PEGASUS CASH MANAGEMENT FUNDS
U.S. Government Securities
Cash Management Fund
Treasury Prime
Cash Management Fund
Cash Management Fund
S E M I - A N N U A L R E P O R T
June 30, 1997
Please Read Carefully: This report is not authorized for distribution to
prospective investors unless preceded or accompanied by a current prospectus.
SHARES OF THE TRUST ARE NOT BANK DEPOSIT OR OBLIGATIONS OF, OR GUARANTEED
OR ENDORSED OR OTHERWISE SUPPORTED BY, FIRST CHICAGO NBD CORPORATION OR
IT 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 EACH FUND WILL BE ABLE TO
MAINTAIN A CONSTANT NET ASSET VALUE OF $1.00 PER SHARE.
<PAGE>
Pegasus Cash Management Funds
<TABLE>
<CAPTION>
Table of Contents
<S> <C>
Letter to Shareholders .............................. 1
Statements of Assets and Liabilities ................ 2
Statements of Operations ............................ 3
Statements of Changes in Net Assets ................. 4
Portfolio of Investments ............................ 6
Notes to Financial Statements ....................... 13
Financial Highlights ................................ 18
</TABLE>
INVESTMENT ADVISER
First Chicago NBD Investment Management Company (FCNIMCO)
Three First National Plaza, Chicago, IL 60670
DISTRIBUTOR
BISYS Fund Services
3435 Stelzer Road
Columbus, OH 43219
<PAGE>
June 30, 1997
Dear Pegasus Shareholder,
We are pleased to present your Semi-Annual Report for the Pegasus Cash
Management Funds dated June 30, 1997. As of June 30, 1997 the seven-day
annualized SEC yield for the following Pegasus Funds were:
<TABLE>
<CAPTION>
Institutional Services
Shares Shares
------------- --------
<S> <C> <C>
U.S. Government Securities Cash Management Fund ..... 5.27% 5.03%
Treasury Prime Cash Management Fund ................. 4.68% 4.43%
Cash Management Fund ................................ 5.37% 5.13%
</TABLE>
This report contains the portfolios and financial statements for the
Pegasus Cash Management Funds. All of the Funds purchase high quality money
market securities in accordance with their investment objective and
respective management policies.
As of June 30, 1997, the Pegasus U.S. Government Cash Management Fund,
the Pegasus Treasury Prime Cash Management Fund, and the Pegasus Cash
Management Fund were each assigned a "AAAm" rating by Standard & Poor's Rating
Group and a "Aaa" rating by Moody's Investors Service, Inc. These ratings
reflect the Funds capacity to maintain principal and limit exposure to loss.
These ratings are historical and are based upon the Cash Management Funds'
credit quality, market price exposure and management. It signifies that the
Cash Management Funds' safety is excellent and that it has a superior
capacity to maintain a $1.00 net asset value per share.
The investment advisor to the Pegasus Funds, First Chicago NBD
Investment Management Company, brings you the expertise and heritage of an
institution that has been managing money for over 100 years. We thank you for
the confidence you have expressed by investing in the Pegasus Funds. We will
continue to earn your trust by pursuing an investment strategy which seeks to
provide competitive yields while protecting the value of your principal.
/s/ Deborah Edwards
Deborah Edwards
Managing Director
First Chicago NBD Investment Management Company
<PAGE>
Pegasus Cash Management Funds
- ------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Treasury Prime
Securities Cash Cash Management Cash Management
Management Fund Fund Fund
------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments in securities:
At cost $744,690,981 $186,008,742 $871,479,228
==========================================================================================================
At amortized cost $745,815,383 $186,483,085 $872,930,104
Cash 8 969 639
Interest receivable 3,884,783 956,964 5,387,850
Deferred organization costs, net 82,070 50,019 88,900
Prepaids and other 3,347 20,009 34,467
- ----------------------------------------------------------------------------------------------------------
TOTAL ASSETS 749,785,591 187,511,046 878,441,960
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Accrued investment advisory fees 122,286 43,538 113,275
Accrued administration fees 91,714 33,043 84,956
Shareholder service fees payable (Service Shares) 53,889 46,950 62,672
Accrued custodian fees 21,880 1,868 1,158
Dividends payable 3,123,814 934,102 2,670,744
Other payable and accrued expenses 138,278 2,564 11,141
- ----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 3,551,861 1,062,065 2,943,946
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $746,233,730 $186,448,981 $875,498,014
==========================================================================================================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE:
Institutional Shares:
Net assets $511,118,825 $ 18,999,338 $532,371,071
Capital shares 511,528,284 19,000,459 532,530,060
- ----------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share $ 1.00 $ 1.00 $ 1.00
==========================================================================================================
Service Shares:
Net assets $235,114,905 $167,449,643 $343,126,943
Capital shares 235,216,796 167,451,365 343,169,840
- ----------------------------------------------------------------------------------------------------------
Net asset value and redemption price per share $ 1.00 $ 1.00 $ 1.00
==========================================================================================================
NET ASSETS CONSIST OF:
Capital shares (unlimited number of shares
authorized, par value $.01 per share) $ 7,467,451 $ 1,865,518 $ 8,756,999
Additional paid-in capital 739,277,630 184,586,306 866,942,915
Accumulated undistributed net realized losses (511,351) (2,843) (201,900)
- ----------------------------------------------------------------------------------------------------------
TOTAL NET ASSETS $746,233,730 $186,448,981 $875,498,014
==========================================================================================================
<FN>
See notes to financial statements.
