<PAGE> 1
CASH MANAGEMENT MONEY MARKET FUNDS
ANNUAL REPORT
For the year ended June 30, 2000
One Group Logo
ONE GROUP(R) CASH MANAGEMENT MONEY MARKET FUND
ONE GROUP(R) TREASURY PRIME CASH MANAGEMENT MONEY
MARKET FUND
ONE GROUP(R) U.S. GOVERNMENT SECURITIES CASH
MANAGEMENT
MONEY MARKET FUND
ONE GROUP(R) TREASURY CASH MANAGEMENT MONEY
MARKET FUND
ONE GROUP(R) MUNICIPAL CASH MANAGEMENT MONEY
MARKET FUND
<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.......................................... 7
Statements of Assets and Liabilities......................................... 16
Statements of Operations..................................................... 17
Statements of Changes in Net Assets.......................................... 18
Schedules of Capital Stock Activity.......................................... 20
Financial Highlights......................................................... 22
Notes to Financial Statements................................................ 32
Report of Independent Accountants............................................ 37
1
<PAGE> 4
One Group Cash Management 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 Cash Management Money Market Fund I share class
was 6.28% on June 30, 2000, up from 4.72% on June 30, 1999.
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.
DID THE FUND MAINTAIN ITS "AAA" RATING?
We maintained a fairly short weighted-average maturity. On June 30, 2000, the
Fund's weighted average maturity was 46 days. This strategy allowed the Fund to
maintain its "AAA" average quality rating--the best-possible rating--from
Standard & Poor's and Moody's Investors Service.
To maintain this rating, the Fund's weighted average maturity must not exceed 60
days. This means that the Fund's yield will be sensitive to, and reflect
relatively quickly, rates on newly issued short-term instruments. So, when the
Federal Reserve tightens short-term rates, the Fund's yield will go up fairly
quickly. Conversely, when the Federal Reserve eases short-term rates, the Fund's
yield will drop fairly quickly.
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 SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C>
Class I 7/30/92 6.28% 5.65% 5.37% 4.85%
Class A 1/17/95 6.03% 5.39% 5.11% 5.15%
</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.
2
<PAGE> 5
One Group Treasury Prime Cash Management 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 Treasury Prime Cash Management Money Market
Fund I share class was 5.53% on June 30, 2000, up from 4.27% on June 30, 1999.
The increase primarily was due to the rising interest rate environment during
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 55 days on June 30, 1999, to 57 days on June 30,
2000. During the fiscal year the Fund maintained its "AAA" quality rating--the
highest available--from Standard & Poor's and Moody's Investors Service.
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
<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 3/22/95 5.53% 5.01% 4.85% 4.88%
Class A 3/22/95 5.28% 4.75% 4.59% 4.62%
</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.
3
<PAGE> 6
One Group U.S. Government Securities
Cash Management 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. Government Securities Cash Management
Money Market Fund I share class was 6.28% on June 30, 2000, up from 4.64% on
June 30, 1999. The increase primarily was due to the period's rising interest
rate environment.
HOW WOULD YOU CHARACTERIZE THE MARKET CLIMATE DURING THE YEAR?
Continued strong growth in the United States and concern about possible
inflationary pressures caused the Federal Reserve to increase interest rates
1.75 percentage points over the fiscal 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
decrease Treasury supply dramatically 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.
In response to the Treasury buyback program, major U.S. government agencies
increased supply and created new reference bill notes. These new securities were
designed to potentially replace the Treasury bill as a reference index.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We continued to implement a barbell maturity structure during the year. This
common strategy involves favoring securities at the long and short ends of a
particular maturity range over those with intermediate maturities. At the "long"
end, we purchased securities with maturities of six months to one year, and at
the "short" end, we held overnight repurchase agreements. This strategy helped
the fund maintain a high level of liquidity and benefit from higher yields--the
"long" securities offered the yield advantages, while the "short" securities
provided the liquidity needed to quickly participate in the rate increases. At
year end, the Fund's average maturity was 56 days, unchanged from June 30, 1999.
This strategy allowed the Fund to maintain its "AAA" quality rating--the best
possible--from Standard & Poor's and Moody's Investors Service. To earn this
rating, a fund's weighted average maturity must not exceed 60 days.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect a moderation in growth over the next year. We also expect to see a
flatter yield curve that could invert later in the period. In anticipation of
this, we plan to move the Fund's maturity into a more laddered approach, whereby
money is invested over a series of maturities and the overnight cash position is
reduced.
/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 SINCE INCEPTION
<S> <C> <C> <C> <C> <C> <C>
Class I 6/2/92 6.28% 5.47% 5.26% 4.72%
Class A 1/17/95 6.03% 5.21% 5.00% 5.05%
</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 Treasury Cash Management 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 Treasury Cash Management Money Market Fund I
share class was 6.10% on June 30, 2000, up from 4.47% on June 30, 1999. The
increase primarily was due to the rising interest rate environment during 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 54 days on June 30, 1999, to 55 days on June 30,
2000. This strategy enabled the Fund to maintain its "AAA" quality rating--the
highest available--from Standard & Poor's and Moody's Investors Service. To
receive this rating, a fund must have an average maturity no greater than 60
days.
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
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
CLASS OF SHARES INCEPTION 7 DAY YIELD 1 YEAR SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 9/12/97 6.10% 5.26% 5.13%
Class A 9/12/97 5.85% 5.00% 4.87%
</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.
5
<PAGE> 8
One Group Municipal Cash Management 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 Cash Management Money Market Fund I
share class was 4.29% on June 30, 2000, compared to 3.48% on June 30, 1999. (For
investors in the 39.6% federal income tax bracket, the 4.29% yield translates to
a taxable-equivalent yield of 7.10%.) 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 supply and demand
imbalances. 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 relatively limited supply in the market and volatility of cash flows within
the Fund greatly influenced the Fund's overall performance during the year.
Generally, we were able to benefit from this by keeping a relatively short
average maturity. 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 move in sync with upward market adjustments. We
maintained only selective exposure to fixed-rate issues.
The Fund's average maturity 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.
/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 SINCE INCEPTION
<S> <C> <C> <C> <C> <C>
Class I 8/18/97 4.29% 3.45% 3.26%
Class A 8/18/97 4.04% 3.19% 3.00%
</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 Mutual Funds
Cash Management 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 (49.8%):
Asset Backed (43.9%):
$ 28,400 Amsterdam Funding Corp., 6.56%,
7/21/00 (b)...................... $ 28,296
50,000 Amsterdam Funding Corp., 6.21%,
7/25/00 (b)...................... 49,793
26,600 Bavaria T.R.R. Corp., 6.35%,
7/14/00 (b)...................... 26,541
25,000 Bavaria T.R.R. Corp., 6.35%,
7/17/00 (b)...................... 24,932
25,000 Brahms Funding Corp., 6.68%,
8/17/00 (b)...................... 24,782
25,000 Brahms Funding Corp., 6.68%,
8/22/00 (b)...................... 24,759
50,000 Citibank Credit Card Master Trust
(Dakota), 6.15%, 7/10/00 (b)..... 49,923
25,000 Citibank Credit Card Master Trust
(Dakota), 6.13%, 7/13/00 (b)..... 24,949
50,000 CXC, Inc., 6.61%, 8/11/00 (b)...... 49,624
25,000 CXC, Inc., 6.61%, 9/14/00 (b)...... 24,656
72,000 Dixie Overseas Ltd., 6.57%,
7/14/00.......................... 71,828
20,000 K2 (USA) L.L.C., 6.55%, 7/25/00
(b).............................. 19,913
29,450 K2 (USA) L.L.C., 6.45%, 7/28/00
(b).............................. 29,308
20,000 K2 (USA) L.L.C., 6.17%, 10/10/00
(b).............................. 19,654
23,000 K2 (USA) L.L.C., 7.21%, 5/8/01
(b).............................. 23,002
50,000 Moat Funding L.L.C., 6.15%, 7/6/00
(b).............................. 49,957
