- 1.6% 4,100 5.500% 08/31/01....................... 4,071 -------- U.S. TREASURY STRIPS -- 7.2% 13,900 Interest only 08/15/09................ 8,202 2,475 Principal only 05/15/20............... 754 1,800 Principal only 02/15/21............... 525 17,500 Principal only 11/15/21............... 4,884 16,750 Principal only 02/15/27............... 3,515 -------- 17,880 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,227)...................... 24,445 --------
SEE NOTES TO FINANCIAL STATEMENTS. 19 24 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------ SHORT TERM INVESTMENTS -- 2.0% COMMERCIAL PAPER -- 2.0% $ 2,500 Houston Industries, Discount note 10/12/00.............. $ 2,495 2,500 Safeco Credit Company, Discount note 10/24/00.............. 2,489 -------- TOTAL SHORT TERM INVESTMENTS (Cost $4,984)....................... 4,984 --------
SHARES (000) - --------- INVESTMENT COMPANIES -- 2.6% (Cost $6,523) 6,523 Nations Cash Reserves#............... 6,523 -------- TOTAL INVESTMENTS (Cost $252,296*)............ 99.4% 248,157 -------- OTHER ASSETS AND LIABILITIES (NET)....................... 0.6% Cash................................. $ 1 Receivable for investment securities sold............................... 6,704 Receivable for Fund shares sold...... 85 Interest receivable.................. 3,680 Variation margin/due to broker....... (3) Collateral on securities loaned...... (2,033) Payable for Fund shares redeemed..... (452) Investment advisory fee payable...... (81) Administration fee payable........... (45) Shareholder servicing and distribution fees payable.......... (49) Distributions payable................ (1,351) Payable for investment securities purchased.......................... (4,931) Accrued Trustees'/Directors' fees and expenses........................... (32) Accrued expenses and other liabilities........................ (119) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET).............................. 1,374 -------- NET ASSETS.................... 100.0% $249,531 ======== NET ASSETS CONSIST OF: Undistributed net investment income............................. $ 21 Accumulated net realized loss on investments sold, futures contracts, foreign currencies and net other assets................... (20,431) Net unrealized depreciation of investments, futures contracts, foreign currencies and net other assets............................. (4,146) Paid-in capital...................... 274,087 -------- NET ASSETS........................... $249,531 ======== VALUE - ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($169,264,567/17,755,713 shares outstanding)....................... $9.53 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($28,293,399/2,970,817 shares outstanding)................ $9.52 ===== Maximum sales charge................. 4.75% Maximum offering price per share..... $10.00 INVESTOR B SHARES: Net asset value and offering price per share(+) ($50,627,458/5,311,942 shares outstanding)................ $9.53 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($1,345,194/141,264 shares outstanding)................ $9.52 =====
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $4,139 on investment securities was comprised of gross appreciation of $2,776 and gross depreciation of $6,915 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $252,296. ## All or a portion of security segregated as collateral for futures contracts. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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. (a) Principal amount denominated in Greek Drachma. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 8). The portion that represents cash collateral is $2,033. ABBREVIATIONS: MTN -- Medium Term Note SEE NOTES TO FINANCIAL STATEMENTS. 20 25 NATIONS FUNDS Nations High Yield Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
VALUE (000) - ----------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, High Yield Bond Master Portfolio*........................... $25,290 ------- TOTAL INVESTMENTS............... 100.1% 25,290 ------- OTHER ASSETS AND LIABILITIES (NET)......................... (0.1)% Receivable from administrator.......... $ 9 Shareholder servicing and distribution fees payable......................... (9) Accrued Trustees'/Directors' fees and expenses............................. (7) Accrued expenses and other liabilities.......................... (25) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................ (32) ------- NET ASSETS...................... 100.0% $25,258 ======= NET ASSETS CONSIST OF: Undistributed net investment income.... $ 52 Accumulated net realized loss on investment........................... (98) Net unrealized depreciation of investment........................... (470) Paid-in capital........................ 25,774 ------- NET ASSETS............................. $25,258 =======
VALUE - ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($12,063,894/1,237,669 shares outstanding)......................... $9.75 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($1,278,552/131,631 shares outstanding).................. $9.71 ===== Maximum sales charge................... 4.75% Maximum offering price per share....... $10.20 INVESTOR B SHARES: Net asset value and offering price per share(+) ($11,413,082/1,176,727 shares outstanding).................. $9.70 ===== INVESTOR C SHARES: Net asset value and offering price per share(+) ($502,821/51,908 shares outstanding)......................... $9.69 =====
- --------------- * The financial statements of the High Yield Bond Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the High Yield 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. 21 26 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2000 SHORT- SHORT-TERM INTERMEDIATE GOVERNMENT INCOME GOVERNMENT SECURITIES ------------------------------------------------------------------------ (IN THOUSANDS) INVESTMENT INCOME: Interest...................................... $ 13,142 $ 17,897 $ 7,718 Interest allocated from Portfolio+............ -- -- -- Dividends allocated from Portfolio (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0, $0 and $1, respectively)+........... -- -- -- Securities lending income..................... -- 25 7 Expenses allocated from Portfolio+............ -- -- -- ------------------- ------------------- ------------------- Total investment income................... 13,142 17,922 7,725 ------------------- ------------------- ------------------- EXPENSES: Investment advisory fee....................... 597 837 529 Administration fee............................ 438 614 235 Transfer agent fees........................... 68 93 32 Custodian fees................................ 18 20 17 Legal and audit fees.......................... 37 38 35 Registration and filing fees.................. 18 23 27 Trustees'/Directors' fees and expenses........ 9 9 9 Printing expense.............................. 16 19 23 Other......................................... 8 8 13 ------------------- ------------------- ------------------- Subtotal.................................. 1,209 1,661 920 Shareholder servicing and distribution fees: Primary B Shares............................ -- 1 -- Investor A Shares........................... 12 53 69 Investor B Shares........................... 14 38 129 Investor C Shares........................... 4 3 1 Seafirst Shares**........................... -- -- -- ------------------- ------------------- ------------------- Total expenses............................ 1,239 1,756 1,119 Fees waived by investment advisor, administrator and/or distributor............ (199) (7) (102) Fees reduced by credits allowed by the custodian................................... --* --* (3) ------------------- ------------------- ------------------- Net expenses.............................. 1,040 1,749 1,014 ------------------- ------------------- ------------------- NET INVESTMENT INCOME/(LOSS).................. 12,102 16,173 6,711 ------------------- ------------------- ------------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions....................... (1,154) (534) (689) Security transactions allocated from Portfolio+................................ -- -- -- Futures contracts........................... -- 704 -- Foreign currencies.......................... -- -- -- ------------------- ------------------- ------------------- Net realized gain/(loss) on investments....... (1,154) 170 (689) ------------------- ------------------- ------------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 10)........................ 3,598 8,088 2,959 Securities allocated from Portfolio (Note 10)+...................................... -- -- -- Futures contracts........................... -- 179 -- Foreign currency and net other assets allocated from Portfolio+................. -- -- -- Foreign currency and net other assets....... -- -- -- ------------------- ------------------- ------------------- Net change in unrealized appreciation/(depreciation) of investments................................. 3,598 8,267 2,959 ------------------- ------------------- ------------------- Net realized and unrealized gain/(loss) on investments................................. 2,444 8,437 2,270 ------------------- ------------------- ------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $ 14,546 $ 24,610 $ 8,981 =================== =================== ===================
- --------------- * Amount represents less than $500. ** Seafirst Shares converted into Investor A Shares on June 23, 2000. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 22 27 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
U.S. GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD BOND BOND BOND INCOME BOND - --------------------------------------------------------------------------------------------------------------- $ 2,387 $ -- $ 77,074 $ 8,835 $ -- -- 3,287 -- -- 1,057 -- -- -- -- 31 5 -- 33 3 -- -- (232) -- -- (105) ------------------- ------------------- ------------------- ------------------- ------------------- 2,392 3,055 77,107 8,838 983 ------------------- ------------------- ------------------- ------------------- ------------------- 188 -- 4,261 568 -- 83 79 2,343 250 16 13 15 309 35 1 4 -- 61 16 -- 34 24 45 35 35 26 39 51 21 24 8 9 8 9 8 17 23 36 23 12 3 --* 35 3 5 ------------------- ------------------- ------------------- ------------------- ------------------- 376 189 7,149 960 101 -- -- -- -- -- 4 70 29 36 1 42 2 27 262 35 5 --* 5 6 1 -- 15 -- -- -- ------------------- ------------------- ------------------- ------------------- ------------------- 427 276 7,210 1,264 138 (38) (63) -- (131) (122) --* -- (6) (9) -- ------------------- ------------------- ------------------- ------------------- ------------------- 389 213 7,204 1,124 16 ------------------- ------------------- ------------------- ------------------- ------------------- 2,003 2,842 69,903 7,714 967 ------------------- ------------------- ------------------- ------------------- ------------------- (889) -- (5,073) (1,981) -- -- (1,014) -- -- (135) -- -- (840) (198) -- -- -- -- 28 1 ------------------- ------------------- ------------------- ------------------- ------------------- (889) (1,014) (5,913) (2,151) (134) ------------------- ------------------- ------------------- ------------------- ------------------- 2,142 -- 35,499 3,115 -- -- 2,057 -- -- (300) -- -- (241) 140 -- -- -- -- -- -- -- -- -- (35) -- ------------------- ------------------- ------------------- ------------------- ------------------- 2,142 2,057 35,258 3,220 (300) ------------------- ------------------- ------------------- ------------------- ------------------- 1,253 1,043 29,345 1,069 (434) ------------------- ------------------- ------------------- ------------------- ------------------- $ 3,256 $ 3,885 $ 99,248 $ 8,783 $ 533 =================== =================== =================== =================== ===================
SEE NOTES TO FINANCIAL STATEMENTS. 23 28 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INCOME ------------------------------------ SIX MONTHS ENDED 9/30/00 YEAR ENDED (UNAUDITED) 3/31/00 ------------------------------------ (IN THOUSANDS) Net investment income/(loss)................................ $ 12,102 $ 24,537 Net realized gain/(loss) on investments..................... (1,154) (4,546) Net change in unrealized appreciation/(depreciation) of investments............................................... 3,598 (7,482) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 14,546 12,509 Distributions to shareholders from net investment income: Primary A Shares.......................................... (11,722) (23,484) Primary B Shares.......................................... -- -- Investor A Shares......................................... (290) (793) Investor B Shares......................................... (72) (201) Investor C Shares......................................... (18) (57) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Primary B Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. (41,641) 6,690 -------------- -------------- Net increase/(decrease) in net assets....................... (39,197) (5,336) NET ASSETS: Beginning of period......................................... 414,352 419,688 -------------- -------------- End of period............................................... $ 375,155 $ 414,352 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ -- $ -- ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 24 29 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT GOVERNMENT SECURITIES U.S. GOVERNMENT BOND - -------------------------------------- ---------------------------------- ---------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/00 YEAR ENDED 9/30/00 YEAR ENDED 9/30/00 YEAR ENDED (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 - ---------------------------------------------------------------------------------------------------------------------- $ 16,173 $ 33,163 $ 6,711 $ 12,326 $ 2,003 $ 4,936 170 (13,788) (689) (11,283) (889) (5,280) 8,267 (9,956) 2,959 527 2,142 (890) -------------- -------------- -------------- -------------- -------------- -------------- 24,610 9,419 8,981 1,570 3,256 (1,234) (14,773) (29,896) (4,262) (7,131) (1,709) (4,431) (5) (12) -- -- -- -- (1,191) (2,765) (1,733) (3,587) (88) (125) (188) (445) (709) (1,586) (186) (329) (16) (45) (7) (21) (20) (50) -- -- -- -- -- (92) -- -- -- -- -- -- -- -- -- -- -- (3) -- -- -- -- -- (10) -- -- -- -- -- (1) 4,010 (69,201) 34,656 35,118 (12,339) (34,407) -------------- -------------- -------------- -------------- -------------- -------------- 12,447 (92,945) 36,926 24,363 (11,086) (40,682) 551,994 644,939 193,510 169,147 78,691 119,373 -------------- -------------- -------------- -------------- -------------- -------------- $ 564,441 $ 551,994 $ 230,436 $ 193,510 $ 67,605 $ 78,691 ============== ============== ============== ============== ============== ============== $ -- $ -- $ (393) $ (393) $ 20 $ 20 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 25 30 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERMEDIATE BOND ------------------------------------------------------- SIX MONTHS ENDED 9/30/00 PERIOD ENDED PERIOD ENDED (UNAUDITED) 3/31/00 5/14/99(a) ------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 2,842 $ 4,547 $ 983 Net realized gain/(loss) on investments..................... -- -- -- Net realized gain/(loss) on investments allocated from Portfolio+................................................ (1,014) (1,524) (101) Net change in unrealized appreciation/(depreciation) of investments............................................... -- -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... 2,057 (1,680) (230) -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 3,885 1,343 652 Distributions to shareholders from net investment income: Primary A Shares.......................................... (738) (700) -- Primary B Shares.......................................... -- -- -- Investor A Shares......................................... (1,758) (2,558) (541) Investor B Shares......................................... (11) (6) -- Investor C Shares......................................... (1) (4) (4) Seafirst Shares**......................................... (317) (1,365) (256) 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.............................................. 4,310 (509) (2,880) -------------- -------------- -------------- Net increase/(decrease) in net assets....................... 5,370 (3,799) (3,029) NET ASSETS: Beginning of period......................................... 90,520 94,319 97,348 -------------- -------------- -------------- End of period............................................... $ 95,890 $ 90,520 $ 94,319 ============== ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 29 $ 12 $ 96 ============== ============== ==============