</TABLE>
2
<PAGE>
Pegasus Cash Management Funds
- -----------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
Six Months Ended June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Treasury Prime
Securities Cash Cash Management Cash Management
Management Fund Fund Fund
-------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME: $17,718,972 $6,369,504 $18,211,015
----------- ---------- -----------
EXPENSES:
Investment advisory fee 641,177 251,118 648,673
Administration fees 480,883 188,338 486,504
Services plan fees (Service Shares) 288,383 260,692 317,329
Custodial fees 3,640 4,977 4,840
Registration fees and filing fees 5,155 7,677 3,671
Professional fees 7,421 16,471 11,560
Amortization of deferred organization costs 15,928 12,670 17,195
Other expenses 9,192 17,509 63,183
Less: Expense reimbursements (46,461) (54,238) (104,295)
- -------------------------------------------------------------------------------------------------------
NET EXPENSES 1,405,318 705,214 1,448,660
- -------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 16,313,654 5,664,290 16,762,355
- -------------------------------------------------------------------------------------------------------
NET REALIZED GAINS (LOSSES) ON INVESTMENTS 4,536 (5,091) --
- -------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $16,318,190 $5,659,199 $16,762,355
=======================================================================================================
<FN>
See notes to financial statements.
</TABLE>
3
<PAGE>
Pegasus Cash Management Funds
- -----------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Securities
Cash Management Fund
---------------------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996
- -----------------------------------------------------------------------------------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income $ 16,313,654 $ 28,593,227
Net realized gains on investments 4,536 8,700
- -----------------------------------------------------------------------------------------------
Net increase in net assets from operations 16,318,190 28,601,927
- -----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INVESTMENT INCOME:
Institutional Shares (10,644,446) (21,389,317)
Service Shares (5,669,208) (7,203,910)
- -----------------------------------------------------------------------------------------------
Total distributions to shareholders (16,313,654) (28,593,227)
- -----------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 2,598,846,562 4,081,677,457
Net asset value of shares issued in reinvestment of
distributions to shareholders 373,953 1,174,078
- -----------------------------------------------------------------------------------------------
2,599,220,515 4,082,851,535
Less: payments for shares redeemed (2,429,199,892) (4,052,046,110)
- -----------------------------------------------------------------------------------------------
Net increase in net assets from capital share
transactions 170,020,623 30,805,425
- -----------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS 170,025,159 30,814,125
NET ASSETS:
Beginning of period 576,208,571 545,394,446
- -----------------------------------------------------------------------------------------------
End of period $ 746,233,730 $ 576,208,571
===============================================================================================
<FN>
See notes to financial statements.
</TABLE>
4
<PAGE>
Pegasus Cash Management Funds
- ------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Treasury Prime
Cash Management Fund Cash Management 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 $ 5,664,290 $ 10,125,658 $ 16,762,355 $ 28,131,525
Net realized gains (losses) on investments (5,091) 4,248 -- (32)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations 5,659,199 10,129,906 16,762,355 28,131,493
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM NET INVESTMENT INCOME:
Institutional Shares (907,345) (1,717,216) (10,373,186) (21,315,342)
Service Shares (4,756,945) (8,408,442) (6,389,169) (6,816,183)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (5,664,290) (10,125,658) (16,762,355) (28,131,525)
- ----------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 1,323,981,292 2,257,327,819 2,957,832,754 3,601,197,069
Net asset value of shares issued in reinvestment of
distributions to shareholders 124,996 490,552 2,044,268 2,720,665
- ----------------------------------------------------------------------------------------------------------------------------------
1,324,106,288 2,257,818,371 2,959,877,022 3,603,917,734
Less: payments for shares redeemed (1,422,812,620) (2,117,229,794) (3,202,574,470) (2,996,599,096)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital
share transactions (98,706,332) 140,588,577 (242,697,448) 607,318,638
- ----------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS (98,711,423) 140,592,825 (242,697,448) 607,318,606
NET ASSETS:
Beginning of period 285,160,404 144,567,579 1,118,195,462 510,876,856
- ----------------------------------------------------------------------------------------------------------------------------------
End of period $ 186,448,981 $ 285,160,404 $ 875,498,014 $ 1,118,195,462
==================================================================================================================================
<FN>
See notes to financial statements.
