[OUTSIDE FRONT COVER] [LOGO]
PEGASUS FUNDS
Strength in Investing
SEMI-ANNUAL REPORT
MONEY MARKET FUNDS
June 30, 1997
Pegasus
Funds
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
<S> <C>
1 Letter to Shareholders
3 Statements of Assets and Liabilities
4 Statements of Operations
5 Statements of Changes in Net Assets
6 Portfolios of Investments
21 Notes to Financial Statements
28 Financial Highlights
</TABLE>
SHARES OF THE TRUST ARE NOT BANK DEPOSITS
OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED
OR OTHERWISE SUPPORTED BY, FIRST CHICAGO NBD
CORPORATION OR ITS AFFILIATES, AND ARE NOT
FEDERALLY INSURED OR GUARANTEED BY THE U.S
GOVERNMENT, FEDERAL DEPOSIT INSURANCE CORPORATION,
OR ANY GOVERNMENTAL AGENCY. INVESTMENT IN THE
TRUST INVOLVES RISKS, INCLUDING THE POSSIBLE LOSS
OF PRINCIPAL. THERE CAN BE NO ASSURANCE THAT THE
FUNDS WILL BE ABLE TO MAINTAIN A CONSTANT NET ASSET
VALUE OF $1.00 PER SHARE.
Pegasus Funds
(800) 688-3350
INVESTMENT ADVISER
First Chicago NBD Investment Management
Company (FCNIMCO)
Three First National Plaza, MS 0334
Chicago, IL 60670-0334
DISTRIBUTOR
BISYS Fund Services
3435 Stelzer Road
Columbus, OH 43219
THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS
UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
i
<PAGE>
June 30, 1997
Dear Pegasus Shareholder,
We are pleased to present your Pegasus Semi-Annual Report dated June
30, 1997.
We have had an exciting year so far:
* After a strong start in 1997, the stock market experienced a brief
correction over concerns about rising interest rates after the
Federal Reserve tightened short-term rates. Since then, the rally has
resumed as both economic growth and inflation have been reported in
the low single digit range. We continue to look for modest economic
growth and inflation for 1997.
* The Pegasus Fund Family continues to offer a wide array of investment
choices among multiple equity styles and fixed income objectives to
help you achieve your asset allocation goals.
* Our broad offering of mutual funds was further expanded in July with
the introduction of the High Yield Bond Fund, a value-added product
for specific fixed income needs.
The investment adviser to the Pegasus Funds, First Chicago NBD
Investment Management Company, brings to you the expertise and heritage of an
institution that has been managing money for over 100 years. Our investment
philosophy is a simple one: a disciplined investment approach that seeks
above average performance over time with average risk.
We look forward to serving your investment needs.
/s/ Marco Hanig
- ---------------
Marco Hanig
Managing Director
First Chicago NBD Investment Management Company
For more complete information about the High Yield Bond Fund, including
charges and expenses, please call 1-800-688-3350 for a prospectus. Read it
carefully before investing or sending money.
1
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2
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Pegasus Money Market Funds
- -----------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Municipal Michigan Municipal
Money Market Money Market Money Market Money Market
Fund Fund Fund Fund
----------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment in securities:
At cost $2,389,990,133 $1,175,155,887 $860,593,050 $129,905,129
==============================================================================================================================
At amortized cost $2,395,296,555 $1,176,000,637 $860,035,481 $129,788,852
Cash 455 605 15,346 64,825
Interest receivable 14,877,180 6,767,182 6,345,956 1,161,100
Prepaids and other 275,242 -- -- 41,562
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,410,449,432 1,182,768,424 866,396,783 131,056,339
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased -- -- 25,500,000 1,700,000
Payable for securities redeemed 10,073 -- -- 20,351
Accrued administration fees 306,048 132,928 107,635 16,148
Shareholder services fees payable 157,600 36,756 36,739 14,809
Accrued investment advisory fees 571,723 264,250 215,271 32,296
Accrued transfer agent fees 41,007 48,656 7,992 315
Accrued custodial fees 3,185 2,782 6,284 381
Dividends payable 412,055 206,114 84,659 15,963
Other payables and accrued expenses -- 238,535 131,860 --
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 1,501,691 930,021 26,090,440 1,800,263
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,408,947,741 $1,181,838,403 $840,306,343 $129,256,076
==============================================================================================================================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE:
Class A Shares:
Net assets $ 768,037,833 $ 215,415,488 $183,350,352 $ 70,619,386
Capital shares 768,035,039 215,432,216 183,404,004 70,619,950
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share $ 1.00 $ 1.00 $ 1.00 $ 1.00
==============================================================================================================================
Class B Shares:
Net assets $ 434,742 $ -- $ -- $ --
Capital shares 434,742 -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share $ 1.00 $ -- $ -- $ --
==============================================================================================================================
Class I Shares:
Net assets $1,640,475,166 $ 966,422,915 $656,955,991 $ 58,636,690
Capital shares 1,640,475,166 966,422,915 656,955,991 58,637,113
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share $ 1.00 $ 1.00 $ 1.00 $ 1.00
==============================================================================================================================
NET ASSETS CONSIST OF:
Capital shares (unlimited number of shares
authorized, par value $.10 per share) $ 240,894,495 $ 118,185,513 $ 84,036,000 $ 12,925,706
Additional paid-in capital 2,168,050,452 1,063,669,618 756,323,996 116,331,357
Accumulated undistributed net realized gains (losses) 2,794 (16,728) (53,652) (987)
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $2,408,947,741 $1,181,838,403 $840,306,343 $129,256,076
==============================================================================================================================
<FN>
See Notes to Financial Statements.
</TABLE>
3
<PAGE>
Pegasus Money Market Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Municipal Michigan Municipal
Money Market Money Market Money Market Money Market
Fund Fund Fund Fund
----------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME: $69,332,567 $31,079,532 $16,019,578 $2,462,360
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 3,477,163 1,694,609 1,322,028 201,011
Administration fees 1,863,147 856,711 661,014 100,506
Transfer and dividend disbursement agent fees 593,307 36,400 36,834 7,979
Shareholder service fees (Class A shares) 951,070 230,863 230,877 93,231
Shareholder service fees (Class B shares) 281 -- -- --
12b-1 fees (Class B shares) 844 -- -- --
Professional fees 52,199 34,808 25,503 21,838
Custodial fees 17,557 6,385 19,474 3,856
Registration, filing fees and other expenses 42,155 1,458 65,392 19,445
Less: Expense reimbursement -- -- -- (19,589)
- ------------------------------------------------------------------------------------------------------------------------------
NET EXPENSES 6,997,723 2,861,234 2,361,122 428,277
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $62,334,844 $28,218,298 $13,658,456 $2,034,083
==============================================================================================================================
<FN>
See Notes to Financial Statements.
</TABLE>
4
<PAGE>
Pegasus Money Market Funds
- -----------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury
Money Market Money Market
Fund Fund
------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996 (Unaudited) Dec. 31, 1996
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 62,334,844 $ 101,190,560 $ 28,218,298 $ 66,048,537
Net realized gains (losses) on
investments -- 2,794 -- (743)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations 62,334,844 101,193,354 28,218,298 66,047,794
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME (Note 2):
Class A shares (18,436,767) (39,714,946) (4,382,129) (15,961,445)
Class B shares (4,807) (1,519)((1)) -- --
Class I shares (43,893,270) (61,474,095)((2)) (23,836,169) (50,087,092)((2))
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (62,334,844) (101,190,560) (28,218,298) (66,048,537)
- ------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 4,847,335,321 14,864,047,666 2,254,398,389 14,570,699,743
Proceeds from shares issued in
connection with merger -- 401,052,532 -- 441,805,139
Net asset value of shares issued
in reinvestment of
distributions to shareholders 27,568,810 34,746,272 6,638,830 10,667,035
- ------------------------------------------------------------------------------------------------------------------------------
4,874,904,131 15,299,846,470 2,261,037,219 15,023,171,917
Less: payments for shares
redeemed (4,909,809,272) (14,495,691,196) (2,349,200,451) (14,680,865,041)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions (34,905,141) 804,155,274 (88,163,232) 342,306,876
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS (34,905,141) 804,158,068 (88,163,232) 342,306,133
NET ASSETS:
Beginning of period 2,443,852,882 1,639,694,814 1,270,001,635 927,695,502
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 2,408,947,741 $ 2,443,852,882 $ 1,181,838,403 $ 1,270,001,635
==============================================================================================================================
<CAPTION>
Municipal Michigan Municipal
Money Market Money Market
Fund Fund
------------------------------------------------------------------------------------------
Six Months Ended Six Months Ended
June 30, 1997 Year Ended June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996 (Unaudited) Dec. 31, 1996
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS:
Net investment income $ 13,658,456 $ 20,832,980 $ 2,034,083 $ 3,849,942
Net realized gains (losses) on
investments -- -- -- (987)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from
operations 13,658,456 20,832,980 2,034,083 3,848,955
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
NET INVESTMENT INCOME (Note 2):
Class A shares (2,673,714) (6,597,625) (1,091,554) (2,516,627)
Class B shares -- -- -- --
Class I shares (10,984,742) (14,235,355)((2)) (942,529) (1,333,315)((2))
- ------------------------------------------------------------------------------------------------------------------------------
Total distributions to
shareholders (13,658,456) (20,832,980) (2,034,083) (3,849,942)
- ------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 1,260,536,814 3,285,400,405 197,265,132 360,970,978
Proceeds from shares issued in
connection with merger -- 281,427,973 -- --
Net asset value of shares issued
in reinvestment of
distributions to shareholders 2,886,698 4,167,474 1,097,036 2,226,403
- ------------------------------------------------------------------------------------------------------------------------------
1,263,423,512 3,570,995,852 198,362,168 363,197,381
Less: payments for shares
redeemed (1,237,280,723) (3,321,245,774) (190,715,626) (363,643,802)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net
assets from capital share
transactions 26,142,789 249,750,078 7,646,542 (446,421)
- ------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS 26,142,789 249,750,078 7,646,542 (447,408)
NET ASSETS:
Beginning of period 814,163,554 564,413,476 121,609,534 122,056,942
- ------------------------------------------------------------------------------------------------------------------------------
End of period $ 840,306,343 $ 814,163,554 $ 129,256,076 $ 121,609,534
==============================================================================================================================
<FN>
(1) For the period September 14, 1996 (initial offering date of Class B
Shares) through December 31, 1996.
(2) For the period March 30, 1996 (initial offering date of Class I Shares)
through December 31, 1996.
See Notes to Financial Statements.