- --------------- * Amount represents less than $500. ** Seafirst Shares converted into Investor A Shares on June 23, 2000. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. (a) Represents financial information for the Pacific Horizon Intermediate Bond Fund, which was reorganized into Intermediate Bond on May 21, 1999. (b) High Yield Bond commenced operations on February 14, 2000. SEE NOTES TO FINANCIAL STATEMENTS. 26 31 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
BOND STRATEGIC INCOME HIGH YIELD BOND ---------------------------------- ---------------------------------- ---------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/00 YEAR ENDED 9/30/00 YEAR ENDED 9/30/00 PERIOD ENDED (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00(B) - ---------------------------------------------------------------------------------------------------------------------- $ 69,903 $ 111,173 $ 7,714 $ 16,362 $ 967 $ 103 (5,913) (24,706) (2,151) (17,366) -- -- -- -- -- -- (134) 36 35,258 (69,258) 3,220 (2,470) -- -- -- -- -- -- (300) (170) -------------- -------------- -------------- -------------- -------------- -------------- 99,248 17,209 8,783 (3,474) 533 (31) (68,982) (109,131) (5,089) (10,301) (511) (82) -- -- -- -- -- -- (744) (1,671) (991) (2,161) (43) (2) (152) (319) (1,597) (3,811) (350) (18) (25) (53) (37) (88) (11) (1) -- -- -- -- -- -- -- (10,090) -- (14) -- -- -- -- -- -- -- -- -- (170) -- (3) -- -- -- (33) -- (7) -- -- -- (6) -- --* -- -- -- -- -- -- -- -- 523,384 91,317 41,986 (173,681) 12,390 13,284 -------------- -------------- -------------- -------------- -------------- -------------- 552,729 (12,947) 43,055 (193,540) 12,008 13,150 1,823,904 1,836,851 206,476 400,016 13,250 100 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,376,633 $ 1,823,904 $ 249,531 $ 206,476 $ 25,258 $ 13,250 ============== ============== ============== ============== ============== ============== $ -- $ -- $ 21 $ 21 $ 52 $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 27 32 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM INCOME SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,394 $ 41,734 13,140 $ 126,328 Issued as reinvestment of dividends....................... 81 771 159 1,528 Redeemed.................................................. (8,351) (79,444) (12,003) (115,242) ------ -------- ------- --------- Net increase/(decrease)................................... (3,876) $(36,939) 1,296 $ 12,614 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 401 $ 3,813 2,074 $ 19,902 Issued as reinvestment of dividends....................... 24 224 56 537 Redeemed.................................................. (861) (8,190) (2,384) (22,843) ------ -------- ------- --------- Net increase/(decrease)................................... (436) $ (4,153) (254) $ (2,404) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... -- $ -- 1 $ 12 Issued as reinvestment of dividends....................... 6 62 16 156 Redeemed.................................................. (28) (270) (306) (2,965) ------ -------- ------- --------- Net increase/(decrease)................................... (22) $ (208) (289) $ (2,797) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 10 $ 96 29 $ 279 Issued as reinvestment of dividends....................... 2 19 4 36 Redeemed.................................................. (47) (456) (107) (1,038) ------ -------- ------- --------- Net increase/(decrease)................................... (35) $ (341) (74) $ (723) ====== ======== ======= ========= Total net increase/(decrease)............................. (4,369) $(41,641) 679 $ 6,690 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 28 33 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 14,071 $ 55,708 52,376 $ 208,315 Issued in exchange for assets of: Boatmen's Trust Company Intermediate Government Fund (Note 10)............................................. 5,337 21,135 -- -- Bank IV Kansas U.S. Treasury Fund (Note 10)............. 4,829 19,124 -- -- Issued as reinvestment of dividends....................... 19 77 112 451 Redeemed.................................................. (21,553) (85,323) (70,117) (279,179) ------- -------- ------- --------- Net increase/(decrease)................................... 2,703 $ 10,721 (17,629) $ (70,413) ======= ======== ======= ========= PRIMARY B SHARES: Sold...................................................... -- $ -- --* $ 1 Issued as reinvestment of dividends....................... 1 5 3 11 Redeemed.................................................. (19) (76) (19) (76) ------- -------- ------- --------- Net increase/(decrease)................................... (18) $ (71) (16) $ (64) ======= ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 722 $ 2,862 17,793 $ 71,487 Issued in exchange for A Shares of Pacific Horizon Short-Term Government Fund (Note 10).................... -- -- 4,739 19,247 Issued as reinvestment of dividends....................... 183 720 374 1,494 Redeemed.................................................. (2,138) (8,445) (22,335) (89,655) ------- -------- ------- --------- Net increase/(decrease)................................... (1,233) $ (4,863) 571 $ 2,573 ======= ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 138 $ 544 457 $ 1,853 Issued as reinvestment of dividends....................... 33 128 70 277 Redeemed.................................................. (554) (2,190) (737) (2,951) ------- -------- ------- --------- Net increase/(decrease)................................... (383) $ (1,518) (210) $ (821) ======= ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 121 $ 477 26 $ 101 Issued as reinvestment of dividends....................... 3 14 9 37 Redeemed.................................................. (189) (750) (158) (614) ------- -------- ------- --------- Net increase/(decrease)................................... (65) $ (259) (123) $ (476) ======= ======== ======= ========= Total net increase/(decrease)............................. 1,004 $ 4,010 (17,407) $ (69,201) ======= ======== ======= =========
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 29 34 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GOVERNMENT SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,381 $ 22,397 4,340 $ 42,982 Issued in exchange for assets of Boatmen's Trust Company Taxable Bond Fund (Note 10)............................. 4,855 45,638 -- -- Issued as reinvestment of dividends....................... 17 155 38 365 Redeemed.................................................. (2,815) (26,459) (4,910) (48,145) ------ -------- ------ -------- Net increase/(decrease)................................... 4,438 $ 41,731 (532) $ (4,798) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 2,802 $ 26,246 1,552 $ 15,073 Issued in exchange for A Shares of Pacific Horizon U.S. Government Fund (Note 10)............................... -- -- 6,013 58,531 Issued as reinvestment of dividends....................... 127 1,184 242 2,281 Redeemed.................................................. (3,440) (32,233) (3,615) (34,510) ------ -------- ------ -------- Net increase/(decrease)................................... (511) $ (4,803) 4,192 $ 41,375 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 126 $ 1,184 953 $ 9,561 Issued as reinvestment of dividends....................... 54 510 106 1,005 Redeemed.................................................. (426) (3,991) (1,234) (12,084) ------ -------- ------ -------- Net increase/(decrease)................................... (246) $ (2,297) (175) $ (1,518) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 7 $ 64 32 $ 305 Issued in exchange for K Shares of Pacific Horizon U.S. Government Fund (Note 10)............................... -- -- 152 1,478 Issued as reinvestment of dividends....................... --* 3 2 20 Redeemed.................................................. (4) (42) (182) (1,744) ------ -------- ------ -------- Net increase/(decrease)................................... 3 $ 25 4 $ 59 ====== ======== ====== ======== Total net increase/(decrease)............................. 3,684 $ 34,656 3,489 $ 35,118 ====== ======== ====== ========
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 30 35 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
U.S. GOVERNMENT BOND SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 382 $ 3,645 990 $ 10,405 Issued as reinvestment of dividends....................... 6 52 16 154 Redeemed.................................................. (1,766) (16,876) (4,701) (46,244) ------ -------- ------ -------- Net increase/(decrease)................................... (1,378) $(13,179) (3,695) $(35,685) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 3,395 $ 32,432 198 $ 1,985 Issued as reinvestment of dividends....................... 6 55 9 86 Redeemed.................................................. (3,357) (32,072) (212) (2,071) ------ -------- ------ -------- Net increase/(decrease)................................... 44 $ 415 (5) $ -- ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 202 $ 1,925 527 $ 5,190 Issued as reinvestment of dividends....................... 16 153 29 276 Redeemed.................................................. (132) (1,261) (422) (4,112) ------ -------- ------ -------- Net increase/(decrease)................................... 86 $ 817 134 $ 1,354 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 4 $ 40 28 $ 287 Issued as reinvestment of dividends....................... 1 15 3 28 Redeemed.................................................. (46) (447) (40) (391) ------ -------- ------ -------- Net increase/(decrease)................................... (41) $ (392) (9) $ (76) ====== ======== ====== ======== Total net increase/(decrease)............................. (1,289) $(12,339) (3,575) $(34,407) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 31 36 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE BOND SIX MONTHS ENDED SEPTEMBER 30, 2000 PERIOD ENDED PERIOD ENDED (UNAUDITED) MARCH 31, 2000 MAY 14, 1999(a) ------------------ ------------------ ----------------- SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS ------------------------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold.............................................. 1,468 $ 13,448 3,748 $ 34,819 -- $ -- Issued as reinvestment of dividends............... 3 28 7 63 -- -- Redeemed.......................................... (391) (3,580) (1,743) (15,997) -- -- ------ -------- ------ -------- ---- ------- Net increase/(decrease)........................... 1,080 $ 9,896 2,012 $ 18,885 -- $ -- ====== ======== ====== ======== ==== ======= INVESTOR A SHARES: Sold.............................................. 3,812 $ 34,775 1,171 $ 10,870 229 $ 2,187 Issued as reinvestment of dividends............... 72 658 47 434 14 135 Redeemed.......................................... (1,604) (14,685) (2,743) (25,727) (437) (4,195) ------ -------- ------ -------- ---- ------- Net increase/(decrease)........................... 2,280 $ 20,748 (1,525) $(14,423) (194) $(1,873) ====== ======== ====== ======== ==== ======= INVESTOR B SHARES:+ Sold.............................................. 26 $ 237 27 $ 259 -- $ -- Issued as reinvestment of dividends............... 1 8 1 5 -- -- Redeemed.......................................... (2) (20) --* (3) -- -- ------ -------- ------ -------- ---- ------- Net increase/(decrease)........................... 25 $ 225 28 $ 261 -- $ -- ====== ======== ====== ======== ==== ======= INVESTOR C SHARES: Sold.............................................. 6 $ 60 3 $ 25 5 $ 44 Issued as reinvestment of dividends............... --* --* --* 4 -- 4 Redeemed.......................................... (2) (15) (50) (476) (8) (72) ------ -------- ------ -------- ---- ------- Net increase/(decrease)........................... 4 $ 45 (47) $ (447) (3) $ (24) ====== ======== ====== ======== ==== ======= SEAFIRST SHARES:** Sold.............................................. --* $ 12 124 $ 1,303 61 $ 666 Issued as reinvestment of dividends............... 30 317 130 1,365 24 256 Redeemed.......................................... (2,592) (26,933) (710) (7,453) (175) (1,905) ------ -------- ------ -------- ---- ------- Net increase/(decrease)........................... (2,562) $(26,604) (456) $ (4,785) (90) $ (983) ====== ======== ====== ======== ==== ======= Total net increase/(decrease)..................... 827 $ 4,310 12 $ (509) (287) $(2,880) ====== ======== ====== ======== ==== =======
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. ** Seafirst Shares converted into Investor A Shares on June 23, 2000. + Intermediate Bond Investor B Shares commenced operations on October 20, 1999. (a) Represents financial information for the Pacific Horizon Intermediate Bond Fund, which was reorganized into Intermediate Bond on May 21, 1999. SEE NOTES TO FINANCIAL STATEMENTS. 32 37 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
