-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Pjtpn3B4EGF2z34BKEPSvaayT6wP4D+AI39GAHNjEWa59klz55N8Irec53qXqiuL CZU0GXlq+nqSj+eEiViiuw== 0000950168-99-001626.txt : 19990524 0000950168-99-001626.hdr.sgml : 19990524 ACCESSION NUMBER: 0000950168-99-001626 CONFORMED SUBMISSION TYPE: N-14 PUBLIC DOCUMENT COUNT: 5 FILED AS OF DATE: 19990520 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS INSTITUTIONAL RESERVES CENTRAL INDEX KEY: 0000859750 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-14 SEC ACT: SEC FILE NUMBER: 333-78977 FILM NUMBER: 99631542 BUSINESS ADDRESS: STREET 1: ONE NATIONSBANK PLZ CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: ONE NATIONSBANK PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: CAPITOL MUTUAL FUNDS DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: SEI CAPITOL FUNDS DATE OF NAME CHANGE: 19900318 N-14 1 NATIONS INSTITUTIONAL RESERVES As filed with the Securities and Exchange Commission on May 20, 1999 Registration No. 333-________ ================================================================================ SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 --------------------------------- FORM N-14 REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 |X| Pre-Effective Amendment No. ___ |_| Post-Effective Amendment No. ___ |_| REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1940 |_| Amendment No. ___ |_| (Check appropriate box or boxes) ------------------------ THE CAPITOL MUTUAL FUNDS (Exact Name of Registrant as specified in Charter) 111 Center Street Little Rock, Arkansas 72201 (Address of Principal Executive Offices, including Zip Code) -------------------------- Registrant's Telephone Number, including Area Code: (800) 626-2275 Richard H. Blank, Jr. c/o Stephens Inc. 111 Center Street Little Rock, Arkansas 72201 (Name and Address of Agent for Service) With copies to: Robert M. Kurucza, Esq. Cathy G. O'Kelly Marco E. Adelfio, Esq. Vedder, Price, Kaufman & Kammholz Morrison & Foerster LLP 222 North LaSalle Street 2000 Pennsylvania Ave., N.W. Chicago, IL 60601 Suite 5500 Washington, D.C. 20006 It is proposed that this filing will become effective on June 19, 1999 pursuant to Rule 488. No filing fee is required under the Securities Act of 1933 because an indefinite number of shares of beneficial interest in the Registrant, without par value, has previously been registered pursuant to Rule 24f-2 under the Investment Company Act of 1940, as amended. The Registrant filed on July 10, 1998, the notice required by Rule 24f-2 for its fiscal year ended April 30, 1998 (File No. 33-33144; 811-6030). NATIONS INSTITUTIONAL RESERVES CROSS-REFERENCE SHEET
PART A - ------ ITEM NO. ITEM CAPTION PROSPECTUS CAPTION - -------- ------------ ------------------ 1 Beginning of Registration COVER PAGE OF REGISTRATION Statement and Outside Front STATEMENT; CROSS-REFERENCE Cover Page of Prospectus SHEET; FRONT COVER PAGE OF PROXY STATEMENT/PROSPECTUS 2 Beginning and Outside Back Cover TABLE OF CONTENTS Page of Prospectus 3 Fee Table, Synopsis Information, APPENDIX II -- EXPENSE SUMMARIES OF THE FUNDS; and Risk Factors SUMMARY -- THE PROPOSED REORGANIZATION; OVERVIEW OF THE FUNDS; FEDERAL INCOME TAX CONSEQUENCES; TIME HORIZON AND NATIONS BOARD CONSIDERATION; PRINCIPAL RISK FACTORS; VOTING INFORMATION; THE REORGANIZATION-- REASONS FOR THE REORGANIZATION; DESCRIPTION OF THE REORGANIZATION AGREEMENT; TIME HORIZON BOARD CONSIDERATION; CAPITALIZATION; FEDERAL INCOME TAX CONSIDERATIONS; OTHER MATTERS 4 Information About the COMPARISON OF TIME HORIZON AND NATIONS -- INVESTMENT Transaction OBJECTIVES AND POLICIES; MANAGEMENT'S DISCUSSION OF ASSET ALLOCATION FUND PERFORMANCE; INVESTMENT ADVISORY SERVICES; OTHER SERVICE PROVIDERS FOR TIME HORIZON AND NATIONS; SALES LOAD, DISTRIBUTION AND SHAREHOLDER SERVICING ARRANGEMENTS FOR THE TIME HORIZON FUNDS; SALES LOAD, DISTRIBUTION AND SHAREHOLDER SERVICING ARRANGEMENTS FOR THE ASSET ALLOCATION FUND; ADMINISTRATION AGREEMENTS; SHAREHOLDER TRANSACTIONS AND SERVICES; FEES AND EXPENSES; SHARE STRUCTURE 5 Information About the ADDITIONAL INFORMATION ABOUT NATIONS Registrant 6 Information About the ADDITIONAL INFORMATION ABOUT TIME HORIZON Company Being Acquired 7 Voting Information VOTING MATTERS -- GENERAL INFORMATION; SHAREHOLDER BOARD APPROVALS; PRINCIPAL SHAREHOLDERS; QUORUM; AND ANNUAL MEETINGS AND SHAREHOLDER MEETINGS 8 Interest of Certain Persons NOT APPLICABLE and Experts 9 Additional Information NOT APPLICABLE Required for Reoffering by Persons Deemed to be Underwriters PART B - ------ STATEMENT OF ADDITIONAL ITEM NO. ITEM CAPTION INFORMATION CAPTION - -------- ------------ ------------------- 10 Cover Page COVER PAGE 11 Table of Contents TABLE OF CONTENTS 12 Additional Information About INCORPORATION OF DOCUMENTS BY REFERENCE IN STATEMENT the Registrant OF ADDITIONAL INFORMATION 13 Additional Information About NOT APPLICABLE the Company Being Acquired 14 Financial Statements EXHIBITS TO STATEMENT OF ADDITIONAL INFORMATION PART C - ------ ITEM NO. - ------- 15-17 Information required to be included in Part C is set forth under the appropriate Item, so numbered, in Part C of this Registration Statement.
THE FOLLOWING ITEMS ARE HEREBY INCORPORATED BY REFERENCE INTO VARIOUS PARTS OF THIS REGISTRATION STATEMENT: NATIONS INSTITUTIONAL RESERVES ("RESERVES") From Post-Effective Amendment No. 24 of Reserves' Registration Statement, filed February 17, 1999 (SEC File Nos. 33-33144; 811-6030): Prospectuses for the Investor A Shares, Investor B Shares, and Investor C Shares of the Nations Asset Allocation Fund, dated May 21, 1999, as supplemented. Statement of Additional Information for Nations Asset Allocation Fund, dated September 1, 1998, as supplemented on May 21, 1999. The audited financial statements and related independent accountants' reports for Asset Allocation Fund, contained in the Annual Report of its predecessor--Pacific Horizon Asset Allocation Fund-- for the fiscal year ended February 28, 1999. TIME HORIZON FUNDS ("TIME HORIZON") From Post-Effective Amendment No. 6 of Time Horizon's Registration Statement, filed on September 2, 1998 (SEC File Nos. 33-91448; 811-9024): Prospectuses for the A Shares, B Shares, and K Shares of the Time Horizon Funds, dated November 1, 1998, as supplemented. Statement of Additional Information for the Time Horizon Funds, dated November 1, 1998. The audited financial statements and related independent accountants' reports for the Time Horizon Funds, contained in the Annual Report for the fiscal year ended June 30, 1998. TIME HORIZON FUNDS Time Horizon Portfolio 1 Time Horizon Portfolio 2 Time Horizon Portfolio 3 400 Bellevue Parkway Wilmington, Delaware 19809 June 20, 1999 Dear Shareholder: On behalf of the Board of Trustees of Time Horizon Funds ("Time Horizon"), we are pleased to invite you to a special meeting of shareholders of the asset allocation portfolios of Time Horizon named above (each a "Time Horizon Fund") to be held at 10:00 a.m. (Eastern time) on August 13, 1999, at 400 Bellevue Parkway, Wilmington, Delaware (the "Meeting"). At the Meeting, you will be asked to approve a proposed Agreement and Plan of Reorganization, dated as of June 1, 1999 (the "Reorganization Agreement"), by and between Time Horizon and Nations Institutional Reserves ("Nations"), which contemplates the reorganization of your Time Horizon Fund into the Nations Asset Allocation Fund (the "Asset Allocation Fund"). BACKGROUND. As you may recall, BankAmerica Corporation merged last year with NationsBank Corporation to form the new BankAmerica Corporation ("BankAmerica"). As a result of the merger, both Bank of America National Trust and Savings Association ("Bank of America"), the investment adviser to the Time Horizon Funds, and NationsBanc Advisors, Inc. ("NBAI"), the investment adviser to Nations, are indirect, wholly owned subsidiaries of BankAmerica. Bank of America has decided to consolidate its mutual fund investment advisory operations with those of NBAI. At the upcoming Meeting, you will be asked to approve the reorganization of your Time Horizon Fund into the Asset Allocation Fund (the "Reorganization"). If all approvals are obtained, it is anticipated that the Time Horizon Funds will be reorganized into the Asset Allocation Fund on or about August 20, 1999, when your Time Horizon Fund shares will be exchanged for shares of the Asset Allocation Fund of equal value. TIME HORIZON'S BOARD OF TRUSTEES UNANIMOUSLY RECOMMENDS THAT YOU VOTE TO APPROVE THE PROPOSED REORGANIZATION. In considering these matters, you should note: o SIMILAR OBJECTIVES AND POLICIES The Time Horizon Funds are proposed to be reorganized into the Asset Allocation Fund--a mutual fund that has investment policies and objectives that are, in general, similar to those of each Time Horizon Fund. However, unlike the Time Horizon Funds, the Asset Allocation Fund does not allocate assets based upon a target time horizon and, therefore, does not increasingly emphasize capital preservation as such target date approaches. o SIMILAR ACCESS AND SERVICE ARRANGEMENTS Following the Reorganization, as an Asset Allocation Fund shareholder you will enjoy similar distribution, transaction and shareholder servicing arrangements as you currently have. In addition, the new BankAmerica has one of the most comprehensive distribution networks of any banking organization in the country. o SAME VALUE OF SHARES The total dollar value of the Asset Allocation Fund shares you receive in the Reorganization will be the same as the total dollar value of the Time Horizon Fund shares that you held immediately before the Reorganization. THE EXCHANGE OF TIME HORIZON FUND SHARES FOR ASSET ALLOCATION FUND SHARES WILL BE TAX-FREE UNDER FEDERAL LAW, AND NO FRONT-END OR CONTINGENT DEFERRED SALES LOADS WILL BE CHARGED AS A RESULT OF THE EXCHANGE. o THE PROPOSED REORGANIZATION IS EXPECTED TO BENEFIT TIME HORIZON FUND SHAREHOLDERS BY: o Offering actual or potential reductions in total operating expense ratios for shareholders; and o Offering shareholders the opportunity to become part of a larger and more diverse family of more than seventy mutual funds, including a line of fund-of-funds. You will be able to exchange your shares among many of those funds. This exchange feature will allow any Time Horizon Fund investor to, in effect, allocate his or her shares received as a result of the Reorganization among additional mutual funds in the Nations Funds family--some of which are conservative (with lower potential return) and some of which present greater risks (with higher potential return). The formal Notice of Special Meeting, a Combined Proxy Statement/Prospectus and a Proxy Ballot are enclosed. If you own shares in more than one of the Time Horizon Funds named above, more than one Proxy Ballot accompanies these materials. Please be sure to vote and return each Proxy Ballot. Whether or not you plan to attend the Special Meeting, you may vote by proxy in any of the following ways: 1. Mark, sign, date and return the enclosed Proxy Ballot(s) in the enclosed postage-paid envelope; 2. Mark, sign, date and fax the enclosed Proxy Ballot(s) to ADP Proxy Services at (704) 388-2641; or 3. Follow the instructions below to vote on-line or by telephone. Please return your Proxy Ballot(s), fax it to us or follow the instructions below to vote on-line or by telephone, so that your vote will be counted. YOUR VOTE IS IMPORTANT TO US REGARDLESS OF THE NUMBER OF SHARES THAT YOU OWN. PLEASE VOTE BY RETURNING YOUR PROXY BALLOT(S) TODAY, EITHER IN THE ENCLOSED POSTAGE-PAID ENVELOPE OR BY TELEFACSIMILE AT (704) 388-2641. YOU MAY ALSO VOTE YOUR PROXY BY A TOLL-FREE PHONE CALL OR BY VOTING ON-LINE, AS INDICATED ON THE ATTACHED INSERT. The proposed Reorganization and the reasons for the Time Horizon Board's unanimous recommendation are discussed in detail in the enclosed materials, which you should read carefully. If you have any questions about the Reorganization, please do not hesitate to contact Time Horizon toll free at 1-800-653-9427. We look forward to your attendance at the Meeting or receiving your Proxy Ballot(s) or your on-line or telephone instructions so that your shares may be voted at the Meeting. Sincerely, Dr. Cornelius J. Pings President 2 - -------------------------------------------------------------------------------- TWO QUICK AND EASY WAYS TO VOTE YOUR PROXY TIME HORIZON FUNDS As a valued Time Horizon Funds shareholder, your proxy vote is important to us. That's why we've made it faster and easier to vote your proxy at YOUR convenience, 24 hours a day. After reviewing the enclosed PROXY STATEMENT/PROSPECTUS ("PROXY STATEMENT"), which outlines important issues affecting your funds, select one of the following quick and easy methods to register your vote - ACCURATELY and QUICKLY. VOTE ON-LINE 1. Read the enclosed PROXY STATEMENT and have your PROXY BALLOT(S)* at hand. 2. Go to Web site WWW.PROXYVOTE.COM 3. Enter the 12-digit Control Number found on your found on your PROXY BALLOT(S). 4. Cast your vote using the easy-to-follow instructions. VOTE BY TOLL-FREE PHONE CALL 1. Read the enclosed PROXY STATEMENT and have your PROXY BALLOT(S)* at hand. 2. Call toll-free 1-800-690-6903. 3. Enter the 12-digit Control Number PROXY BALLOT(S). 4. Cast your vote using the easy-to-follow instructions. * DO NOT MAIL THE PROXY BALLOT(S) IF VOTING BY INTERNET OR TELEPHONE. - -------------------------------------------------------------------------------- 3 NATIONS INSTITUTIONAL RESERVES June 20, 1999 QUESTIONS & ANSWERS FOR SHAREHOLDERS OF TIME HORIZON FUNDS ("TIME HORIZON"): The following questions and answers provide an overview of the proposal to reorganize your investment portfolio of Time Horizon (each, a "Time Horizon Fund" and collectively, the "Time Horizon Funds") into the Nations Asset Allocation Fund ("Asset Allocation Fund"). We also encourage you to read the full text of the combined proxy statement/prospectus (the "Proxy/Prospectus") that follows. - -------------------------------------------------------------------------------- Q: WHAT ARE TIME HORIZON FUND SHAREHOLDERS BEING ASKED TO VOTE UPON? A: Time Horizon Fund shareholders are being asked to consider and approve a proposal to reorganize the Time Horizon Funds into the Asset Allocation Fund. Q: WHY HAS THE REORGANIZATION OF THE TIME HORIZON FUNDS INTO THE ASSET ALLOCATION FUND BEEN RECOMMENDED? A: The Board of Trustees of Time Horizon and of Nations Institutional Reserves ("Nations") have each determined that the consolidation of the Time Horizon Funds into the Asset Allocation Fund is in the best interests of their respective shareholders. Among the benefits for Time Horizon Fund shareholders considered by the Time Horizon Board were access to a broader array of mutual funds and actual or potential reductions in total operating expense ratios for shareholders. A more detailed discussion of the factors considered by Time Horizon's Board in approving the reorganization is included in the Proxy/Prospectus. Q: WHAT IS THE ANTICIPATED TIMING OF THE REORGANIZATION? A: The meeting of shareholders to consider the proposal is scheduled to occur on August 13, 1999. If all necessary approvals are obtained, the proposed reorganization will likely take place on August 20, 1999. Q: WHO WILL RECEIVE THE PROXY/PROSPECTUS MATERIALS? A: The Proxy/Prospectus has been mailed to all Time Horizon Fund shareholders that held shares of record on May 21, 1999. Please note that in some cases record ownership of and/or voting authority over Time Horizon Fund shares may reside with a fiduciary or other agent. In these cases, the fiduciary or other agent may receive the combined Proxy/Prospectus. Q: HOW WILL THE TIME HORIZON FUNDS BE REORGANIZED? A: The proposed plan of reorganization, approved by the Time Horizon Board of Trustees, contemplates the reorganization of each Time Horizon Fund into the Asset Allocation Fund. The Asset Allocation Fund is a single fund that has similar investment objectives and policies as the Time Horizon Funds. However, unlike the Time Horizon Funds, the Asset Allocation Fund does not allocate assets based upon a target time horizon. Based on its time horizon, the Time Horizon Portfolio 1 currently represents a somewhat more conservative investment than the Asset Allocation Fund and allocates more of its assets to investments in fixed income securities and cash equivalents. Based on its time horizon, the Time Horizon Portfolio 2 currently represents a similar investment to the Asset Allocation Fund and allocates its assets equally to fixed-income securities and equity securities. Based on its time horizon, the Time Horizon Portfolio 3 currently represents a somewhat less conservative investment than the Asset Allocation Fund and allocates more of its assets to equity securities. As their target horizons move closer, the Time Horizon Funds adjust their portfolios toward more conservative investments. In contrast, under normal market conditions, the Asset Allocation Fund maintains a fairly consistent asset mix. 4 Q: WHAT CAN I DO IF THE ASSET ALLOCATION FUND'S ALLOCATION MIX DOES NOT FIT MY RISK PROFILE? A: The current allocation mixes of Time Horizon Portfolio 1 and Time Horizon Portfolio 3 materially differ from that of the Asset Allocation Fund, although the current asset allocation mix of the Time Horizon Portfolio 2 is substantially similar to that of the Asset Allocation Fund. The Asset Allocation Fund has historically allocated approximately 60% of its assets to investments in equity securities and 40% of its assets to fixed income securities and cash equivalents. It is expected that, under normal market conditions, this approximate allocation mix will continue. Assuming that the Reorganization is consummated, shareholders of Time Horizon Portfolio 1 who desire a less risky, more conservative investment than that presented by the Asset Allocation Fund may want to consider exchanging some or all of their Asset Allocation Fund shares for shares of a Nations money market fund or Nations fixed income fund. Similarly, shareholders of Time Horizon Portfolio 3 who desire a more aggressive, less conservative investment (with potentially greater return) than that presented by the Asset Allocation Fund may want to consider exchanging some or all of their shares for shares of a Nations equity fund. In addition, the Nations Funds Family includes three "funds-of-funds" - the Nations LifeGoal Funds - which offer three distinct asset allocation investment alternatives. The LifeGoal Funds are also available to you as an exchange option for your Nations Asset Allocation Fund shares. Such exchanges, although exempt from any new front-end or contingent deferred sales charge, may result in gains that are subject to federal income taxes depending upon a shareholder's particular circumstances. Please refer to Table I of the accompanying Proxy/Prospectus for information regarding the specific classes of shares of the Time Horizon Funds and the Asset Allocation Fund involved in the Reorganization. Q: WHAT ARE THE COSTS AND FEDERAL TAX IMPLICATIONS TO SHAREHOLDERS IN CONNECTION WITH THE PROPOSED REORGANIZATION? A: The customary costs of the reorganization will not be borne by Time Horizon Fund shareholders. Also, no sales charge will be imposed on the shares of the Asset Allocation Fund issued to you in the reorganization, which means that the aggregate value of the Asset Allocation Fund shares issued to you will be equal to the aggregate value of the Time Horizon Fund shares that you own immediately prior to the reorganization. In addition, the exchange of Time Horizon Funds shares for Asset Allocation Fund shares will be tax-free under federal law. Q: WHAT WILL HAPPEN TO TIME HORIZON FUND ACCOUNT FEATURES SUCH AS SYSTEMATIC INVESTMENT PLANS OR AUTOMATIC WITHDRAWAL PLANS? A: After the reorganization, Nations will generally continue to honor standing instructions regarding Time Horizon Fund accounts, such as systematic investment plans, automatic withdrawal plans or dividend reinvestment plans. However, those instructions will be subject to the requirements in place for the Asset Allocation Fund and shareholders will accordingly be notified of any differences that impact their accounts. Please refer to Appendix IV of the Proxy/Prospectus for a detailed comparison of Time Horizon Funds/Asset Allocation Fund shareholder services. Q: WILL MY TOTAL OPERATING EXPENSE RATIO BE GOING UP OR DOWN AFTER THE REORGANIZATION? A: Certain Time Horizon Fund service providers currently waive fees and/or reimburse expenses. For example, Bank of America currently waives most of the fees that it is entitled to receive for providing investment advisory services to the Time Horizon Funds. This subsidization results in Bank of America and other service providers furnishing services to the Funds at a loss. The subsidization has benefited Time Horizon Fund shareholders in that they have enjoyed total operating expenses below the median ratios of other comparable mutual funds. Bank of America has informed Time Horizon that Bank of America would have reduced this subsidization as the Funds reached larger asset levels, such as the asset levels that will likely be attained by the Asset Allocation Fund after the Reorganization. NBAI has informed Time Horizon that for this reason, NBAI will not waive fees or reimburse expenses to the same extent as Bank of America has for the Time Horizon Funds. 5 Despite these waivers, shareholders of two of the three classes (A Shares and B Shares) of Time Horizon Funds are expected to experience the same total fund operating expense ratios after the Reorganization as they currently experience. K Shares of Time Horizon Funds will experience somewhat higher total operating expense ratios after the reorganization. Not taking into account voluntary fee waivers and/or expense reimbursements, the total operating expense ratios for all three classes of the Asset Allocation Fund are expected to be lower than each corresponding class of the Time Horizon Funds. In addition, all total operating expense ratios for the Asset Allocation Fund are within the range of total operating expense ratios of comparable funds. Moreover, NBAI has undertaken to waive fees and/or reimburse expenses as needed to ensure that, for at least one year after the Reorganization, the Nations Funds' total operating expense ratios will not exceed the PRO FORMA after waiver expense ratios shown in the Proxy/Prospectus, absent a determination by the Board of Nations Institutional Reserves that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense levels. There can be no assurance that such expense ratios will continue after this commitment expires. 6 TIME HORIZON FUNDS Time Horizon Portfolio 1 Time Horizon Portfolio 2 Time Horizon Portfolio 3 400 Bellevue Parkway Wilmington, Delaware 19809 NOTICE OF SPECIAL MEETING OF SHAREHOLDERS TO BE HELD ON AUGUST 13, 1999 To Time Horizon Fund Shareholders: PLEASE TAKE NOTE THAT a special meeting of shareholders (the "Meeting") of the three investment portfolios of Time Horizon Funds named above (each a "Time Horizon Fund" and collectively, the "Time Horizon Funds"), will be held at 10:00 a.m., Eastern time, on August 13, 1999, at 400 Bellevue Parkway, Wilmington, Delaware, for purpose of considering and voting upon: ITEM 1. A proposal to approve an Agreement and Plan of Reorganization, which provides for and contemplates: (a) the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund (the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value, (b) the distribution of the shares of the designated classes of the Asset Allocation Fund to shareholders of each Time Horizon Fund; and (c) the dissolution and liquidation of the Time Horizon Funds. ITEM 2. Such other business as may properly come before the Meeting or any adjournment(s). Item 1 is described in the attached Combined Proxy Statement/Prospectus. YOUR TRUSTEES UNANIMOUSLY RECOMMEND THAT YOU VOTE IN FAVOR OF THE PROPOSAL. Shareholders of record as of the close of business on May 21, 1999 are entitled to notice of, and to vote at, the Meeting or any adjournment(s) thereof. SHAREHOLDERS ARE REQUESTED TO MARK, DATE, SIGN AND RETURN PROMPTLY IN THE ENCLOSED ENVELOPE EACH ACCOMPANYING PROXY BALLOT, WHICH IS BEING SOLICITED BY THE TIME HORIZON BOARD OF TRUSTEES. THIS IS IMPORTANT TO ENSURE A QUORUM AT THE MEETING. SHAREHOLDERS ALSO MAY RETURN PROXIES BY: 1) FACSIMILE AT (704) 388-2641; OR 2) TOUCHTONE VOTING BY DIALING (800) 690-6903; OR 3) VOTING ON-LINE AT WEBSITE WWW.PROXYVOTE.COM. PROXIES MAY BE REVOKED AT ANY TIME BEFORE THEY ARE EXERCISED BY SUBMITTING TO TIME HORIZON A WRITTEN NOTICE OF REVOCATION OR A SUBSEQUENTLY EXECUTED PROXY OR BY ATTENDING THE MEETING AND VOTING IN PERSON. By Order of the Board of Trustees, Cathy G. O'Kelly Secretary June 20, 1999 WE NEED YOUR PROXY VOTE IMMEDIATELY. A SHAREHOLDER MAY THINK HIS OR HER VOTE IS NOT IMPORTANT, BUT IT IS VITAL. BY LAW, THE SPECIAL MEETING WILL HAVE TO BE ADJOURNED WITHOUT CONDUCTING ANY BUSINESS IF LESS THAN A MAJORITY OF THE SHARES ELIGIBLE TO VOTE ARE REPRESENTED. IN THAT EVENT, TIME HORIZON WOULD CONTINUE TO SOLICIT VOTES IN AN ATTEMPT TO ACHIEVE A QUORUM. YOUR VOTE COULD BE CRITICAL IN ALLOWING TIME HORIZON TO HOLD THE MEETING AS SCHEDULED, SO PLEASE RETURN YOUR PROXY BALLOT(S) IMMEDIATELY OR VOTE ON-LINE OR BY TELEPHONE. 2 COMBINED PROXY STATEMENT/PROSPECTUS JUNE 20, 1999 TIME HORIZON FUNDS 400 BELLEVUE PARKWAY WILMINGTON, DELAWARE 19809 1-800-653-9427 NATIONS INSTITUTIONAL RESERVES ONE NATIONSBANK PLAZA, 33RD FLOOR CHARLOTTE, NORTH CAROLINA 28255 1-800-321-7854 The Board of Trustees of Time Horizon Funds ("Time Horizon") has called a Special Meeting of Shareholders (the "Meeting") at 10:00 a.m. (Eastern time) on August 13, 1999 at 400 Bellevue Parkway, Wilmington, Delaware. In connection with the Meeting, this combined proxy statement/prospectus ("Proxy/Prospectus") is being sent to shareholders of Time Horizon Portfolio 1, Time Horizon Portfolio 2 and Time Horizon Portfolio 3 (each a "Time Horizon Fund" and collectively, the "Time Horizon Funds"). At the Meeting, shareholders will be asked: o To approve a proposed Agreement and Plan of Reorganization, which provides for and contemplates: (a) the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund (the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value, (b) the distribution of the shares of the designated classes of the Asset Allocation Fund to shareholders of each Time Horizon Fund; and (c) the dissolution and liquidation of the Time Horizon Funds. The Reorganization Agreement, the form of which is attached as Appendix I, provides for the transfer of assets and liabilities of each Time Horizon Fund to the Asset Allocation Fund in exchange for shares ("Shares") of designated classes of the Asset Allocation Fund of equal value (the "Reorganization"). Time Horizon and Nations are both registered open-end management investment companies (mutual funds). As a result of the Reorganization, shareholders of the Time Horizon Funds will become shareholders of the Asset Allocation Fund (the Time Horizon Funds and the Asset Allocation Fund are sometimes referred to as "Funds"). Table I below shows each class of each Time Horizon Fund and the designated class of the Asset Allocation Fund: TABLE I TIME HORIZON FUND SHAREHOLDERS WOULD RECEIVE SHARES OF THE OWNING SHARES OF THE FOLLOWING FOLLOWING CLASSES OF THE ASSET CLASSES: ALLOCATION FUND: -------- ----------------- A shares Investor A shares B shares Investor B shares K shares Investor C shares If the Reorganization Agreement is approved by all Time Horizon Fund shareholders and the Reorganization is consummated, Time Horizon will transfer all of its assets and liabilities, de-register as a registered investment company and dissolve under Delaware law. If the Reorganization Agreement is approved only as to certain Time Horizon Funds, the Reorganization may be consummated for those Funds and the Board will consider what action would be appropriate for any remaining Funds. For more information about this aspect of the Reorganization, please see "Voting Matters." 1 This Proxy/Prospectus sets forth concisely the information that a Time Horizon Fund shareholder should know before voting, and should be retained for future reference. It is both Time Horizon's proxy statement for the Meeting and a prospectus for the Asset Allocation Fund. Additional information is set forth in the Statement of Additional Information relating to this Proxy/Prospectus and in the prospectus dated November 1, 1998, as supplemented, for the Time Horizon Funds, both of which are incorporated herein by reference. Each of these documents is on file with the Securities and Exchange Commission (the "SEC"), and is available without charge by calling or writing Time Horizon at the telephone number or address stated above. The information contained in the prospectuses for the designated share classes of the Asset Allocation Fund, dated May 3, 1999, also is incorporated by reference into this Proxy/Prospectus. In addition, a prospectus(es) for the designated share classes of the Asset Allocation Fund accompanies this Proxy/Prospectus. The Annual Report for the year ended February 28, 1999 for the Asset Allocation Fund is available without charge by calling or writing Nations at the telephone number or address stated above. Each of these documents is also available on the SEC's website at www.sec.gov. This Proxy/Prospectus is expected to be first sent to shareholders on or about June 21, 1999. NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR HAS ANY STATE SECURITIES COMMISSION APPROVED OR DISAPPROVED OF THE SECURITIES OFFERED HEREIN OR DETERMINED THE ACCURACY OR ADEQUACY OF THIS PROXY/PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE. SHARES OF THE TIME HORIZON FUNDS AND THE ASSET ALLOCATION FUND ARE NOT DEPOSITS OR OBLIGATIONS OF OR GUARANTEED OR ENDORSED BY BANK OF AMERICA NATIONAL TRUST AND SAVINGS ASSOCIATION, NATIONSBANK, N.A. OR ANY OF THEIR AFFILIATES OR ANY OTHER BANK. SUCH SHARES ARE NOT INSURED BY THE U.S. GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE BOARD OR ANY OTHER GOVERNMENT AGENCY. MUTUAL FUND SHARES INVOLVE CERTAIN INVESTMENT RISKS, INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE DISTRIBUTOR OF THE TIME HORIZON FUNDS IS PROVIDENT DISTRIBUTORS, INC. THE DISTRIBUTOR OF THE ASSET ALLOCATION FUND IS STEPHENS INC. 2 TABLE OF CONTENTS
FEE TABLES.............................................................................................X Table II.................................................................................X SUMMARY................................................................................................X Proposed Reorganization.......................................................................X Overview of the Funds.........................................................................X Federal Income Tax Consequences...............................................................X Time Horizon and Nations Board Consideration..................................................X Principal Risk Factors........................................................................X Voting Information............................................................................X THE REORGANIZATION.....................................................................................X Reasons for the Reorganization................................................................X Description of the Reorganization Agreement...................................................X Time Horizon Board Consideration..............................................................X Capitalization................................................................................X Table III................................................................................X Federal Income Tax Considerations.............................................................X Other Matters.................................................................................X COMPARISON OF TIME HORIZON AND NATIONS.................................................................X Investment Objectives and Policies............................................................X Management's Discussion of Asset Allocation Fund Performance..................................X Investment Advisory Services..................................................................X Table IV.................................................................................X Other Service Providers for Time Horizon and Nations..........................................X Sales Load, Distribution and Shareholder Servicing Arrangements for the Time Horizon Funds...............................................................X Sales Load, Distribution and Shareholder Servicing Arrangements for the Asset Allocation Fund............................................................X Administration Agreements.....................................................................X Shareholder Transactions and Services.........................................................X Fees and Expenses.............................................................................X Share Structure...............................................................................X VOTING MATTERS.........................................................................................X General Information...........................................................................X Shareholder and Board Approvals...............................................................X Principal Shareholders........................................................................X Table V(A)...............................................................................X Table V(B)...............................................................................X Quorum........................................................................................X Annual Meetings and Shareholder Meetings......................................................X ADDITIONAL INFORMATION ABOUT NATIONS...................................................................X ADDITIONAL INFORMATION ABOUT TIME HORIZON..............................................................X FINANCIAL STATEMENTS...................................................................................X OTHER BUSINESS.........................................................................................X SHAREHOLDER INQUIRIES..................................................................................X 3 APPENDICES I FORM OF REORGANIZATION AGREEMENT II EXPENSE SUMMARIES OF TIME HORIZON FUNDS AND CORRESPONDING ASSET ALLOCATION FUND III INVESTMENT OBJECTIVES, LIMITATIONS AND CERTAIN SIGNIFICANT INVESTMENT POLICIES OF THE TIME HORIZON FUNDS AND ASSET ALLOCATION FUND IV SHAREHOLDER TRANSACTIONS AND SERVICES OF THE TIME HORIZON FUNDS AND ASSET ALLOCATION FUND V MANAGEMENT'S DISCUSSION OF ASSET ALLOCATION FUND PERFORMANCE
4 FEE TABLES The following table shows, as of February 28, 1999 (i) the current annualized total expense ratio of the Time Horizon Funds before and after fee waivers and/or expense reimbursements, (ii) the PRO FORMA annualized total expense ratio of the Asset Allocation Fund, before and after fee waivers and/or expense reimbursements, that will be in place when Nations Asset Allocation Fund commences operation on May 24, 1999, and (iii) the PRO FORMA annualized total expense ratio of the Asset Allocation Fund, before and after waivers and expense reimbursements, based upon the fee arrangements and commitments that will be in place upon consummation of the Reorganization. This table shows that the PRO FORMA total operating expense ratios, before waivers and/or expense reimbursements, for the Asset Allocation Fund's classes of shares, both at the time it commences operations and at the time the Reorganization is consummated, are lower than those of the corresponding Time Horizon Funds' classes. Taking into account voluntary waivers and/or expense reimbursements, PRO FORMA total operating expense ratios for the Asset Allocation Fund's Investor A and Investor B Shares will be equal to those of the corresponding Time Horizon Funds' A Shares and B Shares. Such expense ratios for the Asset Allocation Fund's Investor C Shares will be higher than those of the corresponding Time Horizon Funds' K Shares. Detailed PRO FORMA expense information for each proposed reorganization is included in Appendix II.
TABLE II TOTAL EXPENSE INFORMATION - ------------------------------------------------------------------------------------------------------------------------------------ TIME HORIZON FUND TOTAL CORRESPONDING TOTAL COMBINED FUND/SHARE PRO FORMA SHARE CLASS OPERATING ASSET ALLOCATION OPERATING CLASS POST-REORGANIZATION TOTAL EXPENSES FUND/SHARE CLASS EXPENSES OPERATING BEFORE/AFTER BEFORE/AFTER EXPENSES WAIVERS WAIVERS BEFORE/AFTER WAIVERS - ------------------------------------------------------------------------------------------------------------------------------------ Time Horizon Portfolio 1 Nations Asset Allocation Fund Nations Asset Allocation Fund A Shares 1.66%/1.20% Investor A Shares 1.22%/1.20% Investor A Shares 1.22%/1.20% B Shares 2.41%/1.95% Investor B Shares 1.97%/1.95% Investor B Shares 1.97%/1.95% K Shares 2.16%/1.70% Investor C Shares 1.97%/1.95% Investor C Shares 1.97%/1.95% - ------------------------------------------------------------------------------------------------------------------------------------ Time Horizon Portfolio 2 Nations Asset Allocation Fund Nations Asset Allocation Fund A Shares 1.60%/1.20% Investor A Shares 1.22%/1.20% Investor A Shares 1.22%/1.20% B Shares 2.35%/1.95% Investor B Shares 1.97%/1.95% Investor B Shares 1.97%/1.95% K Shares 2.10%/1.70% Investor C Shares 1.97%/1.95% Investor C Shares 1.97%/1.95% - ------------------------------------------------------------------------------------------------------------------------------------ Time Horizon Portfolio 3 Nations Asset Allocation Fund Nations Asset Allocation Fund A Shares 1.60%/1.20% Investor A Shares 1.22%/1.20% Investor A Shares 1.22%/1.20% B Shares 2.35%/1.95% Investor B Shares 1.97%/1.95% Investor B Shares 1.97%/1.95% K Shares 2.10%/1.70% Investor C Shares 1.97%/1.95% Investor C Shares 1.97%/1.95% - ------------------------------------------------------------------------------------------------------------------------------------
SUMMARY The following is a summary of certain information relating to the proposed Reorganization. More complete information is contained elsewhere in this Proxy/Prospectus, the Prospectuses and Statements of Additional Information of Time Horizon and Nations, and the Appendices attached hereto. PROPOSED REORGANIZATION. The Reorganization Agreement provides for and contemplates: (1) the transfer of all of the assets and liabilities of each Time Horizon Fund to the Asset Allocation Fund in exchange for Shares of the designated classes of the Asset Allocation Fund of equal value; (2) the distribution of the Asset Allocation Fund Shares to the shareholders of the Time Horizon Funds in liquidation of the Time Horizon Funds; (3) the dissolution under state law and the de-registration under the 1940 Act, of Time Horizon. The Reorganization is subject to a number of conditions, including Time Horizon Fund shareholder approval. 5 The exchange of shares in the Reorganization will be tax-free under federal law and shareholders will not pay any sales charge as a result of the exchange of the shares in the Reorganization. As a result of the proposed Reorganization, a Time Horizon Fund shareholder will become a shareholder of the Asset Allocation Fund and will hold, immediately after the Reorganization, Asset Allocation Fund Shares having a total dollar value equal to the total dollar value of the shares of the Time Horizon Fund that the shareholder held immediately before the Reorganization. The Reorganization is expected to occur on or about August 20, 1999 or such later date as may be determined pursuant to the Reorganization Agreement. For more information about the Reorganization and the Reorganization Agreement, see "The Reorganization--Description of the Reorganization Agreement." OVERVIEW OF THE FUNDS.
Comparison of Investment Objectives and Policies INVESTMENT TIME HORIZON ASSET ALLOCATION MIX ASSET ALLOCATION MIX FUND INVESTMENT OBJECTIVE TARGET (AS OF 3/31/98) (AS OF 3/31/98)* - ------------------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 1 Seeks to provide long-term 2005 Equity: 15-45% Equity: 32% investors maximum total return Fixed Income and Cash Fixed Income: 67% over a stated investment time Equivalents: 55-85% Cash Equivalents: 1% period while also increasingly emphasizing capital preservation as each Fund approaches its target time horizon. - ------------------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 2 Seeks to provide long-term 2015 Equity: 30-70% Equity: 49% investors maximum total return Fixed Income and Cash Fixed Income: 49% over a stated investment time Equivalents: 30-70% Cash Equivalents: 2 period while also increasingly emphasizing capital preservation as each Fund approaches its target time horizon. - ------------------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 3 Seeks to provide long-term 2025 Equity: 40-100% Equity: 64% investors maximum total return Fixed Income and Cash Fixed Income: 34% over a stated investment time Equivalents: 0-60% Cash Equivalents: 2% period while also increasingly emphasizing capital preservation as each Fund approaches its target time horizon. - ------------------------------------------------------------------------------------------------------------------------- Asset Allocation Fund Seeks to obtain long-term No specific No specific range Equity: 59% growth from capital investment Fixed Income: 40% appreciation and dividend and horizon Cash Equivalents: interest income 0.7%
Asset Allocation Fund will commence its operations on May 24, 1999. The investment objectives, policies and restrictions of the Time Horizon Funds are, in general, similar to those of the Nations Asset Allocation Fund. Each of the Time Horizon Funds and the Asset Allocation Fund invest its assets across three asset classes: common stocks, fixed-income securities and money market instruments. There are, however, differences. For example, the Time Horizon Funds are investments with a specific investment horizon target date, while the Asset Allocation Fund - -------- * The stated percentages are for the Pacific Horizon Asset Allocation Fund, the predecessor portfolio to the Nations Asset Allocation Fund, whose investment objective, policies and accounting history are identical to those of the Asset Allocation Fund. [It is expected that these approximate percentages will also be in place at the time the Reorganization is consummated.] 6 does not contemplate a specific time horizon. Because each Time Horizon Fund has a specific investment time horizon, each Fund allocates its investments accordingly. That is to say, as an investment time horizon target approaches (e.g., 2005), the Fund will begin to allocate its securities more conservatively (i.e., a higher percentage of bonds and cash equivalents and a smaller percentage of common stocks. When an investment time horizon target is still many years away (e.g., 2025), the Fund allocates its securities less toward conservative securities and more toward riskier securities with a potential for higher return. Unlike the Time Horizon Funds, the Asset Allocation Fund, under normal market conditions, will maintain a relatively balanced approach, with approximately a 60%/40% allocation between equities and fixed income securities, respectively. This approach most closely resembles that currently maintained by Time Horizon Portfolio 2. For additional information, see "Comparison of Time Horizon and Nations--Investment Objectives and Policies" and Appendix III. o IMPORTANT INFORMATION FOR SHAREHOLDERS OF TIME HORIZON PORTFOLIOS 1 AND 3. The current allocation mixes of the Time Horizon Funds materially differs from that of the Asset Allocation Fund, although the asset allocation mix of the Time Horizon Portfolio 2 is substantially similar to that of the Asset Allocation Fund. The Asset Allocation Fund, including its predecessor portfolio, has historically allocated approximately 60% of its assets to investments in equity securities and 40% of its assets to fixed income securities and cash equivalents. It is expected that, under normal market conditions, this approximate allocation mix will continue. Assuming that the Reorganization is consummated, shareholders of Time Horizon Portfolio 1 who desire a less risky, more conservative investment than that presented by the Asset Allocation Fund may want to consider exchanging some or all of their Asset Allocation Fund shares for shares of a Nations money market fund or Nations fixed income fund. Similarly, shareholders of Time Horizon Portfolio 3 who desire a more aggressive, less conservative investment (with potentially greater return) than that presented by the Asset Allocation Fund may want to consider exchanging some or all of their shares for shares of a Nations equity fund. In addition, the Nations Funds Family includes three "funds-of-funds" - the Nations LifeGoal Funds - which offer three distinct asset allocation investment alternatives. The LifeGoal Funds are also available to you as an exchange option for your Nations Asset Allocation Fund shares. Such exchanges, although exempt from any new front-end or contingent deferred sales charge, may result in gains that are subject to federal income taxes depending upon a shareholder's particular circumstances. NBAI will serve as the investment adviser to the Asset Allocation Fund and TradeStreet Investment Associates, Inc. ("TradeStreet") and Chicago Equity Partners Corporation ("Chicago Equity") will serve as co-investment sub-advisers. Bank of America currently serves as the investment adviser to the Time Horizon Funds. NBAI, TradeStreet and Bank of America are all indirect, wholly owned subsidiaries of BankAmerica Corporation. The Asset Allocation Fund's contractual advisory fee will be higher than the corresponding Time Horizon Funds' contractual advisory fees, though advisory fees are only one type of fees and expenses paid by mutual funds. Total operating expense ratios (before waivers and/or expense reimbursements) are lower for all classes of the Asset Allocation Fund compared with corresponding classes of each Time Horizon Fund; total operating expense ratios (after waivers and/or expense reimbursements) are lower for the Investor A and B Shares of the Asset Allocation Fund and are higher for the Investor C Shares than the corresponding classes of each Time Horizon Fund. NBAI has agreed that it will commit to waive fees and/or reimburse expenses as needed to ensure that, for one year from the date of the Reorganization, the Asset Allocation Fund's total expense ratios will not exceed the PRO FORMA after waiver expense rations shown in Table II, absent a determination by the Nations Board that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense ratios. There can be no assurance that such expense ratios will continue after this commitment expires. For a more detailed summary of fees and expenses, see Appendix II. The Time Horizon Funds and Asset Allocation Fund have different administrators, distributors, transfer agents and other service providers. For a detailed description of the management of the Asset Allocation Fund, including NBAI, TradeStreet, Chicago Equity and other service providers to the Asset Allocation Fund, see the Asset Allocation Fund prospectus accompanying this Proxy/Prospectus. The redemption, dividend and other policies and procedures of the Time Horizon Funds and the Asset Allocation Fund are generally similar. There are, however, some differences, such as with respect to categories of shareholders eligible for sales charge waivers. In addition, the purchase of fund shares differs in that the Time Horizon Funds currently impose no sales charge on the purchase of their shares while the Asset Allocation Fund does. However, the Board of Trustees of Time Horizon has authorized a sales charge on the purchase of its shares, although no such charge has yet been implemented. See "Comparison of Time Horizon and Nations -- Shareholder Transactions and Services" and "Comparison of Time Horizon and Nations -- Share Structure" and Appendix IV to this Proxy/Prospectus. PLEASE NOTE THAT NO CONTINGENT DEFERRED SALES LOADS WILL BE IMPOSED ON THE TIME HORIZON FUNDS SHARES AS A RESULT OF THE EXCHANGE OF SUCH SHARES IN THE REORGANIZATION. IN ADDITION, NO FRONT END SALES LOADS WILL BE IMPOSED ON ASSET ALLOCATION SHARES ISSUED IN THE REORGANIZATION. 7 FEDERAL INCOME TAX CONSEQUENCES. The exchange of shares in the Reorganization is not expected to result in the recognition, for federal income tax purposes, of gain or loss by the Time Horizon Funds, the Asset Allocation Fund or their respective shareholders. The sale of securities by the Time Horizon Funds prior to the Reorganization, whether in the ordinary course of business or in anticipation of the Reorganization, could result in a taxable capital gains distribution prior to the Reorganization. See "The Reorganization--Federal Income Tax Considerations" for additional information. TIME HORIZON AND NATIONS BOARD CONSIDERATION. During its deliberations, Time Horizon's Board of Trustees (with the advice and assistance of its counsel) reviewed, among other things: (1) the potential effect of the Reorganization on the shareholders of the Time Horizon Funds; (2) the capabilities, practices and resources of NBAI and the Asset Allocation Fund's other service providers; (3) the investment advisory and other fees paid by the Asset Allocation Fund, and the historical and projected expense ratios of the Asset Allocation Fund, including its predecessor portfolio, as compared with those of the Time Horizon Funds and industry peer groups; (4) the expected cost-savings for certain of the Time Horizon Funds as a result of the reorganization of Time Horizon; (5) the investment objectives, policies and limitations of the Asset Allocation Fund and their relative compatibility with those of the Time Horizon Funds; (6) the historical investment performance records of the Time Horizon Funds and the Asset Allocation Fund, including that of the Asset Allocation Fund's predecessor portfolio, relative to each other and relative to peer groups; (7) the shareholder services offered by the Nations Funds family ("Nations Funds Family"); (8) the terms and conditions of the Reorganization Agreement, including those provisions that were intended to avoid dilution of the interests of Time Horizon Fund shareholders; (9) the anticipated tax consequences of the Reorganization for the respective Time Horizon Funds and their shareholders; (10) the number of investment portfolio options that would be available to shareholders after the Reorganization, including the ability of Time Horizon Fund shareholders to exchange their shares for other mutual funds in the Nations Funds Family, and thereby, which would allow them to increase or decrease their risk profile; (11) the viability of any Time Horizon Fund on a stand-alone basis apart from the Nations Funds Family; and (12) the potential benefits of the Reorganization to other persons, especially NBAI and its affiliates. The Time Horizon Board also considered NBAI's belief that the Reorganization would eliminate certain duplicative shareholder costs and market overlap, facilitate consolidation of NBAI's managerial resources and enhance generally operational efficiencies and focus with respect to the mutual funds advised by NBAI. In particular, it was noted that the Time Horizon Funds in their current configuration and structure did not fit well within the LifeGoal Funds product set. It also was noted that NBAI or an affiliate would assume all customary expenses associated with the Reorganization and that NBAI would commit to waive fees and/or reimburse expenses as needed to ensure that, for one year from the date of the Reorganization, the Asset Allocation Fund's total operating expense ratios will not exceed the PRO FORMA after waiver expense ratios shown in Table II, absent a determination by the Nations Board that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense levels. For additional information, see "The Reorganization--Time Horizon Board Consideration." Based upon their evaluation of the information presented to them, and in light of their fiduciary duties under federal and state law, the Board of Trustees of Time Horizon, including all of the non-interested members of the Board, determined that participation in the Reorganization, as contemplated by the Reorganization Agreement, was in the best interests of the Time Horizon Funds and that the interests of the existing shareholders of the Time Horizon Funds will not be diluted as a result of the Reorganization. TIME HORIZON'S BOARD OF TRUSTEES UNANIMOUSLY RECOMMENDS THAT TIME HORIZON FUND SHAREHOLDERS APPROVE THE REORGANIZATION AGREEMENT. After considering the relevant factors, the Nations Board similarly found that participation in the Reorganization is in the best interests of the Asset Allocation Fund and that the interests of the shareholders of the Asset Allocation Fund will not be diluted as a result of the Reorganization. 8 PRINCIPAL RISK FACTORS. SIMILARITIES. Because of the general similarities of the investment objectives, policies and restrictions of the Time Horizon Funds and the corresponding Asset Allocation Fund, an investment in the Asset Allocation Fund involves risks that are similar to those of the corresponding Time Horizon Fund, although the degree to which those risks are present varies. For example, an investment in the Funds involves risks typically associated with investing in a portfolio of equity securities, which are generally stock market risks. Stock values fluctuate in response to the activities of individual companies and in response to general market and economic conditions and, accordingly, the value of the stocks that a Fund holds may decline over short or extended periods. The U.S. stock markets tend to be cyclical, with periods when stock prices generally rise and periods when prices generally decline. As of the date of this Proxy/Prospectus, domestic stock markets were trading at or close to record high levels and there can be no guarantee that such levels will continue. The Time Horizon Funds may each invest up to 20% of their net assets in foreign securities. The Asset Allocation Fund may invest up to 25% of its assets in foreign securities. An investment in the Funds thus involves risks typically associated with investing in a portfolio of foreign equity securities, which are generally stock market risks and foreign investment risk. Stock values fluctuate in response to the activities of individual companies and in response to general market and economic conditions and, accordingly, the value of the stocks that a Fund holds may decline over short or extended periods. Many stock markets tend to be cyclical, with periods when stock prices generally rise and periods when prices generally decline. In addition to stock market risks, the Funds are subject to foreign investment risk. These include, but are not limited to restrictions on foreign investment and repatriation of capital; fluctuations in currency exchange rates, which can significantly affect a Fund's share price; costs of converting foreign currency into U.S. dollars and U.S. dollars into foreign currencies; greater price volatility and less liquidity; settlement practices, including delays, which may differ from those customary in U.S. markets; exposure to political and economic risks, including the risk of nationalization, expropriation of assets and war; possible impositions of foreign taxes and exchange control and currency restrictions; lack of uniform accounting, auditing and financial reporting standards; less governmental supervision of securities markets, brokers and issuers of securities; less financial information available to investors; and difficulty in enforcing legal rights outside the United States. Certain of the above risks associated with investments by a Fund in foreign securities are heightened with respect to investment in developing countries and emerging markets countries. Political and economic structures in many emerging markets countries may be undergoing significant evolution and rapid development, and may lack the social, political and economic stability characteristic of more developed countries. Investing in emerging markets securities also involves risks beyond the usual risks inherent in international investing. Some emerging countries may have fixed or managed currencies that are not free-floating against the U.S. dollar. Further, certain currencies may not be traded internationally and some countries with emerging securities markets have sustained long periods of substantially high inflation or rapid fluctuations in inflation rates which can have negative effects on a country's economy or securities markets. An investment in the Funds also involves risks typically associated with fixed-income securities, which includes both interest rate risk and credit risk. Interest rate risk is the risk that the value of a security will tend to decrease when market interest rates rise and increase when market interest rates fall. In general, longer-term debt instruments tend to fluctuate in value more than shorter-term debt instruments in response to market interest rate movements. Credit risk is the risk that the issuer of a fixed-income instrument will be unable to pay principal or interest when due. Also, both funds will invest in mortgage-backed securities, the value of which may decline when interest rates rise. In addition, a mortgage-backed security's maturity may be shortened by unscheduled prepayments on underlying mortgages and, therefore, it is not possible to accurately predict the security's return to the Funds. DIFFERENCES. There are, however, differences in certain of the investment policies and risks of the Time Horizon Funds and the Asset Allocation Fund. First, while the Asset Allocation Fund typically invests the equity portion of its assets primarily in blue chip (i.e., larger-capitalization and medium-capitalization) stocks, the Time Horizon Funds currently invest in smaller-capitalization and other medium-capitalization stocks in addition to blue chip stocks. The securities of smaller companies in which the Time Horizon Funds invest may individually be subject to more abrupt or erratic market movements than larger, more established companies, both because the securities typically are traded in lower volume and because the issuers typically are subject to a greater degree to changes in earnings. However, these securities may provide the potential for greater returns. 9 Second, there are differences in risks as a result of the Time Horizon Funds' target horizon feature. For example, as a Fund nears its target time horizon, its assets may begin to decrease as a result of withdrawals by investors. Such decreases, if any, may negatively affect the investment adviser's ability to manage the assets and may increase the expense ratios paid by shareholders. In addition, the Time Horizon Funds are designed for investors who rely upon the investment adviser to the Funds to allocate the Funds' assets toward more conservative investments as a time horizon target approaches. Therefore, as a Time Horizon Fund approaches its target horizon, its increasing emphasis on capital preservation should lower the risk to investment losses, but would also likely result in lower investment returns. The Asset Allocation Fund, although actively managed, is not managed towards a time horizon as are the Time Horizon Funds. Accordingly, a shareholder in the Asset Allocation Fund who has a specific financial future goal in mind should be aware that he or she may have to monitor their investment in order to achieve the allocation mix of the Time Horizon Fund. Third, for those investors who hold shares in Time Horizon Portfolio 1, the Asset Allocation Fund presents a somewhat riskier investment (with the potential for greater returns) because the allocation mix of the Asset Allocation Fund is more heavily weighted toward equity securities than is the allocation mix of Time Horizon Portfolio 1. Similarly, for those investors who hold shares in Time Horizon Portfolio 3, the Asset Allocation Fund presents a somewhat more conservative investment (and the potential for lower returns) because the allocation mix of the Asset Allocation Fund is more heavily weighted toward fixed-income securities and money market instruments than is the allocation mix of Time Horizon Portfolio 3. VOTING INFORMATION. This Proxy/Prospectus is being furnished in connection with the solicitation of proxies by Time Horizon's Board of Trustees. Only shareholders of record at the close of business on May 21,1999 will be entitled to vote at the Meeting. Shares represented by a properly executed proxy will be voted in accordance with the instructions thereon. If no instruction is made, the named proxies will vote in favor of each proposal set forth in the Notice of Meeting. Proxies may be revoked at any time before they are exercised by submitting to Time Horizon a written notice of revocation or a subsequently executed proxy or by attending the Meeting and voting in person. For additional information, see "Voting Matters." THE REORGANIZATION REASONS FOR THE REORGANIZATION. Significant features of the Reorganization are summarized below. This summary is qualified in its entirety by reference to the Reorganization Agreement, the form of which is attached as Appendix I. The primary reason for the Reorganization relates to the long-term viability of the Time Horizon Funds on a stand-alone basis (i.e., not part of a larger fund family). The prospects for the Funds' long-term viability, including the maintenance of stable and competitive expense ratios, are low because of the relatively low asset levels currently invested in the Funds and the belief that Fund assets are unlikely to increase (e.g., Investor B Shares are no longer offered). Management believes that the interests of the shareholders of the Time Horizon Funds would best be served if the Time Horizon Funds participated in the Reorganization, thereby increasing the assets (and correspondingly the potential long-term viability) of a single Fund--the Asset Allocation Fund--a Fund that offers a generally similar investment to Time Horizon Fund shareholders. If the Time Horizon Funds were not offered the opportunity to become Asset Allocation Fund shareholders, in all likelihood the increased expense involved in operating the Time Horizon Funds on a stand-alone basis, without the prospects for an increase in Fund assets, would eventually be passed on to Fund shareholders making an investment in the Time Horizon Funds more expensive and potentially reducing their returns. Accordingly, management, including the Board of Trustees of Time Horizon, believes that proposed Reorganization is expected to benefit Time Horizon Fund shareholders by, among other things: o Offering actual or potential reductions in total operating expense ratios for shareholders; and o Offering shareholders the opportunity to become part of a larger and more diverse family of more than seventy mutual funds, including a line of fund-of-funds. You will be able to exchange your shares among many of those funds. This exchange feature will allow any Time Horizon Fund investor to, in effect, allocate his or her shares received as a result of the Reorganization among additional mutual funds in the Nations Funds family--some of which are conservative (with lower potential return) and some of which present greater risks (with higher potential return). DESCRIPTION OF THE REORGANIZATION AGREEMENT. The Reorganization Agreement provides that, at the Closing, the assets and liabilities of the Time Horizon Funds will be transferred to Nations in exchange for full and fractional Shares of the designated classes of the Asset Allocation Fund, as shown in Table I (see page 1 of this Proxy/Prospectus). 10 The Shares issued by the Asset Allocation Fund will have an aggregate dollar value equal to the aggregate dollar value of the shares of the respective Time Horizon Fund that are outstanding immediately before the Closing. Immediately after the Closing, each Time Horizon Fund will distribute the Shares of the Asset Allocation Fund received in the Reorganization to its shareholders in liquidation of the Time Horizon Fund. Each shareholder owning shares of a particular Time Horizon Fund at the Closing will receive Shares of the designated class of the Asset Allocation, and will receive any unpaid dividends or distributions that were declared before the Closing on Time Horizon Fund shares. Nations will establish an account for each former shareholder of the Time Horizon Funds reflecting the number of Asset Allocation Fund Shares distributed to that shareholder. The Shares issued in the Reorganization will be in uncertificated form. NBAI has advised Time Horizon and Nations that NationsBank, Bank of America and their affiliates intend, with respect to certain of their fiduciary accounts that currently hold A If the Reorganization Agreement is approved and consummated, Time Horizon will transfer all of its assets and liabilities, as of the Closing, and all outstanding shares of the Time Horizon Funds will be redeemed and canceled in exchange for shares of the Asset Allocation Fund, and Time Horizon will wind up its affairs and apply to be de-registered as an investment company under the 1940 Act and thereafter dissolve under Delaware law. The Reorganization is subject to a number of conditions, including approval of the Reorganization Agreement and the related matters described in this Proxy/Prospectus by Time Horizon Fund shareholders; the receipt of certain legal opinions described in the Reorganization Agreement (which include an opinion of Nations' counsel addressed to Time Horizon that the Asset Allocation Fund Shares issued in the Reorganization will be validly issued, fully paid and non-assessable); the receipt of certain certificates from the parties concerning the continuing accuracy of the representations and warranties in the Reorganization Agreement; the receipt of certain letters from independent accountants regarding various financial matters; and the parties' performance in all material respects of their respective covenants and undertakings in the Reorganization Agreement. It is possible that a majority of one Time Horizon Fund's shareholders may approve the Reorganization Agreement while a sufficient majority of one or more of the shareholders of the other Time Horizon Funds do not approve the Reorganization. In such a case, the Time Horizon Fund whose shareholders approved the Reorganization Agreement will be reorganized pursuant to the terms of the Reorganization Agreement. The Board of Trustees will contemplate what further action is appropriate should one or more of the Time Horizon Funds not approve the Reorganization Agreement. If all three Time Horizon Funds approve the Reorganization there would be little need to materially reconfigure the portfolio securities of the Asset Allocation Fund after the Reorganization. However, if one or more Time Horizon Funds do not approve the Reorganization, there may be increased brokerage costs associated with the reconfiguring of the securities of the Time Horizon Funds that approve the Reorganization in order to achieve the Asset Allocation Fund's asset mix. The Reorganization Agreement also provides that NBAI or an affiliate has agreed to assume all customary expenses associated with the Reorganization. The Reorganization Agreement also provides, among other things, that the Reorganization may be abandoned at any time prior to the Closing upon the mutual consent of both Time Horizon and Nations, or by either Nations or Time Horizon under certain conditions; and that officers of Nations and of Time Horizon may amend, modify or supplement the Reorganization Agreement, provided however, that following the Meeting, no such amendment may have the effect of changing the provisions for determining the number of Shares of the Asset Allocation Fund to be issued to any Time Horizon Fund without obtaining the Time Horizon Fund shareholders' further approval. TIME HORIZON BOARD CONSIDERATION. At a meeting held on July 27, 1998, the Time Horizon Board of Trustees was advised that Bank of America and NBAI were considering recommending a consolidation of Time Horizon with the Nations Funds Family following the September 30, 1998 merger of NationsBank Corporation with BankAmerica Corporation. The Time Horizon Board then met on January 28 and 29 and May 6 and 7, 1999 to consider the Reorganization proposal offered by management of Nations, NBAI and its affiliates. At these meetings, the Trustees were provided with detailed information about the Reorganization, the Asset Allocation Fund and NBAI. These materials summarized the principal features of the Reorganization, including the intention that the Reorganization be consummated on a tax-free basis for each Fund and its shareholders. In addition, the Time Horizon Trustees received comparative information about the Time Horizon Funds and the Asset Allocation Fund, including but not limited to the following matters: (1) investment objectives and policies; (2) advisory, distribution and other servicing arrangements; (3) expenses (with and without giving effect to current expense limitations), including PRO FORMA expenses relative to peer groups and (4) performance relative to peer groups. The Time Horizon Board also was provided with information about NationsBank and its investment advisory organizations, including information regarding those teams of individuals with responsibility for managing the Asset Allocation Fund. 11 The Reorganization was unanimously approved by the Time Horizon Board of Trustees on May [ ], 1999. During its deliberations, Time Horizon's Board of Trustees (with the advice and assistance of its counsel) reviewed, among other things: (1) the potential effect of the Reorganization on the shareholders of the Time Horizon Funds; (2) the capabilities, practices and resources of NBAI and the Asset Allocation Fund's other service providers; (3) the investment advisory and other fees paid by the Asset Allocation Fund, and the historical and projected expense ratios of the Asset Allocation Fund, including its predecessor portfolio, as compared with those of the Time Horizon Funds and industry peer groups; (4) the expected cost-savings for the Time Horizon Funds as a result of the reorganization of Time Horizon; (5) the investment objectives, policies and limitations of the Asset Allocation Fund and its relative compatibility with those of the Time Horizon Funds; (6) the historical investment performance records of the Time Horizon Funds and the Asset Allocation Fund, including its predecessor portfolio, relative to each other and relative to peer groups; (7) the shareholder services offered by Nations; (8) the terms and conditions of the Reorganization Agreement, including those provisions that were intended to avoid dilution of the interests of Time Horizon Fund shareholders; (9) the anticipated tax consequences of the Reorganization for the respective Time Horizon Funds and their shareholders; (10) the number of investment portfolio options that would be available to shareholders after the Reorganization; (11) the viability of any Time Horizon Fund on a stand-alone basis apart from the Nations Funds Family; and (12) the potential benefits of the Reorganization to other persons, especially NBAI and its affiliates. In particular, it was noted that the Time Horizon Funds in their current configuration and structure did not fit well within the LifeGoal Funds product set. The Time Horizon Board also considered NBAI's belief that the Reorganization would eliminate certain duplicative shareholder costs and market overlap, facilitate consolidation of NBAI's managerial resources and enhance generally operational efficiencies and focus with respect to the mutual funds advised by NBAI. With respect to the Asset Allocation Fund, Time Horizon's Trustees further noted that, for two of the three classes of each Time Horizon Portfolio involved in the Reorganization, the per share annualized total operating expense ratios after the Reorganization, taking into account voluntary fee waivers, would be the same as those of the corresponding Time Horizon Funds before the Reorganization. See "Table II--Total Expense Information" and Appendix II for more information. It also noted that NBAI or an affiliate would assume all customary expenses associated with the Reorganization and that NBAI would commit to waive fees and/or reimburse expenses as needed to ensure that, for one year from the date of the Reorganization, the Asset Allocation Fund's total operating expense ratios will not exceed the PRO FORMA after waiver expense ratios shown in Table II, absent a determination by the Nations Board that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense ratios. In addition, it noted that NBAI would agree to waive fees and/or reimburse expenses, as needed, to ensure that the total operating expense ratio of any Time Horizon Fund that is not reorganized into the Asset Allocation Fund on the closing date of the reorganization of the other Time Horizon Funds into the Asset Allocation Fund will not, for one year from such date, exceed such Fund's current expense ratio as shown in Table II, absent a determination by the Time Horizon Board that extraordinary circumstances or a material reduction in Fund assets that impacts expense levels has occurred that has made it appropriate to permit an increase in expense levels. After consideration of the foregoing and other factors, the Time Horizon Trustees unanimously determined that the Reorganization is in the best interest of the shareholders of the Time Horizon Funds, and that the interest of the existing shareholders of the Time Horizon Funds will not be diluted as a result of such Reorganization. CAPITALIZATION. The following table sets forth, as of February 28, 1999: (1) the capitalization of each of the Time Horizon Funds; (2) the capitalization of the Asset Allocation Fund; and (3) the PRO FORMA capitalization of the Asset Allocation Fund as adjusted to give effect to the Reorganization. The capitalization of each Time Horizon Fund and the Asset Allocation Fund is likely to be different at the Closing as a result of daily share purchase and redemption activity in the Time Horizon Funds and Asset Allocation Fund as well as the effects of the other ongoing operations of the respective Funds prior to Closing. 12 TABLE III CAPITALIZATION (AS OF FEBRUARY 28, 1999) The table below reflects current and PRO FORMA capitalization information for the combination of the Time Horizon Funds with the Asset Allocation Fund. Because the possibility exists that one or more Time Horizon Funds' shareholders will not approve the Reorganization Agreement, all potential Fund combinations are presented.
- ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE TOTAL NET ASSETS SHARES OUTSTANDING PER SHARE - ----------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 1 $8,928,415 768,982 $11.61 (Fund A) (A Shares) (A Shares) (A Shares) $27,329,849 2,367,595.54 $11.54 (B Shares) (B Shares) (B Shares) $109,076 9,496.53 $11.49 (K Shares) (K Shares) (K Shares) - ----------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 2 $12,250,561 1,012,298 $12.10 (Fund B) (A Shares) (A Shares) (A Shares) $33,771,508 2,814,003 $12.00 (B Shares) (B Shares) (B Shares) $539,864 45,193 $11.95 (K Shares) (K Shares) (K Shares) - ----------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 3 $12,903,752 982,397 $13.13 (Fund C) (A Shares) (A Shares) (A Shares) $39,359,141 3,020,127 $13.03 (B Shares) (B Shares) (B Shares) $771,372 59,269 $13.01 (K Shares) (K Shares) (K Shares) - ----------------------------------------------------------------------------------------------------------------- Asset Allocation Fund $72,081,239 3,202,949 $22.50 (Fund D) (Investor A) (Investor A) (Investor A) $5,565,973 247,913 $22.45 (Investor B) (Investor B) (Investor B) $1,792,227 79,830 $22.45 (Investor C) (Investor C) (Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $81,009,654 3,600,429 $22.50 (Fund A+ Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $32,895,822 1,465,293 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $1,901,303 B) $22.45 (K Shares/Investor C) 84,691 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $84,331,800 3,748,080 $22.50 (Fund B+ Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $39,337,481 1,752,226 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $2,332,091 B) $22.45 (K Shares/Investor C) 103,879 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $84,984,991 3,777,111 $22.50 (Fund C+ Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $44,925,114 2,001,119 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $2,563,599 B) $22.45 (K Shares/Investor C) 114,191 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- 13 - ----------------------------------------------------------------------------------------------------------------- NET ASSET VALUE TOTAL NET ASSETS SHARES OUTSTANDING PER SHARE - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $93,260,215 4,144,898 $22.50 (Fund A+ Fund B + Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $66,667,330 2,969,592 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $2,441,167 B) $22.45 (K Shares/Investor C) 108,738 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $93,913,406 4,173,929 $22.50 (Fund A+ Fund C + Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $72,254,963 3,218,484 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $2,672,675 B) $22.45 (K Shares/Investor C) 119,050 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $97,235,552 4,321,580 $22.50 (Fund B+ Fund C + Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $78,696,622 3,505,417 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $3,103,463 B) $22.45 (K Shares/Investor C) 138,238 (K Shares/Investor C) (K Shares/Investor C) - ----------------------------------------------------------------------------------------------------------------- PRO-FORMA Combined Fund $106,163,967 4,718,399 $22.50 (Fund A+ Fund B+ Fund C + Fund D) (A Shares/Investor A) (A Shares/Investor A) (A Shares/Investor A) $106,026,471 4,722,783 $22.45 (B Shares/Investor B) (B Shares/Investor (B Shares/Investor B) $3,212,539 B) $22.45 (K Shares/Investor C) 143,098 (K Shares/Investor C) (K Shares/Investor C) - -----------------------------------------------------------------------------------------------------------------
FEDERAL INCOME TAX CONSIDERATIONS. The Asset Allocation Fund and each Time Horizon Fund intend to qualify as of the Closing, as a separate "regulated investment company" under the Internal Revenue Code of 1986, as amended (the "Code"). Accordingly, each Time Horizon Fund and the Asset Allocation Fund has been, and expects to continue to be, relieved of federal income tax liability. Consummation of the Reorganization with respect to each Time Horizon Fund and the Asset Allocation Fund is subject to the condition that Time Horizon and Nations receive an opinion from Morrison & Foerster LLP substantially to the effect that, for federal income tax purposes: (i) the transfer of all of the assets and liabilities of a Time Horizon Fund to the Asset Allocation Fund in exchange for the Asset Allocation Fund Shares, and the distribution of those Shares to shareholders of the Time Horizon Fund, will constitute a "reorganization" within the meaning of Section 368(a) of the Code, and the Time Horizon Fund and the Asset Allocation Fund will each be a "party to a reorganization" within the meaning of Section 368(b) of the Code in respect of the Reorganization; (ii) no gain or loss will be recognized by the Time Horizon Fund upon the transfer of its assets and liabilities to the Asset Allocation Fund solely in exchange for the Asset Allocation Fund Shares; (iii) no gain or loss will be recognized by the Asset Allocation Fund upon the receipt of the assets and assumption of liabilities of the Time Horizon Fund solely in exchange for the Asset Allocation Fund Shares; (iv) the basis of the Time Horizon Fund's assets received by the Asset Allocation Fund pursuant to the Reorganization will be the same as the basis of those assets in the hands of the Time Horizon Fund immediately prior to the Reorganization; (v) the holding period of the Time Horizon Fund's assets in the hands of the Asset Allocation Fund will include the period for which such assets have been held by the Time Horizon Fund; (vi) no gain or loss will be recognized by the Time Horizon Fund on the distribution to its shareholders of the Asset Allocation Fund Shares; (vii) no gain or loss will be recognized by the shareholders of the Time Horizon Fund upon their receipt of the Asset Allocation Fund Shares in exchange for such shareholders' shares of the Time Horizon Fund; (viii) the basis of the Asset Allocation Fund Shares received by the shareholders of the Time Horizon Fund will be the same as the basis of the Time Horizon Fund Shares surrendered by such shareholders pursuant to the Reorganization; (ix) the holding period for the Asset Allocation Fund Shares received by the Time Horizon Fund shareholders will include the period during which such shareholders held the Time Horizon Fund Shares surrendered in exchange therefor, provided that such Time Horizon Fund shares are held as a capital asset in the hands of the Time Horizon Fund shareholders on the date of the exchange; and (x) the Asset 14 Allocation Fund will succeed to and take into account the tax attributes described in Section 381(c) of the Code of the Time Horizon Fund as of the Closing Date, subject to the conditions and limitations specified in the Code. Shareholders of the Time Horizon Funds should note, however, that the sale of securities by the Time Horizon Funds prior to the Closing whether in the ordinary course of business or in anticipation of the Closing, could result in a taxable capital gains distribution prior to the Closing. Nations and Time Horizon have not sought, and will not seek, a private ruling from the Internal Revenue Service ("IRS") with respect to the federal income tax consequences of the Reorganization. The opinion of Morrison & Foerster LLP with respect to the federal income tax consequences of the Reorganization is not binding on the IRS and does not preclude the IRS from adopting a contrary position. Shareholders should consult their own advisers concerning the potential tax consequences of the Reorganization to them, including any applicable foreign, state or local income tax consequences. OTHER MATTERS. One member of the Board of Directors of Time Horizon, Dr. Cornelius Pings, has been elected to the Board of Trustees of Nations. COMPARISON OF TIME HORIZON AND NATIONS INVESTMENT OBJECTIVES AND POLICIES. The investment objectives, policies and restrictions of the Time Horizon Funds are, in general, similar to those of the Nations Asset Allocation Fund. Both the Time Horizon Funds and the Asset Allocation Fund invest their assets across three asset classes: common stocks, fixed-income securities and money market instruments. There are, however, differences. For example, the Time Horizon Funds are investments with a specific investment time horizon, while the Asset Allocation Fund does not contemplate a specific time horizon target. Because each Time Horizon Fund has a specific investment time horizon target, each Fund allocates its investments accordingly. That is to say, as an investment time horizon approaches (e.g., 2005), the Fund will begin to allocate its securities more conservatively (i.e., a higher percentage of bonds and cash and a smaller percentage of common stocks. When an investment time horizon is still many years away (e.g., 2025), the Fund allocates its securities less toward conservative securities and more toward less conservative securities with a potential for higher return. Unlike the Time Horizon Funds, the Asset Allocation Fund, under normal market conditions, will maintain a relatively balanced approach and allocate its assets to various asset classes on a consistent basis over time. The Asset Allocation Fund's expected allocation mix most closely resembles that of Time Horizon Portfolio 2, with approximately a 60%/40% allocation between equities and fixed income securities, respectively. For additional information, see "Comparison of Time Horizon and Nations--Investment Objectives and Policies" and Appendix III. MANAGEMENT'S DISCUSSION OF ASSET ALLOCATION FUND PERFORMANCE. A discussion by Fund management of the Asset Allocation Fund's performance for its most recent fiscal year can be found at Appendix V. INVESTMENT ADVISORY SERVICES. Currently NBAI serves as investment adviser to the Asset Allocation Fund and TradeStreet and Chicago Equity serve as co-investment sub-advisers to the Asset Allocation Fund. NBAI, Chicago Equity and TradeStreet are wholly owned subsidiaries of NationsBank, which in turn is an indirect wholly owned banking subsidiary of BankAmerica Corporation. The Value Management Team of TradeStreet is responsible for the day-to-day management of the non-equity portion of the Asset Allocation's portfolio. The Equity Management Team of Chicago Equity is responsible for the day-to-day management of the equity portion of the Asset Allocation Fund's portfolio. The following table shows the contractual investment advisory and, where applicable, sub-advisory fee ratios, both before and after waivers. The table also shows the respective investment advisory and sub-advisory fee rates paid to the investment adviser and sub-adviser after taking into account voluntary fee waivers, for each Time Horizon Fund (as of February 28, 1999) and the Asset Allocation Fund (as of February 28, 1999). 15 TABLE IV INVESTMENT ADVISORY AND SUB-ADVISORY FEE INFORMATION
- ------------------------------------------------------------------------------------------------------------- TIME HORIZON FUND ADVISORY FEES ASSET ALLOCATION FUND ADVISORY & SUB-ADVISORY BEFORE/AFTER WAIVERS FEES BEFORE/ AFTER WAIVERS - ------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 1 Advisory Fee 0.65%/0.65% Advisory Fee 0.40%/0.00% Sub-Advisory Fee 0.25%/0.25% (Paid by Adviser out of its advisory fee) - ------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 2 Advisory Fee 0.65%/0.65% Advisory Fee 0.40%/0.00% Sub-Advisory Fee 0.25%/0.25% (Paid by Adviser out of its advisory fee) - ------------------------------------------------------------------------------------------------------------- Time Horizon Portfolio 3 Advisory Fee 0.65%/0.65% Advisory Fee 0.40%/0.00% Sub-Advisory Fee 0.25%/0.25% (Paid by Adviser out of its advisory fee) - -------------------------------------------------------------------------------------------------------------
OTHER SERVICE PROVIDERS FOR TIME HORIZON AND NATIONS. Time Horizon and Nations have different service providers. Upon completion of the Reorganization, Nations will continue to engage its existing service providers. In all cases, the types of services provided to the Funds under these service arrangements are substantially similar.
