<PAGE> 1
MONEY MARKET FUNDS
ANNUAL REPORT
For the year ended June 30, 2000
One Group Logo
ONE GROUP(R) PRIME MONEY MARKET FUND
ONE GROUP(R) U.S. TREASURY SECURITIES MONEY
MARKET FUND
ONE GROUP(R) MUNICIPAL MONEY MARKET FUND
ONE GROUP(R) MICHIGAN MUNICIPAL MONEY MARKET FUND
ONE GROUP(R) OHIO MUNICIPAL MONEY MARKET FUND
<PAGE> 2
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
<PAGE> 3
Table of Contents
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Portfolio Performance Review................................................ 2
Schedules of Portfolio Investments........................................... 11
Statements of Assets and Liabilities......................................... 27
Statements of Operations..................................................... 28
Statements of Changes in Net Assets.......................................... 29
Schedules of Capital Stock Activity.......................................... 31
Financial Highlights......................................................... 33
Notes to Financial Statements................................................ 48
Report of Independent Accountants............................................ 54
1
<PAGE> 4
One Group Prime Money Market Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Prime Money Market Fund I share class was 6.10%
on June 30, 2000, up considerably from 4.60% on June 30, 1999.
WHAT CONTRIBUTED TO THE INCREASE IN YIELD?
The increase in the Fund's yield over the fiscal year primarily was due to the
Federal Reserve's tightening policy. The Federal Reserve raised short-term
interest rates five times during the fiscal year, for a total increase of 1.75
percentage points.
With the Federal Reserve tightening monetary policy, rates on the securities
that the Fund purchased increased quickly during the fiscal year. This was
reflected in the Fund's attractive yield.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The Fund remained diversified among high-quality commercial paper and other
corporate money market securities. Our objective was to anticipate movements in
interest rates and structure the portfolio accordingly to take advantage of the
rising rate environment. By maintaining a relatively short weighted-average
maturity, we were able to quickly take advantage of interest rate increases.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Until the economy slows down to a pace the Federal Reserve believes can be
maintained without the threat of inflation, additional interest rate hikes are
possible. As such, we will maintain an appropriate weighted average maturity and
continue to invest only in the highest-quality investments.
/s/ Sherman Smith
Sherman Smith
Team Leader, Money Market Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C> <C>
Class I 1/1/87 6.10% 5.51% 5.31% 4.99% 5.68%
Class A 2/18/92 5.85% 5.25% 5.05% NA 4.46%
Class B 11/12/96 5.10% 4.47% NA NA 4.24%
Class C(1) 1/1/87 5.10% 4.45% 4.27% 3.96% 4.64%
Service Class 4/16/99 5.55% 4.94% NA NA 4.80%
</TABLE>
------------
(1) Prior to May 31, 2000, performance for Class C is based on Class I share
performance adjusted to reflect the deduction of fees and expenses.
The performance data quoted represents past performance and is not an indication
of future results. An investment in the Fund is not insured or guaranteed by the
FDIC or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. The total return set forth may reflect the waiver of a
portion of the Fund's fees for certain periods since the inception date, without
the waiver, total return would have been lower.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
2
<PAGE> 5
One Group U.S. Treasury Securities Money Market Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The seven-day yield on One Group U.S. Treasury Securities Money Market Fund I
share class was 5.91% on June 30, 2000, up from 4.31% on June 30, 1999. The
increase primarily was due to the series of Federal Reserve interest rate hikes
throughout the fiscal year.
HOW WOULD YOU CHARACTERIZE THE SHORT-TERM INTEREST RATE CLIMATE DURING THE YEAR?
An extremely strong U.S. economy caused the Federal Reserve to raise interest
rates five times over the 12-month period. As a result, the federal funds rate
increased a total of 1.75 percentage points during the year.
The federal government currently is running a budget surplus, and it projects
surpluses to continue into the future. This has allowed the U.S. Treasury to cut
debt issuance by reducing the number and size of 30-year bonds and one-year
bills. The Treasury also has been active in buying back outstanding Treasury
debt in the 20- to 30-year area. This reduction in supply has negatively
affected the Fund's performance by increasing prices and effectively increasing
the cost of doing business.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We extended the Fund's average maturity during the fiscal year as the market
moved on economic releases and expectations regarding the future course of the
Federal Reserve. This strategy enabled the Fund to steadily increase yield ahead
of its competitors. Average maturity moved from 41 days on June 30, 1999, to 47
days on June 30, 2000.
Overall, we were able to generate attractive Fund performance by diligently
monitoring economic factors and the market's supply/demand conditions. We also
took advantage of market factors and situations that produced additional yield
for shareholders.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We plan to continue extending the Fund's average maturity, as we expect supply
and demand issues to remain a significant factor in the market. Specifically,
the U.S. Treasury is expected to continue buying back existing government debt
and reducing the issuance of new debt. Additionally, there remains a good deal
of uncertainty regarding the Federal Reserve's interest rate policy. Current
projections range from no further tightenings to another one-percentage-point
increase over the next fiscal year.
/s/ Sherman Smith
Sherman Smith
Team Leader, Money Market Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
3
<PAGE> 6
One Group U.S. Treasury Securities Money Market Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C> <C>
Class I 1/1/87 5.91% 5.12% 5.07% 4.73% 5.39%
Class A 2/18/92 5.66% 4.86% 4.81% NA 4.23%
Class B 11/21/96 4.91% 4.08% NA NA 3.96%
Class C 2/18/98 4.91% 4.08% NA NA 3.88%
Service Class 4/16/99 5.36% 4.54% NA NA 4.42%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. An investment in the Fund is not insured or guaranteed by the
FDIC or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. The total return set forth may reflect the waiver of a
portion of the Fund's fees for certain periods since the inception date, without
the waiver, total return would have been lower.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
4
<PAGE> 7
One Group Municipal Money Market Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Municipal Money Market Fund I share class was
4.20% on June 30, 2000, compared to 3.27% on June 30, 1999. (For investors in
the 39.6% federal income tax bracket, the 4.20% yield translates to a
taxable-equivalent yield of 6.95%.) The increase in the Fund's yield primarily
was due to the rising interest rate environment.
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
The fiscal year was marked by higher interest rates, as the Federal Reserve
moved to subdue growing inflationary pressures with a series of
rate-tightenings. The federal funds rate moved from 4.75% to 6.50%, as the
threat of inflation was evident in tight labor markets, economic output and
general price levels. While the interest rate climate was a factor, the
short-term municipal market was influenced heavily by technical supply and
demand imbalances. Tax-exempt rates moved in an irregular fashion, reaching
peaks in December and May. A choppy trading pattern existed in the other 10
months, with only a slight upward bias. Rates on one-year tax-exempt notes
increased to 4.29% and variable-rate issues traded within a range of 2.75% to
5.75%.
The relative limited supply in the market and volatility in cash flows within
the Fund greatly influenced the Fund's overall performance during the year. The
unknown impact of Y2K necessitated a higher liquidity need in December, which
was offset by a reduced Fund asset base. A similar event happened during April,
when market selling pressure to meet tax redemptions occurred at a time when
rates were at their peak.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary strategy involves balancing the Fund's security mix between
variable- and fixed-rate issues in an effort to anticipate and react to changing
market conditions. We also incorporate a quality-oriented selection process to
help ensure that all issues selected for the Fund represent minimal credit risk.
In anticipation of rising rates, our strategy was to place a greater reliance on
variable-rate issues that would correlate with upward market adjustments. We
maintained only selective exposure to fixed-rate issues.
We focused on keeping a short average maturity, but due to wide changes in cash
flows, the Fund's maturity bounced around more than desired. The Fund's average
maturity ranged from 16 days to 30 days and ended the fiscal year at 26 days,
compared to 22 days on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect the next 12 months to be similar to the previous fiscal year, but any
upward move in interest rates should be at a reduced pace. We will continue to
employ a flexible investment approach to make the most of any changes in
interest rates. This strategy should better position the Fund for the longer
term, because, at some point, rates may level off or possibly start to decline
when the Federal Reserve achieves its goal of slowing economic growth and
calming inflationary pressures.
/s/ Sherman Smith
Sherman Smith
Team Leader, Money Market Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
5
<PAGE> 8
One Group Municipal Money Market Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C> <C>
Class I 6/4/87 4.20% 3.38% 3.21% 3.23% 3.73%
Class A 2/18/92 3.96% 3.12% 2.96% NA 2.69%
Service Class 4/16/99 3.66% 2.81% NA NA 2.75%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. An investment in the Fund is not insured or guaranteed by the
FDIC or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. The total return set forth may reflect the waiver of a
portion of the Fund's fees for certain periods since the inception date, without
the waiver, total return would have been lower.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
6
<PAGE> 9
One Group Michigan Municipal Money Market Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Michigan Municipal Money Market Fund I share
class was 4.13% on June 30, 2000, compared to 3.09% on June 30, 1999. (For
investors in the 39.6% federal income tax bracket and the 4.4% Michigan state
income tax bracket, the 4.13% yield translates to a taxable-equivalent yield of
7.38%.) The increase in the Fund's yield primarily was due to the rising
interest rate environment.
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
The fiscal year was marked by higher interest rates due to growing inflationary
pressures. With the threat of inflation evident in tight labor markets, economic
output and general price levels, the Federal Reserve increased the federal funds
rate from 4.75% to 6.50%.
The short-term Michigan municipal market was influenced heavily by technical
supply and demand imbalances. Tax-exempt rates moved in an irregular fashion,
reaching peaks in December and May. A choppy trading pattern existed in the
other 10 months, with only a slight upward bias. Rates on one-year tax-exempt
notes increased to 4.25% and variable-rate issues traded within a range of 2.50%
to 5.50%.
The relatively limited supply of tax-exempt money market securities and the
volatility of cash flows within the Fund greatly influenced the Fund's overall
performance during the year. The uncertainties surrounding Y2K caused us to
strengthen liquidity in December, but this was offset by a reduced Fund asset
base. A similar event occurred during April, when investors redeemed shares to
meet their tax obligations. This created market selling pressure at a time when
rates were at their peak.
HOW DID MICHIGAN'S ECONOMY FARE?
The Michigan economy continued to grow at a healthy pace during the past year.
Unemployment levels remained low, closing out May 2000 at 3.2% and declining
from 3.8% in June 1999. The tight labor markets helped to support the
manufacturing sector, contributing to relatively strong growth. Gross Domestic
Product grew at 4.1% for the 1999 calendar year and 6.9% for the fourth quarter
of 1999. Michigan growth rates were only slightly below national growth levels.
As a result of the favorable economic picture, credit levels remained very
stable during the past year and should continue for the upcoming year.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary strategy involves balancing the Fund's security mix between
variable- and fixed-rate issues in an effort to anticipate and react to changing
market conditions. We also incorporated a quality-oriented selection process to
help ensure that all issues selected for the Fund represented minimal credit
risk.
In anticipation of rising rates, our strategy for the fiscal year was to place a
greater reliance on variable-rate issues that would move in sync with upward
adjustments in market rates. We maintained only selective exposure to fixed-rate
issues.
We focused on keeping a relatively short average maturity, but due to wide
changes in cash flows, the Fund's maturity fluctuated more than desired. The
Fund's average maturity ranged from 20 days to 44 days and ended the fiscal year
at 32 days, compared to 22 days on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect the next 12 months to be similar to the previous fiscal year, but any
upward move in interest rates should be at a reduced pace. We will continue to
employ a flexible investment approach to make the most of any changes in
interest rates. This strategy should better position the Fund for the longer
term, because, at some point, rates may level off or possibly start to decline
when the Federal Reserve achieves its goal of slowing economic growth and
calming inflationary pressures.
/s/ Sherman Smith
Sherman Smith
Team Leader, Money Market Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
7
<PAGE> 10
One Group Michigan Municipal Money Market Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN(1)
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR 5 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C>
Class I 1/31/91 4.13% 3.32% 3.11% 2.90%
Class A 1/31/91 3.88% 3.06% 2.92% 2.80%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. An investment in the Fund is not insured or guaranteed by the
FDIC or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. The total return set forth may reflect the waiver of a
portion of the Fund's fees for certain periods since the inception date, without
the waiver, total return would have been lower.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
8
<PAGE> 11
One Group Ohio Municipal Money Market Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The seven-day yield on One Group Ohio Municipal Money Market Fund I share class
was 4.10% on June 30, 2000, compared to 3.20% on June 30, 1999. (For investors
in the 39.6% federal income tax bracket and the 7.0% Ohio state income tax
bracket, the 4.10% yield translates to a taxable-equivalent yield of 7.68%.) The
increase in the Fund's yield primarily was due to the rising interest rate
environment.
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
The fiscal year was marked by higher interest rates due to growing inflationary
pressures. With the threat of inflation evident in tight labor markets, economic
output and general price levels, the Federal Reserve increased the federal funds
rate from 4.75% to 6.50%.
The short-term Ohio municipal market was influenced heavily by technical supply
and demand imbalances. Tax-exempt rates moved in an irregular fashion, reaching
peaks in December and May. A choppy trading pattern existed in the other 10
months, with only a slight upward bias. Rates on one-year tax-exempt notes
increased to 4.40% and variable-rate issues traded within a range of 2.50% to
5.75%.
The relatively limited supply of tax-exempt money market securities and the
volatility of cash flows within the Fund greatly influenced the Fund's overall
performance during the year. The uncertainties surrounding Y2K caused us to
strengthen liquidity in December, but this was offset by a reduced Fund asset
base. A similar event occurred during April, when investors redeemed shares to
meet their tax obligations. This created market selling pressure at a time when
rates were at their peak.
HOW DID THE OHIO ECONOMY FARE?
The Ohio economy continued to do well during the fiscal year. Manufacturing
remained robust, supported by steady job growth. Ohio's unemployment rate also
tracked just below national levels. Population growth remained flat,
contributing to a shortage of workers and tight labor markets. State and local
issuers benefited from the healthy economy, maintaining general surplus levels
and stable ratings. The outlook for Ohio remains attractive for the near-term.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary strategy involves balancing the Fund's security mix between
variable- and fixed-rate issues in an effort to anticipate and react to changing
market conditions. We also incorporated a quality-oriented selection process to
help ensure that all issues selected for the Fund represented minimal credit
risk.
In anticipation of rising rates, we favored variable-rate issues over fixed-rate
securities. This effort helped the Fund's yield move in sync with upward
adjustments in market rates.
The interest rate environment also caused us to keep a relatively short average
maturity, which enabled us to quickly take advantage of higher rates. But, due
to wide changes in cash flows, the Fund's maturity experienced more fluctuations
than desired. The Fund's average maturity ranged from 22 days to 50 days and
ended the fiscal year at 28 days, compared to 22 days on June 30, 1999.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect the next 12 months to be similar to the previous fiscal year, but any
upward move in interest rates should be at a reduced pace. We will continue to
employ a flexible investment approach to make the most of any changes in
interest rates. This strategy should better position the Fund for the longer
term, because, at some point, rates may level off or possibly start to decline
when the Federal Reserve achieves its goal of slowing economic growth and
calming inflationary pressures.
