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CASH MANAGEMENT MONEY MARKET FUNDS
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED DECEMBER 31, 1999
[LOGO] ONE GROUP MUTUAL FUND
ONE GROUP(R) CASH MANAGEMENT MONEY MARKET FUND
ONE GROUP(R) TREASURY PRIME CASH MANAGEMENT
MONEY MARKET FUND
ONE GROUP(R) U.S. GOVERNMENT SECURITIES CASH
MANAGEMENT MONEY MARKET FUND
ONE GROUP(R) TREASURY CASH MANAGEMENT MONEY
MARKET FUND
ONE GROUP(R) MUNICIPAL CASH MANAGEMENT MONEY
MARKET FUND
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NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
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TABLE OF CONTENTS
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS DECEMBER 31, 1999
Portfolio Performance Review................................................. 3
Schedules of Portfolio Investments........................................... 4
Statements of Assets and Liabilities......................................... 14
Statements of Operations..................................................... 15
Statements of Changes in Net Assets.......................................... 16
Schedules of Capital Stock Activity.......................................... 18
Financial Highlights......................................................... 20
Notes to Financial Statements................................................ 30
1
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(This page has been left blank intentionally.)
2
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Portfolio Performance Review
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ONE GROUP MUTUAL FUNDS DECEMBER 31, 1999
ECONOMIC OUTLOOK
1999 was yet another year in which the U.S. economy demonstrated its remarkable
resiliency. The economy turned in another year of strong growth and low
inflation despite a major currency devaluation in Latin America and higher
interest rates in the U.S.
Despite low inflation, the Federal Reserve became more restrictive in 1999, with
three hikes in the federal funds rate. The central bank was concerned that labor
markets might be too tight, which could lead to the emergence of wage pressures
and eventually higher overall inflation.
Looking ahead to 2000, we see another good year for the U.S. economy. Because we
are still experiencing strong job growth, low inflation and high levels of
consumer confidence, it's a good bet that consumer spending will continue to
fuel healthy overall economic growth. Our forecast is that the economy will
expand by 3.6 percent in 2000 and that the current expansion (which began in
April 1991) will easily last until February, at which point it will become the
longest expansion in U.S. history.
We also are looking for inflation to remain low. We do expect the inflation rate
to gradually accelerate as wages begin to move higher, but we are not looking
for any dramatic spikes in inflation anytime in the near future. Still, as long
as labor markets remain this tight, the Federal Reserve is likely to remain on
alert. Until there is a significant and sustained loosening in the labor market,
the central bank will continue to be concerned about rising wages putting upward
pressure on the overall inflation rate. Because we expect that the unemployment
rate will stay close to its current low level throughout the year, and because
we are anticipating a slightly higher inflation rate, our forecast calls for
higher interest rates in 2000. On the whole, however, the outlook is very
positive. With strong growth and low inflation, the U.S. economy appears headed
for another solid year.
/s/ Anthony Chan
Anthony Chan, Ph.D.
Managing Director and Chief Economist
Banc One Investment Advisors
3
<PAGE> 6
- --------------------------------------------------------------------------------
One Group Mutual Funds
Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER (61.2%):
Asset Backed (44.1%):
$ 12,500 Amsterdam Funding Corp., 6.33%,
1/6/00........................... $ 12,489
25,000 Amsterdam Funding Corp., 5.41%,
1/7/00........................... 24,977
15,000 Amsterdam Funding Corp., 6.30%,
1/11/00.......................... 14,974
48,000 Amsterdam Funding Corp., 6.55%,
2/4/00........................... 47,703
50,000 Aquinas Funding, L.L.C., 6.28%,
1/14/00.......................... 49,887
30,000 Bavaria T.R.R. Corp., 6.35%,
1/11/00.......................... 29,947
17,500 CC U.S.A., Inc., 5.80%, 4/25/00.... 17,176
25,000 Citibank Credit Card Master Trust
(Dakota), 5.99%, 2/22/00......... 24,784
25,000 Concord Minutemen Capital Co.
L.L.C., 5.92%, 1/21/00........... 24,918
49,000 Dorada Finance, Inc., 5.43%,
1/21/00.......................... 48,852
123,822 Greenwich Funding Corp., 5.97%,
1/13/00.......................... 123,576
25,000 K2 (USA) L.L.C., 6.60%, 3/13/00*... 25,000
37,000 K2 (USA) L.L.C., 6.61%, 3/13/00*... 37,000
29,000 K2 (USA) L.L.C., 5.80%, 4/17/00.... 28,500
50,000 Kitty Hawk Funding Corp., 5.44%,
2/15/00.......................... 49,660
20,000 Links Finance L.L.C., 6.30%,
1/14/00.......................... 19,955
47,000 Montauk Funding Corp., 6.65%,
2/3/00........................... 46,713
30,000 Old Line Funding Corp., 6.23%,
1/20/00.......................... 29,901
31,723 Old Line Funding Corp., 5.80%,
1/28/00.......................... 31,585
92,000 Park Avenue Receivables Corp.,
6.63%, 2/2/00*................... 92,000
25,000 Repeat Offering Securitisation
Entity, Inc., 6.07%, 1/20/00..... 24,920
20,820 Sceptre International, Inc., 5.98%,
1/18/00.......................... 20,761
55,100 Sceptre International, Inc., 6.01%,
2/8/00........................... 54,750
37,000 Sceptre International, Inc., 6.01%,
2/10/00.......................... 36,753
28,300 Sheffield Receivables Corp., 5.95%,
1/20/00.......................... 28,211
50,000 Sheffield Receivables Corp., 6.05%,
1/25/00.......................... 49,798
20,000 Sigma Finance, Inc., 6.60%,
3/15/00*......................... 20,000
60,000 Special Purpose Accounts Receivable
Cooperative Corp., 6.00%,
2/9/00........................... 59,604
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER, CONTINUED:
Asset Backed, continued:
$ 81,500 Special Purpose Accounts Receivable
Cooperative Corp., 5.53%,
2/11/00*......................... $ 81,500
35,000 Special Purpose Accounts Receivable
Cooperative Corp., 6.00%,
2/28/00.......................... 34,662
25,000 Variable Funding Capital Corp.,
5.41%, 1/7/00.................... 24,977
----------
1,215,533
----------
Banking (9.0%):
25,000 AB Spintab, 6.00%, 2/7/00.......... 24,846
25,000 AB Spintab, 6.00%, 2/7/00.......... 24,724
50,000 BHF Finance, 6.00%, 2/3/00......... 49,725
50,000 Galicia Buenos Aires Funding Corp.,
5.40%, 3/28/00................... 49,348
100,000 UBS Finance (De), Inc., 4.25%,
1/3/00........................... 99,976
----------
248,619
----------
Brokerage Services (4.5%):
125,000 Merril Lynch & Co., Inc., 5.60%,
1/18/00.......................... 124,669
----------
Mortgage Bankers & Correspondents (2.9%):
50,000 Homeside Lending, Inc., 6.45%,
1/27/00.......................... 49,767
30,000 Homeside Lending, Inc., 5.97%,
1/31/00.......................... 29,851
----------
79,618
----------
Pharmaceuticals (0.7%):
20,000 Akzo Nobel, Inc., 6.00%, 1/18/00... 19,943
----------
Total Commercial Paper 1,688,382
----------
DEMAND NOTES (1.5%):
Automotive (1.5%):
40,000 Paccar Leasing Corp., 6.53%,
1/9/00*.......................... 40,000
----------
Total Demand Notes 40,000
----------
CORPORATE NOTES (4.5%):
Asset Backed (4.5%):
47,500 Racers Series 1998-MM-7-1, 6.51%,
8/11/00*......................... 47,500
75,000 Racers Series 1999-26-MM-CCAB,
5.14%, 7/17/00*.................. 75,000
----------
Total Corporate Notes 122,500
----------
MEDIUM TERM NOTES (10.5%):
Asset Backed (8.8%):
25,000 CC U.S.A., Inc., 5.75%, 7/24/00.... 25,000
25,000 CC U.S.A., Inc., 6.00%, 8/7/00..... 25,000
25,000 CC U.S.A., Inc., 6.06%, 8/16/00.... 25,000
25,000 CC U.S.A., Inc., 6.10%, 9/7/00..... 25,000
25,000 Dorada Finance, Inc., 6.16%,
10/16/00......................... 25,000
</TABLE>
Continued
4
<PAGE> 7
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One Group Mutual Funds
Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
MEDIUM TERM NOTES, CONTINUED:
Asset Backed, continued:
$ 25,000 Links Finance, 6.31%, 10/16/00..... $ 25,000
52,000 Short-Term Repackaged Asset Trust
Securities, 1999-C, 6.52%,
4/13/00*......................... 52,000
15,000 Sigma Finance, Inc., 5.17%,
4/12/00.......................... 15,000
25,000 Sigma Finance, Inc., 6.11%,
9/13/00.......................... 25,000
----------
242,000
----------
Brokerage Services (1.7%):
47,500 Bear Stearns Co., Inc., 6.56%,
6/16/00*......................... 47,507
----------
Total Medium Term Notes 289,507
----------
FUNDING AGREEMENTS (4.9%):
Insurance (4.9%):
25,000 Allstate Life Insurance Co., 6.17%,
2/15/00*......................... 25,000
35,000 Monumental Life Insurance Co.,
6.70%, 7/3/00*................... 35,000
25,000 Security Benefit Life Insurance
Co., 6.28%, 5/15/00*............. 25,000
50,000 Travelers Insurance Co., 6.21%,
12/30/00*........................ 50,000
----------
Total Funding Agreements 135,000
----------
CERTIFICATES OF DEPOSIT (6.3%):
Banking (1.2%):
25,000 Allfirst Bank, 5.57%, 9/29/00*..... 24,970
7,500 Michigan National Bank, 5.13%,
5/3/00........................... 7,499
----------
32,469
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
CERTIFICATES OF DEPOSIT, CONTINUED:
Banking-Foreign (5.1%):
$ 15,000 Abbey National Treasury Services,
5.13%, 5/4/00.................... $ 14,997
25,000 Bayerische Hypo-Und Vereinsbank AG,
5.11%, 4/10/00................... 24,997
20,000 Bayerische Landesbank Girozentrale,
5.12%, 3/21/00................... 19,998
46,000 Credit Suisse First Boston, 5.56%,
1/18/00.......................... 45,999
10,000 Den Danske Corp., 5.04%, 2/9/00.... 10,000
10,000 Deutsche Bank AG, 5.19%, 5/8/00.... 9,998
15,000 Union Bank of Switzerland, 6.21%,
12/8/00.......................... 14,991
----------
140,980
----------
Total Certificates of Deposit 173,449
----------
TIME DEPOSITS (11.1%):
305,082 Westdeutsche Landesbank GZ, 3.35%,
1/3/00........................... 305,082
----------
Total Time Deposits 305,082
----------
Total (Amortized Cost $2,753,920) (a) $2,753,920
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $2,752,786.