37,979 Moat Funding L.L.C., 6.12%, 7/7/00
(b).............................. 37,940
51,000 Moat Funding L.L.C., 6.15%, 7/7/00
(b).............................. 50,948
28,142 Mont Blanc Capital Corp., 6.12%,
7/5/00 (b)....................... 28,123
40,000 Montauk Funding Corp., 6.60%,
7/18/00 (b)...................... 39,875
45,000 Montauk Funding Corp., 6.67%,
8/15/00 (b)...................... 44,625
25,225 Monte Rosa Capital Corp., 6.55%,
7/20/00 (b)...................... 25,138
58,304 Monte Rosa Capital Corp., 6.68%,
8/21/00 (b)...................... 57,752
23,000 Repeat Offering Securitization
Entity, Inc., 6.19%, 7/24/00
(b).............................. 22,909
25,000 Sheffield Receivables Corp., 6.58%,
7/05/00 (b)...................... 24,982
29,000 Sigma Finance, Inc., 6.28%, 9/27/00
(b).............................. 28,555
18,280 Special Purpose Accounts Receivable
Cooperative Corp., 6.58%, 7/19/00
(b).............................. 18,220
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
COMMERCIAL PAPER, CONTINUED:
Asset Backed, continued:
$ 87,000 Special Purpose Accounts Receivable
Cooperative Corp., 6.62%, 8/2/00
(b).............................. $ 86,487
25,000 Special Purpose Accounts Receivable
Cooperative Corp., 6.53%, 8/3/00
(b).............................. 24,850
25,000 Variable Funding Capital Corp.,
6.63%, 9/15/00 (b)............... 24,650
----------
1,056,971
----------
Banking (1.0%):
25,000 Galicia Buenos Aires Funding Corp.,
6.60%, 9/20/00................... 24,629
----------
Brokerage Services (1.0%):
25,000 Goldman Sachs L.P., 6.09%,
8/31/00.......................... 24,742
----------
Conglomerates (2.0%):
50,000 General Electric Capital Co.,
5.58%, 9/11/00................... 49,342
----------
Oil & Gas Exploration (1.9%):
47,000 Pemex Capital, 6.60%, 9/6/00....... 46,423
----------
Total Commercial Paper 1,202,107
----------
DEMAND NOTES (1.7%):
Automotive (1.7%):
40,000 Paccar Leasing Corp., 6.72%,
8/4/00*.......................... 40,000
----------
Total Demand Notes 40,000
----------
CORPORATE NOTES (13.3%):
Asset Backed (13.3%):
47,500 Racers Series 1998-MM-7-1, 6.70%,
8/11/00* (b)..................... 47,500
75,000 Racers Series 1999-26-MM-CCAB,
6.79%, 7/17/00* (b).............. 75,000
50,000 Racers Series 2000-MM-7, 6.83%,
5/30/01* (b)..................... 50,000
24,000 Racers Series 2000-MM-7, 6.88%,
5/30/01* (b)..................... 24,000
125,000 Structured Products Asset Return,
6.36%, 7/24/00* (b).............. 125,000
----------
Total Corporate Notes 321,500
----------
MEDIUM TERM NOTES (16.1%):
Asset Backed (12.9%):
24,000 Beta Finance, Inc., 6.66%, 2/5/01
(b).............................. 24,000
25,000 CC U.S.A., Inc., 5.75%, 7/24/00
(b).............................. 25,000
25,000 CC U.S.A., Inc., 6.00%, 8/7/00
(b).............................. 25,000
25,000 CC U.S.A., Inc., 6.06%, 8/16/00
(b).............................. 25,000
25,000 CC U.S.A., Inc., 6.10%, 9/7/00
(b).............................. 25,000
25,000 Dorada Finance, Inc., 6.16%,
10/16/00 (b)..................... 25,000
25,000 Links Finance, 6.31%, 10/16/00
(b).............................. 25,000
</TABLE>
Continued
7
<PAGE> 10
One Group Mutual Funds
Cash Management 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 NOTES, CONTINUED:
Asset Backed, continued:
$ 25,000 Sigma Finance, Inc., 6.11%, 9/13/00
(b).............................. $ 25,000
24,000 Sigma Finance, Inc., 6.84%, 4/17/01
(b).............................. 24,000
14,000 Sigma Finance, Inc., 6.90%, 5/2/01
(b).............................. 14,000
74,673 Strategic Money Market Trust,
Series 2000-B, 6.81%, 12/13/00*
(b).............................. 74,673
----------
311,673
----------
Brokerage Services (2.1%):
50,000 Goldman Sachs L.P., 6.69%,
8/23/00.......................... 50,000
----------
Financial Services (1.1%):
25,300 AT&T Capital Corp., 6.88%,
1/16/01.......................... 25,317
----------
Total Medium Term Notes 386,990
----------
FUNDING AGREEMENTS (5.6%):
Insurance (5.6%):
25,000 Allstate Life Insurance Co., 6.82%,
2/15/01*......................... 25,000
35,000 Monumental Life Insurance Co.,
6.86%, 7/3/01*................... 35,000
25,000 Security Benefit Life Insurance
Co., 6.49%, 8/11/00*............. 25,000
50,000 Travelers Insurance Co., 6.90%,
12/13/00*........................ 50,000
----------
Total Funding Agreements 135,000
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
CERTIFICATES OF DEPOSIT (1.7%):
Banking (1.1%):
$ 25,000 Allfirst Bank, 6.85%, 9/29/00*..... $ 24,990
----------
Banking -- Foreign (0.6%):
15,000 Union Bank of Switzerland, 6.21%,
12/8/00.......................... 14,996
----------
Total Certificates of Deposit 39,986
----------
REPURCHASE AGREEMENTS (11.7%):
262,000 Barclays De Zoette Wedd, 6.75%,
7/3/00, (Collateralized by
$267,037 various Government
securities, 0.00% - 7.80%,
7/6/00 - 4/10/07, market value
$267,240)........................ 262,000
19,845 Westdeutsche Landesbank GZ, 6.80%,
7/3/00, (Collateralized by
$36,102 various Government
securities, 5.04% - 7.50%,
7/15/00 - 1/1/29, market value
$20,339)......................... 19,845
----------
Total Repurchase Agreements 281,845
----------
Total (Amortized Cost $2,407,428) (a) $2,407,428
==========
</TABLE>
------------
Percentages indicated are based on net assets of $2,409,878.
(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 $1,618,315 or 67.15% 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.
8
<PAGE> 11
One Group Mutual Funds
Treasury Prime Cash Management 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 (107.2%):
U.S. Treasury Bills (86.5%):
$ 78,836 7/6/00............................. $ 78,775
21,168 7/13/00............................ 21,129
108,432 7/20/00............................ 108,110
7,942 7/27/00............................ 7,909
1,146 8/3/00............................. 1,140
81,583 8/10/00............................ 81,071
50,000 8/17/00............................ 49,628
50,000 9/7/00............................. 49,470
19,905 9/14/00............................ 19,674
100,000 9/21/00............................ 98,718
15,324 9/28/00............................ 15,110
50,000 10/5/00............................ 49,274
25,000 10/26/00........................... 24,523
--------
604,531
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes (20.7%):
$ 25,000 6.13%, 7/31/00..................... $ 25,003
15,000 5.38%, 7/31/00..................... 14,994
35,000 6.00%, 8/15/00..................... 34,992
25,000 5.75%, 10/31/00.................... 24,947
25,000 4.00%, 10/31/00.................... 24,811
20,000 4.63%, 11/30/00.................... 19,870
--------
144,617
--------
Total U.S. Treasury Obligations 749,148
--------
Total (Amortized Cost $749,148) (a) $749,148
========
</TABLE>
------------
Percentages indicated are based on net assets of $698,862.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
9
<PAGE> 12
One Group Mutual Funds
U.S. Government Securities Cash Management Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES (26.4%):
Federal Farm Credit Bank (4.0%):
$ 50,000 6.57%, 7/3/00...................... $ 49,982
15,000 5.86%, 1/2/01...................... 14,548
15,000 6.35%, 2/1/01...................... 14,995
----------
79,525
----------
Federal Home Loan Bank (6.4%):
15,000 5.98%, 11/7/00..................... 14,679
20,000 5.97%, 12/1/00..................... 19,970
25,000 6.49%, 12/22/00.................... 24,216
60,000 5.38%, 3/2/01...................... 59,553
10,000 6.67%, 4/6/01...................... 9,996
----------
128,414
----------
Federal Home Loan Mortgage Corp. (7.8%):
20,000 5.25%, 7/5/00...................... 19,988
15,000 6.35%, 1/5/01...................... 14,999
15,000 6.53%, 1/16/01..................... 14,500
15,000 6.66%, 2/1/01...................... 14,450
25,000 6.56%, 3/1/01...................... 23,976
30,000 6.30%, 4/26/01..................... 28,439
25,000 6.71%, 5/24/01..................... 23,476
18,000 6.48%, 6/26/01..................... 16,834
----------
156,662
----------
Federal National Mortgage Assoc. (8.2%):
12,500 5.89%, 11/24/00.................... 12,496
30,000 6.51%, 9/28/00..................... 29,517
10,000 6.20%, 12/27/00.................... 9,995
15,000 6.35%, 2/2/01...................... 14,993
15,000 6.48%, 2/22/01..................... 14,987
15,000 6.52%, 3/16/01..................... 14,937
10,000 6.55%, 3/20/01..................... 9,997
15,000 6.17%, 4/12/01..................... 14,267
42,000 6.60%, 5/4/01...................... 41,880
----------
163,069
----------
Total U.S. Government Agency Securities 527,670
----------
U.S. TREASURY OBLIGATIONS (1.2%):
U.S. Treasury Bills (1.2%):
25,000 9/14/00............................ 24,740
----------
Total U.S. Treasury Obligations 24,740
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ----------
<C> <S> <C>
REPURCHASE AGREEMENTS (72.7%):
$ 98,527 ABN AMRO, 6.80%, 7/3/00,
(Collateralized by $98,810 U.S.
Government securities, 5.75%,
9/1/00, market value $100,501)... $ 98,527
95,000 Goldman Sachs, 6.85%, 7/3/00,
(Collateralized by $106,954 U.S.