/s/ Sherman Smith
Sherman Smith
Team Leader, Money Market Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
9
<PAGE> 12
One Group Ohio Municipal Money Market Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR 5 YEARS SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C>
Class I 6/9/93 4.10% 3.32% 3.21% 3.07%
Class A 1/26/93 3.85% 3.06% 2.96% 2.79%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. An investment in the Fund is not insured or guaranteed by the
FDIC or any other government agency. Although the Fund seeks to preserve the
value of your investment at $1.00 per share, it is possible to lose money by
investing in the Fund. The total return set forth may reflect the waiver of a
portion of the Fund's fees for certain periods since the inception date, without
the waiver, total return would have been lower.
The Fund's income may be subject to certain state and local taxes and, depending
on your tax status, the federal alternative minimum tax.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
10
<PAGE> 13
One Group Mutual Funds
Prime Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER (50.2%):
Asset Backed (35.6%):
$ 71,000 Ace Overseas Corp., 6.71%, 8/21/00
(b).............................. $ 70,325
80,000 Amsterdam Funding Corp., 6.59%,
7/13/00 (b)...................... 79,824
50,000 Amsterdam Funding Corp., 6.57%,
7/28/00 (b)...................... 49,754
88,267 Atlantis One Funding Corp., 6.58%,
8/4/00 (b)....................... 87,718
100,000 Atlantis One Funding Corp., 6.59%,
8/24/00 (b)...................... 99,012
96,000 Atlantis One Funding Corp., 6.61%,
9/1/00 (b)....................... 94,907
33,000 Bavaria T.R.R. Corp., 6.00%,
7/18/00 (b)...................... 32,907
36,000 Bavaria T.R.R. Corp., 6.20%,
7/19/00 (b)...................... 35,888
48,000 Bavaria T.R.R. Corp., 6.56%, 8/2/00
(b).............................. 47,720
95,500 Brahms Funding Corp., 6.68%,
8/17/00 (b)...................... 94,667
122,000 Brahms Funding Corp., 6.68%,
8/22/00 (b)...................... 120,824
38,727 Breeds Hill Capital Co., L.L.C.,
6.00%, 7/19/00 (b)............... 38,611
47,000 Breeds Hill Capital Co., L.L.C.,
6.67%, 9/20/00 (b)............... 46,295
25,000 Citibank Credit Card Master Trust
(Dakota), 6.15%, 7/10/00 (b)..... 24,962
50,000 Citibank Credit Card Master Trust
(Dakota), 6.15%, 7/11/00 (b)..... 49,915
52,000 Citibank Credit Card Master Trust
(Dakota), 6.14%, 7/13/00 (b)..... 51,894
75,000 Citibank Credit Card Master Trust
(Dakota), 6.50%, 7/18/00 (b)..... 74,770
66,530 Citibank Credit Card Master Trust
(Dakota), 6.61%, 7/19/00 (b)..... 66,310
34,235 Citibank Credit Card Master Trust
(Dakota), 6.67%, 8/4/00 (b)...... 34,019
75,401 Concord Minutemen Capital Co.,
6.59%, 7/12/00 (b)............... 75,249
50,000 CXC, Inc., 6.57%, 7/6/00 (b)....... 49,954
95,000 CXC, Inc., 6.61%, 8/3/00 (b)....... 94,424
100,000 CXC, Inc., 6.57%, 8/8/00 (b)....... 99,307
75,000 CXC, Inc., 6.61%, 9/14/00 (b)...... 73,967
68,802 Forrestial Funding Master Trust,
6.58%, 8/9/00 (b)................ 68,312
45,000 Great Lakes Funding Capital Corp.,
6.75%, 7/26/00 (b)............... 44,789
75,000 Halogen Capital Co., L.L.C., 6.66%,
7/11/00 (b)...................... 74,861
40,000 K2 (USA) L.L.C., 5.96%, 7/28/00
(b).............................. 39,821
68,000 Lexington Parker Capital Co.,
L.L.C., 6.13%, 8/21/00 (b)....... 67,410
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER, CONTINUED:
Asset Backed, continued:
$100,000 Lexington Parker Capital Co.,
L.L.C., 6.09%, 8/23/00 (b)....... $ 99,103
92,000 Moat Funding L.L.C., 5.98%,
7/12/00 (b)...................... 91,832
100,000 Moat Funding L.L.C., 6.14%,
9/12/00 (b)...................... 98,755
100,000 Moat Funding L.L.C., 6.29%,
10/18/00 (b)..................... 98,096
67,685 MPF Two Limited, 6.20%, 7/6/00
(b).............................. 67,627
104,620 MPF Two Limited, 6.77%, 8/29/00
(b).............................. 103,459
20,000 Old Line Funding Corp., 6.55%,
7/12/00 (b)...................... 19,960
107,000 Old Line Funding Corp., 6.55%,
7/25/00 (b)...................... 106,533
84,438 Quincy Capital Corp., 6.54%,
7/27/00 (b)...................... 84,039
41,371 Receivables Capital Corp., 6.56%,
7/31/00 (b)...................... 41,145
58,079 Receivables Capital Corp., 6.57%,
8/1/00 (b)....................... 57,750
54,863 Repeat Offering Securitisation
Entity, Inc., 6.16%, 7/21/00
(b).............................. 54,675
67,022 Sheffield Receivables Corp., 6.58%,
7/3/00........................... 66,998
112,100 Sheffield Receivables Corp., 6.65%,
9/14/00.......................... 110,548
50,000 Sigma Finance, Inc., 5.95%, 7/10/00
(b).............................. 49,926
97,000 Sigma Finance, Inc., 6.02%, 7/20/00
(b).............................. 96,692
80,000 Special Purpose Accounts Receivable
Cooperative Corp., 6.14%, 7/5/00
(b).............................. 79,945
64,928 Variable Funding Corp., 6.59%,
7/3/00 (b)....................... 64,904
150,000 Variable Funding Corp., 6.63%,
9/15/00 (b)...................... 147,901
42,500 WCP Funding, Inc., 6.59%, 8/10/00
(b).............................. 42,189
----------
3,470,493
----------
Banking (10.5%):
70,000 AB Spintab, 6.49%, 7/7/00.......... 69,928
106,000 AB Spintab, 6.65%, 8/18/00......... 105,062
100,000 AB Spintab, 6.62%, 9/11/00......... 98,676
68,750 Banco Rio De La Plata, S.A., 6.69%,
10/10/00......................... 67,541
45,000 Den Dankse Corp., 6.62%, 9/11/00... 44,404
150,000 Den Danske Corp., 6.57%, 9/18/00... 147,837
52,500 Galicia Buenos Aires Funding Corp.,
6.60%, 9/20/00................... 51,720
50,000 Garanti Funding Corp.,
6.58%, 8/1/00.................... 49,717
</TABLE>
Continued
11
<PAGE> 14
One Group Mutual Funds
Prime Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER, CONTINUED:
Banking, continued:
$ 91,500 Natexis U.S. Finance Corp., 6.56%,
7/5/00........................... $ 91,433
95,000 Santander Finance Delaware, Inc.,
6.62%, 9/8/00.................... 93,795
100,000 Santander Finance Delaware, Inc.,
6.34%, 2/15/00................... 97,059
81,500 UBN Delaware, 6.72%, 8/31/00....... 80,572
25,000 UBN Delaware, 6.63%, 9/8/00........ 24,682
----------
1,022,426
----------
Brokerage Services (1.5%):
100,000 Lehman Brothers Holdings, Inc.,
6.29%, 10/3/00................... 98,358
50,000 Lehman Brothers Holdings, Inc.,
6.43%, 10/25/00.................. 48,964
----------
147,322
----------
Gas & Electric Utility (0.6%):
61,000 National Rural Utility Cooperative
Corp., 6.27%, 10/11/00........... 59,916
----------
Mortgage Bankers & Correspondents (2.0%):
197,700 Countrywide Home Loan, 6.85%,
7/7/00........................... 197,474
----------
Total Commercial Paper 4,897,631
----------
CORPORATE NOTES (11.7%):
Asset Backed (11.7%):
88,000 Racers Series 1999-26-MM-CCABS,
6.79%, 7/17/00* (b).............. 88,000
100,000 Racers Series 1999-35-MM-ZCMT,
6.39%, 12/15/00* (b)............. 100,000
250,000 Racers Series 2000-7-MM, 6.83%,
5/30/01* (b)..................... 250,000
72,411 Strategic Money Market Trust,
Series 1999-A, 6.48%, 9/13/00*
(b).............................. 72,411
182,000 Strategic Money Market Trust,
Series 1999-A, 6.40%, 9/13/00*
(b).............................. 182,000
50,000 Strategic Money Market Trust,
Series 2000-B, 6.81%, 12/13/00*
(b).............................. 50,000
157,500 Structured Products Asset Return,
Certificates, Series 2000-1,
6.36%, 7/24/00* (b).............. 157,500
107,000 Syndicated Loan Funding Trust,
Series 2000-12, 6.91%, 6/15/01*
(b).............................. 107,000
43,000 Syndicated Loan Funding Trust,
Series 2000-2, 6.85%, 2/15/01*
(b).............................. 43,000
90,000 Syndicated Loan Funding Trust,
Series 2000-7, 6.94%, 3/15/01*
(b).............................. 90,000
----------
Total Corporate Notes 1,139,911
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
MASTER NOTES (2.3%):
Automotive (2.3%):
$ 70,000 Paccar Leasing Corp., 6.72%,
8/4/00*.......................... $ 70,000
150,000 Wheels, Inc., 6.77%, 10/13/00*..... 150,000
----------
Total Master Notes 220,000
----------
MEDIUM TERM/SENIOR NOTES (21.5%):
Asset Backed (17.2%):
53,000 Beta Finance, Inc., 6.61%,
1/25/01 (b)...................... 52,998
75,000 Beta Finance, Inc., 6.66%,
2/5/01 (b)....................... 75,000
50,000 C.C. (USA), Inc., 5.80%, 7/14/00
(b).............................. 50,000
100,000 C.C. (USA), Inc., 5.75%, 7/24/00
(b).............................. 100,000
75,000 C.C. (USA), Inc., 6.00%, 8/14/00
(b).............................. 75,000
20,000 C.C. (USA), Inc., 6.62%, 1/24/01
(b).............................. 19,999
50,000 C.C. (USA), Inc., 6.63%, 2/1/01
(b).............................. 50,000
50,000 Dorada Finance, Inc., 5.74%,
7/21/00 (b)...................... 50,000
50,000 Dorada Finance, Inc., 6.08%,
8/16/00 (b)...................... 50,000
50,000 Dorada Finance, Inc., 6.10%,
9/7/00 (b)....................... 50,000
38,000 Dorada Finance, Inc., 6.16%,
10/16/00 (b)..................... 38,000
50,000 Dorada Finance, Inc., 6.63%,
1/18/01 (b)...................... 49,999
50,000 K2 (USA) L.L.C., 6.82%, 2/15/01
(b).............................. 50,000
35,000 K2 (USA) L.L.C., 6.80%, 3/29/01
(b).............................. 35,000
35,000 K2 (USA) L.L.C., 6.83%, 4/17/01
(b).............................. 35,000
25,000 K2 (USA) L.L.C., 7.21%, 5/8/01
(b).............................. 25,002
50,000 K2 (USA) L.L.C., 7.48%, 5/22/01
(b).............................. 50,000
160,000 Liberty Lighthouse U.S. Capital
Co., L.L.C., 6.35%, 7/26/00*..... 160,001
84,000 Liberty Lighthouse U.S. Capital
Co., L.L.C., 6.88%, 9/25/00*
(b).............................. 84,000
57,000 Liberty Lighthouse U.S. Capital
Co., L.L.C., 6.88%, 10/24/00*.... 57,000
45,000 Liberty Lighthouse U.S. Capital
Co., L.L.C., 6.82, 11/22/00*..... 45,000
50,000 Links Finance L.L.C., 6.75%,
2/5/01 (b)....................... 50,000
50,000 Links Finance L.L.C., 6.82%,
2/15/01 (b)...................... 50,000
50,000 Links Finance L.L.C., 6.78%,
2/26/01 (b)...................... 50,000
50,000 Links Finance L.L.C., 6.77%,
3/15/01 (b)...................... 50,000
75,000 Sigma Finance, Inc., 6.36%,
10/26/00 (b)..................... 75,000
50,000 Sigma Finance, Inc., 6.85%,
2/26/01 (b)...................... 50,000
50,000 Sigma Finance, Inc., 6.80%,
3/28/01 (b)...................... 50,000
</TABLE>
Continued
12
<PAGE> 15
One Group Mutual Funds
Prime Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
MEDIUM TERM/SENIOR NOTES, CONTINUED:
Asset Backed, continued:
$ 50,000 Sigma Finance, Inc., 6.84%,
4/17/01 (b)...................... $ 50,000
50,000 Sigma Finance, Inc., 6.90%,
5/2/01 (b)....................... 50,000
----------
1,676,999
----------
Banking (1.0%):
50,000 Abbey National P.L.C., 6.12%,
11/27/00 (b)..................... 49,980
50,000 Abbey National P.L.C., 6.19%,
12/4/00 (b)...................... 49,978
----------
99,958
----------
Brokerage Services (1.3%):
25,000 Goldman Sachs Group, Inc., 6.45%,
1/9/01* (b)...................... 25,025
47,000 Goldman Sachs Group, Inc., Series
A, 7.00%, 11/28/00* (b).......... 47,028
50,000 Lehman Brothers Holdings, Inc.
Series E, 6.85%, 7/14/00*........ 50,003
----------
122,056
----------
Financial Services (2.0%):
100,422 AT&T Capital Corp., 7.50%,
11/15/00......................... 100,884
69,000 AT&T Capital Corp., 6.75%,
12/1/00.......................... 69,152
25,000 IBM Credit Corp., 6.21%,
12/11/00......................... 24,994
----------
195,030
----------
Total Medium Term/Senior Notes 2,094,043
----------
FUNDING AGREEMENTS (6.6%):
Insurance (6.6%):
50,000 Allstate Life Insurance Co., 6.78%,
8/31/00*......................... 50,000
100,000 Allstate Life Insurance Co., 6.93%,
2/15/01*......................... 100,000
265,000 Peoples Benefit Life Insurance Co.,
6.57%, 7/13/01*.................. 265,000
175,000 Security Benefit Life Insurance
Co., 6.49%, 8/11/00*............. 175,000
50,000 Transamerica Life Insurance &
Annuity Co., 6.36%, 12/9/02*..... 50,000
----------
Total Funding Agreements 640,000
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (0.9%):
Banking (0.9%):
$ 89,000 Allfirst Bank, 6.85%, 9/29/00*..... $ 88,964
----------
Total Certificates of Deposit 88,964
----------
YANKEE CERTIFICATES OF DEPOSIT (1.7%):
Banking -- Foreign (1.7%):
50,000 Norddeutsche Landesbank GZ, 6.19%,
12/8/00.......................... 49,985
50,000 Union Bank of Switzerland, 6.14%,
11/29/00......................... 49,985
70,000 Union Bank of Switzerland, 6.21%,
12/8/00.......................... 69,980
----------
Total Yankee Certificates of Deposit 169,950
----------
REPURCHASE AGREEMENTS (2.8%):
200,000 Salomon Smith Barney, 6.80%,
7/3/00, (Collateralized by
$216,242 various U.S. Government
Securities, 5.50% - 8.00%,
12/1/13 - 6/1/30, market value
$206,000)........................ 200,000
72,000 Westdeutsche Landesbank, 6.55%,
7/3/00, (Collateralized by
$135,234 various U.S. Government
Securities, 4.95% - 6.85%,
12/4/00 - 1/1/29, market value
$73,911)......................... 72,000
----------
Total Repurchase Agreements 272,000
----------
TIME DEPOSITS (2.1%):
206,883 State Street Bank and Trust, 7.00%,
7/3/00........................... 206,883
----------
Total Time Deposits 206,883
----------
Total (Amortized Cost $9,729,382) (a) $9,729,382
==========
</TABLE>
------------
Percentages indicated are based on net assets of $9,753,282.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
(b) Security exempt from registration under Rule 144A and/or Section 4(2) of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. These
securities amounted to $6,019,867 or 61.72% of net assets.
