N-30D 1 g64507irn-30d.txt INST RESERVES (RESERVES) 1 NATIONS RESERVES MONEY MARKET FUNDS SEMIANNUAL REPORT FOR THE PERIOD ENDED SEPTEMBER 30, 2000 Nations Cash Reserves Nations Money Market Reserves Nations Treasury Reserves Nations Government Reserves Nations Municipal Reserves Nations California Tax Exempt Reserves [GRAPHIC: PHOTO COLLAGE WITH KEYBOARD AND WATCH] [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 NATIONS RESERVES MONEY MARKET FUNDS DEAR SHAREHOLDER: We are pleased to present the semiannual financial report for Nations Reserves money market funds (the "Funds"). This report contains important financial information regarding your investment for the period ended September 30, 2000. We hope you will take a moment to review this information. During the second and third quarters of 2000, the Federal Open Market Committee (FOMC) met three times to discuss the nation's economic condition. A review of economic indicators at each meeting showed that the economy was continuing to expand rapidly and the labor market remained tight. These factors, along with signs of emerging inflation, led the FOMC to raise rates at the May 16th meeting by 50 basis points to 6.50%. At the June 28th and August 22nd meetings, rates remained unchanged, while policymakers continued their inflation watch. After the tightening in May, the Funds took advantage of the extremely steep yield curve by extending their weighted average maturity. The Funds also added to floating rate positions as a hedge against future rate increases when the yield curve flattened. 2001 ECONOMIC OVERVIEW Looking forward to 2001, we believe that the economic expansion will continue while inflation remains in check. Real GDP growth should moderate to a more sustainable 3.4%, compared with the 5.2% estimated for 2000. Meanwhile, we believe lower oil prices should help consumer prices rise a more subdued 2.5% in 2001 versus the 3.3% rise of 2000. In our view, this economic setting will probably cause the FOMC to leave interest rates unchanged for most of next year, with some easing possible late in 2001. Based on projected market conditions into the new year, our portfolio management team will continue to hedge bets with floaters. With expected moderation in the economy and a flat yield curve, the team expects to make modest extensions in weighted average maturity. SERVING YOUR SHORT-TERM INVESTMENT NEEDS At Nations Funds, we are dedicated to providing you with competitive products and services for your short-term investment and cash management needs. Nations Reserves money market funds are managed daily, giving you access to major sectors of the money markets while striving to keep pace with changing economic conditions. Our marketing team is consistently striving to find new ways to make doing business with us easier. Our sales team, intermediaries, and client service centers are at your disposal to assist you with day-to-day investment information. We appreciate your business and thank you for choosing Nations Reserves money market funds to help you with your short-term investment needs. Sincerely, /s/ A. Max Walker A. Max Walker President and Chairman of the Board /s/ Robert H. Gordon Robert H. Gordon President, Banc of America Advisors September 30, 2000 AN INVESTMENT IN MONEY MARKET FUNDS IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH MONEY MARKET FUNDS SEEK TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN MONEY MARKET FUNDS. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 4 (This page intentionally left blank) 5 TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Cash Reserves 2 Nations Money Market Reserves 8 Nations Treasury Reserves 11 Nations Government Reserves 13 Nations Municipal Reserves 15 Nations California Tax-Exempt Reserves 26 Statements of operations 34 Statements of changes in net assets 36 Statement of cash flows 40 Schedules of capital stock activity 41 Financial highlights 48 Notes to financial statements 60
------------------------------------------------------------------------------ NATIONS FUNDS [DALBAR MUTUAL FUND SERVICE] RECOGNIZED FOR AWARD 1999] OUTSTANDING CUSTOMER SERVICE [DALBAR HONORS COMMITMENT TO: FINANCIAL INTERMEDIARIES IN RECOGNITION OF ITS COMMITMENT TO 1999] PROVIDE SHAREHOLDERS WITH THE HIGHEST LEVEL OF CUSTOMER SERVICE DALBAR, Inc., is a well-respected IN THE MUTUAL FUND INDUSTRY, research firm that measures NATIONS FUNDS RECEIVED THE DALBAR customer service levels and MUTUAL FUND SERVICE AWARD IN 1999. establishes benchmarks in the financial services industry. ------------------------------------------------------------------------------
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 6 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ BANK OBLIGATIONS -- 32.1% BANK NOTES -- 12.9% American Express Centurion Bank $ 150,000 6.670%(+) 10/02/00(++)............ $ 149,989 100,000 6.680%(+) 10/02/00(++)............ 100,000 100,000 6.590%(+) 10/09/00(++)............ 100,000 100,000 6.590%(+) 10/11/00(++)............ 99,994 Bank One, N.A. 275,000 6.650%(+) 10/02/00(++)............ 274,911 100,000 6.190% 10/16/00................... 99,998 100,000 6.700%(+) 10/20/00................ 99,995 100,000 7.170% 05/08/01................... 100,000 200,000 7.230% 06/11/01................... 199,974 Comerica Bank, N.A. 200,000 6.650%(+) 10/02/00(++)............ 199,916 100,000 6.660%(+) 10/02/00(++)............ 99,985 First Union National Bank 100,000 6.680%(+) 10/02/00(++)............ 100,000 150,000 6.690%(+) 10/02/00(++)............ 150,000 150,000 6.770%(+) 10/02/00(++)............ 149,995 125,000 6.890%(+) 10/02/00(++)............ 125,000 200,000 6.750%(+) 11/08/00(++)............ 200,000 200,000 6.740%(+) 11/30/00(++)............ 200,000 200,000 6.750% 02/08/01................... 200,000 100,000 6.800% 02/20/01................... 100,000 Key Bank, N.A. 200,000 6.630%(+) 10/02/00(++)............ 199,943 200,000 6.650%(+) 10/02/00(++)............ 199,932 200,000 6.675%(+) 10/27/00(++)............ 199,952 200,000 6.630%(+) 11/29/00(++)............ 199,953 175,000 National City Bank Cleveland 6.730% 02/09/01................... 174,970 350,000 National City Bank Indiana 6.600%(+) 12/21/00(++)............ 349,830 SouthTrust Bank, N.A. 300,000 6.640%(+) 10/02/00(++)............ 299,934 100,000 6.650%(+) 10/02/00(++)............ 99,946 300,000 6.703%(+) 10/30/00................ 299,986 425,000 6.700%(+) 11/08/00................ 424,973 US Bank, N.A. 200,000 6.630%(+) 10/02/00(++)............ 199,925 100,000 6.680%(+) 10/02/00(++)............ 100,000 ----------- 5,499,101 ----------- CERTIFICATES OF DEPOSIT -- DOMESTIC -- 2.0% 200,000 Allfirst Bank 6.620%(+) 10/09/00(++)............ 200,000 145,000 Comerica Bank, N.A. 6.630%(+) 12/27/00(++)............ 144,958 Fleet Bank, N.A. 30,000 6.741%(+) 10/16/00(++)............ 30,027 310,000 6.714%(+) 10/26/00................ 309,992 200,000 First Union National Bank 6.750% 03/16/01................... 200,000 ----------- 884,977 ----------- CERTIFICATES OF DEPOSIT -- EURO -- 0.4% 150,000 Westdeutsche Landesbanken, Girozentrale, (London) 6.740% 02/28/01........................ 150,000 -----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- YANKEE -- 10.7% $ 163,000 Bank Austria AG 6.576%(+) 10/16/00(++)............ $ 162,943 200,000 Bank of Novia Scotia, (New York) 6.780% 04/25/01................... 199,968 150,000 Barclays Bank plc, (New York) 6.680% 02/12/01................... 149,974 Bayerische Hypotheken und Vereinsbank AG, (New York) 250,000 6.580%(+) 10/02/00(++)............ 249,858 200,000 6.615%(+) 10/02/00(++)............ 199,918 34,000 6.540%(+) 10/30/00(++)............ 33,993 Canadian Imperial Bank of Commerce, (New York) 100,000 6.605%(+) 10/02/00(++)............ 99,952 100,000 6.618%(+) 10/02/00(++)............ 99,960 Commerzbank AG, (New York) 250,000 6.571%(+) 10/26/00(++)............ 249,958 150,000 6.580%(+) 10/30/00(++)............ 149,955 125,000 6.700% 02/20/01................... 124,977 150,000 6.750% 02/22/01................... 149,972 75,000 6.790% 03/28/01................... 74,986 300,000 6.780% 04/25/01................... 299,953 75,000 6.875% 08/10/01................... 74,985 Credit Agricole, (New York) 200,000 6.820% 04/27/01................... 199,978 195,000 6.890% 08/31/01................... 194,979 125,000 Credit Locale de France/Credit Communal de Belgique, (New York) 5.960% 10/02/00................... 124,999 Deutsche Bank AG, (New York) 50,000 6.610%(+) 10/02/00(++)............ 49,978 100,000 6.150% 10/10/00................... 99,999 275,000 6.700% 02/28/01................... 274,947 250,000 6.700% 03/14/01................... 249,947 200,000 Landesbank Hessen-Thuringen Girozentrale, (New York) 6.885% 04/30/01................... 199,984 175,000 National Bank of Canada, (New York) 6.750% 02/09/01................... 174,976 Rabobank Nederland, (New York) 100,000 6.490% 01/29/01................... 99,984 125,000 6.600% 02/01/01................... 124,980 100,000 6.750% 02/22/01................... 99,989 250,000 Royal Bank of Canada 6.615%(+) 10/02/00(++)............ 249,896 100,000 United Bank of Switzerland, (New York) 6.820% 04/27/01................... 99,989 ----------- 4,565,977 ----------- TIME DEPOSITS -- EURO -- 6.1% 900,000 Bayerische Hypotheken und Vereinsbank AG, (New York) 6.750% 10/02/00................... 900,000 500,000 Credit Agricole 6.625% 10/02/00................... 500,000
SEE NOTES TO FINANCIAL STATEMENTS. 2 7 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ TIME DEPOSITS -- EURO -- (CONTINUED) Societe Generale $ 180,000 6.500% 10/02/00................... $ 180,000 1,000,000 6.750% 10/02/00................... 1,000,000 ----------- 2,580,000 ----------- TOTAL BANK OBLIGATIONS (Cost $13,680,055)................ 13,680,055 ----------- CORPORATE OBLIGATIONS -- 58.5% COMMERCIAL PAPER -- 32.4% Amstel Funding Corporation 125,376 6.510% 10/26/00#.................. 124,809 75,000 Discount note 12/14/00............ 73,998 ANC Rental Funding Corporation 95,990 Discount note 10/06/00#........... 95,903 84,700 Discount note 10/30/00............ 84,255 Aon Corporation 50,000 Discount note 10/26/00............ 49,773 50,000 Discount note 10/27/00............ 49,764 65,000 Discount note 10/30/00............ 64,658 600,000 Associates Corporation of North America Discount note 10/02/00............ 599,887 AT&T Corporation 200,000 Discount note 03/14/01............ 194,088 225,000 Discount note 03/15/01............ 218,311 125,000 7.270% 06/14/01#.................. 125,000 Atlantis One Funding Corporation 182,074 6.525% 02/13/01#.................. 177,619 259,460 6.530% 02/14/01#.................. 253,059 437,069 Discount note 02/15/01#........... 426,153 Barton Capital Corporation 100,000 6.510% 10/12/00#.................. 99,801 102,444 Discount note 10/13/00#........... 102,222 BASF AG 150,000 Discount note 10/19/00............ 149,501 250,000 Discount note 10/27/00............ 248,799 50,000 Discount note 02/15/01#........... 48,761 50,000 Discount note 03/07/01............ 48,589 BAUS Funding LLC 75,000 Discount note 02/05/01............ 73,259 100,000 Discount note 02/06/01............ 97,682 200,000 Bavaria TRR Corporation Discount note 10/11/00............ 199,638 73,000 Beta Finance, Inc. Discount note 03/08/01#........... 70,914 110,000 Countrywide Home Loans Inc. Discount note 10/02/00............ 109,979 Eaton Corporation 50,000 Discount note 11/15/00#........... 49,592 100,000 Discount note 02/14/01............ 97,495 300,000 Edison Securitization LLC Discount note 10/19/00#........... 299,024 Falcon Asset Securitization Corporation 118,909 Discount note 10/20/00#........... 118,500 119,892 Discount note 10/25/00#........... 119,371 100,000 Discount note 10/31/00............ 99,456 100,000 Discount note 11/15/00............ 99,185
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) Galaxy Funding Corporation $ 60,000 Discount note 10/12/00#........... $ 59,880 200,000 6.530% 10/31/00#.................. 198,912 75,000 6.510% 12/11/00#.................. 74,037 100,000 Discount note 12/15/00#........... 98,644 84,385 Discount note 12/21/00#........... 83,151 GE Capital International Funding, Inc. 75,000 6.520% 02/05/01#.................. 73,275 100,000 Discount note 02/12/01#........... 97,581 150,000 Discount note 02/20/01#........... 146,154 150,000 General Electric Capital Corporation 6.530% 02/08/01................... 146,463 General Electric Capital Services, Inc. 150,000 Discount note 02/14/01............ 146,305 64,000 Discount note 02/28/01............ 62,253 270,000 General Motors Corporation 6.720% 10/02/00................... 269,950 Greyhawk Funding LLC 300,000 Discount note 10/02/00............ 299,944 130,000 Discount note 11/15/00#........... 128,944 100,000 Discount note 12/15/00#........... 98,648 410,000 Johnson Controls, Inc. Discount note 10/02/00............ 409,922 Jupiter Securitization Corporation 225,000 Discount note 10/13/00............ 224,511 190,585 Discount note 10/20/00............ 189,929 233,090 Discount note 10/26/00............ 232,031 103,000 Discount note 10/31/00............ 102,438 235,000 Lehman Brothers Holdings Inc. Discount note 12/06/00............ 232,083 Lone Star Funding LLC 93,485 Discount note 10/05/00#........... 93,417 100,000 6.530% 10/11/00#.................. 99,819 178,992 Discount note 10/18/00#........... 178,439 Mitsubishi International Corporation 20,000 Discount note 10/12/00............ 19,960 50,000 Discount note 10/13/00............ 49,891 70,000 Discount note 11/10/00............ 69,491 MOAT Funding LLC 150,000 6.550% 02/14/01#.................. 146,288 50,000 Discount note 02/22/01............ 48,700 200,000 6.500% 02/26/01#.................. 194,656 175,000 Discount note 03/22/01#........... 169,590 200,000 Discount note 05/15/01............ 191,826 Moriarty Ltd. 100,000 Discount note 10/10/00............ 99,835 100,000 Discount note 11/27/00#........... 98,927 200,000 Discount note 02/07/01............ 195,277 150,000 Discount note 02/09/01............ 146,425 50,000 Discount note 02/28/01............ 48,640 94,000 Discount note 03/12/01#........... 91,251 74,500 Discount note 03/26/01#........... 72,140 Ness LLC 90,000 Discount note 02/21/01#........... 87,673 100,000 Discount note 03/13/01#........... 97,052 98,340 Discount note 03/15/01#........... 95,410 100,000 Discount note 03/22/01#........... 96,894 118,484 North Coast Funding LLC Discount note 10/30/00#........... 117,858
SEE NOTES TO FINANCIAL STATEMENTS. 3 8 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) Park Avenue Receivables $ 250,000 6.510% 10/13/00#.................. $ 249,458 190,820 Discount note 10/23/00#........... 190,060 100,533 Discount note 10/25/00............ 100,095 100,523 Discount note 10/26/00#........... 100,068 Salomon Smith Barney Holdings Inc. 180,000 Discount note 10/12/00............ 179,643 200,000 Discount note 10/31/00............ 198,917 Surrey Funding Corporation 100,000 6.520% 10/25/00#.................. 99,565 150,000 6.510% 10/26/00#.................. 149,322 Trident Capital Finance, Inc. 200,000 Discount note 10/11/00#........... 199,638 250,000 Discount note 10/26/00............ 248,868 100,129 Tulip Funding Corporation Discount note 02/05/01#......... 97,821 100,000 Unilever Capital Corporation Discount note 10/31/00.......... 99,458 109,833 Variable Funding Capital Corporation Discount note 10/02/00#........... 109,812 Venture Business Trust 100,000 Discount note 10/19/00............ 99,673 100,000 Discount note 12/11/00#........... 98,718 Victory Receivables Corporation 70,446 Discount note 10/10/00#........... 70,331 104,066 Discount note 10/20/00#........... 103,707 121,046 6.520% 12/14/00#.................. 119,424 50,000 WCP Funding Inc. Discount note 12/19/00............ 49,287 200,000 Wells Fargo and Company Discount note 12/28/00............ 196,817 100,000 Windmill Funding Corporation Discount note 10/25/00#........... 99,566 World Omni Vehicle Leasing, Inc. 334,325 Discount note 12/11/00#........... 330,031 50,000 Discount note 12/12/00............ 49,348 ----------- 13,793,186 ----------- CORPORATE BONDS AND NOTES -- 26.1% American Honda Finance Corporation 100,000 6.610%(+) 10/06/00(++)##.......... 99,995 50,000 6.610%(+) 10/09/00(++)##.......... 49,997 50,000 6.610%(+) 10/09/00(++(##.......... 49,997 100,000 6.610%(+) 10/09/00(++)##.......... 99,995 100,000 6.620%(+) 10/09/00(++)##.......... 100,000 100,000 6.730%(+) 10/12/00(++)............ 100,000 125,000 6.730%(+) 10/12/00(++)##.......... 125,000 100,000 6.624% 10/20/00(++)............... 100,000 200,000 6.632%(+) 10/24/00(++)............ 200,000 AT&T Corporation 200,000 6.751%(+) 10/13/00(++)##.......... 200,000 650,000 6.653%(+) 10/19/00(++)............ 650,001
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) Bear, Stearns and Company, Inc. $ 200,000 6.730%(+) 10/02/00(++)............ $ 200,000 250,000 6.750%(+) 10/02/00(++)............ 250,000 250,000 6.810%(+) 10/02/00(++)............ 250,000 150,000 6.670%(+) 10/30/00(++)............ 150,000 125,000 6.730%(+) 11/08/00................ 125,000 100,000 6.560% 01/11/01................... 100,000 50,000 7.150% 05/03/01##................. 50,000 Beta Finance, Inc. 75,000 6.748%(+) 10/03/00(++)##.......... 75,000 100,000 6.783%(+) 10/03/00(++)##.......... 100,000 75,000 6.850% 04/24/01##................. 75,000 100,000 7.200% 05/08/01##................. 100,000 85,000 7.210% 06/11/01##................. 85,000 393,300 British Telecommunications plc 6.600%(+) 10/27/00(++)............ 393,253 50,000 Caterpillar, Inc. 6.700%(+) 12/01/00(++)............ 50,000 CC (USA) Inc. 50,000 6.743%(+) 10/04/00(++)##.......... 50,000 100,000 6.850% 04/17/01##................. 100,000 85,000 7.210% 06/11/01##................. 85,000 CIT Group Inc. 60,000 6.600%(+) 10/02/00(++)............ 59,973 175,000 6.650%(+) 10/02/00(++)............ 174,945 265,000 6.604%(+) 12/06/00(++)............ 264,911 25,000 Constellation Energy Group 6.739%(+) 12/21/00(++)............ 25,000 150,000 Credit Suisse First Boston, Inc. 6.614%(+) 10/20/00(++)............ 149,987 175,000 Ford Motor Credit Company 6.580%(+) 12/11/00................ 174,980 General Motors Acceptance Corporation 10,000 6.964%(+) 10/16/00(++)............ 10,017 450,000 6.570%(+) 12/14/00................ 449,920 Goldman Sachs Group, Inc. 250,000 6.740% 10/10/00(--)............... 250,000 400,000 6.990% 12/11/00(--)............... 400,000 200,000 6.840% 02/15/01(--)............... 200,000 150,000 6.800% 02/27/01(--)............... 150,000 150,000 6.830% 06/04/01(--)............... 150,000 150,000 Household Finance Corporation 6.690(%)+ 10/16/00(++)............ 150,000 KeyCorp 40,000 6.940%(+) 10/23/00................ 40,000 150,000 6.684%(+) 10/26/00(++)............ 149,952 100,000 6.840%(+) 10/27/00##.............. 99,997 100,000 6.660%(+) 11/15/00(++)............ 99,988 Lehman Brothers Holdings Inc. 250,000 6.870%(+) 10/02/00(++)............ 250,000 200,000 6.890%(+) 10/18/00(++)............ 200,000 50,000 6.375% 10/23/00................... 50,000 Links Finance LLC 25,000 6.290% 10/18/00##................. 25,000 25,000 6.290% 10/19/00##................. 25,000 25,000 6.810%(+) 10/20/00##.............. 25,000 25,000 6.708%(+) 11/16/00................ 25,000
SEE NOTES TO FINANCIAL STATEMENTS. 4 9 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) Merrill Lynch and Company $ 100,000 6.750%(+) 10/02/00(++)................ $ 99,989 200,000 6.750%(+) 11/07/00(++)................ 199,977 300,000 Morgan Stanley Dean Witter and Company 6.646%(+) 11/15/00(++)................ 300,000 250,000 Northern Rock plc 6.870% 04/20/01##..................... 250,000 135,000 SBC Communications Inc. 6.661%(+) 11/01/00(++)##.............. 135,000 Sigma Finance, Inc. 200,000 6.700%(+) 10/02/00(++)##.............. 200,000 150,000 6.743%(+) 10/04/00(++)................ 150,000 75,000 6.743%(+) 10/04/00(++)##.............. 75,000 100,000 6.610%(+) 10/12/00(++)##.............. 100,000 200,000 6.641%(+) 10/16/00(++)##.............. 200,000 150,000 6.870% 03/30/01##..................... 149,989 200,000 7.470% 06/05/01....................... 200,000 250,000 SMM Trust Series 1999-B 6.660%(+) 12/13/00##.................. 250,000 100,000 SMM Trust Series 2000-A 6.640%(+) 10/16/00(++)................ 100,000 75,000 SMM Trust Series 2000-E 6.641%(+) 10/16/00(++)##.............. 75,000 500,000 Unilever Capital Corporation 6.683%(+) 10/09/00(++)##.............. 500,000 531,000 Verizon Communications 6.680%(+) 12/11/00.................... 530,928 ----------- 11,128,791 ----------- TOTAL CORPORATE OBLIGATIONS (Cost $24,921,977).............. 24,921,977 ----------- FUNDING AGREEMENTS -- 2.0% Allstate Life Insurance Company 25,000 6.714%(+) 10/01/00(++)(--)............ 25,000 25,000 6.714%(+) 10/01/00(++)(--)............ 25,000 First Allmerica Financial Life Insurance Company 50,000 6.960%(+) 10/02/00(++)(--)............ 50,000 50,000 6.770%(+) 11/15/00(++)(--)............ 50,000 50,000 6.780%(+) 12/22/00(++)(--)............ 50,000 GE Life and Annuity Assurance Company 50,000 6.599%(+) 10/01/00(++)(--)............ 50,000 25,000 6.599%(+) 10/01/00(++)(--)............ 25,000 Jackson National Life Insurance Company 50,000 6.750%(+) 10/02/00(++)(--)............ 50,000 50,000 6.880%(+) 10/02/00(++)(--)............ 50,000 150,000 New York Life Insurance Company 6.899%(+) 11/15/00(--)................ 150,000 60,000 Security Life of Denver Insurance Company 6.879%(+) 10/26/00(++)(--)............ 60,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ FUNDING AGREEMENTS -- (CONTINUED) Transamerica Occidental Life Insurance Company $ 117,000 6.870%(+) 10/02/00(++)(--)............ $ 117,000 125,000 6.880%(+) 10/02/00(++)(--)............ 125,000 20,000 6.840%(+) 11/01/00(++)(--)............ 20,000 ----------- TOTAL FUNDING AGREEMENTS (Cost $847,000)................. 847,000 ----------- MUNICIPAL BONDS AND NOTES -- 0.4% 28,800 Illinois Student Assistance Commission Revenue, Series 1990B, (GTD STD LNS, First National Bank of Chicago LOC), 6.600%(+) 10/03/00(++).............. 28,800 16,000 Missouri State Economic Development Export Revenue, (Biocraft Labs, Inc. Project) Series 1989, (PNC Bank LOC), 6.700%(+) 10/03/00(++)................ 16,000 140,000 Virginia State Housing Development Authority Commonwealth Revenue, Series 1996E, 6.650%(+) 10/03/00(++)............ 140,000 ----------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $184,800)................... 184,800 ----------- REPURCHASE AGREEMENTS -- 6.8% 19,106 Agreement with the Bank of New York, 6.500% dated 09/29/00 to be repurchased at $19,116 on 10/02/00 collateralized by: $19,488 U.S. Treasury Note, 6.750% due 05/15/05............... 19,106 150,000 Agreement with Barclays Capital Inc., 6.750% dated 09/29/00 to be repurchased at $150,084 on 10/02/00 collateralized by: $101,437 FNMA, 5.470% due 02/19/02; $26,640 FHLB, 7.250% due 05/15/02; $24,924 FMAC, discount note due 08/16/01........ 150,000 710,000 Agreement with Goldman Sachs and Company, 6.730% dated 09/29/00 to be repurchased at $710,398 on 10/02/00 collateralized by: $906,048 Various Commercial Paper, discount note - 6.550% due 10/02/00 - 12/18/00........... 710,000 175,000 Agreement with Goldman Sachs and Company, 6.780% dated 09/29/00 to be repurchased at $175,099 on 10/02/00 collateralized by: $906,048 Various Commercial Paper, discount note - 6.550% due 10/02/00 - 12/18/00........... 175,000
SEE NOTES TO FINANCIAL STATEMENTS. 5 10 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $1,300,000 Agreement with J.P. Morgan Securities Inc., 6.780% dated 09/29/00 to be repurchased at $1,300,735 on 10/02/00 collateralized by: $918,000 Euro Certificates of Deposit, 6.590% - 6.720% due 11/30/00 - 03/19/01........................ $ 1,300,000 160,000 Agreement with Lehman Brothers Inc., 6.800% dated 09/29/00 to be repurchased at $160,091 on 10/02/00 collateralized by: $163,202 Various Commercial Paper, discount note due 10/02/00 - 02/28/01............. 160,000 51,000 Agreement with Salomon Smith Barney Inc., 6.650% dated 09/29/00 to be repurchased at $51,028 on 10/02/00 collateralized by: $307,020 GNMA, discount note - 8.500% due 03/15/23 - 02/15/30............. 51,000 100,000 Agreement with Salomon Smith Barney Inc., 6.650% dated 09/29/00 to be repurchased at $100,055 on 10/02/00 collateralized by: $16,583 U.S. Treasury Notes, 3.375% - 8.500% due 11/15/00 - 08/15/10; $16,292 U.S. Treasury Bonds, 3.875% - 14.000% due 12/15/01 - 05/15/30; $19,837 U.S. Treasury Strips, Interest Only, 02/15/01 - 11/15/28; $4,851 U.S. Treasury Strips, Principal Only, 02/15/01 - 02/15/29; $2,279 U.S. Treasury Bills, discount note due 10/12/00 - 05/31/01; $26,985 FNMA, discount note due 06/01/30; $13,512 FMAC, discount note due 06/01/03............... 100,000 250,000 Agreement with Salomon Smith Barney Inc., 6.650% dated 09/29/00 to be repurchased at $250,139 on 10/02/00 collateralized by: $307,020 GNMA, discount note - 8.500% due 03/15/23 - 02/15/30............. 250,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $2,915,106)............... 2,915,106 -----------
VALUE (000) ------------------------------------------------------------ TOTAL INVESTMENTS (Cost $42,548,938*)...... 99.8% $42,548,938 ----------- OTHER ASSETS AND LIABILITIES (NET)........ 0.2% Cash.............................. $ 6 Receivable for investment securities sold................. 8,636,545 Receivable for Fund shares sold... 1,989,580 Interest receivable............... 332,467 Payable for Fund shares redeemed........................ (3,040,305) Investment advisory fee payable... (7,425) Administration fee payable........ (1,910) Shareholder servicing and distribution fees payable....... (11,918) Distributions payable............. (218,810) Payable for investment securities purchased....................... (7,594,896) Accrued Trustees' fees and expenses........................ (130) Accrued expenses and other liabilities..................... (1,284) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................... 81,920 ----------- NET ASSETS................. 100.0% $42,630,858 =========== NET ASSETS CONSIST OF: Undistributed net investment income.......................... $ 27 Accumulated net realized loss on investments sold................ (2,614) Paid-in capital................... 42,633,445 ----------- NET ASSETS........................ $42,630,858 ===========