(a) Cost and value for federal income tax and 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 December 31, 1999.
See notes to financial statements.
5
<PAGE> 8
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One Group Mutual Funds
Treasury Prime Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (100.4%):
U.S. Treasury Bills (100.4%):
$137,566 1/13/00............................ $ 137,332
126,068 1/20/00............................ 125,723
52,812 1/27/00............................ 52,622
9,094 2/10/00............................ 9,043
264,650 3/2/00............................. 262,357
40,528 3/9/00............................. 40,127
90,683 3/16/00............................ 89,740
25,000 4/13/00............................ 24,639
----------
Total U.S. Treasury Obligations 741,583
----------
Total (Amortized Cost $741,583) (a) $ 741,583
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $738,688.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
6
<PAGE> 9
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One Group Mutual Funds
U.S. Government Securities Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES (55.6%):
Federal Farm Credit Bank (4.7%):
$ 50,000 5.56%, 1/18/00..................... $ 50,000
50,000 5.62%, 3/1/00...................... 50,000
----------
100,000
----------
Federal Home Loan Bank (16.7%):
100,000 5.66%, 1/12/00..................... 99,827
25,000 4.98%, 1/26/00*.................... 25,000
25,000 5.59%, 2/18/00..................... 24,819
35,000 4.95%, 2/22/00..................... 34,998
25,000 5.06%, 3/3/00...................... 24,997
28,000 5.10%, 3/3/00...................... 27,998
25,000 5.52%, 3/8/00...................... 24,743
25,000 5.01%, 4/20/00..................... 25,000
13,500 5.02%, 5/12/00..................... 13,490
15,000 4.92%, 5/19/00..................... 14,715
25,000 5.60%, 5/24/00..................... 24,440
13,000 5.20%, 5/26/00..................... 12,999
----------
353,026
----------
Federal Home Loan Mortgage Corp. (19.2%):
54,000 5.70%, 1/3/00...................... 53,983
25,000 5.45%, 1/20/00..................... 24,928
16,837 5.18%, 1/25/00..................... 16,779
120,310 5.26%, 1/27/00..................... 119,826
25,000 5.52%, 3/9/00...................... 24,739
100,000 5.70%, 3/23/00..................... 98,702
25,000 5.63%, 3/30/00..................... 24,652
15,000 5.18%, 6/13/00..................... 14,646
6,000 5.28%, 6/30/00..................... 5,841
20,000 5.25%, 7/5/00...................... 19,458
----------
403,554
----------
Federal National Mortgage Assoc. (5.5%):
25,000 4.69%, 4/3/00...................... 24,698
25,000 5.59%, 4/6/00...................... 24,627
25,000 5.58%, 4/17/00..................... 24,585
10,000 5.58%, 5/4/00...................... 9,808
10,000 4.78%, 5/5/00...................... 9,834
12,500 5.89%, 5/24/00..................... 12,490
10,000 6.20%, 12/27/00.................... 9,990
----------
116,032
----------
Student Loan Marketing Assoc. (9.5%):
100,000 6.11%, 2/14/00*.................... 99,993
100,000 6.11%, 8/3/00*..................... 99,971
----------
199,964
----------
Total U.S. Government Agency Securities 1,172,576
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (3.5%):
U.S. Treasury Bills (3.5%):
$ 25,000 1/6/00............................. $ 24,982
25,000 1/13/00............................ 24,959
25,000 9/14/00............................ 24,108
----------
Total U.S. Treasury Obligations 74,049
----------
REPURCHASE AGREEMENTS (40.9%):
100,000 Deutsche Morgan Grenfell, 3.50%,
1/3/00, (Collateralized by
$208,306 various U.S. Government
Securities, 5.75%-6.76%,
11/1/22-1/1/35, market value
$103,000)........................ 100,000
100,000 Donaldson, Lufkin & Jenrette,
3.35%, 1/3/00, (Collateralized by
$103,805 various U.S. Government
Securities, 0.00%-6.38%,
1/18/00-8/25/09, market value
$102,002)........................ 100,000
50,000 Goldman Sachs, 5.27%, 1/26/00,
(Collateralized by $93,745
various U.S. Government
Securities, 5.50%-10.00%,
11/1/04-8/1/29, market value
$51,500)......................... 50,000
100,000 Goldman Sachs, 5.65%, 1/26/00,
(Collateralized by $187,489
various U.S. Government
Securities, 5.50%-10.00%,
11/1/04-8/1/29, market value
$103,000)........................ 100,000
50,000 Goldman Sachs, 5.58%, 2/7/00,
(Collateralized by $93,745
various U.S. Government
Securities, 5.50%-10.00%,
11/1/04-8/1/29, market value
$51,500)......................... 50,000
50,000 Prudential Securities, 5.35%,
1/26/00, (Collateralized by
$49,375 U.S. Treasury Securities,
6.38%, 8/15/02, market value
$51,000)......................... 50,000
413,095 Westdeutsche Landesbank, 3.35%,
1/3/00, (Collateralized by
$453,565 various U.S. Government
Securities, 5.38%-6.50%,
3/15/02-6/1/29, market value
$425,330)........................ 413,095
----------
Total Repurchase Agreements 863,095
----------
Total (Amortized Cost $2,109,720) (a) $2,109,720
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $2,109,864.
(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 December 31, 1999.
See notes to financial statements.
7
<PAGE> 10
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One Group Mutual Funds
Treasury Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (40.6%):
U. S. Treasury Bills (22.5%):
$ 4,125 3/30/00............................ $ 4,072
75,000 1/20/00............................ 74,800
--------
78,872
--------
U.S. Treasury Notes (18.1%):
15,000 5.38%, 1/31/00..................... 15,007
20,000 5.88%, 2/15/00..................... 20,024
3,000 5.50%, 2/29/00..................... 3,003
10,000 6.75%, 4/30/00..................... 10,059
10,000 6.38%, 5/15/00..................... 10,050
5,000 6.25%, 5/31/00..................... 5,024
--------
63,167
--------
Total U.S. Treasury Obligations 142,039
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ---------
<C> <S> <C>
REPURCHASE AGREEMENTS (59.6%):
$87,000 Barclays De Zoette Wedd, 3.00%,
1/3/00, (Collateralized by
$92,430 U.S. Treasury Bills,
9/14/00, market value $88,740)... $ 87,000
17,000 Salomon Smith Barney, 2.75%,
1/3/00, (Collateralized by
$17,325 U.S. Treasury Notes,
5.63%, 11/30/00, market value
$17,347)......................... 17,000
17,000 State Street Bank and Trust, 3.00%,
1/3/00, (Collateralized by
$16,515 U.S. Treasury Bonds,
7.63%, 2/15/07, market value
$17,341)......................... 17,000
87,000 Westdeutsche Landesbank, 3.00%,
1/3/00, (Collateralized by
$86,779 various U.S. Treasury
Securities, 6.25%-7.88%,
4/30/01-11/15/26, market value
$88,740)......................... 87,000
--------
Total Repurchase Agreements 208,000
--------
Total (Amortized Cost $350,039) (a) $350,039
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $349,468.
(a) Cost and value for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
8
<PAGE> 11
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
ANTICIPATION NOTES (5.2%):
Colorado (2.1%):
$10,000 Cherry Creek School District No.