BOND SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 40,150 $ 375,723 67,780 $ 643,654 Issued in exchange for assets of: Boatmen's Trust Company Intermediate Taxable Bond Fund (Note 10)............................................. 12,412 116,422 -- -- Bank IV Kansas Intermediate Bond Fund (Note 10)......... 8,123 76,191 -- -- BCA High Grade Income Bond Fund (Note 10)............... 23,402 219,513 -- -- Issued as reinvestment of dividends....................... 330 3,091 730 7,023 Redeemed.................................................. (28,692) (268,358) (58,122) (552,784) ------- --------- ------- --------- Net increase/(decrease)................................... 55,725 $ 522,582 10,388 $ 97,893 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 862 $ 8,078 1,151 $ 10,936 Issued as reinvestment of dividends....................... 58 544 141 1,347 Redeemed.................................................. (816) (7,653) (2,027) (19,273) ------- --------- ------- --------- Net increase/(decrease)................................... 104 $ 969 (735) $ (6,990) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 61 $ 573 271 $ 2,609 Issued as reinvestment of dividends....................... 14 135 31 294 Redeemed.................................................. (92) (860) (248) (2,350) ------- --------- ------- --------- Net increase/(decrease)................................... (17) $ (152) 54 $ 553 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 13 $ 115 34 $ 331 Issued as reinvestment of dividends....................... 2 22 5 43 Redeemed.................................................. (16) (152) (54) (513) ------- --------- ------- --------- Net increase/(decrease)................................... (1) $ (15) (15) $ (139) ======= ========= ======= ========= Total net increase/(decrease)............................. 55,811 $ 523,384 9,692 $ 91,317 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 33 38 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC INCOME SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 9,000 $ 84,568 5,741 $ 56,944 Issued as reinvestment of dividends....................... 92 870 258 2,637 Redeemed.................................................. (3,772) (35,736) (24,391) (247,365) ------ -------- ------- --------- Net increase/(decrease)................................... 5,320 $ 49,702 (18,392) $(187,784) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 97 $ 912 466 $ 4,560 Issued in exchange for A Shares of Pacific Horizon Flexible Income Fund (Note 10).......................... -- -- 3,474 35,581 Issued as reinvestment of dividends....................... 52 493 109 1,073 Redeemed.................................................. (421) (3,964) (2,062) (20,503) ------ -------- ------- --------- Net increase/(decrease)................................... (272) $ (2,559) 1,987 $ 20,711 ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 241 $ 2,261 1,441 $ 14,303 Issued as reinvestment of dividends....................... 115 1,084 237 2,332 Redeemed.................................................. (918) (8,641) (2,364) (23,108) ------ -------- ------- --------- Net increase/(decrease)................................... (562) $ (5,296) (686) $ (6,473) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 21 $ 195 83 $ 823 Issued in exchange for K Shares of Pacific Horizon Flexible Income Fund (Note 10).......................... -- -- 54 555 Issued as reinvestment of dividends....................... 4 34 7 72 Redeemed.................................................. (10) (90) (161) (1,585) ------ -------- ------- --------- Net increase/(decrease)................................... 15 $ 139 (17) $ (135) ====== ======== ======= ========= Total net increase/(decrease)............................. 4,501 $ 41,986 (17,108) $(173,681) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 34 39 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
HIGH YIELD BOND SIX MONTHS ENDED SEPTEMBER 30, 2000 PERIOD ENDED (UNAUDITED) MARCH 31, 2000 ------------------- ----------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 1,111 $10,988 1,131 $11,306 Issued as reinvestment of dividends....................... 22 217 8 79 Redeemed.................................................. (844) (8,351) (201) (2,000) ----- ------- ----- ------- Net increase/(decrease)................................... 289 $ 2,854 938 $ 9,385 ===== ======= ===== ======= INVESTOR A SHARES:+ Sold...................................................... 93 $ 918 41 $ 403 Issued as reinvestment of dividends....................... 2 19 --* 1 Redeemed.................................................. (1) (11) (3) (29) ----- ------- ----- ------- Net increase/(decrease)................................... 94 $ 926 38 $ 375 ===== ======= ===== ======= INVESTOR B SHARES:+ Sold...................................................... 880 $ 8,653 355 $ 3,543 Issued as reinvestment of dividends....................... 22 214 1 12 Redeemed.................................................. (72) (708) (9) (92) ----- ------- ----- ------- Net increase/(decrease)................................... 830 $ 8,159 347 $ 3,463 ===== ======= ===== ======= INVESTOR C SHARES:++ Sold...................................................... 48 $ 473 6 $ 61 Issued as reinvestment of dividends....................... 1 6 -- -- Redeemed.................................................. (3) (28) -- -- ----- ------- ----- ------- Net increase/(decrease)................................... 46 $ 451 6 $ 61 ===== ======= ===== ======= Total net increase/(decrease)............................. 1,259 $12,390 1,329 $13,284 ===== ======= ===== =======
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. + High Yield Bond Investor A, Investor B and Primary A Shares commenced operations on February 14, 2000. ++ High Yield Bond Investor C Shares commenced operations on March 7, 2000. SEE NOTES TO FINANCIAL STATEMENTS. 35 40 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period. NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME --------------------------------------------------------------------- SHORT-TERM INCOME PRIMARY A SHARES Six months ended 9/30/2000 (unaudited).......... $9.51 $0.29 $ 0.06 $0.35 $(0.29) Year ended 3/31/2000............................ 9.79 0.56 (0.28) 0.28 (0.56) 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*#........................ 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) INVESTOR A SHARES Six months ended 9/30/2000 (unaudited).......... $9.51 $0.28 $ 0.06 $0.34 $(0.28) Year ended 3/31/2000............................ 9.79 0.54 (0.28) 0.26 (0.54) 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*#........................ 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) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited).......... $9.51 $0.24 $ 0.06 $0.30 $(0.24) Year ended 3/31/2000............................ 9.79 0.51 (0.28) 0.23 (0.51) 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*#........................ 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) INVESTOR C SHARES Six months ended 9/30/2000 (unaudited).......... $9.51 $0.24 $ 0.06 $0.30 $(0.24) Year ended 3/31/2000............................ 9.79 0.47 (0.28) 0.19 (0.47) 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*#........................ 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)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30. # Per share net investment income has been calculated using the monthly average shares method. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 36 41 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------ $9.57 3.74% $364,048 0.51%+(a) 6.08%+ 19% 0.61%+(a) 9.51 3.00 398,620 0.50(a) 5.86 62 0.63(a) 9.79 6.07 397,467 0.50(a) 5.70 64 0.80(a) 9.77 6.89 331,961 0.56(a)(b) 5.75 66 0.86(a) 9.68 5.25 181,455 0.55(b) 5.97 172 0.85 9.76 1.19 179,957 0.55+ 6.07+ 73 0.88+ 9.84 10.48 169,291 0.56 6.32 224 0.86 $9.57 3.61% $ 7,734 0.76%+(a) 5.83%+ 19% 0.86%+(a) 9.51 2.76 11,831 0.73(a) 5.63 62 0.88(a) 9.79 5.85 14,652 0.70(a) 5.50 64 1.05(a) 9.77 6.67 13,688 0.76(a)(b) 5.55 66 1.06(a) 9.68 5.04 6,169 0.75(b) 5.77 172 1.05 9.76 1.13 2,810 0.75+ 5.87+ 73 1.08+ 9.84 10.29 2,969 0.76 6.12 224 1.06 $9.57 3.22% $ 2,723 1.51%+(a) 5.08%+ 19% 1.61%+(a) 9.51 2.40 2,914 1.05(a) 5.31 62 1.63(a) 9.79 5.70 5,825 0.85(a) 5.35 64 1.80(a) 9.77 6.51 4,602 0.91(a)(b) 5.40 66 1.21(a) 9.68 4.89 5,536 0.90(b) 5.62 172 1.20 9.76 1.08 7,339 0.90+ 5.72+ 73 1.23+ 9.84 10.10 8,873 0.91 5.97 224 1.21 $9.57 3.23% $ 650 1.51%+(a) 5.08%+ 19% 1.61%+(a) 9.51 1.97 987 1.50(a) 4.86 62 1.63(a) 9.79 5.64 1,744 1.01(a) 5.19 64 1.80(a) 9.77 6.51 2,992 0.91(a)(b) 5.40 66 1.21(a) 9.68 4.89 4,063 0.90(b) 5.62 172 1.20 9.76 1.07 6,121 0.90+ 5.72+ 73 1.23+ 9.84 10.08 6,056 0.91 5.97 224 1.21
SEE NOTES TO FINANCIAL STATEMENTS. 37 42 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period. NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ----------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT PRIMARY A SHARES Six months ended 9/30/2000# (unaudited)......... $3.94 $0.12 $ 0.06 $0.18 $(0.12) Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22) 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*#........................ 4.14 0.07 (0.07) 0.00 (0.07)### Year ended 11/30/1995#.......................... 3.93 0.24 0.21 0.45 (0.24)### PRIMARY B SHARES Six months ended 9/30/2000# (unaudited)......... $3.94 $0.10 $ 0.07 $0.17 $(0.11) Year ended 3/31/2000............................ 4.10 0.21 (0.16) 0.05 (0.21) 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 9/30/2000# (unaudited)......... $3.94 $0.11 $ 0.06 $0.17 $(0.11) Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22) 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*#........................ 4.14 0.07 (0.07) 0.00 (0.07)### Year ended 11/30/1995#.......................... 3.93 0.23 0.21 0.44 (0.23)### INVESTOR B SHARES Six months ended 9/30/2000# (unaudited)......... $3.94 $0.10 $ 0.06 $0.16 $(0.10) Year ended 3/31/2000............................ 4.10 0.19 (0.16) 0.03 (0.19) 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*#........................ 4.14 0.07 (0.07) 0.00 (0.07)### Year ended 11/30/1995#.......................... 3.93 0.21 0.21 0.42 (0.21)### INVESTOR C SHARES Six months ended 9/30/2000# (unaudited)......... $3.93 $0.10 $ 0.07 $0.17 $(0.10) Year ended 3/31/2000............................ 4.09 0.19 (0.16) 0.03 (0.19) 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*#........................ 4.14 0.07 (0.07) 0.00 (0.07)### Year ended 11/30/1995#.......................... 3.93 0.22 0.21 0.43 (0.22)###
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30. ** Short-Intermediate Government Primary B Shares commenced operations on June 28, 1996. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than 0.01%. ### Includes distribution in excess of less than $0.01 per share. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 38 43 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------ $4.00 4.52% $515,804 0.59%+(a) 5.81%+ 29% 0.59%+(a) 3.94 1.63 497,392 0.60(a) 5.59 177 0.65(a) 4.10 4.97 589,092 0.58(a) 5.36 242 0.78(a) 4.12 9.11 663,833 0.61 5.53 538 0.81 3.99 3.72 371,118 0.63(a)(b) 5.73 529 0.83(a) 4.07 0.07 399,915 0.63+ 5.32+ 189 0.86+ 4.14 11.70 425,200 0.60 5.88 328 0.80 $4.00 4.26% $ 132 1.09%+(a) 5.31%+ 29% 1.19%+(a) 3.94 1.23 200 0.99(a) 5.20 177 1.25(a) 4.10 4.61 273 0.93(a) 5.01 242 1.38(a) 4.12 8.74 261 0.96 5.18 538 1.16 3.99 3.31 16,980 0.98+(a)(b) 5.38+ 529 1.18+(a) $4.00 4.41% $ 41,100 0.81%+(a) 5.56%+ 29% 0.84%+(a) 3.94 1.43 45,341 0.80(a) 5.39 177 0.90(a) 4.10 4.76 44,793 0.78(a) 5.16 242 1.03(a) 4.12 8.89 49,478 0.81 5.33 538 1.01 3.99 3.51 42,468 0.83(a)(b) 5.53 529 1.03(a) 4.07 0.00## 57,381 0.83+ 5.12+ 189 1.06+ 4.14 11.48 64,848 0.80 5.68 328 1.00 $4.00 4.00% $ 6,993 1.59%+(a) 4.81%+ 29% 1.59%+(a) 3.94 0.70 8,400 1.51(a) 4.68 177 1.65(a) 4.10 4.14 9,591 1.38(a) 4.56 242 1.78(a) 4.12 8.35 9,815 1.34 4.80 538 1.54 3.99 3.10 10,788 1.23(a)(b) 5.13 529 1.43(a) 4.07 (0.13) 13,789 1.23+ 4.72+ 189 1.46+ 4.14 11.02 14,893 1.20 5.28 328 1.40 $4.00 4.28% $ 412 1.59%+(a) 4.81%+ 29% 1.59%+(a) 3.93 0.74 661 1.54(a) 4.65 177 1.65(a) 4.09 4.05 1,190 1.34(a) 4.60 242 1.78(a) 4.12 8.45 1,808 1.31 4.83 538 1.51 3.99 3.21 8,334 1.13(a)(b) 5.23 529 1.33(a) 4.07 (0.10) 11,820 1.13+ 4.82+ 189 1.36+ 4.14 11.15 13,206 1.10 5.38 328 1.30
SEE NOTES TO FINANCIAL STATEMENTS. 39 44 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
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/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME ----------------------------------------------------------------------------------------- GOVERNMENT SECURITIES PRIMARY A SHARES Six months ended 9/30/2000# (unaudited)............... $9.38 $0.30 $ 0.10 $ 0.40 $(0.30) -- Year ended 3/31/2000........ 9.86 0.58 (0.48) 0.10 (0.58) -- 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*#.... 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) -- INVESTOR A SHARES Six months ended 9/30/2000# (unaudited)............... $9.37 $0.29 $ 0.10 $ 0.39 $(0.29) -- Year ended 3/31/2000........ 9.86 0.57 (0.50) 0.07 (0.56) -- 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*#.... 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) -- INVESTOR B SHARES Six months ended 9/30/2000# (unaudited)............... $9.38 $0.26 $ 0.10 $ 0.36 $(0.26) -- Year ended 3/31/2000........ 9.86 0.49 (0.48) 0.01 (0.49) -- 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*#.... 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) -- INVESTOR C SHARES Six months ended 9/30/2000# (unaudited)............... $9.34 $0.26 $ 0.10 $ 0.36 $(0.26) -- Year ended 3/31/2000........ 9.86 0.49 (0.52) (0.03) (0.49) -- 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*#.... 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) -- DISTRIBUTIONS FROM CAPITAL ------------- GOVERNMENT SECURITIES PRIMARY A SHARES Six months ended 9/30/2000# (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999#....... -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*#.... -- Year ended 5/31/1995#....... (0.04) INVESTOR A SHARES Six months ended 9/30/2000# (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999#....... -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*#.... -- Year ended 5/31/1995#....... (0.04) INVESTOR B SHARES Six months ended 9/30/2000# (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999#....... -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*#.... -- Year ended 5/31/1995#....... (0.04) INVESTOR C SHARES Six months ended 9/30/2000# (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999#....... -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*#.... -- Year ended 5/31/1995#....... (0.04)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was May 31. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 40 45 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
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/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.30) $9.48 4.39% $151,990 0.76%+(a) 6.45%+ 64% 0.86%+(a) (0.58) 9.38 1.12 108,798 0.78(b) 6.17 348 0.90 (0.57) 9.86 5.41 119,659 0.73(a) 5.70 600 0.84(a) (0.55) 9.90 11.65 75,796 0.85(a)(b) 5.63 303 0.99(a) (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+ (0.64) 9.86 7.55 39,909 0.76 6.69 413 0.94 $(0.29) $9.47 4.26% $ 53,238 1.01%+(a) 6.20%+ 64% 1.11%+(a) (0.56) 9.37 0.80 57,485 1.03(b) 5.92 348 1.15 (0.55) 9.86 5.16 19,167 0.98(a) 5.45 600 1.09(a) (0.52) 9.90 11.37 8,509 1.10(a)(b) 5.38 303 1.24(a) (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+ (0.61) 9.86 7.29 10,928 1.01 6.44 413 1.19 $(0.26) $9.48 3.87% $ 24,940 1.76%+(a) 5.45%+ 64% 1.86%+(a) (0.49) 9.38 0.22 26,988 1.72(b) 5.23 348 1.90 (0.49) 9.86 4.53 30,109 1.58(a) 4.85 600 1.84(a) (0.47) 9.90 10.78 32,391 1.63(a)(b) 4.85 303 1.77(a) (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+ (0.58) 9.86 6.86 56,155 1.41 6.04 413 1.59 $(0.26) $9.44 3.89% $ 268 1.76%+(a) 5.45%+ 64% 1.86%+(a) (0.49) 9.34 (0.22) 238 1.78(b) 5.17 348 1.90 (0.49) 9.86 4.52 213 1.59(a) 4.84 600 1.84(a) (0.48) 9.90 10.84 735 1.58(a)(b) 4.90 303 1.72(a) (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+ (0.57) 9.86 6.76 2,945 1.51 5.94 413 1.69
SEE NOTES TO FINANCIAL STATEMENTS. 41 46 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ----------------------------------------------------------------------------------------- U.S. GOVERNMENT BOND**** PRIMARY A SHARES* Six months ended 9/30/2000 (unaudited)........................ $ 9.51 $0.26 $ 0.17 $ 0.43 $(0.26) -- Year ended 3/31/2000................. 10.08 0.50 (0.56) (0.06) (0.50) $(0.01) 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**......... 10.00 0.56 1.20 1.76 (0.56) -- INVESTOR A SHARES* Six months ended 9/30/2000 (unaudited)........................ $ 9.51 $0.25 $ 0.19 $ 0.44 $(0.25) -- Year ended 3/31/2000................. 10.08 0.47 (0.56) (0.09) (0.47) $(0.01) 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**............... 10.48 0.37 0.71 1.08 (0.37) -- INVESTOR B SHARES* Six months ended 9/30/2000 (unaudited)........................ $ 9.51 $0.21 $ 0.17 $ 0.38 $(0.21) -- Year ended 3/31/2000................. 10.08 0.41 (0.56) (0.15) (0.41) $(0.01) 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**......... 10.05 0.46 1.14 1.60 (0.46) -- INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)........................ $ 9.51 $0.21 $ 0.17 $ 0.38 $(0.21) -- Year ended 3/31/2000................. 10.08 0.39 (0.56) (0.17) (0.39) $(0.01) 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)