SEE NOTES TO FINANCIAL STATEMENTS. 6 11 NATIONS RESERVES MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE ------------------------------------------------------------ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($11,338,200,226 / 11,339,196,274 shares outstanding)............. $1.00 ===== TRUST CLASS SHARES: ($1,785,118,250 / 1,785,118,847 shares outstanding)............. $1.00 ===== LIQUIDITY CLASS SHARES: ($1,682,612,734 / 1,682,611,378 shares outstanding)............. $1.00 ===== ADVISER CLASS SHARES: ($4,443,321,286 / 4,444,051,316 shares outstanding)............. $1.00 ===== INVESTOR CLASS SHARES: ($8,165,879,325 / 8,166,691,783 shares outstanding)............. $1.00 ===== MARKET CLASS SHARES: ($2,982,910,911 / 2,982,910,302 shares outstanding)............. $1.00 ===== DAILY CLASS SHARES: ($11,596,434,942 / 11,596,946,260 shares outstanding)............. $1.00 ===== SERVICE CLASS SHARES: ($626,382,307 / 626,420,287 shares outstanding).................... $1.00 ===== INVESTOR B SHARES: ($9,472,876 / 9,472,879 shares outstanding).................... $1.00 ===== INVESTOR C SHARES: ($524,892 / 524,892 shares outstanding).................... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. (+) Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2000. (++) Reset date. Interest rates reset either daily, weekly, monthly or quarterly. (--) Restricted Security (Note 5). # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. SEE NOTES TO FINANCIAL STATEMENTS. 7 12 NATIONS RESERVES MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ BANK OBLIGATIONS -- 27.9% BANK NOTES -- 8.2% $ 50,000 American Express Centurion Bank 6.670%(+) 10/02/00(++).............. $ 49,996 Bank One, N.A. 40,000 6.709%(+) 12/21/00(++).............. 40,004 50,000 7.170% 05/08/01..................... 50,000 100,000 Comerica Bank, N.A. 6.650%(+) 10/02/00(++).............. 99,958 First Union National Bank 50,000 6.770%(+) 10/02/00(++).............. 49,998 50,000 6.670%(+) 12/19/00(++).............. 50,000 50,000 6.680%(+) 12/20/00(++).............. 50,000 30,000 First USA Bank 6.690%(+) 11/10/00(++).............. 29,996 50,000 National City Bank Indiana 6.600%(+) 12/21/00(++).............. 49,976 50,000 SouthTrust Bank, N.A. 6.700%(+) 11/08/00.................. 49,997 40,000 US Bank, N.A. 6.635%(+) 10/02/00(++).............. 39,990 ---------- 559,915 ---------- CERTIFICATES OF DEPOSIT -- EURO -- 0.7% 50,000 Westdeutsche Landesbank, Girozentrale, (London) 6.750% 02/28/01................... 50,001 ---------- CERTIFICATES OF DEPOSIT -- YANKEE -- 13.9% 50,000 Bank Austria 6.650%(+) 10/02/00(++).............. 49,995 200,000 Bayerische Hypotheken und Vereinsbank AG, (New York) 6.580%(+) 10/02/00(++).............. 199,887 Bayerische Landesbank Girozentrale, (New York) 50,000 6.541%(+) 10/02/00(++).............. 49,989 50,000 6.540%(+) 12/15/00.................. 49,987 Commerzbank AG, (New York) 22,000 6.820% 04/27/01..................... 21,996 25,000 6.875% 08/10/01..................... 24,995 75,000 Credit Agricole, (New York) 6.890% 08/31/01..................... 74,993 100,000 Deutsche Bank AG, (New York) 6.610%(+) 10/02/00(++).............. 99,956 50,000 Landesbank Hessen-Thuringen Girozentrale, (New York) 6.885% 04/30/01..................... 49,996 75,000 National Bank of Canada, (New York) 6.675%(+) 11/22/00.................. 74,996 50,000 National Westminster Bank plc, (New York) 6.470% 01/18/01..................... 49,993 Rabobank Nederland, (New York) 50,000 6.460% 01/10/01..................... 49,993 50,000 6.475% 01/18/01..................... 49,993 50,000 6.490% 01/29/01..................... 49,992 50,000 6.600% 02/01/01..................... 49,992 ---------- 946,753 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ TIME DEPOSITS -- EURO -- 5.1% $100,000 Bayerische Hypotheken-und- Vereinsbank AG 6.750% 10/02/00................... $ 100,000 150,000 Chase Manhattan Bank USA, N.A. 6.688% 10/02/00................... 150,000 100,000 Societe Generale 6.750% 10/02/00................... 100,000 ---------- 350,000 ---------- TOTAL BANK OBLIGATIONS (Cost $1,906,669)................. 1,906,669 ---------- CORPORATE OBLIGATIONS -- 59.9% COMMERCIAL PAPER -- 31.4% 75,000 Amstel Funding Corporation 6.510% 10/26/00#.................. 74,661 60,000 Asset Securitization Cooperative Corporation 6.500% 10/12/00#.................. 59,881 Atlantis One Funding Corporation 50,000 6.530% 02/14/01#.................. 48,767 100,000 Discount note 02/15/01#........... 97,500 51,689 Barton Capital Corporation 6.510% 10/12/00#.................. 51,586 50,000 BASF AG 6.510% 02/21/01#.................. 48,707 25,000 BAUS Funding LLC Discount note 02/05/01............ 24,420 100,000 Citibank Capital Markets Assets LLC 6.510% 10/25/00................... 99,566 75,000 Edison Securitization LLC 6.560% 10/16/00#.................. 74,795 Galaxy Funding Corporation 58,000 6.530% 10/31/00#.................. 57,684 63,000 6.510% 12/11/00#.................. 62,191 50,000 GE Capital International Funding, Inc. 6.520% 02/05/01#.................. 48,850 50,000 General Electric Capital Corporation 6.530% 02/08/01................... 48,821 25,000 General Electric Capital Services, Inc. Discount note 02/14/01............ 24,384 200,000 General Motors Corporation 6.720% 10/02/00................... 199,962 Greyhawk Funding LLC 25,000 Discount note 11/15/00#........... 24,797 50,000 6.550% 01/31/01#.................. 48,890 67,365 Jupiter Securitization Corporation 6.550% 10/27/00#.................. 67,046 48,173 Lone Star Funding LLC 6.530% 10/11/00#.................. 48,086 MOAT Funding LLC 100,000 6.520% 10/30/00#.................. 99,475 25,000 6.550% 02/14/01#.................. 24,381 50,000 6.500% 02/26/01#.................. 48,664 Moriarty Ltd. 50,000 Discount note 02/07/01............ 48,819 100,000 Discount note 02/15/01#........... 97,515 50,000 Ness LLC 6.570% 02/16/01#.................. 48,741
SEE NOTES TO FINANCIAL STATEMENTS. 8 13 NATIONS RESERVES MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) $100,569 Park Avenue Receivables 6.510% 10/13/00#.................... $ 100,350 Surrey Funding Corporation 50,000 6.520% 10/25/00#.................... 49,783 50,000 6.510% 10/26/00#.................... 49,774 Transamerica Finance Corporation 100,000 6.570% 10/20/00..................... 99,653 100,000 6.530% 10/30/00..................... 99,474 100,000 Trident Capital Finance, Inc. Discount note 10/26/00.............. 99,547 22,750 Unilever Capital Corporation Discount note 10/31/00.............. 22,627 50,000 Victory Receivables Corporation 6.520% 12/14/00#.................... 49,330 ---------- 2,148,727 ---------- CORPORATE BONDS AND NOTES -- 28.5% 50,000 Abbey National Treasury Services plc 6.470% 01/18/01..................... 49,993 150,000 AT&T Corporation 6.653%(+) 10/19/00(++).............. 150,000 75,000 Bank One Corporation 6.714%(+) 12/07/00.................. 75,004 5,050 Bear, Stearns and Company, Inc. 6.800%(+) 10/10/00.................. 5,050 Beta Finance, Inc. 75,000 6.748%(+) 10/03/00(++)##............ 75,000 25,000 6.850% 04/24/01##................... 25,000 50,000 British Telecommunications plc 6.600%(+) 10/27/00(++).............. 49,990 CC (USA) Inc. 100,000 6.743%(+) 10/04/00(++)##............ 100,000 20,000 6.850% 04/17/01##................... 20,000 50,000 Chase Manhattan Corporation 6.904%(+) 12/08/00.................. 50,020 75,000 Ford Motor Credit Company 6.580%(+) 12/11/00.................. 74,992 50,000 General Motors Acceptance Corporation 6.570%(+) 12/14/00.................. 49,991 Goldman Sachs Group, Inc. 25,000 6.840% 02/15/01(--)................. 25,000 25,000 6.800% 02/27/01(--)................. 25,000 75,000 6.830% 06/04/01(--)................. 75,000 K2 (USA) LLC 50,000 6.624%(+) 10/20/00(++)##............ 50,000 45,000 6.640%(+) 12/22/00(++)##............ 45,000 50,000 6.800% 02/15/01##................... 50,000 Links Finance LLC 35,000 6.830%(+) 10/18/00.................. 35,000 100,000 6.630%(+) 10/20/00(++).............. 100,000 25,000 6.810%(+) 10/20/00##................ 25,000 Merrill Lynch and Company 75,000 6.750%(+) 10/02/00(++).............. 74,991 30,000 6.750%(+) 10/02/00(++).............. 29,996 100,000 Morgan Stanley Dean Witter and Company 6.646%(+) 10/15/00(++).............. 100,000 85,000 SBC Communications Inc. 6.661%(+) 11/01/00(++)##............ 85,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) Sigma Finance, Inc. $ 50,000 6.610%(+) 10/12/00(++)##............ $ 50,000 50,000 6.635%(+) 12/15/00(++).............. 50,000 50,000 6.850% 04/17/01##................... 50,000 50,000 SMM Trust Series 1999-B 6.660%(+) 12/13/00##................ 50,000 45,000 SMM Trust Series 1999-J 6.730%(+) 12/13/00.................. 45,000 56,000 SMM Trust Series 2000-A 6.640%(+) 10/16/00(++).............. 56,000 154,000 Toyota Motor Credit Corporation 6.868%(+) 10/25/00##.............. 154,028 50,000 Unilever Capital Corporation 6.683%(+) 10/07/00(++)##............ 50,000 ---------- 1,950,055 ---------- TOTAL CORPORATE OBLIGATIONS (Cost $4,098,782)................. 4,098,782 ---------- MORTGAGE-BACKED SECURITIES -- 0.4% (Cost $25,500) COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.4% 25,500 Textron Financial Corporation, Series 2000B, Class A-1, 6.670% 10/15/01##................. 25,500 ---------- REPURCHASE AGREEMENTS -- 11.8% 200,000 Agreement with Goldman Sachs and Company, 6.730% dated 09/29/00 to be repurchased at $200,112 on 10/02/00 collateralized by: $205,393 Various Commercial Paper, discount note - 6.560% due 10/20/00 - 01/30/01............... 200,000 100,000 Agreement with J.P. Morgan Securities Inc., 6.780% dated 09/29/00 to be repurchased at $100,057 on 10/02/00 collateralized by: $102,000 Euro Certificate of Deposit, 6.610% due 12/29/00.......................... 100,000 503,877 Agreement with Salomon Smith Barney Inc., 6.700% dated 09/29/00 to be repurchased at $504,158 on 10/02/00 collateralized by: $8,580 U.S. Treasury Strips, Interest Only, due 10/15/00 - 10/15/19; $115,063 FMAC, discount note - 8.125% due 12/15/00 - 07/01/30; $128,902 FHLB, discount note - 4.875% due 12/22/00 - 06/30/23; $24,754 FARM, discount note - 9.375% due 10/02/00 - 06/16/08; $236,655 FNMA, discount note - 7.560% due 10/02/00 - 05/15/30............... 503,877 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $803,877)................... 803,877 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 9 14 NATIONS RESERVES MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE (000) ----------------------------------------------------------- TOTAL INVESTMENTS (Cost $6,834,828*)...... 100.0% $ 6,834,828 ----------- OTHER ASSETS AND LIABILITIES (NET)....... 0.0% Cash.............................. $ 1 Receivable for investment securities sold................. 1,552,338 Receivable for Fund shares sold... 352,649 Interest receivable............... 43,526 Payable for Fund shares redeemed........................ (362,967) Investment advisory fee payable... (1,063) Administration fee payable........ (190) Shareholder servicing and distribution fees payable....... (987) Distributions payable............. (40,377) Payable for investment securities purchased....................... (1,545,904) Accrued Trustees' fees and expenses........................ (32) Accrued expenses and other liabilities..................... (163) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................... (3,169) ----------- NET ASSETS................ 100.0% $ 6,831,659 =========== NET ASSETS CONSIST OF: Undistributed net investment income.......................... $ 4 Accumulated net realized loss on investments sold................ (2) Paid-in capital................... 6,831,657 ----------- NET ASSETS........................ $ 6,831,659 =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($4,060,104,800 / 4,060,094,893 shares outstanding)............. $1.00 ===== TRUST CLASS SHARES: ($9,082,295 / 9,082,316 shares outstanding).................... $1.00 ===== LIQUIDITY CLASS SHARES: ($545,929,969 / 545,930,403 shares outstanding).................... $1.00 =====
VALUE ----------------------------------------------------------- ADVISER CLASS SHARES: ($590,975,030 / 590,976,448 shares outstanding).................... $1.00 ===== INVESTOR CLASS SHARES: ($7,118,727 / 7,118,733 shares outstanding).................... $1.00 ===== MARKET CLASS SHARES: ($1,432,994,428 / 1,433,000,010 shares outstanding)............. $1.00 ===== DAILY CLASS SHARES: ($4,419,335 / 4,419,320 shares outstanding).................... $1.00 ===== SERVICE CLASS SHARES: ($178,847,901 / 178,848,130 shares outstanding).................... $1.00 ===== INVESTOR B SHARES: ($2,186,393 / 2,186,393 shares outstanding).................... $1.00 ===== INVESTOR C SHARES: ($10 / 10 shares outstanding)..... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. (+) Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2000. (++) Reset date. Interest rates reset either daily, weekly, monthly or quarterly. (--) Restricted Security (Note 5). # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. SEE NOTES TO FINANCIAL STATEMENTS. 10 15 NATIONS RESERVES MONEY MARKET FUNDS Nations Treasury Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ U.S. TREASURY OBLIGATIONS -- 15.4% U.S. TREASURY NOTES -- 15.4% $ 155,000 4.000% 10/31/00................... $ 154,764 150,000 5.750% 11/15/00................... 149,914 50,000 5.375% 02/15/01................... 49,812 175,000 5.000% 04/30/01................... 173,245 125,000 6.250% 04/30/01................... 124,681 50,000 5.625% 05/15/01................... 99,494 125,000 5.250% 05/31/01................... 123,919 80,000 5.500% 07/31/01................... 79,478 125,000 6.500% 08/31/01................... 125,041 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,080,348)............... 1,080,348 ----------- REPURCHASE AGREEMENTS -- 84.9% 1,666,056 Agreement with ABN AMRO Inc., 6.510% dated 09/29/00 to be repurchased at $1,666,960 on 10/02/00 collateralized by: $1,479,246 U.S. Treasury Strips, Interest Only, due 05/15/01 - 04/15/29; $220,132 U.S. Treasury Strips, Principal Only, due 11/15/15 - 11/15/21............. 1,666,056 330,000 Agreement with Barclays Capital Inc., 6.500% dated 09/29/00 to be repurchased at $330,179 on 10/02/00 collateralized by: $106,179 U.S. Treasury Strips, Interest Only, due 02/15/01 - 08/15/27; $33,540 U.S. Treasury Strips, Principal Only, due 05/15/01 - 11/15/27; $91,688 U.S. Treasury Bonds, 7.625% - 13.125% due 05/15/01 - 11/15/22; $105,194 U.S. Treasury Notes, 3.875% - 6.125% due 03/31/01 - 01/15/09............. 330,000 330,000 Agreement with Bear, Stearns and Company, Inc., 6.650% dated 09/29/00 to be repurchased at $330,183 on 10/02/00 collateralized by: $343,224 GNMA, 6.000% - 8.500% due 02/15/29 - 09/15/30............. 330,000 50,000 Agreement with Credit Suisse First Boston Corporation, 6.630% dated 09/29/00 to be repurchased at $50,028 on 10/02/00 collateralized by: $51,488 GNMA, 9.000% - 9.500% due 03/15/23 - 12/15/26............. 50,000 50,000 Agreement with Credit Suisse First Boston Corporation, 6.650% dated 09/29/00 to be repurchased at $50,028 on 10/02/00 collateralized by: $40,541 GNMA, 6.500% - 13.000% due 12/15/10 - 01/15/30; $10,987 GNMA II, 6.500% due 09/20/29.... 50,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $ 80,000 Agreement with Deutsche Bank Securities Inc., 6.450% dated 09/29/00 to be repurchased at $80,043 on 10/02/00 collateralized by: $81,601 U.S. Treasury Bonds, 6.000% - 14.250% due 02/15/02 - 08/15/29......... $ 80,000 330,000 Agreement with First Union Securities, Inc., 6.650% dated 09/29/00 to be repurchased at $330,183 on 10/02/00 collateralized by: $336,590 GNMA, 5.500% - 12.000% due 10/15/00 - 09/20/30............. 330,000 330,000 Agreement with Goldman Sachs and Company, 6.520% dated 09/27/00 to be repurchased at $330,359 on 10/03/00 collateralized by: $336,600 GNMA, 5.500% - 10.000% due 09/15/03 - 09/20/30......... 330,000 330,000 Agreement with J.P. Morgan Securities Inc., 6.480% dated 09/29/00 to be repurchased at $330,178 on 10/02/00 collateralized by: $175,621 U.S. Treasury Strip, Principal Only, due 05/15/02; $76,446 U.S. Treasury Notes, 4.625% - 7.250% due 10/31/00 - 10/15/06; $30,730 U.S. Treasury Bonds, 6.125% - 10.750% due 02/15/03 - 08/15/29; $53,803 U.S. Treasury Bills, discount note due 10/19/00 - 05/31/01.... 330,000 280,000 Agreement with Lehman Brothers Inc., 6.550% dated 09/29/00 to be repurchased at $280,153 on 10/02/00 collateralized by: $199,765 Various Bonds, 8.750% - 15.750% due 11/15/01 - 02/15/19; $85,741 U.S. Treasury Notes, 5.750% - 7.250% due 06/30/01 - 05/15/04............. 280,000 330,000 Agreement with Morgan Stanley Dean Witter and Company, 6.470% dated 09/27/00 to be repurchased at $330,356 on 10/03/00 collateralized by: $339,629 U.S. Treasury Strip, Principal Only, due 09/30/01.................... 330,000 330,000 Agreement with Salomon Smith Barney Inc., 6.375% dated 09/29/00 to be repurchased at $330,175 on 10/02/00 collateralized by: $174,011 U.S. Treasury Strips, Interest Only, due 08/15/01 - 05/15/27; $163,066 U.S. Treasury Strips, Principal Only, due 11/15/00 - 08/15/27............. 330,000 1,049,010 Agreement with Salomon Smith Barney Inc., 6.650% dated 09/29/00 to be repurchased at $1,049,591 on 10/02/00 collateralized by: $1,375,990 GNMA, 5.500% - 9.000% due 01/20/23 - 05/15/30............. 1,049,010
SEE NOTES TO FINANCIAL STATEMENTS. 11 16 NATIONS RESERVES MONEY MARKET FUNDS Nations Treasury Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- REPURCHASE AGREEMENTS -- (CONTINUED) $ 330,000 Agreement with UBS Warburg, 6.520% dated 09/29/00 to be repurchased at $330,179 on 10/02/00 collateralized by: $336,601 U.S. Treasury Note, 3.875% due 01/15/09........................ $ 330,000 130,000 Agreement with Westdeutsche Landesbank, Girozentrale, 6.480% dated 09/29/00 to be repurchased at $130,070 on 10/02/00 collateralized by: $70,257 U.S. Treasury Notes, 5.750% - 7.500% due 10/31/02 - 02/15/05; $62,358 U.S. Treasury Bonds, 6.500% - 11.625% due 11/15/04 - 11/15/26............. 130,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $5,945,066)............... 5,945,066 ----------- TOTAL INVESTMENTS (Cost $7,025,414*)....... 100.3% 7,025,414 ----------- OTHER ASSETS AND LIABILITIES (NET)........ (0.3)% Cash............................... $ 1 Receivable for investment securities sold.................. 5,583,172 Receivable for Fund shares sold.... 269,707 Interest receivable................ 22,304 Payable for Fund shares redeemed... (488,607) Investment advisory fee payable.... (1,013) Administration fee payable......... (181) Shareholder servicing and distribution fees payable........ (2,024) Distributions payable.............. (36,429) Payable for investment securities purchased........................ (5,365,258) Accrued Trustees' fees and expenses......................... (74) Accrued expenses and other liabilities...................... (469) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................ (18,871) ----------- NET ASSETS................. 100.0% $ 7,006,543 ===========
VALUE (000) ------------------------------------------------------------- NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold................. $ (144) Paid-in capital.................... 7,006,687 ----------- NET ASSETS......................... $ 7,006,543 =========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($965,994,701 / 966,232,765 shares outstanding)..................... $1.00 ===== TRUST CLASS SHARES: ($410,610,235 / 410,610,083 shares outstanding)..................... $1.00 ===== LIQUIDITY CLASS SHARES: ($418,441,442 / 418,459,739 shares outstanding)..................... $1.00 ===== ADVISER CLASS SHARES: ($1,529,633,484 / 1,530,151,916 shares outstanding).............. $1.00 ===== INVESTOR CLASS SHARES: ($1,112,421,390 / 1,112,628,018 shares outstanding).............. $1.00 ===== MARKET CLASS SHARES: ($1,358,931,638 / 1,359,000,010 shares outstanding).............. $1.00 ===== DAILY CLASS SHARES: ($941,023,353 / 941,129,148 shares outstanding)..................... $1.00 ===== SERVICE CLASS SHARES: ($269,354,474 / 269,376,118 shares outstanding)..................... $1.00 ===== INVESTOR B SHARES: ($132,611 / 132,611 shares outstanding)..................... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. SEE NOTES TO FINANCIAL STATEMENTS. 12 17 NATIONS RESERVES MONEY MARKET FUNDS Nations Government Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ----------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 99.8% FEDERAL FARM CREDIT BANK (FFCB) -- 1.0% $ 20,000 6.350% 02/01/01.................... $ 19,987 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 97.6% 14,673 Discount note 10/02/00............. 14,670 125,000 6.445%(+) 10/02/00(++)............. 124,920 60,000 6.470%(+) 10/02/00(++)............. 59,983 100,000 6.480%(+) 10/02/00(++)............. 99,944 100,000 6.480%(+) 10/04/00................. 100,000 200,000 6.609%(+) 10/04/00................. 199,999 22,000 6.420% 10/05/00.................... 21,984 21,000 6.483%(+) 10/05/00(++)............. 20,998 25,000 5.705% 10/06/00.................... 24,999 51,270 Discount note 10/10/00............. 51,188 53,329 Discount note 10/13/00............. 53,215 150,000 6.421%(+) 10/16/00(++)............. 149,910 216,830 Discount note 10/18/00............. 216,173 180,000 6.441%(+) 10/23/00(++)............. 179,914 102,158 Discount note 10/25/00............. 101,719 90,000 6.431%(+) 10/26/00(++)............. 89,948 125,000 Discount note 12/13/00............. 123,382 50,000 6.380% 01/08/01.................... 49,123 25,000 Discount note 01/24/01............. 24,485 40,000 6.500% 03/15/01.................... 39,983 13,000 6.450% 03/16/01.................... 12,960 53,385 6.660% 04/06/01.................... 53,372 15,000 5.125% 04/17/01.................... 14,880 32,960 5.750% 04/30/01.................... 32,762 16,280 6.750% 05/04/01.................... 16,244 55,200 7.050% 05/10/01.................... 55,171 25,000 Discount note 05/25/01............. 23,902 25,000 7.125% 06/05/01.................... 25,012 ---------- 1,980,840 ---------- STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 1.2% 25,000 6.883%(+) 10/04/00................. 25,000 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,025,827)................ 2,025,827 ----------
VALUE (000) ---------------------------------------------------------- TOTAL INVESTMENTS (Cost $2,025,827*)...... 99.8% $2,025,827 ---------- OTHER ASSETS AND LIABILITIES (NET)....... 0.2% Receivable for investment securities sold................. $ 126,183 Receivable for Fund shares sold... 120,723 Interest receivable............... 14,601 Payable for Fund shares redeemed........................ (37,333) Investment advisory fee payable... (460) Administration fee payable........ (32) Shareholder servicing and distribution fees payable....... (497) Distributions payable............. (9,722) Payable for investment securities purchased....................... (209,322) Accrued Trustees' fees and expenses........................ (32) Accrued expenses and other liabilities..................... (142) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............... 3,967 ---------- NET ASSETS................ 100.0% $2,029,794 ========== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold................ $ (663) Paid-in capital................... 2,030,457 ---------- NET ASSETS........................ $2,029,794 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 13 18 NATIONS RESERVES MONEY MARKET FUNDS Nations Government Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE ---------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($349,909,244 / 350,058,606 shares outstanding).................... $1.00 ===== TRUST CLASS SHARES: ($113,827,629 / 113,827,702 shares outstanding).................... $1.00 ===== LIQUIDITY CLASS SHARES: ($414,173,242 / 414,172,586 shares outstanding).................... $1.00 ===== ADVISER CLASS SHARES: ($396,705,706 / 397,019,864 shares outstanding).................... $1.00 ===== INVESTOR CLASS SHARES: ($86,531,142 / 86,839,771 shares outstanding).................... $1.00 ===== MARKET CLASS SHARES: ($466,000,131 / 466,000,010 shares outstanding).................... $1.00 ===== DAILY CLASS SHARES: ($183,383,213 / 183,383,262 shares outstanding).................... $1.00 ===== SERVICE CLASS SHARES: ($19,000,034 / 19,000,010 shares outstanding).................... $1.00 ===== INVESTOR B SHARES: ($116,167 / 116,167 shares outstanding).................... $1.00 ===== INVESTOR C SHARES: ($147,721 / 147,722 shares outstanding).................... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. (+) Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2000. (++) Reset date. Interest rates reset either daily, weekly or monthly. SEE NOTES TO FINANCIAL STATEMENTS. 14 19 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 101.1% ALABAMA -- 0.8% $ 9,250 Birmingham, Alabama Private Educational Building Authority Revenue, (The Altamont School Project) Series 1998, (AmSouth Bank of Alabama LOC), 5.600% 04/01/13**......................... $ 9,250 575 Foley, Alabama Industrial Development Board IDR, (Vulcan Inc. Project) Series 1985, (AmSouth Bank of Alabama LOC), 5.700% 12/01/00**#................. 575 1,090 Phenix County, Alabama Industrial Development Board Environmental Improvement Revenue, (Mead Coated Board, Inc. Project) Series 1993A, AMT, (Toronto Dominion Bank LOC), 5.550% 06/01/28**.................. 1,090 ---------- 10,915 ---------- ALASKA -- 1.0% 4,300 Alaska Industrial Development and Export Authority Exempt Facilities Revenue, (AMAX Gold, Inc. Project) Series 1997, AMT, (Bank of Nova Scotia LOC), 5.650% 05/01/09**..... 4,300 9,995 Alaska State Housing Finance Corporation Housing Revenue, Series 1998PA-332, (MBIA Insured, Merrill Lynch SBPA), 5.620% 12/01/19**#................. 9,995 ---------- 14,295 ---------- ARIZONA -- 1.1% 14,700 Apache County, Arizona Industrial Development Authority Revenue, (Tucson Electric Power Company Project) Series 1983A, (Toronto Dominion Bank LOC), 5.600% 12/15/18**.................. 14,700 1,000 Pinal County, Arizona Industrial Development Authority PCR Refunding, (Magna Copper Company Project) Series 1992, (Banque Nationale de Paris LOC), 5.600% 12/01/11**.................. 