</TABLE>
5
<PAGE>
Pegasus U.S. Government Securities Cash Management Fund
- -----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Face Cost
Description Amount (Note 2)
----------- ------ ---------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 66.35%
Barclay de Zoete Wedd Sec., Inc., Revolving
Repurchase Agreement, 5.90%, 7/1/97, (secured
by U.S. Treasury obligations with maturities
ranging from 10/2/97 to 2/15/07 at various
interest rates ranging from 0.00% to 7.25%, all
held at The Bank of New York) ......................... $ 31,868,000 $ 31,868,000
First Union Capital Markets Treasury, Revolving
Repurchase Agreement, 0.00%, 7/1/97 (secured by 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) .............................................. 25,000,000 25,000,000
Greenwich Capital Markets, Revolving Repurchase
Agreement, 6.00%, 7/1/97 (secured by U.S. Treasury
Notes 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 Chase Bank) .............. 27,000,000 27,000,000
H.S.B.C. Treasury Inc., 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) ......... 15,000,000 15,000,000
Lehman Brothers, Inc., Revolving Repurchase
Agreement, 6.10%, 7/1/97 (secured by various U.
S. Treasury and 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) ....................... 143,000,000 143,000,000
NationsBank Capital Markets, Inc., Revolving
Repurchase Agreement 0.00%, 7/1/97 (secured by
various U.S. Treasury Notes with maturities ranging
from 8/15/02 through 5/15/07 at various interest
rates ranging from 5.625% to 7.875%, all held at
Chemical Bank) ........................................ 23,000,000 23,000,000
Prudential Securities Agency, Inc., Revolving
Repurchase Agreement, 6.15%, 7/1/97 (secured by
various U.S. Treasury and 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) .............. 100,000,000 100,000,000
6
<PAGE>
Nomura Securities Inc., Revolving Repurchase
Agreement, 6.10%, 7/1/97 (secured by various
Government Agency obligations with maturities
ranging from 12/31/97 through 6/1/04 at various
interest rates ranging from 5.875% to 7.83%, all
held at The Bank of New York) ......................... 100,000,000 100,000,000
Smith Barney Inc., Revolving Repurchase Agreement,
6.07%, 7/1/97 (secured by various Government
obligations with maturities ranging from 2/03/97
through 11/20/06 at various interest rates ranging
from 5.00% to 8.00%, all held at The Bank
of New York) .......................................... 30,000,000 30,000,000
-----------
494,868,000
-----------
<CAPTION>
AGENCY OBLIGATIONS -- 33.65%
<S> <C> <C>
Federal Farm Credit Bank, 5.85%, 8/1/97 ................. 2,000,000 2,000,039
Federal Farm Credit Consolidated Bond, 5.51%,
1/2/98 ................................................ 4,500,000 4,495,741
Federal Farm Credit Consolidated Bond, 5.45%,
3/3/98 ................................................ 5,000,000 4,991,085
Federal Home Loan Bank:
5.44%, 12/02/97 ..................................... 11,000,000 10,996,135
5.681%, 01/13/98 .................................... 8,000,000 7,999,356
5.73%, 01/27/98 ..................................... 7,000,000 6,998,993
6.54%, 05/11/98 ..................................... 2,000,000 2,007,800
Federal Home Loan Mortgage Corp., 5.19%, 3/11/98 ........ 6,600,000 6,563,099
Federal Home Loan Mortgage Corp., 5.735%, 3/18/98 ....... 6,000,000 5,989,394
Federal Home Loan Mortgage Corp. Discount Notes:
5.51%, 07/17/97 ..................................... 10,000,000 9,975,511
5.55%, 07/23/97 ..................................... 25,000,000 24,915,208
5.51%, 07/28/97 ..................................... 25,000,000 24,896,688
5.535%, 08/05/97 .................................... 10,000,000 9,946,188
5.485%, 09/04/97 .................................... 20,000,000 19,801,931
Federal National Mortgage Assn. Discount Notes:
5.48%, 07/17/97 ..................................... 25,000,000 24,939,111
5.49%, 09/05/97 ..................................... 20,000,000 19,798,700
7
<PAGE>
Federal National Mortgage Assn. Medium Term Notes:
5.64%, 09/03/97 ..................................... 5,000,000 4,999,854
5.83%, 09/15/97 ..................................... 7,500,000 7,500,662
5.55%, 10/17/97 ..................................... 4,200,000 4,197,651
5.40%, 12/05/97 ..................................... 10,000,000 9,990,894
5.50%, 02/18/98 ..................................... 4,000,000 3,990,976
5.79%, 03/25/98 ..................................... 18,000,000 17,971,841
5.71%, 06/23/98 ..................................... 5,000,000 4,993,692
Student Loan Marketing Assn., 5.86%, 6/10/98 ............ 11,000,000 10,986,834
------------
250,947,383
------------
TOTAL INVESTMENTS ........................................ $745,815,383
============
<FN>
See notes to financial statements.
