<PAGE> 1
MUNICIPAL
BOND FUNDS
ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1999
SHORT-TERM MUNICIPAL BOND FUND
INTERMEDIATE TAX-FREE BOND FUND
TAX-FREE BOND FUND
MUNICIPAL INCOME FUND
ARIZONA MUNICIPAL BOND FUND
KENTUCKY MUNICIPAL BOND FUND
LOUISIANA MUNICIPAL BOND FUND
MICHIGAN MUNICIPAL BOND FUND
OHIO MUNICIPAL BOND FUND
WEST VIRGINIA MUNICIPAL BOND FUND
[ONE GROUP LOGO]
<PAGE> 2
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- - are not deposits or obligations of, or guaranteed by,
BANK ONE CORPORATION or any of its affiliates,
- - are not insured by the FDIC, and [NOT INSURED BY FDIC LOGO]
_ are subject to investment risks, including possible
loss of the principal amount invested.
<PAGE> 3
- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
Portfolio Performance Review............................................... 2
Schedules of Portfolio Investments......................................... 33
Statements of Assets and Liabilities........................................ 111
Statements of Operations.................................................... 113
Statements of Changes in Net Assets......................................... 115
Notes to Financial Statements............................................... 118
Financial Highlights........................................................ 132
Report of Independent Accountants........................................... 163
1
<PAGE> 4
One Group Short-Term Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the six months ended June 30, 1999, One Group Short-Term Municipal Bond Fund
I share class posted a total return of 0.50%.(1) For the year ended June 30,
1999, the Fund's total return on I shares was 3.21%. (For information on other
share classes and performance comparisons to indexes, please see page 4.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
In the second half of 1998, the short-term municipal bond market experienced
minor volatility and a record amount of new issuances. Problems emerged at the
start of the new calendar year. The continued economic growth with no evidence
of inflation began to cause real concern that this "new era" we were in was at
best unsustainable and probably inflationary.
Inflation fears swept through the market, adding volatility on a daily basis and
causing a rally in the Treasury market. Municipal bonds did not participate to
any great extent in this rally. The yield disparity between Treasury bonds and
municipals resulted in something we have not seen in a while: at times, the
yield on municipals reached more than 100% of equivalent Treasuries. This
disparity signaled a buying opportunity for non-traditional municipal bond
buyers.
Beginning in late January 1999 and lasting through the end of the fiscal year,
the general trend in interest rates was up, with bond prices moving down. The
Bond Buyer Index three-year insured municipal bond ended the fiscal year with a
yield of 4.30%, compared to 3.95% on June 30, 1998.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
As interest rates moved lower in the second half of 1998, the Fund's yield
declined, from 3.45% on June 30, 1998, to 3.18% on December 31, 1998 (I shares).
Then, the upward trend in interest rates during the first six months of 1999
pushed up the Fund's 30-day SEC yield on I shares to 3.80% on June 30, 1999.
This increase in yield more than offset the decline in the Fund's share price.
(For investors in the 39.6% federal income tax bracket, the 3.80% tax-exempt
yield translates to a tax-equivalent yield of 6.29%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The Fund's strategy changed somewhat during the year. Earlier in the period, the
basic strategy in the Fund was to buy municipal bonds with a stated maturity of
three years or less with a very high average credit quality. We altered the
strategy to include bonds with a longer stated maturity, but priced to a much
shorter call date to maintain a short average life and duration. (The call
feature refers to the bond issuer's right to repay, or "call," the bond before
the scheduled maturity date. Duration is a measure of a fund's sensitivity to
interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) As interest rates moved upward, several of the
Fund's older bonds fell outside our average life and duration parameters and had
to be sold. They were replaced with bonds that fit our new strategies.
We also opted to slightly reduce the Fund's average credit quality to increase
yield. On June 30, 1999, securities rated "AA" or better comprised 53% of the
Fund, and those rated "A" made up 19%, "BBB," 11% and 17% "not rated." The
Fund's average quality rating was "A."
The overall effect of these changes was a substantial increase in yield compared
to bonds with a shorter stated maturity. In addition, we were able to maintain
the Fund's average life at 2.7 years and duration at 2.4 years.
2
<PAGE> 5
One Group Short-Term Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT'S YOUR OUTLOOK FOR THE FUND?
As the Federal Reserve moves into a tightening mode for the near-term, we will
continue to look for signs of an economic slowdown. We will continue to buy on
weakness in the market, looking for bonds that fit the parameters of the Fund
while being cognizant of a very volatile market. We will continue to be "yield
buyers," not expecting any short-term turnaround in rates. Although we will
attempt to stay fully invested to maximize dividend payments to shareholders, we
also will consider holding a higher cash equivalent position in an effort to
preserve principal during periods of market volatility.
/s/ Patrick Morrissey
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
3
<PAGE> 6
One Group Short-Term Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class I 3.21% 3.85%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I LIPPER SHORT TERM
------- LEHMAN BROTHERS 3 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
5/98 10000.00 10000.00 10000.00
6/98 10121.00 10034.00 10035.00
6/99 10446.00 10401.00 10380.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class A 3.06% 3.50%
Class A* (0.02)% 0.81%
</TABLE>
* Reflects 3.00% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS 3 LIPPER SHORT TERM
------- -------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -----------------
<S> <C> <C> <C> <C>
5/98 10000.00 9700.00 10000.00 10000.00
6/98 10097.00 9794.00 10034.00 10035.00
6/99 10406.00 10094.00 10401.00 10380.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/4/98)
<S> <C> <C> <C>
Class B 2.38% 2.92%
Class B** (0.61)% 0.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 3 LIPPER SHORT TERM
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -----------------
<S> <C> <C> <C> <C>
5/98 10000.00 10000.00 10000.00 10000.00
6/98 10098.00 10098.00 10034.00 10035.00
6/99 10039.00 10339.00 10401.00 10380.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus Short
Municipal Bond Fund for the period prior to the commencement of operations of
the One Group Short-Term Municipal Bond Fund on March 22, 1999.
The performance of the Short-Term Municipal Bond Fund is measured against the
Lehman Brothers 3 Year Municipal Bond Index, an unmanaged index generally
representative of the short-term municipal bond market. Investors are unable to
purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B Shares.
The Lehman Brothers Blend Index is comprised of 75% Lehman Brothers 3 Year
Municipal Bond and 25% Lehman Brothers 1 Year Municipal Bond.
The Lipper Short-Term Municipal Bond Funds Index consists of funds that invest
in municipal debt issues with dollar-weighted average maturities of one to three
years.
4
<PAGE> 7
One Group Intermediate Tax-Free Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Intermediate Tax-Free Bond Fund I
share class posted a total return of 1.71%. (For information on other share
classes and performance comparisons to indexes, please see page 7.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
During the past fiscal year, we have been witness to a number of significant
events: a global financial crisis that sent the long Treasury bond soaring in
price during a flight to quality; the near collapse of several hedge funds; a
scandal and impeachment in the White House; a war in Kosovo; and the longest
peace time expansion ever that put the Federal Reserve in a tightening mode.
These events contributed to strong market volatility.
At the height of the flight to quality in the Treasury market, municipals did
their best to rally, but a constant supply of new issues prevented a price
increase. This lag in municipals led to a phenomenon not seen in years--a chance
to buy tax-exempt bonds at yields higher than their Treasury counterparts. This
aberration brought non-traditional buyers to the market, which helped absorb the
last part of a 10-year record issuance of municipal bonds.
Late in the fiscal year, concerns about a Federal Reserve rate hike caused
volatility to increase significantly. The municipal market ended the year with a
liquidity crunch that made it tough for institutions to trade bonds in the
secondary market.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
The upward trend in interest rates during the second half of the fiscal year
pushed up the Fund's 30-day SEC yield on I shares from 4.15% on June 30, 1998,
to 4.45% on June 30, 1999. This increase in yield more than offset the 3.95%
decline in the Fund's share price. (For investors in the 39.6% federal income
tax bracket, the 4.45% tax-exempt yield translates to a tax-equivalent yield of
7.37%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Late in 1998 we started to restructure the portfolio because we expected
interest rates to move higher. In an effort to preserve principal, we moved out
of bonds in the 20-year maturity range and purchased bonds in the 13- to 17-year
range. This proved to be damaging to performance, as the yield curve shifted and
longer-term bonds actually held their value better than the bonds in the range
we bought. We began to execute tax swaps to capture losses and increase dividend
yield, only to watch the market slide even more toward the end of the fiscal
year.