Time Horizon Funds Asset Allocation Fund ------------------ --------------------- Distributor Provident Distributors, Inc. Stephens ("Provident") (Co-)Administrator(s) Bank of America Stephens and NBAI Sub-Administrator PFPC Inc. BNY Transfer Agent PFPC Inc. First Data Investor Services Group, Inc. Sub-Transfer Agent N/A NationsBank Custodian PNC Bank, N.A. BNY Independent Accountants PricewaterhouseCoopers LLP PricewaterhouseCoopers LLP
SALES LOADS, DISTRIBUTION AND SHAREHOLDER SERVICING ARRANGEMENTS FOR THE TIME HORIZON FUNDS A SHARES. Time Horizon has adopted a Shareholder Services Plan for A Shares, under which the A Shares of each Time Horizon Fund reimburse Time Horizon's distributor--Provident for shareholder servicing fees that Provident pays to various service organizations whose customers own A Shares. Payments made under the Shareholder Services Plan for A Shares, also cover shareholder services provided by Provident and for support services provided to the beneficial owners of Time Horizon Fund shares. Under the Plan, payments by a Time Horizon Fund may not exceed 0.25% (annualized) of the average daily net assets of such Fund's A Shares. Currently, no sales charge is imposed on A Shares of each of the Time Horizon Funds. However, the Board of Time Horizon authorized a maximum sales charge of 5.75% on A Shares of each Time Horizon Fund, which has not been implemented. If implemented, the sales charge with respect to A Shares of the Time Horizon Funds could decrease as the amount a shareholder invests increases. Also, there would be no sales charge on purchases of A Shares of $ 1 million or more. Investor A shares of the Asset Allocation Fund received in exchange for such shares will be subject to the same CDSC of 1% on redemptions made within 1 year of purchase, declining to .50% in the second year and eliminated thereafter. 16 B SHARES. Time Horizon has adopted for B Shares the Shareholder Service Plan described above under "A Shares" and a Distribution Service Plan for B Shares, under which the B Shares of each Time Horizon Fund reimburse Bank of America for distribution related expenses. Distribution expenses include expenses incurred in connection with advertising and marketing the Funds' B Shares; payments to service organizations for assistance in connection with the distribution of B Shares; and expenses incurred in connection with preparing, printing and distributing prospectuses for the Funds except those used for regulatory purposes or distributed to existing shareholders. Under the Distribution Service Plan, payments by a Time Horizon Fund for distribution expenses may not exceed 0.75% (annualized), of the average daily net assets of such Fund's B Shares. Under the Shareholder Service Plan for B Shares, payments for shareholder servicing expenses may not exceed 0.25% (annualized) of the average daily net assets of a Fund's B Shares. The total of all 12b-1 and shareholder servicing fees may not exceed, in the aggregate, 1.00% (annualized) of the average daily net assets of a Fund's B Shares. Currently, since June 15, 1997, the Time Horizon Funds do not offer Class B Shares. Prior to June 15, 1997, Class B Shares were offered at net asset value per share without the imposition of a front-end sales load subject to a maximum CDSC of 5% on redemptions of B Shares made within 1 year of purchase declining to 1% in the sixth year and eliminated thereafter. Investor B Shares of the Asset Allocation Fund received in exchange for such shares will be subject to the same CDSC. For all cases, former Class B shareholders will be credited for the period of time from the original date of purchase of their shares for the purposes of determining the amount of their CDSC, if any. K SHARES. Time Horizon has adopted for K Shares the Shareholder Service Plan described above under "A Shares" and a Distribution and Administrative Services Plan pursuant to Rule 12b-1 under the 1940 Act, under which K Shares of a Time Horizon Fund reimburse Provident for services rendered and costs incurred in connection with distribution of K Shares. Distribution expenses include expenses incurred in connection with advertising and marketing the Funds' K Shares; payments to service organizations for assistance in connection with the distribution of K Shares; and expenses incurred in connection with preparing, printing and distributing prospectuses for the Funds (except those used for regulatory purposes or distributed to existing shareholders). Under the Distribution and Administrative Services Plan, payments by a Time Horizon Fund for distribution and administrative expenses may not exceed 0.75% (annualized), of the average daily net assets of such Fund's K Shares. Time Horizon also has adopted an Administrative Services Plan for K Shares, under which K Shares of a Time Horizon Fund reimburse Provident for administrative servicing fees that Provident pays to various services organizations whose customers own K Shares. Administrative servicing expenses include expenses incurred in connection with administrative services provided by Provident and payments to service organizations for the provision of administrative services to beneficial owners of K shares, such as establishing and maintaining accounts and records relating to their clients who invest in K Shares, providing information to the Funds necessary for accounting or sub-accounting and providing statements periodically to clients showing their position in K Shares. Payments under the Administrative Services Plan may not exceed 0.75% (annualized), of the average daily net assets a Fund's K Shares. Payments under both the Distribution and Administrative Services Plan and the Administrative Services Plan may not exceed 0.75% (annualized) of the average daily net assets of a Fund's K Shares. Under the Shareholder Services Plan for K Shares, payments for shareholder servicing expenses may not exceed 0.25% (annualized) of the average daily net assets of a Fund's K Shares. SALES LOADS, DISTRIBUTION AND SHAREHOLDER SERVICING ARRANGEMENTS FOR THE ASSET ALLOCATION FUND. INVESTOR A SHARES. Nations has adopted a Shareholder Servicing and Distribution Plan (the "Investor A Plan") pursuant to Rule 12b-1 under the 1940 Act with respect to each Fund's Investor A Shares. The Investor A Plan provides that each Fund may pay its distributor Stephens banks, broker/dealers or other financial institutions that offer Shares of the Fund and that have entered into a Sales Support Agreement with Stephens ("Selling Agents") or a Shareholder Servicing Agreement with Nations ("Servicing Agents"), up to 0.25% (annualized) of the average daily net asset value of the Investor A Shares. Investor A Shares charge a front-end sales load. The maximum front-end sales load charged for the Asset Allocation Fund's Investor A Shares is set forth in Appendix II. Sales load reduction and waiver categories, which differ from those applicable to Class A Shares of the corresponding Time Horizon Funds, are described in Appendix III and the accompanying Prospectus(es). Purchases of $1 million or more of Investor A Shares that are purchased at net asset value are subject to a maximum deferred sales charge of 1% of the lower of the original purchase price or redemption proceeds, if redeemed within 1 year of purchase declining to .50% in the second year and eliminated thereafter. Investor A Shares that were purchased by investors investing $1 million or more between July 31, 1997 and November 15, 1998 are subject to a 1% redemption fee if the Investor A Shares are held less than 18 months. Investor A Shares of the Asset Allocation Fund received in exchange for Class A Shares will be subject to the CDSC. For all cases, former Class A shareholders will be credited for the period of time from the original date of purchase of their shares for the purposes of determining the amount of their CDSC, if any. 17 INVESTOR B SHARES. Nations has adopted a Distribution Plan and a Shareholder Servicing Plan with respect to Investor B Shares of the Asset Allocation Fund. Pursuant to the Distribution Plan, the Funds may compensate or reimburse Stephens for any activities or expenses primarily intended to result in the sale of the Funds' Investor B Shares. Payments under the Distribution Plan will be calculated daily and paid monthly at a rate or rates set from time to time by the Trustees, provided that the annual rate may not exceed 0.75% of the average daily net asset value of the Funds' Investor B Shares. The fees payable under the Distribution Plan are used to, among other things, compensate Selling Agents for providing sales support assistance relating to Investor B Shares. The Trustees of Nations also have approved a Shareholder Servicing Plan for the Asset Allocation Fund which permits the Fund to compensate Servicing Agents for services provided to their customers that own Investor B Shares. Payments under the Shareholder Servicing Plan are calculated daily and paid monthly at a rate or rates set from time to time by the Funds, provided that the annual rate may not exceed 0.25% of the average daily net asset value of the Funds' Investor B Shares. Investor B Shares are offered at net asset value per share without the imposition of a front-end sales load. There is a maximum CDSC of 5% on redemptions of Investor B Shares made within 1 year of purchase declining to 1% in the sixth year and eliminated thereafter; Investor B Shares of the Asset Allocation Fund received in exchange for Class B Shares will be subject to the CDSC. For all cases, former Class B shareholders will be credited for the period of time from the original date of purchase of their shares for the purposes of determining the amount of their CDSC, if any. INVESTOR C SHARES. Nations has adopted a Distribution Plan with respect to Investor C Shares of the Asset Allocation Fund. Pursuant to the Distribution Plan, the Funds may compensate or reimburse Stephens for any activities or expenses primarily intended to result in the sale of the Funds' Investor C Shares. Payments under the Distribution Plan will be calculated daily and paid monthly at a rate or rates set from time to time by the Trustees of Nations, provided that the annual rate may not exceed 0.75% of the average daily net assets of the Funds' Investor C Shares. The fees payable under the Distribution Plan are used to, among other things, compensate Selling Agents for providing sales support assistance relating to Investor C Shares. The Trustees of Nations also have approved a shareholder servicing plan ("Servicing Plan") for the Funds which permits the Fund to compensate Servicing Agents for services provided to their customers that own Investor C Shares. Payments under the Servicing Plan are calculated daily and paid monthly at a rate or rates set from time to time by the Funds, provided that the annual rate may not exceed 0.25% of the average daily net asset value of the Funds' Investor C Shares. However, Investor C Shares purchased after January 19, 1999 are subject to a CDSC of 1% (if redeemed within one year of purchase). No CDSC will apply to Investor C Shares issued in the Reorganization. ADMINISTRATION AGREEMENTS. The Time Horizon Funds have entered into an administration agreement with Bank of America, with PFPC Inc. serving as sub-administrator. Stephens and NBAI serve as co-administrators, and BNY serves as sub-administrator, to the Asset Allocation Fund. Under these administration arrangements, Stephens and NBAI provide various administrative, accounting and corporate secretarial services and BNY assists NBAI in performing certain administrative and accounting services. SHAREHOLDER TRANSACTIONS AND SERVICES. The Time Horizon Funds and the Asset Allocation Fund offer generally similar shareholder services and transactions. There are, however, some differences. For example, the minimum initial investment for A, B and K Shares of the Time Horizon Funds is generally $500 while the minimum initial investment for the Investor A, Investor B and Investor C Shares of the Asset Allocation Fund, is generally $1,000. Also, each Time Horizon Fund generally requires a $500 minimum account balance, while Nations requires a $1,000 minimum account balance. Additionally, Nations does not offer Teletrade--a service currently offered Time Horizon Fund shareholders that allows shareholders to authorize electronic transfers of money to purchase shares in or redeem shares from an established Fund account. For a detailed comparison of shareholder transactions and services see Appendix IV. The Time Horizon Funds and the corresponding Nations Funds also offer generally similar exchange privileges. In addition, after the Reorganization all Time Horizon Fund shareholders will be able to exchange their shares for other mutual funds in the Nations Funds Family, including money market, fixed-income, equity and international funds. Shareholders may also exchange into the Nations LifeGoal Funds, which are mutual funds that invest in other mutual funds in the Nations Funds family. Such exchanges, although exempt from any new front-end or contingent deferred sales charge, may be subject to federal income taxes. 18 FEES AND EXPENSES. Certain Time Horizon Fund service providers currently waive fees and/or reimburse expenses. For example, Bank of America currently waives most of the fees that it is entitled to receive for providing investment advisory services to the Time Horizon Funds. This subsidization results in Bank of America and other service providers furnishing services to the Funds at a loss. The subsidization has benefited Time Horizon Fund shareholders in that they have enjoyed total operating expenses below the median ratios of other comparable mutual funds. Bank of America has informed Time Horizon that Bank of America would have reduced this subsidization as the Funds reached larger asset levels, such as the asset levels that will likely be attained by the Asset Allocation Fund after the Reorganization. NBAI has informed Time Horizon that for this reason, NBAI will not waive fees or reimburse expenses to the same extent as Bank of America has for the Time Horizon Funds. Despite these waivers, shareholders of two of the three classes of Time Horizon Funds are expected to experience the same total fund operating expenses after the Reorganization. See "Table II--Total Expense Information" and "Appendix II--Expense Summaries of the Time Horizon Funds and Asset Allocation Fund." In addition, all total operating expense ratios for the Asset Allocation Fund are within the range of total operating expense ratios of comparable funds. Moreover, NBAI has undertaken to waive fees and/or reimburse expenses as needed to ensure that, for at least one year after the Reorganization, the Nations Funds' total operating expense ratios will not exceed the PRO FORMA after waiver ratios shown in Table II above, absent a determination by the Nations Fund's Board that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense levels. There can be no assurance that such expense ratios will continue after this commitment expires. For detailed PRO FORMA expense information, see Appendix II. SHARE STRUCTURE. Both Time Horizon and Nations are registered as open-end management investment companies under the 1940 Act. Currently, Time Horizon offers three mutual funds. The Nations Funds Family, which includes Nations, currently offers over seventy mutual funds. Time Horizon was organized as a Delaware business trust on April 12, 1995 and began operating as a three series company on September 5, 1995. Time Horizon's Declaration of Trust authorizes the Board of Trustees to issue an unlimited number of shares of beneficial interest and to classify and reclassify any authorized and unissued shares into one or more classes. Shares representing beneficial interest in a Fund are entitled to participate in the dividends and distributions declared by the Board of Trustees and in the net distributable assets of a Fund on liquidation. The Funds' shares have no preemptive rights and only such conversion and exchange rights as the Board may grant in its discretion. Shareholders are entitled to one vote for each full share held and fractional votes for fractional shares held. Additionally, shareholders will vote in the aggregate and not by class or series, except as required by law (or when permitted by the Board of Trustees). The Funds do not presently intend to hold annual meetings of shareholders except as required by the 1940 Act. Under certain circumstances, however, shareholders have the right to call a shareholder meeting to consider the removal of one or more trustees. In addition, meetings will be held when requested by the shareholders of 10% or more of Time Horizon's outstanding shares of beneficial interest. Each Fund will assist in shareholder communications in such matters to the extent required by law and Time Horizon's undertaking with the Securities and Exchange Commission. Nations was organized as a Massachusetts business trust on January 22, 1990. Each share of Nations is without par value, represents and equal proportionate interest in the related Fund with other shares of the same class, and is entitled to such dividends and distributions out of the income earned on the assets belonging to such Fund as are declared in the discretion of the Nations' Board of Trustees. Nations Agreement and Declaration of Trust authorized the Board to classify and reclassify any class of shares into one or more series of shares. Shareholders are entitled to one vote for each full share held and a proportionate fractional vote for each fractional share held. In accordance with Nations' Agreement and Declaration of Trust, all shares of a series of Nations are entitled to vote by individual series, except (1) when required by the 1940 Act, shares will be voted in the aggregate and not by individual series, and (2) when the Trustees have determined that the matter affects only the interests of one or more series, then only shareholders of such series shall be entitled to vote thereon. There is no cumulative voting in the election of Trustees for Nations. Nations does not presently intend to hold annual meetings except as required by the 1940 Act. Shareholders will have the right to remove Trustees. Nations' By-Laws provide that special meetings of shareholders shall be called at the written request of the shareholders entitled to vote at least 10% of the outstanding shares of Nations entitled to vote at such meeting. 19 VOTING MATTERS GENERAL INFORMATION. This Proxy/Prospectus is being furnished in connection with the solicitation of proxies for the Meeting by the Board of Trustees of Time Horizon. It is expected that the solicitation of proxies will be primarily by mail. OFFICERS AND SERVICE CONTRACTORS OF TIME HORIZON AND NATIONS MAY ALSO SOLICIT PROXIES BY TELEPHONE OR OTHERWISE. In this connection, Time Horizon has retained ADP Proxy Services to assist in the solicitation of proxies for the Reorganization. Shareholders may vote (1) by mail, by marking, signing, dating and returning the enclosed Proxy Ballot in the enclosed postage-paid envelope; (2) by telefacsimile, by marking, signing, dating and faxing the enclosed Proxy Ballot to ADP Proxy Services at (704) 388-2641; or (3) by touchtone voting at (800) 690-6903; or 4) by on-line voting at www.proxyvote.com. Any shareholder giving a proxy may revoke it at any time before it is exercised by submitting to Time Horizon a written notice of revocation or a subsequently executed proxy or by attending the Meeting and voting in person. Any expenses incurred as a result of hiring ADP Proxy Services or any other proxy solicitation agent will be borne by NBAI or its affiliates. Only shareholders of record at the close of business on May 21, 1999 will be entitled to vote at the Meeting. On that date, the following Time Horizon Shares were outstanding and entitled to be voted. NAME OF TIME HORIZON FUND/CLASS SHARES ENTITLED TO VOTE - ------------------------------- ----------------------- TIME HORIZON PORTFOLIO 1............................. TIME HORIZON PORTFOLIO 2............................. TIME HORIZON PORTFOLIO 3............................. Each whole and fractional share of a Time Horizon Fund is entitled to a whole or fractional vote. If the accompanying proxy is executed and returned in time for the Meeting, the Shares covered thereby will be voted in accordance with the proxy on all matters that may properly come before the Meeting. SHAREHOLDER AND BOARD APPROVALS. The Reorganization Agreement is being submitted for approval at the Meeting by Time Horizon's shareholders pursuant to Time Horizon's Charter and By-Laws, and was unanimously approved by the Time Horizon Board of Trustees at a meeting held on May 6, 1999. The Reorganization Agreement must be approved by a majority of the outstanding shares of each Time Horizon Fund. The Reorganization Agreement provides that in the event the Reorganization Agreement is approved with respect to less than all of the Time Horizon Funds, the failure of a Time Horizon Fund to consummate the transactions contemplated by the Reorganization Agreement shall not affect the consummation or validity of the Reorganization with respect to any other Time Horizon Funds. It is possible that a majority of one Time Horizon Fund's shareholders may approve the Reorganization Agreement while a sufficient majority of one or more of the shareholders of the other Time Horizon Funds do not approve the Reorganization. In such a case, the Time Horizon Fund whose shareholders approved the Reorganization Agreement will be reorganized pursuant to the terms of the Reorganization Agreement. The Board of Trustees will contemplate what further action is appropriate should one or more of the Time Horizon Funds not approve the Reorganization Agreement. With respect to the approval of the Reorganization Agreement, the term "majority of the outstanding shares" of Time Horizon or a Time Horizon Fund means more than 50% of the outstanding shares of Time Horizon or the particular Time Horizon Fund. The vote of the shareholders of the Nations Funds is not being solicited, since their approval or consent is not necessary for the Reorganization. 20 PRINCIPAL SHAREHOLDERS. As of April ___, 1999, the officers and Trustees of Time Horizon as a group owned or controlled less than 1% of any Time Horizon Funds. As of April __, 1999, the officers and Trustees of Nations as a group owned or controlled less than 1% of any Nations Fund. Table V(A) shows the name, address and share ownership of each person known to Time Horizon to have ownership with respect to 5% or more of a class of a Time Horizon Fund as of April __, 1999. Table V(B) shows the name, address and share ownership of each person known to Nations to have ownership with respect to 5% or more of a class of a Nations Fund as of April __, 1999.
TABLE V(A) ---------- CLASS; AMOUNT PERCENTAGE TIME HORIZON NAME AND OF SHARES OWNED; PERCENTAGE PERCENTAGE OF FUND FUND ADDRESS TYPE OF OWNERSHIP OF CLASS OF FUND POST-CLOSING - ---- ------- ----------------- -------- ------- ------------ TABLE V(B) ---------- CLASS; AMOUNT PERCENTAGE ASSET ALLOCATION NAME AND OF SHARES OWNED; PERCENTAGE PERCENTAGE OF FUND FUND ADDRESS TYPE OF OWNERSHIP OF CLASS OF FUND POST-CLOSING - ---- ------- ----------------- -------- ------- ------------
For purposes of the 1940 Act, any person who owns directly or through one or more controlled companies more than 25% of the voting securities of a company is presumed to "control" such company. Accordingly, to the extent that a shareholder identified in the foregoing table is identified as the beneficial holder of more than 25% of a class, or is identified as the holder of record of more than 25% of a class and has voting and/or investment power, it may be presumed to control such class. Nations and Time Horizon have been advised by Bank of America that the shares of each Time Horizon Fund over which Bank of America and its affiliates have voting power may be voted by Bank of America itself in its capacity as fiduciary and that it has engaged an independent third party to evaluate the Reorganization proposal and make a recommendation as to how to vote the shares. QUORUM. In the event that a quorum is not present at the Meeting, or in the event that a quorum is present at the Meeting but sufficient votes to approve the Reorganization Agreement are not received by Time Horizon or by one or more of the Time Horizon Funds, one or more adjournment(s) may be proposed to permit further solicitation of proxies. Any adjourned session or sessions may be held after the date set for the original Meeting without notice except announcement at the meeting, but, under Delaware law, no more than [ ] days after the record date. Any such adjournment(s) will require the affirmative vote of a majority of those shares affected by the adjournment(s) that are represented at the Meeting in person or by proxy. If a quorum is present, the persons named as proxies will vote those proxies which they are entitled to vote FOR the particular proposal for which a quorum exists in favor of such adjournment(s), and will vote those proxies required to be voted AGAINST such proposal against any adjournment(s). A shareholder vote may be taken with respect to one or more Time Horizon Funds (but not the other Time Horizon Funds) on some or all matters before any such adjournment(s) if a quorum is present and sufficient votes have been received for approval with respect to such Funds. 21 A quorum is constituted with respect to Time Horizon or a Time Horizon Fund by the presence in person or by proxy of the holders of more than one-third of the outstanding shares of Time Horizon or the Time Horizon Fund entitled to vote at the Meeting. For purposes of determining the presence of a quorum for transacting business at the Meeting, abstentions will be treated as shares that are present at the Meeting but which have not been voted. Abstentions will have the effect of a "no" vote for purposes of obtaining the requisite approvals of the Reorganization Agreement. Broker "non-votes" (that is, proxies from brokers or nominees indicating that such persons have not received instructions from the beneficial owners or other persons entitled to vote shares on a particular matter with respect to which the brokers or nominees do not have discretionary power) will be treated the same as abstentions. ANNUAL MEETINGS AND SHAREHOLDER MEETINGS. Neither Nations nor Time Horizon presently intends to hold annual meetings of shareholders for the election of Trustees and other business unless otherwise required by the 1940 Act. Under certain circumstances, however, holders of at least 10% of the outstanding shares of either Time Horizon or Nations have the right to call a meeting of shareholders. ADDITIONAL INFORMATION ABOUT NATIONS Additional information about the Asset Allocation Fund is included in its prospectuses and statements of additional information dated May 21, 1999, copies of which, to the extent not included herewith, may be obtained without charge by writing or calling Nations at the address and telephone number set forth on the first page of this Proxy/Prospectus. Nations is subject to the informational requirements of the Securities Exchange Act of 1934, as amended, and the 1940 Act, and in accordance therewith it files reports, proxy materials and other information with the SEC. Reports and other information filed by Nations can be inspected and copied at the Public Reference Facilities maintained by the SEC at 450 Fifth Street, N.W., Washington, D.C. 20549 and at the offices of Nations listed above. In addition, these materials can be inspected and copied at the SEC's Regional Offices at 7 World Trade Center, Suite 1300, New York, New York 10048, and Northwestern Atrium Center, 500 West Madison Street, Suite 1400, Chicago, Illinois 60661. Copies of such materials also can be obtained from the Public Reference Branch, Office of Consumer Affairs and Information Services, Securities and Exchange Commission, Washington, D.C. 20549, at prescribed rates. In addition, the SEC maintains a web site (www.sec.gov) that contains reports, other information and proxy statements filed by the Nations. Officers of Nations are elected by, and serve at the pleasure of, the Board of Trustees. Officers of Nations receive no remuneration from Nations for their services in such capacities. Information included in this Proxy/Prospectus concerning Nations was provided by Nations. ADDITIONAL INFORMATION ABOUT TIME HORIZON Additional information about the Time Horizon Funds is included in their prospectus and statement of additional information, dated November 1, 1998 as supplemented through the date hereof, which have been filed with the SEC. Copies of these prospectuses and the related statements of additional information may be obtained without charge by writing or calling Time Horizon at the address and telephone number set forth on the first page of this Proxy/Prospectus. Reports and other information filed by Time Horizon can be inspected and copied at the Public Reference Facilities maintained by the SEC at 450 Fifth Street, N.W., Washington, D.C. 20549 and at the offices of Time Horizon listed above. In addition, these materials can be inspected and copied at the SEC's Regional Offices at 7 World Trade Center, Suite 1300, New York, New York 10048, and Northwestern Atrium Center, 500 West Madison Street, Suite 1400, Chicago, Illinois 60661. Copies of such materials also can be obtained from the Public Reference Branch, Office of Consumer Affairs and Information Services, Securities and Exchange Commission, Washington, D.C. 20549, at prescribed rates. In addition, the SEC maintains a web site (www.sec.gov) that contains reports, other information and proxy statements filed by the Time Horizon. Information included in this Proxy/Prospectus concerning Time Horizon was provided by Time Horizon. FINANCIAL STATEMENTS The audited financial statements and financial highlights for shares of the Asset Allocation Fund for the annual period ended February 28, 1999 are included or incorporated by reference in their prospectuses or statements of additional information, or in the statement of additional information related to this Proxy/Prospectus. The unaudited financial statements and financial highlights for shares of the Time Horizon Funds for the semi-annual period ended December 31, 1998, and the audited financial statements and financial highlights for shares of the Time Horizon Funds for the annual period ended June 30, 1998, are included or incorporated by reference in their prospectuses or statements of additional information or in the statement of additional information related to this Proxy/Prospectus, or are included herein. 22 The annual financial statements and financial highlights of the Asset Allocation Fund for the year ended February 28, 1999 have been audited by PricewaterhouseCoopers LLP, independent accountants, to the extent indicated in their reports thereon and have been incorporated by reference in the Statement of Additional Information to this Proxy/Prospectus, in reliance upon such reports given upon the authority of such firm as an expert in accounting and auditing. The annual financial statements and financial highlights of the Time Horizon Funds for the year ended June 30, 1998 have been audited by PricewaterhouseCoopers LLP, independent accountants, to the extent indicated in their reports thereon and have been incorporated by reference in the Statement of Additional Information to this Proxy/Prospectus, in reliance upon such reports given upon the authority of such firm as an expert in accounting and auditing. OTHER BUSINESS Time Horizon's Board of Trustees knows of no other business to be brought before the Meeting. However, if any other matters properly come before the Meeting, it is the intention that proxies which do not contain specific restrictions to the contrary will be voted on such matters in accordance with the judgment of the persons named in the enclosed form of proxy. SHAREHOLDER INQUIRIES Shareholder inquiries may be addressed to Time Horizon or to Nations in writing at the address(es), or by phone at the phone number(s), on the cover page of this Proxy/Prospectus. * * * SHAREHOLDERS WHO DO NOT EXPECT TO BE PRESENT AT THE MEETING ARE REQUESTED TO MARK, SIGN AND DATE THE ENCLOSED PROXY AND RETURN IT IN THE ENCLOSED ENVELOPE. NO POSTAGE IS REQUIRED IF MAILED IN THE UNITED STATES. SHAREHOLDERS ALSO MAY RETURN PROXIES BY TELEFACSIMILE OR VOTE ON-LINE OR BY TELEPHONE. TIME HORIZON WILL FURNISH, WITHOUT CHARGE, COPIES OF ITS JUNE 30, 1998 ANNUAL REPORTS, OR DECEMBER 31, 1998 SEMI-ANNUAL REPORTS, TO ANY SHAREHOLDER UPON REQUEST ADDRESSED TO: TIME HORIZON FUNDS AT P.O. BOX 8968, WILMINGTON, DE 19899 OR BY TELEPHONE AT 1-800-346-2087. 23 APPENDIX I FORM OF AGREEMENT AND PLAN OF REORGANIZATION THIS AGREEMENT AND PLAN OF REORGANIZATION (this "Agreement") is made as of this 1st day of June, 1999, by and between Nations Institutional Reserves ("Nations Funds"), a Massachusetts business trust, for itself and on behalf of Nations Asset Allocation Fund (the "Acquiring Fund"), a portfolio of Nations Funds, and Time Horizon Funds, a Delaware business trust, for itself and on behalf of the Time Horizon Portfolio 1, Time Horizon Portfolio 2 and Time Horizon Portfolio 3 (each an "Acquired Fund" and collectively the "Acquired Funds"), each a portfolio of Time Horizon Funds. In accordance with the terms and conditions set forth in this Agreement, the parties desire that all of the Fund Assets (as defined in paragraph 1.2.a.) of each Acquired Fund be transferred to the Acquiring Fund corresponding thereto, as set forth in the table attached hereto as Schedule A, in exchange for shares of specified classes of the Acquiring Fund ("Acquiring Fund Shares") and the assumption by the Acquiring Fund of the Liabilities (as defined in paragraph 1.3) of each corresponding Acquired Fund, and that such Acquiring Fund Shares be distributed immediately after the Closing(s), as defined in this Agreement, by each Acquired Fund to its shareholders in liquidation of each Acquired Fund. The parties intend that the Acquiring Fund--Nations Asset Allocation Fund--shall continue the investment operations of the Acquired Funds. This Agreement is intended to be and is adopted as a plan of reorganization for each Acquired Fund each Reorganization (as defined herein) qualify as a "reorganization", within the meaning of Section 368(a) of the Internal Revenue Code of 1986, as amended (the "Code"), and that each of the Acquiring Fund and the Acquired Funds qualify as a "party to a reorganization," within the meaning of Section 368(b) of the Code, with respect to such Reorganization. In consideration of the promises and of the covenants and agreements hereinafter set forth, the parties hereto, intending to be legally bound hereby, covenant and agree as follows: 1. REORGANIZATION OF ACQUIRED FUNDS 1.1. Subject to the terms and conditions herein set forth, and on the basis of the representations and warranties contained herein, each Acquired Fund shall assign, deliver and otherwise transfer the Fund Assets to the Acquiring Fund identified in Schedule A, and the Acquiring Fund shall, as consideration therefor, on the Closing Date (as defined in paragraph 3.1), (i) deliver to each corresponding Acquired Fund the full and fractional number of shares of each of its share classes calculated by dividing the value of the Fund Assets less the Liabilities of the corresponding Acquired Fund that are so conveyed and are attributable to each of the Acquiring Fund's respective share classes set forth in Schedule A, computed in the manner and as of the time and date set forth in this Agreement, by the net asset value of one Acquiring Fund share of the particular share class that is to be delivered with respect thereto, computed in the manner and as of the time and date set forth in this Agreement; and (ii) assume all of such Acquired Fund's Liabilities. Such transfer, delivery and assumption shall take place at the closing(s) provided for in paragraph 3.1 (hereinafter sometimes referred to as the "Closing(s)"). Promptly after the Closing(s), each Acquired Fund shall distribute the Acquiring Fund Shares to the shareholders of the respective share classes of the Acquired Fund in liquidation of the Acquired Fund as provided in paragraph 1.4 hereof. Such transaction(s) are hereinafter sometimes collectively referred to as the "Reorganization(s)." 1.2.a. With respect to each Acquired Fund, the Fund Assets shall consist of all property and assets of any nature whatsoever, including, without limitation, all cash, cash equivalents, securities, claims (whether absolute or contingent, known or unknown, accrued or unaccrued) and receivables (including dividend and interest receivables) owned by each I-1 Acquired Fund, and any prepaid expenses shown as an asset on each Acquired Fund's books on the Closing Date. 1.2.b. At least fifteen (15) business days prior to the Closing Date, each Acquired Fund will provide the Acquiring Fund with a schedule of its securities and other Assets and Liabilities of which it is aware, and the Acquiring Fund will provide the Acquired Fund with a copy of the current investment objective and policies applicable to the Acquiring Fund. Each Acquired Fund reserves the right to sell any of the securities or other assets shown on the list of the Fund's Assets prior to the Closing Date but will not, without the prior approval of the Acquiring Fund, acquire any additional securities other than securities which the Acquiring Fund is permitted to purchase in accordance with its stated investment objective and policies. At least ten (10) business days prior to the Closing Date, the Acquiring Fund will advise the corresponding Acquired Fund of any investments of such Acquired Fund shown on such schedule which the Acquiring Fund would not be permitted to hold, pursuant to its stated investment objective and policies or otherwise. In the event that the Acquired Fund holds any investments that the Acquiring Fund would not be permitted to hold under its stated investment objective or policies, the Acquired Fund, if requested by the Acquiring Fund and, to the extent permissible and consistent with the Acquired Fund's own investment objective and policies, will dispose of such securities prior to the Closing Date. In addition, if it is determined that the portfolios of the Acquired Fund and the Acquiring Fund, when aggregated, would contain investments exceeding certain percentage limitations to which the Acquiring Fund is or will be subject with respect to such investments, the Acquired Fund, if requested by the Acquiring Fund and, to the extent permissible and consistent with the Acquired Fund's own investment objective and policies, will dispose of and/or reinvest a sufficient amount of such investments as may be necessary to avoid violating such limitations as of the Closing Date. 1.3. Each Acquired Fund will endeavor to discharge all of its known liabilities and obligations prior to the Closing Date. The Acquiring Fund will assume all liabilities and obligations of the corresponding Acquired Funds, accrued, absolute, contingent or otherwise existing, as of the Closing Date, which liabilities and obligations shall include any obligation of the Time Horizon Funds to indemnify Time Horizon Funds' current and former Trustees and officers, acting in their capacities as such, to the fullest extent permitted by law and the Time Horizon Funds' Declaration of Trust, as in effect as of the date of this Agreement ("Liabilities"). Without limiting the foregoing, the Acquiring Fund agrees that all rights to indemnification and all limitations of liability existing in favor of the Time Horizon Funds' current and former Trustees and officers, acting in their capacities as such, under Time Horizon Funds' Declaration of Trust as in effect as of the date of this Agreement shall survive the Reorganization as obligations of the Acquiring Fund, and shall continue in full force and effect, without any amendment thereto, and shall constitute rights which may be asserted against Nations Funds, its successors or assigns. The Liabilities assumed by Nations Funds, its successors or assigns, on behalf of the Acquiring Fund shall be separate Liabilities of the Acquiring Fund, and not joint or joint and several liabilities of any other Acquiring Fund. 1.4. Promptly after the Closing(s) with respect to each Acquired Fund, the Acquired Fund will distribute the shares of the Acquiring Fund class received by the Acquired Fund pursuant to paragraph 1.1 to its shareholders of record determined as of the close of business on the Closing Date ("Acquired Fund Investors") in complete liquidation of the Acquired Fund. Acquired Fund Investors will be credited with full and fractional shares of the class that is issued by the Acquiring Fund under this Agreement with respect to the shares of the Acquired Fund that are held by the Acquired Fund Investors. Such distribution will be accomplished by an instruction, signed by an appropriate officer of Time Horizon Funds, to transfer the Acquiring Fund Shares then credited to the Acquired Fund's account on the books of the Acquiring Fund and to open accounts on the books of the Acquiring Fund established and maintained by the Acquiring Fund's transfer agent in I-2 the names of record of the Acquired Fund Investors and representing the respective number of shares of the Acquiring Fund due such Acquired Fund Investors. In exchange for Acquiring Fund Shares distributed, all issued and outstanding shares of common stock of the Acquired Fund will be redeemed and canceled simultaneously therewith on the Acquired Fund's books; any outstanding share certificates representing interests in the Acquired Fund thereafter will represent the right to receive such number of Acquiring Fund Shares after the Closing(s) as determined in accordance with paragraph 1.1. 1.5. If a request shall be made for a change of the registration of shares of the Acquiring Fund to another person from the account of the shareholder in which name the shares are registered in the records of the corresponding Acquired Fund, it shall be a condition of such registration of shares that there be furnished to the Acquiring Fund an instrument of transfer properly endorsed, accompanied by appropriate signature guarantees and otherwise in proper form for transfer and, if any of such shares are outstanding in certificated form, the certificates representing such shares, and that the person requesting such registration shall pay to the Acquiring Fund any transfer or other taxes required by reason of such registration or establish to the reasonable satisfaction of the Acquiring Fund that such tax has been paid or is not applicable. 1.6. Following the transfer of assets by each Acquired Fund to the Acquiring Fund, the assumption of the Acquired Fund's Liabilities by the Acquiring Fund, and the distribution by the Acquired Fund of the Acquiring Fund Shares received by it pursuant to paragraph 1.4, Time Horizon Funds shall terminate the qualification, classification and registration of such Acquired Fund at all appropriate federal and state agencies. All reporting and other obligations of Time Horizon Funds shall remain the exclusive responsibility of Time Horizon Funds up to and including the date on which the particular Acquired Fund is terminated and deregistered, subject to any reporting or other obligations described in paragraph 4.10. Subject to the provisions of paragraph 1.8 and comparable provisions of similar Agreements and Plans of Reorganizations being entered into between Pacific Horizon Funds and Nations Funds Trust, Nations Funds, Inc. and Nations Institutional Reserves, at an appropriate time as determined by Time Horizon Funds, upon the advice of counsel, Time Horizon Funds will be dissolved under the laws of the State of Delaware. 1.7. Subject to the conditions set forth in this Agreement, the failure of one Acquired Fund to consummate the transactions contemplated hereby shall not affect the consummation or validity of a Reorganization with respect to any other Acquired Fund, and the provisions of this Agreement shall be construed to effect this intent, including, without limitation, as the context requires, construing the terms "Acquiring Fund" and "Acquired Fund" as meaning only those series of Nations Funds and Time Horizon Funds, respectively, which are involved in a Reorganization as of a Closing Date. 2. VALUATION 2.1. With respect to each Acquired Fund, the value of the Fund Assets shall be the value of such assets computed as of the time at which its net asset value is calculated on the Closing Date (such time and date being herein called the "Applicable Valuation Date"). The net asset value of the Fund Assets to be transferred by the Acquired Funds shall be computed by Time Horizon Funds and shall be subject to adjustment by the amount, if any, agreed to by Nations Funds and the respective Acquired Funds. In determining the value of the securities transferred by the Acquired Funds to the Acquiring Fund, each security shall be priced in accordance with the pricing policies and procedures of the Acquiring Fund as described in its then current prospectuses and statements of additional information. For such purposes, price quotations and the security characteristics relating to establishing such quotations shall be determined by Time Horizon Funds, provided that such determination shall be subject to the approval of Nations Funds. Time Horizon Funds and Nations Funds agree to use all commercially reasonable efforts to resolve any material pricing I-3 differences between the prices of portfolio securities determined in accordance with the pricing policies and procedures of Time Horizon Funds and those determined in accordance with the pricing policies and procedures of the Acquiring Fund prior to the Applicable Valuation Date. 2.2. The net asset value of the share of a class of shares of the Acquiring Fund shall be the net asset value per share of such class computed on the Applicable Valuation Date, using the valuation procedures set forth in the Acquiring Fund's then current prospectus and statement of additional information. 3. CLOSING(S) AND CLOSING DATE 3.1. The Closing for the Acquiring Fund and the Acquired Fund(s) shall occur on August 20, 1999, and/or on such other date(s) as may be mutually agreed upon in writing by an officer of the parties hereto. The Closing(s) shall be held at the offices of Stephens Inc., 111 Center Street, Suite 300, Little Rock, Arkansas 72201 or at such other location as is mutually agreeable to the parties. All acts taking place at the Closing(s) shall be deemed to take place simultaneously as of 4:00 p.m. Eastern time on the Closing Date unless otherwise provided. 3.2. The Acquiring Fund's custodian shall deliver at the Closing(s) a certificate of an authorized officer stating that: (a) each Acquired Fund's portfolio securities, cash and any other assets have been delivered in proper form to the Acquiring Fund on the Closing Date and (b) all necessary taxes including all applicable federal and state stock transfer stamps, if any, have been paid, or provision for payment shall have been made, by such Acquired Fund in conjunction with the delivery of portfolio securities. Proper delivery of cash shall be by wire to The Bank of New York, the Acquiring Fund's Custodian, pursuant to instruction to be delivered prior to the Closing(s). 3.3. Notwithstanding anything herein to the contrary, in the event that on the Applicable Valuation Date (a) the New York Stock Exchange shall be closed to trading or trading thereon shall be restricted or (b) trading or the reporting of trading on such exchange or elsewhere shall be disrupted so that, in the judgment of Nations Funds and Time Horizon Funds, accurate appraisal of the value of the net assets of the Acquiring Fund or an Acquired Fund is impracticable, the Applicable Valuation Date and Closing Date shall be postponed until the first business day after the day when trading shall have been fully resumed without restriction or disruption and reporting shall have been restored. 3.4. With respect to each Acquired Fund, Time Horizon Funds shall provide Nations Funds and its transfer agents with immediate access from and after the Closing Date to (a) the computer, electronic or such other forms of records containing the names, addresses and taxpayer identification numbers of all of the Acquired Fund Investors and the number and percentage ownership of outstanding Acquired Fund shares owned by such Acquired Fund Investor, all as of the Applicable Valuation Date, and (b) all original documentation (including all applicable Internal Revenue Service forms, certificates, certifications and correspondence) relating to the Acquired Fund Investors' taxpayer identification numbers and their liability for or exemption from back-up withholding. The Acquiring Fund shall issue and deliver to the Secretary or Assistant Secretary of Time Horizon Funds, acting on behalf of the Acquired Fund, a confirmation evidencing the Acquiring Fund Shares credited on the Closing Date or shall provide evidence satisfactory to each Acquired Fund that such Acquiring Fund Shares have been credited to each Acquired Fund's account on the books of the Acquiring Fund. At the Closing(s), each party shall deliver to the other such bills of sale, checks, assignments, assumptions of liability share certificates, if any, receipts or other documents of transfer, assignment or conveyance as such other party or its counsel may reasonably request. I-4 3.5. Within twenty (20) days after the Closing Date, each Acquired Fund shall deliver, in accordance with Article 1 hereof, to the Acquiring Fund a statement of the Fund Assets and Liabilities, together with a list of such Acquired Fund's portfolio securities and other assets showing the respective adjusted bases and holding periods thereof for income tax purposes, as of the Closing Date, certified by an appropriate officer of Time Horizon Funds. 4. COVENANTS WITH RESPECT TO THE ACQUIRING FUND AND THE ACQUIRED FUNDS 4.1. Time Horizon Funds has called or will call a meeting of the Acquired Fund shareholders to consider and act upon this Agreement, and to take such other actions reasonably necessary to obtain the approval of the transactions contemplated herein, including approval for each Acquired Fund's liquidating distribution of the Acquiring Fund Shares contemplated hereby, and for Time Horizon Funds to terminate each Acquired Fund's qualification, classification and registration if requisite approvals are obtained with respect to each Acquired Fund. Nations Funds and Time Horizon Funds will jointly prepare the notice of meeting, form of proxy and proxy statement (collectively, "Proxy Materials") to be used in connection with such meeting. 4.2. Time Horizon Funds, on behalf of each Acquired Fund, covenants that each Acquired Fund shall not sell or otherwise dispose of any Acquiring Fund Shares to be received in the transactions contemplated herein, except in distribution to its shareholders in accordance with the terms of this Agreement. 4.3. Time Horizon Funds, on behalf of each Acquired Fund, will assist the Acquiring Fund in obtaining such information as the Acquiring Fund reasonably requests concerning the record and beneficial ownership of shares of each class of each Acquired Fund. 4.4. Subject to the provisions hereof, Nations Funds, on its own behalf and on behalf of the Acquiring Fund, and Time Horizon Funds, on its own behalf and on behalf of each Acquired Fund, will take, or cause to be taken, all actions, and do, or cause to be done, all things reasonably necessary, proper or advisable to consummate and make effective the transactions contemplated herein. 4.5. Time Horizon Funds, on behalf of each Acquired Fund, shall furnish to the Acquiring Fund on the Closing Date, a statement of the total amount of each Acquired Fund's Assets and Liabilities as of the Closing Date, which statement shall be certified by an appropriate officer of Time Horizon Funds as being determined in accordance with generally accepted accounting principles consistently applied and as being valued in accordance with paragraph 2.1 hereof. As promptly as practicable, but in any case within sixty (60) days after the Closing Date, Time Horizon Funds, on behalf of each Acquired Fund, shall furnish the Acquiring Fund, in such form as is reasonably satisfactory to Nations Funds, on behalf of the Acquiring Fund, a statement certified by an officer of Time Horizon Funds of such Acquired Fund's federal income tax attributes and the tax basis in its assets that will be carried over to the Acquiring Fund in the Reorganization pursuant to Section 381 of the Code. 4.6. Nations Funds has prepared and filed, or will prepare and file, with the Securities and Exchange Commission ("SEC") and the appropriate state securities commissions a post-effective amendment (the "N-1A Post-Effective Amendment") to its registration statement on Form N-1A (File Nos. 33-33144; 811-6030), as promptly as practicable so that the Acquiring Fund and its shares are registered under the Securities Act of 1933, as amended (the "1933 Act"), the Investment Company Act of 1940, as amended (the "1940 Act"), as necessary to consummate the transaction contemplated hereby. Nations Funds will prepare and file with the appropriate state securities commission any notices or other filings required to consummate the transactions contemplated hereby. In addition, Nations Funds, on behalf of the Acquiring Fund, has prepared and filed, or will prepare and file with the SEC a registration statement on Form N-14 under the 1933 Act, I-5 relating to the Acquiring Fund Shares, which, without limitation, shall include a proxy statement of Time Horizon Funds and the prospectuses of the Acquiring Fund of Nations Funds relating to the transactions contemplated by this Agreement (the "Registration Statement"). Time Horizon Funds, on behalf of each Acquired Fund, has provided or will provide the Acquiring Fund with the materials and information necessary to prepare the N-1A Post-Effective Amendment and the Proxy Materials for inclusion in the Registration Statement, prepared in accordance with paragraph 4.1, and with such other information and documents relating to each Acquired Fund as are requested by the Acquiring Fund and as are reasonably necessary for the preparation of the N-1A Post-Effective Amendment and the Registration Statement. 4.7. As soon after the Closing Date as is reasonably practicable, Time Horizon Funds, on behalf of each Acquired Fund shall prepare and file all federal and other tax returns and reports of each Acquired Fund required by law to be filed with respect to all periods ending on or before the Closing Date but not theretofore filed. 4.8. With respect to the Acquiring Fund, Nations Funds agrees to use all reasonable efforts to operate in accordance with its then current prospectus and statement of additional information prepared in accordance with Form N-1A, as may be modified from time to time, including qualifying as a "regulated investment company" under the Code, for at least one (1) year following the Closing Date. 4.9. With respect to each Acquired Fund, Time Horizon Funds agrees to use all reasonable efforts to operate in accordance with its then current prospectus and statement of additional information prepared in accordance with Form N-1A, as may be modified from time to time, including qualifying as a "regulated investment company" under the Code, up to the Closing Date. 4.10. Following the transfer of assets by each Acquired Fund to the Acquiring Fund in exchange for Acquiring Fund Shares and the assumption of all Liabilities of the Acquired Fund as contemplated herein, Time Horizon Funds will file any final regulatory reports, including but not limited to any Form N-SAR and Rule 24f-2 filings with respect to such Acquired Fund(s), promptly after the Closing Date. As soon as practicable after the Closing Date and further subject to paragraph 1.8 hereof and comparable provisions of similar Agreements and Plans of Reorganization between Pacific Horizon Funds and Nations Fund Trust, Nations Funds, Inc. and Nations Institutional Reserves, Time Horizon Funds shall file an application pursuant to Section 8(f) of the 1940 Act for an order declaring that it has ceased to be an investment company; shall file a Certificate of Cancellation for recordation with the State of Delaware, and shall take, in accordance with the Delaware Business Trust Act, all other steps necessary and proper to effect its complete dissolution. 4.11. Nations Fund, on behalf of the Acquiring Fund, shall use its best efforts to satisfy the conditions of the statutory exemption set forth in Section 15(f) of the 1940 Act, as an assumption of the stated expectation of the Time Horizon Funds as set forth in the proxy statement of the Time Horizon Funds dated May 21, 1998. 5. REPRESENTATIONS AND WARRANTIES 5.1. Nations Funds, on behalf of itself and the Acquiring Fund, represents and warrants to the Time Horizon Funds as follows: 5.1.a. Nations Funds was duly created pursuant to its Agreement and Declaration of Trust by the Trustees for the purpose of acting as a management investment company under the 1940 Act and is validly existing under the laws of the Commonwealth of Massachusetts, and the Agreement and Declaration of Trust directs the Trustees to manage the affairs of I-6 Nations Funds and grants them all powers necessary or desirable to carry out such responsibility, including administering Nations Funds business as currently conducted by Nations Funds and as described in the current prospectuses of Nations Funds; Nations Funds is registered as an investment company classified as an open-end management company under the 1940 Act, and its registration with the SEC as an investment company is in full force and effect; 5.1.b. The Registration Statement, including the current prospectuses and statement of additional information of the Acquiring Fund, conform or will conform, at all times up to and including the Closing Date, in all material respects to the applicable requirements of the 1933 Act and the 1940 Act and the regulations thereunder and do not include or will not include any untrue statement of a material fact or omit to state any material fact required to be stated therein or necessary to make the statements therein, in light of the circumstances under which they were made, not misleading; 5.1.c. The Acquiring Fund is not in violation of, and the execution, delivery and performance of this Agreement by Nations Funds for itself and on behalf of the Acquiring Fund does not and will not (i) violate Nations Funds' Agreement and Declaration of Trust or By-Laws, or (ii) result in a breach or violation of, or constitute a default under any material agreement or material instrument, to which Nations Funds is a party or by which its properties or assets are bound; 5.1.d. Except as previously disclosed in writing to the Time Horizon Funds, no litigation or administrative proceeding or investigation of or before any court or governmental body is presently pending or, to Nations Funds' knowledge, threatened against Nations Funds or its business, the Acquiring Fund or any of its properties or assets, which, if adversely determined, would materially and adversely affect Nations Funds or the Acquiring Fund's financial condition or the conduct of their business, and Nations Funds knows of no facts that might form the basis for the institution of any such proceeding or investigation, and the Acquiring Fund is not a party to or subject to the provisions of any order, decree or judgment of any court or governmental body which materially and adversely affects, or is reasonably likely to materially and adversely affect, its business or its ability to consummate the transactions contemplated herein; 5.1.e. All issued and outstanding shares, including shares to be issued in connection with the Reorganization, of the Acquiring Fund class will, as of the Closing Date, be duly authorized and validly issued and outstanding, fully paid and non-assessable by Nations Funds and the Acquiring Fund does not have outstanding any option, warrants or other rights to subscribe for or purchase any of its shares nor is there outstanding any security convertible into any of its shares; 5.1.f. The execution, delivery and performance of this Agreement on behalf of the Acquiring Fund will have been duly authorized prior to the Closing Date by all necessary action on the part of Nations Funds and the Trustees, and this Agreement constitutes a valid and binding obligation of Nations Funds and the Acquiring Fund enforceable in accordance with its terms, subject as to enforcement, to bankruptcy, insolvency, reorganization, arrangement, moratorium and other similar laws of general applicability relating to or affecting creditors' rights and to general equity principles; 5.1.g. The Acquiring Fund Shares to be issued and delivered to the corresponding Acquired Fund for the account of the Acquired Fund Investors, pursuant to the terms hereof, will have been duly authorized as of the Closing Date and, when so issued and delivered, will be duly and validly issued, fully paid and non-assessable, and the shares of the class of the Acquiring Fund issued and outstanding prior to the Closing Date were offered and sold in I-7 compliance with the applicable registration requirements, or exemptions therefrom, of the 1933 Act, and the applicable notice or filing requirements, or exemptions therefrom, of all applicable state securities laws, and the regulations thereunder, and no shareholder of the Acquiring Fund shall have any preemptive right of subscription or purchase in respect thereto; 5.1.h. From the effective date of the Registration Statement, through the time of the meeting of the Acquired Fund shareholders and on the Closing Date, any written information furnished by Nations Funds with respect to the Acquiring Fund for use in the Proxy Materials, the Registration Statement or any other materials provided in connection with the Reorganization does not and will not contain any untrue statement of a material fact or omit to state a material fact necessary to make the information provided not misleading; 5.1.i. No governmental consents, approvals, authorizations or filings are required under the 1933 Act, the Securities Exchange Act of 1934 (the "1934 Act"), the 1940 Act or Massachusetts law for the execution of this Agreement by Nations Funds, for itself and on behalf of the Acquiring Fund, or the performance of the Agreement by Nations Funds, for itself and on behalf of the Acquiring Fund, except for the effectiveness of the Registration Statement, and such other consents, approvals, authorizations and filings as have been made or received, and except for such consents, approvals, authorizations and filings as may be required subsequent to the Closing Date; 5.1.j. All federal and other tax returns and reports of Nations Funds and the Acquiring Fund required by law to be filed on or before the Closing Date have been or will be filed, and all federal and other taxes owed by Nations Funds on behalf of the Acquiring Fund have been or will be paid so far as due, and to the best of Nations Funds' knowledge, no such return is currently under audit and no assessment has been asserted with respect to any such return; and 5.1.k. The Acquiring Fund intends to qualify as a "regulated investment company" under the Code, has conducted material investment operations prior to the Closing Date, and has elected to qualify and has qualified as a "regulated investment company" under the Code, as of and since its first taxable year; The Acquiring Fund has been a "regulated investment company" under the Code at all times since the end of its first taxable year when it so qualified; and qualifies and shall continue to qualify as a "regulated investment company" under the Code for its current taxable year. 5.2. Time Horizon Funds, on behalf of itself and each Acquired Fund, represents and warrants to Nations Funds as follows: 5.2.a. Time Horizon Funds was duly incorporated under the laws of the State of Delaware for the purpose of acting as a management investment company under the 1940 Act and is validly existing under the laws of the State of Delaware, and its Declaration of Trust and the laws of the State of Delaware provide that the affairs of Time Horizon Funds shall be managed under the direction of the Trustees and grant them all powers necessary or desirable to carry out such responsibility, including administering Time Horizon Funds business as currently conducted by Time Horizon Funds and as described in the current prospectuses of Time Horizon Funds; Time Horizon Funds is registered as an investment company classified as an open-end management company under the 1940 Act, and its registration with the SEC as an investment company is in full force and effect; 5.2.b. All of the issued and outstanding shares of common stock of each Acquired Fund have been offered and sold in compliance in all material respects with applicable registration requirements of the 1933 Act and state securities laws; I-8 5.2.c. Each Acquired Fund is not in violation of, and the execution, delivery and performance of this Agreement by Time Horizon Funds for itself and on behalf of each Acquired Fund does not and will not (i) violate Time Horizon Funds' Declaration of Trust or By-Laws, or (ii) result in a breach or violation of, or constitute a default under any material agreement or material instrument, to which Time Horizon Funds is a party or by which its properties or assets are bound, except as otherwise previously disclosed in writing to the Acquiring Fund; 5.2.d. Except as previously disclosed in writing to Nations Funds, no litigation or administrative proceeding or investigation of or before any court or governmental body is presently pending or, to Time Horizon Funds' knowledge, threatened against Time Horizon Funds or its business, the Acquired Funds or any of their properties or assets which, if adversely determined, would materially and adversely affect Time Horizon or an Acquired Fund's financial condition or the conduct of their business, and Time Horizon Funds knows of no facts that might form the basis for the institution of any such proceeding or investigation, and no Acquired Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body that materially and adversely affects, or is reasonably likely to materially and adversely affect, its business or its ability to consummate the transactions contemplated herein; 5.2.e. The Statement of Assets and Liabilities, Statement of Operations and Statement of Changes in Net Assets of each Acquired Fund as of and for the year ended June 30, 1998, audited by PricewaterhouseCoopers LLP (copies of which have been or will be furnished to the Acquiring Fund) and the unaudited Statement of Assets and Liabilities, Statement of Operations and Statement of Changes in Net Assets of each Acquired Fund as of and for the six-month period ended December 31, 1998 (copies of which have been or will be furnished to the Acquiring Fund) present fairly, in all material respects, the financial position of each Acquired Fund as of such date and the results of its operations and the changes in its Net Assets for such period in accordance with generally accepted accounting principles consistently applied, and as of such date there were no Liabilities of any Acquired Fund known to Time Horizon Funds that were not disclosed therein but that would be required to be disclosed therein in accordance with generally accepted accounting principles; 5.2.f. Since the date of the most recent audited financial statements, there has not been any material adverse change in any Acquired Fund's financial condition, Assets, Liabilities or business, other than changes occurring in the ordinary course of business, or any incurrence by an Acquired Fund of indebtedness maturing more than one year from the date such indebtedness was incurred, except as otherwise disclosed in writing to and accepted by the Acquiring Fund, prior to the Closing Date (for the purposes of this subparagraph (f), neither a decline in an Acquired Fund's net asset value per share nor a decrease in an Acquired Fund's size due to redemptions shall be deemed to constitute a material adverse change); 5.2.g. All federal and other tax returns and reports of Time Horizon Funds and each Acquired Fund required by law to be filed on or before the Closing Date, have been or will be filed, and all federal and other taxes owed by Time Horizon Funds on behalf of the Acquired Funds, have been or will be paid so far as due, and to the best of Time Horizon Funds' knowledge, no such return is currently under audit and no assessment has been asserted with respect to any such return; 5.2.h. Each Acquired Fund has elected to qualify and has qualified as a "regulated investment company" under the Code, as of and since its first taxable year; has been a "regulated investment company" under the Code at all times since the end of its first taxable year I-9 when it so qualified; and qualifies and shall continue to qualify as a "regulated investment company" under the Code for its taxable year ending upon its liquidation; 5.2.i. All issued and outstanding shares of each Acquired Fund are, and on the Closing Date will be, duly authorized and validly issued and outstanding, and fully paid and non-assessable by Time Horizon Funds, and all such shares will, at the time of the Closing(s), be held by the persons and in the amounts set forth in the list of Acquired Fund Investors provided to the Acquiring Fund, pursuant to paragraph 3.4, and no Acquired Fund has outstanding any options, warrants or other rights to subscribe for or purchase any of its shares, nor is there outstanding any security convertible into any of its shares; 5.2.j. At the Closing Date, each Acquired Fund will have good and marketable title to its Fund Assets and full right, power and authority to assign, deliver and otherwise transfer such Fund Assets hereunder, and upon delivery and payment for such Fund Assets as contemplated herein, the Acquiring Fund will acquire good and marketable title thereto, subject to no restrictions on the ownership or transfer thereof other than such restrictions as might arise under the 1933 Act or state securities laws, and except for any liens or transfer tax liens arising in connection with the transfer of Fund Assets pursuant to this Agreement; 5.2.k. The execution, delivery and performance of this Agreement on behalf of the Acquired Funds will have been duly authorized prior to the Closing Date by all necessary action on the part of Time Horizon Funds and the Trustees, and this Agreement constitutes a valid and binding obligation of Time Horizon Funds and each Acquired Fund enforceable in accordance with its terms, subject as to enforcement, to bankruptcy, insolvency, reorganization, arrangement, moratorium and other similar laws of general applicability relating to or affecting creditors' rights and to general equity principles; 5.2.l. From the effective date of the Registration Statement, through the time of the meeting of the Time Horizon Funds shareholders, and on the Closing Date, the Registration Statement insofar as it relates to materials provided by Time Horizon Funds or the Acquired Funds, used in connection with the preparation of the Registration Statement: (i) will comply in all material respects with the applicable provisions of the 1933 Act, the 1934 Act and the 1940 Act and the regulations thereunder and (ii) will not contain any untrue statement of a material fact or omit to state a material fact required to be stated therein or necessary to make the statements therein not misleading, and as of such dates and times, any written information furnished by Time Horizon Funds, on behalf of the Acquired Funds, for use in the Registration Statement or in any other manner that may be necessary in connection with the transactions contemplated hereby does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the information provided not misleading; and 5.2.m. No governmental consents, approvals, authorizations or filings are required under the 1933 Act, the 1934 Act, the 1940 Act or Delaware law for the execution of this Agreement by Time Horizon Funds, for itself and on behalf of each Acquired Fund, or the performance of the Agreement by Time Horizon Funds for itself and on behalf of each Acquired Fund, except for the effectiveness of the Registration Statement, and except for such other consents, approvals, authorizations and filings as have been made or received, and such consents, approvals, authorizations and filings as may be required subsequent to the Closing Date, it being understood, however, that this Agreement and the transactions contemplated herein must be approved by the shareholders of the Acquired Funds as described in paragraph 8.1; and I-10 the performance of the Agreement by Time Horizon Funds for itself and on behalf of each Acquired Fund, except for the effectiveness of the Registration Statement, and except for such other consents, approvals, authorizations and filings as have been made or received, and such consents, approvals, authorizations and filings as may be required subsequent to the Closing Date, it being understood, however, that this Agreement and the transactions contemplated herein must be approved by the shareholders of the Acquired Funds as described in paragraph 8.1; and 5.2.n. At the Closing Date, the Acquired Funds will have good and marketable title to their assets and full right, power and authority to assign, deliver and otherwise transfer such assets. 6. CONDITIONS PRECEDENT TO OBLIGATIONS OF ACQUIRED FUNDS The obligations of Time Horizon Funds to consummate the Reorganization with respect to each Acquired Fund shall be subject to the performance by Nations Funds, for itself and on behalf of the Acquiring Fund, of all the obligations to be performed by it hereunder on or before the Closing Date and, in addition thereto, the following conditions with respect to the Acquiring Fund: 6.1. All representations and warranties of Nations Funds with respect to the Acquiring Fund contained herein shall be true and correct in all material respects as of the date hereof and, except as they may be affected by the transactions contemplated herein, as of the Closing Date with the same force and effect as if made on and as of the Closing Date. 6.2. Nations Funds, on behalf of the Acquiring Fund, shall have delivered to Time Horizon Funds at the Closing(s) a certificate executed on behalf of the Acquiring Fund by Nations Funds' President, Secretary, Assistant Secretary, or other authorized officer, in a form and substance reasonably satisfactory to Time Horizon Funds and dated as of the Closing Date, to the effect that the representations and warranties of Nations Funds with respect to the Acquiring Fund made herein are true and correct at and as of the Closing Date, except as they may be affected by the transactions contemplated herein, and as to such other matters as such Acquired Fund shall reasonably request. 6.3. Each Acquired Fund shall have received at the Closing(s) a favorable opinion of Morrison & Foerster LLP, counsel to Nations Funds (based upon or subject to such representations, assumptions, limitations or opinions of local counsel as such counsel may deem appropriate or necessary), dated as of the Closing Date, in a form (including the representations, assumptions, limitations or opinions of local counsel upon which it is based or to which it is subject) reasonably satisfactory to each Acquired Fund, substantially to the effect that: 6.3.a. Nations Funds is a duly registered, open-end, management investment company, and its registration with the SEC as an investment company under the 1940 Act is in full force and effect; 6.3.b. the Acquiring Fund is a portfolio of Nations Funds, which is a company duly created pursuant to its Agreement and Declaration of Trust, is validly existing and in good standing under the laws of the Commonwealth of Massachusetts and the Agreement and Declaration of Trust directs the Trustees to manage the affairs of Nations Funds and grants them all powers necessary or desirable to carry out such responsibility, including administering Nations Funds' business as described in the current prospectuses of Nations Funds; I-11 6.3.c. this Agreement has been duly authorized, executed and delivered on behalf of Nations Funds and the Acquiring Fund and, assuming due authorization, execution and delivery of this Agreement on behalf of the Acquired Funds, is a valid and binding obligation of Nations Funds enforceable against Nations Funds in accordance with its terms, subject as to enforcement, to bankruptcy, insolvency, reorganization, arrangement, moratorium and other similar laws of general applicability relating to or affecting creditors' rights and to general equity principles; 6.3.d. the Acquiring Fund Shares to be issued to the Acquired Funds Investors pursuant to this Agreement are duly registered under the 1933 Act on the appropriate form, and are duly authorized and upon such issuance will be validly issued and outstanding and fully paid and non-assessable, and no shareholder of the Acquiring Fund has any preemptive rights to subscription or purchase in respect thereof; 6.3.e. the N-1A Post-Effective Amendment and the Registration Statement have become effective with the SEC and, to the best of such counsel's knowledge, no stop order suspending the effectiveness thereof has been issued and no proceedings for that purpose have been instituted or are pending or threatened; 6.3.f. no consent, approval, authorization, filing or order of any court or governmental authority of the United States or any state is required for the consummation by Nations Funds of the Reorganization with respect to the Acquiring Fund, except for such consents, approvals, authorizations and filings as have been made or received, except for such consents, approvals, authorizations and filings as may be required subsequent to the Closing Date; and except for such consents, approvals, authorizations and filings as may be required under state securities or blue sky law; 6.3.g. to such counsel's knowledge, the execution and delivery of the Agreement and the performance of its terms by Nations Funds, and the Acquiring Fund, do not violate or result in a violation of the Nations Funds Agreement and Declaration of Trust or By-Laws, or any judgment, order or decree known to such counsel, of any court or arbiter, to which Nations Funds is a party, and, to such counsel's knowledge, will not constitute a material breach of the terms, conditions or provisions of, or constitute a default under, any contract, undertaking, indenture or other agreement by which Nations Funds is now bound or to which it is now a party; 6.3.h. to such counsel's knowledge, (a) no legal or governmental proceedings existing on or before the date of mailing the combined proxy statement/prospectus ("Combined Proxy/Prospectus"), involving Nations Funds or the Acquiring Fund, are required to be described in the Combined Proxy/Prospectus which are not described as required and (b) there are no contracts or documents relating to Nations Funds or the Acquiring Fund, known to such counsel, of a character required to be described in the Combined Proxy/Prospectus or to be filed as an exhibit to the Registration Statement that are not described or filed as required; and 6.3.i. to such counsel's knowledge, except as otherwise disclosed in the Registration Statement, no litigation or administrative proceeding or investigation of or before any court or governmental body is presently pending or threatened against Nations Funds or the Acquiring Fund or any of their properties or assets and neither Nations Funds nor any Acquiring Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body that materially and adversely affects, or would materially and adversely affect, its business. I-12 6.4. As of the Closing Date with respect to the Reorganization of each Acquired Fund, there shall have been no material change in the investment objective, policies and restrictions nor any material change in the investment management fees, fee levels payable pursuant to the 12b-1 plan of distribution, other fees payable for services provided to the Acquiring Fund, fee waiver or expense reimbursement undertakings, or sales loads of the Acquiring Fund from those fee amounts, undertakings and sales load amounts described in the prospectus of the Acquiring Fund delivered to the corresponding Acquired Fund pursuant to paragraph 4.1 and in the notice of meeting, form of proxy and Combined Proxy/Prospectus (collectively, "Proxy Materials"). 6.5. With respect to the Acquiring Fund, the Board of Trustees of Nations Funds, including a majority of the "non-interested" Trustees, has determined that the Reorganization is in the best interests of the Acquiring Fund and that the interests of the existing shareholders of the Acquiring Fund would not be diluted as a result of the Reorganization. 6.6. For the period beginning at the Closing Date of the last Reorganization to occur and ending not less than six years thereafter, Nations Funds, its successor or assigns shall provide, or cause to be provided, liability coverage at least as comparable to the liability coverage currently applicable to both former and current Trustees and officers of Time Horizon Funds, covering the actions of such Trustees and officers of Time Horizon Funds for the period they served as such. 6.7. NBAI shall have delivered to Time Horizon Funds, no later than August 9, 1999, a certificate, in form and substance reasonably satisfactory to Time Horizon Funds, bringing current the representations made in the certificate provided by NBAI to Pacific Horizon Funds, Inc. and Master Investment Trust, Series I on May 4, 1999 with respect to The Bank of New York's capability of satisfactorily providing accounting services for the Pacific Horizon funds, master portfolios of Master Investment Trust, Series I and Nations funds, on a combined basis, following the reorganization of the series of Pacific Horizon Funds, Inc. and Master Investment Trust, Series I into corresponding series of Nations funds. 7. CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND The obligations of Nations Funds to consummate the Reorganization with respect to the Acquiring Fund shall be subject to the performance by Time Horizon Funds of all the obligations to be performed by it hereunder, with respect to each corresponding Acquired Fund, on or before the Closing Date and, in addition thereto, the following conditions: 7.1. All representations and warranties of Time Horizon Funds with respect to the Acquired Funds contained herein shall be true and correct in all material respects as of the date hereof and, except as they may be affected by the transactions contemplated by this Agreement, as of the Closing Date, with the same force and effect as if made on and as of the Closing Date. 7.2. Time Horizon Funds, on behalf of each Acquired Fund, shall have delivered to the Acquiring Fund at the Closing(s) a certificate executed on behalf of each Acquired Fund, by Time Horizon Funds' President, Secretary or Assistant Secretary, or other authorized officer, in form and substance reasonably satisfactory to the Acquiring Fund and dated as of the Closing Date, to the effect that the representations and warranties of Time Horizon Funds with respect to each Acquired Fund made herein are true and correct at and as of the Closing Date, except as they may be affected by the transactions contemplated herein and as to such other matters as the Acquiring Fund shall reasonably request. 