</TABLE>
8
<PAGE>
Pegasus Treasury Prime Cash Management Fund
- -----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Face Cost
Description Amount (Note 2)
----------- ------ ---------
<S> <C> <C>
U.S. TREASURY SECURITIES -- 100.00%
U.S. Treasury Bills:
4.99%, 7/3/97 ....................................... $ 14,578,000 $ 14,574,214
4.99%, 7/10/97 ...................................... 38,996,000 38,949,916
4.82%, 7/17/97 ...................................... 14,750,000 14,720,233
4.64%, 7/24/97 ...................................... 31,102,000 31,006,833
5.14%, 8/7/97 ....................................... 4,547,000 4,524,181
5.045%, 8/14/97 ..................................... 6,443,000 6,403,272
5.3125%, 8/21/97 .................................... 18,654,000 18,525,540
5.285%, 1/08/98 ..................................... 4,000,000 3,888,810
5.49%, 4/30/98 ...................................... 4,092,000 3,903,183
U.S. Treasury Notes:
5.50%, 07/31/97 ..................................... 25,000,000 25,005,178
6.50%, 08/15/97 ..................................... 8,000,000 8,005,479
5.75%, 09/30/97 ..................................... 2,000,000 2,000,691
5.125%, 03/31/98 .................................... 7,000,000 6,963,324
5.875%, 04/30/98 .................................... 3,000,000 2,996,192
6.125%, 05/15/98 .................................... 5,000,000 5,016,039
------------
TOTAL INVESTMENTS ......................................... $186,483,085
============
<FN>
See notes to financial statements.
</TABLE>
9
<PAGE>
Pegasus Cash Management Fund
- -----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
June 30, 1997 (Unaudited)
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Amortized
Face Cost
Description Amount (Note 2)
----------- ------ ---------
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- 18.26%
Barclay de Zoete Wedd Sec., Inc., Revolving
Repurchase Agreement, 5.90%, 7/1/97 (secured by
U.S. Treasury obligations with maturities ranging
from 10/02/97 through 2/15/07 at various
interest rates ranging from 0.00% to 7.25%, all
held at The Bank of New York) ......................... $ 31,407,000 $ 31,407,000
Lehman Brothers, Inc., Revolving Repurchase
Agreement, 6.10%, 7/1/97 (secured by various U.S.
Treasury and 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) ................................... 79,000,000 79,000,000
Prudential Securities Agency, Revolving Repurchase
Agreement, 6.15%, 7/1/97 (secured by U.S. Treasury
and 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) ............................................. 49,000,000 49,000,000
------------
159,407,000
------------
COMMERCIAL PAPER -- 20.31%
Banca Serafin S.A., 5.40%, 8/7/97 ....................... 10,000,000 9,944,500
Barton Capital Corp., 5.36%, 1/10/97 .................... 20,000,000 19,950,489
Central Corp Credit Union, 5.57%, 7/14/97 ............... 5,000,000 4,989,943
Greenwich Funding Corp., 5.58%, 7/7/97 .................. 15,000,000 14,986,050
Matson Navigation Co., 5.58%, 7/23/97 ................... 10,000,000 9,965,900
Mont Blanc Capital Corp., 5.57%, 7/9/97 ................. 9,363,000 9,351,411
National Rural Util Coop., 5.57%, 7/1/97 ................ 15,000,000 15,000,000
Rank Xerox Capital Corp., 5.62%, 7/10/97 ................ 10,000,000 9,985,950
Rtz America Inc., 5.65%, 8/4/97 ......................... 8,500,000 8,454,643
Safeco Credit Co., 5.59%, 8/11/97 ....................... 20,000,000 19,872,672
Sigma Finance Inc:
5.35%, 7/7/97 ....................................... 20,000,000 19,982,167
5.60%, 9/15/97 ...................................... 10,000,000 9,881,778
St. Michael Finance LTD., 5.60%, 7/8/97 ................. 15,000,000 14,983,667
Windmill Funding Corp., 5.58%, 7/21/97 .................. 10,000,000 9,969,000
------------
177,318,170
------------
10
<PAGE>
NOTES -- 14.33%
Federal National Mortgage Assn., Medium Term Note,
5.48%, 1/2/98 ......................................... 7,000,000 6,992,495
General Electric Engine Rec. Trust Note, (V/R),
2/14/00 ............................................... 12,297,068 12,297,068
Kalamazoo Funding Co. LLC, Series B, (V/R),
12/01/26 .............................................. 3,870,000 3,870,000
Kalamazoo Funding Co. LLC, Series A, (V/R),
12/01/26 .............................................. 4,730,000 4,730,000
