<PAGE> 1
CASH
MANAGEMENT
MONEY MARKET
FUNDS
ANNUAL REPORT
For the period ended June 30, 1999
CASH MANAGEMENT MONEY MARKET FUND
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
TREASURY CASH MANAGEMENT MONEY MARKET FUND
MUNICIPAL CASH MANAGEMENT MONEY MARKET FUND
[ONE GROUP LOGO]
<PAGE> 2
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- are not deposits or obligations of, or guaranteed by,
BANK ONE CORPORATION or any of its affiliates,
- are not insured by the FDIC, and [CANCELLED FDIC LOGO]
- are subject to investment risks, including possible
loss of the principal amount invested.
<PAGE> 3
- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
Portfolio Performance Review................................................ 2
Schedules of Portfolio Investments............................................ 7
Statements of Assets and Liabilities......................................... 17
Statements of Operations..................................................... 18
Statements of Changes in Net Assets.......................................... 21
Notes to Financial Statements................................................ 26
Financial Highlights......................................................... 35
Report of Independent Accountants............................................ 45
1
<PAGE> 4
One Group Cash Management Money Market Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Cash Management Money Market Fund was 4.72% on
June 30, 1999, compared to 4.89% on December 31, 1998, and 5.28% on June 30,
1998.(1)
DID THE FUND MAINTAIN ITS "AAA" RATING?
We maintained a fairly short average weighted maturity. On June 30, 1999, the
Fund's weighted average maturity was 45 days. This strategy allowed the Fund to
maintain its "AAA" average quality rating -- the best-possible rating -- from
Standard & Poor's and Moody's Investors Service.
To maintain this rating, the Fund's weighted average maturity must not exceed 60
days. This means that the Fund's yield will be sensitive to, and reflect
relatively quickly, rates on newly issued short-term instruments. So, when the
Federal Reserve eases short-term rates, the Fund's yield will drop fairly
quickly, conversely, when the Fed tightens, the yield will go up quickly.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We continued to buy high-quality securities offering good value, including
commercial paper, Yankee certificates of deposit, fixed- and variable-rate
corporate notes and repurchase agreements. We adjusted the maturity of the
instruments we purchased based on the current and expected shape of the yield
curve. For example, at certain times of the year, such as at quarter end or year
end, technical pressures emerge in the market, making short-dated instruments a
better value than longer-dated investments. We tailored our investments to take
advantage of these and other circumstances as they developed.
In the second half of 1998, market and economic turmoil abroad was a factor in
setting limitations on various issuers on our approved list -- those deemed to
be at risk from the events overseas. However, strict attention to our "due
diligence" process helped us avoid situations that could have adversely affected
the Fund's performance.
We also closely monitored the Fund's liquidity using statistical techniques that
allow us to maximize yield while maintaining sufficient reserves to meet
shareholder redemptions.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Federal Reserve has expressed concern regarding the pace at which the U.S.
economy continues to grow. Of course, the extent to which the Fed responds will
significantly affect the Fund's yield.
The market anticipates modest tightening, which began with a quarter-point rate
hike at the end of June. We intend to manage the Fund's weighted average
maturity to capitalize on the volatility, which likely will ensue. If rates
overshoot what we believe to be justified, we will extend the weighted average
maturity to take advantage of that situation.
/s/ Sherman Smith
Sherman Smith
Team Leader
Money Market Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C>
Class I 4.72% 5.02% 5.28% NA 4.74%
Class A 4.47% 4.75% NA NA 5.10%
</TABLE>
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
2
<PAGE> 5
One Group Treasury Prime Cash Management Money Market Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Treasury Prime Cash Management Money Market
Fund was 4.27% on June 30, 1999, compared to 4.19% on December 31, 1998, and
4.75% on June 30, 1998.(1) The increase from December 31 primarily was due to
the general increase in interest rates that culminated with a Federal Reserve
rate tightening in late-June 1999.
HOW WOULD YOU CHARACTERIZE THE SHORT-TERM INTEREST RATE CLIMATE DURING THE
PERIOD?
Over the past 12 months, we have witnessed a complete market interest rate
cycle. In the summer of 1998, strong consumer demand and increased inflation
risk led to an expected interest rate tightening from the Federal Reserve. Then,
in the fall of 1998, weakening conditions in Asia, Brazil and Russia were the
catalyst for a series of three Fed easing moves, which cut rates by 0.75
percentage point. The yield on the one-year Treasury bill dropped from a high of
5.36% to a low of 3.84%.
The Fed's easing of rates spurred further increases in consumer demand. This,
combined with a stabilization of the international economies, pushed interest
rates higher during the first half of 1999, and the one-year Treasury bill yield
moved back up to 5.20%.
There were other factors that contributed to the market volatility. For example,
budget surpluses allowed the U.S. Treasury to significantly reduce the issuance
of Treasury securities. At the same time, agency supply increased significantly,
due in large part to low mortgage rates and the overwhelming demand for home
loans.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We employed a combination of maturity strategies, including a barbell structure
and a ladder approach. When prospects for increased yields were high, we
employed a barbell strategy. In using the barbell maturity structure, we
purchased securities at the short and long ends of our maturity range. The Fund
was able to capture yield advantages from the longer-term securities and
maintain liquidity with the shorter-term instruments. As the outlook moved to
neutral or lower yields, we progressed toward a ladder approach, purchasing
securities across the entire curve.
On June 30, 1999, the Fund's average maturity was 56 days. This enabled the Fund
to maintain its "AAA" quality rating -- the highest available -- from Standard &
Poor's and Moody's Investors Service. To receive this rating, a fund must have
an average maturity no greater than 60 days.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect to continue employing the barbell maturity structure. This strategy
works well with our goals of maintaining a stable net asset value, providing
liquidity and offering a competitive rate of return.
Of course, economic activity will have an effect on the Fund, so we will
continue to monitor several factors that may influence our strategy and the
Fund's performance. These include consumer demand, inflation expectations,
monetary policy, fiscal policy and international economic and market conditions.
/s/ Sherman Smith
Sherman Smith
Team Leader
Money Market Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 4.27% 4.42% NA NA 4.86%
Class A 4.02% 4.16% NA NA 4.60%
</TABLE>
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
3
<PAGE> 6
One Group U.S. Government Securities
Cash Management Money Market Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
The seven-day yield on One Group U.S. Government Securities Cash Management
Money Market Fund was 4.64% on June 30, 1999, compared to 4.68% on December 31,
1998, and 5.38% on June 30, 1998.(1)
HOW WOULD YOU CHARACTERIZE THE SHORT-TERM INTEREST RATE CLIMATE DURING THE
PERIOD?
Over the past 12 months, we have witnessed a complete market interest rate
cycle. In the summer of 1998, strong consumer demand and increased inflation
risk led to an expected interest rate tightening from the Federal Reserve. Then,
in the fall of 1998, weakening conditions in Asia, Brazil and Russia were the
catalyst for a series of three Fed easing moves, which cut rates by 0.75
percentage point. The yield on the one-year Treasury bill dropped from a high of
5.36% to a low of 3.84%.
The Fed's easing of rates spurred further increases in consumer demand. This,
combined with a stabilization of the international economies, pushed interest
rates higher during the first half of 1999, and the one-year Treasury bill yield
moved back up to 5.20%.
There were other factors that contributed to the market volatility. For example,
budget surpluses allowed the U.S. Treasury to significantly reduce the issuance
of Treasury securities. At the same time, agency supply increased significantly,
due in large part to low mortgage rates and the overwhelming demand for home
loans.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We continued to implement a barbell maturity structure, a common strategy that
involves investing in securities at the long and short ends of a particular
maturity range instead of those with intermediate maturities. At the "long" end,
we purchased securities with maturities of six months to one year, and at the
"short" end, we held overnight repurchase agreements. This strategy helped the
fund maintain a high level of liquidity while benefiting from higher yields. The
"long" securities offered the yield advantages, while the "short" securities
provided the liquidity to meet shareholder redemptions.
At year end, the Fund's average maturity was 49 days. This strategy allowed the
Fund to maintain its "AAA" average quality rating -- the best-possible rating --
from Standard & Poor's and Moody's Investors Service. To maintain this rating,
the Fund's weighted average maturity must not exceed 60 days.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect to continue employing the barbell maturity structure. This strategy
works well with our goals of maintaining a stable net asset value, providing
liquidity and offering a competitive rate of return.
Of course, economic activity will have an effect on the Fund, so we will
continue to monitor several factors that may influence our strategy and the
Fund's performance. These include consumer demand, inflation expectations,
monetary policy, fiscal policy and international economic and market conditions.
/s/ Sherman Smith
Sherman Smith
Team Leader
Money Market Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 4.64% 4.89% 5.21% NA 4.61%
Class A 4.39% 4.63% NA NA 5.02%
</TABLE>
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
4
<PAGE> 7
One Group Treasury Cash Management Money Market Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Treasury Cash Management Money Market Fund was
4.47% on June 30, 1999, compared to 4.53% on December 31, 1998, and 5.31% on
June 30, 1998.(1)
HOW WOULD YOU CHARACTERIZE THE SHORT-TERM INTEREST RATE CLIMATE DURING THE
PERIOD?
Over the past 12 months, we have witnessed a complete market interest rate
cycle. In the summer of 1998, strong consumer demand and increased inflation
risk led to an expected interest rate tightening from the Federal Reserve. Then,
in the fall of 1998, weakening conditions in Asia, Brazil and Russia were the
catalyst for a series of three Fed easing moves, which cut rates by 0.75
percentage point. The yield on the one-year Treasury bill dropped from a high of
5.36% to a low of 3.84%.
The Fed's easing of rates spurred further increases in consumer demand. This,
combined with a stabilization of the international economies, pushed interest
rates higher during the first half of 1999, and the one-year Treasury bill yield
moved back up to 5.20%.
There were other factors that contributed to the market volatility. For example,
budget surpluses allowed the U.S. Treasury to significantly reduce the issuance
of Treasury securities. At the same time, agency supply increased significantly,
due in large part to low mortgage rates and the overwhelming demand for home
loans.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We continued to implement a barbell maturity structure, a common strategy that
involves investing in securities at the long and short ends of a particular
maturity range instead of those with intermediate maturities. At the "long" end,
we purchased securities with maturities of six months to one year, and at the
"short" end, we held overnight repurchase agreements. This strategy helped the
fund maintain a high level of liquidity while benefiting from higher yields. The
"long" securities offered the yield advantages, while the "short" securities
provided the liquidity to meet shareholder redemptions.
On June 30, 1999, the Fund's average maturity was 54 days. This strategy enabled
the Fund to maintain its "AAA" quality rating -- the highest available -- from
Standard & Poor's and Moody's Investors Service. To receive this rating, a fund
must have an average maturity no greater than 60 days.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect to continue employing the barbell maturity structure. This strategy
works well with our goals of maintaining a stable net asset value, providing
liquidity and offering a competitive rate of return.
Of course, economic activity will have an effect on the Fund, so we will
continue to monitor several factors that may influence our strategy and the
Fund's performance. These include consumer demand, inflation expectations,
monetary policy, fiscal policy and international economic and market conditions.
/s/ Sherman Smith
Sherman Smith
Team Leader
Money Market Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 4.47% 4.79% NA NA 5.06%
Class A 4.22% 4.53% NA NA 4.79%
</TABLE>
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
5
<PAGE> 8
One Group Municipal Cash Management Money Market Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Municipal Cash Management Money Market Fund was
3.48% on June 30, 1999, compared to 3.27% on December 31, 1998, and 3.35% on
June 30, 1998.(1) The increase from December 31 primarily was due to the general
increase in interest rates, which culminated with a Federal Reserve rate hike in
late June 1999.
WHAT CONTRIBUTED TO THE CHANGE IN YIELD?
After declining during the final quarter of 1998, interest rates held relatively
stable throughout January and February. Then, beginning in early spring and
through the end of the fiscal year, rates began to increase due to concerns that
the Federal Reserve may have eased unnecessarily and that inflation may be
looming in the wake of continued economic growth. Rates on one-year notes
increased to 3.40%, and variable-rate issues traded within a range of 2.25% to
4.00%.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary strategy involved balancing the Fund's security mix between
variable- and fixed-rate issues in an effort to anticipate and react to changing
market conditions. We also relied upon our quality-oriented selection process to
uncover issues that we believe represent minimal credit risk.