* Variable rate securities. The interest rate, which will change periodically,
is based upon an index of market rates. The rate reflected on the Schedule of
Portfolio Investments is the rate in effect at June 30, 2000.
See notes to financial statements.
13
<PAGE> 16
One Group Mutual Funds
U.S. Treasury Securities Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
---------- ---------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (33.6%):
U.S. Treasury Bills (19.4%):
$ 100,000 9/7/00............................ $ 98,927
400,000 9/14/00........................... 395,676
300,000 9/28/00........................... 295,753
500,000 10/5/00........................... 492,725
----------
1,283,081
----------
U.S. Treasury Notes (14.2%):
200,000 4.00%, 10/31/00................... 198,695
150,000 5.63%, 11/30/00................... 149,740
100,000 4.63%, 11/30/00................... 99,349
50,000 4.50%, 1/31/01.................... 49,486
75,000 7.75%, 2/15/01.................... 75,476
50,000 5.38%, 2/15/01.................... 49,732
100,000 5.00%, 2/28/01.................... 99,128
150,000 5.00%, 4/30/01.................... 148,195
50,000 6.50%, 5/31/01.................... 49,942
25,000 5.25%, 5/31/01.................... 24,670
----------
944,413
----------
Total U.S. Treasury Obligations 2,227,494
----------
REPURCHASE AGREEMENTS (71.2%):
1,000,000 ABN AMRO, 6.60%, 7/3/00,
(Collateralized by $974,223
various U.S. Treasury
Securities,
4.75% - 14.00%,
11/30/00 - 11/15/28, market
value $1,020,000)............... 1,000,000
1,000,000 Barclays De Zoette Wedd, 6.50%,
7/3/00, (Collateralized by
$942,654 various U.S. Treasury
Securities, 0.00% - 12.75%,
5/31/01 - 11/15/10, market value
$1,020,000)..................... 1,000,000
200,000 Barclays De Zoette Wedd, 6.15%,
7/3/00, (Collateralized by
$193,845 various U.S. Treasury
Securities, 3.38% - 14.00%,
7/31/00 - 8/15/28, market value
$204,001)....................... 200,000
300,000 Donaldson, Lufkin & Jenrette,
6.55%, 7/3/00, (Collateralized
by $308,449 various U.S.
Treasury Securities,
4.00% - 13.25%,
10/31/00 - 2/15/29, market value
$306,000)....................... 300,000
320,000 Goldman Sachs, 6.50%, 7/3/00,
(Collateralized by $316,512
various U.S. Treasury
Securities,
0.00% - 13.38%,
7/31/00 - 11/15/24, market value
$326,401)....................... 320,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
---------- ---------------------------------- ----------
<C> <S> <C>
REPURCHASE AGREEMENTS, CONTINUED:
$ 320,000 Greenwich Capital, Inc., 6.60%,
7/3/00, (Collateralized by
$268,793 various U.S. Treasury
Securities, 6.38% - 13.75%,
6/30/02 - 2/15/27, market value
$326,404)....................... $ 320,000
300,000 J.P. Morgan Securities, 6.50%,
7/3/00, (Collateralized by
$273,842 various U.S. Treasury
Securities,
0.00% - 14.00%,
8/10/00 - 8/15/22, market value
$306,001)....................... 300,000
20,000 Prudential Securities, 6.58%,
7/3/00, (Collateralized by
$19,540 various U.S. Treasury
Securities,
0.00% - 15.75%,
9/21/00 - 11/15/22, market value
$20,400)........................ 20,000
300,000 Prudential Securities, 6.55%,
7/5/00, (Collateralized by
$293,098 various U.S. Treasury
Securities,
0.00% - 15.75%,
9/21/00 - 11/15/22, market value
$306,001)....................... 300,000
320,000 Salomon Smith Barney, 6.63%,
7/3/00, (Collateralized by
$358,515 various U.S. Treasury
Securities,
0.00% - 6.50%,
4/30/01 - 2/15/10, market value
$351,556)....................... 320,000
324,427 State Street Bank and Trust,
3.00%, 7/3/00, (Collateralized
by $324,427 various U.S.
Treasury Securities,
6.13% - 7.88%, 5/31/01 - 8/15/26
market value $330,954).......... 324,427
320,000 Westdeutsche Landesbank, 6.55%,
7/3/00, (Collateralized by
$286,957 various U.S. Treasury
Securities, 11/15/01 - 8/15/29,
5.63% - 8.88%, market value
$326,401)....................... 320,000
----------
Total Repurchase Agreements 4,724,427
----------
Total (Amortized Cost $6,951,921) (a) $6,951,921
==========
</TABLE>
------------
Percentages indicated are based on net assets of $6,633,209.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
14
<PAGE> 17
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
MUNICIPAL NOTES (7.9%):
Colorado (1.4%):
$20,000 State TRAN, 5.00%, 6/27/01......... $ 20,127
----------
Kentucky (0.6%):
8,000 Asset/Liability Community General
Fund, State TRAN, Series A,
5.25%, 7/3/00.................... 8,053
----------
Michigan (1.7%):
7,500 State Municipal Bond Authority,
Series 99-B, 4.25%, 8/25/00...... 7,507
17,000 State School Loan Notes, 5.00%,
4/23/01.......................... 17,099
----------
24,606
----------
Minnesota (0.4%):
5,000 State School Districts, Tax & Aid
Anticipation Certificates, Series
B, 4.75%, 2/16/01................ 5,018
----------
Ohio (0.8%):
2,400 City of Athens, Anticipation Bond,
Recreational Facility, Series 3,
4.25%, 11/22/00.................. 2,403
8,309 Mansfield City School District,
School Facilities Construction &
Improvement Notes, 4.55%,
7/18/00.......................... 8,311
----------
10,714
----------
Texas (2.5%):
35,000 State TRAN, Series A, 4.50%,
8/31/00.......................... 35,046
----------
Wisconsin (0.5%):
2,100 Milwaukee Trust Receipts, Series A,
Regulation D, 5.00%, 2/22/01,
LOC: Bank of New York* (b)....... 2,100
5,000 West Allis-West Milwaukee, School
District, TRAN, 4.10%, 9/21/00... 5,004
----------
7,104
----------
Total Municipal Notes 110,668
----------
PUT BONDS (1.1%):
Arizona (1.1%):
15,000 Cochise County, PCR, Arizona
Electric Power Corp., Inc.,
Project, Series A, AMT, 4.10%,
9/1/24, SPA: National Rural
Utilities Financing*............. 15,000
----------
Total Put Bonds 15,000
----------
TAX FREE COMMERCIAL PAPER (17.2%):
Alabama (1.6%):
8,000 Phenix, IDR, Mead Paper, Series 88,
AMT, 3.80%, 7/5/00, LOC: ABN AMRO
Bank............................. 8,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
TAX FREE COMMERCIAL PAPER, CONTINUED:
Alabama, continued:
$ 3,000 Phenix, IDR, Mead Paper, Series 88,
AMT, 4.63%, 7/24/00, LOC: ABN
AMRO Bank........................ $ 3,000
9,600 Phenix, IDR, Mead Paper, Series 88,
AMT, 4.50%, 8/28/00, LOC: ABN
AMRO Bank........................ 9,600
2,000 Phenix, IDR, Mead Paper, Series 88,
AMT, 4.40%, 10/10/00, LOC: ABN
AMRO Bank........................ 2,000
----------
22,600
----------
Alaska (1.5%):
20,825 Valdez Marine Terminal, Series
94-A, 4.40%, 7/21/00, GTY:
ARCO............................. 20,825
----------
Arizona (1.0%):
10,600 Mesa Municipal Development Corp.,
Special Tax, Series 85-A, 4.40%,
8/3/00, LOC: Westdeutsche
Landesbank....................... 10,600
2,900 Mesa Municipal Development Corp.,
Series 96-A, 4.38%, 10/2/00, LOC:
Westdeutsche Landesbank.......... 2,900
----------
13,500
----------
Florida (1.5%):
15,000 St. Lucie, PCR, Power & Light,
Series 94-A, 4.25%, 9/8/00, GTY:
Florida Power & Light............ 15,000
6,745 State Municipal Power, Pooled Loan
Project, Series 95-A, 4.38%,
8/28/00, LOC: First Union Bank... 6,745
----------
21,745
----------
Indiana (1.4%):
20,000 State Developmental Financial
Authority, Series A, AMT, 4.80%,
7/7/00, LOC: National
Westminster...................... 20,000
----------
Kentucky (0.8%):
10,710 Maysville, Solid Waste Disposal,
Temple Inland Container Corp.,
AMT, 4.90%, 7/3/00, GTY: Temple
Inland........................... 10,710
----------
Michigan (0.4%):
6,000 State Housing Developmental
Authority, Series A, 4.50%,
10/2/00, LOC: Landesbank
Hessen........................... 6,000
----------
</TABLE>
Continued
15
<PAGE> 18
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
TAX FREE COMMERCIAL PAPER, CONTINUED:
Nevada (0.6%):
$ 7,800 Las Vegas, Water District, Series
A, GO, 4.25%, 10/2/00, LOC:
Westdeutche Landesbank........... $ 7,800
----------
Ohio (0.4%):
5,400 Water Development Authority,
Cleveland Electric, Inc., Series
88-A, 4.15%, 9/5/00, FGIC (b).... 5,400
----------
Pennsylvania (2.5%):
21,345 Carbon County, IDA Resource
Recovery, Panther Creek Project,
Series 90-B, 5.00%, 7/13/00, LOC:
National Westminster............. 21,345
14,350 Venango, IDA, Resource Recovery,
Scrubgrass Project, Series A,
AMT, 4.25%, 8/3/00, LOC: National
Westminster...................... 14,350
----------
35,695
----------
Texas (2.2%):
5,700 Brazos River Authority Utilities,
Series 94-B, AMT, 4.15%, 9/5/00,
LOC: Chase Manhattan Bank........ 5,700
20,000 City of Houston Airport Revenue,
Series A, AMT, 4.45%, 8/21/00,
LOC: Westdeutsche Landesbank..... 20,000
5,000 Public Finance Authority, GO,
4.20%, 8/28/00, LIQ: Texas State
Treasury......................... 5,000
----------
30,700
----------
Washington (0.6%):
7,950 Seattle Municipal Light & Power
Revenue, 4.30%, 10/12/00, LOC:
Morgan Guaranty.................. 7,950
----------
West Virginia (2.7%):
10,600 State Public Authority Energy
Revenue, Morgantown Association
Project, AMT, 4.05%, 7/5/00, LOC:
Union Bank of Switzerland........ 10,600
16,500 State Public Authority Energy
Revenue, Morgantown Association
Project, AMT, 4.35%, 7/11/00,
LOC: Union Bank of Switzerland... 16,500
12,100 State Public Authority Energy
Revenue, Morgantown Association
Project, AMT, 3.85%, 7/20/00,
LOC: Union Bank of Switzerland... 12,100
----------
39,200
----------
Total Tax Free Commercial Paper 242,125
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
DAILY DEMAND NOTES (8.9%):
Alabama (0.2%):
$ 3,150 Decatur, IDB, Solid Waste Revenue,
AMOCO Chemical Co. Project,
4.70%, 5/1/25, GTY: AMOCO
Chemical Co.*.................... $ 3,150
----------
Illinois (0.3%):
3,800 Chicago Midway Airport Revenue,
Second Lien, Series B, AMT,
4.60%, 1/1/29, MBIA, LIQ:
Commerzbank AG*.................. 3,800
----------
Indiana (0.4%):
6,100 Development Financial Authority,
Revenue, PSI Energy, Inc., AMT,
4.70%, 8/1/28, LOC: Morgan
Guaranty Trust*.................. 6,100
----------
Kentucky (0.9%):
5,600 Lexington Fayette Urban County,
Airport Revenue, Series A, AMT,
4.60%, 7/1/28, MBIA*............. 5,600
3,600 Louisville & Jefferson County,
Regional Airport Authority,
Special Facilities Revenue,
Series A, AMT, 4.65%, 1/1/29,
GTY: UPS*........................ 3,600
4,000 Louisville & Jefferson County,
Regional Airport Authority,
Special Facilities Revenue,
Series B, AMT, 4.55%, 1/1/29,
GTY: UPS*........................ 4,000
----------
13,200
----------
Louisiana (0.4%):
3,900 Plaquemines Parish, Environmental
Revenue, BP Exploration & Oil,
Inc., AMT, 4.70%, 10/1/24, GTY:
British Petroleum Co., PLC*...... 3,900
2,000 Plaquemines Parish, Environmental
Revenue, BP Exploration & Oil,
Inc., AMT, 4.70%, 5/1/25, GTY:
British Petroleum Co., PLC*...... 2,000
----------
5,900
----------
Michigan (0.5%):
6,700 State Strategic Fund, Dow Chemical
Co., Project, AMT, 4.60%,
12/1/14*......................... 6,700
----------
Nevada (0.5%):
6,900 Clark County, IDR, Nevada
Cogeneration Assoc., AMT, 4.70%,
12/1/22, LOC: ABN AMRO Bank*..... 6,900
----------
</TABLE>
Continued
16
<PAGE> 19
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
North Carolina (1.0%):
$14,200 Person County, PCR, Solid Waste
Disposal, AMT, 4.80%, 11/1/16,
LOC: SunTrust Bank*.............. $ 14,200
----------
Ohio (0.1%):
800 State Air Quality Development
Authority, Cincinnati Gas &
Electric, Series A, 4.75%,
12/1/15, LOC: Union Bank of
Switzerland*..................... 800
1,000 State Air Quality Development
Authority, Cincinnati Gas &
Electric, Series B, 4.75%,
12/1/15, LOC: J.P. Morgan*....... 1,000
----------
1,800
----------
Oregon (0.1%):
900 Port Portland, Revenue, Horizon Air
Insurance, Inc. Project, 4.65%,
6/15/27, LOC: Bank of
Montreal*........................ 900
----------
Texas (2.4%):
7,570 Brazos River Authority, Collection
Utilities Electric Co., Series A,
4.70%, 4/1/30, LOC: Morgan
Guaranty Trust*.................. 7,570
6,300 Brazos River Authority, PCR,
Utilities Electric Co. Project,
Series A, AMT, 4.70%, 3/1/26,
AMBAC*........................... 6,300
15,100 Brazos River Authority, PCR,
Utilities Electric Co. Project,
Series B, AMT, 4.80%, 6/1/30,
AMBAC*........................... 15,100
1,300 Brazos River, Harbor Navigation
District Revenue, Dow Chemical
Co. Project, AMT, 4.75%,
5/1/23*.......................... 1,300
2,100 Sabine River Authority, PCR,
Utilities Electric Co. Project,
Series B, AMT, 4.75%, 6/1/30,
LOC: Union Bank of
Switzerland*..................... 2,100
----------
32,370
----------
Virginia (1.5%):
9,300 Dinwiddie County, IDR, Chaparral
East Project A, AMT, 4.70%,
9/1/28, LOC: Bank of America*.... 9,300
6,700 King George County, IDA, Birchwood
Power Partners Project, AMT,
4.70%, 11/1/25, LOC: Credit
Suisse First Boston*............. 6,700
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
Virginia, continued:
$ 5,300 King George County, IDA, Birchwood
Power Partners Project, AMT,
4.70%, 3/1/27, LOC: Credit Suisse
First Boston*.................... $ 5,300
----------
21,300
----------
Wyoming (0.6%):
8,800 Lincoln County, Environmental
Revenue, Pacificorp Projects,
AMT, 4.80%, 11/1/25, GTY:
Exxon*........................... 8,800
----------
Total Daily Demand Notes 125,120
----------
WEEKLY DEMAND NOTES (66.7%):
Alabama (0.3%):
4,800 Decatur, IDR, Solid Waste Disposal,
Trico Steel, AMT, 4.90%, 1/1/27,
LOC: Chase Manhattan Bank*....... 4,800
----------
Arkansas (2.3%):
8,100 Clark County, Solid Waste Disposal
Revenue, Reynolds Metals Co.