Government securities, 6.50%,
12/1/14, market value $97,850)... 95,000
85,000 Prudential Securities, 6.88%,
7/3/00, (Collateralized by
$100,959 various U.S. Government
securities, 0.00% - 7.04%,
10/26/00 - 9/1/09, market value
$86,968)......................... 85,000
495,000 Salomon Smith Barney, 6.80%,
7/3/00, (Collateralized by
$625,026 various U.S. Government
securities, 5.75% - 16.25%,
10/1/00 - 7/1/30, market value
$509,850)........................ 495,000
90,000 Societe Generale, 6.80%, 7/3/00,
(Collateralized by $165,031
various U.S. Government
securities, 6.22% - 7.40%,
12/1/27 - 12/1/33, market value
$92,903)......................... 90,000
95,000 State Street Bank and Trust, 6.70%,
7/3/00, (Collateralized by
$97,955 various U.S. Government
securities, 0.00% - 6.00%,
12/19/00 - 11/15/01, market value
$96,959)......................... 95,000
492,275 Westdeutsche Landesbank, 6.80%,
7/3/00, (Collateralized by
$625,445 various U.S. Government
securities, 5.50% - 8.00%,
11/7/00 - 8/1/29, market value
$505,932)........................ 492,275
----------
Total Repurchase Agreements 1,450,802
----------
Total (Amortized Cost $2,003,212) (a) $2,003,212
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,996,555.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
10
<PAGE> 13
One Group Mutual Funds
Treasury Cash Management 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 (43.1%):
U.S. Treasury Bills (23.4%):
$100,000 09/28/00........................... $ 98,603
--------
U.S. Treasury Notes (19.7%):
5,000 5.38%, 7/31/00..................... 4,998
5,000 5.13%, 8/31/00..................... 4,993
30,000 4.00%, 10/31/00.................... 29,794
15,000 4.63%, 11/30/00.................... 14,902
10,000 7.75%, 2/15/01..................... 10,063
8,860 5.00%, 2/28/01..................... 8,783
10,000 5.00%, 4/30/01..................... 9,864
--------
83,397
--------
Total U.S. Treasury Obligations 182,000
--------
REPURCHASE AGREEMENTS (57.2%):
20,000 Goldman Sachs, 6.50%, 7/3/00,
(Collateralized by $19,268
various U.S. Treasury securities,
6.50% - 7.13%, 8/31/01 - 2/15/23,
market value $20,400)............ 20,000
100,000 Greenwich Capital, Inc., 6.60%,
7/3/00, (Collateralized by
$133,275 various U.S. Government
securities,
5.25% - 12.00%,
8/15/00 - 5/15/10, market value
$102,003)........................ 100,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
REPURCHASE AGREEMENTS, CONTINUED:
$ 20,000 Prudential Securities, 6.58%,
7/3/00, (Collateralized by
$20,127 U.S. Treasury Notes,
5.38%, 2/15/01, market value
$20,401)......................... $ 20,000
20,000 Salomon Smith Barney, 6.63%,
7/3/00, (Collateralized by
$20,375 U.S. Treasury Notes,
5.63%, 11/30/00, market value
$20,416)......................... 20,000
20,000 State Street Bank and Trust, 6.50%,
7/3/00, (Collateralized by
$20,250 U.S. Treasury Bonds,
6.13%, 11/15/27, market value
$20,413)......................... 20,000
61,702 Westdeutsche Landesbank, 6.55%,
7/3/00, (Collateralized by
$64,667 U.S. Treasury Notes,
5.38% - 6.38%, 1/31/02 - 6/30/03,
market value $62,937)............ 61,702
--------
Total Repurchase Agreements 241,702
--------
Total (Amortized Cost $423,702) (a) $423,702
========
</TABLE>
------------
Percentages indicated are based on net assets of $422,504.
(a) Amortized cost for federal income tax and financial reporting purposes are
the same.
See notes to financial statements.
11
<PAGE> 14
One Group Mutual Funds
Municipal Cash Management Money Market Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
ANTICIPATION NOTES (4.9%):
Ohio (1.2%):
$ 5,000 University Of Cincinnati General
Receipts, Series AJ, 4.50%,
3/1/01........................... $ 5,010
--------
Texas (3.7%):
15,000 Tax & Revenue Notes, Series A,
4.50%, 8/31/00................... 15,020
--------
Total Anticipation Notes 20,030
--------
DAILY DEMAND NOTES (12.9%):
Alabama (0.1%):
500 Phenix County, IDB, Environmental
Impact Revenue, Mead Coated Board
Project, Series A, 4.65%, 6/1/28,
LOC: Toronto Dominion*........... 500
--------
Indiana (0.1%):
600 Development Finance Authority,
Environmental Revenue, 4.70%,
8/1/28, LOC: Morgan Guaranty
Trust*........................... 600
--------
Kentucky (2.3%):
3,100 Lexington-Fayette Urban County
Airport Corp. Revenue, 1st
Mortgage, Series A, 4.60%,
7/1/13, MBIA*.................... 3,100
6,200 Lexington-Fayette Urban County
Airport Corp. Revenue, 1st
Mortgage, Series C, 4.60%,
7/1/13, MBIA*.................... 6,200
--------
9,300
--------
Louisiana (0.6%):
2,300 Plaquemines Parish Environmental
Revenue, BP Co., AMT, 4.70%,
5/1/25*.......................... 2,300
--------
Michigan (0.0%):
200 Delta County Economic Development
Corporation, Environmental
Improvement Revenue, 4.65%,
12/1/23*......................... 200
--------
Nevada (0.1%):
600 Clark County, IDR, AMT, 4.70%,
12/1/22, LOC: ABN AMRO*.......... 600
--------
New York (2.7%):
11,000 New York City Transitional Finance
Authority, Series A16, Reg D,
4.85%, 11/1/00, LOC: Bayerische
Hypotheken* (b).................. 11,000
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
North Carolina (0.5%):
$ 1,900 Person County, Industrial
Facilities & Pollution Control
Financing Authority, Revenue,
4.80%, 11/1/16, LOC: SunTrust
Bank*............................ $ 1,900
--------
Ohio (1.7%):
2,600 Cuyahoga County Hospital Revenue,
Improvements University Hospital
Cleveland, 4.45%, 1/1/16, LOC:
Chase Manhattan Bank*............ 2,600
4,200 Solid Waste Bonds, Revenue, Series
1999, BP Exploration & Oil
Project, 4.70%, 8/1/34*.......... 4,200
--------
6,800
--------
Texas (4.6%):
300 Brazos River Authority, PCR, AMT,
4.70%, Var, 4/1/30, LOC: Morgan
Guaranty*........................ 300
8,000 Brazos River Authority, PCR, AMT,
4.70%, 3/1/26, LOC: AMBAC*....... 8,000
3,800 Brazos River Authority, PCR, AMT,
Utilities Electric Company,
Series B, 4.80%, 6/1/30,
AMBAC*........................... 3,800
3,000 Brazos River Harbor Navigation
District, Revenue, Dow Chemical
Company Project, 4.75%,
5/1/23*.......................... 3,000
3,700 Gulf Coast Waste Disposal
Authority, PCR, Amoco Oil Company
Project, 4.70%, 5/1/23*.......... 3,700
--------
18,800
--------
Virginia (0.2%):
700 King George County, IDA, Exempt
Facilities Revenue, Birchwood
Power Partners, AMT, 4.70%,
3/1/27, LOC: Credit Suisse First
Boston*.......................... 700
--------
Total Daily Demand Notes 52,700
--------
MUNICIPAL BONDS (8.6%):
Colorado (2.9%):
11,800 Tax & Revenue Anticipation Notes,
5.00%, 6/27/01................... 11,874
--------
Kentucky (1.2%):
5,000 Kentucky Asset / Liability
Community General Fund, Revenue,
Series A, 5.25%, 6/27/01......... 5,033
--------
Ohio (4.5%):
15,000 Housing Finance Agency Residential
Mortgage, Revenue, 2000 Series
A-2, AMT, 4.05%, 9/1/00.......... 15,001
</TABLE>
Continued
12
<PAGE> 15
One Group Mutual Funds
Municipal Cash Management 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>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 3,400 Water Development Authority, PCR,
Ohio Edison Company, Series C,
3.75%, 9/1/18, LOC: Barclay's
Bank, PLC*....................... $ 3,400
--------
18,401
--------
Total Municipal Bonds 35,308
--------
TAX FREE COMMERCIAL PAPER (9.2%):
Alabama (1.7%):
7,000 Phenix County, IDA, Revenue, Mead
Paper, 4.30%, 8/21/00, LOC: ABN
AMRO............................. 7,000
--------
Alaska (1.2%):
5,000 Valdez Marine Terminal, Series
94-A, 4.40%, 7/21/00, GTY:
ARCO............................. 5,000
--------
Texas (4.7%):
6,500 Houston Airport System Bonds
Revenue, 4.25%, 10/2/00, LOC:
Westdeutsche Landesbank.......... 6,500
5,000 Public Finance Authority, GO,
4.20%, 8/28/00................... 5,000
2,600 Public Finance Authority, GO,
4.10%, 7/10/00, LOC: Helaba,
Liquidity: Texas State
Treasury......................... 2,600
5,000 Public Finance Authority, GO,
Series 93A, 3.85%, 8/3/00........ 5,000
--------
19,100
--------
Washington (1.6%):
6,500 Seattle Municipal Light & Power,
Revenue, Series 91b, 4.25%,
10/11/00......................... 6,500
--------
Total Tax Free Commercial Paper 37,600
--------
WEEKLY DEMAND NOTES (68.2%):
Alabama (0.2%):
900 Decatur IDB, Solid Waste Disposal,
Revenue, AMT, Trico Steel
Company, 4.90%, 1/1/27, LOC:
Chase Manhattan Bank*............ 900
--------
Arizona (2.7%):
11,100 Coconino County, PCR, Arizona
Public Service, Navajo Project,
Series A, 4.85%, 10/1/29*........ 11,100
--------
Arkansas (1.3%):
1,000 Clark County Solid Waste Disposal
Revenue, 5.05%, 8/1/22, Reynolds
Metals Co. Project*.............. 1,000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Arkansas, continued:
$ 4,500 Development Finance Authority,
4.90%, 12/1/19, LOC: Bank Of
America*......................... $ 4,500
--------
5,500
--------
Colorado (5.7%):
5,500 Denver City and County Airport,
Revenue, AMT, 5.10%, 11/15/23,
SPA: Bank of New York* (b)....... 5,500
17,800 Housing Finance Authority, Class I,
Series 2000 A-1, 4.75%, 10/1/30,
FHLB*............................ 17,800
--------
23,300
--------
Delaware (5.6%):
22,900 Economic Development Authority
Revenue, Clean Power Project,
Series A, 4.95%, 8/1/29, LOC:
CIBC*............................ 22,900
--------
Florida (4.6%):
10,000 Capital Trust Agency, Multi-Family
Housing, Revenue, Community Loan