Initially, our strategy was to extend the Fund's average maturity to lock in
yields during a falling rate environment. As the rate declines subsided in early
spring, our strategy subsequently shifted to shorter maturities and emphasized
variable-rate issues to benefit from the trend toward rising interest rates.
The Fund's average maturity was 17 days on June 30, 1999, compared to 41 days on
December 31, 1998. Having a relatively short average maturity means that the
Fund's yield will be sensitive to, and reflect relatively quickly, rates on
newly issued short-term instruments. So, when the Federal Reserve tightens
short-term rates, the Fund's yield will go up quickly; conversely, when the Fed
eases, the yield will drop quickly.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Economic pressures and concerns about inflation should continue to favor an
upward rate bias over the near term. The short-term municipal market also will
have to contend with an unfavorable technical environment -- whereby demand
exceeds supply -- as many issuers either shift their debt beyond the money
market range or reduce their outstanding short-term debt with favorable
surpluses. Generally, an extended rising rate trend also may bring about the
possibility of deteriorating credit and widening yield spreads. With that in
mind, our investment strategy will continue to selectively favor quality-rated
issues and use shorter average maturities to generate consistent, attractive
returns.
/s/ Sherman Smith
Sherman Smith
Team Leader
Money Market Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 3.48% 2.97% NA NA 3.15%
Class A 3.23% 2.71% NA NA 2.90%
</TABLE>
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
6
<PAGE> 9
- --------------------------------------------------------------------------------
One Group Mutual Funds
Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER (66.1%):
Asset Backed (34.2%):
$ 50,000 Amsterdam Funding Corp., 5.05%,
7/23/99.......................... $ 49,846
12,000 Atlantis One Funding Corp., 4.82%,
7/30/99.......................... 11,953
70,500 Atlantis One Funding Corp., 4.83%,
8/24/99.......................... 69,990
40,000 Atlantis One Funding Corp., 4.91%,
11/22/99......................... 39,214
35,000 Bavaria TRR Corp., 4.83%,
7/20/99.......................... 34,911
23,000 Bavaria TRR Corp., 4.84%,
8/17/99.......................... 22,855
25,000 Dakota (Citibank Credit Card Master
Trust), 4.91%, 7/14/99........... 24,956
20,000 Dakota (Citibank Credit Card Master
Trust), 5.07%, 7/26/99........... 19,930
49,000 Dakota (Citibank Credit Card Master
Trust), 5.07%, 8/4/99............ 48,765
53,971 Receivables Capital Corp., 5.16%,
7/15/99.......................... 53,864
20,818 Receivables Capital Corp., 5.16%,
7/26/99.......................... 20,743
28,448 Repeat Offering Securitization
Entity, 4.77%, 7/20/99........... 28,376
9,125 Repeat Offering Securitization
Entity, 4.83%, 7/28/99........... 9,092
37,300 Sceptre International, Inc., 5.08%,
7/19/99.......................... 37,205
28,800 Sceptre International, Inc., 5.09%,
7/26/99.......................... 28,698
20,700 Sheffield Receivables Corp., 5.05%,
7/9/99........................... 20,677
25,000 Sigma Finance, Inc., 4.94%,
8/16/99.......................... 24,842
25,000 Sigma Finance, Inc., 4.94%,
9/10/99.......................... 24,756
24,360 Sigma Finance, Inc., 5.00%,
11/15/99......................... 23,896
40,000 Sigma Finance, Inc., 5.00%,
11/22/99......................... 39,200
50,000 Special Purpose Accounts Receivable
Corp., 5.13%, 8/9/99............. 49,722
50,000 Special Purpose Accounts Receivable
Corp., 5.15%, 8/10/99............ 49,714
25,000 WCP Funding, Inc., 4.84%,
7/21/99.......................... 24,933
----------
758,138
----------
Banking (20.0%):
50,000 AB Spintab, 4.86%, 7/23/99......... 49,852
25,000 AB Spintab, 4.87%, 9/8/99.......... 24,767
32,500 Banco Nacional de Comercio
Exterior, 4.84%, 7/12/99......... 32,452
25,000 Banco Rio de la Plata SA, 4.93%,
12/3/99.......................... 24,469
50,000 Banco Santander Puerto Rico, 4.87%,
7/15/99.......................... 49,905
25,000 Galicia Buenos Aires Funding Corp.,
4.90%, 7/2/99.................... 24,997
50,000 Galicia Buenos Aires Funding Corp.,
5.40%, 3/28/00................... 47,975
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
Banking, continued:
$ 45,000 Hong Kong Bank of Canada, 4.90%,
8/18/99.......................... $ 44,706
50,000 Swedbank, 4.83%, 7/6/99............ 49,966
50,000 Swedbank, 4.83%, 7/8/99............ 49,953
25,000 Unifunding, Inc., 4.75%, 7/15/99... 24,954
20,000 Unifunding, Inc., 4.74%, 7/21/99... 19,947
----------
443,943
----------
Brokerage Services (2.3%):
50,000 Credit Suisse First Boston
Guernsey, 4.84%, 7/13/99......... 49,919
----------
Electric & Gas Utilities (3.3%):
27,250 AES Shady Point, 4.78%, 7/22/99.... 27,174
45,095 AES Shady Point, 4.83%, 8/27/99.... 44,750
----------
71,924
----------
Information Systems (0.8%):
16,700 CSC Enterprises, 5.05%, 7/12/99.... 16,674
----------
Mortgage Bankers & Correspondents (2.3%):
50,000 Homeside Lending, Inc, 5.05%,
7/13/99.......................... 49,916
----------
Office Equipment & Services (2.3%):
50,000 Xerox Capital de Mexico S.A. de CV,
4.83%, 7/7/99.................... 49,960
----------
Oil & Gas Exploration (0.9%):
20,000 Petrobras International Finance
Co., 4.75%, 9/9/99............... 19,815
----------
Total Commercial Paper 1,460,289
----------
BANK NOTES (1.1%):
Banking (1.1%):
25,000 PNC Bank, 5.56%, 10/12/99*......... 25,000
----------
Total Bank Notes............................. 25,000
----------
CORPORATE NOTES (1.6%):
Banking (1.6%):
35,000 Morgan Guaranty Trust Co., 5.57%,
9/27/99*......................... 34,997
----------
Total Corporate Notes 34,997
----------
MASTER NOTES (3.4%):
Automotive (3.4%):
75,000 Wheels, Inc., 5.26%, 1/18/00*...... 75,000
----------
Total Master Notes........................... 75,000
----------
MEDIUM TERM NOTES (3.0%):
Asset Backed (3.0%):
52,000 Short Term Repackaged Asset Trust
Securities, Series 1999-C, 5.02%,
4/13/00*......................... 52,000
15,000 Sigma Finance, Inc., 5.17%,
4/12/00.......................... 15,000
----------
Total Medium Term Notes...................... 67,000
----------
FUNDING AGREEMENTS (14.4%):
Insurance (14.4%):
25,000 Allstate Life Insurance Co., 5.10%,
2/15/00*......................... 25,000
</TABLE>
7
Continued
<PAGE> 10
- --------------------------------------------------------------------------------
One Group Mutual Funds
Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
FUNDING AGREEMENTS, CONTINUED:
Insurance, continued:
$ 87,000 General American Life Insurance
Co., 5.24%, 1/19/00*............. $ 87,000
20,000 General American Life Insurance
Co., 5.13%, 1/19/00*............. 20,000
35,000 Monumental Life Insurance Co.,
5.15%, 7/3/00*................... 35,000
25,000 Security Benefit Life Insurance
Co., 5.20%, 5/15/00*............. 25,000
25,000 Sunamerica Life Insurance Co.,
5.36%, 10/2/99*.................. 25,000
25,000 Sunamerica Life Insurance Co.,
5.36%, 11/6/99*.................. 25,000
25,000 Travelers Insurance Co., 5.43%,
11/6/99*......................... 25,000
25,000 Travelers Insurance Co., 5.55%,
12/13/99*........................ 25,000
25,000 Western and Southern Life Insurance
Co., 5.55%, 1/29/03*............. 25,000
----------
Total Funding Agreements..................... 317,000
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (4.9%):
Banking (0.3%):
$ 7,500 Michigan National Bank, 5.13%,
5/3/00........................... $ 7,498
----------
Banking -- Foreign (4.6%):
15,000 Abbey National, 5.13%, 5/4/00...... 14,991
25,000 Bayerische Hypo-Und Vereinsbank AG,
5.11%, 4/10/00................... 24,991
20,000 Bayerische Landesbank Girozentrale,
5.12%, 3/21/00................... 19,992
10,000 Den Danske Corp., 5.04%, 2/9/00.... 9,999
10,000 Deutsche Bank AG, 5.19%, 5/8/00.... 9,996
20,000 Societe Generale, 5.69%, 7/16/99... 20,006
----------
99,975
----------
Total Certificates of Deposit................ 107,473
----------
TIME DEPOSITS (7.9%):
174,101 Westdeutsche Landesbank GZ, 5.63%,
7/1/99........................... 174,101
----------
Total Time Deposits.......................... 174,101
----------
Total (Amortized Cost $2,260,860)(a)........... $2,260,860
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $2,207,636.
(a) Cost and value for financial reporting purposes are the same.
* Variable rate securities. The interest rate, which will change periodically,
is based upon an index of market rates. The rate reflected on the Schedule of
Portfolio Investments is the rate in effect at June 30, 1999.
See notes to financial statements
8
<PAGE> 11
- --------------------------------------------------------------------------------
One Group Mutual Funds
Treasury Prime Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (99.4%):
U.S. Treasury Bills (59.7%):
$ 3,878 7/22/99............................ $ 3,868
11,572 7/29/99............................ 11,532
27,752 8/5/99............................. 27,632
62,245 8/12/99............................ 61,917
50,000 8/19/99............................ 49,694
12,343 9/2/99............................. 12,250
49,923 9/9/99............................. 49,487
86,967 9/16/99............................ 86,136
25,000 9/23/99............................ 24,732
25,000 9/30/99............................ 24,703
6,300 10/28/99........................... 6,204
----------
358,155
----------
U.S. Treasury Notes (39.7%):
15,000 5.88%, 7/31/99..................... 15,015
91,951 6.88%, 7/31/99..................... 92,113
100,000 6.00%, 8/15/99..................... 100,156
25,000 5.88%, 8/31/99..................... 25,043
5,701 6.38%, 1/15/00..................... 5,740
----------
238,067
----------
Total U.S. Treasury Obligations 596,222
----------
Total (Amortized Cost $596,222)(a) $ 596,222
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $599,825.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
9
<PAGE> 12
- --------------------------------------------------------------------------------
One Group Mutual Funds
U.S. Government Securities Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES (34.9%):
Federal Home Loan Bank (15.6%):
$ 60,000 5.00%, 10/27/99.................... $ 60,000
25,000 4.98%, 1/26/00*.................... 25,000
35,000 4.95%, 2/22/00..................... 34,989
25,000 5.06%, 3/3/00...................... 24,990
28,000 5.10%, 3/3/00...................... 27,993
25,000 5.01%, 4/20/00..................... 25,000
13,500 5.02%, 5/12/00..................... 13,476
15,000 4.92%, 5/19/00..................... 14,338
13,000 5.20%, 5/26/00..................... 12,997
----------
238,783
----------
Federal Home Loan Mortgage Corp. (7.0%):
40,000 4.79%, 7/2/99...................... 39,994
8,233 4.75%, 7/9/99...................... 8,224
25,000 4.75%, 7/15/99..................... 24,955
35,000 4.75%, 9/9/99...................... 34,677
15,000 5.18%, 6/13/00..................... 14,249
6,000 5.28%, 6/30/00..................... 5,679
----------
127,778
----------
Federal National Mortgage Assoc. (6.1%):
25,000 5.04%, 9/24/99..................... 24,702
12,000 5.17%, 12/13/99.................... 11,716
30,000 4.66%, 12/17/99.................... 29,343
25,000 4.69%, 4/3/00...................... 24,098
10,000 4.78%, 5/5/00...................... 9,590
----------
99,449
----------
Student Loan Marketing Assoc. (6.2%):
100,000 5.45%, 2/14/00*.................... 99,964
----------
Total U.S. Government Agency Securities 565,974
----------
REPURCHASE AGREEMENTS (65.3%):
81,000 Barclays de Zoette Wedd, 4.95%,
7/1/99, (Collateralized by
$82,463 various U.S. Treasury
Securities, 0.00%-7.15%,
7/23/99-8/12/08, market value
$82,620)......................... 81,000
406,000 Donaldson, Lufkin & Jenrette,
4.90%, 7/1/99, (Collateralized by
$413,765 various U.S. Treasury
Securities, 0.00%-6.97%,
9/16/99-3/17/09, market value
$414,124)........................ 406,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
REPURCHASE AGREEMENTS, CONTINUED:
$ 81,000 Goldman Sachs, 5.10%, 7/1/99,
(Collateralized by $83,287
various U.S. Treasury Securities,
5.50%-8.50%, 3/1/14-7/1/29,
market value $83,430)............ $ 81,000
81,000 Lehman Brothers, 4.91%, 7/1/99,
(Collateralized by $93,620
various U.S. Treasury Securities,
6.00%-6.55%, 1/1/02-2/1/06,
market value $83,418)............ 81,000
250,000 Prudential Securities, 5.10%,
7/1/99, (Collateralized by
$365,336 various U.S. Treasury
Securities, 0.00%-12.75%,
7/1/99-2/1/37, market value
$256,204)........................ 250,000
81,000 State Street Bank & Trust, 4.90%,
7/1/99, (Collateralized by
$81,925 various U.S. Treasury
Securities, 4.98%-8.50%,
2/15/00-12/4/00, market value
$82,629)......................... 81,000
81,000 Westdeutsche Landesbank, 5.00%,
7/1/99, (Collateralized by
$90,000 U.S. Treasury Securities,
6.50%, 6/1/29, market value
$86,899)......................... 81,000
----------
Total Repurchase Agreements 1,061,000
----------
Total (Amortized Cost $1,626,974)(a) $1,626,974
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,623,906.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
* Securities having interest rates that reset weekly based on the U.S. Treasury
Bill auctions. The rate reflected on the Schedule of Portfolio Investments is
the rate in effect at June 30, 1999.