005, 4.25%, 6/30/00 ............. $ 10,025
----------
Texas (3.1%):
15,000 Tax & Revenue Notes, Series A,
4.50%, 8/31/00 .................. 15,077
----------
Total Anticipation Notes 25,102
----------
DAILY DEMAND NOTES (10.2%):
Alabama (0.6%):
3,100 Decatur Industrial Development
Board Solid Waste Disposal,
Revenue, AMT, Amoco Chemical
Company Project, 3.50%,
5/1/25* ......................... 3,100
----------
Illinois (0.7%):
3,400 Southwestern Development Authority,
Wood River Project, Shell Oil
Company, 3.50%, 11/1/25* ........ 3,400
----------
Kentucky (1.2%):
5,700 Carroll County, Collateralized
Solid Waste Disposal, Kentucky
Utilities Company Project, Series
A, 3.55%, 11/1/24* .............. 5,700
----------
Louisiana (1.5%):
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 (1.2%):
3,800 University of Michigan Medical
Center, Revenue, Series 95-A,
1.90%, 12/1/27* ................. 3,800
1,800 University of Michigan, Revenues
Refunding Hospital, Series A,
3.45%, 12/1/19 * ................ 1,800
----------
5,600
----------
Nevada (0.8%):
3,800 Clark County, IDR, AMT, 3.55%,
12/1/22, LOC: ABN AMRO* ......... 3,800
----------
New York (1.0%):
5,000 State Energy Development Authority,
PCR, Series A, 3.50%, 12/1/26,
LOC: Toronto Dominion Bank* ..... 5,000
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
Ohio (0.5%):
$ 2,000 Solid Waste Bonds, Revenue, Series
1999, BP Exploration & Oil
Project, 1.95%, 8/1/34* ......... $ 2,000
500 State Air Quality Development
Authority, Revenue, Cincinnati
Gas & Electric, Series A, 2.15%,
12/1/15, LOC: Union Bank of
Switzerland* .................... 500
----------
2,500
----------
Oregon (0.1%):
600 Port of Portland, PCR, Reynolds
Metals, 4.80%, 12/1/09, LOC: Bank
of Nova Scotia* ................. 600
----------
Texas (2.5%):
1,900 Brazos River Authority, PCR, 5.40%,
3/1/26, LOC: AMBAC* ............. 1,900
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, PCR, Amoco Oil Company
Project, 3.50%, 5/1/23* ......... 2,400
4,375 Sabine River Authority, PCR,
Utilities Electric Company
Project C, AMT, 3.65%, 6/1/30,
LOC: Union Bank of
Switzerland* .................... 4,375
----------
11,675
----------
Virginia (0.1%):
700 King George County, IDA, Exempt
Facilities Revenue, Birchwood
Power Partners, AMT, 3.55%,
3/1/27, LOC: Credit Suisse First
Boston* ......................... 700
----------
Total Daily Demand Notes 49,075
----------
MUNICIPAL BONDS (2.8%):
Michigan (0.8%):
3,840 State Housing Development
Authority, AMT, 3.20%, 6/1/00 ... 3,840
----------
Nebraska (1.3%):
6,285 State Public Power District,
Revenue, Power Supply System,
Series C, 4.13%, 1/1/00 ......... 6,285
----------
</TABLE>
Continued
9
<PAGE> 12
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio (0.7%):
$ 3,400 State Water Development Authority,
PCR, Ohio Edison Company, Series
C, 3.75%, 9/1/18, LOC: Barclay's
Bank, PLC ....................... $ 3,400
----------
Total Municipal Bonds 13,525
----------
TAX FREE COMMERCIAL PAPER (27.0%):
Alaska (3.2%):
10,225 Valdez Marine Terminal, Series
94-A, 3.90%, 1/14/00, ARCO ...... 10,225
5,000 Valdez Marine Terminal, Series C,
3.85%, 2/3/00, ARCO ............. 5,000
----------
15,225
----------
Florida (5.1%):
9,900 Municipal Power, Series 95-A,
3.75%, 1/26/00 .................. 9,900
15,000 St. Lucie County, PCR, Florida
Power & Light Project, 3.85%,
1/25/00 ......................... 15,000
----------
24,900
----------
Georgia (1.7%):
8,000 Municipal Electric Authority,
Project 1985-A, 3.65%,
1/19/00 ......................... 8,000
----------
Kansas (1.6%):
7,700 Burlington, PCR, Kansas Electric
Power Co-op, Series C2, 3.65%,
3/1/00, National Rural
Utilities -- CFC ................ 7,700
----------
Maryland (1.7%):
8,195 Howard County, Multi-Family
Housing, 4.05%, 2/3/00, FNMA .... 8,195
----------
Michigan (0.3%):
1,300 Cornell Township Education, 3.85%,
3/1/00, LOC: Credit Suisse First
Boston........................... 1,300
----------
Mississippi (0.4%):
1,500 Claiborne County, PCR, Series 85,
CFC, 3.75%, 1/14/00 ............. 1,500
500 Claiborne County, PCR, South
Mississippi Electrical Revenue,
Series 85g-1, CFC, 3.75%,
1/14/00 ......................... 500
----------
2,000
----------
Missouri (1.0%):
5,000 Environmental Improvement
Authority, PCR, 3.40%, 2/1/00,
LOC: Union Bank of
Switzerland ..................... 5,000
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
TAX FREE COMMERCIAL PAPER, CONTINUED:
Ohio (2.5%):
$ 6,000 Ohio State University, Series
1999-B, 3.38%, 2/1/00 ........... $ 6,000
4,500 State Air Quality Development
Authority, PCR, Cleveland
Electric, Series B, 3.75%,
2/9/00, FGIC .................... 4,500
1,600 State Air Quality Development
Authority, PCR, Cleveland
Electric, Series B, 3.70%,
3/9/00, FGIC .................... 1,600
----------
12,100
----------
Pennsylvania (0.9%):
4,400 Montgomery County, Peco Energy
Company, 3.80%, 2/7/00, LOC:
CIBC ............................ 4,400
----------
Texas (2.7%):
5,000 Brazos River Authority, Series
1999-B, 3.80%, 3/9/00............ 5,000
3,000 Dallas Area Rapid Transit
Authority, 3.50%, 1/24/00 ....... 3,000
2,500 Public Finance Authority, GO,
Series 93a, 3.40%, 2/2/00 ....... 2,500
2,500 Public Finance Authority, GO,
Series 93a, 3.50%, 2/2/00 ....... 2,500
----------
13,000
----------
Washington (1.4%):
7,000 Seattle Municipal Light & Power,
Revenue, Series 91b, 3.60%,
2/9/00 .......................... 7,000
----------
Wisconsin (2.9%):
10,000 GO, Extendable Notes, 3.70%,
2/9/00 .......................... 10,000
1,000 Trans Series 97, 3.85%, 2/1/00,
LIQ: Westdeutsche Landesbank
66.6%, Bayerische Landesbank
33.4% ........................... 1,000
3,035 Trans Series 97, 3.85%, 2/1/00,
LOC: Westdeutsche Landesbank
66.7%, Bayerische Landesbank
33.3% ........................... 3,035
----------
14,035
----------
Wyoming (1.6%):
7,500 Sweetwater County, PCR, 3.60%,
1/21/00 ......................... 7,500
----------
Total Tax Free Commercial Paper 130,355
----------
WEEKLY DEMAND NOTES (54.9%):
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
----------
</TABLE>
Continued
10
<PAGE> 13
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Alaska (1.0%):
$ 5,000 Valdez Marine Terminal, Revenue,
Arco Transition Project, Series
B, 3.45%, 5/1/31* ............... $ 5,000
----------
Arizona (2.1%):
10,000 Coconino County, PCR, Arizona
Public Service, Navajo Project,
Series A, 5.65%, 10/1/29* ....... 10,000
----------
Colorado (1.1%):
5,500 Denver City and County Airport,
Revenue, AMT, 5.90%, 11/15/23,
SPA: Bank of New York* .......... 5,500
----------
Delaware (3.7%):
17,900 State Economic Development
Authority, Revenue, Clean Power
Project, Series A, 3.55%, 8/1/29,
LOC: CIBC* ...................... 17,900
----------
District of Columbia (0.9%):
4,400 American University, 3.50%,
10/1/15, LOC: National
Westminster Bank* ............... 4,400
----------
Florida (6.3%):
12,000 Alachua County, Health Facilities
Authority, Revenue, Series B,
3.30%, 12/1/26, MBIA* ........... 12,000
10,000 Capital Trust Agency, Multi-Family
Housing, Revenue, Community Loan
Program, Series 1999 A, 5.80%,
12/1/32, National Union Fire
Insurance Company* .............. 10,000
8,800 Gulf Breeze, Healthcare Facilities,
Revenue, Heritage Health Care
Project, 3.77%, 1/1/24, LOC:
Anchor National Life Insurance
Co.* ............................ 8,800
----------
30,800
----------
Georgia (3.6%):
10,800 Columbus Hospital Authority,
Revenue, 3.75%, 1/1/18, LOC:
SunTrust Bank*................... 10,800
5,000 GO, Unlimited Bonds, Series 188,
5.56%, 11/1/13*.................. 5,000
1,500 Gwinett County Hospital Authority,
Revenue, 3.30%, 9/1/27, MBIA*.... 1,500
100 Municipal Gas Authority, Revenue,
GO, Gas Portfolio II, Project C,
6.50%, 1/1/08, LOC: Wachovia
Bank*............................ 100
----------
17,400
----------
</TABLE>
<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
7,350 Harvard Multi-Family Housing,
Revenue, AMT, Northfield Court
Project, 5.65%, 12/1/25, LOC:
LaSalle National Bank*........... 7,350
----------
8,388
----------
Michigan (3.7%):
4,700 Detroit Sewage Disposal, 4.05%,
7/1/23, MBIA, LOC: Morgan
Guaranty*........................ 4,700
260 State Hospital Financing Authority,
Hospital Equipment, 5.65%,
12/1/23, LOC: First of America
Bank*............................ 260
900 State Housing Development
Authority, Revenue, 3.40%,
4/1/19*.......................... 900
3,000 State Strategic Financing
Authority, Hospital Equipment
Loan Program, Series A, 5.65%,
12/1/23, LOC: National City
Bank*............................ 3,000
290 State Strategic Fund Limited
Obligation, Pyper Products Corp.