While the Fund's duration remained a bit longer than we would have liked it to
be, the increase in rates happened very quickly. (Duration is a measure of a
fund's price sensitivity to interest rate changes. A higher duration indicates
greater sensitivity; a shorter duration indicates less.) As we moved to shorten
duration in the latter part of 1998, we moved into a part of the yield curve
that underperformed securities with shorter and longer maturities. The Fund's
duration ended the fiscal year at 6.3 years, unchanged from June 30, 1998.
DID THE FUND'S QUALITY CHANGE?
The Fund's overall credit quality remained high, with 76% of the Fund's assets
invested in securities rated AA or better at fiscal year-end. The Fund's average
quality ended the fiscal year at AA, unchanged from June 30, 1998.
5
<PAGE> 8
One Group Intermediate Tax Free Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT'S YOUR OUTLOOK FOR THE FUND?
As the Federal Reserve moves into a tightening mode for the near-term, we will
continue to look for signs of an economic slowdown. The duration drift incurred
by the yield curve shift has forced us to hold higher cash balances as we work
through our tax swaps to attain our duration and maturity targets. Going
forward, we have the opportunity to reinvest our cash at levels not seen in more
than two years. This should allow us to increase the Fund's dividend yield while
actually shortening average maturity and duration.
/s/ Patrick M. Morrissey
Patrick M. Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
6
<PAGE> 9
One Group Intermediate Tax-Free Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/4/90)
<S> <C> <C> <C>
Class I 1.71% 5.84% 6.34%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE
------- LEHMAN BROTHERS 7 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
9/90 10000.00 10000.00 10000.00
6/91 10777.00 10814.00 10749.00
6/92 11805.00 11996.00 11854.00
6/93 12961.00 13285.00 13026.00
6/94 12946.00 13453.00 13156.00
6/95 13820.00 14560.00 14046.00
6/96 14564.00 15366.00 14764.00
6/97 15694.00 16446.00 15715.00
6/98 16908.00 17653.00 16807.00
6/99 17198.00 18168.00 17175.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 1.45% 5.59% 5.44%
Class A* (3.07)% 4.63% 4.78%
</TABLE>
* Reflects 4.50% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- -------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
2/92 10000.00 9550.00 10000.00 10000.00
6/92 10314.00 9850.00 10319.00 10311.00
6/93 11291.00 10783.00 11428.00 11331.00
6/94 11253.00 10747.00 11572.00 11443.00
6/95 11983.00 11444.00 12525.00 12218.00
6/96 12616.00 12046.00 13218.00 12842.00
6/97 13547.00 12933.00 14147.00 13669.00
6/98 14561.00 13904.00 15185.00 14619.00
6/99 14773.00 14106.00 15628.00 14939.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Years (1/14/94)
<S> <C> <C> <C>
Class B 0.80% 4.93% 3.64%
Class B** (3.99)% 4.60% 3.49%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9552 9552 9622 9601
6/95 10115 10115 10413 10251
6/96 10568 10568 10990 10775
6/97 11289 11289 11762 11469
6/98 12056 12056 12625 12266
6/99 12153 12057 12994 12535
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Intermediate Tax-Free Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
7
<PAGE> 10
One Group Tax-Free Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the six months ended June 30, 1999, One Group Tax-Free Bond Fund I share
class posted a total return of -1.78%.(1) The total return on the Fund's I
shares for the year ended June 30, 1999, was 1.72%. (For information on other
share classes and performance comparisons to indexes, please see page 10.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
During the past 12 months, we have been witness to a number of significant
events: a global financial crisis that sent the long Treasury bond soaring in
price during a flight to quality; the near collapse of several hedge funds; a
scandal and impeachment in the White House; a war in Kosovo; and the longest
peace time expansion ever that put the Federal Reserve in a tightening mode.
These events contributed to strong market volatility.
At the height of the flight to quality in the Treasury market, municipals did
their best to rally, but a constant supply of new issues prevented a price
increase. This lag in municipals led to a phenomenon not seen in years -- a
chance to buy tax-exempt bonds at yields higher than their Treasury
counterparts. This aberration brought non-traditional buyers to the market,
which helped absorb the last part of a 10-year record issuance of municipal
bonds.
Late in the period, concerns about a Federal Reserve rate hike caused volatility
to increase significantly. The municipal market ended the year with a liquidity
crunch that made it tough for institutions to trade bonds in the secondary
market.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
As interest rates moved downward in the final six months of 1998, the Fund's
30-day SEC yield fell from 4.15% on June 30, 1998, to 3.77% on December 31, 1998
(I shares). The upward trend in interest rates during the first six months of
1999 pushed up the Fund's 30-day SEC yield on I shares to 4.49% on June 30,
1999. This increase in yield more than offset the decline in the Fund's share
price. (For investors in the 39.6% federal income tax bracket, the 4.49%
tax-exempt yield translates to a tax-equivalent yield of 7.43%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our efforts during the fiscal year were to increase the Fund's yield and to
restructure and extend the Fund's average maturity. To accomplish this, we
slowly increased the Fund's duration by purchasing high-quality, non-AMT
(alternative minimum tax) bonds in the 15- to 20-year maturity range. (Duration
is a measure of a fund's sensitivity to interest rate changes. A longer duration
indicates greater sensitivity; a shorter duration indicates less.) On June 30,
1999, the Fund's duration was 7.1 years.
While this strategy was sound in an attempt to increase yield, the increase in
interest rates hampered our efforts to find both relative and absolute value. We
concentrated our purchases in premium-coupon bonds in the 13- to 16-year area,
and these bonds actually underperformed longer-term bonds.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's overall credit quality remained high, with 87% of the Fund's assets
invested in securities rated AA or better on June 30, 1999, and an average
quality rating of AA+.
8
<PAGE> 11
One Group Tax-Free Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT'S YOUR OUTLOOK FOR THE FUND?
As the Federal Reserve moves into a tightening mode for the near-term, we will
continue to look for signs of an economic slowdown. We will also initiate
tax-loss swaps in the Fund to increase yield and meet our duration target. The
expected volatility over the next few months may present us even more
opportunity to reach our investment objective.
/s/ Patrick Morrissey
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
9
<PAGE> 12
One Group Tax-Free Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/1/88)
<S> <C> <C> <C> <C>
Class I 1.72% 6.89% 7.58% 7.86%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROTHERS
CLASS I MUNICIPAL BOND LIPPER GENERAL
------- --------------- --------------
<S> <C> <C> <C>
6/89 10000.00 10000.00 10000.00
6/90 10587.50 10681.00 10526.00
6/91 11671.00 11643.00 11385.00
6/92 13067.90 13014.00 12788.00
6/93 14634.50 14571.00 14344.00
6/94 14882.50 14595.00 14253.00
6/95 16505.30 15883.00 15398.00
6/96 17417.90 16937.00 16328.00
6/97 18800.20 18335.00 17657.00
6/98 20411.00 19923.00 19188.00
6/99 20761.70 20472.00 19497.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/1/88)
<S> <C> <C> <C> <C>
Class A 1.46% 6.59% 7.79% 7.58%
Class A* (3.14)% 5.62% 6.80% 7.14%
</TABLE>
* Reflects 4.50% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LIPPER GENERAL
------- -------- MUNICIPAL BOND MUNICIPAL BOND
INDEX INDEX
--------------- --------------
<S> <C> <C> <C> <C>
6/89 10000.00 9550.00 10000.00 10000.00
6/90 10560.00 10082.00 10681.00 10526.00
6/91 11610.00 11084.00 11643.00 11385.00
6/92 12966.00 12379.00 13014.00 12788.00
6/93 14482.00 13826.00 14571.00 14344.00
6/94 14694.00 14029.00 14595.00 14253.00
6/95 16272.00 15535.00 15883.00 15398.00
6/96 17087.00 16313.00 16937.00 16328.00
6/97 18412.00 17578.00 18335.00 17657.00
6/98 19923.00 19021.00 19923.00 19188.00
6/99 20214.00 19299.00 20472.00 19497.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (4/4/95)
<S> <C> <C> <C>
Class B 0.76% 5.15%
Class B** (4.08)% 4.74%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LIPPER GENERAL
------- --------- MUNICIPAL BOND MUNICIPAL BOND
INDEX INDEX
--------------- --------------
<S> <C> <C> <C> <C>
4/95 10000 10000 10000 10000
6/95 10264 10264 10229 10204
6/96 10692 10692 10908 10820
6/97 11428 11428 11808 11701
6/98 12277 12277 12831 12715
6/99 12371 12171 13185 12920
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus
Municipal Bond Fund for the period prior to the commencement of operations of
the One Group Tax-Free Bond Fund on March 22, 1999. Prior to February 1, 1995,
performance for the Class I Shares is based on Class A Share performance
adjusted to reflect the absence of sales charges.