KBL Capital Funding, Series A, (V/R), 5/01/27 ........... 3,000,000 3,000,000
Morgan Guaranty Trust Co., 5.965%, 6/22/98 .............. 10,000,000 9,996,735
New York Life Insurance Company*, Funding
Agreement (V/R), 10/14/97 ............................. 20,000,000 20,000,000
Oak Crest Homes, Inc., Demand Note, 5.68%, 11/01/26 ..... 8,385,000 8,385,000
Shepherd Capital LLC Note, (V/R), 10/01/46 .............. 8,800,000 8,800,000
Sigma Financial, Medium Term Note, 6.25%, 4/07/98 ....... 10,000,000 10,000,000
The Travelers Insurance Company*, Funding Agreement
(V/R), 11/06/97 ....................................... 18,000,000 18,000,000
Wilmington Trust Co., Series B Amtrak 93-B, (V/R),
1/01/13 ............................................... 19,000,000 19,000,000
------------
125,071,298
------------
CERTIFICATES OF DEPOSIT -- 12.37%
Abbey National Treas., Bank Note, 5.50%, 11/21/97 ....... 10,000,000 9,996,077
Bank of America, Bank Note, 5.52%, 11/21/97 ............. 10,000,000 9,997,932
Canadian Imperial Bank of Commerce, 5.685%, 3/2/98 ...... 5,000,000 4,995,681
Deutsche Bank, 6.43%, 4/24/98 ........................... 9,000,000 8,988,694
Dresdner Bank AG, 5.60%, 7/3/97 ......................... 10,000,000 10,000,000
Lasalle National Bank, 5.96%, 2/25/98 ................... 15,000,000 15,000,000
National Australia Bank, Bank Note, 5.80%, 10/3/97 ...... 9,975,000 9,974,754
Republic Mase Australia, Bank Note, 5.65%, 10/31/97 ..... 12,000,000 12,002,757
Societe Generale:
5.80%, 8/26/97 ...................................... 6,000,000 6,000,000
5.85%, 10/01/97 ..................................... 6,000,000 6,000,262
The Bank of New York, Bank Note, 6.10%, 5/22/98 ......... 10,000,000 9,991,082
The Westpac Banking Corp., 5.97%, 3/24/98 ............... 5,000,000 4,996,397
------------
107,943,636
------------
11
<PAGE>
TIME DEPOSITS -- 34.73%
Bank Brussels Lambert, 6.1875%, 7/1/97 .................. 35,000,000 35,000,000
Bank of Tokyo-Mitsubishi Ltd., 6.25%, 7/1/97 ............ 30,000,000 30,000,000
Bank One N.A., 6.25%, 7/1/97 ............................ 30,000,000 30,000,000
Canadian Imperial Bank of Commerce, 6.375%, 7/1/97 ...... 30,000,000 30,000,000
Key Bank N.A., 6.50%, 7/1/97 ............................ 42,000,000 42,000,000
Midland Bank PLC, 6.50%, 7/1/97 ......................... 39,190,000 39,190,000
Royal Bank of Canada, 6.375%, 7/1/97 .................... 25,000,000 25,000,000
Toronto Dominion Bank, 6.375%, 7/1/97 ................... 30,000,000 30,000,000
Union Bank of Switzerland, 6.50%, 7/1/97 ................ 42,000,000 42,000,000
------------
303,190,000
------------
TOTAL INVESTMENTS ......................................... $872,930,104
============
<FN>
V/R -- Variable Rate
* -- Restricted Security (See Note 5)
See notes to financial statements.
</TABLE>
12
<PAGE>
Pegasus Cash Management 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 three cash management funds
(the Cash Management Funds or the Funds), as described below.
Pegasus Cash Management Fund
Pegasus Treasury Prime Cash Management Fund
Pegasus U.S. Government Securities Cash Management Fund
The Cash Management Fund commenced operations on July 30, 1992, the
Treasury Prime Cash Management Fund commenced operations on March 22, 1995,
and the U.S. Government Securities Cash Management Fund commenced operations
on June 2, 1992.
First Chicago Corporation merged with NBD Bancorp. Inc. on December 1,
1995. First Chicago Investment Management Company, an affiliate of First
Chicago Corporation, served as Investment Advisor to Prairie Institutional
Funds, which included the Prairie U.S. Government Securities Cash Management,
Prairie Treasury Prime Cash Management and Prairie Cash Management Funds. On
July 13, 1996, pursuant to an Agreement and Plan of Reorganization which had
received approval from the shareholders of such Funds, the assets of the
Prairie Institutional Funds were transferred to the Pegasus U.S. Government
Securities Cash Management, Pegasus Treasury Prime Cash Management and
Pegasus Cash Management Funds, respectively, in exchange for shares of those
funds. Prior to July 13, 1996, the Pegasus Cash Management Funds held no
assets and had not yet commenced operations. The financial history contained
herein therefore includes such history of the Prairie Cash Management Funds,
which ceased operations as of July 12, 1996.