Project, 3.85%, 10/1/18, LOC:
Comerica Bank*................... 290
2,000 State Strategic Fund Limited, AMT,
5.70%, 10/1/29, LOC: Comerica
Bank*............................ 2,000
3,800 State Strategic Fund Solid Waste
Disposal, Revenue, AMT, Grayling
Generating Project, 5.55%,
1/1/14, LOC: Barclay's Bank, New
York*............................ 3,800
2,400 State Strategic Fund, Van Andel
Research Institute, 3.55%,
3/1/39, LOC: Michigan National
Bank*............................ 2,400
300 Wayne County Airport Revenue, AMT,
3.40%, 12/1/16, LOC: Bayerische
Landesbank*...................... 300
----------
17,650
----------
Minnesota (1.6%):
4,040 Higher Education Facilities
Authority, Revenue, Series 3-L2,
3.50%, 11/1/12, SPA: Norwest
Bank*............................ 4,040
300 Minneapolis, Series A, 3.50%,
12/1/02, LIQ: Bayerische
Vereinsbank*..................... 300
3,440 Minneapolis, Series B, 3.50%,
12/1/17, LIQ: Bayerische
Vereinsbank*..................... 3,440
----------
7,780
----------
</TABLE>
Continued
11
<PAGE> 14
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
New Mexico (1.1%):
$ 5,100 Albuquerque Airport Revenue, Series
A, 3.40%, 7/1/17, LOC: Bayerische
Landesbank*...................... $ 5,100
----------
New York (1.9%):
9,255 New York City Transitional Finance
Authority, Revenue, Putters
Series 129, 5.75%, 2/15/09*...... 9,255
----------
Ohio (4.6%):
4,300 Cuyahoga County, Hospital Revenue,
University Hospitals Health,
Series C, 5.65%, 1/15/29*........ 4,300
9,900 State Air Quality Development
Authority, Revenue, AMT, Jmg
Funding Limited Partnership,
Series A, 5.55%, 4/1/28, LOC:
Societe General*................. 9,900
7,955 State Housing Finance Agency,
Revenue, Residential Mortgage
Revenue Bonds, Series 99c, 5.03%,
3/1/21*.......................... 7,955
----------
22,155
----------
Pennsylvania (6.1%):
7,700 Allegheny County IDA, 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 IDA, PCR, AMT,
Conemaugh Project, Series A,
3.45%, 6/1/27*................... 18,500
----------
29,300
----------
South Carolina (0.2%):
1,000 Piedmont Municipal Power Agency,
Electric Revenue, Series A,
5.65%, 1/1/24, LOC: MBIA*........ 1,000
----------
Tennessee (2.9%):
10,000 Clarksville Public Building
Authority, Revenue, Pooled
Financing Tennessee Municipal
Bond Fund, 5.40%, 6/1/29, LOC:
Bank of America*................. 10,000
3,900 Memphis Shelby County, IDR, 5.50%,
4/1/05, LOC: Nationsbank*........ 3,900
----------
13,900
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- --------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Texas (10.0%):
$ 1,000 Capital Health Facilities
Development Corp., 3.40%,
12/1/16, LOC: Credit Suisse First
Boston*.......................... $ 1,000
7,200 Denton County Industrial
Development Corp., Revenue, Hydro
Conduit Corp., 5.10%, 10/11/29,
LOC: Union Bank of
Switzerland*..................... 7,200
10,000 Harris County, Health Facilities
Development Corporation, Revenue,
Texas Childrens Hospital Project,
Series B-1, 2.95%, 10/1/29, LOC:
MBIA*............................ 10,000
20,000 Port Arthur Navigation District,
Environmental Facilities,
Revenue, Motiva Enterprises LLC
Project, 5.40%, 12/1/27*......... 20,000
5,500 South Texas Higher Education
Authority, Series Z, 3.40%,
12/1/03, MBIA*................... 5,500
5,000 South Texas Higher Education
Authority, Revenue, AMT, 3.40%,
12/1/27, MBIA*................... 5,000
----------
48,700
----------
West Virginia (2.2%):
10,800 Putnam County Solid Waste Disposal,
Revenue Bonds, AMT, Toyota Motor
Manufacturing Project, Series A,
5.55%, 8/1/29*................... 10,800
----------
Total Weekly Demand Notes 265,928
----------
Total (Amortized Cost $483,985) (a) $ 483,985
==========
</TABLE>
Continued
12
<PAGE> 15
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Cash Management Money Market Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
- ------------
Percentages indicated are based on net assets of $483,311.
(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 December 31, 1999.
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ARCO Supported by ARCO
CIBC Canadian Imperial Bank of Commerce
FGIC Insured by Financial Guaranty Insurance Corp.
FSA Supported by Federal Security Assurance
GO General Obligation
IDA Industrial Development Authority
IDR Industrial Development Revenue
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
PCR Pollution Control Revenue
SPA Standby Purchase Agreement
</TABLE>
See notes to financial statements.
13
<PAGE> 16
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
(Amounts in Thousands, except per share amounts)
(Unaudited)
<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........................ $2,753,920 $741,583 $2,109,720 $350,039 $483,985
Cash.......................... -- 1 -- 1 --
Interest receivable........... 11,722 -- 10,230 1,079 2,825
Deferred organization cost.... 2 2 2 12 11
Prepaid expenses and other
assets...................... 66 14 41 10 16
---------- -------- ---------- -------- --------
TOTAL ASSETS.................. 2,765,710 741,600 2,119,993 351,141 486,837
---------- -------- ---------- -------- --------
LIABILITIES:
Cash overdraft................ -- -- -- -- 61
Dividends payable............. 11,709 2,516 9,355 1,447 1,539
Short term line of credit
payable..................... -- -- -- -- 1,700
Accrued expenses and other
payables:
Investment advisory fees.... 520 74 399 38 58
Administration fees......... 169 42 146 24 33
12b-1 fees.................. 322 106 183 39 3
Other....................... 204 174 46 125 132
---------- -------- ---------- -------- --------
TOTAL LIABILITIES............. 12,924 2,912 10,129 1,673 3,526
---------- -------- ---------- -------- --------
NET ASSETS:
Capital....................... 2,752,827 738,666 2,110,171 349,466 483,298
Undistributed (distributions
in excess of) net investment
income...................... 162 15 136 -- --
Accumulated undistributed net
realized gains (losses) from
investment transactions..... (203) 7 (443) 2 13
---------- -------- ---------- -------- --------
NET ASSETS.................... $2,752,786 $738,688 $2,109,864 $349,468 $483,311
========== ======== ========== ======== ========
NET ASSETS:
Class I..................... $1,086,865 $192,828 $1,362,961 $149,813 $471,788
Class A..................... 1,665,921 545,860 746,903 199,655 11,523
---------- -------- ---------- -------- --------
Total......................... $2,752,786 $738,688 $2,109,864 $349,468 $483,311
========== ======== ========== ======== ========
OUTSTANDING UNITS OF
BENEFICIAL INTEREST
(SHARES):
Class I..................... 1,087,024 192,827 1,363,330 149,812 471,775
Class A..................... 1,665,964 545,838 746,975 199,654 11,522
---------- -------- ---------- -------- --------
Total......................... 2,752,988 738,665 2,110,305 349,466 483,297
========== ======== ========== ======== ========
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.