1,000 ---------- 15,700 ---------- ARKANSAS -- 0.1% 1,200 Arkansas State Development Finance Authority Higher Education Capital Asset Revenue, Series 1985, (FGIC Insured, Citibank SBPA), 5.500% 12/01/15**.................. 1,200 ---------- CALIFORNIA -- 2.3% 10,000 California Higher Education Loan Authority Inc. Student Loan Revenue Refunding, Sr. Lien, Series 1992A-2-6, (SLMA Guarantee) Mandatory Put 4/01/01, 4.300% 12/01/02.................... 10,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $20,000 California Higher Education Loan Authority Inc. Student Loan Revenue, Series 1987, (SLMA Guarantee), Mandatory Put 07/01/01, 4.400% 07/01/01.................... $ 20,000 1,000 Los Angeles, California Regional Airports Improvement Corporation Lease Revenue, (American Airlines, Inc. Project) Series 1984D, (Wachovia Bank of Georgia, N.A. LOC), 5.500% 12/01/24**.................. 1,000 1,400 Los Angeles, California Regional Airports Improvement Corporation, Corporate Lease Revenue, (American Airlines Inc. Project) Series 1984G, (Wachovia Bank of Georgia, N.A. LOC), 5.500% 12/01/24**.................. 1,400 ---------- 32,400 ---------- COLORADO -- 1.3% 1,105 Colorado Health Facilities Authority Revenue, (Goodwill Industries, Inc. Project) Series 1994, (Bank One of Colorado, N.A. LOC), 5.600% 12/01/04**#................. 1,105 5,270 Colorado Housing Finance Authority Revenue Refunding, (Coventry Village Project) Series 1996B, (FNMA Collateral Agreement), 5.550% 10/15/16**.................. 5,270 2,710 Colorado Post-Secondary Educational Facilities Authority Economic Development Revenue, (U.S. Swimming, Inc. Project) Series 1996, (Wells Fargo Bank, MN), 5.600% 06/01/11**#................. 2,710 910 Larimer County, Colorado Industrial Development Revenue Refunding, (Ultimate Support Systems Project) Series 1995A, (Bank One of Colorado, N.A. LOC), 5.600% 06/01/10**#................. 910 8,300 Moffat County, Colorado PCR, (Tri-State Colorado - Utah Electric Cooperative Project) Series 1984, (AMBAC Insured, Societe Generale SBPA), 5.550% 07/01/10**.................. 8,300 700 Pitkin County, Colorado Industrial Development Authority Revenue Refunding, (Aspen Skiing Project) Series 1994A, (First National Bank of Chicago LOC), 5.600% 04/01/16**#................. 700 ---------- 18,995 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 15 20 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- DELAWARE -- 4.8% $15,000 Delaware State Economic Development Authority IDR, (Clean Power Project) Series 1997D, AMT, (Motiva Enterprises LLC Guarantee), 5.850% 08/01/29**.................. $ 15,000 10,000 Delaware State Economic Development Authority IDR, (Star Enterprise Project) Series 1997B, AMT, (Motiva Enterprises LLC Guarantee), 5.750% 08/01/29**.................. 10,000 43,050 Delaware State Economic Development Authority Revenue, (Hospital Billing and Collection Services, Inc. Project) Series 1985A, (AMBAC Insured, Morgan Stanley SBPA), 5.650% 12/01/15.................... 43,050 ---------- 68,050 ---------- DISTRICT OF COLUMBIA -- 0.1% 800 District of Columbia GO, Series 1992A-3, (Societe Generale LOC), 5.600% 10/01/07**.................. 800 1,000 District of Columbia GO, Series 1992A-5, (Bank of Nova Scotia LOC), 5.600% 10/01/07**.................. 1,000 ---------- 1,800 ---------- FLORIDA -- 2.7% 10,200 Collier County, Florida Industrial Development Authority Health Care Facilities Revenue, (Community Health Care Project) Series 1999A, (First Union National Bank LOC), 5.500% 11/01/19**.................. 10,200 7,045 Florida State Board of Education Capital Outlay Revenue Refunding, (Public Education Project) Series 1998B, 4.500% 06/01/01.................... 7,049 1,760 Fort Walton Beach, Florida IDR, (Burton Golf, Inc. Project) Series 1996, AMT, (Columbus Bank and Trust LOC), 5.800% 10/01/11**.................. 1,760 3,000 Palm Beach County, Florida Economic Development Revenue, (YMCA Boynton Beach Project) Series 1999, (SunTrust Bank of South Florida LOC), 5.600% 01/01/24**#................. 3,000 8,160 Palm Beach County, Florida Multi-Family Housing Finance Authority, Revenue, (Clear Lake Colony Apartments Project) Series 2000PA-1240, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770% 09/15/02**#(--)............. 8,160
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 9,000 Polk County, Florida Industrial Development Authority Revenue, (Farmland Hydro, LP Project) Series 1998, AMT, (Rabobank Nederland LOC), 5.600% 02/01/29**.................. $ 9,000 ---------- 39,169 ---------- GEORGIA -- 6.1% 3,945 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Ten Oaks Apartments Project) Series 1990F, (FSA Insured, Societe Generale SBPA), 5.500% 01/01/21**.................. 3,945 1,900 Cobb County, Georgia Development Authority Revenue Refunding, (Highlands Park Associates Project) Series 1998, (SunTrust Bank LOC), 5.600% 08/01/08**#................. 1,900 1,800 Cobb County, Georgia Residential Care Facilities for the Elderly Authority Revenue Refunding, (Presbyterian Village Austell Project) Series 1998, (SunTrust Bank LOC), 5.600% 08/01/15**#................. 1,800 12,100 Columbia County, Georgia Residential Care Facilities for the Elderly Authority Revenue, (Augusta Residential Center on Aging Project) Series 1994, (SunTrust Bank LOC), 5.600% 01/01/21**#................. 12,100 7,500 DeKalb County, Georgia Development Authority IDR, (The Paideia School Inc. Project) Series 2000, (SunTrust Bank LOC), 5.600% 02/01/20**#................. 7,500 3,000 DeKalb County, Georgia Development Authority Revenue, (Marist School, Inc. Project) Series 1999, (SunTrust Bank LOC), 5.600% 03/01/24**#................. 3,000 1,050 DeKalb County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Camden Brook Project) Series 1995, (FNMA Collateral Agreement), 5.650% 06/15/25**.................. 1,050 1,400 DeKalb County, Georgia Housing Authority Multi-Family Housing Revenue, (Cedar Creek Apartments Project) Series 1995, AMT, (GE Capital Corporation Guarantee), 5.600% 12/01/20**#................. 1,400
SEE NOTES TO FINANCIAL STATEMENTS. 16 21 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 4,800 DeKalb County, Georgia Housing Authority Multi-Family Housing Revenue, (Crow Wood Arbor Associates, Ltd. Project) Series 1985, (Wachovia Bank of North Carolina, N.A. LOC), 5.600% 12/01/07**#................. $ 4,800 3,300 Fulton County, Georgia Development Authority Revenue, (Georgia Tech Athletic Association, Inc. Project) Series 1995, (SunTrust Bank LOC), 5.600% 07/01/14**#................. 3,300 3,000 Fulton County, Georgia Development Authority Revenue, (Lovett School Project) Series 1997, (SunTrust Bank LOC), 5.600% 04/01/17**#................. 3,000 15,000 Gainesville, Georgia Redevelopment Authority Educational Facilities Revenue, (Riverside Military Project) Series 1999, (Wachovia Bank N.A. LOC), 5.600% 07/01/24**#................. 15,000 4,200 Monroe County, Georgia Development Authority, PCR, (Georgia Power Company Scherer Project) Series 1995, 5.600% 07/01/25**.................. 4,200 1,150 Municipal Electric Authority of Georgia Subordinated Revenue, (Georgia MEAG Project Number One) Series 1994D, (ABN-AMRO Bank N.V. LOC), 5.600% 01/01/22**.................. 1,150 5,800 Richmond County, Georgia Development Authority Solid Waste Disposal Revenue, (Evergreen Nylon Project) Series 1999, AMT, (Banque Nationale de Paris LOC), 5.600% 07/01/32**.................. 5,800 9,600 Richmond County, Georgia Hospital Authority Revenue Anticipation Certificates, (University Health Services, Inc. Project) Series 1999, (SunTrust Bank LOC), 5.600% 01/01/19**.................. 9,600 7,000 Smyrna, Georgia Housing Authority Multi-Family Housing Revenue, (Hills of Post Village Series Project) Series 1995, (FNMA Collateral Agreement), 5.600% 06/01/25**#................. 7,000 ---------- 86,545 ---------- ILLINOIS -- 12.9% 1,135 Chicago, Illinois IDR, (Guernsey Bel Inc. Project) Series 1996A, AMT, (LaSalle National Bank LOC), 5.670% 12/01/16**.................. 1,135 4,000 Chicago, Illinois O'Hare International Airport Authority Industrial Revenue, (American Airlines, Inc. Project) Series 1983D, (Royal Bank of Canada LOC), 5.600% 12/01/17**.................. 4,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 4,255 Elmhurst, Illinois Hospital Revenue, (Joint Commission Accredidation Healthcare Project) Series 1988, (Dexia Credit Local de France LOC), 5.600% 07/01/18**.................. $ 4,255 870 Illinois Development Finance Authority IDR, (Randolph Pickle Corporation Project) Series 1992, AMT, (American National Bank & Trust Company LOC), 5.750% 06/01/12**.................. 870 2,800 Illinois Development Finance Authority IDR, (Unique Building Corporation Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 5.750% 05/01/19**.................. 2,800 46,300 Illinois Development Finance Authority Revenue, (Lyric Opera of Chicago Project) Series 1994, (Northern Trust Company LOC, Bank One of Michigan LOC, Harris Trust & Savings Bank LOC), 5.500% 12/01/28**.................. 46,300 1,900 Illinois Development Finance Authority Revenue, (Park Ridge Youth Campus Project) Series 1998, (Northern Trust Company LOC), 5.550% 09/01/18**#................. 1,900 12,200 Illinois Development Finance Authority Revenue, (YMCA of Metropolitan Chicago Project) Series 1996A, (Harris Trust & Savings Bank LOC), 5.500% 06/01/26**.................. 12,200 5,600 Illinois Educational Facilities Authority Revenue, (Chicago Historical Society Project) Series 1985, (Northern Trust Company LOC), 5.500% 12/01/25**.................. 5,600 4,000 Illinois Educational Facilities Authority Revenue, (DePaul University Project) Series 1992CP-1, (Northern Trust LOC), 5.500% 04/01/26**.................. 4,000 12,800 Illinois Educational Facilities Authority Revenue, (John F. Kennedy Healthcare Foundation Project) Series 1995, (LaSalle National Bank LOC), Mandatory Put 01/25/01, 4.350% 01/25/01.................... 12,800 1,400 Illinois Educational Facilities Authority Revenue, (Northwestern University Project) Series 1985, (First National Bank of Chicago SBPA), 5.550% 12/01/25**.................. 1,400 5,000 Illinois Educational Facilities Authority Revenue, (University of Chicago Project) Series 2000, 4.750% 01/26/01.................... 5,000
SEE NOTES TO FINANCIAL STATEMENTS. 17 22 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ILLINOIS -- (CONTINUED) $15,485 Illinois Educational Facilities Authority Revenue, (University Pooled Financing Program) Series 1985, (FGIC Insured, First National Bank of Chicago SBPA), 5.500% 12/01/05**.................. $ 15,485 10,000 Illinois Health Facilities Authority Revenue, (Evanston Northwestern Healthcare Corporation Project) Series 1985B, 4.450% 08/15/01**#................. 10,000 23,000 Illinois Health Facilities Authority Revenue, (Evanston Northwestern Healthcare Corporation Project) Series 1988, 4.200% 11/15/00**#................. 23,000 10,000 Illinois Health Facilities Authority Revenue, (Evanston Northwestern Healthcare Corporation Project) Series 1990A, 4.450% 07/31/01**#................. 10,000 8,000 Illinois Health Facilities Authority Revenue, (Revolving Fund Pooled Project) Series 1985C, (First National Bank of Chicago LOC), 5.500% 08/01/15**.................. 8,000 1,500 Lombard Village, Illinois Industrial Projects Revenue Refunding, (B&H Partnership Project) Series 1995, (LaSalle Bank N.A.), 5.850% 10/01/13**.................. 1,500 3,900 Madison County, Illinois Environmental Improvement Revenue, (Shell Oil Company Project) Series 1997A, AMT, 5.700% 03/01/33**.................. 3,900 9,200 Orland Park, Illinois Industrial Development Revenue, (Panduit Corporation Project) Series 1996, AMT, (Wachovia Bank of Georgia LOC), 5.650% 04/01/31**#................. 9,200 ---------- 183,345 ---------- INDIANA -- 0.9% 2,400 Indiana Health Facilities Financing Authority Hospital Revenue, (Deaconess Hospital Inc. Project) Series 1992, (First National Bank of Chicago LOC), 5.450% 01/01/22**.................. 2,400 1,725 Indiana Health Facilities Financing Authority Revenue Refunding, (Cardinal Center, Inc. Project) Series 1996A, (Key Bank N.A. LOC), 5.600% 12/01/16**#................. 1,725 2,700 Indianapolis, Indiana Economic Development Revenue, (Edgcomb Metals Company Project) Series 1983, (Wells Fargo Bank LOC), 5.500% 12/01/08**.................. 2,700 2,900 Rockport, Indiana PCR, (Indiana and Michigan Electric Company Project) Series 1985A, (UBS AG LOC), 5.550% 08/01/14**#................. 2,900
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- INDIANA -- (CONTINUED) $ 3,100 Whiting, Indiana Sewer and Solid Waste Disposal Revenue, (Amoco Oil Company Project) Series 1996, AMT, (BP Amoco plc Guarantee), 5.700% 01/01/26**.................. $ 3,100 ---------- 12,825 ---------- IOWA -- 0.3% 4,700 Iowa Higher Education Loan Authority Revenue, Series 1985, (MBIA Insured, Chase Manhattan SBPA), 5.700% 12/01/15**.................. 4,700 ---------- KENTUCKY -- 0.7% 1,024 Jefferson County, Kentucky IDR, (Belknap, Inc. Project) Series 1984, (National City Bank, Kentucky LOC), 4.400% 12/01/14**#................. 1,024 1,265 Jefferson County, Kentucky Industrial Building Revenue, (Seven Counties Services, Inc. Project) Series 1996, (Bank One of Kentucky, N.A. LOC), 5.600% 06/01/11**#................. 1,265 900 Jeffersontown, Kentucky Industrial Building Revenue, (Raque Food Systems, Inc. Project) Series 1995, AMT, (PNC Bank, N.A. LOC), 5.600% 04/01/20**#................. 900 2,600 Lexington-Fayette County, Kentucky Urban County Airport Corporation Revenue, (First Mortgage Project) Series 1994A, AMT, (Dexia Credit Local de France LOC), 5.700% 04/01/24**.................. 2,600 4,015 Louisville and Jefferson County, Kentucky Convention Center GO, Series 1996PT-69, (FSA Insured, Merrill Lynch SBPA), 5.620% 07/01/24**##................ 4,015 ---------- 9,804 ---------- LOUISIANA -- 2.2% 10,000 Ascension Parish, Louisiana PCR Refunding, (Borden, Inc. Project) Series 1992, (Credit Suisse First Boston LOC), 5.550% 12/01/09**.................. 10,000 2,900 Calcasieu Parish Inc., Louisiana Industrial Development Board Environmental Revenue, (Citgo Petroleum Corporation Project) Series 1994, AMT, (Banque Nationale de Paris LOC), 5.750% 12/01/24**.................. 2,900 2,000 Calcasieu Parish Inc., Louisiana Industrial Development Board Environmental Revenue, (Citgo Petroleum Corporation Project) Series 1996, AMT, (Westdeutsche Landesbank Girozentrale LOC ), 5.750% 07/01/26**.................. 2,000
SEE NOTES TO FINANCIAL STATEMENTS. 18 23 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- LOUISIANA -- (CONTINUED) $ 5,400 Lake Charles, Louisiana Harbor and Terminal District Revenue, (Citgo Petroleum Corporation Project) Series 1984, (Westdeutsche Landesbank Girozentrale LOC), 5.650% 08/01/07**.................. $ 5,400 6,000 Louisiana State Public Facilities Authority Hospital Revenue, (Willis-Knighton Medical Center Project) Series 1997, (AMBAC Insured, Dexia Credit Local de France SBPA), 5.400% 09/01/27**.................. 6,000 5,000 Plaquemines, Louisiana Port Harbor and Terminal District Port Facilities Revenue, (International Marine Terminals Project) Series 1984A, (KBC Bank N.V. LOC), Mandatory Put 3/15/01, 4.200% 03/15/01.................... 5,000 ---------- 31,300 ---------- MARYLAND -- 2.2% 3,000 Baltimore County, Maryland Economic Development Revenue, (Notre Dame Preparatory School Project) Series 1998, (Crestar Bank LOC), 5.600% 06/01/24**#................. 3,000 27,800 Baltimore, Maryland Industrial Development Authority IDR, (Baltimore Capital Acquisition Project) Series 1986, (Bayerische Landesbank LOC), 5.550% 08/01/16**.................. 27,800 ---------- 30,800 ---------- MICHIGAN -- 0.2% 3,500 Michigan State Housing Development Authority Housing Revenue, (Shoal Creek Project) Series 1985, (Wachovia Bank, N.A. LOC), 5.500% 10/01/07**.................. 3,500 ---------- MINNESOTA -- 0.7% 6,160 Minneapolis, Minnesota Housing Development Revenue Refunding, (Symphony Place Project) Series 1988, (FHLMC Guarantee), 5.400% 12/01/14**.................. 6,160 4,500 Minnesota State Housing Finance Agency, (Single-Family Mortgage Project) Series 2000D, (Bayerische Landesbank, GIC), 4.300% 05/01/01.................... 4,500 ---------- 10,660 ---------- MISSOURI -- 6.1% 35,900 Missouri State Development Finance Board Lease Revenue, (Missouri Association of Utilities Lease Pool Project) Series 1999, (TransAmerica Life and Annuity Guarantee), 5.650% 12/01/22**.................. 35,900
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 1,600 Missouri State Health and Educational Facilities Authority Facilities Revenue, (Washington University Project) Series 1985B, (Morgan Guaranty Trust SBPA), 5.600% 09/01/10**.................. $ 1,600 6,300 Missouri State Health and Educational Facilities Authority Health Facilities Revenue Refunding, (Sisters of Mercy Health Care System Project) Series 1992B, (ABN-AMRO N.V. Chicago SBPA, West Landesbank SBPA, Dexia Credit Local de France SBPA), 5.600% 06/01/14**.................. 6,300 5,000 Missouri State Health and Educational Facilities Authority Revenue, (Mehlville School District Advanced Funding Project) Series 2000I, 5.000% 10/01/01.................... 5,030 30,400 Missouri State Health and Educational Facilities Authority Revenue, (Stowers Institute of Medical Research Project) Series 1998A, (Morgan Guaranty Trust LOC), 5.650% 04/01/38**.................. 30,400 4,525 Missouri State Health and Educational Facilities Authority School District Revenue, (Grandview Consolidated School District Advanced Funding Project) Series 2000D, 5.000% 10/01/01.................... 4,552 3,070 St. Charles County, Missouri Industrial Development Authority IDR, (A.H. Land Development Company Project) Series 1996, AMT, (Commerce Bank, N.A. LOC), 5.770% 06/01/11**.................. 3,070 ---------- 86,852 ---------- NEBRASKA -- 0.7% 9,695 Nebraska Help Inc. Student Loan Revenue, Series 1986B, AMT, (SLMA Guarantee), 5.550% 12/01/16**.................. 9,695 ---------- NEVADA -- 1.2% 5,850 Clark County, Nevada IDR, (Nevada Cogeneration Association I Project) Series 1991, AMT, (Canadian Imperial Bank of Commerce LOC), 5.650% 11/01/21**.................. 5,850 5,650 Clark County, Nevada IDR, (Nevada Cogeneration Association II Project) Series 1990, AMT, (Canadian Imperial Bank of Commerce LOC), 5.650% 11/01/20**.................. 5,650
SEE NOTES TO FINANCIAL STATEMENTS. 19 24 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- NEVADA -- (CONTINUED) $ 5,500 Nevada Housing Division Multi-Unit Housing Revenue, Series 1999A, AMT, (US Bank N.A. LOC), 5.650% 10/01/30**.................. $ 5,500 ---------- 17,000 ---------- NEW MEXICO -- 0.4% 5,900 Dona Ana County, New Mexico IDR, (Foamex Products, Inc. Project) Series 1985, (Bank of Nova Scotia LOC), 5.600% 11/01/13**#................. 5,900 ---------- NEW YORK -- 3.2% 7,000 Nassau County, New York Revenue Anticipation Notes, Series 2000C, (First Union National Bank LOC, Bank of Nova Scotia LOC), 6.000% 04/12/01.................... 7,054 38,990 New York State Dormitory Authority Revenue, Series 1998PT-1066, (AMBAC Insured, Merrill Lynch SBPA), 4.550% 07/01/23**#(--)............. 38,990 ---------- 46,044 ---------- NORTH CAROLINA -- 6.5% 5,000 Forsyth County, North Carolina Certificates of Participation Revenue, (Public Facilities and Equipment Project) Series 2000, (Wachovia Bank N.A. SBPA), 5.450% 10/01/20**#................. 5,000 12,700 North Carolina Educational Facilities Finance Agency Revenue, (Ravenscroft School Project) Series 2000, (Wachovia Bank, N.A. LOC), 5.600% 08/01/20**.................. 12,700 10,000 North Carolina Educational Facilities Finance Agency Revenue, (Roman Catholic Diocese Project) Series 2000, (Wachovia Bank, N.A. LOC), 5.600% 06/01/17**.................. 10,000 13,750 North Carolina Educational Facilities Financing Agency Revenue, (Forsyth Country School Project) Series 2000, (Wachovia Bank, N.A. LOC), 5.600% 12/01/25**.................. 13,750 14,200 North Carolina Educational Facilities Financing Agency Revenue, (Methodist College Project) Series 2000, (Wachovia Bank, N.A. LOC), 5.600% 03/01/22**.................. 14,200 8,800 North Carolina Educational Facilities Financing Agency Revenue, (Wake Forest University Project) Series 2000, (Branch Banking and Trust Company SBPA), 5.450% 01/01/18**.................. 8,800
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $10,000 North Carolina Medical Care Commission Retirement Community Revenue, (Adult Communities Project) Series 1996, (LaSalle National Bank LOC), 5.500% 11/15/09**.................. $ 10,000 9,800 North Carolina Medical Care Community Health Care Facilities Revenue, (Randolph Hospital Inc. Project), Series 1999, (Wachovia Bank, N.A. LOC), 5.600% 03/01/24**#................. 9,800 500 North Carolina Medical Care Community Hospital Revenue, (Moses H. Cone Memorial Hospital Project) Series 1995, (Wachovia Bank, N.A. SBPA), 5.500% 09/01/02**.................. 500 8,500 Robeson County, North Carolina Industrial Facilities and PCR Financing Authority Revenue, (Culp Inc. Project) Series 1997, AMT, (Wachovia Bank of North Carolina, N.A. LOC), 5.650% 06/01/14**#................. 8,500 ---------- 93,250 ---------- NORTH DAKOTA -- 0.9% 12,600 Grand Forks, North Dakota Health Care Facilities Revenue, (The United Hospital Obligated Group Project) Series 1996A, (LaSalle National Bank LOC), 5.500% 12/01/25**#................. 12,600 ---------- OHIO -- 2.1% 920 Centerville, Ohio Health Care Revenue, (Bethany Lutheran Village Hospital Project) Series 1994, (PNC Bank of Ohio, N.A. LOC), 5.500% 11/01/13**#................. 920 5,000 Clinton County, Ohio Airport Facilities Revenue Refunding, (Wilmington Air Park, Inc. Project) Series 1991, (Wachovia Bank of North Carolina, N.A. LOC), 5.600% 06/01/11**#................. 5,000 855 Cuyahoga County, Ohio IDR Refunding, (Pleasant Lakes Associates Project) Series 1995, (Key Bank, N.A. LOC), 5.600% 05/01/11**#................. 855 850 Greene County, Ohio IDR, (FC, Ltd. - AFC Stamping Project) Series 1995, AMT, (Key Bank, N.A. LOC), 5.700% 09/01/16**#................. 850 9,400 Lucas County, Ohio Facilities Improvement Revenue, (Toledo Zoological Society Project) Series 1997, (Key Bank, N.A. LOC), 5.500% 10/01/05**#................. 9,400 1,780 Lucas County, Ohio IDR, (Dynamic Dies, Inc. Project) Series 1997, AMT, (National City Bank LOC), 5.600% 07/01/09**.................. 1,780
SEE NOTES TO FINANCIAL STATEMENTS. 20 25 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- OHIO -- (CONTINUED) $ 2,279 Ohio Housing Finance Agency Multi-Family Housing Revenue, (Kenwood Congregation - Retirement Project) Series 1985, (Morgan Guaranty Trust LOC), 4.250% 12/01/15**.................. $ 2,279 5,000 Ohio State Air Quality Development Authority Revenue Refunding, (Ohio Edison Project) Series 1988A, (Toronto Dominion Bank LOC), Mandatory Put 02/01/01, 4.100% 02/01/15.................... 4,998 2,000 Ohio State Water Development Authority Solid Waste Disposal Revenue, (The Timken Company Project) Series 1997, AMT, (Wachovia Bank of North Carolina, N.A. LOC), 5.750% 07/01/32**.................. 2,000 1,050 Summit County, Ohio IDR, (Oliver Printing Company, Inc. Project) Series 1997, AMT, (Bank One of Akron, N.A. LOC), 5.750% 02/01/07**#........................ 1,050 1,035 Toledo-Lucas County, Ohio Port Authority Facilities Improvement Revenue, (YMCA of Greater Toledo Project) Series 1996, (Fifth Third Bank of Northwestern Ohio LOC), 5.350% 12/01/21**#................. 1,035 ---------- 30,167 ---------- OKLAHOMA -- 1.5% 21,910 Payne County, Oklahoma Economic Development Authority Revenue, (Collegiate Housing Foundation Project) Series 2000A, (First Union National Bank LOC), 5.600% 06/01/30**.................. 21,910 ---------- PENNSYLVANIA -- 3.4% 2,790 Elk County, Pennsylvania Industrial Development Authority Revenue, (Clarion Sintered Metals Project) Series 1998, AMT, (PNC Bank, N.A. LOC), 5.600% 03/01/09**#................. 2,790 9,200 Emmaus, Pennsylvania General Authority Revenue, (East Stroudsburg Pennsylvania Area School District Project) Series 1989B, (Bayerische Landesbank LOC), 5.650% 03/01/24**.................. 9,200 6,270 Hatfield Township, Pennsylvania Industrial Development Authority Revenue, (H&N Packaging Project) Series 1999A, AMT, (Commerzbank LOC), 5.600% 04/01/19**#................. 6,270 2,590 Pennsylvania Energy Development Authority Revenue, (B&W Ebensburg Project) Series 1986, AMT, (Landesbank Hessen-Thueringen Girozentrale LOC), 5.500% 12/01/11**.................. 2,590
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 5,000 Pennsylvania State GO, Series 1994, 4.750% 05/01/01.................... $ 5,011 3,600 Philadelphia, Pennsylvania Redevelopment Authority Revenue, (Southwark Plaza, LP Project) Series 1997A, (PNC Bank, N.A. LOC), 5.500% 12/01/03**.................. 3,600 14,200 Quakertown, Pennsylvania General Authority Revenue, (Pooled Financing Program) Series 1996A, (PNC Bank, N.A. LOC), 5.550% 07/01/26**.................. 14,200 2,300 Schuylkill County, Pennsylvania Industrial Development Authority Resource Recovery Revenue Refunding, (Northeastern Power Company Project) Series 1997B, AMT, (Dexia Credit Local de France LOC), 5.650% 12/01/22**.................. 2,300 1,760 Schuylkill County, Pennsylvania Industrial Development Authority Revenue, (Bon-Ton Stores Project) Series 1992, AMT, (PNC Bank, N.A. LOC), 5.600% 02/01/12**#................. 1,760 1,315 Schuylkill County, Pennsylvania Industrial Development Authority Revenue, (S. Grumbacher and Son Project) Series 1990, (PNC Bank, N.A. LOC), 5.500% 02/01/12**#................. 1,315 ---------- 49,036 ---------- SOUTH CAROLINA -- 7.0% 4,000 Anderson County, South Carolina IDR, (Mikron Corporation Project) Series 1998, AMT, (UBS AG LOC), 5.750% 11/01/12**#................. 4,000 6,000 Berkeley County, South Carolina Exempt Facilities Industrial Revenue, (Amoco Chemical Corporation Project) Series 1997, AMT, (BP Amoco plc Guarantee), 5.700% 04/01/27**.................. 6,000 9,000 Charleston County, South Carolina School District, Series 2000, 4.600% 04/13/01.................... 9,014 1,000 Cherokee County, South Carolina Industrial Revenue Refunding, (Holmberg Electronic Corporation Project) Series 1989, (Wachovia Bank of North Carolina, N.A. LOC), 5.950% 11/01/04**#................. 1,000 15,000 Florence County, South Carolina Hospital Revenue, (McLeod Regional Medical Center) Series 1985A, (FGIC Insured, First Union National Bank SBPA), 5.450% 11/01/15**.................. 15,000