The Cash Management Funds each offer two classes of shares,
Institutional Shares and Service Shares. Institutional Shares and Service
Shares are substantially the same except that Service Shares are subject to
fees payable under a Distribution and Service Plan adopted pursuant to Rule
12b-1 under the Act (the Service Plan) at an annual rate of up to 0.25% of
the average daily net asset value of the outstanding Service Shares.
(2) Significant Accounting Policies
The following is a summary of significant accounting policies followed
by the Cash Management 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 income and expenses during the reporting period. Actual results
could differ from those estimates.
Investments
Pursuant to Rule 2a-7 of the Act, the Cash Management Funds utilize the
amortized cost method to determine the carrying value of investment
securities. Under this method, investment securities are valued for
13
<PAGE>
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 and 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 agreements: 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.
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 Cash Management Funds had capital loss
carryforwards and related expiration dates as follows:
<TABLE>
<CAPTION>
Fund 2001 2002 2003 Total
---- ---- ---- ---- -----
<S> <C> <C> <C> <C>
U.S. Government Securities Cash Management Fund ..... $ -- $458,000 $58,000 $516,000
Cash Management Fund ................................ 19,000 151,000 32,000 202,000
</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. Distributions from net
realized capital gains, if any, are normally declared 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 carryfowards, it is the policy of
each Fund not to distribute such gains.
14
<PAGE>
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 Cash Management Fund are charged to
that Cash Management Fund's operations; expenses which are applicable to all
Cash Management 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.
(3) Capital Share Transactions
Transactions in shares of the Cash Management Funds are summarized
below (at $1.00 per share):
<TABLE>
<CAPTION>
U.S. Government Securities
Cash Management Fund
----------------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996
---------------- -------------
<S> <C> <C>
Institutional Shares:
Shares issued ..................................... 1,794,142,077 3,012,405,624
Dividends reinvested .............................. 333,884 1,114,598
Shares redeemed ................................... (1,652,522,728) (3,133,810,559)
-------------- --------------
Net increase (decrease) ........................... 141,953,233 (120,290,337)
============== ==============
Service Shares:
Shares issued ..................................... 804,704,485 1,069,271,833
Dividends reinvested .............................. 40,069 59,480
Shares redeemed ................................... (776,677,164) (918,235,551)
-------------- --------------
Net increase ...................................... 28,067,390 151,095,762
============== ==============
Net increase in Fund ................................ 170,020,623 30,805,425
============== ==============
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
Treasury Prime
Cash Management Fund
----------------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996
---------------- -------------
<S> <C> <C>
Institutional Shares:
Shares issued ..................................... 557,749,209 834,279,533
Dividends reinvested .............................. 114,787 490,259
Shares redeemed ................................... (608,984,284) (778,657,574)
-------------- --------------
Net increase (decrease) ........................... (51,120,288) 56,112,218
============== ==============
Service Shares:
Shares issued ..................................... 766,232,083 1,423,048,286
Dividends reinvested .............................. 10,209 293
Shares redeemed ................................... (813,828,336) (1,338,572,220)
-------------- --------------
Net increase (decrease) ........................... (47,586,044) 84,476,359
============== ==============
Net increase (decrease) in Fund ..................... (98,706,332) 140,588,577
============== ==============
<CAPTION>
Cash Management Fund
----------------------------------------
Six Months Ended
June 30, 1997 Year Ended
(Unaudited) Dec. 31, 1996
---------------- -------------
<S> <C> <C>
Institutional Shares:
Shares issued ..................................... 1,949,909,450 2,462,204,127
Dividends reinvested .............................. 2,044,268 2,719,445
Shares redeemed ................................... (2,305,528,946) (1,968,098,976)
-------------- --------------
Net increase (decrease) ........................... (353,575,228) 496,824,596
============== ==============
Service Shares:
Shares issued ..................................... 1,007,923,304 1,138,992,942
Dividends reinvested .............................. -- 1,220
Shares redeemed ................................... (897,045,524) (1,028,500,120)
-------------- --------------
Net increase ...................................... 110,877,780 110,494,042
============== ==============
Net increase (decrease) in Fund ..................... (242,697,448) 607,318,638
============== ==============
</TABLE>
(4) Management Fee 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 Cash
Management Fund for an advisory fee at a annual rate of 0.20% of each Cash
Management Fund's average daily net assets.
Pegasus has entered into 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 Cash
Management Fund's operations for an administration fee at an annual rate of
0.15% of each Cash Management Fund's average daily net assets.
For the period ended June 30, 1997, FCNIMCO agreed to limit each Cash
Management Fund's expenses to an annual amount not to exceed 0.35% of average
daily net assets for Institutional Shares and 0.60% of average daily net
assets for Service Shares. As a result, the U.S. Government Securities Cash
Management
16
<PAGE>
Fund, Treasury Prime Cash Management Fund and Cash Management Fund were
reimbursed for expenses of $46,461, $54,238 and $104,295, respectively.