7.3. The Acquiring Fund shall have received at the Closing(s) a favorable opinion of Vedder, Price, Kaufman & Kammholz, counsel to Time Horizon Funds (based upon or subject to such representations, assumptions, limitations or opinions of local counsel as such counsel may deem I-13 appropriate or necessary), dated as of the Closing Date, in a form (including the representations, assumptions, limitations or opinions of local counsel upon which it is based or to which it is subject) reasonably satisfactory to the Acquiring Fund, substantially to the effect that: 7.3.a. Time Horizon Funds is a duly registered, open-end management investment company, and its registration with the SEC as an investment company under the 1940 Act is in full force and effect; 7.3.b. each Acquired Fund is a portfolio of Time Horizon Funds which is a business trust duly established, validly existing and in good standing under the laws of the State of Delaware, and the Declaration of Trust and by-Laws and the laws of the State of Delaware provide that the affairs of Time Horizon Funds shall be managed under the direction of the Trustees and grants them all powers necessary or desirable to carry out such responsibility, including administering Time Horizon Funds' business as described in the current prospectuses of Time Horizon Funds; 7.3.c. this Agreement has been duly authorized, executed and delivered by Time Horizon Funds, for itself and on behalf of each Acquired Fund and, assuming due authorization, execution and delivery of this Agreement on behalf of the Acquiring Fund, is a valid and binding obligation of Time Horizon Funds, enforceable against Time Horizon Funds in accordance with its terms, subject to the effect of bankruptcy, insolvency, reorganization, arrangement, moratorium and other similar laws of general applicability relating to or affecting creditors' rights and court decisions with respect thereto, and such counsel will express no opinion with respect to the application of equitable principles in any proceeding, whether at law or in equity; 7.3.d. no consent, approval, authorization, filing or order of any governmental authority or to such counsel's knowledge, order of any court of the United States or any state is required for the consummation of the Reorganization by Time Horizon Funds with respect to each Acquired Fund, except for such consents, approvals, authorizations and filings as have been made or received, except for such consents, approvals, authorizations and filings as may be required subsequent to the Closing Date; and except for such consents, approvals, authorizations and filings as may be required under state securities or blue sky law; 7.3.e. to such counsel's knowledge, the execution and delivery of the Agreement and the performance of its terms by Time Horizon Funds, and each Acquired Fund, do not violate or result in a violation of the Time Horizon Funds' Declaration of Trust or By-Laws, or any judgment, order or decree known to such counsel, of any court or arbiter, to which Time Horizon Funds is a party, and, to such counsel's knowledge, will not constitute a material breach of the terms, conditions or provisions of, or constitute a default under, any contract, undertaking, indenture or other agreement by which Time Horizon Funds is now bound or to which it is now a party; 7.3.f. to such counsel's knowledge, (a) no legal or governmental proceedings existing on or before the date of mailing the Combined Proxy/Prospectus involving Time Horizon Funds or the Acquired Funds, are required to be described in the Combined Proxy/Prospectus which are not described as required and (b) there are no contracts or documents relating to Time Horizon Funds or the Acquired Funds, known to such counsel, of a character required to be described in the Combined Proxy/Prospectus or to be filed as an exhibit to the Registration Statement that are not described or filed as required; and I-14 7.3.g. to such counsel's knowledge, except as otherwise disclosed in the Registration Statement, no litigation or administrative proceeding or investigation of or before any court or governmental body is presently pending or threatened against Time Horizon Funds or an Acquired Fund or any of their properties or assets and neither Time Horizon Funds nor an Acquired Fund is a party to or subject to the provisions of any order, decree or judgment of any court or governmental body that materially and adversely affects, or would materially and adversely affect, its business. 7.4. Nations Funds, on behalf of the Acquiring Fund, shall have received from PricewaterhouseCoopers LLP a letter addressed to Nations Funds, on behalf of the Acquiring Fund, and dated as of the Closing Date with respect to the Acquired Funds, in form and substance satisfactory to Nations Funds, to the effect that: 7.4.a. they are independent accountants with respect to Time Horizon Funds and each Acquired Fund within the meaning of the 1933 Act and the applicable regulations thereunder; 7.4.b. in their opinion, the audited financial statements and the per share data provided in accordance with Item 3 in Form N-1A (the "Per Share Data") of the Acquired Fund included or incorporated by reference in the Registration Statement previously reported on by them comply as to form in all material aspects with the applicable accounting requirements of the 1933 Act and the published rules and regulations thereunder; 7.4.c. on the basis of limited procedures agreed upon by Nations Funds, on behalf of the Acquiring Fund and Time Horizon Funds, on behalf of the Acquired Funds, and described in such letter (but not an examination in accordance with generally accepted auditing standards), the data with respect to the Acquired Funds used in the calculation of any figure expressed numerically or in dollars or percentages that appear in the Registration Statement under: (a) "Table II - Total Expense Information" in the Combined Proxy Statement/Prospectus; (b) "Table III - Capitalization as of February 28, 1999 in the Combined Proxy Statement/Prospectus; (c) "Appendix II - Expense Summaries of Time Horizon Funds and the Corresponding Nations Funds" in the Combined Proxy Statement/Prospectus; and (d) the PRO FORMA financial statements in the Statement of Additional Information, agree with the underlying accounting records of the Acquired Funds or with written estimates provided by officers of Time Horizon Funds having responsibility for financial and reporting matters, and were found to be mathematically correct. 7.5. Time Horizon Funds shall have delivered to the Acquiring Fund, pursuant to paragraph 5.2(e), copies of financial statements of each Acquired Fund as of and for the year ended June 30, 1999, audited by PricewaterhouseCoopers LLP. 7.6. The Board of Trustees of Time Horizon Funds, including a majority of "non-interested" Trustees, has determined that the Reorganization is in the best interests of Time Horizon Funds and that the interests of the existing shareholders of Time Horizon Funds would not be diluted as a result of the Reorganization. 8. FURTHER CONDITIONS PRECEDENT TO OBLIGATIONS OF THE ACQUIRING FUND AND THE ACQUIRED FUNDS The obligations of the Acquiring Fund and of each corresponding Acquired Fund herein are subject to the further conditions that on or before the Closing Date with respect to the Acquiring Fund and each corresponding Acquired Fund: I-15 8.1. This Agreement and the transactions contemplated herein shall have been approved by a majority of the votes of the shares of common stock outstanding and entitled to vote of Time Horizon Funds and of each Acquired Fund, consistent with the provisions of the laws of the State of Delaware, Time Horizon Funds' Declaration of Trust and the 1940 Act, and certified copies of the resolutions evidencing such approval shall have been delivered to the Acquiring Fund. Approval of this Agreement by a majority of the votes of the shares of common stock outstanding and entitled to vote in an Acquired Fund shall constitute approval of all of the transactions contemplated herein, including the reorganization of all investment portfolios of Time Horizon Funds with the Nations Family of Funds and the dissolution of Time Horizon Funds, subject to the approval under Delaware law and the Declaration of Trust of Time Horizon Funds by a majority of the votes of the shares of common stock outstanding and entitled to vote of Time Horizon Funds. 8.2. On the Closing Date, no action, suit or other proceeding shall be pending before any court or governmental agency in which it is sought to restrain or prohibit, or obtain damages or other relief in connection with, this Agreement or any of the transactions contemplated herein. 8.3. All consents of other parties and all other consents, orders, approvals and permits of federal, state and local regulatory authorities (including, without limitation, those of the SEC and of state securities authorities) deemed necessary by Nations Funds, on behalf of the Acquiring Fund or by Time Horizon Funds, on behalf of the Acquired Funds, to permit consummation, in all material respects, of the transactions contemplated herein shall have been obtained, except where failure to obtain any such consent, order or permit would not, in the opinion of the party asserting that the condition to closing has not been satisfied, involve a risk of a material adverse effect on the assets or properties of any of the Acquiring Fund or its corresponding Acquired Fund. 8.4. The N-1A Post-Effective Amendment and the Registration Statement shall have become effective under the 1933 Act, no stop orders suspending the effectiveness thereof shall have been issued and, to the best knowledge of the parties hereto, no investigation or proceeding for that purpose shall have been instituted or be pending, threatened or contemplated under the 1933 Act. 8.5. Except to the extent prohibited by Rule 19b-1 promulgated under the 1940 Act, each Acquired Fund shall have declared a dividend or dividends, with a record date and ex-dividend date prior to the Applicable Valuation Date, which, together with all previous dividends, shall have the effect of distributing to each Acquired Fund's shareholders substantially all of its net investment company taxable income, if any, for all taxable periods or years ending on or prior to the Closing Date (computed without regard to any deduction for dividends paid) and substantially all of its net capital gain, if any, realized for all taxable periods or years ending on or prior to the Closing Date (after reduction for any capital loss carry forward.) 8.6. Nations Funds, on behalf of the Acquiring Fund, and Time Horizon Funds, on behalf of each Acquired Fund, shall have received from PricewaterhouseCoopers LLP a letter dated as of the Closing Date, in form and substance satisfactory to Nations Funds and to Time Horizon Funds, to the effect that on the basis of limited procedures agreed upon by Nations Funds, on behalf of the Acquiring Fund and Time Horizon Funds, on behalf of the Acquired Funds (but not an examination in accordance with generally accepted auditing standards), the data with respect to the Acquiring Fund used in the calculation of any figure expressed numerically or in dollars or percentages that appear in the Registration Statement under: (a) "Table II - Total Expense Information" in the Combined Proxy Statement/Prospectus; (b) "Table III - Capitalization" in the Combined Proxy Statement/Prospectus; and (c) "Appendix II - Expense Summaries of Time Horizon Funds and the Corresponding Nations Fund" in Combined Proxy Statement/Prospectus; and (d) the pro forma financial statements in the Statement of Additional Information, agree with the underlying accounting records of the Acquiring Fund or with written estimates provided by I-16 officers of Nations Funds having responsibility for financial and reporting matters, and were found to be mathematically correct. 8.7. Nations Funds and Time Horizon Funds shall have received an opinion of Morrison & Foerster LLP addressed to both Nations Funds and Time Horizon Funds in a form reasonably satisfactory to them, and dated as of the Closing Date, substantially to the effect that on the basis of facts, representations, and assumptions set forth in such opinion: 8.7.a. each Reorganization will constitute a "reorganization" within the meaning of Section 368(a) of the Code, and the Acquiring Fund and the corresponding Acquired Fund will each be a "party to a reorganization" within the meaning of Section 368(b) of the Code with respect to such Reorganization. 8.7.b. no gain or loss will be recognized by an Acquired Fund upon the transfer of its assets and Liabilities to the Acquiring Fund solely in exchange for the Acquiring Fund Shares; 8.7.c. no gain or loss will be recognized by the Acquiring Fund upon the receipt of the assets and assumption of Liabilities of the corresponding Acquired Fund solely in exchange for the Acquiring Fund Shares; 8.7.d. the basis of an Acquired Fund's assets received by the Acquiring Fund pursuant to the Reorganization will be the same as the basis of those assets in the hands of the Acquired Fund immediately prior to the Reorganization; 8.7.e. the holding period of an Acquired Fund's assets in the hands of the Acquiring Fund will include the period for which such assets have been held by the Acquired Fund; 8.7.f. no gain or loss will be recognized by an Acquired Fund on the distribution to its shareholders of the Acquiring Fund Shares to be received by the Acquired Fund in the Reorganization; 8.7.g. no gain or loss will be recognized by the shareholders of an Acquired Fund upon their receipt of the Acquiring Fund Shares in exchange for such shareholders' shares of the Acquired Fund; 8.7.h. the basis of the Acquiring Fund Shares received by the shareholders of the corresponding Acquired Fund will be the same as the basis of the Acquired Fund shares surrendered by such shareholders pursuant to the Reorganization; 8.7.i. the holding period for the Acquiring Fund Shares received by the Acquired Fund shareholders will include the period during which such shareholders held the Acquired Fund shares surrendered therefor, provided that such Acquired Fund shares are held as a capital asset in the hands of the Acquired Fund shareholders on the date of the exchange; and 8.7.j. the Acquiring Fund will succeed to and take into account the tax attributes described in Section 381(c) of the Code of the corresponding Acquired Fund as of the Closing Date, subject to the conditions and limitations specified in the Code. In rendering such opinion described in this paragraph 8.7, Morrison & Foerster LLP may require and, to the extent they deem necessary and appropriate, may rely upon representations made in certificates of Nations Funds and Time Horizon Funds, their affiliates, and principal shareholders. Notwithstanding anything herein to the contrary, neither the Acquiring Fund nor the corresponding Acquired Funds may waive the condition set forth in this paragraph 8.7. I-17 8.8. Nations Funds and Time Horizon Funds shall have received a memorandum addressed to Nations Funds and the Time Horizon Funds, in form reasonably satisfactory to them, prepared by Morrison & Foerster LLP concerning the filing of notices and/or other documents, and the payment of fees, in connection with the shares to be issued by Nations Funds pursuant to this Agreement under applicable state securities laws or the exemption from such filing and payment requirements under such laws. 8.9. The SEC shall not have issued any unfavorable advisory report under Section 25(b) of the 1940 Act nor instituted any proceeding seeking to enjoin consummation of the transactions contemplated by this Agreement under Section 25(c) of the 1940 Act. 8.10. Time Horizon Funds' agreements with each of its service contractors shall have terminated before or at the Closing, and each party has received reasonable assurance that no claim for damages (liquidated or otherwise) will arise as a result of such termination. 9. FINDER'S FEES AND EXPENSES 9.1. Nations Funds, for itself and on behalf of the Acquiring Fund and Time Horizon Funds, on behalf of itself and on behalf of the Acquired Funds, represent and warrant that there are no brokers or finders entitled to receive any payments in connection with the transactions provided for herein. 9.2. NationsBanc Advisors, Inc. shall bear, or shall cause one of its affiliates to bear, the customary expenses associated with the transactions contemplated by this Agreement. 10. ENTIRE AGREEMENT; SURVIVAL OF WARRANTIES 10.1. Except for certain side letter agreements, between NationsBanc Advisors, Inc. and Time Horizon Funds, this Agreement constitutes the entire agreement between the parties and supersedes any prior or contemporaneous understanding or arrangement with respect to the subject matter hereof. 10.2. The representations, warranties and covenants contained in this Agreement or in any document delivered pursuant hereto or in connection herewith shall survive the consummation of the transactions contemplated herein. 11. TERMINATION 11.1. This Agreement may be terminated and the transactions contemplated hereby may be abandoned at any time prior to the Closing: 11.1.a. by the mutual written consent of Nations Funds and Time Horizon Funds; 11.1.b. by either Nations Funds or Time Horizon Funds by notice to the other, without liability to the terminating party on account of such termination (provided any such termination shall not excuse the terminating party from any liability arising out of a default or breach of this Agreement by such terminating party) if such Closing(s) shall not have occurred on or before December 31, 1999, or such other date as may be agreed to by the parties; or I-18 11.1.c. by either of Nations Funds or the Time Horizon Funds, in writing without liability to the terminating party on account of such termination (provided any such termination shall not excuse the terminating party from any liability arising out of a material default or breach of this Agreement by such terminating party), if (i) the other party shall fail to perform in any material respect its agreements contained herein required to be performed prior to the Closing Date, (ii) the other party materially breaches or shall have materially breached any of its representations, warranties or covenants contained herein, or (iii) any other express condition precedent to the obligations of the terminating party has not been met and it reasonably appears that it will not or cannot be met. 11.2. Termination of this Agreement pursuant to paragraphs 11.1(a) or (b) shall terminate all obligations of the parties hereunder with respect to the Acquired Fund and Acquiring Fund affected by such termination, or with respect to Nations Funds and Time Horizon Funds, as the case may be, and there shall be no liability for damages on the part of Nations Funds or Time Horizon Funds or the Trustees or officers of Nations Funds or Trustees or officers of Time Horizon Funds, on account of termination pursuant to paragraphs 11.1(a) or (b), except for possible liability on the part of Nations Funds or Time Horizon Funds as provided in paragraphs 11.1(a) or (b); provided, however, that notwithstanding any termination of this Agreement pursuant to paragraph 11.1, such termination shall not relieve NationsBanc Advisors, Inc. of its obligations pursuant to paragraph 9.2 hereof. 12. AMENDMENTS This Agreement may be amended, modified or supplemented in such manner as may be mutually agreed upon in writing by the authorized officers of Nations Funds, acting on behalf of the Acquiring Fund and the authorized officers of Time Horizon Funds, acting on behalf of each Acquired Fund; provided, however, that following the meeting of the shareholders of the Acquired Funds, no such amendment may have the effect of changing the provisions for determining the number of shares of the Acquiring Fund to be issued to the Acquired Fund Investors under this Agreement to the detriment of such Acquired Fund Investors, or otherwise materially and adversely affecting such Acquired Fund Investors, without the Acquired Fund obtaining the Time Horizon Fund(s)' shareholders further approval except that nothing in this paragraph 12 shall be construed to prohibit any Acquiring Fund and the corresponding Acquired Fund from amending this Agreement to change the Closing Date or Applicable Valuation Date by mutual agreement. At any time prior to or (to the fullest extent permitted by law) after approval of this Agreement by the shareholders of Time Horizon Funds either party may waive any breach by the other party or the failure to satisfy any of the conditions to its obligations (such waiver to be in writing and authorized by the Board of Trustees of the waiving party, or any appropriate officer of either party, with or without the approval of such party's shareholders). 13. NOTICES Any notice, report, statement or demand required or permitted by any provision of this Agreement shall be in writing and shall be given by prepaid telegraph, telecopy, certified mail or overnight express courier addressed to: For Nations Funds, on behalf of itself and the Acquiring Fund: Richard H. Blank, Jr. Secretary c/o Stephens Inc. 111 Center Street Little Rock, Arkansas 72201 I-19 With copies to: Robert M. Kurucza and Marco E. Adelfio Morrison & Foerster LLP 2000 Pennsylvania Avenue, N.W., Suite 5500 Washington, D.C. 20006 For Time Horizon Funds, on behalf of itself and each Acquired Fund: c/o Cathy G. O'Kelly Secretary Vedder, Price, Kaufman & Kammholz 222 North La Salle Street Chicago, IL 60601-1003 14. HEADINGS; COUNTERPARTS; GOVERNING LAW; ASSIGNMENT; LIMITATION OF LIABILITY 14.1. The article and paragraph headings contained herein are for reference purposes only and shall not affect in any way the meaning or interpretation of this Agreement. All references herein to articles, paragraphs, subparagraphs or Schedules shall be construed as referring to articles, paragraphs or subparagraphs hereof or Schedules hereto, respectively. Whenever the terms hereto, hereunder, herein or hereof are used in this Agreement, they shall be construed as referring to this entire Agreement, rather than to any individual article, paragraph, subparagraph or sentence. 14.2. This Agreement may be executed in any number of counterparts, each of which shall be deemed an original. 14.3. This Agreement shall be governed by and construed in accordance with the laws of the State of Delaware, without giving effect to the conflicts of laws principles otherwise applicable therein. 14.4. This Agreement shall bind and inure to the benefit of the parties hereto and their respective successors and assigns, but no assignment or transfer hereof or of any rights or obligations hereunder shall be made by any party without the written consent of the other parties. Nothing herein expressed or implied is intended or shall be construed to confer upon or give any person, firm or corporation, other than the parties hereto and their respective successors and assigns, any rights or remedies under or by reason of this Agreement. 14.5. It is expressly agreed that the obligations of Nations Funds hereunder shall not be binding upon any of the Trustees, shareholders, nominees, officers, agents, or employees of Nations Funds personally, but shall bind only the assets and the property of the Acquiring Fund of Nations Funds, as provided in its Agreement and Declaration of Trust. The execution and delivery by such officers shall not be deemed to have been made by any of them individually or to impose any liability on any of them personally, but shall bind only the assets and the property of the Acquiring Fund of Nations Funds as provided in its Agreement and Declaration of Trust. I-20 14.6. No Acquired Fund shall have any liability for the obligations of any other Acquired Fund hereunder and the Acquiring Fund shall not have any liability for the obligation of any other Acquiring Fund. 14.7. The names "Time Horizon Funds" and "Trustees of Time Horizon Funds" refer respectively to the corporation created and the Trustees, as Trustees but not individually or personally, acting from time to time under Time Horizon Funds' Declaration of Trust, which is hereby referred to and a copy of which is on file in the State of Delaware and at the principal office of Time Horizon Funds. The obligations of "Time Horizon Funds" entered into in the name or on behalf thereof by any of the Trustees, representatives or agents are made not individually, but in such capacities, and are not binding upon any of the Trustees, shareholders, or representatives of the corporation personally, but bind only the corporate property, and all persons dealing with any class of shares of the corporation must look solely to the corporate property belonging to such class for the enforcement of any claims against the corporation. 14.8. Any announcement or similar publicity with respect to this Agreement or the transactions contemplated herein shall be made only at such time and in such manner as the parties shall agree; provided that nothing herein shall prevent either party upon notice to the other party from making such public announcements as such party's counsel may consider advisable in order to satisfy the party's legal and contractual obligations in such regard. I-21 IN WITNESS WHEREOF, the parties hereto have caused this Agreement to be duly executed by their authorized officers, and attested by their Secretaries as of the day and year first written above. NATIONS INSTITUTIONAL RESERVES, for itself and on ATTEST: behalf of the Acquiring Fund _______________________ By: _____________________________ Richard H. Blank, Jr. A. Max Walker Secretary President and Chairman of the Board of Trustees TIME HORIZON FUNDS, for itself and on behalf of each ATTEST: Acquired Fund _______________________ By: _____________________________ Cathy G. O'Kelly Dr. Cornelius J. Pings Secretary President and Chairman of the Board of Trustees NATIONSBANC ADVISORS, INC., hereby joins in this Agreement with respect to, and agrees to be bound by Paragraphs 9.2 and 11.2 hereof By: _____________________________ Robert H. Gordon President I-22 SCHEDULE A ---------- ACQUIRED FUND ACQUIRING FUND - ------------- -------------- Time Horizon Portfolio I Nations Asset Allocation Fund Share Class A Investor A Share Class B Investor B Share Class K Investor C Time Horizon Portfolio II Nations Asset Allocation Fund Share Class A Investor A Share Class B Investor B Share Class K Investor C Time Horizon Portfolio III Nations Asset Allocation Fund Share Class A Investor A Share Class B Investor B Share Class K Investor C APPENDIX II EXPENSE SUMMARIES OF THE TIME HORIZON FUNDS AND NATIONS ASSET ALLOCATION FUND ----------------------------------------------- The following tables (a) compare the fees and expenses as of February 28, 1999, for the Time Horizon Funds and Nations Asset Allocation Fund and (b) show the estimated fees and expenses for Nations Asset Allocation Fund on a PRO FORMA basis after giving effect to the Reorganization. The purpose of these tables is to assist shareholders in understanding the various costs and expenses that investors in these portfolios will bear as shareholders. The tables do not reflect any charges that may be imposed by institutions directly on their customer accounts in connection with investments in the portfolios. The fund operating expense levels shown in this Proxy/Prospectus assume current net asset levels; PRO FORMA expense levels shown should not be considered an actual representation of future expenses or performance. Such PRO FORMA expense levels project anticipated levels but may be greater or less than those shown. NBAI has agreed that it will commit to waive fees and/or reimburse expenses as needed to ensure that, for one year from the Reorganization, Nations Asset Allocation Fund total expense ratios will not exceed the PRO FORMA after waiver expense ratios shown in Table II appearing in the combined Proxy Statement/Prospectus, absent a determination by the Nations Board that extraordinary circumstances or a material reduction in Fund assets has occurred that has made it appropriate to permit an increase in expense ratios. There can be no assurance that such expense ratios will continue after this commitment expires. Please note that the B Shares of the Time Horizon Funds are no longer being offered for sale. II-1 TIME HORIZON PORTFOLIO 1-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES
TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)..... 1.00% 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after waivers).... 0.25% 0.25% 0.25% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.20% 1.20% 1.20% ==== ==== ===== - ---------------------------------------- (1) Certain Class A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for Time Horizon Portfolio 1 and 0.32% for Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.66% for Time Horizon Portfolio 1, and 1.22% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO I FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 12 $ 69 $ 69 3 years ........................................... 38 93 93 5 years ........................................... 66 120 120 10 years .......................................... 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-2 TIME HORIZON PORTFOLIO 1-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)........ 5.00% 5.00% 5.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1).................. 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after waivers).... 1.00% 1.00% 1.00% Other Expenses (after waivers)(2)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3)........ 1.95% 1.95% 1.95% ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 1.01% for Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.41% for Time Horizon Portfolio 1, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 70 $ 70 $ 70 3 years ........................................... 91 91 91 5 years ........................................... 125 125 125 10 years .......................................... 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 20 $ 20 $ 20 3 years ........................................... 61 61 61 5 years ........................................... 105 105 105 10 years .......................................... 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-3 TIME HORIZON PORTFOLIO 1-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.95% 1.95% ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1, and 0.65% for Nations Asset Allocation Fund and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for Time Horizon Portfolio1 and 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.16% for Time Horizon Portfolio 1, and 1.97% for Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 17 $ 30 $ 30 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $17 $ 20 $20 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 - -------------------- II-4 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-5 TIME HORIZON PORTFOLIO 2-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)..... 1.00% 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after waivers).... 0.25% 0.25% 0.25% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.20% 1.20% 1.20% ==== ==== ===== - ---------------------------------------- (1) Certain A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within a two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.60% for Time Horizon Portfolio 2, and 1.22% for Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 12 $ 69 $ 69 3 years ........................................... 38 93 93 5 years ........................................... 66 120 120 10 years .......................................... 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-6 TIME HORIZON PORTFOLIO 2-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)........ 5.00% 5.00% 5.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1).................. 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after waivers).... 1.00% 1.00% 1.00% Other Expenses (after waivers)(2)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3)........ 1.95% 1.95% 1.95% ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.35% for Time Horizon Portfolio 2, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 70 $ 70 $ 70 3 years ........................................... 91 91 91 5 years ........................................... 125 125 125 10 years .......................................... 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 20 $ 20 $ 20 3 years ........................................... 61 61 61 5 years ........................................... 105 105 105 10 years .......................................... 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-7 TIME HORIZON PORTFOLIO 2-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.95% 1.95% ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.10% for Time Horizon Portfolio 2, and 1.97% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 17 $ 30 $ 30 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $17 $ 20 $ 20 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 - -------------------- II-8 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-9 TIME HORIZON PORTFOLIO 3-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... 1.00% 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.25% 0.25% 0.25% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.20% 1.20% 1.20% ==== ==== ==== - ---------------------------------------- (1) Certain A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 3, and 0.65% for and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Funds. (4) Total Fund Operating Expenses (absent waivers) would be 1.60% for Time Horizon Portfolio 3, and 1.22% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $12 $ 69 $ 69 3 years ........................................... 38 93 93 5 years ........................................... 66 120 120 10 years .......................................... 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-10 TIME HORIZON PORTFOLIO 3-CLASS B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)........ 5.00% 5.00% 5.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1).................. 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after waivers).... 1.00% 1.00% 1.00% Other Expenses (after waivers)(2)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3)........ 1.95% 1.95% 1.95% ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.35% for Time Horizon Portfolio 3, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 70 $ 70 $ 70 3 years ........................................... 91 91 91 5 years ........................................... 125 125 125 10 years .......................................... 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 20 $ 20 $ 20 3 years ........................................... 61 61 61 5 years ........................................... 105 105 105 10 years .......................................... 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-11 TIME HORIZON PORTFOLIO 3-CLASS K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None 1.00% 1.00% Redemption Fees .................................... None None None Exchange Fee ....................................... None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.30% 0.30% ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.95% 1.95% ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 3 and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.10% for Time Horizon Portfolio 3, 1.97% for Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 17 $ 30 $30 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME NATIONS ASSET HORIZON ALLOCATION COMBINED FUND PORTFOLIO 3 FUND PRO FORMA ----------- ---- --------- 1 year ............................................ $ 17 $ 20 $ 20 3 years ........................................... 54 61 61 5 years ........................................... 92 105 105 10 years .......................................... 201 228 228 - --------------------
II-12 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-13 TIME HORIZON PORTFOLIO 1-A SHARES TIME HORIZON PORTFOLIO 2-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES
TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ....... None None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends....................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1). 1.00% 1.00% 1.00% 1.00% Redemption Fees ............................... None None None None Exchange Fee .................................. None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2)............. 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 0.25% 0.25% 0.25% 0.25% waivers)................................... Other Expenses (after waivers)(3).............. 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)... 1.20% 1.20% 1.20% 1.20% ==== ==== ==== ===== - ---------------------------------------- (1) Certain Class A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 2, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.66% for Time Horizon Portfolio 1, 1.60% for Time Horizon Portfolio 2, and 1.22% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................ $ 12 $ 12 $ 69 $ 69 3 years ........................... 38 38 93 93 5 years ........................... 66 66 120 120 10 years .......................... 145 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-14 TIME HORIZON PORTFOLIO 1-B SHARES TIME HORIZON PORTFOLIO 2-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ..... None None None None Maximum Sales Load Imposed on Reinvested Dividends..................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds). 5.00% 5.00% 5.00% 5.00% Redemption Fees ............................. None None None None Exchange Fee ................................ None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1)........... 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 1.00% 1.00% 1.00% 1.00% waivers)................................. Other Expenses (after waivers)(2)............ 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3). 1.95% 1.95% 1.95% 1.95% ==== ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 2, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.41% for Time Horizon Portfolio 1, 2.35% for Time Horizon Portfolio 2, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ------------ ------------ ---- --------- 1 year .............................. $ 70 $ 70 $ 70 $ 70 3 years ............................. 91 91 91 91 5 years ............................. 125 125 125 125 10 years ............................ 208 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- 1 year .............................. $ 20 $ 20 $ 20 $ 20 3 years ............................. 61 61 61 61 5 years ............................. 105 105 105 105 10 years ............................ 208 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-15 TIME HORIZON PORTFOLIO 1-K SHARES TIME HORIZON PORTFOLIO 2-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None None 1.00% 1.00% Redemption Fees .................................... None None None None Exchange Fee ....................................... None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.70% 1.95% 1.95% ==== ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 2, and 0.65% for Nations Asset Allocation Fund and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.16% for Time Horizon Portfolio 1, 2.10% for Time Horizon Portfolio 2, and 1.97% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 30 $ 30 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 20 $ 20 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 - -------------------- II-16 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-17 TIME HORIZON PORTFOLIO 1-A SHARES TIME HORIZON PORTFOLIO 3-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ....... None None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends....................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1) 1.00% 1.00% 1.00% 1.00% Redemption Fees ............................... None None None None Exchange Fee .................................. None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2)............. 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 0.25% 0.25% 0.25% 0.25% waivers)................................... Other Expenses (after waivers)(3).............. 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)... 1.20% 1.20% 1.20% 1.20% ==== ==== ==== ===== - ---------------------------------------- (1) Certain Class A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.66% for Time Horizon Portfolio 1, 1.60% for Time Horizon Portfolio 3, 1.22% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO I PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................ $ 12 $ 12 $ 69 $ 69 3 years ........................... 38 38 93 93 5 years ........................... 66 66 120 120 10 years .......................... 145 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-18 TIME HORIZON PORTFOLIO 1-B SHARES TIME HORIZON PORTFOLIO 3-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ..... None None None None Maximum Sales Load Imposed on Reinvested Dividends..................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds). 5.00% 5.00% 5.00% 5.00% Redemption Fees ............................. None None None None Exchange Fee ................................ None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1)........... 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 1.00% 1.00% 1.00% 1.00% waivers)................................. Other Expenses (after waivers)(2)............ 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3). 1.95% 1.95% 1.95% 1.95% ==== ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.41% for Time Horizon Portfolio 1, 2.35% for Time Horizon Portfolio 3, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ------------ ------------ ---- --------- 1 year .............................. $ 70 $ 70 $ 70 $ 70 3 years ............................. 91 91 91 91 5 years ............................. 125 125 125 125 10 years ............................ 208 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year .............................. $ 20 $ 20 $ 20 $ 20 3 years ............................. 61 61 61 61 5 years ............................. 105 105 105 105 10 years ............................ 208 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-19 TIME HORIZON PORTFOLIO 1-K SHARES TIME HORIZON PORTFOLIO 3-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None None 1.00% 1.00% Redemption Fees .................................... None None None None Exchange Fee ....................................... None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.70% 1.95% 1.95% ==== ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1 and 3, and 0.65% for Nations Asset Allocation Fund and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.16% for Time Horizon Portfolio 1, 2.10% for Time Horizon Portfolio 3, and 1.97% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 30 $ 30 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 20 $ 20 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 - -------------------- II-20 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-21 TIME HORIZON PORTFOLIO 2-A SHARES TIME HORIZON PORTFOLIO 3-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ....... None None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends....................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1) 1.00% 1.00% 1.00% 1.00% Redemption Fees ............................... None None None None Exchange Fee .................................. None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2)............. 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 0.25% 0.25% 0.25% 0.25% waivers)................................... Other Expenses (after waivers)(3).............. 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4).... 1.20% 1.20% 1.20% 1.20% ==== ==== ==== ===== - ---------------------------------------- (1) Certain Class A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.60% for Time Horizon Portfolio 2 and 3, and 1.22% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................ $ 12 $ 12 $ 69 $ 69 3 years ........................... 38 38 93 93 5 years ........................... 66 66 120 120 10 years .......................... 145 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-22 TIME HORIZON PORTFOLIO 2-B SHARES TIME HORIZON PORTFOLIO 3-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ..... None None None None Maximum Sales Load Imposed on Reinvested Dividends..................... None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds). 5.00% 5.00% 5.00% 5.00% Redemption Fees ............................. None None None None Exchange Fee ................................ None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1)........... 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 1.00% 1.00% 1.00% 1.00% waivers)................................. Other Expenses (after waivers)(2)............ 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3). 1.95% 1.95% 1.95% 1.95% ==== ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.35% for Time Horizon Portfolio 2 and 3, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ------------ ------------ ---- --------- 1 year .............................. $ 70 $ 70 $ 70 $ 70 3 years ............................. 91 91 91 91 5 years ............................. 125 125 125 125 10 years ............................ 208 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year .............................. $ 20 $ 20 $ 20 $ 20 3 years ............................. 61 61 61 61 5 years ............................. 105 105 105 105 10 years ............................ 208 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-23 TIME HORIZON PORTFOLIO 2-K SHARES TIME HORIZON PORTFOLIO 3-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ............ None None None None Maximum Sales Load Imposed on Reinvested Dividends............................ None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds)(1)......................... None None 1.00% 1.00% Redemption Fees .................................... None None None None Exchange Fee ....................................... None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2).................. 0.00% 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after waivers).... 0.75% 0.75% 1.00% 1.00% Other Expenses (after waivers)(3)................... 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4)........ 1.70% 1.70% 1.95% 1.95% ==== ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 2 and 3, and 0.65% for Nations Asset Allocation Fund and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.10% for Time Horizon Portfolio 2 and 3, and 1.97% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 30 $ 30 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME NATIONS ASSET HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ---- --------- 1 year ............................................ $ 17 $ 17 $ 20 $ 20 3 years ........................................... 54 54 61 61 5 years ........................................... 92 92 105 105 10 years .......................................... 201 201 228 228 - --------------------
II-24 * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-25 TIME HORIZON PORTFOLIO 1-A SHARES TIME HORIZON PORTFOLIO 2-A SHARES TIME HORIZON PORTFOLIO 3-A SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR A SHARES
NATIONS TIME TIME TIME ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) . None None None 5.75% 5.75% Maximum Sales Load Imposed on Reinvested Dividends................. None None None None None Maximum Deferred Sales Load (as a percentage of redemption 1.00% 1.00% 1.00% 1.00% 1.00% proceeds)(1)......................... Redemption Fees ......................... None None None None None Exchange Fee ............................ None None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2)....... 0.00% 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 0.25% 0.25% 0.25% 0.25% 0.25% waivers)............................. Other Expenses (after waivers)(3)........ 0.95% 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4).................................. 1.20% 1.20% 1.20% 1.20% 1.20% ==== ==== ==== ==== ===== - ---------------------------------------- (1) Certain Class A Shares and Investor A Shares that are purchased at net asset value are subject to a Deferred Sales Load if redeemed within two years after purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1, 2 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 1.66% for Time Horizon Portfolio 1, 1.60% for Time Horizon Portfolio 2 and 3, and 1.22% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: NATIONS TIME TIME TIME ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- 1 year ............................ $ 12 $ 12 $ 12 $ 69 $ 69 3 years ........................... 38 38 38 93 93 5 years ........................... 66 66 66 120 120 10 years .......................... 145 145 145 195 195 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-26 TIME HORIZON PORTFOLIO 1-B SHARES TIME HORIZON PORTFOLIO 2-B SHARES TIME HORIZON PORTFOLIO 3-B SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR B SHARES TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) .... None None None None None Maximum Sales Load Imposed on Reinvested Dividends.................... None None None None None Maximum Deferred Sales Load (as a percentage of redemption proceeds) 5.00% 5.00% 5.00% 5.00% 5.00% Redemption Fees ............................ None None None None None Exchange Fee ............................... None None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(1).......... 0.00% 0.00% 0.00% 0.65% 0.65% 12b-1/Shareholder Servicing Fees (after 1.00% 1.00% 1.00% 1.00% 1.00% waivers)................................ Other Expenses (after waivers)(2)........... 0.95% 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(3) 1.95% 1.95% 1.95% 1.95% 1.95% ==== ==== ==== ==== ===== - ---------------------------------------- (1) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1, 2 and 3, and 0.65% for the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (2) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (3) Total Fund Operating Expenses (absent waivers) would be 2.41% for Time Horizon Portfolio 1, 2.35% for Time Horizon Portfolio 2 and 3, and 1.97% for the Nations Asset Allocation Fund and the Combined Fund. EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ------------ ------------ ------------ ---- --------- 1 year ........................ $ 70 $ 70 $ 70 $ 70 $ 70 3 years ....................... 91 91 91 91 91 5 years ....................... 125 125 125 125 125 10 years ...................... 208 208 208 208 208 EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- 1 year .......................... $ 20 $ 20 $ 20 $ 20 $ 20 3 years ......................... 61 61 61 61 61 5 years ......................... 105 105 105 105 105 10 years ........................ 208 208 208 208 208 - ---------------------------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-27 TIME HORIZON PORTFOLIO 1-K SHARES TIME HORIZON PORTFOLIO 2-K SHARES TIME HORIZON PORTFOLIO 3-K SHARES NATIONS ASSET ALLOCATION FUND-INVESTOR C SHARES TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- SHAREHOLDER TRANSACTION EXPENSES: Maximum Sales Load Imposed on Purchases (as a percentage of offering price) ..... None None None None None Maximum Sales Load Imposed on Reinvested Dividends..................... None None None None None Maximum Deferred Sales Load (as a percentage of None None None 1.00% 1.00% redemption proceeds)(1).................. Redemption Fees ............................. None None None None None Exchange Fee ................................ None None None None None ANNUAL FUND OPERATING EXPENSES: (as a percentage of average net assets) Management Fees (after waivers)(2)........... 0.00% 0.00% 0.00% 0.65% 0.65% 12b-1 Fees/Shareholder Servicing (after 0.75% 0.75% 0.75% 1.00% 1.00% waivers)................................. Other Expenses (after waivers)(3)............ 0.95% 0.95% 0.95% 0.30% 0.30% ---- ---- ---- ---- ---- TOTAL FUND OPERATING EXPENSES (after waivers):(4). 1.70% 1.70% 1.70% 1.95% 1.95% ==== ==== ==== ==== ==== - ---------------------------------------- (1) Investor C Shares that are purchased at net asset value are subject to a Deferred Charge if redeemed within one year of purchase. (2) Management Fees (absent waivers) would be 0.40% for Time Horizon Portfolio 1, 2 and 3, and 0.65% for Nations Asset Allocation Fund and the Combined Fund. "Management Fees" represent investment advisory fees for the respective funds; all administrative fees are included in "Other Expenses." (3) Other Expenses (absent waivers) would be 1.01% for the Time Horizon Portfolio 1 and 0.32% for the Nations Asset Allocation Fund. (4) Total Fund Operating Expenses (absent waivers) would be 2.16% for Time Horizon Portfolio 1, 2.10% for Time Horizon Portfolio 2 and 3, and 1.97% for Nations Asset Allocation Fund and the Combined Fund EXAMPLE:* You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) redemption at the end of each time period: TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- 1 year ............................. $ 17 $ 17 $ 17 $ 30 $ 30 3 years ............................ 54 54 54 61 61 5 years ............................ 92 92 92 105 105 10 years ........................... 201 201 201 228 228 You would pay the following expenses on a $1,000 investment, assuming (1) 5% gross annual return and (2) no redemption at the end of each time period: TIME TIME TIME NATIONS ASSET HORIZON HORIZON HORIZON ALLOCATION COMBINED FUND PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3 FUND PRO FORMA ----------- ----------- ----------- ---- --------- 1 year ............................. $ 17 $ 17 $ 17 $ 20 $ 20 3 years ............................ 54 54 54 61 61 5 years ............................ 92 92 92 105 105 10 years ........................... 201 201 201 228 228
II-28 - -------------------- * THESE EXAMPLES SHOULD NOT BE CONSIDERED A REPRESENTATION OF FUTURE EXPENSES WHICH MAY BE MORE OR LESS THAN THOSE SHOWN. THE ASSUMED 5% ANNUAL RETURN IS HYPOTHETICAL AND SHOULD NOT BE CONSIDERED A REPRESENTATION OF PAST OR FUTURE ANNUAL RETURN; ACTUAL RETURN MAY BE GREATER OR LESS THAN THE ASSUMED AMOUNT. THESE EXAMPLES ASSUME THAT ALL DIVIDENDS AND OTHER DISTRIBUTIONS ARE REINVESTED AND THAT THE PERCENTAGE AMOUNTS LISTED UNDER TOTAL FUND OPERATING EXPENSES ABOVE REMAIN THE SAME IN THE YEARS SHOWN. The purpose of the foregoing tables is to assist an investor in understanding the various costs and expenses that an investor in the Funds will bear directly or indirectly. II-29 APPENDIX III INVESTMENT OBJECTIVES, LIMITATIONS AND CERTAIN SIGNIFICANT INVESTMENT POLICIES OF THE TIME HORIZON FUNDS AND NATIONS ASSET ALLOCATION FUND ----------------------------------------------- This Appendix highlights the investment objectives and certain significant similarities and differences among the investment limitations and investment policies of the three Time Horizon Funds and the Nations Asset Allocation Fund into which they will be reorganized. The following is qualified in its entirety by the more detailed information included in the prospectuses and statements of additional information for the Time Horizon Funds and the Nations Asset Allocation Fund which are incorporated by reference in this Proxy/Prospectus. I. TIME HORIZON PORTFOLIO 1/ NATIONS ASSET ALLOCATION FUND Investment Objectives: 1. TIME HORIZON PORTFOLIO 1: to seek to provide long-term investors maximum total return over a stated period while increasingly emphasizing capital preservation as each Fund approaches its time horizon, around the year 2005. 2. NATIONS ASSET ALLOCATION FUND: to seek to obtain long-term growth from capital appreciation and dividend and interest income. Comment: The Time Horizon Portfolio 1 will pursue its objective by investing all of its assets through an asset allocation approach using equity and fixed income (including cash equivalents) securities. Under normal circumstances, Bank of America currently will manage the Time Horizon Portfolio 1's strategic asset allocation mix within the following ranges: Equity securities: range between 15%-45%; fixed income securities: range between 55%-85%. As of March 31, 1999, approximately 35% of the portfolio was invested in equity securities and approximately 65% was invested in fixed income securities. The Portfolio's investment in equity securities are comprised of common and preferred stocks, and securities convertible into such stocks, of domestic and foreign companies with small, medium and large market capitalization (public market price times outstanding total shares). Fixed income securities acquired by the Funds must be investment grade at the time of purchase, and may include domestic and foreign corporate debt obligations (including bonds, debentures, notes and zero coupon securities), government debt obligations and mortgage backed and asset-backed securities. The Portfolio is not restricted as to the maturity or average maturity of its fixed income investments, but the average weighted maturity of the Portfolio's fixed income securities will decrease as it gets closer to its target time horizon. For temporary defensive purposes, the Portfolio may invest without limitation in cash equivalents such as money market instruments and money market mutual funds. The Portfolio's fundamental policy restricts the investment in securities that have legal or contractual restrictions on resale or that are illiquid to 10% of net assets The Portfolio will invest no more than 20% of its total assets at the time of purchase in securities of foreign issuers, of which 10% of such total assets may be invested in debt obligations of foreign issuers. The Nations Asset Allocation Fund will pursue its objective by actively allocating its investments among three major asset categories; bonds, equity securities and cash equivalents. Under normal market conditions, at least 25% of the Fund's total assets will be invested in fixed income senior securities. Investments in equity securities will be limited to common stocks included in either the DJIA or the S&P 500, however, up to 15% of the Fund's assets that are invested in equity securities may be invested in stocks that are not included in theses indices. Bonds acquired by the Fund will be investment grade at the time of purchase, and may include corporate and government obligations, mortgage backed securities and municipal securities. The Fund will not invest more than 35% of its net assets in mortgage-backed securities. The Fund may invest up to 25% of its total assets in securities issued by foreign issuers. III-1 II. TIME HORIZON PORTFOLIO 2/ NATIONS ASSET ALLOCATION FUND Investment Objectives: 1. TIME HORIZON PORTFOLIO 2: to seek to provide long-term investors maximum total return over a stated period while increasingly emphasizing capital preservation as each Fund approaches its time horizon, around the year 2015. 2. NATIONS ASSET ALLOCATION FUND: to seek to obtain long-term growth from capital appreciation and dividend and interest income. Comment: The Time Horizon Portfolio 2 will pursue its objective by investing all of its assets through an asset allocation approach using equity and fixed income (including cash equivalents) securities. Under normal circumstances, Bank of America currently will manage the Time Horizon Portfolio 2's strategic asset allocation mix within the following ranges: equity securities: range between 30%-70%; fixed income securities: range between 30%-70%. As of March 31, 1999, the Portfolio was split approximately 50/50 between equity and fixed income securities. The Portfolio's investment in equity securities are comprised of common and preferred stocks, and securities convertible into such stocks, of domestic and foreign companies with small, medium and large market capitalization (public market price times outstanding total shares). Fixed income securities acquired by the Funds must be investment grade at the time of purchase, and may include domestic and foreign corporate debt obligations (including bonds, debentures, notes and zero coupon securities), government debt obligations and mortgage backed and asset-backed securities. The Portfolio is not restricted as to the maturity or average maturity of its fixed income investments, but the average weighted maturity of the Portfolio's fixed income securities will decrease as it gets closer to its target time horizon. For temporary defensive purposes, the Portfolio may invest without limitation in cash equivalents such as money market instruments and money market mutual funds. The Portfolio's fundamental policy restricts the investment in securities that have legal or contractual restrictions on resale or that are illiquid to 10% of net assets The Portfolio will invest no more than 20% of its total assets at the time of purchase in securities of foreign issuers, of which 10% of such total assets may be invested in debt obligations of foreign issuers. The Nations Asset Allocation Fund will pursue its objective by actively allocating its investments among three major asset categories; bonds, equity securities and cash equivalents. Under normal market conditions, at least 25% of the Fund's total assets will be invested in fixed income senior securities. Investments in equity securities will be limited to common stocks included in either the DJIA or the S&P 500, however, up to 15% of the Fund's assets that are invested in equity securities may be invested in stocks that are not included in theses indices. Bonds acquired by the Fund will be investment grade at the time of purchase, and may include corporate and government obligations, mortgage backed securities and municipal securities. The Fund will not invest more than 35% of its net assets in mortgage-backed securities. The Fund may invest up to 25% of its total assets in securities issued by foreign issuers. III. TIME HORIZON PORTFOLIO 3/ NATIONS ASSET ALLOCATION FUND Investment Objectives: 1. TIME HORIZON PORTFOLIO 3: to seek to provide long-term investors maximum total return over a stated period while increasingly emphasizing capital preservation as each Fund approaches its time horizon, around the year 2025. 2. NATIONS ASSET ALLOCATION FUND: to seek to obtain long-term growth from capital appreciation and dividend and interest income. Comment: The Time Horizon Portfolio 3 will pursue its objective by investing all of its assets through an asset allocation approach using equity and fixed income securities. III-2 Under normal circumstances, Bank of America currently will manage the Time Horizon Portfolio 3's strategic asset allocation mix within the following ranges: equity securities: range between 40%-100%; fixed income securities: range between 0%-60%. As of March 31, 1999, approximately 70% of the Portfolio was invested in equity securities and approximately 30% was invested in fixed-income securities. The Portfolio's investment in equity securities are comprised of common and preferred stocks, and securities convertible into such stocks, of domestic and foreign companies with small, medium and large market capitalization (public market price times outstanding total shares). The Portfolio's investment in equity securities are comprised of common and preferred stocks, and securities convertible into such stocks, of domestic and foreign companies with small, medium and large market capitalization (public market price times outstanding total shares). Fixed income securities acquired by the Funds must be investment grade at the time of purchase, and may include domestic and foreign corporate debt obligations (including bonds, debentures, notes and zero coupon securities), government debt obligations and mortgage backed and asset-backed securities. The Portfolio is not restricted as to the maturity or average maturity of its fixed income investments, but the average weighted maturity of the Portfolio's fixed income securities will decrease as it gets closer to its target time horizon. For temporary defensive purposes, the Portfolio may invest without limitation in cash equivalents such as money market instruments and money market mutual funds. The Portfolio's fundamental policy restricts the investment in securities that have legal or contractual restrictions on resale or that are illiquid to 10% of net assets The Portfolio will invest no more than 20% of its total assets at the time of purchase in securities of foreign issuers, of which 10% of such total assets may be invested in debt obligations of foreign issuers. The Nations Asset Allocation Fund will pursue its objective by actively allocating its investments among three major asset categories: bonds, equity securities and cash equivalents. Under normal market conditions, at least 25% of the Fund's total assets will be invested in fixed income senior securities. Investments in equity securities will be limited to common stocks included in either the DJIA or the S&P 500, however, up to 15% of the Fund's assets that are invested in equity securities may be invested in stocks that are not included in theses indices. Bonds acquired by the Fund will be investment grade at the time of purchase, and may include corporate and government obligations, mortgage-backed securities and municipal securities. The Fund will not invest more than 35% of its net assets in mortgage-backed securities. The Fund may invest up to 25% of its total assets in securities issued by foreign issuers. III-3 APPENDIX IV SHAREHOLDER TRANSACTIONS AND SERVICES OF THE TIME HORIZON PORTFOLIOS AND NATIONS ASSET ALLOCATION FUND _______________________________________________ This Appendix compares the shareholder transactions and services of the Time Horizon Funds and the Nations Asset Allocation Fund. The following is qualified in its entirety by the more detailed information included in the prospectuses for the Time Horizon Funds and the Nations Asset Allocation Fund which are incorporated by reference in this Proxy/Prospectus. Unless otherwise indicated, terms used herein and not otherwise defined have the same meanings as are given to them in such prospectuses. Please note that after the Reorganization, Nations will continue to honor any standing instructions regarding the Time Horizon Fund classes, under arrangements such as automatic withdrawal plans, systematic investment plans or dividend reinvestment plans. In such cases, standing instructions will be subject to the same or similar terms (e.g., minimum investments, account balances and minimum transaction amounts) currently in effect, except that there may be exceptions with respect to the timing of transactions which may need to be altered to comport with Nations procedures. Shareholders will be notified of any such exceptions. After the Reorganization, any instructions given with respect to any new account will be subject to the terms of the applicable Nations Asset Allocation Fund class. I. TIME HORIZON FUNDS - A SHARES NATIONS ASSET ALLOCATION FUND - INVESTOR A SHARES A. Sales Charges and Exemptions ---------------------------- Currently no sales charge is imposed on A Shares of each of Time Horizon Portfolio 1, Time Horizon Portfolio 2 and Time Horizon Portfolio 3. However, the Board of Time Horizon authorized a maximum sales charge of 5.75% on A Shares of each Time Horizon Fund, which has not been implemented. If implemented, the sales charge with respect to A Shares of the Time Horizon funds could decrease as the amount a shareholder invests increases. Also, there would be no initial sales charge on purchases of A shares of $1 million or more. However, unless a Time Horizon Fund shareholder participates in the Bank of America Daily Advantage(R) or Advantage Plus(TM) programs, a contingent deferred sales charge would be imposed on purchases of $ 1 million or more as follows: 1% on redemptions made within 1 year of purchase, declining to 0.50% in the second year, and eliminated thereafter. An investor would be entitled to reduced sales charges on A Shares through rights of accumulation, letters of intent, quantity discounts, or through certain affiliations with BankAmerica Corporation. There is a maximum sales charge of 5.75% on Investor A Shares of Nations Asset Allocation Fund. Investor A Shares of the Nations Asset Allocation Fund that are purchased at net asset value have in addition a 1.00% and 0.50% maximum deferred sales charge which is imposed only if shares are redeemed within the first and second years of purchase, respectively. An investor may be entitled to reduced sales charges on Investor A Shares through rights of accumulation, letters of intent, quantity discounts, or through certain affiliations with BankAmerica Corporation. IV-1
B. Purchase Policies ----------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Minimum initial investment $500 for a regular account; $100 for $1,000 for a regular account; $500 investors purchasing through BofA or for IRA investors; $250 for its affiliates*; $500 for IRA, Roth non-working spousal IRAs; $250 for IRA or SEP IRA investors; $250 for wrap fee and other investment non-working spousal IRAs; $2500 for adviser accounts; $100 for investors SEP-IRAs with more than one participating in the Systematic participant. Investment Plan; no minimum investment for 401(k) plans, simplified employee pension plans ("SEPs"), Savings Incentives Method Plans for Employees ("SIMPLE IRAs") and salary reduction-IRAs ("SAR-IRAs").** Minimum subsequent investments $50 for regular accounts; for IRA, $100; $50 for subsequent investments Roth IRA or SEP IRA investors; for made through the Systematic Investment Plan. non-working spousal IRAs; or for SEP-IRAs. Purchase methods Through Bank of America; Service Through Selling Agents, Servicing Organizations; in person; by mail; Agents, a Nations Fund Personal by wire; by telephone; or Teletrade. Investment Planner account; by mail; by wire; by telephone# and a Systematic Investment Plan. C. Redemption Procedures --------------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Through an authorized selling or Yes Yes servicing agent By mail Yes Yes By telephone Yes Yes#
- -------------------- * The minimum investment is $100 for purchases made through BofA or its affiliates' trust and agency accounts or a Service Organization whose clients have made aggregate minimum purchases of $1 million. The minimum investment is $200 for BankAmerica cardholders with an appropriate award certificate. ** The assets of such plans must reach an asset value of $1,000 ($500 for SEPs, SAR-SEPs, SIMPLE IRAs and SAR-IRAs) within one year of the account open date. If the assets of such plans do not reach the minimum asset size within one year, Nations reserves the right to redeem the Shares held by such plans on 60 days' written notice. # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000. # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000 IV-2
TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- By wire Yes Yes Check writing feature No No By automatic withdrawal plan Yes (net asset value of account must Yes (net asset value of account must be $5,000) be $10,000)@
Due to the high cost of maintaining fund accounts with small balances, Nations Funds may redeem Investor A Shares and Time Horizon may redeem A Shares, if the balance in a shareholder's account with the Fund drops below $500 as a result of redemptions, and the shareholder does not increase the balance to at least $500 on 60 days' written notice. Share balances also may be redeemed at the direction of an agent pursuant to arrangements between the agent and its customer. Nations and Time Horizon also may redeem shares of the Nations Funds and Time Horizon Funds involuntarily or make payment for redemption in readily marketable securities or other property under certain circumstances in accordance with the 1940 Act. D. Additional Shareholder Services -------------------------------
TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Systematic/automatic investment plan Yes ($50 or more) Yes (in any amount from $50 to $100,000). E. Share Exchanges --------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- By mail Yes Yes By telephone Yes Yes Minimum The A Shares exchanged must have a The Investor A Shares exchanged must current value of at least $500. have a current value of at least $1,000 Automatic exchange feature No Yes. A shareholder may automatically exchange at least $25 on a monthly or quarterly basis.
Investor A Shares of Nations Asset Allocation Fund may be exchanged for Investor A Shares of any other Nations Fund (except Nations index funds). Exchanges are subject to the minimum investment requirements imposed. A Shares of a Time Horizon Fund may be exchanged for A Shares of any other Time Horizon Fund or Pacific Horizon Fund, a separate investment company advised by Bank of America, or for Pacific Horizon Shares of Pacific Horizon money market funds. Exchanges are subject to the minimum investment requirements imposed. - ---------------------- @ Shares of Nations Funds redeemed under the automatic withdrawal plan will not be subject to a contingent deferred sales charge, provided that the shares so redeemed do not exceed, on an annual basis, 12% of the net asset value of the respective shares in the account. IV-3 II. TIME HORIZON FUNDS - B SHARES CORRESPONDING NATIONS FUNDS - INVESTOR B SHARES A. Sales Charges and Exemptions ----------------------------- There is a maximum deferred sales charge of 5.00% on Class B Shares and Investor B Shares of each of the Time Horizon Funds and the Nations Funds, respectively, if such shares are redeemed within a specified number of years of the initial purchase. The deferred sales charge is reduced as the number of years the shares are held increases, and there is no deferred sales charge on shares held for seven years or longer. B. Purchase Policies ------------------
TIME HORIZON FUNDS NATIONS FUNDS ------------------ ------------- Minimum initial investment $500 for a regular account; $100 for $1,000 for a regular account; $500 investors purchasing through BofA or for IRA investors; $250 for its affiliates*; $500 for IRA, Roth non-working spousal IRAs; $100 for IRA or SEP IRA investors; $250 for investors participating in the non-working spousal IRAs; $2500 for Systematic Investment Plan; no SEP-IRAs with more than one minimum investment for 401(k) plans, participant. simplified employee pension plans ("SEPs"), Savings Incentives Method Plans for Employees ("SIMPLE IRAs") and salary reduction-IRAs ("SAR-IRAs").** Minimum subsequent investments $50 for regular accounts; for IRA, $100; $50 for subsequent investments Roth IRA or SEP IRA investors; for made through the non-working spousal IRAs; or for Systematic Investment Plan. SEP-IRAs. Purchase methods Through Bank of America; Service Through Selling Agents, Servicing Organizations; in person; by mail; Agents, a Nations Fund Personal by wire; by telephone; or Teletrade. Investment Planner account; by mail; by wire; by telephone# and a Systematic Investment Plan. C. Redemption Procedures --------------------- TIME HORIZON FUNDS NATIONS FUNDS ------------------ -------------
- ------------------------- * The minimum investment is $100 for purchases made through BofA or its affiliates' trust and agency accounts or a Service Organization whose clients have made aggregate minimum purchases of $1 million. The minimum investment is $200 for BankAmerica cardholders with an appropriate award certificate. ** The assets of such plans must reach an asset value of $1,000 ($500 for SEPs, SAR-SEPs and SAR-IRAs) within one year of the account open date. If the assets of such plans do not reach the minimum asset size within one year, Nations reserves the right to redeem the Shares held by such plans on 60 days' written notice. # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000. IV-4
Through an authorized selling or Yes Yes servicing agent By mail Yes Yes By telephone Yes Yes# By wire Yes Yes Check writing feature No No By automatic withdrawal plan Yes (net asset value of account must Yes (net asset value of account must be $5,000) be $10,000)@
Due to the high cost of maintaining fund accounts with small balances, Nations Funds may redeem Investor B Shares and Time Horizon may redeem B Shares, if the balance in a shareholder's account with the Fund drops below $500 as a result of redemptions, and the shareholder does not increase the balance to at least $500 on 60 days' written notice. Share balances also may be redeemed at the direction of an agent pursuant to arrangements between the agent and its customer. Nations and Time Horizon also may redeem shares of the Nations Funds and Time Horizon Funds involuntarily or make payment for redemption in readily marketable securities or other property under certain circumstances in accordance with the 1940 Act. D. Additional Shareholder Services -------------------------------
TIME HORIZON FUNDS NATIONS FUNDS ------------------ ------------- Systematic/automatic investment plan Yes Yes (in any amount from $50 to $100,000). Conversion feature Yes (to A Shares in 8 years) Yes (to Investor A shares in 8 years) E. Share Exchanges --------------- TIME HORIZON FUNDS NATIONS FUNDS ------------------ ------------- By mail Yes Yes By telephone Yes Yes Minimum The B Shares exchanged must have a The Investor B Shares exchanged must current value of at least $500. have a current value of at least $1,000
Investor B Shares of a Nations Fund may be exchanged for Investor B Shares of any other Nations Fund non-money market fund or Investor C Shares of a non-Nations Institutional Reserves money market fund. Exchanges are subject to the minimum investment requirements imposed. - --------------------------- # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000. @ Shares of Nations Funds redeemed under the automatic withdrawal plan will not be subject to a contingent deferred sales charge, provided that the shares so redeemed do not exceed, on an annual basis, 12% of the net asset value of the respective shares in the account. IV-5 B Shares of a Time Horizon Fund may be exchanged for B Shares of any other Time Horizon Fund or Pacific Horizon Fund or the Y Shares of Pacific Horizon's Prime Fund. Exchanges are subject to the minimum investment requirements imposed. III. TIME HORIZON FUNDS - K SHARES NATIONS ASSET ALLOCATION FUND - INVESTOR C SHARES A. Sales Charges and Exemptions ---------------------------- Time Horizon's K Shares and Nations Funds' Investor C Shares are offered at net asset value with no front-end sales charges, although a 1.00% deferred sales charge will apply to all redemptions of Nations Funds' Investor C Shares made within one year of purchase. B. Purchase Policies -----------------
TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Minimum initial investment $500 for a regular account; $100 for $1,000 for a regular account; $500 investors purchasing through BofA or for IRA investors; $250 for its affiliates*; $500 for IRA, Roth non-working spousal IRAs; $100 for IRA or SEP IRA investors; $250 for investors participating in the non-working spousal IRAs; $2500 for Systematic Investment Plan; no SEP-IRAs with more than one minimum investment for 401(k) plans, participant. simplified employee pension plans ("SEPs"), Savings Incentives Method Plans for Employees ("SIMPLE IRAs") and salary reduction-IRAs ("SAR-IRAs").** Minimum subsequent investments $50 for regular accounts; for IRA, $100; $50 for subsequent investments Roth IRA or SEP IRA investors; for made through the non-working spousal IRAs; or for Systematic Investment Plan. SEP-IRAs. Purchase methods Through Bank of America; Service Through Selling Agents, Servicing Organizations; in person; by mail; Agents, a Nations Fund Personal by wire; by telephone; or Teletrade. Investment Planner account; by mail; by wire; by telephone# and a Systematic Investment Plan.
- ---------------------------- * The minimum investment is $100 for purchases made through BofA or its affiliates' trust and agency accounts or a Service Organization whose clients have made aggregate minimum purchases of $1 million. The minimum investment is $200 for BankAmerica cardholders with an appropriate award certificate. ** The assets of such plans must reach an asset value of $1,000 ($500 for SEPs, SAR-SEPs and SAR-IRAs) within one year of the account open date. If the assets of such plans do not reach the minimum asset size within one year, Nations reserves the right to redeem the Shares held by such plans on 60 days' written notice. # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000. IV-6
C. Redemption Procedures --------------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Through an authorized selling or Yes Yes servicing agent By mail Yes Yes By telephone Yes Yes# By wire Yes Yes Check writing feature No No By automatic withdrawal plan Yes (net asset value of account must Yes (net asset value of account must be $5,000) be $10,000)@
Due to the high cost of maintaining fund accounts with small balances, Nations Funds may redeem Investor C Shares and Time Horizon may redeem K Shares, if the balance in a shareholder's account with the Fund drops below $500 as a result of redemptions, and the shareholder does not increase the balance to at least $500 on 60 days' written notice. Share balances also may be redeemed at the direction of an agent pursuant to arrangements between the agent and its customer. Nations and Time Horizon also may redeem shares of Nations Asset Allocation Fund and Time Horizon Funds involuntarily or make payment for redemption in readily marketable securities or other property under certain circumstances in accordance with the 1940 Act.
D. Additional Shareholder Services ------------------------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Systematic/automatic investment plan Yes ($50 or more) Yes (in any amount from $50 to $100,000). E. Share Exchanges --------------- TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- By mail Yes Yes By telephone Yes Yes Minimum The K Shares exchanged must have a The Investor C Shares exchanged must current value of at least $500. have a current value of at least $1,000
- ------------------------------- # Telephone transactions for the Nations Funds, consisting of purchases, exchanges and redemptions, are limited to $50,000. @ Shares of Nations Funds redeemed under the automatic withdrawal plan will not be subject to a contingent deferred sales charge, provided that the shares so redeemed do not exceed, on an annual basis, 12% of the net asset value of the respective shares in the account. IV-7
TIME HORIZON FUNDS NATIONS ASSET ALLOCATION FUND ------------------ ----------------------------- Automatic exchange feature No Yes. A shareholder may automatically exchange at least $25 on a monthly or quarterly basis.