</TABLE>
5
<PAGE>
Pegasus Money Market Fund
- ------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Face Cost
Description Amount (Note 2)
----------- ------ ---------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 7.62%
Allstate Life Insurance Co. Master Note*, 5.88%,
7/1/97 ............................................................................. $ 5,000,000 $ 5,000,000
Commonwealth Life Insurance Co. Master Note*,
5.91%, 7/1/97 ...................................................................... 5,000,000 5,000,000
General American Life Funding Agr. Master Note*,
5.97%, 7/1/97 ...................................................................... 15,500,000 15,500,000
Peoples Security Life Insurance Co. Master Note*,
5.91%, 7/1/97 ...................................................................... 5,000,000 5,000,000
Sun America Insurance Co. of America Master Note*,
5.87%, 7/1/97 ...................................................................... 10,000,000 10,000,000
Lehman Brothers, Inc., Revolving Repurchase Agreement, 6.10%, 7/1/97
(secured by U.S. Treasury & Agency obligations with maturities ranging
from 7/1/97 through 5/1/04 at various interest rates ranging from 0.00% to
13.00%, all held at Chase Bank) .................................................... 15,000,000 15,000,000
Prudential Securities, Inc., Revolving Repurchase
Agreement, 6.15%, 7/1/97 (secured by U.S. Treasury & Agency obligations
with maturities ranging from 7/2/97 through 6/26/07 at various interest
rates ranging from 0.00% to 8.20%, all held at The Bank of New York) ............... 77,000,000 77,000,000
Salomon Brothers, Revolving Repurchase Agreement,
6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97
through 2/15/07 at various interest rates ranging
from 0.00% to 12.00%, all held at Chase Bank) ...................................... 50,000,000 50,000,000
--------------
182,500,000
--------------
COMMERCIAL PAPER -- 36.90%
Accor Corp., 5.75%, 8/20/97 .......................................................... 16,000,000 15,872,222
AESOP Funding Corp.:
5.58%, 7/1/97 .................................................................... 16,000,000 16,000,000
5.62%, 8/1/97 .................................................................... 12,000,000 11,941,927
Akzo Nobel Inc.:
5.64%, 7/29/97 ................................................................... 13,000,000 12,942,973
5.64%, 8/7/97 .................................................................... 16,000,000 15,907,253
Allomon Funding Corp.:
5.60%, 7/11/97 ................................................................... 9,889,000 9,873,617
5.58%, 7/21/97 ................................................................... 15,181,000 15,133,939
5.60%, 8/5/97 .................................................................... 9,092,000 9,042,499
Alpine Securitization Corp., 5.57%, 7/22/97 .......................................... 15,000,000 14,951,263
Banca Serfin S.A., 5.66%, 8/6/97 ..................................................... 20,000,000 19,886,800
Barton Capital Corp.:
5.60%, 7/7/97 .................................................................... 10,797,000 10,786,923
5.60%, 7/24/97 ................................................................... 11,000,000 10,960,645
Beal Cayman LTD:
5.60%, 8/26/97 ................................................................... 17,000,000 16,851,911
5.62%, 8/26/97 ................................................................... 20,000,000 19,825,156
Clipper Receivables Corp., 5.64%, 8/4/97 ............................................. 15,000,000 14,920,100
Commission Federal De Electricidad, 5.60%, 9/10/97 ................................... 5,000,000 4,944,778
Corporate Receivable Corp., 5.32%, 11/14/97 .......................................... 10,000,000 9,799,022
CXC Inc., 5.60%, 8/22/97 ............................................................. 7,000,000 6,943,378
Explorer Pipeline Co.:
5.60%, 7/18/97 ................................................................... 13,000,000 12,965,622
5.60%, 8/8/97 .................................................................... 12,000,000 11,929,067
5.59%, 8/12/97 ................................................................... 15,000,000 14,902,175
6
<PAGE>
Franklin Resources Inc., 5.67%, 9/4/97 ............................................... 10,000,000 9,897,625
Galleon Capital Corp., 5.60%, 8/5/97 ................................................. 7,460,000 7,419,384
General Electric Capital Corp., 5.59%, 9/5/97 ........................................ 14,000,000 13,856,523
Generale Bank, Inc., 5.40%, 7/28/97 .................................................. 21,050,000 20,964,741
Market Street Funding 5.60%, 8/15/97 ................................................. 12,000,000 11,916,000
Mont Blanc Capital Corp.:
5.57%, 7/10/97 ................................................................... 40,000,000 39,944,300
5.60%, 7/25/97 ................................................................... 20,000,000 19,925,333
Monte Rosa Capital Corp., 5.60%, 7/23/97 ............................................. 20,000,000 19,931,556
National Cooperative Serv., 5.57%, 7/22/97 ........................................... 12,404,000 12,363,697
Pacific Dunlop Holdings, Inc., 5.64%, 9/3/97 ......................................... 25,000,000 24,749,333
Peacock Funding Inc.:
5.61%, 8/12/97 ................................................................... 7,835,000 7,783,720
5.61%, 8/20/97 ................................................................... 5,032,000 4,992,792
5.63%, 9/2/97 .................................................................... 8,849,000 8,761,815
PHH Corp.:
5.60%, 7/2/97 .................................................................... 19,700,000 19,696,936
5.60%, 8/5/97 .................................................................... 8,000,000 7,956,444
Pooled Accounts Receivable Cap Note,
5.60%, 7/15/97 ................................................................... 20,000,000 19,956,444
Ranger Funding Corporation:
5.65%, 7/7/97 .................................................................... 20,366,000 20,346,822
5.58%, 7/10/97 ................................................................... 16,000,000 15,977,680
Receivables Capital Corp.:
5.60%, 7/25/97 ................................................................... 15,000,000 14,944,000
5.60%, 8/8/97 .................................................................... 20,285,000 20,165,093
Rexam Plc., 5.62%, 7/9/97 ............................................................ 16,000,000 15,980,018
Sheffield Receivables Corporation, 5.62%, 8/7/97 ..................................... 12,000,000 11,930,687
Special Purpose Account Receivable Coop Corp.,
5.60%, 7/17/97 ................................................................... 20,000,000 19,950,222
St. Michael Finance LTD., 5.60%, 7/8/97 .............................................. 22,000,000 21,976,044
Sun Belt Dix Inc., 5.58%, 7/22/97 .................................................... 12,700,000 12,658,662
Three Rivers Funding Corp., 5.60%, 7/21/97 ........................................... 26,000,000 25,919,111
TI Group, Inc.:
5.67%, 7/16/97 ................................................................... 10,000,000 9,976,375
5.75%, 10/6/97 ................................................................... 18,000,000 17,721,125
5.68%, 12/9/97 ................................................................... 17,000,000 16,568,162
Triple A One Funding Corp.:
5.60%, 7/28/97 ................................................................... 23,645,000 23,545,691
5.57%, 7/30/97 ................................................................... 20,000,000 19,910,261
WCP Funding Inc.:
5.65%, 7/1/97 .................................................................... 10,000,000 10,000,000
5.60%, 8/13/97 ................................................................... 25,000,000 24,832,778
Windmill Funding Corp., 5.60%, 7/14/97 ............................................... 18,180,000 18,143,236
Wood Street Funding Corp.:
5.62%, 7/15/97 ................................................................... 10,000,000 9,978,144
5.62%, 7/24/97 ................................................................... 8,000,000 7,971,276
5.60%, 7/28/97 ................................................................... 19,000,000 18,920,200
--------------
883,913,500
--------------
7
<PAGE>
BANKERS ACCEPTANCE NOTES -- 0.58% Corestates Bank N.A.:
5.37%, 7/14/97 ................................................................... 4,000,000 3,992,243
5.30%, 8/14/97 ................................................................... 10,000,000 9,935,222
--------------
13,927,465
--------------
CORPORATE NOTES -- 13.20%
Abbey National Treasury Services PLC., 5.50%,
11/21/97 ......................................................................... 18,000,000 17,992,906
Burmah Castrol Finance PLC., 7.00%, 12/15/97 ......................................... 16,000,000 16,098,092
Caterpillar Financial Services Corp., 5.70%,
7/28/97 .......................................................................... 20,000,000 20,000,000
CIT Group, 6.75%, 4/30/98 ............................................................ 10,000,000 10,042,609
GE Engine Receivables Trust, (A/R) 5.76%, 2/14/00 .................................... 30,772,182 30,772,182
IBM Credit Corp., 5.78%, 8/20/97 ..................................................... 15,000,000 14,997,345
Morgan Guaranty Trust Co., 5.965%, 6/22/98 ........................................... 17,000,000 16,994,450
New York Life Insurance Co.*, Funding Agreement
(A/R),
5.93%, 7/1/97 .................................................................... 30,000,000 30,000,000
PHH Corp. Medium Term F/R., 5.67%, 8/8/97 ............................................ 25,000,000 24,998,695
Republic Mase Australia Ltd. Bank Note 5.65%,
10/31/97 ......................................................................... 28,000,000 28,006,432
Security Life of Denver Insurance Co.*, Funding
Agreement,
5.65%, 11/26/97 .................................................................. 12,500,000 12,500,000
Transamerica Life Insurance & Annuity Co.*, Funding
Agreement
5.91%, 12/8/97 ................................................................... 50,000,000 50,000,000
Wilmington Trust Co.:
Amtrak 93-A, (A/R), 1/1/11 ....................................................... 8,901,891 8,901,891
Amtrak 93-I, (A/R), 1/1/11 ....................................................... 10,819,439 10,819,439
Amtrak 93-B, (A/R), 1/1/13 ....................................................... 24,000,000 24,000,000
--------------
316,124,041
--------------
CERTIFICATES OF DEPOSIT -- 15.59%
Amro Bank, 5.98%, 3/19/98 ............................................................ 15,000,000 14,997,950
Bank One Columbus N.A. Bank Note, 5.69%, 10/28/97 .................................... 24,000,000 23,995,449
Banque Nationale De Paris:
5.70%, 8/4/97 .................................................................... 16,000,000 16,000,330
5.75%, 2/26/98 ................................................................... 23,000,000 22,992,759
Beta Finance Corp. Medium Term, 5.82%, 1/28/98 ....................................... 22,000,000 22,000,000
Canadian Imperial Bank of Commerce:
5.685%, 3/2/98 ................................................................... 15,000,000 14,987,044
5.95%, 6/29/98 ................................................................... 16,500,000 16,489,027
Deutsche Bank:
5.55%, 11/5/97 ................................................................... 12,000,000 11,997,575
6.26%, 4/15/98 ................................................................... 20,000,000 19,993,984
Dresdner Bank AG, 5.60%, 7/3/97 ...................................................... 11,000,000 11,000,000
Landesbank Hessen Thuringen,
5.94%, 6/19/98 ................................................................... 13,000,000 12,992,790
LaSalle National Bank, 5.93%, 3/10/98 ................................................ 20,000,000 20,000,000
National Australia Bank, 5.80%, 10/3/97 .............................................. 30,025,000 30,027,974
PNC Bank, 5.67%, 10/1/97 ............................................................. 25,000,000 24,995,067
Rabobank Nederland NV, 6.05%, 3/27/98 ................................................ 15,000,000 14,991,558
8
<PAGE>
Societe Generale:
5.80%, 8/26/97 ................................................................... 19,000,000 19,000,000
5.85%, 10/1/97 ................................................................... 10,000,000 10,000,437
5.80%, 1/13/98 ................................................................... 15,000,000 14,995,105
6.21%, 5/6/98 .................................................................... 20,000,000 19,995,155
Toronto Dominion Bank,
5.74%, 1/7/98 .................................................................... 27,000,000 26,999,959
Westpac Banking Corp., 5.97%, 3/24/98 ................................................ 5,000,000 4,996,386
--------------
373,448,549
--------------
TIME DEPOSITS -- 26.11%
Bank Brussels Lambert, 6.1875%, 7/1/97 ............................................... 98,000,000 98,000,000
Bank of Tokyo-Mitsubishi Ltd, 6.25%, 7/1/97 .......................................... 70,000,000 70,000,000
Bank One Indiana, 6.25%, 7/1/97 ...................................................... 50,000,000 50,000,000
Bank One N.A., 6.25%, 7/1/97 ......................................................... 20,000,000 20,000,000
Canadian Imperial Bank of Commerce, 6.375%, 7/1/97 ................................... 60,000,000 60,000,000
Dai Ichi Kangyo Bank, 6.25%, 7/1/97 .................................................. 50,000,000 50,000,000
Deutsche Bank, 6.25%, 7/1/97 ......................................................... 50,000,000 50,000,000
Key Bank N.A., 6.50%, 7/1/97 ......................................................... 58,000,000 58,000,000
Midland Bank PLC, 6.50%, 7/1/97 ...................................................... 21,383,000 21,383,000
Royal Bank of Canada, 6.375%, 7/1/97 ................................................. 75,000,000 75,000,000
Toronto Dominion Bank, 6.375%, 7/1/97 ................................................ 65,000,000 65,000,000
Union Bank of Switzerland, 6.50%, 7/1/97 ............................................. 8,000,000 8,000,000
--------------
625,383,000
--------------
TOTAL INVESTMENTS ...................................................................... $2,395,296,555
==============
<FN>
A/R -- Adjustable Rate
* -- Restricted Security (See Note 7)
<FN>
See Notes to Financial Statements.