14
<PAGE> 17
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<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>
INVESTMENT INCOME:
Interest income................... $35,637 $ 3,486 $35,629 $8,779 $8,803
Discount accretion................ 33,288 11,877 9,725 1,029 --
Premium amortization.............. (15) (589) -- (391) (91)
Dividend income................... -- -- -- -- 50
------- ------- ------- ------ ------
Total Income...................... 68,910 14,774 45,354 9,417 8,762
------- ------- ------- ------ ------
EXPENSES:
Investment advisory fees.......... 2,496 607 1,694 370 505
Administration fees............... 2,014 490 1,367 298 408
12b-1 fees (Class A).............. 1,818 600 981 234 17
Custodian fees.................... 53 31 52 42 38
Legal and audit fees.............. 22 26 26 16 24
Trustees' fees and expenses....... 25 24 15 12 14
Transfer agent fees............... 150 12 8 8 9
Registration and filing fees...... 13 32 16 29 18
Organization costs................ 17 5 16 2 3
Printing costs.................... 50 36 34 17 25
Interest expense.................. -- -- -- -- --(a)
Other............................. 14 24 2 8 30
------- ------- ------- ------ ------
Total expenses before waivers..... 6,672 1,887 4,211 1,036 1,091
Less waivers...................... (516) (232) (265) (160) (198)
------- ------- ------- ------ ------
Net Expenses...................... 6,156 1,655 3,946 876 893
------- ------- ------- ------ ------
Net Investment Income............. 62,754 13,119 41,408 8,541 7,869
------- ------- ------- ------ ------
REALIZED GAINS (LOSSES) FROM
INVESTMENTS:
Net realized gains (losses) from
investment transactions......... (1) 36 (45) 2 --
------- ------- ------- ------ ------
Change in net assets resulting
from operations................. $62,753 $13,155 $41,363 $8,543 $7,869
======= ======= ======= ====== ======
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
15
<PAGE> 18
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (A) 1998 1999 1999 (B) 1998
------------ ---------- ------------ ------------ ---------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................... $ 62,754 $ 58,397 $ 110,251 $ 13,119 $ 11,502 $ 17,547
Net realized gains (losses) from
investment transactions............... (1) -- --(c) 36 (15) --(c)
---------- ---------- ---------- -------- -------- --------
Change in net assets resulting from
operations................................ 62,753 58,397 110,251 13,155 11,487 17,547
---------- ---------- ---------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............. (26,851) (26,385) (51,234) (2,866) (2,904) (3,799)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............. (35,903) (32,012) (59,017) (10,253) (8,599) (13,748)
---------- ---------- ---------- -------- -------- --------
Change in net assets from shareholder
distributions............................. (62,754) (58,397) (110,251) (13,119) (11,503) (17,547)
---------- ---------- ---------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions.............................. 545,151 (390,236) 899,839 138,827 (59,232) 334,670
---------- ---------- ---------- -------- -------- --------
Change in net assets........................ 545,150 (390,236) 899,839 138,863 (59,248) 334,670
NET ASSETS:
Beginning of period..................... 2,207,636 2,597,872 1,698,033 599,825 659,073 324,403
---------- ---------- ---------- -------- -------- --------
End of period........................... $2,752,786 $2,207,636 $2,597,872 $738,688 $599,825 $659,073
========== ========== ========== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES
CASH MANAGEMENT MONEY MARKET FUND
----------------------------------------
SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (D) 1998
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................. $ 41,408 $ 34,518 $ 69,396
Net realized gains (losses) from
investment transactions............. (45) 109 4
---------- ---------- ----------
Change in net assets resulting from
operations.............................. 41,363 34,627 69,400
---------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income............ (22,762) (21,361) (47,200)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............ (18,646) (13,157) (22,196)
---------- ---------- ----------
Change in net assets from shareholder
distributions........................... (41,408) (34,518) (69,396)
---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions............................ 486,003 46,197 685,568
---------- ---------- ----------
Change in net assets...................... 485,958 46,306 685,572
NET ASSETS:
Beginning of period................... 1,623,906 1,577,600 892,028
---------- ---------- ----------
End of period......................... $2,109,864 $1,623,906 $1,577,600
========== ========== ==========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Cash Management
Fund became the Cash Management Money Market Fund. The Statements of Changes
in Net Assets for the periods prior to March 29, 1999, represent the Pegasus
Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Prime
Cash Management Fund became the Treasury Prime Cash Management Money Market
Fund. The Statements of Changes in Net Assets for the periods prior to March
29, 1999, represent the Pegasus Treasury Prime Cash Management Fund.
(c) Amount is less than $1,000.
(d) Upon reorganizing as a fund of the One Group, the Pegasus U.S. Government
Securities Cash Management Fund became the U.S. Government Securities Cash
Management Money Market Fund. The Statements of Changes in Net Assets for
the periods prior to March 29, 1999, represent the Pegasus U.S. Government
Securities Cash Management Fund.
See notes to financial statements.
16
<PAGE> 19
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY MUNICIPAL
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (A) 1998 1999 1999 (B) 1998
------------ ---------- ------------ ------------ ---------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................... $ 8,541 $ 9,158 $ 15,260 $ 7,869 $ 8,445 $ 15,242
Net realized gains (losses) from
investment transactions............... 2 -- -- -- 13 --
---------- ---------- ---------- -------- -------- --------
Change in net assets resulting from
operations................................ 8,543 9,158 15,260 7,869 8,458 15,242
---------- ---------- ---------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............. (4,316) (2,373) (857) (7,678) (7,650) (13,432)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............. (4,225) (6,785) (14,403) (191) (795) (1,810)
---------- ---------- ---------- -------- -------- --------
Change in net assets from shareholder
distributions............................. (8,541) (9,158) (15,260) (7,869) (8,445) (15,242)
---------- ---------- ---------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions.......................... 27,296 (41,041) 156,639 (9,790) (156,757) 391,606
---------- ---------- ---------- -------- -------- --------
Change in net assets........................ 27,298 (41,041) 156,639 (9,790) (156,744) 391,606
NET ASSETS:
Beginning of period..................... 322,170 363,211 206,572 493,101 649,845 258,239
---------- ---------- ---------- -------- -------- --------
End of period........................... $ 349,468 $ 322,170 $ 363,211 $483,311 $493,101 $649,845
========== ========== ========== ======== ======== ========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Cash
Management Fund became the Treasury Cash Management Money Market Fund. The
Statements of Changes in Net Assets for the periods prior to March 29, 1999,
represent the Pegasus Treasury Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group, the Pegasus Municipal Cash
Management Fund became the Municipal Cash Management Money Market Fund. The
Statements of Changes in Net Assets for the periods prior to March 29, 1999,
represent the Pegasus Municipal Cash Management Fund.
See notes to financial statements.
17
<PAGE> 20
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (A) 1998 1999 1999 (B) 1998
------------ ---------- ------------ ------------ ---------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.............. $4,334,840 $5,611,735 $10,320,125 $ 193,527 $ 208,525 $ 437,701
Proceeds from shares issued in
conversion............................. -- -- 149,308 -- -- --
Dividends reinvested..................... 2,392 2,413 4,513 990 1,233 785
Cost of shares redeemed.................. (4,198,142) (5,742,417) (10,103,171) (127,341) (273,738) (339,669)
---------- ---------- ----------- ----------- ---------- ----------
Change in net assets from Class I Share
transactions........................... $ 139,090 $(128,269) $ 370,775 $ 67,176 $ (63,980) $ 98,817
========== ========== =========== =========== ========== ==========
CLASS A SHARES:
Proceeds from shares issued.............. $2,027,714 $3,224,803 $ 5,608,606 $ 1,097,365 $1,001,845 $1,728,824
Dividends reinvested..................... 8 -- 3 12 -- 119
Cost of shares redeemed.................. (1,621,661) (3,486,770) (5,079,545) (1,025,726) (997,097) (1,493,090)
---------- ---------- ----------- ----------- ---------- ----------
Change in net assets from Class A Share
transactions........................... $ 406,061 $(261,967) $ 529,064 $ 71,651 $ 4,748 $ 235,853
========== ========== =========== =========== ========== ==========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued................................... 4,334,840 5,611,735 10,320,125 193,527 208,525 437,701
Issued in conversion..................... -- -- 149,308 -- -- --
Reinvested............................... 2,392 2,413 4,513 990 1,233 785
Redeemed................................. (4,198,142) (5,742,417) (10,103,171) (127,341) (273,738) (339,669)
---------- ---------- ----------- ----------- ---------- ----------
Change in Class I Shares................. 139,090 (128,269) 370,775 67,176 (63,980) 98,817
========== ========== =========== =========== ========== ==========
CLASS A SHARES:
Issued................................... 2,027,714 3,224,803 5,608,606 1,097,365 1,001,844 1,728,824
Reinvested............................... 8 -- 3 12 -- 119
Redeemed................................. (1,621,661) (3,486,770) (5,079,545) (1,025,726) (997,097) (1,493,090)
---------- ---------- ----------- ----------- ---------- ----------
Change in Class A Shares................. 406,061 (261,967) 529,064 71,651 4,747 235,853
========== ========== =========== =========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH
MANAGEMENT MONEY MARKET FUND
----------------------------------------
SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (C) 1998
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.................. $3,519,098 $3,179,130 $5,277,035
Dividends reinvested......................... 1,641 911 1,541
Cost of shares redeemed...................... (3,014,205) (3,341,480) (4,795,113)
---------- ---------- ----------
Change in net assets from Class I Share
transactions............................... $ 506,534 $(161,439) $ 483,463
========== ========== ==========
CLASS A SHARES:
Proceeds from shares issued.................. $1,946,989 $1,742,612 $2,704,680
Dividends reinvested......................... 56 -- 143
Cost of shares redeemed...................... (1,967,576) (1,534,976) (2,502,717)
---------- ---------- ----------
Change in net assets from Class A Share
transactions............................... $ (20,531) $ 207,636 $ 202,106
========== ========== ==========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued....................................... 3,519,098 3,179,130 5,277,035
Reinvested................................... 1,641 911 1,541
Redeemed..................................... (3,014,205) (3,341,481) (4,795,113)
---------- ---------- ----------
Change in Class I Shares..................... 506,534 (161,440) 483,463
========== ========== ==========
CLASS A SHARES:
Issued....................................... 1,946,989 1,742,611 2,704,680
Reinvested................................... 56 -- 143
Redeemed..................................... (1,967,576) (1,534,976) (2,502,717)
---------- ---------- ----------
Change in Class A Shares..................... (20,531) 207,635 202,106
========== ========== ==========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Cash Management
Fund became the Cash Management Money Market Fund. The Schedules of Capital
Stock Activity for the periods prior to March 29, 1999, represent the
Pegasus Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Prime
Cash Management Fund became the Treasury Prime Cash Management Money Market
Fund. The Schedules of Capital Stock Activity for the periods prior to March
29, 1999, represent the Pegasus Treasury Prime Cash Management Fund.