Pegasus has adopted a Distribution and Service Plan pursuant to Rule
12b-1 under the Act. Under the terms of such Plan, each Fund pays BISYS, the
Distributor, an annual fee of 0.25% of the average daily net assets of the
outstanding Service Shares for advertising, marketing, and distributing each
Cash Management Fund's Service shares and for the provision of certain
services to the holders of Service Shares. The Distributor may make payments
to others, including FCNIMCO, First Chicago NBD (FCNBD) and their affiliates,
for the provision of these services. For the period ended June 30, 1997, the
U.S. Government Securities Cash Management Fund, the Treasury Prime Cash
Management Fund and the Cash Management Fund paid fees under the Service Plan
in the amount of $288,383, $260,692, and $317,329, respectively.
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.
Pegasus maintains an unfunded, nonqualified deferred compensation plan.
The 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.
(5) Illiquid Securities
The Pegasus Cash Management 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 contactual restrictions on
resale or no readily available market. At period ended June 30, 1997, the
Pegasus Cash Management Fund owned the following restricted securities
(constituting 4.4% 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 directions of the
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 Per 6/30/97 Percentage of
Security Date Value Unit Value Net Assets Cost
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
New York Life Insurance Company ....... 10/15/96 $20,000,000 $1.00 $20,000,000 2.3% $20,000,000
Travelers Insurance Group ............. 11/7/96 18,000,000 1.00 18,000,000 2.1 18,000,000
- ----------------------------------------------------------------------------------------------------------------------------
$38,000,000 4.4% $38,000,000
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
Pegasus Cash Management 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 Cash Management
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 Cash Management Funds and other information for the periods
presented.
<TABLE>
<CAPTION>
Increase Due
to Capital
Net Contribution
Realized from an
Gains Total Income Distributions Affiliate
Net Asset Value Net (Losses) from from Net of the
Beginning of Investment on Investment Investment Investment Total
Period Income Investments Operations Income Adviser Distributions
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT SECURITIES CASH MANAGEMENT FUND
Institutional Shares
For the period ended
6/30/97 (Unaudited) 0.9988 0.0254 0.0003 0.0257 (0.0254) -- (0.0254)
1996 0.9990 0.0502 (0.0002) 0.0500 (0.0502) -- (0.0502)
1995(1) 0.9989 0.0320 0.0001 0.0321 (0.0320) -- (0.0320)
1995 0.9999 0.0492 (0.0010) 0.0482 (0.0492) -- (0.0492)
1994 1.0000 0.0302 (0.0001) 0.0301 (0.0302) -- (0.0302)
1993(2) 1.0000 0.0319 -- 0.0319 (0.0319) (0.0319)
Service Shares
For the period ended
6/30/97 (Unaudited) 0.9995 0.0241 -- 0.0241 (0.0241) -- (0.0241)
1996 0.9990 0.0478 0.0005 0.0483 (0.0478) -- (0.0478)
1995(1) 0.9989 0.0305 0.0001 0.0306 (0.0305) -- (0.0305)
1995(3) 1.0000 0.0199 (0.0011) 0.0188 (0.0199) -- (0.0199)
- ----------------------------------------------------------------------------------------------------------------------------------
TREASURY PRIME CASH MANAGEMENT FUND
Institutional Shares
For the period ended
6/30/97 (Unaudited) 0.9999 0.0234 -- 0.0234 (0.0234) -- (0.0234)
1996 1.0000 0.0474 (0.0001) 0.0473 (0.0474) -- (0.0474)
1995(4) 1.0000 0.0399 -- 0.0399 (0.0399) -- (0.0399)
Service Shares
For the period ended
6/30/97 (Unaudited) 1.0000 0.0222 (0.0001) 0.0221 (0.0222) -- (0.0222)
1996 1.0000 0.0449 -- 0.0449 (0.0449) -- (0.0449)
1995(4) 1.0000 0.0380 -- 0.0380 (0.0380) -- (0.0380)
- ----------------------------------------------------------------------------------------------------------------------------------
CASH MANAGEMENT FUND
Institutional Shares
For the period ended
6/30/97 (Unaudited) 0.9998 0.0258 (0.0001) 0.0257 (0.0258) -- (0.0258)
1996 0.9996 0.0508 0.0002 0.0510 (0.0508) -- (0.0508)
1995(5) 0.9994 0.0277 0.0002 0.0279 (0.0277) -- (0.0277)
1995 0.9993 0.0507 (0.0059) 0.0448 (0.0507) 0.0060 (0.0507)
1994 0.9999 0.0333 (0.0006) 0.0327 (0.0333) -- (0.0333)
1993(7) 1.0000 0.0297 (0.0001) 0.0296 (0.0297) -- (0.0297)
Service Shares
For the period ended
6/30/97 (Unaudited) 0.9998 0.0245 -- 0.0245 (0.0245) -- (0.0245)
1996 0.9996 0.0484 0.0002 0.0486 (0.0484) -- (0.0484)
1995(5) 0.9994 0.0264 0.0002 0.0266 (0.0264) -- (0.0264)
1995(8) 1.0000 0.0245 (0.0006) 0.0239 (0.0245) -- (0.0245)
- ----------------------------------------------------------------------------------------------------------------------------------
<FN>
See page 20 for Notes to Financial Highlights.