- --------------- + 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. * The financial information for the fiscal periods prior to May 23, 1997 reflects the financial information for the Pilot U.S. Government Securities Fund Pilot, Class A and Class B Shares, which were reorganized into the U.S. Government Bond Primary A, Investor A and Investor B Shares, respectively, as of May 23, 1997. ** The Pilot U.S. Government Securities Fund Pilot, Class A and Class B Shares commenced operations on November 7, 1994, February 7, 1995 and November 10, 1994, respectively. *** U.S. Government Bond Investor C Shares commenced operations on September 19, 1997. **** Prior to February 14, 2000, the investment sub-adviser to U.S. Government Bond was Boatmen's Capital Management, Inc. Effective February 14, 2000, the investment sub-adviser to U.S. Government Bond became Banc of America Capital Management, Inc. # Per share net investment income has been calculated using the monthly average shares method. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 42 47 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
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/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.26) $ 9.68 4.60% $ 55,631 0.90%+(a) 5.45%+ 93% 1.00%+(a) (0.51) 9.51 (0.55) 67,776 0.88(a)(b) 5.12 296 1.02(a) (0.88) 10.08 5.83 109,028 0.59(a)(b) 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+ $(0.25) $ 9.70 4.68% $ 2,607 1.15%+(a) 5.20%+ 93% 1.25%+(a) (0.48) 9.51 (0.80) 2,139 1.13(a)(b) 4.89 296 1.27(a) (0.86) 10.08 5.57 2,311 0.84(a)(b) 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+ $(0.21) $ 9.68 4.08% $ 8,646 1.90%+(a) 4.45%+ 93% 2.00%+(a) (0.42) 9.51 (1.48) 7,673 1.82(a)(b) 4.18 296 2.02(a) (0.80) 10.08 4.93 6,779 1.44(a)(b) 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+ $(0.21) $ 9.68 4.08% $ 721 1.90%+(a) 4.45%+ 93% 2.00%+(a) (0.40) 9.51 (1.67) 1,103 1.88(a)(b) 4.12 296 2.02(a) (0.80) 10.08 5.13 1,255 1.34(a)(b) 4.31 270 1.87(a) (0.38) 10.37 3.50 1,332 1.45+(a) 4.41+ 188 1.71+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 43 48 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ----------------------------------------------------------------------------------------- INTERMEDIATE BOND PRIMARY A SHARES Six months ended 9/30/2000# (unaudited)........................ $9.13 $0.29 $ 0.10 $ 0.39 $(0.29) -- Period ended 3/31/2000***............ 9.52 0.49 (0.37) 0.12 (0.51) -- INVESTOR A SHARES*,**** Six months ended 9/30/2000# (unaudited)........................ $9.15 $0.28 $ 0.10 $ 0.38 $(0.28) -- Period ended 3/31/2000............... 9.50 0.46 (0.34) 0.12 (0.47) -- 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) INVESTOR B SHARES Six months ended 9/30/2000# (unaudited)........................ $9.13 $0.24 $ 0.11 $ 0.35 $(0.26) -- Period ended 3/31/2000***............ 9.52 0.22 (0.36) (0.14) (0.25) -- INVESTOR C SHARES* Six months ended 9/30/2000# (unaudited)........................ $9.32 $0.23 $ 0.75 $ 0.98 $(0.17) -- Period ended 3/31/2000............... 9.56 0.34 (0.23) 0.11 (0.35) -- 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)
- --------------- + 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. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Intermediate Bond Fund A, and K Shares, which were reorganized into the Intermediate Bond Investor A and Investor C Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, Inc. and its investment sub-adviser became Bank of America Capital Management, Inc. ** As of July 22, 1996 the Fund designated the existing series of shares as "A" shares. *** Intermediate Bond Primary A, Investor B, and Investor C Shares commenced operations on May 21, 1999, October 20, 1999, and November 20, 1996, respectively. **** Seafirst Shares converted into Investor A Shares on June 23, 2000. # Per share net investment income has been calculated using the monthly average share method. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 44 49 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
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/(LOSS) EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS - ------------------------------------------------------------------------------------------------------ $(0.29) $ 9.23 4.38% $28,541 0.80%+(a) 6.40%+ 0.92%+(a) (0.51) 9.13 1.29 18,365 0.81+ 6.08+ 1.05+ $(0.28) $ 9.25 4.27% $66,803 1.05%+(a) 6.15%+ 1.17%+(a) (0.47) 9.15 1.34 45,207 1.06+ 5.83+ 1.30+ (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 $(0.26) $ 9.22 3.85% $ 485 1.80%+(a) 5.40%+ 1.92%+(a) (0.25) 9.13 1.33 256 1.81+ 5.08+ 2.05+ $(0.17) $10.13 10.57% $ 61 1.80%+(a) 5.40%+ 1.92%+(a) (0.35) 9.32 1.18 15 1.81+ 5.08+ 2.05+ (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+
SEE NOTES TO FINANCIAL STATEMENTS. 45 50 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ----------------------------------------------------------------------------------------- BOND PRIMARY A SHARES Six months ended 9/30/2000 (unaudited)............... $ 9.37 $0.31 $ 0.12 $ 0.43 $(0.31) -- Year ended 3/31/2000........ 9.93 0.59 (0.52) 0.07 (0.59) $(0.04) Year ended 3/31/1999........ 10.03 0.59 (0.04) 0.55 (0.59) (0.06) 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) (0.11) Period ended 3/31/1996*..... 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) -- INVESTOR A SHARES Six months ended 9/30/2000 (unaudited)............... $ 9.37 $0.30 $ 0.11 $ 0.41 $(0.30) -- Year ended 3/31/2000........ 9.93 0.57 (0.52) 0.05 (0.57) $(0.04) Year ended 3/31/1999........ 10.03 0.57 (0.04) 0.53 (0.57) (0.06) 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) (0.11) Period ended 3/31/1996*..... 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) -- INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)............... $ 9.37 $0.26 $ 0.12 $ 0.38 $(0.26) -- Year ended 3/31/2000........ 9.93 0.50 (0.52) (0.02) (0.50) $(0.04) Year ended 3/31/1999........ 10.03 0.51 (0.04) 0.47 (0.51) (0.06) 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) (0.11) Period ended 3/31/1996*..... 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) -- INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)............... $ 9.37 $0.26 $ 0.12 $ 0.38 $(0.26) -- Year ended 3/31/2000........ 9.93 0.48 (0.52) (0.04) (0.48) $(0.04) Year ended 3/31/1999........ 10.03 0.51 (0.04) 0.47 (0.51) (0.06) 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) (0.11) Period ended 3/31/1996*..... 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) -- DISTRIBUTIONS FROM CAPITAL ------------- BOND PRIMARY A SHARES Six months ended 9/30/2000 (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999........ -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*..... -- Year ended 11/30/1995....... -- INVESTOR A SHARES Six months ended 9/30/2000 (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999........ -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*..... -- Year ended 11/30/1995....... -- INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999........ -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*..... -- Year ended 11/30/1995....... -- INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)............... -- Year ended 3/31/2000........ -- Year ended 3/31/1999........ -- Year ended 3/31/1998........ -- Year ended 3/31/1997#....... $(0.00)## Period ended 3/31/1996*..... -- Year ended 11/30/1995....... --
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 46 51 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
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/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.31) $ 9.49 4.65% $2,345,447 0.67%+(a) 6.55%+ 35% 0.67%+(a) (0.63) 9.37 0.97 1,793,913 0.67 6.20 63 0.69 (0.65) 9.93 5.61 1,798,155 0.68(a) 5.86 107 0.78(a) (0.58) 10.03 10.53 1,681,990 0.72(a)(b) 5.86 244 0.83(a) (0.69) 9.62 3.90 947,277 0.71(a) 5.98 368 0.81(a) (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 $(0.30) $ 9.48 4.52% $ 24,704 0.92%+(a) 6.30%+ 35% 0.92%+(a) (0.61) 9.37 0.74 23,420 0.90 5.97 63 0.94 (0.63) 9.93 5.40 32,119 0.88(a) 5.66 107 1.03(a) (0.56) 10.03 10.30 26,054 0.92(a)(b) 5.66 244 1.03(a) (0.67) 9.62 3.70 6,345 0.91(a) 5.78 368 1.01(a) (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 $(0.26) $ 9.49 4.13% $ 5,551 1.67%+(a) 5.55%+ 35% 1.67%+(a) (0.54) 9.37 0.05 5,637 1.59 5.28 63 1.69 (0.57) 9.93 4.76 5,440 1.48(a) 5.06 107 1.78(a) (0.51) 10.03 9.73 2,662 1.47(a)(b) 5.11 244 1.58(a) (0.63) 9.62 3.23 2,109 1.36(a) 5.33 368 1.46(a) (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 $(0.26) $ 9.49 4.13% $ 931 1.67%+(a) 5.55%+ 35% 1.67%+(a) (0.52) 9.37 (0.24) 934 1.67 5.20 63 1.69 (0.57) 9.93 4.90 1,137 1.40(a) 5.14 107 1.78(a) (0.52) 10.03 9.87 943 1.42(a)(b) 5.16 244 1.53(a) (0.64) 9.62 3.38 1,068 1.21(a) 5.48 368 1.31(a) (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
SEE NOTES TO FINANCIAL STATEMENTS. 47 52 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ----------------------------------------------------------------------------------------- STRATEGIC INCOME PRIMARY A SHARES Six months ended 9/30/2000 (unaudited)........................ $ 9.53 $0.33 $ 0.00 $ 0.33 $(0.33) -- Year ended 3/31/2000................. 10.31 0.68 (0.78) (0.10) (0.68) $(0.00)### 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*.............. 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) -- INVESTOR A SHARES Six months ended 9/30/2000 (unaudited)........................ $ 9.52 $0.32 $ 0.00 $ 0.32 $(0.32) -- Year ended 3/31/2000................. 10.31 0.65 (0.79) (0.14) (0.65) $(0.00)### 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*.............. 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) -- INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)........................ $ 9.52 $0.29 $ 0.01 $ 0.30 $(0.29) -- Year ended 3/31/2000................. 10.31 0.59 (0.79) (0.20) (0.59) $(0.00)### 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*.............. 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) -- INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)........................ $ 9.52 $0.24 $ 0.05 $ 0.29 $(0.29) -- Year ended 3/31/2000................. 10.31 0.58 (0.79) (0.21) (0.58) $(0.00)### 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*.............. 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) --
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was November 30. # Per share net investment income has been calculated using the monthly average shares method. ### Includes distribution in excess of less than $0.01 per share. (a) 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%. SEE NOTES TO FINANCIAL STATEMENTS. 48 53 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
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/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.33) $ 9.53 3.59% $169,265 0.72%+(a) 7.03%+ 88% 0.84%+(a) (0.68) 9.53 (0.95) 118,458 0.71(a) 6.80 107 0.90(a) (0.76) 10.31 5.00 317,937 0.70(a) 6.27 94 0.80(a) (0.65) 10.55 11.07 263,840 0.73(a) 6.27 203 0.83(a) (0.82) 10.11 4.97 152,070 0.75(a) 6.73 278 0.85(a) (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 $(0.32) $ 9.52 3.47% $ 28,293 0.97%+(a) 6.78%+ 88% 1.09%+(a) (0.65) 9.52 (1.30) 30,870 0.96(a) 6.55 107 1.15(a) (0.73) 10.31 4.74 12,954 0.95(a) 6.02 94 1.05(a) (0.63) 10.55 10.80 11,946 0.98(a) 6.02 203 1.08(a) (0.79) 10.11 4.71 11,662 1.00(a) 6.48 278 1.10(a) (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 $(0.29) $ 9.53 3.19% $ 50,628 1.72%+(a) 6.03%+ 88% 1.84%+(a) (0.59) 9.52 (1.98) 55,946 1.65(a) 5.86 107 1.90(a) (0.67) 10.31 4.11 67,651 1.55(a) 5.42 94 1.80(a) (0.57) 10.55 10.18 65,248 1.55(a) 5.45 203 1.65(a) (0.74) 10.11 4.18 70,631 1.50(a) 5.98 278 1.60(a) (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 $(0.29) $ 9.52 3.08% $ 1,345 1.72%+(a) 6.03%+ 88% 1.84%+(a) (0.58) 9.52 (2.04) 1,202 1.71(a) 5.80 107 1.90(a) (0.67) 10.31 4.09 1,474 1.56(a) 5.41 94 1.80(a) (0.58) 10.55 10.27 2,090 1.46(a) 5.54 203 1.56(a) (0.76) 10.11 4.44 3,343 1.25(a) 6.23 278 1.35(a) (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
SEE NOTES TO FINANCIAL STATEMENTS. 49 54 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS ------------------------------------------------------------------------------ HIGH YIELD BOND PRIMARY A SHARES Six months ended 9/30/2000# (unaudited)............................ $ 9.90 $0.55 $(0.20) $ 0.35 Period ended 3/31/2000*#................. 10.00 0.09 (0.11) (0.02) INVESTOR A SHARES Six months ended 9/30/2000# (unaudited)............................ $ 9.88 $0.53 $(0.20) $ 0.33 Period ended 3/31/2000*#................. 10.00 0.08 (0.12) (0.04) INVESTOR B SHARES Six months ended 9/30/2000# (unaudited)............................ $ 9.88 $0.49 $(0.21) $ 0.28 Period ended 3/31/2000*#................. 10.00 0.07 (0.12) (0.05) INVESTOR C SHARES Six months ended 9/30/2000# (unaudited)............................ $ 9.87 $0.46 $(0.18) $ 0.28 Period ended 3/31/2000**#................ 10.02 0.04 (0.12) (0.08)
- --------------- + 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. * High Yield Bond Primary A, Investor A, and Investor B Shares commenced operations on February 14, 2000. ** High Yield Bond Investor C Shares commenced operations on March 7, 2000. # 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%. SEE NOTES TO FINANCIAL STATEMENTS. 50 55 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DIVIDENDS NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO INVESTMENT VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE INCOME END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS - --------------------------------------------------------------------------------------------------- $(0.50) $9.75 3.55% $12,064 0.93%+(a) 11.16%+ 2.28%+(a) (0.08) 9.90 (0.12) 9,394 0.93+ 7.03+ 12.66+ $(0.50) $9.71 3.26% $ 1,278 1.18%+(a) 10.81%+ 2.53%+(a) (0.08) 9.88 (0.33) 371 1.18+ 6.78+ 12.91+ $(0.46) $9.70 2.90% $11,413 1.93%+(a) 10.01%+ 3.28%+(a) (0.07) 9.88 (0.47) 3,426 1.93+ 6.03+ 13.66+ $(0.46) $9.69 2.93% $ 503 1.93%+(a) 9.95%+ 3.28%+(a) (0.07) 9.87 (0.76) 59 1.93+ 6.03+ 13.66+