</TABLE>
9
<PAGE>
Pegasus Treasury Money Market Fund
- ------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Face Cost
Description Amount (Note 2)
----------- ------ ---------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 74.78%
Aubrey Langston Revolving Repurchase Agreement, 5.90%, 7/1/97 (secured by
various U.S. Treasury obligations with maturities ranging from 11/30/99
through 11/15/06 at various interest rates ranging from 0.00% to 7.875%,
all held at Chase Bank) ...................................................... $ 50,000,000 $ 50,000,000
Barclays Inc., Revolving Repurchase Agreement,
5.90%, 7/1/97 (secured by various U.S. Treasury obligations with
maturities ranging from 10/2/97 through 2/15/07 at various interest rates
ranging from 0.00% to 7.25%, all held at The Bank of New York)............... 52,443,000 52,443,000
Bear Stearns & Co., Inc., Revolving Repurchase
Agreement, 5.90%, 7/1/97 (secured by various U.S. Treasury obligations
with maturities ranging from 8/15/97 through 5/15/07 at various interest
rates ranging from 0.00% to 12.00%, all held at the Custodial Trust Company).. 250,000,000 250,000,000
Donaldson Lufkin, Inc., Revolving Repurchase
Agreement 5.90%, 7/1/97 (secured by U.S. Treasury obligations with
maturities ranging from 9/18/97 through 2/15/06 at various interest rates
ranging from 0.00% to 12.375%, all held at The Bank of New York) ............. 53,000,000 53,000,000
Dresdner Kleinwort Benson, NA, Revolving Repurchase
Agreement, 5.90%, 7/1/97 (secured by U. S.
Treasury Notes maturing 6/30/99 at 6.00%, held at Chase Bank) ................ 53,000,000 53,000,000
First Union Capital Markets, Revolving Repurchase
Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury Notes with
maturities ranging from 6/30/98 through 6/30/99 at various interest rates
ranging from 6.00% to 6.25%, all held at Bankers Trust Company) .............. 160,000,000 160,000,000
Goldman Sachs Agency, Revolving Repurchase
Agreement, 5.50%, 7/1/97 (secured by U.S.
Treasury Notes maturing 6/30/99 at 6.00%, held at The Bank of New York) ...... 53,000,000 53,000,000
Greenwich Capital Markets, Inc., Revolving
Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/97 through 5/15/07 at
various interest rates ranging from 7.50% to 12.00%, all held at Chase Bank) . 53,000,000 53,000,000
H.S.B.C. Treasury, Revolving Repurchase Agreement,
5.90%, 7/1/97 (secured by various U.S. Treasury Notes with maturities
ranging from 11/15/01 through 8/15/04, at various interest rates ranging
from 5.875% to 7.50%, all held at Chase Bank) ................................ 53,000,000 53,000,000
NationsBank Capital Markets, Inc., Revolving
Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury
obligations with maturities ranging from 8/15/02 through 1/15/07 at
various interest rates ranging from 3.375% to 7.875%, all held at Chemical Bank) 102,000,000 102,000,000
------------
879,443,000
------------
10
<PAGE>
U.S. GOVERNMENT OBLIGATIONS -- 25.22%
U.S. Treasury Securities -- 25.22%
U.S. Treasury Bills:
5.3125%, 8/21/97 ............................................................... 25,000,000 24,820,083
5.285%, 1/8/98 ................................................................. 20,000,000 19,440,529
U.S. Treasury Notes:
5.875%, 07/31/97 ............................................................... 45,000,000 45,003,775
6.500%, 08/15/97 ............................................................... 22,000,000 22,028,352
5.750%, 09/30/97 ............................................................... 40,000,000 39,997,171
5.625%, 10/31/97 ............................................................... 50,000,000 49,997,527
5.250%, 12/31/97 ............................................................... 55,000,000 54,929,616
7.875%, 04/15/98 ............................................................... 20,000,000 20,280,702
6.125%, 05/15/98 ............................................................... 20,000,000 20,059,882
--------------
296,557,637
--------------
TOTAL INVESTMENTS ...................................................................... $1,176,000,637
==============
<FN>
See Notes to Financial Statements.
</TABLE>
11
<PAGE>
Pegasus Municipal Money Market Fund
- ------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Interest Cost
Description Rating* Rate*** Face Amount (Note 2)
----------- ------- -------- ----------- ---------
<S> <C> <C> <C> <C>
Alabama -- 1.64%
Decatur Industrial Development, AMT, 1/1/27 ......... VMIG 1 4.30% $ 5,700,000 $ 5,700,000
Port City Medical Clinic, C/P, 8/6/97 ............... VMIG 1 3.60% 8,400,000 8,400,000
------------
14,100,000
------------
Alaska -- 2.87%
City of Valdez, 5/1/31 .............................. VMIG 1 4.25% 8,000,000 8,000,000
Valdez Marine Terminal-Arco Transportation, C/P,
9/12/97 ........................................... VMIG 1 3.75% 7,000,000 7,000,000
Valdez Marine Terminal Revenue, Alaska C/P, 8/21/97 . VMIG 1 3.90% 9,700,000 9,700,000
------------
24,700,000
------------
Arizona -- 2.38%
Chandler IDR -- Parsons Municipal Services, 12/15/09 A1+ 4.10% 4,500,000 4,500,000
Cochise Co. Pollution Control, C/P, AMT, 9/1/97 ..... VMIG 1 3.50% 8,100,000 8,100,000
Cococino Co. Pollution Control, C/P, AMT, 10/1/29 ... P1 4.30% 7,900,000 7,900,000
------------
20,500,000
------------
Connecticut -- 0.52%
Connecticut State Special Assessment (FGIC), 7/1/97 . VMIG 1 3.90% 4,500,000 4,500,000
------------
District of Columbia -- 2.09%
District of Columbia General Obligation, 9/30/97 .... VMIG 1 3.98% 18,000,000 18,000,000
------------
Florida -- 6.89%
Florida State Municipal Power, C/P, 8/22/97 ......... P1 3.70% 11,500,000 11,500,000
Jacksonville Health Facilities Authority Revenue,
6/1/20 ............................................ A1+ 4.60% 4,900,000 4,900,000
Sarasota Co Public, C/P, Series A, 8/22/97 .......... VMIG 1 3.80% 10,000,000 10,000,000
Sarasota Co Public, C/P, Series B, 8/22/97 .......... VMIG 1 3.80% 9,000,000 9,000,000
St. Lucie Co. Pollution Control Rev., C/P, 9/12/97 .. VMIG 1 3.65% 16,350,000 16,350,000
Sunshine State Governmental, C/P, 7/18/97 ........... VMIG 1 3.80% 7,500,000 7,500,000
------------
59,250,000
------------
Illinois -- 9.64%
Carol Stream Multifamily Revenue, AMT, 3/15/27 ...... A1+ 4.25% 5,000,000 5,000,000
Chicago Gas Supply Revenue, VRDB, 12/1/97 ........... VMIG 1 3.70% 7,500,000 7,500,000
Chicago Illinois, General Obligation, 10/31/97 ...... VMIG 1 3.55% 26,000,000 26,000,000
Illinois Development Authority Environment, 5/1/32 .. **N/R 4.30% 14,325,000 14,325,000
Illinois Development Authority Revenue, MBIA,
11/15/27 .......................................... VMIG 1 4.20% 15,000,000 15,000,000
Illinois Health Facilities Authorities Revenue,
1/1/16 ............................................ VMIG 1 4.25% 6,100,000 6,100,000
Lake Cook Kane and Machinery, Counties, School
District, 12/30/97 ................................ **N/R 3.95% 9,000,000 9,008,371
------------
82,933,371
------------
12
<PAGE>
Indiana -- 5.12%
Burns Harbor IDR, AMT, 3/1/16 ....................... **N/R 4.30% 9,000,000 9,000,000
Indiana State Solid Waste, 7/11/97 .................. P-1 3.55% 8,000,000 8,000,000
Indiana DFA Solid Waste, 9/9/97 ..................... P-1 3.70% 20,000,000 20,000,000
Jasper Co. Pollution Control Revenue, C/P, 8/22/97 .. VMIG 1 3.60% 7,000,000 7,000,000
------------
44,000,000
------------
Kentucky -- 4.31%
Clark Co. Pollution Control Revenue, 11/15/97 ....... VMIG 1 3.75% 8,100,000 8,100,000
Henderson Co. Solid Waste Disposal Rev, AMT, 3/1/15 . VMIG 1 4.25% 9,000,000 9,000,000
Kentucky Economic Development Authority Hospital
Facilities, 8/15/31 ............................... A1+ 4.10% 20,000,000 20,000,000
------------
37,100,000
------------
Louisiana -- 1.27%
Plaqeumines Port Harbor Terminal Rev., 9/1/97 ....... Aa 2 4.11% 4,000,000 4,001,319
South Lousiana Port Revenue, 1/1/27 ................. VMIG 1 4.20% 6,900,000 6,900,000
------------
10,901,319
------------
Massachusetts -- 1.96%
Massachusetts Municipal Wholesale Electric, 7/1/97 .. Aaa 8.75% 11,605,000 11,837,100
Massachusetts Bay Transportation Authority C/P,
8/8/97 ............................................ VMIG 1 3.60% 5,000,000 5,000,000
------------
16,837,100
------------
Michigan -- 10.63%
Dearborn Economic Development Corp. Revenue, 3/1/25 . A1 4.15% 1,900,000 1,900,000
Farmington Hills EDR. Corp., 11/1/10 ................ A1 4.20% 2,300,000 2,300,000
Grand Rapids Individual Development Revenue, 1/1/10 . A1 4.30% 4,200,000 4,200,000
Ingham Co. Economic Development C/P Limited
Obligation Revenue 4/1/22 ......................... A1+ 4.15% 3,370,000 3,370,000
Jackson Co. Economic Development Corp., Limited