The performance of the Tax-Free Bond Fund is measured against the Lehman
Brothers Municipal Bond Index, an unmanaged index generally representative of
the municipal bond market as a whole. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management. By contrast, the performance of the fund
reflects the deduction of these value-added services as well as the deduction of
sales charges on Class A Shares and applicable contingent deferred sales charges
on Class B Shares.
The Lipper General Municipal Bond Funds Index consists of funds that invest at
least 65% of its assets in municipal debt issues in the top four credit ratings.
10
<PAGE> 13
One Group Municipal Income Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Municipal Income Fund I share class
posted a total return of 3.06%. (For information on other share classes and
performance comparisons to indexes, please see page 13.)
WHAT WERE THE MAJOR FACTORS AT WORK IN THE MARKET?
During the past fiscal year, we have been witness to a number of significant
events: a global financial crisis that sent the long Treasury bond soaring in
price during a flight to quality; the near collapse of several hedge funds; a
scandal and impeachment in the White House; a war in Kosovo; and the longest
peace time expansion ever that put the Federal Reserve in a tightening mode.
These events contributed to strong market volatility.
At the height of the flight to quality in the Treasury market, municipals did
their best to rally, but a constant supply of new issues prevented a price
increase. This lag in municipals led to a phenomenon not seen in years -- a
chance to buy tax-exempt bonds at yields higher than their Treasury
counterparts. This aberration brought non-traditional buyers to the market,
which helped absorb the last part of a 10-year record issuance of municipal
bonds.
Late in the fiscal year, concerns about a Federal Reserve rate hike caused
volatility to increase significantly. The municipal market ended the year with a
liquidity crunch that made it tough for institutions to trade bonds in the
secondary market.
HOW DID THESE EVENTS AFFECT THE FUND'S YIELD?
The upward trend in interest rates during the second half of the fiscal year
pushed up the Fund's 30-day SEC yield on I shares from 4.15% on June 30, 1998,
to 4.97% on June 30, 1999. This increase in yield more than offset the 1.68%
decline in the Fund's share price. (For investors in the 39.6% federal income
tax bracket, the 4.97% tax-exempt yield translates to a tax-equivalent yield of
8.23%.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The Fund's primary strategy remains the same -- seeking to generate a high level
of income while maintaining high overall credit quality and a more stable share
price compared to funds of longer maturity and duration. (Duration is a measure
of a fund's price sensitivity to interest rate changes. A higher duration
indicates greater sensitivity; a shorter duration indicates less.) The Fund
ended the fiscal year with a duration of 6.7 years, compared to 6.0 years on
June 30, 1998.
We continued to emphasize municipal housing bonds, as they exhibit the defensive
characteristics that are the cornerstone of the Fund and helped us weather the
year's volatility. We also invested in bonds from other market sectors that
offered good structure -- that is, they offered higher-than-market-rate coupons
and embedded call options, a feature that makes their payment schedules more
predictable.
The Fund continued to benefit from positive cash flows from new money and called
bonds. This continued cash flow allowed us to invest in bonds at interest rate
levels not seen for awhile. Our stringent research efforts also uncovered
opportunities in non-rated bonds, a new area of opportunity for the Fund. While
they may not be as liquid as some of our top-rated bonds, we feel the Fund is
more than compensated by the higher yield on these bonds.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality remained high during the year. On June 30, 1999, 47%
of the Fund was invested in "AAA"-rated securities, 17% in AA, 22% in A, 6% in
BBB or lower, and 8% non-rated.
11
<PAGE> 14
One Group Municipal Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT'S YOUR OUTLOOK FOR THE FUND?
Going forward, we expect market volatility to continue over the short term. This
volatility usually has presented attractive buying opportunities, and we will
attempt to shorten duration while increasing portfolio income. We also will
continue to emphasize yield and price stability in the Fund.
/s/ Patrick Morrissey
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
12
<PAGE> 15
One Group Municipal Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/9/93)
<S> <C> <C> <C>
Class I 3.06% 6.11% 5.47%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE LEHMAN BROTHERS 7
------- MUNICIPAL BOND YEAR MUNICIPAL BOND LEHMAN BROTHERS
FUNDS INDEX INDEX HOUSING BOND INDEX
------------------- ------------------- ------------------
<S> <C> <C> <C> <C>
2/93 10000 10000 10000 10000
6/93 10303 10135 10142 10530
6/94 10444 10236 10270 10662
6/95 11118 10928 11115 11536
6/96 11734 11487 11730 12423
6/97 12613 12226 12555 13440
6/98 13632 13076 13476 14601
6/99 14049 13362 13871 15035
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/23/93)
<S> <C> <C> <C>
Class A 2.80% 5.87% 5.21%
Class A* (1.85)% 4.89% 4.46%
</TABLE>
* Reflects 4.50% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* LIPPER
------- -------- LEHMAN BROTHERS INTERMEDIATE LEHMAN BROTHERS
7 YEAR MUNICIPAL MUNICIPAL BOND HOUSING BOND
BOND INDEX FUNDS INDEX INDEX
---------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
2/93 10000 9550 10000 10000 10000
6/93 10242 9781 10142 10135 10530
6/94 10379 9912 10270 10236 10662
6/95 11023 10531 11115 10928 11556
6/96 11612 11093 11730 11487 12423
6/97 12453 11897 12555 12226 13440
6/98 13429 12829 13476 13076 14601
6/99 13805 13189 13871 13362 15035
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 2.14% 5.18% 4.35%
Class B** (2.77)% 4.85% 4.20%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** LIPPER
------- --------- LEHMAN BROTHERS LEHMAN BROTHERS INTERMEDIATE
7 YEAR MUNICIPAL HOUSING BOND MUNICIPAL BOND
BOND INDEX INDEX FUNDS INDEX
---------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
1/94 10000.00 10000.00 10000.00 10000.00 10000.00
6/94 9802.00 9802.00 9622.00 9670.00 9721.00
6/95 10349.00 10349.00 10413.00 10482.00 10251.00
6/96 10830.00 10830.00 10990.00 11267.00 10775.00
6/97 11539.00 11539.00 11762.00 12191.00 11469.00
6/98 12351.00 12351.00 12626.00 13244.00 12266.00
6/99 12616.00 12616.00 12996.00 13637.00 12535.00
</TABLE>
13
<PAGE> 16
One Group Municipal Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 2.24% 6.35%
Class C** 1.26% 6.35%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** LIPPER
------- --------- LEHMAN BROTHERS INTERMEDIATE LEHMAN BROTHERS
7 YEAR MUNICIPAL MUNICIPAL BOND HOUSING BOND
BOND INDEX FUNDS INDEX INDEX
---------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
11/97 10000.00 10000.00 10000.00 10000.00 10000.00
6/98 10476.00 10476.00 10357.00 10345.00 10426.00
6/99 11070.00 11070.00 10661.00 10572.00 10787.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Municipal Income Fund is measured against the Lehman
Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of investment
grade municipal bonds with maturities close to seven years. Investors are unable
to purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B and Class C Shares.
The Lehman Brothers Housing Bond Index is comprised of municipal housing bonds.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
The benchmark index for the Municipal Income Fund was changed from the Lehman
Brothers Housing Bond Index to the Lehman Brothers 7 Year Municipal Bond Index
in order to better represent the investment policies for comparison purposes.
14
<PAGE> 17
One Group Arizona Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Arizona Municipal Bond Fund I share class posted a total return of
1.94% for the year ended June 30, 1999. (For information on other share classes
and performance comparisons to indexes, please see page 17.)
The municipal market, as usual, took its lead from the government market, but
with less gusto. For most of the year, changes in tax-exempt yields weren't as
significant as those in the taxable market. Much of this was due to tepid
interest by investors, who continued to focus on the stock market.