Investor C Shares of Nations Asset Allocation Fund may be exchanged for Investor C Shares of any other Nations Fund non-money market fund (other than an index fund) or Daily Shares of certain money market funds. Exchanges are subject to the minimum investment requirements imposed. K Shares of a Time Horizon Fund may be exchanged for K Shares of any other Time Horizon Fund or Pacific Horizon Fund. Exchanges are subject to the minimum investment requirements imposed. IV. DIVIDENDS. Dividends for each of the Time Horizon Funds are declared and paid at least annually. Dividends for Nations Asset Allocation Fund are declared and paid quarterly. IV-8 [Appendix V to be Filed in 497B Definitive Filing] STATEMENT OF ADDITIONAL INFORMATION DATED JUNE 21, 1999 TIME HORIZON FUNDS 400 Bellevue Parkway Wilmington, Delaware 19809 1-800-653-9427 NATIONS INSTITUTIONAL RESERVES One Bank of America Plaza, 33rd Floor Charlotte, North Carolina 28255 1-800-321-7854 (AUGUST 13, 1999 SPECIAL MEETING OF SHAREHOLDERS OF TIME HORIZON FUNDS) This Statement of Additional Information is not a prospectus but should be read in conjunction with the Proxy/Prospectus dated the date hereof, for the Special Meeting of Shareholders of Time Horizon Funds to be held on August 13, 1999. Copies of the Proxy/Prospectus may be obtained at no charge by writing or calling Time Horizon Funds or Nations Institutional Reserves at the addresses or telephone numbers set forth above. Unless otherwise indicated, capitalized terms used herein and not otherwise defined have the same meanings as are given to them in the Proxy/Prospectus. INCORPORATION OF DOCUMENTS BY REFERENCE IN STATEMENT OF ADDITIONAL INFORMATION Further information about the Investor A Shares, Investor B Shares, and Investor C Shares of Nations Asset Allocation Fund is contained in and incorporated herein by reference to the Statement of Additional Information for Nations Institutional Reserves dated September 1, 1998, as supplemented on May 21, 1999. Further information about the A Shares, B Shares, and K Shares of the Time Horizon Funds is contained in and incorporated herein by reference to the Statement of Additional Information dated November 1, 1998. The audited financial statements and related Report of Independent Accountants for the year ended February 28, 1999 for the Pacific Horizon Asset Allocation Fund, predecessor to Nations Asset Allocation Fund, are incorporated herein by reference. No other parts of the annual and semi-annual reports are incorporated herein by reference. The audited financial statements and related Report of Independent Accountants for the year ended June 30, 1998 for the Time Horizon Funds are incorporated herein by reference. No other parts of the annual reports are incorporated herein by reference. 1 TABLE OF CONTENTS General Information.....................................3 Introductory Note to PRO FORMA Financial Information....4 2 GENERAL INFORMATION The Reorganization contemplates the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund ( the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value. The Shares issued by the Asset Allocation Fund will have an aggregate dollar value equal to the aggregate dollar value of the shares of the respective Time Horizon Fund that are outstanding immediately before the closing of the Reorganization. Immediately after the Closing, each Time Horizon Fund will distribute the Shares of the Asset Allocation Fund received in the Reorganization to its shareholders in liquidation of the Time Horizon Fund. Each shareholder owning shares of a particular Time Horizon Fund at the Closing will receive Shares of the designated class of the Asset Allocation, and will receive any unpaid dividends or distributions that were declared before the Closing on Time Horizon Fund shares. Nations will establish an account for each former shareholder of the Time Horizon Funds reflecting the number of Asset Allocation Fund Shares distributed to that shareholder. If the Reorganization Agreement is approved and consummated, Time Horizon will transfer all of its assets and liabilities, as of the Closing, and all outstanding shares of the Time Horizon Funds will be redeemed and canceled in exchange for shares of the Asset Allocation Fund, and Time Horizon will wind up its affairs and apply to be de-registered as an investment company under the 1940 Act and thereafter dissolve under Delaware law. Other than in the normal course of business, it is not expected that there will be any material realignment of the portfolio holdings of the Time Horizon Funds after the Reorganization. For further information about the transaction, see the Proxy/Prospectus. 3 INTRODUCTORY NOTE TO PRO FORMA FINANCIAL INFORMATION The following unaudited PRO FORMA information gives effect to the proposed transfer of the assets and liabilities of Time Horizon Portfolio 1, Time Horizon Portfolio 2, and Time Horizon Portfolio 3 to Nations Asset Allocation Fund accounted for as if each transfer had occurred as of February 28, 1999. In addition, each PRO FORMA combined statement has been prepared based upon the proposed fee and expense structure of Nations Asset Allocation Fund. This information reflects the inclusion of assets of the Pacific Horizon Asset Allocation Fund, the predecessor to Nations Asset Allocation Fund, in Nations Asset Allocation Fund. The assets of the Pacific Horizon Asset Allocation Fund transferred to the Nations Asset Allocation Fund on May 21, 1999. The PRO FORMA financial information should be read in conjunction with the historical financial statements and notes thereto of Time Horizon Funds and Nations Asset Allocation Fund included or incorporated herein by reference in this Statement of Additional Information. Each combination of the above Time Horizon Funds and the Asset Allocation Fund will be accounted for as a tax-free reorganization. 4 Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999 Time Horizon I Asset Adjustments to Pro Pro Forma Allocation Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------------------------------------------------------------- Total Investments $ 37,311 $ 287,005 $ - $ 324,316 Other Assets and Liabilities: Receivable for investments sold - - - - Payable for investments purchased - - - - Other assets and (944) 255 - (689) liabilities, net ---------------------------------------------------------------------- Total Other Assets (944) 255 - (689) and Liabilities ---------------------------------------------------------------------- Net Assets 36,367 287,260 - 323,627 ====================================================================== Net Assets by Class: A Shares (Investor A) 8,928 72,081 - 81,009 B Shares (Investor B) 27,330 5,566 - 32,896 K Shares (Investor C) 109 1,792 - 1,901 SRF Shares (Seafirst) - 207,821 - 207,821 Primary A - - - - Primary B - - - - ---------------------------------------------------------------------- 36,367 287,260 - 323,627 ---------------------------------------------------------------------- Shares Outstanding by Class: A Shares (Investor A) 769 3,203 (372) 3,600 B Shares (Investor B) 2,368 248 (1,151) 1,465 K Shares (Investor C) 9 80 (4) 85 SRF Shares (Seafirst) - 12,217 - 12,217 Primary A - - - - Primary B - - - - ------------------------------------------------------------------------ 3,146 15,748 (1,527) 17,367 ------------------------------------------------------------------------ Net Asset Value per Share by Class: A Shares (Investor A) $ 11.61 $ 22.50 $ - $ 22.50 B Shares (Investor B) $ 11.54 $ 22.45 $ - $ 22.45 K Shares (Investor C) $ 11.49 $ 22.45 $ - $ 22.45 SRF Shares (Seafirst) n/a $ 17.01 $ - $ 17.01 See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999 Time Horizon I Asset Adjustments to Pro Pro Forma Allocation Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ------------------------------------------------------------------
INVESTMENT INCOME: Interest $1,593 $7,782 $ - $9,375 Dividends 201 1,978 - 2,179 ---------------------------------------------------------------- Total Investment 1,794 9,760 - 11,554 Income EXPENSES: Investment Advisory 157 1,089 785(a) 2,031 Administration 78 408 233(a) 719 Transfer Agent 60 133 (37)(b) 156 Custodian 31 117 (117)(b) 31 Legal and Audit Fees 49 20 (7)(b) 62 Registration & Filing 18 16 - 34 Trustees' Fees 20 6 (6)(b) 20 Interest Expense - - - - Other expenses 97 100 (170)(b) 27 ----------------------------------------------------------------- Subtotal 510 1,889 681 3,080 ----------------------------------------------------------------- Shareholder Servicing and Distribution Fees A Shares (Investor A) 24 170 - 194 B Shares (Investor B) 295 14 10(d) 319 K Shares (Investor C) - 15 1(a) 16 SRF Shares (Seafirst) - 504 - 504 Primary A - - - - Primary B - - - - ---------------------------------------------------------------- 319 703 11 1,033 ---------------------------------------------------------------- Fees waived and/or reimbursed by - investment advisor, administrator and/or distributor (135) (28) (466)(c) (629) ---------------------------------------------------------------- Total Expenses 694 2,564 226 3,484 ---------------------------------------------------------------- NET INVESTMENT INCOME 1,100 7,196 (226) 8,070 ---------------------------------------------------------------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 4,049 30,046 - 34,095 ---------------------------------------------------------------- NET INCREASE/(DECREASE) IN NET ASSETS ---------------------------------------------------------------- RESULTING FROM OPERATIONS: $5,149 $37,242 $ (226) $42,165 ================================================================
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999 Asset Time Total Description Asset Time Total Allocation Horizon I Allocation Horizon I Shares/ Shares Shares/Par Market Market Market Par /Par Value Value Value Common Stock - 54.29% Aerospace - 0.81% 400 400 Cordant Technologies, Inc. 15,575 15,575 300 300 Goodrich (B.F.) Co. 10,237 10,237 500 500 Sundstrand Corp. 33,844 33,844 20,100 700 20,800 United Technologies Corp. 2,489,887 86,712 2,576,599 -------------------------------- 2,489,887 146,368 2,636,255 Airlines - 0.30% 300 300 Alaska Air Group, Inc. 15,206 15,206 11,000 500 11,500 Delta Air Lines, Inc. 668,937 30,406 699,343 3,900 200 4,100 UAL Corp. 233,025 11,950 244,975 -------------------------------- 901,962 57,562 959,524 Apparel/Textile - 0.21% 500 500 Cintas Corp. 35,375 35,375 1,100 1,100 Jones Apparel Group, Inc. 30,731 30,731 8,000 700 8,700 Tommy Hilfiger Corp. 552,500 48,344 600,844 -------------------------------- 552,500 114,450 666,950 Automobiles - 0.91% 14,600 600 15,200 General Motors Corp. 1,205,412 49,537 1,254,949 600 600 Arvin Industries, Inc. 21,750 21,750 26,300 1,000 27,300 Ford Motor Co. 1,559,919 59,312 1,619,231 400 400 Harley-Davidson, Inc. 23,125 23,125 1,200 1,200 Meritor Automotive, Inc. 19,050 19,050 -------------------------------- 2,765,331 172,774 2,938,105 Banks/Savings & Loans - 4.49% 950 950 AmSouth Bancorporation 44,650 44,650 500 500 Astoria Financial Corp. 22,656 22,656 27,540 1,400 28,940 Banc One Corp. 1,480,275 75,250 1,555,525 39,600 1,600 41,200 Bank of New York Co., Inc. 1,383,525 55,900 1,439,425 43,000 1,600 44,600 Chase Manhattan Corp. 3,423,875 127,400 3,551,275 1,100 1,100 City National Corp. 35,475 35,475 1,300 1,300 Dime Bancorp, Inc. 32,175 32,175 62,700 2,200 64,900 Fleet Financial Group, Inc. 2,692,181 94,462 2,786,643 24,900 1,000 25,900 Mellon Bank Corp. 1,683,862 67,625 1,751,487 16,800 400 17,200 National City Corp. 1,173,900 27,950 1,201,850
1,900 1,900 North Fork Bancorporation, Inc. 41,800 41,800 1,240 1,240 Old Kent Financial Corp. 54,405 54,405 12,800 12,800 PNC Bank Corp. 666,400 666,400 36,000 1,500 37,500 Wells Fargo Co. 1,323,000 55,125 1,378,125 -------------------------------- 13,827,018 734,873 14,561,891 Beverages - 1.53% 27,800 1,100 28,900 Anheuser-Busch Cos., Inc. 2,131,912 84,356 2,216,268 29,000 1,100 30,100 Coca-Cola Co. 1,854,187 70,331 1,924,518 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 200 200 Coors, (Adolph) Co., Class B 11,912 11,912 11,000 400 11,400 PepsiCo, Inc. 413,875 15,050 428,925 -------------------------------- 4,771,974 181,649 4,953,623 Building Related/Appliance - 0.22% 16,800 600 17,400 Centex Corp. 618,450 22,087 640,537 500 500 Mohawk Industries, Inc. 16,250 16,250 1,000 1,000 Shaw Industries, Inc. 21,937 21,937 500 500 Southdown, Inc. 23,594 23,594 200 200 USG Corp. 10,025 10,025 -------------------------------- 618,450 93,893 712,343 Chemicals - 0.75% 900 900 Crompton & Knowles Corp. 16,650 16,650 13,800 500 14,300 Dow Chemical Co. 1,357,575 49,187 1,406,762 11,000 500 11,500 Du Pont (E. I.) De Nemours & Co. 564,437 25,656 590,093 500 500 Ecolab, Inc. 19,937 19,937 600 600 GenCorp, Inc. 12,037 12,037 800 200 1,000 Rohm & Haas Co. 25,000 6,250 31,250 500 Schulman (A.), Inc. 8,250 8,250 18,000 1,900 19,900 Solutia, Inc. 320,625 33,844 354,469 -------------------------------- 2,267,637 171,811 2,439,448 Commercial Services - 0.15% 1,100 1,100 ACNielsen Corp. 28,600 28,600 300 300 Convergys Corp. 5,194 5,194 10,900 600 11,500 Fluor Corp. 383,544 21,112 404,656 400 400 Galileo International, Inc. 20,200 20,200 400 400 Robert Half International, Inc. 14,400 14,400 -------------------------------- 383,544 89,506 473,050 Communications - 2.05% 900 900 American Power Conversion Corp. 32,287 32,287 23,900 1,250 25,150 Cisco Systems, Inc. 2,337,719 122,266 2,459,985 27,100 1,100 28,200 Lucent Technologies, Inc. 2,752,344 111,719 2,864,063 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094
14,100 600 14,700 Tellabs, Inc. 1,128,881 48,037 1,176,918 -------------------------------- 6,348,038 314,309 6,662,347 Computer Hardware - 3.46% 39,100 1,500 40,600 Dell Computer Corp. 3,132,887 120,187 3,253,074 35,000 1,900 36,900 EMC Corp. 3,583,125 194,512 3,777,637 5,900 200 6,100 International Business Machines Corp. 1,003,000 34,000 1,037,000 600 600 Lexmark International Group, Inc. 61,912 61,912 600 600 NCR Corp. 24,562 24,562 18,000 700 18,700 Seagate Technology, Inc. 520,875 20,256 541,131 18,400 800 19,200 Solectron Corp. 822,250 35,750 858,000 16,300 600 16,900 Sun Microsystems, Inc. 1,586,194 58,387 1,644,581 450 450 Symbol Technologies, Inc. 23,850 23,850 -------------------------------- 10,648,331 573,416 11,221,747 Computer Services & Software - 3.54% 400 400 Adobe Systems, Inc. 16,100 16,100 10,400 400 10,800 America Online, Inc. 924,950 35,575 960,525 300 300 BMC Software, Inc. 12,262 12,262 700 700 Cadence Design Systems, Inc. 16,844 16,844 400 400 Citrix Systems, Inc. 30,850 30,850 10,100 700 10,800 Compuware Corp. 564,969 39,156 604,125 300 300 Electronic Arts, Inc. 11,962 11,962 50,900 1,900 52,800 Microsoft Corp. 7,641,362 285,237 7,926,599 750 750 Network Associates, Inc. 35,250 35,250 31,400 1,200 32,600 Oracle Corp. 1,754,475 67,050 1,821,525 500 500 Rational Software Corp. 14,844 14,844 600 600 Siebel Systems, Inc. 26,400 26,400 500 500 Symantec Corp. 9,031 9,031 -------------------------------- 10,885,756 600,561 11,486,317 Cosmetics & Toiletries - 1.75% 22,400 1,100 23,500 Avon Products, Inc. 932,400 45,787 978,187 8,600 300 8,900 Clorox Co. 1,017,487 35,494 1,052,981 1,100 1,100 Dial Corp. 32,106 32,106 15,700 600 16,300 Kimberly-Clark Corp. 741,825 28,350 770,175 30,700 1,200 31,900 Procter & Gamble Co. 2,747,650 107,400 2,855,050 -------------------------------- 5,439,362 249,137 5,688,499 Electrical Equipment - 1.75% 54,400 2,100 56,500 General Electric Co. 5,457,000 210,656 5,667,656 -------------------------------- 5,457,000 210,656 5,667,656 Energy Related - 0.73% 1,300 1,300 Allegheny Energy, Inc. 38,594 38,594 400 400 Allied Waste Industries, Inc. 7,800 7,800
30,400 1,200 31,600 PECO Energy Co. 1,077,300 42,525 1,119,825 26,000 1,200 27,200 Reliant Energy, Inc. 697,125 32,175 729,300 500 500 Tidewater, Inc. 9,406 9,406 21,300 1,700 23,000 Transocean Offshore, Inc. 439,312 35,062 474,374 -------------------------------- 2,213,737 165,562 2,379,299 Entertainment - 1.43% 29,500 1,200 30,700 Carnival Corp. 1,312,750 53,400 1,366,150 800 800 King World Productions, Inc. 21,150 21,150 48,600 1,700 50,300 Time Warner, Inc. 3,134,700 109,650 3,244,350 -------------------------------- 4,447,450 184,200 4,631,650 Financial Services - 2.50% 10,400 400 10,800 American Express Co. 1,128,400 43,400 1,171,800 19,200 850 20,050 Citigroup Inc. 1,128,000 49,937 1,177,937 600 600 Countrywide Credit Industries, Inc. 22,725 22,725 1,000 1,000 Edwards (A.G.), Inc. 32,562 32,562 23,400 900 24,300 Freddie Mac 1,377,675 52,987 1,430,662 19,600 800 20,400 Morgan Stanley Dean Witter Discover & Co. 1,773,800 72,400 1,846,200 22,800 1,000 23,800 Providian Financial Corp. 2,328,450 102,125 2,430,575 -------------------------------- 7,736,325 376,136 8,112,461 Food & Related - 0.91% 23,600 1,200 24,800 Conagra, Inc. 710,950 36,150 747,100 500 500 Earthgrains Co. 12,281 12,281 900 900 Flowers Industries, Inc. 21,937 21,937 11,800 700 12,500 Heinz (H.J.) Co. 642,362 38,106 680,468 1,000 1,000 IBP, Inc. 22,500 22,500 20,700 800 21,500 Quaker Oats Co. 1,130,737 43,700 1,174,437 1,000 1,000 Ralcorp Holdings, Inc. 17,812 17,812 10,100 10,100 Sara Lee Corp. 274,594 274,594 500 500 Vlasic Foods International 6,094 6,094 -------------------------------- 2,758,643 198,580 2,957,223 Hospital Management - 0.26% 500 500 Lincare Holdings, Inc. 17,813 17,813 300 300 Omnicare, Inc. 7,181 7,181 300 300 PacifiCare Health Systems, Inc., Class B 21,675 21,675 15,300 600 15,900 United Healthcare Corp. 754,481 29,588 784,069 200 200 Wellpoint Health Networks, Inc. 15,775 15,775 -------------------------------- 754,481 92,032 846,513 Hospital Supply - 1.32% 24,800 1,500 26,300 Biomet, Inc. 909,850 55,031 964,881 22,400 900 23,300 Guidant Corp. 1,276,800 51,300 1,328,100 400 400 Hillenbrand Industries, Inc. 16,750 16,750
9,700 300 10,000 Johnson & Johnson Co. 828,137 25,613 853,750 15,600 400 16,000 Medtronic, Inc. 1,101,750 28,250 1,130,000 -------------------------------- 4,116,537 176,944 4,293,481 Insurance - 1.78% 1,200 1,200 Aflac, Inc. 52,950 52,950 38,600 1,400 40,000 Allstate Corp. 1,447,500 52,500 1,500,000 500 500 AMBAC Financial Group, Inc. 28,000 28,000 37,700 1,500 39,200 Conseco, Inc. 1,128,644 44,906 1,173,550 22,400 800 23,200 Equitable Cos., Inc. 1,513,400 54,050 1,567,450 25,300 1,000 26,300 Hartford Financial Services Group, Inc. 1,367,781 54,063 1,421,844 400 400 PMI Group, Inc. 17,250 17,250 -------------------------------- 5,457,325 303,719 5,761,044 Machinery - 0.28% 400 400 Briggs & Stratton Corp. 19,525 19,525 17,200 700 17,900 Ingersoll-Rand Co. 817,000 33,250 850,250 500 500 McDermott International, Inc. 9,969 9,969 500 500 Trinity Industries, Inc. 16,469 16,469 -------------------------------- 817,000 79,213 896,213 Metals & Mining - 0.37% 8,000 600 8,600 Alcoa Inc. 324,000 24,300 348,300 600 600 Martin Marietta Materials, Inc. 30,788 30,788 31,300 1,300 32,600 USX-U.S. Steel Group, Inc. 792,281 32,906 825,187 -------------------------------- 1,116,281 87,994 1,204,275 Multi - Industry - 1.14% 15,700 600 16,300 AlliedSignal, Inc. 649,588 24,825 674,413 700 700 Crane Co. 19,206 19,206 500 500 Pentair, Incorporated 18,938 18,938 38,700 1,400 40,100 Tyco International Ltd. 2,880,731 104,213 2,984,944 -------------------------------- 3,530,319 167,182 3,697,501 Office Supplies - 0.01% 500 500 Avery-Dennison Corp. 26,844 26,844 -------------------------------- 26,844 26,844 Oil (Domestic) - 0.36% 600 600 Ashland, Inc. 26,700 26,700 400 400 Murphy Oil Corp. 13,675 13,675 16,900 600 17,500 Sunoco Inc. 514,394 18,263 532,657 27,200 1,000 28,200 USX - Marathon Group 562,700 20,688 583,388 -------------------------------- 1,077,094 79,326 1,156,420 Oil (International) - 2.18% 18,500 800 19,300 Chevron Corp. 1,422,188 61,500 1,483,688 50,900 2,100 53,000 Exxon Corp. 3,388,031 139,781 3,527,812 23,900 1,000 24,900 Mobil Corp. 1,988,181 83,188 2,071,369 -------------------------------- 6,798,400 284,469 7,082,869
Paper & Forest Products - 0.30% 200 200 American Greetings Corp. 4,738 4,738 11,500 500 12,000 Fort James Corp. 343,563 14,938 358,501 800 800 Georgia Pacific Corp. 16,300 16,300 23,400 1,500 24,900 Owens-Illinois, Inc. 560,138 35,906 596,044 -------------------------------- 903,701 71,882 975,583 Pharmaceuticals - 5.26% 13,300 500 13,800 Allergan, Inc. 1,083,950 40,750 1,124,700 2,900 200 3,100 Bausch & Lomb, Inc. 174,906 12,063 186,969 1,000 1,000 Bergen Brunswig Corp. 24,438 24,438 12,800 1,100 13,900 Biogen, Inc. 1,230,400 105,738 1,336,138 21,100 800 21,900 Bristol-Meyers Squibb Co. 2,657,281 100,750 2,758,031 11,300 1,247 12,547 Cardinal Health, Inc. 815,719 90,018 905,737 24,400 1,000 25,400 Lilly (Eli)& Co. 2,310,375 94,688 2,405,063 17,000 600 17,600 Merck & Co., Inc. 1,389,750 49,050 1,438,800 700 700 Mylan Laboratories, Inc. 19,119 19,119 12,700 500 13,200 Pfizer, Inc. 1,675,606 65,969 1,741,575 43,000 2,200 45,200 Schering-Plough Corp. 2,405,313 123,063 2,528,376 36,200 900 37,100 Warner-Lambert Co. 2,500,063 62,156 2,562,219 600 600 Watson Pharmaceuticals, Inc. 28,988 28,988 -------------------------------- 16,243,363 816,790 17,060,153 Printing & Publishing - 1.06% 8,700 400 9,100 McGraw-Hill Cos., Inc. 952,106 43,775 995,881 11,000 500 11,500 New York Times Co., Class A 341,000 15,500 356,500 300 300 Scholastic Corp. 14,775 14,775 22,500 800 23,300 Viacom, Inc., Class B 1,988,437 70,700 2,059,137 -------------------------------- 3,281,543 144,750 3,426,293 Restaurants/Lodging - 0.24% 800 800 Bob Evans Farms, Inc. 17,250 17,250 800 800 Brinker International, Inc. 23,150 23,150 700 700 Darden Restaurants, Inc. 15,400 15,400 8,200 300 8,500 McDonald's Corp. 697,000 25,500 722,500 347 347 Promus Hotel Corp. 12,210 12,210 -------------------------------- 697,000 93,510 790,510 Retail - 3.12% 500 500 Abercrombie & Fitch Co., Class A 38,000 38,000 700 700 Best Buy Co., Inc. 64,925 64,925 29,900 1,100 31,000 Gap, Inc. 1,934,156 71,156 2,005,312 400 400 Hertz Corp. 15,925 15,925 24,000 900 24,900 Home Depot, Inc. 1,432,500 53,719 1,486,219
28,600 1,500 30,100 Lowe's Cos., Inc. 1,696,337 88,969 1,785,306 2,300 2,300 OfficeMax, Inc. 17,825 17,825 700 700 Ross Stores, Inc. 32,025 32,025 20,600 1,500 22,100 TJX Cos., Inc. 588,388 42,844 631,232 45,100 1,800 46,900 Wal-Mart Stores, Inc. 3,895,513 155,475 4,050,988 -------------------------------- 9,546,894 580,863 10,127,757 Retail Food/Drug - 0.64% 11,700 500 12,200 Albertson's, Inc. 666,900 28,500 695,400 23,200 800 24,000 Safeway, Inc. 1,339,800 46,200 1,386,000 -------------------------------- 2,006,700 74,700 2,081,400 Semi-Conductors/Instrumentation - 2.02% 600 600 Altera Corp. 29,175 29,175 200 200 Comverse Technology, Inc. 14,350 14,350 42,100 1,700 43,800 Intel Corp. 5,049,369 203,894 5,253,263 300 300 Lattice Semiconductor Corp. 11,963 11,963 1,000 1,000 Linear Technology Corp. 43,813 43,813 200 200 PMC-Sierra, Inc. 14,175 14,175 24,800 900 25,700 Rockwell International Corp. 1,102,050 39,994 1,142,044 600 600 Xilinx, Inc. 41,850 41,850 -------------------------------- 6,151,419 399,214 6,550,633 Tobacco - 0.62% 49,700 1,900 51,600 Philip Morris Cos., Inc. 1,944,513 74,338 2,018,851 -------------------------------- 1,944,513 74,338 2,018,851 Transportation - 0.19% 17,100 700 17,800 Burlington Northern Santa Fe Corp. 566,438 23,188 589,626 300 300 Kansas City Southern Industries, Inc. 14,025 14,025 400 400 USFreightways Corp. 12,750 12,750 -------------------------------- 566,438 49,963 616,401 Utilities - Electric - 0.62% 600 600 BEC Energy 21,863 21,863 800 800 CMS Energy Corp. 33,100 33,100 1,800 1,800 Conectiv Inc. 38,138 38,138 650 650 DQE, Inc. 24,822 24,822 30,500 1,100 31,600 Edison International 777,750 28,050 805,800 800 800 Energy East Corp. 42,900 42,900 400 400 FirstEnergy Corp. 11,700 11,700 18,500 700 19,200 FPL Group, Inc. 951,594 36,006 987,600 800 800 NIPSCO Industries, Inc. 20,750 20,750 900 900 Public Service Co. of New Mexico 13,837 13,837 -------------------------------- 1,729,344 271,166 2,000,510 Utilities - Gas & Pipeline - 0.34% 31,400 1,100 32,500 Coastal Corp. 1,004,800 35,200 1,040,000
1,200 1,200 El Paso Energy Corp. 43,725 43,725 500 500 NICOR, Inc. 19,094 19,094 -------------------------------- 1,004,800 98,019 1,102,819 Utilities - Telephone - 4.69% 5,400 1,100 6,500 Ameritech Corp. 353,025 71,913 424,938 32,600 1,500 34,100 AT&T Corp. 2,677,275 123,188 2,800,463 1,100 1,100 Bell Atlantic Corp. 63,181 63,181 70,600 2,300 72,900 BellSouth Corp. 3,265,250 106,375 3,371,625 700 700 Century Telephone Enterprises, Inc. 43,225 43,225 400 400 Cincinnati Bell, Inc. 7,900 7,900 26,300 200 26,500 GTE Corp. 1,706,213 12,975 1,719,188 56,424 1,100 57,524 MCI Worldcom, Inc. 4,654,980 90,750 4,745,730 8,100 200 8,300 Sprint Corp. 695,081 17,163 712,244 23,900 900 24,800 U S WEST, Inc. 1,274,169 47,981 1,322,150 -------------------------------- 14,625,993 584,651 15,210,644 ----------- Total Common Stock 176,075,102 Convertible Preferred Stock - 0.08% Convertible Preferred Stock - 0.08% 4,845 4,845 Sealed Air Corp. 249,518 249,518 -------------------------------- 249,518 249,518 ------- Total Convertible Preferred Stock 249,518 Corporate Bonds - 15.32% Building Products - 0.79% Coupon Maturity 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 1,100,000 1,100,000 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 -------------------------------- 2,570,750 2,570,750 Chemicals - 0.46% 1,500,000 1,500,000 Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 -------------------------------- 1,501,875 1,501,875 Computer Hardware - 0.16% 500,000 500,000 International Business Machines Corp. 6.375 06/15/00 505,000 505,000 -------------------------------- 505,000 505,000 Containers - 0.32% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed 6.750 12/15/03 1,050,000 1,050,000 Notes -------------------------------- 1,050,000 1,050,000 Financial Services - 6.53% 1,000,000 1,000,000 Associates Corp. of North America 6.950 11/01/18 1,031,250 1,031,250 Debentures 525,000 525,000 Banc One Corp. 6.375 10/01/02 530,250 530,250 1,400,000 1,400,000 Banco Latinoamericano Guarenteed Notes 144A 10/16/01 1,328,250 1,328,250 1,100,000 1,100,000 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777
400,000 400,000 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 1,400,000 1,400,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 1,400,000 1,400,000 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 500,000 500,000 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 200,000 200,000 Countrywide Home Loan 7.450 09/16/03 206,250 206,250 2,200,000 2,200,000 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 250,000 250,000 General Motors Acceptance Corp. 6.750 02/07/02 255,313 255,313 1,000,000 1,000,000 GMAC Notes. 5.750 11/10/03 991,250 991,250 250,000 250,000 Household Finance Corp. 6.875 03/01/07 255,938 255,938 200,000 200,000 Household Netherlands BV 6.125 03/01/03 199,250 199,250 500,000 500,000 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior Notes 7.200 08/15/09 1,209,000 1,209,000 350,000 350,000 Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 750,000 750,000 Morgan Stanley Dean Witter Discover & Co. 8.100 06/24/02 795,000 795,000 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. Notes 6.250 05/15/03 1,293,500 1,293,500 -------------------------------- 17,133,340 4,022,689 21,156,029 Food & Related - 0.45% 1,500,000 1,500,000 Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 -------------------------------- 1,455,000 1,455,000 Funeral Services - 0.33% 1,100,000 1,100,000 Service Corp. International Senior Notes 6.300 03/15/03 1,080,750 1,080,750 -------------------------------- 1,080,750 1,080,750 Instruments/Controls - 0.35% 1,200,000 1,200,000 Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 -------------------------------- 1,149,000 1,149,000 Insurance - 0.79% 1,000,000 1,000,000 AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 1,500,000 1,500,000 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 -------------------------------- 2,568,125 2,568,125 Multi-Industry - 0.16% 500,000 500,000 Honeywell, Inc. 6.750 03/15/02 511,875 511,875 -------------------------------- 511,875 511,875 Multi - Media - 1.15% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed Notes 6.250 05/15/03 1,203,000 1,203,000 1,250,000 1,250,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 1,250,000 1,250,000 Time Warner Inc., Pass-Through 6.100 12/30/01 1,256,250 1,256,250 Certificates 144A -------------------------------- 3,718,625 3,718,625
Oil & Gas - 1.15% 1,605,000 1,605,000 Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 1,000,000 1,000,000 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 -------------------------------- 3,713,831 3,713,831 Paper Products - 0.41% 1,250,000 1,250,000 James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 -------------------------------- 1,325,000 1,325,000 Retail - 0.47% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 6.000 03/20/03 1,192,500 1,192,500 305,000 305,000 Wal-Mart Stores, Inc. 7.250 06/01/13 330,544 330,544 -------------------------------- 1,192,500 330,544 1,523,044 Utilities - Electric - 0.48% 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 265,000 265,000 Southern California Edison Note 6.500 06/01/01 268,644 268,644 -------------------------------- 1,290,250 268,644 1,558,894 Utilities - Telephone - 1.32% 300,000 300,000 AT&T Corp. 8.625 12/01/31 327,000 327,000 1,200,000 1,200,000 Cable & Wireless Communications Notes 6.375 03/06/03 1,209,000 1,209,000 1,200,000 1,200,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 1,400,000 1,400,000 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 -------------------------------- 3,960,000 327,000 4,287,000 ---------- Total Corporate Bonds 49,674,798 Asset Backed Securities - 0.16% Asset Backed Securities - 0.16% 102,053 102,053 CPS Auto Grantor Trust, Series 1997-3, 6.100 12/15/02 102,595 102,595 Class A1 400,000 400,000 First USA Credit Card Master Trust, Series 03/17/05 407,000 407,000 1997-6, Class A -------------------------------- 509,595 509,595 --------- Total Asset Backed Securities 509,595 Collateralized Mortgage Obligations - 11.03% Collateralized Mortgage Obligations - 11.03% 175,000 175,000 Access Financial Mortgage Loan Trust, Series 05/18/24 175,390 175,390 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, Class 6.220 10/20/01 1,005,990 1,005,990 A1,144A 400,000 400,000 American Express Master Trust, Series 1998-1, 04/15/04 405,602 405,602 Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 6.750 02/14/41 1,784,300 1,784,300 1997-D5, Class A1C 308,136 308,136 Banc One Auto Grantor Trust, Series 6.290 07/20/04 309,864 309,864 1997-B, Class A 500,000 500,000 Chase Credit Card Master Trust, Series 1997-2, 04/15/03 505,837 505,837 Class A 500,000 500,000 Chase Manhattan Credit Master Trust, Series 02/15/03 501,665 501,665 1996-4, Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 12/15/04 1,035,516 1,035,516 1998-2, Class A 1,300,000 1,300,000 Circuit City Credit Card Master Trust, Series 08/15/05 1,311,140 1,311,140 1995-1, Class A
1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 05/15/08 1,726,653 1,726,653 1998-C1, Class A2 500,000 500,000 ContiMortgage Home Equity Loan Trust, Series 01/15/13 504,878 504,878 1998-1, Class A 1,800,000 1,800,000 Credit Suisse First Boston Mortgage Securities 05/17/08 1,789,191 1,789,191 Corp., Series 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp.,Series 1998-1, Class A1, 10/20/01 1,880,794 1,880,794 144A+ 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical Mortgage 05/10/08 1,902,290 1,902,290 Corp., Series 1998-CG1, Class A1B 175,000 175,000 EQCC Home Equity Loan, Series 1997-2, Class A 02/15/12 177,487 177,487 1,300,000 1,300,000 Fingerhut Master Trust, Series 1998-1, 6.070 02/15/05 1,311,863 1,311,863 Class A 350,000 350,000 First Plus Home Improvement Loan Trust, Series 09/20/14 361,742 361,742 1996-3 Class A 275,000 275,000 First Plus Home Loan Trust, Series 6.950 12/10/15 268,596 268,596 1997-1, Class A6 500,000 500,000 First Plus Home Loan Trust, Series 6.230 06/10/10 498,906 498,906 1998-2, Class A 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America 11/18/08 2,022,130 2,022,130 Trust, Series 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, 6.602 11/15/07 1,617,176 1,617,176 Class A2, 144A+ 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., Series 11/15/07 2,100,761 2,100,761 1997-C2, Class A3 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage 01/18/08 2,360,986 2,360,986 Trust, Series 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding Inc., Series 1998-MC1, 01/18/08 754,309 754,309 Class A2 1,850,000 1,850,000 Mortgage Capital Funding Inc., Series 1998-MC2, 05/18/08 1,853,154 1,853,154 Class A2 303,675 303,675 Navistar Financial Corp. 0wner Trust, Series 11/15/04 305,709 305,709 1998-1, Class A 469,530 469,530 Nomura Asset Securities Corp., Series 1998-D6, 03/15/30 472,516 472,516 Class A 2,050,000 2,050,000 Nomura Asset Securities Corp., Series 1998-D6, 03/17/28 2,054,418 2,054,418 Class A1B 1,800,000 1,800,000 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 375,000 375,000 Premier Auto Trust, Series 1998-2, 5.770 01/06/02 374,434 374,434 Class A 400,000 400,000 Sears Credit Acceptance Master Trust, Series 08/15/05 397,077 397,077 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust, Series 1998-A, 6.100 05/17/04 852,386 852,386 Class A, 144A 50,519,565 50,519,565 Vendee Mortgage Trust,Series 1998-1, Class 2, 02/15/28 777,547 777,547 Interest Only Obligation 51,871,974 5 1,871,974 Vendee Mortgage Trust,Series 1998-3, Class 10, 09/01/28 628,118 628,118 Interest Only Obligation -------------------------------- 30,525,972 5,259,703 35,785,675 ----------- Total Collateralized Mortgage Obligations 35,785,675 Investment Companies - 0.60% Investment Companies - 0.60% 70,100 70,100 T-Rowe Price Foreign Equity 1,223,245 1,223,245 50,500 50,500 T-Rowe Price International Equity Fund 733,765 733,765 -------------------------------- 1,957,010 1,957,010 ---------- Total Investment Companies 1,957,010 Medium Term Notes - 0.37% Medium Term Notes - 0.37% 175,000 175,000 Norwest Corp. 6.550 12/01/06 177,188 177,188 500,000 500,000 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 500,000 500,000 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 -------------------------------- 1,190,938 1,190,938 ---------
Total Medium Term Notes 1,190,938 Temporary Investments - 0.80% Temporary Investments - 0.80% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 -------------------------------- 2,607,858 2,607,858 --------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 17.35% U.S. Government Agency Obligations - 12.11% 213,885 213,885 FannieMae 6.500 01/01/06 212,415 212,415 157,337 157,337 FannieMae 7.500 06/01/03 161,074 161,074 165,890 165,890 FannieMae 7.000 06/01/04 169,467 169,467 48,335 48,335 FannieMae 7.000 06/01/04 49,377 49,377 750,000 750,000 FannieMae 5.750 06/15/05 753,064 753,064 750,000 750,000 FannieMae 6.480 06/28/04 776,816 776,816 392,401 392,401 FannieMae 7.500 10/01/11 404,418 404,418 1,200,000 1,200,000 Federal Home Loan Bank 5.375 03/02/01 1,199,660 1,199,660 59,298 59,298 Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 60,688 207,344 207,344 Federal Home Loan Mortgage Corp. 7.000 05/01/04 211,555 211,555 9,180 9,180 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 2,163,715 2,163,715 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 565,319 565,319 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 2,527,532 2,527,532 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 705,817 705,817 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 3,766,993 3,766,993 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 276,900 276,900 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 1,012,811 1,012,811 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 996,067 996,067 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 3,459,249 3,459,249 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 5,986,299 5,986,299 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 3,032,000 3,032,000 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 43,670 43,670 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 2,708,661 2,708,661 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 2,416,539 2,416,539 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 521,105 521,105 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 934,958 934,958 GNMA Pool #449104 8.000 06/15/28 975,278 975,278
137,541 137,541 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 151,393 151,393 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 140,809 140,809 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 186,580 186,580 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 182,898 182,898 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 693,689 693,689 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 -------------------------------- 35,289,435 3,998,534 39,287,969 U.S. Government Obligations - 2.39% 17,400,000 17,400,000 U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 2,700,000 2,700,000 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 6,150,000 6,150,000 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 1,200,000 1,200,000 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 -------------------------------- 7,740,885 7,740,885 U.S. Treasury Obligations - 2.85% 101,000 101,000 U.S. Treasury Bill 4.380 04/08/99 100,508 100,508 1,809,000 1,809,000 U.S. Treasury Bill 4.470 04/08/99 1,800,015 1,800,015 165,000 165,000 U.S. Treasury Bill 4.490 04/08/99 164,177 164,177 500,000 500,000 U.S. Treasury Note 5.250 01/31/01 500,971 500,971 690,000 690,000 U.S. Treasury Note 6.250 02/15/03 712,879 712,879 1,000,000 1,000,000 U.S. Treasury Note 6.250 02/15/07 1,052,437 1,052,437 750,000 750,000 U.S. Treasury Note 6.375 05/15/99 752,553 752,553 425,000 425,000 U.S. Treasury Note 5.625 05/15/08 433,104 433,104 775,000 775,000 U.S. Treasury Note 6.750 05/31/99 778,715 778,715 200,000 200,000 U.S. Treasury Note 6.625 06/30/01 206,259 206,259 902,000 902,000 U.S. Treasury Note 6.250 08/31/00 916,122 916,122 965,000 965,000 U.S. Treasury Note 6.125 09/30/00 979,072 979,072 600,000 600,000 U.S. Treasury Note 6.500 10/15/06 639,604 639,604 200,000 200,000 U.S. Treasury Note 5.875 11/15/99 201,350 201,350 -------------------------------- 9,237,766 9,237,766 ---------- Total US Government Agency Obligations 56,266,620 Total Investments - 100% 324,316,414 -----------
Time Horizon Funds Portfolio 1 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 1 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 1 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999.
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999 Time Horizon Asset Adjustments to Pro Forma II Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------------------------------- ----------- Total Investments $ 47,422 $ 287,005 $ - $ 334,427 Other Assets and Liabilities: Receivable for investments sold - - - - Payable for investments purchased - - - - Other assets and liabilities, net (860) 255 - (605) --------------------------------------- ----------- Total Other Assets and Liabilities (860) 255 - (605) --------------------------------------- ----------- Net Assets 46,562 287,260 - 333,822 --------------------------------------- ----------- Net Assets by Class: A Shares (Investor A) 12,250 72,081 - 84,331 B Shares (Investor B) 33,772 5,566 - 39,338 K Shares (Investor C) 540 1,792 - 2,332 SFR Shares (Seafirst) - 207,821 - 207,821 Primary A - - - - Primary B - - - - --------------------------------------- ----------- 46,562 287,260 - 333,822 --------------------------------------- ----------- Shares Outstanding by Class: A Shares (Investor A) 1,012 3,203 (467) 3,748 B Shares (Investor B) 2,814 248 (1,310) 1,752 K Shares (Investor C) 45 80 (21) 104 SFR Shares (Seafirst) - 12,217 - 12,217 Primary A - - - - Primary B - - - - --------------------------------------- ----------- 3,871 15,748 (1,798) 17,821 --------------------------------------- ----------- Net Asset Value per Share by Class: A Shares (Investor A) $12.10 $22.50 $ - $ 22.50 B Shares (Investor B) $12.00 $22.45 $ - $ 22.45 K Shares (Investor C) $11.95 $22.45 $ - $ 22.45 SFR Shares (Seafirst) n/a $17.01 $ - $17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999
Time Horizon Asset Adjustments to Pro Forma II Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------------------------------- ----------- INVESTMENT INCOME: Interest $1,458 $7,782 $ - $9,240 Dividends 374 1,978 - 2,352 --------------------------------------- ----------- Total Investment Income 1,832 9,760 - 11,592 --------------------------------------- ----------- EXPENSES: Investment Advisory 194 1,089 807(a) 2,090 Administration 96 408 236(a) 740 Transfer Agent 100 133 (72)(b) 161 Custodian 31 117 (116)(b) 32 Legal and Audit Fees 57 20 (15)(b) 62 Registration & Filing 20 16 - 36 Trustees' Fees 25 6 (11)(b) 20 Interest Expense - - - - Other expenses 111 100 (181)(b) 30 --------------------------------------- ----------- Subtotal 634 1,889 648 3,171 --------------------------------------- ----------- Shareholder Servicing and Distribution Fees A Shares (Investor A) 32 170 - 202 B Shares (Investor B) 352 14 10(d) 376 K Shares (Investor C) 3 15 1(a) 19 SFR Shares (Seafirst) - 504 - 504 Primary A - - - - Primary B - - - - --------------------------------------- ----------- 387 703 11 1,101 --------------------------------------- ----------- Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (173) (28) (432)(c) (633) --------------------------------------- ----------- Total Expenses 848 2,564 227 3,639 --------------------------------------- ----------- NET INVESTMENT INCOME 984 7,196 (227) 7,953 --------------------------------------- ----------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 5,800 30,046 - 35,846 --------------------------------------- ----------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: $6,784 $37,242 $ (227) $43,799 --------------------------------------- -----------
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements
- --------------------------------------------------------------------------------------------------------------------------- Nations Asset Allocation / Time Horizon Portfolios - --------------------------------------------------------------------------------------------------------------------------- Pro Forma Combining Schedule of Investments (Unaudited) - --------------------------------------------------------------------------------------------------------------------------- February 28, 1999 - --------------------------------------------------------------------------------------------------------------------------- Asset Time Total Description Asset Time Total Allocation Horizon Allocation Horizon II II Shares / Shares Shares / Par Market Market Market Par / Par Value Value Value Common Stock - 55.04% Aerospace - 0.83% 300 300 Alliant Techsystems, Inc. 23,756 23,756 1,000 1,000 Cordant Technologies, Inc. 38,937 38,937 400 400 Goodrich (B.F.) Co. 13,650 13,650 1,100 1,100 Sundstrand Corp. 74,456 74,456 20,100 1,000 21,100 United Technologies Corp. 2,489,887 123,875 2,613,762 ------------------------------------ 2,489,887 274,674 2,764,561 Airlines - 0.30% 800 800 Alaska Air Group, Inc. 40,550 40,550 200 200 Comair Holdings, Inc. 7,525 7,525 11,000 600 11,600 Delta Air Lines, Inc. 668,937 36,487 705,424 3,900 300 4,200 UAL Corp. 233,025 17,925 250,950 ------------------------------------ 901,962 102,487 1,004,449 Apparel/Textile - 0.24% 1,500 1,500 Burlington Industries, Inc. 9,281 9,281 1,200 1,200 Cintas Corp. 84,900 84,900 2,400 2,400 Jones Apparel Group, Inc. 67,050 67,050 500 500 Kellwood Co. 12,781 12,781 8,000 1,300 9,300 Tommy Hilfiger Corp. 552,500 89,781 642,281 ------------------------------------ 552,500 263,793 816,293 Automobiles - 0.92% 14,600 900 15,500 General Motors Corp. 1,205,412 74,306 1,279,718 1,400 1,400 Arvin Industries, Inc. 50,750 50,750 26,300 1,500 27,800 Ford Motor Co. 1,559,919 88,969 1,648,888 900 900 Harley-Davidson, Inc. 52,031 52,031 2,700 2,700 Meritor Automotive, Inc. 42,862 42,862 500 500 Superior Industries International, 12,375 12,375 Inc. ------------------------------------ 2,765,331 321,293 3,086,624 Banks/Savings & Loans - 4.56% 2,125 2,125 AmSouth Bancorporation 99,875 99,875 1,800 1,800 Astoria Financial Corp. 81,562 81,562 27,540 2,100 29,640 Banc One Corp. 1,480,275 112,875 1,593,150 39,600 2,400 42,000 Bank of New York Co., Inc. 1,383,525 83,850 1,467,375 43,000 2,300 45,300 Chase Manhattan Corp. 3,423,875 183,137 3,607,012 2,400 2,400 City National Corp. 77,400 77,400 293 293 Commerce Bancorp, Inc. 13,038 13,038 600 600 Cullen/Frost Bankers, Inc. 28,387 28,387 2,900 2,900 Dime Bancorp, Inc. 71,775 71,775 1,200 1,200 FirstFed Financial Corp. 20,325 20,325 62,700 3,200 65,900 Fleet Financial Group, Inc. 2,692,181 137,400 2,829,581 600 600 HUBCO, Inc. 19,687 19,687 24,900 1,400 26,300 Mellon Bank Corp. 1,683,862 94,675 1,778,537 16,800 1,000 17,800 National City Corp. 1,173,900 69,875 1,243,775 4,300 4,300 North Fork Bancorporation, Inc. 94,600 94,600 2,695 2,695 Old Kent Financial Corp. 118,243 118,243 12,800 12,800 PNC Bank Corp. 666,400 666,400 700 700 Trustmark Corp. 14,831 14,831 36,000 2,600 38,600 Wells Fargo Co. 1,323,000 95,550 1,418,550 ------------------------------------ 13,827,018 1,417,085 15,244,103 Beverages - 1.51% 27,800 1,600 29,400 Anheuser-Busch Cos., Inc. 2,131,912 122,700 2,254,612 300 300 Canandaigua Brands, Inc. 16,012 16,012 29,000 1,600 30,600 Coca-Cola Co. 1,854,187 102,300 1,956,487 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 400 400 Coors, (Adolph) Co., Class B 23,825 23,825 11,000 600 11,600 PepsiCo, Inc. 413,875 22,575 436,450 ------------------------------------ 4,771,974 287,412 5,059,386 Building Related/Appliance - 0.28% 900 900 AptarGroup, Inc. 24,637 24,637 16,800 1,000 17,800 Centex Corp. 618,450 36,812 655,262 400 400 Hughes Supply, Inc. 8,075 8,075 1,100 1,100 M.D.C. Holdings, Inc. 19,594 19,594 1,800 1,800 Mohawk Industries, Inc. 58,500 58,500 900 900 Ryland Group, Inc. 22,950 22,950 2,300 2,300 Shaw Industries, Inc. 50,456 50,456 1,300 1,300 Southdown, Inc. 61,344 61,344 500 500 USG Corp. 25,062 25,062 ------------------------------------ 618,450 307,430 925,880 Chemicals - 0.78% 2,000 2,000 Crompton & Knowles Corp. 37,000 37,000 400 400 Cytec Industries, Inc. 10,725 10,725 13,800 800 14,600 Dow Chemical Co. 1,357,575 78,700 1,436,275 11,000 600 11,600 Du Pont (E. I.) De Nemours & Co. 564,437 30,787 595,224 1,000 1,000 Ecolab, Inc. 39,875 39,875 2,200 2,200 GenCorp, Inc. 44,137 44,137 800 200 1,000 Rohm & Haas Co. 25,000 6,250 31,250 1,100 1,100 Schulman (A.), Inc. 18,150 18,150 600 600 Scotts Co., Class A 19,425 19,425 18,000 3,700 21,700 Solutia, Inc. 320,625 65,906 386,531 ------------------------------------ 2,267,637 350,955 2,618,592 Commercial Services - 0.20% 2,400 2,400 ACNielsen Corp. 62,400 62,400 500 500 ADVO, Inc. 10,000 10,000 700 700 Convergys Corp. 12,119 12,119 10,900 900 11,800 Fluor Corp. 383,544 31,669 415,213 900 900 Galileo International, Inc. 45,450 45,450 700 700 Interim Services, Inc. 13,300 13,300 100 100 Lason Holdings, Inc. 5,419 5,419 600 600 MedQuist, Inc. 20,512 20,512 300 300 National Data Corp. 14,494 14,494 500 500 Personnel Group of America, Inc. 6,594 6,594 800 800 Robert Half International, Inc. 28,800 28,800 500 500 Valassis Communications, Inc. 24,000 24,000 ------------------------------------ 383,544 274,757 658,301 Communications - 2.06% 2,000 2,000 American Power Conversion Corp. 71,750 71,750 23,900 1,800 25,700 Cisco Systems, Inc. 2,337,719 176,062 2,513,781 500 500 Level One Communications, Inc. 16,750 16,750 27,100 1,600 28,700 Lucent Technologies, Inc. 2,752,344 162,500 2,914,844 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 900 15,000 Tellabs, Inc. 1,128,881 72,056 1,200,937 800 800 Xircom, Inc. 27,200 27,200 ------------------------------------ 6,348,038 526,318 6,874,356 Computer Hardware - 3.45% 39,100 2,300 41,400 Dell Computer Corp. 3,132,887 184,287 3,317,174 35,000 2,100 37,100 EMC Corp. 3,583,125 214,987 3,798,112 500 500 Hutchinson Technology, Inc. 15,562 15,562 5,900 400 6,300 International Business Machines 1,003,000 68,000 1,071,000 Corp. 1,000 1,000 InterVoice, Inc. 10,875 10,875 1,300 1,300 Lexmark International Group, Inc. 134,144 134,144 1,400 1,400 NCR Corp. 57,312 57,312 18,000 1,100 19,100 Seagate Technology, Inc. 520,875 31,831 552,706 18,400 1,000 19,400 Solectron Corp. 822,250 44,687 866,937 16,300 1,000 17,300 Sun Microsystems, Inc. 1,586,194 97,312 1,683,506 950 950 Symbol Technologies, Inc. 50,350 50,350 400 400 Zebra Technologies Corp., Class A 10,325 10,325 ------------------------------------ 10,648,331 919,672 11,568,003 Computer Services & Software - 3.60% 800 800 Adobe Systems, Inc. 32,200 32,200 300 300 Affiliated Computer Services, Inc. 13,875 13,875 10,400 600 11,000 America Online, Inc. 924,950 53,362 978,312 600 600 American Management Systems, Inc. 20,025 20,025 600 600 BMC Software, Inc. 24,525 24,525 1,600 1,600 Cadence Design Systems, Inc. 38,500 38,500 800 800 CIBER, Inc. 20,100 20,100 900 900 Citrix Systems, Inc. 69,412 69,412 10,100 1,100 11,200 Compuware Corp. 564,969 61,531 626,500 700 700 Electronic Arts, Inc. 27,912 27,912 600 600 Macromedia, Inc. 18,337 18,337 300 300 Mercury Interactive Corp. 19,444 19,444 50,900 2,800 53,700 Microsoft Corp. 7,641,362 420,350 8,061,712 500 500 National Computer Systems, Inc. 16,016 16,016 1,650 1,650 Network Associates, Inc. 77,550 77,550 31,400 1,800 33,200 Oracle Corp. 1,754,475 100,575 1,855,050 1,100 1,100 Rational Software Corp. 32,656 32,656 1,300 1,300 Siebel Systems, Inc. 57,200 57,200 600 600 Sterling Software, Inc. 15,300 15,300 1,100 1,100 Symantec Corp. 19,869 19,869 ------------------------------------ 10,885,756 1,138,739 12,024,495 Cosmetics & Toiletries - 1.74% 22,400 1,100 23,500 Avon Products, Inc. 932,400 45,787 978,187 8,600 500 9,100 Clorox Co. 1,017,487 59,156 1,076,643 2,500 2,500 Dial Corp. 72,969 72,969 15,700 900 16,600 Kimberly-Clark Corp. 741,825 42,525 784,350 30,700 1,800 32,500 Procter & Gamble Co. 2,747,650 161,100 2,908,750 ------------------------------------ 5,439,362 381,537 5,820,899 Electrical Equipment - 1.72% 54,400 3,100 57,500 General Electric Co. 5,457,000 310,969 5,767,969 ------------------------------------ 5,457,000 310,969 5,767,969 Electronic Components 200 200 Gentex Corp. 4,338 4,338 ------------------------------------ 4,338 4,338 Energy Related - 0.73% 900 900 Allied Waste Industries, Inc. 17,550 17,550 800 800 Newfield Exploration Co. 13,000 13,000 1,200 1,200 Offshore Logistics, Inc. 10,462 10,462 30,400 1,800 32,200 PECO Energy Co. 1,077,300 63,787 1,141,087 26,000 1,800 27,800 Reliant Energy, Inc. 697,125 48,262 745,387 1,200 1,200 Tidewater, Inc. 22,575 22,575 21,300 3,200 24,500 Transocean Offshore, Inc. 439,312 66,000 505,312 ------------------------------------ 2,213,737 241,636 2,455,373 Entertainment - 1.43% 200 200 Anchor Gaming, Inc. 8,013 8,013 29,500 1,800 31,300 Carnival Corp. 1,312,750 80,100 1,392,850 800 800 Hollywood Entertainment Corp. 21,950 21,950 1,200 1,200 King World Productions, Inc. 31,725 31,725 1,200 1,200 Musicland Stores Corp. 14,175 14,175 300 300 Polaris Industries, Inc. 8,475 8,475 48,600 2,500 51,100 Time Warner, Inc. 3,134,700 161,250 3,295,950 ------------------------------------ 4,447,450 325,688 4,773,138 Financial Services - 2.51% 10,400 500 10,900 American Express Co. 1,128,400 54,250 1,182,650 400 400 AmeriCredit Corp. 4,450 4,450 600 600 Ameritrade Holding Corp. Class A 29,250 29,250 200 200 CCB Financial Corp. 10,387 10,387 19,200 1,150 20,350 Citigroup Inc. 1,128,000 67,562 1,195,562 300 300 CMAC Investment Corp. 12,394 12,394 1,300 1,300 Countrywide Credit Industries, Inc. 49,237 49,237 408 408 Delphi Financial Group , Inc. Class A 19,558 19,558 2,300 2,300 Edwards (A.G.), Inc. 74,894 74,894 23,400 1,300 24,700 Freddie Mac 1,377,675 76,537 1,454,212 700 700 Legg Mason, Inc. 19,819 19,819 19,600 1,100 20,700 Morgan Stanley Dean Witter Discover 1,773,800 99,550 1,873,350 & Co. 22,800 1,450 24,250 Providian Financial Corp. 2,328,450 148,081 2,476,531 ------------------------------------ 7,736,325 665,969 8,402,294 Food & Related - 0.94% 23,600 1,800 25,400 Conagra, Inc. 710,950 54,225 765,175 1,600 1,600 Earthgrains Co. 39,300 39,300 1,900 1,900 Flowers Industries, Inc. 46,312 46,312 11,800 1,000 12,800 Heinz (H.J.) Co. 642,362 54,437 696,799 2,300 2,300 IBP, Inc. 51,750 51,750 20,700 1,200 21,900 Quaker Oats Co. 1,130,737 65,550 1,196,287 2,800 2,800 Ralcorp Holdings, Inc. 49,875 49,875 10,100 10,100 Sara Lee Corp. 274,594 274,594 1,100 1,100 Vlasic Foods International 13,406 13,406 ------------------------------------ 2,758,643 374,855 3,133,498 Hospital Management - 0.30% 300 300 Curative Health Services, Inc. 3,375 3,375 1,100 1,100 Lincare Holdings, Inc. 39,187 39,187 1,100 1,100 Mariner Post Acute Network 2,406 2,406 800 800 Omnicare, Inc. 19,150 19,150 600 600 PacifiCare Health Systems, Inc., 43,350 43,350 Class B 179 179 Priority Healthcare Corp, Class B 6,970 6,970 15,300 1,000 16,300 United Healthcare Corp. 754,481 49,312 803,793 600 600 Universal Health Services, Inc., 24,375 24,375 Class B 600 600 Wellpoint Health Networks, Inc. 47,325 47,325 ------------------------------------ 754,481 235,450 989,931 Hospital Supply - 1.34% 600 600 ADAC Laboratories 10,725 10,725 24,800 2,700 27,500 Biomet, Inc. 909,850 99,056 1,008,906 22,400 1,100 23,500 Guidant Corp. 1,276,800 62,700 1,339,500 800 800 Hillenbrand Industries, Inc. 33,500 33,500 800 800 Integrated Health Services, Inc. 4,750 4,750 9,700 400 10,100 Johnson & Johnson Co. 828,137 34,150 862,287 15,600 600 16,200 Medtronic, Inc. 1,101,750 42,375 1,144,125 1,100 1,100 Owens & Minor, Inc. Holding Co. 14,025 14,025 300 300 Patterson Dental Co. 12,150 12,150 300 300 Safeskin Corp. 6,975 6,975 500 500 VISIX, Inc. 30,875 30,875 ------------------------------------ 4,116,537 351,281 4,467,818 Insurance - 1.81% 2,700 2,700 Aflac, Inc. 119,137 119,137 38,600 1,900 40,500 Allstate Corp. 1,447,500 71,250 1,518,750 1,100 1,100 AMBAC Financial Group, Inc. 61,600 61,600 800 800 Capital Re Corp. 13,400 13,400 37,700 2,300 40,000 Conseco, Inc. 1,128,644 68,856 1,197,500 300 300 Enhance Financial Services Group, 7,106 7,106 Inc. 22,400 1,200 23,600 Equitable Cos., Inc. 1,513,400 81,075 1,594,475 550 550 Fidelity National Financial, Inc. 11,000 11,000 1,000 1,000 First American Financial Corp. 23,437 23,437 800 800 Fremont General Corp. 15,800 15,800 25,300 1,500 26,800 Hartford Financial Services Group, 1,367,781 81,094 1,448,875 Inc. 900 900 PMI Group, Inc. 38,812 38,812 ------------------------------------ 5,457,325 592,567 6,049,892 Machinery - 0.31% 600 600 Applied Power, Inc. 14,475 14,475 900 900 Briggs & Stratton Corp. 43,931 43,931 300 300 Graco, Inc. 6,525 6,525 17,200 1,000 18,200 Ingersoll-Rand Co. 817,000 47,500 864,500 900 900 JLG Industries, Inc. 12,656 12,656 700 700 Manitowoc Co., Inc. 25,812 25,812 1,100 1,100 McDermott International, Inc. 21,931 21,931 500 500 Terex Corp. 12,813 12,813 1,200 1,200 Trinity Industries, Inc. 39,525 39,525 ------------------------------------ 817,000 225,168 1,042,168 Metal Fabrication - 0.00% 700 700 Intermet Corp. 8,750 8,750 100 100 Quanex Corp. 1,750 1,750 ------------------------------------ 10,500 10,500 Metals & Mining - 0.38% 8,000 800 8,800 Alcoa Inc. 324,000 32,400 356,400 1,200 1,200 Martin Marietta Materials, Inc. 61,575 61,575 400 400 Stillwater Mining Co. 9,175 9,175 31,300 1,400 32,700 USX-U.S. Steel Group, Inc. 792,281 35,438 827,719 ------------------------------------ 1,116,281 138,588 1,254,869 Multi - Industry - 1.14% 15,700 900 16,600 AlliedSignal, Inc. 649,588 37,238 686,826 1,600 1,600 Crane Co. 43,900 43,900 900 900 Mascotech, Inc. 13,613 13,613 1,100 1,100 Pentair, Inc. 41,663 41,663 38,700 2,000 40,700 Tyco International Ltd. 2,880,731 148,875 3,029,606 ------------------------------------ 3,530,319 285,289 3,815,608 Office Supplies 800 800 Avery-Dennison Corp. 42,950 42,950 ------------------------------------ 42,950 42,950 Oil (Domestic) - 0.37% 1,200 1,200 Ashland, Inc. 53,400 53,400 800 800 Cabot Oil & Gas Corp. 8,750 8,750 500 500 Devon Energy Corp. 11,719 11,719 900 900 Murphy Oil Corp. 30,769 30,769 16,900 900 17,800 Sunoco Inc. 514,394 27,394 541,788 27,200 1,600 28,800 USX - Marathon Group 562,700 33,100 595,800 ------------------------------------ 1,077,094 165,132 1,242,226 Oil (International) - 2.16% 18,500 1,100 19,600 Chevron Corp. 1,422,188 84,563 1,506,751 50,900 3,000 53,900 Exxon Corp. 3,388,031 199,688 3,587,719 23,900 1,500 25,400 Mobil Corp. 1,988,181 124,781 2,112,962 ------------------------------------ 6,798,400 409,032 7,207,432 Paper & Forest Products - 0.31% 400 400 American Greetings Corp. 9,475 9,475 11,500 700 12,200 Fort James Corp. 343,563 20,913 364,476 1,800 1,800 Georgia Pacific Corp. 36,675 36,675 23,400 2,900 26,300 Owens-Illinois, Inc. 560,138 69,419 629,557 ------------------------------------ 903,701 136,482 1,040,183 Pharmaceuticals - 5.27% 13,300 700 14,000 Allergan, Inc. 1,083,950 57,050 1,141,000 700 700 Alpharma, Inc. Class A 26,513 26,513 2,900 200 3,100 Bausch & Lomb, Inc. 174,906 12,063 186,969 2,200 2,200 Bergen Brunswig Corp. 53,763 53,763 400 400 Bindley Western Industries, Inc. 10,525 10,525 12,800 2,000 14,800 Biogen, Inc. 1,230,400 192,250 1,422,650 21,100 1,200 22,300 Bristol-Meyers Squibb Co. 2,657,281 151,125 2,808,406 11,300 2,343 13,643 Cardinal Health, Inc. 815,719 169,135 984,854 100 100 Immunex Corp. 14,150 14,150 24,400 1,500 25,900 Lilly (Eli)& Co. 2,310,375 142,031 2,452,406 300 300 Medimmune, Inc. 16,500 16,500 17,000 1,000 18,000 Merck & Co., Inc. 1,389,750 81,750 1,471,500 1,700 1,700 Mylan Laboratories, Inc. 46,431 46,431 12,700 700 13,400 Pfizer, Inc. 1,675,606 92,356 1,767,962 700 700 Roberts Pharmaceutical Corp. 15,838 15,838 43,000 3,200 46,200 Schering-Plough Corp. 2,405,313 179,000 2,584,313 36,200 1,300 37,500 Warner-Lambert Co. 2,500,063 89,781 2,589,844 1,600 1,600 Watson Pharmaceuticals, Inc. 77,300 77,300 ------------------------------------ 16,243,363 1,427,561 17,670,924 Printing & Publishing - 1.06% 200 200 Consolidated Graphics, Inc. 12,150 12,150 8,700 500 9,200 McGraw-Hill Cos., Inc. 952,106 54,719 1,006,825 300 300 Metro Networks, Inc. 13,500 13,500 11,000 800 11,800 New York Times Co., Class A 341,000 24,800 365,800 700 700 Scholastic Corp. 34,475 34,475 22,500 1,200 23,700 Viacom, Inc., Class B 1,988,437 106,050 2,094,487 500 500 World Color Press, Inc. 12,406 12,406 ------------------------------------ 3,281,543 258,100 3,539,643 Restaurants/Lodging - 0.28% 1,800 1,800 Bob Evans Farms, Inc. 38,813 38,813 1,800 1,800 Brinker International, Inc. 52,088 52,088 600 600 CEC Entertainment, Inc. 18,000 18,000 1,600 1,600 Darden Restaurants, Inc. 35,200 35,200 8,200 400 8,600 McDonald's Corp. 697,000 34,000 731,000 810 810 Promus Hotel Corp. 28,502 28,502 700 700 Ruby Tuesday, Inc. 13,038 13,038 1,800 1,800 Ryan's Family Steak Houses, Inc. 20,475 20,475 ------------------------------------ 697,000 240,116 937,116 Retail - 3.17% 1,100 1,100 Abercrombie & Fitch Co., Class A 83,600 83,600 600 600 AnnTaylor Stores Corp. 22,688 22,688 1,500 1,500 Best Buy Co., Inc. 139,125 139,125 800 800 Cato Corp. Class A 7,600 7,600 29,900 1,750 31,650 Gap, Inc. 1,934,156 113,203 2,047,359 900 900 Hertz Corp. 35,831 35,831 24,000 1,300 25,300 Home Depot, Inc. 1,432,500 77,594 1,510,094 400 400 Linens 'N Things, Inc. 14,400 14,400 28,600 1,800 30,400 Lowe's Cos., Inc. 1,696,337 106,763 1,803,100 5,000 5,000 OfficeMax, Inc. 38,750 38,750 400 400 Pillowtex Corp. 9,700 9,700 500 500 Rent-A-Center, Inc. 12,688 12,688 2,200 2,200 Ross Stores, Inc. 100,650 100,650 20,600 2,500 23,100 TJX Cos., Inc. 588,388 71,406 659,794 200 200 United Stationers, Inc. 3,663 3,663 45,100 2,500 47,600 Wal-Mart Stores, Inc. 3,895,513 215,938 4,111,451 400 400 Zale Corp. 13,250 13,250 ------------------------------------ 9,546,894 1,066,849 10,613,743 Retail Food/Drug - 0.64% 11,700 400 12,100 Albertson's, Inc. 666,900 22,800 689,700 400 400 Great Atlantic & Pacific Tea Co., 12,625 12,625 Inc. 600 600 Richfood Holdings, Inc. 14,250 14,250 23,200 1,200 24,400 Safeway, Inc. 1,339,800 69,300 1,409,100 ------------------------------------ 2,006,700 118,975 2,125,675 Semi-Conductors/Instrumentation - 2.09% 1,200 1,200 Altera Corp. 58,350 58,350 800 800 Comverse Technology, Inc. 57,400 57,400 400 400 Electro Scientific Industries, Inc. 14,625 14,625 42,100 2,500 44,600 Intel Corp. 5,049,369 299,844 5,349,213 1,100 1,100 Lattice Semiconductor Corp. 43,863 43,863 2,200 2,200 Linear Technology Corp. 96,388 96,388 600 600 Plexus Corp. 19,613 19,613 700 700 PMC-Sierra, Inc. 49,613 49,613 24,800 1,400 26,200 Rockwell International Corp. 1,102,050 62,213 1,164,263 400 400 Sanmina Corp. 20,900 20,900 900 900 Vitesse Semiconductors Corp. 41,344 41,344 1,200 1,200 Xilinx, Inc. 83,700 83,700 ------------------------------------ 6,151,419 847,853 6,999,272 Tobacco - 0.62% 49,700 3,000 52,700 Philip Morris Cos., Inc. 1,944,513 117,375 2,061,888 ------------------------------------ 1,944,513 117,375 2,061,888 Transportation - 0.21% 17,100 1,100 18,200 Burlington Northern Santa Fe Corp. 566,438 36,438 602,876 600 600 Kansas City Southern Industries, 28,050 28,050 Inc. 600 600 M.S. Carriers, Inc. 16,200 16,200 200 200 Rollins Truck Leasing Corp. 2,125 2,125 100 100 Swift Transportation Co., Inc. 2,994 2,994 1,300 1,300 USFreightways Corp. 41,438 41,438 ------------------------------------ 566,438 127,245 693,683 Utilities - Electric - 0.72% 2,900 2,900 Allegheny Energy, Inc. 86,094 86,094 1,300 1,300 BEC Energy 47,369 47,369 500 500 Calpine Corp. 16,375 16,375 1,900 1,900 CMS Energy Corp. 78,613 78,613 4,000 4,000 Conectiv Inc. 84,750 84,750 1,450 1,450 DQE, Inc. 55,372 55,372 30,500 1,700 32,200 Edison International 777,750 43,350 821,100 1,700 1,700 Energy East Corp. 91,163 91,163 900 900 FirstEnergy Corp. 26,325 26,325 18,500 1,000 19,500 FPL Group, Inc. 951,594 51,438 1,003,032 1,800 1,800 NIPSCO Industries, Inc. 46,688 46,688 2,100 2,100 Public Service Co. of New Mexico 32,288 32,288 600 600 TNP Enterprises, Inc. 17,550 17,550 300 300 United Illuminating Co. 13,313 13,313 ------------------------------------ 1,729,344 690,688 2,420,032 Utilities - Gas & Pipeline - 0.37% 31,400 1,600 33,000 Coastal Corp. 1,004,800 51,200 1,056,000 2,700 2,700 El Paso Energy Corp. 98,381 98,381 800 800 Energen Corp. 11,200 11,200 1,200 1,200 NICOR, Inc. 45,825 45,825 200 200 Piedmont Natural Gas Co., Inc. 6,825 6,825 600 600 Southwest Gas Corp. 17,250 17,250 ------------------------------------ 1,004,800 230,681 1,235,481 Utilities - Telephone - 4.66% 5,400 1,700 7,100 Ameritech Corp. 353,025 111,138 464,163 32,600 2,300 34,900 AT&T Corp. 2,677,275 188,888 2,866,163 1,600 1,600 Bell Atlantic Corp. 91,900 91,900 70,600 3,900 74,500 BellSouth Corp. 3,265,250 180,375 3,445,625 1,550 1,550 Century Telephone Enterprises, Inc. 95,713 95,713 800 800 Cincinnati Bell, Inc. 15,800 15,800 26,300 400 26,700 GTE Corp. 1,706,213 25,950 1,732,163 500 500 Inter-Tel, Inc. 8,813 8,813 56,424 1,800 58,224 MCI Worldcom, Inc. 4,654,980 148,500 4,803,480 8,100 300 8,400 Sprint Corp. 695,081 25,744 720,825 23,900 1,400 25,300 U S WEST, Inc. 1,274,169 74,638 1,348,807 ------------------------------------ 14,625,993 967,459 15,593,452 ----------- Total Common Stock 184,057,038 Convertible Preferred Stock - 0.07% Convertible Preferred Stock - 0.07% 4,845 4,845 Sealed Air Corp. 249,518 249,518 ------------------------------------ 249,518 249,518 ------- Total Convertible Preferred Stock 249,518 Corporate Bonds - 14.98% Coupon Maturity Building Products - 0.35% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 1,100,000 1,100,000 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 ------------------------------------ 2,570,750 2,570,750 Chemicals - 0.45% 1,500,000 1,500,000 Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 ------------------------------------ 1,501,875 1,501,875 Computer Hardware - 0.15% 500,000 500,000 International Business Machines 6.375 06/15/00 505,000 505,000 Corp. ------------------------------------ 505,000 505,000 Containers - 0.31% 1,050,000 1,050,000 Crown Cork & Seal P6.750mpany Guarenteed 12/15/03 1,050,000 1,050,000 Notes ------------------------------------ 1,050,000 1,050,000 Financial Services - 6.42% 1,000,000 1,000,000 Associates Corp. of6.950h America Debentures 11/01/18 1,031,250 1,031,250 600,000 600,000 Banc One Corp. 6.375 10/01/02 606,000 606,000 1,400,000 1,400,000 Banco Latino Americano Bank Guarenteed Notes 10/16/01 1,328,250 1,328,250 144A 1,100,000 1,100,000 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777 400,000 400,000 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 1,400,000 1,400,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 1,400,000 1,400,000 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 500,000 500,000 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 200,000 200,000 Countrywide Home Loan 7.450 09/16/03 206,250 206,250 2,200,000 2,200,000 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 250,000 250,000 General Motors Acceptance Corp. 5.875 01/22/03 248,438 248,438 250,000 250,000 General Motors Acceptance Corp. 6.750 02/07/02 255,313 255,313 1,000,000 1,000,000 GMAC Notes. 5.750 11/10/03 991,250 991,250 250,000 250,000 Household Finance Corp. 6.875 03/01/07 255,938 255,938 200,000 200,000 Household Netherlands BV 6.125 03/01/03 199,250 199,250 500,000 500,000 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior 7.200 08/15/09 1,209,000 1,209,000 Notes 350,000 350,000 Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 250,000 250,000 Morgan Stanley Dean Witter Discover 8.100 06/24/02 265,000 265,000 & Co. 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 1,250,000 1,250,000 Paine Webber Group, Inc. Senior 7.015 02/10/04 1,270,313 1,270,313 Notes 275,000 275,000 Pitney Bowes Credit Corp. 5.650 01/15/03 272,594 272,594 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. 6.250 05/15/03 1,293,500 1,293,500 Notes 260,000 260,000 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 ------------------------------------ 17,133,340 4,351,421 21,484,761 Food & Related - 0.54% 325,000 325,000 Hershey Foods Co. 6.700 10/01/05 339,219 339,219 1,500,000 1,500,000 Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 ------------------------------------ 1,455,000 339,219 1,794,219 Funeral Services - 0.32% 1,100,000 1,100,000 Service Corp. International Senior 6.300 03/15/03 1,080,750 1,080,750 Notes ------------------------------------ 1,080,750 1,080,750 Instruments/Controls - 0.34% 1,200,000 1,200,000 Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 ------------------------------------ 1,149,000 1,149,000 Insurance - 0.46% 1,000,000 1,000,000 AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 1,500,000 1,500,000 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 ------------------------------------ 2,568,125 2,568,125 Multi-Industry - 0.15% 500,000 500,000 Honeywell, Inc. 6.750 03/15/02 511,875 511,875 ------------------------------------ 511,875 511,875 1,200,000 1,200,000 Multi - Media - 0.38% Cox Radio, Inc. Company Guarenteed 6.250 05/15/03 1,203,000 1,203,000 Notes 1,250,000 1,250,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 1,250,000 1,250,000 Time Warner Inc., Pass-Through Certificates 12/30/01 1,256,250 1,256,250 144A ------------------------------------ 3,718,625 3,718,625 Oil & Gas - 0.30% 1,605,000 1,605,000 Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 1,000,000 1,000,000 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 ------------------------------------ 3,713,831 3,713,831 Paper Products - 0.40% 1,250,000 1,250,000 James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 ------------------------------------ 1,325,000 1,325,000 Retail - 0.45% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 6.000 03/20/03 1,192,500 1,192,500 300,000 300,000 Wal-Mart Stores, Inc. 7.250 06/01/13 325,125 325,125 ------------------------------------ 1,192,500 325,125 1,517,625 Utilities - Electric - 0.43% 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 145,000 145,000 Southern California Edison Note 6.500 06/01/01 146,994 146,994 ------------------------------------ 1,290,250 146,994 1,437,244 Utilities - Telephone - 1.25% 200,000 200,000 AT&T Corp. 8.625 12/01/31 218,000 218,000 1,200,000 1,200,000 Cable & Wireless Communications 6.375 03/06/03 1,209,000 1,209,000 Notes 1,200,000 1,200,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 1,400,000 1,400,000 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 ------------------------------------ 3,960,000 218,000 4,178,000 ---------- Total Corporate Bonds 50,106,680 Asset Backed Securities - 0.14% Asset Backed Securities - 0.14% 102,053 102,053 CPS Auto Trust, Series 1997-3, 6.100 12/15/02 102,595 102,595 Class A1 350,000 350,000 First USA Credit Ca6.420ster Trust, Series 03/17/05 356,125 356,125 1997-6, Class A ------------------------------------ 458,720 458,720 ------- Total Asset Backed Securities 458,720 Collateralized Mortgage Obligations - 10.28% Collateralized Mortgage Obligations - 10.28% 175,000 175,000 Access Financial Mo6.565e Loan Trust, 05/18/24 175,390 175,390 Series 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, 6.220 10/20/01 1,005,990 1,005,990 Class A1,144A 300,000 300,000 American Express Master Trust, Series 04/15/04 304,202 304,202 1998-1, Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, 02/14/41 1,784,300 1,784,300 Class A1C 246,509 246,509 Banc One Auto Grantor Trust, Series 1997-B, 07/20/04 247,891 247,891 Class A 500,000 500,000 Chase Credit Card Master Trust, Series 04/15/03 505,837 505,837 1997-2, Class A 500,000 500,000 Chase Manhattan Credit Card Master Trust, 02/15/03 501,665 501,665 Series 1996-4, Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 12/15/04 1,035,516 1,035,516 1998-2, Class A 1,300,000 1,300,000 Circuit City Credit Card Master Trust, 08/15/05 1,311,140 1,311,140 Series 1995-1, Class A 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., 05/15/08 1,726,653 1,726,653 Series 1998-C1, Class A2 1,800,000 1,800,000 Credit Suisse First Boston Mortgage 05/17/08 1,789,191 1,789,191 Securities Corp., Series 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class 10/20/01 1,880,794 1,880,794 A1, 144A+ 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical 05/10/08 1,902,290 1,902,290 Mortgage Corp., Series 1998-CG1, Class A1B 175,000 175,000 EQCC Home Equity Loan Trust, Series 1997-2, 02/15/12 177,487 177,487 Class A 1,300,000 1,300,000 Fingerhut Master Trust, Series 6.070 02/15/05 1,311,863 1,311,863 1998-1, Class A 350,000 350,000 First Plus Home Improvement Loan Trust, 09/20/14 361,742 361,742 Series 1996-3 Class A 250,000 250,000 First Plus Home Loan Trust, Series 1997-1, 12/10/15 244,178 244,178 Class A6 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America 11/18/08 2,022,130 2,022,130 Trust, Series 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, Class 11/15/07 1,617,176 1,617,176 A2, 144A+ 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., 11/15/07 2,100,761 2,100,761 Series 1997-C2, Class A3 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage 01/18/08 2,360,986 2,360,986 Trust, Series 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding, Inc., Series 01/18/08 754,309 754,309 1998-MC1, Class A2 1,850,000 1,850,000 Mortgage Capital Funding, Inc., Series 05/18/08 1,853,154 1,853,154 1998-MC2, Class A2 227,756 227,756 Navistar Financial Corp. Owner Trust, 11/15/04 229,282 229,282 Series 1998-1, Class A 469,530 469,530 Nomura Asset Securities Corp., Series 03/15/30 472,516 472,516 1998-D6, Class A 2,050,000 2,050,000 Nomura Asset Securities Corp., Series 03/17/28 2,054,418 2,054,418 1998-D6, Class A1B - Normura Asset Securities Corp., Series 03/15/30 - 1998-D6,Class A1A 1,800,000 1,800,000 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 325,000 325,000 Premier Auto Trust, Series 5.770 01/06/02 324,509 324,509 1998-2, Class A 300,000 300,000 Sears Credit Acceptance Master Trust, 08/15/05 297,807 297,807 Series 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust Series 1998-A, 05/17/04 852,386 852,386 Class A, 144A 50,519,565 50,519,565 Vendee Mortgage Trust Series 1998-1, Class 02/15/28 777,547 777,547 2, Interest Only Obligation 51,871,974 51,871,974 Vendee Mortgage Trust Series 1998-3, Class 09/01/28 628,118 628,118 10, Interest Only Obligation ------------------------------------ 30,525,972 3,842,506 34,368,478 ---------- Total Collateralized Mortgage 34,368,478 Obligations Investment Companies - 1.29% Investment Companies - 1.29% 125,900 125,900 T-Rowe Price Foreign Equity 2,196,955 2,196,955 145,800 145,800 T-Rowe Price International Equity 2,118,474 2,118,474 Fund ------------------------------------ 4,315,429 4,315,429 --------- Total Investment Companies 4,315,429 Medium Term Notes - 0.38% Medium Term Notes - 0.38% 250,000 250,000 Norwest Corp. 6.550 12/01/06 253,125 253,125 500,000 500,000 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 500,000 500,000 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 ------------------------------------ 1,266,875 1,266,875 --------- Total Medium Term Notes 1,266,875 Temporary Investments - 0.78% Temporary Investments - 0.78% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 ------------------------------------ 2,607,858 2,607,858 --------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 17.04% U.S. Government Agency Obligations - 11.95% 213,885 213,885 FannieMae 6.500 01/01/06 212,415 212,415 157,337 157,337 FannieMae 7.500 06/01/03 161,074 161,074 331,781 331,781 FannieMae 7.000 06/01/04 338,935 338,935 223,548 223,548 FannieMae 7.000 06/01/04 228,368 228,368 750,000 750,000 FannieMae 5.750 06/15/05 753,064 753,064 750,000 750,000 FannieMae 6.480 06/28/04 776,816 776,816 196,201 196,201 FannieMae 7.500 10/01/11 202,209 202,209 1,000,000 1,000,000 Federal Home Loan Bank 5.375 03/02/01 999,717 999,717 59,298 59,298 Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 60,688 740,513 740,513 Federal Home Loan Mortgage Corp. 7.000 05/01/04 755,555 755,555 186,497 186,497 Federal Home Loan Mortgage Corp. 6.500 06/01/04 188,944 188,944 9,180 9,180 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 2,163,715 2,163,715 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 565,319 565,319 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 2,527,532 2,527,532 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 705,817 705,817 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 3,766,993 3,766,993 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 276,900 276,900 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 1,012,811 1,012,811 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 996,067 996,067 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 3,459,249 3,459,249 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 5,986,299 5,986,299 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 3,032,000 3,032,000 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 43,670 43,670 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 2,708,661 2,708,661 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 2,416,539 2,416,539 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 521,105 521,105 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 934,958 934,958 GNMA Pool #449104 8.000 06/15/28 975,278 975,278 137,541 137,541 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 151,393 151,393 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 140,809 140,809 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 186,580 186,580 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 182,898 182,898 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 693,689 693,689 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 ------------------------------------ 35,289,435 4,677,785 39,967,220 U.S. Government Obligations - 2.31% 17,400,000 17,400,000 U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 2,700,000 2,700,000 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 6,150,000 6,150,000 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 1,200,000 1,200,000 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 ------------------------------------ 7,740,885 7,740,885 U.S. Treasury Obligations - 2.78% 99,000 99,000 U.S. Treasury Bill 4.150 03/11/99 98,863 98,863 57,000 57,000 U.S. Treasury Bill 4.170 03/11/99 56,921 56,921 34,000 34,000 U.S. Treasury Bill 4.250 03/11/99 33,952 33,952 5,000 5,000 U.S. Treasury Bill 4.300 04/01/99 4,980 4,980 101,000 101,000 U.S. Treasury Bill 4.330 04/01/99 100,599 100,599 560,000 560,000 U.S. Treasury Bill 4.345 04/01/99 557,770 557,770 20,000 20,000 U.S. Treasury Bill 4.360 04/01/99 19,920 19,920 9,000 9,000 U.S. Treasury Bill 4.350 04/08/99 8,957 8,957 123,000 123,000 U.S. Treasury Bill 4.360 04/08/99 122,404 122,404 40,000 40,000 U.S. Treasury Bill 4.370 04/08/99 39,806 39,806 20,000 20,000 U.S. Treasury Bill 4.380 04/08/99 19,903 19,903 12,000 12,000 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941 1,205,000 1,205,000 U.S. Treasury Bill 4.470 04/08/99 1,199,014 1,199,014 90,000 90,000 U.S. Treasury Bill 4.490 04/08/99 89,551 89,551 1,023,000 1,023,000 U.S. Treasury Note 6.250 02/15/03 1,056,920 1,056,920 1,000,000 1,000,000 U.S. Treasury Note 6.250 02/15/07 1,052,437 1,052,437 200,000 200,000 U.S. Treasury Note 6.375 03/31/01 204,689 204,689 1,225,000 1,225,000 U.S. Treasury Note 6.500 05/15/05 1,297,018 1,297,018 1,225,000 1,225,000 U.S. Treasury Note 5.625 05/15/08 1,248,359 1,248,359 592,000 592,000 U.S. Treasury Note 6.250 08/31/00 601,268 601,268 750,000 750,000 U.S. Treasury Note 6.500 10/15/06 799,505 799,505 650,000 650,000 U.S. Treasury Note 6.250 10/31/01 666,566 666,566 ------------------------------------ 9,291,343 9,291,343 ---------- Total US Government Agency 56,999,448 Obligations ---------- Total Investments - 100% 334,427,444
Time Horizon Funds Portfolio 2 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 2 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 2 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999.
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999 Time Horizon Asset Adjustments to Pro Forma III Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ------------------------------------------- --------- Total Investments $ 53,921 $ 287,005 $ - $ 340,926 Other Assets and Liabilities: Receivable for - - - - investments sold Payable for investments purchased - - - - Other assets and (887) 255 - (632) liabilities, net ------------------------------------------- --------- Total Other Assets (887) 255 - (632) and Liabilities ------------------------------------------- --------- Net Assets 53,034 287,260 - 340,294 ------------------------------------------- --------- Net Assets by Class: A Shares (Investor A) 12,904 72,081 - 84,985 B Shares (Investor B) 39,359 5,566 - 44,925 K Shares (Investor C) 771 1,792 - 2,563 SFR Shares (Seafirst) - 207,821 - 207,821 Primary A - - - - Primary B - - - - ------------------------------------------- --------- 53,034 287,260 - 340,294 ------------------------------------------- --------- Shares Outstanding by Class: A Shares (Investor A) 982 3,203 (408) 3,778 B Shares (Investor B) 3,020 248 (1,267) 2,001 K Shares (Investor C) 59 80 (25) 114 SFR Shares (Seafirst) - 12,217 - 12,217 Primary A - - - - Primary B - - - - ------------------------------------------- --------- 4,062 15,748 (1,700) 18,110 ------------------------------------------- --------- Net Asset Value per Share by Class: A Shares (Investor A) $13.13 $22.50 $ - $22.50 B Shares (Investor B) $13.03 $22.45 $ - $22.45 K Shares (Investor C) $13.01 $22.45 $ - $22.45 SFR Shares (Seafirst) n/a $17.01 $ - $17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999
Time Horizon Asset Adjustments to Pro Forma III Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ------------------------------------------- --------- INVESTMENT INCOME: Interest $1,154 $7,782 $ - $8,936 Dividends $516 1,978 - 2,494 ------------------------------------------- --------- Total Investment 1,670 9,760 - 11,430 Income ------------------------------------------- --------- EXPENSES: Investment Advisory 217 1,089 824(a) 2,130 0.65% Administration 109 408 238(a) 755 0.23% Transfer Agent 133 133 (102)(b) 164 0.05% Custodian 35 117 (119)(b) 33 0.01% Legal and Audit Fees 60 20 (18)(b) 62 0.02% Registration & Filing 19 16 - 35 0.01% Trustees' Fees 27 6 (13)(b) 20 0.01% Interest Expense - - - - 0.00% Other expenses 122 100 (194)(b) 28 0.01% ------------------------------------------- --------- Subtotal 722 1,889 616 3,227 0.98% ------------------------------------------- --------- Shareholder Servicing and Distribution Fees A Shares (Investor A) 33 170 - 203 0.25% B Shares (Investor B) 402 14 10(d) 426 1.00% K Shares (Investor C) 5 15 2(a) 22 1.05% SFR Shares (Seafirst) - 504 - 504 0.25% Primary A - - - - Primary B - - - - ------------------------------------------- --------- 440 703 12 1,155 ------------------------------------------- --------- Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (204) (28) (370)(C) (602) -0.18% ------------------------------------------- --------- Total Expenses 958 2,564 257 3,779 0.80% ------------------------------------------- --------- NET INVESTMENT INCOME 712 7,196 (257) 7,651 ------------------------------------------- --------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 8,919 30,046 - 38,965 ------------------------------------------- --------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM $9,631 $37,242 $ (257) $46,617 OPERATIONS: ========================================== =========
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements.