Obligation Revenue, 6/1/17 ........................ **N/R 4.30% 2,800,000 2,800,000
Kalamazoo Co. EDC. Revenue, 6/1/20 .................. A-1 4.15% 500,000 500,000
Kent Hospital Finance Authority Revenue, Series A,
01/15/20 .......................................... VMIG 1 4.15% 9,700,000 9,700,000
Macomb Township EDC. Limited Obligation Revenue, AMT,
1/1/03 ............................................ VMIG 1 4.20% 700,000 700,000
Meridian Limited Obligation, EDC., 11/15/14 ......... A1+ 4.10% 1,000,000 1,000,000
Michigan Higher Education Facilities Authority,
3/1/27 ............................................ ***N/R 4.20% 300,000 300,000
Michigan Higher Education Student Loan, AMT, 10/1/15 VMIG 1 4.25% 3,100,000 3,100,000
Michigan State Hospital Finance Authority,
12/1/23 ........................................... VMIG 1 4.30% 3,000,000 3,000,000
Michigan State Hospital Finance Authority, 8/15/15 .. VMIG 1 4.15% 1,000,000 1,000,000
Michigan State Hospital Finance Authority Revenue,
12/1/23 ........................................... VMIG 1 4.30% 3,600,000 3,600,000
Michigan State Hospital Finance Authority Revenue,
12/1/23 ........................................... VMIG 1 4.30% 2,800,000 2,800,000
13
<PAGE>
Michigan State Hospital Finance Authority Revenue,
12/1/23 ........................................... VMIG 1 4.30% 2,700,000 2,700,000
Michigan State Housing Development Authority, Rental
Revenue, 4/1/19 ................................... A1+ 4.35% 2,300,000 2,300,000
Michigan State Housing Development Authority,
Revenue, 12/1/07 .................................. VMIG 1 4.10% 3,300,000 3,300,000
Michigan State Housing Development Authority,
Revenue, 4/1/16 ................................... VMIG 1 4.15% 3,400,000 3,400,000
Michigan State Housing Development Authority,
Revenue, 10/1/07 .................................. VMIG 1 4.10% 2,600,000 2,600,000
Michigan State Housing Development Authority, Revenue
C/P, AMT, 7/7/97 .................................. VMIG 1 3.80% 4,000,000 4,000,000
Michigan State Job Development Authority, Revenue,
Sugar Sebewa, 9/1/00 .............................. Aa 3 4.26% 2,000,000 2,000,000
Michigan State Strategic Building C/P, 9/4/97 ....... P-1 3.80% 16,000,000 16,000,000
Michigan State Strategic Fund Limited Obligation
Revenue AMT, 12/1/16 .............................. **N/R 4.30% 2,000,000 2,000,000
Michigan State Strategic Fund Limited Obligation,
Revenue, AMT, 12/1/14 ............................. **N/R 4.35% 1,325,000 1,325,000
Michigan State Strategic Fund Limited Obligation,
Revenue, AMT, 4/1/10 .............................. VMIG 1 4.30% 400,000 400,000
Michigan State Strategic Fund Limited Obligation,
Revenue, AMT, 6/1/15 .............................. **N/R 4.35% 2,500,000 2,500,000
Michigan State Strategic Fund Limited Obligation,
Revenue, AMT 2/1/22 ............................... **N/R 4.30% 900,000 900,000
Michigan State Strategic Fund PCR-Consumers, 9/1/00 . A1+ 4.15% 2,600,000 2,600,000
Wayne Charter Co. Airport Revenue, AMT, 12/1/16 ..... VMIG 1 4.25% 5,100,000 5,100,000
------------
91,395,000
------------
Minnesota -- 1.95%
Minnesota State Higher Education Facilities Authority
Revenue, Series 3-L2 VRDB, 11/1/12 ................ VMIG 1 4.05% 5,400,000 5,400,000
Rochester General Obligation, 11/1/99 ............... **N/R 4.10% 11,400,000 11,400,000
------------
16,800,000
------------
Missouri -- 0.58%
Missouri State Health & Educational Facilities
Authority VRDB, 6/1/22 ............................ A1+ 4.15% 5,000,000 5,000,000
------------
Nebraska -- 1.80%
Nebraska Investment Finance Authority Revenue, 9/1/29 A1+ 3.90% 15,500,000 15,500,000
------------
New Hampshire -- 1.16%
New Hampshire State Business Finance Revenue, AMT,
5/1/21 ............................................ VMIG 1 4.30% 10,000,000 10,000,000
------------
14
<PAGE>
New York -- 5.55%
Housing Corp. Revenue RFD, 11/1/97 .................. Aaa 9.00% 20,000,000 20,745,987
Municipal Assistance Corp. C/P, 8/8/97 .............. VMIG 1 3.80% 8,200,000 8,200,000
New York City General Obligation, 2/15/13 ........... VMIG 1 4.15% 8,800,000 8,800,000
New York Municipal Water Finance Authority, C/P,
7/31/97 ........................................... P1 3.70% 10,000,000 10,000,000
------------
47,745,987
------------
Ohio -- 2.09%
Montgomery Co. Hospital Revenue C/P, 7/9/97 ......... VMIG 1 3.90% 10,000,000 10,000,000
Ohio State Water Development Authority PCR., AMT
5/1/18 ............................................ P1 4.10% 8,000,000 8,000,000
------------
18,000,000
------------
Oregon -- 0.67%
Port Marrow Environmental Impact Revenue, AMT,
12/1/31 ........................................... VMIG 1 4.35% 5,800,000 5,800,000
------------
Pennsylvania -- 5.57%
Allegheny Co. IDR VRDB-United Jewish, Federation,
10/1/25 ........................................... VMIG 1 4.25% 9,900,000 9,900,000
Carbon Co. C/P, 9/8/97 .............................. P1 3.70% 6,000,000 6,000,000
Carbon Co. C/P, 8/21/97 ............................. P1 3.95% 7,000,000 7,000,000
Indiana Co. Individual Development Authority, PCR.,
6/1/27 ............................................ VMIG 1 4.25% 25,000,000 25,000,000
------------
47,900,000
------------
South Carolina -- 2.91%
Piedmont Municipal Power Agency Revenue, 1/1/22 ..... VMIG 1 4.10% 10,000,000 10,000,000
York Co. Pollution Control Revenue, 9/15/97 ......... VMIG 1 3.60% 15,000,000 15,000,000
------------
25,000,000
------------
South Dakota -- 3.14% South Dakota HDA., AMT:
Series E, 11/13/97 ................................ VMIG 1 3.75% 7,000,000 7,000,000
Series C, 12/14/00 ................................ VMIG 1 4.40% 10,000,000 10,000,000
Series E, 12/14/00 ................................ VMIG 1 3.90% 10,000,000 10,000,000
------------
27,000,000
------------
Tennessee -- 1.69%
Oak Ridge IDB, AMT, 1/1/06 .......................... Aa3 4.30% 10,000,000 10,000,000
Shelby Co. Health, Educational, & Housing Revenue
Series C, 8/1/97 .................................. VMIG 1 4.05% 4,540,000 4,540,000
------------
14,540,000
------------
15
<PAGE>
Texas -- 14.08%
Austin Utility, C/P, 9/19/97 ........................ P1 3.70% 15,400,000 15,400,000
Dallas Area Rapid Transit C/P:
7/11/97 ........................................... P1 3.45% 9,000,000 9,000,000
11/21/97 .......................................... P1 3.60% 10,000,000 10,000,000
Gulf Coast Waste Disposal Authority, AMT, 5/1/24 .... VMIG 1 3.60% 8,000,000 8,000,000
North Central Health Facility Development, C/P 6/1/21 VMIG 1 4.15% 5,600,000 5,600,000
North Central Methodist, C/P, 9/16/97 ............... VMIG 1 3.70% 8,700,000 8,700,000
Panhandle Plan Higher Education Authority Revenue,
AMT, Series A, 6/1/21 ............................. VMIG 1 4.25% 6,000,000 6,000,000
Port Corpus Christi, AMT, C/P, 9/16/97 .............. P1 3.75% 12,100,000 12,100,000
Port of Corpus Christi Authority Revenue, 9/1/14 .... A1+ 4.00% 6,400,000 6,400,000
Texas State General Obligation, 8/29/97 ............. VMIG 1 4.75% 23,000,000 23,028,832
Texas Hospital Equipment Finance Council Revenue,
4/7/05 ............................................ VMIG 1 4.30% 7,870,000 7,870,000
Tyler Health Facilities Development Corp. C/P,
8/15/97 ........................................... VMIG 1 3.80% 9,000,000 9,000,000
------------
121,098,832
------------
Utah -- 1.08%
Intermountain Power Agency, C/P, 9/15/97 ............ VMIG 1 3.70% 9,300,000 9,300,000
------------
Vermont -- 1.30%
Vermont Educational Health Building Agency Revenue,
11/1/97 ........................................... Aa 3.75% 6,730,000 6,730,000
Vermont Student Assistance Corp. Revenue, 1/1/04 .... VMIG 1 3.80% 4,200,000 4,200,000
------------
10,930,000
------------
Virginia -- 2.78%
King George Co. IDA. Revenue, AMT, 3/1/27 ........... A1+ 4.30% 8,000,000 8,000,000
King George Co. IDA. Revenue, AMT, 4/1/26 ........... A1+ 4.30% 5,900,000 5,900,000
Virginia St. Public School Authority, 4/1/98 ........ Aa2 3.60% 10,045,000 10,044,090
------------
23,944,090
------------
Washington -- .23%
Port Seattle Revenue, AMT, 9/1/22 ................... VMIG 1 4.20% 2,000,000 2,000,000
------------
West Virginia -- 1.54%
West Virginia Public Authority Revenue, C/P 7/11/97 . Aa1 3.90% 7,250,000 7,250,000
West Virginia Public Energy Authority Revenue, C/P,
AMT, 8/15/97 ...................................... Aa1 3.90% 6,000,000 6,000,000
------------
13,250,000
------------
838,025,699
------------
Puerto Rico -- 2.56%
Puerto Rico Commonwealth Revenue, 7/30/97 ........... MIG 1 4.00% 22,000,000 22,009,782
------------
TOTAL INVESTMENTS ................................... $860,035,481
============
<FN>
16
<PAGE>
Investment Abbreviations
AMBAC -- AMBAC Indemnity Corp.