See notes to financial statements.
10
<PAGE> 13
- --------------------------------------------------------------------------------
One Group Mutual Funds
Treasury Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (29.0%):
U.S. Treasury Notes (29.0%):
$ 15,000 6.37%, 7/15/99..................... $ 15,010
10,000 5.87%, 8/31/99..................... 10,019
10,000 5.75%, 9/30/99..................... 10,027
15,000 5.38%, 1/31/00..................... 15,051
15,000 5.88%, 2/15/00..................... 15,096
3,000 5.50%, 2/29/00..................... 3,011
10,000 6.75%, 4/30/00..................... 10,150
10,000 6.38%, 5/15/00..................... 10,118
5,000 6.25%, 5/31/00..................... 5,053
----------
Total U.S. Treasury Obligations 93,535
----------
REPURCHASE AGREEMENTS (71.0%):
15,000 Barclays de Zoette Wedd, 4.85%,
7/1/99 (Collateralized by $14,819
U.S. Treasury Notes, 6.63%,
4/30/02, market value $15,300)... 15,000
79,000 Donaldson, Lufkin & Jenrette,
4.80%, 7/1/99 (Collateralized by
$78,707 various U.S. Treasury
Securities, 0.00% -- 8.00%,
7/8/99 -- 6/30/02, market value
$80,580)......................... 79,000
15,000 Goldman Sachs, 4.90%, 7/1/99
(Collateralized by $15,281 U.S.
Treasury Notes, 5.75%, 6/30/01,
market value $15,300)............ 15,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
REPURCHASE AGREEMENTS, CONTINUED:
$ 15,000 Lehman Brothers, 4.65%, 7/1/99
(Collateralized by $14,745 U.S.
Treasury Notes, 6.25%, 1/31/02,
market value $15,293)............ $ 15,000
10,509 Salomon Smith Barney, 4.90%, 7/1/99
(Collateralized by $10,688
various U.S. Treasury Securities,
0.00% -- 6.25%,
9/23/99 -- 1/31/02, market value
$10,723)......................... 10,509
15,000 State Street Bank and Trust, 4.80%,
7/1/99 (Collateralized by $14,555
U.S. Treasury Notes, 8.50%,
2/15/00, market value $15,301)... 15,000
79,000 Westdeutsche Landesbank, 4.82%,
7/1/99 (Collateralized by $81,525
various U.S. Treasury Securities,
0.00% -- 6.13%,
3/2/00 -- 11/15/27, market value
$80,580)......................... 79,000
----------
Total Repurchase Agreements 228,509
----------
Total (Amortized Cost $322,044)(a) $ 322,044
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $322,170.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
11
<PAGE> 14
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES (37.3%):
Alabama (3.4%):
$ 3,100 Decatur Industrial Development
Board Solid Waste Disposal,
Revenue, AMT, Amoco Chemical
Company Project, 3.50%,
5/1/25*.......................... $ 3,100
6,500 McIntosh Industrial Development
Board Environmental Impact
Revenue, 3.80%, 7/1/28*, CIBC
Specialty........................ 6,500
3,070 Phenix County, Industrial
Development Board Environmental
Impact Revenue, Mead Coated Board
Project, Series A, 3.90%,
6/1/28*, LOC: Toronto Dominion... 3,070
4,150 Phenix County, Industrial
Development Board Environmental
Improvement Revenue, Georgia
Craft Project, 3.45%, 12/1/15*,
LOC: Deutsche Bank............... 4,150
--------
16,820
--------
Arizona (1.1%):
5,300 Maricopa County, Pollution Control
Revenue, Arizona Public Service
Company, Series B, 3.40%, 5/1/29,
LOC: Morgan Guaranty*............ 5,300
--------
Idaho (0.5%):
2,300 Idaho Health Facilities Authority
Revenue, St. Lukes Regional
Medical Center Project, 3.40%,
5/1/22*, LOC: Bayerische
Landesbank....................... 2,300
--------
Illinois (0.7%):
3,400 Southwestern Development Authority,
Wood River Project, Shell Oil
Company, 3.50%, 11/1/25*......... 3,400
--------
Indiana (0.9%):
1,300 Jasper County, Industrial Pollution
Control Revenue, Northern Indiana
Public Service, Series B, 3.45%,
10/11/29*........................ 1,300
3,100 Rockport, Pollution Control
Revenue, AEP Generating Project,
3.45%, 7/1/25, AMBAC*............ 3,100
--------
4,400
--------
Kentucky (2.1%):
5,700 Carroll County, Collateralized
Solid Waste Disposal, Kentucky
Utilities Company Project, Series
A, 3.55%, 11/1/24*............... 5,700
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
Kentucky, continued:
$ 4,500 Louisville & Jefferson County
Regional Airport, Regional
Airport Authority Special
Facilities Revenue, United Parcel
Service, 3.50%, 1/1/29*.......... $ 4,500
--------
10,200
--------
Louisiana (1.4%):
2,300 Plaquemines Parish Environmental
Revenue, BP Co., AMT, 3.50%,
5/1/25*.......................... 2,300
4,700 Plaquemines Parish Environmental
Revenue, BP Co., AMT, 3.50%,
10/1/24*......................... 4,700
--------
7,000
--------
Michigan (8.5%):
1,100 Farmington Hills, Hospital
Financial Authority Revenue,
Botsford General Hospital, Series
B, 3.45%, 2/15/16*; MBIA......... 1,100
7,500 Midland County, Economic
Development Corporation, Dow
Chemical Company Project, Series
B, 3.75%, 12/1/15*............... 7,500
7,800 State Strategic Fund, Limited
Obligation Revenue, 3.70%,
9/1/30, LOC: Barclay's Bank*..... 7,800
2,600 State Strategic Fund, Limited
Obligation Revenue, 3.45%,
2/1/09*.......................... 2,600
11,700 State Strategic Fund, Pollution
Control Revenue, Consumers Power
Project, 3.40%, 4/15/18*......... 11,700
2,900 University of Michigan, Revenue,
3.45%, 12/1/24*.................. 2,900
9,000 University of Michigan, Revenues
Refunding Hospital, Series A,
3.45%, 12/1/19*.................. 9,000
--------
42,600
--------
Missouri (1.4%):
7,000 State Health & Educational
Facilities Revenue, Cox Health
System, 3.45%, 6/1/15, MBIA*..... 7,000
--------
Nevada (0.8%):
3,800 Clark County Industrial Development
Revenue, AMT, 3.55%, 12/1/22,
LOC: ABN AMRO*................... 3,800
--------
New York (4.4%):
9,030 Long Island Power Authority, New
York Electrical Systems Revenue,
Series 6, 3.85%, 5/1/33*, LOC's:
ABN-AMRO, Morgan................. 9,030
</TABLE>
12
Continued
<PAGE> 15
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
New York, continued:
$ 1,600 New York City Housing Development
Corporation, Mortgage Revenue,
3.40%, 1/1/23, LOC: Chase
Manhattan Bank*.................. $ 1,600
11,000 State Energy Development Authority,
Pollution Control Revenue, Series
A, 3.50%, 12/1/26, LOC: Toronto
Dominion Bank*................... 11,000
--------
21,630
--------
North Carolina (4.3%):
6,600 Person County, Industrial
Facilities & Pollution Control
Financing Authority, Revenue,
3.65%, 11/1/16*; LOC: SunTrust
Bank............................. 6,600
3,000 Raleigh Durham Airport Authority,
Special Facilities Revenue,
American Airlines, Series B,
3.45%, 11/1/05, LOC:
NationsBank*..................... 3,000
3,800 Raleigh Durham Airport Authority,
Special Facilities Revenue,
American Airlines, Series A,
3.45%, 11/1/15*, LOC: Nations
Bank............................. 3,800
2,700 Wake County, Industrial Facilities
& Pollution Control Financing
Authority, Revenue, Carolina
Power & Light Co Project A/A,
3.90%, 3/1/17*................... 2,700
5,100 Wake County, Industrial Facilities
& Pollution Control Financing
Authority, Revenue, Series B,
3.60%, 6/15/14*, LOC: Bank of New
York............................. 5,100
--------
21,200
--------
Ohio (1.0%):
2,000 State Air Quality Development
Authority, Revenue, Cincinnati
Gas & Electric, Series A, 3.35%,
9/1/30*; LOC: ABN-AMRO........... 2,000
400 State Air Quality Development
Authority, Revenue, Mead Corp.,
3.80%, 10/1/01*, LOC: Deutsche
Bank............................. 400
2,300 State Air Quality Development
Authority, Revenue, Series B,
3.50%, 12/1/15*, LOC: Morgan..... 2,300
--------
4,700
--------
Oregon (1.2%):
5,800 Port Morrow Environmental Impact
Revenue, General Electric
Company, AMT, 3.55%, 12/1/31*.... 5,800
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
South Dakota (0.6%):
$ 3,000 Lawrence County, Pollution Control
Revenue, Homestake Mining, Series
B, 3.75%, 7/1/32, LOC: Chase
Manhattan Bank*.................. $ 3,000
--------
Texas (2.7%):
4,700 Brazos River Authority, Pollution
Control, Revenue, AMT, Utilities
Electric Company, Series B,
3.65%, 6/1/30, AMBAC*............ 4,700
3,000 Brazos River Harbor Navigation
District, Revenue, Dow Chemical
Company Project, 3.60%,
5/1/23*.......................... 3,000
2,400 Gulf Coast Waste Disposal
Authority, Pollution Control
Revenue, Amoco Oil Company
Project, 3.50%, 5/1/23*.......... 2,400
3,000 Port of Port Arthur Navigation
District, Texaco Inc., Project,
3.45%, 10/1/24*.................. 3,000
400 Sabine River Authority, Pollution
Control Revenue, Utilities
Electric Company Project C,
3.65%, 6/1/30*................... 400
--------
13,500
--------
Virginia (0.8%):
3,800 King George County, Industrial
Development Authority, Exempt
Facilities Revenue, Birchwood
Power Partners, AMT, 3.55%,
3/1/27, LOC: Credit Suisse First
Boston*.......................... 3,800
--------
Washington (1.5%):
7,300 State Health Care Facilities
Authority, Revenue, Fred
Hutchinson Cancer Center, Series
A, 3.60%, 1/1/18*, LOC: Morgan... 7,300
--------
Total Daily Demand Notes 183,750
--------
MUNICIPAL BONDS (6.1%):
Michigan (1.6%):
4,200 State Housing Development
Authority, AMT, 3.00%, 12/1/99... 4,200
3,840 State Housing Development
Authority, AMT, 3.20%, 6/1/00.... 3,840
--------
8,040
--------
Nebraska (1.3%):
6,285 State Public Power District,
Revenue, Power Supply System,
Series C, 4.13%, 1/1/00.......... 6,320
--------
</TABLE>
13
Continued
<PAGE> 16
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon (1.0%):
$ 5,000 State Housing & Community Services,
3.65%, 8/31/99................... $ 5,000
--------
Wisconsin (2.2%):
10,500 Waukesha School District, 3.90%,
8/20/99.......................... 10,504
--------
Total Municipal Bonds 29,864
--------
TAX FREE COMMERCIAL PAPER (12.9%):
Alabama (1.6%):
8,000 Phenix County Industrial
Development Authority, Revenue,
Mead Paper, 3.30%, 7/21/99, LOC:
ABN-AMRO......................... 8,000
--------
Alaska (1.9%):
9,225 Valdez Marine Terminal, 3.20%,
8/4/99, ARCO..................... 9,225
--------
Florida (3.0%):