Ten-year municipals traded in a range of 4.15% to 4.30% from June 1998 through
February 1999. As Treasury yields did, tax-exempt yields started to increase in
March and jumped substantially in May and June. By the end of June, 10-year
insured tax-exempt yields were at 5%, and long-term yields were near 5.5%.
The gradual increase in interest rates during the year caused the Fund's 30-day
SEC yield on the I share class to increase from 3.82% on June 30, 1998, to 3.99%
on June 30, 1999. (For investors in the 39.6% federal income tax bracket and the
5.2% Arizona state bracket, the 3.99% tax-exempt yield translates into a 6.97%
tax-equivalent yield.)
WHAT HAPPENED IN THE ARIZONA MARKET?
While the Arizona market followed the national trend, a scarcity of Arizona
bonds kept in-state yields slightly higher for much of the year. Issuance of
Arizona bonds was 44% less during the first half of 1999 versus the same period
in 1998. Issuance declined due to less refunding issues and the initial impact
of legislative changes for school district financing. At the end of June,
10-year insured Arizona bonds were yielding 4.90%, and long-term securities were
yielding 5.4%.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Over the past 12 months, we extended the Fund's average life and its duration to
improve the SEC yield and to lessen the impact of high coupon, short-maturity
bonds on total return as their market values decline to par. (Average life
refers to the average period for which the individual bonds held in a fund
mature or repay their face amounts. Duration is a measure of a fund's
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.) The result was a decline in the
Fund's income component from 48.6 cents per share for the year ended June 30,
1998, to 45.4 cents for the year ended June 30, 1999.
The increase in the Fund's duration -- from 6.0 years to 6.6 years -- was a
function of selling older, higher-coupon bonds and prerefunded bonds maturing
within five years and reinvesting the proceeds in longer-term bonds to improve
yield and the portfolio's call structure. (Call refers to a bond issuer's right
to repay, or "call," the bond prior to its maturity date.) This strategy worked
well through April, but contributed to the Fund's decline during May and June,
when interest rates increased dramatically, causing longer-term bonds to suffer
greater price declines.
DID THE FUND'S QUALITY STRUCTURE CHANGE DURING THE YEAR?
Throughout the fiscal year we maintained an emphasis on quality issues, and 90%
of the portfolio was invested in insured bonds rated AAA or AA. Likewise, sector
distributions did not change dramatically, with 40% of the portfolio invested in
general obligation bonds and 60% in revenue-specific bonds.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Employment data and inflation statistics should continue to be the forces
shaping economic projections and market activity in the fixed income arena. As
the Fed moves into a tightening mode for the near term, we will continue to look
for signs of an economic slowdown.
15
<PAGE> 18
One Group Arizona Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
Our task is to take advantage of the current increase in rates to improve the
Fund's income flow while shortening the Fund's duration. We would expect to
accomplish this by exchanging current holdings for similar maturities with
higher coupons. Thus, our goal for the coming year becomes increased income
without jeopardizing the Fund's ability to increase the net asset value should
interest rates decline. We expect this to be challenging as Arizona issuances
should continue to decline with the elimination of school district financing in
the coming months.
/s/ Patrick Morrissey
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
16
<PAGE> 19
One Group Arizona Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C>
Class I 1.94% 5.34% 6.24% 7.06%
<CAPTION>
<S> <C>
Class I
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE
------- LEHMAN BROTHERS 7 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
6/89 10000.00 10000.00 10000.00
6/90 10590.00 10675.00 10619.00
6/91 11443.00 11624.00 11500.00
6/92 12672.00 12895.00 12682.00
6/93 13902.00 14280.00 13937.00
6/94 14131.00 14461.00 14075.00
6/95 15115.00 15651.00 15028.00
6/96 15721.00 16517.00 15783.00
6/97 16869.00 17678.00 16856.00
6/98 17978.00 18975.00 18028.00
6/99 18326.00 19532.00 18426.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C>
Class A 1.69% 4.80% 5.83% 6.71%
Class A* (2.84)% 3.84% 5.35% 6.47%
<CAPTION>
<S> <C>
Class A
Class A*
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- -------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
6/89 10000.00 9550.00 10000.00 10000.00
6/90 10547.00 10077.00 10675.00 10619.00
6/91 11383.00 10876.00 11624.00 11500.00
6/92 12572.00 12012.00 12895.00 12682.00
6/93 13762.00 13149.00 14280.00 13937.00
6/94 13939.00 13318.00 14461.00 14075.00
6/95 14871.00 14209.00 15651.00 15028.00
6/96 15450.00 14762.00 16517.00 15783.00
6/97 16302.00 15595.00 17678.00 16856.00
6/98 17328.00 16556.00 18975.00 18028.00
6/99 17621.00 16836.00 19532.00 18426.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (11/30/79)
<S> <C> <C> <C> <C>
Class B 1.04% 3.48% 4.83% 5.86%
Class B** (3.76%) 3.13% 4.83% 5.86%
<CAPTION>
<S> <C>
Class B
Class B**
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
6/89 10000.00 10000.00 10000.00 10000.00
6/90 10475.00 10475.00 10675.00 10619.00
6/91 11240.00 11240.00 11624.00 11500.00
6/92 12343.00 12343.00 12895.00 12682.00
6/93 13415.00 13415.00 14280.00 13937.00
6/94 13507.00 13507.00 14461.00 14075.00
6/95 14319.00 14319.00 15651.00 15028.00
6/96 14763.00 14763.00 16517.00 15783.00
6/97 15452.00 15452.00 17678.00 16856.00
6/98 15865.00 15865.00 18975.00 18028.00
6/99 16029.00 16029.00 19532.00 18426.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of a collective trust
fund for the period prior to the commencement of operations of the mutual fund
on January 20, 1997, adjusted to reflect the deduction of fees and expenses. The
collective trust fund was not registered under the Investment Company Act of
1940 ("1940 Act") and, therefore, was not subject to certain investment
restrictions, limitations and diversification requirements imposed by the 1940
Act and the Internal Revenue Code. If the collective trust fund had been
registered under the 1940 Act, its performance may have been adversely affected.
The performance of the Arizona Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lehman Brothers 7 Year Municipal Bond Index for all classes consists of the
average monthly returns of the Lehman Brothers Municipal Bond Index from June
1988 through December 1989. Thereafter, the data is from the Lehman Brothers 7
Year Municipal Bond Index which corresponds with the initiation of the Index on
January 1, 1990.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
17
<PAGE> 20
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Kentucky Municipal Bond Fund I share class posted a total return of
2.05% for the year ended June 30, 1999. (For information on other share classes
and performance comparisons to indexes, please see page 20.)
HOW DID THE STATE'S ECONOMY FARE?
This past year marked a continuation of the positive financial results that
began in the early 1990s for Kentucky. In addition to a strong national economy,
fiscal constraint measures adopted earlier this decade (mandated balanced budget
laws limiting spending to 98% of appropriations) have helped produce a reserve
fund equal to 4% of general revenues. Relative debt levels remain slightly above
national averages, but they have been reduced dramatically from early 1990
levels.
Much of the state's success can be attributed to its central geographic location
and low labor and energy costs. Over the past years, the state's employment
growth rate and unemployment rate have hovered at or better than the national
trends. This growth has centered in the higher earnings manufacturing (Toyota),
air transport (Louisville and Greater Cincinnati airports), and other service
sectors and away from the agricultural and mining areas.
Going forward, the only area of concern is weak population growth, which may
become a barrier to future expansion. However, efforts are underway to increase
migration into the state and to improve education throughout the state. Results
to date have been positive.
HOW DID THE TAX-EXEMPT MARKET COMPARE TO THE TREASURY MARKET?
As expected, the municipal sector mimicked the broad moves of the Treasury
sector over the year. But, the municipal market underperformed Treasuries over
the last six months of 1998 and outperformed Treasuries during the first half of
1999. The underperformance was due to several factors, including a surge in new
issuance that made 1998 the second-busiest year for new issues. Also, the
emerging market economic crisis and concern over the stability of the financial
markets fueled a flight to quality in the fall of 1998. Treasuries rallied and
outperformed all other fixed-income securities. In addition, the normal lag in
tax-free rate moves to those in the Treasury sector contributed to
underperformance.