(c) Upon reorganizing as a fund of the One Group, the Pegasus U.S. Government
Securities Cash Management Fund became the U.S. Government Securities Cash
Management Money Market Fund. The Schedules of Capital Stock Activity for
the periods prior to March 29, 1999, represent the Pegasus U.S. Government
Securities Cash Management Fund.
See notes to financial statements.
18
<PAGE> 21
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY MUNICIPAL
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ----------------------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (A) 1998 1999 1999 (B) 1998
------------ ---------- ------------ ------------ ---------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............. $ 458,636 $ 371,488 $ 73,530 $345,662 $ 448,773 $ 1,314,947
Proceeds from shares issued in
conversion............................ -- -- -- -- -- 178,164
Dividends reinvested.................... 60 40 36 19 143 95
Cost of shares redeemed................. (500,065) (212,543) (42,220) (350,695) (560,729) (1,106,309)
---------- ---------- ---------- -------- --------- -----------
Change in net assets from Class I Share
transactions.......................... $ (41,369) $ 158,985 $ 31,346 $ (5,014) $(111,813) $ 386,897
========== ========== ========== ======== ========= ===========
CLASS A SHARES:
Proceeds from shares issued............. $ 677,423 $1,134,750 $1,878,719 $ 61,659 $ 239,306 $ 477,944
Dividends reinvested.................... -- 8 -- -- -- --
Cost of shares redeemed................. (608,758) (1,334,784) (1,753,426) (66,435) (284,250) (473,235)
---------- ---------- ---------- -------- --------- -----------
Change in net assets from Class A Share
transactions.......................... $ 68,665 $(200,026) $ 125,293 $ (4,776) $ (44,944) $ 4,709
========== ========== ========== ======== ========= ===========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................. 458,636 371,489 73,530 345,662 448,773 1,314,947
Issued in conversion.................... -- -- -- -- -- 178,164
Reinvested.............................. 60 40 36 19 143 95
Redeemed................................ (500,065) (212,543) (42,220) (350,695) (560,729) (1,106,309)
---------- ---------- ---------- -------- --------- -----------
Change in Class I Shares................ (41,369) 158,986 31,346 (5,014) (111,813) 386,897
========== ========== ========== ======== ========= ===========
CLASS A SHARES:
Issued.................................. 677,423 1,134,750 1,878,719 61,659 239,305 477,944
Reinvested.............................. (8) 8 -- -- -- --
Redeemed................................ (608,750) (1,334,784) (1,753,426) (66,435) (284,250) (473,235)
---------- ---------- ---------- -------- --------- -----------
Change in Class A Shares................ 68,665 (200,026) 125,293 (4,776) (44,945) 4,709
========== ========== ========== ======== ========= ===========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Cash
Management Fund became the Treasury Cash Management Money Market Fund. The
Schedules of Capital Stock Activity for the periods prior to March 29, 1999,
represent the Pegasus Treasury Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group, the Pegasus Municipal Cash
Management Fund became the Municipal Cash Management Money Market Fund. The
Schedules of Capital Stock Activity for the periods prior to March 29, 1999,
represent the Pegasus Municipal Cash Management Fund.
See notes to financial statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
----------------------------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS JULY 1, YEAR
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
DECEMBER 31, JUNE 30, -------------------------------- DECEMBER 31, JUNE 30,
1999 1999 (A) 1998 1997 1996 1995 (B) 1995
------------ ---------- ---------- -------- -------- ------------ ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD...................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- -------- ---------- -------- -------- -------- ---------
Investment Activities:
Net investment income....... 0.026 0.023 0.052 0.053 0.051 0.028 0.051
Net realized gains (losses)
from investments.......... -- -- --(c) -- --(c) --(c) (0.006)
---------- -------- ---------- -------- -------- -------- ---------
Total from Investment
Activities.............. 0.026 0.023 0.052 0.053 0.051 0.028 0.045
---------- -------- ---------- -------- -------- -------- ---------
Distributions:
Net investment income....... (0.026) (0.023) (0.052) (0.053) (0.051) (0.028) (0.051)
---------- -------- ---------- -------- -------- -------- ---------
Increase due to Capital:
Contribution from an
affiliate of the
Investment Advisor........ -- -- -- -- -- -- 0.006
---------- -------- ---------- -------- -------- -------- ---------
NET ASSET VALUE, END OF
PERIOD...................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ======== ========== ======== ======== ======== =========
Total Return.................. 2.63%(d) 2.35%(d) 5.36% 5.41% 5.23% 2.80%(d) 5.19%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)..................... $1,086,865 $947,776 $1,076,045 $705,270 $885,946 $389,127 $ 319,214
Ratio of expenses to average
net assets................ 0.35%(f) 0.34%(f) 0.35% 0.35% 0.35% 0.35%(f) 0.35%
Ratio of net investment
income to average net
assets.................... 5.15%(f) 4.69%(f) 5.21% 5.36% 5.19% 5.51%(f) 5.11%
Ratio of expenses to average
net assets *.............. 0.39%(f) 0.40%(f) 0.39% 0.38% 0.42% 0.43%(f) 0.44%
Ratio of net investment
income to average net
assets *.................. 5.11%(f) 4.63%(f) 5.17% 5.33% 5.12% 5.43%(f) 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) Upon reorganizing as a fund of the One Group, the Pegasus Cash Management
Fund became the Cash Management Money Market Fund. The Financial Highlights
for the periods prior to March 29, 1999, represent the Pegasus Cash
Management Fund.
(b) Effective July 1, 1995, the Fund changed its fiscal year end from June 30 to
December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) If the Fund had not had a capital contribution by an affiliate of First
Chicago NBD Investment Management Company (an affiliate of the Advisor)
during the period, the total return would have been 4.51%.
(f) Annualized.
See notes to financial statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
-----------------------------------------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS JULY 1, JANUARY 17
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO 1995 TO
DECEMBER 31, JUNE 30, ------------------------------------ DECEMBER 31, JUNE 30,
1999 1999 (A) 1998 1997 1996 1995 (B) 1995 (C)
------------ ---------- ---------- ---------- ---------- ------------- -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ---------- ---------- ----------
Investment Activities:
Net investment income....... 0.025 0.022 0.050 0.050 0.048 0.026 0.025
Net realized gains (losses)
from investments.......... -- -- --(d) -- --(d) --(d) --(d)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Total from Investment
Activities.............. 0.025 0.022 0.050 0.050 0.048 0.026 0.025
---------- ---------- ---------- ---------- ---------- ---------- ----------
Distributions:
Net investment income....... (0.025) (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 $ 1.000
========== ========== ========== ========== ========== ========== ==========
Total Return.................. 2.50%(e) 2.22%(e) 5.10% 5.15% 4.98% 2.68%(e) 2.47%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)..................... $1,665,921 $1,259,860 $1,521,827 $ 992,763 $ 232,249 $ 121,750 $ 11,372
Ratio of expenses to average
net assets................ 0.60%(f) 0.60%(f) 0.60% 0.60% 0.60% 0.60%(f) 0.60%(f)
Ratio of net investment
income to average net
assets.................... 4.94%(f) 4.45%(f) 5.04% 5.11% 4.94% 5.25%(f) 5.46%(f)
Ratio of expenses to average
net assets*............... 0.64%(f) 0.65%(f) 0.64% 0.63% 0.67% 0.69%(f) 0.71%(f)
Ratio of net investment
income to average net
assets*................... 4.90%(f) 4.40%(f) 5.00% 5.08% 4.87% 5.16%(f) 5.35%(f)
</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) Upon reorganizing as a fund of the One Group, the Pegasus Cash Management
Fund became the Cash Management Money Market Fund. The Financial Highlights
for the periods prior to March 29, 1999, represent the Pegasus Cash
Management Fund.
(b) Effective July 1, 1995, the Fund changed its fiscal year end from June 30 to
December 31.
(c) Period from commencement of operations.
(d) Amount is less than .001.
(e) Not annualized.
(f) Annualized.