AMT -- Alternative Minimum Tax
BIGI -- Bond Investors Guaranty Insurance Co.
C/P -- Commercial Paper
EDC -- Economic Development Corporation
EDR -- Economic Development Revenue
FGIC -- Financial Guaranty Insurance Company
FSA -- Financial Securities Assurance Corp.
GO -- General Obligation
HCF -- Health Care Facilities
HR -- Housing Revenue
HDA -- Housing Development Authority
HFA -- Housing Finance Authority
IDA -- Individual Development & Export
Authority
IDB -- Industrial Development Board
IDR -- Industrial Development Revenue
MBIA -- Municipal Bond Insurance Association
PCR -- Pollution Control Revenue
PFA -- Public Facilities Authority
RFD -- Refunded Bond
TAN -- Tax Anticipation Note
TRAN -- Tax Revenue Anticipation Note
UPDATE -- Unit Priced Daily Adjustable Tax
Exempt Securities
VRDB -- Variable Rate Demand Bond
VRDN -- Variable Rate Demand Note
* Rating -- Moody's when rated, otherwise Standard & Poor's.
** N/R -- Investment is not rated, yet deemed by the Investment Advisor as
an acceptable credit and having characteristics equivalent to obligations
rated AA or MIG 1 by Moody's, AA or A-1+ by Standard & Poor's.
*** Interest rates on variable rate securities are adjusted periodically based
on appropriate indexes. The
interest rates shown are the rates in effect at June 30, 1997.
Pegasus Michigan Municipal Money Market Fund
See Notes to Financial Statements.
</TABLE>
17
<PAGE>
Pegasus Michigan Municipal Money Market Fund
- ------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Interest Cost
Description Rating* Rate*** Face Amount (Note 2)
----------- ------- -------- ----------- --------
<S> <C> <C> <C> <C>
Michigan -- 95.38%
Ann Arbor School District, GO, 5/1/98 ............... Aa 2 4.75% $5,512,560 $ 5,512,560
Ann Arbor EDC Ltd. Obligation VRDN-Webers Industries,
5/1/00 ............................................ **N/R 4.20% 575,000 575,000
Cornell Twp. EDC, IDR, Mead Escanaba Paper Co.
9/4/97 ............................................ A1+ 3.70% 1,900,000 1,900,000
9/8/97 ............................................ A1+ 3.70% 1,700,000 1,700,000
Dearborn EDC Ltd. Obligation VRDB-Oakbrook Common,
3/1/25 ............................................ A1 4.15% 1,600,000 1,600,000
Detroit Downtown Development Authority VRDB-
Millender Center Project, 12/1/10 ................. VMIG 1 4.35% 2,900,000 2,900,000
Farmington Hills EDR Ltd. Obligation VRDB- Brookfield
Building Assn., 11/1/10 ........................... A1 4.20% 2,920,000 2,920,000
Grand Rapids Water Supply, RFD, Series 1988,
1/1/98 ............................................ Aaa 7.875% 6,003,467 6,003,467
Grand Rapids, IDR, Rowe International, Inc., 1/1/10 . A1 4.25% 1,100,000 1,100,000
Holland EDC VRDB-Thrifty Holland, Inc., 3/1/13 ...... A1 3.85% 2,300,000 2,300,000
Ingham Co. EDC VRDB-Martin Luther Memorial Home,
Inc., 4/1/22 ...................................... A1+ 4.15% 3,000,000 3,000,000
Jackson Co. EDC VRDB-Steel Treating, 6/1/17 ......... **N/R 4.30% 2,200,000 2,200,000
Kalamazoo General Obligation, 12/1/97 ............... MIG 1 3.60% 4,501,446 4,501,446
Kalamazoo Co. EDC VRDB-Industrial & Economic
Development WBC Properties Ltd., 9/1/15 ........... **N/R 4.69% 1,000,000 1,000,000
Kalamazoo EDC Ltd. Obligation, 6/1/20 ............... A1 4.15% 1,075,000 1,075,000
Kent Hospital, VRDB-Butterworth Hospital, 1/15/20 ... VMIG 1 4.15% 700,000 700,000
Meridian EDC Ltd. Obligation VRDB-Hannah
Technologies, 11/15/14 ............................ A1+ 4.10% 2,200,000 2,200,000
Michigan Higher Education, Ltd. Obligation,
VRDB-Davenport Project, 3/1/27 .................... **N/R 4.20% 1,700,000 1,700,000
Michigan Municipal Bond Authority Series A
7/3/97 ............................................ SP 1+ 4.50% 3,500,110 3,500,110
Michigan Municipal Bond Authority, RFD,
School Group 14, 5/1/98 ........................... AAA 7.80% 1,987,377 1,987,377
Michigan State General Obligation, 9/30/97 .......... MIG 1 4.50% 6,511,224 6,511,224
Michigan State Hospital VRDB-Hospital Equipment Loan
Program, 12/1/23 .................................. VMIG 1 4.30% 100,000 100,000
Michigan State Hospital VRDB-Hospital Equipment Loan
Program, 12/1/23 .................................. VMIG 1 4.30% 2,000,000 2,000,000
Equipment Loan Program, Series A, 12/1/23 ......... VMIG 1 4.30% 1,300,000 1,300,000
Michigan State HDA C/P, Series A, AMT:
8/7/97 ............................................ VMIG 1 3.80% 3,170,000 3,170,000
9/9/97 ............................................ VMIG 1 3.70% 5,000,000 5,000,000
Michigan State HDA VRDB-Rental Housing, Series B,
4/1/19 ............................................ VMIG 1 4.15% 1,600,000 1,600,000
Michigan State HDA, Series C, 4/1/19 ................ AA 4.35% 900,000 900,000
18
<PAGE>
Michigan State HDA Ltd. Obligation VRDB
Pine Ridge, 10/1/07 ............................... VMIG 1 4.10% 1,000,000 1,000,000
Laurel Valley, 12/1/07 ............................ VMIG 1 4.10% 300,000 300,000
Woodland Meadows, 3/1/13 .......................... VMIG 1 4.30% 2,000,000 2,000,000
Michigan State Job Development Authority PCR:
VRDN-Sugar Sebewa, 9/1/00 ......................... Aa 3 4.26% 600,000 600,000
VRDN-Hitachi Metals, 1/1/04 ....................... Aa 3 3.90% 1,800,000 1,800,000
VRDB-Mazda Motors Mfg. USA Corp., 10/1/08 ......... VMIG 1 4.44% 6,000,000 6,000,000
Michigan State Strategic Building C/P, 9/4/97 ....... P 1 3.80% 6,000,000 6,000,000
Michigan State Strategic Fund PCR VRDN-
Consumers Power Co., 9/1/00 ....................... A1+ 4.15% 400,000 400,000
Michigan State Strategic Fund Ltd. Obligation
VRDB-Applied Textile, Inc., 7/1/08 ................ **N/R 4.20% 1,700,000 1,700,000
Michigan State Strategic Fund Ltd. Obligation AMT:
VRDN-Alpha Tech, Inc., 10/1/97 .................... Aa 2 4.40% 6,000,000 6,000,000
VRDN-Michigan & Wayne Disposal Inc.,
4/1/99 .......................................... A1 4.30% 750,000 750,000
VRDN-Thorn Apple Valley Inc., 12/1/05 ............. A1 4.30% 1,000,000 1,000,000
VRDN-West Riverbank, 11/1/06 ...................... A1 4.30% 1,500,000 1,500,000
VRDB-United Waste System, Inc., 4/1/10 ............ VMIG 1 4.30% 4,300,000 4,300,000
VRDB-Dennenlease, 4/1/10 .......................... **N/R 4.25% 2,015,000 2,015,000
VRDB-Ironwood Plastics, Inc., 11/11 ............... **N/R 4.25% 1,275,000 1,275,000
VRDB-CEC Products Co., 6/15 ....................... **N/R 4.35% 400,000 400,000
VRDB-Petosky Plastics Inc., 8/16 .................. **N/R 4.30% 3,000,000 3,000,000
VRDB-TEI Investments LLC, 2/1/22 .................. **N/R 4.30% 1,300,000 1,300,000
Michigan State Strategic Fund Ltd. Obligation
VRDN-Freezer Services, 10/1/97 .................... **N/R 4.25% 390,000 390,000
Michigan State Strategic Fund IDR VRDB- Trust Co.,
Series C, 10/1/11 ................................. Aa3 4.30% 1,500,000 1,500,000
Michigan Underground C/P, 7/14/97 ................... P 1 3.80% 6,000,000 6,000,000
Wayne Charter Co. Airport AMT VRDB
Series A, 12/1/16 ................................. VMIG 1 4.25% 5,600,000 5,600,000
------------
123,786,184
------------
PUERTO RICO -- 4.62%
Commonwealth of Puerto Rico Transportation,
7/30/97 ........................................... MIG 1 4.00% 6,002,668 6,002,668
------------
TOTAL INVESTMENTS ................................... $129,788,852
============
<FN>
19
<PAGE>
Investment Abbreviations
AMBAC -- AMBAC Indemnity Corp.