All of these factors reversed once interest rates began to move upward in early
1999. After all was said and done, the municipal sector ended the fiscal year at
approximately the same relationship to Treasuries as at the beginning of the
year. Tax-exempt rates rose about 0.30 percentage points over the period, with a
slight steepening of the yield curve out to four years.
WHAT EFFECT DID THESE EVENTS HAVE ON THE FUND'S PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
during the period. But the major contributor to the Fund's performance was
income, which offset the price depreciation and kept the Fund's return positive.
In response to the increase in tax-exempt rates over the year, the Fund's 30-day
SEC yield on the I share class increased to 4.18% on June 30, 1999, from 3.91%
on June 30, 1998. (For investors in the 39.6% federal income tax bracket and the
6.0% Kentucky state bracket, the 4.18% tax-exempt yield translates into a 7.36%
tax-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our investment selections generally are limited to bonds issued in Kentucky.
Because of this, we consider bonds in all market sectors, focusing on high-
quality, full-coupon (at par or a slight premium price), intermediate bonds
(maturity in nine to 15 years) with good call structures. (Call refers to a bond
issuer's right to repay, or "call," the bond prior to its maturity date.) This
approach is designed to provide a good income stream while providing some price
protection if rates begin to increase.
The only flexibility in our strategy is the timing of our purchases. As interest
rates fell during the second half of 1998, we maintained a fully invested
posture to take advantage of the favorable environment. The subsequent rise in
rates in 1999 led to a slowing of our investment process, as we held new money
in cash to control the upward drift in the portfolio's duration as interest
rates rose. (Duration is a measure of a fund's sensitiv-
18
<PAGE> 21
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
ity to interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) Despite these efforts, the Fund's duration
increased slightly, from 5.2 years on June 30, 1998, to 5.6 years on June 30,
1999. This slightly longer duration worked well for performance in the last half
of 1998, but it hindered the Fund's performance as interest rates increased in
the first half of 1999.
The Fund's turnover rate remained favorable, primarily because the fund is
state-specific and the ability to find well structured, good quality securities
can be limited. Turnover usually occurs to improve the Fund's income stream,
address credit concerns, or improve the overall portfolio structure.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality improved slightly from the previous fiscal year and
remained high throughout the period. At year end, 74% of the portfolio was rated
AA or better, compared to 70% on June 30, 1998.
WHAT IS YOUR OUTLOOK FOR THE FUND?
With the domestic economy continuing to show strength, interest rates may remain
under pressure for the near term. In addition, the Federal Reserve has shown its
willingness to tighten monetary policy as a pre-emptive strike against rising
inflation. This, too, may keep interest rates in an upward trend for the time
being.
Our strategy going forward will focus on controlling the upward drift in
duration if interest rates continue to rise. We will attempt to accomplish this
by keeping new inflows in cash and/or short-term securities and employing tax
loss swaps to shorten maturity without disrupting the portfolio's income stream.
/s/ Patrick Morrissey
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
19
<PAGE> 22
One Group Kentucky Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/12/93)
<S> <C> <C> <C>
Class I 2.05% 5.77% 4.96%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE
------- LEHMAN BROTHERS 7 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
3/93 10000.00 10000.00 10000.00
6/93 10221.00 10277.00 10252.00
6/94 10250.00 10407.00 10354.00
6/95 10935.00 11263.00 11054.00
6/96 11630.00 11887.00 11620.00
6/97 12414.00 12722.00 12367.00
6/98 13297.00 13656.00 13227.00
6/99 13569.00 14055.00 13517.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/12/93)
<S> <C> <C> <C>
Class A 1.79% 5.48% 4.74%
Class A* (2.78)% 4.51% 3.98%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A* CLASS A LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
-------- ------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
3/93 9550.00 10000.00 10000.00 10000.00
6/93 9761.00 10221.00 10277.00 10252.00
6/94 9789.00 10250.00 10407.00 10354.00
6/95 10444.00 10935.00 11263.00 11054.00
6/96 11039.00 11559.00 11887.00 11620.00
6/97 11752.00 12305.00 12722.00 12367.00
6/98 12560.00 13151.00 13656.00 13227.00
6/99 13387.00 12786.00 14055.00 13517.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/16/95)
<S> <C> <C> <C>
Class B 1.05% 4.85%
Class B** (3.81)% 4.45%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
3/95 10000 10000 10000 10000
6/95 10263 10263 10284 10226
6/96 10792 10792 10853 10749
6/97 11419 11419 11616 11440
6/98 12127 12127 12469 12235
6/99 12255 12055 12833 12503
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Trademark
Kentucky Municipal Bond Fund for the period prior to the commencement of
operations of the One Group Kentucky Municipal Bond Fund on January 20, 1995.
Prior to January 20, 1995, performance for Class A Shares is based on Class I
Share performance adjusted to reflect the sales charges applicable to Class A
Shares.
The performance of the Kentucky Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
20
<PAGE> 23
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Louisiana Municipal Bond Fund I
share class posted a total return of 1.92%. (For information on other share
classes and performance comparisons to indexes, please see page 23.)
HOW DID THE STATE'S ECONOMY FARE?
After a period of weak financial performance, Louisiana underwent a solid
turnaround this past year. This improvement was the byproduct of the continued
strong national economic growth coupled with a number of state-led initiatives.
In particular, the state implemented strategies to address an over-reliance on
Medicaid disbursements. Additionally, the state has taken steps to better match
revenues and expenditures to avoid the budget imbalances that have surfaced in
the past. Any surpluses are earmarked to repay outstanding debt, which will
reduce the high debt burden of the state but does not provide the cushion to
survive future slowdowns.
As is the case with most states, Louisiana is striving to diversify its economic
base and reduce its reliance on more cyclical industries (i.e., oil and gas) and
low paying sectors. While progress has been made, the oil and gas sector
remains -- and will likely continue to be -- a large and important segment of
the state's economic base.
The near-term outlook for Louisiana appears stable, as reflected by the upgrade
of its credit standing by a national rating agency. But, the state remains
subject to the swings of a very volatile industry, which could change prospects
quickly.
HOW DID THE TAX-EXEMPT MARKET COMPARE TO THE TREASURY MARKET?
As expected, the municipal sector mimicked the broad moves of the Treasury
sector over the year. But, the municipal market underperformed Treasuries over
the last six months of 1998 and outperformed Treasuries during the first half of
1999. The underperformance was due to several factors, including a surge in new
issuance that made 1998 the second-busiest year for new issues. Also, the
emerging market economic crisis and concern over the stability of the financial
markets fueled a flight to quality in the fall of 1998. Treasuries rallied and
outperformed all other fixed-income securities. In addition, the normal lag in
tax-free rate moves to those in the Treasury sector contributed to
underperformance.
All of these factors reversed once interest rates began to move upward in early
1999. After all was said and done, the municipal sector ended the fiscal year at
approximately the same relationship to Treasuries as at the beginning of the
year. Tax-exempt rates rose about 0.30 percentage points over the period, with a
slight steepening of the yield curve out to four years.
WHAT EFFECT DID THESE EVENTS HAVE ON THE FUND'S PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
during the period. But the major contributor to the Fund's performance was
income, which offset the price depreciation and kept the Fund's return positive.
In response to the increase in tax-exempt rates over the year, the Fund's 30-day
SEC yield on the I share class increased to 4.24% on June 30, 1999, from 3.90%
on June 30, 1998. (For investors in the 39.6% federal income tax bracket and the
6.0% Louisiana state bracket, the 4.24% tax-exempt yield translates into a 7.29%
tax-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Because our investment selections are limited to the state of Louisiana, we
consider bonds in all market sectors, focusing on high-quality, full-coupon (at
par or a slight premium price), intermediate bonds (maturity in nine to 15
years) with good call structures. (Call refers to a bond issuer's right to
repay, or "call," the bond prior to its maturity date.) This approach is
designed to provide a good income stream while providing some price protection
if rates begin to increase.
The only flexibility in our strategy is the timing of our purchases. As interest
rates fell during the second half of 1998, we maintained a fully invested
posture to take advantage of the favorable environment. The subsequent rise in
rates in 1999 led to a slowing of our investment process, as we held new money
in cash to control the upward drift in the portfolio's duration as interest
21
<PAGE> 24
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
rates rose. (Duration is a measure of a fund's sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) Despite these efforts, the Fund's duration increased slightly,
from 5.4 years on June 30, 1998, to 6.2 years on June 30, 1999. This slightly
longer duration enhanced Fund performance in the last half of 1998, as interest
rates declined, but it hindered the Fund's performance as interest rates
increased in the first half of 1999.