Project, AMT, 5.05%, 8/1/22, LOC:
SunTrust Bank*................... 8,100
24,200 Clark County, Solid Waste Disposal
Revenue, Reynolds Metals Co.
Project, AMT, 5.05%, 8/1/22, LOC:
SunTrust Bank*................... 24,200
----------
32,300
----------
Colorado (2.0%):
10,135 Denver Airport Revenue, Series
44-A, Regulation D, AMT, 5.10%,
11/15/23, MBIA* (b).............. 10,135
18,300 Multi-Family Housing Financial
Authority, Revenue, Class I,
Series A-1, 4.75%, 10/1/30,
FHLB*............................ 18,300
----------
28,435
----------
Delaware (3.1%):
41,200 Economic Development Authority
Revenue, Series A, AMT, 4.95%,
8/1/29, LOC: Canadian Imperial
Bank of Commerce*................ 41,200
3,000 University of Delaware Demand
Bonds, Series 98, 4.75%, 11/1/23,
LOC: Bank of America*............ 3,000
----------
44,200
----------
District of Columbia (0.7%):
9,705 Metro Airports Authority Trust
Receipts, Series SGB-32, 4.89%,
10/1/16, LIQ: Societe Generale*
(b).............................. 9,705
----------
</TABLE>
Continued
17
<PAGE> 20
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Florida (10.7%):
$ 6,600 Alachua County Health Facilities
Authority, Revenue, Shands
Teaching Hospital, Series B,
4.95%, 12/1/26, LOC: MBIA*....... $ 6,600
50,000 Capital Trust Agency, Multi-Family
Housing Revenue, Community Loan
Project, Series A, 4.92%,
12/1/32, GTY: National Union Fire
Insurance Co.* (b)............... 50,000
89,200 Gulf Breeze Health Care, Heritage
Health Care Project, 4.92%,
1/1/24, GTY: Anchor National Life
Co.*............................. 89,200
5,045 Orange County Health Facilities
Authority, 4.75%, 12/1/23, LOC:
SunTrust Bank*................... 5,045
----------
150,845
----------
Georgia (3.0%):
10,055 Clayton County Development
Authority, Special Facilities
Revenue, Delta Air Lines, Series
C, AMT, 4.90%, 5/1/35, LOC:
Commerzbank AG*.................. 10,055
8,360 Crisp County, Solid Waste, Series
98, 4.92%, 1/1/23, FSA*.......... 8,360
4,500 Fulton County Housing Authority,
Walton Falls Apartments Project,
4.92%, 3/1/39, LOC: Wachovia
Bank*............................ 4,500
3,735 Gwinnett County Housing Authority,
Herrington Woods Apartments,
Series 96-A, AMT, 4.80%, 9/15/26,
LOC: KeyBank* (b)................ 3,735
5,000 Macon-Bibb County Hospital
Authority Revenue, 4.80%, 8/1/18,
LOC: SunTrust Bank*.............. 5,000
10,600 St. Marys Developmental Authority,
PCR, Trigen-Biopower, Inc.
Project, AMT, 4.90%, 7/1/24, LOC:
Toronto Dominion*................ 10,600
----------
42,250
----------
Illinois (5.2%):
5,000 Carol Stream, Multi-Family Revenue,
Refinancing Housing, St. Charles
Square, AMT, 4.90%, 3/15/27, LIQ:
FNMA Collection*................. 5,000
18,816 Chicago O'Hare International
Airport Revenue, Second Lien,
Series B, AMT, 4.75%, 1/1/18,
LOC: Societe Generale*........... 18,816
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Illinois, continued:
$ 5,300 Cook County, GO, 4.85%, 11/15/13*
(b).............................. $ 5,300
7,640 Jacksonville Industrial Project
Revenue, AGI, Inc. Project, AMT,
5.00%, 2/1/26, LOC: Bank of
America*......................... 7,640
11,000 Rock Island County Metropolitan
Airport Authority, Series C, GO,
AMT, 4.85%, 7/1/29, FSA, LIQ:
Norwest*......................... 11,000
5,000 State Development Finance Authority
Revenue, Aurora Central Catholic
High School, 4.80%, 4/1/24, LOC:
Northern Trust*.................. 5,000
16,490 State, GO Putters, Series 133,
4.85%, 10/1/07, FGIC, LIQ: J.P.
Morgan* (b)...................... 16,490
4,505 Will & Kankakee County Development
Authority, IDR, JRS Realty
Association L.L.C. Project A,
4.95%, 12/1/18, LOC: PNC Bank*
(b).............................. 4,505
----------
73,751
----------
Indiana (0.9%):
2,700 Jasper Economic Development
Revenue, Best Chairs, Inc.
Project, AMT, 4.95%, 3/1/19, LOC:
PNC Bank* (b).................... 2,700
10,250 Rockport, PCR, Indiana & Michigan
Electric Co., Series A, 4.85%,
8/1/14, LOC: Swiss Bank*......... 10,250
----------
12,950
----------
Iowa (0.3%):
4,780 Finance Authority Revenue, Private
School Facility, 4.80%, 6/1/19,
LOC: Allied Irish Bank*.......... 4,780
----------
Kansas (0.6%):
8,750 City of Burlington, PCR, Series
A15, Regulation D, 5.00%, 6/1/31,
MBIA, LIQ: Bank of New York*
(b).............................. 8,750
----------
Kentucky (0.8%):
2,855 City of Mayfield, League of Cities
Lease Finance Program, 4.90%,
7/1/26, LOC: PNC Bank*........... 2,855
9,000 Henderson County, Solid Waste
Disposal Revenue, Hudson Foods,
Inc. Project, AMT, 4.95%, 3/1/15,
LOC: Rabobank Netherlands*....... 9,000
----------
11,855
----------
</TABLE>
Continued
18
<PAGE> 21
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Michigan (3.2%):
$14,200 Higher Education Student Loan,
Series X11-B, AMT, 4.80%,
10/1/13, AMBAC*.................. $ 14,200
7,500 Michigan State University, Revenue,
Series 00-A, 4.80%, 8/15/30, LIQ:
Dexia Credit Local De France*.... 7,500
5,000 State Strategic Fund, Limited
Obligation, Petoskey Plastics,
Inc. Project, AMT, 4.95%, 8/1/16,
LOC: Comerica Bank*.............. 5,000
2,900 State Strategic Fund, Limited
Obligation, Saginaw Products
Corp. Project, AMT, 4.95%,
9/1/17, LOC: Comerica Bank*...... 2,900
385 State Strategic Fund, Limited
Obligation, Pyper Products Corp.
Project, AMT, 4.95%, 10/1/18,
LOC: Comerica Bank*.............. 385
2,800 State Strategic Fund, Limited
Obligation, Quincy, Inc. Project,
AMT, 4.95%, 12/1/22, LOC:
Michigan National Bank*.......... 2,800
3,045 State Strategic Fund, Limited
Obligation, Atmosphere Heat
Treating, 4.95%, 8/1/27, LOC:
Comerica Bank*................... 3,045
200 State Strategic Fund, Limited
Obligation, Van Andel Research
Institute Project, 4.80%, 3/1/39,
LOC: Michigan National Bank*..... 200
2,795 State Strategic Fund, Limited
Obligation, Wayne Disposal
Oakland Project, AMT, 4.85%,
3/1/05, LOC: Comercia Bank*...... 2,795
1,200 State Strategic Fund, Van Andel
Research Institute Project,
4.80%, 11/1/27, LOC: Michigan
National Bank*................... 1,200
5,300 Wayne County, Airport Revenue
(Detroit Airport) Series A, AMT,
4.90%, 12/1/16, LOC: Bayerische
Landesbank*...................... 5,300
----------
45,325
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Minnesota (0.7%):
$ 9,200 Higher Education Facilities
Authority, Revenue, Carleton
College, Series 5-G, 4.60%,
11/1/29, LIQ: Norwest Bank
Minnesota*....................... $ 9,200
600 Higher Education Facility Authority
Revenue, Carleton College, Series
3-L2, 4.60%, 11/1/12, LOC:
Norwest Bank Minnesota*.......... 600
----------
9,800
----------
Mississippi (0.9%):
12,000 State, GO Putters, Series 138,
4.85%, 11/1/07, FGIC* (b)........ 12,000
----------
Nebraska (0.5%):
7,500 Investment Finance Authority,
Revenue, Single Family Housing,
Series H, 4.92%, 9/1/17, GTY:
GNMA, LIQ: Banc America* (b)..... 7,500
----------
Nevada (0.7%):
10,400 Clark County, Airport Revenue, Sub
Lien, Series B, AMT, 5.05%,
7/1/28, MBIA*.................... 10,400
----------
North Carolina (1.4%):
19,020 Charlotte Airport Revenue, Series
A, AMT, 4.80%, 7/1/17, MBIA*..... 19,020
----------
Ohio (7.6%):
1,200 City of Cleveland, Airport System
Revenue Bonds, Series D, AMT,
4.80%, 1/1/27, LOC: Toronto
Dominion Bank*................... 1,200
18,255 Cleveland Waterworks Revenue,
Series 58, 4.87%, 1/1/17, FSA,
LIQ: Morgan Stanley Dean
Witter*.......................... 18,255
1,900 Clinton County, Hospital Revenue,
Pooled Financial Programs, Series
98, 4.85%, 6/1/28, LOC: Fifth
Third Bank*...................... 1,900
2,000 Cuyahoga County, Revenue, Playhouse
Square Foundation Project, AMT,
4.85%, 12/1/12, LOC: National
City Bank*....................... 2,000
7,600 Cuyahoga County, Cleveland Clinic
Hospital, Cleveland Clinic
Foundation, Series A, 4.75%,
1/1/26, Morgan Guaranty*......... 7,600
10,300 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, Series A, AMT,
5.00%, 4/1/28, LOC: Societe
Generale*........................ 10,300
</TABLE>
Continued
19
<PAGE> 22
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Ohio, continued:
$ 4,200 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, Series B, AMT,
4.90%, 4/1/28, LOC: Societe
Generale*........................ $ 4,200
5,800 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, Series A, AMT,
5.00%, 4/1/29, LOC: Societe
Generale*........................ 5,800
2,500 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, Series B, AMT,
4.90%, 4/1/29, LOC: Societe
Generale*........................ 2,500
6,755 State Housing Finance Agency,
Residential Mortgage Revenue,
Series 99-C, AMT, 4.95%, 3/1/21,
GNMA, LIQ: Chase Manhattan
Trust*........................... 6,755
46,500 Student Loan Funding Corp.,
Cincinnati, Series 98-A2, AMT,
4.80%, 8/1/10, LIQ: Bank of
America*......................... 46,500
----------
107,010
----------
Oklahoma (1.8%):
25,000 Tulsa Municipal Airport Trust
Revenue, Series C-4, Regulation
D, AMT, 5.30%, 12/1/30, LOC: Bank
of America* (b).................. 25,000
----------
Pennsylvania (1.4%):
2,800 Allegheny County, Hospital
Development Authority Revenue,
Margaret Memorial Hospital,
4.85%, 10/1/21, LOC: Mellon
Bank*............................ 2,800
4,960 Allegheny County, IDA, Eye & Ear
Properties Corp., 4.85%, 2/1/15,
LOC: PNC Bank*................... 4,960
1,465 Allegheny County, IDR, United
Jewish Federation, Series B,
4.85%, 10/1/25, LOC: PNC Bank*... 1,465
3,275 New Castle Area Jameson Hospital,
4.85%, 7/1/26, FSA*.............. 3,275
800 Philadelphia Redevelopment
Authority, Revenue, Southwark
Plaza, Series A, 4.85%, 12/1/03,
LOC: PNC Bank*................... 800
6,000 State Economic Development Finance
Authority, Revenue, Fabtech,
Inc., Project, Series 98-D,
4.95%, 6/1/10, LOC: PNC Bank*
(b).............................. 6,000
----------
19,300
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
South Carolina (0.2%):
$ 3,050 State Jobs Economic Development
Authority, IDR, Facilities
Leasing Project, AMT, 4.90%,
12/1/13, LOC: Bank of America*... $ 3,050
----------
Tennessee (3.8%):
18,800 Clarksville, Public Building
Authority, Revenue, 4.75%,
6/1/29, LOC: Bank of America*.... 18,800
16,910 Montgomery County, Public Building
Authority, 4.75%, 11/1/27, LOC:
Bank of America* (b)............. 16,910
13,300 Montgomery County, State Building
Authority, Series 99, 4.75%,
9/1/29, LOC: Bank of America*
(b).............................. 13,300
4,000 Nashville & Davidson County, Health
& Education Facilities Board,
Revenue, Belmont University
Project, 4.80%, 12/1/22, LOC:
SunTrust Bank* (b)............... 4,000
----------
53,010
----------
Texas (12.9%):
5,765 Brazos River Authority, PCR, Texas
Utilities Electric Co. Project,
Series D, AMT, 4.90%, 7/1/22,
MBIA*............................ 5,765
14,100 Capital Health Facilities
Development Corp., Island on Lake
Travis Ltd. Project, AMT, 4.80%,
12/1/16, LOC: Credit Suisse First
Boston*.......................... 14,100
23,800 Dallas Area Rapid Transit, North
Central Light Rail Notes, 4.75%,
1/5/05, LOC: Dexia Credit Local
France*.......................... 23,800
15,000 Harris County Health Facilities
Developmental Corp., Revenue,
Childrens Hospital, Series B-1,
4.90%, 10/1/29, MBIA*............ 15,000
18,800 Panhandle Plains Higher Education,
Inc., Student Loan Revenue,
Series A, AMT, 4.80%, 6/1/21,
SLMA*............................ 18,800
9,400 Panhandle Plains Higher Education,
Inc., Student Loan Revenue,
Series A, AMT, 4.80%, 6/1/23,
SLMA*............................ 9,400
12,200 Panhandle Plains Higher Education,
Inc., Student Loan Revenue,
Series X, AMT, 4.80%, 6/1/27,
SLMA*............................ 12,200
</TABLE>
Continued
20
<PAGE> 23
One Group Mutual Funds
Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Texas, continued:
$74,895 Port Arthur, Navigation District,
Environmental Facilities, Motiva
Enterprises L.L.C. Project, AMT,
4.95%, 12/1/27, GTY: Motiva
Enterprises*..................... $ 74,895
6,200 South State Higher Education
Authority, Revenue, AMT, 4.80%,
12/1/27, SLMA*................... 6,200
----------
180,160
----------
Virginia (1.0%):
14,495 College Building Authority,
Educational Facilities Revenue,
Putters Series 134, 4.85%,
9/1/07, FSA, LIQ: J.P. Morgan*
(b).............................. 14,495
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Washington (0.7%):
$ 9,500 State Finance Commission, Avelon
Ridge Apartments Project, AMT,
4.95%, 5/15/26, FNMA*............ $ 9,500
----------
Total Weekly Demand Notes 940,191
----------
Total (Amortized Cost $1,433,104) (a) $1,433,104
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,407,980.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $218,025 or 15.48% of net assets.