Program, Series 1999 A, 4.92%,
12/1/32, National Union Fire
Insurance Company* (b)........... 10,000
8,800 Gulf Breeze, Healthcare Facilities,
Revenue, Heritage Health Care
Project, 4.92%, 1/1/24, LOC:
Anchor National Life Insurance
Co.*............................. 8,800
--------
18,800
--------
Georgia (5.1%):
5,000 Clayton County Development
Authority, Special Facilities
Revenue, Delta Airlines, Series
C, 4.90%, 5/1/35, LOC:
Commerzbank*..................... 5,000
10,800 Columbus Hospital Authority,
Revenue, 4.80%, 1/1/18, LOC:
SunTrust Bank*................... 10,800
5,000 Unlimited Bonds, GO, Series 188,
4.87%, 11/1/13* (b).............. 5,000
--------
20,800
--------
Illinois (2.1%):
1,038 Chicago O'Hare International
Airport Revenue, Second Lien,
Series B, 3.60%, 1/1/18, LOC:
Societe Generale*................ 1,038
</TABLE>
Continued
13
<PAGE> 16
One Group Mutual Funds
Municipal Cash Management 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:
Illinois, continued:
$ 7,350 Harvard Multi-Family Housing,
Revenue, AMT, Northfield Court
Project, 4.80%, 12/1/25, LOC:
LaSalle National Bank*........... $ 7,350
--------
8,388
--------
Iowa (2.6%):
10,555 Iowa Finance Authority Revenue,
Private School Facilities, 4.80%,
6/1/19, LOC: Allied Irish
Bank*............................ 10,555
--------
Michigan (8.3%):
2,900 Higher Education Student Loan,
Series X11-B, 4.80%, 10/1/13,
AMBAC*........................... 2,900
8,000 Hospital Financing Authority
Revenue, Hospital Equipment Loan
Program, Series A, 4.90%,
12/1/23, LOC: National City Bank
Michigan*........................ 8,000
900 Housing Development Authority
Revenue, 4.85%, 4/1/19*.......... 900
290 Strategic Fund Limited Obligation,
Pyper Products Corp. Project,
4.95%, 10/1/18, LOC: Comerica
Bank*............................ 290
2,000 Strategic Fund Limited, AMT, 4.80%,
10/1/29, LOC: Comerica Bank*..... 2,000
600 Strategic Fund Solid Waste
Disposal, Revenue, AMT, Grayling
Generating Project, 4.85%,
1/1/14, LOC: Barclay's Bank, New
York*............................ 600
10,900 Strategic Fund, Van Andel Research
Institute, 4.80%, 3/1/39, LOC:
Michigan National Bank*.......... 10,900
7,000 Strategic Fund, Van Andel Research
Institute, 4.80%, 11/1/27,
AMBAC*........................... 7,000
1,000 Wayne County Airport Revenue, AMT,
4.80%, 12/1/16, LOC: Bayerische
Landesbank*...................... 1,000
--------
33,590
--------
Minnesota (0.4%):
1,800 Higher Education Facilities
Authority, Carleton College,
Series 5G, 4.60%, 11/1/29, LOC:
Norwest Bank*.................... 1,800
--------
New Mexico (1.0%):
4,200 Albuquerque Airport Revenue, Series
A, 4.80%, 7/1/17, LOC: Bayerische
Landesbank*...................... 4,200
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Ohio (1.2%):
$ 3,100 Air Quality Development Authority,
Revenue, AMT, JMG Funding Limited
Partnership, Series A, 5.00%,
4/1/28, LOC: Societe General*.... $ 3,100
1,965 Housing Finance Agency, Revenue,
Residential Mortgage Revenue
Bonds, Series 99C, 4.95%,
3/1/21* (b)...................... 1,965
--------
5,065
--------
Pennsylvania (3.4%):
7,505 Allegheny County, IDA, Revenue,
4.85%, 10/1/25, LOC: PNC Bank*... 7,505
3,100 Economic Development Financing
Authority, Revenue, Niagara
Plastics Company, Project D,
4.95%, 12/1/17, LOC: PNC Bank*... 3,100
3,500 Indiana County, IDA, PCR, AMT,
Conemaugh Project, Series A,
4.80%, 6/1/27*................... 3,500
--------
14,105
--------
South Carolina (1.5%):
6,000 State School Facilities Bonds, GO,
Series 2000A, 4.82%, 1/1/12, LIQ:
Merrill Lynch* (b)............... 6,000
--------
Tennessee (5.7%):
5,000 Clarksville Public Building
Authority, Revenue, Pooled
Financing Tennessee Municipal
Bond Fund, 4.75%, 6/1/29, LOC:
Bank of America*................. 5,000
15,000 Clarksville Public Building
Financing Authority, Pooled
Financing Tennessee Municipal
Building Fund, 4.75, 6/1/24, LOC:
Bank of America*................. 15,000
3,300 Memphis Shelby County, IDR, 4.85%,
4/1/05, LOC: Nationsbank*........ 3,300
--------
23,300
--------
Texas (10.4%):
1,000 Capital Health Facilities
Development Corp., 4.80%,
12/1/16, LOC: Credit Suisse First
Boston*.......................... 1,000
7,000 Dallas Fort Worth International
Airport Revenue, AMT, 4.90%,
11/1/20, FGIC* (b)............... 7,000
</TABLE>
Continued
14
<PAGE> 17
One Group Mutual Funds
Municipal Cash Management 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:
$ 3,700 Denton County Industrial
Development Corp., Revenue, Hydro
Conduit Corp., 4.90%, 10/11/29,
LOC: Union Bank of
Switzerland*..................... $ 3,700
20,000 Port Arthur Navigation District,
Environmental Facilities,
Revenue, Motiva Enterprises LLC
Project, 4.95%, 12/1/27*......... 20,000
5,500 South Texas Higher Education
Authority, Series Z, 4.80%,
12/1/03, MBIA*................... 5,500
5,000 South Texas Higher Education
Authority, Revenue, AMT, 4.80%,
12/1/27, MBIA*................... 5,000
--------
42,200
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
--------- ----------------------------------- ---------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
West Virginia (2.6%):
$10,800 Putnam County Solid Waste Disposal,
Revenue Bonds, AMT, Toyota Motor
Manufacturing Project, Series A,
4.90%, 8/1/29*................... $ 10,800
--------
Wisconsin (3.8%):
15,750 Milwaukee Short-Term Promissory
Notes, Series 2000FR-A8, RANS,
Trust Receipts, 5.00%, 2/22/01,
LIQ: Bank Of New York* (b)....... 15,750
--------
Total Weekly Demand Notes 279,053
--------
Total (Amortized Cost $424,691) (a) $424,691
========
</TABLE>
------------
Percentages indicated are based on net assets of $409,129.
(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 $62,215 or 15.21% 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.
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ARCO Supported by ARCO
CIBC Canadian Imperial Bank of Commerce
FGIC Insured by Financial Guaranty Insurance Corp.
FHLB Federal Home Loan Bank
FSA Supported by Federal Security Assurance
GO General Obligation
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
RANS Revenue Anticipation Notes
SPA Standby Purchase Agreement
</TABLE>
See notes to financial statements.
15
<PAGE> 18
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
TREASURY U.S. GOVERNMENT TREASURY MUNICIPAL
CASH PRIME CASH SECURITIES CASH CASH CASH
MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND FUND FUND
------------ ------------ --------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at amortized cost................ $2,407,428 $749,148 $2,003,212 $423,702 $424,691
Cash.......................................... 51 -- -- -- 21
Interest receivable........................... 15,486 2,256 4,177 1,027 2,779
Receivable for capital shares issued.......... 48 -- -- -- --
Deferred organization cost.................... -- -- -- 10 9
Prepaid expenses and other assets............. 8 4 7 4 4
---------- -------- ---------- -------- --------
TOTAL ASSETS.................................. 2,423,021 751,408 2,007,396 424,743 427,504
---------- -------- ---------- -------- --------
LIABILITIES:
Dividends payable............................. 12,059 2,888 10,026 2,065 1,331
Payable to brokers for investments
purchased................................... -- 49,274 -- -- 16,908
Accrued expenses and other payables:
Investment advisory fees.................... 307 74 279 43 45
Administration fees......................... 148 41 125 26 25
Distribution fees........................... 317 113 248 47 2
Other....................................... 312 156 163 58 64
---------- -------- ---------- -------- --------
TOTAL LIABILITIES............................. 13,143 52,546 10,841 2,239 18,375
---------- -------- ---------- -------- --------
NET ASSETS:
Capital....................................... 2,410,081 698,828 1,996,803 422,503 409,129
Undistributed (distributions in excess of) net
investment income........................... -- -- -- -- --
Accumulated undistributed net realized gains
(losses) from investment transactions....... (203) 34 (248) 1 --
---------- -------- ---------- -------- --------
NET ASSETS.................................... $2,409,878 $698,862 $1,996,555 $422,504 $409,129
========== ======== ========== ======== ========
NET ASSETS:
Class I..................................... $ 815,933 $111,912 $ 788,464 $198,616 $397,248
Class A..................................... 1,593,945 586,950 1,208,091 223,888 11,881
---------- -------- ---------- -------- --------
Total......................................... $2,409,878 $698,862 $1,996,555 $422,504 $409,129
========== ======== ========== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST
(SHARES):
Class I..................................... 816,159 111,910 788,781 198,616 397,248
Class A..................................... 1,594,083 586,917 1,208,156 223,887 11,880
---------- -------- ---------- -------- --------
Total......................................... 2,410,242 698,827 1,996,937 422,503 409,128
========== ======== ========== ======== ========
Net Asset Value:
Offering and redemption price per share
(Class I and Class A)..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ======== ========== ======== ========
</TABLE>
See notes to financial statements.