See notes to financial statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS MARCH 22,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
DECEMBER 31, JUNE 30, ------------------------------ DECEMBER 31,
1999 1999 (A) 1998 1997 1996 1995 (B)
------------ ---------- -------- ------- ------- -------------
(UNAUDITED)
<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 0.021 0.047 0.048 0.047 0.040
Net realized gains (losses) from
investments.......................... --(c) --(c) -- -- --(c) --
-------- -------- -------- ------- ------- -------
Total from Investment Activities..... 0.023 0.021 0.047 0.048 0.047 0.040
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income.................. (0.023) (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 $ 1.000
======== ======== ======== ======= ======= =======
Total Return............................. 2.29%(d) 2.12%(d) 4.76% 4.90% 4.86% 4.06%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $192,828 $125,645 $189,630 $90,813 $70,120 $14,008
Ratio of expenses to average
net assets........................... 0.35%(e) 0.35%(e) 0.35% 0.35% 0.35% 0.35%(e)
Ratio of net investment income
to average net assets................ 4.52%(e) 4.24%(e) 4.55% 4.79% 4.84% 5.16%(e)
Ratio of expenses to average
net assets*.......................... 0.42%(e) 0.42%(e) 0.40% 0.40% 0.46% 1.23%(e)
Ratio of net investment income
to average net assets*............... 4.45%(e) 4.17%(e) 4.50% 4.74% 4.73% 4.28%(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) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Prime
Cash Management Fund became the Treasury Prime Cash Management Money Market
Fund. The Financial Highlights for the periods prior to March 29, 1999,
represent the Pegasus Treasury Prime Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS MARCH 22,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
DECEMBER 31, JUNE 30, -------------------------------- DECEMBER 31,
1999 1999 (A) 1998 1997 1996 1995 (B)
------------ ---------- -------- -------- -------- -------------
(UNAUDITED)
<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 0.020 0.044 0.045 0.045 0.038
Net realized gains (losses) from
investments......................... --(c) --(c) -- -- -- --
-------- -------- -------- -------- -------- --------
Total from Investment Activities.... 0.021 0.020 0.044 0.045 0.045 0.038
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income................. (0.021) (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 $ 1.000
======== ======== ======== ======== ======== ========
Total Return............................ 2.16%(d) 2.00%(d) 4.50% 4.64% 4.60% 3.86%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $545,860 $474,180 $469,443 $233,590 $215,040 $130,559
Ratio of expenses to average
net assets.......................... 0.60%(e) 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e)
Ratio of net investment income
to average net assets............... 4.27%(e) 3.99%(e) 4.35% 4.54% 4.59% 4.72%(e)
Ratio of expenses to average
net assets*......................... 0.67%(e) 0.67%(e) 0.65% 0.65% 0.71% 0.74%(e)
Ratio of net investment income
to average net assets*.............. 4.20%(e) 3.92%(e) 4.30% 4.49% 4.48% 4.58%(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) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Prime
Cash Management Fund became the Treasury Prime Cash Management Money Market
Fund. The Financial Highlights for the periods prior to March 29, 1999,
represent the Pegasus Treasury Prime Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
---------------------------------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS JUNE 1, YEAR
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
DECEMBER 31, JUNE 30, -------------------------------- DECEMBER 31, MAY 31,
1999 1999 (A) 1998 1997 1996 1995 (B) 1995
------------ ---------- ---------- -------- -------- ------------ --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD...................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- -------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income....... 0.025 0.023 0.051 0.052 0.050 0.032 0.049
Net realized gains (losses)
from investments.......... --(c) --(c) -- --(c) --(c) --(c) --(c)
---------- -------- ---------- -------- -------- -------- --------
Total from Investment
Activities.............. 0.025 0.023 0.051 0.052 0.050 0.032 0.049
---------- -------- ---------- -------- -------- -------- --------
Distributions:
Net investment income....... (0.025) (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 $ 1.000
========== ======== ========== ======== ======== ======== ========
Total Return.................. 2.53%(d) 2.28%(d) 5.26% 5.34% 5.15% 3.24%(d) 5.03%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)..................... $1,362,961 $856,449 $1,017,830 $534,364 $369,163 $489,395 $475,248
Ratio of expenses to average
net assets................ 0.35%(e) 0.35%(e) 0.35% 0.35% 0.35% 0.35%(e) 0.34%
Ratio of net investment
income
to average net assets..... 5.00%(e) 4.56%(e) 5.11% 5.27% 5.09% 5.46%(e) 4.94%
Ratio of expenses to average
net assets*............... 0.36%(e) 0.38%(e) 0.37% 0.36% 0.43% 0.42%(e) 0.41%
Ratio of net investment
income
to average net assets*.... 4.99%(e) 4.53%(e) 5.09% 5.26% 5.01% 5.39%(e) 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) Upon reorganizing as a fund of the One Group, the Pegasus U.S. Government
Securities Cash Management Fund became the U.S. Government Securities Cash
Management Money Market Fund. The Financial Highlights for the periods prior
to March 29, 1999, represent the Pegasus U.S. Government Securities Cash
Management Fund.
(b) Effective June 1, 1995, the fund changed its fiscal year end from May 31 to
December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
----------------------------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS JUNE 1, JANUARY 17,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO 1995 TO
DECEMBER 31, JUNE 30, ------------------------------ DECEMBER 31, MAY 31,
1999 1999 (A) 1998 1997 1996 1995 (B) 1995 (c)
------------ ---------- -------- -------- -------- ------------ -----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD...................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- ------- -------
Investment Activities:
Net investment income....... 0.024 0.021 0.049 0.050 0.048 0.031 0.020
Net realized gains (losses)
from investments.......... --(d) --(d) -- --(d) --(d) --(d) --(d)
-------- -------- -------- -------- -------- ------- -------
Total from Investment
Activities.............. 0.024 0.021 0.049 0.050 0.048 0.031 0.020
-------- -------- -------- -------- -------- ------- -------
Distributions:
Net investment income....... (0.024) (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 $ 1.000
======== ======== ======== ======== ======== ======= =======
Total Return.................. 2.41%(e) 2.16%(e) 5.00% 5.08% 4.89% 3.09%(e) 2.01%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)..................... $746,903 $767,457 $559,770 $357,663 $207,046 $56,000 $16,702
Ratio of expenses to average
net assets................ 0.60%(f) 0.60%(f) 0.60% 0.60% 0.60% 0.60%(f) 0.57%(f)
Ratio of net investment
income
to average net assets..... 4.75%(f) 4.31%(f) 4.87% 5.02% 4.84% 5.17%(f) 5.48%(f)
Ratio of expenses to average
net assets*............... 0.62%(f) 0.63%(f) 0.62% 0.61% 0.68% 0.69%(f) 0.66%(f)
Ratio of net investment
income
to average net assets*.... 4.73%(f) 4.28%(f) 4.85% 5.01% 4.76% 5.08%(f) 5.39%(f)
</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) Upon reorganizing as a fund of the One Group, the Pegasus U.S. Government
Securities Cash Management Fund became the U.S. Government Securities Cash
Management Money Market Fund. The Financial Highlights for the periods prior
to March 29, 1999, represent the Pegasus U.S. Government Securities Cash
Management Fund.
(b) Effective June 1, 1995, the Fund changed its fiscal year end from May 31 to
December 31.
(c) Period from commencement of operations.
(d) Amount is less than .001.
(e) Not annualized.
(f) Annualized.