SEE NOTES TO FINANCIAL STATEMENTS. 51 56 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Fund Trust (the "Trust"), Nations Fund, Inc. (the "Company"), Nations Reserves ("Reserves") and Nations Funds Trust ("Funds Trust") are each registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. At September 30, 2000, the Trust offered thirty-four separate portfolios, the Company offered six separate portfolios, Reserves offered sixteen separate portfolios and Funds Trust offered five separate portfolios. These financial statements pertain only to the following U.S. government and corporate bond portfolios of the Trust, the Company, Reserves and Funds Trust: Short-Term Income Fund, Short-Intermediate Government Fund, Government Securities Fund, U.S. Government Bond Fund, Intermediate Bond Fund, Bond Fund (formerly Investment Grade Bond Fund), Strategic Income Fund and High Yield Bond Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of the Trust, the Company, Reserves and Funds Trust 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, Short-Intermediate Government Fund also offers Primary B Shares. Seafirst Shares of Intermediate Bond Fund were converted into Investor A Shares on June 23, 2000. 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. Intermediate Bond Fund and High Yield Bond Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively (the "Master Portfolios"), each a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolios each have the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Funds' investments in the respective Master Portfolios included in the Statements of net assets reflect the Feeder Funds' proportionate beneficial interests in the net assets of the respective Master Portfolios (81.7% at September 30, 2000 for Intermediate Bond Master Portfolio and 88.8% for High Yield Bond Master Portfolio). The financial statements of the Master Portfolios, including their schedules of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Funds' financial statements. Other funds not registered under the 1940 Act managed by Banc of America Advisors, Inc. ("BAAI"), whose financial statements are not presented here, also invest in the Master Portfolios. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees/Directors. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. The valuation of each Feeder Fund's investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master Portfolios use valuation policies consistent with those described above. Futures contracts: The Short-Term Income, Short-Intermediate Government, Government Securities, U.S. Government Bond, Intermediate Bond, Bond and Strategic Income Funds may invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract 52 57 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with changes in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Foreign currency translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately stated in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Fund may enter into forward currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock" in the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; and (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Funds from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. Securities transactions and investment income: Securities transactions are accounted for on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income is recorded on ex- dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. 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 underlying mortgage assets, while the other class receives most, if not all, of the interest and the remainder of the principal. If the underlying mortgage assets experience greater than anticipated 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 Feeder Funds record their share of the investment income and realized and unrealized gains and losses reported by the Master Portfolios on a daily basis. The 53 58 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolios based upon the value of their investments in the Master Portfolios. Dividends and distributions to shareholders: It is the policy of each Fund (except Intermediate Bond and High Yield Bond) to declare dividends from net investment income daily and to pay such dividends monthly. Intermediate Bond and High Yield Bond Funds declare and pay 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 accounting principles generally accepted in the United States of America. Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. Expenses: General expenses of the Trust, the Company, Reserves and Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Feeder Funds record their share of the expenses reported by the Master Portfolios on a daily basis. The expenses are allocated daily to investors in the Master Portfolios based upon the value of the Feeder Funds' investments in the Master Portfolios. 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, a wholly-owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding company organized as a Delaware corporation, pursuant to which BAAI provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreements, BAAI is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ------ Short-Term Income, Short-Intermediate Government.................................. 0.30% Bond.......................................... 0.40% U.S. Government Bond, Strategic Income........ 0.50%
FEES ON NET FEES ON NET FEES ON NET ASSETS UP TO ASSETS BETWEEN ASSETS $200 $200 AND $250 EXCEEDING MILLION MILLION $250 MILLION - -------------------------------------------------------------------- Government Securities......... 0.50% 0.45% 0.40%
The Feeder Funds indirectly pay for investment advisory services through their investments in their corresponding Master Portfolios (see Note 2 of Notes to financial statements of the Master Portfolios). Each of the Trust and the Company has entered into a sub-advisory agreement with BAAI and Banc of America Capital Management, Inc. ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BAAI at the maximum annual rate of 0.15% of each Fund's average daily net assets. The Feeder Funds indirectly pay for sub-advisory services through their investments in their corresponding Master Portfolios (See Note 2 of Notes to financial statements of the Master Portfolios). Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust, the Company, Reserves and Funds Trust. Under the co-administration agreements, Stephens and BAAI are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.22% of the average daily net assets of all Funds except for Intermediate Bond Fund, which pays a monthly fee at the maximum annual rate of 0.17% of its average daily net assets and High Yield Bond Fund, which pays a monthly fee at the maximum annual rate of 0.18% of its average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Trust, the Company, Reserves and Funds Trust pursuant to agreements with BAAI. For the six months ended September 30, 2000, Stephens and BAAI earned 0.06% and 0.11%, respectively, of the Funds' average daily net assets for their co-administration services. BAAI and/or the sub-advisers and Stephens may, from time to time, reduce their fees payable by each Fund. Effective August 1, 2000, BAAI agreed to waive its 54 59 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) advisory fees until July 31, 2001 in the following amounts for the Funds set forth below: Short-Term Income............................. 0.10% Government Securities......................... 0.10% U.S. Government Bond.......................... 0.10% Strategic Income.............................. 0.10%
In addition, effective August 1, 2000, BAAI and/or the sub-advisers and Stephens agreed to reimburse expenses and/or waive their fees until July 31, 2001 to the extent that total expenses (excluding shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
ANNUAL FUND RATE - ------------------------------------------------------ Intermediate Bond Fund........................ 0.81% High Yield Bond Fund.......................... 0.93%
BNY serves as the custodian of the Trust's, the Company's, Reserves' and Funds Trust's assets. For the six months ended September 30, 2000, expenses of the Funds were reduced by $17,871 under expense offset arrangements with BNY. The Funds could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. No officer, director or employee of Bank of America, BAAI or BACAP, or any affiliate thereof, receives any compensation from the Trust, the Company, Reserves and Funds Trust for serving as Trustee/Director or Officer of the Trust, the Company, Reserves and Funds Trust. PFPC Inc. ("PFPC") serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A and Primary B Shares of the Funds. For the six months ended September 30, 2000, Bank of America earned approximately $15,717 for providing such services. Stephens also serves as distributor of the Funds' shares. For the six months ended September 30, 2000, the Funds were informed that the distributor received $10,091 in front-end sales charges for sales of Investor A Shares and $132,733 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. The Trust's, the Company's, Reserves' and Funds Trust's eligible Trustees/Directors 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, 2000, the Funds earned $4,473,961 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, Reserves and Funds Trust each has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for the Investor A 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 shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. 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 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 55 60 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) these plans is paid to affiliates of Bank of America and BAAI. At September 30, 2000, the rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT PLAN RATE LIMIT ----------------- Primary B Shareholder Administration Plan: Short-Intermediate Government..... 0.50% 0.60% Investor A Combined Distribution and Shareholder Servicing Plan........ 0.25* 0.25 Investor B and Investor C Shareholder Servicing Plans....... 0.25 0.25 Investor B and Investor C Distribution Plans................ 0.75 0.75 Seafirst Shareholder Servicing Plan**............................ N/A 0.25
- --------------- * Reflects a rate change effective August 1, 2000 from 0.20% for Short-Intermediate Government Fund. In addition, a separate shareholder servicing plan has been adopted for Investor A Shares of Short-Term Income Fund. ** Seafirst Shares converted into Investor A Shares on June 23, 2000. 4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2000 were as follows:
PURCHASES SALES (000) (000) --------------------- Short-Term Income............... $ 67,148 $ 62,458 Short-Intermediate Government... 42,283 1,710 Government Securities........... 19,635 -- U.S. Government Bond............ 9,805 -- Bond............................ 735,381 225,769 Strategic Income................ 93,917 74,830
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2000 were as follows:
PURCHASES SALES (000) (000) --------------------- Short-Term Income............... $ 4,939 $ 12,695 Short-Intermediate Government... 117,632 155,262 Government Securities........... 160,129 133,799 U.S. Government Bond............ 57,706 85,150 Bond............................ 599,823 500,124 Strategic Income................ 131,197 114,960
5. FUTURES CONTRACTS At September 30, 2000, the following Funds had futures contracts open:
VALUE OF CONTRACT MARKET UNREALIZED WHEN VALUE OF APPRECIATION/ NUMBER OF OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - --------------------------------------------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT FUND: U.S. 2 year Treasury note (long position) expiring December 2000(a)................................................... 60 $ 11,950 $ 12,001 $ 51 U.S. 10 year Treasury note (long position) expiring December 2000(a)................................................... 330 32,953 33,072 119 U.S. 30 year Treasury bond (short position) expiring December 2000(a).......................................... 100 9,866 9,984 118 BOND FUND: U.S. 10 year Agency (long position) expiring December 2000(a)................................................... 670 63,267 63,346 79 U.S. 5 year Treasury note (short position) expiring December 2000(a)................................................... 1,400 140,744 139,703 (1,041) U.S. 10 year Treasury note (long position) expiring December 2000(a)................................................... 200 20,037 20,044 7 STRATEGIC INCOME FUND: U.S. 5 year Treasury note (short position) expiring December 2000(a)................................................... 24 2,413 2,395 (18) U.S. 2 year Treasury note (long position) expiring December 2000(a)................................................... 54 10,755 10,801 46
- --------------- (a) Securities have been segregated as collateral for the Short-Intermediate Government, Bond and Strategic Income Funds for open futures contracts. 6. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK As of September 30, 2000, an unlimited number of shares of beneficial interest without par value were authorized for each of the Trust, Reserves and Funds Trust and 480,000,000,000 shares of $.001 par value capital stock were authorized for the Company. The Trust's, Reserves' and Funds Trust's Declarations of Trust and the Company's Articles of Incorporation 56 61 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. 7. LINES OF CREDIT The Trust, the Company, Reserves and Funds Trust each participate with other Nations Funds in an uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Fund maintains a ratio of no less than 4 to 1 net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement. At September 30, 2000, there were no loans outstanding under this Agreement. For the six months ended September 30, 2000, there were no borrowings by the Funds under the Agreement. The average amount outstanding was calculated based on daily balances during the period. The Trust, the Company, Reserves and Funds Trust also participate with other Nations Funds in a committed line of credit provided by BNY. Interest on borrowings under the committed line is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. A facility fee of 0.09% per annum of the total amounts available under the line of credit is charged, of which each Fund pays its pro rata share. This fee is paid quarterly in arrears. Each participating Fund is required to maintain an asset coverage ratio of at least 300% under the terms of the arrangement. For the six months ended September 30, 2000, there were no borrowings by the Funds under the committed line of credit. 8. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At September 30, 2000, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ------------------------------------------------------------ Short-Intermediate Government............ $16,831 $17,145 Government Securities... 615 644 Bond.................... 69,166 70,942 Strategic Income........ 1,993 2,033
9. CAPITAL LOSS CARRYFORWARD At March 31, 2000, the following Funds had available for federal income tax purposes the following unused capital losses expiring March 31:
2002 2003 2005 2007 2008 FUND (000) (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------- Short-Term Income........................................... $4,900 $ 651 $ 122 -- $ 2,435 Short-Intermediate Government............................... 974 -- 6,939 -- 13,389 Government Securities....................................... 7,139 5,914 2,303 $ 86 9,296 U.S. Government Bond........................................ -- -- -- -- 2,809 Intermediate Bond........................................... -- -- -- 1,126 504 Bond........................................................ -- -- -- -- 10,756 Strategic Income............................................ 849 -- -- -- 11,355
57 62 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The capital loss carryforward for the Government Securities Fund is subject to certain limitations. Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended March 31, 2000, the following Funds elected to defer losses occurring between November 1, 1999 and March 31, 2000 under these rules:
POST-OCTOBER CAPITAL LOSSES DEFERRED FUND (000) - --------------------------------------------------------- Short-Term Income........................ $ 2,019 Short-Intermediate Government............ 4,554 Government Securities.................... 3,792 U.S. Government Bond..................... 2,471 Intermediate Bond........................ -- Bond..................................... 12,929 Strategic Income......................... 6,113
10. REORGANIZATIONS ACQUISITION OF 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/(depreciation) as of the reorganization date were as follows:
ACQUIRED FUND TOTAL NET ASSETS UNREALIZED TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------- Short-Intermediate Government Pacific Horizon Short-Term Government Fund $19,247 $625,358 $644,605 $ 1 Government Securities Pacific Horizon U.S. Government Fund 60,009 168,447 228,456 (273) Diversified Income Pacific Horizon Flexible Income Fund 36,136 228,362 264,498 (213)
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 the Intermediate Bond Fund in an amount equal to the value of 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.