16
<PAGE> 19
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY U.S. GOVERNMENT TREASURY MUNICIPAL
CASH PRIME CASH SECURITIES CASH CASH CASH
MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT MANAGEMENT
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND FUND FUND
------------ ------------ --------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income...................... $ 75,284 $ 6,856 $ 82,686 $19,087 $18,105
Discount accretion................... 69,842 26,511 20,165 2,020 --
Premium amortization................. (36) (712) -- (573) (180)
Dividend income...................... -- -- -- -- 89
-------- ------- -------- ------- -------
Total Income......................... 145,090 32,655 102,851 20,534 18,014
-------- ------- -------- ------- -------
EXPENSES:
Investment advisory fees............. 4,961 1,242 3,602 747 968
Administration fees.................. 4,001 1,002 2,905 602 781
Distribution fees (Class A).......... 3,732 1,239 2,134 490 32
Custodian fees....................... 133 41 114 37 34
Legal and audit fees................. 55 37 46 15 19
Trustees' fees and expenses.......... 65 25 47 11 15
Transfer agent fees.................. 239 8 18 4 5
Registration and filing fees......... 37 36 57 21 26
Organization costs................... 19 7 18 5 4
Printing costs....................... 38 12 29 4 7
Interest expense..................... -- -- -- -- 1
Other................................ 127 76 110 33 34
-------- ------- -------- ------- -------
Total expenses before waivers........ 13,407 3,725 9,080 1,969 1,926
Less waivers......................... (1,024) (320) (643) (178) (207)
-------- ------- -------- ------- -------
Net Expenses......................... 12,383 3,405 8,437 1,791 1,719
-------- ------- -------- ------- -------
Net Investment Income................ 132,707 29,250 94,414 18,743 16,295
-------- ------- -------- ------- -------
REALIZED GAINS (LOSSES) FROM
INVESTMENTS:
Net realized gains (losses) from
investment transactions............ (1) 70 150 3 --
-------- ------- -------- ------- -------
Change in net assets resulting from
operations......................... $132,706 $29,320 $ 94,564 $18,746 $16,295
======== ======= ======== ======= =======
</TABLE>
See notes to financial statements.
17
<PAGE> 20
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
-------------------------------------- ------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 2000 1999 (b) 1998
---------- ---------- ------------ -------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income........................ $ 132,707 $ 58,397 $ 110,251 $ 29,250 $ 11,502 $ 17,547
Net realized gains (losses) from investment
transactions............................... (1) -- --(c) 70 (15) --(c)
---------- ---------- ---------- -------- -------- --------
Change in net assets resulting from operations... 132,706 58,397 110,251 29,320 11,487 17,547
---------- ---------- ---------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income................... (54,082) (26,385) (51,234) (6,152) (2,904) (3,799)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income................... (78,787) (32,012) (59,017) (23,120) (8,599) (13,748)
---------- ---------- ---------- -------- -------- --------
Change in net assets from shareholder
distributions.................................. (132,869) (58,397) (110,251) (29,272) (11,503) (17,547)
---------- ---------- ---------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions................................... 202,405 (390,236) 899,839 98,989 (59,232) 334,670
---------- ---------- ---------- -------- -------- --------
Change in net assets............................. 202,242 (390,236) 899,839 99,037 (59,248) 334,670
NET ASSETS:
Beginning of period.......................... 2,207,636 2,597,872 1,698,033 599,825 659,073 324,403
---------- ---------- ---------- -------- -------- --------
End of period................................ $2,409,878 $2,207,636 $2,597,872 $698,862 $599,825 $659,073
========== ========== ========== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES CASH MANAGEMENT
MONEY MARKET FUND
--------------------------------------
YEAR SIX MONTHS YEAR
ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (d) 1998
---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income........................ $ 94,414 $ 34,518 $ 69,396
Net realized gains (losses) from investment
transactions............................... 150 109 4
---------- ---------- ----------
Change in net assets resulting from operations... 94,564 34,627 69,400
---------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income................... (50,546) (21,361) (47,200)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income................... (44,004) (13,157) (22,196)
---------- ---------- ----------
Change in net assets from shareholder
distributions.................................. (94,550) (34,518) (69,396)
---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions... 372,635 46,197 685,568
---------- ---------- ----------
Change in net assets............................. 372,649 46,306 685,572
NET ASSETS:
Beginning of period.......................... 1,623,906 1,577,600 892,028
---------- ---------- ----------
End of period................................ $1,996,555 $1,623,906 $1,577,600
========== ========== ==========
</TABLE>
------------
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus Cash
Management Fund became the Cash Management Money Market Fund. The
Statements of Changes in Net Assets for the periods prior to March 29,
1999, represent the Pegasus Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Prime Cash Management Fund became the Treasury Prime Cash
Management Money Market Fund. The Statements of Changes in Net Assets for
the periods prior to March 29, 1999, represent the Pegasus Treasury Prime
Cash Management Fund.
(c) Amount is less than $1,000.
(d) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus U.S.
Government Securities Cash Management Fund became the U.S. Government
Securities Cash Management Money Market Fund. The Statements of Changes in
Net Assets for the periods prior to March 29, 1999, represent the Pegasus
U.S. Government Securities Cash Management Fund.
See notes to financial statements.
18
<PAGE> 21
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY MUNICIPAL
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
------------------------------------ ------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 2000 1999 (b) 1998
-------- ---------- ------------ -------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ 18,743 $ 9,158 $ 15,260 $ 16,295 $ 8,445 $ 15,242
Net realized gains (losses) from
investment transactions............ 3 -- -- -- 13 --
-------- -------- -------- -------- --------- --------
Change in net assets resulting from
operations............................. 18,746 9,158 15,260 16,295 8,458 15,242
-------- -------- -------- -------- --------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........... (9,121) (2,373) (857) (15,909) (7,650) (13,432)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........... (9,624) (6,785) (14,403) (399) (795) (1,810)
-------- -------- -------- -------- --------- --------
Change in net assets from shareholder
distributions.......................... (18,745) (9,158) (15,260) (16,308) (8,445) (15,242)
-------- -------- -------- -------- --------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions........................... 100,333 (41,041) 156,639 (83,959) (156,757) 391,606
-------- -------- -------- -------- --------- --------
Change in net assets..................... 100,334 (41,041) 156,639 (83,972) (156,744) 391,606
NET ASSETS:
Beginning of period.................. 322,170 363,211 206,572 493,101 649,845 258,239
-------- -------- -------- -------- --------- --------
End of period........................ $422,504 $322,170 $363,211 $409,129 $ 493,101 $649,845
======== ======== ======== ======== ========= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Cash Management Fund became the Treasury Cash Management Money
Market Fund. The Statements of Changes in Net Assets for the periods prior
to March 29, 1999, represent the Pegasus Treasury Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Municipal Cash Management Fund became the Municipal Cash Management Money
Market Fund. The Statements of Changes in Net Assets for the periods prior
to March 29, 1999, represent the Pegasus Municipal Cash Management Fund.
See notes to financial statements.
19
<PAGE> 22
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY PRIME
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- ---------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 2000 1999 (b) 1998
----------- ----------- ------------ ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................. $ 6,530,794 $5,611,735 $10,320,125 $ 399,225 $ 208,525 $ 437,701
Proceeds from shares issued in conversion... -- -- 149,308 -- -- --
Dividends reinvested........................ 4,777 2,413 4,513 2,047 1,233 785
Cost of shares redeemed..................... (6,667,346) (5,742,417) (10,103,171) (415,013) (273,738) (339,669)
----------- ----------- ------------ ----------- ---------- -----------
Change in net assets from Class I capital
transactions.............................. $ (131,775) $ (128,269) $ 370,775 $ (13,741) $ (63,980) $ 98,817
=========== =========== ============ =========== ========== ===========
CLASS A SHARES:
Proceeds from shares issued................. $ 4,457,896 $3,224,803 $ 5,608,606 $ 2,268,697 $1,001,845 $ 1,728,824
Dividends reinvested........................ 10 -- 3 34 -- 119
Cost of shares redeemed..................... (4,123,726) (3,486,770) (5,079,545) (2,156,001) (997,097) (1,493,090)
----------- ----------- ------------ ----------- ---------- -----------
Change in net assets from Class A capital
transactions.............................. $ 334,180 $ (261,967) $ 529,064 $ 112,730 $ 4,748 $ 235,853
=========== =========== ============ =========== ========== ===========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued...................................... 6,530,794 5,611,735 10,320,125 399,225 208,525 437,701
Issued in conversion........................ -- -- 149,308 -- -- --
Reinvested.................................. 4,777 2,413 4,513 2,047 1,233 785
Redeemed.................................... (6,667,346) (5,742,417) (10,103,171) (415,013) (273,738) (339,669)
----------- ----------- ------------ ----------- ---------- -----------
Change in Class I Shares.................... (131,775) (128,269) 370,775 (13,741) (63,980) 98,817
=========== =========== ============ =========== ========== ===========
CLASS A SHARES:
Issued...................................... 4,457,896 3,224,803 5,608,606 2,268,697 1,001,844 1,728,824
Reinvested.................................. 10 -- 3 34 -- 119
Redeemed.................................... (4,123,726) (3,486,770) (5,079,545) (2,156,001) (997,097) (1,493,090)
----------- ----------- ------------ ----------- ---------- -----------
Change in Class A Shares.................... 334,180 (261,967) 529,064 112,730 4,747 235,853
=========== =========== ============ =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES CASH MANAGEMENT
MONEY MARKET FUND
----------------------------------------
YEAR SIX MONTHS YEAR
ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (c) 1998
----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................. $ 6,152,171 $3,179,130 $ 5,277,035
Dividends reinvested........................ 2,390 911 1,541
Cost of shares redeemed..................... (6,222,576) (3,341,480) (4,795,113)
----------- ----------- ------------
Change in net assets from Class I capital
transactions.............................. $ (68,015) $ (161,439) $ 483,463
=========== =========== ============
CLASS A SHARES:
Proceeds from shares issued................. $ 4,087,994 $1,742,612 $ 2,704,680
Dividends reinvested........................ 71 -- 143
Cost of shares redeemed..................... (3,647,415) (1,534,976) (2,502,717)
----------- ----------- ------------
Change in net assets from Class A capital
transactions.............................. $ 440,650 $ 207,636 $ 202,106
=========== =========== ============
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued...................................... 6,152,171 3,179,130 5,277,035
Reinvested.................................. 2,390 911 1,541
Redeemed.................................... (6,222,576) (3,341,481) (4,795,113)
----------- ----------- ------------
Change in Class I Shares.................... (68,015) (161,440) 483,463
=========== =========== ============
CLASS A SHARES:
Issued...................................... 4,087,994 1,742,611 2,704,680
Reinvested.................................. 71 -- 143
Redeemed.................................... (3,647,415) (1,534,976) (2,502,717)
----------- ----------- ------------
Change in Class A Shares.................... 440,650 207,635 202,106
=========== =========== ============
</TABLE>
------------
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus Cash
Management Fund became the Cash Management Money Market Fund. The Schedules
of Capital Stock Activity for the periods prior to March 29, 1999,
represent the Pegasus Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Prime Cash Management Fund became the Treasury Prime Cash
Management Money Market Fund. The Schedules of Capital Stock Activity for
the periods prior to March 29, 1999, represent the Pegasus Treasury Prime
Cash Management Fund.