See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999 Asset Time Total Description Asset Time Total Allocation Horizon Allocation Horizon III III Shares / Shares Shares / Par Market Market Market Par / Par Value Value Value Common Stock - 57.12% Aerospace - 0.86% 500 500 Alliant Techsystems, Inc. 39,594 39,594 1,400 1,400 Cordant Technologies, Inc. 54,512 54,512 900 900 Goodrich (B.F.) Co. 30,712 30,712 1,600 1,600 Sundstrand Corp. 108,300 108,300 20,100 1,700 21,800 United Technologies Corp. 2,489,887 210,587 2,700,474 --------------------------------- 2,489,887 443,705 2,933,592 Airlines - 0.31% 1,000 1,000 Alaska Air Group, Inc. 50,687 50,687 100 100 Comair Holdings, Inc. 3,762 3,762 11,000 1,000 12,000 Delta Air Lines, Inc. 668,937 60,812 729,749 3,900 600 4,500 UAL Corp. 233,025 35,850 268,875 --------------------------------- 901,962 151,111 1,053,073 Apparel/Textile - 0.28% 2,600 2,600 Burlington Industries, Inc. 16,087 16,087 1,600 1,600 Cintas Corp. 113,200 113,200 3,500 3,500 Jones Apparel Group, Inc. 97,781 97,781 900 900 Kellwood Co. 23,006 23,006 8,000 2,100 10,100 Tommy Hilfiger Corp. 552,500 145,031 697,531 --------------------------------- 552,500 395,105 947,605 Automobiles - 0.96% 14,600 1,500 16,100 General Motors Corp. 1,205,412 123,844 1,329,256 1,900 1,900 Arvin Industries, Inc. 68,875 68,875 26,300 2,600 28,900 Ford Motor Co. 1,559,919 154,212 1,714,131 1,200 1,200 Harley-Davidson, Inc. 69,375 69,375 4,100 4,100 Meritor Automotive, Inc. 65,087 65,087 900 900 Superior Industries International, 22,275 22,275 Inc. --------------------------------- 2,765,331 503,668 3,268,999 Banks/Savings & Loans - 4.73% 3,125 3,125 AmSouth Bancorporation 146,875 146,875 2,700 2,700 Astoria Financial Corp. 122,344 122,344 27,540 3,600 31,140 Banc One Corp. 1,480,275 193,500 1,673,775 39,600 4,000 43,600 Bank of New York Co., Inc. 1,383,525 139,750 1,523,275 43,000 4,000 47,000 Chase Manhattan Corp. 3,423,875 318,500 3,742,375 3,500 3,500 City National Corp. 112,875 112,875 556 556 Commerce Bancorp, Inc. 24,742 24,742 1,000 1,000 Cullen/Frost Bankers, Inc. 47,312 47,312 4,200 4,200 Dime Bancorp, Inc. 103,950 103,950 2,000 2,000 FirstFed Financial Corp. 33,875 33,875 62,700 5,600 68,300 Fleet Financial Group, Inc. 2,692,181 240,450 2,932,631 1,100 1,100 HUBCO, Inc. 36,094 36,094 24,900 2,400 27,300 Mellon Bank Corp. 1,683,862 162,300 1,846,162 16,800 1,700 18,500 National City Corp. 1,173,900 118,787 1,292,687 6,100 6,100 North Fork Bancorporation, Inc. 134,200 134,200 3,920 3,920 Old Kent Financial Corp. 171,990 171,990 12,800 12,800 PNC Bank Corp. 666,400 666,400 1,400 1,400 Trustmark Corp. 29,662 29,662 36,000 4,400 40,400 Wells Fargo Co. 1,323,000 161,700 1,484,700 --------------------------------- 13,827,018 2,298,906 16,125,924 Beverages - 1.54% 27,800 2,700 30,500 Anheuser-Busch Cos., Inc. 2,131,912 207,056 2,338,968 500 500 Canandaigua Brands, Inc. 26,687 26,687 29,000 2,700 31,700 Coca-Cola Co. 1,854,187 172,631 2,026,818 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 600 600 Coors, (Adolph) Co., Class B 35,737 35,737 11,000 1,000 12,000 PepsiCo, Inc. 413,875 37,625 451,500 --------------------------------- 4,771,974 479,736 5,251,710 Building Related/Appliance - 0.32% 1,500 1,500 AptarGroup, Inc. 41,062 41,062 16,800 1,700 18,500 Centex Corp. 618,450 62,581 681,031 700 700 Hughes Supply, Inc. 14,131 14,131 1,800 1,800 M.D.C. Holdings, Inc. 32,062 32,062 2,800 2,800 Mohawk Industries, Inc. 91,000 91,000 1,600 1,600 Ryland Group, Inc. 40,800 40,800 3,200 3,200 Shaw Industries, Inc. 70,200 70,200 1,900 1,900 Southdown, Inc. 89,656 89,656 800 800 USG Corp. 40,100 40,100 --------------------------------- 618,450 481,592 1,100,042 Chemicals - 0.82% 2,800 2,800 Crompton & Knowles Corp. 51,800 51,800 100 100 Cytec Industries, Inc. 2,681 2,681 13,800 1,400 15,200 Dow Chemical Co. 1,357,575 137,725 1,495,300 11,000 1,100 12,100 Du Pont (E. I.) De Nemours & Co. 564,437 56,444 620,881 1,500 1,500 Ecolab, Inc. 59,812 59,812 3,300 3,300 GenCorp, Inc. 66,206 66,206 800 200 1,000 Rohm & Haas Co. 25,000 6,250 31,250 1,600 1,600 Schulman (A.), Inc. 26,400 26,400 1,100 1,100 Scotts Co., Class A 35,612 35,612 18,000 5,500 23,500 Solutia, Inc. 320,625 97,969 418,594 --------------------------------- 2,267,637 540,899 2,808,536 Commercial Services - 0.24% 3,500 3,500 ACNielsen Corp. 91,000 91,000 900 900 ADVO, Inc. 18,000 18,000 1,000 1,000 Convergys Corp. 17,312 17,312 10,900 1,600 12,500 Fluor Corp. 383,544 56,300 439,844 1,100 1,100 Galileo International, Inc. 55,550 55,550 1,300 1,300 Interim Services, Inc. 24,700 24,700 200 200 Lason Holdings, Inc. 10,837 10,837 1,100 1,100 MedQuist, Inc. 37,606 37,606 500 500 National Data Corp. 24,156 24,156 900 900 Personnel Group of America, Inc. 11,869 11,869 1,100 1,100 Robert Half International, Inc. 39,600 39,600 800 800 Valassis Communications, Inc. 38,400 38,400 --------------------------------- 383,544 425,330 808,874 Communications - 2.12% 3,000 3,000 American Power Conversion Corp. 107,625 107,625 23,900 3,025 26,925 Cisco Systems, Inc. 2,337,719 295,883 2,633,602 900 900 Level One Communications, Inc. 30,150 30,150 27,100 2,600 29,700 Lucent Technologies, Inc. 2,752,344 264,062 3,016,406 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 1,500 15,600 Tellabs, Inc. 1,128,881 120,094 1,248,975 1,400 1,400 Xircom, Inc. 47,600 47,600 --------------------------------- 6,348,038 865,414 7,213,452 Computer Hardware - 3.56% 39,100 3,900 43,000 Dell Computer Corp. 3,132,887 312,487 3,445,374 35,000 3,700 38,700 EMC Corp. 3,583,125 378,787 3,961,912 800 800 Hutchinson Technology, Inc. 24,900 24,900 5,900 600 6,500 International Business Machines Corp. 1,003,000 102,000 1,105,000 1,800 1,800 InterVoice, Inc. 19,575 19,575 1,800 1,800 Lexmark International Group, Inc. 185,737 185,737 2,000 2,000 NCR Corp. 81,875 81,875 18,000 1,700 19,700 Seagate Technology, Inc. 520,875 49,194 570,069 18,400 2,000 20,400 Solectron Corp. 822,250 89,375 911,625 16,300 1,600 17,900 Sun Microsystems, Inc. 1,586,194 155,700 1,741,894 1,350 1,350 Symbol Technologies, Inc. 71,550 71,550 800 800 Zebra Technologies Corp., Class A 20,650 20,650 --------------------------------- 10,648,331 1,491,830 12,140,161 Computer Services & Software - 3.74% 1,000 1,000 Adobe Systems, Inc. 40,250 40,250 600 600 Affiliated Computer Services, Inc. 27,750 27,750 10,400 1,000 11,400 America Online, Inc. 924,950 88,937 1,013,887 1,000 1,000 American Management Systems, Inc. 33,375 33,375 900 900 BMC Software, Inc. 36,787 36,787 2,400 2,400 Cadence Design Systems, Inc. 57,750 57,750 1,400 1,400 CIBER, Inc. 35,175 35,175 1,200 1,200 Citrix Systems, Inc. 92,550 92,550 10,100 1,800 11,900 Compuware Corp. 564,969 100,687 665,656 1,000 1,000 Electronic Arts, Inc. 39,875 39,875 1,100 1,100 Macromedia, Inc. 33,619 33,619 500 500 Mercury Interactive Corp. 32,406 32,406 50,900 4,900 55,800 Microsoft Corp. 7,641,362 735,612 8,376,974 800 800 National Computer Systems, Inc. 25,625 25,625 2,500 2,500 Network Associates, Inc. 117,500 117,500 31,400 3,000 34,400 Oracle Corp. 1,754,475 167,625 1,922,100 1,600 1,600 Rational Software Corp. 47,500 47,500 1,900 1,900 Siebel Systems, Inc. 83,600 83,600 1,000 1,000 Sterling Software, Inc. 25,500 25,500 1,600 1,600 Symantec Corp. 28,900 28,900 --------------------------------- 10,885,756 1,851,023 12,736,779 Cosmetics & Toiletries - 1.78% 22,400 2,000 24,400 Avon Products, Inc. 932,400 83,250 1,015,650 8,600 900 9,500 Clorox Co. 1,017,487 106,481 1,123,968 3,600 3,600 Dial Corp. 105,075 105,075 15,700 1,600 17,300 Kimberly-Clark Corp. 741,825 75,600 817,425 30,700 3,000 33,700 Procter & Gamble Co. 2,747,650 268,500 3,016,150 --------------------------------- 5,439,362 638,906 6,078,268 Electrical Equipment - 1.76% 54,400 5,300 59,700 General Electric Co. 5,457,000 531,656 5,988,656 --------------------------------- 5,457,000 531,656 5,988,656 Electronic Components - 0.00% 100 100 Gentex Corp. 2,169 2,169 --------------------------------- 2,169 2,169 Energy Related - 0.76% 1,300 1,300 Allied Waste Industries, Inc. 25,350 25,350 1,300 1,300 Newfield Exploration Co. 21,125 21,125 2,000 2,000 Offshore Logistics, Inc. 17,437 17,437 30,400 3,000 33,400 PECO Energy Co. 1,077,300 106,312 1,183,612 26,000 3,100 29,100 Reliant Energy, Inc. 697,125 83,119 780,244 1,700 1,700 Tidewater, Inc. 31,981 31,981 21,300 5,000 26,300 Transocean Offshore, Inc. 439,312 103,125 542,437 --------------------------------- 2,213,737 388,449 2,602,186 Entertainment - 1.47% 400 400 Anchor Gaming, Inc. 16,025 16,025 29,500 3,000 32,500 Carnival Corp. 1,312,750 133,500 1,446,250 1,500 1,500 Hollywood Entertainment Corp. 41,156 41,156 1,800 1,800 King World Productions, Inc. 47,587 47,587 1,900 1,900 Musicland Stores Corp. 22,444 22,444 500 500 Polaris Industries, Inc. 14,125 14,125 48,600 4,400 53,000 Time Warner, Inc. 3,134,700 283,800 3,418,500 --------------------------------- 4,447,450 558,637 5,006,087 Financial Services - 2.60% 10,400 1,000 11,400 American Express Co. 1,128,400 108,500 1,236,900 800 800 AmeriCredit Corp. 8,900 8,900 1,200 1,200 Ameritrade Holding Corp. Class A 58,500 58,500 400 400 CCB Financial Corp. 20,775 20,775 19,200 1,950 21,150 Citigroup Inc. 1,128,000 114,562 1,242,562 400 400 CMAC Investment Corp. 16,525 16,525 1,800 1,800 Countrywide Credit Industries, Inc. 68,175 68,175 714 714 Delphi Financial Group , Inc. Class A 34,227 34,227 3,300 3,300 Edwards (A.G.), Inc. 107,456 107,456 23,400 2,300 25,700 Freddie Mac 1,377,675 135,412 1,513,087 1,200 1,200 Legg Mason, Inc. 33,975 33,975 19,600 2,000 21,600 Morgan Stanley Dean Witter Discover 1,773,800 181,000 1,954,800 & Co. 22,800 2,450 25,250 Providian Financial Corp. 2,328,450 250,206 2,578,656 --------------------------------- 7,736,325 1,138,213 8,874,538 Food & Related - 0.99% 23,600 3,100 26,700 Conagra, Inc. 710,950 93,387 804,337 2,500 2,500 Earthgrains Co. 61,406 61,406 2,800 2,800 Flowers Industries, Inc. 68,250 68,250 11,800 1,700 13,500 Heinz (H.J.) Co. 642,362 92,544 734,906 3,300 3,300 IBP, Inc. 74,250 74,250 20,700 2,100 22,800 Quaker Oats Co. 1,130,737 114,712 1,245,449 4,000 4,000 Ralcorp Holdings, Inc. 71,250 71,250 10,100 10,100 Sara Lee Corp. 274,594 274,594 1,600 1,600 Vlasic Foods International 19,500 19,500 --------------------------------- 2,758,643 595,299 3,353,942 Hospital Management - 0.32% 600 600 Curative Health Services, Inc. 6,750 6,750 1,600 1,600 Lincare Holdings, Inc. 57,000 57,000 1,900 1,900 Mariner Post Acute Network 4,156 4,156 1,100 1,100 Omnicare, Inc. 26,331 26,331 900 900 PacifiCare Health Systems, Inc., 65,025 65,025 Class B 313 313 Priority Healthcare Corp, Class B 12,187 12,187 15,300 1,600 16,900 United Healthcare Corp. 754,481 78,900 833,381 1,000 1,000 Universal Health Services, Inc., 40,625 40,625 Class B 600 600 Wellpoint Health Networks, Inc. 47,325 47,325 --------------------------------- 754,481 338,299 1,092,780 Hospital Supply - 1.38% 1,000 1,000 ADAC Laboratories 17,875 17,875 24,800 4,400 29,200 Biomet, Inc. 909,850 161,425 1,071,275 22,400 1,900 24,300 Guidant Corp. 1,276,800 108,300 1,385,100 1,200 1,200 Hillenbrand Industries, Inc. 50,250 50,250 1,400 1,400 Integrated Health Services, Inc. 8,312 8,312 9,700 800 10,500 Johnson & Johnson Co. 828,137 68,300 896,437 15,600 900 16,500 Medtronic, Inc. 1,101,750 63,563 1,165,313 1,900 1,900 Owens & Minor, Inc. Holding Co. 24,225 24,225 600 600 Patterson Dental Co. 24,300 24,300 600 600 Safeskin Corp. 13,950 13,950 800 800 VISIX, Inc. 49,400 49,400 --------------------------------- 4,116,537 589,900 4,706,437 Insurance - 1.89% 4,000 4,000 Aflac, Inc. 176,500 176,500 38,600 3,700 42,300 Allstate Corp. 1,447,500 138,750 1,586,250 1,600 1,600 AMBAC Financial Group, Inc. 89,600 89,600 1,400 1,400 Capital Re Corp. 23,450 23,450 37,700 3,900 41,600 Conseco, Inc. 1,128,644 116,756 1,245,400 500 500 Enhance Financial Services Group, 11,844 11,844 Inc. 22,400 2,200 24,600 Equitable Cos., Inc. 1,513,400 148,638 1,662,038 890 890 Fidelity National Financial, Inc. 17,800 17,800 1,700 1,700 First American Financial Corp. 39,844 39,844 1,500 1,500 Fremont General Corp. 29,625 29,625 25,300 2,600 27,900 Hartford Financial Services Group, 1,367,781 140,563 1,508,344 Inc. 1,400 1,400 PMI Group, Inc. 60,375 60,375 --------------------------------- 5,457,325 993,745 6,451,070 Machinery - 0.34% 900 900 Applied Power, Inc. 21,713 21,713 1,300 1,300 Briggs & Stratton Corp. 63,456 63,456 500 500 Graco, Inc. 10,875 10,875 17,200 1,700 18,900 Ingersoll-Rand Co. 817,000 80,750 897,750 1,400 1,400 JLG Industries, Inc. 19,688 19,688 1,100 1,100 Manitowoc Co., Inc. 40,563 40,563 1,600 1,600 McDermott International, Inc. 31,900 31,900 1,000 1,000 Terex Corp. 25,625 25,625 1,700 1,700 Trinity Industries, Inc. 55,994 55,994 --------------------------------- 817,000 350,564 1,167,564 Metal Fabrication - 0.00% 800 800 Intermet Corp. 10,000 10,000 100 100 Quanex Corp. 1,750 1,750 --------------------------------- 11,750 11,750 Metals & Mining - 0.39% 8,000 1,400 9,400 Alcoa Inc. 324,000 56,700 380,700 1,700 1,700 Martin Marietta Materials, Inc. 87,231 87,231 800 800 Stillwater Mining Co. 18,350 18,350 31,300 2,500 33,800 USX-U.S. Steel Group, Inc. 792,281 63,281 855,562 --------------------------------- 1,116,281 225,562 1,341,843 Multi - Industry - 1.17% 15,700 1,600 17,300 AlliedSignal, Inc. 649,588 66,200 715,788 2,400 2,400 Crane Co. 65,850 65,850 1,500 1,500 Mascotech, Inc. 22,688 22,688 1,500 1,500 Pentair, Inc. 56,813 56,813 38,700 3,400 42,100 Tyco International Ltd. 2,880,731 253,088 3,133,819 --------------------------------- 3,530,319 464,639 3,994,958 Office Supplies - 0.02% 1,400 1,400 Avery-Dennison Corp. 75,163 75,163 --------------------------------- 75,163 75,163 Oil (Domestic) - 0.39% 1,800 1,800 Ashland, Inc. 80,100 80,100 1,300 1,300 Cabot Oil & Gas Corp. 14,219 14,219 900 900 Devon Energy Corp. 21,094 21,094 1,300 1,300 Murphy Oil Corp. 44,444 44,444 16,900 1,500 18,400 Sunoco Inc. 514,394 45,656 560,050 27,200 2,600 29,800 USX - Marathon Group 562,700 53,788 616,488 --------------------------------- 1,077,094 259,301 1,336,395 Oil (International) - 2.19% 18,500 1,400 19,900 Chevron Corp. 1,422,188 107,625 1,529,813 50,900 5,100 56,000 Exxon Corp. 3,388,031 339,469 3,727,500 23,900 2,500 26,400 Mobil Corp. 1,988,181 207,969 2,196,150 --------------------------------- 6,798,400 655,063 7,453,463 Paper & Forest Products - 0.33% 600 600 American Greetings Corp. 14,213 14,213 11,500 1,100 12,600 Fort James Corp. 343,563 32,863 376,426 2,600 2,600 Georgia Pacific Corp. 52,975 52,975 23,400 4,500 27,900 Owens-Illinois, Inc. 560,138 107,719 667,857 --------------------------------- 903,701 207,770 1,111,471 Pharmaceuticals - 5.45% 13,300 1,200 14,500 Allergan, Inc. 1,083,950 97,800 1,181,750 1,100 1,100 Alpharma, Inc. Class A 41,663 41,663 2,900 200 3,100 Bausch & Lomb, Inc. 174,906 12,063 186,969 3,200 3,200 Bergen Brunswig Corp. 78,200 78,200 800 800 Bindley Western Industries, Inc. 21,050 21,050 12,800 3,200 16,000 Biogen, Inc. 1,230,400 307,600 1,538,000 21,100 2,100 23,200 Bristol-Meyers Squibb Co. 2,657,281 264,469 2,921,750 11,300 3,527 14,827 Cardinal Health, Inc. 815,719 254,605 1,070,324 100 100 Immunex Corp. 14,150 14,150 24,400 2,500 26,900 Lilly (Eli)& Co. 2,310,375 236,719 2,547,094 600 600 Medimmune, Inc. 33,000 33,000 17,000 1,800 18,800 Merck & Co., Inc. 1,389,750 147,150 1,536,900 2,400 2,400 Mylan Laboratories, Inc. 65,550 65,550 12,700 1,200 13,900 Pfizer, Inc. 1,675,606 158,325 1,833,931 1,300 1,300 Roberts Pharmaceutical Corp. 29,413 29,413 43,000 5,600 48,600 Schering-Plough Corp. 2,405,313 313,250 2,718,563 36,200 2,300 38,500 Warner-Lambert Co. 2,500,063 158,844 2,658,907 2,400 2,400 Watson Pharmaceuticals, Inc. 115,950 115,950 --------------------------------- 16,243,363 2,349,801 18,593,164 Printing & Publishing - 1.10% 400 400 Consolidated Graphics, Inc. 24,300 24,300 8,700 900 9,600 McGraw-Hill Cos., Inc. 952,106 98,494 1,050,600 600 600 Metro Networks, Inc. 27,000 27,000 11,000 1,300 12,300 New York Times Co., Class A 341,000 40,300 381,300 1,000 1,000 Scholastic Corp. 49,250 49,250 22,500 2,200 24,700 Viacom, Inc., Class B 1,988,437 194,425 2,182,862 1,000 1,000 World Color Press, Inc. 24,813 24,813 --------------------------------- 3,281,543 458,582 3,740,125 Restaurants/Lodging - 0.32% 2,600 2,600 Bob Evans Farms, Inc. 56,063 56,063 2,500 2,500 Brinker International, Inc. 72,344 72,344 1,100 1,100 CEC Entertainment, Inc. 33,000 33,000 2,300 2,300 Darden Restaurants, Inc. 50,600 50,600 8,200 800 9,000 McDonald's Corp. 697,000 68,000 765,000 1,087 1,087 Promus Hotel Corp. 38,249 38,249 1,300 1,300 Ruby Tuesday, Inc. 24,213 24,213 3,100 3,100 Ryan's Family Steak Houses, Inc. 35,263 35,263 --------------------------------- 697,000 377,732 1,074,732 Retail - 3.31% 1,600 1,600 Abercrombie & Fitch Co., Class A 121,600 121,600 900 900 AnnTaylor Stores Corp. 34,031 34,031 2,200 2,200 Best Buy Co., Inc. 204,050 204,050 1,400 1,400 Cato Corp., Class A 13,300 13,300 29,900 2,900 32,800 Gap, Inc. 1,934,156 187,594 2,121,750 1,300 1,300 Hertz Corp. 51,756 51,756 24,000 2,300 26,300 Home Depot, Inc. 1,432,500 137,281 1,569,781 700 700 Linens 'N Things, Inc. 25,200 25,200 28,600 3,100 31,700 Lowe's Cos., Inc. 1,696,337 183,869 1,880,206 7,200 7,200 OfficeMax, Inc. 55,800 55,800 700 700 Pillowtex Corp. 16,975 16,975 900 900 Rent-A-Center, Inc. 22,838 22,838 3,400 3,400 Ross Stores, Inc. 155,550 155,550 20,600 3,900 24,500 TJX Cos., Inc. 588,388 111,394 699,782 300 300 United Stationers, Inc. 5,494 5,494 45,100 4,400 49,500 Wal-Mart Stores, Inc. 3,895,513 380,050 4,275,563 700 700 Zale Corp. 23,188 23,188 --------------------------------- 9,546,894 1,729,970 11,276,864 Retail Food/Drug - 0.65% 11,700 900 12,600 Albertson's, Inc. 666,900 51,300 718,200 600 600 Great Atlantic & Pacific Tea Co., 18,938 18,938 Inc. 1,100 1,100 Richfood Holdings, Inc. 26,125 26,125 23,200 2,100 25,300 Safeway, Inc. 1,339,800 121,275 1,461,075 --------------------------------- 2,006,700 217,638 2,224,338 Semi-Conductors/Instrumentation - 2.20% 1,800 1,800 Altera Corp. 87,525 87,525 1,100 1,100 Comverse Technology, Inc. 78,925 78,925 600 600 Electro Scientific Industries, Inc. 21,938 21,938 42,100 4,200 46,300 Intel Corp. 5,049,369 503,738 5,553,107 1,600 1,600 Lattice Semiconductor Corp. 63,800 63,800 3,000 3,000 Linear Technology Corp. 131,438 131,438 1,000 1,000 Plexus Corp. 32,688 32,688 1,300 1,300 PMC-Sierra, Inc. 92,138 92,138 24,800 2,400 27,200 Rockwell International Corp. 1,102,050 106,650 1,208,700 600 600 Sanmina Corp. 31,350 31,350 1,500 1,500 Vitesse Semiconductors Corp. 68,906 68,906 1,700 1,700 Xilinx, Inc. 118,575 118,575 --------------------------------- 6,151,419 1,337,671 7,489,090 Tobacco - 0.63% 49,700 5,500 55,200 Philip Morris Cos., Inc. 1,944,513 215,188 2,159,701 --------------------------------- 1,944,513 215,188 2,159,701 Transportation - 0.23% 17,100 2,100 19,200 Burlington Northern Santa Fe Corp. 566,438 69,563 636,001 900 900 Kansas City Southern Industries, Inc. 42,075 42,075 1,000 1,000 M.S. Carriers, Inc. 27,000 27,000 100 100 Swift Transportation Co., Inc. 2,994 2,994 2,200 2,200 USFreightways Corp. 70,125 70,125 --------------------------------- 566,438 211,757 778,195 Utilities - Electric - 0.81% 4,100 4,100 Allegheny Energy, Inc. 121,719 121,719 1,900 1,900 BEC Energy 69,231 69,231 800 800 Calpine Corp. 26,200 26,200 2,700 2,700 CMS Energy Corp. 111,713 111,713 5,800 5,800 Conectiv Inc. 122,888 122,888 2,050 2,050 DQE, Inc. 78,284 78,284 30,500 2,900 33,400 Edison International 777,750 73,950 851,700 2,400 2,400 Energy East Corp. 128,700 128,700 1,300 1,300 FirstEnergy Corp. 38,025 38,025 18,500 1,700 20,200 FPL Group, Inc. 951,594 87,444 1,039,038 2,500 2,500 NIPSCO Industries, Inc. 64,844 64,844 3,000 3,000 Public Service Co. of New Mexico 46,125 46,125 1,100 1,100 TNP Enterprises, Inc. 32,175 32,175 500 500 United Illuminating Co. 22,188 22,188 --------------------------------- 1,729,344 1,023,486 2,752,830 Utilities - Gas & Pipeline - 0.40% 31,400 2,800 34,200 Coastal Corp. 1,004,800 89,600 1,094,400 3,900 3,900 El Paso Energy Corp. 142,106 142,106 1,400 1,400 Energen Corp. 19,600 19,600 1,800 1,800 NICOR, Inc. 68,738 68,738 400 400 Piedmont Natural Gas Co., Inc. 13,650 13,650 1,000 1,000 Southwest Gas Corp. 28,750 28,750 --------------------------------- 1,004,800 362,444 1,367,244 Utilities - Telephone - 4.76% 5,400 3,000 8,400 Ameritech Corp. 353,025 196,125 549,150 32,600 4,000 36,600 AT&T Corp. 2,677,275 328,500 3,005,775 2,800 2,800 Bell Atlantic Corp. 160,825 160,825 70,600 6,300 76,900 BellSouth Corp. 3,265,250 291,375 3,556,625 2,200 2,200 Century Telephone Enterprises, Inc. 135,850 135,850 1,100 1,100 Cincinnati Bell, Inc. 21,725 21,725 26,300 500 26,800 GTE Corp. 1,706,213 32,438 1,738,651 900 900 Inter-Tel, Inc. 15,863 15,863 56,424 3,100 59,524 MCI Worldcom, Inc. 4,654,980 255,750 4,910,730 8,100 400 8,500 Sprint Corp. 695,081 34,325 729,406 23,900 2,300 26,200 U S WEST, Inc. 1,274,169 122,619 1,396,788 --------------------------------- 14,625,993 1,595,395 16,221,388 Total Common Stock 194,715,158 Convertible Preferred Stock - 0.07% Convertible Preferred Stock - 0.07% 4,845 4,845 Sealed Air Corp. 249,518 249,518 --------------------------------- 249,518 249,518 ------- Total Convertible Preferred Stock 249,518 Corporate Bonds - 14.21% Coupon Maturity Building Products - 0.75% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 1,100,000 1,100,000 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 --------------------------------- 2,570,750 2,570,750 Chemicals - 0.44% 1,500,000 1,500,000 Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 --------------------------------- 1,501,875 1,501,875 Containers - 0.31% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed 12/15/03 1,050,000 1,050,000 Notes --------------------------------- 1,050,000 1,050,000 Financial Services - 5.92% 1,000,000 1,000,000 Associates Corp. of 6.950 America Debentures 11/01/18 1,031,250 1,031,250 375,000 375,000 Banc One Corp. 6.375 10/01/02 378,750 378,750 1,400,000 1,400,000 Banco Latino Americano Bank Guarenteed Notes 10/16/01 1,328,250 1,328,250 144A 1,100,000 1,100,000 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777 400,000 400,000 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 1,400,000 1,400,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 1,400,000 1,400,000 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 500,000 500,000 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,37 100,000 100,000 Countrywide Home Loan 7.450 09/16/03 103,125 103,125 2,200,000 2,200,000 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 500,000 500,000 General Motors Acceptance Corp. 6.750 02/07/02 510,625 510,625 1,000,000 1,000,000 GMAC Notes. 5.750 11/10/03 991,250 991,250 250,000 250,000 Household Finance Corp. 6.875 03/01/07 255,938 255,938 100,000 100,000 Household Netherlands BV 6.125 03/01/03 99,625 99,625 500,000 500,000 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior 7.200 08/15/09 1,209,000 1,209,000 Notes 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. 6.250 05/15/03 1,293,500 1,293,500 Notes 260,000 260,000 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 --------------------------------- 17,133,340 3,039,388 20,172,728 Food & Related - 0.52% 300,000 300,000 Hershey Foods Co. 6.700 10/01/05 313,125 313,125 1,500,000 1,500,000 Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 --------------------------------- 1,455,000 313,125 1,768,125 Funeral Services - 0.32% 1,100,000 1,100,000 Service Corp. International Senior 6.300 03/15/03 1,080,750 1,080,750 Notes --------------------------------- 1,080,750 1,080,750 Instruments/Controls - 0.34% 1,200,000 1,200,000 Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 --------------------------------- 1,149,000 1,149,000 Insurance - 0.75% 1,000,000 1,000,000 AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 1,500,000 1,500,000 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 --------------------------------- 2,568,125 2,568,125 Multi-Industry - 0.15% 500,000 500,000 Honeywell, Inc. 6.750 03/15/02 511,875 511,875 --------------------------------- 511,875 511,875 Multu - Media - 1.09% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed 6.250 05/15/03 1,203,000 1,203,000 Notes 1,250,000 1,250,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 1,250,000 1,250,000 Time Warner Inc., Pass Through Certificates 12/30/01 1,256,250 1,256,250 144A --------------------------------- 3,718,625 3,718,625 Oil & Gas - 1.09% 1,605,000 1,605,000 Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 1,000,000 1,000,000 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 --------------------------------- 3,713,831 3,713,831 Paper Products - 0.39% 1,250,000 1,250,000 James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 --------------------------------- 1,325,000 1,325,000 Retail - 0.35% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 6.000 03/20/03 1,192,500 1,192,500 --------------------------------- 1,192,500 1,192,500 Utilities - Electric - 0.55% 590,000 590,000 Southern California Edison Note 6.500 06/01/01 598,113 598,113 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 --------------------------------- 1,290,250 598,113 1,888,363 Utilities - Telephone - 1.24% 250,000 250,000 AT&T Corp. 8.625 12/01/31 272,500 272,500 1,200,000 1,200,000 Cable & Wireless Communications Notes 6.375 03/06/03 1,209,000 1,209,000 1,200,000 1,200,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 1,400,000 1,400,000 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 --------------------------------- 3,960,000 272,500 4,232,500 --------- Total Corporate Bonds 48,444,047 Asset Backed Securities - 0.10% Asset Backed Securities - 0.10% 81,642 81,642 CPS Auto Grantor Trust Series 1997-3, Class 12/15/02 82,076 82,076 A1 250,000 250,000 First USA Credit Card Master Trust, Series 03/17/05 254,375 254,375 1997-6, Class A --------------------------------- 336,451 336,451 --------- Total Asset Backed Securities 336,451 Collateralized Mortgage Obligations - 9.91% Collateralized Mortgage Obligations - 9.91% 300,000 300,000 Access Financial Mortgage Loan Trust, Series 05/18/24 300,669 300,669 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, 6.220 10/20/01 1,005,990 1,005,990 Class A1,144A 275,000 275,000 American Express Master Trust, Series 04/15/04 278,851 278,851 1998-1, Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, 02/14/41 1,784,300 1,784,300 Class A1C 154,068 154,068 Banc One Auto Grantor Trust, Series 1997-B, 07/20/04 154,932 154,932 Class A 250,000 250,000 Chase Credit Card Master Trust, Series 04/15/03 252,918 252,918 1997-2, Class A 250,000 250,000 Chase Manhattan Credit Card Master Trust, 02/15/03 250,832 250,832 Series 1996-4, Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 12/15/04 1,035,516 1,035,516 1998-2, Class A 1,300,000 1,300,000 Circuit City Credit Card Master Trust, 08/15/05 1,311,140 1,311,140 Series 1995-1, Class A 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 05/15/08 1,726,653 1,726,653 1998-C1, Class A2 1,800,000 1,800,000 Credit Suisse First Boston Mortgage 05/17/08 1,789,191 1,789,191 Securities Corp., Series 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class 10/20/01 1,880,794 1,880,794 A1, 144A+ 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical 05/10/08 1,902,290 1,902,290 Mortgage Corp., Series 1998-CG1, Class A1B 300,000 300,000 EQCC Home Equity Loan Trust, Series 1997-2, 02/15/12 304,263 304,263 Class A 1,300,000 1,300,000 Fingerhut Master Trust, Series 6.070 02/15/05 1,311,863 1,311,863 1998-1, Class A 300,000 300,000 First Plus Home Improvement Loan Trust, 09/20/14 310,065 310,065 Series 1996-3 Class A 125,000 125,000 First Plus Home Loan Trust, Series 1997-1, 12/10/15 122,089 122,089 Class A6 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America 11/18/08 2,022,130 2,022,130 Trust, Series 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, Class 11/15/07 1,617,176 1,617,176 A2, 144A+ 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., 11/15/07 2,100,761 2,100,761 Series 1997-C2, Class A3 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage 01/18/08 2,360,986 2,360,986 Trust, Series 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding Inc., Series 01/18/08 754,309 754,309 1998-MC1, Class A2 1,850,000 1,850,000 Mortgage Capital Funding Inc., Series 05/18/08 1,853,154 1,853,154 1998-MC2, Class A2 227,756 227,756 Navistar Financial Corp., Owner Trust, Series 11/15/04 229,282 229,282 1998-1, Class A 2,050,000 2,050,000 Nomura Asset Securties Corp., Series 03/17/28 2,054,418 2,054,418 1998-D6, Class A1B 469,530 469,530 Normura Asset Securities Corp., Series 03/15/30 472,516 472,516 1998-D6,Class A1A 1,800,000 1,800,000 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 300,000 300,000 Premier Auto Trust, Series 1998-2, 5.770 01/06/02 299,547 299,547 Class A 275,000 275,000 Sears Credit Acceptance Master Trust, Series 08/15/05 272,990 272,990 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust Series 1998-A, Class 05/17/04 852,386 852,386 A, 144A 50,519,565 50,519,565 Vendee Mortgage Trust. Series 1998-1, Class 02/15/28 777,547 777,547 2, Interest Only Obligation 51,871,974 51,871,974 Vendee Mortgage Trust, Series 1998-3, Class 09/01/28 628,118 628,118 10, Interest Only Obligation --------------------------------- 30,525,972 3,248,954 33,774,926 --------- Total Collateralized Mortgage 33,774,926 Obligations Investment Companies - 1.32% Investment Companies - 1.32% 131,800 131,800 T-Rowe Price Foreign Equity 2,299,910 2,299,910 152,600 152,600 T-Rowe Price International Equity 2,217,278 2,217,278 Fund --------------------------------- 4,517,188 4,517,188 --------- Total Investment Companies 4,517,188 Medium Term Notes - 0.40% Medium Term Notes - 0.40% 350,000 350,000 Norwest Corp. 6.550 12/01/06 354,375 354,375 500,000 500,000 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 500,000 500,000 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 --------------------------------- 1,368,125 1,368,125 --------- Total Medium Term Notes 1,368,125 Temporary Investments - 0.76% Temporary Investments - 0.76% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 --------------------------------- 2,607,858 2,607,858 --------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 16.11% U.S. Government Agency Obligations - 11.62% 81,472 81,472 FannieMae 6.500 01/01/06 80,911 80,911 157,337 157,337 FannieMae 7.500 06/01/03 161,074 161,074 265,841 265,841 FannieMae 7.000 06/01/04 271,573 271,573 331,781 331,781 FannieMae 7.000 06/01/04 338,935 338,935 750,000 750,000 FannieMae 5.750 06/15/05 753,064 753,064 500,000 500,000 FannieMae 6.480 06/28/04 517,877 517,877 65,400 65,400 FannieMae 7.500 10/01/11 67,403 67,403 1,000,000 1,000,000 Federal Home Loan Bank 5.375 03/02/01 999,717 999,717 29,649 29,649 Federal Home Loan Mortgage Corp. 8.000 01/01/04 30,344 30,344 533,169 533,169 Federal Home Loan Mortgage Corp. 7.000 05/01/04 543,999 543,999 556,461 556,461 Federal Home Loan Mortgage Corp. 6.500 06/01/04 563,765 563,765 9,180 9,180 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 2,163,715 2,163,715 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 565,319 565,319 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 2,527,532 2,527,532 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 705,817 705,817 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 3,766,993 3,766,993 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 276,900 276,900 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 1,012,811 1,012,811 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 996,067 996,067 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 3,459,249 3,459,249 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 5,986,299 5,986,299 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 3,032,000 3,032,000 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 43,670 43,670 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 2,708,661 2,708,661 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 2,416,539 2,416,539 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 521,105 521,105 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 934,958 934,958 GNMA Pool #449104 8.000 06/15/28 975,278 975,278 137,541 137,541 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 151,393 151,393 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 140,809 140,809 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 186,580 186,580 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 182,898 182,898 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 693,689 693,689 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 --------------------------------- 35,289,435 4,328,662 39,618,097 U.S. Government Obligations - 2.27% 17,400,000 17,400,000 U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 2,700,000 2,700,000 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 6,150,000 6,150,000 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 1,200,000 1,200,000 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 --------------------------------- 7,740,885 7,740,885 U.S. Treasury Obligations - 2.22% 7,000 7,000 U.S. Treasury Bill 4.250 04/01/99 6,973 6,973 30,000 30,000 U.S. Treasury Bill 4.300 04/01/99 29,882 29,882 77,000 77,000 U.S. Treasury Bill 4.330 04/01/99 76,694 76,694 698,000 698,000 U.S. Treasury Bill 4.345 04/01/99 695,220 695,220 11,000 11,000 U.S. Treasury Bill 4.360 04/01/99 10,956 10,956 26,000 26,000 U.S. Treasury Bill 4.350 04/08/99 25,874 25,874 57,000 57,000 U.S. Treasury Bill 4.360 04/08/99 56,724 56,724 22,000 22,000 U.S. Treasury Bill 4.380 04/08/99 21,893 21,893 12,000 12,000 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941 2,069,000 2,069,000 U.S. Treasury Bill 4.470 04/08/99 2,058,724 2,058,724 45,000 45,000 U.S. Treasury Bill 4.490 04/08/99 44,776 44,776 150,000 150,000 U.S. Treasury Bond 7.500 11/15/16 177,507 177,507 500,000 500,000 U.S. Treasury Note 6.250 02/15/07 526,218 526,218 2,050,000 2,050,000 U.S. Treasury Note 6.500 05/15/05 2,170,520 2,170,520 125,000 125,000 U.S. Treasury Note 6.875 05/15/06 135,718 135,718 250,000 250,000 U.S. Treasury Note 6.625 05/15/07 269,561 269,561 400,000 400,000 U.S. Treasury Note 6.250 08/15/23 422,565 422,565 25,000 25,000 U.S. Treasury Note 6.250 08/31/00 25,391 25,391 175,000 175,000 U.S. Treasury Note 6.125 09/30/00 177,552 177,552 575,000 575,000 U.S. Treasury Note 6.500 10/15/06 612,954 612,954 --------------------------------- 7,557,643 7,557,643 ---------- Total US Government Agency 54,916,625 Obligations ---------- Total Investments - 100% 340,926,496
Time Horizon Funds Portfolio 3 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 3 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 3 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999. Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999
Time Horizon I & II Asset Allocation Adjustments to Pro Forma Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ------------------------------------------------------------------ ------------------ Total Investments $ 84,733 $ 287,005 $ -- $ 371,738 Other Assets and Liabilities: Receivable for investments sold -- -- -- -- Payable for investments purchased -- -- -- -- Other assets and liabilities, net $ (1,804) 255 -- (1,549) Total Other Assets and Liabilities (1,804) 255 -- (1,549) ------------------------------------------------------------------ ------------------ Net Assets 82,929 287,260 -- 370,189 ================================================================== ================== Net Assets by Class: A Shares (Investor A) 21,178 72,081 -- 93,259 B Shares (Investor B) 61,102 5,566 -- 66,668 K Shares (Investor C) 649 1,792 -- 2,441 SFR Shares (Seafirst) -- 207,821 -- 207,821 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------------------------ ------------------ 82,929 287,260 -- 370,189 ------------------------------------------------------------------ ------------------ Shares Outstanding by Class: A Shares (Investor A) 1,781 3,203 (839) 4,145 B Shares (Investor B) 5,182 248 (2,460) 2,970 K Shares (Investor C) 54 80 (25) 109 SFR Shares (Seafirst) -- 12,217 -- 12,217 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------------------------ ------------------ 7,017 15,748 (3,324) 19,441 ------------------------------------------------------------------ ------------------ Net Asset Value per Share by Class: A Shares (Investor A) $ 11.89 $ 22.50 $ -- $ 22.50 B Shares (Investor B) $ 11.79 $ 22.45 $ -- $ 22.45 K Shares (Investor C) $ 12.09 $ 22.45 $ -- $ 22.45 SFR Shares (Seafirst) n/a $ 17.01 $ -- $ 17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999
Time Horizon I & II Asset Allocation Adjustments to Pro Forma Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ------------------------------------------------------------------ ------------------ INVESTMENT INCOME: Interest $ 3,051 $ 7,782 $ -- $ 10,833 Dividends $ 575 1,978 -- 2,553 ------------------------------------------------------------------ ------------------ Total Investment Income 3,626 9,760 -- 13,386 ------------------------------------------------------------------ ------------------ EXPENSES: Investment Advisory 351 1,089 906 (a) 2,346 Administration 174 408 249 (a) 831 Transfer Agent 160 133 (113)(b) 180 Custodian 62 117 (143)(b) 36 Legal and Audit Fees 106 20 (64)(b) 62 Registration & Filing 38 16 -- 54 Trustees' Fees 45 6 (31)(b) 20 Interest Expense -- -- -- -- Other expenses 208 100 (280)(b) 28 ------------------------------------------------------------------ ------------------ Subtotal 1,144 1,889 524 3,557 ------------------------------------------------------------------ ------------------ Shareholder Servicing and Distribution Fees A Shares (Investor A) 56 170 -- 226 B Shares (Investor B) 647 14 11 (d) 672 K Shares (Investor C) 3 15 2 (a) 20 SFR Shares (Seafirst) -- 504 -- 504 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------------------------ ------------------ 706 703 13 1,422 ------------------------------------------------------------------ ------------------ Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (308) (28) (313)(c) (649) ------------------------------------------------------------------ ------------------ Total Expenses 1,542 2,564 225 4,331 ------------------------------------------------------------------ ------------------ NET INVESTMENT INCOME 2,084 7,196 (225) 9,055 ------------------------------------------------------------------ ------------------ NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 9,849 30,046 -- 39,895 ------------------------------------------------------------------ ------------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: $ 11,933 $ 37,242 $ (225) $ 48,950 ================================================================== ==================
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Schedule of Investments (Unaudited) February 28, 1999
Asset Time Time Total Description Asset Time Time Total Allocation Horizon I Horizon II Allocation Horizon I Horizon II Shares/ Shares/ Shares/ Shares/ Market Market Market Market Par Par Par Par Value Value Value Value Common Stock - 52.00% Aerospace - 0.78% 300 300 Alliant Techsystems, Inc. 23,756 23,756 400 1,000 1,400 Cordant Technologies, Inc. 15,575 38,937 54,512 300 400 700 Goodrich (B.F.) Co. 10,237 13,650 23,887 500 1,100 1,600 Sundstrand Corp. 33,844 74,456 108,300 20,100 700 1,000 21,800 United Technologies Corp. 2,489,887 86,712 123,875 2,700,474 ---------------------------------------------- 2,489,887 146,368 274,674 2,910,929 Airlines - 0.29% 300 800 1,100 Alaska Air Group, Inc. 15,206 40,550 55,756 200 200 Comair Holdings, Inc. 7,525 7,525 11,000 500 600 12,100 Delta Air Lines, Inc. 668,937 30,406 36,487 735,830 3,900 200 300 4,400 UAL Corp. 233,025 11,950 17,925 262,900 ---------------------------------------------- 901,962 57,562 102,487 1,062,011 Apparel/Textile - 0.25% 1,500 1,500 Burlington Industries, Inc. 9,281 9,281 500 1,200 1,700 Cintas Corp. 35,375 84,900 120,275 1,100 2,400 3,500 Jones Apparel Group, Inc. 30,731 67,050 97,781 500 500 Kellwood Co. 12,781 12,781 8,000 700 1,300 10,000 Tommy Hilfiger Corp. 552,500 48,344 89,781 690,625 ---------------------------------------------- 552,500 114,450 263,793 930,743 Automobiles - 0.88% 14,600 600 900 16,100 General Motors Corp. 1,205,412 49,537 74,306 1,329,255 600 1,400 2,000 Arvin Industries, Inc. 21,750 50,750 72,500 26,300 1,000 1,500 28,800 Ford Motor Co. 1,559,919 59,312 88,969 1,708,200 400 900 1,300 Harley-Davidson, Inc. 23,125 52,031 75,156 1,200 2,700 3,900 Meritor Automotive, Inc. 19,050 42,862 61,912 500 500 Superior Industries International, Inc. 12,375 12,375 ---------------------------------------------- 2,765,331 172,774 321,293 3,259,398 Banks/Savings & Loans - 4.30% 950 2,125 3,075 AmSouth Bancorporation 44,650 99,875 144,525 500 1,800 2,300 Astoria Financial Corp. 22,656 81,562 104,218 27,540 1,400 2,100 31,040 Banc One Corp. 1,480,275 75,250 112,875 1,668,400 39,600 1,600 2,400 43,600 Bank of New York Co., Inc. 1,383,525 55,900 83,850 1,523,275 43,000 1,600 2,300 46,900 Chase Manhattan Corp. 3,423,875 127,400 183,137 3,734,412 1,100 2,400 3,500 City National Corp. 35,475 77,400 112,875 293 293 Commerce Bancorp, Inc. 13,038 13,038 600 600 Cullen/Frost Bankers, Inc. 28,387 28,387 1,300 2,900 4,200 Dime Bancorp, Inc. 32,175 71,775 103,950 1,200 1,200 FirstFed Financial Corp. 20,325 20,325 62,700 2,200 3,200 68,100 Fleet Financial Group, Inc. 2,692,181 94,462 137,400 2,924,043 600 600 HUBCO, Inc. 19,687 19,687 24,900 1,000 1,400 27,300 Mellon Bank Corp. 1,683,862 67,625 94,675 1,846,162 16,800 400 1,000 18,200 National City Corp. 1,173,900 27,950 69,875 1,271,725 1,900 4,300 6,200 North Fork Bancorporation, Inc. 41,800 94,600 136,400 1,240 2,695 3,935 Old Kent Financial Corp. 54,405 118,243 172,648
12,800 12,800 PNC Bank Corp. 666,400 666,400 700 700 Trustmark Corp. 14,831 14,831 36,000 1,500 2,600 40,100 Wells Fargo Co. 1,323,000 55,125 95,550 1,473,675 ---------------------------------------------- 13,827,018 734,873 1,417,085 15,978,976 Beverages - 1.41% 27,800 1,100 1,600 30,500 Anheuser-Busch Cos., Inc. 2,131,912 84,356 122,700 2,338,968 300 300 Canandaigua Brands, Inc. 16,012 16,012 29,000 1,100 1,600 31,700 Coca-Cola Co. 1,854,187 70,331 102,300 2,026,818 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 200 400 600 Coors, (Adolph) Co., Class B 11,912 23,825 35,737 11,000 400 600 12,000 PepsiCo, Inc. 413,875 15,050 22,575 451,500 ---------------------------------------------- 4,771,974 181,649 287,412 5,241,035 Building Related/Appliance - 0.27% 900 900 AptarGroup, Inc. 24,637 24,637 16,800 600 1,000 18,400 Centex Corp. 618,450 22,087 36,812 677,349 400 400 Hughes Supply, Inc. 8,075 8,075 1,100 1,100 M.D.C. Holdings, Inc. 19,594 19,594 500 1,800 2,300 Mohawk Industries, Inc. 16,250 58,500 74,750 900 900 Ryland Group, Inc. 22,950 22,950 1,000 2,300 3,300 Shaw Industries, Inc. 21,937 50,456 72,393 500 1,300 1,800 Southdown, Inc. 23,594 61,344 84,938 200 500 700 USG Corp. 10,025 25,062 35,087 ---------------------------------------------- 618,450 93,893 307,430 1,019,773 Chemicals - 0.75% 900 2,000 2,900 Crompton & Knowles Corp. 16,650 37,000 53,650 400 400 Cytec Industries, Inc. 10,725 10,725 13,800 500 800 15,100 Dow Chemical Co. 1,357,575 49,187 78,700 1,485,462 11,000 500 600 12,100 Du Pont (E. I.) De Nemours & Co. 564,437 25,656 30,787 620,880 500 1,000 1,500 Ecolab, Inc. 19,937 39,875 59,812 600 2,200 2,800 GenCorp, Inc. 12,037 44,137 56,174 800 200 200 1,200 Rohm & Haas Co. 25,000 6,250 6,250 37,500 500 1,100 1,600 Schulman (A.), Inc. 8,250 18,150 26,400 600 600 Scotts Co., Class A 19,425 19,425 18,000 1,900 3,700 23,600 Solutia, Inc. 320,625 33,844 65,906 420,375 ---------------------------------------------- 2,267,637 171,811 350,955 2,790,403 Commercial Services - 0.20% 1,100 2,400 3,500 ACNielsen Corp. 28,600 62,400 91,000 500 500 ADVO, Inc. 10,000 10,000 300 700 1,000 Convergys Corp. 5,194 12,119 17,313 10,900 600 900 12,400 Fluor Corp. 383,544 21,112 31,669 436,325 400 900 1,300 Galileo International, Inc. 20,200 45,450 65,650 700 700 Interim Services, Inc. 13,300 13,300 100 100 Lason Holdings, Inc. 5,419 5,419 600 600 MedQuist, Inc. 20,512 20,512 300 300 National Data Corp. 14,494 14,494 500 500 Personnel Group of America, Inc. 6,594 6,594 400 800 1,200 Robert Half International, Inc. 14,400 28,800 43,200 500 500 Valassis Communications, Inc. 24,000 24,000 ---------------------------------------------- 383,544 89,506 274,757 747,807 Communications - 1.93% 900 2,000 2,900 American Power Conversion Corp. 32,287 71,750 104,037 23,900 1,250 1,800 26,950 Cisco Systems, Inc. 2,337,719 122,266 176,062 2,636,047 500 500 Level One Communications, Inc. 16,750 16,750
27,100 1,100 1,600 29,800 Lucent Technologies, Inc. 2,752,344 111,719 162,500 3,026,563 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 600 900 15,600 Tellabs, Inc. 1,128,881 48,037 72,056 1,248,974 800 800 Xircom, Inc. 27,200 27,200 ---------------------------------------------- 6,348,038 314,309 526,318 7,188,665 Computer Hardware - 3.27% 39,100 1,500 2,300 42,900 Dell Computer Corp. 3,132,887 120,187 184,287 3,437,361 35,000 1,900 2,100 39,000 EMC Corp. 3,583,125 194,512 214,987 3,992,624 500 500 Hutchinson Technology, Inc. 15,562 15,562 5,900 200 400 6,500 International Business Machines Corp. 1,003,000 34,000 68,000 1,105,000 1,000 1,000 InterVoice, Inc. 10,875 10,875 600 1,300 1,900 Lexmark International Group, Inc. 61,912 134,144 196,056 600 1,400 2,000 NCR Corp. 24,562 57,312 81,874 18,000 700 1,100 19,800 Seagate Technology, Inc. 520,875 20,256 31,831 572,962 18,400 800 1,000 20,200 Solectron Corp. 822,250 35,750 44,687 902,687 16,300 600 1,000 17,900 Sun Microsystems, Inc. 1,586,194 58,387 97,312 1,741,893 450 950 1,400 Symbol Technologies, Inc. 23,850 50,350 74,200 400 400 Zebra Technologies Corp., Class A 10,325 10,325 ---------------------------------------------- 10,648,331 573,416 919,672 12,141,419 Computer Services & Software - 3.40% 400 800 1,200 Adobe Systems, Inc. 16,100 32,200 48,300 300 300 Affiliated Computer Services, Inc. 13,875 13,875 10,400 400 600 11,400 America Online, Inc. 924,950 35,575 53,362 1,013,887 600 600 American Management Systems, Inc. 20,025 20,025 300 600 900 BMC Software, Inc. 12,262 24,525 36,787 700 1,600 2,300 Cadence Design Systems, Inc. 16,844 38,500 55,344 800 800 CIBER, Inc. 20,100 20,100 400 900 1,300 Citrix Systems, Inc. 30,850 69,412 100,262 10,100 700 1,100 11,900 Compuware Corp. 564,969 39,156 61,531 665,656 300 700 1,000 Electronic Arts, Inc. 11,962 27,912 39,874 600 600 Macromedia, Inc. 18,337 18,337 300 300 Mercury Interactive Corp. 19,444 19,444 50,900 1,900 2,800 55,600 Microsoft Corp. 7,641,362 285,237 420,350 8,346,949 500 500 National Computer Systems, Inc. 16,016 16,016 750 1,650 2,400 Network Associates, Inc. 35,250 77,550 112,800 31,400 1,200 1,800 34,400 Oracle Corp. 1,754,475 67,050 100,575 1,922,100 500 1,100 1,600 Rational Software Corp. 14,844 32,656 47,500 600 1,300 1,900 Siebel Systems, Inc. 26,400 57,200 83,600 600 600 Sterling Software, Inc. 15,300 15,300 500 1,100 1,600 Symantec Corp. 9,031 19,869 28,900 ---------------------------------------------- 10,885,756 600,561 1,138,739 12,625,056 Cosmetics & Toiletries - 1.63% 22,400 1,100 1,100 24,600 Avon Products, Inc. 932,400 45,787 45,787 1,023,974 8,600 300 500 9,400 Clorox Co. 1,017,487 35,494 59,156 1,112,137 1,100 2,500 3,600 Dial Corp. 32,106 72,969 105,075 15,700 600 900 17,200 Kimberly-Clark Corp. 741,825 28,350 42,525 812,700 30,700 1,200 1,800 33,700 Procter & Gamble Co. 2,747,650 107,400 161,100 3,016,150 ---------------------------------------------- 5,439,362 249,137 381,537 6,070,036 Electrical Equipment - 1.61% 54,400 2,100 3,100 59,600 General Electric Co. 5,457,000 210,656 310,969 5,978,625 ---------------------------------------------- 5,457,000 210,656 310,969 5,978,625 Electronic Components - 0.00% 200 200 Gentex Corp. 4,338 4,338 ----------------------------------------------
4,338 4,338 Energy Related - 0.69% 400 900 1,300 Allied Waste Industries, Inc. 7,800 17,550 25,350 800 800 Newfield Exploration Co. 13,000 13,000 1,200 1,200 Offshore Logistics, Inc. 10,462 10,462 30,400 1,200 1,800 33,400 PECO Energy Co. 1,077,300 42,525 63,787 1,183,612 26,000 1,200 1,800 29,000 Reliant Energy, Inc. 697,125 32,175 48,262 777,562 500 1,200 1,700 Tidewater, Inc. 9,406 22,575 31,981 21,300 1,700 3,200 26,200 Transocean Offshore, Inc. 439,312 35,062 66,000 540,374 ---------------------------------------------- 2,213,737 126,968 241,636 2,582,341 Entertainment - 1.33% 200 200 Anchor Gaming, Inc. 8,013 8,013 29,500 1,200 1,800 32,500 Carnival Corp. 1,312,750 53,400 80,100 1,446,250 800 800 Hollywood Entertainment Corp. 21,950 21,950 800 1,200 2,000 King World Productions, Inc. 21,150 31,725 52,875 1,200 1,200 Musicland Stores Corp. 14,175 14,175 300 300 Polaris Industries, Inc. 8,475 8,475 48,600 1,700 2,500 52,800 Time Warner, Inc. 3,134,700 109,650 161,250 3,405,600 ---------------------------------------------- 4,447,450 184,200 325,688 4,957,338 Financial Services - 2.36% 10,400 400 500 11,300 American Express Co. 1,128,400 43,400 54,250 1,226,050 400 400 AmeriCredit Corp. 4,450 4,450 600 600 Ameritrade Holding Corp. Class A 29,250 29,250 200 200 CCB Financial Corp. 10,387 10,387 19,200 850 1,150 21,200 Citigroup Inc. 1,128,000 49,937 67,562 1,245,499 300 300 CMAC Investment Corp. 12,394 12,394 600 1,300 1,900 Countrywide Credit Industries, Inc. 22,725 49,237 71,962 408 408 Delphi Financial Group , Inc. Class A 19,558 19,558 1,000 2,300 3,300 Edwards (A.G.), Inc. 32,562 74,894 107,456 23,400 900 1,300 25,600 Freddie Mac 1,377,675 52,987 76,537 1,507,199 700 700 Legg Mason, Inc. 19,819 19,819 19,600 800 1,100 21,500 Morgan Stanley Dean Witter Discover & Co. 1,773,800 72,400 99,550 1,945,750 22,800 1,000 1,450 25,250 Providian Financial Corp. 2,328,450 102,125 148,081 2,578,656 ---------------------------------------------- 7,736,325 376,136 665,969 8,778,430 Food & Related - 0.90% 23,600 1,200 1,800 26,600 Conagra, Inc. 710,950 36,150 54,225 801,325 500 1,600 2,100 Earthgrains Co. 12,281 39,300 51,581 900 1,900 2,800 Flowers Industries, Inc. 21,937 46,312 68,249 11,800 700 1,000 13,500 Heinz (H.J.) Co. 642,362 38,106 54,437 734,905 1,000 2,300 3,300 IBP, Inc. 22,500 51,750 74,250 20,700 800 1,200 22,700 Quaker Oats Co. 1,130,737 43,700 65,550 1,239,987 1,000 2,800 3,800 Ralcorp Holdings, Inc. 17,812 49,875 67,687 10,100 10,100 Sara Lee Corp. 274,594 274,594 500 1,100 1,600 Vlasic Foods International 6,094 13,406 19,500 ---------------------------------------------- 2,758,643 198,580 374,855 3,332,078 Hospital Management - 0.29% 300 300 Curative Health Services, Inc. 3,375 3,375 500 1,100 1,600 Lincare Holdings, Inc. 17,813 39,187 57,000 1,100 1,100 Mariner Post Acute Network 2,406 2,406 300 800 1,100 Omnicare, Inc. 7,181 19,150 26,331 300 600 900 PacifiCare Health Systems, Inc., Class B 21,675 43,350 65,025 179 179 Priority Healthcare Corp, Class B 6,970 6,970 15,300 600 1,000 16,900 United Healthcare Corp. 754,481 29,588 49,312 833,381 600 600 Universal Health Services, Inc., Class B 24,375 24,375
200 600 800 Wellpoint Health Networks, Inc. 15,775 47,325 63,100 ---------------------------------------------- 754,481 92,032 235,450 1,081,963 Hospital Supply - 1.25% 600 600 ADAC Laboratories 10,725 10,725 24,800 1,500 2,700 29,000 Biomet, Inc. 909,850 55,031 99,056 1,063,937 22,400 900 1,100 24,400 Guidant Corp. 1,276,800 51,300 62,700 1,390,800 400 800 1,200 Hillenbrand Industries, Inc. 16,750 33,500 50,250 800 800 Integrated Health Services, Inc. 4,750 4,750 9,700 300 400 10,400 Johnson & Johnson Co. 828,137 25,613 34,150 887,900 15,600 400 600 16,600 Medtronic, Inc. 1,101,750 28,250 42,375 1,172,375 1,100 1,100 Owens & Minor, Inc. Holding Co. 14,025 14,025 300 300 Patterson Dental Co. 12,150 12,150 300 300 Safeskin Corp. 6,975 6,975 500 500 VISIX, Inc. 30,875 30,875 ---------------------------------------------- 4,116,537 176,944 351,281 4,644,762 Insurance - 1.71% 1,200 2,700 3,900 Aflac, Inc. 52,950 119,137 172,087 38,600 1,400 1,900 41,900 Allstate Corp. 1,447,500 52,500 71,250 1,571,250 500 1,100 1,600 AMBAC Financial Group, Inc. 28,000 61,600 89,600 800 800 Capital Re Corp. 13,400 13,400 37,700 1,500 2,300 41,500 Conseco, Inc. 1,128,644 44,906 68,856 1,242,406 300 300 Enhance Financial Services Group, Inc. 7,106 7,106 22,400 800 1,200 24,400 Equitable Cos., Inc. 1,513,400 54,050 81,075 1,648,525 550 550 Fidelity National Financial, Inc. 11,000 11,000 1,000 1,000 First American Financial Corp. 23,437 23,437 800 800 Fremont General Corp. 15,800 15,800 25,300 1,000 1,500 27,800 Hartford Financial Services Group, Inc. 1,367,781 54,063 81,094 1,502,938 400 900 1,300 PMI Group, Inc. 17,250 38,812 56,062 ---------------------------------------------- 5,457,325 303,719 592,567 6,353,611 Machinery - 0.30% 600 600 Applied Power, Inc. 14,475 14,475 400 900 1,300 Briggs & Stratton Corp. 19,525 43,931 63,456 300 300 Graco, Inc. 6,525 6,525 17,200 700 1,000 18,900 Ingersoll-Rand Co. 817,000 33,250 47,500 897,750 900 900 JLG Industries, Inc. 12,656 12,656 700 700 Manitowoc Co., Inc. 25,812 25,812 500 1,100 1,600 McDermott International, Inc. 9,969 21,931 31,900 500 500 Terex Corp. 12,813 12,813 500 1,200 1,700 Trinity Industries, Inc. 16,469 39,525 55,994 ---------------------------------------------- 817,000 79,213 225,168 1,121,381 Metal Fabrication - 0.00% 700 700 Intermet Corp. 8,750 8,750 100 100 Quanex Corp. 1,750 1,750 ---------------------------------------------- 10,500 10,500 Metals & Mining - 0.36% 8,000 600 800 9,400 Alcoa Inc. 324,000 24,300 32,400 380,700 600 1,200 1,800 Martin Marietta Materials, Inc. 30,788 61,575 92,363 400 400 Stillwater Mining Co. 9,175 9,175 31,300 1,300 1,400 34,000 USX-U.S. Steel Group, Inc. 792,281 32,906 35,438 860,625 ---------------------------------------------- 1,116,281 87,994 138,588 1,342,863 Multi - Industry - 1.07% 15,700 600 900 17,200 AlliedSignal, Inc. 649,588 24,825 37,238 711,651 700 1,600 2,300 Crane Co. 19,206 43,900 63,106 900 900 Mascotech, Inc. 13,613 13,613
500 1,100 1,600 Pentair, Inc. 18,938 41,663 60,601 38,700 1,400 2,000 42,100 Tyco International Ltd. 2,880,731 104,213 148,875 3,133,819 ---------------------------------------------- 3,530,319 167,182 285,289 3,982,790 Office Supplies - 0.02% 500 800 1,300 Avery-Dennison Corp. 26,844 42,950 69,794 ---------------------------------------------- 26,844 42,950 69,794 Oil (Domestic) - 0.36% 600 1,200 1,800 Ashland, Inc. 26,700 53,400 80,100 800 800 Cabot Oil & Gas Corp. 8,750 8,750 500 500 Devon Energy Corp. 11,719 11,719 400 900 1,300 Murphy Oil Corp. 13,675 30,769 44,444 16,900 600 900 18,400 Sunoco Inc. 514,394 18,263 27,394 560,051 27,200 1,000 1,600 29,800 USX - Marathon Group 562,700 20,688 33,100 616,488 ---------------------------------------------- 1,077,094 79,326 165,132 1,321,552 Oil (International) - 2.02% 18,500 800 1,100 20,400 Chevron Corp. 1,422,188 61,500 84,563 1,568,251 50,900 2,100 3,000 56,000 Exxon Corp. 3,388,031 139,781 199,688 3,727,500 23,900 1,000 1,500 26,400 Mobil Corp. 1,988,181 83,188 124,781 2,196,150 ---------------------------------------------- 6,798,400 284,469 409,032 7,491,901 Paper & Forest Products - 0.30% 200 400 600 American Greetings Corp. 4,738 9,475 14,213 11,500 500 700 12,700 Fort James Corp. 343,563 14,938 20,913 379,414 800 1,800 2,600 Georgia Pacific Corp. 16,300 36,675 52,975 23,400 1,500 2,900 27,800 Owens-Illinois, Inc. 560,138 35,906 69,419 665,463 ---------------------------------------------- 903,701 71,882 136,482 1,112,065 Pharmaceuticals - 4.97% 13,300 500 700 14,500 Allergan, Inc. 1,083,950 40,750 57,050 1,181,750 700 700 Alpharma, Inc. Class A 26,513 26,513 2,900 200 200 3,300 Bausch & Lomb, Inc. 174,906 12,063 12,063 199,032 1,000 2,200 3,200 Bergen Brunswig Corp. 24,438 53,763 78,201 400 400 Bindley Western Industries, Inc. 10,525 10,525 12,800 1,100 2,000 15,900 Biogen, Inc. 1,230,400 105,738 192,250 1,528,388 21,100 800 1,200 23,100 Bristol-Meyers Squibb Co. 2,657,281 100,750 151,125 2,909,156 11,300 1,247 2,343 14,890 Cardinal Health, Inc. 815,719 90,018 169,135 1,074,872 100 100 Immunex Corp. 14,150 14,150 24,400 1,000 1,500 26,900 Lilly (Eli)& Co. 2,310,375 94,688 142,031 2,547,094 300 300 Medimmune, Inc. 16,500 16,500 17,000 600 1,000 18,600 Merck & Co., Inc. 1,389,750 49,050 81,750 1,520,550 700 1,700 2,400 Mylan Laboratories, Inc. 19,119 46,431 65,550 12,700 500 700 13,900 Pfizer, Inc. 1,675,606 65,969 92,356 1,833,931 700 700 Roberts Pharmaceutical Corp. 15,838 15,838 43,000 2,200 3,200 48,400 Schering-Plough Corp. 2,405,313 123,063 179,000 2,707,376 36,200 900 1,300 38,400 Warner-Lambert Co. 2,500,063 62,156 89,781 2,652,000 600 1,600 2,200 Watson Pharmaceuticals, Inc. 28,988 77,300 106,288 ---------------------------------------------- 16,243,363 816,790 1,427,561 18,487,714 Printing & Publishing - 0.99% 200 200 Consolidated Graphics, Inc. 12,150 12,150 8,700 400 500 9,600 McGraw-Hill Cos., Inc. 952,106 43,775 54,719 1,050,600 300 300 Metro Networks, Inc. 13,500 13,500 11,000 500 800 12,300 New York Times Co., Class A 341,000 15,500 24,800 381,300 300 700 1,000 Scholastic Corp. 14,775 34,475 49,250 22,500 800 1,200 24,500 Viacom, Inc., Class B 1,988,437 70,700 106,050 2,165,187 500 500 World Color Press, Inc. 12,406 12,406 ---------------------------------------------- 3,281,543 144,750 258,100 3,684,393 Restaurants/Lodging - 0.28%
800 1,800 2,600 Bob Evans Farms, Inc. 17,250 38,813 56,063 800 1,800 2,600 Brinker International, Inc. 23,150 52,088 75,238 600 600 CEC Entertainment, Inc. 18,000 18,000 700 1,600 2,300 Darden Restaurants, Inc. 15,400 35,200 50,600 8,200 300 400 8,900 McDonald's Corp. 697,000 25,500 34,000 756,500 347 810 1,157 Promus Hotel Corp. 12,210 28,502 40,712 700 700 Ruby Tuesday, Inc. 13,038 13,038 1,800 1,800 Ryan's Family Steak Houses, Inc. 20,475 20,475 ---------------------------------------------- 697,000 93,510 240,116 1,030,626 Retail - 3.01% 500 1,100 1,600 Abercrombie & Fitch Co., Class A 38,000 83,600 121,600 600 600 AnnTaylor Stores Corp. 22,688 22,688 700 1,500 2,200 Best Buy Co., Inc. 64,925 139,125 204,050 800 800 Cato Corp. Class A 7,600 7,600 29,900 1,100 1,750 32,750 Gap, Inc. 1,934,156 71,156 113,203 2,118,515 400 900 1,300 Hertz Corp. 15,925 35,831 51,756 24,000 900 1,300 26,200 Home Depot, Inc. 1,432,500 53,719 77,594 1,563,813 400 400 Linens 'N Things, Inc. 14,400 14,400 28,600 1,500 1,800 31,900 Lowe's Cos., Inc. 1,696,337 88,969 106,763 1,892,069 2,300 5,000 7,300 OfficeMax, Inc. 17,825 38,750 56,575 400 400 Pillowtex Corp. 9,700 9,700 500 500 Rent-A-Center, Inc. 12,688 12,688 700 2,200 2,900 Ross Stores, Inc. 32,025 100,650 132,675 20,600 1,500 2,500 24,600 TJX Cos., Inc. 588,388 42,844 71,406 702,638 200 200 United Stationers, Inc. 3,663 3,663 45,100 1,800 2,500 49,400 Wal-Mart Stores, Inc. 3,895,513 155,475 215,938 4,266,926 400 400 Zale Corp. 13,250 13,250 ---------------------------------------------- 9,546,894 580,863 1,066,849 11,194,606 Retail Food/Drug - 0.59% 11,700 500 400 12,600 Albertson's, Inc. 666,900 28,500 22,800 718,200 400 400 Great Atlantic & Pacific Tea Co., Inc. 12,625 12,625 600 600 Richfood Holdings, Inc. 14,250 14,250 23,200 800 1,200 25,200 Safeway, Inc. 1,339,800 46,200 69,300 1,455,300 ---------------------------------------------- 2,006,700 74,700 118,975 2,200,375 Semi-Conductors/Instrumentation - 1.99% 600 1,200 1,800 Altera Corp. 29,175 58,350 87,525 200 800 1,000 Comverse Technology, Inc. 14,350 57,400 71,750 400 400 Electro Scientific Industries, Inc. 14,625 14,625 42,100 1,700 2,500 46,300 Intel Corp. 5,049,369 203,894 299,844 5,553,107 300 1,100 1,400 Lattice Semiconductor Corp. 11,963 43,863 55,826 1,000 2,200 3,200 Linear Technology Corp. 43,813 96,388 140,201 600 600 Plexus Corp. 19,613 19,613 200 700 900 PMC-Sierra, Inc. 14,175 49,613 63,788 24,800 900 1,400 27,100 Rockwell International Corp. 1,102,050 39,994 62,213 1,204,257 400 400 Sanmina Corp. 20,900 20,900 900 900 Vitesse Semiconductors Corp. 41,344 41,344 600 1,200 1,800 Xilinx, Inc. 41,850 83,700 125,550 ---------------------------------------------- 6,151,419 399,214 847,853 7,398,486 Tobacco - 0.58% 49,700 1,900 3,000 54,600 Philip Morris Cos., Inc. 1,944,513 74,338 117,375 2,136,226 ---------------------------------------------- 1,944,513 74,338 117,375 2,136,226 Transportation - 0.20% 17,100 700 1,100 18,900 Burlington Northern Santa Fe Corp. 566,438 23,188 36,438 626,064
300 600 900 Kansas City Southern Industries, Inc. 14,025 28,050 42,075 600 600 M.S. Carriers, Inc. 16,200 16,200 200 200 Rollins Truck Leasing Corp. 2,125 2,125 100 100 Swift Transportation Co., Inc. 2,994 2,994 400 1,300 1,700 USFreightways Corp. 12,750 41,438 54,188 ---------------------------------------------- 566,438 49,963 127,245 743,646 Utilities - Electric - 0.74% 1,300 2,900 4,200 Allegheny Energy, Inc. 38,594 86,094 124,688 600 1,300 1,900 BEC Energy 21,863 47,369 69,232 500 500 Calpine Corp. 16,375 16,375 800 1,900 2,700 CMS Energy Corp. 33,100 78,613 111,713 1,800 4,000 5,800 Conectiv Inc. 38,138 84,750 122,888 650 1,450 2,100 DQE, Inc. 24,822 55,372 80,194 30,500 1,100 1,700 33,300 Edison International 777,750 28,050 43,350 849,150 800 1,700 2,500 Energy East Corp. 42,900 91,163 134,063 400 900 1,300 FirstEnergy Corp. 11,700 26,325 38,025 18,500 700 1,000 20,200 FPL Group, Inc. 951,594 36,006 51,438 1,039,038 800 1,800 2,600 NIPSCO Industries, Inc. 20,750 46,688 67,438 900 2,100 3,000 Public Service Co. of New Mexico 13,837 32,288 46,125 600 600 TNP Enterprises, Inc. 17,550 17,550 300 300 United Illuminating Co. 13,313 13,313 ---------------------------------------------- 1,729,344 309,760 690,688 2,729,792 Utilities - Gas & Pipeline - 0.36% 31,400 1,100 1,600 34,100 Coastal Corp. 1,004,800 35,200 51,200 1,091,200 1,200 2,700 3,900 El Paso Energy Corp. 43,725 98,381 142,106 800 800 Energen Corp. 11,200 11,200 500 1,200 1,700 NICOR, Inc. 19,094 45,825 64,919 200 200 Piedmont Natural Gas Co., Inc. 6,825 6,825 600 600 Southwest Gas Corp. 17,250 17,250 ---------------------------------------------- 1,004,800 98,019 230,681 1,333,500 Utilities - Telephone - 4.35% 5,400 1,100 1,700 8,200 Ameritech Corp. 353,025 71,913 111,138 536,076 32,600 1,500 2,300 36,400 AT&T Corp. 2,677,275 123,188 188,888 2,989,351 1,100 1,600 2,700 Bell Atlantic Corp. 63,181 91,900 155,081 70,600 2,300 3,900 76,800 BellSouth Corp. 3,265,250 106,375 180,375 3,552,000 700 1,550 2,250 Century Telephone Enterprises, Inc. 43,225 95,713 138,938 400 800 1,200 Cincinnati Bell, Inc. 7,900 15,800 23,700 26,300 200 400 26,900 GTE Corp. 1,706,213 12,975 25,950 1,745,138 500 500 Inter-Tel, Inc. 8,813 8,813 56,424 1,100 1,800 59,324 MCI Worldcom, Inc. 4,654,980 90,750 148,500 4,894,230 8,100 200 300 8,600 Sprint Corp. 695,081 17,163 25,744 737,988 23,900 900 1,400 26,200 U S WEST, Inc. 1,274,169 47,981 74,638 1,396,788 ---------------------------------------------- 14,625,993 584,651 967,459 16,178,103 ----------- Total Common Stock 193,250,050 Convertible Preferred Stock - 0.07% Convertible Preferred Stock - 0.07% 4,845 4,845 Sealed Air Corp. 249,518 249,518 ---------------------------------------------- 249,518 249,518 ----------- Total Convertible Preferred Stock 249,518
Asset Time Time Total Description Allocation Horizon I Horizon II Shares/ Shares/ Shares/ Shares/ Par Par Par Par Corporate Bonds - 15.08% Building Products - 0.69% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 1,100,000 1,100,000 USG Corp. Senior Notes Chemicals - 0.40% 1,500,000 1,500,000 Praxair, Inc. Notes Computer Hardware - 0.27% 500,000 500,000 1,000,000 International Business Machines Corp. Containers - 0.28% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed Notes Financial Services - 6.86% 1,000,000 1,000,000 Associates Corp. of North America Debentures 525,000 600,000 1,125,000 Banc One Corp. 1,400,000 1,400,000 Banco Latinoamericano Bank Guarenteed Notes 144A 1,100,000 1,100,000 Bear Stearns Co. Senior Notes 400,000 400,000 800,000 Bear Stearns Cos., Inc. 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 1,400,000 1,400,000 Capital One Bank Notes 1,400,000 1,400,000 Case Credit Corp. Notes 500,000 500,000 1,000,000 Chrysler Financial Corp. 200,000 200,000 400,000 Countrywide Home Loan 2,200,000 2,200,000 Finova Capital Corp. Notes 250,000 250,000 General Motors Acceptance Corp. 250,000 250,000 500,000 General Motors Acceptance Corp. 1,000,000 1,000,000 GMAC Notes.