AMT -- Alternative Minimum Tax
BIGI -- Bond Investors Guaranty Insurance Co.
C/P -- Commercial Paper
EDC -- Economic Development Corporation
EDR -- Economic Develop Revenue
FGIC -- Financial Guaranty Insurance Company
FSA -- Financial Securities Assurance Corp.
GO -- General Obligation
HCFA -- Health Care Facilities
HR -- Housing Revenue
HDA -- Housing Development Authority
HFA -- Housing Finance Authority
IDA -- Individual Development & Export Authority
IDR -- Industrial Development Revenue
MBIA -- Municipal Bond Insurance Association
PCR -- Pollution Control Revenue
PFA -- Public Facilities Authority
RFD -- Pre-Refunded Bond
TAN -- Tax Anticipation Note
TRAN -- Tax Revenue Anticipation Note
UPDATE -- Unit Priced Daily Adjustable Tax Exempt Securities
VRDB -- Variable Rate Demand Bond
VRDN -- Variable Rate Demand Note
* Rating -- Moody's when rated, otherwise Standard & Poor's.
** N/R -- Investment is not rated, yet deemed by the Investment Advisor as
an acceptable credit and having characteristics equivalent to obligations
rated AA or MIG 1 by Moody's, AA or A-1+ by Standard & Poor's.
*** Interest rates on variable rate securities are adjusted periodically
based on appropriate indexes. The interest rates shown are the rates in
effect at June 30, 1997.
See Notes to Financial Statements.
20
<PAGE>
Pegasus Money Market Funds
- ------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- ------------------------------------------------------------------------------
(1) General
The Pegasus Funds (Pegasus), formerly "The Woodward Funds" was
organized as a Massachusetts business trust on April 21, 1987 and registered
under the Investment Company Act of 1940, as amended (the Act), as an
open-end investment company. As of June 30, 1997 Pegasus consisted of twenty-
seven separate series of which there were four money market funds (the Money
Market Funds or the Funds), as described below.
Pegasus Money Market Fund
Pegasus Treasury Money Market Fund
Pegasus Municipal Money Market Fund
Pegasus Michigan Municipal Money Market Fund
The Money Market Funds commenced operations on January 4, 1988, except
for the Michigan Municipal Money Market Fund and the Treasury Money Market
Fund, which commenced operations on January 23, 1991 and January 1, 1993,
respectively.
On September 14, 1996, Pegasus Money Market Funds (formerly The
Woodward Money Market Funds) acquired all the net assets of the Prairie Money
Market Funds pursuant to an Agreement and Plan of Reorganization (the
"Plan"). Shareholders of each reorganizing portfolio approved the Plan which
called for the transfer of the assets, subject to the liabilities, of each
Prairie Fund to the corresponding Pegasus Fund. The Plan also called for the
issuance of shares by the Pegasus Fund to the shareholders of the
corresponding Prairie Fund, such shares being equal in value to the net
assets so transferred.
In accordance with generally accepted accounting principles, the
historical cost of investment securities was carried forward to the surviving
fund (the Pegasus Fund which is the accounting survivor for performance
measurement purposes as noted in the table that follows) and the results of
operations for precombination periods for the surviving fund were not
restated. The financial statements do not reflect the expenses of the
reorganization. The combination of the funds was treated as a tax free
business combination and accordingly was accounted for by a method of
accounting for tax free mergers of investment companies (sometimes referred
to as the pooling without restatement method). The following table sets forth
the name of the surviving fund (for the number of shares issued in connection
with the various mergers and the net assets transferred, see Note 5):
</TABLE>
<TABLE>
<CAPTION>
Former Current
Woodward Former Prairie Pegasus
Fund Fund Fund
-------- -------------- --------
<S> <C> <C>
*Money Market Money Market Money Market
*Treasury Money Market U.S. Government Money Market Treasury Money Market
Government Money Market -- Treasury Money Market
*Tax Exempt Money Market Municipal Money Market Municipal Money Market
*Michigan Tax Exempt Money Market -- Michigan Municipal Money Market
<FN>
* Surviving fund for accounting and performance measurement purposes.
</TABLE>
On the date of reorganization capital loss carryforwards were
transferred from the non-surviving funds in the amounts of $15,985 and
$53,652 to the Treasury Money Market and Municipal Money Market Funds,
respectively.
The Pegasus Money Market Funds (except for the Money Market Fund which
offers Class A, Class B, and Class I shares) each offer Class A shares and
Class I shares. Class A shares, Class B shares and Class I shares are
substantially the same except that Class A shares are not subject to any
sales charge and are subject to a shareholder services fee pursuant to the
Shareholder Services Plan. Class B shares are subject to a contingent
deferred sales charge imposed at the time of redemption and are subject to
fees charged pursuant to a distribution plan adopted pursuant to Rule 12b-1
under the Act and fees charged pursuant to the Shareholder Services Plan.
Class I shares are not subject to any sales charge, shareholder services fees
or 12b-1 distribution fees.
21
<PAGE>
(2) Significant Accounting Policies
The following is a summary of significant accounting policies followed
by the Money Market Funds in preparation of the financial statements. The
policies are in conformity with generally accepted accounting principles for
investment companies. Following generally accepted accounting principles
requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities, the disclosure of contingent
assets and liabilities at the date of the financial statements and reported
amounts of revenues and expenses during the reporting period. Actual results
could differ from those estimates.
Investments
Pursuant to Rule 2a-7 of the Investment Company Act of 1940, the Money
Market Funds utilize the amortized cost method to determine the carrying
value of investment securities. Under this method, investment securities are
valued for both financial reporting and federal tax purposes at amortized
cost and any discount or premium is amortized from the date of acquisition to
maturity. The use of this method results in a carrying value which
approximates market value. Market value is determined based upon quoted
market prices or dealer quotes.
Investment security purchases and sales are accounted for on the trade
date. Realized gains or losses from security transactions are recorded on the
identified cost basis.
Pegasus invests in securities subject to repurchase agreements. First
Chicago NBD Investment Management Company (FCNIMCO), acting under the
supervision of the Board of Trustees, has established the following
additional policies and procedures relating to Pegasus' investments in
securities subject to repurchase agreement: 1) the value of the underlying
collateral is required to equal or exceed 102% of the funds advanced under
the repurchase agreement including accrued interest; 2) collateral is marked
to market daily by FCNIMCO to assure its value remains at least equal to 102%
of the repurchase agreement amount; and 3) funds are not disbursed by Pegasus
or its agent unless collateral is presented or acknowledged by the collateral
custodian.
The Municipal and Michigan Municipal Funds invest in a majority of
instruments whose stated maturity is greater than one year, but whose rate of
interest is readjusted no less frequently than annually, or which possess
demand features and may therefore be deemed to have a maturity equal to the
period remaining until the next interest adjustment date or the demand date,
whichever is longer.
Investment Income
Interest income is recorded daily on the accrual basis adjusted for
amortization of premium and accretion of discount. Premiums and discounts are
amortized/accreted as required by the Internal Revenue Code, as amended (the
Code).
Federal Income Taxes
It is Pegasus' policy to comply with the requirements of Subchapter M
of the Code, applicable to regulated investment companies and to distribute
net investment income and realized gains to its shareholders. Therefore, no
federal income tax provision is required in the accompanying Financial
Statements.
As of December 31, 1996 the Funds have capital loss carryforwards and
related expiration dates as follows:
<TABLE>
<CAPTION>
Fund 1999 2001 2002 2003 2004 Total
---- ---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C>
Treasury Money Market Fund $ - $ - $ 16,000 $ - $ 1,000 $17,000
Municipal Money Market Fund 1000 2,000 1,000 36,000 14,000 54,000
Michigan Municipal Money Market Fund _ - - - 1,000 1,000
</TABLE>
Shareholder Dividends
On each business day except those holidays the New York Stock Exchange
(Exchange), FCNIMCO or its bank affiliates observe, net investment income is
declared as a dividend, at the close of the Exchange, to shareholders of
record at such close. Such dividends are paid monthly.
22
<PAGE>
Distributions from net realized capital gains, if any, are normally
declared annually and paid annually, but each Fund may make distributions on
a more frequent basis to comply with the distribution requirements of the
Code. To the extent that net realized capital gains can be offset by capital
loss carryforwards, it is the policy of each Fund not to distribute such
gains.
Deferred Organization Costs
Organization costs are being amortized on a straight-line basis over
the five year period beginning with the commencement of operations of each
series.
Expenses
Expenses directly attributable to a Fund are charged to that Fund's
operations; expenses which are applicable to all Funds are allocated among
them on the basis of relative net assets. Fund expenses directly attributable
to a class of shares are charged to that class; expenses which are applicable
to all classes are allocated among them. Pegasus monitors the rate at which
expenses are charged to ensure that a proper amount of expense is charged to
income each year. This percentage is subject to revision if there is a change
in the estimate of the future net assets of the funds or a change in
expectations as to the level of actual expenses.
Multiple Classes of Capital Shares of Beneficial Interest
Each class of shares has equal rights as to earnings, assets and voting
privileges except that each class bears different distribution and
shareholder service expenses. Each class of shares has exclusive voting
rights with respect to matters that affect just that class. Dividends are
declared separately for each class. No class has preferential dividend
rights; differences in per share dividend rates are generally due to
differences in separate class expenses. Class B shares of the Money Market
Fund are available only to the holders of Class B shares in the Trust's
non-money market funds who wish to exchange their shares in such funds for
shares in the Money Market Fund. Class B shares of the Money Market Fund will
automatically convert to Class A shares at the time the exchanged shares
would have converted.
(3) Investment Advisory Fees, Administration Fees and Other Transactions with
Affiliates
Pegasus has an Investment Advisory Agreement with FCNIMCO pursuant to
which FCNIMCO has agreed to provide the day-to-day management of each Money
Market Fund's investments for a monthly fee computed daily and payable
monthly, expressed as a percentage of each Money Market Fund's average daily
net assets, of 0.30% of the first $1.0 billion, 0.275% of the next $1.0
billion and 0.25% of each such Money Market Fund's average daily net assets
in excess of $2.0 billion. In addition, FCNIMCO is entitled to 4/10ths of the
gross income earned by a fund on each loan of securities (excluding capital
gains and losses, if any).