The Fund's turnover rate remained favorable, primarily because the Fund focuses
on bonds issued in Louisiana, and the ability to find well structured, good
quality securities can be limited. Turnover usually occurs to improve the Fund's
income stream, address credit concerns, or improve the overall portfolio
structure.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality improved slightly from the previous fiscal year and
remained high throughout the period. At year end, 85% of the portfolio was rated
AA or better, compared to 79% on June 30, 1998.
WHAT IS YOUR OUTLOOK FOR THE FUND?
With the domestic economy continuing to show strength, interest rates may remain
under pressure for the near term. In addition, the Federal Reserve has shown its
willingness to tighten monetary policy as a pre-emptive strike against rising
inflation. This, too, may keep interest rates in an upward trend for the time
being.
Our strategy going forward will focus on controlling the outward drift in
duration if interest rates continue to rise. We will attempt to accomplish this
by keeping new inflows in cash and/or short-term securities and employing tax
loss swaps to shorten maturity without disrupting the portfolio's income stream.
/s/ Patrick Morrissey
- -------------------------------------------
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
- -------------------------------------------
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
22
<PAGE> 25
One Group Louisiana Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (12/29/89)
<S> <C> <C> <C>
Class I 1.92% 5.46% 6.29%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I LIPPER
------- LEHMAN BROTHERS 7 YEAR INTERMEDIATE MUNICIPAL
MUNICIPAL BOND INDEX BOND FUNDS INDEX
---------------------- ----------------------
<S> <C> <C> <C>
12/89 10000.00 10000.00 10000.00
6/90 10339.00 10274.00 10248.00
6/91 11182.00 11187.00 11098.00
6/92 12295.00 12410.00 12239.00
6/93 13550.00 13743.00 13450.00
6/94 13685.00 13917.00 13584.00
6/95 14584.00 15062.00 14503.00
6/96 15375.00 15896.00 15244.00
6/97 16422.00 17013.00 16225.00
6/98 17509.00 18262.00 17353.00
6/99 17837.00 18795.00 17733.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (12/29/89)
<S> <C> <C> <C>
Class A 1.67% 5.35% 6.23%
Class A* (2.87)% 4.38% 5.72%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* LIPPER
------- -------- INTERMEDIATE MUNICIPAL LEHMAN BROTHERS 7
BOND FUNDS INDEX YEAR MUNICIPAL BOND
---------------------- -------------------
<S> <C> <C> <C> <C>
12/89 10000.00 9550.00 10000.00 10000.00
6/90 10339.00 9873.00 10248.00 10274.00
6/91 11182.00 10679.00 11098.00 11187.00
6/92 12295.00 11742.00 12239.00 12410.00
6/93 13550.00 12940.00 13450.00 13743.00
6/94 13685.00 13069.00 13584.00 13917.00
6/95 14584.00 13928.00 14503.00 15062.00
6/96 15365.00 14673.00 15244.00 15896.00
6/97 16371.00 15634.00 16225.00 17013.00
6/98 17410.00 16629.00 17353.00 18262.00
6/99 17750.00 16954.00 17733.00 18795.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (9/16/94)
<S> <C> <C> <C>
Class B 1.11% 4.62%
Class B** (3.75)% 4.26%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** LIPPER INTERMEDIATE LEHMAN BROTHERS 7
------- --------- MUNICIPAL BOND YEAR MUNICIPAL BOND
FUNDS INDEX INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
9/94 10000 10000 10000 10000
6/95 10487 10487 10735 10824
6/96 10972 10972 11283 11424
6/97 11614 11614 12010 12226
6/98 12276 12276 12845 13123
6/99 12413 12213 13126 13506
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
Finvestor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Paragon
Louisiana Tax-Free Fund for the period prior to the commencement of operations
of the One Group Louisiana Municipal Bond Fund on March 26, 1996. Prior to March
26, 1996, performance for the Class I Shares is based on Class A Share
performance adjusted to reflect the absence of sales charges.
The performance of the Louisiana Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
23
<PAGE> 26
One Group Michigan Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Michigan Municipal Bond Fund I share class posted a total return of
(-)1.46% for the six months ended June 30, 1999.(1) For the year ended June 30,
1999, the Fund's total return on I shares was 1.75%. (For information on other
share classes and performance comparisons to indexes, please see page 26.)
HOW DID THE STATE'S ECONOMY FARE?
The State of Michigan has fared particularly well over the past several years
due to a healthy economy resulting from low inflation, low interest rates and
the state's spending containment. Michigan's cumulative debt appears very
manageable, and the state received accolades in 1998 from the ratings agencies.
HOW DID THE TAX-EXEMPT MARKET COMPARE TO THE TREASURY MARKET?
As expected, the municipal sector mimicked the broad moves of the Treasury
sector over the year. But, the municipal market underperformed Treasuries over
the last six months of 1998 and outperformed Treasuries during the first half of
1999. The underperformance was due to several factors, including a surge in new
issuance that made 1998 the second-busiest year for new issues. Also, the
emerging market economic crisis and concern over the stability of the financial
markets fueled a flight to quality in the fall of 1998. Treasuries rallied and
outperformed all other fixed-income securities. In addition, the normal lag in
tax-free rate moves to those in the Treasury sector contributed to
underperformance.
All of these factors reversed once interest rates began to move upward in early
1999. After all was said and done, the municipal sector ended the fiscal year at
approximately the same relationship to Treasuries as at the beginning of the
year. Tax-exempt rates rose about 0.30 percentage points over the period, with a
slight steepening of the yield curve out to four years.
WHAT EFFECT DID THESE EVENTS HAVE ON THE FUND'S PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
during the period. But, the major contributor to the Fund's performance was
income, which offset the price depreciation and kept the Fund's return positive.
In response to the increase in tax-exempt rates over the year, the Fund's 30-day
SEC yield on the I share class increased to 4.52% on June 30, 1999, from 4.00%
on December 31, 1998, and 4.40% on June 30, 1998. (For investors in the 39.6%
federal income tax bracket and the 4.40% Michigan state bracket, the 4.52% tax-
exempt yield translates into a 7.83% tax-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Because we invest almost exclusively in bonds issued in Michigan, we look for
diversity and opportunity from bonds in all market sectors, focusing on high-
quality, full-coupon (at par or a slight premium price), intermediate bonds
(maturity in nine to 15 years) with good call structures. (Call refers to a bond
issuer's right to repay, or "call," the bond prior to its maturity date.) This
approach is designed to provide a good income stream while providing some price
protection if rates begin to increase.
The only flexibility in our strategy is the timing of our purchases. As interest
rates fell during the second half of 1998, we maintained a fully invested
posture to take advantage of the favorable environment. The subsequent rise in
rates in 1999 led to a slowing of our investment process, as we held new money
in cash to control the upward drift in the portfolio's duration as interest
rates rose. (Duration is a measure of a fund's sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) Despite these efforts, we slightly increased the Fund's
duration, which ended the period at 7.7 years on June 30, 1999. This strategy
enhanced Fund performance in the last half of 1998, as interest rates declined,
but it hindered the Fund's performance as interest rates increased in the first
half of 1999.
The Fund's turnover rate remained favorable, primarily because the fund is
limited to bonds issued in Michigan, and the ability to find well structured,
good quality securities can be limited. Turnover usually occurs to improve the
Fund's income stream, address credit concerns, or improve the overall portfolio
structure.
24
<PAGE> 27
One Group Michigan Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality remained high during the year. At year end, 86% of
the portfolio was rated AA or better, approximately the same as on June 30,
1998.
WHAT IS YOUR OUTLOOK FOR THE FUND?
With the domestic economy continuing to show strength, interest rates may remain
under pressure for the near term. In addition, the Federal Reserve has shown its
willingness to tighten monetary policy as a pre-emptive strike against rising
inflation. This, too, may keep interest rates in an upward trend for the time
being.
Our strategy going forward will focus on controlling the outward drift in
duration if interest rates continue to rise. We will attempt to accomplish this
by keeping new inflows in cash and/or short-term securities and employing tax
loss swaps to shorten maturity without disrupting the portfolio's income stream.