(c) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus U.S.
Government Securities Cash Management Fund became the U.S. Government
Securities Cash Management Money Market Fund. The Schedules of Capital
Stock Activity for the periods prior to March 29, 1999, represent the
Pegasus U.S. Government Securities Cash Management Fund.
See notes to financial statements.
20
<PAGE> 23
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
TREASURY MUNICIPAL
CASH MANAGEMENT CASH MANAGEMENT
MONEY MARKET FUND MONEY MARKET FUND
---------------------------------------- -------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 2000 1999 (b) 1998
----------- ----------- ------------ --------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued...... $ 679,020 $ 371,488 $ 73,530 $ 708,790 $ 448,773 $ 1,314,947
Proceeds from shares issued in
conversion..................... -- -- -- -- -- 178,164
Dividends reinvested............. 120 40 36 35 143 95
Cost of shares redeemed.......... (671,705) (212,543) (42,220) (788,366) (560,729) (1,106,309)
----------- ----------- ----------- --------- --------- -----------
Change in net assets from Class I
capital transactions........... $ 7,435 $ 158,985 $ 31,346 $ (79,541) $(111,813) $ 386,897
=========== =========== =========== ========= ========= ===========
CLASS A SHARES:
Proceeds from shares issued...... $ 1,371,090 $1,134,758 $ 1,878,719 $ 122,681 $ 239,306 $ 477,944
Dividends reinvested............. -- -- -- --(c) -- --
Cost of shares redeemed.......... (1,278,192) (1,334,784) (1,753,426) (127,099) (284,250) (473,235)
----------- ----------- ----------- --------- --------- -----------
Change in net assets from Class A
capital transactions........... $ 92,898 $ (200,026) $ 125,293 $ (4,418) $ (44,944) $ 4,709
=========== =========== =========== ========= ========= ===========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued........................... 679,020 371,489 73,530 708,790 448,773 1,314,947
Issued in conversion............. -- -- -- -- -- 178,164
Reinvested....................... 120 40 36 35 143 95
Redeemed......................... (671,705) (212,543) (42,220) (788,366) (560,729) (1,106,309)
----------- ----------- ----------- --------- --------- -----------
Change in Class I Shares......... 7,435 158,986 31,346 (79,541) (111,813) 386,897
=========== =========== =========== ========= ========= ===========
CLASS A SHARES:
Issued........................... 1,371,090 1,134,758 1,878,719 122,681 239,305 477,944
Reinvested....................... -- -- -- --(c) -- --
Redeemed......................... (1,278,192) (1,334,784) (1,753,426) (127,099) (284,250) (473,235)
----------- ----------- ----------- --------- --------- -----------
Change in Class A Shares......... 92,898 (200,026) 125,293 (4,418) (44,945) 4,709
=========== =========== =========== ========= ========= ===========
</TABLE>
------------
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Cash Management Fund became the Treasury Cash Management Money
Market Fund. The Schedules of Capital Stock Activity for the periods prior
to March 29, 1999, represent the Pegasus Treasury Cash Management Fund.
(b) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Municipal Cash Management Fund became the Municipal Cash Management Money
Market Fund. The Schedules of Capital Stock Activity for the periods prior
to March 29, 1999, represent the Pegasus Municipal Cash Management Fund.
(c) Amount less than 1,000.
See notes to financial statements.
21
<PAGE> 24
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
------------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------------
YEAR SIX MONTHS JULY 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ---------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- ---------- -------- -------- --------
Investment Activities:
Net investment income............. 0.055 0.023 0.052 0.053 0.051 0.028
Net realized gains (losses) from
investments..................... --(c) -- --(c) -- --(c) --(c)
-------- -------- ---------- -------- -------- --------
Total from Investment
Activities.................... 0.055 0.023 0.052 0.053 0.051 0.028
-------- -------- ---------- -------- -------- --------
Distributions:
Net investment income............. (0.055) (0.023) (0.052) (0.053) (0.051) (0.028)
-------- -------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ========== ======== ======== ========
Total Return........................ 5.65% 2.35%(d) 5.36% 5.41% 5.23% 2.80%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $815,933 $947,776 $1,076,045 $705,270 $885,946 $389,127
Ratio of expenses to average net
assets.......................... 0.35% 0.34%(e) 0.35% 0.35% 0.35% 0.35%(e)
Ratio of net investment income to
average net assets.............. 5.47% 4.69%(e) 5.21% 5.36% 5.19% 5.51%(e)
Ratio of expenses to average net
assets*......................... 0.39% 0.40%(e) 0.39% 0.38% 0.42% 0.43%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus Cash
Management Fund became the Cash Management Money Market Fund. The Financial
Highlights for the periods prior to March 29, 1999, represent the Pegasus
Cash Management Fund.
(b) Effective July 1, 1995, the Fund changed its fiscal year end from June 30
to December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
22
<PAGE> 25
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------------------------
YEAR SIX MONTHS JULY 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
---------- ---------- ---------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- -------- -------- --------
Investment Activities:
Net investment income............ 0.053 0.022 0.050 0.050 0.048 0.026
Net realized gains (losses) from
investments.................... --(c) -- --(c) -- --(c) --(c)
---------- ---------- ---------- -------- -------- --------
Total from Investment
Activities................... 0.053 0.022 0.050 0.050 0.048 0.026
---------- ---------- ---------- -------- -------- --------
Distributions:
Net investment income............ (0.053) (0.022) (0.050) (0.050) (0.048) (0.026)
---------- ---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ======== ======== ========
Total Return....................... 5.39% 2.22%(d) 5.10% 5.15% 4.98% 2.68%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $1,593,945 $1,259,860 $1,521,827 $992,763 $232,249 $121,750
Ratio of expenses to average net
assets......................... 0.60% 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e)
Ratio of net investment income to
average net assets............. 5.27% 4.45%(e) 5.04% 5.11% 4.94% 5.25%(e)
Ratio of expenses to average net
assets*........................ 0.64% 0.65%(e) 0.64% 0.63% 0.67% 0.69%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus Cash
Management Fund became the Cash Management Money Market Fund. The Financial
Highlights for the periods prior to March 29, 1999, represent the Pegasus
Cash Management Fund.
(b) Effective July 1, 1995, the Fund changed its fiscal year end from June 30
to December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
23
<PAGE> 26
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------------------
YEAR SIX MONTHS MARCH 22,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ---------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- -------- ------- ------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income................. 0.049 0.021 0.047 0.048 0.047 0.040
Net realized gains (losses) from
investments......................... --(c) --(c) -- -- --(c) --
-------- -------- -------- ------- ------- -------
Total from Investment Activities.... 0.049 0.021 0.047 0.048 0.047 0.040
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income................. (0.049) (0.021) (0.047) (0.048) (0.047) (0.040)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======= ======= =======
Total Return............................ 5.01% 2.12%(d) 4.76% 4.90% 4.86% 4.06%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $111,912 $125,645 $189,630 $90,813 $70,120 $14,008
Ratio of expenses to average net
assets.............................. 0.35% 0.35%(e) 0.35% 0.35% 0.35% 0.35%(e)
Ratio of net investment income to
average net assets.................. 4.89% 4.24%(e) 4.55% 4.79% 4.84% 5.16%(e)
Ratio of expenses to average net
assets*............................. 0.40% 0.42%(e) 0.40% 0.40% 0.46% 1.23%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Prime Cash Management Fund became the Treasury Prime Cash
Management Money Market Fund. The Financial Highlights for the periods
prior to March 29, 1999, represent the Pegasus Treasury Prime Cash
Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
24
<PAGE> 27
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY PRIME CASH MANAGEMENT MONEY MARKET FUND
----------------------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------------------
YEAR SIX MONTHS MARCH 22,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ------------------------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income............... 0.046 0.020 0.044 0.045 0.045 0.038
Net realized gains (losses) from
investments....................... --(c) --(c) -- -- -- --
-------- -------- -------- -------- -------- --------
Total from Investment
Activities...................... 0.046 0.020 0.044 0.045 0.045 0.038
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income............... (0.046) (0.020) (0.044) (0.045) (0.045) (0.038)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total Return.......................... 4.75% 2.00%(d) 4.50% 4.64% 4.60% 3.86%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $586,950 $474,180 $469,443 $233,590 $215,040 $130,559
Ratio of expenses to average net
assets............................ 0.60% 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e)
Ratio of net investment income to
average net assets................ 4.66% 3.99%(e) 4.35% 4.54% 4.59% 4.72%(e)
Ratio of expenses to average net
assets*........................... 0.65% 0.67%(e) 0.65% 0.65% 0.71% 0.74%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Prime Cash Management Fund became the Treasury Prime Cash
Management Money Market Fund. The Financial Highlights for the periods
prior to March 29, 1999, represent the Pegasus Treasury Prime Cash
Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
25
<PAGE> 28
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
------------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------------
YEAR SIX MONTHS JUNE 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ---------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- ---------- -------- -------- --------
Investment Activities:
Net investment income............. 0.053 0.023 0.051 0.052 0.050 0.032
Net realized gains (losses) from
investments..................... --(c) --(c) -- --(c) --(c) --(c)
-------- -------- ---------- -------- -------- --------
Total from Investment
Activities.................... 0.053 0.023 0.051 0.052 0.050 0.032
-------- -------- ---------- -------- -------- --------
Distributions:
Net investment income............. (0.053) (0.023) (0.051) (0.052) (0.050) (0.032)
-------- -------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ========== ======== ======== ========
Total Return........................ 5.47% 2.28%(d) 5.26% 5.34% 5.15% 3.24%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $788,464 $856,449 $1,017,830 $534,364 $369,163 $489,395
Ratio of expenses to average net
assets.......................... 0.35% 0.35%(e) 0.35% 0.35% 0.35% 0.35%(e)
Ratio of net investment income to
average net assets.............. 5.33% 4.56%(e) 5.11% 5.27% 5.09% 5.46%(e)
Ratio of expenses to average net
assets*......................... 0.39% 0.38%(e) 0.37% 0.36% 0.43% 0.42%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus U.S.