15,000 St. Lucie County, Pollution Control
Revenue, Florida Power & Light,
Series A, 3.15%, 9/2/99.......... 15,000
--------
Georgia (2.6%):
5,000 Municipal Electric Authority,
3.05%, 7/8/99, LOC: Morgan....... 5,000
7,800 Municipal Electric Authority,
Series A, 3.10%, 9/1/99, LOC:
Morgan........................... 7,800
--------
12,800
--------
Kansas (1.6%):
7,700 Burlington County, Pollution
Control Revenue, Series C2,
3.20%, 10/4/99................... 7,700
--------
Michigan (1.9%):
7,200 State Building Authority, 3.15%,
8/5/99, LOC: CIBC................ 7,200
2,400 State Housing Development
Authority, 3.30%, 7/19/99, LOC:
Heleba Bank...................... 2,400
--------
9,600
--------
Ohio (0.3%):
1,500 State Air Quality Development
Authority, Pollution Control
Revenue, Cleveland Electric,
Series B, 3.05%, 9/1/99, FGIC.... 1,500
--------
Total Tax Free Commercial Paper 63,825
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES (43.6%):
Alabama (0.2%):
$ 900 Decatur Industrial Development
Board, Solid Waste Disposal,
Revenue, AMT, Trico Steel
Company, 3.55%, 1/1/27, LOC:
Chase Manhattan Bank*............ $ 900
--------
Alaska (2.0%):
9,800 Valdez Marine Terminal, Revenue,
Arco Transition Project, Series
B, 3.45%, 5/1/31*................ 9,800
--------
Delaware (4.6%):
17,900 State Economic Development
Authority, Revenue, Clean Power
Project, Series A, 3.55%, 8/1/29,
LOC: CIBC*....................... 17,900
5,000 University of Delaware, Revenue,
3.45%, 11/1/23*.................. 5,000
--------
22,900
--------
District of Columbia (0.9%):
4,400 American University, 3.50%,
10/1/15, LOC: National
Westminster Bank*................ 4,400
--------
Florida (4.2%):
12,000 Alachua County, Health Facilities
Authority, Revenue, Series B,
3.30%, 12/1/26, MBIA*............ 12,000
8,800 Gulf Breeze, Healthcare Facilities,
Revenue, Heritage Health Care
Project, 3.77%, 1/1/24*, LOC:
Anchor National Life Insurance
Co............................... 8,800
--------
20,800
--------
Georgia (4.2%):
10,800 Columbus Hospital Authority,
Revenue, 3.75%, 1/1/18, LOC:
SunTrust Bank*................... 10,800
1,500 Gwinett County Hospital Authority,
Revenue, 3.30%, 9/1/27, MBIA*.... 1,500
4,500 Municipal Gas Authority, Gas
Portfolio II Project, Series B,
3.30%, 9/1/07*, LOC: Morgan...... 4,500
3,680 Municipal Gas Authority, Agency
Project, Series A, 3.50%,
11/1/06*; LOC: Wachovia Bank..... 3,680
--------
20,480
--------
</TABLE>
14
Continued
<PAGE> 17
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Illinois (1.7%):
$ 1,038 Chicago O'Hare International
Airport Revenue, Second Lien
Series B, 3.60%, 1/1/18*, LOC:
Societe Generale................. $ 1,038
7,200 Development Finance Authority, AMT,
Citizens Utilities Co. Project,
3.55%, 5/1/32*................... 7,200
--------
8,238
--------
Maine (1.5%):
7,600 Educational Loan, Marketing Corp.
Study, Series A, 3.40%, 5/1/29*,
AMBAC............................ 7,600
--------
Michigan (4.5%):
8,450 Grand Rapids Water Supply, 3.40%,
1/1/20, FGIC*.................... 8,450
4,300 State Hospital Finance Authority,
Revenue, 3.35%, 11/1/11*......... 4,300
3,900 State Housing Development
Authority, Revenue, 3.40%,
4/1/19*.......................... 3,900
300 State Strategic Fund Limited
Obligation, Pyper Products Corp.
Project, 3.85%, 10/1/18, LOC:
Comercia Bank*................... 300
1,900 State Strategic Fund, Pollution
Control Revenue, Consumers Power
Co. Project, Series A, 3.50%,
9/1/00*.......................... 1,900
3,100 State Strategic Fund, Van Andel
Research Institute, 3.55%,
3/1/39, LOC: Michigan National
Bank*............................ 3,100
300 Wayne Charter County Airport
Revenue, AMT, 3.40%, 12/1/16,
LOC: Bayerische Landesbank*...... 300
--------
22,250
--------
Minnesota (1.8%):
950 Minneapolis, Series A, 3.50%,
12/1/02*, LIQ: Bayerische
Vereinsbank...................... 950
875 Minneapolis Convention Center,
3.60%, 12/1/17*, LOC: Norwest
Bank............................. 875
4,625 Minneapolis, Series B, 3.50%,
12/1/17*, LIQ: Bayerische
Vereinsbank...................... 4,625
2,400 State Higher Education Facilities
Authority, Revenue, Series 3-L2,
3.50%, 11/1/12, SPA: Norwest
Bank*............................ 2,400
--------
8,850
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
New Mexico (1.0%):
$ 5,100 Albuquerque Airport Revenue, Series
A, 3.40%, 7/1/17, LOC: Bayerische
Landesbank*...................... $ 5,100
--------
North Carolina (1.0%):
5,000 Mecklenburg County, Series C,
3.70%, 2/1/17, SPA: First Union
National Bank*................... 5,000
--------
Ohio (1.0%):
2,700 Cleveland Airport Systems, Revenue,
Series D, 3.40%, 1/1/27*, LOC:
Toronto Dominion................. 2,700
2,000 State Air Quality Development
Authority, Revenue, Timken Co.
Project, 3.50%, 6/1/01*; LOC:
Wachovia Bank.................... 2,000
--------
4,700
--------
Pennsylvania (9.6%):
7,700 Allegheny County Industrial
Development Authority, Revenue,
3.65%, 10/1/25, LOC: PNC Bank*... 7,700
3,100 Economic Development Financing
Authority, Revenue, Niagara
Plastics Company, Project D,
4.00%, 12/1/17, LOC: PNC Bank*... 3,100
18,500 Indiana County, Industrial
Development Authority, Pollution
Control Revenue, AMT, Conemaugh
Project, Series A, 3.45%,
6/1/27*.......................... 18,500
18,075 New Castle Area Hospital Authority,
Revenue, Series 1995, 3.40%,
7/1/26, FSA, SPA: PNC Bank*...... 18,075
--------
47,375
--------
South Carolina (2.4%):
11,600 Spartanburg County, Health
Services, Inc., Hospital Revenue,
3.30%, 4/15/23*, MBIA............ 11,600
--------
Texas (2.3%):
1,000 Capital Health Facilities
Development Corp., 3.40%,
12/1/16, LOC: Credit Suisse...... 1,000
5,500 South Texas Higher Education
Authority, Series Z, 3.40%,
12/1/03, MBIA*................... 5,500
</TABLE>
15
Continued
<PAGE> 18
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Texas, continued:
$ 5,000 South Texas Higher Education
Authority, Revenue, AMT, 3.40%,
12/1/27*, MBIA................... $ 5,000
--------
11,500
--------
Washington (0.7%):
3,500 Port Seattle Revenue, AMT, 3.55%,
9/1/22, LOC: CIBC*............... 3,500
--------
Total Weekly Demand Notes 214,993
--------
Total (Amortized Cost $492,432)(a) $492,432
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $493,101.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based upon an index of market rates. The
rate reflected on the Schedule of Portfolio Investments is the rate in
effect at June 30, 1999.
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ARCO Insured by ARCO
CIBC Canadian Imperial Bank of Commerce
FGIC Insured by Financial Guaranty Insurance Corp.
FSA Insured by Federal Security Assurance
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
SPA Standby Purchase Agreement
</TABLE>
See notes to financial statements.
16
<PAGE> 19
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in thousands, except per share amounts)
<TABLE>
<CAPTION>
U.S.
GOVERNMENT
TREASURY SECURITIES TREASURY MUNICIPAL
CASH PRIME CASH CASH CASH CASH
MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at amortized cost....... $2,260,860 $596,222 $ 565,974 $ 93,535 $492,432
Repurchase agreements, at cost....... -- -- 1,061,000 228,509 --
---------- -------- ---------- -------- --------
Total................................ 2,260,860 596,222 1,626,974 322,044 492,432
Cash................................. -- 127 3,872 -- 26
Interest receivable.................. 5,364 5,903 5,003 1,757 2,093
Receivable from brokers for
investments sold................... -- -- 95,210 -- --
Amortized organization cost.......... 19 7 18 14 14
Prepaid expenses and other assets.... 9 4 30 1 --
---------- -------- ---------- -------- --------
TOTAL ASSETS......................... 2,266,252 602,263 1,731,107 323,816 494,565
---------- -------- ---------- -------- --------
LIABILITIES:
Cash Overdraft....................... 511 -- -- -- --
Dividends payable.................... 8,348 1,947 5,479 1,286 1,245
Payable to brokers for investments
purchased.......................... 47,975 -- 100,790 -- --
Accrued expenses and other payables:
Investment advisory fees........ 318 65 213 48 60
Administration fees............. 421 96 257 74 91
12b-1 fees...................... 928 292 436 200 42
Other........................... 115 38 26 38 26
---------- -------- ---------- -------- --------
TOTAL LIABILITIES.................... 58,616 2,438 107,201 1,646 1,464
---------- -------- ---------- -------- --------
NET ASSETS:
Capital.............................. 2,207,676 599,839 1,624,168 322,170 493,088
Undistributed (distributions in
excess of) net investment income... 162 15 136 -- --
Accumulated undistributed net
realized gains (losses) from
investment transactions............ (202) (29) (398) -- 13
---------- -------- ---------- -------- --------
NET ASSETS........................... $2,207,636 $599,825 $1,623,906 $322,170 $493,101
========== ======== ========== ======== ========
NET ASSETS:
Class I......................... $ 947,776 $125,645 $ 856,449 $191,181 $476,802
Class A......................... 1,259,860 474,180 767,457 130,989 16,299
---------- -------- ---------- -------- --------
Total................................ $2,207,636 $599,825 $1,623,906 $322,170 $493,101
========== ======== ========== ======== ========
OUTSTANDING UNITS OF BENEFICIAL
INTEREST (UNITS):
Class I......................... 947,934 125,651 856,796 191,181 476,789
Class A......................... 1,259,903 474,187 767,506 130,989 16,298
---------- -------- ---------- -------- --------
Total................................ 2,207,837 599,838 1,624,302 322,170 493,087
========== ======== ========== ======== ========
Net Asset Value
Offering and redemption price per
share (Class I and Class A)..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ======== ========== ======== ========
</TABLE>
See notes to financial statements.