</TABLE>
18
<PAGE>
<TABLE>
<CAPTION>
Ratio of Ratio of Net
Net Ratio of Net Expenses Investment Income
Asset Net Asssets Ratio of Investment to Average Net to Average Net
Value End of Expenses to Income to Assets (Excluding Assets
End Period Average Net Average Net Fee Waivers and (Excluding Fee Waivers
of Period Total Return (000's Omitted) Assets Assets Reimbursements) and Reimbursements)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
0.9991 5.14%+ 511,119 0.35%+ 5.09%+ 0.36%+ 5.08%+
0.9988 5.15% 369,163 0.35% 5.09% 0.43% 5.01%
0.9990 3.24%++ 489,395 0.35%+ 5.46%+ 0.42%+ 5.39%+
0.9989 5.03% 475,248 0.34% 4.94% 0.41% 4.87%
0.9999 3.06% 413,634 0.30% 3.02% 0.41% 2.91%
1.0000 3.25%++ 264,527 0.02%+ 3.10%+ 0.49%+ 2.63%+
0.9995 4.88%+ 235,115 0.60%+ 4.82%+ 0.61%+ 4.96%+
0.9995 4.89% 207,046 0.60% 4.84% 0.68% 4.76%
0.9990 3.09%++ 56,000 0.60%+ 5.17%+ 0.69%+ 5.08%+
0.9989 2.01%++ 16,702 0.57%+ 5.48%+ 0.66%+ 5.39%+
- ----------------------------------------------------------------------------------------------------------------------------------
0.9999 4.74%+ 18,999 0.35%+ 4.67%+ 0.40%+ 4.62%+
0.9999 4.86% 70,120 0.35% 4.84% 0.46% 4.73%
1.0000 4.06%++ 14,008 0.35%+ 5.16%+ 1.23%+ 4.28%+
0.9999 4.48%+ 167,450 0.60%+ 4.44%+ 0.64%+ 4.40%+
1.0000 4.60% 215,040 0.60% 4.59% 0.71% 4.48%
1.0000 3.86%++ 130,559 0.60%+ 4.72%+ 0.74%+ 4.58%+
- ----------------------------------------------------------------------------------------------------------------------------------
0.9997 5.22%+ 532,371 0.35%+ 5.17%+ 0.38%+ 5.14%+
0.9998 5.23% 885,946 0.35% 5.19% 0.42% 5.12%
0.9996 2.80%++ 389,127 0.35%+ 5.51%+ 0.43%+ 5.43%+
0.9994 5.19%(6) 319,214 0.35% 5.11% 0.44% 5.02%
0.9993 3.38% 243,820 0.31% 3.33% 0.43% 3.21%
0.9999 3.25%+ 175,713 0.05%+ 3.19%+ 0.56%+ 2.68%+
0.9998 4.96%+ 343,127 0.60%+ 4.90%+ 0.63%+ 5.02%+
0.9998 4.98% 232,249 0.60% 4.94% 0.67% 4.87%
0.9996 2.68%++ 121,750 0.60%+ 5.25%+ 0.69%+ 5.16%+
0.9994 2.47%++ 11,372 0.60%+ 5.46%+ 0.71%+ 5.35%+
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
Notes to Financial Highlights
(1) For the period June 1, 1995 through December 31, 1995. Effective June 1,
1995, the Fund changed its fiscal year end from May 31 to December 31.
(2) For the period June 2, 1992 (commencement of operations) through May
31, 1993.
(3) For the period January 17, 1995 (initial offering date of Service
Shares) through May 31, 1995.
(4) For the period March 22, 1995 (commencement of operations) through
December 31, 1995.
(5) For the period July 1, 1995 through December 31, 1995. Effective July
1, 1995 the Fund changed its fiscal year end from June 30 to December
31.
(6) If the Fund had not had a capital contribution by an affiliate of the
Investment Adviser during the period, the total return would have been
4.51%.
(7) For the period July 30, 1992 (commencement of operations) through June
30, 1993.
(8) For the period January 17, 1995 (initial offering date of Service
Shares) through June 30, 1995.
+ Annualized.
++ Not Annualized.
20
<PAGE>
[BACK COVER] CMSA - 6 97