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based upon an index of market rates. The
rate reflected on the Schedule of Portfolio Investments is the rate in effect
at June 30, 2000.
See notes to financial statements.
21
<PAGE> 24
One Group Mutual Funds
Michigan Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
MUNICIPAL BONDS (9.0%):
Michigan (9.0%):
$ 1,000 Jackson Public Schools, Series B,
GO, 4.00%, 7/6/00, LOC: Comerica
Bank............................. $ 1,000
3,000 Municipal Bond Authority, Series
B-2, 4.25%, 8/25/00, LOC: Morgan
Guaranty Trust................... 3,003
3,500 State Certificates of
Participation, New Center
Development, 4.75%, 3/1/01, LOC:
Canadian Imperial Bank of
Commerce......................... 3,511
2,660 State Housing Development
Authority, Single Family Mortgage
Revenue, Series B, 3.95%,
12/1/00.......................... 2,660
6,800 State School Loan Notes, GO, 5.00%,
4/23/01.......................... 6,840
--------
17,014
--------
Total Municipal Bonds 17,014
--------
TAX FREE COMMERCIAL PAPER (20.0%):
Michigan (20.0%):
1,300 Cornell Township, EDC, IDR, Mead-
Escanaba Paper, 4.38%, 7/10/00,
LOC: Credit Suisse First
Boston........................... 1,300
5,740 Cornell Township, EDC, IDR, Mead-
Escanaba Paper, 4.20%,
10/11/00......................... 5,740
4,500 State Housing Authority, Series A,
4.50%, 10/2/00, LOC: Landesbank
Hessen........................... 4,500
10,000 State Housing Authority, Single
Family, Series A, AMT, 4.30%,
8/21/00, LOC: Heleba Bank........ 10,000
5,000 University of Michigan, Series B,
4.38%, 7/10/00................... 5,000
1,500 University of Michigan, Series B,
4.20%, 7/10/00................... 1,500
9,600 University of Michigan, Series B,
4.15%, 7/10/00................... 9,600
--------
37,640
--------
Total Tax Free Commercial Paper 37,640
--------
DAILY DEMAND NOTES (3.5%):
Michigan (3.5%):
900 Delta County, EDC, Environmental
Improvement, Revenue, Mead-
Escanaba Paper, Series E, 4.50%,
12/1/23, LOC: Union Bank of
Switzerland*..................... 900
2,600 Midland County, EDC, Limited
Obligation Revenue, Dow Chemical
Project, Series A, 4.60%,
12/1/23*......................... 2,600
1,000 State Strategic Fund, Dow Chemical
Project, AMT, 4.60%, 12/1/14*.... 1,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
Michigan, continued:
$ 800 State Strategic Fund, Limited
Obligation Revenue, Detroit
Edison Project, 4.45%, 9/1/30,
LOC: Barclays Bank*.............. $ 800
830 University of Michigan, Revenue,
Hospital, Series A, 4.55%,
12/1/19*......................... 830
500 University of Michigan, Revenue,
Hospital, Series A, 4.55%,
12/1/27*......................... 500
--------
6,630
--------
Total Daily Demand Notes 6,630
--------
WEEKLY DEMAND NOTES (66.0%):
Michigan (66.0%):
7,100 Detroit Sewage Disposal, Revenue,
Series B, 4.95%, 7/1/23, MBIA*... 7,100
3,900 Higher Education Student Loan,
Series XII-B, 4.80%, 10/1/13,
AMBAC*........................... 3,900
4,700 Higher Education Student Loan,
Series XII-D, 4.80%, 10/1/15,
AMBAC*........................... 4,700
4,200 Jackson County, EDC, Revenue,
Industrial Steel Treating Co.
Project, 4.95%, 6/1/17, LOC:
Comerica Bank*................... 4,200
1,000 Kalamazoo County, EDC, Revenue, WBC
Properties Ltd. Project, 4.85%,
9/1/15, LOC: Old Kent Bank &
Trust*........................... 1,000
4,000 Kalamazoo County, EDC, Revenue,
Friendship Village, Series B,
4.85%, 5/15/27, LOC: Lasalle
National Bank*................... 4,000
2,575 Oakland County, EDC, Revenue, IBC
North America, Inc. Project,
4.95%, 7/1/18, LOC: Comerica
Bank* (b)........................ 2,575
200 State Hospital Finance Authority,
Hospital Equipment Loan Program,
4.70%, 6/1/01*................... 200
13,500 State Hospital Finance Authority,
Hospital Equipment Loan Program,
Series A, 4.90%, 12/1/23, LOC:
National City*................... 13,500
3,500 State Housing Development
Authority, Rental Housing
Revenue, Series B, 4.85%, 4/1/19,
LOC: Landerbank Hessen Thur
Giro*............................ 3,500
4,800 State Housing Development
Authority, Revenue, Woodland
Meadows Project, 4.85%, 3/1/13,
LOC: Swiss Bank*................. 4,800
</TABLE>
Continued
22
<PAGE> 25
One Group Mutual Funds
Michigan Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Michigan, continued:
$ 1,400 State Strategic Fund, 4.90%,
7/1/24, LOC: Bank of America*.... $ 1,400
2,800 State Strategic Fund, Detroit
Edison Co., 4.95%, 9/1/21* (b)... 2,800
1,500 State Strategic Fund, IDR, AMT, C-
Tec, Inc. Project, 4.90%,
10/1/11, LOC: SunTrust Bank*..... 1,500
4,000 State Strategic Fund, Limited
Obligation Revenue, 4.80%,
5/1/25, LOC: Old Kent Bank*...... 4,000
5,500 State Strategic Fund, Limited
Obligation Revenue, Series 2000,
4.95%, 6/1/25, LOC: Comerica
Bank*............................ 5,500
1,380 State Strategic Fund, Revenue,
Dennenlease L C Project, AMT,
4.80%, 4/1/10, LOC: Old Kent Bank
& Trust*......................... 1,380
890 State Strategic Fund, Revenue,
Ironwood Plastics, Inc. Project,
AMT, 4.80%, 11/1/11, LOC: First
of America Bank*................. 890
3,165 State Strategic Fund, Revenue,
Pyper Products Corp. Project,
4.95%, 10/1/18, LOC: Comerica
Bank*............................ 3,165
11,200 State Strategic Fund, Revenue, Van
Andel Research Institute, 4.80%,
11/1/27*......................... 11,200
200 State Strategic Fund, Revenue, AMT,
Quincy Street, Inc. Project, AMT,
4.95%, 12/1/22, LOC: Comerica
Bank*............................ 200
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Michigan, continued:
$ 8,900 State Strategic Fund, Revenue, Van
Andel Research Institute, 4.80%,
3/1/39, LOC: Michigan National
Bank*............................ $ 8,900
6,800 State Strategic Fund, Solid Waste
Disposal, Revenue, Grayling
Generating Project, 4.85%,
1/1/14, LOC: Barclays Bank New
York*............................ 6,800
8,565 State University, Revenue, Series
2000 A, 4.80%, 8/15/30, SPA:
Dexia Credit Local*.............. 8,565
3,895 Wayne Charter County, Airport
Revenue, AMT, Detroit
Metropolitan County, Series B,
4.80%, 12/1/16, LOC: Bayerische
Landesbank*...................... 3,895
14,375 Wayne Charter County, Airport
Revenue, AMT, Detroit
Metropolitan County, Series A,
4.90%, 12/1/16, LOC: Bayerische
Landesbank*...................... 14,375
--------
124,045
--------
Total Weekly Demand Notes 124,045
--------
MONTHLY DEMAND NOTES (1.4%):
Michigan (1.4%):
2,600 Meridian, EDC, Hannah Research &
Technology Center, 4.50%,
11/15/15, LOC: Comerica Bank*.... 2,600
--------
Total Monthly Demand Notes 2,600
--------
Total (Amortized Cost $187,929) (a) $187,929
========
</TABLE>
------------
Percentages indicated are based on net assets of $188,194.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $5,375 or 2.86% of net assets.
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based on an index of market rates. The
rate reflected on the Schedule of Portfolio Investments is the rate in effect
on June 30, 2000.
See notes to financial statements.
23
<PAGE> 26
One Group Mutual Funds
Ohio Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
ANTICIPATION NOTES (11.3%):
Ohio (11.3%):
$1,700 Butler County, GO, 4.25%,
9/27/00.......................... $ 1,702
1,500 City of Athens, 4.25%, 11/22/00.... 1,502
1,500 Fairfield County, GO, 4.00%,
7/25/00.......................... 1,501
2,200 Orange City School District, 3.64%,
7/20/00.......................... 2,200
3,500 University of Cincinnati, General
Receipts, 4.25%, 12/21/00........ 3,505
-------
10,410
-------
Total Anticipation Notes 10,410
-------
MUNICIPAL BONDS (3.3%):
Ohio (3.3%):
3,000 University of Cincinnati, General
Receipts, 4.50%, 3/1/01.......... 3,007
-------
Total Municipal Bonds 3,007
-------
PUT BOND (2.3%):
Ohio (2.3%):
2,100 State Air Quality Development,
Revenue, 3.75%, 9/1/18*.......... 2,100
-------
Total Put Bond 2,100
-------
TAX FREE COMMERCIAL PAPER (6.5%):
Ohio (6.5%):
1,500 State Air Quality Development
Authority, Cleveland Electric
Illuminating Co., Series B,
4.15%, 8/9/00.................... 1,500
1,500 State Air Quality Development
Authority, Cleveland Electric
Illuminating Co., Series B,
4.35%, 7/11/00................... 1,500
1,000 State University, 4.20%, 8/14/00... 1,000
2,000 State Water Development Authority,
Cleveland Electric Illuminating
Co., 4.15%, 8/1/00............... 2,000
-------
6,000
-------
Total Tax Free Commercial Paper 6,000
-------
DAILY DEMAND NOTES (11.4%):
Ohio (11.4%):
300 Cuyahoga County Economic
Development, Revenue, Cleveland
Orchestra, 4.50%, 4/1/28*........ 300
925 State Air Quality Development
Authority, 4.70%, 10/1/27,
AMBAC*........................... 925
280 State Air Quality Development
Authority, Cincinnati Gas &
Electric, 4.75%, 12/1/15, LOC:
J.P. Morgan*..................... 280
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
Ohio, continued:
$ 550 State Air Quality Development
Authority, Cincinnati Gas &
Electric, Series A, 4.75%,
12/1/15, LOC: Union Bank of
Switzerland*..................... $ 550
3,000 State Air Quality Development
Authority, Revenue, Pollution
Control, Ohio Edison, 4.55%,
6/1/23*.......................... 3,000
1,200 State Pollution Control, Revenue
Bond, Water Project, 4.50%,
5/1/22*.......................... 1,200
4,000 State Solid Waste, Revenue Bond,
Exploration & Oil Project, 4.70%,
8/1/34*.......................... 4,000
200 Water Development Authority, Series
B, Mead Paper Co., 4.45%,
11/1/15, LOC: Bank of America*... 200
-------
10,455
-------
Total Daily Demand Notes 10,455
-------
WEEKLY DEMAND NOTES (63.8%):
Ohio (63.8%):
1,250 Cleveland Airport System, Series D,
Airport Revenue, AMT, 4.80%,
1/1/27, LOC: Toronto Dominion
Bank*............................ 1,250
1,600 Cleveland Income Tax Revenue,
4.90%, 5/15/24, AMBAC*........... 1,600
4,100 Clinton County, Hospital Revenue,
4.85%, 6/1/28, LOC: Fifth Third
Bank*............................ 4,100
5,000 Cuyahoga County, Economic
Development, Revenue, Hathaway
Brown School Project, 4.75%,
11/1/24, LOC: KeyBank*........... 5,000
3,400 Cuyahoga County, Hospital Revenue,
Cleveland Clinic Foundation,
Series A, 4.75%, 1/1/26, LOC:
Morgan Guaranty*................. 3,400
300 Cuyahoga County, IDR, Allen Group,
Inc., 4.70%, 4/1/12, LOC:
Dresdner Bank AG*................ 300
2,135 Cuyahoga County, Revenue, 4.85%,
12/1/12, LOC: National City
Bank*............................ 2,135
900 Franklin County, Inland Products,
Inc., 4.95%, 6/1/04, LOC: PNC
Bank*............................ 900
1,500 Hamilton County, Hospital
Facilities Revenue, Children's
Hospital Medical Center, 4.90%,
5/15/17, LOC: PNC Bank*.......... 1,500
</TABLE>
Continued
24
<PAGE> 27
One Group Mutual Funds
Ohio Municipal Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Ohio, continued:
$1,000 Hamilton County, Hospital
Facilities Revenue, Health
Alliance, Series F, 4.85%,
1/1/18, MBIA*.................... $ 1,000
5,650 Housing Finance Agency, Residential
Mortgage Revenue, 4.95%, 3/1/21,
AMT, Series 99C* (b)............. 5,650
5,000 Housing Finance Agency, Project 98
A-1, 4.80%, 7/1/18, LOC:
U.S. Bank, N.A.*................. 5,000
4,963 Montgomery County, Revenue, 4.85%,
1/1/29, LOC: Federal Home Loan
Bank*............................ 4,963
1,900 Ross County, Hospital Facilities,
Medical Center Project, 4.75%,
12/1/20, LOC: Fifth Third
Bank*............................ 1,900
1,800 State Air Quality, 4.90%,
4/1/29*.......................... 1,800
300 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, AMT, 5.00%, 4/1/29,
LOC: Societe Generale*........... 300
2,700 State Air Quality Development
Authority, JMG Funding Ltd.