17
<PAGE> 20
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1998 1999 1998
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................ $64,632 $120,726 $13,023 $19,736
------- -------- ------- -------
EXPENSES:
Investment advisory fees....................... 2,565 4,311 568 799
Administration fees............................ 1,996 3,233 443 599
12b-1 fees (Class A)........................... 1,799 2,930 539 790
Custodian fees................................. 78 48 17 8
Legal and audit fees........................... 59 79 18 35
Trustees' fees and expenses.................... 46 18 9 3
Transfer agent fees............................ 134 251 14 20
Registration and filing fees................... 69 198 60 39
Organization costs............................. 17 35 5 26
Printing costs................................. 140 13 31 3
Other.......................................... 35 267 26 74
------- -------- ------- -------
Total Expenses before waivers.................. 6,938 11,383 1,730 2,396
Less waivers................................... (703) (908) (209) (207)
------- -------- ------- -------
Net Expenses................................... 6,235 10,475 1,521 2,189
------- -------- ------- -------
Net Investment Income.......................... 58,397 110,251 11,502 17,547
------- -------- ------- -------
REALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized gains (losses) from investment
transactions................................. -- --(a) (15) --(a)
------- -------- ------- -------
Change in net assets resulting from
operations................................... $58,397 $110,251 $11,487 $17,547
======= ======== ======= =======
</TABLE>
- ---------------
(a) Amount is less than $1,000.
See notes to financial statements.
18
<PAGE> 21
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
U.S. GOVERNMENT TREASURY
SECURITIES CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1998 1999 1998
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................ $37,986 $75,362 $10,305 $17,120
------- ------- ------- -------
EXPENSES:
Investment advisory fees....................... 1,546 2,761 430 634
Administration fees............................ 1,202 2,068 337 476
12b-1 fees (Class A)........................... 762 1,139 404 750
Custodian fees................................. 35 10 19 5
Legal and audit fees........................... 28 54 17 34
Trustees' fees and expenses.................... 20 -- 7 3
Transfer agent fees............................ 21 74 12 17
Registration and filing fees................... 46 123 60 33
Organization costs............................. 16 32 2 4
Printing costs................................. 56 -- 20 2
Other.......................................... 11 -- 13 38
------- ------- ------- -------
Total Expenses before waivers.................. 3,743 6,261 1,321 1,996
Less waivers................................... (275) (295) (174) (136)
------- ------- ------- -------
Net Expenses................................... 3,468 5,966 1,147 1,860
------- ------- ------- -------
Net Investment Income.......................... 34,518 69,396 9,158 15,260
------- ------- ------- -------
REALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized gains (losses) from investment
transactions................................. 109 4 -- --
------- ------- ------- -------
Change in net assets resulting from
operations................................... $34,627 $69,400 $ 9,158 $15,260
======= ======= ======= =======
</TABLE>
See notes to financial statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
MUNICIPAL
CASH MANAGEMENT
MONEY MARKET FUND
-------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, DECEMBER 31,
1999 1998
---------- ------------
<S> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $9,588 $17,121
------ -------
EXPENSES:
Investment advisory fees.................................... 615 985
Administration fees......................................... 478 738
12b-1 fees (Class A)........................................ 79 155
Custodian fees.............................................. 21 11
Legal and audit fees........................................ 19 37
Trustees' fees and expenses................................. 11 4
Transfer agent fees......................................... 15 29
Registration and filing fees................................ 56 53
Organization costs.......................................... 2 4
Printing costs.............................................. 43 3
Other....................................................... 4 40
------ -------
Total Expenses before waivers............................... 1,343 2,059
Less waivers................................................ (200) (180)
------ -------
Net Expenses................................................ 1,143 1,879
------ -------
Net Investment Income....................................... 8,445 15,242
------ -------
REALIZED GAINS (LOSSES) FROM INVESTMENTS:
Net realized gains (losses) from investment transactions.... 13 --
------ -------
Change in net assets resulting from operations.............. $8,458 $15,242
====== =======
</TABLE>
See notes to financial statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------
SIX
MONTHS YEAR YEAR
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
----------- ------------ ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.............................. $ 58,397 $ 110,251 $ 50,222
Net realized gains (losses) from investment
transactions..................................... -- --(a) --
----------- ------------ -----------
Change in net assets resulting from operations.......... 58,397 110,251 50,222
----------- ------------ -----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income......................... (26,385) (51,234) (25,209)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income......................... (32,012) (59,017) (25,013)
----------- ------------ -----------
Change in net assets from shareholder distributions..... (58,397) (110,251) (50,222)
----------- ------------ -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued........................ 8,836,538 15,928,731 9,535,538
Proceeds from shares issued in conversion.......... -- 149,308 --
Dividends reinvested............................... 2,413 4,516 4,462
Cost of shares redeemed............................ (9,229,187) (15,182,716) (8,960,163)
----------- ------------ -----------
Change in net assets from share transactions............ (390,236) 899,839 579,837
----------- ------------ -----------
Change in net assets.................................... (390,236) 899,839 579,837
NET ASSETS:
Beginning of period................................ 2,597,872 1,698,033 1,118,196
----------- ------------ -----------
End of period...................................... $ 2,207,636 $ 2,597,872 $ 1,698,033
=========== ============ ===========
SHARE TRANSACTIONS:
Issued............................................. 8,836,538 15,928,731 9,535,538
Issued in conversion............................... -- 149,308 --
Reinvested......................................... 2,413 4,516 4,462
Redeemed........................................... (9,229,187) (15,182,716) (8,960,163)
----------- ------------ -----------
Change in shares........................................ (390,236) 899,839 579,837
=========== ============ ===========
</TABLE>
- ---------------
(a) Amount is less than $1,000.
See notes to financial statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT
MONEY MARKET FUND
--------------------------------------------
SIX
MONTHS YEAR YEAR
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
----------- ------------ ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............................. $ 11,502 $ 17,547 $ 11,652
Net realized gains (losses) from investment
transactions.................................... (15) --(a) --(a)
----------- ----------- -----------
Change in net assets resulting from operations......... 11,487 17,547 11,652
----------- ----------- -----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........................ (2,904) (3,799) (1,457)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................ (8,599) (13,748) (10,195)
----------- ----------- -----------
Change in net assets from shareholder distributions.... (11,503) (17,547) (11,652)
----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued....................... 1,210,370 2,166,525 2,338,003
Dividends reinvested.............................. 1,233 904 395
Cost of shares redeemed........................... (1,270,835) (1,832,759) (2,299,155)
----------- ----------- -----------
Change in net assets from share transactions........... (59,232) 334,670 39,243
----------- ----------- -----------
Change in net assets................................... (59,248) 334,670 39,243
NET ASSETS:
Beginning of period............................... 659,073 324,403 285,160
----------- ----------- -----------
End of period..................................... $ 599,825 $ 659,073 $ 324,403
=========== =========== ===========
SHARE TRANSACTIONS:
Issued............................................ 1,210,369 2,166,525 2,338,002
Reinvested........................................ 1,233 904 395
Redeemed.......................................... (1,270,835) (1,832,759) (2,299,154)
----------- ----------- -----------
Change in shares....................................... (59,233) 334,670 39,243
=========== =========== ===========
</TABLE>
- ---------------
(a) Amount is less than $1,000.
See notes to financial statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES CASH MANAGEMENT
MONEY MARKET FUND
-------------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
----------- ------------ ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................ $ 34,518 $ 69,396 $ 37,744
Net realized gains (losses) from investment
transactions....................................... 109 4 5
----------- ----------- -----------
Change in net assets resulting from operations............ 34,627 69,400 37,749
----------- ----------- -----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........................... (21,361) (47,200) (24,156)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................... (13,157) (22,196) (13,588)
----------- ----------- -----------
Change in net assets from shareholder distributions....... (34,518) (69,396) (37,744)
----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......................... 4,921,742 7,981,714 5,164,514
Dividends reinvested................................. 911 1,684 1,117
Cost of shares redeemed.............................. (4,876,456) (7,297,830) (4,849,817)
----------- ----------- -----------
Change in net assets from share transactions.............. 46,197 685,568 315,814
----------- ----------- -----------
Change in net assets...................................... 46,306 685,572 315,819
NET ASSETS:
Beginning of period.................................. 1,577,600 892,028 576,209
----------- ----------- -----------
End of period........................................ $ 1,623,906 $ 1,577,600 $ 892,028
=========== =========== ===========
SHARE TRANSACTIONS:
Issued............................................... 4,921,741 7,981,715 5,164,514
Reinvested........................................... 911 1,684 1,117
Redeemed............................................. (4,876,457) (7,297,830) (4,849,817)
----------- ----------- -----------
Change in shares.......................................... 46,195 685,569 315,814
=========== =========== ===========
</TABLE>
See notes to financial statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT
MONEY MARKET FUND
-------------------------------------------
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(a)
----------- ------------ ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................ $ 9,158 $ 15,260 $ 3,336
----------- ----------- ---------
Change in net assets resulting from operations............ 9,158 15,260 3,336
----------- ----------- ---------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........................... (2,373) (857) (26)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................... (6,785) (14,403) (3,310)
----------- ----------- ---------
Change in net assets from shareholder distributions....... (9,158) (15,260) (3,336)
----------- ----------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......................... 1,506,238 1,952,249 569,962
Dividends reinvested................................. 48 36 --
Cost of shares redeemed.............................. (1,547,327) (1,795,646) (363,390)
----------- ----------- ---------
Change in net assets from share transactions.............. (41,041) 156,639 206,572
----------- ----------- ---------
Change in net assets...................................... (41,041) 156,639 206,572
NET ASSETS:
Beginning of period.................................. 363,211 206,572 --
----------- ----------- ---------
End of period........................................ $ 322,170 $ 363,211 $ 206,572
=========== =========== =========
SHARE TRANSACTIONS:
Issued............................................... 1,506,239 1,952,249 569,962
Reinvested........................................... 48 36 --
Redeemed............................................. (1,547,327) (1,795,646) (363,390)
----------- ----------- ---------
Change in shares.......................................... (41,040) 156,639 206,572
=========== =========== =========
</TABLE>
- ---------------
(a) For the period from September 12, 1997 (commencement of operations) through
December 31, 1997.
See notes to financial statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT
MONEY MARKET FUND
------------------------------------------
SIX MONTHS YEAR PERIOD
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(a)
---------- ------------ ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................................. $ 8,445 $ 15,242 $ 2,483
Net realized gains (losses) from investment
transactions......................................... 13 -- --
--------- ----------- ---------
Change in net assets resulting from operations.............. 8,458 15,242 2,483
--------- ----------- ---------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income............................. (7,650) (13,432) (1,845)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............................. (795) (1,810) (638)
--------- ----------- ---------
Change in net assets from shareholder distributions......... (8,445) (15,242) (2,483)
--------- ----------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................ 688,079 1,792,891 523,029
Proceeds from shares issued in conversion.............. -- 178,164 --
Dividends reinvested................................... 143 95 14
Cost of shares redeemed................................ (844,979) (1,579,544) (264,804)
--------- ----------- ---------
Change in net assets from share transactions................ (156,757) 391,606 258,239
--------- ----------- ---------
Change in net assets........................................ (156,744) 391,606 258,239
NET ASSETS:
Beginning of period.................................... 649,845 258,239 --
--------- ----------- ---------
End of period.......................................... $ 493,101 $ 649,845 $ 258,239
========= =========== =========
SHARE TRANSACTIONS:
Issued................................................. 688,078 1,792,891 523,029
Issued in conversion................................... -- 178,164 --
Reinvested............................................. 143 95 14
Redeemed............................................... (844,979) (1,579,544) (264,804)
--------- ----------- ---------
Change in shares............................................ (156,758) 391,606 258,239
========= =========== =========
</TABLE>
- ---------------
(a) For the period from August 18, 1997 (commencement of operations) through
December 31, 1997.