See notes to financial statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR SEPTEMBER 12,
ENDED ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1999 (A) 1998 1997 (b)
------------ ------------ ------------ --------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- ------- -------
Investment Activities:
Net investment income..................... 0.024 0.022 0.051 0.016
Net realized and unrealized gains (losses)
from investments........................ --(c) -- -- --
-------- -------- ------- -------
Total from Investment Activities........ 0.024 0.022 0.051 0.016
-------- -------- ------- -------
Distributions:
Net investment income..................... (0.024) (0.022) (0.051) (0.016)
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======= =======
Total Return................................ 2.41%(d) 2.22%(d) 5.20% 5.29%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $149,813 $191,181 $32,196 $ 850
Ratio of expenses to average net assets... 0.35%(e) 0.35%(e) 0.35% 0.35%(e)
Ratio of net investment income to average
net assets.............................. 4.74%(e) 4.44%(e) 4.97% 5.28%(e)
Ratio of expenses to average net
assets*................................. 0.43%(e) 0.43%(e) 0.40% 0.41%(e)
Ratio of net investment income to average
net assets*............................. 4.66%(e) 4.36%(e) 4.92% 5.22%(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) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Cash
Management Fund became the Treasury Cash Management Money Market Fund. The
Financial Highlights for the periods prior to March 29, 1999, represent the
Pegasus Treasury Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
26
<PAGE> 29
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR SEPTEMBER 12,
ENDED ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1999 (A) 1998 1997 (b)
------------ ------------ ------------ --------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- --------
Investment Activities:
Net investment income..................... 0.023 0.021 0.048 0.015
Net realized and unrealized gains (losses)
from investments........................ --(c) -- -- --
-------- -------- -------- --------
Total from Investment Activities........ 0.023 0.021 0.048 0.015
-------- -------- -------- --------
Distributions:
Net investment income..................... (0.023) (0.021) (0.048) (0.015)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ========
Total Return................................ 2.28%(d) 2.10%(d) 4.94% 5.04%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $199,655 $130,989 $331,015 $205,722
Ratio of expenses to average net assets... 0.60%(e) 0.60%(e) 0.60% 0.60%(e)
Ratio of net investment income to average
net assets.............................. 4.50%(e) 4.19%(e) 4.82% 5.03%(e)
Ratio of expenses to average net
assets*................................. 0.68%(e) 0.68%(e) 0.65% 0.66%(e)
Ratio of net investment income to average
net assets*............................. 4.42%(e) 4.11%(e) 4.77% 4.97%(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) Upon reorganizing as a fund of the One Group, the Pegasus Treasury Cash
Management Fund became the Treasury Cash Management Money Market Fund. The
Financial Highlights for the periods prior to March 29, 1999, represent the
Pegasus Treasury Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR AUGUST 18,
ENDED ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1999 (A) 1998 1997 (b)
------------ ------------ ------------ --------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- --------
Investment Activities:
Net investment income..................... 0.016 0.014 0.032 0.013
Net realized gains (losses) from
investments............................. -- --(c) -- --
-------- -------- -------- --------
Total from Investment Activities........ 0.016 0.014 0.032 0.013
-------- -------- -------- --------
Distributions:
Net investment income..................... (0.016) (0.014) (0.032) (0.013)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ========
Total Return................................ 1.58%(d) 1.39%(d) 3.20% 3.39%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $471,788 $476,802 $588,602 $201,705
Ratio of expenses to average net assets... 0.35%(e) 0.35%(e) 0.35% 0.35%(e)
Ratio of net investment income to average
net assets.............................. 3.12%(e) 2.77%(e) 3.12% 3.37%(e)
Ratio of expenses to average net
assets*................................. 0.43%(e) 0.41%(e) 0.39% 0.41%(e)
Ratio of net investment income to average
net assets*............................. 3.04%(e) 2.71%(e) 3.08% 3.31%(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) Upon reorganizing as a fund of the One Group, the Pegasus Municipal Cash
Management Fund became the Municipal Cash Management Money Market Fund. The
Financial Highlights for the periods prior to March 29, 1999, represent the
Pegasus Municipal Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR AUGUST 18,
ENDED ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1999 (A) 1998 1997 (b)
------------ ------------ ------------ --------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- ------- -------
Investment Activities:
Net investment income..................... 0.014 0.013 0.029 0.012
Net realized gains (losses) from
investments............................. -- --(c) -- --
-------- -------- ------- -------
Total from Investment Activities........ 0.014 0.013 0.029 0.012
-------- -------- ------- -------
Distributions:
Net investment income..................... (0.014) (0.013) (0.029) (0.012)
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======= =======
Total Return................................ 1.46%(d) 1.27%(d) 2.95% 3.14%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $ 11,523 $ 16,299 $61,243 $56,534
Ratio of expenses to average net assets... 0.60%(e) 0.60%(e) 0.60% 0.60%(e)
Ratio of net investment income to average
net assets.............................. 2.88%(e) 2.52%(e) 2.90% 3.12%(e)
Ratio of expenses to average net
assets*................................. 0.68%(e) 0.66%(e) 0.64% 0.66%(e)
Ratio of net investment income to average
net assets*............................. 2.80%(e) 2.46%(e) 2.86% 3.06%(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) Upon reorganizing as a fund of the One Group, the Pegasus Municipal Cash
Management Fund became the Municipal Cash Management Money Market Fund. The
Financial Highlights for the periods prior to March 29, 1999, represent the
Pegasus Municipal Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
29
<PAGE> 32
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
(Unaudited)
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, 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, (individually, a "Fund"; collectively, the "Funds") only.
Each Fund is a diversified mutual 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 Market Seeks high current income with liquidity and
Fund stability of principal.
U.S. Government Cash Management Money Market Seeks high current income with liquidity and
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 Fund Seeks high current income exempt from Federal
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.
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 (except the Treasury Prime Cash Management Money Market Fund) 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
Continued
30
<PAGE> 33
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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 for both financial reporting and tax purposes using the
straight-line amortized cost method.
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.
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
Prior to June 30, 1998, costs incurred by the Trust in connection with its
organization, including the fees and expenses of registering and qualifying
its shares for distribution have been deferred and are being amortized
using the straight-line method over a period of five years beginning with
the commencement of each Fund's operations. All such costs, which are
attributable to more than one fund of the Trust, have been allocated among
the respective funds pro-rata, based on the relative net assets of each
Fund. In the event that any of the initial shares are redeemed during such
period by any holder thereof, the related fund will be reimbursed by such
holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
Continued
31
<PAGE> 34
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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-four series and six classes of shares: Class I, Class A, Class B, Class
C, Class S 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 only. 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. See Schedules of Capital Stock Activity.
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
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, Government Money Market Fund and the Institutional
Prime 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 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.
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 a 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.
Continued
32
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
The Advisor and Administrator voluntarily agreed to waive a portion of their
fees. For the six months ended December 31, 1999, fees in the following
amounts were waived from the Funds (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT
ADVISORY
FEES ADMINISTRATION
WAIVED FEES WAIVED
---------- --------------
<S> <C> <C>
Cash Management Money Market Fund........................... $375 $141
Treasury Prime Cash Management Money Market Fund............ 197 35
U.S. Government Securities Cash Management Money Market
Fund...................................................... 169 96
Treasury Cash Management Money Market Fund.................. 139 21
Municipal Cash Management Money Market Fund................. 164 34
</TABLE>
5. LINE OF CREDIT:
The Trust and State Street Bank and Trust Company ("State Street") and a
group of banks (collectively, the "Banks") entered into a financing agreement
dated October 19, 1999. Under this agreement, the Banks provide an unsecured
committed credit facility in the aggregate amount of $500 million. The credit
facility is allocated, under the terms of the financing agreement, among the
Banks. Advances under the agreement are taken primarily for temporary or
emergency purposes, including the meeting of redemption requests that
otherwise might require the untimely disposition of securities, and are
subject to each Fund's borrowing restrictions. Interest on borrowings is
payable at the Federal Funds Rate plus 0.50% on an annualized basis. Interest
on borrowings during the period from and including December 15, 1999, to
January 17, 2000, is payable at 0.50% plus the higher of the Fed Funds
Effective Rate plus 0.50% or the Fed Funds Target Rate plus 1.50%. A
commitment fee of 0.10% per annum will be incurred on the unused portion of
the committed facility, which is allocated to all funds.
At December 31, 1999, Municipal Cash Management Money Market Fund had
$1,700,000 outstanding under this agreement. During the six months ended
December 31, 1999, borrowings by the Funds under the Agreement were as
follows (amounts in thousands):
<TABLE>
<CAPTION>
AVERAGE
AMOUNT
BORROWED FOR AVERAGE INTEREST
FUND PERIOD RATE
---- ------------ ----------------
<S> <C> <C>
Municipal Cash Management Money Market Fund................. $9 7.50%
</TABLE>
The average amount outstanding was calculated based on daily balances during
the period.
6. DEFERRED TRUSTEES FEES:
Independent Trustees of the Funds may participate in a Deferred Compensation
Plan in which they may defer any or all compensation related to performance
of their duties as a Trustee. All deferred compensation is paid by the Funds
and invested into various One Group funds elected by each Trustee. The Plan
is fully funded and therefore, the Funds bear no additional trustee expense
over and above the normal cash compensation.
7. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by First Chicago NBD
Investment Management Company (an affiliate of the Advisor) were exchanged in
a tax-free conversion for Class I shares of the corresponding Funds. The
transactions were accounted for by a method followed for tax purposes in a
tax-free business
Continued
33
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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
NET VALUE PER
SHARES ASSETS SHARE
SEPTEMBER 18, 1998 ISSUED CONVERTED ISSUED
------------------ ------ --------- ---------
<S> <C> <C> <C>
Cash Management Money Market Fund........................... 149,308 $149,308 $1.00
Municipal Cash Management Money Market Fund................. 178,164 178,164 1.00
</TABLE>
8. 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 28, 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 CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <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 TREASURY PRIME
PRIME CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
---------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 563,715 -- 563,715
Net assets................................ $563,697 -- $563,697
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ -----------------
PEGASUS U.S. U.S. GOVERNMENT U.S. GOVERNMENT
GOVERNMENT SECURITIES SECURITIES
SECURITIES CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <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
TREASURY CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 419,386 -- 419,386
Net assets................................ $419,386 -- $419,386
</TABLE>
Continued
34
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------------ -----------------
PEGASUS MUNICIPAL MUNICIPAL MUNICIPAL
CASH MANAGEMENT CASH MANAGEMENT CASH MANAGEMENT
FUND MONEY MARKET FUND MONEY MARKET FUND
--------------------- ----------------- -----------------
<S> <C> <C> <C>
Shares................................. 643,344 -- 643,344
Net assets............................. $643,367 -- $643,367
</TABLE>
Continued
35
<PAGE> 38
(This page has been left blank intentionally.)
<PAGE> 39
One Group is distributed by
The One Group Services Company,
which is not affiliated with BANK
ONE CORPORATION. Banc One
Investment Advisors Corporation
serves as investment advisor to
the One Group, for which it
receives advisory fees.
Call Investor Services at
The One Group Service Center
at 1 800 480 4111 for a prospectus
containing complete information
about charges and expenses. Read
carefully before investing. Past
performance is no guarantee of
future results.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION [LOGO] BANK ONE
TOG-F-045 (2/00)