Government Securities Cash Management Fund became the U.S. Government
Securities Cash Management Money Market Fund. The Financial Highlights for
the periods prior to March 29, 1999, represent the Pegasus U.S. Government
Securities Cash Management Fund.
(b) Effective June 1, 1995, the fund changed its fiscal year end from May 31 to
December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
26
<PAGE> 29
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT MONEY MARKET FUND
------------------------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------------------------
YEAR SIX MONTHS JUNE 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ------------------------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
---------- ---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- -------- -------- -------- -------- -------
Investment Activities:
Net investment income.............. 0.051 0.021 0.049 0.050 0.048 0.031
Net realized gains (losses) from
investments...................... --(c) --(c) -- --(c) --(c) --(c)
---------- -------- -------- -------- -------- -------
Total from Investment
Activities..................... 0.051 0.021 0.049 0.050 0.048 0.031
---------- -------- -------- -------- -------- -------
Distributions:
Net investment income.............. (0.051) (0.021) (0.049) (0.050) (0.048) (0.031)
---------- -------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ======== ======== ======== ======== =======
Total Return......................... 5.21% 2.16%(d) 5.00% 5.08% 4.89% 3.09%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $1,208,091 $767,457 $559,770 $357,663 $207,046 $56,000
Ratio of expenses to average net
assets........................... 0.60% 0.60%(e) 0.60% 0.60% 0.60% 0.60%(e)
Ratio of net investment income to
average net assets............... 5.15% 4.31%(e) 4.87% 5.02% 4.84% 5.17%(e)
Ratio of expenses to average net
assets*.......................... 0.64% 0.63%(e) 0.62% 0.61% 0.68% 0.69%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus U.S.
Government Securities Cash Management Fund became the U.S. Government
Securities Cash Management Money Market Fund. The Financial Highlights for
the periods prior to March 29, 1999, represent the Pegasus U.S. Government
Securities Cash Management Fund.
(b) Effective June 1, 1995, the Fund changed its fiscal year end from May 31 to
December 31.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
27
<PAGE> 30
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT MONEY MARKET FUND
---------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------
YEAR SIX MONTHS YEAR SEPTEMBER 12,
ENDED ENDED ENDED 1997 TO
JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 (a) 1998 1997 (b)
---------- ---------- ------------ -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 1.000 $ 1.000 $ 1.000 $1.000
-------- -------- ------- ------
Investment Activities:
Net investment income........................ 0.051 0.022 0.051 0.016
Net realized and unrealized gains (losses)
from investments.......................... --(c) -- -- --
-------- -------- ------- ------
Total from Investment Activities.......... 0.051 0.022 0.051 0.016
-------- -------- ------- ------
Distributions:
Net investment income........................ (0.051) (0.022) (0.051) (0.016)
-------- -------- ------- ------
NET ASSET VALUE, END OF PERIOD................. $ 1.000 $ 1.000 $ 1.000 $1.000
======== ======== ======= ======
Total Return................................... 5.26% 2.22%(d) 5.20% 5.29%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $198,616 $191,181 $32,196 $ 850
Ratio of expenses to average net assets...... 0.35% 0.35%(e) 0.35% 0.35%(e)
Ratio of net investment income to average net
assets.................................... 5.13% 4.44%(e) 4.97% 5.28%(e)
Ratio of expenses to average net assets*..... 0.40% 0.43%(e) 0.40% 0.41%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Cash Management Fund became the Treasury Cash Management Money
Market Fund. The Financial Highlights for the periods prior to March 29,
1999, represent the Pegasus Treasury Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
28
<PAGE> 31
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY CASH MANAGEMENT MONEY MARKET FUND
---------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------
YEAR SIX MONTHS YEAR SEPTEMBER 12,
ENDED ENDED ENDED 1997 TO
JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 (a) 1998 1997 (b)
---------- ---------- ------------ -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- --------
Investment Activities:
Net investment income........................ 0.049 0.021 0.048 0.015
Net realized and unrealized gains (losses)
from investments.......................... --(c) -- -- --
-------- -------- -------- --------
Total from Investment Activities.......... 0.049 0.021 0.048 0.015
-------- -------- -------- --------
Distributions:
Net investment income........................ (0.049) (0.021) (0.048) (0.015)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ========
Total Return................................... 5.00% 2.10%(d) 4.94% 5.04%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $223,888 $130,989 $331,015 $205,722
Ratio of expenses to average net assets...... 0.60% 0.60%(e) 0.60% 0.60%(e)
Ratio of net investment income to average net
assets.................................... 4.92% 4.19%(e) 4.82% 5.03%(e)
Ratio of expenses to average net assets*..... 0.65% 0.68%(e) 0.65% 0.66%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Treasury Cash Management Fund became the Treasury Cash Management Money
Market Fund. The Financial Highlights for the periods prior to March 29,
1999, represent the Pegasus Treasury Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
29
<PAGE> 32
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT MONEY MARKET FUND
-------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------
YEAR SIX MONTHS YEAR AUGUST 18,
ENDED ENDED ENDED 1997 TO
JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 (a) 1998 1997 (b)
--------- ---------- ------------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- --------
Investment Activities:
Net investment income......................... 0.034 0.014 0.032 0.013
Net realized gains (losses) from
investments................................ -- --(c) -- --
-------- -------- -------- --------
Total from Investment Activities........... 0.034 0.014 0.032 0.013
-------- -------- -------- --------
Distributions:
Net investment income......................... (0.034) (0.014) (0.032) (0.013)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.................. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ========
Total Return.................................... 3.45% 1.39%(d) 3.20% 3.39%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $397,248 $476,802 $588,602 $201,705
Ratio of expenses to average net assets....... 0.35% 0.35%(e) 0.35% 0.35%(e)
Ratio of net investment income to average net
assets..................................... 3.37% 2.77%(e) 3.12% 3.37%(e)
Ratio of expenses to average net assets*...... 0.39% 0.41%(e) 0.39% 0.41%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Municipal Cash Management Fund became the Municipal Cash Management Money
Market Fund. The Financial Highlights for the periods prior to March 29,
1999, represent the Pegasus Municipal Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
30
<PAGE> 33
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL CASH MANAGEMENT MONEY MARKET FUND
--------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------
YEAR SIX MONTHS YEAR AUGUST 18,
ENDED ENDED ENDED 1997 TO
JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 (a) 1998 1997 (b)
---------- ---------- ------------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- -------
Investment Activities:
Net investment income........................ 0.031 0.013 0.029 0.012
Net realized gains (losses) from
investments............................... -- --(c) -- --
------- ------- ------- -------
Total from Investment Activities.......... 0.031 0.013 0.029 0.012
------- ------- ------- -------
Distributions:
Net investment income........................ (0.031) (0.013) (0.029) (0.012)
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................. $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= =======
Total Return................................... 3.19% 1.27%(d) 2.95% 3.14%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $11,881 $16,299 $61,243 $56,534
Ratio of expenses to average net assets...... 0.60% 0.60%(e) 0.60% 0.60%(e)
Ratio of net investment income to average net
assets.................................... 3.12% 2.52%(e) 2.90% 3.12%(e)
Ratio of expenses to average net assets*..... 0.64% 0.66%(e) 0.64% 0.66%(e)
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group Mutual Funds, the Pegasus
Municipal Cash Management Fund became the Municipal Cash Management Money
Market Fund. The Financial Highlights for the periods prior to March 29,
1999, represent the Pegasus Municipal Cash Management Fund.
(b) Period from commencement of operations.
(c) Amount is less than .001.
(d) Not annualized.
(e) Annualized.
See notes to financial statements.
31
<PAGE> 34
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 Cash
Management Money Market Fund, the Treasury Prime Cash Management Money Market
Fund, the U.S. Government Securities Cash Management Money Market Fund, the
Treasury Cash Management Money Market Fund and the Municipal Cash Management
Money Market Fund, (individually, a "Fund"; collectively, the "Funds") only.
Each Fund is a diversified mutual fund.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
SECURITY VALUATION
Securities are valued utilizing the amortized cost method permitted in
accordance with Rule 2a-7 under the 1940 Act. Under the amortized cost
method, discount or premium is amortized on a constant basis to the
maturity of the security. In addition, the Funds may not (a) purchase any
instrument with a remaining maturity greater than 397 days unless such
instrument is subject to a demand feature, or (b) maintain a dollar-
weighted average maturity which exceeds 90 days.