Partnership, Series A, AMT,
5.00%, 4/1/28, LOC: Societe
Generale*........................ 2,700
2,800 State Air Quality Development
Authority, Revenue Bond, Timken
Co. Project, AMT, 4.80%, 6/1/01,
LOC: Wachovia Bank*.............. 2,800
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Ohio, continued:
$2,600 State Water Development Authority,
Timken Co. Project, 4.80%,
6/1/01, LOC: Wachovia Bank*...... $ 2,600
1,500 Student Loan Funding Corp.,
Cincinnati, Series A-1, AMT,
4.80%, 1/1/07, LOC: Bank of
America*......................... 1,500
3,700 Student Loan Funding Corp.,
Cincinnati, Series 1998-A2,
4.80%, 8/1/10, LOC: Bank of
America*......................... 3,700
3,920 Summit County, IDR, Series 1999,
AMT, 4.85%, 6/1/19, LOC:
KeyBank*......................... 3,920
685 Warren County Health Care, 4.80%,
7/1/23, LOC: Fifth Third Bank*... 685
-------
58,703
-------
Total Weekly Demand Notes 58,703
-------
MONTHLY DEMAND NOTES (1.0%):
Ohio (1.0%):
900 Housing Finance Agency, Kenwood
Retirement Project, 4.30%,
12/1/15, LOC: Morgan Guaranty*... 900
-------
Total Monthly Demand Notes 900
-------
Total (Amortized Cost $91,575) (a) $91,575
=======
</TABLE>
------------
Percentages indicated are based on net assets of $91,926.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
(b) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $5,650 or 6.15% of net assets.
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
25
<PAGE> 28
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
Abbreviations
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corporation
AMT Alternative Minimum Tax Paper
EDC Economic Development Corporation
FGIC Insured by Financial Guaranty Insurance Corporation
FHLB Insured by Federal Home Loan Bank
FNMA Insured by Fannie Mae
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
GTY Guaranty
IDA Industrial Development Authority
IDB Industrial Development Board
IDR Industrial Development Revenue
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
PCR Pollution Control Revenue
SLMA Insured by Student Loan Marketing Association
SPA Standby Purchase Agreement
TRAN Tax Revenue Anticipation Notes
</TABLE>
See notes to financial statements.
26
<PAGE> 29
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
U.S. TREASURY MICHIGAN OHIO
PRIME SECURITIES MUNICIPAL MUNICIPAL MUNICIPAL
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............... $9,729,382 $6,951,921 $1,433,104 $187,929 $91,575
Cash......................................... -- 19 -- 62 34
Interest & dividends receivable.............. 76,575 10,771 8,529 960 689
Receivable for capital shares issued......... 1,954 70 -- -- --
Receivable from brokers for investment
sold....................................... -- 197,255 -- -- --
Prepaid expenses and other assets............ 25 20 7 5 3
---------- ---------- ---------- -------- -------
TOTAL ASSETS................................. 9,807,936 7,160,056 1,441,640 188,956 92,301
---------- ---------- ---------- -------- -------
LIABILITIES:
Cash Overdraft............................... -- -- 71 -- --
Dividends payable............................ 48,643 30,695 4,512 609 291
Payable to brokers for investments
purchased.................................. -- 492,726 28,181 -- --
Payable for capital shares redeemed.......... 1,240 2 -- -- --
Accrued expenses and other payables:
Investment advisory fees................... 2,601 1,681 320 44 20
Administration fees........................ 648 427 94 12 6
Distribution fees.......................... 739 371 92 16 7
Other...................................... 783 945 390 81 51
---------- ---------- ---------- -------- -------
TOTAL LIABILITIES............................ 54,654 526,847 33,660 762 375
---------- ---------- ---------- -------- -------
NET ASSETS:
Capital...................................... 9,753,285 6,633,719 1,408,103 188,195 92,002
Undistributed (distributions in excess of)
net investment income...................... -- -- (123) -- (75)
Accumulated undistributed net realized gains
(losses) from investment transactions...... (3) (510) -- (1) (1)
---------- ---------- ---------- -------- -------
NET ASSETS................................... $9,753,282 $6,633,209 $1,407,980 $188,194 $91,926
========== ========== ========== ======== =======
NET ASSETS:
Class I.................................... $6,224,509 $4,785,390 $ 969,070 $111,900 $62,084
Class A.................................... 3,505,068 1,846,153 438,468 76,294 29,842
Class B.................................... 16,564 1,057 -- -- --
Class C.................................... 848 526 -- -- --
Service Class.............................. 6,293 83 442 -- --
---------- ---------- ---------- -------- -------
Total........................................ $9,753,282 $6,633,209 $1,407,980 $188,194 $91,926
========== ========== ========== ======== =======
OUTSTANDING UNITS OF BENEFICIAL INTEREST
(SHARES):
Class I.................................... 6,224,452 4,785,743 969,138 111,900 62,116
Class A.................................... 3,505,110 1,846,312 438,519 76,295 29,862
Class B.................................... 16,564 1,057 -- -- --
Class C.................................... 848 527 -- -- --
Service Class.............................. 6,293 83 442 -- --
---------- ---------- ---------- -------- -------
Total........................................ 9,753,267 6,633,722 1,408,099 188,195 91,978
========== ========== ========== ======== =======
Net Asset Value:
Offering and redemption price per share
(Class I, Class A, Class B, Class C and
Service Class)........................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========== ======== =======
</TABLE>
See notes to financial statements.
27
<PAGE> 30
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
U.S. TREASURY MICHIGAN OHIO
PRIME SECURITIES MUNICIPAL MUNICIPAL MUNICIPAL
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.................. $296,692 $356,259 $55,965 $6,156 $3,747
Discount accretion............... 254,784 35,133 -- -- --
Premium amortization............. (3,325) (8,373) (559) (85) (52)
Dividend income.................. -- -- 77 -- 30
Income from securities lending... 1 4 -- -- --
-------- -------- ------- ------ ------
Total Income..................... 548,152 383,023 55,483 6,071 3,725
-------- -------- ------- ------ ------
EXPENSES:
Investment advisory fees......... 32,477 24,401 5,155 563 302
Administration fees.............. 14,967 11,245 2,376 259 162
Distribution fees (Class A)...... 8,301 4,693 1,089 178 93
Distribution fees (Class B)...... 162 14 -- -- --
Distribution fees (Class C)...... --(a) 7 -- -- --
Distribution fees (Service
Class)......................... 27 1 1 -- --
Custodian fees................... 247 237 74 10 12
Legal and audit fees............. 90 74 32 12 10
Trustees' fees and expenses...... 120 107 34 6 5
Transfer agent fees.............. 2,008 606 73 11 8
Registration and filing fees..... 591 809 99 28 9
Printing costs................... 289 191 50 5 3
Other............................ 151 255 68 13 12
-------- -------- ------- ------ ------
Total expenses before waivers.... 59,430 42,640 9,051 1,085 616
Less waivers..................... (2,838) (2,092) (1,197) (153) (72)
-------- -------- ------- ------ ------
Net Expenses..................... 56,592 40,548 7,854 932 544
-------- -------- ------- ------ ------
Net Investment Income............ 491,560 342,475 47,629 5,139 3,181
-------- -------- ------- ------ ------
REALIZED GAINS (LOSSES) FROM
INVESTMENT TRANSACTIONS:
Net realized gains (losses) from
investment transactions........ (3) (510) -- -- --
-------- -------- ------- ------ ------
Change in net assets resulting
from operations................ $491,557 $341,965 $47,629 $5,139 $3,181
======== ======== ======= ====== ======
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
28
<PAGE> 31
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
U.S. TREASURY
PRIME SECURITIES MUNICIPAL
MONEY MARKET FUND MONEY MARKET FUND MONEY MARKET FUND
------------------------ ------------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999 2000 1999
---------- ---------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income..................... $ 491,560 $ 235,999 $ 342,475 $ 252,029 $ 47,629 $ 26,794
Net realized gains (losses) from
investment transactions................. (3) 170 (510) 178 -- 10
---------- ---------- ----------- ---------- ---------- ----------
Change in net assets resulting from
operations.................................. 491,557 236,169 341,965 252,207 47,629 26,804
---------- ---------- ----------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income................ (320,353) (179,573) (253,778) (185,187) (34,279) (21,187)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income................ (170,572) (56,159) (89,006) (66,805) (13,345) (5,607)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income................ (717) (267) (54) (28) -- --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income................ (1) -- (26) (9) -- --
DISTRIBUTIONS TO SERVICE CLASS SHAREHOLDERS:
From net investment income................ (183) --(a) (5) --(a) (5) --(a)
---------- ---------- ----------- ---------- ---------- ----------
Change in net assets from shareholder
distributions............................... (491,826) (235,999) (342,869) (252,029) (47,629) (26,794)
---------- ---------- ----------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions................................ 1,174,390 5,355,090 (1,040,924) 3,787,719 (97,709) 902,743
---------- ---------- ----------- ---------- ---------- ----------
Change in net assets.......................... 1,174,121 5,355,260 (1,041,828) 3,787,897 (97,709) 902,753
NET ASSETS:
Beginning of period....................... 8,579,161 3,223,901 7,675,037 3,887,140 1,505,689 602,936
---------- ---------- ----------- ---------- ---------- ----------
End of period............................. $9,753,282 $8,579,161 $ 6,633,209 $7,675,037 $1,407,980 $1,505,689
========== ========== =========== ========== ========== ==========
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
29
<PAGE> 32
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL OHIO MUNICIPAL
MONEY MARKET FUND MONEY MARKET FUND
--------------------------------------- ----------------------
YEAR SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
2000 1999 (a) 1998 2000 1999
--------- ---------- ------------ --------- ---------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income........................... $ 5,139 $ 2,371 $ 3,491 $ 3,181 $ 3,159
Net realized gains (losses) from investment
transactions.................................. -- -- -- -- 7
-------- -------- -------- ------- --------
Change in net assets resulting from
operations........................................ 5,139 2,371 3,491 3,181 3,166
-------- -------- -------- ------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income...................... (2,989) (1,526) (2,295) (2,063) (2,108)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income...................... (2,150) (845) (1,196) (1,118) (1,051)
-------- -------- -------- ------- --------
Change in net assets from shareholder
distributions..................................... (5,139) (2,371) (3,491) (3,181) (3,159)
-------- -------- -------- ------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions...... 27,882 (14,803) 71,025 (999) (23,406)
-------- -------- -------- ------- --------
Change in net assets................................ 27,882 (14,803) 71,025 (999) (23,399)
NET ASSETS:
Beginning of period............................. 160,312 175,115 104,090 92,925 116,324
-------- -------- -------- ------- --------
End of period................................... $188,194 $160,312 $175,115 $91,926 $ 92,925
======== ======== ======== ======= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Money Market Fund became the Michigan Municipal Money Market Fund.
The Statements of Changes in Net Assets for the periods prior to March 22,
1999, represent the Pegasus Michigan Municipal Money Market Fund.
See notes to financial statements.
30
<PAGE> 33
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRIME U.S. TREASURY SECURITIES MUNICIPAL
MONEY MARKET FUND MONEY MARKET FUND MONEY MARKET FUND
--------------------------- --------------------------- --------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999 2000 1999
------------ ----------- ------------ ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued....... $ 18,802,209 $10,475,138 $ 11,378,663 $ 9,521,758 $ 1,327,449 $ 1,253,959
Proceeds from shares issued in
Marquis acquisition............. -- -- -- 596,344 -- 45,820
Proceeds from shares issued in
Pegasus acquisition............. -- 1,823,937 -- 810,294 -- 561,610
Dividends reinvested.............. 49,392 13,391 4,160 1,320 667 254
Cost of shares redeemed........... (18,025,127) (9,531,087) (12,196,655) (8,355,555) (1,436,252) (1,282,573)
------------ ----------- ------------ ----------- ----------- -----------
Change in net assets from Class I
capital transactions............ $ 826,474 $ 2,781,379 $ (813,832) $ 2,574,161 $ (108,136) $ 579,070
============ =========== ============ =========== =========== ===========
CLASS A SHARES:
Proceeds from shares issued....... $ 7,995,101 $ 5,106,463 $ 6,181,108 $ 4,481,220 $ 948,673 $ 922,223
Proceeds from shares issued in
Marquis acquisition............. -- -- -- 636,624 -- 63,948
Proceeds from shares issued in
Pegasus acquisition............. -- 940,816 -- 243,448 -- 120,724
Dividends reinvested.............. 101,306 34,396 30,766 25,900 8,342 3,708
Cost of shares redeemed........... (7,762,268) (3,515,979) (6,438,932) (4,175,153) (946,994) (786,966)
------------ ----------- ------------ ----------- ----------- -----------
Change in net assets from Class A
capital transactions............ $ 334,139 $ 2,565,696 $ (227,058) $ 1,212,039 $ 10,021 $ 323,637
============ =========== ============ =========== =========== ===========
CLASS B SHARES:
Proceeds from shares issued....... $ 28,794 $ 20,848 $ 1,635 $ 2,299
Proceeds from shares issued in
Pegasus acquisition............. -- 474 -- --
Dividends reinvested.............. 619 225 48 23
Cost of shares redeemed........... (22,703) (13,605) (1,638) (1,491)
------------ ----------- ------------ -----------
Change in net assets from Class B
capital transactions............ $ 6,710 $ 7,942 $ 45 $ 831
============ =========== ============ ===========
CLASS C SHARES:
Proceeds from shares issued....... $ 960 $ 1,866 $ 855
Dividends reinvested.............. -- 23 7
Cost of shares redeemed........... (112) (2,046) (179)
------------ ------------ -----------
Change in net assets from Class C
capital transactions............ $ 848 $ (157) $ 683
============ ============ ===========
SERVICE CLASS SHARES:
Proceeds from shares issued....... $ 12,515 $ 130 $ 627 $ 5 $ 1,092 $ 84
Dividends reinvested.............. 154 --(a) 5 --(a) 4 --(a)
Cost of shares redeemed........... (6,450) (57) (554) -- (690) (48)
------------ ----------- ------------ ----------- ----------- -----------
Change in net assets from Service
Class capital transactions...... $ 6,219 $ 73 $ 78 $ 5 $ 406 $ 36
============ =========== ============ =========== =========== ===========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued............................ 18,802,209 10,475,147 11,378,662 9,521,761 1,327,449 1,253,959
Issued in Marquis acquisition..... -- -- -- 596,344 -- 45,820
Issued in Pegasus acquisition..... -- 1,823,940 -- 810,294 -- 561,569
Reinvested........................ 49,392 13,391 4,160 1,320 667 254
Redeemed.......................... (18,025,132) (9,531,115) (12,196,654) (8,355,553) (1,436,252) (1,282,573)
------------ ----------- ------------ ----------- ----------- -----------
Change in Class I Shares.......... 826,469 2,781,363 (813,832) 2,574,166 (108,136) 579,029
============ =========== ============ =========== =========== ===========
CLASS A SHARES:
Issued............................ 7,995,141 5,106,424 6,181,106 4,481,152 948,674 922,198
Issued in Marquis acquisition..... -- -- -- 636,677 -- 63,933
Issued in Pegasus acquisition..... -- 940,824 -- 243,464 -- 120,764
Reinvested........................ 101,306 34,396 30,766 25,900 8,342 3,708
Redeemed.......................... (7,762,317) (3,515,939) (6,438,930) (4,175,136) (946,994) (786,927)
------------ ----------- ------------ ----------- ----------- -----------
Change in Class A Shares.......... 334,130 2,565,705 (227,058) 1,212,057 10,022 323,676
============ =========== ============ =========== =========== ===========
CLASS B SHARES:
Issued............................ 28,797 20,848 1,635 2,299
Issued in Pegasus acquisition..... -- 474 -- --
Reinvested........................ 619 225 48 23
Redeemed.......................... (22,705) (13,606) (1,638) (1,491)
------------ ----------- ------------ -----------
Change in Class B Shares.......... 6,711 7,941 45 831
============ =========== ============ ===========
CLASS C SHARES:
Issued............................ 960 1,866 855
Reinvested........................ -- 23 7
Redeemed.......................... (112) (2,046) (179)
------------ ------------ -----------
Change in Class C Shares.......... 848 (157) 683
============ ============ ===========
SERVICE CLASS SHARES:
Issued............................ 12,516 130 627 5 1,092 84
Reinvested........................ 154 --(a) 5 --(a) 4 --(a)
Redeemed.......................... (6,450) (57) (554) -- (690) (48)
------------ ----------- ------------ ----------- ----------- -----------
Change in Service Class Shares.... 6,220 73 78 5 406 36
============ =========== ============ =========== =========== ===========
</TABLE>
------------
(a) Amount is less than 1,000.