Pegasus has a Co-Administration Agreement with FCNIMCO and BISYS Fund
Services (BISYS) (collectively the Co-Administrators) pursuant to which the
Co-Administrators have agreed to assist in all aspects of each Money Market
Fund's operations for an administration fee, at an annual rate of 0.15% of
each Money Market Fund's average daily net assets.
BISYS serves as the Trust's principal underwriter and distributor of
the Funds' shares. NBD Bank is also compensated for its services as Pegasus'
custodian and is reimbursed for certain out of pocket expenses incurred on
behalf of Pegasus. See Note 4 for a summary of fee rates and expenses
pursuant to these agreements.
23
<PAGE>
(4) Expenses
Following is a summary of total expense rates charged for the period
ended June 30, 1997.
<TABLE>
<CAPTION>
Michigan
Treasury Municipal Municipal
Money Market Money Market Money Market Money Market
Effective Date Fund Fund Fund Fund
- -------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
CLASS A SHARES
Expense Rates:
January 1 0.73% 0.72% 0.74% 0.75%
May 1 0.75% 0.69% 0.72% 0.75%
CLASS B SHARES
Expense Rates:
January 1 1.48% N/A N/A N/A
May 1 1.50% N/A N/A N/A
CLASS I SHARES
Expense Rates:
January 1 0.48% 0.47% 0.49% 0.50%
May 1 0.50% 0.44% 0.47% 0.50%
</TABLE>
Following is a summary of amounts paid to FCNIMCO and BISYS pursuant to
the agreements described in Note 3 for the period ended June 30, 1997.
<TABLE>
<CAPTION>
Michigan
Treasury Municipal Municipal
Money Market Money Market Money Market Money Market
Effective Date Fund Fund Fund Fund
- -------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Amounts Paid:
Advisory Fee to FCNIMCO $ 3,477,163 $ 1,694,609 $ 1,322,028 $ 201,011
Administration fee to FCNIMCO and BISYS 1,863,147 856,711 661,014 100,506
Other Fees & Out of Pocket Expenses to FCNIMCO 17,557 6,385 19,474 3,856
Expense Reimbursements by FCNIMCO -- -- -- (19,589)
</TABLE>
Pegasus maintains an unfunded, nonqualified deferred compensation plan.
This plan allows an individual Trustee to elect to defer receipt of all or a
percentage of fees which otherwise would be payable for services performed.
The Funds' Class A shares and Class B shares, if any, have a
Shareholder Services Plan (the "Plan") pursuant to which the Funds pay BISYS
(the "Distributor") a fee, at an annual rate not to exceed 0.25% of the
value of the average daily net assets of the outstanding Class A shares and
Class B shares. Pursuant to the terms of the Plan, the Distributor has agreed
to provide certain shareholder services to the holders of these shares.
Additionally, under the terms of the Plan, the Distributor may make payments
to other shareholder service agents which may include FCNIMCO and their
affiliates. For the period ended June 30, 1997, the Money Market Funds paid
the following amounts under the Plan:
<TABLE>
<CAPTION>
Amounts Paid
------------
<S> <C>
Money Market Fund $951,351
Treasury Money Market Fund 230,863
Municipal Money Market Fund 230,877
Michigan Municipal Money Market Fund 93,231
</TABLE>
The Money Market Fund's Class B shares have a distribution plan adopted
pursuant to Rule 12b-1 under the Act ( the "12b-1 Plan") pursuant to which
that Fund has agreed to pay the Distributor for advertising, marketing and
distributing its Class B shares at an annual rate not to exceed 0.75% of the
value of the average daily net assets of the Money Market Fund's outstanding
Class B shares. Under the terms of the 12b-1 Plan, the Distributor may make
payments to FCNIMCO and their affiliates in respect to these services. For
the period ended June 30, 1997, the Money Market Fund paid $844 under the
12b-1 Plan which was retained by the Distributor.
24
<PAGE>
(5) Capital Share Transactions
Transactions in shares of the Money Market Funds are summarized below:
<TABLE>
<CAPTION>
Money Market Fund
-------------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1997 (Unaudited) December 31, 1996
------------------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 2,132,564,874 2,132,564,874 $ 6,364,896,910 6,364,896,910
Shares Reclassified -- -- (648,644,214) (648,644,214)
Shares Issued in Connection with Merger -- -- 400,921,734 400,921,734
Dividends Reinvested 17,691,606 17,691,606 24,864,635 24,864,635
Shares Redeemed (2,110,616,028) (2,110,616,028) (7,053,339,291) (7,053,339,291)
-------------- -------------- -------------- --------------
Net Increase (Decrease) $ 39,640,452 39,640,452 $ (911,300,226) (911,300,226)
=============== ============== =============== ==============
Class B Shares:
Shares Issued $ 671,154 671,154 $ 220,732(1) 220,732(1)
Shares Issued in Connection with Merger -- -- 130,798 130,798
Dividends Reinvested 4,736 4,736 2,577 2,577
Shares Redeemed (384,189) (384,189) (211,066) (211,066)
-------------- -------------- -------------- --------------
Net Increase $ 291,701 291,701 $ 143,041 143,041
=============== ============== =============== ==============
Class I Shares:
Shares Issued $ 2,714,099,293 2,714,099,293 $ 8,498,930,024(2) 8,498,930,024(2)
Shares Reclassified -- -- 648,644,214 648,644,214
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 9,872,468 9,872,468 9,879,060 9,879,060
Shares Redeemed (2,798,809,055) (2,798,809,055) (7,442,140,839) (7,442,140,839)
-------------- -------------- -------------- --------------
Net Increase (Decrease) $ (74,837,294) (74,837,294) $ 1,715,312,459 1,715,312,459
=============== ============== =============== ==============
Net Increase (Decrease) in Fund $ (34,905,141) (34,905,141) $ 804,155,274 804,155,274
=============== ============== =============== ==============
<CAPTION>
Treasury Money Market Fund
-----------------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1997 (Unaudited) December 31, 1996
------------------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 559,862,203 559,862,203 $ 3,820,123,799 3,820,139,784
Shares Reclassified -- -- (1,072,297,258) (1,072,297,258)
Shares Issued in Connection with Merger -- -- 159,726,471 159,726,471
Dividends Reinvested 4,068,633 4,068,633 5,610,939 5,610,939
Shares Redeemed (562,913,384) (562,913,384) (3,626,460,674) (3,626,460,674)
--------------- ------------ --------------- --------------
Net Increase (Decrease) $ 1,017,452 1,017,452 $ (713,296,723) (713,280,738)
=============== ============ ================ ==============
Class B Shares:
Shares Issued $ -- -- $ -- --
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested -- -- -- --
Shares Redeemed -- -- -- --
--------------- ------------ --------------- --------------
Net Increase $ -- -- $ -- --
=============== ============ ================ ==============
Class I Shares:
Shares Issued $ 1,694,536,186 1,694,536,186 $ 10,750,575,944(2) 10,750,575,944(2)
Shares Reclassified -- -- 1,072,297,258 1,072,297,258
Shares Issued in Connection with Merger -- -- 282,078,668 282,078,668
Dividends Reinvested 2,570,197 2,570,197 5,056,096 5,056,096
Shares Redeemed (1,786,287,067) (1,786,287,067) (11,054,404,367) (11,054,404,367)
--------------- ------------ --------------- --------------
Net Increase (Decrease) $ (89,180,684) (89,180,684) $ 1,055,603,599 1,055,603,599
=============== ============ ================ ==============
Net Increase (Decrease) in Fund $ (88,163,232) (88,163,232) $ 342,306,876 342,322,861
=============== ============ ================ ==============
<FN>
(1) For the period from September 14, 1996 (initial offering date of Class
B shares) through December 31, 1996.
(2) For the period from March 30, 1996 (initial offering date of Class I
shares) through December 31, 1996.
</TABLE>
25
<PAGE>
(5) Capital Share Transactions (continued)
<TABLE>
<CAPTION>
Municipal Money Market Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1997 (Unaudited) December 31, 1996
------------------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 228,698,473 228,698,473 $ 1,174,088,220 1,174,141,872
Shares Reclassified -- -- (452,842,722) (452,842,722)
Shares Issued in Connection with Merger -- -- 281,427,973 281,427,973
Dividends Reinvested 2,613,467 2,613,467 3,498,925 3,498,925
Shares Redeemed (230,187,395) (230,187,395) (1,388,360,065) (1,388,360,065)
--------------- -------------- --------------- ----------------
Net Increase (Decrease) $ 1,124,545 1,124,545 $ (382,187,669) (382,134,017)
=============== ============== =============== ================
Class I Shares:
Shares Issued $ 1,031,838,341 1,031,838,341 $ 2,111,312,185(1) 2,111,312,185(1)
Shares Reclassified -- -- 452,842,722 452,842,722
Dividends Reinvested 273,231 273,231 668,549 668,549
Shares Redeemed (1,007,093,328) (1,007,093,328) (1,932,885,709) (1,932,885,709)
--------------- -------------- --------------- ----------------
Net Increase $ 25,018,244 25,018,244 $ 631,937,747 631,937,747
=============== ============== =============== ================
Net Increase (Decrease) in Fund $ 26,142,789 26,142,789 $ 249,750,078 249,803,730
=============== ============== =============== ================
<CAPTION>
Michigan Municipal Money Market
----------------------------------------------------------
Six Months Ended Year Ended
June 30, 1997 (Unaudited) December 31, 1996
------------------------- -----------------
Amount Shares Amount Shares
------ ------ ------ ------
<S> <C> <C> <C> <C>
Class A Shares:
Shares Issued $ 104,495,763 104,495,763 $ 226,255,283 226,255,283
Shares Reclassified -- -- (27,136,751) (27,136,751)
Shares Issued in Connection with Merger -- -- -- --
Dividends Reinvested 1,061,197 1,061,197 2,098,227 2,098,227
Shares Redeemed (107,026,468) (107,026,468) (251,184,243) (251,184,243)
------------- ------------ ------------- ------------
Net Increase (Decrease) $ (1,469,508) (1,469,508) $ (49,967,484) (49,967,484)
============= ============ ============= ============
Class I Shares:
Shares Issued $ 92,769,369 92,769,369 $ 134,715,695(1) 134,715,695(1)
Shares Reclassified -- -- 27,136,751 27,136,751
Dividends Reinvested 35,839 35,839 128,176 128,176
Shares Redeemed (83,689,158) (83,689,158) (112,459,559) (112,459,559)
------------- ----------- ------------- ------------
Net Increase $ 9,116,050 9,116,050 $ 49,521,063 49,521,063
============= =========== ============= ============
Net Increase (Decrease) in Fund $ 7,646,542 7,646,542 $ (446,421) (446,421)
============= =========== ============= ============
<FN>
(1) For the period from March 30, 1996 (initial offering date of Class I
shares) through December 31, 1996.