See notes to financial statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999
1. ORGANIZATION:
The One Group Mutual Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end investment
company established as a Massachusetts business trust. The accompanying
financial statements and financial highlights are those of the Cash
Management Money Market Fund, previously The Pegasus Cash Management Fund,
the Treasury Prime Cash Management Money Market Fund, previously The Pegasus
Treasury Prime Cash Management Fund, the U.S. Government Securities Cash
Management Money Market Fund, previously The Pegasus U.S. Government
Securities Cash Management Fund, the Treasury Cash Management Money Market
Fund, previously The Pegasus Treasury Cash Management Fund and the Municipal
Cash Management Money Market Fund, previously The Pegasus Municipal Cash
Management Fund (individually, a "Fund"; collectively, the "Funds") only.
The Trust entered into an Agreement and Plan of Reorganization (the "Pegasus
Agreement"), with the Pegasus Funds ("Pegasus"), a Massachusetts business
trust. Pursuant to the Pegasus Agreement, all of the assets and liabilities
of each Pegasus Fund transferred to a Fund of the One Group on March 29, 1999
in exchange for shares of the corresponding Fund of the One Group. Subsequent
to the reorganization, the fiscal year end changed from December 31 to June
30 for the Funds. Therefore, the most recent period presented for the
statements of operations, statements of changes in net assets and financial
highlights for those Funds present the results for the six months ended June
30, 1999. All financial information for the periods prior to March 29, 1999
represent the predecessor fund.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
Cash Management Money Market Fund Seeks high current income with liquidity and
stability of principal.
Treasury Prime Cash Management Money Seeks high current income with liquidity and
Market Fund stability of principal.
U.S. Government Securities Cash Management Seeks high current income with liquidity and
Money Market Fund stability of principal.
Treasury Cash Management Money Market Fund Seeks high current income with liquidity and
stability of principal.
Municipal Cash Management Money Market Seeks high current income exempt from Federal
Fund income tax with liquidity and stability of
principal.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
Continued
26
<PAGE> 29
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
SECURITY VALUATION
Securities are valued utilizing the amortized cost method permitted in
accordance with Rule 2a-7 under the 1940 Act. Under the amortized cost
method, discount or premium is amortized on a constant basis to the
maturity of the security. In addition, the Funds may not (a) purchase any
instrument with a remaining maturity greater than 397 days unless such
instrument is subject to a demand feature, or (b) maintain a
dollar-weighted average maturity which exceeds 90 days.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that are
deemed by Banc One Investment Advisors Corporation (the "Advisor") to be
of good standing and creditworthy under guidelines established by the
Board of Trustees. Each repurchase agreement is recorded at cost. The
Fund requires that the securities purchased in a repurchase transaction
be transferred to the custodian in a manner sufficient to enable the Fund
to obtain those securities in the event of a counterparty default. The
seller, under the repurchase agreement, is required to maintain the value
of the securities held at not less than the repurchase price, including
accrued interest. Repurchase agreements are considered to be loans by a
fund under the 1940 Act.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net
realized gains or losses on sales of securities are determined on the
specific identification cost method. Interest income and expenses are
recognized on the accrual basis. Interest income, including any discount
or premium, is accrued as earned using the straightline amortized cost
method.
SECURITIES LENDING
To generate additional income, the Funds (except Treasury Cash Management
Money Market Fund and Treasury Prime Cash Management Money Market Fund)
may lend up to 33 1/3% of securities in which they are invested pursuant
to agreements requiring that the loan be continuously secured by cash,
U.S. Government or U.S. Government Agency securities, shares of an
investment trust or mutual fund, letters of credit or any combination of
cash, such securities, shares, or letters of credit as collateral equal
at all times to at least 100% of the market value plus accrued interest
on the securities lent. The Funds continue to earn interest on securities
lent while simultaneously seeking to earn interest on the investment of
cash collateral. Collateral is marked to market daily to provide a level
of collateral at least equal to the market value of securities lent.
There may be risks of delay in recovery of the securities or even loss of
rights in the collateral should the borrower of the securities fail
financially. However, loans will be made only to borrowers deemed by the
Advisor to be of good standing and creditworthy under guidelines
established by the Board of Trustees and when, in the judgment of the
Advisor, the consideration which can be earned currently from such
securities loans justifies the attendant risks. Loans are subject to
termination by the Funds or the borrower at any time, and are, therefore,
not considered to be illiquid investments. As of June 30, 1999, the Funds
had no securities on loan.
EXPENSES
Expenses directly attributable to a Fund are charged directly to that
Fund, while the expenses which are attributable to more than one fund of
the Trust are allocated among the respective Funds. Each class of shares
bears its pro-rata portion of expenses attributable to its series, except
that each class separately bears expenses related specifically to that
class, such as distribution fees.
Continued
27
<PAGE> 30
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly.
Net income for this purpose consists of interest accrued and discount
earned (including both original issue discount and market discount) less
amortization of any market premium and accrued expenses. Net realized
capital gains, if any, are distributed at least annually. Dividends are
declared separately for each class. No class has preferential dividend
rights; differences in per share dividend rates are due to differences in
separate class expenses.
Net investment income and net capital gain distributions are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments of expiring capital loss carryforwards and deferrals
of certain losses. Permanent book and tax differences, if any, have been
reclassified among the components of net assets.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment
company by complying with the provisions available to certain investment
companies as defined in applicable sections of the Internal Revenue Code,
and to make distributions of net investment income and net realized
capital gains sufficient to relieve it from all, or substantially all,
Federal income taxes.
DEFERRED ORGANIZATION COSTS
Organization costs for Funds commencing operations prior to June 30, 1998
are amortized on a straight-line basis over a five year period beginning
with the commencement of operations of each fund.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-nine series and five classes of shares: Class I, Class A, Class B,
Class C and Service Class. Currently, the Trust consists of forty-nine active
funds. The Funds are each authorized to issue Class I and Class A shares.
Shareholders are entitled to one vote for each full share held and vote in
the aggregate and not by class or series, except as otherwise expressly
required by law or when the Board of Trustees has determined that the matter
to be voted on affects only the interest of shareholders of a particular
class or series. The following is a summary of transactions in fund shares
for the periods noted:
Continued
28
<PAGE> 31
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
----------------------------------------- -----------------------------------------
SIX MONTHS YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997 1999 1998 1997
----------- ------------ ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued...... $5,611,735 $10,320,125 $ 6,087,059 $ 208,525 $ 437,701 $ 686,151
Proceeds from shares issued in
conversion..................... -- 149,308 -- -- -- --
Dividends reinvested............. 2,413 4,513 4,462 1,233 785 346
Cost of shares redeemed.......... (5,742,417) (10,103,171) (6,272,198) (273,738) (339,669) (665,804)
----------- ------------ ----------- ----------- ----------- -----------
Change in net assets from Class I
Share transactions............. $ (128,269) $ 370,775 $ (180,677) $ (63,980) $ 98,817 $ 20,693
=========== ============ =========== =========== =========== ===========
CLASS A SHARES:
Proceeds from shares issued...... $3,224,803 $ 5,608,606 $ 3,448,479 $1,001,845 $ 1,728,824 $ 1,651,851
Dividends reinvested............. -- 3 -- -- 119 49
Cost of shares redeemed.......... (3,486,770) (5,079,545) (2,687,965) (997,097) (1,493,090) (1,633,350)
----------- ------------ ----------- ----------- ----------- -----------
Change in net assets from Class A
Share transactions............. $ (261,967) $ 529,064 $ 760,514 $ 4,748 $ 235,853 $ 18,550
=========== ============ =========== =========== =========== ===========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued........................... 5,611,735 10,320,125 6,087,059 208,525 437,701 686,151
Issued in conversion............. -- 149,308 -- -- -- --
Reinvested....................... 2,413 4,513 4,462 1,233 785 346
Redeemed......................... (5,742,417) (10,103,171) (6,272,198) (273,738) (339,669) (665,804)
----------- ------------ ----------- ----------- ----------- -----------
Change in Class I Shares......... (128,269) 370,775 (180,677) (63,980) 98,817 20,693
=========== ============ =========== =========== =========== ===========
CLASS A SHARES:
Issued........................... 3,224,803 5,608,606 3,448,479 1,001,844 1,728,824 1,651,851
Reinvested....................... -- 3 -- -- 119 49
Redeemed......................... (3,486,770) (5,079,545) (2,687,965) (997,097) (1,493,090) (1,633,350)
----------- ------------ ----------- ----------- ----------- -----------
Change in Class A Shares......... (261,967) 529,064 760,514 4,747 235,853 18,550
=========== ============ =========== =========== =========== ===========
</TABLE>
Continued
29
<PAGE> 32
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
U.S. GOVERNMENT TREASURY
SECURITIES CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
----------------------------------------- ------------------------------------------
SIX MONTHS YEAR YEAR SIX MONTHS YEAR SEPTEMBER 12,
ENDED ENDED ENDED ENDED ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997 1999 1998 1997(A)
----------- ------------ ------------ ----------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued...... $3,179,130 $ 5,277,035 $ 3,117,508 $ 371,488 $ 73,530 $ 6,839
Dividends reinvested............. 911 1,541 1,027 40 36 --
Cost of shares redeemed.......... (3,341,480) (4,795,113) (2,953,337) (212,543) (42,220) (5,989)
----------- ----------- ----------- ----------- ----------- ---------
Change in net assets from Class I
Share transactions............. $ (161,439) $ 483,463 $ 165,198 $ 158,985 $ 31,346 $ 850
=========== =========== =========== =========== =========== =========
CLASS A SHARES:
Proceeds from shares issued...... $1,742,612 $ 2,704,680 $ 2,047,006 $1,134,750 $ 1,878,719 $ 563,123
Dividends reinvested............. -- 143 90 8 -- --
Cost of shares redeemed.......... (1,534,976) (2,502,717) (1,896,480) (1,334,784) (1,753,426) (357,401)
----------- ----------- ----------- ----------- ----------- ---------
Change in net assets from Class A
Share transactions............. $ 207,636 $ 202,106 $ 150,616 $ (200,026) $ 125,293 $ 205,722
=========== =========== =========== =========== =========== =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued........................... 3,179,130 5,277,035 3,117,508 371,489 73,530 6,839
Reinvested....................... 911 1,541 1,027 40 36 --
Redeemed......................... (3,341,481) (4,795,113) (2,953,337) (212,543) (42,220) (5,989)
----------- ----------- ----------- ----------- ----------- ---------
Change in Class I Shares......... (161,440) 483,463 165,198 158,986 31,346 850
=========== =========== =========== =========== =========== =========
CLASS A SHARES:
Issued........................... 1,742,611 2,704,680 2,047,006 1,134,750 1,878,719 563,123
Reinvested....................... -- 143 90 8 -- --
Redeemed......................... (1,534,976) (2,502,717) (1,896,480) (1,334,784) (1,753,426) (357,401)
----------- ----------- ----------- ----------- ----------- ---------
Change in Class A Shares......... 207,635 202,106 150,616 (200,026) 125,293 205,722
=========== =========== =========== =========== =========== =========
</TABLE>
- ---------------
(a) Period from commencement of operations.
Continued
30
<PAGE> 33
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
MUNICIPAL
CASH MANAGEMENT
MONEY MARKET FUND
-------------------------------------------
SIX MONTHS AUGUST 18,
ENDED YEAR ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(A)
----------- ------------ ------------
<S> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 448,773 $ 1,314,947 $ 322,413
Proceeds from shares issued in conversion................. -- 178,164 --
Dividends reinvested...................................... 143 95 14
Cost of shares redeemed................................... (560,729) (1,106,309) (120,722)
--------- ----------- ---------
Change in net assets from Class I Share transactions...... $(111,813) $ 386,897 $ 201,705
========= =========== =========
CLASS A SHARES:
Proceeds from shares issued............................... $ 239,306 $ 477,944 $ 200,616
Cost of shares redeemed................................... (284,250) (473,235) (144,082)
--------- ----------- ---------
Change in net assets from Class A Share transactions...... $ (44,944) $ 4,709 $ 56,534
========= =========== =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 448,773 1,314,947 322,413
Issued in conversion...................................... -- 178,164 --
Reinvested................................................ 143 95 14
Redeemed.................................................. (560,729) (1,106,309) (120,722)
--------- ----------- ---------
Change in Class I Shares.................................. (111,813) 386,897 201,705
========= =========== =========
CLASS A SHARES:
Issued.................................................... 239,305 477,944 200,616
Redeemed.................................................. (284,250) (473,235) (144,082)
--------- ----------- ---------
Change in Class A Shares.................................. (44,945) 4,709 56,534
========= =========== =========
</TABLE>
- ------------
(a) Period from commencement of operations.