Description Asset Time Time Total Allocation Horizon I Horizon II Market Market Market Market Coupon Maturity Value Value Value Value Corporate Bonds - 15.08% Building Products - 0.69% Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 ----------------------------------------------- 2,570,750 2,570,750 Chemicals - 0.40% Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 ----------------------------------------------- 1,501,875 1,501,875 Computer Hardware - 0.27% International Business Machines Corp. 6.375 06/15/00 505,000 505,000 1,010,000 ----------------------------------------------- 505,000 505,000 1,010,000 Containers - 0.28% Crown Cork & Seal PLC Company Guarenteed Notes 12/15/03 1,050,000 1,050,000 ----------------------------------------------- 1,050,000 1,050,000 Financial Services - 6.86% Associates Corp. of North America Debentures 11/01/18 1,031,250 1,031,250 Banc One Corp. 6.375 10/01/02 530,250 606,000 1,136,250 Banco Latinoamericano Bank Guarenteed Notes 144A 10/16/01 1,328,250 1,328,250 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 810,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 1,028,750 Countrywide Home Loan 7.450 09/16/03 206,250 206,250 412,500 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 General Motors Acceptance Corp. 5.875 01/22/03 248,438 248,438 General Motors Acceptance Corp. 6.750 02/07/02 255,313 255,313 510,626 GMAC Notes. 5.750 11/10/03 991,250 991,250
250,000 250,000 500,000 Household Finance Corp. 200,000 200,000 400,000 Household Netherlands BV 500,000 500,000 1,000,000 International Lease Finance Corp. 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior Notes 350,000 350,000 700,000 Merrill Lynch & Co., Inc. 750,000 250,000 1,000,000 Morgan Stanley Dean Witter Discover & Co. 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 275,000 275,000 Pitney Bowes Credit Corp. 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. Notes 260,000 260,000 Transamerica Finance Corp. Food & Related - 0.48% 1,500,000 1,500,000 Nabisco, Inc. Notes 325,000 325,000 Hershey Foods Co. Funeral Services - 0.29% 1,100,000 1,100,000 Service Corp. International Senior Notes Instruments/Controls - 0.31% 1,200,000 1,200,000 Thermo Electron Corp. Notes Insurance - 0.69% 1,000,000 1,000,000 AON Corp. Notes 1,500,000 1,500,000 MCN Investment Corp. Notes Multi Industry - 0.28%
Household Finance Corp. 6.875 03/01/07 255,938 255,938 511,876 Household Netherlands BV 6.125 03/01/03 199,250 199,250 398,500 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,020,000 Lehman Brothers Holdings Co. Senior Notes 08/15/09 1,209,000 1,209,000 Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 702,626 Morgan Stanley Dean Witter Discover & Co. 06/24/02 795,000 265,000 1,060,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 Pitney Bowes Credit Corp. 5.650 01/15/03 272,594 272,594 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 Salomon Smith Barney Holdings, Inc. Notes 05/15/03 1,293,500 1,293,500 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 ----------------------------------------------- 17,133,340 4,022,689 4,351,421 25,507,450 Food & Related - 0.48% Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 Hershey Foods Co. 6.700 10/01/05 339,219 339,219 ----------------------------------------------- 1,455,000 339,219 1,794,219 Funeral Services - 0.29% Service Corp. International Senior Notes 6.300 03/15/03 1,080,750 1,080,750 ----------------------------------------------- 1,080,750 1,080,750 Instruments/Controls - 0.31% Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 ----------------------------------------------- 1,149,000 1,149,000 Insurance - 0.69% AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 ----------------------------------------------- 2,568,125 2,568,125 Multi Industry - 0.28%
500,000 500,000 1,000,000 Honeywell, Inc. Multi Media - 1.00% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed Notes 1,250,000 1,250,000 News America Inc. Senior Notes 1,250,000 1,250,000 Time Warner Inc., Pass Through Certificates 144A Oil & Gas - 1.00% 1,605,000 1,605,000 Coastal Corp. Notes 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 1,000,000 1,000,000 Williams Companies., Inc. Notes Paper Products - 0.36% 1,250,000 1,250,000 James River Corp. Debentures Retail - 0.50% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 305,000 300,000 605,000 Wal-Mart Stores, Inc. Utilities-Electric - 0.46% 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 265,000 145,000 410,000 Southern California Edison Note Utilities-Telephone - 1.21% 300,000 200,000 500,000 AT&T Corp. 1,200,000 1,200,000 Cable & Wireless Communications Notes 1,200,000 1,200,000 GTE Corp. Debentures 1,400,000 1,400,000 Worldcom, Inc. Senior Notes
Honeywell, Inc. 6.750 03/15/02 511,875 511,875 1,023,750 ----------------------------------------------- 511,875 511,875 1,023,750 Multi Media - 1.00% Cox Radio, Inc. Company Guarenteed Notes 6.250 05/15/03 1,203,000 1,203,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 Time Warner Inc., Pass Through Certificates 144A 6.100 12/30/01 1,256,250 1,256,250 ----------------------------------------------- 3,718,625 3,718,625 Oil & Gas - 1.00% Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 ----------------------------------------------- 3,713,831 3,713,831 Paper Products - 0.36% James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 ----------------------------------------------- 1,325,000 1,325,000 Retail - 0.50% Sears Roebuck Acceptance Corp. Notes 03/20/03 1,192,500 1,192,500 Wal-Mart Stores, Inc. 7.250 06/01/13 330,544 325,125 655,669 ----------------------------------------------- 1,192,500 330,544 325,125 1,848,169 Utilities-Electric - 0.46% Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 Southern California Edison Note 6.500 06/01/01 268,644 146,994 415,638 ----------------------------------------------- 1,290,250 268,644 146,994 1,705,888 Utilities-Telephone - 1.21% AT&T Corp. 8.625 12/01/31 327,000 218,000 545,000 Cable & Wireless Communications Notes 03/06/03 1,209,000 1,209,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 -----------------------------------------------
Total Corporate Bonds Asset Backed Securities - 0.26% Asset Backed Securities - 0.26% 102,053 102,053 CPS Auto Grantor Trust, Series 1997 3, Class A1 102,053 102,053 CPS Auto Trust, Series 1997-3, Class A1 First USA Credit Card Master Trust, Series 1997-6, 400,000 350,000 750,000 Class A Total Asset Backed Securities Collateralized Mortgage Obligations - 10.66% Collateralized Mortgage Obligations - 10.66% Access Financial Mortgage Loan Trust, Series 1997-3, 175,000 175,000 350,000 Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, Class A1,144A 400,000 300,000 700,000 American Express Master Trust, Series 1998-1, Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, Class A1C 308,136 246,509 554,646 Banc One Auto Grantor Trust, Series 1997-B, Class A 500,000 500,000 1,000,000 Chase Credit Card Master Trust, Series 1997-2, Class A Chase Manhattan Credit Card Master Trust, Series 1996-4, 500,000 500,000 1,000,000 Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 1,300,000 1,300,000 Circuit City Credit Card Master Trust, Series 1995-1, Class A 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 500,000 500,000 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A Credit Suisse First Boston Mortgage Securities Corp., Series 1,800,000 1,800,000 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+
3,960,000 327,000 218,000 4,505,000 ----------- Total Corporate Bonds 56,072,432 Asset Backed Securities - 0.26% Asset Backed Securities - 0.26% CPS Auto Grantor Trust, Series 1997-3, Class A1 12/15/02 102,595 102,595 CPS Auto Trust, Series 1997-3, Class A1 6.100 12/15/02 102,595 102,595 First USA Credit Card Master Trust, Series 1997-6, Class A 03/17/05 407,000 356,125 763,125 ----------------------------------------------- 509,595 458,720 968,315 ----------- Total Asset Backed Securities 968,315 Collateralized Mortgage Obligations - 10.66% Collateralized Mortgage Obligations - 10.66% Access Financial Mortgage Loan Trust, Series 1997-3, Class A 05/18/24 175,390 175,390 350,780 AESOP Funding II, Series 1997-1, Class A1,144A 10/20/01 1,005,990 1,005,990 American Express Master Trust, Series 1998-1, Class A 04/15/04 405,602 304,202 709,804 Asset Securitization Corp., Series 1997-D5, Class A1C 02/14/41 1,784,300 1,784,300 Banc One Auto Grantor Trust, Series 1997-B, Class A 07/20/04 309,864 247,891 557,755 Chase Credit Card Master Trust, Series 1997-2, Class A 04/15/03 505,837 505,837 1,011,674 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 02/15/03 501,665 501,665 1,003,330 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 12/15/04 1,035,516 1,035,516 Circuit City Credit Card Master Trust, Series 1995-1, Class A 08/15/05 1,311,140 1,311,140 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 05/15/08 1,726,653 1,726,653 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A 01/15/13 504,878 504,878 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 05/17/08 1,789,191 1,789,191 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 10/20/01 1,880,794 1,880,794
Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., 1,900,000 1,900,000 Series 1998-CG1, Class A1B 175,000 175,000 350,000 EQCC Home Equity Loan Trust, Series 1997-2, Class A 1,300,000 1,300,000 Fingerhut Master Trust, Series 1998-1, Class A 350,000 350,000 700,000 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 275,000 250,000 525,000 First Plus Home Loan Trust, Series 1997-1, Class A6 500,000 500,000 First Plus Home Loan Trust, Series 1998-2, Class A First Union Lehman Brothers Bank of America Trust, Series 2,000,000 2,000,000 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, Class A2, 144A+ GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, 2,075,000 2,075,000 Class A3 Lehman Brothers Commercial Conduit Mortgage Trust, Series 2,350,000 2,350,000 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 1,850,000 1,850,000 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 303,675 227,756 531,431 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 469,530 469,530 939,060 Nomura Asset Securities Corp., Series 1998-D6, Class A 2,050,000 2,050,000 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 1,800,000 1,800,000 Pemex Corp., Series 144A 375,000 325,000 700,000 Premier Auto Trust, Series 1998-2, Class A 400,000 300,000 700,000 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A Vendee Mortgage Trust, Series 1998-1, Class 2, Interest 50,519,565 50,519,565 Only Obligation Vendee Mortgage Trust, Series 1998-3, Class 10, Interest 51,871,974 51,871,974 Only Obligation Total Collateralized Mortgage Obligations Investment Companies - 1.69%
Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 05/10/08 1,902,290 1,902,290 EQCC Home Equity Loan Trust, Series 1997-2, Class A 02/15/12 177,487 177,487 354,974 Fingerhut Master Trust, Series 1998-1, Class A 02/15/05 1,311,863 1,311,863 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 09/20/14 361,742 361,742 723,484 First Plus Home Loan Trust, Series 1997-1, Class A6 12/10/15 268,596 244,178 512,774 First Plus Home Loan Trust, Series 1998-2, Class A 06/10/10 498,906 498,906 First Union Lehman Brothers Bank of America Trust, Series 1998-C2, Class A2 11/18/08 2,022,130 2,022,130 General Growth Properties, Series 1, Class A2, 144A+ 11/15/07 1,617,176 1,617,176 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 11/15/07 2,100,761 2,100,761 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 01/18/08 2,360,986 2,360,986 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 01/18/08 754,309 754,309 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 05/18/08 1,853,154 1,853,154 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 11/15/04 305,709 229,282 534,991 Nomura Asset Securities Corp., Series 1998-D6, Class A 03/15/30 472,516 472,516 945,032 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 03/17/28 2,054,418 2,054,418 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 Premier Auto Trust, Series 1998-2, Class A 01/06/02 374,434 324,509 698,943 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 08/15/05 397,077 297,807 694,884 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 05/17/04 852,386 852,386 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 02/15/28 777,547 777,547 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation 09/01/28 628,118 628,118 ------------------------------------------------ 30,525,972 5,259,703 3,842,506 39,628,181 ----------- Total Collateralized Mortgage Obligations 39,628,181 Investment Companies - 1.69%
Investment Companies - 1.69% 70,100 125,900 196,000 T-Rowe Price Foreign Equity 50,500 145,800 196,300 T-Rowe Price International Equity Fund Total Investment Companies Medium Term Notes - 0.66% Medium Term Notes - 0.66% 175,000 250,000 425,000 Norwest Corp. 500,000 500,000 1,000,000 Sears Roebuck Acceptance Corp. 500,000 500,000 1,000,000 Smithkline Beecham Corp. Total Medium Term Notes Temporary Investments - 0.70% Temporary Investments - 0.70% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund Total Temporary Investments U.S. Government Agency Obligations - 18.89% U.S. Government Agency Obligations - 11.83% 213,885 213,885 427,770 FannieMae 157,337 157,337 314,674 FannieMae 165,890 331,781 497,671 FannieMae
Investment Companies - 1.69% T-Rowe Price Foreign Equity 1,223,245 2,196,955 3,420,200 T-Rowe Price International Equity Fund 733,765 2,118,474 2,852,239 ----------------------------------------------- 1,957,010 4,315,429 6,272,439 ----------- Total Investment Companies 6,272,439 Medium Term Notes - 0.66% Medium Term Notes - 0.66% Norwest Corp. 6.550 12/01/06 177,188 253,125 430,313 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 1,003,750 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 1,023,750 ----------------------------------------------- 1,190,938 1,266,875 2,457,813 ----------- Total Medium Term Notes 2,457,813 Temporary Investments - 0.70% Temporary Investments - 0.70% Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 ----------------------------------------------- 2,607,858 2,607,858 ----------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 18.89% U.S. Government Agency Obligations - 11.83% FannieMae 6.500 01/01/06 212,415 212,415 424,830 FannieMae 7.500 06/01/03 161,074 161,074 322,148 FannieMae 7.000 06/01/04 169,467 338,935 508,402
48,335 223,548 271,883 FannieMae 750,000 750,000 1,500,000 FannieMae 750,000 750,000 1,500,000 FannieMae 392,401 196,201 588,601 FannieMae 1,200,000 1,000,000 2,200,000 Federal Home Loan Bank 59,298 59,298 118,597 Federal Home Loan Mortgage Corp. 207,344 740,513 947,857 Federal Home Loan Mortgage Corp. 186,497 186,497 Federal Home Loan Mortgage Corp. 9,180 9,180 FHLMC Pool #533301 2,163,715 2,163,715 FHLMC Pool #E60891 565,319 565,319 FHLMC Pool #G10304 2,527,532 2,527,532 FNCI Pool #400028 705,817 705,817 FNCL Pool #313349 3,766,993 3,766,993 FNCL Pool #313644 276,900 276,900 FNCL Pool #325602 1,012,811 1,012,811 FNCX Pool #323191 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 996,067 996,067 FNMA Pool #345858 3,459,249 3,459,249 FNMA Pool #405210 5,986,299 5,986,299 FNMA Pool #405307 3,032,000 3,032,000 FNMA Pool #437420 43,670 43,670 GNMA Pool #146301 2,708,661 2,708,661 GNMA Pool #436800 2,416,539 2,416,539 GNMA Pool #448913 521,105 521,105 GNMA Pool #448958 934,958 934,958 GNMA Pool #449104
FannieMae 7.000 06/01/04 49,377 228,368 277,745 FannieMae 5.750 06/15/05 753,064 753,064 1,506,128 FannieMae 6.480 06/28/04 776,816 776,816 1,553,632 FannieMae 7.500 10/01/11 404,418 202,209 606,627 Federal Home Loan Bank 5.375 03/02/01 1,199,660 999,717 2,199,377 Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 60,688 121,376 Federal Home Loan Mortgage Corp. 7.000 05/01/04 211,555 755,555 967,110 Federal Home Loan Mortgage Corp. 6.500 06/01/04 188,944 188,944 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 GNMA Pool #449104 8.000 06/15/28 975,278 975,278
137,541 137,541 GNMA Pool #467788 151,393 151,393 GNSF Pool #231236 140,809 140,809 GNSF Pool #258039 186,580 186,580 GNSF Pool #276635 182,898 182,898 GNSF Pool #278853 693,689 693,689 GNSF Pool #780330 U.S. Government Obligations - 2.08% 17,400,000 17,400,000 U.S. Treasury Strips 2,700,000 2,700,000 U.S. Treasury Strips 6,150,000 6,150,000 U.S. Treasury Strips 1,200,000 1,200,000 U.S. Treasury Strips U.S. Treasury Obligations - 4.98% 99,000 99,000 U.S. Treasury Bill 57,000 57,000 U.S. Treasury Bill 34,000 34,000 U.S. Treasury Bill 5,000 5,000 U.S. Treasury Bill 101,000 101,000 U.S. Treasury Bill 560,000 560,000 U.S. Treasury Bill 20,000 20,000 U.S. Treasury Bill 9,000 9,000 U.S. Treasury Bill 123,000 123,000 U.S. Treasury Bill 40,000 40,000 U.S. Treasury Bill 101,000 20,000 121,000 U.S. Treasury Bill 12,000 12,000 U.S. Treasury Bill
GNMA Pool #467788 8.000 04/15/28 143,473 143,473 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 ------------------------------------------------ 35,289,435 3,998,534 4,677,785 43,965,754 U.S. Government Obligations - 2.08% U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 ------------------------------------------------ 7,740,885 7,740,885 U.S. Treasury Obligations - 4.98% U.S. Treasury Bill 4.150 03/11/99 98,863 98,863 U.S. Treasury Bill 4.170 03/11/99 56,921 56,921 U.S. Treasury Bill 4.250 03/11/99 33,952 33,952 U.S. Treasury Bill 4.300 04/01/99 4,980 4,980 U.S. Treasury Bill 4.330 04/01/99 100,599 100,599 U.S. Treasury Bill 4.345 04/01/99 557,770 557,770 U.S. Treasury Bill 4.360 04/01/99 19,920 19,920 U.S. Treasury Bill 4.350 04/08/99 8,957 8,957 U.S. Treasury Bill 4.360 04/08/99 122,404 122,404 U.S. Treasury Bill 4.370 04/08/99 39,806 39,806 U.S. Treasury Bill 4.380 04/08/99 100,508 19,903 120,411 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941
1,809,000 1,205,000 3,014,000 U.S. Treasury Bill 165,000 90,000 255,000 U.S. Treasury Bill 500,000 500,000 U.S. Treasury Note 690,000 1,023,000 1,713,000 U.S. Treasury Note 1,000,000 1,000,000 2,000,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note 750,000 750,000 U.S. Treasury Note 1,225,000 1,225,000 U.S. Treasury Note 425,000 1,225,000 1,650,000 U.S. Treasury Note 775,000 775,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note 902,000 592,000 1,494,000 U.S. Treasury Note 965,000 965,000 U.S. Treasury Note 600,000 750,000 1,350,000 U.S. Treasury Note 650,000 650,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note Total US Government Agency Obligations Total Investments - 100%
U.S. Treasury Bill 4.470 04/08/99 1,800,015 1,199,014 2,999,029 U.S. Treasury Bill 4.490 04/08/99 164,177 89,551 253,728 U.S. Treasury Note 5.250 01/31/01 500,971 500,971 U.S. Treasury Note 6.250 02/15/03 712,879 1,056,920 1,769,799 U.S. Treasury Note 6.250 02/15/07 1,052,437 1,052,437 2,104,874 U.S. Treasury Note 6.375 03/31/01 204,689 204,689 U.S. Treasury Note 6.375 05/15/99 752,553 752,553 U.S. Treasury Note 6.500 05/15/05 1,297,018 1,297,018 U.S. Treasury Note 5.625 05/15/08 433,104 1,248,359 1,681,463 U.S. Treasury Note 6.750 05/31/99 778,715 778,715 U.S. Treasury Note 6.625 06/30/01 206,259 206,259 U.S. Treasury Note 6.250 08/31/00 916,122 601,268 1,517,390 U.S. Treasury Note 6.125 09/30/00 979,072 979,072 U.S. Treasury Note 6.500 10/15/06 639,604 799,505 1,439,109 U.S. Treasury Note 6.250 10/31/01 666,566 666,566 U.S. Treasury Note 5.875 11/15/99 201,350 201,350 ----------------------------------------------- 9,237,766 9,291,343 18,529,109 ----------- Total US Government Agency Obligations 70,235,748 ----------- Total Investments - 100% 371,738,454
Time Horizon Funds Portfolio 1 Portfolio 2 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 1 and Portfolio 2 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 1 and Portfolio 2 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999. Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) 28-Feb-99
Time Horizon I Asset Adjustments to Pro Forma & III Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------------------------------------------------------------- Total Investments $ 91,232 $ 287,005 $ -- $ 378,237 Other Assets and Liabilities: Receivable for investments sold -- -- -- -- Payable for investments purchased -- -- -- -- Other assets and liabilities, net ($ 1,831) 255 -- (1,576) --------------------------------------------------------------------- Total Other Assets and Liabilities (1,831) 255 -- (1,576) --------------------------------------------------------------------- Net Assets 89,401 287,260 -- 376,661 ===================================================================== Net Assets by Class: A Shares (Investor A) 21,832 72,081 -- 93,913 B Shares (Investor B) 66,689 5,566 -- 72,255 K Shares (Investor C) 880 1,792 -- 2,672 SFR Shares (Seafirst) -- 207,821 -- 207,821 Primary A -- -- -- -- Primary B -- -- -- -- --------------------------------------------------------------------- 89,401 287,260 -- 376,661 --------------------------------------------------------------------- Shares Outstanding by Class: A Shares (Investor A) 1,751 3,203 (780) 4,174 B Shares (Investor B) 5,388 248 (2,418) 3,218 K Shares (Investor C) 68 80 (29) 119 SFR Shares (Seafirst) -- 12,217 -- 12,217 Primary A -- -- -- -- Primary B -- -- -- -- --------------------------------------------------------------------- 7,207 15,748 (3,227) 19,728 --------------------------------------------------------------------- Net Asset Value per Share by Class: A Shares (Investor A) $ 12.47 $ 22.50 $ -- $ 22.50 B Shares (Investor B) $ 12.38 $ 22.45 $ -- $ 22.45 K Shares (Investor C) $ 12.99 $ 22.45 $ -- $ 22.45 SFR Shares (Seafirst) n/a $ 17.01 $ -- $ 17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) 28-Feb-99
Time Horizon I Asset Adjustments to Pro Forma & III Allocation Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 2,747 $ 7,782 $ -- $ 10,529 Dividends $ 717 1,978 -- 2,695 --------------------------------------------------------------------- Total Investment Income 3,464 9,760 -- 13,224 --------------------------------------------------------------------- EXPENSES: Investment Advisory 374 1,089 923(a) 2,386 Administration 187 408 250(a) 845 Transfer Agent 193 133 (142)(b) 184 Custodian 66 117 (146)(b) 37 Legal and Audit Fees 109 20 (67)(b) 62 Registration & Filing 37 16 -- 53 Trustees' Fees 47 6 (33)(b) 20 Interest Expense -- -- -- -- Other expenses 219 100 (293)(b) 26 --------------------------------------------------------------------- Subtotal 1,232 1,889 492 3,613 --------------------------------------------------------------------- Shareholder Servicing and Distribution Fees A Shares (Investor A) 57 170 -- 227 B Shares (Investor B) 697 14 11(d) 722 K Shares (Investor C) 5 15 3(a) 23 SFR Shares (Seafirst) -- 504 -- 504 Primary A -- -- -- -- Primary B -- -- -- -- --------------------------------------------------------------------- 759 703 14 1,476 --------------------------------------------------------------------- Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (339) (28) (248)(c) (615) --------------------------------------------------------------------- Total Expenses 1,652 2,564 257 4,473 --------------------------------------------------------------------- NET INVESTMENT INCOME 1,812 7,196 (257) 8,751 --------------------------------------------------------------------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 12,968 30,046 -- 43,014 --------------------------------------------------------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: $ 14,780 $ 37,242 ($ 257) $ 51,765 =====================================================================
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Schedule of Investments (Unaudited) 28-Feb-99
Asset Time Time Asset Time Time Total Allocation Horizon I Horizon III Total Description Allocation Horizon I Horizon III Shares / Shares / Shares / Shares / Market Market Market Market Par Par Par Par Value Value Value Value Common Stock - 53.91% Aerospace - 0.81% 500 500 Alliant Techsystems, Inc. 39,594 39,594 400 1,400 1,800 Cordant Technologies, Inc. 15,575 54,512 70,087 300 900 1,200 Goodrich (B.F.) Co. 10,237 30,712 40,949 500 1,600 2,100 Sundstrand Corp. 33,844 108,300 142,144 20,100 700 1,700 22,500 United Technologies Corp. 2,489,887 86,712 210,587 2,787,186 --------------------------------------------- 2,489,887 146,368 443,705 3,079,960 Airlines - 0.29% 300 1,000 1,300 Alaska Air Group, Inc. 15,206 50,687 65,893 100 100 Comair Holdings, Inc. 3,762 3,762 11,000 500 1,000 12,500 Delta Air Lines, Inc. 668,937 30,406 60,812 760,155 3,900 200 600 4,700 UAL Corp. 233,025 11,950 35,850 280,825 --------------------------------------------- 901,962 57,562 151,111 1,110,635 Apparel/Textile - 0.28% 2,600 2,600 Burlington Industries, Inc. 16,087 16,087 500 1,600 2,100 Cintas Corp. 35,375 113,200 148,575 1,100 3,500 4,600 Jones Apparel Group, Inc. 30,731 97,781 128,512 900 900 Kellwood Co. 23,006 23,006 8,000 700 2,100 10,800 Tommy Hilfiger Corp. 552,500 48,344 145,031 745,875 --------------------------------------------- 552,500 114,450 395,105 1,062,055 Automobiles - 0.91% 14,600 600 1,500 16,700 General Motors Corp. 1,205,412 49,537 123,844 1,378,793 600 1,900 2,500 Arvin Industries, Inc. 21,750 68,875 90,625 26,300 1,000 2,600 29,900 Ford Motor Co. 1,559,919 59,312 154,212 1,773,443 400 1,200 1,600 Harley-Davidson, Inc. 23,125 69,375 92,500 1,200 4,100 5,300 Meritor Automotive, Inc. 19,050 65,087 84,137 900 900 Superior Industries International, Inc. 22,275 22,275 --------------------------------------------- 2,765,331 172,774 503,668 3,441,773
Banks/Savings & Loans - 4.46% 950 3,125 4,075 AmSouth Bancorporation 44,650 146,875 191,525 500 2,700 3,200 Astoria Financial Corp. 22,656 122,344 145,000 27,540 1,400 3,600 32,540 Banc One Corp. 1,480,275 75,250 193,500 1,749,025 39,600 1,600 4,000 45,200 Bank of New York Co., Inc. 1,383,525 55,900 139,750 1,579,175 43,000 1,600 4,000 48,600 Chase Manhattan Corp. 3,423,875 127,400 318,500 3,869,775 1,100 3,500 4,600 City National Corp. 35,475 112,875 148,350 556 556 Commerce Bancorp, Inc. 24,742 24,742 1,000 1,000 Cullen/Frost Bankers, Inc. 47,312 47,312 1,300 4,200 5,500 Dime Bancorp, Inc. 32,175 103,950 136,125 2,000 2,000 FirstFed Financial Corp. 33,875 33,875 62,700 2,200 5,600 70,500 Fleet Financial Group, Inc. 2,692,181 94,462 240,450 3,027,093 1,100 1,100 HUBCO, Inc. 36,094 36,094 24,900 1,000 2,400 28,300 Mellon Bank Corp. 1,683,862 67,625 162,300 1,913,787 16,800 400 1,700 18,900 National City Corp. 1,173,900 27,950 118,787 1,320,637 1,900 6,100 8,000 North Fork Bancorporation, Inc. 41,800 134,200 176,000 1,240 3,920 5,160 Old Kent Financial Corp. 54,405 171,990 226,395 12,800 12,800 PNC Bank Corp. 666,400 666,400 1,400 1,400 Trustmark Corp. 29,662 29,662 36,000 1,500 4,400 41,900 Wells Fargo Co. 1,323,000 55,125 161,700 1,539,825 --------------------------------------------- 13,827,018 734,873 2,298,906 16,860,797 Beverages - 1.44% 27,800 1,100 2,700 31,600 Anheuser-Busch Cos., Inc. 2,131,912 84,356 207,056 2,423,324 500 500 Canandaigua Brands, Inc. 26,687 26,687 29,000 1,100 2,700 32,800 Coca-Cola Co. 1,854,187 70,331 172,631 2,097,149 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 200 600 800 Coors, (Adolph) Co., Class B 11,912 35,737 47,649 11,000 400 1,000 12,400 PepsiCo, Inc. 413,875 15,050 37,625 466,550 --------------------------------------------- 4,771,974 181,649 479,736 5,433,359 Building Related/Appliance - 0.32% 1,500 1,500 AptarGroup, Inc. 41,062 41,062 16,800 600 1,700 19,100 Centex Corp. 618,450 22,087 62,581 703,118 700 700 Hughes Supply, Inc. 14,131 14,131 1,800 1,800 M.D.C. Holdings, Inc. 32,062 32,062 500 2,800 3,300 Mohawk Industries, Inc. 16,250 91,000 107,250 1,600 1,600 Ryland Group, Inc. 40,800 40,800 1,000 3,200 4,200 Shaw Industries, Inc. 21,937 70,200 92,137 500 1,900 2,400 Southdown, Inc. 23,594 89,656 113,250 200 800 1,000 USG Corp. 10,025 40,100 50,125 --------------------------------------------- 618,450 93,893 481,592 1,193,935
Chemicals - 0.79% 900 2,800 3,700 Crompton & Knowles Corp. 16,650 51,800 68,450 100 100 Cytec Industries, Inc. 2,681 2,681 13,800 500 1,400 15,700 Dow Chemical Co. 1,357,575 49,187 137,725 1,544,487 11,000 500 1,100 12,600 Du Pont (E. I.) De Nemours & Co. 564,437 25,656 56,444 646,537 500 1,500 2,000 Ecolab, Inc. 19,937 59,812 79,749 600 3,300 3,900 GenCorp, Inc. 12,037 66,206 78,243 800 200 200 1,200 Rohm & Haas Co. 25,000 6,250 6,250 37,500 500 1,600 2,100 Schulman (A.), Inc. 8,250 26,400 34,650 1,100 1,100 Scotts Co., Class A 35,612 35,612 18,000 1,900 5,500 25,400 Solutia, Inc. 320,625 33,844 97,969 452,438 --------------------------------------------- 2,267,637 171,811 540,899 2,980,347 Commercial Services - 0.24% 1,100 3,500 4,600 ACNielsen Corp. 28,600 91,000 119,600 900 900 ADVO, Inc. 18,000 18,000 300 1,000 1,300 Convergys Corp. 5,194 17,312 22,506 10,900 600 1,600 13,100 Fluor Corp. 383,544 21,112 56,300 460,956 400 1,100 1,500 Galileo International, Inc. 20,200 55,550 75,750 1,300 1,300 Interim Services, Inc. 24,700 24,700 200 200 Lason Holdings, Inc. 10,837 10,837 1,100 1,100 MedQuist, Inc. 37,606 37,606 500 500 National Data Corp. 24,156 24,156 900 900 Personnel Group of America, Inc. 11,869 11,869 400 1,100 1,500 Robert Half International, Inc. 14,400 39,600 54,000 800 800 Valassis Communications, Inc. 38,400 38,400 --------------------------------------------- 383,544 89,506 425,330 898,380 Communications - 1.99% 900 3,000 3,900 American Power Conversion Corp. 32,287 107,625 139,912 23,900 1,250 3,025 28,175 Cisco Systems, Inc. 2,337,719 122,266 295,883 2,755,868 900 900 Level One Communications, Inc. 30,150 30,150 27,100 1,100 2,600 30,800 Lucent Technologies, Inc. 2,752,344 111,719 264,062 3,128,125 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 600 1,500 16,200 Tellabs, Inc. 1,128,881 48,037 120,094 1,297,012 1,400 1,400 Xircom, Inc. 47,600 47,600 --------------------------------------------- 6,348,038 314,309 865,414 7,527,761 Computer Hardware - 3.36% 39,100 1,500 3,900 44,500 Dell Computer Corp. 3,132,887 120,187 312,487 3,565,561 35,000 1,900 3,700 40,600 EMC Corp. 3,583,125 194,512 378,787 4,156,424 800 800 Hutchinson Technology, Inc. 24,900 24,900 5,900 200 600 6,700 International Business Machines Corp. 1,003,000 34,000 102,000 1,139,000 1,800 1,800 InterVoice, Inc. 19,575 19,575 600 1,800 2,400 Lexmark International Group, Inc. 61,912 185,737 247,649
600 2,000 2,600 NCR Corp. 24,562 81,875 106,437 18,000 700 1,700 20,400 Seagate Technology, Inc. 520,875 20,256 49,194 590,325 18,400 800 2,000 21,200 Solectron Corp. 822,250 35,750 89,375 947,375 16,300 600 1,600 18,500 Sun Microsystems, Inc. 1,586,194 58,387 155,700 1,800,281 450 1,350 1,800 Symbol Technologies, Inc. 23,850 71,550 95,400 800 800 Zebra Technologies Corp., Class A 20,650 20,650 --------------------------------------------- 10,648,331 573,416 1,491,830 12,713,577 Computer Services & Software - 3.53% 400 1,000 1,400 Adobe Systems, Inc. 16,100 40,250 56,350 600 600 Affiliated Computer Services, Inc. 27,750 27,750 10,400 400 1,000 11,800 America Online, Inc. 924,950 35,575 88,937 1,049,462 1,000 1,000 American Management Systems, Inc. 33,375 33,375 300 900 1,200 BMC Software, Inc. 12,262 36,787 49,049 700 2,400 3,100 Cadence Design Systems, Inc. 16,844 57,750 74,594 1,400 1,400 CIBER, Inc. 35,175 35,175 400 1,200 1,600 Citrix Systems, Inc. 30,850 92,550 123,400 10,100 700 1,800 12,600 Compuware Corp. 564,969 39,156 100,687 704,812 300 1,000 1,300 Electronic Arts, Inc. 11,962 39,875 51,837 1,100 1,100 Macromedia, Inc. 33,619 33,619 500 500 Mercury Interactive Corp. 32,406 32,406 50,900 1,900 4,900 57,700 Microsoft Corp. 7,641,362 285,237 735,612 8,662,211 800 800 National Computer Systems, Inc. 25,625 25,625 750 2,500 3,250 Network Associates, Inc. 35,250 117,500 152,750 31,400 1,200 3,000 35,600 Oracle Corp. 1,754,475 67,050 167,625 1,989,150 500 1,600 2,100 Rational Software Corp. 14,844 47,500 62,344 600 1,900 2,500 Siebel Systems, Inc. 26,400 83,600 110,000 1,000 1,000 Sterling Software, Inc. 25,500 25,500 500 1,600 2,100 Symantec Corp. 9,031 28,900 37,931 --------------------------------------------- 10,885,756 600,561 1,851,023 13,337,340 Cosmetics & Toiletries - 1.67% 22,400 1,100 2,000 25,500 Avon Products, Inc. 932,400 45,787 83,250 1,061,437 8,600 300 900 9,800 Clorox Co. 1,017,487 35,494 106,481 1,159,462 1,100 3,600 4,700 Dial Corp. 32,106 105,075 137,181 15,700 600 1,600 17,900 Kimberly-Clark Corp. 741,825 28,350 75,600 845,775 30,700 1,200 3,000 34,900 Procter & Gamble Co. 2,747,650 107,400 268,500 3,123,550 --------------------------------------------- 5,439,362 249,137 638,906 6,327,405 Electrical Equipment - 1.64% 54,400 2,100 5,300 61,800 General Electric Co. 5,457,000 210,656 531,656 6,199,312 --------------------------------------------- 5,457,000 210,656 531,656 6,199,312
Energy Related - 0.72% 400 1,300 1,700 Allied Waste Industries, Inc. 7,800 25,350 33,150 100 100 Gentex Corp. 2,169 2,169 1,300 1,300 Newfield Exploration Co. 21,125 21,125 2,000 2,000 Offshore Logistics, Inc. 17,437 17,437 30,400 1,200 3,000 34,600 PECO Energy Co. 1,077,300 42,525 106,312 1,226,137 26,000 1,200 3,100 30,300 Reliant Energy, Inc. 697,125 32,175 83,119 812,419 500 1,700 2,200 Tidewater, Inc. 9,406 31,981 41,387 21,300 1,700 5,000 28,000 Transocean Offshore, Inc. 439,312 35,062 103,125 577,499 --------------------------------------------- 2,213,737 126,968 390,618 2,731,323 Entertainment - 1.37% 400 400 Anchor Gaming, Inc. 16,025 16,025 29,500 1,200 3,000 33,700 Carnival Corp. 1,312,750 53,400 133,500 1,499,650 1,500 1,500 Hollywood Entertainment Corp. 41,156 41,156 800 1,800 2,600 King World Productions, Inc. 21,150 47,587 68,737 1,900 1,900 Musicland Stores Corp. 22,444 22,444 500 500 Polaris Industries, Inc. 14,125 14,125 48,600 1,700 4,400 54,700 Time Warner, Inc. 3,134,700 109,650 283,800 3,528,150 --------------------------------------------- 4,447,450 184,200 558,637 5,190,287 Financial Services - 2.45% 10,400 400 1,000 11,800 American Express Co. 1,128,400 43,400 108,500 1,280,300 800 800 AmeriCredit Corp. 8,900 8,900 1,200 1,200 Ameritrade Holding Corp. Class A 58,500 58,500 400 400 CCB Financial Corp. 20,775 20,775 19,200 850 1,950 22,000 Citigroup Inc. 1,128,000 49,937 114,562 1,292,499 400 400 CMAC Investment Corp. 16,525 16,525 600 1,800 2,400 Countrywide Credit Industries, Inc. 22,725 68,175 90,900 714 714 Delphi Financial Group , Inc. Class A 34,227 34,227 1,000 3,300 4,300 Edwards (A.G.), Inc. 32,562 107,456 140,018 23,400 900 2,300 26,600 Freddie Mac 1,377,675 52,987 135,412 1,566,074 1,200 1,200 Legg Mason, Inc. 33,975 33,975 19,600 800 2,000 22,400 Morgan Stanley Dean Witter Discover & Co. 1,773,800 72,400 181,000 2,027,200 22,800 1,000 2,450 26,250 Providian Financial Corp. 2,328,450 102,125 250,206 2,680,781 --------------------------------------------- 7,736,325 376,136 1,138,213 9,250,674 Food & Related - 0.94% 23,600 1,200 3,100 27,900 Conagra, Inc. 710,950 36,150 93,387 840,487 500 2,500 3,000 Earthgrains Co. 12,281 61,406 73,687 900 2,800 3,700 Flowers Industries, Inc. 21,937 68,250 90,187 11,800 700 1,700 14,200 Heinz (H.J.) Co. 642,362 38,106 92,544 773,012 1,000 3,300 4,300 IBP, Inc. 22,500 74,250 96,750 20,700 800 2,100 23,600 Quaker Oats Co. 1,130,737 43,700 114,712 1,289,149 1,000 4,000 5,000 Ralcorp Holdings, Inc. 17,812 71,250 89,062 10,100 10,100 Sara Lee Corp. 274,594 274,594 500 1,600 2,100 Vlasic Foods International 6,094 19,500 25,594 --------------------------------------------- 2,758,643 198,580 595,299 3,552,522
Hospital Management - 0.31% 600 600 Curative Health Services, Inc. 6,750 6,750 500 1,600 2,100 Lincare Holdings, Inc. 17,813 57,000 74,813 1,900 1,900 Mariner Post Acute Network 4,156 4,156 300 1,100 1,400 Omnicare, Inc. 7,181 26,331 33,512 300 900 1,200 PacifiCare Health Systems, Inc., Class B 21,675 65,025 86,700 313 313 Priority Healthcare Corp, Class B 12,187 12,187 15,300 600 1,600 17,500 United Healthcare Corp. 754,481 29,588 78,900 862,969 1,000 1,000 Universal Health Services, Inc., Class B 40,625 40,625 200 600 800 Wellpoint Health Networks, Inc. 15,775 47,325 63,100 --------------------------------------------- 754,481 92,032 338,299 1,184,812 Hospital Supply - 1.29% 1,000 1,000 ADAC Laboratories 17,875 17,875 24,800 1,500 4,400 30,700 Biomet, Inc. 909,850 55,031 161,425 1,126,306 22,400 900 1,900 25,200 Guidant Corp. 1,276,800 51,300 108,300 1,436,400 400 1,200 1,600 Hillenbrand Industries, Inc. 16,750 50,250 67,000 1,400 1,400 Integrated Health Services, Inc. 8,312 8,312 9,700 300 800 10,800 Johnson & Johnson Co. 828,137 25,613 68,300 922,050 15,600 400 900 16,900 Medtronic, Inc. 1,101,750 28,250 63,563 1,193,563 1,900 1,900 Owens & Minor, Inc. Holding Co. 24,225 24,225 600 600 Patterson Dental Co. 24,300 24,300 600 600 Safeskin Corp. 13,950 13,950 800 800 VISIX, Inc. 49,400 49,400 --------------------------------------------- 4,116,537 176,944 589,900 4,883,381 Insurance - 1.79% 1,200 4,000 5,200 Aflac, Inc. 52,950 176,500 229,450 38,600 1,400 3,700 43,700 Allstate Corp. 1,447,500 52,500 138,750 1,638,750 500 1,600 2,100 AMBAC Financial Group, Inc. 28,000 89,600 117,600 1,400 1,400 Capital Re Corp. 23,450 23,450 37,700 1,500 3,900 43,100 Conseco, Inc. 1,128,644 44,906 116,756 1,290,306 500 500 Enhance Financial Services Group, Inc. 11,844 11,844 22,400 800 2,200 25,400 Equitable Cos., Inc. 1,513,400 54,050 148,638 1,716,088 890 890 Fidelity National Financial, Inc. 17,800 17,800 1,700 1,700 First American Financial Corp. 39,844 39,844 1,500 1,500 Fremont General Corp. 29,625 29,625 25,300 1,000 2,600 28,900 Hartford Financial Services Group, Inc. 1,367,781 54,063 140,563 1,562,407 400 1,400 1,800 PMI Group, Inc. 17,250 60,375 77,625 --------------------------------------------- 5,457,325 303,719 993,745 6,754,789
Machinery - 0.33% 900 900 Applied Power, Inc. 21,713 21,713 400 1,300 1,700 Briggs & Stratton Corp. 19,525 63,456 82,981 500 500 Graco, Inc. 10,875 10,875 17,200 700 1,700 19,600 Ingersoll-Rand Co. 817,000 33,250 80,750 931,000 1,400 1,400 JLG Industries, Inc. 19,688 19,688 1,100 1,100 Manitowoc Co., Inc. 40,563 40,563 500 1,600 2,100 McDermott International, Inc. 9,969 31,900 41,869 1,000 1,000 Terex Corp. 25,625 25,625 500 1,700 2,200 Trinity Industries, Inc. 16,469 55,994 72,463 --------------------------------------------- 817,000 79,213 350,564 1,246,777 Metal Fabrication - 0.00% 800 800 Intermet Corp. 10,000 10,000 100 100 Quanex Corp. 1,750 1,750 --------------------------------------------- 11,750 11,750 Metals & Mining - 0.38% 8,000 600 1,400 10,000 Alcoa Inc. 324,000 24,300 56,700 405,000 600 1,700 2,300 Martin Marietta Materials, Inc. 30,788 87,231 118,019 800 800 Stillwater Mining Co. 18,350 18,350 31,300 1,300 2,500 35,100 USX-U.S. Steel Group, Inc. 792,281 32,906 63,281 888,468 --------------------------------------------- 1,116,281 87,994 225,562 1,429,837 Multi - Industry - 1.10% 15,700 600 1,600 17,900 AlliedSignal, Inc. 649,588 24,825 66,200 740,613 700 2,400 3,100 Crane Co. 19,206 65,850 85,056 1,500 1,500 Mascotech, Inc. 22,688 22,688 500 1,500 2,000 Pentair, Inc. 18,938 56,813 75,751 38,700 1,400 3,400 43,500 Tyco International Ltd. 2,880,731 104,213 253,088 3,238,032 --------------------------------------------- 3,530,319 167,182 464,639 4,162,140 Office Supplies - 0.03% 500 1,400 1,900 Avery-Dennison Corp. 26,844 75,163 102,007 --------------------------------------------- 26,844 75,163 102,007 Oil (Domestic) - 0.37% 600 1,800 2,400 Ashland, Inc. 26,700 80,100 106,800 1,300 1,300 Cabot Oil & Gas Corp. 14,219 14,219 900 900 Devon Energy Corp. 21,094 21,094 400 1,300 1,700 Murphy Oil Corp. 13,675 44,444 58,119 16,900 600 1,500 19,000 Sunoco Inc. 514,394 18,263 45,656 578,313 27,200 1,000 2,600 30,800 USX - Marathon Group 562,700 20,688 53,788 637,176 --------------------------------------------- 1,077,094 79,326 259,301 1,415,721 Oil (International) - 2.05% 18,500 800 1,400 20,700 Chevron Corp. 1,422,188 61,500 107,625 1,591,313 50,900 2,100 5,100 58,100 Exxon Corp. 3,388,031 139,781 339,469 3,867,281 23,900 1,000 2,500 27,400 Mobil Corp. 1,988,181 83,188 207,969 2,279,338 --------------------------------------------- 6,798,400 284,469 655,063 7,737,932
Paper & Forest Products - 0.31% 200 600 800 American Greetings Corp. 4,738 14,213 18,951 11,500 500 1,100 13,100 Fort James Corp. 343,563 14,938 32,863 391,364 800 2,600 3,400 Georgia Pacific Corp. 16,300 52,975 69,275 23,400 1,500 4,500 29,400 Owens-Illinois, Inc. 560,138 35,906 107,719 703,763 --------------------------------------------- 903,701 71,882 207,770 1,183,353 Pharmaceuticals - 5.13% 13,300 500 1,200 15,000 Allergan, Inc. 1,083,950 40,750 97,800 1,222,500 1,100 1,100 Alpharma, Inc. Class A 41,663 41,663 2,900 200 200 3,300 Bausch & Lomb, Inc. 174,906 12,063 12,063 199,032 1,000 3,200 4,200 Bergen Brunswig Corp. 24,438 78,200 102,638 800 800 Bindley Western Industries, Inc. 21,050 21,050 12,800 1,100 3,200 17,100 Biogen, Inc. 1,230,400 105,738 307,600 1,643,738 21,100 800 2,100 24,000 Bristol-Meyers Squibb Co. 2,657,281 100,750 264,469 3,022,500 11,300 1,247 3,527 16,074 Cardinal Health, Inc. 815,719 90,018 254,605 1,160,342 100 100 Immunex Corp. 14,150 14,150 24,400 1,000 2,500 27,900 Lilly (Eli)& Co. 2,310,375 94,688 236,719 2,641,782 600 600 Medimmune, Inc. 33,000 33,000 17,000 600 1,800 19,400 Merck & Co., Inc. 1,389,750 49,050 147,150 1,585,950 700 2,400 3,100 Mylan Laboratories, Inc. 19,119 65,550 84,669 12,700 500 1,200 14,400 Pfizer, Inc. 1,675,606 65,969 158,325 1,899,900 1,300 1,300 Roberts Pharmaceutical Corp. 29,413 29,413 43,000 2,200 5,600 50,800 Schering-Plough Corp. 2,405,313 123,063 313,250 2,841,626 36,200 900 2,300 39,400 Warner-Lambert Co. 2,500,063 62,156 158,844 2,721,063 600 2,400 3,000 Watson Pharmaceuticals, Inc. 28,988 115,950 144,938 --------------------------------------------- 16,243,363 816,790 2,349,801 19,409,954 Printing & Publishing - 1.03% 400 400 Consolidated Graphics, Inc. 24,300 24,300 8,700 400 900 10,000 McGraw-Hill Cos., Inc. 952,106 43,775 98,494 1,094,375 600 600 Metro Networks, Inc. 27,000 27,000 11,000 500 1,300 12,800 New York Times Co., Class A 341,000 15,500 40,300 396,800 300 1,000 1,300 Scholastic Corp. 14,775 49,250 64,025 22,500 800 2,200 25,500 Viacom, Inc., Class B 1,988,437 70,700 194,425 2,253,562 1,000 1,000 World Color Press, Inc. 24,813 24,813 --------------------------------------------- 3,281,543 144,750 458,582 3,884,875
Restaurants/Lodging - 0.31% 800 2,600 3,400 Bob Evans Farms, Inc. 17,250 56,063 73,313 800 2,500 3,300 Brinker International, Inc. 23,150 72,344 95,494 1,100 1,100 CEC Entertainment, Inc. 33,000 33,000 700 2,300 3,000 Darden Restaurants, Inc. 15,400 50,600 66,000 8,200 300 800 9,300 McDonald's Corp. 697,000 25,500 68,000 790,500 347 1,087 1,434 Promus Hotel Corp. 12,210 38,249 50,459 1,300 1,300 Ruby Tuesday, Inc. 24,213 24,213 3,100 3,100 Ryan's Family Steak Houses, Inc. 35,263 35,263 --------------------------------------------- 697,000 93,510 377,732 1,168,242 Retail - 3.13% 500 1,600 2,100 Abercrombie & Fitch Co., Class A 38,000 121,600 159,600 900 900 AnnTaylor Stores Corp. 34,031 34,031 700 2,200 2,900 Best Buy Co., Inc. 64,925 204,050 268,975 1,400 1,400 Cato Corp., Class A 13,300 13,300 29,900 1,100 2,900 33,900 Gap, Inc. 1,934,156 71,156 187,594 2,192,906 400 1,300 1,700 Hertz Corp. 15,925 51,756 67,681 24,000 900 2,300 27,200 Home Depot, Inc. 1,432,500 53,719 137,281 1,623,500 700 700 Linens 'N Things, Inc. 25,200 25,200 28,600 1,500 3,100 33,200 Lowe's Cos., Inc. 1,696,337 88,969 183,869 1,969,175 2,300 7,200 9,500 OfficeMax, Inc. 17,825 55,800 73,625 700 700 Pillowtex Corp. 16,975 16,975 900 900 Rent-A-Center, Inc. 22,838 22,838 700 3,400 4,100 Ross Stores, Inc. 32,025 155,550 187,575 20,600 1,500 3,900 26,000 TJX Cos., Inc. 588,388 42,844 111,394 742,626 300 300 United Stationers, Inc. 5,494 5,494 45,100 1,800 4,400 51,300 Wal-Mart Stores, Inc. 3,895,513 155,475 380,050 4,431,038 700 700 Zale Corp. 23,188 23,188 --------------------------------------------- 9,546,894 580,863 1,729,970 11,857,727 Retail Food/Drug - 0.61% 11,700 500 900 13,100 Albertson's, Inc. 666,900 28,500 51,300 746,700 600 600 Great Atlantic & Pacific Tea Co., Inc. 18,938 18,938 1,100 1,100 Richfood Holdings, Inc. 26,125 26,125 23,200 800 2,100 26,100 Safeway, Inc. 1,339,800 46,200 121,275 1,507,275 --------------------------------------------- 2,006,700 74,700 217,638 2,299,038 Semi-Conductors/Instrumentation - 2.09% 600 1,800 2,400 Altera Corp. 29,175 87,525 116,700 200 1,100 1,300 Comverse Technology, Inc. 14,350 78,925 93,275 600 600 Electro Scientific Industries, Inc. 21,938 21,938 42,100 1,700 4,200 48,000 Intel Corp. 5,049,369 203,894 503,738 5,757,001 300 1,600 1,900 Lattice Semiconductor Corp. 11,963 63,800 75,763 1,000 3,000 4,000 Linear Technology Corp. 43,813 131,438 175,251 1,000 1,000 Plexus Corp. 32,688 32,688
200 1,300 1,500 PMC-Sierra, Inc. 14,175 92,138 106,313 24,800 900 2,400 28,100 Rockwell International Corp. 1,102,050 39,994 106,650 1,248,694 600 600 Sanmina Corp. 31,350 31,350 1,500 1,500 Vitesse Semiconductors Corp. 68,906 68,906 600 1,700 2,300 Xilinx, Inc. 41,850 118,575 160,425 --------------------------------------------- 6,151,419 399,214 1,337,671 7,888,304 Tobacco - 0.59% 49,700 1,900 5,500 57,100 Philip Morris Cos., Inc. 1,944,513 74,338 215,188 2,234,039 --------------------------------------------- 1,944,513 74,338 215,188 2,234,039 Transportation - 0.22% 17,100 700 2,100 19,900 Burlington Northern Santa Fe Corp. 566,438 23,188 69,563 659,189 300 900 1,200 Kansas City Southern Industries, Inc. 14,025 42,075 56,100 1,000 1,000 M.S. Carriers, Inc. 27,000 27,000 100 100 Swift Transportation Co., Inc. 2,994 2,994 400 2,200 2,600 USFreightways Corp. 12,750 70,125 82,875 --------------------------------------------- 566,438 49,963 211,757 828,158 Utilities - Electric - 0.81% 1,300 4,100 5,400 Allegheny Energy, Inc. 38,594 121,719 160,313 600 1,900 2,500 BEC Energy 21,863 69,231 91,094 800 800 Calpine Corp. 26,200 26,200 800 2,700 3,500 CMS Energy Corp. 33,100 111,713 144,813 1,800 5,800 7,600 Conectiv Inc. 38,138 122,888 161,026 650 2,050 2,700 DQE, Inc. 24,822 78,284 103,106 30,500 1,100 2,900 34,500 Edison International 777,750 28,050 73,950 879,750 800 2,400 3,200 Energy East Corp. 42,900 128,700 171,600 400 1,300 1,700 FirstEnergy Corp. 11,700 38,025 49,725 18,500 700 1,700 20,900 FPL Group, Inc. 951,594 36,006 87,444 1,075,044 800 2,500 3,300 NIPSCO Industries, Inc. 20,750 64,844 85,594 900 3,000 3,900 Public Service Co. of New Mexico 13,837 46,125 59,962 1,100 1,100 TNP Enterprises, Inc. 32,175 32,175 500 500 United Illuminating Co. 22,188 22,188 --------------------------------------------- 1,729,344 309,760 1,023,486 3,062,590 Utilities - Gas & Pipeline - 0.39% 31,400 1,100 2,800 35,300 Coastal Corp. 1,004,800 35,200 89,600 1,129,600 1,200 3,900 5,100 El Paso Energy Corp. 43,725 142,106 185,831 1,400 1,400 Energen Corp. 19,600 19,600 500 1,800 2,300 NICOR, Inc. 19,094 68,738 87,832 400 400 Piedmont Natural Gas Co., Inc. 13,650 13,650 1,000 1,000 Southwest Gas Corp. 28,750 28,750 --------------------------------------------- 1,004,800 98,019 362,444 1,465,263 Utilities - Telephone - 4.43% 5,400 1,100 3,000 9,500 Ameritech Corp. 353,025 71,913 196,125 621,063 32,600 1,500 4,000 38,100 AT&T Corp. 2,677,275 123,188 328,500 3,128,963 1,100 2,800 3,900 Bell Atlantic Corp. 63,181 160,825 224,006 70,600 2,300 6,300 79,200 BellSouth Corp. 3,265,250 106,375 291,375 3,663,000 700 2,200 2,900 Century Telephone Enterprises, Inc. 43,225 135,850 179,075 400 1,100 1,500 Cincinnati Bell, Inc. 7,900 21,725 29,625 26,300 200 500 27,000 GTE Corp. 1,706,213 12,975 32,438 1,751,626 900 900 Inter-Tel, Inc. 15,863 15,863 56,424 1,100 3,100 60,624 MCI Worldcom, Inc. 4,654,980 90,750 255,750 5,001,480 8,100 200 400 8,700 Sprint Corp. 695,081 17,163 34,325 746,569 23,900 900 2,300 27,100 U S WEST, Inc. 1,274,169 47,981 122,619 1,444,769 --------------------------------------------- 14,625,993 584,651 1,595,395 16,806,039 ----------- Total Common Stock 203,908,170 Convertible Preferred Stock - 0.07% Convertible Preferred Stock - 0.07% 4,845 4,845 Sealed Air Corp. 249,518 249,518 --------------------------------------------- 249,518 249,518 ----------- Total Convertible Preferred Stock 249,518
Asset Time Time Allocation Horizon I Horizon III Total Description Shares / Shares / Shares / Shares / Par Par Par Par Corporate Bonds - 14.39% Building Products - 0.68% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 1,100,000 1,100,000 USG Corp. Senior Notes Chemicals - 0.40% 1,500,000 1,500,000 Praxair, Inc. Notes Computer Hardware - 0.13% 500,000 500,000 International Business Machines Corp. Containers - 0.28% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed Notes Financial Services - 6.39% 1,000,000 1,000,000 Associates Corp. of North America Debentures 525,000 375,000 900,000 Banc One Corp. 1,400,000 1,400,000 Banco Latinoamericano Bank Guarenteed Notes 144A 1,100,000 1,100,000 Bear Stearns Co. Senior Notes 400,000 400,000 800,000 Bear Stearns Cos., Inc. 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 1,400,000 1,400,000 Capital One Bank Notes 1,400,000 1,400,000 Case Credit Corp. Notes 500,000 500,000 1,000,000 Chrysler Financial Corp. 200,000 100,000 300,000 Countrywide Home Loan 2,200,000 2,200,000 Finova Capital Corp. Notes 250,000 500,000 750,000 General Motors Acceptance Corp. 1,000,000 1,000,000 GMAC Notes. 250,000 250,000 500,000 Household Finance Corp. 200,000 100,000 300,000 Household Netherlands BV 500,000 500,000 1,000,000 International Lease Finance Corp. 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior Notes 350,000 350,000 Merrill Lynch & Co., Inc. 750,000 750,000 Morgan Stanley Dean Witter Discover & Co. 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. Notes 260,000 260,000 Transamerica Finance Corp. Food & Related - 0.47% 300,000 300,000 Hershey Foods Co. 1,500,000 1,500,000 Nabisco, Inc. Notes Funeral Services - 0.29% 1,100,000 1,100,000 Service Corp. International Senior Notes Instruments/Controls - 0.30% 1,200,000 1,200,000 Thermo Electron Corp. Notes Insurance - 0.68% 1,000,000 1,000,000 AON Corp. Notes 1,500,000 1,500,000 MCN Investment Corp. Notes Multi-Industry - 0.27% 500,000 500,000 1,000,000 Honeywell, Inc. Multi - Media - 0.98% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed Notes 1,250,000 1,250,000 News America Inc. Senior Notes 1,250,000 1,250,000 Time Warner Inc., Pass-Through Certificates 144A
Asset Time Time Total Description Allocation Horizon I Horizon III Market Market Market Market Value Value Value Value Coupon Maturity Corporate Bonds - 14.39% Building Products - 0.68% Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 ------------------------------------------------ 2,570,750 2,570,750 Chemicals - 0.40% Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 ------------------------------------------------ 1,501,875 1,501,875 Computer Hardware - 0.13% International Business Machines Corp. 6.375 06/15/00 505,000 505,000 ------------------------------------------------ 505,000 505,000 Containers - 0.28% Crown Cork & Seal PLC Company Guarenteed Notes 6.750 12/15/03 1,050,000 1,050,000 ------------------------------------------------ 1,050,000 1,050,000 Financial Services - 6.39% Associates Corp. of North America Debentures 6.950 11/01/18 1,031,250 1,031,250 Banc One Corp. 6.375 10/01/02 530,250 378,750 909,000 Banco Latinoamericano Bank Guarenteed Notes 144A 6.590 10/16/01 1,328,250 1,328,250 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 810,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 1,028,750 Countrywide Home Loan 7.450 09/16/03 206,250 103,125 309,375 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 General Motors Acceptance Corp. 6.750 02/07/02 255,313 510,625 765,938 GMAC Notes. 5.750 11/10/03 991,250 991,250 Household Finance Corp. 6.875 03/01/07 255,938 255,938 511,876 Household Netherlands BV 6.125 03/01/03 199,250 99,625 298,875 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,020,000 Lehman Brothers Holdings Co. Senior Notes 7.200 08/15/09 1,209,000 1,209,000 Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 Morgan Stanley Dean Witter Discover & Co. 8.100 06/24/02 795,000 795,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 Salomon Smith Barney Holdings, Inc. Notes 6.250 05/15/03 1,293,500 1,293,500 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 ------------------------------------------------ 17,133,340 4,022,689 3,039,388 24,195,417 Food & Related - 0.47% Hershey Foods Co. 6.700 10/01/05 313,125 313,125 Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 ------------------------------------------------ 1,455,000 313,125 1,768,125 Funeral Services - 0.29% Service Corp. International Senior Notes 6.300 03/15/03 1,080,750 1,080,750 ------------------------------------------------ 1,080,750 1,080,750 Instruments/Controls - 0.30% Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 ------------------------------------------------ 1,149,000 1,149,000 Insurance - 0.68% AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 ------------------------------------------------ 2,568,125 2,568,125 Multi-Industry - 0.27% Honeywell, Inc. 6.750 03/15/02 511,875 511,875 1,023,750 ------------------------------------------------ 511,875 511,875 1,023,750 Multi - Media - 0.98% Cox Radio, Inc. Company Guarenteed Notes 6.250 05/15/03 1,203,000 1,203,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 Time Warner Inc., Pass-Through Certificates 144A 6.100 12/30/01 1,256,250 1,256,250 ------------------------------------------------ 3,718,625 3,718,625
Oil & Gas - 0.98% 1,605,000 1,605,000 Coastal Corp. Notes 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 1,000,000 1,000,000 Williams Companies., Inc. Notes Paper Products - 0.35% 1,250,000 1,250,000 James River Corp. Debentures Retail - 0.40% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 305,000 305,000 Wal-Mart Stores, Inc. Utilities - Electric - 0.57% 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 265,000 590,000 855,000 Southern California Edison Note Utilities - Telephone - 1.21% 300,000 250,000 550,000 AT&T Corp. 1,200,000 1,200,000 Cable & Wireless Communications Notes 1,200,000 1,200,000 GTE Corp. Debentures 1,400,000 1,400,000 Worldcom, Inc. Senior Notes Total Corporate Bonds Asset Backed Securities - 0.22% Asset Backed Securities - 0.22% 102,053 81,642 183,695 CPS Auto Grantor Trust, Series 1997-3, Class A1 400,000 250,000 650,000 First USA Credit Card Master Trust, Series 1997-6, Class A Total Asset Backed Securities Collateralized Mortgage Obligations - 10.32% Collateralized Mortgage Obligations - 10.32% 175,000 300,000 475,000 Access Financial Mortgage Loan Trust, Series 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, Class A1,144A 400,000 275,000 675,000 American Express Master Trust, Series 1998-1, Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, Class A1C 308,136 154,068 462,205 Banc One Auto Grantor Trust, Series 1997-B, Class A 500,000 250,000 750,000 Chase Credit Card Master Trust, Series 1997-2, Class A 500,000 250,000 750,000 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A
Oil & Gas - 0.98% Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 ------------------------------------------------ 3,713,831 3,713,831 Paper Products - 0.35% James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 ------------------------------------------------ 1,325,000 1,325,000 Retail - 0.40% Sears Roebuck Acceptance Corp. Notes 6.000 03/20/03 1,192,500 1,192,500 Wal-Mart Stores, Inc. 7.250 06/01/13 330,544 330,544 ------------------------------------------------ 1,192,500 330,544 1,523,044 Utilities - Electric - 0.57% Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 Southern California Edison Note 6.500 06/01/01 268,644 598,113 866,757 ------------------------------------------------ 1,290,250 268,644 598,113 2,157,007 Utilities - Telephone - 1.21% AT&T Corp. 8.625 12/01/31 327,000 272,500 599,500 Cable & Wireless Communications Notes 6.375 03/06/03 1,209,000 1,209,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 ------------------------------------------------ 3,960,000 327,000 272,500 4,559,500 ----------- Total Corporate Bonds 54,409,799 Asset Backed Securities - 0.22% Asset Backed Securities - 0.22% CPS Auto Grantor Trust, Series 1997-3, Class A1 6.100 12/15/02 102,595 82,076 184,671 First USA Credit Card Master Trust, Series 1997-6, Class A 6.420 03/17/05 407,000 254,375 661,375 ------------------------------------------------ 509,595 336,451 846,046 ----------- Total Asset Backed Securities 846,046 Collateralized Mortgage Obligations - 10.32% Collateralized Mortgage Obligations - 10.32% Access Financial Mortgage Loan Trust, Series 1997-3, Class A 6.565 05/18/24 175,390 300,669 476,059 AESOP Funding II, Series 1997-1, Class A1,144A 6.220 10/20/01 1,005,990 1,005,990 American Express Master Trust, Series 1998-1, Class A 5.900 04/15/04 405,602 278,851 684,453 Asset Securitization Corp., Series 1997-D5, Class A1C 6.750 02/14/41 1,784,300 1,784,300 Banc One Auto Grantor Trust, Series 1997-B, Class A 6.290 07/20/04 309,864 154,932 464,796 Chase Credit Card Master Trust, Series 1997-2, Class A 6.300 04/15/03 505,837 252,918 758,755 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 6.730 02/15/03 501,665 250,832 752,497 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 5.910 12/15/04 1,035,516 1,035,516
1,300,000 1,300,000 Circuit City Credit Card Master Trust, Series 1995-1, Class A 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 500,000 500,000 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A 1,800,000 1,800,000 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 175,000 300,000 475,000 EQCC Home Equity Loan Trust, Series 1997-2, Class A 1,300,000 1,300,000 Fingerhut Master Trust, Series 1998-1, Class A 350,000 300,000 650,000 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 275,000 125,000 400,000 First Plus Home Loan Trust, Series 1997-1, Class A6 500,000 500,000 First Plus Home Loan Trust, Series 1998-2, Class A 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, Class A2, 144A+ 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 1,850,000 1,850,000 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 303,675 227,756 531,431 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 469,530 469,530 Nomura Asset Securities Corp., Series 1998-D6, Class A 2,050,000 2,050,000 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 469,530 469,530 Normura Asset Securities Corp., Series 1998-D6,Class A1A 1,800,000 1,800,000 Pemex Corp., Series 144A 375,000 300,000 675,000 Premier Auto Trust, Series 1998-2, Class A 400,000 275,000 675,000 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 50,519,565 50,519,565 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 51,871,974 51,871,974 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation Total Collateralized Mortgage Obligations Investment Companies - 1.71% Investment Companies - 1.71% 70,100 131,800 201,900 T-Rowe Price Foreign Equity 50,500 152,600 203,100 T-Rowe Price International Equity Fund Total Investment Companies Medium Term Notes - 0.68% Medium Term Notes - 0.68% 175,000 350,000 525,000 Norwest Corp. 500,000 500,000 1,000,000 Sears Roebuck Acceptance Corp. 500,000 500,000 1,000,000 Smithkline Beecham Corp. Total Medium Term Notes
Circuit City Credit Card Master Trust, Series 1995-1, Class A 6.375 08/15/05 1,311,140 1,311,140 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 6.490 05/15/08 1,726,653 1,726,653 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A 6.280 01/15/13 504,878 504,878 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 6.480 05/17/08 1,789,191 1,789,191 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 5.697 10/20/01 1,880,794 1,880,794 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 6.410 05/10/08 1,902,290 1,902,290 EQCC Home Equity Loan Trust, Series 1997-2, Class A 6.720 02/15/12 177,487 304,263 481,750 Fingerhut Master Trust, Series 1998-1, Class A 6.070 02/15/05 1,311,863 1,311,863 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 7.600 09/20/14 361,742 310,065 671,807 First Plus Home Loan Trust, Series 1997-1, Class A6 6.950 12/10/15 268,596 122,089 390,685 First Plus Home Loan Trust, Series 1998-2, Class A 6.230 06/10/10 498,906 498,906 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 6.560 11/18/08 2,022,130 2,022,130 General Growth Properties, Series 1, Class A2, 144A+ 6.602 11/15/07 1,617,176 1,617,176 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 6.566 11/15/07 2,100,761 2,100,761 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 6.480 01/18/08 2,360,986 2,360,986 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 6.663 01/18/08 754,309 754,309 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 6.423 05/18/08 1,853,154 1,853,154 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 5.940 11/15/04 305,709 229,282 534,991 Nomura Asset Securities Corp., Series 1998-D6, Class A 6.280 03/15/30 472,516 472,516 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 6.590 03/17/28 2,054,418 2,054,418 Normura Asset Securities Corp., Series 1998-D6,Class A1A 6.280 03/15/30 472,516 472,516 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 Premier Auto Trust, Series 1998-2, Class A 5.770 01/06/02 374,434 299,547 673,981 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 5.800 08/15/05 397,077 272,990 670,067 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 6.100 05/17/04 852,386 852,386 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 0.455 02/15/28 777,547 777,547 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation 0.317 09/01/28 628,118 628,118 ------------------------------------------------ 30,525,972 5,259,703 3,248,954 39,034,629 ----------- Total Collateralized Mortgage Obligations 39,034,629 Investment Companies - 1.71% Investment Companies - 1.71% T-Rowe Price Foreign Equity 1,223,245 2,299,910 3,523,155 T-Rowe Price International Equity Fund 733,765 2,217,278 2,951,043 ------------------------------------------------ 1,957,010 4,517,188 6,474,198 ----------- Total Investment Companies 6,474,198 Medium Term Notes - 0.68% Medium Term Notes - 0.68% Norwest Corp. 6.550 012/1/06 177,188 354,375 531,563 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 1,003,750 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 1,023,750 ------------------------------------------------ 1,190,938 1,368,125 2,559,063 ----------- Total Medium Term Notes 2,559,063
Temporary Investments - 0.69% Temporary Investments - 0.69% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund Total Temporary Investments U.S. Government Agency Obligations - 18.02% U.S. Government Agency Obligations - 11.53% 213,885 81,472 295,357 FannieMae 157,337 157,337 314,674 FannieMae 165,890 265,841 431,731 FannieMae 48,335 331,781 380,115 FannieMae 750,000 750,000 1,500,000 FannieMae 750,000 500,000 1,250,000 FannieMae 392,401 65,400 457,801 FannieMae 1,200,000 1,000,000 2,200,000 Federal Home Loan Bank 59,298 29,649 88,947 Federal Home Loan Mortgage Corp. 207,344 533,169 740,513 Federal Home Loan Mortgage Corp. 556,461 556,461 Federal Home Loan Mortgage Corp. 9,180 9,180 FHLMC Pool #533301 2,163,715 2,163,715 FHLMC Pool #E60891 565,319 565,319 FHLMC Pool #G10304 2,527,532 2,527,532 FNCI Pool #400028 705,817 705,817 FNCL Pool #313349 3,766,993 3,766,993 FNCL Pool #313644 276,900 276,900 FNCL Pool #325602 1,012,811 1,012,811 FNCX Pool #323191 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 996,067 996,067 FNMA Pool #345858 3,459,249 3,459,249 FNMA Pool #405210 5,986,299 5,986,299 FNMA Pool #405307 3,032,000 3,032,000 FNMA Pool #437420 43,670 43,670 GNMA Pool #146301 2,708,661 2,708,661 GNMA Pool #436800 2,416,539 2,416,539 GNMA Pool #448913 521,105 521,105 GNMA Pool #448958 934,958 934,958 GNMA Pool #449104 137,541 137,541 GNMA Pool #467788 151,393 151,393 GNSF Pool #231236 140,809 140,809 GNSF Pool #258039 186,580 186,580 GNSF Pool #276635 182,898 182,898 GNSF Pool #278853 693,689 693,689 GNSF Pool #780330
Temporary Investments - 0.69% Temporary Investments - 0.69% Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 ------------------------------------------------ 2,607,858 2,607,858 ----------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 18.02% U.S. Government Agency Obligations - 11.53% FannieMae 6.500 01/01/06 212,415 80,911 293,326 FannieMae 7.500 06/01/03 161,074 161,074 322,148 FannieMae 7.000 06/01/04 169,467 271,573 441,040 FannieMae 7.000 06/01/04 49,377 338,935 388,312 FannieMae 5.750 06/15/05 753,064 753,064 1,506,128 FannieMae 6.480 06/28/04 776,816 517,877 1,294,693 FannieMae 7.500 10/01/11 404,418 67,403 471,821 Federal Home Loan Bank 5.375 03/02/01 1,199,660 999,717 2,199,377 Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 30,344 91,032 Federal Home Loan Mortgage Corp. 7.000 05/01/04 211,555 543,999 755,554 Federal Home Loan Mortgage Corp. 6.500 06/01/04 563,765 563,765 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 GNMA Pool #449104 8.000 06/15/28 975,278 975,278 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 ------------------------------------------------ 35,289,435 3,998,534 4,328,662 43,616,631
U.S. Government Obligations - 2.05% 17,400,000 17,400,000 U.S. Treasury Strips 2,700,000 2,700,000 U.S. Treasury Strips 6,150,000 6,150,000 U.S. Treasury Strips 1,200,000 1,200,000 U.S. Treasury Strips U.S. Treasury Obligations - 4.44% 7,000 7,000 U.S. Treasury Bill 30,000 30,000 U.S. Treasury Bill 77,000 77,000 U.S. Treasury Bill 698,000 698,000 U.S. Treasury Bill 11,000 11,000 U.S. Treasury Bill 26,000 26,000 U.S. Treasury Bill 57,000 57,000 U.S. Treasury Bill 101,000 22,000 123,000 U.S. Treasury Bill 12,000 12,000 U.S. Treasury Bill 1,809,000 2,069,000 3,878,000 U.S. Treasury Bill 165,000 45,000 210,000 U.S. Treasury Bill 150,000 150,000 U.S. Treasury Bond 500,000 500,000 U.S. Treasury Note 690,000 690,000 U.S. Treasury Note 1,000,000 500,000 1,500,000 U.S. Treasury Note 750,000 750,000 U.S. Treasury Note 2,050,000 2,050,000 U.S. Treasury Note 125,000 125,000 U.S. Treasury Note 250,000 250,000 U.S. Treasury Note 425,000 425,000 U.S. Treasury Note 775,000 775,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note 400,000 400,000 U.S. Treasury Note 902,000 25,000 927,000 U.S. Treasury Note 965,000 175,000 1,140,000 U.S. Treasury Note 600,000 575,000 1,175,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note Total US Government Agency Obligations Total Investments - 100%
U.S. Government Obligations - 2.05% U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 ------------------------------------------------ 7,740,885 7,740,885 U.S. Treasury Obligations - 4.44% U.S. Treasury Bill 4.250 04/01/99 6,973 6,973 U.S. Treasury Bill 4.300 04/01/99 29,882 29,882 U.S. Treasury Bill 4.330 04/01/99 76,694 76,694 U.S. Treasury Bill 4.345 04/01/99 695,220 695,220 U.S. Treasury Bill 4.360 04/01/99 10,956 10,956 U.S. Treasury Bill 4.350 04/08/99 25,874 25,874 U.S. Treasury Bill 4.360 04/08/99 56,724 56,724 U.S. Treasury Bill 4.380 04/08/99 100,508 21,893 122,401 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941 U.S. Treasury Bill 4.470 04/08/99 1,800,015 2,058,724 3,858,739 U.S. Treasury Bill 4.490 04/08/99 164,177 44,776 208,953 U.S. Treasury Bond 7.500 11/15/16 177,507 177,507 U.S. Treasury Note 5.250 01/31/01 500,971 500,971 U.S. Treasury Note 6.250 02/15/03 712,879 712,879 U.S. Treasury Note 6.250 02/15/07 1,052,437 526,218 1,578,655 U.S. Treasury Note 6.375 05/15/99 752,553 752,553 U.S. Treasury Note 6.500 05/15/05 2,170,520 2,170,520 U.S. Treasury Note 6.875 05/15/06 135,718 135,718 U.S. Treasury Note 6.625 05/15/07 269,561 269,561 U.S. Treasury Note 5.625 05/15/08 433,104 433,104 U.S. Treasury Note 6.750 05/31/99 778,715 778,715 U.S. Treasury Note 6.625 06/30/01 206,259 206,259 U.S. Treasury Note 6.250 08/15/23 422,565 422,565 U.S. Treasury Note 6.250 08/31/00 916,122 25,391 941,513 U.S. Treasury Note 6.125 09/30/00 979,072 177,552 1,156,624 U.S. Treasury Note 6.500 10/15/06 639,604 612,954 1,252,558 U.S. Treasury Note 5.875 11/15/99 201,350 201,350 ------------------------------------------------ 9,237,766 7,557,643 16,795,409 ----------- Total US Government Agency Obligations 68,152,925 ----------- Total Investments - 100% 378,237,406
Time Horizon Funds Portfolio 1 Portfolio 3 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 1 and Portfolio 3 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio I, Portfolio 2 and Portfolio 3 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999. Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999
Time Horizon II Asset Adjustments Pro Forma & III Allocation to Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------- ---------- ------------ ---------- Total Investments $ 101,343 $ 287,005 $ -- $ 388,348 Other Assets and Liabilities: Receivable for investments sold -- -- -- -- Payable for investments purchased -- -- -- -- Other assets and liabilities, net $ (1,747) $ 255 -- $ (1,492) Total Other Assets and Liabilities $ (1,747) $ 255 -- $ (1,492) Net Assets $ 99,596 $ 287,260 -- $ 386,856 ================================================= ========= Net Assets by Class: A Shares (Investor A) $ 25,154 $ 72,081 -- $ 97,235 B Shares (Investor B) $ 73,131 $ 5,566 -- $ 78,697 K Shares (Investor C) $ 1,311 $ 1,792 -- $ 3,103 SFR Shares (Seafirst) -- $ 207,821 -- $ 207,821 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------- --------- $ 99,596 $ 287,260 -- $ 386,856 ------------------------------------------------- --------- Shares Outstanding by Class: A Shares (Investor A) $ 1,994 $ 3,203 $ (875) $ 4,322 B Shares (Investor B) $ 5,834 $ 248 $ (2,577) $ 3,505 K Shares (Investor C) $ 104 $ 80 $ (46) $ 138 SFR Shares (Seafirst) -- $ 12,217 -- $ 12,217 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------- --------- $ 7,932 $ 15,748 $ (3,498) $ 20,182 ------------------------------------------------- --------- Net Asset Value per Share by Class: A Shares (Investor A) $ 12.62 $ 22.50 $ -- $ 22.50 B Shares (Investor B) $ 12.53 $ 22.45 $ -- $ 22.45 K Shares (Investor C) $ 12.55 $ 22.45 $ -- $ 22.45 SFR Shares (Seafirst) n/a $ 17.01 $ -- $ 17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999