/s/ Patrick Morrissey
- ---------------------------------------------------
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
- ---------------------------------------------------
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
25
<PAGE> 28
One Group Michigan Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C>
Class I 1.75% 6.46% 5.84%
<CAPTION>
<S> <C>
Class I
</TABLE>
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS I LEHMAN BROTHERS LIPPER MICHIGAN
------- MICHIGAN MUNICIPAL BOND MUNICIPAL BOND FUNDS
INDEX INDEX
----------------------- --------------------
<S> <C> <C> <C>
2/93 10000.00 10000.00 10000.00
6/93 10528.90 10192.00 10226.00
6/94 10517.70 10201.00 10232.00
6/95 11403.20 11154.00 10947.00
6/96 12050.00 11938.00 11594.00
6/97 13003.40 12943.00 12461.00
6/98 14138.70 14092.00 13437.00
6/99 14386.00 14443.00 13641.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C>
Class A 1.58% 6.32% 5.73%
Class A* (3.03)% 5.35% 4.97%
<CAPTION>
<S> <C>
Class A
Class A*
</TABLE>
* Reflects 4.50% Sales Charge.
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS A CLASS A* LEHMAN BROTHERS LIPPER MICHIGAN
------- -------- MICHIGAN MUNICIPAL MUNICIPAL BOND
BOND INDEX FUNDS INDEX
------------------ ---------------
<S> <C> <C> <C> <C>
2/93 10000.00 10000.00 10000.00 10000.00
6/93 10528.90 10056.30 10192.00 10226.00
6/94 10517.70 10045.60 10201.00 10232.00
6/95 11403.20 10891.30 11154.00 10947.00
6/96 12050.00 11509.00 11938.00 11594.00
6/97 12983.90 12401.10 12943.00 12461.00
6/98 14068.00 13436.50 14092.00 13437.00
6/99 14289.80 13648.30 14443.00 13641.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/1/93)
<S> <C> <C> <C>
Class B 0.80% 5.84% 5.37%
Class B** (4.05)% 5.52% 5.37%
<CAPTION>
<S> <C>
Class B
Class B**
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS B CLASS B** LEHMAN BROTHERS LIPPER MICHIGAN
------- --------- MICHIGAN MUNICIPAL MUNICIPAL BOND
BOND INDEX FUNDS INDEX
------------------ ---------------
<S> <C> <C> <C> <C>
2/93 10000.00 10000.00 10000.00 10000.00
6/93 10538.60 10538.60 10192.00 10226.00
6/94 10526.30 10526.30 10201.00 10232.00
6/95 11407.60 11407.60 11154.00 10947.00
6/96 12056.30 12056.30 11938.00 11594.00
6/97 12870.80 12870.80 12943.00 12461.00
6/98 13869.10 13869.10 14092.00 13437.00
6/99 13979.80 13979.80 14443.00 13641.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of the Pegasus
Michigan Municipal Bond Fund for the period prior to the commencement of
operations of the One Group Michigan Municipal Bond Fund on March 22, 1999.
The performance of the Michigan Municipal Bond Fund is measured against the
Lehman Brothers Michigan Municipal Bond Index, an unmanaged index generally
representative of the Michigan Municipal bond market. Investors are unable to
purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B Shares.
The Lipper Michigan Municipal Bond Funds Index is comprised of funds that limit
their assets to those securities that are exempt from taxation in a specified
state (double tax-exempt) or city (triple tax-exempt).
26
<PAGE> 29
One Group Ohio Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Ohio Municipal Bond Fund I share class posted a total return of 1.84%
for the year ended June 30, 1999. (For information on other share classes and
performance comparisons to indexes, please see page 29.)
HOW DID THE STATE'S ECONOMY FARE?
Ohio, with its well developed, diverse economy and employment base, together
with the strong financial controls in place, has moved in tandem with the
national economy over the last few years. As a result, a string of large
operating surpluses has helped to build a significant "rainy day fund" and lower
debt levels to national averages.
The state continues to attempt to diversify away from the mature manufacturing
industries located in Northeast Ohio and into the less-cyclical service sectors.
The outlook for the state is for continued stability due to its size and
diversity. A major challenge going forward will be the development of a new
school funding structure, as the current one has been ruled unconstitutional by
the state Supreme Court.
HOW DID THE TAX-EXEMPT MARKET COMPARE TO THE TREASURY MARKET?
As expected, the municipal sector mimicked the broad moves of the Treasury
sector over the year. This, however, took place over two phases as the municipal
market underperformed Treasuries over the last six months of 1998 and
outperformed Treasuries during the first half of 1999. The underperformance was
due to several factors, including a surge in new issuance that made 1998 the
second-busiest year for new issues. Also, the emerging market economic crisis
and concern over the stability of the financial markets fueled a flight to
quality in the fall of 1998. Treasuries rallied and outperformed all other
fixed-income securities. In addition, the normal lag in tax-free rate moves to
those in the Treasury sector contributed to underperformance.
All of these factors reversed once interest rates began to move upward in early
1999. After all was said and done, the municipal sector ended the fiscal year at
approximately the same relationship to Treasuries as at the beginning of the
year. Tax-exempt rates rose about 0.30 percentage points over the period, with a
slight steepening of the yield curve out to four years.
WHAT EFFECT DID THESE EVENTS HAVE ON THE FUND'S PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
during the period. As a result, the major contributor to the Fund's performance
was income, which offset the price depreciation and kept the Fund's return
positive.
In response to the increase in tax-exempt rates over the year, the Fund's 30-day
SEC yield on the I share class increased to 4.35% on June 30, 1999, from 4.19%
on June 30, 1998. (For investors in the 39.6% federal income tax bracket and the
6.8% Ohio state bracket, the 4.35% tax-exempt yield translates into a 7.73% tax-
equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
For the most part, our investment selections are limited to bonds issued in
Ohio. As such, we must consider bonds in all market sectors, focusing on high-
quality, full-coupon (at par or a slight premium price), intermediate bonds
(maturity in nine to 15 years) with good call structures. (Call refers to a bond
issuer's right to repay, or "call," the bond prior to its maturity date.) This
approach is designed to provide a good income stream while providing some price
protection if rates begin to increase.
The only flexibility in our strategy is the timing of our purchases. As interest
rates fell during the second half of 1998, we maintained a fully invested
posture to take advantage of the favorable environment. The subsequent rise in
rates in 1999 led to a slowing of our investment process, as we held new money
in cash to control the upward drift in the portfolio's duration as interest
rates rose. (Duration is a measure of a fund's sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) Despite these efforts, the Fund's duration increased slightly,
from 5.7 years on June 30, 1998, to 6.5 years on June 30, 1999. This slightly
longer duration enhanced the Fund's performance as interest rates were falling,
27
<PAGE> 30
One Group Ohio Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
but it hindered the Fund's performance as interest rates increased in the first
half of 1999.
The Fund's turnover rate remained favorable, primarily because the fund is
state-specific and the ability to find well structured, good quality securities
can be limited. Turnover usually occurs to improve the Fund's income stream,
address credit concerns, or improve the overall portfolio structure.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality remained high during the year, with 66% of the
portfolio rated AAA--the highest rating.
WHAT IS YOUR OUTLOOK FOR THE FUND?
With the domestic economy continuing to show strength, interest rates may remain
under pressure for the near term. In addition, the Federal Reserve has shown its
willingness to tighten monetary policy as a pre-emptive strike against rising
inflation. This, too, may keep interest rates in an upward trend for the time
being.
Our strategy going forward will focus on controlling the outward drift in
duration if interest rates continue to rise. We will attempt to accomplish this
by keeping new inflows in cash and/or short-term securities and employing tax
loss swaps to shorten maturity without disrupting the portfolio's income stream.
/s/ Patrick Morrissey
- --------------------------------------------------
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
- ---------------------------------------------------
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
28
<PAGE> 31
One Group Ohio Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/2/91)
<S> <C> <C> <C>
Class I 1.84% 5.57% 6.20%
<CAPTION>
<S> <C>
Class I
</TABLE>
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS I LIPPER INTERMEDIATE
------- LEHMAN BROTHERS 7 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
7/91 10000.00 10000.00 10000.00
6/92 11061.00 10983.00 10913.00
6/93 12325.00 12163.00 12192.00
6/94 12334.00 12317.00 12112.00
6/95 13083.00 13330.00 12931.00
6/96 13827.00 14069.00 13592.00
6/97 14825.00 15057.00 14467.00
6/98 15883.00 16162.00 15472.00
6/99 16176.00 16634.00 15811.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 1.59% 5.31% 5.65%
Class A* (2.96)% 4.34% 4.98%
<CAPTION>
<S> <C>
Class A
Class A*
</TABLE>
* Reflects 4.50% Sales Charge.