SEE NOTES TO FINANCIAL STATEMENTS. 21 26 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,000 Greenville County, South Carolina Industrial Revenue, (Edgcomb Metals Company Project) Series 1984, (Wells Fargo Bank LOC), 5.600% 08/01/09**#................. $ 5,000 20,000 Richland County, South Carolina School District Number 001 GO BAN, (South Carolina School District Enhancement Program), Series 2000, 4.750% 09/14/01.................... 20,082 1,500 South Carolina Jobs Economic Development Authority Development Revenue, (Spartanburg YMCA Project) Series 1996, (First Union National Bank LOC), 5.550% 06/01/18**#................. 1,500 3,100 South Carolina Jobs Economic Development Authority Health Facilities Revenue, (Greenville Baptist Retirement Community Project) Series 1997, (Wachovia Bank of North Carolina, N.A. LOC), 5.600% 10/01/19**#................. 3,100 3,200 South Carolina Jobs Economic Development Authority IDR, (Banks Construction Company Project) Series 1999, AMT, (Wachovia Bank N.A. LOC), 5.700% 05/01/09**#................. 3,200 700 South Carolina Jobs Economic Development Authority IDR, (Chambers Oakridge Landfill Project) Series 1990, AMT, (Morgan Guaranty Trust LOC), 5.600% 12/01/01**#................. 700 30,000 South Carolina Jobs Economic Development Authority Revenue, (St. Francis Hospital-Bon Secours Project) Series 1999PT-328, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770% 01/01/01**##(--)............ 30,000 ---------- 98,596 ---------- SOUTH DAKOTA -- 0.0%(!) 530 South Dakota Economic Development Financing Authority IDR Refunding, (Lomar Development Company Project) Series 1996B, AMT, (US Bank, N.A. LOC), 6.000% 08/01/08**#................. 530 ---------- TENNESSEE -- 3.7% 8,500 Bristol, Tennessee Health and Education Facilities Revenue, Series 1995A, (FGIC Insured, Citibank SBPA), 5.650% 02/28/14**##(--)............ 8,500 2,000 Dickson County, Tennessee Industrial Development Board Revenue, (The Jackson Foundation-Renaissance Learning Center Project) Series 1997, (SunTrust Bank of Nashville LOC), 5.600% 11/01/12**#................. 2,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 6,260 Franklin County, Tennessee Health and Educational Facilities Board Revenue, (University of the South Project) Series 1998B, (AmSouth Bank of Alabama LOC), 5.550% 09/01/18**.................. $ 6,260 7,420 Memphis, Tennessee Center City Revenue Finance Corporation Multi-Family Housing Revenue, (Riverset Apartments Project) Series 1998PT-1019, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.820% 10/01/19**##(--)............ 7,420 9,110 Metropolitan Government Nashville and Davidson County, Tennessee Health and Education Facilities Board Revenue, (Adventist/Sunbelt Retirement Project) Series 1996A, (SunTrust Bank Central Florida LOC), 5.470% 11/15/26**.................. 9,110 3,700 Monroe County, Tennessee Industrial Development Board IDR, (American Transit Corporation Project) Series 1986, (BankBoston LOC), 5.600% 08/01/06**#................. 3,700 1,500 Springfield, Tennessee Industrial Development Board Revenue, (All American Homes of Tennessee Project) Series 1994, AMT, (Bank One of Michigan, N.A. LOC), 5.750% 11/01/09**#................. 1,500 14,400 Tennessee Volunteer State Student Funding Corporation Student Loan Revenue, Series 1998A-2, AMT, (State Street Bank and Trust LOC), 5.500% 12/01/23**.................. 14,400 ---------- 52,890 ---------- TEXAS -- 14.5% 11,500 Brazos River Authority, Texas PCR Refunding, (Texas Utilities Electric Company Project) Series 1999C, AMT, (Bank of New York LOC), 5.600% 03/01/32**.................. 11,500 16,180 Dallas-Fort Worth, Texas International Airport Facility Revenue, (Airport Facilities Flightsafety Project) Series 1999, AMT, (OBH, Inc. Guarantee), 5.700% 07/01/32**#................. 16,180 6,700 Grand Prairie, Texas Housing Finance Multi-Family Housing Revenue, Series 1993, (GE Credit Corporation Guarantee), 5.450% 06/01/10**.................. 6,700 2,300 Grapevine, Texas Industrial Development Corporation Airport Revenue, (Southern Air Transportation Project) Series 1993, (Bank One Texas N.A. LOC), 5.450% 03/01/10**.................. 2,300
SEE NOTES TO FINANCIAL STATEMENTS. 22 27 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,500 Grapevine, Texas Industrial Development Corporation Revenue, (American Airlines, Inc. Project) Series 1984B-2, (Bayerische Landesbank LOC), 5.500% 12/01/24**.................. $ 1,500 1,600 Gulf Coast, Texas Industrial Development Authority Marine Terminal Revenue, (Amoco Oil Company Project) Series 1993, AMT, (BP Amoco plc Guarantee), 5.700% 04/01/28**#................. 1,600 3,400 Gulf Coast, Texas Waste Disposal Authority PCR, (Amoco Oil Company Project) Series 1994, AMT, (BP Amoco plc Guarantee), 5.700% 06/01/24**.................. 3,400 15,000 Mesquite, Texas Independent School District GO, (Texas Permanent Fund Insured, Morgan Guaranty Trust SBPA), Mandatory Put 02/01/01, 4.450% 08/15/25.................... 15,005 1,200 Nueces County, Texas Health Facilities Development Corporation Revenue, (Driscoll Foundation Childrens Hospital Project) Series 1985, (Bank One of Texas, N.A. LOC), 5.550% 07/01/15**.................. 1,200 3,300 Panhandle-Plains, Texas Higher Education Authority Student Loan Revenue, Series 1991B, AMT, (Student Loan Marketing Guarantee), 5.500% 06/01/21**.................. 3,300 5,000 Panhandle-Plains, Texas Higher Education Authority Student Loan Revenue, Series 1997Y, AMT, (Student Loan Marketing Guarantee), 5.500% 10/01/02**.................. 5,000 6,000 Port of Corpus Christi, Texas Industrial Development Corporation Environmental Facilities Revenue, (Citgo Petroleum Corporation Project) Series 1998, AMT, (Bank One Oklahoma N.A. LOC), 5.750% 08/01/28**.................. 6,000 8,000 Sulphur Springs, Texas IDR, (Hon Industries Inc. Project) Series 1985, (Northern Trust Company LOC), 5.700% 12/01/13**#................. 8,000 55,000 Texas Municipal Gas Corporation Gas Reserves Revenue, Sr. Lien, Series 1998, (FSA Insured, Societe Generale SBPA), 5.450% 01/15/23**.................. 55,000 2,100 Texas Sabine River Authority PCR, (Texas Utilities Electric Company Project) Series 1995A, AMT, (Morgan Guaranty Trust LOC), 5.650% 04/01/30**.................. 2,100 65,000 Texas State TRAN, Series 2000, 5.250% 08/31/01.................... 65,558
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,000 Trinity River, Texas Industrial Development Authority Revenue, (Toys R Us - Nytex Inc. Project) Series 1984, (Bankers Trust Company LOC), 5.625% 11/01/14**#................. $ 1,000 ---------- 205,343 ---------- UTAH -- 0.9% 9,900 Intermountain Power Agency Municipal Trust Receipts Power Supply Revenue, Series 1996CMC-4, (FSA Insured, Chase Manhattan SBPA), 5.650% 07/01/03**#(--)............. 9,900 3,200 West Valley City, Utah Industrial Development Authority Revenue, (Johnson Matthey Inc. Project) Series 1987, (HSC Bank of USA LOC), 5.650% 12/01/11**.................. 3,200 ---------- 13,100 ---------- VERMONT -- 1.7% 6,390 Vermont Educational and Health Buildings Financing Agency Revenue, (Middlebury College Project) Series 1988A, Mandatory Put 05/01/01, 4.350% 05/01/28.................... 6,390 7,455 Vermont Educational and Health Buildings Financing Agency Revenue, (Middlebury College Project) Series 1988A, Mandatory Put 11/01/00, 3.850% 11/01/00.................... 7,455 10,300 Vermont Industrial Development Authority Revenue, (Ryegate Wood Energy Company Project) Series 1990, AMT, (ABN AMRO Bank N.V. LOC), 5.650% 12/01/15**.................. 10,300 ---------- 24,145 ---------- VIRGINIA -- 1.8% 5,600 Albemarle County, Virginia Industrial Development Authority Health Services Revenue, (University of Virginia Health Services Foundation Project) Series 1996, (First Union National Bank LOC), 5.400% 02/01/26**.................. 5,600 6,425 Madison County, Virginia Industrial Development Authority Revenue, (Madison Wood Preservers Project) Series 1998, AMT, (Wachovia Bank of North Carolina LOC), 5.700% 06/01/13**#................. 6,425 13,080 Virginia Beach, Virginia Development Authority Multi-Family Housing Revenue, (Briarwood Apartments Project) Series 1999PT-1146, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770% 04/01/23**##(--)............ 13,080
SEE NOTES TO FINANCIAL STATEMENTS. 23 28 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 1,075 Winchester, Virginia Industrial Development Authority Revenue, (Midwesco Filter Resource, Inc. Project) Series 1995, (Harris Trust & Savings Bank LOC), 5.750% 08/01/07**.................. $ 1,075 ---------- 26,180 ---------- WASHINGTON -- 0.0%(!) 600 Port of Skagit County, Washington Industrial Development Corporation Revenue, (Cascade Clear Water Company Project) Series 1995, AMT, (Key Bank N.A. LOC), 5.750% 12/01/20**#................. 600 ---------- WEST VIRGINIA -- 0.8% 800 Ohio County, West Virginia IDR, (Ohio Valley - Clarksburg Drug Company Project) Series 1986, AMT, (PNC Bank of Ohio, N.A. LOC), 4.600% 12/01/01**#................. 800 10,000 Pleasants County, West Virginia County Commission IDR, (Simex, Inc. Building Project) Series 1999, AMT, (PNC Bank N.A. LOC), 5.600% 12/01/19**.................. 10,000 ---------- 10,800 ---------- WISCONSIN -- 4.3% 13,500 Kenosha, Wisconsin Unified School District No. 001 TRAN, Series 1999A, (Monumental Life GIC), 4.150% 10/06/00.................... 13,501 18,000 Kenosha, Wisconsin Unified School District No. 001 TRAN, Series 2000A, (AIG GIC), 4.750% 10/05/01.................... 18,069 820 Milwaukee, Wisconsin IDR, (Mandel Company Project) Series 1997, AMT, (US Bank, N.A. LOC), 6.000% 04/01/07**.................. 820 4,150 Pleasant Prairie, Wisconsin IDR, (Nucon Corporation Project) Series 1995, AMT, (American National Bank & Trust Company LOC), 5.650% 02/01/22**#................. 4,150 25,370 Wisconsin State Health and Educational Facilities Authority Revenue, (St. Luke's Medical Center Project) Series 1987, (First National Bank of Chicago LOC), 5.550% 12/01/17**#................. 25,370 ---------- 61,910 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,442,551).................. 1,442,551 ----------
VALUE (000) ----------------------------------------------------------- TOTAL INVESTMENTS (Cost $1,442,551*)........ 101.1% $1,442,551 ---------- OTHER ASSETS AND LIABILITIES (NET)..................... (1.1)% Receivable for investment securities sold.............................. $ 11,000 Receivable for Fund shares sold..... 21,817 Interest receivable................. 8,877 Payable for Fund shares redeemed.... (9,883) Investment advisory fee payable..... (166) Administration fee payable.......... (24) Shareholder servicing and distribution fees payable......... (476) Due to custodian.................... (9,961) Distributions payable............... (4,777) Payable for investment securities purchased......................... (31,369) Accrued Trustees' fees and expenses.......................... (32) Accrued expenses and other liabilities....................... (116) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................. (15,110) ---------- NET ASSETS.................. 100.0% $1,427,441 ========== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold.................. $ (188) Paid-in capital..................... 1,427,629 ---------- NET ASSETS.......................... $1,427,441 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($160,079,665 / 160,272,622 shares outstanding)...................... $1.00 ===== TRUST CLASS SHARES: ($417,555,416 / 417,553,833 shares outstanding)...................... $1.00 ===== LIQUIDITY CLASS SHARES: ($59,689,541 / 59,689,453 shares outstanding)...................... $1.00 ===== ADVISER CLASS SHARES: ($99,061,320 / 99,119,274 shares outstanding)...................... $1.00 ===== INVESTOR CLASS SHARES: ($53,849,130 / 53,894,375 shares outstanding)...................... $1.00 ===== MARKET CLASS SHARES: ($164,999,784 / 165,000,010 shares outstanding)...................... $1.00 =====
SEE NOTES TO FINANCIAL STATEMENTS. 24 29 NATIONS RESERVES MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
VALUE ----------------------------------------------------------- DAILY CLASS SHARES: ($464,014,534 / 464,020,996 shares outstanding)...................... $1.00 ===== SERVICE CLASS SHARES: ($8,100,008 / 8,100,010 shares outstanding)...................... $1.00 ===== INVESTOR B SHARES: ($91,995 / 91,995 shares outstanding)...................... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at September 30, 2000. These securities are subject to demand features of either one, seven or thirty days. (--) Restricted Security (Note 5). # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. (!) Amount represents less than 0.1%. Nations Municipal Reserves had the following industry concentrations greater than 10% at September 30, 2000 (as a percentage of net assets): Education Revenue 22.0% HealthCare Revenue 17.6% SEE NOTES TO FINANCIAL STATEMENTS. 25 30 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.7% CALIFORNIA -- 98.9% $15,480 Alameda County, California Corridor Transportation Authority Revenue, Series 1999CMC-1, 4.650% 04/01/07**##................ $ 15,480 1,570 Alameda County, California Industrial Development Authority Revenue, (Adeline Association Project) Series 1997A, AMT, 4.600% 11/01/27**.................. 1,570 1,075 Alameda County, California Industrial Development Authority Revenue, (Plyproperties Project) Series 1997A, AMT, 4.600% 05/01/27**.................. 1,075 2,795 Alameda County, California Multi-Family Housing Revenue, (Berkeleyan Project) Series 1998A, AMT, (Wells Fargo Bank N.A. LOC), 3.650% 04/01/28**.................. 2,795 10,000 Alameda County, California Public Financing Authority Revenue, (Alameda Point and Improvement Project) Series 1999A, 4.400% 09/01/12**.................. 10,000 22,000 Alemeda County, California GO TRAN, Series 2000, 5.000% 07/02/01.................... 22,111 2,900 Alemeda County, California Industrial Development Authority Revenue, (West Coast Pack LLC Project) Series 1999A, AMT, (LaSalle National Bank LOC), 3.650% 04/01/29**.................. 2,900 3,000 Anaheim, California Housing Authority Multi-Family Housing Revenue Refunding, (Park Vista Apartments Project) Series 1993A, 4.400% 12/15/23**.................. 3,000 5,500 Anaheim, California Unified High School District Certificates of Participation, (School Faculty Bridging Funding Project) Series 1999, (FSA Insured, First Union National Bank SBPA), 4.500% 09/01/13**.................. 5,500 6,000 California Community College Financing Authority TRAN, Series 2000B, 5.000% 08/03/01.................... 6,059 20,000 California Community Financing Authority TRAN, Series 2000A, 5.000% 06/29/01.................... 20,108 14,275 California Educational Facilities Authority Revenue, Series 2000A, 4.820% 10/01/27**##................ 14,275 20,000 California GO, 3.850% 10/12/00**.................. 20,000 25,000 California GO, 3.950% 10/18/00**.................. 25,000 6,000 California GO, 3.700% 12/07/00**.................. 6,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $15,100 California GO, 4.820% 04/01/04**(!)............... $ 15,100 10,000 California GO, 4.820% 02/01/06**##.................. 10,000 8,380 California GO, 4.820% 10/01/24**##.................. 8,380 17,000 California Golden Empire Schools Financing Authority Lease Revenue, (Kern High School District Project) Series 1999, (Canadian Imperial Bank of Commerce LOC), 4.400% 08/01/29**.................. 17,000 2,045 California Golden Empire Schools Financing Authority Revenue, (Kern High School District Project) Series 1995A, (Canadian Imperial Bank LOC), 4.500% 12/01/24**.................. 2,045 3,700 California Health Facilities Financing Authority Revenue Refunding, (St. Joseph Health Systems Project) Series 1985A, 4.750% 07/01/12**.................. 3,700 7,000 California Health Facilities Financing Authority Revenue, (Adventist Health Systems Project) Series 1998B, 4.750% 09/01/28**.................. 7,000 10,995 California Health Facilities Financing Authority Revenue, Series 1998CMC-6, 4.650% 06/01/12**##................ 10,995 6,365 California Health Facilities Financing Authority Revenue, Series 1999, 5.020% 12/01/25**##................ 6,365 2,000 California Housing Finance Agency Multi-Unit Rental Housing Revenue, Series 1992, (MBIA Insured), 5.550% 08/01/10**.................. 2,000 2,000 California Housing Finance Agency Multi-Unit Rental Housing Revenue, Series 1992A, (MBIA Insured), 4.200% 08/01/07**.................. 2,000 3,145 California Housing Finance Agency Multi-Unit Rental Housing Revenue, Series 1992A, (MBIA Insured), 4.200% 08/01/08**.................. 3,145 11,950 California Housing Finance Agency Multi-Unit Rental Housing, 4.820% 08/01/10**##................ 11,950 4,850 California Housing Finance Agency Revenue, Series 1993PA-58, 4.520% 02/01/24**##................ 4,850 2,800 California Housing Finance Agency Revenue, Series 1995, 4.600% 08/01/26**.................. 2,800 3,400 California Housing Finance Agency Revenue, Series 2000G, AMT, (FSA Insured), 4.300% 08/01/31**.................. 3,400
SEE NOTES TO FINANCIAL STATEMENTS. 26 31 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $10,000 California Infrastructure and Economic Development Bank Revenue, (Independent Systems Operations Corporation Project) Series 2000A, 4.400% 04/01/08**.................. $ 10,000 2,200 California M-S-R Public Power Agency Revenue, (San Juan Project) Series 1997D, (MBIA Insured, National Westminster LOC), 4.400% 07/01/18**.................. 2,200 3,600 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1996A, AMT, (UBS AG LOC), 4.500% 12/01/16**................... 3,600 14,500 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1996B, AMT, (Rabobank Nederland LOC), 4.450% 12/01/16**.................. 14,500 11,000 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1996F, (Banque Nationale de Paris LOC), 4.700% 11/01/26**.................. 11,000 43,920 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1996G, 4.650% 02/01/16**.................. 43,920 26,600 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1997B, AMT, (Deutsche Bank A.G. LOC), 4.700% 11/01/26**.................. 26,600 59,500 California Pollution Control Financing Authority PCR Refunding, (Pacific Gas and Electric Corporation Project) Series 1997C, AMT, (KBC Bank N.V. LOC), 4.800% 11/01/26**.................. 59,499 3,790 California Pollution Control Financing Authority PCR, (Chevron USA, Inc. Project) Series 1984, 4.150% 05/15/02.................... 3,790 8,100 California Pollution Control Financing Authority PCR, (Pacific Gas & Electric Corporation Project) Series 1996, (Morgan Guaranty Trust LOC), 5.150% 11/01/26**.................. 8,100 19,300 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985B, 3.550% 03/01/08.................... 19,300
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 9,600 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985B, 3.800% 03/01/08.................... $ 9,600 21,000 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985C, 3.650% 03/01/08**.................. 21,000 3,500 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985C, 3.750% 03/01/08**.................. 3,500 16,000 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985D, 3.700% 01/17/01**.................. 16,000 7,750 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1985D, 3.750% 03/01/08**.................. 7,750 2,900 California Pollution Control Financing Authority PCR, (Southern California Edison Company Project) Series 1986B, 5.050% 02/28/08**.................. 2,900 2,400 California Pollution Control Financing Authority Resource Recovery PCR, (Delano Project) Series 1990, AMT, (ABN-AMRO Bank N.V. LOC), 5.100% 08/01/19**.................. 2,400 3,875 California Pollution Control Financing Authority Resource Recovery PCR, (Delano Project) Series 1990, AMT, (ABN-AMRO Bank N.V. LOC), 5.100% 08/01/19**................... 3,875 5,200 California Pollution Control Financing Authority Resource Recovery PCR, (Delano Project) Series 1991, AMT, 5.100% 08/01/19**................... 5,200 8,000 California Pollution Control Financing Authority Resource Recovery Revenue, (Atlantic Richfield Company Project) Series 1994A, 4.700% 12/01/24**................... 8,000 2,900 California Pollution Control Financing Authority Resource Recovery Revenue, (OMS Equity Stanislaus Project) Series 1987, AMT, (Westdeutsche Landesbank LOC), 5.050% 12/01/17**.................. 2,900 1,800 California Pollution Control Financing Authority Solid Waste Disposal Revenue, (Santa Clara Valley Industries Project) Series 1998A, AMT, 4.750% 03/01/18**.................. 1,800 3,000 California Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Shell Martinez Refining Company Project) Series 1996A, (GTY AGMT), 4.750% 10/01/31**.................. 3,000
SEE NOTES TO FINANCIAL STATEMENTS. 27 32 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $35,000 California School Cash Reserve Program Authority, Series 2000, 5.250% 07/03/01.................... $ 35,281 10,315 California School Financing Authority Revenue, (Interim Financing Notes-Smart Bonds) Series 2000C, 4.750% 10/01/00.................... 10,315 17,270 California State Department of Water Resources, 4.820% 12/01/29**##..... 17,270 2,975 California State Economic Development Financing Authority IDR, (Serra Microchassis Project) Series 1997, (U.S. Bank LOC) 5.150% 08/01/27**......................... 2,975 6,425 California State Floating Rate Receipts, Series 1997SG-89, 4.520% 10/01/18**##....................... 6,425 8,385 California State Floating Rate Receipts, Series 1997SG-95, 4.520% 09/01/16**##....................... 8,385 35,000 California State GO, Floating Rate Receipts, Series 1998PT-1072, 4.520% 02/01/21**##................ 35,000 3,975 California State GO, Municipal Trust Receipts, Series 1996SGB-7, (FGIC- TCRS Insured), 4.820% 09/01/21**##....................... 3,975 15,950 California State GO, Municipal Trust Receipts, Series 1997SGA-54, (AMBAC Insured, Societe Generale SBPA), 5.030% 06/01/21**##................ 15,950 17,085 California State GO, Series 1997, AMT, 3.600% 12/01/32............... 17,040 3,900 California Statewide Communities Development Authority Certificates of Participation, (University Retirement Community at Davis Project) Series 1998, (Bank of Scotland LOC), 4.700% 11/15/28**... 3,900 1,000 California Statewide Communities Development Authority Lease Revenue, Floating Rate Receipts, Series 1999PA-457, 5.420% 10/01/33**##....................... 1,000 4,600 California Statewide Communities Development Authority Multi-Family Housing Revenue, (Pittsburg Plaza Apartments Project) Series 1997K, AMT, 4.450% 09/01/27**............. 4,600 3,170 California Statewide Communities Development Authority Multi-Family Revenue, (Aegis Pleasant Hill Project) Series 1997H, AMT, (The Chase Manhattan Bank LOC), 4.600% 07/01/27**......................... 3,170
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 6,240 California Statewide Communities Development Authority Multi-Family Revenue, Floating Rate Receipts, Series 1999PT-1161, 4.770% 12/01/41**##....................... $ 6,240 25,940 California Statewide Communities Development Authority Special Facilities Revenue, Series 1999, 5.420% 10/01/34**##................ 25,940 32,825 California Statewide Communities Development Authority TRAN, Series 2000A, (FSA Insured), 5.250% 06/29/01........................... 33,054 2,120 California Statewide Communities Development Authority, 5.400% 10/01/00........................... 2,120 8,200 Camarillo, California Multi-Family Housing Revenue, (Ponderosa Senior Housing-Heritage Park Project) Series 1989A, AMT, (FNMA Collateral Agreement), 4.450% 07/15/19**...... 8,200 5,000 Chula Vista, California IDR, (San Diego Gas and Electric Company Project) Series 1992C, AMT, 4.050% 10/16/00........................... 5,000 7,600 Chula Vista, California IDR, (San Diego Gas and Electric Company Project) Series 1996B, AMT, 5.100% 12/01/21**......................... 7,600 3,600 Chula Vista, California Industrial Development Revenue Refunding, (San Diego Gas Project) Series 1996A, 5.000% 07/01/21**.................. 3,600 7,040 Chula Vista, California Multi-Family Housing Revenue, (Terra Nova Project) Series 1992A, (Dresdner Bank AG LOC), 4.400% 03/01/05**.... 7,040 6,000 East Bay Municipal Utility District Water Series 3.050% 10/05/00**..... 6,000 3,000 East Bay Municipal Utility District - Water Series 3.800% 11/15/00**......................... 3,000 12,600 East Bay Municipal Utility District - Water Series 4.000% 12/06/00**......................... 12,600 25,000 Eastern Municipal Water District, California Water and Sewer Revenue Certificates of Participation, Series 1993B, (FGIC Insured), 4.400% 07/01/20**.................. 25,000 3,800 Elsinore Valley, California Municipal Water District Certificates of Participation, Series 2000A, (FGIC Insured), 4.500% 07/01/29**........ 3,800
SEE NOTES TO FINANCIAL STATEMENTS. 28 33 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 4,000 Fremont, California Multi-Family Housing Revenue, (Creekside Village Apartments Project) Series 1985D, (KBC Bank N.V. LOC), 4.300% 09/01/07**......................... $ 4,000 15,200 Fresno, California Sewer Revenue Refunding, Sub-Lien, Series 2000A, (FGIC Insured), 4.400% 09/01/25**......................... 15,200 15,000 Glendale, California Certificates of Participation, (Police Building Project) Series 2000, (Morgan Guaranty Trust SPA), 4.400% 06/01/30**......................... 15,000 2,850 Hayward, California Multi-Family Housing Revenue, (Shorewood Project) Series 1984A, (FGIC Insured), 4.400% 08/01/14**........ 2,850 4,655 Indio, California Multi-Family Housing Revenue, (Western Federal Savings Project) Series 1985, (Wells Fargo and Company LOC), 4.550% 06/01/05**.................. 4,655 7,800 Irvine Ranch, California Water District Revenue Refunding GO, Series 1985B, (Landesbank Hessen LOC), 4.950% 10/01/04**............ 7,800 1,900 Irvine Ranch, California Water District Revenue, Series 1991, 4.750% 08/01/16**.................. 1,900 2,900 Kern County, California Certificates of Participation, (Kern Public Facilities Project) Series 1986B, (Bayerische Landesbank LOC), 4.500% 08/01/06**......................... 2,900 3,100 Kern County, California Certificates of Participation, (Kern Public Facilities Project) Series 1986D, (Bayerische Landesbank LOC), 4.500% 08/01/06**......................... 3,100 30,000 Kern County, California TRAN, Series 2000, 5.000% 07/02/01.............. 30,151 100 Livermore, California Multi-Family Revenue, Series 1988A, (FNMA Collateral Agreement), 4.500% 07/15/18**......................... 100 13,000 Long Beach, California GO, 4.920% 05/15/15**##....................... 13,000 18,400 Long Beach, California Harbor Revenue, Series 1994A, AMT, 3.650% 03/04/23**......................... 18,400 1,060 Long Beach, California Harbor Revenue, Series 2000PA-651, AMT, (FGIC Insured), 4.600% 05/15/19**##....................... 1,060