</TABLE>
26
<PAGE>
(6) Portfolio Composition
Although the Municipal Money Market Fund has a diversified investment
portfolio, the Fund has investments in excess of 10% of its total investments
in the States of Michigan and Texas. The Michigan Municipal Money Market Fund
does not have a diversified portfolio since 95% of its investments are within
the State of Michigan. Such concentrations within particular states may
subject the funds more significantly to economic changes occurring within
those states.
(7) Illiquid Securities
The Pegasus Money Market Funds may invest not more than 10% of the
value of their respective net assets in securities that are illiquid.
Illiquid investments may include securities having legal or contractual
restrictions on resale or no readily available market. At June 30, 1997, the
Pegasus Money Market Fund owned the following restricted securities
(constituting 5.5% of net assets) which may not be publicly sold without
registration under the Securities Act of 1933 ( the "1933 Act"). The Fund
does not have the right to demand that such securities be registered. The
value of these securities is determined by valuations supplied by a pricing
service or brokers or, if not available, in good faith by or at the
discretion of the Board of Trustees. Certain of these securities may be
offered and sold to "qualified institutional buyers" under Rule 144A of the
1933 Act.
<TABLE>
<CAPTION>
Acquisition Par Value June 30, 1997 Percentage
Security Date Value Per Unit Value of Net Assets Cost
-------- ----------- ----- -------- ------------- ------------- ----
<S> <C> <C> <C> <C> <C> <C>
Allstate Life Insurance Company 4/18/95 $ 5,000,000 $1.00 $ 5,000,000 .2% $ 5,000,000
Commonwealth Life Insurance Company 4/18/95 5,000,000 1.00 5,000,000 .2 5,000,000
General American Life Insurance Company 4/21/97 15,500,000 1.00 15,500,000 .6 15,500,000
New York Life Insurance Company 10/15/96 30,000,000 1.00 30,000,000 1.3 30,000,000
Peoples Security Life Insurance Company 4/18/95 5,000,000 1.00 5,000,000 .2 5,000,000
Security Life of Denver Insurance
Company 11/26/96 12,500,000 1.00 12,500,000 .5 12,500,000
SunAmerica Life Insurance Compancy 4/18/95 10,000,000 1.00 10,000,000 .4 10,000,000
Transamerica Life Insurance & Annuity
Company 12/9/96 50,000,000 1.00 50,000,000 2.1 50,000,000
------------ --- ------------
$133,000,000 5.5% $133,000,000
============ === ============
</TABLE>
27
<PAGE>
Pegasus Money Market Funds
- ----------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout the Period
The Financial Highlights present a per share analysis of net investment
income and distributions from net investment income for the Money Market
Funds. Additional quantitative measures expressed in ratio form analyze
important relationships between certain items presented in the financial
statements. These financial highlights have been derived from the financial
statements of the Money Market Funds and other information for the periods
presented.
<TABLE>
<CAPTION>
Net Asset Net Realized Distributions
Value Net and Unrealized Total Income from Net
Beginning Investment Losses on from Investment Investment Total
of Period Income Investments Operations Income Distributions
--------- ---------- -------------- ---------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C>
MONEY MARKET FUND
Class A Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0240 -- 0.0240 (0.0240) (0.0240)
December 31, 1996 1.0000 0.0488 -- 0.0488 (0.0488) (0.0488)
December 31, 1995 1.0000 0.0549 -- 0.0549 (0.0549) (0.0549)
December 31, 1994 1.0000 0.0378 -- 0.0378 (0.0378) (0.0378)
December 31, 1993 1.0000 0.0281 -- 0.0281 (0.0281) (0.0281)
December 31, 1992 1.0000 0.0347 -- 0.0347 (0.0347) (0.0347)
Class B Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0208 -- 0.0208 (0.0208) (0.0208)
December 31, 1996(1) 1.0000 0.0117 -- 0.0117 (0.0117) (0.0117)
Class I Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0253 -- 0.0253 (0.0253) (0.0253)
December 31, 1996(2) 1.0000 0.0373 -- 0.0373 (0.0373) (0.0373)
- -------------------------------------------------------------------------------------------------------------------------
TREASURY MONEY MARKET FUND
Class A Shares
Six Months ended 6/30/97 (Unaudited) 0.9999 0.0235 -- 0.0235 (0.0235) (0.0235)
December 31, 1996 1.0000 0.0474 (0.0001) 0.0473 (0.0474) (0.0474)
December 31, 1995 1.0000 0.0539 -- 0.0539 (0.0539) (0.0539)
December 31, 1994 1.0000 0.0370 -- 0.0370 (0.0370) (0.0370)
December 31, 1993 1.0000 0.0273 -- 0.0273 (0.0273) (0.0273)
Class I Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0247 -- 0.0247 (0.0247) (0.0247)
December 31, 1996(2) 1.0000 0.0361 -- 0.0361 (0.0361) (0.0361)
- -------------------------------------------------------------------------------------------------------------------------
MUNICIPAL MONEY MARKET FUND
Class A Shares
Six Months ended 6/30/97 (Unaudited) 0.9997 0.0144 -- 0.0144 (0.0144) (0.0144)
December 31, 1996 1.0000 0.0295 (0.0003) 0.0292 (0.0295) (0.0295)
December 31, 1995 1.0000 0.0335 -- 0.0335 (0.0335) (0.0335)
December 31, 1994 1.0000 0.0242 -- 0.0242 (0.0242) (0.0242)
December 31, 1993 1.0000 0.0196 -- 0.0196 (0.0196) (0.0196)
December 31, 1992 1.0000 0.0264 -- 0.0264 (0.0264) (0.0264)
Class I Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0156 -- 0.0156 (0.0156) (0.0156)
Period ended 12/31/1996(2) 1.0000 0.0232 -- 0.0232 (0.0232) (0.0232)
- -------------------------------------------------------------------------------------------------------------------------
MICHIGAN MUNICIPAL MONEY MARKET FUND
Class A Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0145 -- 0.0145 (0.0145) (0.0145)
December 31, 1996 1.0000 0.0289 -- 0.0289 (0.0289) (0.0289)
December 31, 1995 1.0000 0.0329 -- 0.0329 (0.0329) (0.0329)
December 31, 1994 1.0000 0.0235 -- 0.0235 (0.0235) (0.0235)
December 31, 1993 1.0000 0.0181 -- 0.0181 (0.0181) (0.0181)
December 31, 1992 1.0000 0.0237 -- 0.0237 (0.0237) (0.0237)
Class I Shares
Six Months ended 6/30/97 (Unaudited) 1.0000 0.0158 -- 0.0158 (0.0158) (0.0158)
December 31, 1996(2) 1.0000 0.0225 -- 0.0225 (0.0225) (0.0225)
- -------------------------------------------------------------------------------------------------------------------------
<FN>
(1) For the period September 14, 1996 (initial offering of Class B Shares)
through December 31, 1996.
(2) For the period March 30, 1996 (initial offering date of Class I Shares)
through December 31, 1996.
+ Annualized.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Ratio of Ratio of Net
Ratio of Net Expenses Investment Income
Ratio of Investment to Average Net to Average Net
Net Assets Expenses Income to Assets (Excluding Assets
Net Asset Value End of Period to Average Net Average Net Fee Waivers and (Excluding Fee Waivers
End of Period Total Return (000's omitted) Assets Assets Reimbursements) and Reimbursements)
- --------------- ------------ --------------- -------------- ------------ ----------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
1.0000 4.86%+ 768,038 0.73%+ 4.80%+ -- --
1.0000 4.99% 728,397 0.63% 4.87% -- --
1.0000 5.63% 1,639,695 0.51% 5.49% -- --
1.0000 3.86% 1,323,040 0.47% 3.78% -- --
1.0000 2.85% 1,326,693 0.49% 2.81% -- --
1.0000 3.58% 1,095,354 0.52% 3.47% -- --
1.0000 4.18%+ 435 1.48%+ 4.05%+ -- --
1.0000 4.70%+ 143 1.48%+ 3.99%+ -- --
1.0000 5.10%+ 1,640,475 0.48%+ 5.05%+ -- --
1.0000 5.06%+ 1,715,313 0.51%+ 4.99%+ -- --
- -------------------------------------------------------------------------------------------------------------------
0.9999 4.74%+ 215,415 0.71%+ 4.69%+ -- --
0.9999 4.83% 214,398 0.56% 4.82% -- --
1.0000 5.53% 927,696 0.53% 5.39% -- --
1.0000 3.77% 785,694 0.50% 3.70% -- --
1.0000 2.77% 854,873 0.50% 2.73% -- --
1.0000 5.00%+ 966,423 0.46%+ 4.94%+ -- --
1.0000 4.89%+ 1,055,604 0.53%+ 4.85%+ -- --
- -------------------------------------------------------------------------------------------------------------------
0.9997 2.90%+ 183,350 0.73%+ 2.88%+ -- --
0.9997 2.96% 182,226 0.60% 2.97% -- --
1.0000 3.41% 564,413 0.53% 3.35% -- --
1.0000 2.45% 550,736 0.51% 2.42% -- --
1.0000 1.98% 498,706 0.51% 1.96% -- --
1.0000 2.70% 379,431 0.53% 2.64% -- --
1.0000 3.14%+ 656,956 0.48%+ 3.13%+ -- --
1.0000 3.13%+ 631,938 0.51%+ 3.06%+ -- --
- -------------------------------------------------------------------------------------------------------------------
1.0000 2.92%+ 70,619 0.75%+ 2.90%+ 0.78%+ 2.87%+
1.0000 2.93% 72,089 0.74% 2.87% 0.77% 2.84%
1.0000 3.32% 122,057 0.69% 3.30% 0.76% 3.23%
1.0000 2.38% 78,640 0.67% 2.35% 0.75% 2.28%
1.0000 1.83% 52,557 0.65% 1.81% -- --
1.0000 2.40% 52,960 0.64% 2.37% -- --
1.0000 3.18%+ 58,637 0.50%+ 3.15%+ 0.53%+ 3.12%+
1.0000 3.03%+ 49,521 0.59%+ 3.02%+ 0.62%+ 2.99%+
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
29
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PEGASUS FUNDS MMSA - 6 97
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