See notes to financial statements.
31
<PAGE> 34
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL OHIO MUNICIPAL
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ----------------------
YEAR SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
2000 1999(a) 1998 2000 1999
--------- ----------- ------------ --------- ---------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 240,870 $ 152,638 $ 299,355 $ 166,430 $ 208,865
Dividends reinvested...................................... 139 50 37 25 38
Cost of shares redeemed................................... (220,320) (172,310) (263,447) (160,116) (230,386)
--------- --------- --------- --------- ---------
Change in net assets from Class I capital transactions.... $ 20,689 $ (19,622) $ 35,945 $ 6,339 $ (21,483)
========= ========= ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued............................... $ 171,922 $ 178,381 $ 154,185 $ 104,251 $ 166,469
Dividends reinvested...................................... 1,418 492 832 1,104 1,020
Cost of shares redeemed................................... (166,147) (174,054) (119,937) (112,693) (169,412)
--------- --------- --------- --------- ---------
Change in net assets from Class A capital transactions.... $ 7,193 $ 4,819 $ 35,080 $ (7,338) $ (1,923)
========= ========= ========= ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 240,870 152,638 299,355 166,430 208,865
Reinvested................................................ 139 50 37 25 38
Redeemed.................................................. (220,320) (172,310) (263,447) (160,116) (230,386)
--------- --------- --------- --------- ---------
Change in Class I Shares.................................. 20,689 (19,622) 35,945 6,339 (21,483)
========= ========= ========= ========= =========
CLASS A SHARES:
Issued.................................................... 171,922 178,381 154,185 104,251 166,470
Reinvested................................................ 1,418 492 832 1,104 1,020
Redeemed.................................................. (166,147) (174,054) (119,937) (112,693) (169,412)
--------- --------- --------- --------- ---------
Change in Class A Shares.................................. 7,193 4,819 35,080 (7,338) (1,922)
========= ========= ========= ========= =========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Money Market Fund became the Michigan Municipal Money Market Fund.
The Schedules of Capital Stock Activity for the periods prior to March 22,
1999, represent the Pegasus Michigan Municipal Money Market Fund.
See notes to financial statements.
32
<PAGE> 35
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
--------------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ----------
Investment Activities:
Net investment income............. 0.054 0.049 0.053 0.051 0.054
---------- ---------- ---------- ---------- ----------
Distributions:
Net investment income............. (0.054) (0.049) (0.053) (0.051) (0.054)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ==========
Total Return........................ 5.51% 4.98% 5.39% 5.20% 5.49%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $6,224,509 $5,398,206 $2,616,698 $2,563,768 $2,186,562
Ratio of expenses to average net
assets......................... 0.52% 0.50% 0.51% 0.48% 0.44%
Ratio of net investment income to
average net assets............. 5.39% 4.79% 5.26% 5.06% 5.34%
Ratio of expenses to average net
assets*........................ 0.55% 0.54% 0.58% 0.56% 0.55%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
33
<PAGE> 36
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
--------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income................. 0.051 0.046 0.050 0.048 0.051
---------- ---------- -------- -------- --------
Distributions:
Net investment income................. (0.051) (0.046) (0.050) (0.048) (0.051)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ======== ======== ========
Total Return............................ 5.25% 4.72% 5.13% 4.94% 5.22%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $3,505,068 $3,171,028 $605,291 $332,646 $315,374
Ratio of expenses to average net
assets............................. 0.77% 0.75% 0.76% 0.73% 0.69%
Ratio of net investment income to
average net assets................. 5.13% 4.47% 5.01% 4.83% 5.09%
Ratio of expenses to average net
assets*............................ 0.80% 0.79% 0.83% 0.91% 0.90%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
34
<PAGE> 37
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
-------------------------------------------------
CLASS B SHARES
-------------------------------------------------
NOVEMBER 12,
YEAR ENDED JUNE 30, 1996 TO
------------------------------- JUNE 30,
2000 1999 1998 1997 (A)
------- ------ ------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................... $ 1.000 $1.000 $1.000 $1.000
------- ------ ------ ------
Investment Activities:
Net investment income................................. 0.044 0.039 0.043 0.026
------- ------ ------ ------
Distributions:
Net investment income................................. (0.044) (0.039) (0.043) (0.026)
------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD.......................... $ 1.000 $1.000 $1.000 $1.000
======= ====== ====== ======
Total Return............................................ 4.47% 3.94% 4.35% 2.63%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..................... $16,564 $9,854 $1,912 $ 618
Ratio of expenses to average net assets............... 1.52% 1.50% 1.51% 1.51%(c)
Ratio of net investment income to average net
assets............................................. 4.42% 3.80% 4.25% 4.16%(c)
Ratio of expenses to average net assets*.............. 1.55% 1.54% 1.57% 1.59%(c)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
35
<PAGE> 38
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
----------------------------------------------
CLASS C SHARES SERVICE CLASS SHARES
-------------- --------------------------
MAY 31, Year April 16,
2000 TO Ended 1999 to
JUNE 30, June 30, June 30,
2000 (a) 2000 1999 (a)
-------------- --------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....................... $1.000 $1.000 $1.000
------ ------ ------
Investment Activities:
Net investment income.................................... 0.004 0.048 0.008
------ ------ ------
Distributions:
Net Investment income.................................... (0.004) (0.048) (0.008)
------ ------ ------
NET ASSET VALUE, END OF PERIOD............................. $1.000 $1.000 $1.000
====== ====== ======
Total Return............................................... 0.43%(b) 4.94% 0.84%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........................ $ 848 $6,293 $ 73
Ratio of expenses to average net assets.................. 1.52%(c) 1.07% 1.05%(c)
Ratio of net investment income to average net assets..... 5.11%(c) 5.03% 4.02%(c)
Ratio of expenses to average net assets*................. 1.55%(c) 1.30% 1.28%(c)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
36
<PAGE> 39
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. TREASURY SECURITIES MONEY MARKET FUND
--------------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ----------
Investment Activities:
Net investment income............. 0.050 0.045 0.051 0.050 0.052
---------- ---------- ---------- ---------- ----------
Distributions:
Net investment income............. (0.050) (0.045) (0.051) (0.050)(a) (0.052)
---------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ==========
Total Return........................ 5.12% 4.63% 5.19% 5.07% 5.34%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $4,785,390 $5,599,894 $3,025,608 $2,243,376 $1,844,590
Ratio of expenses to average net
assets......................... 0.51% 0.51% 0.52% 0.46% 0.42%
Ratio of net investment income to
average net assets............. 4.98% 4.52% 5.07% 4.95% 5.17%
Ratio of expenses to average net
assets*........................ 0.54% 0.54% 0.60% 0.57% 0.56%
</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) Includes $.000002 short term capital gain.
See notes to financial statements.
37
<PAGE> 40
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. TREASURY SECURITIES MONEY MARKET FUND
--------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income................. 0.048 0.043 0.048 0.047 0.050
---------- ---------- -------- -------- --------
Distributions:
Net investment income................. (0.048) (0.043) (0.048) (0.047)(a) (0.050)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ======== ======== ========
Total Return............................ 4.86% 4.37% 4.92% 4.81% 5.08%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $1,846,153 $2,073,442 $861,350 $530,164 $110,864
Ratio of expenses to average net
assets............................. 0.76% 0.76% 0.77% 0.72% 0.67%
Ratio of net investment income to
average net assets................. 4.74% 4.21% 4.82% 4.71% 4.92%
Ratio of expenses to average net
assets *........................... 0.79% 0.79% 0.86% 0.93% 0.91%
</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) Includes $.000002 short term gain.
See notes to financial statements.
38
<PAGE> 41
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. Treasury Securities Money Market Fund
------------------------------------------------
Class B Shares
------------------------------------------------
NOVEMBER 21,
Year Ended June 30, 1996 TO
------------------------------ JUNE 30,
2000 1999 1998 1997 (a)
------ ------ ------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $1.000 $1.000 $1.000 $1.000
------ ------ ------ ------
Investment Activities:
Net investment income................................... 0.040 0.035 0.041 0.024
------ ------ ------ ------
Distributions:
Net investment income................................... (0.040) (0.035) (0.041) (0.024)(b)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $1.000 $1.000 $1.000 $1.000
====== ====== ====== ======
Total Return.............................................. 4.08% 3.60% 4.14% 2.44%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $1,057 $1,012 $ 181 $ 49
Ratio of expenses to average net assets................. 1.51% 1.51% 1.52% 1.48%(d)
Ratio of net investment income to average net assets.... 3.97% 3.43% 4.06% 3.97%(d)
Ratio of expenses to average net assets*................ 1.54% 1.54% 1.60% 1.59%(d)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Includes $.000002 short term capital gain.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
39
<PAGE> 42
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. Treasury Securities Money Market Fund
------------------------------------------------------------------
Class C Shares Service Class Shares
------------------------------------ ------------------------
Year Ended FEBRUARY 18, Year April 16,
June 30, 1998 TO Ended 1999 to
------------------ JUNE 30, June 30, June 30,
2000 1999 1998 (a) 2000 1999 (a)
------ ------ ------------ --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $1.000 $1.000 $1.000 $1.000 $1.000
------ ------ ------ ------ ------
Investment Activities:
Net investment income...................... 0.040 0.035 0.015 0.045 0.008
------ ------ ------ ------ ------
Distributions:
Net investment income...................... (0.040) (0.035) (0.015) (0.045) (0.008)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............... $1.000 $1.000 $1.000 $1.000 $1.000
====== ====== ====== ====== ======
Total Return................................. 4.08% 3.59% 1.47%(b) 4.54% 0.77%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $ 526 $ 684 $ 1 $ 83 $ 5
Ratio of expenses to average net assets.... 1.51% 1.51% 1.57%(c) 1.07% 1.06%(c)
Ratio of net investment income to average
net assets.............................. 3.96% 3.35% 4.01%(c) 4.44% 3.71%(c)
Ratio of expenses to average net assets*... 1.54% 1.54% 1.57%(c) 1.30% 1.27%(c)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
40
<PAGE> 43
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND
------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------------
2000 1999 1998 1997 1996
-------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- ---------- -------- -------- --------
Investment Activities:
Net investment income................... 0.033 0.028 0.032 0.031 0.033
-------- ---------- -------- -------- --------
Distributions:
Net investment income................... (0.033) (0.028) (0.032) (0.031) (0.033)
-------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ========== ======== ======== ========
Total Return.............................. 3.38% 2.88% 3.27% 3.19% 3.34%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $969,070 $1,077,205 $498,127 $467,420 $459,807
Ratio of expenses to average net
assets............................... 0.46% 0.46% 0.45% 0.43% 0.41%
Ratio of net investment income to
average net assets................... 3.31% 2.84% 3.22% 3.16% 3.29%
Ratio of expenses to average net
assets*.............................. 0.54% 0.56% 0.56% 0.55% 0.59%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
41
<PAGE> 44
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND
--------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- ------- -------
Investment Activities:
Net investment income...................... 0.031 0.026 0.030 0.029 0.030
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... (0.031) (0.026) (0.030) (0.029) (0.030)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======= =======
Total Return................................. 3.12% 2.63% 3.01% 2.97% 3.08%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $438,468 $428,448 $104,809 $48,185 $50,720
Ratio of expenses to average net assets.... 0.71% 0.70% 0.70% 0.68% 0.66%
Ratio of net investment income to average
net assets.............................. 3.06% 2.59% 2.97% 2.91% 3.04%
Ratio of expenses to average net assets*... 0.79% 0.80% 0.81% 0.90% 0.94%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
42
<PAGE> 45
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Municipal
Money Market Fund
------------------------
Service Class Shares
------------------------
YEAR APRIL 16,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
--------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $1.000 $1.000
------ ------
Investment Activities:
Net investment income..................................... 0.028 0.005
------ ------
Distributions:
Net investment income..................................... (0.028) (0.005)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $1.000 $1.000
====== ======
Total Return................................................ 2.81% 0.50%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 442 $ 36
Ratio of expenses to average net assets................... 1.01% 1.00%(c)
Ratio of net investment income to average net assets...... 3.01% 2.45%(c)
Ratio of expenses to average net assets*.................. 1.29% 1.29%(c)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
43
<PAGE> 46
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Michigan Municipal Money Market Fund
----------------------------------------------------------------------
Class I Shares
----------------------------------------------------------------------
YEAR SIX MONTHS Year Ended MARCH 30,
ENDED ENDED December 31, 1996 TO
JUNE 30, JUNE 30, --------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
--------- ---------- -------- ------- ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- ------- -------- ------- -------
Investment Activities:
Net investment income................. 0.033 0.013 0.030 0.032 0.023
-------- ------- -------- ------- -------
Distributions:
Net investment income................. (0.033) (0.013) (0.030) (0.032) (0.023)
-------- ------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======= ======== ======= =======
Total Return............................ 3.32% 1.34%(c) 3.02% 3.26% 3.03%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $111,900 $91,211 $110,833 $74,888 $49,521
Ratio of expenses to average net
assets............................. 0.47% 0.49%(d) 0.50% 0.50% 0.59%(d)
Ratio of net investment income to
average net assets................. 3.33% 2.65%(d) 2.97% 3.20% 3.02%(d)
Ratio of expenses to average net
assets*............................ 0.56% 0.57%(d) 0.53% 0.54% 0.62%(d)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Michigan
Municipal Money Market Fund became the Michigan Municipal Money Market Fund.