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 9,995 Long Beach, California Revenue, Municipal Securities Trust Receipts, Series 1998CMC-1, 4.750% 05/15/07**##....................... $ 9,995 10,060 Los Angeles County, California Capital Asset Lease Corporation, 3.850% 10/06/00**.................. 10,060 18,000 Los Angeles County, California Capital Asset Lease Corporation, 3.950% 10/18/00**.................. 18,000 4,000 Los Angeles County, California Certificates of Participation, (Schools Pooled Financing Program) Series 2000B, 5.000% 10/02/01...... 4,040 17,500 Los Angeles County, California GO TRAN, Series 2000A, 5.000% 06/29/01........................... 17,606 15,000 Los Angeles County, California Metropolitan Transportation Authority Revenue, Series 1996-2, (FSA Insured), 4.820% 07/01/21**##....................... 15,000 16,070 Los Angeles County, California Metropolitan Transportation Authority Revenue, Series 1996SGB-3, (FSA Insured), 4.820% 07/01/16**##....................... 16,070 13,355 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue, Series 1998CMC-2, 4.650% 07/01/07**##..... 13,355 18,600 Los Angeles County, California Pension Obligation Revenue Refunding, Series 1996A, 4.250% 06/30/07**......................... 18,600 3,000 Los Angeles County, California Pension Obligation Revenue Refunding, Series 1996B, (AMBAC Insured, Dexia Credit Local de France SPA), 4.250% 06/30/07**..... 3,000 8,000 Los Angeles County, California Pension Obligation Revenue Refunding, Series 1996C, (AMBAC Insured, Bank of Nova Scotia SPA), 4.250% 06/30/07**.................. 8,000 3,600 Los Angeles County, California Transportation Commission Sales Tax Revenue Refunding, Series 1992A, (FGIC Insured, Bayerische Landesbank SPA), 4.250% 07/01/12**......................... 3,600 51,000 Los Angeles, California Department of Water and Power Electric Plant Revenue, Series 2000B-2, 4.450% 02/01/10**......................... 51,000 2,500 Los Angeles, California Department of Water and Power Electric Plant Revenue, Series 2000D, (Toronto Dominion Bank LOC), 4.450% 02/01/10**......................... 2,500
SEE NOTES TO FINANCIAL STATEMENTS. 29 34 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 6,700 Los Angeles, California Department of Water and Power Electric Plant Revenue, Series 2000E-2, 4.450% 02/01/10**......................... $ 6,700 2,000 Los Angeles, California Industrial Development Authority IDR, (Delta Tau Data Systems, Inc. Project) Series 1998, AMT, 4.700% 08/01/23**......................... 2,000 22,100 Los Angeles, California Multi-Family Housing Revenue, (Fountain Park Project) Series 1999P, AMT, 4.450% 04/15/33**......................... 22,100 10,000 Los Angeles, California Wastewater Systems Revenue, Series 1996SGA-26, (MBIA Insured, Societe Generale SPA), 5.000% 06/01/24**##.......... 10,000 4,750 Metropolitan Water District of Southern California Waterworks Revenue, Series 1999, 4.520% 07/01/27**##....................... 4,750 15,000 Metropolitan Water District of Southern California Waterworks Revenue, Series 2000B-1, (Westdeutsche Landesbank SPA) 4.750% 07/01/35**.................. 15,000 3,175 Modesto, California Multi-Family Housing Revenue Refunding, (Live Oaks Apartments Project) Series 1994, (FNMA Collateral Agreement), 4.450% 09/01/24**.................. 3,175 3,800 Monterey County, California Financing Authority Revenue, (Reclamation and Distribution Projects) Series 1995, (Dexia Credit Local de France LOC), 4.450% 09/01/36**.................. 3,800 9,700 Oakland, California JT Powers Financing Authority, Lease Revenue, Series 1998A-1, (FSA Insured), 4.350% 08/01/21**.................. 9,700 15,000 Oakland-Alameda County, California Coliseum Authority, Lease Revenue, 2.550% 02/01/25**.................. 15,000 15,000 Oakland-Alameda County, California Coliseum Authority, Lease Revenue, (Coliseum Project) Series 2000C-1, 4.400% 02/01/25**.................. 15,000 24,125 Orange County, California Apartment Development Revenue Refunding, (Aliso Creek Project) Series 1992B, 4.350% 11/01/22**.................. 24,125 11,800 Orange County, California Apartment Development Revenue Refunding, (Bluffs Apartments Project) Series 1999C, 4.300% 12/01/29**........... 11,800
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $31,000 Orange County, California Apartment Development Revenue, (Bear Brand Apartments Project) Series 1985Z, (KBC Bank N.V. LOC), 4.300% 11/01/07**......................... $ 31,000 20,000 Orange County, California Housing Authority Apartment Development Revenue Refunding, (Oasis Martinique Project) Series 1998I, (FNMA Collateral Agreement), 4.350% 06/15/28**......................... 20,000 2,105 Orange County, California Sanitation Districts Certificates of Participation, (District Nos. 1-3, 5-7, 11,13 and 14 Projects) Series 1990, (National Westminster LOC), 4.750% 08/01/15**.................. 2,105 13,000 Orange County, California Sanitation Districts Certificates of Participation, Series 1992C, (FGIC Insured), 5.000% 08/01/17**........ 13,000 1,000 Orange County, California Special Assessment Improvement Bond, (Assessment District No. 88 Project) Series 1988-1, (Societe Generale LOC), 4.750% 09/02/18**... 1,000 1,200 Paramount, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Project) Series 1997, 4.500% 09/01/08**............ 1,200 1,925 Paramount, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Project) Series 1997, 4.500% 09/01/15**............ 1,925 1,940 Paramount, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Project) Series 1997, 4.500% 09/01/27**............ 1,940 10,000 Port of Oakland, California, 3.700% 01/17/01**......................... 10,000 4,200 Rancho, California Water District Financing Authority Revenue, Series 1998A, (FGIC Insured), 4.400% 08/15/29**......................... 4,200 7,000 Regents of The University of California, 3.640% 09/01/30**...... 7,000 34,700 Riverside County, California Asset Leasing Corporation Leasehold Revenue, (Southwest Justice Center Project) Series 2000B, (MBIA Insured, Dexia Credit Local France SPA), 4.250% 11/01/32**............ 34,700
SEE NOTES TO FINANCIAL STATEMENTS. 30 35 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 9,400 Riverside County, California Community Facilities District Special Tax Revenue Refunding, Series 1997, (KBC Bank N.V. LOC), 4.450% 09/01/14**.................. $ 9,400 11,400 Riverside County, California Special Tax Refunding, (Community Facilities District No. 89 Project) Series 1998-5, (AMBAC Insured), 4.450% 09/01/28**.................. 11,400 6,800 Riverside, California Electric Revenue, Series 1998, (AMBAC Insured), 4.650% 10/01/11**##...... 6,800 5,145 Sacramento California Multi-Family Housing Revenue, (Smoketree Project) Series 1990A, (FNMA Collateral Agreement), 4.400% 04/15/10**......................... 5,145 4,500 Sacramento County, California Housing Authority Multi-Family Housing Revenue, (California Place Apartments Project) Series 1997B, AMT, (Bank One Arizona, N.A. LOC), 4.340% 05/01/27**.................. 4,500 5,100 Sacramento County, California Multi-Family Housing Revenue, Series 1985B, (Bank One Arizona, N.A. LOC), 4.300% 04/15/07**....... 5,100 25,000 Sacramento County, California Sanitation District Financing Authority Revenue, Series 2000C, (Credit Agricole LOC), 4.500% 12/01/30**......................... 25,000 15,000 Sacramento County, California TRAN, Series 2000, 5.000% 10/04/01....... 15,156 2,595 San Diego County, California Multi-Family Housing Revenue, (Country Hills Project) Series 1994A, 4.400% 08/15/13**........... 2,595 5,000 San Diego County, California Teeter Obligation Notes, 3.875% 10/19/00**......................... 5,000 10,550 San Diego, California Housing Authority Multi-Family Housing Revenue Refunding, Series 1994A, 4.350% 12/01/22**.................. 10,550 10,515 San Diego, California Unified School District TRAN, Series 2000A, 5.250% 10/04/01........................... 10,658 14,300 San Francisco City and County, California Airport Commission International Airport Revenue, Municipal Trust Receipts, Series 1997SGA-50, AMT, (MBIA Insured), 5.030% 05/01/16**##................ 14,300 9,775 San Francisco City and County, California Airport Commission International Airport Revenue, Series 1997, 4.520% 05/01/20**##... 9,775
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $37,700 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (3rd and Mission Street Project) Series 1999C, (Bayerische Hypo-Und Vereinsbank LOC), 4.450% 07/01/34**......................... $ 37,700 2,210 San Francisco City and County, California Redevelopment Financing Authority Revenue, (Yerba Buena Garden Project) Series 1995, (Bank of Tokyo Mitsubishi LOC), 2.550% 09/01/06**......................... 2,210 17,500 San Francisco, California Airport Subordinate, 3.700% 01/16/01**..... 17,500 15,145 San Francisco, California Airport Subordinate, Series B, 3.850% 11/10/00**......................... 15,145 26,000 San Jose, California Financing Authority Leasehold Revenue, (Civic Center Phase 1 Project) Series 2000, (Morgan Guaranty Trust LOC), 4.350% 04/01/30**.................. 26,000 6,200 San Jose-Santa Clara, California Water and Sewer Financing Authority Revenue, Series 1995B, (FGIC Insured, Bank of Nova Scotia SPA), 4.250% 11/15/11**.................. 6,200 15,915 Santa Clara, California Electric Revenue, Series 1985A, 4.400% 07/01/10**......................... 15,915 13,700 Simi Valley, California Community Development Agency Multi-Family Housing Revenue, Series 1985A, 4.650% 05/01/10**.................. 13,700 25,000 South Coast, California Local Education Agencies TRAN, Series 2000, 5.000% 07/03/01.............. 25,139 11,645 South Orange County, California Public Financing Authority Special Tax Revenue, Series 1994-146, (FGIC Insured, Morgan Guaranty Trust), 4.770% 02/15/12**##................ 11,645 25,594 Southeast California Resource Recovery Facilities Authority Lease Revenue, 4.500% 12/01/18**......... 25,594 8,300 Southern California Metropolitan Water District, 3.050% 10/19/00**......................... 8,300 20,300 Southern California Metropolitan Water District, 3.950% 12/07/00**......................... 20,300 10,000 Southern California Public Power Authority Revenue Refunding, (Palo Verde Project) Series 1996C, (AMBAC Insured), 4.250% 07/01/17**........ 10,000
SEE NOTES TO FINANCIAL STATEMENTS. 31 36 NATIONS RESERVES MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 8,600 Southern California Public Power Authority, Transmission Revenue Refunding, (Southern Transmission Project) Series 1996B, (FSA Insured), 4.400% 07/01/23**........ $ 8,600 4,030 Southern Kern, California Unified School District Certificates of Participation, (Building Program) Series 1998A, (FSA Insured), 4.450% 09/01/26**......................... 4,030 11,300 University of California Revenue, Series 1998PT-1057, 4.520% 09/01/19**##....................... 11,300 ---------- 1,848,336 ---------- PUERTO RICO -- 0.8% 3,660 Puerto Rico Electric Power Authority Revenue, Series 2000-147, 4.770% 01/01/09**##....................... 3,660 11,200 Puerto Rico Government Development Bond, 4.300% 11/16/00.............. 11,200 ---------- 14,860 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,863,196)........................ 1,863,196 ----------
TOTAL INVESTMENTS (Cost $1,863,196*)................. 99.7% 1,863,196 ---------- OTHER ASSETS AND LIABILITIES (NET)........................ 0.3% Cash................................... $ 132 Receivable for investment securities sold................................. 48,300 Receivable for Fund shares sold........ 4,720 Interest receivable.................... 12,618 Payable for Fund shares redeemed....... (3,233) Investment advisory fee payable........ (223) Administration fee payable............. (31) Shareholder servicing and distribution fees payable......................... (702) Distributions payable.................. (4,678) Payable for investment securities purchased............................ (50,839) Accrued Trustees' fees and expenses.... (22) Accrued expenses and other liabilities.......................... (398) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................ 5,644 ---------- NET ASSETS..................... 100.0% $1,868,840 ==========
VALUE (000) -------------------------------------------------------------- NET ASSETS CONSIST OF: Undistributed net investment income.... $ 60 Accumulated net realized loss on investments sold..................... (136) Paid-in capital........................ 1,868,916 ---------- NET ASSETS............................. $1,868,840 ========== NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE TRUST CLASS SHARES: ($345,038,069 / 345,055,237 shares outstanding)......................... $1.00 ===== ADVISER CLASS SHARES: ($574,839,375 / 574,894,469 shares outstanding)......................... $1.00 ===== INVESTOR CLASS SHARES: ($270,579,758 / 270,615,442 shares outstanding)......................... $1.00 ===== DAILY CLASS SHARES: ($678,382,985 / 678,414,155 shares outstanding)......................... $1.00 =====
--------------- * Aggregate cost for federal tax purposes. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at September 30, 2000. These securities are subject to demand features of either one, seven or thirty days. (--) Restricted Security (Note 5). ## 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 to qualified institutional buyers. Nations California Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2000 (as a percentage of net assets): Pollution Control Revenue 14.0% SEE NOTES TO FINANCIAL STATEMENTS. 32 37 NATIONS RESERVES MONEY MARKET FUNDS STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED) ABBREVIATIONS: AMBAC American Municipal Bond Assurance Corporation AMT Alternative Minimum Tax BAN Bond Anticipation Note CFC Cooperative Finance Corporation FGIC Financial Guaranty Insurance Corporation FGIC-TCRS Financial Guaranty Insurance Corporation-Transferable Custodial Receipts FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corporation FMAC Federal Mortgage Acceptance Corporation FNMA Federal National Mortgage Association FSA Financial Security Assurance GIC Guaranteed Investment Contracts GNMA Government National Mortgage Association GO General Obligation GTD STD LNS Guaranteed Student Loan GTY-AGMT Guarantee Agreement IDR Industrial Development Revenue LOC Letter of Credit MBIA Municipal Bond Insurance Association MTN Medium Term Note PCR Pollution Control Revenue SBPA Standby Bond Purchase Agreement SLMA Student Loan Marketing Association TAN Tax Anticipation Note TRAN Tax and Revenue Anticipation Note TVA Tennessee Valley Authority
SEE NOTES TO FINANCIAL STATEMENTS. 33 38 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2000 CASH MONEY MARKET RESERVES RESERVES ---------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 1,303,182 $ 230,478 ------------------- ------------------- EXPENSES: Investment advisory fee..................................... 29,597 5,265 Administration fee.......................................... 19,731 3,510 Transfer agent fees......................................... 675 125 Custodian fees.............................................. 960 200 Trustees' fees and expenses................................. 11 11 Registration and filing fees................................ 770 98 Legal and audit fees........................................ 178 51 Interest expense............................................ 34 15 Other....................................................... 573 106 ------------------- ------------------- Subtotal................................................ 52,529 9,381 Shareholder servicing and distribution fees: Trust Class Shares........................................ 874 2 Liquidity Class Shares.................................... 6,844 2,332 Adviser Class Shares...................................... 5,501 766 Investor Class Shares..................................... 13,190 6 Market Class Shares....................................... 6,393 3,002 Daily Class Shares........................................ 31,506 13 Service Class Shares...................................... 2,984 592 Investor B Shares......................................... 54 13 Investor C Shares......................................... 2 --* ------------------- ------------------- Total expenses.......................................... 119,877 16,107 Fees waived by investment advisor, administrator and/or distributor............................................... (18,661) (4,264) Fees reduced by credits allowed by the custodian............ (13) (7) ------------------- ------------------- Net expenses............................................ 101,203 11,836 ------------------- ------------------- NET INVESTMENT INCOME/(LOSS)................................ 1,201,979 218,642 ------------------- ------------------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS..................... (13) (26) ------------------- ------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 1,201,966 $ 218,616 =================== ===================
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 34 39 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED) TREASURY GOVERNMENT MUNICIPAL CALIFORNIA TAX- RESERVES RESERVES RESERVES EXEMPT RESERVES ---------------------------------------------------------------------------------------------------------------- $ 229,510 $ 65,438 $ 32,980 $ 32,686 ------------------- ------------------- ------------------- ------------------- 5,435 1,515 1,153 1,305 3,624 1,010 769 870 132 35 29 28 203 55 43 41 11 11 11 9 183 86 71 -- 58 36 33 25 3 -- -- -- 107 57 124 83 ------------------- ------------------- ------------------- ------------------- 9,756 2,805 2,233 2,361 229 60 239 190 2,008 1,221 333 -- 1,825 576 111 527 1,828 218 101 462 3,281 915 347 -- 2,707 542 1,471 2,023 1,260 87 27 -- 1 1 1 -- -- 2 --* -- ------------------- ------------------- ------------------- ------------------- 22,895 6,427 4,863 5,563 (4,176) (1,783) (970) (621) (4) (4) -- -- ------------------- ------------------- ------------------- ------------------- 18,715 4,640 3,893 4,942 ------------------- ------------------- ------------------- ------------------- 210,795 60,798 29,087 27,744 ------------------- ------------------- ------------------- ------------------- -- 2 (1) 6 ------------------- ------------------- ------------------- ------------------- $ 210,795 $ 60,800 $ 29,086 $ 27,750 =================== =================== =================== ===================
SEE NOTES TO FINANCIAL STATEMENTS. 35 40 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS CASH RESERVES ----------------------------------- SIX MONTHS ENDED 9/30/00 YEAR ENDED (UNAUDITED) 3/31/00 ----------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 1,201,979 $ 1,373,822 Net realized gain/(loss) on investments..................... (13) --* -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 1,201,966 1,373,822 Distributions to shareholders from net investment income: Capital Class Shares...................................... (327,887) (414,318) Trust Class Shares........................................ (54,997) (76,641) Liquidity Class Shares.................................... (50,246) (87,223) Adviser Class Shares...................................... (135,206) (197,413) Investor Class Shares..................................... (228,080) (165,797) Market Class Shares....................................... (84,508) (109,461) Daily Class Shares........................................ (304,659) (308,509) Service Class Shares...................................... (16,124) (14,305) Investor B Shares......................................... (261) (147) Investor C Shares......................................... (11) (8) Net increase/(decrease) in net assets from shares of beneficial interest transactions.......................... 5,970,195 28,501,193 -------------- -------------- Net increase/(decrease) in net assets....................... 5,970,182 28,501,193 NET ASSETS: Beginning of period......................................... 36,660,676 8,159,483 -------------- -------------- End of period............................................... $ 42,630,858 $ 36,660,676 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 27 $ 27 ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 36 41 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) MONEY MARKET RESERVES TREASURY RESERVES ------------------------------------- ----------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/00 YEAR ENDED 9/30/00 YEAR ENDED (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 --------------------------------------------------------------------------------------- $ 218,642 $ 174,898 $ 210,795 $ 286,460 (26) 37 -- 2 -------------- -------------- -------------- -------------- 218,616 174,935 210,795 286,462 (139,603) (116,028) (37,628) (60,453) (151) --* (13,781) (25,621) (16,988) (7,507) (13,285) (15,194) (18,750) (8,010) (42,963) (69,878) (112) --* (30,303) (17,605) (39,630) (42,564) (41,383) (64,280) (128) (154) (24,982) (28,194) (3,220) (609) (6,467) (5,233) (60) (26) (3) (2) --* --* -- -- 159,427 5,195,291 470,710 3,333,918 -------------- -------------- -------------- -------------- 159,401 5,195,328 470,710 3,333,920 6,672,258 1,476,930 6,535,833 3,201,913 -------------- -------------- -------------- -------------- $ 6,831,659 $ 6,672,258 $ 7,006,543 $ 6,535,833 ============== ============== ============== ============== $ 4 $ 4 $ -- $ -- ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 37 42 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) GOVERNMENT RESERVES ----------------------------------- SIX MONTHS ENDED 9/30/00 YEAR ENDED (UNAUDITED) 3/31/00 ----------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 60,798 $ 83,814 Net realized gain/(loss) on investments..................... 2 (2) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 60,800 83,812 Distributions to shareholders from net investment income: Capital Class Shares...................................... (13,282) (23,268) Trust Class Shares........................................ (3,709) (5,300) Liquidity Class Shares.................................... (8,837) (5,772) Adviser Class Shares...................................... (13,870) (19,122) Investor Class Shares..................................... (3,659) (6,724) Market Class Shares....................................... (11,842) (17,190) Daily Class Shares........................................ (5,127) (6,296) Service Class Shares...................................... (460) (135) Investor B Shares......................................... (5) (2) Investor C Shares......................................... (7) (5) Net increase/(decrease) in net assets from shares of beneficial interest transactions.......................... 241,303 1,076,543 -------------- -------------- Net increase/(decrease) in net assets....................... 241,305 1,076,541 NET ASSETS Beginning of period......................................... 1,788,489 711,948 -------------- -------------- End of period............................................... $ 2,029,794 $ 1,788,489 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ -- $ -- ============== ==============
--------------- * Amount represents less than $500. (a) Represents financial information for the Pacific Horizon California Tax-Exempt Money Market Fund, which was reorganized into California Tax- Exempt Reserves on May 21, 1999. SEE NOTES TO FINANCIAL STATEMENTS. 38 43 NATIONS RESERVES MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) MUNICIPAL RESERVES CALIFORNIA TAX-EXEMPT RESERVES -------------------------------------- ------------------------------------------------------------ SIX MONTHS SIX MONTHS ENDED ENDED 9/30/00 YEAR ENDED 9/30/00 PERIOD ENDED PERIOD ENDED (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 5/14/99(a) ------------------------------------------------------------------------------------------------------------------ $ 29,087 $ 39,643 $ 27,744 $ 38,116 $ 7,788 (1) 5 6 (83) -- -------------- -------------- -------------- -------------- -------------- 29,086 39,648 27,750 38,033 7,788 (3,767) (5,572) -- -- -- (9,538) (14,226) (6,577) (8,899) -- (1,539) (3,373) -- -- -- (1,716) (2,695) (6,965) (8,424) (3,459) (1,077) (2,088) (4,219) (7,183) (2,671) (2,818) (4,309) -- -- -- (8,544) (7,370) (9,983) (13,611) (1,658) (86) (10) -- -- -- (1) --* -- -- -- --* -- -- -- -- (83,161) 1,105,502 129,948 266,711 (112,293) -------------- -------------- -------------- -------------- -------------- (83,161) 1,105,507 129,954 266,627 (112,293) 1,510,602 405,095 1,738,886 1,472,259 1,584,552 -------------- -------------- -------------- -------------- -------------- $ 1,427,441 $ 1,510,602 $ 1,868,840 $ 1,738,886 $ 1,472,259 ============== ============== ============== ============== ============== $ -- $ -- $ 60 $ 60 $ 61 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 39 44 NATIONS RESERVES MONEY MARKET FUNDS STATEMENT OF CASH FLOWS (UNAUDITED) For the six months ended September 30, 2000