Time Horizon II Asset Adjustments Pro Forma & III Allocation to Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------------- ---------- ------------ ---------- INVESTMENT INCOME: Interest $ 2,612 $ 7,782 $ -- $ 10,394 Dividends $ 890 1,978 -- 2,868 ---------------------------------------------------- -------- Total Investment Income 3,502 9,760 -- 13,262 ---------------------------------------------------- -------- EXPENSES: Investment Advisory 411 1,089 944(a) 2,444 Administration 205 408 254(a) 867 Transfer Agent 233 133 (178)(b) 188 Custodian 66 117 (145)(b) 38 Legal and Audit Fees 117 20 (75)(b) 62 Registration & Filing 39 16 -- 55 Trustees' Fees 52 6 (38)(b) 20 Interest Expense -- -- -- -- Other expenses 233 100 (304)(b) 29 ---------------------------------------------------- -------- Subtotal 1,356 1,889 458 3,703 ---------------------------------------------------- -------- SHAREHOLDER SERVICING AND DISTRIBUTION FEES A Shares (Investor A) 65 170 -- 235 B Shares (Investor B) 754 14 11(d) 779 K Shares (Investor C) 8 15 3(a) 26 SFR Shares (Seafirst) -- 504 -- 504 Primary A -- -- -- -- Primary B -- -- -- -- ---------------------------------------------------- -------- 827 703 14 1,544 ---------------------------------------------------- -------- Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (377) (28) (213)(c) (618) ---------------------------------------------------- -------- Total Expenses 1,806 2,564 259 4,629 ---------------------------------------------------- -------- ---------------------------------------------------- -------- NET INVESTMENT INCOME 1,696 7,196 (259) 8,633 ---------------------------------------------------- -------- ---------------------------------------------------- -------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 14,719 30,046 -- 44,765 ---------------------------------------------------- -------- ---------------------------------------------------- -------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: $ 16,415 $ 37,242 $ (259) $ 53,398 ==================================================== ========
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Schedule of Investments (Unaudited) February 28, 1999
Asset Time Time Total Description Asset Time Time Total Allocation Horizon II Horizon III Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Market Market Market Market Par Par Par Par Value Value Value Value Common Stock - 54.57% Aerospace - 0.83% 300 500 800 Alliant Techsystems, Inc. 23,756 39,594 63,350 1,000 1,400 2,400 Cordant Technologies, Inc. 38,937 54,512 93,449 400 900 1,300 Goodrich (B.F.) Co. 13,650 30,712 44,362 1,100 1,600 2,700 Sundstrand Corp. 74,456 108,300 182,756 20,100 1,000 1,700 22,800 United Technologies Corp. 2,489,887 123,875 210,587 2,824,349 -------------------------------------------------- 2,489,887 274,674 443,705 3,208,266 Airlines - 0.30% 800 1,000 1,800 Alaska Air Group, Inc. 40,550 50,687 91,237 200 100 300 Comair Holdings, Inc. 7,525 3,762 11,287 11,000 600 1,000 12,600 Delta Air Lines, Inc. 668,937 36,487 60,812 766,236 3,900 300 600 4,800 UAL Corp. 233,025 17,925 35,850 286,800 -------------------------------------------------- 901,962 102,487 151,111 1,155,560 Apparel/Textile - 0.31% 1,500 2,600 4,100 Burlington Industries, Inc. 9,281 16,087 25,368 1,200 1,600 2,800 Cintas Corp. 84,900 113,200 198,100 2,400 3,500 5,900 Jones Apparel Group, Inc. 67,050 97,781 164,831 500 900 1,400 Kellwood Co. 12,781 23,006 35,787 8,000 1,300 2,100 11,400 Tommy Hilfiger Corp. 552,500 89,781 145,031 787,312 -------------------------------------------------- 552,500 263,793 395,105 1,211,398 Automobiles - 0.93% 14,600 900 1,500 17,000 General Motors Corp. 1,205,412 74,306 123,844 1,403,562 1,400 1,900 3,300 Arvin Industries, Inc. 50,750 68,875 119,625 26,300 1,500 2,600 30,400 Ford Motor Co. 1,559,919 88,969 154,212 1,803,100 900 1,200 2,100 Harley-Davidson, Inc. 52,031 69,375 121,406 2,700 4,100 6,800 Meritor Automotive, Inc. 42,862 65,087 107,949 500 900 1,400 Superior Industries International, Inc. 12,375 22,275 34,650 -------------------------------------------------- 2,765,331 321,293 503,668 3,590,292
Banks/Savings & Loans - 4.52% 2,125 3,125 5,250 AmSouth Bancorporation 99,875 146,875 246,750 1,800 2,700 4,500 Astoria Financial Corp. 81,562 122,344 203,906 27,540 2,100 3,600 33,240 Banc One Corp. 1,480,275 112,875 193,500 1,786,650 39,600 2,400 4,000 46,000 Bank of New York Co., Inc. 1,383,525 83,850 139,750 1,607,125 43,000 2,300 4,000 49,300 Chase Manhattan Corp. 3,423,875 183,137 318,500 3,925,512 2,400 3,500 5,900 City National Corp. 77,400 112,875 190,275 293 556 849 Commerce Bancorp, Inc. 13,038 24,742 37,780 600 1,000 1,600 Cullen/Frost Bankers, Inc. 28,387 47,312 75,699 2,900 4,200 7,100 Dime Bancorp, Inc. 71,775 103,950 175,725 1,200 2,000 3,200 FirstFed Financial Corp. 20,325 33,875 54,200 62,700 3,200 5,600 71,500 Fleet Financial Group, Inc. 2,692,181 137,400 240,450 3,070,031 600 1,100 1,700 HUBCO, Inc. 19,687 36,094 55,781 24,900 1,400 2,400 28,700 Mellon Bank Corp. 1,683,862 94,675 162,300 1,940,837 16,800 1,000 1,700 19,500 National City Corp. 1,173,900 69,875 118,787 1,362,562 4,300 6,100 10,400 North Fork Bancorporation, Inc. 94,600 134,200 228,800 2,695 3,920 6,615 Old Kent Financial Corp. 118,243 171,990 290,233 12,800 12,800 PNC Bank Corp. 666,400 666,400 700 1,400 2,100 Trustmark Corp. 14,831 29,662 44,493 36,000 2,600 4,400 43,000 Wells Fargo Co. 1,323,000 95,550 161,700 1,580,250 -------------------------------------------------- 13,827,018 1,417,085 2,298,906 17,543,009 Beverages - 1.43% 27,800 1,600 2,700 32,100 Anheuser-Busch Cos., Inc. 2,131,912 122,700 207,056 2,461,668 300 500 800 Canandaigua Brands, Inc. 16,012 26,687 42,699 29,000 1,600 2,700 33,300 Coca-Cola Co. 1,854,187 102,300 172,631 2,129,118 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 400 600 1,000 Coors, (Adolph) Co., Class B 23,825 35,737 59,562 11,000 600 1,000 12,600 PepsiCo, Inc. 413,875 22,575 37,625 474,075 -------------------------------------------------- 4,771,974 287,412 479,736 5,539,122 Building Related/Appliance - 0.36% 900 1,500 2,400 AptarGroup, Inc. 24,637 41,062 65,699 16,800 1,000 1,700 19,500 Centex Corp. 618,450 36,812 62,581 717,843 400 700 1,100 Hughes Supply, Inc. 8,075 14,131 22,206 1,100 1,800 2,900 M.D.C. Holdings, Inc. 19,594 32,062 51,656 1,800 2,800 4,600 Mohawk Industries, Inc. 58,500 91,000 149,500 900 1,600 2,500 Ryland Group, Inc. 22,950 40,800 63,750 2,300 3,200 5,500 Shaw Industries, Inc. 50,456 70,200 120,656 1,300 1,900 3,200 Southdown, Inc. 61,344 89,656 151,000 500 800 1,300 USG Corp. 25,062 40,100 65,162 -------------------------------------------------- 618,450 307,430 481,592 1,407,472
Chemicals - 0.81% 2,000 2,800 4,800 Crompton & Knowles Corp. 37,000 51,800 88,800 400 100 500 Cytec Industries, Inc. 10,725 2,681 13,406 13,800 800 1,400 16,000 Dow Chemical Co. 1,357,575 78,700 137,725 1,574,000 11,000 600 1,100 12,700 Du Pont (E. I.) De Nemours & Co. 564,437 30,787 56,444 651,668 1,000 1,500 2,500 Ecolab, Inc. 39,875 59,812 99,687 2,200 3,300 5,500 GenCorp, Inc. 44,137 66,206 110,343 800 200 200 1,200 Rohm & Haas Co. 25,000 6,250 6,250 37,500 1,100 1,600 2,700 Schulman (A.), Inc. 18,150 26,400 44,550 600 1,100 1,700 Scotts Co., Class A 19,425 35,612 55,037 18,000 3,700 5,500 27,200 Solutia, Inc. 320,625 65,906 97,969 484,500 -------------------------------------------------- 2,267,637 350,955 540,899 3,159,491 Commercial Services - 0.28% 2,400 3,500 5,900 ACNielsen Corp. 62,400 91,000 153,400 500 900 1,400 ADVO, Inc. 10,000 18,000 28,000 700 1,000 1,700 Convergys Corp. 12,119 17,312 29,431 10,900 900 1,600 13,400 Fluor Corp. 383,544 31,669 56,300 471,513 900 1,100 2,000 Galileo International, Inc. 45,450 55,550 101,000 700 1,300 2,000 Interim Services, Inc. 13,300 24,700 38,000 100 200 300 Lason Holdings, Inc. 5,419 10,837 16,256 600 1,100 1,700 MedQuist, Inc. 20,512 37,606 58,118 300 500 800 National Data Corp. 14,494 24,156 38,650 500 900 1,400 Personnel Group of America, Inc. 6,594 11,869 18,463 800 1,100 1,900 Robert Half International, Inc. 28,800 39,600 68,400 500 800 1,300 Valassis Communications, Inc. 24,000 38,400 62,400 -------------------------------------------------- 383,544 274,757 425,330 1,083,631 Communications - 1.99% 2,000 3,000 5,000 American Power Conversion Corp. 71,750 107,625 179,375 23,900 1,800 3,025 28,725 Cisco Systems, Inc. 2,337,719 176,062 295,883 2,809,664 500 900 1,400 Level One Communications, Inc. 16,750 30,150 46,900 27,100 1,600 2,600 31,300 Lucent Technologies, Inc. 2,752,344 162,500 264,062 3,178,906 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 900 1,500 16,500 Tellabs, Inc. 1,128,881 72,056 120,094 1,321,031 800 1,400 2,200 Xircom, Inc. 27,200 47,600 74,800 -------------------------------------------------- 6,348,038 526,318 865,414 7,739,770 Computer Hardware - 3.36% 39,100 2,300 3,900 45,300 Dell Computer Corp. 3,132,887 184,287 312,487 3,629,661 35,000 2,100 3,700 40,800 EMC Corp. 3,583,125 214,987 378,787 4,176,899 500 800 1,300 Hutchinson Technology, Inc. 15,562 24,900 40,462 5,900 400 600 6,900 International Business Machines Corp. 1,003,000 68,000 102,000 1,173,000 1,000 1,800 2,800 InterVoice, Inc. 10,875 19,575 30,450 1,300 1,800 3,100 Lexmark International Group, Inc. 134,144 185,737 319,881 1,400 2,000 3,400 NCR Corp. 57,312 81,875 139,187 18,000 1,100 1,700 20,800 Seagate Technology, Inc. 520,875 31,831 49,194 601,900 18,400 1,000 2,000 21,400 Solectron Corp. 822,250 44,687 89,375 956,312 16,300 1,000 1,600 18,900 Sun Microsystems, Inc. 1,586,194 97,312 155,700 1,839,206 950 1,350 2,300 Symbol Technologies, Inc. 50,350 71,550 121,900 400 800 1,200 Zebra Technologies Corp., Class A 10,325 20,650 30,975 -------------------------------------------------- 10,648,331 919,672 1,491,830 13,059,833
Computer Services & Software - 3.57% 800 1,000 1,800 Adobe Systems, Inc. 32,200 40,250 72,450 300 600 900 Affiliated Computer Services, Inc. 13,875 27,750 41,625 10,400 600 1,000 12,000 America Online, Inc. 924,950 53,362 88,937 1,067,249 600 1,000 1,600 American Management Systems, Inc. 20,025 33,375 53,400 600 900 1,500 BMC Software, Inc. 24,525 36,787 61,312 1,600 2,400 4,000 Cadence Design Systems, Inc. 38,500 57,750 96,250 800 1,400 2,200 CIBER, Inc. 20,100 35,175 55,275 900 1,200 2,100 Citrix Systems, Inc. 69,412 92,550 161,962 10,100 1,100 1,800 13,000 Compuware Corp. 564,969 61,531 100,687 727,187 700 1,000 1,700 Electronic Arts, Inc. 27,912 39,875 67,787 600 1,100 1,700 Macromedia, Inc. 18,337 33,619 51,956 300 500 800 Mercury Interactive Corp. 19,444 32,406 51,850 50,900 2,800 4,900 58,600 Microsoft Corp. 7,641,362 420,350 735,612 8,797,324 500 800 1,300 National Computer Systems, Inc. 16,016 25,625 41,641 1,650 2,500 4,150 Network Associates, Inc. 77,550 117,500 195,050 31,400 1,800 3,000 36,200 Oracle Corp. 1,754,475 100,575 167,625 2,022,675 1,100 1,600 2,700 Rational Software Corp. 32,656 47,500 80,156 1,300 1,900 3,200 Siebel Systems, Inc. 57,200 83,600 140,800 600 1,000 1,600 Sterling Software, Inc. 15,300 25,500 40,800 1,100 1,600 2,700 Symantec Corp. 19,869 28,900 48,769 -------------------------------------------------- 10,885,756 1,138,739 1,851,023 13,875,518 Cosmetics & Toiletries - 1.66% 22,400 1,100 2,000 25,500 Avon Products, Inc. 932,400 45,787 83,250 1,061,437 8,600 500 900 10,000 Clorox Co. 1,017,487 59,156 106,481 1,183,124 2,500 3,600 6,100 Dial Corp. 72,969 105,075 178,044 15,700 900 1,600 18,200 Kimberly-Clark Corp. 741,825 42,525 75,600 859,950 30,700 1,800 3,000 35,500 Procter & Gamble Co. 2,747,650 161,100 268,500 3,177,250 -------------------------------------------------- 5,439,362 381,537 638,906 6,459,805 Electrical Equipment - 1.62% 54,400 3,100 5,300 62,800 General Electric Co. 5,457,000 310,969 531,656 6,299,625 -------------------------------------------------- 5,457,000 310,969 531,656 6,299,625 Electronic Components - 0.00% 200 100 300 Gentex Corp. 4,338 2,169 6,507 -------------------------------------------------- 4,338 2,169 6,507
Energy Related - 0.73% 900 1,300 2,200 Allied Waste Industries, Inc. 17,550 25,350 42,900 800 1,300 2,100 Newfield Exploration Co. 13,000 21,125 34,125 1,200 2,000 3,200 Offshore Logistics, Inc. 10,462 17,437 27,899 30,400 1,800 3,000 35,200 PECO Energy Co. 1,077,300 63,787 106,312 1,247,399 26,000 1,800 3,100 30,900 Reliant Energy, Inc. 697,125 48,262 83,119 828,506 1,200 1,700 2,900 Tidewater, Inc. 22,575 31,981 54,556 21,300 3,200 5,000 29,500 Transocean Offshore, Inc. 439,312 66,000 103,125 608,437 -------------------------------------------------- 2,213,737 241,636 388,449 2,843,822 Entertainment - 1.37% 200 400 600 Anchor Gaming, Inc. 8,013 16,025 24,038 29,500 1,800 3,000 34,300 Carnival Corp. 1,312,750 80,100 133,500 1,526,350 800 1,500 2,300 Hollywood Entertainment Corp. 21,950 41,156 63,106 1,200 1,800 3,000 King World Productions, Inc. 31,725 47,587 79,312 1,200 1,900 3,100 Musicland Stores Corp. 14,175 22,444 36,619 300 500 800 Polaris Industries, Inc. 8,475 14,125 22,600 48,600 2,500 4,400 55,500 Time Warner, Inc. 3,134,700 161,250 283,800 3,579,750 -------------------------------------------------- 4,447,450 325,688 558,637 5,331,775 Financial Services - 2.46% 10,400 500 1,000 11,900 American Express Co. 1,128,400 54,250 108,500 1,291,150 400 800 1,200 AmeriCredit Corp. 4,450 8,900 13,350 600 1,200 1,800 Ameritrade Holding Corp. Class A 29,250 58,500 87,750 200 400 600 CCB Financial Corp. 10,387 20,775 31,162 19,200 1,150 1,950 22,300 Citigroup Inc. 1,128,000 67,562 114,562 1,310,124 300 400 700 CMAC Investment Corp. 12,394 16,525 28,919 1,300 1,800 3,100 Countrywide Credit Industries, Inc. 49,237 68,175 117,412 408 714 1,122 Delphi Financial Group , Inc. Class A 19,558 34,227 53,785 2,300 3,300 5,600 Edwards (A.G.), Inc. 74,894 107,456 182,350 23,400 1,300 2,300 27,000 Freddie Mac 1,377,675 76,537 135,412 1,589,624 700 1,200 1,900 Legg Mason, Inc. 19,819 33,975 53,794 19,600 1,100 2,000 22,700 Morgan Stanley Dean Witter Discover & Co. 1,773,800 99,550 181,000 2,054,350 22,800 1,450 2,450 26,700 Providian Financial Corp. 2,328,450 148,081 250,206 2,726,737 -------------------------------------------------- 7,736,325 665,969 1,138,213 9,540,507 Food & Related - 0.96% 23,600 1,800 3,100 28,500 Conagra, Inc. 710,950 54,225 93,387 858,562 1,600 2,500 4,100 Earthgrains Co. 39,300 61,406 100,706 1,900 2,800 4,700 Flowers Industries, Inc. 46,312 68,250 114,562 11,800 1,000 1,700 14,500 Heinz (H.J.) Co. 642,362 54,437 92,544 789,343 2,300 3,300 5,600 IBP, Inc. 51,750 74,250 126,000 20,700 1,200 2,100 24,000 Quaker Oats Co. 1,130,737 65,550 114,712 1,310,999 2,800 4,000 6,800 Ralcorp Holdings, Inc. 49,875 71,250 121,125 10,100 10,100 Sara Lee Corp. 274,594 274,594 1,100 1,600 2,700 Vlasic Foods International 13,406 19,500 32,906 -------------------------------------------------- 2,758,643 374,855 595,299 3,728,797
Hospital Management - 0.34% 300 600 900 Curative Health Services, Inc. 3,375 6,750 10,125 1,100 1,600 2,700 Lincare Holdings, Inc. 39,187 57,000 96,187 1,100 1,900 3,000 Mariner Post Acute Network 2,406 4,156 6,562 800 1,100 1,900 Omnicare, Inc. 19,150 26,331 45,481 600 900 1,500 PacifiCare Health Systems, Inc., Class B 43,350 65,025 108,375 179 313 492 Priority Healthcare Corp, Class B 6,970 12,187 19,157 15,300 1,000 1,600 17,900 United Healthcare Corp. 754,481 49,312 78,900 882,693 600 1,000 1,600 Universal Health Services, Inc., Class B 24,375 40,625 65,000 600 600 1,200 Wellpoint Health Networks, Inc. 47,325 47,325 94,650 -------------------------------------------------- 754,481 235,450 338,299 1,328,230 Hospital Supply - 1.30% 600 1,000 1,600 ADAC Laboratories 10,725 17,875 28,600 24,800 2,700 4,400 31,900 Biomet, Inc. 909,850 99,056 161,425 1,170,331 22,400 1,100 1,900 25,400 Guidant Corp. 1,276,800 62,700 108,300 1,447,800 800 1,200 2,000 Hillenbrand Industries, Inc. 33,500 50,250 83,750 800 1,400 2,200 Integrated Health Services, Inc. 4,750 8,312 13,062 9,700 400 800 10,900 Johnson & Johnson Co. 828,137 34,150 68,300 930,587 15,600 600 900 17,100 Medtronic, Inc. 1,101,750 42,375 63,563 1,207,688 1,100 1,900 3,000 Owens & Minor, Inc. Holding Co. 14,025 24,225 38,250 300 600 900 Patterson Dental Co. 12,150 24,300 36,450 300 600 900 Safeskin Corp. 6,975 13,950 20,925 500 800 1,300 VISIX, Inc. 30,875 49,400 80,275 -------------------------------------------------- 4,116,537 351,281 589,900 5,057,718 Insurance - 1.81% 2,700 4,000 6,700 Aflac, Inc. 119,137 176,500 295,637 38,600 1,900 3,700 44,200 Allstate Corp. 1,447,500 71,250 138,750 1,657,500 1,100 1,600 2,700 AMBAC Financial Group, Inc. 61,600 89,600 151,200 800 1,400 2,200 Capital Re Corp. 13,400 23,450 36,850 37,700 2,300 3,900 43,900 Conseco, Inc. 1,128,644 68,856 116,756 1,314,256 300 500 800 Enhance Financial Services Group, Inc. 7,106 11,844 18,950 22,400 1,200 2,200 25,800 Equitable Cos., Inc. 1,513,400 81,075 148,638 1,743,113 550 890 1,440 Fidelity National Financial, Inc. 11,000 17,800 28,800 1,000 1,700 2,700 First American Financial Corp. 23,437 39,844 63,281 800 1,500 2,300 Fremont General Corp. 15,800 29,625 45,425 25,300 1,500 2,600 29,400 Hartford Financial Services Group, Inc. 1,367,781 81,094 140,563 1,589,438 900 1,400 2,300 PMI Group, Inc. 38,812 60,375 99,187 -------------------------------------------------- 5,457,325 592,567 993,745 7,043,637
Machinery - 0.36% 600 900 1,500 Applied Power, Inc. 14,475 21,713 36,188 900 1,300 2,200 Briggs & Stratton Corp. 43,931 63,456 107,387 300 500 800 Graco, Inc. 6,525 10,875 17,400 17,200 1,000 1,700 19,900 Ingersoll-Rand Co. 817,000 47,500 80,750 945,250 900 1,400 2,300 JLG Industries, Inc. 12,656 19,688 32,344 700 1,100 1,800 Manitowoc Co., Inc. 25,812 40,563 66,375 1,100 1,600 2,700 McDermott International, Inc. 21,931 31,900 53,831 500 1,000 1,500 Terex Corp. 12,813 25,625 38,438 1,200 1,700 2,900 Trinity Industries, Inc. 39,525 55,994 95,519 -------------------------------------------------- 817,000 225,168 350,564 1,392,732 Metal Fabrication - 0.01% 700 800 1,500 Intermet Corp. 8,750 10,000 18,750 100 100 200 Quanex Corp. 1,750 1,750 3,500 -------------------------------------------------- 10,500 11,750 22,250 Metals & Mining - 0.38% 8,000 800 1,400 10,200 Alcoa Inc. 324,000 32,400 56,700 413,100 1,200 1,700 2,900 Martin Marietta Materials, Inc. 61,575 87,231 148,806 400 800 1,200 Stillwater Mining Co. 9,175 18,350 27,525 31,300 1,400 2,500 35,200 USX-U.S. Steel Group, Inc. 792,281 35,438 63,281 891,000 -------------------------------------------------- 1,116,281 138,588 225,562 1,480,431 Multi - Industry - 1.10% 15,700 900 1,600 18,200 AlliedSignal, Inc. 649,588 37,238 66,200 753,026 1,600 2,400 4,000 Crane Co. 43,900 65,850 109,750 900 1,500 2,400 Mascotech, Inc. 13,613 22,688 36,301 1,100 1,500 2,600 Pentair, Inc. 41,663 56,813 98,476 38,700 2,000 3,400 44,100 Tyco International Ltd. 2,880,731 148,875 253,088 3,282,694 -------------------------------------------------- 3,530,319 285,289 464,639 4,280,247 Office Supplies - 0.03% 800 1,400 2,200 Avery-Dennison Corp. 42,950 75,163 118,113 -------------------------------------------------- 42,950 75,163 118,113 Oil (Domestic) - 0.39% 1,200 1,800 3,000 Ashland, Inc. 53,400 80,100 133,500 800 1,300 2,100 Cabot Oil & Gas Corp. 8,750 14,219 22,969 500 900 1,400 Devon Energy Corp. 11,719 21,094 32,813 900 1,300 2,200 Murphy Oil Corp. 30,769 44,444 75,213 16,900 900 1,500 19,300 Sunoco Inc. 514,394 27,394 45,656 587,444 27,200 1,600 2,600 31,400 USX - Marathon Group 562,700 33,100 53,788 649,588 -------------------------------------------------- 1,077,094 165,132 259,301 1,501,527 Oil (International) - 2.03% 18,500 1,100 1,400 21,000 Chevron Corp. 1,422,188 84,563 107,625 1,614,376 50,900 3,000 5,100 59,000 Exxon Corp. 3,388,031 199,688 339,469 3,927,188 23,900 1,500 2,500 27,900 Mobil Corp. 1,988,181 124,781 207,969 2,320,931 -------------------------------------------------- 6,798,400 409,032 655,063 7,862,495
Paper & Forest Products - 0.32% 400 600 1,000 American Greetings Corp. 9,475 14,213 23,688 11,500 700 1,100 13,300 Fort James Corp. 343,563 20,913 32,863 397,339 1,800 2,600 4,400 Georgia Pacific Corp. 36,675 52,975 89,650 23,400 2,900 4,500 30,800 Owens-Illinois, Inc. 560,138 69,419 107,719 737,276 -------------------------------------------------- 903,701 136,482 207,770 1,247,953 Pharmaceuticals - 5.16% 13,300 700 1,200 15,200 Allergan, Inc. 1,083,950 57,050 97,800 1,238,800 700 1,100 1,800 Alpharma, Inc. Class A 26,513 41,663 68,176 2,900 200 200 3,300 Bausch & Lomb, Inc. 174,906 12,063 12,063 199,032 2,200 3,200 5,400 Bergen Brunswig Corp. 53,763 78,200 131,963 400 800 1,200 Bindley Western Industries, Inc. 10,525 21,050 31,575 12,800 2,000 3,200 18,000 Biogen, Inc. 1,230,400 192,250 307,600 1,730,250 21,100 1,200 2,100 24,400 Bristol-Meyers Squibb Co. 2,657,281 151,125 264,469 3,072,875 11,300 2,343 3,527 17,170 Cardinal Health, Inc. 815,719 169,135 254,605 1,239,459 100 100 200 Immunex Corp. 14,150 14,150 28,300 24,400 1,500 2,500 28,400 Lilly (Eli)& Co. 2,310,375 142,031 236,719 2,689,125 300 600 900 Medimmune, Inc. 16,500 33,000 49,500 17,000 1,000 1,800 19,800 Merck & Co., Inc. 1,389,750 81,750 147,150 1,618,650 1,700 2,400 4,100 Mylan Laboratories, Inc. 46,431 65,550 111,981 12,700 700 1,200 14,600 Pfizer, Inc. 1,675,606 92,356 158,325 1,926,287 700 1,300 2,000 Roberts Pharmaceutical Corp. 15,838 29,413 45,251 43,000 3,200 5,600 51,800 Schering-Plough Corp. 2,405,313 179,000 313,250 2,897,563 36,200 1,300 2,300 39,800 Warner-Lambert Co. 2,500,063 89,781 158,844 2,748,688 1,600 2,400 4,000 Watson Pharmaceuticals, Inc. 77,300 115,950 193,250 -------------------------------------------------- 16,243,363 1,427,561 2,349,801 20,020,725 Printing & Publishing - 1.03% 200 400 600 Consolidated Graphics, Inc. 12,150 24,300 36,450 8,700 500 900 10,100 McGraw-Hill Cos., Inc. 952,106 54,719 98,494 1,105,319 300 600 900 Metro Networks, Inc. 13,500 27,000 40,500 11,000 800 1,300 13,100 New York Times Co., Class A 341,000 24,800 40,300 406,100 700 1,000 1,700 Scholastic Corp. 34,475 49,250 83,725 22,500 1,200 2,200 25,900 Viacom, Inc., Class B 1,988,437 106,050 194,425 2,288,912 500 1,000 1,500 World Color Press, Inc. 12,406 24,813 37,219 -------------------------------------------------- 3,281,543 258,100 458,582 3,998,225 Restaurants/Lodging - 0.34% 1,800 2,600 4,400 Bob Evans Farms, Inc. 38,813 56,063 94,876 1,800 2,500 4,300 Brinker International, Inc. 52,088 72,344 124,432 600 1,100 1,700 CEC Entertainment, Inc. 18,000 33,000 51,000 1,600 2,300 3,900 Darden Restaurants, Inc. 35,200 50,600 85,800 8,200 400 800 9,400 McDonald's Corp. 697,000 34,000 68,000 799,000 810 1,087 1,897 Promus Hotel Corp. 28,502 38,249 66,751 700 1,300 2,000 Ruby Tuesday, Inc. 13,038 24,213 37,251 1,800 3,100 4,900 Ryan's Family Steak Houses, Inc. 20,475 35,263 55,738 -------------------------------------------------- 697,000 240,116 377,732 1,314,848
Retail - 3.18% 1,100 1,600 2,700 Abercrombie & Fitch Co., Class A 83,600 121,600 205,200 600 900 1,500 AnnTaylor Stores Corp. 22,688 34,031 56,719 1,500 2,200 3,700 Best Buy Co., Inc. 139,125 204,050 343,175 800 1,400 2,200 Cato Corp. Class A 7,600 13,300 20,900 29,900 1,750 2,900 34,550 Gap, Inc. 1,934,156 113,203 187,594 2,234,953 900 1,300 2,200 Hertz Corp. 35,831 51,756 87,587 24,000 1,300 2,300 27,600 Home Depot, Inc. 1,432,500 77,594 137,281 1,647,375 400 700 1,100 Linens 'N Things, Inc. 14,400 25,200 39,600 28,600 1,800 3,100 33,500 Lowe's Cos., Inc. 1,696,337 106,763 183,869 1,986,969 5,000 7,200 12,200 OfficeMax, Inc. 38,750 55,800 94,550 400 700 1,100 Pillowtex Corp. 9,700 16,975 26,675 500 900 1,400 Rent-A-Center, Inc. 12,688 22,838 35,526 2,200 3,400 5,600 Ross Stores, Inc. 100,650 155,550 256,200 20,600 2,500 3,900 27,000 TJX Cos., Inc. 588,388 71,406 111,394 771,188 200 300 500 United Stationers, Inc. 3,663 5,494 9,157 45,100 2,500 4,400 52,000 Wal-Mart Stores, Inc. 3,895,513 215,938 380,050 4,491,501 400 700 1,100 Zale Corp. 13,250 23,188 36,438 -------------------------------------------------- 9,546,894 1,066,849 1,729,970 12,343,713 Retail Food/Drug - 0.60% 11,700 400 900 13,000 Albertson's, Inc. 666,900 22,800 51,300 741,000 400 600 1,000 Great Atlantic & Pacific Tea Co., Inc. 12,625 18,938 31,563 600 1,100 1,700 Richfood Holdings, Inc. 14,250 26,125 40,375 23,200 1,200 2,100 26,500 Safeway, Inc. 1,339,800 69,300 121,275 1,530,375 -------------------------------------------------- 2,006,700 118,975 217,638 2,343,313 Semi-Conductors/Instrumentation - 2.15% 1,200 1,800 3,000 Altera Corp. 58,350 87,525 145,875 800 1,100 1,900 Comverse Technology, Inc. 57,400 78,925 136,325 400 600 1,000 Electro Scientific Industries, Inc. 14,625 21,938 36,563 42,100 2,500 4,200 48,800 Intel Corp. 5,049,369 299,844 503,738 5,852,951 1,100 1,600 2,700 Lattice Semiconductor Corp. 43,863 63,800 107,663 2,200 3,000 5,200 Linear Technology Corp. 96,388 131,438 227,826 600 1,000 1,600 Plexus Corp. 19,613 32,688 52,301 700 1,300 2,000 PMC-Sierra, Inc. 49,613 92,138 141,751 24,800 1,400 2,400 28,600 Rockwell International Corp. 1,102,050 62,213 106,650 1,270,913 400 600 1,000 Sanmina Corp. 20,900 31,350 52,250 900 1,500 2,400 Vitesse Semiconductors Corp. 41,344 68,906 110,250 1,200 1,700 2,900 Xilinx, Inc. 83,700 118,575 202,275 -------------------------------------------------- 6,151,419 847,853 1,337,671 8,336,943
Tobacco - 0.59% 49,700 3,000 5,500 58,200 Philip Morris Cos., Inc. 1,944,513 117,375 215,188 2,277,076 -------------------------------------------------- 1,944,513 117,375 215,188 2,277,076 Transportation - 0.23% 17,100 1,100 2,100 20,300 Burlington Northern Santa Fe Corp. 566,438 36,438 69,563 672,439 600 900 1,500 Kansas City Southern Industries, Inc. 28,050 42,075 70,125 600 1,000 1,600 M.S. Carriers, Inc. 16,200 27,000 43,200 200 200 Rollins Truck Leasing Corp. 2,125 2,125 100 100 200 Swift Transportation Co., Inc. 2,994 2,994 5,988 1,300 2,200 3,500 USFreightways Corp. 41,438 70,125 111,563 -------------------------------------------------- 566,438 127,245 211,757 905,440 Utilities - Electric - 0.89% 2,900 4,100 7,000 Allegheny Energy, Inc. 86,094 121,719 207,813 1,300 1,900 3,200 BEC Energy 47,369 69,231 116,600 500 800 1,300 Calpine Corp. 16,375 26,200 42,575 1,900 2,700 4,600 CMS Energy Corp. 78,613 111,713 190,326 4,000 5,800 9,800 Conectiv Inc. 84,750 122,888 207,638 1,450 2,050 3,500 DQE, Inc. 55,372 78,284 133,656 30,500 1,700 2,900 35,100 Edison International 777,750 43,350 73,950 895,050 1,700 2,400 4,100 Energy East Corp. 91,163 128,700 219,863 900 1,300 2,200 FirstEnergy Corp. 26,325 38,025 64,350 18,500 1,000 1,700 21,200 FPL Group, Inc. 951,594 51,438 87,444 1,090,476 1,800 2,500 4,300 NIPSCO Industries, Inc. 46,688 64,844 111,532 2,100 3,000 5,100 Public Service Co. of New Mexico 32,288 46,125 78,413 600 1,100 1,700 TNP Enterprises, Inc. 17,550 32,175 49,725 300 500 800 United Illuminating Co. 13,313 22,188 35,501 -------------------------------------------------- 1,729,344 690,688 1,023,486 3,443,518 Utilities - Gas & Pipeline - 0.41% 31,400 1,600 2,800 35,800 Coastal Corp. 1,004,800 51,200 89,600 1,145,600 2,700 3,900 6,600 El Paso Energy Corp. 98,381 142,106 240,487 800 1,400 2,200 Energen Corp. 11,200 19,600 30,800 1,200 1,800 3,000 NICOR, Inc. 45,825 68,738 114,563 200 400 600 Piedmont Natural Gas Co., Inc. 6,825 13,650 20,475 600 1,000 1,600 Southwest Gas Corp. 17,250 28,750 46,000 -------------------------------------------------- 1,004,800 230,681 362,444 1,597,925 5,400 1,700 3,000 10,100 Ameritech Corp. 353,025 111,138 196,125 660,288 32,600 2,300 4,000 38,900 AT&T Corp. 2,677,275 188,888 328,500 3,194,663 1,600 2,800 4,400 Bell Atlantic Corp. 91,900 160,825 252,725 70,600 3,900 6,300 80,800 BellSouth Corp. 3,265,250 180,375 291,375 3,737,000 1,550 2,200 3,750 Century Telephone Enterprises, Inc. 95,713 135,850 231,563 800 1,100 1,900 Cincinnati Bell, Inc. 15,800 21,725 37,525 26,300 400 500 27,200 GTE Corp. 1,706,213 25,950 32,438 1,764,601 500 900 1,400 Inter-Tel, Inc. 8,813 15,863 24,676 56,424 1,800 3,100 61,324 MCI Worldcom, Inc. 4,654,980 148,500 255,750 5,059,230 8,100 300 400 8,800 Sprint Corp. 695,081 25,744 34,325 755,150 23,900 1,400 2,300 27,600 U S WEST, Inc. 1,274,169 74,638 122,619 1,471,426 -------------------------------------------------- 14,625,993 967,459 1,595,395 17,188,847 ----------- Total Common Stock 211,890,106 Convertible Preferred Stock - 0.06% Convertible Preferred Stock - 0.06% 4,845 4,845 Sealed Air Corp. 249,518 249,518 -------------------------------------------------- 249,518 249,518 ----------- Total Convertible Preferred Stock 249,518
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par Corporate Bonds - 14.12% Building Products - 0.66% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 1,100,000 1,100,000 USG Corp. Senior Notes Chemicals - 0.39% 1,500,000 1,500,000 Praxair, Inc. Notes Computer Hardware - 0.13% 500,000 500,000 International Business Machines Corp. Containers - 0.27% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed Notes Financial Services - 6.31% 1,000,000 1,000,000 Associates Corp. of North America Debentures 600,000 375,000 975,000 Banc One Corp. 1,400,000 1,400,000 Banco Latinoamericano Bank Guarenteed Notes 144A 1,100,000 1,100,000 Bear Stearns Co. Senior Notes Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Corporate Bonds - 14.12% Coupon Maturity Building Products - 0.66% Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 ------------------------------------------------- 2,570,750 2,570,750 Chemicals - 0.39% Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 ------------------------------------------------- 1,501,875 1,501,875 Computer Hardware - 0.13% International Business Machines Corp. 6.375 06/15/00 505,000 505,000 ------------------------------------------------- 505,000 505,000 Containers - 0.27% Crown Cork & Seal PLC Company Guarenteed Notes 12/15/03 1,050,000 1,050,000 ------------------------------------------------- 1,050,000 1,050,000 Financial Services - 6.31% Associates Corp. of North America Debentures 11/01/18 1,031,250 1,031,250 Banc One Corp. 6.375 10/01/02 606,000 378,750 984,750 Banco Latinoamericano Bank Guarenteed Notes 144A 10/16/01 1,328,250 1,328,250 Bear Stearns Co. Senior Notes 6.150 03/02/04 1,089,777 1,089,777
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par 400,000 400,000 800,000 Bear Stearns Cos., Inc. 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 1,400,000 1,400,000 Capital One Bank Notes 1,400,000 1,400,000 Case Credit Corp. Notes 500,000 500,000 1,000,000 Chrysler Financial Corp. 200,000 100,000 300,000 Countrywide Home Loan 2,200,000 2,200,000 Finova Capital Corp. Notes 250,000 250,000 General Motors Acceptance Corp. 250,000 500,000 750,000 General Motors Acceptance Corp. 1,000,000 1,000,000 GMAC Notes. 250,000 250,000 500,000 Household Finance Corp. 200,000 100,000 300,000 Household Netherlands BV 500,000 500,000 1,000,000 International Lease Finance Corp. 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior Notes 350,000 350,000 Merrill Lynch & Co., Inc. 250,000 250,000 Morgan Stanley Dean Witter Discover & Co. 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 275,000 275,000 Pitney Bowes Credit Corp. 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. Notes 260,000 260,000 520,000 Transamerica Finance Corp. Food & Related - 0.54% 325,000 300,000 625,000 Hershey Foods Co. 1,500,000 1,500,000 Nabisco, Inc. Notes Funeral Services - 0.28% 1,100,000 1,100,000 Service Corp. International Senior Notes Instruments/Controls - 0.30% 1,200,000 1,200,000 Thermo Electron Corp. Notes Insurance - 0.66% 1,000,000 1,000,000 AON Corp. Notes 1,500,000 1,500,000 MCN Investment Corp. Notes Multi-Industry - 0.26% 500,000 500,000 1,000,000 Honeywell, Inc. Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Coupon Maturity Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 810,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 1,028,750 Countrywide Home Loan 7.450 09/16/03 206,250 103,125 309,375 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 General Motors Acceptance Corp. 5.875 01/22/03 248,438 248,438 General Motors Acceptance Corp. 6.750 02/07/02 255,313 510,625 765,938 GMAC Notes. 5.750 11/10/03 991,250 991,250 Household Finance Corp. 6.875 03/01/07 255,938 255,938 511,876 Household Netherlands BV 6.125 03/01/03 199,250 99,625 298,875 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 1,020,000 Lehman Brothers Holdings Co. Senior Notes 08/15/09 1,209,000 1,209,000 Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 Morgan Stanley Dean Witter Discover & Co. 06/24/02 265,000 265,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 Pitney Bowes Credit Corp. 5.650 01/15/03 272,594 272,594 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 Salomon Smith Barney Holdings, Inc. Notes 05/15/03 1,293,500 1,293,500 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 523,900 ------------------------------------------------ 17,133,340 4,351,421 3,039,388 24,524,149 Food & Related - 0.54% Hershey Foods Co. 6.700 10/1/05 339,219 313,125 652,344 Nabisco, Inc. Notes 6.125 02/1/03 1,455,000 1,455,000 ------------------------------------------------ 1,455,000 339,219 313,125 2,107,344 Funeral Services - 0.28% Service Corp. International Senior Notes 6.300 03/15/03 1,080,750 1,080,750 ------------------------------------------------ 1,080,750 1,080,750 Instruments/Controls - 0.30% Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 ------------------------------------------------ 1,149,000 1,149,000 Insurance - 0.66% AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 ------------------------------------------------ 2,568,125 2,568,125 Multi-Industry - 0.26% Honeywell, Inc. 6.750 03/15/02 511,875 511,875 1,023,750 ------------------------------------------------ 511,875 511,875 1,023,750
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par Multi - Media - 0.96% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed Notes 1,250,000 1,250,000 News America Inc. Senior Notes 1,250,000 1,250,000 Time Warner Inc., Pass-Through Certificates 144A Oil & Gas - 0.96% 1,605,000 1,605,000 Coastal Corp. Notes 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 1,000,000 1,000,000 Williams Companies., Inc. Notes Paper Products - 0.34% 1,250,000 1,250,000 James River Corp. Debentures Retail - 0.39% 300,000 300,000 Wal-Mart Stores, Inc. 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes Utilities - Electric - 0.52% 145,000 590,000 735,000 Southern California Edison Note 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B Utilities - Telephone - 1.15% 200,000 250,000 450,000 AT&T Corp. 1,200,000 1,200,000 Cable & Wireless Communications Notes 1,200,000 1,200,000 GTE Corp. Debentures 1,400,000 1,400,000 Worldcom, Inc. Senior Notes Asset Backed Securities - 0.20% Asset Backed Securities - 0.20% 81,642 81,642 CPS Auto Grantor Trust, Series 1997-3, Class A1 102,053 102,053 CPS Auto Trust, Series 1997-3, Class A1 350,000 250,000 600,000 First USA Credit Card Master Trust, Series 1997-6, Class A Collateralized Mortgage Obligations - 9.69% Collateralized Mortgage Obligations - 9.69% 175,000 300,000 475,000 Access Financial Mortgage Loan Trust, Series 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, Class A1,144A 300,000 275,000 575,000 American Express Master Trust, Series 1998-1, Class A Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Coupon Maturity Multi - Media - 0.96% Cox Radio, Inc. Company Guarenteed Notes 05/15/03 1,203,000 1,203,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 Time Warner Inc., Pass-Through Certificates 144A 12/30/01 1,256,250 1,256,250 ------------------------------------------------ 3,718,625 3,718,625 Oil & Gas - 0.96% Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 ------------------------------------------------ 3,713,831 3,713,831 Paper Products - 0.34% James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 ------------------------------------------------ 1,325,000 1,325,000 Retail - 0.39% Wal-Mart Stores, Inc. 7.250 06/01/13 325,125 325,125 Sears Roebuck Acceptance Corp. Notes 03/20/03 1,192,500 1,192,500 ------------------------------------------------ 1,192,500 325,125 1,517,625 Utilities - Electric - 0.52% Southern California Edison Note 6.500 06/01/01 146,994 598,113 745,107 Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 ------------------------------------------------ 1,290,250 146,994 598,113 2,035,357 Utilities - Telephone - 1.15% AT&T Corp. 8.625 12/01/31 218,000 272,500 490,500 Cable & Wireless Communications Notes 03/06/03 1,209,000 1,209,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 ------------------------------------------------ 3,960,000 218,000 272,500 4,450,500 ---------- Total Corporate Bonds 54,841,681 Asset Backed Securities - 0.20% Asset Backed Securities - 0.20% CPS Auto Grantor Trust, Series 1997-3, Class A1 12/15/02 82,076 82,076 CPS Auto Trust, Series 1997-3, Class A1 6.100 12/15/02 102,595 102,595 First USA Credit Card Master Trust, Series 1997-6, Class A 03/17/05 356,125 254,375 610,500 ------------------------------------------------ 458,720 336,451 795,171 ---------- Total Asset Backed Securities 795,171 Collateralized Mortgage Obligations - 9.69% Collateralized Mortgage Obligations - 9.69% Access Financial Mortgage Loan Trust, Series 1997-3, Class A 05/18/24 175,390 300,669 476,059 AESOP Funding II, Series 1997-1, Class A1,144A 10/20/01 1,005,990 1,005,990 American Express Master Trust, Series 1998-1, Class A 04/15/04 304,202 278,851 583,053
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par Coupon Maturity 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, Class A1C 02/14/41 246,509 154,068 400,577 Banc One Auto Grantor Trust, Series 1997-B, Class A 07/20/04 500,000 250,000 750,000 Chase Credit Card Master Trust, Series 1997-2, Class A 04/15/03 500,000 250,000 750,000 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 02/15/03 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 12/15/04 1,300,000 1,300,000 Circuit City Credit Card Master Trust, Series 1995-1, Class A 08/15/05 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 05/15/08 1,800,000 1,800,000 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 05/17/08 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 10/20/01 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 05/10/08 175,000 300,000 475,000 EQCC Home Equity Loan Trust, Series 1997-2, Class A 02/15/12 1,300,000 1,300,000 Fingerhut Master Trust, Series 1998-1, Class A 02/15/05 350,000 300,000 650,000 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 09/20/14 250,000 125,000 375,000 First Plus Home Loan Trust, Series 1997-1, Class A6 12/10/15 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 11/18/08 1,600,000 1,600,000 General Growth Properties, Series 1, Class A2, 144A+ 11/15/07 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 11/15/07 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 01/18/08 750,000 750,000 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 01/18/08 1,850,000 1,850,000 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 05/18/08 227,756 227,756 455,512 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 11/15/04 469,530 469,530 Nomura Asset Securities Corp., Series 1998-D6, Class A 03/15/30 2,050,000 2,050,000 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 03/17/28 469,530 469,530 Normura Asset Securities Corp., Series 1998-D6, Class A1A 03/15/30 1,800,000 1,800,000 Pemex Corp., Series 144A 5.720 11/15/02 325,000 300,000 625,000 Premier Auto Trust, Series 1998-2, Class A 01/06/02 300,000 275,000 575,000 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 08/15/05 850,260 850,260 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 05/17/04 50,519,565 50,519,565 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 02/15/28 51,871,974 51,871,974 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation 09/01/28 Investment Companies - 2.27% Investment Companies - 2.27% 125,900 131,800 257,700 T-Rowe Price Foreign Equity 145,800 152,600 298,400 T-Rowe Price International Equity Fund Total Investment Companies Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Asset Securitization Corp., Series 1997-D5, Class A1C 1,784,300 1,784,300 Banc One Auto Grantor Trust, Series 1997-B, Class A 247,891 154,932 402,823 Chase Credit Card Master Trust, Series 1997-2, Class A 505,837 252,918 758,755 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 501,665 250,832 752,497 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 1,035,516 1,035,516 Circuit City Credit Card Master Trust, Series 1995-1, Class A 1,311,140 1,311,140 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 1,726,653 1,726,653 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 1,789,191 1,789,191 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 1,880,794 1,880,794 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 1,902,290 1,902,290 EQCC Home Equity Loan Trust, Series 1997-2, Class A 177,487 304,263 481,750 Fingerhut Master Trust, Series 1998-1, Class A 1,311,863 1,311,863 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 361,742 310,065 671,807 First Plus Home Loan Trust, Series 1997-1, Class A6 244,178 122,089 366,267 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 2,022,130 2,022,130 General Growth Properties, Series 1, Class A2, 144A+ 1,617,176 1,617,176 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 2,100,761 2,100,761 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 2,360,986 2,360,986 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 754,309 754,309 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 1,853,154 1,853,154 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 229,282 229,282 458,564 Nomura Asset Securities Corp., Series 1998-D6, Class A 472,516 472,516 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 2,054,418 2,054,418 Normura Asset Securities Corp., Series 1998-D6, Class A1A 472,516 472,516 Pemex Corp., Series 144A 1,757,250 1,757,250 Premier Auto Trust, Series 1998-2, Class A 324,509 299,547 624,056 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 297,807 272,990 570,797 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 852,386 852,386 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 777,547 777,547 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation 628,118 628,118 ------------------------------------------------ 30,525,972 3,842,506 3,248,954 37,617,432 ---------- Total Collateralized Mortgage Obligations 37,617,432 Investment Companies - 2.27% Investment Companies - 2.27% T-Rowe Price Foreign Equity 2,196,955 2,299,910 4,496,865 T-Rowe Price International Equity Fund 2,118,474 2,217,278 4,335,752 ------------------------------------------------ 4,315,429 4,517,188 8,832,617 ---------- Total Investment Companies 8,832,617
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par Medium Term Notes - 0.68% Medium Term Notes - 0.68% 250,000 350,000 600,000 Norwest Corp. 500,000 500,000 1,000,000 Sears Roebuck Acceptance Corp. 500,000 500,000 1,000,000 Smithkline Beecham Corp. Temporary Investments - 0.67% Temporary Investments - 0.67% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund U.S. Government Agency Obligations - 17.74% U.S. Government Agency Obligations - 11.41% 213,885 81,472 295,357 FannieMae 157,337 157,337 314,674 FannieMae 331,781 265,841 597,621 FannieMae 223,548 331,781 555,329 FannieMae 750,000 750,000 1,500,000 FannieMae 750,000 500,000 1,250,000 FannieMae 196,201 65,400 261,601 FannieMae 1,000,000 1,000,000 2,000,000 Federal Home Loan Bank 59,298 29,649 88,947 Federal Home Loan Mortgage Corp. 740,513 533,169 1,273,683 Federal Home Loan Mortgage Corp. 186,497 556,461 742,958 Federal Home Loan Mortgage Corp. 9,180 9,180 FHLMC Pool #533301 2,163,715 2,163,715 FHLMC Pool #E60891 565,319 565,319 FHLMC Pool #G10304 2,527,532 2,527,532 FNCI Pool #400028 705,817 705,817 FNCL Pool #313349 3,766,993 3,766,993 FNCL Pool #313644 276,900 276,900 FNCL Pool #325602 1,012,811 1,012,811 FNCX Pool #323191 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 996,067 996,067 FNMA Pool #345858 3,459,249 3,459,249 FNMA Pool #405210 Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Coupon Maturity Medium Term Notes - 0.68% Medium Term Notes - 0.68% Norwest Corp. 6.550 12/01/06 253,125 354,375 607,500 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 1,003,750 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 1,023,750 ----------------------------------------------- 1,266,875 1,368,125 2,635,000 ---------- Total Medium Term Notes 2,635,000 Temporary Investments - 0.67% Temporary Investments - 0.67% Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 ----------------------------------------------- 2,607,858 2,607,858 ---------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 17.74% U.S. Government Agency Obligations - 11.41% FannieMae 6.500 01/01/06 212,415 80,911 293,326 FannieMae 7.500 06/01/03 161,074 161,074 322,148 FannieMae 7.000 06/01/04 338,935 271,573 610,508 FannieMae 7.000 06/01/04 228,368 338,935 567,303 FannieMae 5.750 06/15/05 753,064 753,064 1,506,128 FannieMae 6.480 06/28/04 776,816 517,877 1,294,693 FannieMae 7.500 10/01/11 202,209 67,403 269,612 Federal Home Loan Bank 5.375 03/02/01 999,717 999,717 1,999,434 Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 30,344 91,032 Federal Home Loan Mortgage Corp. 7.000 05/01/04 755,555 543,999 1,299,554 Federal Home Loan Mortgage Corp. 6.500 06/01/04 188,944 563,765 752,709 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par 5,986,299 5,986,299 FNMA Pool #405307 3,032,000 3,032,000 FNMA Pool #437420 43,670 43,670 GNMA Pool #146301 2,708,661 2,708,661 GNMA Pool #436800 2,416,539 2,416,539 GNMA Pool #448913 521,105 521,105 GNMA Pool #448958 934,958 934,958 GNMA Pool #449104 137,541 137,541 GNMA Pool #467788 151,393 151,393 GNSF Pool #231236 140,809 140,809 GNSF Pool #258039 186,580 186,580 GNSF Pool #276635 182,898 182,898 GNSF Pool #278853 693,689 693,689 GNSF Pool #780330 U.S. Government Obligations - 1.99% 17,400,000 17,400,000 U.S. Treasury Strips 2,700,000 2,700,000 U.S. Treasury Strips 6,150,000 6,150,000 U.S. Treasury Strips 1,200,000 1,200,000 U.S. Treasury Strips U.S. Treasury Obligations - 4.34% 99,000 99,000 U.S. Treasury Bill 57,000 57,000 U.S. Treasury Bill 34,000 34,000 U.S. Treasury Bill 7,000 7,000 U.S. Treasury Bill 5,000 30,000 35,000 U.S. Treasury Bill 101,000 77,000 178,000 U.S. Treasury Bill 560,000 698,000 1,258,000 U.S. Treasury Bill 20,000 11,000 31,000 U.S. Treasury Bill 9,000 26,000 35,000 U.S. Treasury Bill 123,000 57,000 180,000 U.S. Treasury Bill 40,000 40,000 U.S. Treasury Bill 20,000 22,000 42,000 U.S. Treasury Bill 12,000 12,000 24,000 U.S. Treasury Bill 1,205,000 2,069,000 3,274,000 U.S. Treasury Bill 90,000 45,000 135,000 U.S. Treasury Bill 150,000 150,000 U.S. Treasury Bond 1,023,000 1,023,000 U.S. Treasury Note 1,000,000 500,000 1,500,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Coupon Maturity FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 GNMA Pool #449104 8.000 06/15/28 975,278 975,278 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 ------------------------------------------------ 35,289,435 4,677,785 4,328,662 44,295,882 U.S. Government Obligations - 1.99% U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 ------------------------------------------------ 7,740,885 7,740,885 U.S. Treasury Obligations - 4.34% U.S. Treasury Bill 4.150 03/11/99 98,863 98,863 U.S. Treasury Bill 4.170 03/11/99 56,921 56,921 U.S. Treasury Bill 4.250 03/11/99 33,952 33,952 U.S. Treasury Bill 4.250 04/01/99 6,973 6,973 U.S. Treasury Bill 4.300 04/01/99 4,980 29,882 34,862 U.S. Treasury Bill 4.330 04/01/99 100,599 76,694 177,293 U.S. Treasury Bill 4.345 04/01/99 557,770 695,220 1,252,990 U.S. Treasury Bill 4.360 04/01/99 19,920 10,956 30,876 U.S. Treasury Bill 4.350 04/08/99 8,957 25,874 34,831 U.S. Treasury Bill 4.360 04/08/99 122,404 56,724 179,128 U.S. Treasury Bill 4.370 04/08/99 39,806 39,806 U.S. Treasury Bill 4.380 04/08/99 19,903 21,893 41,796 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941 23,882 U.S. Treasury Bill 4.470 04/08/99 1,199,014 2,058,724 3,257,738 U.S. Treasury Bill 4.490 04/08/99 89,551 44,776 134,327 U.S. Treasury Bond 7.500 11/15/16 177,507 177,507 U.S. Treasury Note 6.250 02/15/03 1,056,920 1,056,920 U.S. Treasury Note 6.250 02/15/07 1,052,437 526,218 1,578,655 U.S. Treasury Note 6.375 03/31/01 204,689 204,689
Asset Time Time Total Description Allocation Horizon II Horizon III Shares / Shares / Shares / Shares/ Par Par Par Par 1,225,000 2,050,000 3,275,000 U.S. Treasury Note 125,000 125,000 U.S. Treasury Note 250,000 250,000 U.S. Treasury Note 1,225,000 1,225,000 U.S. Treasury Note 400,000 400,000 U.S. Treasury Note 592,000 25,000 617,000 U.S. Treasury Note 175,000 175,000 U.S. Treasury Note 750,000 575,000 1,325,000 U.S. Treasury Note 650,000 650,000 U.S. Treasury Note Total Investments - 100% Description Asset Time Time Total Allocation Horizon II Horizon III Market Market Market Market Value Value Value Value Coupon Maturity U.S. Treasury Note 6.500 05/15/05 1,297,018 2,170,520 3,467,538 U.S. Treasury Note 6.875 05/15/06 135,718 135,718 U.S. Treasury Note 6.625 05/15/07 269,561 269,561 U.S. Treasury Note 5.625 05/15/08 1,248,359 1,248,359 U.S. Treasury Note 6.250 08/15/23 422,565 422,565 U.S. Treasury Note 6.250 08/31/00 601,268 25,391 626,659 U.S. Treasury Note 6.125 09/30/00 177,552 177,552 U.S. Treasury Note 6.500 10/15/06 799,505 612,954 1,412,459 U.S. Treasury Note 6.250 10/31/01 666,566 666,566 -------------------------------------------------- 9,291,343 7,557,643 16,848,986 ----------- Total US Government Agency Obligations 68,885,753 ----------- Total Investments - 100% 388,348,486
Time Horizon Funds Portfolio 2 Portfolio 3 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 2 and Portfolio 3 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 2 and Portfolio 3 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999. Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Net Assets (Unaudited) February 28, 1999
Time Horizon I Asset Adjustments Pro Forma II & III Allocation to Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) --------- --------- --------- --------- Total Investments $ 138,654 $ 287,005 $ -- $ 425,659 Other Assets and Liabilities: Receivable for investments sold -- -- -- -- Payable for investments purchased -- -- -- -- Other assets and liabilities, net ($ 2,691) 255 -- (2,436) ------------------------------------------------- --------- Total Other Assets and Liabilities (2,691) 255 -- (2,436) -------------------------------------------------- --------- Net Assets 135,963 287,260 -- 423,223 ================================================= ========= Net Assets by Class: A Shares (Investor A) 34,082 72,081 -- 106,163 B Shares (Investor B) 100,460 5,566 -- 106,026 K Shares (Investor C) 1,420 1,792 -- 3,212 SFR Shares (Seafirst) 207,821 -- 207,821 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------- --------- 135,963 287,260 -- 423,223 ------------------------------------------------- --------- Shares Outstanding by Class: A Shares (Investor A) 2,763 3,203 (1,248) 4,718 B Shares (Investor B) 8,202 248 (3,727) 4,723 K Shares (Investor C) 113 80 (50) 143 SFR Shares (Seafirst) 12,217 -- 12,217 Primary A -- -- -- -- Primary B -- -- -- -- ------------------------------------------------- --------- 11,078 15,748 (5,025) 21,801 ------------------------------------------------- --------- Net Asset Value per Share by Class: A Shares (Investor A) $ 12.34 $ 22.50 $ -- $ 22.50 B Shares (Investor B) $ 12.25 $ 22.45 $ -- $ 22.45 K Shares (Investor C) $ 12.57 $ 22.45 $ -- $ 22.45 SFR Shares (Seafirst) n/a $ 17.01 $ -- $ 17.01
Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Statement of Operations (Unaudited) February 28, 1999
Time Horizon I Asset Adjustments Pro Forma II & III Allocation to Pro Forma Combined (in 000's) (in 000's) (in 000's) (in 000's) ---------- ---------- ------------ ---------- INVESTMENT INCOME: Interest $ 4,205 $ 7,782 $ -- $ 11,987 Dividends $ 1,091 1,978 -- 3,069 ---------------------------------------------- -------- Total Investment Income 5,296 9,760 -- 15,056 ---------------------------------------------- -------- EXPENSES: Investment Advisory 568 1,089 1,043(a) 2,700 Administration 283 408 266(a) 957 Transfer Agent 293 133 (218)(b) 208 Custodian 97 117 (172)(b) 42 Legal and Audit Fees 166 20 (124)(b) 62 Registration & Filing 57 16 -- 73 Trustees' Fees 72 6 (58)(b) 20 Interest Expense -- -- -- -- Other expenses 330 100 (403)(b) 27 ---------------------------------------------- -------- Subtotal 1,866 1,889 334 4,089 ---------------------------------------------- -------- Shareholder Servicing and Distribution Fees A Shares (Investor A) 89 170 -- 259 B Shares (Investor B) 1,049 14 13(a) 1,076 K Shares (Investor C) 8 15 4(a) 27 SFR Shares (Seafirst) (504) -- 504 Primary A -- -- -- -- Primary B -- -- -- -- ---------------------------------------------- -------- 1,146 703 17 1,866 ---------------------------------------------- -------- Fees waived and/or reimbursed by investment advisor, administrator and/or distributor (512) (28) (90)(c) (630) Total Expenses 2,500 2,564 260 5,324 NET INVESTMENT INCOME 2,796 7,196 (260) 9,732 ---------------------------------------------- -------- NET REALIZED GAIN/(LOSS) ON INVESTMENTS: 18,768 30,046 -- 48,814 ---------------------------------------------- -------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: $ 21,564 $ 37,242 ($ 260) $ 58,546 ============================================== ========
Legend: (a) Reflects adjustment to the acquiring fund contractual fee obligation. (b) Adjustment reflects expected savings when the two funds become one. (c) Reflects adjustment to the level of the acquiring fund's voluntary expense reimbursement. (d) Increase in B shares is a result of Asset Allocation B shares not commencing operations until July 15, 1998. Note: Organizational costs of merged fund will be assumed by NBAI prior to the merger date. These costs have not been reflected in the proforma financial statements. See Notes to Pro Forma Financial Statements Nations Asset Allocation / Time Horizon Portfolios Pro Forma Combining Schedule of Investments (Unaudited) February 28, 1999
Asset Time Time Time Asset Time Time Time Allocation Horizon Horizon Horizon Total Description Allocation Horizon Horizon Horizon Total I II III I II III Shares / Shares / Shares / Shares / Shares / Market Market Market Market Market Par Par Par Par Par Value Value Value Value Value Common Stock - 51.94% Aerospace / Defense - 0.79% 300 500 800 Alliant Techsystems, Inc. 23,756 39,594 63,350 400 1,000 1,400 2,800 Cordant Technologies, Inc. 15,575 38,937 54,512 109,024 300 400 900 1,600 Goodrich (B.F.) Co. 10,237 13,650 30,712 54,599 500 1,100 1,600 3,200 Sundstrand Corp. 33,844 74,456 108,300 216,600 20,100 700 1,000 1,700 23,500 United Technologies Corp. 2,489,887 86,712 123,875 210,587 2,911,061 ----------------------------------------------------- 2,489,887 146,368 274,674 443,705 3,354,634 Airlines - 0.28% 300 800 1,000 2,100 Alaska Air Group, Inc. 15,206 40,550 50,687 106,443 200 100 300 Comair Holdings, Inc. 7,525 3,762 11,287 11,000 500 600 1,000 13,100 Delta Air Lines, Inc. 668,937 30,406 36,487 60,812 796,642 3,900 200 300 600 5,000 UAL Corp. 233,025 11,950 17,925 35,850 298,750 ----------------------------------------------------- 901,962 57,562 102,487 151,111 1,213,122 Apparel/Textile - 0.31% 1,500 2,600 4,100 Burlington Industries, Inc. 9,281 16,087 25,368 500 1,200 1,600 3,300 Cintas Corp. 35,375 84,900 113,200 233,475 1,100 2,400 3,500 7,000 Jones Apparel Group, Inc. 30,731 67,050 97,781 195,562 500 900 1,400 Kellwood Co. 12,781 23,006 35,787 8,000 700 1,300 2,100 12,100 Tommy Hilfiger Corp. 552,500 48,344 89,781 145,031 835,656 ----------------------------------------------------- 552,500 114,450 263,793 395,105 1,325,848 Automotive - 0.88% 14,600 600 900 1,500 17,600 General Motors Corp. 1,205,412 49,537 74,306 123,844 1,453,099 600 1,400 1,900 3,900 Arvin Industries, Inc. 21,750 50,750 68,875 141,375 26,300 1,000 1,500 2,600 31,400 Ford Motor Co. 1,559,919 59,312 88,969 154,212 1,862,412 400 900 1,200 2,500 Harley-Davidson, Inc. 23,125 52,031 69,375 144,531 1,200 2,700 4,100 8,000 Meritor Automotive, Inc. 19,050 42,862 65,087 126,999 500 900 1,400 Superior Industries International, Inc. 12,375 22,275 34,650 ----------------------------------------------------- 2,765,331 172,774 321,293 503,668 3,763,066 Banks/Savings & Loans - 4.29% 950 2,125 3,125 6,200 AmSouth Bancorporation 44,650 99,875 146,875 291,400 500 1,800 2,700 5,000 Astoria Financial Corp. 22,656 81,562 122,344 226,562 27,540 1,400 2,100 3,600 34,640 Banc One Corp. 1,480,275 75,250 112,875 193,500 1,861,900 39,600 1,600 2,400 4,000 47,600 Bank of New York Co., Inc. 1,383,525 55,900 83,850 139,750 1,663,025 43,000 1,600 2,300 4,000 50,900 Chase Manhattan Corp. 3,423,875 127,400 183,137 318,500 4,052,912 1,100 2,400 3,500 7,000 City National Corp. 35,475 77,400 112,875 225,750 293 556 849 Commerce Bancorp, Inc. 13,038 24,742 37,780 600 1,000 1,600 Cullen/Frost Bankers, Inc. 28,387 47,312 75,699 1,300 2,900 4,200 8,400 Dime Bancorp, Inc. 32,175 71,775 103,950 207,900 1,200 2,000 3,200 FirstFed Financial Corp. 20,325 33,875 54,200 62,700 2,200 3,200 5,600 73,700 Fleet Financial Group, Inc. 2,692,181 94,462 137,400 240,450 3,164,493 600 1,100 1,700 HUBCO, Inc. 19,687 36,094 55,781 24,900 1,000 1,400 2,400 29,700 Mellon Bank Corp. 1,683,862 67,625 94,675 162,300 2,008,462 16,800 400 1,000 1,700 19,900 National City Corp. 1,173,900 27,950 69,875 118,787 1,390,512 1,900 4,300 6,100 12,300 North Fork Bancorporation, Inc. 41,800 94,600 134,200 270,600
1,240 2,695 3,920 7,855 Old Kent Financial Corp. 54,405 118,243 171,990 344,638 12,800 12,800 PNC Bank Corp. 666,400 666,400 700 1,400 2,100 Trustmark Corp. 14,831 29,662 44,493 36,000 1,500 2,600 4,400 44,500 Wells Fargo Co. 1,323,000 55,125 95,550 161,700 1,635,375 ----------------------------------------------------- 13,827,018 734,873 1,417,085 2,298,906 18,277,882 Beverages - 1.35% 27,800 1,100 1,600 2,700 33,200 Anheuser-Busch Cos., Inc. 2,131,912 84,356 122,700 207,056 2,546,024 300 500 800 Canandaigua Brands, Inc. 16,012 26,687 42,699 29,000 1,100 1,600 2,700 34,400 Coca-Cola Co. 1,854,187 70,331 102,300 172,631 2,199,449 12,000 12,000 Coca-Cola Enterprises, Inc. 372,000 372,000 200 400 600 1,200 Coors, (Adolph) Co., Class B 11,912 23,825 35,737 71,474 11,000 400 600 1,000 13,000 PepsiCo, Inc. 413,875 15,050 22,575 37,625 489,125 ----------------------------------------------------- 4,771,974 181,649 287,412 479,736 5,720,771 Building Related/ Appliance - 0.35% 900 1,500 2,400 AptarGroup, Inc. 24,637 41,062 65,699 16,800 600 1,000 1,700 20,100 Centex Corp. 618,450 22,087 36,812 62,581 739,930 400 700 1,100 Hughes Supply, Inc. 8,075 14,131 22,206 1,100 1,800 2,900 M.D.C. Holdings, Inc. 19,594 32,062 51,656 500 1,800 2,800 5,100 Mohawk Industries, Inc. 16,250 58,500 91,000 165,750 900 1,600 2,500 Ryland Group, Inc. 22,950 40,800 63,750 1,000 2,300 3,200 6,500 Shaw Industries, Inc. 21,937 50,456 70,200 142,593 500 1,300 1,900 3,700 Southdown, Inc. 23,594 61,344 89,656 174,594 200 500 800 1,500 USG Corp. 10,025 25,062 40,100 75,187 ----------------------------------------------------- 618,450 93,893 307,430 481,592 1,501,365 Chemicals - 0.78% 900 2,000 2,800 5,700 Crompton & Knowles Corp. 16,650 37,000 51,800 105,450 400 100 500 Cytec Industries, Inc. 10,725 2,681 13,406 13,800 500 800 1,400 16,500 Dow Chemical Co. 1,357,575 49,187 78,700 137,725 1,623,187 11,000 500 600 1,100 13,200 Du Pont (E. I.) De Nemours & Co. 564,437 25,656 30,787 56,444 677,324 500 1,000 1,500 3,000 Ecolab, Inc. 19,937 39,875 59,812 119,624 600 2,200 3,300 6,100 GenCorp, Inc. 12,037 44,137 66,206 122,380 800 200 200 200 1,400 Rohm & Haas Co. 25,000 6,250 6,250 6,250 43,750 500 1,100 1,600 3,200 Schulman (A.), Inc. 8,250 18,150 26,400 52,800 600 1,100 1,700 Scotts Co., Class A 19,425 35,612 55,037 18,000 1,900 3,700 5,500 29,100 Solutia, Inc. 320,625 33,844 65,906 97,969 518,344 ----------------------------------------------------- 2,267,637 171,811 350,955 540,899 3,331,302 Commercial Services - 0.28% 1,100 2,400 3,500 7,000 ACNielsen Corp. 28,600 62,400 91,000 182,000 500 900 1,400 ADVO, Inc. 10,000 18,000 28,000 300 700 1,000 2,000 Convergys Corp. 5,194 12,119 17,312 34,625 10,900 600 900 1,600 14,000 Fluor Corp. 383,544 21,112 31,669 56,300 492,625 400 900 1,100 2,400 Galileo International, Inc. 20,200 45,450 55,550 121,200 700 1,300 2,000 Interim Services, Inc. 13,300 24,700 38,000 100 200 300 Lason Holdings, Inc. 5,419 10,837 16,256 600 1,100 1,700 MedQuist, Inc. 20,512 37,606 58,118 300 500 800 National Data Corp. 14,494 24,156 38,650 500 900 1,400 Personnel Group of America, Inc. 6,594 11,869 18,463 400 800 1,100 2,300 Robert Half International, Inc. 14,400 28,800 39,600 82,800 500 800 1,300 Valassis Communications, Inc. 24,000 38,400 62,400 ----------------------------------------------------- 383,544 89,506 274,757 425,330 1,173,137 Communications - 1.89% 900 2,000 3,000 5,900 American Power Conversion Corp. 32,287 71,750 107,625 211,662 23,900 1,250 1,800 3,025 29,975 Cisco Systems, Inc. 2,337,719 122,266 176,062 295,883 2,931,930 500 900 1,400 Level One Communications, Inc. 16,750 30,150 46,900
27,100 1,100 1,600 2,600 32,400 Lucent Technologies, Inc. 2,752,344 111,719 162,500 264,062 3,290,625 4,050 4,050 Sprint Corp. (PCS Group) 129,094 129,094 14,100 600 900 1,500 17,100 Tellabs, Inc. 1,128,881 48,037 72,056 120,094 1,369,068 800 1,400 2,200 Xircom, Inc. 27,200 47,600 74,800 ----------------------------------------------------- 6,348,038 314,309 526,318 865,414 8,054,079 Computer Hardware - 3.20% 39,100 1,500 2,300 3,900 46,800 Dell Computer Corp. 3,132,887 120,187 184,287 312,487 3,749,848 35,000 1,900 2,100 3,700 42,700 EMC Corp. 3,583,125 194,512 214,987 378,787 4,371,411 500 800 1,300 Hutchinson Technology, Inc. 15,562 24,900 40,462 5,900 200 400 600 7,100 International Business Machines Corp. 1,003,000 34,000 68,000 102,000 1,207,000 1,000 1,800 2,800 InterVoice, Inc. 10,875 19,575 30,450 600 1,300 1,800 3,700 Lexmark International Group, Inc. 61,912 134,144 185,737 381,793 600 1,400 2,000 4,000 NCR Corp. 24,562 57,312 81,875 163,749 18,000 700 1,100 1,700 21,500 Seagate Technology, Inc. 520,875 20,256 31,831 49,194 622,156 18,400 800 1,000 2,000 22,200 Solectron Corp. 822,250 35,750 44,687 89,375 992,062 16,300 600 1,000 1,600 19,500 Sun Microsystems, Inc. 1,586,194 58,387 97,312 155,700 1,897,593 450 950 1,350 2,750 Symbol Technologies, Inc. 23,850 50,350 71,550 145,750 400 800 1,200 Zebra Technologies Corp., Class A 10,325 20,650 30,975 ----------------------------------------------------- 10,648,331 573,416 919,672 1,491,830 13,633,249 Computer Services & Software - 3.40% 400 800 1,000 2,200 Adobe Systems, Inc. 16,100 32,200 40,250 88,550 300 600 900 Affiliated Computer Services, Inc 13,875 27,750 41,625 10,400 400 600 1,000 12,400 America Online, Inc. 924,950 35,575 53,362 88,937 1,102,824 600 1,000 1,600 American Management Systems, Inc. 20,025 33,375 53,400 300 600 900 1,800 BMC Software, Inc. 12,262 24,525 36,787 73,574 700 1,600 2,400 4,700 Cadence Design Systems, Inc. 16,844 38,500 57,750 113,094 800 1,400 2,200 CIBER, Inc. 20,100 35,175 55,275 400 900 1,200 2,500 Citrix Systems, Inc. 30,850 69,412 92,550 192,812 10,100 700 1,100 1,800 13,700 Compuware Corp. 564,969 39,156 61,531 100,687 766,343 300 700 1,000 2,000 Electronic Arts, Inc. 11,962 27,912 39,875 79,749 600 1,100 1,700 Macromedia, Inc. 18,337 33,619 51,956 300 500 800 Mercury Interactive Corp. 19,444 32,406 51,850 50,900 1,900 2,800 4,900 60,500 Microsoft Corp. 7,641,362 285,237 420,350 735,612 9,082,561 500 800 1,300 National Computer Systems, Inc. 16,016 25,625 41,641 750 1,650 2,500 4,900 Network Associates, Inc. 35,250 77,550 117,500 230,300 31,400 1,200 1,800 3,000 37,400 Oracle Corp. 1,754,475 67,050 100,575 167,625 2,089,725 500 1,100 1,600 3,200 Rational Software Corp. 14,844 32,656 47,500 95,000 600 1,300 1,900 3,800 Siebel Systems, Inc. 26,400 57,200 83,600 167,200 600 1,000 1,600 Sterling Software, Inc. 15,300 25,500 40,800 500 1,100 1,600 3,200 Symantec Corp. 9,031 19,869 28,900 57,800 ----------------------------------------------------- 10,885,756 600,561 1,138,739 1,851,023 14,476,079 Cosmetics & Toiletries - 1.58% 22,400 1,100 1,100 2,000 26,600 Avon Products, Inc. 932,400 45,787 45,787 83,250 1,107,224 8,600 300 500 900 10,300 Clorox Co. 1,017,487 35,494 59,156 106,481 1,218,618 1,100 2,500 3,600 7,200 Dial Corp. 32,106 72,969 105,075 210,150 15,700 600 900 1,600 18,800 Kimberly-Clark Corp. 741,825 28,350 42,525 75,600 888,300 30,700 1,200 1,800 3,000 36,700 Procter & Gamble Co. 2,747,650 107,400 161,100 268,500 3,284,650 ----------------------------------------------------- 5,439,362 249,137 381,537 638,906 6,708,942 Electrical Equipment - 1.53% 54,400 2,100 3,100 5,300 64,900 General Electric Co. 5,457,000 210,656 310,969 531,656 6,510,281 ----------------------------------------------------- 5,457,000 210,656 310,969 531,656 6,510,281 Electronic Components - 0.00% 200 100 300 Gentex Corp. 4,338 2,169 6,507 ----------------------------------------------------- 4,338 2,169 6,507
Energy Related - 0.70% 400 900 1,300 2,600 Allied Waste Industries, Inc. 7,800 17,550 25,350 50,700 800 1,300 2,100 Newfield Exploration Co. 13,000 21,125 34,125 1,200 2,000 3,200 Offshore Logistics, Inc. 10,462 17,437 27,899 30,400 1,200 1,800 3,000 36,400 PECO Energy Co. 1,077,300 42,525 63,787 106,312 1,289,924 26,000 1,200 1,800 3,100 32,100 Reliant Energy, Inc. 697,125 32,175 48,262 83,119 860,681 500 1,200 1,700 3,400 Tidewater, Inc. 9,406 22,575 31,981 63,962 21,300 1,700 3,200 5,000 31,200 Transocean Offshore, Inc. 439,312 35,062 66,000 103,125 643,499 ----------------------------------------------------- 2,213,737 126,968 241,636 388,449 2,970,790 Entertainment - 1.30% 200 400 600 Anchor Gaming, Inc. 8,013 16,025 24,038 29,500 1,200 1,800 3,000 35,500 Carnival Corp. 1,312,750 53,400 80,100 133,500 1,579,750 800 1,500 2,300 Hollywood Entertainment Corp. 21,950 41,156 63,106 800 1,200 1,800 3,800 King World Productions, Inc. 21,150 31,725 47,587 100,462 1,200 1,900 3,100 Musicland Stores Corp. 14,175 22,444 36,619 300 500 800 Polaris Industries, Inc. 8,475 14,125 22,600 48,600 1,700 2,500 4,400 57,200 Time Warner, Inc. 3,134,700 109,650 161,250 283,800 3,689,400 ----------------------------------------------------- 4,447,450 184,200 325,688 558,637 5,515,975 Financial Services - 2.33% 10,400 400 500 1,000 12,300 American Express Co. 1,128,400 43,400 54,250 108,500 1,334,550 400 800 1,200 AmeriCredit Corp. 4,450 8,900 13,350 600 1,200 1,800 Ameritrade Holding Corp. Class A 29,250 58,500 87,750 200 400 600 CCB Financial Corp. 10,387 20,775 31,162 19,200 850 1,150 1,950 23,150 Citigroup Inc. 1,128,000 49,937 67,562 114,562 1,360,061 300 400 700 CMAC Investment Corp. 12,394 16,525 28,919 600 1,300 1,800 3,700 Countrywide Credit Industries, Inc. 22,725 49,237 68,175 140,137 408 714 1,122 Delphi Financial Group, Inc. Class A 19,558 34,227 53,785 1,000 2,300 3,300 6,600 Edwards (A.G.), Inc. 32,562 74,894 107,456 214,912 23,400 900 1,300 2,300 27,900 Freddie Mac 1,377,675 52,987 76,537 135,412 1,642,611 700 1,200 1,900 Legg Mason, Inc. 19,819 33,975 53,794 19,600 800 1,100 2,000 23,500 Morgan Stanley Dean Witter Discover & Co. 1,773,800 72,400 99,550 181,000 2,126,750 22,800 1,000 1,450 2,450 27,700 Providian Financial Corp. 2,328,450 102,125 148,081 250,206 2,828,862 ----------------------------------------------------- 7,736,325 376,136 665,969 1,138,213 9,916,643 Food & Related - 0.92% 23,600 1,200 1,800 3,100 29,700 Conagra, Inc. 710,950 36,150 54,225 93,387 894,712 500 1,600 2,500 4,600 Earthgrains Co. 12,281 39,300 61,406 112,987 900 1,900 2,800 5,600 Flowers Industries, Inc. 21,937 46,312 68,250 136,499 11,800 700 1,000 1,700 15,200 Heinz (H.J.) Co. 642,362 38,106 54,437 92,544 827,449 1,000 2,300 3,300 6,600 IBP, Inc. 22,500 51,750 74,250 148,500 20,700 800 1,200 2,100 24,800 Quaker Oats Co. 1,130,737 43,700 65,550 114,712 1,354,699 1,000 2,800 4,000 7,800 Ralcorp Holdings, Inc. 17,812 49,875 71,250 138,937 10,100 10,100 Sara Lee Corp. 274,594 274,594 500 1,100 1,600 3,200 Vlasic Foods International 6,094 13,406 19,500 39,000 ----------------------------------------------------- 2,758,643 198,580 374,855 595,299 3,927,377 Hospital Management - 0.33% 300 600 900 Curative Health Services, Inc. 3,375 6,750 10,125 500 1,100 1,600 3,200 Lincare Holdings, Inc. 17,813 39,187 57,000 114,000 1,100 1,900 3,000 Mariner Post Acute Network 2,406 4,156 6,562 300 800 1,100 2,200 Omnicare, Inc. 7,181 19,150 26,331 52,662 300 600 900 1,800 PacifiCare Health Systems, Inc., Class B 21,675 43,350 65,025 130,050 179 313 492 Priority Healthcare Corp, Class B 6,970 12,187 19,157 15,300 600 1,000 1,600 18,500 United Healthcare Corp. 754,481 29,588 49,312 78,900 912,281 600 1,000 1,600 Universal Health Services, Inc., Class B 24,375 40,625 65,000 200 600 600 1,400 Wellpoint Health Networks, Inc. 15,775 47,325 47,325 110,425 ----------------------------------------------------- 754,481 92,032 235,450 338,299 1,420,262