PACIFIC HORIZON FUND SHARE CLASS CORRESPONDING RESERVES SHARE CLASS -------------------------------------------------------------------- Intermediate Bond Nations Intermediate Bond A Shares Investor A Shares K Shares Investor C Shares SRF Shares Seafirst Shares
58 63 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) CONVERSION OF COMMON TRUST FUNDS On June 16, 2000, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets of certain common trust funds, managed by Bank of America, 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 Schedules of capital stock activity. Net assets and unrealized appreciation as of the conversion date were as follows:
ACQUIRED FUND TOTAL NET ASSETS UNREALIZED TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------------- Short-Intermediate Government Boatmen's Trust Company Intermediate Government Fund $ 21,135 $ 537,543 $ 558,678 $ 135 Short-Intermediate Government Bank IV Kansas U.S. Treasury Fund 19,124 537,543 556,667 21 Government Securities Boatmen's Trust Company Taxable Bond Fund 45,638 188,006 233,644 (951) Bond Boatmen's Trust Company Intermediate Taxable Bond Fund 116,422 1,868,792 1,985,214 (818) Bond Bank IV Kansas Intermediate Bond Fund 76,191 1,868,792 1,944,983 (923) Bond BCA High Grade Income Bond Fund 219,513 1,868,792 2,088,305 (2,009)
On August 23, 2000, the Board of Directors of the Company approved an Agreement and Plan of Reorganization pursuant to which Government Securities Fund would acquire all of the assets of U.S. Government Bond Fund in exchange for shares of Government Securities Fund. Additionally, the Board of Directors of the Company and the Board of Trustees of Funds Trust approved the reorganization of the Government Securities Fund into a new shell fund of Funds Trust. The principal effects of this reorganization would be to bring the assets of U.S. Government Bond Fund into Government Securities Fund and to redomicile the Fund, in Delaware, under a Delaware business trust structure that management believes provides greater flexibility and efficiency in certain corporate and organizational matters. The Government Securities Fund will retain its name, investment objective and principal investment strategies. If approved by shareholders, it is anticipated that the reorganization would take place in the second quarter of 2001. 59 64 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio and Nations High Yield Bond Master Portfolio Semi-Annual Report SEPTEMBER 30, 2000 (UNAUDITED) The following pages should be read in conjunction with the Nations Intermediate Bond and Nations High Yield Bond Funds' Semi-Annual Report. 60 65 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.1% ASSET-BACKED -- AUTO LOANS -- 2.0% $ 333 AESOP Funding II LLC, Series 1997-1A, Class A1, 6.220% 10/20/01(-)................... $ 333 2,000 Daimler-Benz Vehicle Trust, Series 1998-A, Class A4, 5.220% 12/22/03##.................... 1,958 -------- 2,291 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 1.1% 1,340 First Chicago Master Trust II, Series 1995-0, Class A, 6.851%** 02/15/04.................... 1,342 -------- TOTAL ASSET-BACKED SECURITIES (Cost $3,682)........................ 3,633 -------- CORPORATE BONDS AND NOTES -- 45.8% AEROSPACE AND DEFENSE -- 1.0% 1,200 Raytheon Company, 7.900% 03/01/03(-)................... 1,220 -------- AUTOMOTIVE -- 1.3% 1,600 Delphi Automotive Systems Corporation, 6.125% 05/01/04...................... 1,527 -------- BEVERAGES -- 1.1% 1,350 J. Seagram & Sons, Inc., 6.625% 12/15/05...................... 1,316 -------- BROADCASTING AND CABLE -- 5.0% 1,300 A.H. Belo Corporation, 6.875% 06/01/02...................... 1,265 1,550 British Sky Broadcasting Group plc, 6.875% 02/23/09...................... 1,347 600 Clear Channel Communications, Inc., 7.250% 09/15/03...................... 601 1,300 Cox Radio, Inc., 6.250% 05/15/03...................... 1,269 1,345 USA Networks, Inc., 6.750% 11/15/05...................... 1,308 -------- 5,790 -------- CHEMICALS -- SPECIALTY -- 1.3% 1,600 Praxair, Inc., 6.750% 03/01/03...................... 1,586 -------- COMMERCIAL BANKING -- 2.3% 1,600 Chase Manhattan Corporation, 5.750% 04/15/04...................... 1,538 1,100 First Union Corporation, 7.550% 08/18/05...................... 1,113 -------- 2,651 -------- COMMERCIAL SERVICES -- 0.9% 1,100 Comdisco, Inc., 9.500% 08/15/03...................... 1,109 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.9% 1,000 Compaq Computer Corporation, 7.450% 08/01/02...................... 1,004 -------- CONGLOMERATES -- 1.0% 1,200 Waste Management, Inc., 6.125% 07/15/01...................... 1,172 --------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- CONSUMER CREDIT AND MORTGAGES -- 1.0% $ 1,200 Capital One Bank, 8.250% 06/15/05...................... $ 1,218 -------- DIVERSIFIED MANUFACTURING -- 1.3% 1,600 Tyco International Group SA, 6.375% 06/15/05...................... 1,554 -------- ELECTRIC POWER -- NON NUCLEAR -- 1.1% 1,400 Consumers Energy Company, 6.200% 05/01/03...................... 1,333 -------- ENERGY -- MISCELLANEOUS -- 1.5% 585 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03...................... 562 1,200 USX Corporation, 6.650% 02/01/06...................... 1,162 -------- 1,724 -------- FINANCE -- MISCELLANEOUS -- 11.3% 1,300 Case Credit Corporation, 6.125% 02/15/03...................... 1,203 680 Crown Cork & Seal Financial plc, 6.750% 12/15/03##.................... 609 1,500 DaimlerChrysler NA Holdings, 6.900% 09/01/04...................... 1,485 1,325 Finova Capital Corporation, 7.250% 11/08/04...................... 998 1,500 Ford Motor Credit Company, 7.600% 08/01/05...................... 1,516 2,000 General Motors Acceptance Corporation, 6.150% 04/05/07##.................... 1,869 1,500 Heller Financial, Inc., 6.000% 03/19/04...................... 1,444 1,200 Household Finance Corporation, 8.000% 05/09/05...................... 1,240 1,600 Newcourt Credit Group Inc., 6.875% 02/16/05...................... 1,579 1,200 Washington Mutual, Inc., 7.500% 08/15/06...................... 1,202 -------- 13,145 -------- FOOD AND DRUG STORES -- 1.4% 1,750 Nabisco Inc., 6.125% 02/01/33...................... 1,678 -------- HEALTH SERVICES -- 0.1% 145 HCA -- The Healthcare Corporation, 8.750% 09/01/10...................... 148 -------- HEAVY MACHINERY -- 1.3% 1,600 Thermo Electron Corporation, 7.625% 10/30/08##.................... 1,523 -------- HOUSING AND FURNISHING -- 1.3% 1,500 Hanson Overseas B.V., 7.375% 01/15/03...................... 1,499 -------- INTEGRATED OIL -- 1.3% 1,500 Occidental Petroleum Corporation, Sr. Notes, 7.650% 02/15/06...................... 1,520 -------- INVESTMENT SERVICES -- 3.7% 1,200 Bear Stearns Companies, Inc., 7.800% 08/15/07...................... 1,215
SEE NOTES TO FINANCIAL STATEMENTS. 61 66 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 1,600 Lehman Brothers Holdings Inc., 6.625% 04/01/04...................... $ 1,567 1,500 Salomon Smith Barney Holdings, Inc., 6.250% 05/15/03...................... 1,477 -------- 4,259 -------- NATURAL GAS PIPELINES -- 2.2% 1,200 KN Energy, Inc., 6.450% 03/01/03...................... 1,178 1,500 Williams Companies, Inc., 6.500% 08/01/06...................... 1,439 -------- 2,617 -------- TELECOMMUNICATIONS SERVICES -- 3.5% 1,400 MCI Worldcom, Inc., 6.400% 08/15/05...................... 1,363 1,600 Sprint Capital Corporation, 5.875% 05/01/04...................... 1,530 1,250 Vodafone AirTouch plc, 7.625% 02/15/05(-)................... 1,268 -------- 4,161 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $54,977)....................... 53,754 -------- FOREIGN BONDS AND NOTES -- 2.3% 1,385 Banco Latinoamericano, 7.200% 05/28/02(-)................... 1,361 1,361 Pemex Finance Ltd., 5.720% 11/15/03...................... 1,330 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $2,747)........................ 2,691 -------- MORTGAGE-BACKED SECURITIES -- 30.3% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 20.3% 1,950 Commercial Mortgage Acceptance Corporation, Series 1999-C1, Class A2, 7.030% 05/15/09##.................... 1,932 1,394 Criimi Mae CMBS Corporation, Series 1998-1, Class A1, 5.697% 10/20/01(-)................... 1,369 2,250 CS First Boston Mortgage Securities Corporation, Series 1998-C1, Class A1B, 6.480% 05/17/08##.................... 2,160 500 CS First Boston Mortgage Securities Corporation, Series 1998-C2, Class A2, 6.300% 11/15/08...................... 474 1,500 DLJ Commercial Mortgage Corporation, Series 1998-CF2, Class A1B, 6.240% 11/12/31##.................... 1,415 1,300 DLJ Commercial Mortgage Corporation, Series 1998-CG1, Class A1B, 6.410% 05/10/08##.................... 1,247 1,000 DLJ Commercial Mortgage Corporation, Series 2000-CF1, Class A1B, 7.620% 05/10/10...................... 1,027 1,800 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... 1,826
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 8,415 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.290%** 12/26/28.................... $ 464 1,300 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2, 6.423% 05/18/08...................... 1,243 2,180 Nomura Asset Securities Corporation, Series 1998-D6, Class A1B, 6.590% 03/17/28##.................... 2,115 1,100 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10...................... 1,129 2,200 Prudential Securities Secured Financing Corporation, Series 1998-C1, Class A1B, 6.506% 07/15/08##.................... 2,115 1,850 Salomon Brothers Mortgage Securities, Series 2000-C1, Class A2, 7.520% 12/18/09##.................... 1,886 1,900 Salomon Brothers Mortgage Securities, Series 2000-C2, Class A2, 7.455% 04/18/10...................... 1,928 52,342 Vendee Mortgage Trust, Series 1998-1, Class 2, IO, .453%** 09/15/27..................... 913 51,637 Vendee Mortgage Trust, Series 1998-3, Class 1, IO, .314%** 03/15/29..................... 675 -------- 23,918 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 9.7% 1,500 5.750% 06/15/05........................ 1,450 9,757 6.500% 07/01/29-05/01/30............... 9,371 572 8.426%** 08/01/36...................... 588 -------- 11,409 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.3% 307 10.000% 07/15/16-08/15/17.............. 330 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $36,207)....................... 35,657 -------- U.S. TREASURY OBLIGATIONS -- 15.4% U.S. TREASURY NOTES -- 10.7% 6,000 5.500% 08/31/01........................ 5,957 6,900 4.250% 11/15/03........................ 6,569 -------- 12,526 -------- U.S. TREASURY STRIPS -- 4.7% 1,875 Interest only 08/15/09................. 1,107 1,000 Interest only 02/15/10................. 572 500 Interest only 05/15/20................. 152 4,600 Principal only 11/15/04................ 3,609 585 Principal only 11/15/27................ 118 -------- 5,558 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $18,027)....................... 18,084 --------
SEE NOTES TO FINANCIAL STATEMENTS. 62 67 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------- INVESTMENT COMPANIES -- 2.2% (Cost $2,582) 2,582 Nations Cash Reserves#................ $ 2,582 -------- TOTAL INVESTMENTS (Cost $118,222*)............. 99.1% 116,401 -------- OTHER ASSETS AND LIABILITIES (NET)........................ 0.9% Cash.................................. $ 425 Interest receivable................... 1,373 Variation margin/due to broker........ (5) Investment advisory fee payable....... (37) Administration fee payable............ (5) Payable for investment securities purchased........................... (570) Accrued Trustees'/Directors' fees and expenses............................ (9) Accrued expenses and other liabilities......................... (75) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 1,097 -------- NET ASSETS..................... 100.0% $117,498 ========
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $1,821 on investment securities was comprised of gross appreciation of $702 and gross depreciation of $2,523 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $118,222. ** Variable rate Security. The interest rate shown reflects the rate in effect at September 30, 2000. ## All or a portion of security segregated as collateral for futures contracts. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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 Banc of America Capital Management, Inc. ABBREVIATIONS: IO -- Interest only SEE NOTES TO FINANCIAL STATEMENTS. 63 68 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------- COMMON STOCKS -- 1.3% HEALTH SERVICES -- 0.3% 5,810 Apria Healthcare Group Inc.(!).......... $ 81 ------- LODGING AND RECREATION -- 0.5% 7,650 Argosy Gaming Company(!)................ 138 ------- METALS AND MINING -- 0.3% 5,000 Placer Dome Inc......................... 47 3,000 USX - U.S. Steel Group Inc. ............ 46 ------- 93 PAPER AND FOREST PRODUCTS -- 0.2% 5,500 Abitibi-Consolidated Inc. .............. 52 ------- TOTAL COMMON STOCKS (Cost $329)........................... 364 ------- PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES -- 3.6% BEVERAGES -- 0.2% $ 185 Triarc Companies, Inc., 6.860%*** 02/09/18.................... 56 ------- METALS AND MINING -- 0.8% 125 Agnico-Eagle Mines Ltd., 3.500% 01/27/04.............................. 84 195 Battle Mountain Gold Company, 6.000% 01/04/05....................... 161 ------- 245 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.5% 165 Efficient Networks, Inc., 5.000% 03/15/05....................... 105 40 Efficient Networks, Inc., 5.000% 03/15/05....................... 25 ------- 130 ------- REAL ESTATE -- 0.5% 160 Security Capital U.S. Realty, 2.000% 05/22/03(-).................... 138 ------- SOFTWARE -- 0.8% 180 Digital Island Inc., 6.000% 02/15/05....................... 105 215 Internet Capital Group, Inc., 5.500% 12/21/04....................... 111 ------- 216 ------- TELECOMMUNICATIONS SERVICES -- 0.8% 150 At Home Corporation, 4.750% 12/15/06....................... 100 235 PTEK Holdings, Inc., 5.750% 07/01/04....................... 150 ------- 250 ------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $1,035)............................... 1,035 ------- CORPORATE BONDS AND NOTES -- 77.3% AIRLINES -- 0.5% 140 Valujet Inc., 10.250% 04/15/01...................... 132 -------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- APPAREL AND TEXTILES -- 0.4% $ 130 Anvil Knitwear, Inc., 10.875% 03/15/07...................... $ 116 ------- AUTOMOTIVE -- 0.5% 200 Mark IV Industries, Inc., 7.500% 09/01/07....................... 156 ------- BROADCASTING AND CABLE -- 11.2% 165 Adelphia Communications Corporation, 9.375% 11/15/09....................... 150 140 Benedek Communications, 14.540%*** 05/15/06................... 123 125 Big City Radio, Inc., 28.140%*** 03/15/05................... 68 315 British Sky Broadcasting Group plc, 6.875% 02/23/09....................... 274 215 Cablevision SA, 13.750% 04/30/07...................... 194 240 Charter Communications Holdings LLC, 8.625% 04/01/09....................... 215 460 Diamond Cable Communication Company, 13.250% 09/30/04...................... 480 275 Radio Unica Corporation, 14.370%*** 08/01/06................... 197 355 Rogers Cable Systems, 10.125% 09/01/12...................... 372 190 Sirius Satellite Radio Inc., 14.500% 05/15/09...................... 169 70 United Pan-Europe Communications N.V., 16.490%*** 08/01/09................... 33 110 United Pan-Europe Communications N.V., 11.250% 02/01/10...................... 96 515 United Pan-Europe Communications N.V., 11.500% 02/01/10...................... 446 205 United Pan-Europe Communications N.V., 16.630%*** 02/01/10................... 93 385 UnitedGlobalCom Inc., 12.910%*** 02/15/08................... 264 ------- 3,174 ------- BUILDING MATERIALS -- 0.2% 90 Amatek Industries PTY, Ltd., 12.000% 02/15/08...................... 69 ------- CHEMICALS -- BASIC -- 0.3% 115 Agricultural Minerals & Chemicals, 10.750% 09/30/03...................... 75 ------- CHEMICALS -- SPECIALTY -- 1.5% 230 CP Kelco 11.875% 09/15/10(-)................... 205 120 General Chemical Industrial Products, 10.625% 05/01/09...................... 96 65 Marsulex Inc., 9.625% 07/01/08....................... 61 50 Sovereign Specialty Chemical, 11.875% 03/15/10...................... 51 ------- 413 -------