4. INVESTMENT ADVISORY, ADMINISTRATIVE, AND DISTRIBUTION AGREEMENTS:
The Trust and the Advisor, are parties to an investment advisory agreement
under which the Advisor is entitled to receive an annual fee, computed daily
and paid monthly, equal to 0.20% of the average daily net assets of the Cash
Management Money Market Fund, the Treasury Prime Cash Management Money Market
Fund, the U.S. Government Securities Cash Management Money Market Fund, the
Treasury Cash Management Money Market Fund and the Municipal Cash Management
Money Market Fund.
Prior to March 29, 1999, the Pegasus Funds and First Chicago NBD Investment
Management Company ("FCNIMCO") were parties to an investment advisory
agreement under which the Advisor was entitled to a fee, computed daily and
paid monthly, at an annual rate of 0.20% of the average net assets of the
Funds.
The Trust and The One Group Services Company (the "Administrator"), a
wholly-owned subsidiary of The BISYS Group, Inc., are parties to an
administration agreement under which the Administrator provides services for
a fee that is computed daily and paid monthly, at an annual rate of 0.20% on
the first $1.5 billion of Trust net assets (excluding the Investor Growth
Fund, the Investor Growth & Income Fund, the Investor Conservative Growth
Fund and the Investor Balanced Fund (the "Investor Funds") and the Treasury
Only Money Market Fund, Institutional Prime Money Market Fund and the
Government Money Market Fund (the "Institutional Money Market Funds")); 0.18%
on the next $0.5 billion of Trust net assets (excluding the Investor Funds
and the
Continued
31
<PAGE> 34
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
Institutional Money Market Funds); and 0.16% of Trust net assets (excluding
the Investor Funds and the Institutional Money Market Funds) over $2 billion.
The Advisor also serves as Sub-Administrator to each Fund of the Trust,
pursuant to an agreement between the Administrator and the Advisor. Pursuant
to this agreement, the Advisor performs many of the Administrator's duties,
for which the Advisor receives a fee paid by the Administrator.
Prior to March 29, 1999, FCNIMCO and BISYS Fund Services
("Co-Administrators") were parties to a Co-Administration agreement under
which the Co-Administrators were entitled to a fee, computed daily and paid
monthly, at an annual rate of 0.15% of the average net assets of the Funds.
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A shares are subject to distribution and shareholder
services plan (the "Plan") pursuant to Rule 12b-1 under the 1940 Act. As
provided in the Plan, the Trust will pay the Distributor a fee of 0.25% of
the average daily net assets of Class A shares of each of the Funds. Up to
0.25% of the fees payable under the Plan may be used as compensation of
shareholder services by the Distributor and/or financial institutions and
intermediaries. Fees paid under the Plan may be applied by the Distributor
toward (i) compensation for its services in connection with distribution
assistance or provision of shareholder services; or (ii) payments to
financial institutions and intermediaries such as banks (including affiliates
of the Advisor), brokers, dealers and other institutions, including the
Distributor's affiliates and subsidiaries as compensation for services or
reimbursement of expenses incurred in connection with distribution assistance
or provision of shareholder services. Class I shares of each Fund are offered
without distribution fees.
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
The Advisor and Administrator voluntarily agreed to waive a portion of their
fees. For the six months ended June 30, 1999, fees in the following amounts
were waived from the Funds (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT
ADVISORY ADMINISTRATION
FEES WAIVED FEES WAIVED
----------- --------------
<S> <C> <C>
Cash Management Money Market Fund........................... $631 $72
Treasury Prime Cash Management Money Market Fund............ 192 17
U.S. Government Securities Cash Management Money Market
Fund...................................................... 232 43
Treasury Cash Management Money Market Fund.................. 160 14
Municipal Cash Management Money Market Fund................. 175 25
</TABLE>
5. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by FCNIMCO were
exchanged in a tax-free conversion for shares of the corresponding Funds
(Class I). The transactions were accounted for by a method followed for tax
purposes in a tax-free business combination. The following is a summary of
shares issued, net assets converted and net asset value per share issued as
of the conversion date (amounts in thousands, except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
PER
SHARES NET ASSETS SHARE
ISSUED CONVERTED ISSUED
------- ---------- ---------
<S> <C> <C> <C>
September 18, 1998
Cash Management Money Market Fund........................... 149,308 $149,308 $1.00
Municipal Cash Management Money Market Fund................. 178,164 178,164 1.00
</TABLE>
Continued
32
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
6. PEGASUS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Reorganization") of the Pegasus Funds pursuant to which all of the
assets and liabilities of each Pegasus Fund was transferred to a fund of the
One Group in exchange for shares of the corresponding fund of the One Group.
The Reorganization, which qualified as a tax-free exchange for Federal income
tax purposes, was completed on March 29, 1999 following approval by
shareholders of the Pegasus Funds at a special shareholder meeting. The
following is a summary of shares outstanding and net assets immediately
before and after the Reorganization (amounts in thousands):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
--------------------- --------------------------
PEGASUS CASH CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND
--------------------- --------------------------
<S> <C> <C>
Shares............................................ 2,422,998 2,422,998
Net assets........................................ $2,422,797 $2,422,797
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
--------------------- --------------------------
PEGASUS TREASURY TREASURY PRIME
PRIME CASH CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND
--------------------- --------------------------
<S> <C> <C>
Shares............................................ 563,715 563,715
Net assets........................................ $563,697 $563,697
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
--------------------- --------------------------
PEGASUS U.S.
GOVERNMENT U.S. GOVERNMENT SECURITIES
SECURITIES CASH CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND
--------------------- --------------------------
<S> <C> <C>
Shares............................................ 1,557,027 1,557,027
Net assets........................................ $1,556,520 $1,556,520
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
--------------------- --------------------------
PEGASUS TREASURY TREASURY
CASH MANAGEMENT CASH MANAGEMENT
FUND MONEY MARKET FUND
--------------------- --------------------------
<S> <C> <C>
Shares............................................ 419,386 419,386
Net assets........................................ $419,386 $419,386
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
--------------------- --------------------------
PEGASUS MUNICIPAL
MUNICIPAL CASH CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND
--------------------- --------------------------
<S> <C> <C>
Shares............................................ 643,344 643,344
Net assets........................................ $643,367 $643,367
</TABLE>
Continued
33
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
7. FEDERAL TAX INFORMATION (UNAUDITED):
As of the tax fiscal year-end, December 31, 1998, the following funds have
capital loss carryforwards which are available to offset future capital gains
if any (amounts in thousands):
<TABLE>
<CAPTION>
EXPIRES
-------------------------
FUND 2001 2002 2003 2004 TOTAL
---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C>
Cash Management Money Market Fund........................... $19 $151 $32 $-- $202
U.S. Government Securities Cash Management Money Market
Fund...................................................... -- 450 57 -- 507
</TABLE>
Capital losses incurred after October 31 within the Funds tax fiscal year may
be deferred and treated as occurring on the first day of the following year.
The following deferred losses will be treated as arising on the first day of
the tax fiscal year ended December 31, 1998 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- ------
<S> <C>
Treasury Prime Cash Management Money Market Fund............ $14
</TABLE>
34
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------------------
SIX MONTHS JULY 1, YEAR
ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
JUNE 30, --------------------------------- DECEMBER 31, JUNE 30,
1999 1998 1997 1996 1995(A) 1995
---------- ---------- -------- -------- ------------ --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income............. 0.023 0.052 0.053 0.051 0.028 0.051
Net realized gains (losses) from
investments..................... -- --(b) -- --(b) --(b) (0.006)
-------- ---------- -------- -------- -------- --------
Total from Investment Activities.... 0.023 0.052 0.053 0.051 0.028 0.045
-------- ---------- -------- -------- -------- --------
Distributions:
Net investment income............. (0.023) (0.052) (0.053) (0.051) (0.028) (0.051)
-------- ---------- -------- -------- -------- --------
Total Distributions................. (0.023) (0.052) (0.053) (0.051) (0.028) (0.051)
-------- ---------- -------- -------- -------- --------
Increase due to Capital Contribution
from an affiliate of FCNIMCO...... -- -- -- -- -- 0.006
-------- ---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ========== ======== ======== ======== ========
Total Return........................ 2.35%(d) 5.36% 5.41% 5.23% 2.80%(d) 5.19%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)........................... $947,776 $1,076,045 $705,270 $885,946 $389,127 $319,214
Ratio of expenses to average net
assets.......................... 0.34%(e) 0.35% 0.35% 0.35% 0.35%(e) 0.35%
Ratio of net investment income to
average net assets.............. 4.69%(e) 5.21% 5.36% 5.19% 5.51%(e) 5.11%
Ratio of expenses to average net
assets*......................... 0.40%(e) 0.39% 0.38% 0.42% 0.43%(e) 0.44%
Ratio of net investment income to
average net assets*............. 4.63%(e) 5.17% 5.33% 5.12% 5.43%(e) 5.02%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Effective July 1, 1995 the Fund changed its fiscal year end from June 30 to
December 31.
(b) Amount is less than .001.