Hospital Supply - 1.23% 600 1,000 1,600 ADAC Laboratories 10,725 17,875 28,600 24,800 1,500 2,700 4,400 33,400 Biomet, Inc. 909,850 55,031 99,056 161,425 1,225,362 22,400 900 1,100 1,900 26,300 Guidant Corp. 1,276,800 51,300 62,700 108,300 1,499,100 400 800 1,200 2,400 Hillenbrand Industries, Inc. 16,750 33,500 50,250 100,500 800 1,400 2,200 Integrated Health Services, Inc. 4,750 8,312 13,062 9,700 300 400 800 11,200 Johnson & Johnson Co. 828,137 25,613 34,150 68,300 956,200 15,600 400 600 900 17,500 Medtronic, Inc. 1,101,750 28,250 42,375 63,563 1,235,938 1,100 1,900 3,000 Owens & Minor, Inc. Holding Co. 14,025 24,225 38,250 300 600 900 Patterson Dental Co. 12,150 24,300 36,450 300 600 900 Safeskin Corp. 6,975 13,950 20,925 500 800 1,300 VISIX, Inc. 30,875 49,400 80,275 ----------------------------------------------------- 4,116,537 176,944 351,281 589,900 5,234,662 Insurance - 1.73% 1,200 2,700 4,000 7,900 Aflac, Inc. 52,950 119,137 176,500 348,587 38,600 1,400 1,900 3,700 45,600 Allstate Corp. 1,447,500 52,500 71,250 138,750 1,710,000 500 1,100 1,600 3,200 AMBAC Financial Group, Inc. 28,000 61,600 89,600 179,200 800 1,400 2,200 Capital Re Corp. 13,400 23,450 36,850 37,700 1,500 2,300 3,900 45,400 Conseco, Inc. 1,128,644 44,906 68,856 116,756 1,359,162 300 500 800 Enhance Financial Services Group, Inc. 7,106 11,844 18,950 22,400 800 1,200 2,200 26,600 Equitable Cos., Inc. 1,513,400 54,050 81,075 148,638 1,797,163 550 890 1,440 Fidelity National Financial, Inc. 11,000 17,800 28,800 1,000 1,700 2,700 First American Financial Corp. 23,437 39,844 63,281 800 1,500 2,300 Fremont General Corp. 15,800 29,625 45,425 25,300 1,000 1,500 2,600 30,400 Hartford Financial Services Group, Inc. 1,367,781 54,063 81,094 140,563 1,643,501 400 900 1,400 2,700 PMI Group, Inc. 17,250 38,812 60,375 116,437 ----------------------------------------------------- 5,457,325 303,719 592,567 993,745 7,347,356 Machinery - 0.35% 600 900 1,500 Applied Power, Inc. 14,475 21,713 36,188 400 900 1,300 2,600 Briggs & Stratton Corp. 19,525 43,931 63,456 126,912 300 500 800 Graco, Inc. 6,525 10,875 17,400 17,200 700 1,000 1,700 20,600 Ingersoll-Rand Co. 817,000 33,250 47,500 80,750 978,500 900 1,400 2,300 JLG Industries, Inc. 12,656 19,688 32,344 700 1,100 1,800 Manitowoc Co., Inc. 25,812 40,563 66,375 500 1,100 1,600 3,200 McDermott International, Inc. 9,969 21,931 31,900 63,800 500 1,000 1,500 Terex Corp. 12,813 25,625 38,438 500 1,200 1,700 3,400 Trinity Industries, Inc. 16,469 39,525 55,994 111,988 ----------------------------------------------------- 817,000 79,213 225,168 350,564 1,471,945 Metal Fabrication - 0.01% 700 800 1,500 Intermet Corp. 8,750 10,000 18,750 100 100 200 Quanex Corp. 1,750 1,750 3,500 ----------------------------------------------------- 10,500 11,750 22,250 Metals & Mining - 0.37% 8,000 600 800 1,400 10,800 Alcoa Inc. 324,000 24,300 32,400 56,700 437,400 600 1,200 1,700 3,500 Martin Marietta Materials, Inc. 30,788 61,575 87,231 179,594 400 800 1,200 Stillwater Mining Co. 9,175 18,350 27,525 31,300 1,300 1,400 2,500 36,500 USX-U.S. Steel Group, Inc. 792,281 32,906 35,438 63,281 923,906 ----------------------------------------------------- 1,116,281 87,994 138,588 225,562 1,568,425 Multi - Industry - 1.05% 15,700 600 900 1,600 18,800 AlliedSignal, Inc. 649,588 24,825 37,238 66,200 777,851 700 1,600 2,400 4,700 Crane Co. 19,206 43,900 65,850 128,956 900 1,500 2,400 Mascotech, Inc. 13,613 22,688 36,301 500 1,100 1,500 3,100 Pentair, Inc. 18,938 41,663 56,813 117,414 38,700 1,400 2,000 3,400 45,500 Tyco International Ltd. 2,880,731 104,213 148,875 253,088 3,386,907 ----------------------------------------------------- 3,530,319 167,182 285,289 464,639 4,447,429
Office Supplies - 0.03% 500 800 1,400 2,700 Avery-Dennison Corp. 26,844 42,950 75,163 144,957 ----------------------------------------------------- 26,844 42,950 75,163 144,957 Oil (Domestic) - 0.37% 600 1,200 1,800 3,600 Ashland, Inc. 26,700 53,400 80,100 160,200 800 1,300 2,100 Cabot Oil & Gas Corp. 8,750 14,219 22,969 500 900 1,400 Devon Energy Corp. 11,719 21,094 32,813 400 900 1,300 2,600 Murphy Oil Corp. 13,675 30,769 44,444 88,888 16,900 600 900 1,500 19,900 Sunoco Inc. 514,394 18,263 27,394 45,656 605,707 27,200 1,000 1,600 2,600 32,400 USX - Marathon Group 562,700 20,688 33,100 53,788 670,276 ----------------------------------------------------- 1,077,094 79,326 165,132 259,301 1,580,853 Oil (International) - 1.91% 18,500 800 1,100 1,400 21,800 Chevron Corp. 1,422,188 61,500 84,563 107,625 1,675,876 50,900 2,100 3,000 5,100 61,100 Exxon Corp. 3,388,031 139,781 199,688 339,469 4,066,969 23,900 1,000 1,500 2,500 28,900 Mobil Corp. 1,988,181 83,188 124,781 207,969 2,404,119 ----------------------------------------------------- 6,798,400 284,469 409,032 655,063 8,146,964 Paper & Forest Products - 0.31% 200 400 600 1,200 American Greetings Corp. 4,738 9,475 14,213 28,426 11,500 500 700 1,100 13,800 Fort James Corp. 343,563 14,938 20,913 32,863 412,277 800 1,800 2,600 5,200 Georgia Pacific Corp. 16,300 36,675 52,975 105,950 23,400 1,500 2,900 4,500 32,300 Owens-Illinois, Inc. 560,138 35,906 69,419 107,719 773,182 ----------------------------------------------------- 903,701 71,882 136,482 207,770 1,319,835 Pharmaceuticals - 4.90% 13,300 500 700 1,200 15,700 Allergan, Inc. 1,083,950 40,750 57,050 97,800 1,279,550 700 1,100 1,800 Alpharma, Inc. Class A 26,513 41,663 68,176 2,900 200 200 200 3,500 Bausch & Lomb, Inc. 174,906 12,063 12,063 12,063 211,095 1,000 2,200 3,200 6,400 Bergen Brunswig Corp. 24,438 53,763 78,200 156,401 400 800 1,200 Bindley Western Industries, Inc. 10,525 21,050 31,575 12,800 1,100 2,000 3,200 19,100 Biogen, Inc. 1,230,400 105,738 192,250 307,600 1,835,988 21,100 800 1,200 2,100 25,200 Bristol-Meyers Squibb Co. 2,657,281 100,750 151,125 264,469 3,173,625 11,300 1,247 2,343 3,527 18,417 Cardinal Health, Inc. 815,719 90,018 169,135 254,605 1,329,477 100 100 200 Immunex Corp. 14,150 14,150 28,300 24,400 1,000 1,500 2,500 29,400 Lilly (Eli)& Co. 2,310,375 94,688 142,031 236,719 2,783,813 300 600 900 Medimmune, Inc. 16,500 33,000 49,500 17,000 600 1,000 1,800 20,400 Merck & Co., Inc. 1,389,750 49,050 81,750 147,150 1,667,700 700 1,700 2,400 4,800 Mylan Laboratories, Inc. 19,119 46,431 65,550 131,100 12,700 500 700 1,200 15,100 Pfizer, Inc. 1,675,606 65,969 92,356 158,325 1,992,256 700 1,300 2,000 Roberts Pharmaceutical Corp. 15,838 29,413 45,251 43,000 2,200 3,200 5,600 54,000 Schering-Plough Corp. 2,405,313 123,063 179,000 313,250 3,020,626 36,200 900 1,300 2,300 40,700 Warner-Lambert Co. 2,500,063 62,156 89,781 158,844 2,810,844 600 1,600 2,400 4,600 Watson Pharmaceuticals, Inc. 28,988 77,300 115,950 222,238 ----------------------------------------------------- 16,243,363 816,790 1,427,561 2,349,801 20,837,515 Printing & Publishing - 0.97% 200 400 600 Consolidated Graphics, Inc. 12,150 24,300 36,450 8,700 400 500 900 10,500 McGraw-Hill Cos., Inc. 952,106 43,775 54,719 98,494 1,149,094 300 600 900 Metro Networks, Inc. 13,500 27,000 40,500 11,000 500 800 1,300 13,600 New York Times Co., Class A 341,000 15,500 24,800 40,300 421,600 300 700 1,000 2,000 Scholastic Corp. 14,775 34,475 49,250 98,500 22,500 800 1,200 2,200 26,700 Viacom, Inc., Class B 1,988,437 70,700 106,050 194,425 2,359,612 500 1,000 1,500 World Color Press, Inc. 12,406 24,813 37,219 ----------------------------------------------------- 3,281,543 144,750 258,100 458,582 4,142,975
Restaurants/Lodging - 0.33% 800 1,800 2,600 5,200 Bob Evans Farms, Inc. 17,250 38,813 56,063 112,126 800 1,800 2,500 5,100 Brinker International, Inc. 23,150 52,088 72,344 147,582 600 1,100 1,700 CEC Entertainment, Inc. 18,000 33,000 51,000 700 1,600 2,300 4,600 Darden Restaurants, Inc. 15,400 35,200 50,600 101,200 8,200 300 400 800 9,700 McDonald's Corp. 697,000 25,500 34,000 68,000 824,500 347 810 1,087 2,244 Promus Hotel Corp. 12,210 28,502 38,249 78,961 700 1,300 2,000 Ruby Tuesday, Inc. 13,038 24,213 37,251 1,800 3,100 4,900 Ryan's Family Steak Houses, Inc. 20,475 35,263 55,738 ----------------------------------------------------- 697,000 93,510 240,116 377,732 1,408,358 Retail - 3.04% 500 1,100 1,600 3,200 Abercrombie & Fitch Co., Class A 38,000 83,600 121,600 243,200 600 900 1,500 AnnTaylor Stores Corp. 22,688 34,031 56,719 700 1,500 2,200 4,400 Best Buy Co., Inc. 64,925 139,125 204,050 408,100 800 1,400 2,200 Cato Corp. Class A 7,600 13,300 20,900 29,900 1,100 1,750 2,900 35,650 Gap, Inc. 1,934,156 71,156 113,203 187,594 2,306,109 400 900 1,300 2,600 Hertz Corp. 15,925 35,831 51,756 103,512 24,000 900 1,300 2,300 28,500 Home Depot, Inc. 1,432,500 53,719 77,594 137,281 1,701,094 400 700 1,100 Linens 'N Things, Inc. 14,400 25,200 39,600 28,600 1,500 1,800 3,100 35,000 Lowe's Cos., Inc. 1,696,337 88,969 106,763 183,869 2,075,938 2,300 5,000 7,200 14,500 OfficeMax, Inc. 17,825 38,750 55,800 112,375 400 700 1,100 Pillowtex Corp. 9,700 16,975 26,675 500 900 1,400 Rent-A-Center, Inc. 12,688 22,838 35,526 700 2,200 3,400 6,300 Ross Stores, Inc. 32,025 100,650 155,550 288,225 20,600 1,500 2,500 3,900 28,500 TJX Cos., Inc. 588,388 42,844 71,406 111,394 814,032 200 300 500 United Stationers, Inc. 3,663 5,494 9,157 45,100 1,800 2,500 4,400 53,800 Wal-Mart Stores, Inc. 3,895,513 155,475 215,938 380,050 4,646,976 400 700 1,100 Zale Corp. 13,250 23,188 36,438 ----------------------------------------------------- 9,546,894 580,863 1,066,849 1,729,970 12,924,576 Retail Food/Drug - 0.57% 11,700 500 400 900 13,500 Albertson's, Inc. 666,900 28,500 22,800 51,300 769,500 400 600 1,000 Great Atlantic & Pacific Tea Co., Inc. 12,625 18,938 31,563 600 1,100 1,700 Richfood Holdings, Inc. 14,250 26,125 40,375 23,200 800 1,200 2,100 27,300 Safeway, Inc. 1,339,800 46,200 69,300 121,275 1,576,575 ----------------------------------------------------- 2,006,700 74,700 118,975 217,638 2,418,013 Semi-Conductors/ Instrumentation - 2.05% 600 1,200 1,800 3,600 Altera Corp. 29,175 58,350 87,525 175,050 200 800 1,100 2,100 Comverse Technology, Inc. 14,350 57,400 78,925 150,675 400 600 1,000 Electro Scientific Industries, Inc. 14,625 21,938 36,563 42,100 1,700 2,500 4,200 50,500 Intel Corp. 5,049,369 203,894 299,844 503,738 6,056,845 300 1,100 1,600 3,000 Lattice Semiconductor Corp. 11,963 43,863 63,800 119,626 1,000 2,200 3,000 6,200 Linear Technology Corp. 43,813 96,388 131,438 271,639 600 1,000 1,600 Plexus Corp. 19,613 32,688 52,301 200 700 1,300 2,200 PMC-Sierra, Inc. 14,175 49,613 92,138 155,926 24,800 900 1,400 2,400 29,500 Rockwell International Corp. 1,102,050 39,994 62,213 106,650 1,310,907 400 600 1,000 Sanmina Corp. 20,900 31,350 52,250 900 1,500 2,400 Vitesse Semiconductors Corp. 41,344 68,906 110,250 600 1,200 1,700 3,500 Xilinx, Inc. 41,850 83,700 118,575 244,125 ----------------------------------------------------- 6,151,419 399,214 847,853 1,337,671 8,736,157 Tobacco - 0.55% 49,700 1,900 3,000 5,500 60,100 Philip Morris Cos., Inc. 1,944,513 74,338 117,375 215,188 2,351,414 ----------------------------------------------------- 1,944,513 74,338 117,375 215,188 2,351,414 Transportation - 0.22% 17,100 700 1,100 2,100 21,000 Burlington Northern Santa Fe Corp 566,438 23,188 36,438 69,563 695,627 300 600 900 1,800 Kansas City Southern Industries, Inc. 14,025 28,050 42,075 84,150 600 1,000 1,600 M.S. Carriers, Inc. 16,200 27,000 43,200 200 200 Rollins Truck Leasing Corp. 2,125 2,125 100 100 200 Swift Transportation Co., Inc. 2,994 2,994 5,988 400 1,300 2,200 3,900 USFreightways Corp. 12,750 41,438 70,125 124,313 ----------------------------------------------------- 566,438 49,963 127,245 211,757 955,403
Utilities - Electric - 0.88% 1,300 2,900 4,100 8,300 Allegheny Energy, Inc. 38,594 86,094 121,719 246,407 600 1,300 1,900 3,800 BEC Energy 21,863 47,369 69,231 138,463 500 800 1,300 Calpine Corp. 16,375 26,200 42,575 800 1,900 2,700 5,400 CMS Energy Corp. 33,100 78,613 111,713 223,426 1,800 4,000 5,800 11,600 Conectiv Inc. 38,138 84,750 122,888 245,776 650 1,450 2,050 4,150 DQE, Inc. 24,822 55,372 78,284 158,478 30,500 1,100 1,700 2,900 36,200 Edison International 777,750 28,050 43,350 73,950 923,100 800 1,700 2,400 4,900 Energy East Corp. 42,900 91,163 128,700 262,763 400 900 1,300 2,600 FirstEnergy Corp. 11,700 26,325 38,025 76,050 18,500 700 1,000 1,700 21,900 FPL Group, Inc. 951,594 36,006 51,438 87,444 1,126,482 800 1,800 2,500 5,100 NIPSCO Industries, Inc. 20,750 46,688 64,844 132,282 900 2,100 3,000 6,000 Public Service Co. of New Mexico 13,837 32,288 46,125 92,250 600 1,100 1,700 TNP Enterprises, Inc. 17,550 32,175 49,725 300 500 800 United Illuminating Co. 13,313 22,188 35,501 ----------------------------------------------------- 1,729,344 309,760 690,688 1,023,486 3,753,278 Utilities - Gas & Pipeline - 0.40% 31,400 1,100 1,600 2,800 36,900 Coastal Corp. 1,004,800 35,200 51,200 89,600 1,180,800 1,200 2,700 3,900 7,800 El Paso Energy Corp. 43,725 98,381 142,106 284,212 800 1,400 2,200 Energen Corp. 11,200 19,600 30,800 500 1,200 1,800 3,500 NICOR, Inc. 19,094 45,825 68,738 133,657 200 400 600 Piedmont Natural Gas Co., Inc. 6,825 13,650 20,475 600 1,000 1,600 Southwest Gas Corp. 17,250 28,750 46,000 ----------------------------------------------------- 1,004,800 98,019 230,681 362,444 1,695,944
Utilities - Telephone - 4.18% 5,400 1,100 1,700 3,000 11,200 Ameritech Corp. 353,025 71,913 111,138 196,125 732,201 32,600 1,500 2,300 4,000 40,400 AT&T Corp. 2,677,275 123,188 188,888 328,500 3,317,851 1,100 1,600 2,800 5,500 Bell Atlantic Corp. 63,181 91,900 160,825 315,906 70,600 2,300 3,900 6,300 83,100 BellSouth Corp. 3,265,250 106,375 180,375 291,375 3,843,375 700 1,550 2,200 4,450 Century Telephone Enterprises, Inc. 43,225 95,713 135,850 274,788 400 800 1,100 2,300 Cincinnati Bell, Inc. 7,900 15,800 21,725 45,425 26,300 200 400 500 27,400 GTE Corp. 1,706,213 12,975 25,950 32,438 1,777,576 500 900 1,400 Inter-Tel, Inc. 8,813 15,863 24,676 56,424 1,100 1,800 3,100 62,424 MCI Worldcom, Inc. 4,654,980 90,750 148,500 255,750 5,149,980 8,100 200 300 400 9,000 Sprint Corp. 695,081 17,163 25,744 34,325 772,313 23,900 900 1,400 2,300 28,500 U S WEST, Inc. 1,274,169 47,981 74,638 122,619 1,519,407 ----------------------------------------------------- 14,625,993 584,651 967,459 1,595,395 17,773,498 ----------- Total Common Stock 221,083,118 Convertible Preferred Stock - 0.06% Convertible Preferred Stock - 0.06% 4,845 4,845 Sealed Air Corp. 249,518 249,518 ----------------------------------------------------- 249,518 249,518 ------- Total Convertible Preferred Stock 249,518
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par Corporate Bonds - 14.29% Building Products - 0.60% 1,350,000 1,350,000 Hanson Overseas B.V. Senior Notes 1,100,000 1,100,000 USG Corp. Senior Notes Chemicals - 0.35% 1,500,000 1,500,000 Praxair, Inc. Notes Computer Hardware - 0.24% 500,000 500,000 1,000,000 International Business Machines Corp. Containers - 0.25% 1,050,000 1,050,000 Crown Cork & Seal PLC Company Guarenteed Notes Financial Services - 6.73% 1,000,000 1,000,000 Associates Corp. of North America Debentures 525,000 600,000 375,000 1,500,000 Banc One Corp. 1,400,000 1,400,000 Banco Latinoamericano Bank Guarenteed Notes 144A 1,100,000 1,100,000 Bear Stearns Cos., Inc. 400,000 400,000 400,000 1,200,000 Bear Stearns Cos., Inc. 1,600,000 1,600,000 BHP Finance USA Ltd. Debentures 1,400,000 1,400,000 Capital One Bank Notes 1,400,000 1,400,000 Case Credit Corp. Notes 500,000 500,000 500,000 1,500,000 Chrysler Financial Corp. 200,000 200,000 100,000 500,000 Countrywide Home Loan 2,200,000 2,200,000 Finova Capital Corp. Notes 250,000 250,000 General Motors Acceptance Corp. 250,000 250,000 500,000 1,000,000 General Motors Acceptance Corp. 1,000,000 1,000,000 General Motors Acceptance Corp. 250,000 250,000 250,000 750,000 Household Finance Corp. 200,000 200,000 100,000 500,000 Household Netherlands BV 500,000 500,000 500,000 1,500,000 International Lease Finance Corp. 1,200,000 1,200,000 Lehman Brothers Holdings Co. Senior Notes Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Corporate Bonds - 14.29% Building Products - 0.60% Hanson Overseas B.V. Senior Notes 7.375 01/15/03 1,400,625 1,400,625 USG Corp. Senior Notes 9.250 09/15/01 1,170,125 1,170,125 ------------------------------------------------------- 2,570,750 2,570,750 Chemicals - 0.35% Praxair, Inc. Notes 6.750 03/01/03 1,501,875 1,501,875 ------------------------------------------------------- 1,501,875 1,501,875 Computer Hardware - 0.24% International Business Machines Corp. 6.375 06/15/00 505,000 505,000 1,010,000 ------------------------------------------------------- 505,000 505,000 1,010,000 Containers - 0.25% Crown Cork & Seal PLC Company Guarenteed Notes 6.750 12/15/03 1,050,000 1,050,000 ------------------------------------------------------- 1,050,000 1,050,000 Financial Services - 6.73% Associates Corp. of North America Debentures 6.950 11/01/18 1,031,250 1,031,250 Banc One Corp. 6.375 10/01/02 530,250 606,000 378,750 1,515,000 Banco Latinoamericano Bank Guarenteed Notes 144A 6.590 10/16/01 1,328,250 1,328,250 Bear Stearns Cos., Inc. 6.150 03/02/04 1,089,777 1,089,777 Bear Stearns Cos., Inc. 6.750 05/01/01 405,000 405,000 405,000 1,215,000 BHP Finance USA Ltd. Debentures 6.420 03/01/26 1,588,000 1,588,000 Capital One Bank Notes 7.000 04/30/01 1,412,250 1,412,250 Case Credit Corp. Notes 6.125 02/15/03 1,398,250 1,398,250 Chrysler Financial Corp. 6.950 03/25/02 514,375 514,375 514,375 1,543,125 Countrywide Home Loan 7.450 09/16/03 206,250 206,250 103,125 515,625 Finova Capital Corp. Notes 6.625 09/15/01 2,227,500 2,227,500 General Motors Acceptance Corp. 5.875 01/22/03 248,438 248,438 General Motors Acceptance Corp. 6.750 02/07/02 255,313 255,313 510,625 1,021,251 General Motors Acceptance Corp. 5.750 11/10/03 991,250 991,250 Household Finance Corp. 6.875 03/01/07 255,938 255,938 255,938 767,814 Household Netherlands BV 6.125 03/01/03 199,250 199,250 99,625 498,125 International Lease Finance Corp. 6.875 05/01/01 510,000 510,000 510,000 1,530,000 Lehman Brothers Holdings Co. Senior Notes 7.200 08/15/09 1,209,000 1,209,000
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par 350,000 350,000 700,000 Merrill Lynch & Co., Inc. 750,000 250,000 1,000,000 Morgan Stanley Dean Witter Discover & Co. 1,200,000 1,200,000 Newcourt Credit Group Notes 144A 1,250,000 1,250,000 Paine Webber Group, Inc. Senior Notes 275,000 275,000 Pitney Bowes Credit Corp. 1,100,000 1,100,000 PSEG Capital Corp. Notes 144A 1,300,000 1,300,000 Salomon Smith Barney Holdings, Inc. Notes 260,000 260,000 520,000 Transamerica Finance Corp. Food & Related - 0.50% 325,000 300,000 625,000 Hershey Foods Co. 1,500,000 1,500,000 Nabisco, Inc. Notes Funeral Services - 0.25% 1,100,000 1,100,000 Service Corp. International Senior Notes Instruments/Controls - 0.27% 1,200,000 1,200,000 Thermo Electron Corp. Notes Insurance - 0.60% 1,000,000 1,000,000 AON Corp. Notes 1,500,000 1,500,000 MCN Investment Corp. Notes Multi-Industry - 0.36% 500,000 500,000 500,000 1,500,000 Honeywell, Inc. Multi-Media - 0.87% 1,200,000 1,200,000 Cox Radio, Inc. Company Guarenteed Notes 1,250,000 1,250,000 News America Inc. Senior Notes 1,250,000 1,250,000 Time Warner Inc., Pass-Through Certificates 144A Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Merrill Lynch & Co., Inc. 6.000 01/15/01 351,313 351,313 702,626 Morgan Stanley Dean Witter Discover & Co. 8.100 06/24/02 795,000 265,000 1,060,000 Newcourt Credit Group Notes 144A 6.875 02/16/05 1,177,500 1,177,500 Paine Webber Group, Inc. Senior Notes 7.015 02/10/04 1,270,313 1,270,313 Pitney Bowes Credit Corp. 5.650 01/15/03 272,594 272,594 PSEG Capital Corp. Notes 144A 6.740 10/23/01 1,116,500 1,116,500 Salomon Smith Barney Holdings, Inc. Notes 6.250 05/15/03 1,293,500 1,293,500 Transamerica Finance Corp. 6.375 11/15/01 261,950 261,950 523,900 ------------------------------------------------------- 17,133,340 4,022,689 4,351,421 3,039,388 28,546,838 Food & Related - 0.50% Hershey Foods Co. 6.700 10/01/05 339,219 313,125 652,344 Nabisco, Inc. Notes 6.125 02/01/03 1,455,000 1,455,000 ------------------------------------------------------- 1,455,000 339,219 313,125 2,107,344 Funeral Services - 0.25% Service Corp. International Senior Notes 6.300 03/15/03 1,080,750 1,080,750 ------------------------------------------------------- 1,080,750 1,080,750 Instruments/Controls - 0.27% Thermo Electron Corp. Notes 7.625 10/30/08 1,149,000 1,149,000 ------------------------------------------------------- 1,149,000 1,149,000 Insurance - 0.60% AON Corp. Notes 7.400 10/01/02 1,043,750 1,043,750 MCN Investment Corp. Notes 6.890 01/16/02 1,524,375 1,524,375 ------------------------------------------------------- 2,568,125 2,568,125 Multi-Industry - 0.36% Honeywell, Inc. 6.750 03/15/02 511,875 511,875 511,875 1,535,625 ------------------------------------------------------- 511,875 511,875 511,875 1,535,625 Multi-Media - 0.87% Cox Radio, Inc. Company Guarenteed Notes 6.250 05/15/03 1,203,000 1,203,000 News America Inc. Senior Notes 6.625 01/09/08 1,259,375 1,259,375 Time Warner Inc., Pass-Through Certificates 144A 6.100 12/30/01 1,256,250 1,256,250 3,718,625 3,718,625
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par Oil & Gas - 0.87% 1,605,000 1,605,000 Coastal Corp. Notes 1,000,000 1,000,000 KN Energy, Inc. Senior Notes 1,000,000 1,000,000 Williams Companies., Inc. Notes Paper Products - 0.31% 1,250,000 1,250,000 James River Corp. Debentures Retail - 0.43% 1,200,000 1,200,000 Sears Roebuck Acceptance Corp. Notes 305,000 300,000 605,000 Wal-Mart Stores, Inc. Utilities - Electric - 0.54% 1,300,000 1,300,000 Consumer Energy Co. Bonds, Series B 265,000 145,000 590,000 1,000,000 Southern California Edison Note Utilities - Telephone - 1.12% 300,000 200,000 250,000 750,000 AT&T Corp. 1,200,000 1,200,000 Cable & Wireless Communications Notes 1,200,000 1,200,000 GTE Corp. Debentures 1,400,000 1,400,000 Worldcom, Inc. Senior Notes Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Oil & Gas - 0.87% Coastal Corp. Notes 8.125 09/15/02 1,711,331 1,711,331 KN Energy, Inc. Senior Notes 6.450 03/01/03 1,002,500 1,002,500 Williams Companies., Inc. Notes 6.125 02/01/01 1,000,000 1,000,000 ------------------------------------------------------- 3,713,831 3,713,831 Paper Products - 0.31% James River Corp. Debentures 8.375 11/15/01 1,325,000 1,325,000 ------------------------------------------------------- 1,325,000 1,325,000 Retail - 0.43% Sears Roebuck Acceptance Corp. Notes 6.000 03/20/03 1,192,500 1,192,500 Wal-Mart Stores, Inc. 7.250 06/01/13 330,544 325,125 655,669 ------------------------------------------------------- 1,192,500 330,544 325,125 1,848,169 Utilities - Electric - 0.54% Consumer Energy Co. Bonds, Series B 6.200 05/01/03 1,290,250 1,290,250 Southern California Edison Note 6.500 06/01/01 268,644 146,994 598,113 1,013,751 ------------------------------------------------------- 1,290,250 268,644 146,994 598,113 2,304,001 Utilities - Telephone - 1.12% AT&T Corp. 8.625 12/01/31 327,000 218,000 272,500 817,500 Cable & Wireless Communications Notes 6.375 03/06/03 1,209,000 1,209,000 GTE Corp. Debentures 9.100 06/01/03 1,333,500 1,333,500 Worldcom, Inc. Senior Notes 6.400 08/15/05 1,417,500 1,417,500 ------------------------------------------------------- 3,960,000 327,000 218,000 272,500 4,777,500 ---------- Total Corporate Bonds 60,807,433
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par Asset Backed Securities - 0.31% 102,053 81,642 183,695 CPS Auto Grantor Trust, Series 1997-3, Class A1 102,053 102,053 CPS Auto Trust, Series 1997-3, Class A1 400,000 350,000 250,000 1,000,000 First USA Credit Card Master Trust, Series 1997-6, Class A Collateralized Mortgage Obligations - 10.07% Collateralized Mortgage Obligations - 10.07% 175,000 175,000 300,000 650,000 Access Financial Mortgage Loan Trust, Series 1997-3, Class A 1,000,000 1,000,000 AESOP Funding II, Series 1997-1, Class A1,144A 400,000 300,000 275,000 975,000 American Express Master Trust, Series 1998-1, Class A 1,750,000 1,750,000 Asset Securitization Corp., Series 1997-D5, Class A1C 308,136 246,509 154,068 708,714 Banc One Auto Grantor Trust, Series 1997-B, Class A 500,000 500,000 250,000 1,250,000 Chase Credit Card Master Trust, Series 1997-2, Class A 500,000 500,000 250,000 1,250,000 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 1,030,773 1,030,773 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 1,300,000 1,300,000 Circuit City Credit Card Master Trust, Series 1995-1, Class A 1,715,000 1,715,000 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 500,000 500,000 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A 1,800,000 1,800,000 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 1,910,041 1,910,041 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 1,900,000 1,900,000 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 175,000 175,000 300,000 650,000 EQCC Home Equity Loan Trust, Series 1997-2, Class A 1,300,000 1,300,000 Fingerhut Master Trust, Series 1998-1, Class A 350,000 350,000 300,000 1,000,000 First Plus Home Improvement Loan Trust, Series 1996-3 Class A Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Asset Backed Securities - 0.31% CPS Auto Grantor Trust, Series 1997-3, Class A1 6.100 12/15/02 102,595 82,076 184,671 CPS Auto Trust, Series 1997-3, Class A1 6.100 12/15/02 102,595 102,595 First USA Credit Card Master Trust, Series 1997-6, Class A 6.420 03/17/05 407,000 356,125 254,375 1,017,500 ------------------------------------------------------- 509,595 458,720 336,451 1,304,766 ---------- Total Asset Backed Securities 1,304,766 Collateralized Mortgage Obligations - 10.07% Access Financial Mortgage Loan Trust, Series 1997-3, Class A 6.565 05/18/24 175,390 175,390 300,669 651,449 AESOP Funding II, Series 1997-1, Class A1,144A 6.220 10/20/01 1,005,990 1,005,990 American Express Master Trust, Series 1998-1, Class A 5.900 04/15/04 405,602 304,202 278,851 988,655 Asset Securitization Corp., Series 1997-D5, Class A1C 6.750 02/14/41 1,784,300 1,784,300 Banc One Auto Grantor Trust, Series 1997-B, Class A 6.290 07/20/04 309,864 247,891 154,932 712,687 Chase Credit Card Master Trust, Series 1997-2, Class A 6.300 04/15/03 505,837 505,837 252,918 1,264,592 Chase Manhattan Credit Card Master Trust, Series 1996-4, Class A 6.730 02/15/03 501,665 501,665 250,832 1,254,162 Chevy Chase Auto Receivables Trust, Series 1998-2, Class A 5.910 12/15/04 1,035,516 1,035,516 Circuit City Credit Card Master Trust, Series 1995-1, Class A 6.375 08/15/05 1,311,140 1,311,140 Commerical Mortgage Acceptance Corp., Series 1998-C1, Class A2 6.490 05/15/08 1,726,653 1,726,653 ContiMortgage Home Equity Loan Trust, Series 1998-1, Class A 6.280 01/15/13 504,878 504,878 Credit Suisse First Boston Mortgage Securities Corp., Series 1998-C1, Class A1B 6.480 05/17/08 1,789,191 1,789,191 Criimi Mae CMBS Corp., Series 1998-1, Class A1, 144A+ 5.697 10/20/01 1,880,794 1,880,794 Donaldson, Lufkin, Jenrette, Commerical Mortgage Corp., Series 1998-CG1, Class A1B 6.410 05/10/08 1,902,290 1,902,290 EQCC Home Equity Loan Trust, Series 1997-2, Class A 6.720 02/15/12 177,487 177,487 304,263 659,237 Fingerhut Master Trust, Series 1998-1, Class A 6.070 02/15/05 1,311,863 1,311,863 First Plus Home Improvement Loan Trust, Series 1996-3 Class A 7.600 09/20/14 361,742 361,742 310,065 1,033,549
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par 275,000 250,000 125,000 650,000 First Plus Home Loan Trust, Series 1997-1, Class A6 500,000 500,000 First Plus Home Loan Trust, Series 1998-2, Class A 2,000,000 2,000,000 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 1,600,000 1,600,000 General Growth Properties, Series 1, Class A2, 144A+ 2,075,000 2,075,000 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 2,350,000 2,350,000 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 750,000 750,000 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 1,850,000 1,850,000 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 303,675 227,756 227,756 759,187 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 469,530 469,530 939,060 Nomura Asset Securities Corp., Series 1998-D6, Class A 2,050,000 2,050,000 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 469,530 469,530 Normura Asset Securities Corp., Series 1998-D6,Class A1A 1,800,000 1,800,000 Pemex Corp., Series 144A 375,000 325,000 300,000 1,000,000 Premier Auto Trust, Series 1998-2, Class A 400,000 300,000 275,000 975,000 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 850,260 850,260 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 50,519,565 50,519,565 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 51,871,974 51,871,974 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation Investment Companies - 2.53% 70,100 125,900 131,800 327,800 T-Rowe Price Foreign Equity 50,500 145,800 152,600 348,900 T-Rowe Price International Equity Fund Total Investment Companies Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value First Plus Home Loan Trust, Series 1997-1, Class A6 6.950 12/10/15 268,596 244,178 122,089 634,863 First Plus Home Loan Trust, Series 1998-2, Class A 6.230 06/10/10 498,906 498,906 First Union-Lehman Brothers-Bank of America Trust, Series 1998-C2, Class A2 6.560 11/18/08 2,022,130 2,022,130 General Growth Properties, Series 1, Class A2, 144A+ 6.602 11/15/07 1,617,176 1,617,176 GMAC Commerical Mortgage Securities, Inc., Series 1997-C2, Class A3 6.566 11/15/07 2,100,761 2,100,761 Lehman Brothers Commercial Conduit Mortgage Trust, Series 1998-C1, Class A3 6.480 01/18/08 2,360,986 2,360,986 Mortgage Capital Funding, Inc., Series 1998-MC1, Class A2 6.663 01/18/08 754,309 754,309 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2 6.423 05/18/08 1,853,154 1,853,154 Navistar Financial Corp. Owner Trust, Series 1998-1, Class A 5.940 11/15/04 305,709 229,282 229,282 764,273 Nomura Asset Securities Corp., Series 1998-D6, Class A 6.280 03/15/30 472,516 472,516 945,032 Nomura Asset Securties Corp., Series 1998-D6, Class A1B 6.590 03/17/28 2,054,418 2,054,418 Normura Asset Securities Corp., Series 1998-D6,Class A1A 6.280 03/15/30 472,516 472,516 Pemex Corp., Series 144A 5.720 11/15/02 1,757,250 1,757,250 Premier Auto Trust, Series 1998-2, Class A 5.770 01/06/02 374,434 324,509 299,547 998,490 Sears Credit Acceptance Master Trust, Series 1998-1, Class A 5.800 08/15/05 397,077 297,807 272,990 967,874 UAF Auto Grantor Trust, Series 1998-A, Class A, 144A 6.100 05/17/04 852,386 852,386 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest Only Obligation 0.455 02/15/28 777,547 777,547 Vendee Mortgage Trust, Series 1998-3, Class 10, Interest Only Obligation 0.317 09/01/28 628,118 628,118 -------------------------------------------------------- 30,525,972 5,259,703 3,842,506 3,248,954 42,877,135 ---------- Total Collateralized Mortgage Obligations 42,877,135 Investment Companies - 2.53% T-Rowe Price Foreign Equity 1,223,245 2,196,955 2,299,910 5,720,110 T-Rowe Price International Equity Fund 733,765 2,118,474 2,217,278 5,069,517 -------------------------------------------------------- 1,957,010 4,315,429 4,517,188 10,789,627 ---------- Total Investment Companies 10,789,627
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par Medium Term Notes - 0.90% 175,000 250,000 350,000 775,000 Norwest Corp. 500,000 500,000 500,000 1,500,000 Sears Roebuck Acceptance Corp. 500,000 500,000 500,000 1,500,000 Smithkline Beecham Corp. Temporary Investments - 0.61% 1,303,929 1,303,929 Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund U.S. Government Agency Obligations - 19.29% U.S. Government Agency Obligations - 11.35% 213,885 213,885 81,472 509,242 FannieMae 157,337 157,337 157,337 472,011 FannieMae 165,890 331,781 265,841 763,512 FannieMae 48,335 223,548 331,781 603,663 FannieMae 750,000 750,000 750,000 2,250,000 FannieMae 750,000 750,000 500,000 2,000,000 FannieMae 392,401 196,201 65,400 654,002 FannieMae 1,200,000 1,000,000 1,000,000 3,200,000 Federal Home Loan Bank Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Medium Term Notes - 0.90% Norwest Corp. 6.550 12/01/06 177,188 253,125 354,375 784,688 Sears Roebuck Acceptance Corp. 6.150 11/15/05 501,875 501,875 501,875 1,505,625 Smithkline Beecham Corp. 6.625 10/01/01 511,875 511,875 511,875 1,535,625 -------------------------------------------------------- 1,190,938 1,266,875 1,368,125 3,825,938 ---------- Total Medium Term Notes 3,825,938 Temporary Investments - 0.61% Temporary Investment Cash Fund 1,303,929 1,303,929 Temporary Investment Fund 1,303,929 1,303,929 -------------------------------------------------------- 2,607,858 2,607,858 ---------- Total Temporary Investments 2,607,858 U.S. Government Agency Obligations - 19.29% U.S. Government Agency Obligations - 11.35% FannieMae 6.500 01/01/06 212,415 212,415 80,911 505,741 FannieMae 7.500 06/01/03 161,074 161,074 161,074 483,222 FannieMae 7.000 06/01/04 169,467 338,935 271,573 779,975 FannieMae 7.000 06/01/04 49,377 228,368 338,935 616,680 FannieMae 5.750 06/15/05 753,064 753,064 753,064 2,259,192 FannieMae 6.480 06/28/04 776,816 776,816 517,877 2,071,509 FannieMae 7.500 10/01/11 404,418 202,209 67,403 674,030 Federal Home Loan Bank 5.375 03/02/01 1,199,660 999,717 999,717 3,199,094
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par 59,298 59,298 29,649 148,246 Federal Home Loan Mortgage Corp. 207,344 740,513 533,169 1,481,026 Federal Home Loan Mortgage Corp. 186,497 556,461 742,958 Federal Home Loan Mortgage Corp. 9,180 9,180 FHLMC Pool #533301 2,163,715 2,163,715 FHLMC Pool #E60891 565,319 565,319 FHLMC Pool #G10304 2,527,532 2,527,532 FNCI Pool #400028 705,817 705,817 FNCL Pool #313349 3,766,993 3,766,993 FNCL Pool #313644 276,900 276,900 FNCL Pool #325602 1,012,811 1,012,811 FNCX Pool #323191 2,000,000 2,000,000 FNMA Pool #1997-M5 Class C 996,067 996,067 FNMA Pool #345858 3,459,249 3,459,249 FNMA Pool #405210 5,986,299 5,986,299 FNMA Pool #405307 3,032,000 3,032,000 FNMA Pool #437420 43,670 43,670 GNMA Pool #146301 2,708,661 2,708,661 GNMA Pool #436800 2,416,539 2,416,539 GNMA Pool #448913 521,105 521,105 GNMA Pool #448958 934,958 934,958 GNMA Pool #449104 137,541 137,541 GNMA Pool #467788 151,393 151,393 GNSF Pool #231236 140,809 140,809 GNSF Pool #258039 186,580 186,580 GNSF Pool #276635 182,898 182,898 GNSF Pool #278853 693,689 693,689 GNSF Pool #780330 Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value Federal Home Loan Mortgage Corp. 8.000 01/01/04 60,688 60,688 30,344 151,720 Federal Home Loan Mortgage Corp. 7.000 05/01/04 211,555 755,555 543,999 1,511,109 Federal Home Loan Mortgage Corp. 6.500 06/01/04 188,944 563,765 752,709 FHLMC Pool #533301 10.500 04/01/19 10,072 10,072 FHLMC Pool #E60891 6.500 07/01/10 2,181,296 2,181,296 FHLMC Pool #G10304 6.500 04/01/09 569,913 569,913 FNCI Pool #400028 6.500 02/01/13 2,545,699 2,545,699 FNCL Pool #313349 10.000 09/01/18 764,268 764,268 FNCL Pool #313644 7.000 08/01/27 3,815,258 3,815,258 FNCL Pool #325602 6.500 10/01/10 278,890 278,890 FNCX Pool #323191 6.500 06/01/05 1,026,104 1,026,104 FNMA Pool #1997-M5 Class C 6.740 08/25/07 2,054,370 2,054,370 FNMA Pool #345858 6.241 08/01/36 1,015,988 1,015,988 FNMA Pool #405210 7.000 05/01/28 3,503,570 3,503,570 FNMA Pool #405307 6.500 12/01/27 5,948,885 5,948,885 FNMA Pool #437420 7.000 08/01/28 3,070,847 3,070,847 GNMA Pool #146301 10.000 02/15/16 47,586 47,586 GNMA Pool #436800 8.000 07/15/27 2,825,472 2,825,472 GNMA Pool #448913 8.000 06/15/28 2,520,752 2,520,752 GNMA Pool #448958 8.000 09/15/27 543,578 543,578 GNMA Pool #449104 8.000 06/15/28 975,278 975,278 GNMA Pool #467788 8.000 04/15/28 143,473 143,473 GNSF Pool #231236 9.000 01/15/20 161,706 161,706 GNSF Pool #258039 9.000 01/15/20 150,402 150,402 GNSF Pool #276635 9.000 10/15/19 199,290 199,290 GNSF Pool #278853 9.000 11/15/19 195,358 195,358 GNSF Pool #780330 9.000 12/15/19 741,380 741,380 -------------------------------------------------------- 35,289,435 3,998,534 4,677,785 4,328,662 48,294,416
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par U.S. Government Obligations - 1.82% 17,400,000 17,400,000 U.S. Treasury Strips 2,700,000 2,700,000 U.S. Treasury Strips 6,150,000 6,150,000 U.S. Treasury Strips 1,200,000 1,200,000 U.S. Treasury Strips U.S. Treasury Obligations - 6.12% 99,000 99,000 U.S. Treasury Bill 57,000 57,000 U.S. Treasury Bill 34,000 34,000 U.S. Treasury Bill 7,000 7,000 U.S. Treasury Bill 5,000 30,000 35,000 U.S. Treasury Bill 101,000 77,000 178,000 U.S. Treasury Bill 560,000 698,000 1,258,000 U.S. Treasury Bill 20,000 11,000 31,000 U.S. Treasury Bill 9,000 26,000 35,000 U.S. Treasury Bill 123,000 57,000 180,000 U.S. Treasury Bill 40,000 40,000 U.S. Treasury Bill 101,000 20,000 22,000 143,000 U.S. Treasury Bill 12,000 12,000 24,000 U.S. Treasury Bill 1,809,000 1,205,000 2,069,000 5,083,000 U.S. Treasury Bill 165,000 90,000 45,000 300,000 U.S. Treasury Bill 150,000 150,000 U.S. Treasury Bond 500,000 500,000 U.S. Treasury Note Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value U.S. Government Obligations - 1.82% U.S. Treasury Strips 5.410 02/15/27 3,575,446 3,575,446 U.S. Treasury Strips 5.720 05/15/18 862,582 862,582 U.S. Treasury Strips 5.340 08/15/12 2,818,876 2,818,876 U.S. Treasury Strips 5.660 08/15/14 483,981 483,981 -------------------------------------------------------- 7,740,885 7,740,885 U.S. Treasury Obligations - 6.12% U.S. Treasury Bill 4.150 03/11/99 98,863 98,863 U.S. Treasury Bill 4.170 03/11/99 56,921 56,921 U.S. Treasury Bill 4.250 03/11/99 33,952 33,952 U.S. Treasury Bill 4.250 04/01/99 6,973 6,973 U.S. Treasury Bill 4.300 04/01/99 4,980 29,882 34,862 U.S. Treasury Bill 4.330 04/01/99 100,599 76,694 177,293 U.S. Treasury Bill 4.345 04/01/99 557,770 695,220 1,252,990 U.S. Treasury Bill 4.360 04/01/99 19,920 10,956 30,876 U.S. Treasury Bill 4.350 04/08/99 8,957 25,874 34,831 U.S. Treasury Bill 4.360 04/08/99 122,404 56,724 179,128 U.S. Treasury Bill 4.370 04/08/99 39,806 39,806 U.S. Treasury Bill 4.380 04/08/99 100,508 19,903 21,893 142,304 U.S. Treasury Bill 4.450 04/08/99 11,941 11,941 23,882 U.S. Treasury Bill 4.470 04/08/99 1,800,015 1,199,014 2,058,724 5,057,753 U.S. Treasury Bill 4.490 04/08/99 164,177 89,551 44,776 298,504 U.S. Treasury Bond 7.500 11/15/16 177,507 177,507 U.S. Treasury Note 5.250 01/31/01 500,971 500,971
Asset Time Time Time Allocation Horizon Horizon Horizon Total Description I II III Shares / Shares / Shares / Shares / Shares / Par Par Par Par Par 690,000 1,023,000 1,713,000 U.S. Treasury Note 1,000,000 1,000,000 500,000 2,500,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note 750,000 750,000 U.S. Treasury Note 1,225,000 2,050,000 3,275,000 U.S. Treasury Note 125,000 125,000 U.S. Treasury Note 250,000 250,000 U.S. Treasury Note 425,000 1,225,000 1,650,000 U.S. Treasury Note 775,000 775,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note 400,000 400,000 U.S. Treasury Note 902,000 592,000 25,000 1,519,000 U.S. Treasury Note 965,000 175,000 1,140,000 U.S. Treasury Note 600,000 750,000 575,000 1,925,000 U.S. Treasury Note 650,000 650,000 U.S. Treasury Note 200,000 200,000 U.S. Treasury Note Total US Government Agency Obligations Total Investments - 100% Asset Time Time Time Allocation Horizon Horizon Horizon Total I II III Market Market Market Market Market Description Coupon Maturity Value Value Value Value Value U.S. Treasury Note 6.250 02/15/03 712,879 1,056,920 1,769,799 U.S. Treasury Note 6.250 02/15/07 1,052,437 1,052,437 526,218 2,631,092 U.S. Treasury Note 6.375 03/31/01 204,689 204,689 U.S. Treasury Note 6.375 05/15/99 752,553 752,553 U.S. Treasury Note 6.500 05/15/05 1,297,018 2,170,520 3,467,538 U.S. Treasury Note 6.875 05/15/06 135,718 135,718 U.S. Treasury Note 6.625 05/15/07 269,561 269,561 U.S. Treasury Note 5.625 05/15/08 433,104 1,248,359 1,681,463 U.S. Treasury Note 6.750 05/31/99 778,715 778,715 U.S. Treasury Note 6.625 06/30/01 206,259 206,259 U.S. Treasury Note 6.250 08/15/23 422,565 422,565 U.S. Treasury Note 6.250 08/31/00 916,122 601,268 25,391 1,542,781 U.S. Treasury Note 6.125 09/30/00 979,072 177,552 1,156,624 U.S. Treasury Note 6.500 10/15/06 639,604 799,505 612,954 2,052,063 U.S. Treasury Note 6.250 10/31/01 666,566 666,566 U.S. Treasury Note 5.875 11/15/99 201,350 201,350 -------------------------------------------------------- 9,237,766 9,291,343 7,557,643 26,086,752 ---------- Total US Government Agency Obligations 82,122,053 ---------- Total Investments - 100% 425,659,446
Time Horizon Funds Portfolio 1 Portfolio 2 Portfolio 3 Nations Asset Allocation Fund Notes to Pro Forma Combining Financial Statements (unaudited) 1. Basis of Combination Time Horizon Funds and Nations Institutional Reserves (the "Trust") are registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as open-end investment companies. The unaudited Pro Forma Combining Statement of Net Assets assumes the exchange described in the next paragraph occurred as of February 28, 1999 and the unaudited Pro Forma Combining Statement of Operations assumes the exchange occurred as of March 1,1998. These statements have been derived from books and records utilized in calculating daily net asset value of each fund at February 28, 1999 and for the twelve month period then ended. The pro forma statements give effect to the proposed transfer of the assets and stated liabilities of the Time Horizon Funds Portfolio 1, Portfolio 2 and Portfolio 3 in exchange for shares of Nations Asset Allocation Fund. Under generally accepted accounting principles, the historical cost of investment securities will be carried forward to the surviving entity and the results of operations of the Time Horizon Funds Portfolio 1, Portfolio 2 and Portfolio 3 for pre-combination periods will not be restated. The pro forma statements do not reflect the expenses of either fund in carrying out its obligations under the proposed Agreement and Plan of Reorganization. The unaudited Pro Forma combining Financial Statements should be read in conjunction with the historical financial statements of the funds incorporated by reference in the Statement of Additional Information. 2. Pro Forma Operations Pro forma operating expenses include the actual expenses of each fund and the combined fund, with certain expenses adjusted to reflect the expected expenses of the combined entity. The investment advisory and administration fees have been calculated for the combined fund based on the contractual rates expected to be in effect for the Nations Asset Allocation Fund at the time of the Reorganization at the combined level of average net assets for the twelve month period ended February 28, 1999. NATIONS INSTITUTIONAL RESERVES ONE BANK OF AMERICA PLAZA 33RD FLOOR CHARLOTTE, NC 28255 1-800-626-2275 FORM N-14 PART C OTHER INFORMATION Item 15. Indemnification. --------------- Article VIII of the Agreement and Declaration of Trust filed as Exhibit 1 to the Registration Statement is incorporated by reference. Indemnification of Registrant's administrators, principal underwriter, custodian and transfer agent is provided for, respectively, in the: 1. Co-Administration Agreement with Stephens Inc. and NationsBank Advisors, Inc.; 2. Distribution Agreement with Stephens Inc.; 3. Custody Agreement with The Bank of New York; and 4. Transfer Agency Agreement with First Data Investor Services Group, Inc. Insofar as indemnification for liabilities arising under the Securities Act of 1933 may be permitted to trustees, officers and controlling persons of the Registrant by the Registrant pursuant to the Agreement and Declaration of Trust or otherwise, the Registrant is aware that in the opinion of the Securities and Exchange Commission, such indemnification is against public policy as expressed in the Act and, therefore, is unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the Registrant of expenses incurred or paid by trustees, directors, officers or controlling persons of the Registrant in connection with the successful defense of any act, suit or proceeding) is asserted by such trustees, officers or controlling persons in connection with the shares being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issues. Item 16. Exhibits. --------- All references to the "Registration Statement" in the following list of Exhibits refer to the Registrant's Registration Statement on Form N-1A (File Nos. 33-33144;811-6030). All references to the "Time Horizon Registration Statement" in the following list of Exhibits refer to the Time Horizon Funds' Registration Statement on Form N-1A (File Nos. 33-91448; 811-9024 ). EXHIBIT NUMBER DESCRIPTION 1
(1) Declaration of Trust date January 22, 1990, is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (2) By-Laws dated January 22, 1990, are incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (3) Not Applicable. (4) Form of Agreement and Plan of Reorganization, filed herewith as Appendix II to the Combined Prospectus/Proxy Statement. (5) Not Applicable. (6)(a) Investment Advisory Agreement with NationsBanc Advisors, Inc. incorporated by reference to Post-Effective Amendment No. 17. (6)(b) Sub-Advisory Agreement with TradeStreet Investment Associates, Inc. incorporated by reference to Post-Effective Amendment No. 17. (7) Distribution Agreement with Stephens, Inc. incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (8) Not Applicable. (9) Custody Agreement with The Bank of New York incorporated by reference to Post-Effective Amendment No. 20. (10)(a) Shareholder Servicing Plan for Adviser Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(b) Form of Shareholder Servicing Agreement for Adviser Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(c) Form of Shareholder Servicing Plan for Market Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(d) Shareholder Servicing Agreement for Market Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(e) Shareholder Servicing Plan for Liquidity Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(f) Distribution Plan for Liquidity Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998.
2
(10)(g) Distribution Plan for Market Class Shares incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(h) Form of Brokerage Agreement, dated November 18, 1994, is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (10)(i) Transfer Agency and Registrar Agreement with First Data Investor Services Group, Inc., is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (11) Opinion and Consent of Morrison & Foerster LLP, filed herewith. (12) See Item 17(3) of this Part C. (13)(a) Administration Agreement with Stephens Inc., dated May 1, 1994, is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (13)(b) Co-Administration Agreement with The Boston Company Advisors, Inc., dated May 1, 1994, is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (14) Consent of Independent Accountants- PricewaterhouseCoopers LLP, filed herewith. (15) Not Applicable. (16) Powers of Attorney, filed herewith. (17)(a) Plan entered into by Registrant pursuant to Rule 18f-3 under the Investment Company Act of 1940, dated April 12, 1995, is incorporated by reference to Post-Effective Amendment No. 22, filed on August 27, 1998. (17)(b) Form of Proxy Ballot, filed herewith. 17(c)(i) Prospectus for the Investor A, Investor B, and Investor C Shares of Nations Asset Allocation Fund, dated May 21, 1999, is incorporated by reference to Post-Effective Amendment No. 24 to the Reserves' Registration Statement, as filed on February 17, 1999 17(c)(ii) Statement of Additional Information for the Investor Shares of Nations Asset Allocation Fund, dated September 1, 1998, as supplemented, on May 21, 1999, filed as part of Post-Effective Amendment No. 24 to Reserves' Registration Statement on Form N-1A filed on February 17, 1999.
3
17(c)(iv) Annual Report for Pacific Horizon Asset Allocation Fund, predecessor to Nations Asset Allocation Fund, dated February 28, 1999. 17(c)(v) Prospectus for the Portfolio 1, Portfolio 2, and Portfolio 3 of the Time Horizon Funds, dated November 1, 1998, filed as part of the Post-Effective Amendment No. 6 on September 6, 1998. 17(c)(vi) Statement of Additional Information for the Portfolio 1, Portfolio 2, and Portfolio 3 of the Time Horizon Funds, dated November 1, 1998, filed on September 6, 1998. 17(c)(vii) Annual Report for Portfolio 1, Portfolio 2, and Portfolio 3 of the Time Horizon Funds, dated June 30, 1998.
Item 17. Undertakings. ------------ (1) Registrant agrees that, prior to any public reoffering of the securities registered through the use of a prospectus which is a part of this registration statement by any person or party who is deemed to be an underwriter within the meaning of Rule 145(c) of the Securities Act of 1933, the reoffering prospectus will contain the information called for by the applicable registration form for the reofferings by persons who may be deemed underwriters, in addition to the information called for by the other items of the applicable form. (2) The undersigned registrant agrees that every prospectus that is filed under paragraph (1) above will be filed as part of an amendment to the registration statement and will not be used until the amendment is effective, and that, in determining any liability under the Securities Act of 1933, each post-effective amendment shall be deemed to be a new registration statement for the securities offered therein, and the offering of the securities at that time shall be deemed to be the initial bona fide offering of them. (3) The undersigned Registrant agrees to file, by post-effective amendment, an opinion of counsel or a copy of an IRS ruling supporting the tax consequences of the Reorganization within a reasonable time after receipt of such opinion or ruling. 4 SIGNATURES Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly casued this Registration Statement on N-14 to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Little Rock, State of Arkansas on the 13th day of May, 1999. NATIONS INSTITUTIONAL RESERVES By: * ---------------------------------- A. Max Walker President and Chairman of the Board of Trustees By: /s/ Richard H. Blank, Jr. ---------------------------------- Richard H. Blank, Jr. *Attorney-in-Fact Pursuant to the requirements of the Securities Act of 1933, this Registration Statement on Form N-14 has been signed below by the following persons in the capacities and on the date indicated:
SIGNATURES TITLE DATE * President and Chairman May 13, 1999 - ---------------------------------------- of the Board of Trustees (A. Max Walker) (Principal Executive Officer) - ---------------------------------------- Treasurer and Secretary May 13, 1999 (Richard H. Blank, Jr.) (Principal Financial and Accounting Officer) * Trustee May 13, 1999 - ---------------------------------------- (Edmund L. Benson, III) * Trustee May 13, 1999 - ---------------------------------------- (James Ermer) * Trustee May 13, 1999 - ---------------------------------------- (William H. Grigg) * Trustee May 13, 1999 - ---------------------------------------- (Thomas F. Keller) * Trustee May 13, 1999 - ---------------------------------------- (Carl E. Mundy, Jr.) * Trustee May 13, 1999 - ---------------------------------------- (Charles B. Walker) * Trustee May 13, 1999 - ---------------------------------------- (Thomas S. Word) * Trustee May 13, 1999 - ---------------------------------------- (James B. Sommers)
/s/ Richard H. Blank, Jr. - ----------------------------------------- Richard H. Blank, Jr. *Attorney-in-Fact NATIONS INSTITUTIONAL RESERVES FILE NOS. 33-33144; 811-6030 Exhibit Number Description - -------------- ----------- Exh.-99.11 Opinion and Consent of Morrison & Foerster LLP Exh.-99.14 Consent of PricewaterhouseCoopers LLP Exh.-99.16 Powers of Attorney Exh.-99.17 Form of Proxy Ballot EX-99 2 EXHIBIT 99.11 EXH.99.11 --------- [MORRISON & FOERSTER LLP LETTERHEAD] May 20, 1999 Nations Institutional Reserves One Bank of America Plaza Charlotte, NC 28255 Re: Units of Beneficial Interest of Nations Institutional Reserves Ladies/Gentlemen: We refer to the Registration Statement on Form N-14 (the "Registration Statement") of Nations Institutional Reserves ("Reserves") relating to the registration of an indefinite number of units of beneficial interest (the "Shares"), of certain Funds of Reserves (the "Funds"). We have been requested by Reserves to furnish this opinion as Exhibit 11 to the Registration Statement. We have examined documents relating to the organization of Reserves and the authorization and issuance of the Shares. We have also made such inquiries of Reserves and examined such questions of law as we have deemed necessary for the purpose of rendering the opinion set forth herein. We have assumed the genuineness of all signatures and the authenticity of all items submitted to us as originals and the conformity with originals of all items submitted to us as copies. Based upon and subject to the foregoing, we are of the opinion that: The issuance of the Shares by Reserves has been duly and validly authorized by all appropriate action and, assuming delivery in accordance with the description set forth in the Combined Proxy Statement/Prospectus included in the Registration Statement, the Shares will be legally issued, fully paid and nonassessable by Reserves. We consent to the inclusion of this opinion as an exhibit to the Registration Statement. Nations Institutional Reserves May 20, 1999 Page Two In addition, we hereby consent to the use of our name and to the description of advice rendered by our firm under the headings "The Consolidation--Federal Income Tax Considerations" in the Combined Proxy Statement/Prospectus, under the heading "How The Funds Are Managed" in the Prospectuses, and under the heading "Counsel" in the Statement of Additional Information, which are incorporated by reference into the Registration Statement. Very truly yours, /s/ MORRISON & FOERSTER LLP MORRISON & FOERSTER LLP EX-99 3 EXHIBIT 99.14 CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the incorporation by reference in the Combined Proxy Statement/Prospectus constituting part of this Registration Statement on Form N-14 (the "Registration Statement") of our report dated August 14, 1998, relating to the financial statements and financial highlights appearing in the June 30, 1998 Annual Report of Time Horizon Portfolio 1, Time Horizon Portfolio 2, and Time Horizon Portfolio 3 (portfolios of Time Horizon Funds, hereafter referred to as the "Funds") which financial statements and financial highlights are also incorporated by reference into the Combined Proxy Statement/Prospectus and included in the Registration Statement. We further consent to the incorporation by reference into the Combined Proxy Statement/Prospectus constituting part of this Registration Statement on Form N-14 of our report dated April 22, 1999, relating to the financial statements and financial highlights appearing in the February 28, 1999 Annual Report of Pacific Horizon Asset Allocation Fund (a portfolio of Pacific Horizon Funds, Inc., hereafter referred to as the "Fund") which financial statements and financial highlights are also incorporated by reference into the Combined Proxy Statement/Prospectus and included in the Registration Statement. We further consent to the incorporation by reference in the Prospectus and Statement of Additional Information of the Fund dated September 1, 1998, of our report dated April 21, 1998, relating to the financial statements and financial highlights appearing in the February 28, 1998 Annual Report of the Fund, which Prospectus and Statement of Additional Information are also incorporated by reference in the Registration Statement. We further consent to the incorporation by reference in the Prospectus and Statement of Additional Information of the Funds dated November 1, 1998, of our report dated August 14 , 1998, relating the financial statements and financial highlights appearing in the June 30, 1998 Annual Report of the Funds, which Prospectus and Statement of Additional Information are also incorporated by reference in the Registration Statement. We further consent to the references to us under the headings "Financial Statements," "Other Service Providers for Time Horizon and Nations," and in paragraphs 5.2. e. and 7.4 of Appendix I of the Agreement and Plan of Reorganization appearing in such Combined Proxy Statement/Prospectus. PricewaterhouseCoopers LLP New York, New York May 18, 1999 EX-99 4 EXHIBIT 99.16 EXH. 99.16 ---------- POWER OF ATTORNEY ----------------- Edmund L. Benson, III, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ Edmund L. Benson, III ------------------------- Edmund L. Benson, III EXH. 99.16 ---------- POWER OF ATTORNEY ----------------- James Ermer, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ James Ermer --------------- James Ermer EXH.99.16 ---------- POWER OF ATTORNEY ----------------- William H. Grigg, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ William H. Grigg -------------------- William H. Grigg EXH.99.16 ---------- POWER OF ATTORNEY ----------------- Thomas F. Keller, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ Thomas F. Keller -------------------- Thomas F. Keller EXH.99.16 ---------- POWER OF ATTORNEY ----------------- A. Max Walker, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as an officer of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ A. Max Walker ----------------- A. Max Walker EXH.99.16 ---------- POWER OF ATTORNEY ----------------- Charles B. Walker, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ Charles B. Walker --------------------- Charles B. Walker EXH.99.16 ---------- POWER OF ATTORNEY ----------------- Thomas S. Word, Jr., whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as a trustee of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ Thomas S. Word, Jr. ----------------------- Thomas S. Word, Jr. EXH.99.16 ---------- POWER OF ATTORNEY ----------------- Carl E. Mundy, Jr., whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as an officer of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ Carl E. Mundy, Jr. ---------------------- Carl E. Mundy, Jr. EXH.99.16 ---------- POWER OF ATTORNEY ----------------- James B. Sommers, whose signature appears below, does hereby constitute and appoint R. Gregory Feltus, Richard H. Blank, Jr., Robert M. Kurucza, Marco E. Adelfio and Steven G. Cravath, each individually, his true and lawful attorneys and agents, with power of substitution or resubstitution, to do any and all acts and things and to execute any and all instruments which said attorneys and agents, each individually, may deem necessary or advisable or which may be required to enable Nations Institutional Reserves (the "Trust") to comply with the Investment Company Act of 1940, as amended, and the Securities Act of 1933, as amended (the "1933 Act"), and any rules, regulations or requirements of the Securities and Exchange Commission in respect thereof, in connection with the filing and effectiveness of the Trust's Registration Statement(s) on Form N-14 pursuant to the 1933 Act, and to qualify or register for sale any securities in any state including specifically, but without limiting the generality of the foregoing, the power and authority to sign, in the name and on behalf of the undersigned as an officer of the Trust, such Registration Statement(s), and any and all amendments thereto, filed with the Securities and Exchange Commission under the 1933 Act, and any other instruments or documents related thereto, and the undersigned does hereby ratify and confirm all that said attorneys and agents, individually or collectively, shall do or cause to be done by virtue thereof. Dated: May 13, 1999 /s/ James B. Sommers -------------------- James B. Sommers EX-99 5 EXHIBIT 99.17 EXH.99.17 TIME HORIZON FUNDS TIME HORIZON PORTFOLIO 1 PROXY CARD SPECIAL MEETING OF SHAREHOLDERS-AUGUST 13, 1999 The undersigned hereby appoints Jay F. Nusblatt, Gary M. Gardner and J. Robert Dugan (the "Proxies") and each of them, attorneys and proxies of the undersigned, each with power of substitution and resubstitution, to attend, vote and act for the undersigned at the Special Meeting of Shareholders of Time Horizon Funds ("Time Horizon") to be held at 400 Bellevue Parkway, Wilmington, Delaware at 10:00 A.M. (EASTERN TIME), on Friday, August 13, 1999, and at any adjournment or adjournments thereof. The proxies will cast votes according to the number of shares of the Time Horizon Portfolio 1 (the "Fund") which the undersigned may be entitled to vote with respect to the proposals set forth below, in accordance with the specification indicated, if any, and with all the powers which the undersigned would possess if personally present. The undersigned hereby revokes any prior proxy to vote at such meeting, and hereby ratifies and confirms all that said attorneys and Proxies, or either of them, may lawfully do by virtue thereof. THE UNDERSIGNED HEREBY ACKNOWLEDGES RECEIPT OF THE NOTICE OF SPECIAL MEETING OF SHAREHOLDERS AND THE COMBINED PROXY STATEMENT/PROSPECTUS, DATED JUNE 20, 1999. THIS PROXY IS SOLICITED BY THE BOARD OF TRUSTEES OF TIME HORIZON FUNDS WHICH UNANIMOUSLY RECOMMENDS THAT YOU VOTE IN FAVOR OF THE PROPOSAL. YOU MAY VOTE BY (1) FAXING THE PROXY BALLOT TO A.D.P. PROXY SERVICES AT (704) 388-2641 OR (2) TOUCHTONE VOTING AT (800) 690-6903 OR (3) ON-LINE VOTING AT WWW.PROXYVOTE.COM OR (4) BY MAILING IT IN THE ENCLOSED POSTAGE PAID ENVELOPE. PLEASE MAKE SURE YOU MARK, SIGN AND DATE YOUR PROXY CARD. THIS PROXY WILL BE VOTED AS SPECIFIED BELOW WITH RESPECT TO THE ACTION TO BE TAKEN ON THE FOLLOWING PROPOSAL. PROXIES RETURNED WITHOUT ANY SPECIFICATION WILL BE VOTED IN FAVOR OF THE PROPOSAL. Please sign below exactly as your name(s) appear(s) hereon. Corporate proxies should be signed in full corporate name by an authorized officer. Each joint owner should sign personally. Fiduciaries should give full titles as such. THIS PROXY CARD IS VALID ONLY WHEN SIGNED AND DATED. EXH.99.17 TIME HORIZON PORTFOLIO 1 VOTE ON PROPOSAL 1. To approve an Agreement and Plan of Reorganization, attached to the Combined Proxy Statement/Prospectus for the Meeting, which provides for and contemplates: (a) the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund (the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value; (b) the distribution of the shares of the designated classes of the Asset Allocation Fund to shareholders of each Time Horizon Fund; and (c) the dissolution and liquidation of the Time Horizon Funds. |_|FOR |_|AGAINST |_|ABSTAIN THIS PROPOSAL HAS BEEN PROPOSED BY TIME HORIZON. In their discretion, the Proxies, and either of them, are authorized to vote upon any other business that may properly come before the meeting, or any adjournment(s) thereof, including any adjournment(s) necessary to obtain requisite quorums and/or approvals. -------------------- ----------- Signature Date -------------------- ----------- Signature (Joint Owners) Date EXH.99.17 TIME HORIZON FUNDS TIME HORIZON PORTFOLIO 2 PROXY CARD SPECIAL MEETING OF SHAREHOLDERS-AUGUST 13, 1999 The undersigned hereby appoints Jay F. Nusblatt, Gary M. Gardner and J. Robert Dugan (the "Proxies") and each of them, attorneys and proxies of the undersigned, each with power of substitution and resubstitution, to attend, vote and act for the undersigned at the Special Meeting of Shareholders of Time Horizon Funds ("Time Horizon") to be held at 400 Bellevue Parkway, Wilmington, Delaware at 10:00 A.M. (EASTERN TIME), on Friday, August 13, 1999, and at any adjournment or adjournments thereof. The proxies will cast votes according to the number of shares of the Time Horizon Portfolio 2 (the "Fund") which the undersigned may be entitled to vote with respect to the proposals set forth below, in accordance with the specification indicated, if any, and with all the powers which the undersigned would possess if personally present. The undersigned hereby revokes any prior proxy to vote at such meeting, and hereby ratifies and confirms all that said attorneys and Proxies, or either of them, may lawfully do by virtue thereof. THE UNDERSIGNED HEREBY ACKNOWLEDGES RECEIPT OF THE NOTICE OF SPECIAL MEETING OF SHAREHOLDERS AND THE COMBINED PROXY STATEMENT/PROSPECTUS, DATED JUNE 20, 1999. THIS PROXY IS SOLICITED BY THE BOARD OF TRUSTEES OF TIME HORIZON FUNDS WHICH UNANIMOUSLY RECOMMENDS THAT YOU VOTE IN FAVOR OF THE PROPOSAL. YOU MAY VOTE BY (1) FAXING THE PROXY BALLOT TO A.D.P. PROXY SERVICES AT (704) 388-2641 OR (2) TOUCHTONE VOTING AT (800) 690-6903 OR (3) ON-LINE VOTING AT WWW.PROXYVOTE.COM OR (4) BY MAILING IT IN THE ENCLOSED POSTAGE PAID ENVELOPE. PLEASE MAKE SURE YOU MARK, SIGN AND DATE YOUR PROXY CARD. THIS PROXY WILL BE VOTED AS SPECIFIED BELOW WITH RESPECT TO THE ACTION TO BE TAKEN ON THE FOLLOWING PROPOSAL. PROXIES RETURNED WITHOUT ANY SPECIFICATION WILL BE VOTED IN FAVOR OF THE PROPOSAL. Please sign below exactly as your name(s) appear(s) hereon. Corporate proxies should be signed in full corporate name by an authorized officer. Each joint owner should sign personally. Fiduciaries should give full titles as such. THIS PROXY CARD IS VALID ONLY WHEN SIGNED AND DATED. EXH.99.17 TIME HORIZON PORTFOLIO 2 VOTE ON PROPOSAL 1. To approve an Agreement and Plan of Reorganization, attached to the Combined Proxy Statement/Prospectus for the Meeting, which provides for and contemplates: (a) the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund (the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value; (b) the distribution of the shares of the designated classes of the Asset Allocation Fund to shareholders of each Time Horizon Fund; and (c) the dissolution and liquidation of the Time Horizon Funds. |_|FOR |_|AGAINST |_|ABSTAIN THIS PROPOSAL HAS BEEN PROPOSED BY TIME HORIZON. In their discretion, the Proxies, and either of them, are authorized to vote upon any other business that may properly come before the meeting, or any adjournment(s) thereof, including any adjournment(s) necessary to obtain requisite quorums and/or approvals. -------------------- ----------- Signature Date -------------------- ----------- Signature (Joint Owners) Date EXH.99.17 TIME HORIZON FUNDS TIME HORIZON PORTFOLIO 3 PROXY CARD SPECIAL MEETING OF SHAREHOLDERS-AUGUST 13, 1999 The undersigned hereby appoints Jay F. Nusblatt, Gary M. Gardner and J. Robert Dugan (the "Proxies") and each of them, attorneys and proxies of the undersigned, each with power of substitution and resubstitution, to attend, vote and act for the undersigned at the Special Meeting of Shareholders of Time Horizon Funds ("Time Horizon") to be held at 400 Bellevue Parkway, Wilmington, Delaware at 10:00 A.M. (EASTERN TIME), on Friday, August 13, 1999, and at any adjournment or adjournments thereof. The proxies will cast votes according to the number of shares of the Time Horizon Portfolio 3 (the "Fund") which the undersigned may be entitled to vote with respect to the proposals set forth below, in accordance with the specification indicated, if any, and with all the powers which the undersigned would possess if personally present. The undersigned hereby revokes any prior proxy to vote at such meeting, and hereby ratifies and confirms all that said attorneys and Proxies, or either of them, may lawfully do by virtue thereof. THE UNDERSIGNED HEREBY ACKNOWLEDGES RECEIPT OF THE NOTICE OF SPECIAL MEETING OF SHAREHOLDERS AND THE COMBINED PROXY STATEMENT/PROSPECTUS, DATED JUNE 20, 1999. THIS PROXY IS SOLICITED BY THE BOARD OF TRUSTEES OF TIME HORIZON FUNDS WHICH UNANIMOUSLY RECOMMENDS THAT YOU VOTE IN FAVOR OF THE PROPOSAL. YOU MAY VOTE BY (1) FAXING THE PROXY BALLOT TO A.D.P. PROXY SERVICES AT (704) 388-2641 OR (2) TOUCHTONE VOTING AT (800) 690-6903 OR (3) ON-LINE VOTING AT WWW.PROXYVOTE.COM OR (4) BY MAILING IT IN THE ENCLOSED POSTAGE PAID ENVELOPE. PLEASE MAKE SURE YOU MARK, SIGN AND DATE YOUR PROXY CARD. THIS PROXY WILL BE VOTED AS SPECIFIED BELOW WITH RESPECT TO THE ACTION TO BE TAKEN ON THE FOLLOWING PROPOSAL. PROXIES RETURNED WITHOUT ANY SPECIFICATION WILL BE VOTED IN FAVOR OF THE PROPOSAL. Please sign below exactly as your name(s) appear(s) hereon. Corporate proxies should be signed in full corporate name by an authorized officer. Each joint owner should sign personally. Fiduciaries should give full titles as such. THIS PROXY CARD IS VALID ONLY WHEN SIGNED AND DATED. EXH.99.17 TIME HORIZON PORTFOLIO 3 VOTE ON PROPOSAL 1. To approve an Agreement and Plan of Reorganization, attached to the Combined Proxy Statement/Prospectus for the Meeting, which provides for and contemplates: (a) the transfer of the assets and liabilities of each Time Horizon Fund to the Nations Asset Allocation Fund (the "Asset Allocation Fund") of Nations Institutional Reserves in exchange for shares of designated classes of the Asset Allocation Fund of equal value; (b) the distribution of the shares of the designated classes of the Asset Allocation Fund to shareholders of each Time Horizon Fund; and (c) the dissolution and liquidation of the Time Horizon Funds. |_|FOR |_|AGAINST |_|ABSTAIN THIS PROPOSAL HAS BEEN PROPOSED BY TIME HORIZON. In their discretion, the Proxies, and either of them, are authorized to vote upon any other business that may properly come before the meeting, or any adjournment(s) thereof, including any adjournment(s) necessary to obtain requisite quorums and/or approvals. -------------------- ----------- Signature Date -------------------- ----------- Signature (Joint Owners) Date -----END PRIVACY-ENHANCED MESSAGE-----