SEE NOTES TO FINANCIAL STATEMENTS. 64 69 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- COMMERCIAL SERVICES -- 1.1% $ 145 APCOA, Inc., 9.250% 03/15/08....................... $ 53 120 Building One Services Corporation, 10.500% 05/01/09...................... 105 260 Intertek Finance plc, 10.250% 11/01/06...................... 91 210 Young America Corporation, 11.625% 02/15/06...................... 74 ------- 323 ------- COMPUTER SERVICES -- 1.4% 420 Unisys Corporation, 7.875% 04/01/08....................... 385 ------- CONSUMER SERVICES -- 0.7% 85 Iron Age Corporation, 9.875% 05/01/08....................... 61 145 Jafra Cosmetics International, Inc., 11.750% 05/01/08...................... 139 ------- 200 ------- DEPARTMENT AND DISCOUNT STORES -- 0.7% 240 TM Group Holdings, 11.000% 05/15/08...................... 209 ------- DIVERSIFIED ELECTRONICS -- 0.5% 160 Knowles Electronics Inc., 13.125% 10/15/09(-)................... 152 ------- DIVERSIFIED MANUFACTURING -- 1.1% 140 Desa International Inc., 9.875% 12/15/07....................... 102 200 GenTek, Inc., 11.000% 08/01/09.......... 205 ------- 307 ------- ELECTRIC POWER -- NON NUCLEAR -- 4.6% 650 AES Corporation, 9.375% 09/15/10....................... 660 170 AES Eastern Energy, 9.000% 01/02/17....................... 168 105 AES Eastern Energy, 9.670% 01/02/29....................... 105 120 Western Resources, Inc., 6.250% 08/15/03....................... 108 315 Western Resources, Inc., 6.875% 08/01/04....................... 283 ------- 1,324 ------- ENERGY -- MISCELLANEOUS -- 1.7% 165 CMS Energy Corporation, 10.875% 12/15/04(-)................... 163 360 ESI Tractebel Acquisition Corporation, 7.990% 12/30/11....................... 324 ------- 487 -------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 1.6% $ 200 Husky Oil Limited, 8.900% 08/15/28....................... $ 196 65 Ocean Energy, Inc., 8.250% 07/01/18....................... 63 210 Triton Energy Limited, 8.875% 10/01/07(-).................... 210 ------- 469 ------- FINANCE -- MISCELLANEOUS -- 0.7% 225 Golden State Holdings, Escrow Corporation, 7.125% 08/01/05....................... 210 ------- HEALTH SERVICES -- 8.1% 310 Apria Healthcare Group Inc., 9.500% 11/01/02....................... 310 245 Columbia/HCA Healthcare Corporation, 7.500% 11/15/95....................... 193 285 Fountain View Inc., 11.250% 04/15/08...................... 80 355 Harborside Healthcare, 33.210%*** 08/01/08................... 71 545 Kelso and Company, 12.750% 10/01/09...................... 589 145 Magellan Health Services, Inc., 9.000% 02/15/08....................... 96 205 Manor Care Inc., 7.500% 06/15/06....................... 171 447 Multicare Companies Inc., 9.000%*** 08/01/07(a)(b).............. 27 715 Per-Se Technologies, Inc., 9.500% 02/15/05.............................. 607 185 Team Health, Inc., 12.000% 03/15/09...................... 170 ------- 2,314 ------- HEAVY MACHINERY -- 0.3% 80 Harnischfeger Industries, Inc., 7.250% 12/15/25(a)(b)........................ 22 65 Thermadyne Manufacturing LLC, 9.875% 06/01/08....................... 50 ------- 72 ------- INSURANCE -- 0.5% 150 Willis Corroon Corporation, 9.000% 02/01/09....................... 138 ------- LODGING AND RECREATION -- 7.4% 170 Argosy Gaming Company, 10.750% 06/01/09...................... 178 255 Bally Total Fitness Holding Corporation, 9.875% 10/15/07....................... 242 130 Boca Resorts, Inc., 9.875% 04/15/09....................... 125 210 Hilton Hotels Corporation, 7.500% 12/15/17....................... 181 100 Intrawest Corporation, 10.500% 02/01/10...................... 103 270 ITT Corporation, 7.375% 11/15/15....................... 242 75 La Quinta Inns, Inc., 7.400% 09/15/05....................... 56
SEE NOTES TO FINANCIAL STATEMENTS. 65 70 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- LODGING AND RECREATION -- (CONTINUED) $ 180 Mandalay Resort Group, 9.500% 08/01/08(-).................... $ 184 60 Mandalay Resort Group, 7.625% 07/15/13....................... 50 160 Pinnacle Entertainment, Inc., 9.250% 02/15/07....................... 165 175 Royal Caribbean Cruises Limited, 7.250% 03/15/18....................... 140 125 Station Casinos, Inc., 9.875% 07/01/10(-).................... 125 100 Vail Resorts, Inc., 8.750% 05/15/09....................... 95 170 Venetian Casino Resort LLC, 12.250% 11/15/04.............................. 174 55 Venetian Casino/LV Sands, 14.250% 11/15/05.............................. 57 ------- 2,117 ------- MEDICAL DEVICES AND SUPPLIES -- 1.1% 160 Alaris Medical Systems, 9.750% 12/01/06.............................. 117 260 Alaris Medical, Inc., 28.430%*** 08/01/08.............................. 68 130 DJ Orthopedics LLC, 12.625% 06/15/09.... 122 ------- 307 ------- METALS AND MINING -- 2.0% 220 Algoma Steel Inc., 12.375% 07/15/05..... 156 110 Commonwealth Industries, Inc., 10.750% 10/01/06.............................. 105 170 Great Central Mines Ltd., 8.875% 04/01/08.............................. 147 170 Ormet Corporation, 11.000% 08/15/08(-)........................... 158 ------- 566 ------- NATURAL GAS DISTRIBUTION -- 0.2% 90 Energy Corporation of America, 9.500% 05/15/07.............................. 68 ------- OILFIELD SERVICES -- 0.3% 80 R&B Falcon Corporation, 9.500% 12/15/08.............................. 86 ------- PAPER AND FOREST PRODUCTS -- 0.7% 80 Pope and Talbot, Inc., 8.375% 06/01/13.............................. 75 125 Tembec Finance Corporation, 9.875% 09/30/05.............................. 126 ------- 201 ------- PHARMACEUTICALS -- 1.0% 305 Caremark Rx, Inc., 7.375% 10/01/06...... 271 ------- PUBLISHING AND ADVERTISING -- 3.7% 270 American Color Graphics, 12.750% 08/01/05...................... 267
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- $ 130 Garden State Newspapers, Inc., 8.750% 10/01/09....................... $ 121 35 Garden State Newspapers, Inc., 8.625% 07/01/11....................... 33 190 Marvel Enterprises, Inc., 12.000% 06/15/09...................... 152 90 Phoenix Color Corporation, 10.375% 02/01/09...................... 76 115 TS/F Communications Corporation, 10.375% 11/01/07...................... 107 295 Ziff Davis Media, Inc., 12.000% 07/15/10(-)................... 292 ------- 1,048 ------- RAILROADS, TRUCKING AND SHIPPING -- 1.0% 230 Pegasus Shipping Hellas, 11.875% 11/15/04(a)................... 78 230 Sea Containers Limited, 10.750% 10/15/06...................... 185 30 Sea Containers Limited, 7.875% 02/15/08....................... 20 ------- 283 ------- REAL ESTATE -- 0.8% 250 CB Richar Ellis Services Inc., 8.875% 06/01/06....................... 227 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 3.1% 220 BF Saul, 9.750% 04/01/08....................... 189 175 Crescent Real Estate Equities LP, 7.000% 09/15/02....................... 164 170 Crescent Real Estate Equities LP, 7.500% 09/15/07....................... 143 255 Felcor Lodging LP, 9.500% 09/15/08(-).................... 253 155 Meditrust Companies, 7.820% 09/10/26....................... 126 ------- 875 ------- RESTAURANTS -- 0.7% 210 Advantica Restaurant Group, Inc., 11.250% 01/15/08...................... 118 125 CKE Restaurants, Inc., 9.125% 05/01/09....................... 75 ------- 193 ------- SEMICONDUCTORS -- 0.4% 117 ASAT Finance LLC, 12.500% 11/01/06(-)................... 123 ------- SPECIALTY STORES -- 0.7% 265 Hollywood Entertainment Corporation, 10.625% 08/15/04...................... 204 ------- TELECOMMUNICATIONS SERVICES -- 16.3% 160 360networks Inc., 13.000% 05/01/08...................... 146 170 Call-Net Enterprises, Inc., 23.150%*** 08/15/08................... 54 185 Call-Net Enterprises, Inc., 9.375% 05/15/09....................... 87
SEE NOTES TO FINANCIAL STATEMENTS. 66 71 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 125 Call-Net Enterprises, Inc., 22.710%*** 05/15/09................... $ 38 180 Centennial Communications, 10.750% 12/15/08...................... 176 55 CFW Communications Company, 13.000% 08/15/10(-)................... 51 85 COLO.com, 13.875% 03/15/10(-)................... 87 375 COLT Teleocom Group plc, 10.390%*** 12/15/06................... 341 95 Exodus Communications Inc., 11.250% 07/01/08...................... 94 40 Exodus Communications, Inc., 11.625% 07/15/10(-)................... 40 95 Flag Telecom Holdings Limited, 11.625% 03/30/10...................... 81 480 Hermes Europe Railtel BV, 11.500% 08/15/07...................... 240 155 HighwayMaster Communications, Inc., 13.750% 09/15/05...................... 59 110 ICO Global Communications (Holdings) Limited, 15.000% 08/01/05...................... 66 180 IMPSAT Fiber Networks, Inc., 13.750% 02/15/05...................... 156 380 Millicom International Cellular SA, 15.030%*** 06/01/06................... 327 220 Nextel International Inc., 14.380%*** 04/15/08................... 142 225 Nextel International Inc., 12.750% 08/01/10(-)................... 221 160 Nextel Partners, Inc., 11.000% 03/15/10(-)................... 161 380 NTL Communications Corporation, 11.875% 10/01/10(-)................... 371 160 Orion Network Systems, Inc., 33.460%*** 01/15/07................... 54 245 Orius Capital Corporation, 12.750% 02/01/10(-)................... 257 165 Pagemart Nationwide, 15.000% 02/01/05...................... 152 150 PSINet, Inc., 11.500% 11/01/08...................... 101 100 RCN Corporation, 10.000% 10/15/07...................... 74 60 RCN Corporation, 18.630%*** 10/15/07................... 32 30 RCN Corporation, 10.125% 01/15/10...................... 21 230 RCN Corporation, Series B, 18.340%*** 02/15/08................... 110 260 UIH Australia/Pacific Inc., 14.240%*** 05/15/06................... 237 485 Voicestream Wireless, 10.375% 11/15/09...................... 524 115 Williams Communications Group, Inc., 10.875% 10/01/09...................... 105 ------- 4,605 -------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------- TOBACCO -- 0.3% $ 115 Standard Commercial Corporation, 8.875% 08/01/05....................... $ 98 ------- TOTAL CORPORATE BONDS AND NOTES (Cost $22,564)........................ 21,997 ------- FOREIGN BONDS AND NOTES -- 1.0% 130 Octel Developments plc, 10.000% 05/01/06...................... 122 160 Rogers Communications, Inc., 8.875% 07/15/07....................... 160 ------- TOTAL FOREIGN BONDS AND NOTES (Cost $286)........................... 282 ------- SHARES - --------- PREFERRED STOCKS -- 5.9% BROADCASTING AND CABLE -- 1.9% 2,335 Adelphia Communications Corporation..... $ 231 3,000 Paxson Communications Corporation(c).... 313 ------- 544 ------- CHEMICALS -- BASIC -- 1.0% 5,200 Hercules Trust II....................... 293 ------- EXPLORATION AND PRODUCTION -- 0.5% 105,000 R&B Falcon Corporation.................. 134 ------- FINANCE -- MISCELLANEOUS -- 0.0%+ 1,080 Harborside Health (HBR)(c).............. 9 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.4% 4,350 Sovereign REIT(-)....................... 389 ------- TELECOMMUNICATIONS SERVICES -- 1.1% 2,850 Nextel Communications, Inc.(c).......... 302 ------- TOTAL PREFERRED STOCKS (Cost $1,650)......................... 1,671 ------- PRINCIPAL AMOUNT (000) - --------- WARRANTS -- 0.0%+ (Cost $10) $ 180 UbiquiTel Inc........................... 13 ------- SHORT TERM INVESTMENTS -- 4.4% COMMERCIAL PAPER -- 4.4% 1,000 American Express Credit Corporation 6.510% 10/11/00....................... 998 250 General Electric Capital Corporation 6.520% 10/23/00....................... 249 ------- TOTAL SHORT TERM INVESTMENTS (Cost $1,247)......................... 1,247 -------
SHARES (000) - ------- INVESTMENT COMPANIES -- 4.7% (Cost $1,343) 1,343 Nations Cash Reserves#.................. 1,343 --------
SEE NOTES TO FINANCIAL STATEMENTS. 67 72 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE (000) - ----------------------------------------------------------- TOTAL INVESTMENTS (Cost $28,464*).............. 98.2% 27,952 -------- OTHER ASSETS AND LIABILITIES (NET)........................ 1.8% Cash.................................. $ 518 Receivable for investment securities sold................................ 552 Dividends receivable.................. 21 Interest receivable................... 642 Unrealized depreciation on forward foreign exchange contracts.......... (2) Investment advisory fee payable....... (12) Administration fee payable............ (1) Payable for investment securities purchased........................... (1,099) Accrued Trustees'/Directors' fees and expenses............................ (12) Accrued expenses and other liabilities......................... (82) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... 525 -------- NET ASSETS..................... 100.0% $ 28,477 ========
- --------------- * Federal Income Tax Information: Net unrealized depreciation of $512 on investment securities was comprised of gross appreciation of $553 and gross depreciation of $1,065 for federal income tax purposes. At September 30, 2000, the aggregate cost of securities for federal income tax purposes was $28,464. *** Zero coupon security. The rate shown reflects the yield to maturity. (!) Non-income producing security. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. (a) Issue in default. (b) Issuer in bankruptcy. (c) PIK ("Payment in kind"). Interest or dividend payment is made with additional securities. SEE NOTES TO FINANCIAL STATEMENTS. 68 73 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2000