(c) If the Fund had not had a capital contribution by an affiliate of FCNIMCO
during the period, the total return would have been 4.51%.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
-----------------------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------------------
SIX MONTHS JULY 1, JANUARY 17,
ENDED YEAR ENDED DECEMBER 31, 1995 TO 1995 TO
JUNE 30, --------------------------------- DECEMBER 31, JUNE 30,
1999 1998 1997 1996 1995(A) 1995(b)
---------- ---------- -------- -------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- -------- -------- -------- -------
Investment Activities:
Net investment income............ 0.022 0.050 0.050 0.048 0.026 0.025
Net realized gains (losses) from
investments.................... -- --(c) -- --(c) --(c) --(c)
---------- ---------- -------- -------- -------- -------
Total from Investment Activities... 0.022 0.050 0.050 0.048 0.026 0.025
---------- ---------- -------- -------- -------- -------
Distributions:
Net investment income............ (0.022) (0.050) (0.050) (0.048) (0.026) (0.025)
---------- ---------- -------- -------- -------- -------
Total Distributions................ (0.022) (0.050) (0.050) (0.048) (0.026) (0.025)
---------- ---------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ======== ======== ======== =======
Total Return....................... 2.22%(d) 5.10% 5.15% 4.98% 2.68%(d) 2.47%(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000).......................... $1,259,860 $1,521,827 $992,763 $232,249 $121,750 $11,372
Ratio of expenses to average net
assets......................... 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e) 0.60%(e)
Ratio of net investment income to
average net assets............. 4.45%(e) 5.04% 5.11% 4.94% 5.25%(e) 5.46%(e)
Ratio of expenses to average net
assets*........................ 0.65%(e) 0.64% 0.63% 0.67% 0.69%(e) 0.71%(e)
Ratio of net investment income to
average net assets*............ 4.40%(e) 5.00% 5.08% 4.87% 5.16%(e) 5.35%(e)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Effective July 1, 1995 the Fund changed its fiscal year end from June 30 to
December 31.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------
SIX MONTHS MARCH 22,
ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, ------------------------------ DECEMBER 31,
1999 1998 1997 1996 1995(a)
---------- -------- ------- ------- ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- ------- ------- -------
Investment Activities:
Net investment income.......................... 0.021 0.047 0.048 0.047 0.040
Net realized gains(losses) from investments.... --(b) -- -- --(b) --
-------- -------- ------- ------- -------
Total from Investment Activities................. 0.021 0.047 0.048 0.047 0.040
-------- -------- ------- ------- -------
Distributions:
Net investment income.......................... (0.021) (0.047) (0.048) (0.047) (0.040)
-------- -------- ------- ------- -------
Total Distributions.............................. (0.021) (0.047) (0.048) (0.047) (0.040)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======= ======= =======
Total Return..................................... 2.12%(c) 4.76% 4.90% 4.86% 4.06%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).............. $125,645 $189,630 $90,813 $70,120 $14,008
Ratio of expenses to average net assets........ 0.35%(d) 0.35% 0.35% 0.35% 0.35%(d)
Ratio of net investment income to average net
assets....................................... 4.24%(d) 4.55% 4.79% 4.84% 5.16%(d)
Ratio of expenses to average net assets*....... 0.42%(d) 0.40% 0.40% 0.46% 1.23%(d)
Ratio of net investment income to average net
assets*...................................... 4.17%(d) 4.50% 4.74% 4.73% 4.28%(d)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .001.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------
SIX MONTHS MARCH 22,
ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, -------------------------------- DECEMBER 31,
1999 1998 1997 1996 1995(a)
---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Investment Activities:
Net investment income........................ 0.020 0.044 0.045 0.045 0.038
Net realized gains (losses) from
investments................................ --(b) -- -- -- --
-------- -------- -------- -------- --------
Total from Investment Activities............... 0.020 0.044 0.045 0.045 0.038
-------- -------- -------- -------- --------
Distributions:
Net investment income........................ (0.020) (0.044) (0.045) (0.045) (0.038)
-------- -------- -------- -------- --------
Total Distributions............................ (0.020) (0.044) (0.045) (0.045) (0.038)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
Total Return................................... 2.00%(c) 4.50% 4.64% 4.60% 3.86%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............ $474,180 $469,443 $233,590 $215,040 $130,559
Ratio of expenses to average net assets...... 0.60%(d) 0.60% 0.60% 0.60% 0.60%(d)
Ratio of net investment income to average net
assets..................................... 3.99%(d) 4.35% 4.54% 4.59% 4.72%(d)
Ratio of expenses to average net assets*..... 0.67%(d) 0.65% 0.65% 0.71% 0.74%(d)
Ratio of net investment income to average net
assets*.................................... 3.92%(d) 4.30% 4.49% 4.48% 4.58%(d)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .001.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------------------
SIX MONTHS JUNE 1, YEAR
ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
JUNE 30, -------------------------------- DECEMBER 31, MAY 31,
1999 1998 1997 1996 1995(A) 1995
---------- ---------- -------- -------- ------------ --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income.............. 0.023 0.051 0.052 0.050 0.032 0.049
Net realized gains (losses) from
investments...................... --(b) -- --(b) --(b) --(b) --(b)
-------- ---------- -------- -------- -------- --------
Total from Investment Activities..... 0.023 0.051 0.052 0.050 0.032 0.049
-------- ---------- -------- -------- -------- --------
Distributions:
Net investment income.............. (0.023) (0.051) (0.052) (0.050) (0.032) (0.049)
-------- ---------- -------- -------- -------- --------
Total Distributions.................. (0.023) (0.051) (0.052) (0.050) (0.032) (0.049)
-------- ---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ========== ======== ======== ======== ========
Total Return......................... 2.28%(c) 5.26% 5.34% 5.15% 3.24%(c) 5.03%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)............................ $856,449 $1,017,830 $534,364 $369,163 $489,395 $475,248
Ratio of expenses to average net
assets........................... 0.35%(d) 0.35% 0.35% 0.35% 0.35%(d) 0.34%
Ratio of net investment income to
average net assets............... 4.56%(d) 5.11% 5.27% 5.09% 5.46%(d) 4.94%
Ratio of expenses to average net
assets*.......................... 0.38%(d) 0.37% 0.36% 0.43% 0.42%(d) 0.41%
Ratio of net investment income to
average net assets*.............. 4.53%(d) 5.09% 5.26% 5.01% 5.39%(d) 4.87%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Effective June 1, 1995, the fund changed its fiscal year end from May 31 to
December 31.
(b) Amount is less than .001.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------------
SIX MONTHS JUNE 1, JANUARY 17
ENDED YEAR ENDED DECEMBER 31, 1995 TO 1995 TO
JUNE 30, ------------------------------- DECEMBER 31, MAY 31,
1999 1998 1997 1996 1995(A) 1995(b)
---------- -------- -------- -------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- ------- -------
Investment Activities:
Net investment income.............. 0.021 0.049 0.050 0.048 0.031 0.020
Net realized gains (losses) from
investments...................... --(c) -- --(c) --(c) --(c) --(c)
-------- -------- -------- -------- ------- -------
Total from Investment Activities..... 0.021 0.049 0.050 0.048 0.031 0.020
-------- -------- -------- -------- ------- -------
Distributions:
Net investment income.............. (0.021) (0.049) (0.050) (0.048) (0.031) (0.020)
-------- -------- -------- -------- ------- -------
Total Distributions.................. (0.021) (0.049) (0.050) (0.048) (0.031) (0.020)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======= =======
Total Return......................... 2.16%(d) 5.00% 5.08% 4.89% 3.09%(d) 2.01%(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)............................ $767,457 $559,770 $357,663 $207,046 $56,000 $16,702
Ratio of expenses to average net
assets........................... 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e) 0.57%(e)
Ratio of net investment income to
average net assets............... 4.31%(e) 4.87% 5.02% 4.84% 5.17%(e) 5.48%(e)
Ratio of expenses to average net
assets*.......................... 0.63%(e) 0.62% 0.61% 0.68% 0.69%(e) 0.66%(e)
Ratio of net investment income to
average net assets*.............. 4.28%(e) 4.85% 5.01% 4.76% 5.08%(e) 5.39%(e)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Effective June 1, 1995, the Fund changed its fiscal year end from May 31 to
December 31.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT
MONEY MARKET FUND
--------------------------------------------
CLASS I SHARES
--------------------------------------------
SIX MONTHS SEPTEMBER 12,
ENDED YEAR ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(a)
----------- ------------ -------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 1.000 $ 1.000 $ 1.000
-------- ------- -------
Investment Activities:
Net investment income..................................... 0.022 0.051 0.016
-------- ------- -------
Total from Investment Activities............................ 0.022 0.051 0.016
-------- ------- -------
Distributions:
Net investment income..................................... (0.022) (0.051) (0.016)
-------- ------- -------
Total Distributions......................................... (0.022) (0.051) (0.016)
-------- ------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 1.000 $ 1.000 $ 1.000
======== ======= =======
Total Return................................................ 2.22%(b) 5.20% 5.29%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $191,181 $32,196 $ 850
Ratio of expenses to average net assets................... 0.35%(c) 0.35% 0.35%(c)
Ratio of net investment income to average net assets...... 4.44%(c) 4.97% 5.28%(c)
Ratio of expenses to average net assets*.................. 0.43%(c) 0.40% 0.41%(c)
Ratio of net investment income to average net assets*..... 4.36%(c) 4.92% 5.22%(c)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT
MONEY MARKET FUND
--------------------------------------------
CLASS A SHARES
--------------------------------------------
SIX MONTHS SEPTEMBER 12,
ENDED YEAR ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(a)
----------- ------------ -------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 1.000 $ 1.000 $ 1.000
-------- -------- --------
Investment Activities:
Net investment income..................................... 0.021 0.048 0.015
-------- -------- --------
Total from Investment Activities............................ 0.021 0.048 0.015
-------- -------- --------
Distributions:
Net investment income..................................... (0.021) (0.048) (0.015)
-------- -------- --------
Total Distributions......................................... (0.021) (0.048) (0.015)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 1.000 $ 1.000 $ 1.000
======== ======== ========
Total Return................................................ 2.10%(b) 4.94% 5.04%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $130,989 $331,015 $205,722
Ratio of expenses to average net assets................... 0.60%(c) 0.60% 0.60%(c)
Ratio of net investment income to average net assets...... 4.19%(c) 4.82% 5.03%(c)
Ratio of expenses to average net assets*.................. 0.68%(c) 0.65% 0.66%(c)
Ratio of net investment income to average net assets*..... 4.11%(c) 4.77% 4.97%(c)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT
MONEY MARKET FUND
-------------------------------------------
CLASS I SHARES
-------------------------------------------
SIX MONTHS AUGUST 18,
ENDED YEAR ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(a)
----------- ------------ ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 1.000 $ 1.000 $ 1.000
-------- -------- --------
Investment Activities:
Net investment income..................................... 0.014 0.032 0.013
Net realized gains (losses) from investments.............. --(b) -- --
-------- -------- --------
Total from Investment Activities............................ 0.014 0.032 0.013
-------- -------- --------
Distributions:
Net investment income..................................... (0.014) (0.032) (0.013)
-------- -------- --------
Total Distributions......................................... (0.014) (0.032) (0.013)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 1.000 $ 1.000 $ 1.000
======== ======== ========
Total Return................................................ 1.39%(c) 3.20% 3.39%(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $476,802 $588,602 $201,705
Ratio of expenses to average net assets................... 0.35%(d) 0.35% 0.35%(d)
Ratio of net investment income to average net assets...... 2.77%(d) 3.12% 3.37%(d)
Ratio of expenses to average net assets*.................. 0.41%(d) 0.39% 0.41%(d)
Ratio of net investment income to average net assets*..... 2.71%(d) 3.08% 3.31%(d)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .001.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT
MONEY MARKET FUND
-------------------------------------------
CLASS A SHARES
-------------------------------------------
SIX MONTHS AUGUST 18,
ENDED YEAR ENDED 1997 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997(A)
----------- ------------ ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 1.000 $ 1.000 $ 1.000
------- ------- -------
Investment Activities:
Net investment income..................................... 0.013 0.029 0.012
Net realized gains (losses) from investments.............. --(b) -- --
------- ------- -------
Total from Investment Activities............................ 0.013 0.029 0.012
------- ------- -------
Distributions:
Net investment income..................................... (0.013) (0.029) (0.012)
------- ------- -------
Total Distributions......................................... (0.013) (0.029) (0.012)
------- ------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 1.000 $ 1.000 $ 1.000
======= ======= =======
Total Return................................................ 1.27%(c) 2.95% 3.14%(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $16,299 $61,243 $56,534
Ratio of expenses to average net assets................... 0.60%(d) 0.60% 0.60%(d)
Ratio of net investment income to average net assets...... 2.52%(d) 2.90% 3.12%(d)
Ratio of expenses to average net assets*.................. 0.66%(d) 0.64% 0.66%(d)
Ratio of net investment income to average net assets*..... 2.46%(d) 2.86% 3.06%(d)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than .001.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
To the Shareholders and Board of Trustees of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio of investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Cash Management
Money Market Fund (formerly the Pegasus Cash Management Fund), the Treasury
Prime Cash Management Money Market Fund (formerly the Pegasus Treasury Prime
Cash Management Fund), the U.S. Government Securities Cash Management Money
Market Fund (formerly the Pegasus U.S. Government Securities Cash Management
Fund), the Treasury Cash Management Money Market Fund (formerly the Pegasus
Treasury Cash Management Fund) and the Municipal Cash Management Money Market
Fund (formerly the Pegasus Municipal Cash Management Fund) (five series of One
Group Mutual Funds, hereafter referred to as the "Funds") at June 30, 1999, and
the results of each of their operations, the changes in each of their net
assets, and the financial highlights for the six month period then ended, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at June 30, 1999, by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above. The financial statements of each of the Funds for
all periods ended on or before December 31, 1998 were audited by other
independent accountants whose report dated February 12, 1999, expressed an
unqualified opinion on those statements and financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 20, 1999
45
<PAGE> 48
(This page has been left blank intentionally.)
<PAGE> 49
Important Customer Information.
Please Read:
Shares of One Group:
- - are not deposits or obligations of, or guaranteed by, BANK ONE CORPORATION or
its affiliates
- - are not insured or guaranteed by the FDIC or by any other governmental agency
or government-sponsored agency of the federal government or any state
- - are subject to investment risks, including possible loss of the principal
amount invested.
Banc One Investment Advisors Corporation, a registered investment advisor and
an indirect subsidiary of BANK ONE CORPORATION, serves as an investment advisor
to One Group, for which it receives advisory fees. One Group is distributed by
The One Group Services Company, 3435 Stelzer Road, Columbus, Ohio 43219, which
is not affiliated with BANK ONE CORPORATION and is not a bank. Contact us at
our web site address: www.onegroup.com or e-mail us at [email protected].
For more complete information on any of One Group Funds, including management
fees and expenses, you may obtain a prospectus from The One Group Services
Company. Read the prospectus carefully before investing.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION
[BANK ONE LOGO]
TOG-F-227-AN (8/99)