REPURCHASE AGREEMENTS
The Funds (except the Treasury Prime Cash Management Money Market Fund) may
invest in repurchase agreements with institutions that are deemed by Banc
One Investment Advisors Corporation (the "Advisor") to be of good standing
and creditworthy under guidelines established by the Board of Trustees.
Each repurchase agreement is recorded at cost. The Fund requires that the
securities purchased in a repurchase transaction be transferred to the
custodian in a manner sufficient to enable the Fund to obtain those
securities in the event of a counterparty default. The seller, under the
repurchase agreement, is required to maintain the value of the securities
held at not less than the repurchase price, including accrued interest.
Repurchase agreements are considered to be loans by a fund under the 1940
Act.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses on sales of securities are determined on the specific
identification cost method. Net investment income and expenses are
recognized on the accrual basis. Net investment 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.
Continued
32
<PAGE> 35
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly.
Net income for this purpose consists of interest accrued and discount
earned (including both original issue discount and market discount) less
amortization of any market premium and accrued expenses. Net realized
capital gains, if any, are distributed at least annually. Dividends are
declared separately for each class. No class has preferential dividend
rights; differences in per share dividend rates are due to differences in
separate class expenses.
Net investment income and net capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments of expiring capital loss carryforwards and deferrals
of certain losses. Permanent book and tax differences, if any, have been
reclassified among the components of net assets.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions of net investment income and net realized capital gains
sufficient to relieve it from all, or substantially all, federal income
taxes.
DEFERRED ORGANIZATION COSTS
Prior to June 30, 1998, costs incurred by the Trust in connection with its
organization, including the fees and expenses of registering and qualifying
its shares for distribution have been deferred and are being amortized
using the straight-line method over a period of five years beginning with
the commencement of each Fund's operations. All such costs, which are
attributable to more than one Fund of the Trust, have been allocated among
the respective Fund's pro-rata, based on the relative net assets of each
Fund. In the event that any of the initial shares are redeemed during such
period by any holder thereof, the related Fund will be reimbursed by such
holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-four series and six classes of shares: Class I, Class A, Class B, Class
C, Class S and Service Class. Currently, the Trust consists of forty-nine
active funds. The Funds are each authorized to issue Class I and Class A
shares only. Class A shares are subject to initial sales charges, imposed at
the time of purchase, 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 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 0.20% of the average daily net assets of the
Funds.
The Trust and The One Group Services Company (the "Administrator"), a
wholly-owned subsidiary of The BISYS Group, Inc., are parties to an
administration agreement under which the Administrator provides services for
a fee that is computed daily and paid monthly, at an annual rate of 0.20% on
the first $1.5 billion of Trust net
Continued
33
<PAGE> 36
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
assets (excluding the Investor Growth Fund, the Investor Growth & Income
Fund, the Investor Conservative Growth Fund and the Investor Balanced Fund
(the "Investor Funds") and the Treasury Only Money Market Fund, the
Government Money Market Fund and the Institutional Prime Money Market Fund
(the "Institutional Money Market Funds")); 0.18% on the next $0.5 billion of
Trust net assets (excluding the Investor Funds and the Institutional Money
Market Funds); and 0.16% of Trust net assets (excluding the Investor Funds
and the Institutional Money Market Funds) over $2 billion. OGA (One Group
Administrative Services) also serves as Sub-Administrator to each Fund of the
Trust, pursuant to an agreement between the Administrator and OGA. Pursuant
to this agreement, the Advisor 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 are subject to a distribution and
shareholder services plan (the "Plan") pursuant to Rule 12b-1 under the 1940
Act. As provided in the Plan, the Trust will pay the Distributor a fee of
0.25% of the average daily net assets of Class A shares of each of the Funds.
Up to 0.25% of the fees payable under the Plan may be used as compensation of
shareholder services by the Distributor and/or financial institutions and
intermediaries. Fees paid under the Plan may be applied by the Distributor
toward (i) compensation for its services in connection with distribution
assistance or provision of shareholder services; or (ii) payments to
financial institutions and intermediaries such as banks (including affiliates
of the Advisor), brokers, dealers and other institutions, including the
Distributor's affiliates and subsidiaries as compensation for services or
reimbursement of expenses incurred in connection with distribution assistance
or provision of shareholder services. Class I shares of each Fund are offered
without distribution fees.
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
The Advisor and Administrator 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
ADVISORY FEES ADMINISTRATION
WAIVED FEES WAIVED
------------- --------------
<S> <C> <C>
Cash Management Money Market Fund........................... $743 $281
Treasury Prime Cash Management Money Market Fund............ 250 70
U.S. Government Securities Cash Management Money Market
Fund...................................................... 440 203
Treasury Cash Management Money Market Fund.................. 136 42
Municipal Cash Management Money Market Fund................. 148 59
</TABLE>
5. LINE OF CREDIT:
The Trust and State Street Bank and Trust Company ("State Street") and a
group of banks (collectively, the "Banks") entered into a financing agreement
dated October 19, 1999. Under this agreement, the Banks provide an unsecured
committed credit facility in the aggregate amount of $500 million. The credit
facility is allocated, under the terms of the financing agreement, among the
Banks. Advances under the agreement are taken primarily for temporary or
emergency purposes, including the meeting of redemption requests that
otherwise might require the untimely disposition of securities, and are
subject to each Fund's borrowing restrictions. Interest on borrowings is
payable at the Federal Funds Rate plus 0.50% on an annualized basis. Interest
on borrowings during the period from and including December 15, 1999, to
January 17, 2000, 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 of the trust.
Continued
34
<PAGE> 37
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
As of June 30, 2000, there were no loans outstanding under this agreement.
During the year ended June 30, 2000, borrowings by the Funds under the
Agreement were as follows (amounts in thousands):
<TABLE>
<CAPTION>
AVERAGE AMOUNT
FUND BORROWED FOR PERIOD AVERAGE INTEREST RATE
---- ------------------- ---------------------
<S> <C> <C>
Municipal Cash Management Money Market Fund................ $14 7.50%
</TABLE>
The average amount outstanding was calculated based on daily balances during
the period.
6. 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 funds elected by each Trustee. The Plan
is fully funded and therefore, the Funds bear no additional trustee expense
over and above the normal cash compensation.
7. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by First Chicago NBD
Investment Management Company (an affiliate of the Advisor) were exchanged in
a tax-free conversion for Class I shares of the corresponding Funds. The
transactions were accounted for by a method followed for tax purposes in a
tax-free business combination. The following is a summary of shares issued,
net assets converted, and net asset value per share issued as of the
conversion date (amounts in thousands, except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE
ISSUED CONVERTED ISSUED
------- ---------- ---------
<S> <C> <C> <C>
September 18, 1998
------------------------------------------------------------
Cash Management Money Market Fund........................... 149,308 $149,308 $1.00
Municipal Cash Management Money Market Fund................. 178,164 178,164 1.00
</TABLE>
8. PEGASUS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Reorganization") of the Pegasus Funds pursuant to which all of the
assets and liabilities of each Pegasus Fund was transferred to a Fund of the
One Group in exchange for shares of the corresponding Fund of the One Group.
The Reorganization, which qualified as a tax-free exchange for Federal income
tax purposes, was completed on March 29, 1999, following approval by
shareholders of the Pegasus Funds at a special shareholder meeting. The
following is a summary of shares outstanding and net assets immediately
before and after the Reorganization (amounts in thousands):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ -----------------
PEGASUS CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 2,422,998 -- 2,422,998
Net assets................................ $2,422,797 -- $2,422,797
</TABLE>
Continued
35
<PAGE> 38
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- -----------------
PEGASUS TREASURY TREASURY PRIME TREASURY PRIME
PRIME CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
---------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 563,715 -- 563,715
Net assets................................ $563,697 -- $563,697
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ -----------------
PEGASUS U.S. GOVERNMENT U.S. GOVERNMENT
U.S. GOVERNMENT SECURITIES SECURITIES
SECURITIES CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 1,557,027 -- 1,557,027
Net assets................................ $1,556,520 -- $1,556,520
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ -----------------
PEGASUS TREASURY TREASURY
TREASURY CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 419,386 -- 419,386
Net assets................................ $419,386 -- $419,386
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ -----------------
PEGASUS MUNICIPAL MUNICIPAL
MUNICIPAL CASH CASH MANAGEMENT CASH MANAGEMENT
MANAGEMENT FUND MONEY MARKET FUND MONEY MARKET FUND
--------------- ----------------- -----------------
<S> <C> <C> <C>
Shares.................................... 643,344 -- 643,344
Net assets................................ $643,367 -- $643,367
</TABLE>
9. FEDERAL TAX INFORMATION (UNAUDITED):
As of the tax fiscal year-end, December 31, 1999, the following funds have
capital loss carryforwards which are available to offset future capital gains
if any (amounts in thousands):
<TABLE>
<CAPTION>
EXPIRES
-------------------------
FUND 2001 2002 2003 2007 TOTAL
---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C>
Cash Management Money Market Fund........................... $19 $151 $32 $1 $203
U.S. Government Securities Cash Management Money Market
Fund...................................................... -- 386 57 -- 443
</TABLE>
Continued
36
<PAGE> 39
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 Cash Management Money Market
Fund, the Treasury Prime Cash Management Money Market Fund, the U.S. Government
Securities Cash Management Money Market Fund, the Treasury Cash Management Money
Market Fund and the Municipal Cash Management Money Market Fund (five series of
One Group Mutual Funds, hereafter referred to as the "Funds") at June 30, 2000,
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 those statements of operations, statements 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 Funds for all
periods ended on or before December 31, 1998 were audited by other independent
accountants whose report dated February 12, 1999, expressed an unqualified
opinion on those statements and financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 18, 2000
37
<PAGE> 40
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<PAGE> 41
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<PAGE> 42
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<PAGE> 43
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 Institutional Services at
The One Group Service Center
at 1-877-691-1118 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-227-AN (8/00)
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