TREASURY RESERVES (000) -------------------------- CASH FLOWS FROM OPERATING AND INVESTING ACTIVITIES: Investment income received................................ $ 229,138 Payment of operating expenses............................. (44,778) Net proceeds from reverse repurchase agreements outstanding............................................. (1,388,197) Net purchases of short-term investments................... 693,106 ------------ Cash used by operating and investing activities............. $(510,731) CASH FLOWS FROM FINANCING ACTIVITIES: Proceeds from Fund shares sold............................ 44,093,142 Payment for shares redeemed............................... (43,447,586) Distributions paid*....................................... (134,821) Interest expense.......................................... (3) ------------ Cash provided by financing activities....................... 510,732 --------- Increase in cash.......................................... $ 1 Cash at beginning of period............................... 0 --------- Cash at end of period..................................... $ 1 ========= RECONCILIATION OF NET INCREASE IN NET ASSETS FROM OPERATIONS TO CASH PROVIDED BY OPERATING AND INVESTING ACTIVITIES: Net increase in net assets resulting from operations........ $ 210,795 Decrease in investments................................... $ 918,478 Decrease in payable for reverse repurchase agreement transactions............................................ (1,388,197) Decrease in interest and dividends receivable............. 5,349 Decrease in receivable for investments sold............... (5,583,172) Increase in payable for investments sold.................. 5,364,541 Increase in other assets.................................. (12,456) Decrease in accrued expenses and other payables........... (26,066) Interest expense (financing activity) included in operations.............................................. (3) ------------ Cash used by operating and investing activities............. $(510,731) =========
--------------- * Non-cash activities include reinvestment of dividends of $70,895. SEE NOTES TO FINANCIAL STATEMENTS. 40 45 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY*
CASH RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 89,260,531 $ 122,820,854 Issued in exchange for Horizon Shares of Pacific Horizon Prime Fund (Note 8)...................................... -- 3,443,782 Issued as reinvestment of dividends........................ 142,810 213,947 Redeemed................................................... (86,709,698) (122,215,403) ------------ ------------- Net increase/(decrease).................................... $ 2,693,643 $ 4,263,180 ============ ============= TRUST CLASS SHARES:+ Sold....................................................... $ 1,137,227 $ 6,430,202 Issued as reinvestment of dividends........................ -- 39 Redeemed................................................... (1,071,131) (4,711,099) ------------ ------------- Net increase/(decrease).................................... $ 66,096 $ 1,719,142 ============ ============= LIQUIDITY CLASS SHARES: Sold....................................................... $ 10,397,978 $ 15,520,344 Issued as reinvestment of dividends........................ 23,232 52,021 Redeemed................................................... (10,135,468) (15,598,778) ------------ ------------- Net increase/(decrease).................................... $ 285,742 $ (26,413) ============ ============= ADVISER CLASS SHARES: Sold....................................................... $ 35,145,500 $ 57,106,751 Issued in exchange for Horizon Service Shares of Pacific Horizon Prime Fund (Note 8).............................. -- 3,971,137 Issued as reinvestment of dividends........................ 82,449 150,094 Redeemed................................................... (35,564,640) (57,317,806) ------------ ------------- Net increase/(decrease).................................... $ (336,691) $ 3,910,176 ============ ============= INVESTOR CLASS SHARES:+ Sold....................................................... $ 5,335,478 $ 15,821,010 Issued in exchange for Pacific Horizon Shares of Pacific Horizon Prime Fund (Note 8).............................. -- 2,543,535 Issued as reinvestment of dividends........................ 181,305 155,909 Redeemed................................................... (4,418,526) (11,452,337) ------------ ------------- Net increase/(decrease).................................... $ 1,098,257 $ 7,068,117 ============ ============= MARKET CLASS SHARES: Sold....................................................... $ 5,273,595 $ 4,232,500 Issued as reinvestment of dividends........................ 178 -- Redeemed................................................... (5,069,668) (2,940,000) ------------ ------------- Net increase/(decrease).................................... $ 204,105 $ 1,292,500 ============ ============= DAILY CLASS SHARES:+ Sold....................................................... $ 42,149,396 $ 63,799,324 Issued in exchange for S Shares of Pacific Horizon Prime Fund (Note 8)............................................ -- 1,587,435 Issued in exchange for X Shares of Pacific Horizon Prime Fund (Note 8)............................................ -- 2,180,033 Issued as reinvestment of dividends........................ 240,777 300,855 Redeemed................................................... (40,546,056) (58,114,647) ------------ ------------- Net increase/(decrease).................................... $ 1,844,117 $ 9,753,000 ============ ============= SERVICE CLASS SHARES:+ Sold....................................................... $ 5,974,012 $ 7,517,812 Issued in exchange for Y Shares of Pacific Horizon Prime Fund (Note 8)............................................ -- 237,185 Issued as reinvestment of dividends........................ 7,266 7,920 Redeemed................................................... (5,867,178) (7,250,599) ------------ ------------- Net increase/(decrease).................................... $ 114,100 $ 512,318 ============ ============= INVESTOR B SHARES:+ Sold....................................................... $ 9,027 $ 17,877 Issued as reinvestment of dividends........................ 193 128 Redeemed................................................... (8,574) (9,177) ------------ ------------- Net increase/(decrease).................................... $ 646 $ 8,828 ============ ============= INVESTOR C SHARES:+ Sold....................................................... $ 1,419 $ 1,398 Issued as reinvestment of dividends........................ 6 6 Redeemed................................................... (1,245) (1,059) ------------ ------------- Net increase/(decrease).................................... $ 180 $ 345 ============ ============= Total net increase/(decrease).............................. $ 5,970,195 $ 28,501,193 ============ =============
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + Cash Reserves Trust Class, Investor Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on May 17, 1999, April 12, 1999, April 12, 1999, April 28, 1999, October 4, 1999 and October 5, 1999, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 41 46 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MONEY MARKET RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 32,135,050 $ 47,793,102 Issued as reinvestment of dividends........................ 79,490 80,886 Redeemed................................................... (32,218,771) (44,405,146) ------------ ------------ Net increase/(decrease).................................... $ (4,231) $ 3,468,842 ============ ============ TRUST CLASS SHARES:+ Sold....................................................... $ 188,542 $ 38 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (179,498) -- ------------ ------------ Net increase/(decrease).................................... $ 9,044 $ 38 ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 2,900,610 $ 2,774,560 Issued as reinvestment of dividends........................ 11,946 6,835 Redeemed................................................... (3,312,780) (1,836,319) ------------ ------------ Net increase/(decrease).................................... $ (400,224) $ 945,076 ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 3,144,817 $ 2,686,635 Issued as reinvestment of dividends........................ 14,362 6,832 Redeemed................................................... (3,121,929) (2,146,117) ------------ ------------ Net increase/(decrease).................................... $ 37,250 $ 547,350 ============ ============ INVESTOR CLASS SHARES:+ Sold....................................................... $ 7,119 $ 1 Issued as reinvestment of dividends........................ 76 -- Redeemed................................................... (77) -- ------------ ------------ Net increase/(decrease).................................... $ 7,118 $ 1 ============ ============ MARKET CLASS SHARES: Sold....................................................... $ 2,405,063 $ 1,714,300 Issued as reinvestment of dividends........................ 1 -- Redeemed................................................... (1,993,064) (1,567,300) ------------ ------------ Net increase/(decrease).................................... $ 412,000 $ 147,000 ============ ============ DAILY CLASS SHARES:+ Sold....................................................... $ 7,084 $ 15,330 Issued as reinvestment of dividends........................ 106 152 Redeemed................................................... (7,295) (10,957) ------------ ------------ Net increase/(decrease).................................... $ (105) $ 4,525 ============ ============ SERVICE CLASS SHARES:+ Sold....................................................... $ 591,322 $ 144,210 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (492,974) (63,710) ------------ ------------ Net increase/(decrease).................................... $ 98,348 $ 80,500 ============ ============ INVESTOR B SHARES:+ Sold....................................................... $ 2,301 $ 3,658 Issued as reinvestment of dividends........................ 44 24 Redeemed................................................... (2,099) (1,742) ------------ ------------ Net increase/(decrease).................................... $ 246 $ 1,940 ============ ============ INVESTOR C SHARES:+ Sold....................................................... $ 742 $ 515 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (761) (496) ------------ ------------ Net increase/(decrease).................................... $ (19) $ 19 ============ ============ Total net increase/(decrease).............................. $ 159,427 $ 5,195,291 ============ ============
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + Money Market Reserves Trust Class, Investor Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on March 22, 2000, March 3, 2000, July 21, 1999, May 18, 1999, October 5, 1999 and January 6, 2000, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 42 47 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
TREASURY RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 6,007,564 $ 9,167,835 Issued in exchange for Horizon Shares of Pacific Horizon Treasury Fund (Note 8)................................... -- 513,598 Issued as reinvestment of dividends........................ 19,261 40,314 Redeemed................................................... (6,087,534) (10,077,751) ------------ ------------ Net increase/(decrease).................................... $ (60,709) $ (356,004) ============ ============ TRUST CLASS SHARES:+ Sold....................................................... $ 1,093,062 $ 3,540,751 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (1,188,789) (3,034,413) ------------ ------------ Net increase/(decrease).................................... $ (95,727) $ 506,338 ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 2,102,029 $ 2,222,465 Issued as reinvestment of dividends........................ 6,091 8,575 Redeemed................................................... (2,054,438) (2,170,666) ------------ ------------ Net increase/(decrease).................................... $ 53,682 $ 60,374 ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 14,805,741 $ 25,468,043 Issued in exchange for Horizon Service Shares of Pacific Horizon Treasury Fund (Note 8)........................... -- 1,727,418 Issued as reinvestment of dividends........................ 23,171 50,763 Redeemed................................................... (14,760,239) (26,130,165) ------------ ------------ Net increase/(decrease).................................... $ 68,673 $ 1,116,059 ============ ============ INVESTOR CLASS SHARES:+ Sold....................................................... $ 1,875,733 $ 2,089,505 Issued in exchange for Pacific Horizon Shares of Pacific Horizon Treasury Fund (Note 8)........................... -- 293,535 Issued as reinvestment of dividends........................ 17,172 12,983 Redeemed................................................... (1,353,743) (1,822,762) ------------ ------------ Net increase/(decrease).................................... $ 539,162 $ 573,261 ============ ============ MARKET CLASS SHARES: Sold....................................................... $ 2,999,005 $ 2,703,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (3,152,000) (2,361,000) ------------ ------------ Net increase/(decrease).................................... $ (152,995) $ 342,000 ============ ============ DAILY CLASS SHARES:+ Sold....................................................... $ 13,175,596 $ 17,039,452 Issued in exchange for X Shares of Pacific Horizon Treasury Fund (Note 8)............................................ -- 503,310 Issued as reinvestment of dividends........................ 17,823 26,680 Redeemed................................................... (13,100,168) (16,721,667) ------------ ------------ Net increase/(decrease).................................... $ 93,251 $ 847,775 ============ ============ SERVICE CLASS SHARES:+ Sold....................................................... $ 2,289,213 $ 2,616,632 Issued in exchange for Y Shares of Pacific Horizon Treasury Fund (Note 8)............................................ -- 106,210 Issued as reinvestment of dividends........................ 2,243 2,668 Redeemed................................................... (2,266,135) (2,481,475) ------------ ------------ Net increase/(decrease).................................... $ 25,321 $ 244,035 ============ ============ INVESTOR B SHARES:+ Sold....................................................... $ 61 $ 78 Issued as reinvestment of dividends........................ 2 2 Redeemed................................................... (11) -- ------------ ------------ Net increase/(decrease).................................... $ 52 $ 80 ============ ============ Total net increase/(decrease).............................. $ 470,710 $ 3,333,918 ============ ============
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + Treasury Reserves Trust Class, Investor Class, Daily Class, Service Class and Investor B Shares commenced operations on May 17, 1999, April 12, 1999, April 12, 1999, May 17, 1999 and October 15, 1999, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 43 48 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
GOVERNMENT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 --------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 1,362,798 $ 2,727,353 Issued in exchange for Horizon Shares of: (Note 8) Pacific Horizon Government Fund.......................... -- 143,953 Pacific Horizon Treasury Only Fund....................... -- 22,370 Issued as reinvestment of dividends........................ 9,797 18,463 Redeemed................................................... (1,404,546) (2,760,363) ----------- ----------- Net increase/(decrease).................................... $ (31,951) $ 151,776 =========== =========== TRUST CLASS SHARES:+ Sold....................................................... $ 168,301 $ 638,160 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (179,931) (512,656) ----------- ----------- Net increase/(decrease).................................... $ (11,630) $ 125,504 =========== =========== LIQUIDITY CLASS SHARES: Sold....................................................... $ 1,124,362 $ 1,203,931 Issued as reinvestment of dividends........................ 6,178 4,795 Redeemed................................................... (856,643) (1,127,949) ----------- ----------- Net increase/(decrease).................................... $ 273,897 $ 80,777 =========== =========== ADVISER CLASS SHARES: Sold....................................................... $ 831,240 $ 1,869,514 Issued in exchange for Horizon Service Shares of: (Note 8) Pacific Horizon Government Fund.......................... -- 182,672 Pacific Horizon Treasury Only Fund....................... -- 277,586 Issued as reinvestment of dividends........................ 11,183 18,700 Redeemed................................................... (922,745) (1,960,102) ----------- ----------- Net increase/(decrease).................................... $ (80,322) $ 388,370 =========== =========== INVESTOR CLASS SHARES:+ Sold....................................................... $ 297,127 $ 642,355 Issued in exchange for Pacific Horizon Shares of: (Note 8) Pacific Horizon Government Fund.......................... -- 145,185 Pacific Horizon Treasury Only Fund....................... -- 123,908 Issued as reinvestment of dividends........................ 2,865 5,984 Redeemed................................................... (325,161) (805,691) ----------- ----------- Net increase/(decrease).................................... $ (25,169) $ 111,741 =========== =========== MARKET CLASS SHARES: Sold....................................................... $ 886,138 $ 806,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (790,000) (770,000) ----------- ----------- Net increase/(decrease).................................... $ 96,138 $ 36,000 =========== =========== DAILY CLASS SHARES:+ Sold....................................................... $ 89,261 $ 682,291 Issued as reinvestment of dividends........................ 4,232 6,296 Redeemed................................................... (81,567) (517,066) ----------- ----------- Net increase/(decrease).................................... $ 11,926 $ 171,521 =========== =========== SERVICE CLASS SHARES:+ Sold....................................................... $ 99,004 $ 26,700 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (90,000) (16,700) ----------- ----------- Net increase/(decrease).................................... $ 9,004 $ 10,000 =========== =========== INVESTOR B SHARES:+ Sold....................................................... $ 364 $ 196 Issued as reinvestment of dividends........................ 4 2 Redeemed................................................... (360) (90) ----------- ----------- Net increase/(decrease).................................... $ 8 $ 108 =========== =========== INVESTOR C SHARES:+ Sold....................................................... $ 194 $ 817 Issued as reinvestment of dividends........................ 3 4 Redeemed................................................... (795) (75) ----------- ----------- Net increase/(decrease).................................... $ (598) $ 746 =========== =========== Total net increase/(decrease).............................. $ 241,303 $ 1,076,543 =========== ===========
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + Government Reserves Trust Class, Investor Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on May 17, 1999, April 12, 1999, April 12, 1999, June 8, 1999, November 2, 1999 and December 21, 1999, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 44 49 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MUNICIPAL RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED (UNAUDITED) MARCH 31, 2000 -------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES: Sold...................................................... $ 1,193,756 $ 1,263,836 Issued in exchange for Horizon Shares of Pacific Horizon Tax Exempt Fund (Note 8)................................ -- 328,296 Issued as reinvestment of dividends....................... 1,012 1,494 Redeemed.................................................. (1,207,551) (1,555,201) ----------- ----------- Net increase/(decrease)................................... $ (12,783) $ 38,425 =========== =========== TRUST CLASS SHARES:+ Sold...................................................... $ 365,990 $ 1,809,173 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (475,200) (1,282,344) ----------- ----------- Net increase/(decrease)................................... $ (109,210) $ 526,829 =========== =========== LIQUIDITY CLASS SHARES: Sold...................................................... $ 318,630 $ 461,685 Issued as reinvestment of dividends....................... 1,295 3,275 Redeemed.................................................. (349,274) (444,304) ----------- ----------- Net increase/(decrease)................................... $ (29,349) $ 20,656 =========== =========== ADVISER CLASS SHARES: Sold...................................................... $ 184,204 $ 385,433 Issued in exchange for Horizon Service Shares of Pacific Horizon Tax Exempt Fund (Note 8)........................ -- 217,928 Issued as reinvestment of dividends....................... 1,362 2,609 Redeemed.................................................. (164,006) (583,893) ----------- ----------- Net increase/(decrease)................................... $ 21,560 $ 22,077 =========== =========== INVESTOR CLASS SHARES:+ Sold...................................................... $ 42,288 $ 319,498 Issued in exchange for Pacific Horizon Shares of Pacific Horizon Tax Exempt Fund (Note 8)........................ -- 150,443 Issued as reinvestment of dividends....................... 904 2,042 Redeemed.................................................. (54,117) (407,201) ----------- ----------- Net increase/(decrease)................................... $ (10,925) $ 64,782 =========== =========== MARKET CLASS SHARES: Sold...................................................... $ 429,019 $ 528,500 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (413,000) (526,500) ----------- ----------- Net increase/(decrease)................................... $ 16,019 $ 2,000 =========== =========== DAILY CLASS SHARES:+ Sold...................................................... $ 387,661 $ 760,267 Issued in exchange for S Shares of Pacific Horizon Tax Exempt Fund (Note 8).................................... -- 57,381 Issued as reinvestment of dividends....................... 7,115 7,359 Redeemed.................................................. (360,350) (395,365) ----------- ----------- Net increase/(decrease)................................... $ 34,426 $ 429,642 =========== =========== SERVICE CLASS SHARES:+ Sold...................................................... $ 22,100 $ 3,000 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (15,000) (2,000) ----------- ----------- Net increase/(decrease)................................... $ 7,100 $ 1,000 =========== =========== INVESTOR B SHARES:+ Sold...................................................... $ -- $ 100 Issued as reinvestment of dividends....................... 1 -- Redeemed.................................................. -- (9) ----------- ----------- Net increase/(decrease)................................... $ 1 $ 91 =========== =========== Total net increase/(decrease)............................. $ (83,161) $ 1,105,502 =========== ===========
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + Municipal Reserves Trust Class, Investor Class, Daily Class, Service Class and Investor B Shares commenced operations on May 17, 1999, April 12, 1999, April 12, 1999, January 21, 2000 and December 27, 1999, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 45 50 NATIONS RESERVES MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
CALIFORNIA TAX-EXEMPT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2000 YEAR ENDED PERIOD ENDED (UNAUDITED) MARCH 31, 2000 MAY 14, 1999(a) ------------------------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES:+ Sold...................................................... $ 396,097 $ 1,050,171 $ -- Issued as reinvestment of dividends....................... -- -- -- Redeemed.................................................. (445,898) (655,315) -- --------- ----------- --------- Net increase/(decrease)................................... $ (49,801) $ 394,856 $ -- ========= =========== ========= ADVISER CLASS SHARES: Sold...................................................... $ 727,707 $ 1,308,639 $ 360,557 Issued as reinvestment of dividends....................... 5,580 8,051 1,134 Redeemed.................................................. (518,768) (1,592,374) (434,617) --------- ----------- --------- Net increase/(decrease)................................... $ 214,519 $ (275,684) $ (72,926) ========= =========== ========= INVESTOR CLASS SHARES: Sold...................................................... $ 332,012 $ 962,357 $ 484,932 Issued as reinvestment of dividends....................... 3,505 8,632 2,092 Redeemed.................................................. (348,979) (1,189,554) (523,636) --------- ----------- --------- Net increase/(decrease)................................... $ (13,462) $ (218,565) $ (36,612) ========= =========== ========= DAILY CLASS SHARES: Sold...................................................... $ 673,960 $ 1,791,638 $ 160,950 Issued as reinvestment of dividends....................... 8,371 11,724 1,318 Redeemed.................................................. (703,639) (1,437,258) (165,023) --------- ----------- --------- Net increase/(decrease)................................... $ (21,308) $ 366,104 $ (2,755) ========= =========== ========= Total net increase/(decrease)............................. $ 129,948 $ 266,711 $(112,293) ========= =========== =========