The Financial Highlights for the periods prior to March 22, 1999 represent
the Pegasus Michigan Municipal Money Market Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
44
<PAGE> 47
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Michigan Municipal Money Market Fund
-----------------------------------------------------------------------------
Class A Shares
-----------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED Year Ended December 31,
JUNE 30, JUNE 30, -----------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- ------- --------
Investment Activities:
Net investment income............ 0.030 0.012 0.027 0.030 0.029 0.033
------- ------- ------- ------- ------- --------
Distributions:
Net investment income............ (0.030) (0.012) (0.027) (0.030) (0.029) (0.033)
------- ------- ------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= ======= ========
Total Return....................... 3.06% 1.21%(b) 2.76% 3.00% 2.93% 3.32%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)......................... $76,294 $69,101 $64,283 $29,202 $72,089 $122,057
Ratio of expenses to average net
assets........................ 0.72% 0.75%(c) 0.75% 0.75% 0.74% 0.69%
Ratio of net investment income to
average net assets............ 3.03% 2.42%(c) 2.72% 2.95% 2.87% 3.30%
Ratio of expenses to average net
assets*....................... 0.81% 0.84%(c) 0.78% 0.79% 0.77% 0.76%
</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 One Group Mutual Funds, the Pegasus Michigan
Municipal Money Market Fund became the Michigan Municipal Money Market Fund.
The Financial Highlights for the periods prior to March 22, 1999 represent
the Pegasus Michigan Municipal Money Market Fund.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
45
<PAGE> 48
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL MONEY MARKET FUND
-----------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- -------
Investment Activities:
Net investment income......................... 0.033 0.028 0.033 0.032 0.033
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.033) (0.028) (0.033) (0.032) (0.032)
In excess of net investment income............ -- -- -- -- (0.001)
------- ------- ------- ------- -------
Total Distributions........................ (0.033) (0.028) (0.033) (0.032) (0.033)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= =======
Total Return.................................... 3.32% 2.88% 3.31% 3.22% 3.34%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $62,084 $55,745 $77,224 $56,442 $55,915
Ratio of expenses to average net assets....... 0.45% 0.42% 0.40% 0.40% 0.41%
Ratio of net investment income to average net
assets..................................... 3.26% 2.85% 3.27% 3.17% 3.19%
Ratio of expenses to average net assets *..... 0.52% 0.55% 0.53% 0.53% 0.71%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
46
<PAGE> 49
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL MONEY MARKET FUND
-----------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- -------
Investment Activities:
Net investment income......................... 0.030 0.026 0.030 0.029 0.030
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.030) (0.026) (0.030) (0.029) (0.029)
In excess of net investment income............ -- -- -- -- (0.001)
------- ------- ------- ------- -------
Total Distributions........................ (0.030) (0.026) (0.030) (0.029) (0.030)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= =======
Total Return.................................... 3.06% 2.62% 3.06% 2.96% 3.08%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $29,842 $37,180 $39,100 $30,479 $41,132
Ratio of expenses to average net assets....... 0.70% 0.67% 0.65% 0.65% 0.66%
Ratio of net investment income to average net
assets..................................... 3.00% 2.60% 2.98% 2.90% 2.94%
Ratio of expenses to average net assets*...... 0.77% 0.80% 0.78% 0.88% 1.06%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
See notes to financial statements.
47
<PAGE> 50
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000
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 Prime Money
Market Fund, the U.S. Treasury Securities Money Market Fund, the Municipal
Money Market Fund, the Michigan Municipal Money Market Fund, and the Ohio
Municipal Money Market Fund (individually, a "Fund"; collectively, the
"Funds") only. Each Fund is a diversified mutual fund, except the Michigan
Municipal Money Market Fund and Ohio Municipal Money Market Fund which are
non-diversified.
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 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 Funds require
that the securities purchased in a repurchase transaction be transferred to
the custodian in a manner sufficient to enable the Funds to obtain those
securities in the event of a counterparty default. The seller, under the
repurchase agreement, is required to maintain the value of the securities
held at not less than the repurchase price, including accrued interest.
Repurchase agreements are considered to be loans by a fund under the 1940
Act.
SECURITIES LENDING
To generate additional income, the Prime Money Market Fund and the U.S.
Treasury Securities Money Market Fund may lend up to 33 1/3% of securities
in which they are invested pursuant to agreements requiring that the loan
be continuously secured by any combination of cash, U.S. Government or U.S.
Government Agency securities and letters of credit as collateral equal at
all times to at least 100% of the market value plus accrued interest on the
securities lent. The Funds receive payments from borrowers equivalent to
the dividends and interest that would have been earned on securities lent
while simultaneously seeking to earn interest on the investment of cash
collateral. Collateral is marked to market daily to provide a level of
collateral at least equal to the market value of securities lent. There may
be risks of delay in recovery of the securities or even loss of rights in
the collateral should the borrower of the securities fail financially.
However, loans will be made only to borrowers deemed by the Advisor to be
of good standing and creditworthy under guidelines established by the Board
of Trustees and when, in the judgment of the Advisor, the consideration
which can be earned currently from such securities loans justifies the
attendant risks. Loans are subject to termination
Continued
48
<PAGE> 51
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
by the Funds or the borrower at any time, and are, therefore, not
considered to be illiquid investments. As of June 30, 2000, the Funds had
no securities on loan.
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. Net investment income and expenses are
recognized on the accrual basis. Interest income includes premium
amortization and discount accretion for both financial reporting and tax
purposes. Amortization and accretion are calculated using the straight-line
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 investment 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.
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are primarily
due to differing treatments for expiring capital loss carryforwards and
deferrals of certain losses. Permanent book and tax basis 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 from net investment income and from net realized capital
gains sufficient to relieve it from all, or substantially all, federal
income taxes.
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, Class A, Class
C and Service Class shares. In addition, the Prime Money Market Fund and the
U.S. Treasury Securities Money Market Fund are authorized to issue Class B
shares. As of June 30, 2000, there were no shareholders in Class C (except
for the Prime Money Market Fund and the U.S. Treasury Securities Money Market
Fund) and Service Class of the Michigan Municipal Money Market Fund and the
Ohio Municipal Money Market Fund. Class A shares are subject to initial sales
charges, imposed at the time of purchase, in accordance with the funds'
prospectus. Certain redemptions of Class B and Class C shares are subject to
contingent deferred sales charge in accordance with the Funds' prospectus.
Shareholders are entitled to one vote for each full share held and vote in
the aggregate and not by
Continued
49
<PAGE> 52
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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, ADMINISTRATION, 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 0.35% of the average daily net assets of the Prime
Money Market Fund, the U.S. Treasury Securities Money Market Fund, the
Municipal Money Market Fund and the Michigan Municipal Money Market Fund; and
0.30% of the Ohio Municipal Money Market Fund.
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
each fund's average daily net assets on the first $1.5 billion of Trust net
assets (excluding the Investor Conservative Growth Fund, the Investor
Balanced Fund, the Investor Growth & Income Fund and the Investor Growth Fund
(the "Investor Funds") and the Institutional Prime Money Market Fund, the
Treasury Only Money Market Fund and the Government Money Market Fund (the
"Institutional Money Market Funds")); 0.18% on the next $0.5 billion of Trust
net assets (excluding the Investor Funds and the Institutional Money Market
Funds); and 0.16% on Trust net assets (excluding the Investor Funds and the
Institutional Money Market Funds) over $2 billion. One Group Administrative
Services ("OGA"), an affiliate of the Advisor, serves as Sub-Administrator to
each fund of the Trust, pursuant to an agreement between the Administrator
and OGA. Pursuant to this agreement, OGA performs many of the Administrator's
duties, for which OGA 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, Class B shares, Class C shares and Service
Class shares are subject to distribution and shareholder services plans (the
"Plans") pursuant to Rule 12b-1 under the 1940 Act. As provided in the Plans,
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, 1.00% of the average daily net
assets of Class B and Class C shares and 0.75% of the average daily net
assets of the Service Class shares of each of the funds. Currently, the
Distributor has voluntarily agreed to limit payments under the Plans to 0.55%
of average daily net assets of the Service Class shares of each fund. Up to
0.25% of the fees payable under the Plans may be used as compensation of
shareholder services by the Distributor and/or financial institutions and
intermediaries. Fees paid under the Plans 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
50
<PAGE> 53
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The Advisor, Administrator and Distributor voluntarily agreed to waive a
portion of their fees. For the year ended June 30, 2000, fees in the
following amounts were waived from the Funds (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT DISTRIBUTION
ADVISORY FEES ADMINISTRATION FEES WAIVED
FUND WAIVED FEES WAIVED SERVICE CLASS
---- ------------- -------------- -------------
<S> <C> <C> <C>
Prime Money Market Fund............................... $2,784 $47 $7
U.S. Treasury Securities Money Market Fund............ 2,092 -- --(a)
Municipal Money Market Fund........................... 1,178 19 --(a)
Michigan Municipal Money Market Fund.................. 135 18 --
Ohio Municipal Money Market Fund...................... 44 28 --
</TABLE>
------------
(a) Amount is less than $1,000.
5. CONCENTRATION OF CREDIT RISK:
The Michigan and Ohio Municipal Money Market Funds, respectively, invest
primarily in debt obligations issued by the States of Michigan and Ohio and
their political subdivisions, agencies and public authorities to obtain funds
for various public purposes. The Funds are more susceptible to economic and
political factors adversely affecting issuers of Michigan's and Ohio's
specific municipal securities than are municipal money market funds that are
not concentrated in these issuers to the same extent.
6. 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, was 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 in the Trust.
During the year ended, there were no borrowings by the Funds under the
Agreement.
7. DEFERRED COMPENSATION PLAN:
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 Mutual 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.
8. MARQUIS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Marquis Reorganization") with the Marquis Family of Funds (the "Marquis
Funds") pursuant to which all of the assets and liabilities of each Marquis
Fund transferred to a fund of the One Group in exchange for shares of the
corresponding fund of the One Group. The Marquis Reorganization, which
qualified as a tax-free exchange for federal income tax purposes, was
completed on August 10, 1998 following approval by shareholders of the
Marquis Funds at a special share-
Continued
51
<PAGE> 54
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
holder meeting. The following is a summary of shares outstanding and net
assets, immediately before and after the Marquis Reorganization (amounts in
thousands):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ ----------------
MARQUIS TREASURY U.S. TREASURY U.S. TREASURY
SECURITIES MONEY SECURITIES MONEY SECURITIES MONEY
MARKET FUND MARKET FUND MARKET FUND
---------------- ---------------- ----------------
<S> <C> <C> <C>
Shares......................................... 1,233,021 4,529,296 5,762,317
Net assets..................................... $1,232,968 $4,529,532 $5,762,500
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ ----------------
MARQUIS TAX MUNICIPAL MUNICIPAL
EXEMPT MONEY MONEY MONEY
MARKET FUND MARKET FUND MARKET FUND
---------------- ---------------- ----------------
<S> <C> <C> <C>
Shares......................................... 109,753 839,967 949,720
Net assets..................................... $109,768 $839,836 $949,604
</TABLE>
9. PEGASUS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Pegasus Reorganization") with the Pegasus Funds pursuant to which all
of the assets and liabilities of each Pegasus Fund transferred to a fund of
the One Group in exchange for shares of the corresponding Fund of the One
Group. The Pegasus Reorganization, which qualified as a tax-free exchange for
federal income tax purposes, was completed on March 22, 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 Pegasus Reorganization (amounts in
thousands):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ ----------------
PEGASUS PRIME PRIME
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
---------------- ---------------- ----------------
<S> <C> <C> <C>
Shares......................................... 2,765,238 5,229,986 7,995,224
Net assets..................................... $2,765,227 $5,230,175 $7,995,402
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ ----------------
PEGASUS TREASURY U.S. TREASURY U.S. TREASURY
MONEY MARKET SECURITIES MONEY SECURITIES MONEY
FUND MARKET FUND MARKET FUND
---------------- ---------------- ----------------
<S> <C> <C> <C>
Shares......................................... 1,053,758 5,910,559 6,964,317
Net assets..................................... $1,053,742 $5,911,020 $6,964,762
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ ----------------
PEGASUS MUNICIPAL MUNICIPAL
MUNICIPAL MONEY MONEY MONEY
MARKET FUND MARKET FUND MARKET FUND
---------------- ---------------- ----------------
<S> <C> <C> <C>
Shares......................................... 682,333 890,765 1,573,098
Net assets..................................... $682,334 $890,687 $1,573,021
</TABLE>
Continued
52
<PAGE> 55
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
BEFORE AFTER
REORGANIZATION REORGANIZATION
-------------------- ---------------
PEGASUS MICHIGAN MICHIGAN
MUNICIPAL MONEY MUNICIPAL MONEY
MARKET FUND MARKET FUND
-------------------- ---------------
<S> <C> <C>
Shares...................................................... 207,223 207,223
Net assets.................................................. $207,222 $207,222
</TABLE>
10. FEDERAL TAX INFORMATION (UNAUDITED):
As of June 30, 2000, the following Funds have capital loss carryforwards
which are available to offset future capital gains, if any (amounts in
thousands):
<TABLE>
<CAPTION>
FUND 2004 2005 2008 TOTAL
---- ---- ---- ---- -----
<S> <C> <C> <C> <C>
Prime Money Market Fund..................................... $ -- $ -- $ 3 $ 3
U.S. Treasury Securities Money Market Fund.................. -- -- 510 510
Michigan Municipal Money Market Fund........................ 1 -- -- 1
Ohio Municipal Money Market Fund............................ -- 2 -- 2
</TABLE>
Distributions declared from tax-exempt income during the fiscal year ended
June 30, 2000 are as follows (amounts in thousands):
<TABLE>
<CAPTION>
FUND
----
<S> <C>
Municipal Money Market Fund................................. $46,312
Michigan Municipal Money Market Fund........................ 4,856
Ohio Municipal Money Market Fund............................ 3,085
</TABLE>
53
<PAGE> 56
Report of Independent Accountants
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
To the Board of Trustees and Shareholders of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Prime Money Market Fund, the
U.S. Treasury Securities Money Market Fund, the Municipal Money Market Fund, the
Michigan Municipal Money Market Fund and the Ohio Municipal Money Market Fund
(five series of One Group Mutual Funds, hereafter referred to as the "Funds") at
June 30, 2000, and the results of each of their operations for the year then
ended and the changes in each of their net assets and the financial highlights
for each of the periods presented (other than the statement of changes in net
assets and financial highlights that have been audited by other independent
accountants), in conformity with accounting principles generally accepted in the
United States. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with auditing standards generally accepted in the
United States, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at June 30, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above. The financial statements of the Michigan Municipal
Money Market Fund for all periods ended on or before December 31, 1998 were
audited by other independent accountants whose report dated February 12, 1999,
expressed an unqualified opinion on those statements and financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 18, 2000
54
<PAGE> 57
(This page has been left blank intentionally.)
<PAGE> 58
(This page has been left blank intentionally.)
<PAGE> 59
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
TOG-F-034-AN (8/00)
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