INTERMEDIATE BOND HIGH YIELD BOND MASTER PORTFOLIO MASTER PORTFOLIO ------------------- ------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 4,141 $ 1,164 Dividends................................................... -- 34 ------------------- ------------------- Total investment income................................. 4,141 1,198 ------------------- ------------------- EXPENSES: Investment advisory fee..................................... 230 55 Administration fee.......................................... 29 5 Fund accounting fees and expenses........................... -- -- Custodian fees.............................................. 5 5 Legal and audit fees........................................ 20 37 Trustees' fees and expenses................................. 11 12 Other....................................................... 1 2 ------------------- ------------------- Total expenses.......................................... 296 116 Fees reduced by credits allowed by the custodian............ (1) (1) ------------------- ------------------- Net expenses............................................ 295 115 ------------------- ------------------- NET INVESTMENT INCOME....................................... 3,846 1,083 ------------------- ------------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions....................................... (1,616) (158) Futures..................................................... (47) -- Forward foreign exchange contracts, foreign currencies and other net assets.......................................... -- 1 ------------------- ------------------- Net realized gain/(loss) on investments..................... (1,663) (157) ------------------- ------------------- Change in unrealized appreciation/(depreciation) of: Securities.................................................. 2,922 (329) Futures..................................................... 10 -- Forward foreign exchange contracts, foreign currencies and other net assets.......................................... -- (5) ------------------- ------------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 2,932 (334) ------------------- ------------------- Net realized and unrealized gain/(loss) on investments...... 1,269 (491) ------------------- ------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 5,115 $ 592 =================== ===================
SEE NOTES TO FINANCIAL STATEMENTS. 69 74 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS HIGH YIELD BOND INTERMEDIATE BOND MASTER PORTFOLIO MASTER PORTFOLIO -------------------------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/00 PERIOD ENDED PERIOD ENDED 9/30/00 PERIOD ENDED (UNAUDITED) 3/31/00 5/14/99(a) (UNAUDITED) 3/31/00(b) -------------------------------------------------------------------------------------- (IN THOUSANDS) Net investment income.................. $ 3,846 $ 7,371 $ 1,827 $ 1,083 $ 79 Net realized gain/(loss) on investments.......................... (1,663) (2,483) (143) (157) 38 Net change in unrealized appreciation/ (depreciation) of investments........ 2,932 (2,726) (433) (334) (179) -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations............ 5,115 2,162 1,251 592 (62) Contributions.......................... 53,104 33,625 9,177 24,400 15,796 Withdrawals............................ (60,222) (72,179) (11,824) (10,015) (2,234) -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............................... (2,003) (36,392) (1,396) 14,977 13,500 NET ASSETS: Beginning of period.................... 119,501 155,893 157,289 13,500 -- -------------- -------------- -------------- -------------- -------------- End of period.......................... $ 117,498 $ 119,501 $ 155,893 $ 28,477 $ 13,500 ============== ============== ============== ============== ==============
SUPPLEMENTARY DATA
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF OPERATING INVESTMENT OPERATING EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO TO AVERAGE TO AVERAGE TURNOVER AVERAGE NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------- INTERMEDIATE BOND MASTER PORTFOLIO: Six months ended 9/30/2000 (unaudited)............ 0.51%+(c) 6.67%+ 58% 0.51%+(c) Period ended 3/31/2000............................ 0.54+ 6.10+ 90 0.55+ Period ended 5/14/1999(a)......................... 0.38+ 5.61+ 19 0.42+ Year ended 2/28/1999(a)........................... 0.35 5.69 137 0.45 Year ended 2/28/1998(a)........................... 0.35 5.99 127 0.55 Year ended 2/28/1997(a)........................... 0.35 5.86 83 0.65 Year ended 2/29/1996(a)........................... 0.18 6.47 172 0.68 HIGH YIELD BOND MASTER PORTFOLIO: Six months ended 9/30/2000 (unaudited)............ 1.15%+(c) 10.83%+ 36% 1.15%+(c) Period ended 3/31/2000(b)......................... 2.82+ 5.16+ 26 2.86+
- --------------- + Annualized. (a) Represents financial information for the Pacific Horizon Intermediate Bond Portfolio, which was reorganized into Intermediate Bond Master Portfolio on May 21, 1999. (b) High Yield Bond Master Portfolio commenced operations on February 14, 2000. (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. 70 75 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, 2000, the Trust offered nine separate portfolios. These financial statements pertain only to Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio (each a "Master Portfolio" and collectively, the "Master Portfolios"). Financial statements for the other portfolios of the Trust are presented under separate cover. The following investors were invested in the Master Portfolios at September 30, 2000: Intermediate Bond Master Portfolio: Nations Intermediate Bond Fund............... 81.7% Nations Intermediate Bond Fund (Offshore).... 18.3% High Yield Bond Master Portfolio: Nations High Yield Bond Fund................. 88.8% Nations High Yield Bond Fund (Offshore)...... 11.2%
1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolios in the preparation of their financial statements. Securities valuation: Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Futures contracts: The Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio may invest in futures contracts. Upon entering into a futures contract, a Master Portfolio is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Master Portfolio each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the market value of the contract. When the contract is closed, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with changes in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Foreign currency translation: The books and records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Master Portfolio and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately stated in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, a Master Portfolio may enter into forward currency exchange contracts only under two circumstances: (i) when a Master Portfolio enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock" in the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; and (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked- 71 76 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) to-market daily. The change in market value is recorded by a Master Portfolio as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Master Portfolios from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Master Portfolio's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Master Portfolios could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. 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 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 Master 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. Federal income taxes: The Master Portfolios are treated as partnerships for federal income tax purposes and therefore are not subject to federal income tax. Each investor in the Master Portfolios will be taxed on its allocated share of the Master Portfolio's ordinary income and capital gains. Expenses: General expenses of the Trust are allocated to the Master Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Master Portfolio are charged to such Master Portfolio. 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"), a wholly- owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding company organized as a Delaware corporation, pursuant to which BAAI provides investment advisory services to the Master Portfolios. Under the terms of the Investment Advisory Agreement, BAAI is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Master Portfolio:
ANNUAL RATE ------ Intermediate Bond Master Portfolio............ 0.40% High Yield Bond Master Portfolio.............. 0.55%
The Trust has, on behalf of the Intermediate Bond Master Portfolio, entered into a sub-advisory agreement with BAAI and Banc of America Capital Management, Inc. ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BAAI at the maximum annual rate of 0.15% of the Master Portfolio's average daily net assets. The Trust has, on behalf of the High Yield Bond Master Portfolio, entered into a sub-advisory agreement with BAAI and MacKay Shields LLC ("MacKay Shields") pursuant to which MacKay Shields is entitled to receive a sub-advisory fee from BAAI at the maximum annual rate of 0.40% of the Master Portfolio's average daily net assets up to and including $100 million; 0.375% over $100 million and up to and including $200 million and 0.35% over $200 million. Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust. Under the co-administration agreements, Stephens and BAAI are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of each Master Portfolio's average daily net assets. The Bank of 72 77 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) New York ("BNY") serves as sub-administrator of the Trust pursuant to an agreement with BAAI. For the six months ended September 30, 2000, BAAI earned 0.05% of each Master Portfolio's average daily net assets for its co-administration services. BNY serves as the custodian of the Trust's assets. For the six months ended September 30, 2000, expenses of the Master Portfolios were reduced by $1,311 under expense offset arrangements with BNY. The Master Portfolios could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. No officer, director or employee of Bank of America, BAAI or BACAP, or any affiliate thereof, receives any compensation from the Trust for serving as a Trustee or Officer of the Trust. The Trust's eligible Trustees may participate in non-qualified deferred compensation and retirement plans which may be terminated at any time. All benefits provided under these plans are unfunded and any payments to plan participants are paid solely out of the Master Portfolios' assets. Income earned on each plan participant's deferral account is tied to the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, to the rate of return of Nations Treasury Fund, a portfolio of Nations Fund, Inc., another registered investment company in the Nations Funds family. The expense for the deferred compensation and retirement plans is included in "Trustees' fees and expenses" in the Statements of operations. The Master Portfolios have made daily investments of cash balances in the Nations Cash Reserves, a portfolio of Nations Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. For the six months ended September 30, 2000, the Master Portfolios earned $140,027 in the aggregate from such investments, which is included in interest income. 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, for the six months ended September 30, 2000 were as follows:
PURCHASES SALES PORTFOLIO (000) (000) - ------------------------------------------------------- Intermediate Bond Master Portfolio....................... $21,528 $9,617 High Yield Bond Master Portfolio....................... 21,407 6,147
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2000 were as follows:
PURCHASES SALES PORTFOLIO (000) (000) - ------------------------------------------------------- Intermediate Bond Master Portfolio...................... $45,503 $55,567
4. FUTURES CONTRACTS At September 30, 2000, the following Master Portfolio had futures contracts open:
VALUE OF CONTRACT MARKET UNREALIZED WHEN VALUE OF APPRECIATION/ NUMBER OF OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - ---------------------------------------------------------------------------- INTERMEDIATE BOND MASTER PORTFOLIO: U.S. 5 year Treasury note (short position) expiring December 2000(a)................ 60 $6,032 $5,989 $(43) U.S. 2 year Treasury note (long position) expiring December 2000(a)................ 25 4,979 5,000 21
- --------------- (a) Securities have been segregated as collateral for the Intermediate Bond Master Portfolio for open futures contracts. 5. OPEN FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2000, High Yield Bond Master Portfolio had the following open forward foreign currency contracts:
NET CONTRACT VALUE COST VALUE UNREALIZED TO LOCAL US$ US$ DEPRECIATION EXPIRATION DATE DELIVER CURRENCY (000) (000) (000) - ------------------------------------------------------------------------- Contracts to Sell: 12/07/00............. Euro 230,000 $202 $204 $(2)
6. LINES OF CREDIT The Trust participates with other Nations Funds in an uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Master Portfolio 73 78 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) maintains a ratio of no less than 4 to 1 net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement. At September 30, 2000, there were no loans outstanding under this Agreement. For the six months ended September 30, 2000, there were no borrowings by the Master Portfolios under the Agreement. The Trust also participates with other Nations Funds in a committed line of credit provided by BNY. Interest on borrowings under the committed line is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. A facility fee of 0.09% per annum of the total amounts available under the line of credit is charged, of which each Master Portfolio pays its pro rata share. This fee is paid quarterly in arrears. Each participating Master Portfolio is required to maintain an asset coverage ratio of at least 300% under the terms of the arrangement. For the six months ended September 30, 2000, there were no borrowings by the Master Portfolios under the committed line of credit. 7. SECURITIES LENDING Under an agreement with BNY, the Master Portfolios can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Master Portfolios. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. At September 30, 2000, the Master Portfolios were not involved in securities lending. 8. REORGANIZATION OF MASTER INVESTMENT TRUST, SERIES I On May 21, 1999, Intermediate Bond Master Portfolio, a newly established portfolio, acquired the assets and liabilities of the Pacific Horizon Intermediate Bond Master Portfolio ("Acquired Portfolio"), a series of Master Investment Trust, Series I, pursuant to a plan of reorganization approved by its investors. The acquisition was accomplished by a tax-free exchange of shares 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. 74 79 P.O. Box 34602 Charlotte, NC 28254-4602 Toll free 1.800.321.7854 NATIONS FUNDS FIXEDSAR (9/00) -----END PRIVACY-ENHANCED MESSAGE-----