--------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. + California Tax-Exempt Reserves Trust Class Shares commenced operations on May 24, 1999. (a) Represents financial information for the Pacific Horizon California Tax-Exempt Money Market Fund, which was reorganized into California Tax- Exempt Reserves on May 21, 1999. SEE NOTES TO FINANCIAL STATEMENTS. 46 51 (This page intentionally left blank) 47 52 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME (LOSS) INCOME -------------------------------------------------------- CASH RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0320 $(0.0320) Year ended 3/31/2000........................................ 1.00 0.0532 (0.0532) Period ended 3/31/1999*..................................... 1.00 0.0484 (0.0484) Year ended 4/30/1998........................................ 1.00 0.0554 (0.0554) Year ended 4/30/1997........................................ 1.00 0.0531 (0.0531) Year ended 4/30/1996........................................ 1.00 0.0570 (0.0570) Year ended 4/30/1995........................................ 1.00 0.0480 (0.0480) TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0315 $(0.0315) Period ended 3/31/2000**.................................... 1.00 0.0463 (0.0463) LIQUIDITY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0312 $(0.0312) Year ended 3/31/2000........................................ 1.00 0.0517 (0.0517) Period ended 3/31/1999*..................................... 1.00 0.0470 (0.0470) Year ended 4/30/1998........................................ 1.00 0.0539 (0.0539) Year ended 4/30/1997........................................ 1.00 0.0516 (0.0516) Year ended 4/30/1996........................................ 1.00 0.0555 (0.0555) Year ended 4/30/1995........................................ 1.00 0.0471 (0.0471) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0307 $(0.0307) Year ended 3/31/2000........................................ 1.00 0.0507 (0.0507) Period ended 3/31/1999*..................................... 1.00 0.0461 (0.0461) Year ended 4/30/1998........................................ 1.00 0.0529 (0.0529) Year ended 4/30/1997........................................ 1.00 0.0506 (0.0506) Year ended 4/30/1996........................................ 1.00 0.0545 (0.0545) Period ended 4/30/1995**.................................... 1.00 0.0316 (0.0316) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0302 $(0.0302) Period ended 3/31/2000**.................................... 1.00 0.0484 (0.0484) MARKET CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0297 $(0.0297) Year ended 3/31/2000........................................ 1.00 0.0487 (0.0487) Period ended 3/31/1999*..................................... 1.00 0.0447 (0.0447) Year ended 4/30/1998........................................ 1.00 0.0519 (0.0519) Period ended 4/30/1997**.................................... 1.00 0.0493 (0.0493) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0290 $(0.0290) Period ended 3/31/2000**.................................... 1.00 0.0459 (0.0459) SERVICE CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0270 $(0.0270) Period ended 3/31/2000**.................................... 1.00 0.0404 (0.0404) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0265 $(0.0265) Period ended 3/31/2000**.................................... 1.00 0.0225 (0.0225) INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0265 $(0.0265) Period ended 3/31/2000**.................................... 1.00 0.0223 (0.0223)
--------------- + 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 April 30. ** Cash Reserves Trust Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on May 17, 1999, September 22, 1994, April 12, 1999, May 3, 1996, April 12, 1999, April 28, 1999, October 4, 1999 and October 5, 1999, respectively. (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. 48 53 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ------------------------------------------------------------------------------------------ $1.00 3.24% $11,338,200 0.20%+(a)(b) 6.40%+ 0.27%+(a) 1.00 5.46 8,642,609 0.20(a)(b) 5.37 0.29(a) 1.00 4.95 4,379,430 0.20+(a) 5.24+ 0.43+(a) 1.00 5.70 3,051,559 0.20(b) 5.54 0.44 1.00 5.44 1,684,233 0.20 5.32 0.45 1.00 5.84 607,643 0.20 5.53 0.51 1.00 4.91 134,064 0.29 4.96 0.52 $1.00 3.19% $ 1,785,118 0.30%+(a)(b) 6.30%+ 0.37%+(a) 1.00 4.72 1,719,142 0.30+(a)(b) 5.27+ 0.39+(a) $1.00 3.16% $ 1,682,613 0.35%+(a)(b) 6.25%+ 1.12%+(a) 1.00 5.30 1,396,969 0.35(a)(b) 5.22 1.14(a) 1.00 4.80 1,423,382 0.35+(a) 5.09+ 1.28+(a) 1.00 5.53 1,107,869 0.35(b) 5.39 1.29 1.00 5.28 419,851 0.35 5.17 0.60 1.00 5.70 35,477 0.35 5.38 0.66 1.00 4.81 2 0.38 4.87 0.61 $1.00 3.11% $ 4,443,321 0.45%+(a)(b) 6.15%+ 0.52%+(a) 1.00 5.19 4,780,346 0.45(a)(b) 5.12 0.54(a) 1.00 4.71 870,170 0.45+(a) 4.99+ 0.68+(a) 1.00 5.43 672,417 0.45(b) 5.29 0.69 1.00 5.19 247,551 0.45 5.07 0.70 1.00 5.58 397,809 0.45 5.28 0.76 1.00 3.20 47,682 0.54+ 4.71+ 0.77+ $1.00 3.06% $ 8,165,880 0.55%+(a)(b) 6.05%+ 0.62%+(a) 1.00 4.94 7,068,117 0.55+(a)(b) 5.02+ 0.64+(a) $1.00 3.01% $ 2,982,911 0.65%+(a)(b) 5.95%+ 0.72%+(a) 1.00 4.98 2,779,002 0.65(a)(b) 4.92 0.74(a) 1.00 4.56 1,486,502 0.61+(a) 4.83+ 0.88+(a) 1.00 5.33 649,503 0.55(b) 5.19 0.89 1.00 5.04 333,000 0.55+ 4.97+ 0.80+ $1.00 2.93% $11,596,435 0.80%+(a)(b) 5.80%+ 0.87%+(a) 1.00 4.69 9,753,000 0.80+(a)(b) 4.77+ 0.89+(a) $1.00 2.73% $ 626,382 1.20%+(a)(b) 5.40%+ 1.27%+(a) 1.00 4.11 512,318 1.20+(a)(b) 4.37+ 1.29+(a) $1.00 2.68% $ 9,473 1.30%+(a)(b) 5.30%+ 1.37%+(a) 1.00 2.28 8,828 1.30+(a)(b) 4.27+ 1.39+(a) $1.00 2.68% $ 525 1.30%+(a)(b) 5.30%+ 1.37%+(a) 1.00 2.25 345 1.30+(a)(b) 4.27+ 1.39+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 49 54 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME (LOSS) INCOME -------------------------------------------------------- MONEY MARKET RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0318 $(0.0318) Year ended 3/31/2000........................................ 1.00 0.0535 (0.0535) Period ended 3/31/1999*,**.................................. 1.00 0.0438 (0.0438) Period ended 5/15/1998...................................... 1.00 0.0252 (0.0252) Year ended 11/30/1997....................................... 1.00 0.0545 (0.0545) Year ended 11/30/1996....................................... 1.00 0.0516 (0.0516) Year ended 11/30/1995....................................... 1.00 0.0561 (0.0561) TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0314 $(0.0314) Period ended 3/31/2000***................................... 1.00 0.0016 (0.0016) LIQUIDITY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0311 $(0.0311) Year ended 3/31/2000........................................ 1.00 0.0520 (0.0520) Period ended 3/31/1999*,***................................. 1.00 0.0281 (0.0281) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0306 $(0.0306) Year ended 3/31/2000........................................ 1.00 0.0548 (0.0548) Period ended 3/31/1999*,***................................. 1.00 0.0344 (0.0344) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0212 $(0.0212) Period ended 3/31/2000***................................... 1.00 0.0043 (0.0043) MARKET CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0296 $(0.0296) Year ended 3/31/2000........................................ 1.00 0.0490 (0.0490) Period ended 3/31/1999*,***................................. 1.00 0.0214 (0.0214) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0288 $(0.0288) Period ended 3/31/2000***................................... 1.00 0.0346 (0.0346) SERVICE CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0268 $(0.0268) Period ended 3/31/2000***................................... 1.00 0.0386 (0.0386) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0263 $(0.0263) Period ended 3/31/2000***................................... 1.00 0.0227 (0.0227) INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0076 $(0.0076) Period ended 3/31/2000***................................... 1.00 0.0112 (0.0112)
--------------- + 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 April 30. ** The financial information for the fiscal periods through May 15, 1998 reflect the financial information for the Emerald Prime Advantage Institutional Fund, which was reorganized into Capital Class Shares as of May 22, 1998. *** Money Market Reserves Trust Class, Liquidity Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on March 22, 2000, August 7, 1998, July 2, 1998, March 3, 2000, October 9, 1998, July 21, 1999, May 18, 1999, October 5, 1999 and January 6, 2000, respectively. (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. 50 55 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ----------------------------------------------------------------------------------------- $1.00 3.23% $4,060,105 0.20%+(a)(b) 6.34%+ 0.27%+(a) 1.00 5.48 4,064,349 0.20(a)(b) 5.64 0.33(a) 1.00 4.47 595,482 0.20+(a) 4.87+ 0.46+(a) 1.00 2.55 118,880 0.20+ 5.54+ 0.27+ 1.00 5.58 177,908 0.20 5.45 0.28 1.00 5.29 133,044 0.35 5.16 0.35 1.00 5.76 131,089 0.40 5.60 0.46 $1.00 3.18% $ 9,083 0.30%+(a)(b) 6.24%+ 0.37%+(a) 1.00 0.16 38 0.30+(a)(b) 5.54+ 0.43+(a) $1.00 3.15% $ 545,930 0.35%+(a)(b) 6.19%+ 1.12%+(a) 1.00 5.32 946,156 0.35(a)(b) 5.49 1.18(a) 1.00 2.87 1,078 0.35+(a) 4.72+ 1.31+(a) $1.00 3.10% $ 590,975 0.45%+(a)(b) 6.09%+ 0.52%+(a) 1.00 5.62 553,728 0.45(a)(b) 5.39 0.58(a) 1.00 3.46 6,377 0.45+(a) 4.62+ 0.71+(a) $1.00 2.14% $ 7,119 0.55%+(a)(b) 5.99%+ 0.62%+(a) 1.00 0.43 1 0.55+(a)(b) 5.29+ 0.68+(a) $1.00 3.00% $1,432,994 0.65%+(a)(b) 5.89%+ 0.72%+(a) 1.00 5.01 1,021,002 0.65(a)(b) 5.19 0.78(a) 1.00 2.14 873,993 0.65+(a) 4.42+ 0.91+(a) $1.00 2.92% $ 4,419 0.80%+(a)(b) 5.74%+ 0.87%+(a) 1.00 3.51 4,525 0.80+(a)(b) 5.04+ 0.93+(a) $1.00 2.71% $ 178,848 1.20%+(a)(b) 5.34%+ 1.27%+(a) 1.00 3.93 80,500 1.20+(a)(b) 4.64+ 1.33+(a) $1.00 2.66% $ 2,186 1.30%+(a)(b) 5.24%+ 1.37%+(a) 1.00 2.29 1,940 1.30+(a)(b) 4.54+ 1.43+(a) $1.00 0.74% $ -- 1.30%+(a)(b) 5.24%+ 1.37%+(a) 1.00 1.12 19 1.30+(a)(b) 4.54+ 1.43+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 51 56 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME ---------------------------------------------- TREASURY RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0306 $(0.0306) Year ended 3/31/2000........................................ 1.00 0.0504 (0.0504) Period ended 3/31/1999*..................................... 1.00 0.0462 (0.0462) Year ended 4/30/1998........................................ 1.00 0.0541 (0.0541) Year ended 4/30/1997........................................ 1.00 0.0519 (0.0519) Year ended 4/30/1996........................................ 1.00 0.0556 (0.0556) Year ended 4/30/1995........................................ 1.00 0.0480 (0.0480) TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0301 $(0.0301) Period ended 3/31/2000**.................................... 1.00 0.0436 (0.0436) LIQUIDITY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0299 $(0.0299) Year ended 3/31/2000........................................ 1.00 0.0489 (0.0489) Period ended 3/31/1999*..................................... 1.00 0.0448 (0.0448) Year ended 4/30/1998........................................ 1.00 0.0526 (0.0526) Year ended 4/30/1997........................................ 1.00 0.0504 (0.0504) Year ended 4/30/1996........................................ 1.00 0.0541 (0.0541) Year ended 4/30/1995........................................ 1.00 0.0462 (0.0462) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0294 $(0.0294) Year ended 3/31/2000........................................ 1.00 0.0479 (0.0479) Period ended 3/31/1999*..................................... 1.00 0.0439 (0.0439) Year ended 4/30/1998........................................ 1.00 0.0516 (0.0516) Year ended 4/30/1997........................................ 1.00 0.0494 (0.0494) Year ended 4/30/1996........................................ 1.00 0.0531 (0.0531) Period ended 4/30/1995**.................................... 1.00 0.0308 (0.0308) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0289 $(0.0289) Period ended 3/31/2000**.................................... 1.00 0.0455 (0.0455) MARKET CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0284 $(0.0284) Year ended 3/31/2000........................................ 1.00 0.0459 (0.0459) Period ended 3/31/1999*..................................... 1.00 0.0423 (0.0423) Year ended 4/30/1998........................................ 1.00 0.0505 (0.0505) Period ended 4/30/1997**.................................... 1.00 0.0481 (0.0481) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0276 $(0.0276) Period ended 3/31/2000**.................................... 1.00 0.0431 (0.0431) SERVICE CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0256 $(0.0256) Period ended 3/31/2000**.................................... 1.00 0.0358 (0.0358) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0251 $(0.0251) Period ended 3/31/2000**.................................... 1.00 0.0192 (0.0192)
--------------- + 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 April 30. ** Treasury Reserves Trust Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class and Investor B Shares commenced operations on May 17, 1999, September 22, 1994, April 12, 1999, May 3, 1996, April 12, 1999, May 17, 1999 and October 15, 1999, respectively. (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. 52 57 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ------------------------------------------------------------------------------------------- $1.00 3.10% $ 965,995 0.20%+(a)(b) 6.12%+ 0.27%+(a) 1.00 5.15 1,026,684 0.20(a)(b) 5.06 0.28(a) 1.00 4.72 1,382,688 0.20+(a) 4.99+ 0.45+(a) 1.00 5.55 246,058 0.20 5.41 0.45 1.00 5.30 468,975 0.20 5.20 0.46 1.00 5.71 304,342 0.20 5.50 0.51 1.00 4.91 251,694 0.20 4.79 0.50 $1.00 3.05% $ 410,610 0.30%+(a)(b) 6.02%+ 0.37%+(a) 1.00 4.45 506,339 0.30+(a)(b) 4.96 0.38+(a) $1.00 3.03% $ 418,441 0.35%+(a)(b) 5.97%+ 1.17%+(a) 1.00 5.00 364,761 0.35(a)(b) 4.91 1.18(a) 1.00 4.58 304,387 0.35+(a) 4.84+ 1.35+(a) 1.00 5.38 743,410 0.35 5.26 1.35 1.00 5.15 81,575 0.35 5.05 0.61 1.00 5.57 11,804 0.35 5.35 0.66 1.00 4.71 674 0.49 4.50 0.79 $1.00 2.97% $1,529,633 0.45%+(a)(b) 5.87%+ 0.52%+(a) 1.00 4.89 1,460,966 0.45(a)(b) 4.81 0.53(a) 1.00 4.48 344,906 0.45+(a) 4.74+ 0.70+(a) 1.00 5.28 222,760 0.45 5.16 0.70 1.00 5.06 154,256 0.45 4.95 0.71 1.00 5.45 175,691 0.45 5.25 0.76 1.00 3.11 55,762 0.45+ 4.54+ 0.75+ $1.00 2.92% $1,112,421 0.55%+(a)(b) 5.77%+ 0.62%+(a) 1.00 4.65 573,261 0.55+(a)(b) 4.71+ 0.63+(a) $1.00 2.87% $1,358,932 0.65%+(a)(b) 5.67%+ 0.72%+(a) 1.00 4.68 1,511,932 0.65(a)(b) 4.61 0.73(a) 1.00 4.31 1,169,932 0.62+(a) 4.57+ 0.90+(a) 1.00 5.18 265,495 0.55 5.06 0.90 1.00 4.92 123,396 0.55+ 4.85+ 0.81+ $1.00 2.80% $ 941,023 0.80%+(a)(b) 5.52%+ 0.87%+(a) 1.00 4.40 847,775 0.80+(a)(b) 4.46+ 0.88+(a) $1.00 2.59% $ 269,355 1.20%+(a)(b) 5.12%+ 1.27%+(a) 1.00 3.63 244,035 1.20+(a)(b) 4.06+ 1.28+(a) $1.00 2.54% $ 133 1.30%+(a)(b) 5.02%+ 1.37%+(a) 1.00 1.94 80 1.30+(a)(b) 3.96+ 1.38+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 53 58 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME ---------------------------------------------- GOVERNMENT RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0314 $(0.0314) Year ended 3/31/2000........................................ 1.00 0.0516 (0.0516) Period ended 3/31/1999*..................................... 1.00 0.0468 (0.0468) Year ended 4/30/1998........................................ 1.00 0.0543 (0.0543) Year ended 4/30/1997........................................ 1.00 0.0520 (0.0520) Year ended 4/30/1996........................................ 1.00 0.0556 (0.0556) Year ended 4/30/1995........................................ 1.00 0.0463 (0.0463) TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0309 $(0.0309) Period ended 3/31/2000**.................................... 1.00 0.0448 (0.0448) LIQUIDITY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0306 $(0.0306) Year ended 3/31/2000........................................ 1.00 0.0501 (0.0501) Period ended 3/31/1999*..................................... 1.00 0.0454 (0.0454) Year ended 4/30/1998........................................ 1.00 0.0528 (0.0528) Year ended 4/30/1997........................................ 1.00 0.0505 (0.0505) Year ended 4/30/1996........................................ 1.00 0.0537 (0.0537) Year ended 4/30/1995........................................ 1.00 0.0453 (0.0453) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0301 $(0.0301) Year ended 3/31/2000........................................ 1.00 0.0491 (0.0491) Period ended 3/31/1999*..................................... 1.00 0.0445 (0.0445) Year ended 4/30/1998........................................ 1.00 0.0518 (0.0518) Year ended 4/30/1997........................................ 1.00 0.0495 (0.0495) Year ended 4/30/1996........................................ 1.00 0.0527 (0.0527) Period ended 4/30/1995**.................................... 1.00 0.0299 (0.0299) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0296 $(0.0296) Period ended 3/31/2000**.................................... 1.00 0.0467 (0.0467) MARKET CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0291 $(0.0291) Year ended 3/31/2000........................................ 1.00 0.0471 (0.0471) Period ended 3/31/1999*..................................... 1.00 0.0431 (0.0431) Year ended 4/30/1998........................................ 1.00 0.0508 (0.0508) Period ended 4/30/1997**.................................... 1.00 0.0482 (0.0482) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0284 $(0.0284) Period ended 3/31/2000**.................................... 1.00 0.0443 (0.0443) SERVICE CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0264 $(0.0264) Period ended 3/31/2000**.................................... 1.00 0.0348 (0.0348) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0259 $(0.0259) Period ended 3/31/2000**.................................... 1.00 0.0185 (0.0185) INVESTOR C SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0259 $(0.0259) Period ended 3/31/2000**.................................... 1.00 0.0126 (0.0126)
--------------- + 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 April 30. ** Government Reserves Trust Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on May 17, 1999, September 22, 1994, April 12, 1999, May 3, 1996, April 12, 1999, June 8, 1999, November 2, 1999 and December 21, 1999, respectively. (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. 54 59 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ------------------------------------------------------------------------------------------- $1.00 3.18% $349,909 0.20%+(a) 6.26%+ 0.28%+(a) 1.00 5.28 381,336 0.20(a)(b) 5.26 0.29(a) 1.00 4.78 229,561 0.20+(a) 5.05+ 0.44+(a) 1.00 5.57 190,607 0.20 5.43 0.45 1.00 5.33 125,377 0.20(a) 5.22 0.49(a) 1.00 5.71 58,121 0.20 5.48 0.53 1.00 4.72 2 0.32 4.35 0.54 $1.00 3.12% $113,828 0.30%+(a) 6.16%+ 0.38%+(a) 1.00 4.57 125,504 0.30+(a)(b) 5.16+ 0.39+(a) $1.00 3.10% $414,173 0.35%+(a) 6.11%+ 1.13%+(a) 1.00 5.12 140,328 0.35(a)(b) 5.11 1.14(a) 1.00 4.63 59,551 0.35+(a) 4.90+ 1.29+(a) 1.00 5.40 32,773 0.35 5.28 1.30 1.00 5.19 6,482 0.35(a) 5.07 0.64(a) 1.00 5.51 129 0.35 5.33 0.68 1.00 4.59 2 0.40 4.27 0.62 $1.00 3.05% $396,706 0.45%+(a) 6.01%+ 0.53%+(a) 1.00 5.02 477,205 0.45(a)(b) 5.01 0.54(a) 1.00 4.54 88,836 0.45+(a) 4.80+ 0.69+(a) 1.00 5.30 70,164 0.45 5.18 0.70 1.00 5.07 24,845 0.45(a) 4.97 0.74(a) 1.00 5.39 108,168 0.45 5.23 0.78 1.00 3.04 99,246 0.57+ 4.10+ 0.79+ $1.00 3.00% $ 86,531 0.55%+(a) 5.91%+ 0.63%+(a) 1.00 4.77 111,741 0.55+(a)(b) 4.91+ 0.64+(a) $1.00 2.95% $466,000 0.65%+(a) 5.81%+ 0.73%+(a) 1.00 4.81 370,000 0.65(a)(b) 4.81 0.74(a) 1.00 4.39 334,000 0.61+(a) 4.64+ 0.89+(a) 1.00 5.20 274,499 0.55 5.08 0.90 1.00 4.93 218,499 0.55+(a) 4.87+ 0.84+(a) $1.00 2.87% $183,383 0.80%+(a) 5.66%+ 0.88%+(a) 1.00 4.52 171,521 0.80+(a)(b) 4.66+ 0.89+(a) $1.00 2.66% $ 19,000 1.20%+(a) 5.26%+ 1.28%+(a) 1.00 3.53 10,000 1.20+(a)(b) 4.26+ 1.29+(a) $1.00 2.61% $ 116 1.30%+(a) 5.16%+ 1.38%+(a) 1.00 1.86 108 1.30+(a)(b) 4.16+ 1.39+(a) $1.00 2.61% $ 148 1.30%+(a) 5.16%+ 1.38%+(a) 1.00 1.26 746 1.30+(a)(b) 4.16+ 1.39+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 55 60 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME ---------------------------------------------- MUNICIPAL RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0205 $(0.0205) Year ended 3/31/2000........................................ 1.00 0.0329 (0.0329) Period ended 3/31/1999*..................................... 1.00 0.0292 (0.0292) Year ended 4/30/1998........................................ 1.00 0.0353 (0.0353) Year ended 4/30/1997........................................ 1.00 0.0337 (0.0337) Year ended 4/30/1996........................................ 1.00 0.0362 (0.0362) Year ended 4/30/1995........................................ 1.00 0.0313 (0.0313) TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0200 $(0.0200) Period ended 3/31/2000**.................................... 1.00 0.0280 (0.0280) LIQUIDITY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0198 $(0.0198) Year ended 3/31/2000........................................ 1.00 0.0314 (0.0314) Period ended 3/31/1999*..................................... 1.00 0.0278 (0.0278) Year ended 4/30/1998........................................ 1.00 0.0341 (0.0341) Year ended 4/30/1997........................................ 1.00 0.0323 (0.0323) Year ended 4/30/1996........................................ 1.00 0.0347 (0.0347) Year ended 4/30/1995........................................ 1.00 0.0304 (0.0304) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0193 $(0.0193) Year ended 3/31/2000........................................ 1.00 0.0304 (0.0304) Period ended 3/31/1999*..................................... 1.00 0.0270 (0.0270) Year ended 4/30/1998........................................ 1.00 0.0332 (0.0332) Year ended 4/30/1997........................................ 1.00 0.0313 (0.0313) Year ended 4/30/1996........................................ 1.00 0.0337 (0.0337) Period ended 4/30/1995**.................................... 1.00 0.0199 (0.0199) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0188 $(0.0188) Period ended 3/31/2000**.................................... 1.00 0.0287 (0.0287) MARKET CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0183 $(0.0183) Year ended 3/31/2000........................................ 1.00 0.0284 (0.0284) Period ended 3/31/1999*..................................... 1.00 0.0254 (0.0254) Year ended 4/30/1998........................................ 1.00 0.0318 (0.0318) Period ended 4/30/1997**.................................... 1.00 0.0301 (0.0301) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0175 $(0.0175) Period ended 3/31/2000**.................................... 1.00 0.0262 (0.0262) SERVICE CLASS SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0155 $(0.0155) Period ended 3/31/2000**.................................... 1.00 0.0048 (0.0048) INVESTOR B SHARES Six months ended 9/30/2000 (unaudited)...................... $1.00 $0.0150 $(0.0150) Period ended 3/31/2000**.................................... 1.00 0.0062 (0.0062)
--------------- + 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 April 30. ** Municipal Reserves Trust Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class and Investor B Shares commenced operations on May 17, 1999, September 22, 1994, April 12, 1999, May 3, 1996, April 12, 1999, January 21, 2000 and December 27, 1999, respectively. (b) The effect of interest expense on the operating expense ratio was 0.02% SEE NOTES TO FINANCIAL STATEMENTS. 56 61 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ---------------------------------------------------------------------------------------- $1.00 2.07% $160,080 0.20%+ 4.08%+ 0.29%+ 1.00 3.34 172,693 0.20 3.29 0.30 1.00 2.96 134,268 0.20+ 3.10+ 0.48+ 1.00 3.61 74,251 0.20(b) 3.53 0.48 1.00 3.44 59,701 0.20 3.38 0.52 1.00 3.70 48,482 0.20 3.61 0.58 1.00 3.19 32,353 0.23 3.36 0.59 $1.00 2.02% $417,555 0.30%+ 3.98%+ 0.39%+ 1.00 2.83 526,831 0.30+ 3.19+ 0.40+ $1.00 1.99% $ 59,689 0.35%+ 3.93%+ 1.14%+ 1.00 3.18 89,050 0.35 3.14 1.15 1.00 2.81 68,393 0.35+ 2.95+ 1.33+ 1.00 3.43 53,074 0.35(b) 3.38 1.33 1.00 3.29 54,677 0.35 3.23 0.67 1.00 3.52 6,734 0.35 3.46 0.73 1.00 3.09 2,591 0.33 3.26 0.69 $1.00 1.94% $ 99,061 0.45%+ 3.83%+ 0.54%+ 1.00 3.08 77,511 0.45 3.04 0.55 1.00 2.73 55,434 0.45+ 2.85+ 0.73+ 1.00 3.34 29,936 0.45(b) 3.28 0.73 1.00 3.19 7,296 0.45 3.13 0.77 1.00 3.43 55,511 0.45 3.36 0.83 1.00 2.02 64,123 0.48+ 3.11+ 0.84+ $1.00 1.89% $ 53,849 0.55%+ 3.73%+ 0.64%+ 1.00 2.90 64,782 0.55+ 2.94+ 0.65+ $1.00 1.84% $165,000 0.65%+ 3.63%+ 0.74%+ 1.00 2.87 149,000 0.65 2.84 0.75 1.00 2.57 146,999 0.61+ 2.69+ 0.93+ 1.00 3.24 92,000 0.55(b) 3.18 0.93 1.00 3.06 78,300 0.55+ 3.03+ 0.87+ $1.00 1.76% $464,015 0.80%+ 3.48%+ 0.89%+ 1.00 2.65 429,644 0.80+ 2.69+ 0.90+ $1.00 1.56% $ 8,100 1.20%+ 3.08%+ 1.29%+ 1.00 0.48 1,000 1.20+ 2.29+ 1.30+ $1.00 1.51% $ 92 1.30%+ 2.98%+ 1.39%+ 1.00 0.62 91 1.30+ 2.19+ 1.40+
SEE NOTES TO FINANCIAL STATEMENTS. 57 62 NATIONS RESERVES MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED AND DIVIDENDS VALUE NET UNREALIZED FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME --------------------------------------------------------------------- CALIFORNIA TAX-EXEMPT RESERVES TRUST CLASS SHARES Six months ended 9/30/2000 (unaudited)................ $1.00 $0.0173 -- $(0.0173) Period ended 3/31/2000**.............................. 1.00 0.0239 -- (0.0239) ADVISER CLASS SHARES Six months ended 9/30/2000 (unaudited)................ $1.00 $0.0166 -- $(0.0166) Period ended 3/31/2000................................ 1.00 0.0232 -- (0.0232) Period ended 5/14/1999*............................... 1.00 0.0052 -- (0.0052) Year ended 2/28/1999.................................. 1.00 0.0268 -- (0.0268) Year ended 2/28/1998.................................. 1.00 0.0309 -- (0.0309) Year ended 2/28/1997.................................. 1.00 0.0291 -- (0.0291) Year ended 2/29/1996.................................. 1.00 0.0331 $ 0.0001 (0.0331) INVESTOR CLASS SHARES Six months ended 9/30/2000 (unaudited)................ $1.00 $0.0161 -- $(0.0161) Period ended 3/31/2000................................ 1.00 0.0223 -- (0.0223) Period ended 5/14/1999*............................... 1.00 0.0051 -- (0.0051) Year ended 2/28/1999.................................. 1.00 0.0261 -- (0.0261) Year ended 2/28/1998.................................. 1.00 0.0302 -- (0.0302) Year ended 2/28/1997.................................. 1.00 0.0284 -- (0.0284) Year ended 2/29/1996.................................. 1.00 0.0324 $(0.0001) (0.0324) DAILY CLASS SHARES Six months ended 9/30/2000 (unaudited)................ $1.00 $0.0148 -- $(0.0148) Period ended 3/31/2000................................ 1.00 0.0201 -- (0.0201) Period ended 5/14/1999*............................... 1.00 0.0045 -- (0.0045) Year ended 2/28/1999.................................. 1.00 0.0238 -- (0.0238) Year ended 2/28/1998.................................. 1.00 0.0279 -- (0.0279) Period ended 2/28/1997**.............................. 1.00 0.0107 -- (0.0107)
--------------- + 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 California Tax-Exempt Money Market Fund Horizon Service, S, X and Pacific Horizon Shares, which were reorganized into the California Tax-Exempt Reserves Adviser Class, Daily Class and Investor Class 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 Banc of America Capital Management, Inc. ** California Tax-Exempt Reserves Trust Class and Daily Class Shares commenced operations on May 24, 1999 and October 2, 1996, respectively. (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. 58 63 NATIONS RESERVES MONEY MARKET 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) TO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS ---------------------------------------------------------------------------------------- $1.00 1.75% $345,038 0.20%+ 3.45%+ 0.37%+ 1.00 2.41 394,837 0.30+ 2.70+ 0.38+ $1.00 1.67% $574,839 0.45%+ 3.20%+ 0.52%+ 1.00 2.32 360,319 0.45+ 2.55+ 0.53+ 1.00 0.52 636,000 0.50+ 2.49+ 0.52+ 1.00 2.71 709,000 0.49(a) 2.65 0.49(a) 1.00 3.13 671,000 0.50(a) 3.06 0.50(a) 1.00 2.95 472,000 0.50(a) 2.92 0.50(a) 1.00 3.36 203,000 0.55(a) 3.43 0.55(a) $1.00 1.62% $270,580 0.55%+ 3.10%+ 0.62%+ 1.00 2.23 284,041 0.55+ 2.45+ 0.63+ 1.00 0.50 503,000 0.58+ 2.43+ 0.62+ 1.00 2.64 539,000 0.56(a) 2.61 0.59(a) 1.00 3.06 598,000 0.57(a) 3.01 0.60(a) 1.00 2.88 493,000 0.57(a) 2.83 0.60(a) 1.00 3.29 528,000 0.62(a) 3.35 0.63(a) $1.00 1.49% $678,383 0.80%+ 2.85%+ 0.87%+ 1.00 2.01 699,689 0.80+ 2.20+ 0.88+ 1.00 0.45 334,000 0.80+ 2.21+ 0.82+ 1.00 2.41 336,000 0.79(a) 2.35 0.79(a) 1.00 2.83 172,000 0.80(a) 2.80 0.80(a) 1.00 1.09 29,000 0.80+(a) 2.66+ 0.80+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 59 64 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Reserves ("Reserves") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. At September 30, 2000, Reserves offered sixteen separate portfolios. These financial statements pertain only to the six money market portfolios of Reserves: Nations Cash Reserves, Nations Money Market Reserves, Nations Treasury Reserves, Nations Government Reserves, Nations Municipal Reserves and Nations California Tax-Exempt Reserves (each, a "Portfolio" and collectively, the "Portfolios"). Financial Statements for the other portfolios of Reserves are presented under separate cover. The Portfolios currently offer ten classes of shares: Capital Class Shares, Trust Class Shares, Liquidity Class Shares, Adviser Class Shares, Investor Class Shares, Market Class Shares, Daily Class Shares, Service Class Shares, Investor B Shares and Investor C Shares. Shareholders of a Portfolio have equal voting rights on matters affecting all shareholders of the Portfolio. In addition, each class of shares of a Portfolio has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with 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 Portfolios in the preparation of their financial statements. Securities valuation: Securities are valued on the basis of amortized cost, which approximates current market value. Amortized cost valuation involves initially valuing an instrument at its cost and thereafter assuming a constant amortization to maturity of any discount or accretion premium, as long as the effect of fluctuating interest rates on the market value of the instrument is not significant. Restricted securities and certain other assets may be valued under procedures adopted by the Board of Trustees. Repurchase agreements: Each Portfolio may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, a Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the obligation of the Portfolio to resell, the underlying debt obligation at an agreed-upon price and date, thereby determining the yield during the Portfolio's holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Portfolio's holding period. The value of the collateral is at least equal at all times to the total amount of the repurchase obligations, including interest. Generally, in the event of counterparty default, the Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Portfolio in the event the Portfolio is delayed or prevented from exercising its right to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period the Portfolio seeks to assert its right. The Portfolios' investment adviser and sub-adviser, under the oversight of the Board of Trustees, monitor the value of collateral received as well as the creditworthiness of those banks and dealers with which the Portfolios enter into repurchase agreements to evaluate potential risks. Reverse repurchase agreements: Cash Reserves, Treasury Reserves and Government Reserves may enter into reverse repurchase agreements with institutions that the Portfolios' investment sub-adviser has determined are creditworthy. Under the terms of a typical reverse repurchase agreement, a Portfolio sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Portfolio enters into a reverse repurchase agreement, it establishes a segregated account with its custodian bank in which it will maintain cash, U.S. Government securities or other appropriate liquid securities at least equal in value to the Portfolio's obligations arising under the reverse repurchase agreement. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Portfolio may decline below the price of the securities that the Portfolio is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities. Securities subject to repurchase under reverse repurchase agreements are designated in the Statements of net assets. At September 30, 2000, Treasury Reserves had no reverse repurchase agreements outstanding. The average daily balance of reverse repurchase agreements outstanding for Treasury Reserves during the six months ended September 30, 2000 was $1,222,858,394. Cash Reserves and Government Reserves did not enter into any 60 65 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) reverse repurchase agreements during the six months ended September 30, 2000. 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 calculated ratably, is earned from settlement date and recorded on an accrual basis. Each Portfolio'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. Dividends and distributions to shareholders: It is the policy of each Portfolio to declare dividends from net investment income daily and to pay such dividends monthly. Each Portfolio will distribute net realized short-term capital gains annually after the fiscal year in which the capital gains were earned or more frequently to seek to maintain a net asset value of $1.00 per share, unless offset by any available capital loss carryforward. Income distributions and capital gain distributions on a Portfolio 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 Portfolio 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 Reserves are allocated to the Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Portfolio or class of shares are charged to such Portfolio or class. Cash flow information: Cash, as used in the Statement of cash flows, is the amount reported in the Statements of net assets and represents cash on hand at a Portfolio's custodian. Reserves issues and redeems shares, invests in securities, and distributes dividends from net investment income and net capital gains (which are either paid in cash or reinvested at the discretion of shareholders). These activities are reported in the Statements of changes in net assets. Information on cash payments is presented in the Statement of cash flows for Treasury Reserves. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Reserves 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 Portfolios. Under the terms of the Investment Advisory Agreement, BAAI is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.15% of each Portfolio's average daily net assets. Reserves 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 0.033% of each Portfolio's average daily net assets. Stephens Inc. ("Stephens") and BAAI serve as co-administrators of Reserves. 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 0.10% of each Portfolio's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Reserves pursuant to an agreement with BAAI. For the six months ended September 30, 2000, Stephens and BAAI earned 0.01% and 0.01%, respectively, of the Portfolio's average daily net assets for their co-administration services. BAAI and/or the sub-adviser and Stephens may, from time to time, reduce their fees payable by each Portfolio. Effective August 1, 2000, BAAI and/or the sub-adviser 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) exceed an annual rate of 0.20% of each Portfolio's average daily net assets. BNY serves as the custodian of Reserves' assets. For the six months ended September 30, 2000, expenses of certain Portfolios were reduced by $27,534 under expense offset arrangements with BNY. The 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 61 66 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) arrangements. Municipal Reserves and California Tax-Exempt Reserves do not participate in the expense offset arrangements. No officer, director or employee of Bank of America, BAAI or BACAP, or any affiliate thereof, receives any compensation from Reserves for serving as Trustee or Officer of Reserves. PFPC Inc. ("PFPC") serves as the transfer agent for the Portfolios' shares. Bank of America serves as the sub-transfer agent for the Capital and Trust Class Shares of the Portfolios. Stephens serves as distributor of the Portfolios' shares. Reserves 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 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 the 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. Certain other affiliated Nations Funds have made daily investments of cash balances in Cash Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. At September 30, 2000, approximately 0.03% of the net assets of the Cash Reserves was held by other affiliated Nations Funds. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Reserves has adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act for Liquidity Class Shares ("Liquidity Class Shares Plan"), Market Class Shares ("Market Class Shares Plan"), Daily Class Shares ("Daily Class Shares Plan"), Investor Class Shares ("Investor Class Shares Plan"), Investor B Shares ("Investor B Shares Plan"), Investor C Shares ("Investor C Shares Plan") and Service Class Shares ("Service Class Shares Plan") of the Portfolios. Under the Liquidity Class Shares Plan, Reserves may reimburse Stephens for actual expenses incurred by Stephens in connection with its distribution efforts up to 0.30% of the average daily net assets of the Liquidity Class Shares of the Portfolios. Under the Market Class Shares Plan, Reserves may compensate or reimburse Stephens for distribution activities or expenses up to 0.20% of the average daily net assets of the Market Class Shares of the Portfolios. Under the Daily Class Shares Plan, Reserves may reimburse Stephens for actual expenses incurred by Stephens in connection with its distribution efforts up to 0.35% of the average daily net assets of the Daily Class Shares of the Portfolios. Under the Investor Class Shares Plan, Reserves may reimburse Stephens for actual expenses incurred by Stephens in connection with its distribution efforts up to 0.10% of the average daily net assets of the Investor Class Shares of the Portfolios. Under the Investor B Shares Plan, Investor C Shares Plan and Service Class Shares Plan, Reserves may reimburse Stephens for actual expenses incurred by Stephens in connection with its distribution efforts up to 0.75% of the average daily net assets of the Service Class Shares, Investor B Shares, Investor C Shares of the Portfolios, respectively. Currently, Reserves is not reimbursing Stephens for distribution expenses for Liquidity Class Shares. Unreimbursed expenses incurred by Stephens in a given year may not be recovered by Stephens in subsequent years. In addition, the Liquidity Class Shares Plan permits Reserves to pay Stephens an annual fee of up to 0.30% of the average daily net assets of the Liquidity Class Shares of the Cash Reserves, Money Market Reserves, Government Reserves, Municipal Reserves and California Tax-Exempt Reserves and 0.35% of the average daily net assets of Treasury Reserves. Stephens may use this fee to compensate certain financial institutions, with which it has entered into servicing and/or distribution agreements, that provide administrative and/or distribution services to Liquidity Class shareholders. Currently, Reserves is not compensating Stephens for providing such services. Reserves also has adopted shareholder servicing plans ("Servicing Plans") for the Liquidity, Adviser, Market, Daily, Investor, Investor B, Investor C and Service Class Shares of the Portfolios. Under the Servicing Plans, a Portfolio may pay servicing agents that have entered into a shareholder servicing agreement with Reserves for certain shareholder support services that are provided by the servicing agents to holders of the classes' shares. Payments under the Servicing Plans will not exceed 0.25%, on an annualized basis, of the average daily net assets of the classes' shares and are charged as expenses of each Portfolio directly to the applicable class. Reserves also has adopted shareholder administration plans ("Administration Plans") for the Investor B, 62 67 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Investor C and Trust Class Shares of the Portfolios. Under the Administration Plans, a Portfolio may pay servicing agents that have entered into a shareholder servicing agreement with Reserves for certain shareholder support services that are provided by the servicing agents to holders of the classes' shares. Payments under the Administration Plans will not exceed 0.10%, on an annualized basis, of the average daily net assets of the classes' shares and are charged as expenses of each Portfolio directly to the applicable class. 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 ------------------------------------------------------- DISTRIBUTION PLAN: Liquidity Class: Treasury Reserves.................. 0.00% 0.65% Other Funds........................ 0.00% 0.60% Investor Class...................... 0.10% 0.10% Market Class........................ 0.20% 0.20% Daily Class......................... 0.35% 0.35% Service Class, Investor B and Investor C Shares................. 0.75% 0.75% SHAREHOLDER SERVICING PLAN: Liquidity Class..................... 0.15% 0.25% Adviser, Investor, Market, Daily, Service Class, Investor B and Investor C Shares................. 0.25% 0.25% SHAREHOLDER ADMINISTRATION PLAN: Trust Class, Investor B and Investor C Shares.......................... 0.10% 0.10%
A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BAAI. 4. SHARES OF BENEFICIAL INTEREST At September 30, 2000, an unlimited number of shares of beneficial interest without par value was authorized for Reserves. Reserves' Declaration of Trust authorizes the Board of Trustees to classify or reclassify any authorized, but unissued shares into one or more additional classes or series of shares. See Schedules of capital stock activity. 5. RESTRICTED SECURITIES Certain securities may be subject to legal restrictions and may be difficult to sell. No Portfolio will invest more than 10% of the value of its net assets in securities that are considered illiquid. The following securities are considered both illiquid and restricted as to resale. Accordingly, they are valued at their fair value under procedures adopted by the Board of Trustees. 63 68 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) CASH RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/00 PER UNIT 9/30/00 ASSETS 9/30/00 SECURITY DATE (000) 9/30/00 (000) 9/30/00 (000) ------------------------------------------------------------------------------------------------------------------------- Allstate Life Insurance Company 6.714%+ 10/01/00++....................... 11/01/99 $ 25,000 $1.00 $ 25,000 0.1% $ 25,000 6.714%+ 10/01/00++....................... 12/01/99 25,000 1.00 25,000 0.1 25,000 First Allmerica Financial Life Insurance Company: 6.960%+ 10/02/00++....................... 02/25/99 50,000 1.00 50,000 0.1 50,000 6.770%+ 11/15/00++....................... 05/14/98 50,000 1.00 50,000 0.1 50,000 6.780%+ 12/22/00++....................... 09/22/98 50,000 1.00 50,000 0.1 50,000 GE Life and Annuity Assurance Company: 6.599%+ 10/01/00++....................... 02/28/99 25,000 1.00 25,000 0.1 25,000 6.599%+ 10/01/00++....................... 09/01/00 50,000 1.00 50,000 0.1 50,000 Goldman Sachs Group, Inc.: 6.740% 10/10/00.......................... 07/11/00 250,000 1.00 250,000 0.6 250,000 6.990% 12/11/00.......................... 06/13/00 400,000 1.00 400,000 0.9 400,000 6.840% 02/15/01.......................... 08/16/00 200,000 1.00 200,000 0.5 200,000 6.800% 02/27/01.......................... 09/01/00 150,000 1.00 150,000 0.4 150,000 6.830% 06/04/01.......................... 09/07/00 150,000 1.00 150,000 0.4 150,000 Jackson National Life Insurance Company: 6.750%+ 10/02/00++....................... 06/14/96 50,000 1.00 50,000 0.1 50,000 6.880%+ 10/02/00++....................... 12/27/99 50,000 1.00 50,000 0.1 50,000 New York Life Insurance Company: 6.899%+ 11/15/00......................... 11/15/99 150,000 1.00 150,000 0.4 150,000 Security Life of Denver Insurance Company: 6.879%+ 10/26/00++....................... 07/26/00 60,000 1.00 60,000 0.1 60,000 Transamerica Occidental Life Insurance Company: 6.870%+ 10/02/00++....................... 07/31/00 117,000 1.00 117,000 0.3 117,000 6.880%+ 10/02/00++....................... 07/31/00 125,000 1.00 125,000 0.3 125,000 6.840%+ 11/01/00++....................... 07/31/00 20,000 1.00 20,000 0.0* 20,000
--------------- * Amount represents less than 0.1%. + Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2000. ++ Reset date. MONEY MARKET RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/00 PER UNIT 9/30/00 ASSETS 9/30/00 SECURITY DATE (000) 9/30/00 (000) 9/30/00 (000) ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc.: 6.840% 02/15/01.......................... 08/16/00 $ 25,000 $1.00 $ 25,000 0.4% $ 25,000 6.800% 02/27/01.......................... 09/01/00 25,000 1.00 25,000 0.4 25,000 6.830% 06/04/01.......................... 09/07/00 75,000 1.00 75,000 1.1 75,000
64 69 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) MUNICIPAL RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/00 PER UNIT 9/30/00 ASSETS 9/30/00 SECURITY DATE (000) 9/30/00 (000) 9/30/00 (000) ------------------------------------------------------------------------------------------------------------------------- Bristol, Tennessee Health and Education Facilities Revenue, Series 1995A, (FGIC Insured, Citibank SBPA), 5.650%+ 02/28/14......................... 05/18/98 $ 8,500 $1.00 $ 8,500 0.6% $ 8,500 Intermountain Power Agency Municipal Trust Receipts Power Supply Revenue, Series 1996CMC-4, (FSA Insured, Chase Manhattan SBPA), 5.650%+ 07/01/03......................... 05/18/98 9,900 1.00 9,900 0.7 9,900 Memphis, Tennessee Center City Revenue Finance Corporation Multi-Family Housing Revenue, (Riverset Apartments Project) Series 1998PT-1019, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.820%+ 10/01/19......................... 02/02/00 7,420 1.00 7,420 0.5 7,420 New York State Dormitory Authority Revenue, Series 1998PT-1066, (AMBAC Insured, Merrill Lynch SBPA), 4.550%+ 07/01/23......................... 04/18/00 38,990 1.00 38,990 2.7 38,990 Palm Beach County, Florida Multi-Family Housing Finance Authority, Revenue, (Clear Lake Colony Apartments Project) Series 2000PA-1240, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770%+ 09/15/02......................... 09/01/00 8,160 1.00 8,160 0.6 8,160 South Carolina Jobs Economic Development Authority Revenue, (St Francis Hospital -- Bon Secours Project) Series 1999PT-328, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770%+ 01/01/01......................... 02/03/00 30,000 1.00 30,000 2.1 30,000 Virginia Beach, Virginia Development Authority Multi-Family Housing Revenue, (Briarwood Apartments Project) Series 1999PT-1146, (Merrill Lynch Guarantee, Merrill Lynch SBPA), 5.770%+ 04/01/23......................... 10/15/99 13,080 1.00 13,080 0.9 13,080
--------------- + Variable rate demand note. The interest rate shown reflects the rate in effect at September 30, 2000. CALIFORNIA TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/00 PER UNIT 9/30/00 ASSETS 9/30/00 SECURITY DATE (000) 9/30/00 (000) 9/30/00 (000) ------------------------------------------------------------------------------------------------------------------------- California GO, 4.820%+ 04/01/04......................... 07/17/00 $ 15,100 $1.00 $ 15,100 0.8% $ 15,100
--------------- + Variable rate demand note. The interest rate shown reflects the rate in effect at September 30, 2000. 65 70 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. LINES OF CREDIT Reserves 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 Portfolio maintains a ratio of no less than 4 to 1 net assets (not including amounts borrowed pursuant to the Agreement) to aggregate amount of indebtedness pursuant to the Agreement. For the six months ended September 30, 2000, borrowings by the Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST PORTFOLIO (000) RATE --------------------------------------------------------- Cash Reserves.................... $1,007 6.81% Money Market Reserves............ 422 6.94 Treasury Reserves................ 74 6.98
The average amount outstanding was calculated based on daily balances during the period. Reserves 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 Portfolio pays its pro rata share. This fee is paid quarterly in arrears. Each participating 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 Portfolios under the committed line of credit. 7. CAPITAL LOSS CARRYFORWARD At March 31, 2000, the Portfolios had available for federal income tax purposes the following unused capital losses expiring March 31:
2001 2002 2003 2004 2005 2006 2007 2008 (000) (000) (000) (000) (000) (000) (000) (000) -------------------------------------------------------------- Cash Reserves............................................... -- $2,581 -- -- -- -- $17 -- Treasury Reserves........................................... $11 9 $ 3 $39 $54 $26 2 -- Government Reserves......................................... -- 607 -- -- -- 20 36 -- Municipal Reserves.......................................... 66 19 38 31 15 18 1 -- California Tax-Exempt Reserves.............................. -- -- 4 -- 52 --* -- $87
--------------- * Amount represents less than $500. At March 31, 2000, the following Portfolios utilized capital losses during the period as follows:
CAPITAL LOSSES UTILIZED PORTFOLIO (000) --------------------------------------------------------- Cash Reserves......................... $ 2 Money Market Reserves................. 13 Treasury Reserves..................... 2 Municipal Reserves.................... 5
Under 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 fiscal year ended March 31, 2000, the following Portfolios elected to defer losses occurring between November 1, 1999 and March 31, 2000, under these rules:
POST-OCTOBER CAPITAL LOSSES DEFERRED PORTFOLIO (000) --------------------------------------------------------- Cash Reserves......................... $3 Government Reserves................... 4
66 71 NATIONS RESERVES MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. REORGANIZATIONS ACQUISITION OF THE PACIFIC HORIZON FUNDS On May 14, 1999, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets and liabilities of the Pacific Horizon Funds, also listed below (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by each Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ASSETS OF TOTAL NET ASSETS OF TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND ACQUIRING FUND AFTER ACQUISITION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) ---------------------------------------------------------------------------------------------------------------------- Cash Reserves Pacific Horizon Prime Fund $13,963,107 $9,973,934 $23,937,041 Treasury Reserves Pacific Horizon Treasury Fund 3,144,071 2,533,049 5,677,120 Government Reserves Pacific Horizon Government Fund 471,810 759,789 1,231,599 Government Reserves Pacific Horizon Treasury Only Fund 423,864 759,789 1,183,653 Municipal Reserves Horizon Tax Exempt Fund 754,048 380,361 1,134,409
On May 21, 1999, California Tax-Exempt Reserves, a newly established portfolio, acquired the assets and liabilities of the Pacific Horizon California Tax-Exempt Money Market Fund pursuant to a plan of reorganization approved by its shareholders. The acquisition was accomplished by a tax-free exchange of shares of California Tax-Exempt Reserves in an amount equal to the outstanding shares of the Pacific Horizon California Tax-Exempt Money Market Fund. The financial statements of the California Tax-Exempt Reserves reflect the historical financial results of the Pacific Horizon California Tax-Exempt Money Market Fund prior to the reorganization.
PACIFIC HORIZON FUND SHARE CLASS CORRESPONDING RESERVES SHARE CLASS -------------------------------------------------------------------------- California Tax-Exempt Money Market Nations California Tax-Exempt Reserves Horizon Service Shares Adviser Class Shares Pacific Horizon Shares Investor Class Shares S Shares Daily Class Shares X Shares Daily Class Shares
67 72 (This page intentionally left blank) 73 (This page intentionally left blank) 74 P.O. Box 34602 Charlotte, NC 28254-4602 Toll free 1.800.626.2275 (Institutional Investors) Toll free 1.800.321.7854 (Individual Investors) NATIONS FUNDS RESERVESSAR (9/00)