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS A CLASS A* LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- -------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
2/92 10000.00 9550.00 10000.00 10000.00
6/92 10393.00 9925.00 10319.00 10311.00
6/93 11577.00 11056.00 11428.00 11331.00
6/94 11572.00 11051.00 11572.00 11443.00
6/95 12242.00 11691.00 12525.00 12218.00
6/96 12908.00 12327.00 13218.00 12842.00
6/97 13805.00 13183.00 14147.00 13669.00
6/98 14753.00 14082.00 15185.00 14619.00
6/99 14987.00 14306.00 15628.00 14939.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 1.01% 4.67% 3.49%
Class B** (3.84)% 4.33% 3.34%
<CAPTION>
<S> <C>
Class B
Class B**
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
Value of $10,000 Investment
CLASS B CLASS B** LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
1/94 10000.00 10000.00 10000.00 10000.00
6/94 9598.00 9598.00 9622.00 9601.00
6/95 10095.00 10095.00 10413.00 10251.00
6/96 10578.00 10578.00 10990.00 10775.00
6/97 11241.00 11241.00 11762.00 11469.00
6/98 11937.00 11937.00 12625.00 12266.00
6/99 12059.00 11963.00 12994.00 12535.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The performance of the Ohio Municipal Bond Fund is measured against the Lehman
Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of investment
grade municipal bonds with maturities close to seven years. Investors are unable
to purchase the index directly, although they can invest in the underlying
securities. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B Shares.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
29
<PAGE> 32
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group West Virginia Municipal Bond Fund I
share class posted a total return of 1.71%. (For information on other share
classes and performance comparisons to indexes, please see page 32.)
HOW DID THE STATE'S ECONOMY FARE?
West Virginia continues to make progress in moving from one of the nation's
weakest states a decade ago to one on very solid financial ground. The primary
factors contributing to this have been a strong national economy, state
budgetary reforms, and a diversification of its economic base from the steel and
mining industries to the less cyclical service sector.
During the past year, employment levels grew faster than the national average,
even though the steel and mining industries continued to contract. This helped
lower the state's unemployment rate to the lowest level in 20 years, although it
remained above the national average. In addition, income and debt levels
improved substantially. All of this helped to produce a "rainy day fund" that
equals approximately 1.5% of annual revenues.
HOW DID THE TAX-EXEMPT MARKET COMPARE TO THE TREASURY MARKET?
As expected, the municipal sector mimicked the broad moves of the Treasury
sector over the year. This took place over two phases, however, as the municipal
market underperformed Treasuries over the last six months of 1998 and
outperformed Treasuries during the first half of 1999. The underperformance was
due to several factors, including a surge in new issuance that made 1998 the
second-busiest year for new issues. Also, the emerging market economic crisis
and concern over the stability of the financial markets fueled a flight to
quality in the fall of 1998. Treasuries rallied and outperformed all other
fixed-income securities. In addition, the normal lag in tax-free rate moves to
those in the Treasury sector contributed to underperformance.
All of these factors reversed once interest rates began to move upward in early
1999. After all was said and done, the municipal sector ended the fiscal year at
approximately the same relationship to Treasuries as at the beginning of the
year. Tax-exempt rates rose about 0.30 percentage points over the period, with a
slight steepening of the yield curve out to four years.
WHAT EFFECT DID THESE EVENTS HAVE ON THE FUND'S PERFORMANCE?
The general increase in interest rates caused the Fund's share price to decline
during the period. As a result, the major contributor to the Fund's performance
was income, which offset the price depreciation and kept the Fund's return
positive.
In response to the increase in tax-exempt rates over the year, the Fund's 30-day
SEC yield on the I share class increased to 4.29% on June 30, 1999, from 4.13%
on June 30, 1998. (For investors in the 39.6% federal income tax bracket and the
6.5% West Virginia state bracket, the 4.29% tax-exempt yield translates into a
7.60% tax-equivalent yield.)
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
In general, our investment selections are limited to bonds issued in West
Virginia. Because of this, we look for diversity and opportunity from bonds in
all market sectors, focusing on high-quality, full-coupon (at par or a slight
premium price), intermediate bonds (maturity in nine to 15 years) with good call
structures. (Call refers to a bond issuer's right to repay, or "call," the bond
prior to its maturity date.) This approach is designed to produce a good income
stream while providing some price protection if rates begin to increase.
The only flexibility in our strategy is the timing of our purchases. As interest
rates fell during the second half of 1998, we maintained a fully invested
posture to take advantage of the favorable environment. The subsequent rise in
rates in 1999 led to a slowing of our investment process, as we held new money
in cash to control the upward drift in the portfolio's duration as interest
rates rose. (Duration is a measure of a fund's sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.) Despite these efforts, the Fund's duration increased slightly,
from 5.9 years on June 30, 1998, to 6.4 years on June 30, 1999. This slightly
longer duration enhanced Fund performance in the last half of 1998, as interest
30
<PAGE> 33
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
rates declined, but it hindered the Fund's performance as interest rates
increased in the first half of 1999.
The Fund's turnover rate remained favorable, primarily because the fund is
limited to bonds issued in West Virginia, and the ability to find well
structured, good quality securities can be limited. Turnover usually occurs to
improve the Fund's income stream, address credit concerns, and/or improve the
overall portfolio structure.
HOW WAS THE FUND STRUCTURED IN TERMS OF QUALITY?
The Fund's average quality remained high during the year. At year end, 83% of
the portfolio was rated AA or better, approximately the same as on June 30,
1998.
WHAT IS YOUR OUTLOOK FOR THE FUND?
With the domestic economy continuing to show strength, interest rates may remain
under pressure for the near term. In addition, the Federal Reserve has shown its
willingness to tighten monetary policy as a pre-emptive strike against rising
inflation. This, too, may keep interest rates in an upward trend for the time
being.
Our strategy going forward will focus on controlling the outward drift in
duration if interest rates continue to rise. We will attempt to accomplish this
by keeping new inflows in cash and/or short-term securities while employing tax
loss swaps to shorten maturity without disrupting the portfolio's income stream.
/s/ Patrick Morrissey
- ----------------------------------------------------
Patrick Morrissey
Team Leader
Banc One Investment Advisors Municipal Team
/s/ Gary J. Madich
- ----------------------------------------------------
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
31
<PAGE> 34
One Group West Virginia Municipal Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class I 1.71% 5.31% 6.09% 7.01%
<CAPTION>
<S> <C>
Class I
</TABLE>
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE
------- LEHMAN BROTHERS 7 YEAR MUNICIPAL BOND FUNDS
MUNICIPAL BOND INDEX INDEX
---------------------- --------------------
<S> <C> <C> <C>
6/89 10000.00 10000.00 10000.00
6/90 10691.00 10675.00 10619.00
6/91 11495.00 11624.00 11500.00
6/92 12492.00 12895.00 12682.00
6/93 13505.00 14280.00 13937.00
6/94 13939.00 14461.00 14075.00
6/95 14727.00 15651.00 15028.00
6/96 15402.00 16517.00 15783.00
6/97 16534.00 17678.00 16856.00
6/98 17752.00 18975.00 18028.00
6/99 18056.00 19532.00 18426.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class A 1.37% 5.09% 5.85% 6.77%
Class A* (3.21)% 4.13% 5.36% 6.45%
<CAPTION>
<S> <C>
Class A
Class A*
</TABLE>
* Reflects 4.50% Sales Charge.
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- -------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
6/89 10000.00 9550.00 10000.00 10000.00
6/90 10679.00 10196.00 10675.00 10619.00
6/91 11453.00 10935.00 11624.00 11500.00
6/92 12417.00 11855.00 12895.00 12682.00
6/93 13381.00 12775.00 14280.00 13937.00
6/94 13776.00 13152.00 14461.00 14075.00
6/95 14518.00 13861.00 15651.00 15028.00
6/96 15150.00 14465.00 16517.00 15783.00
6/97 16284.00 15547.00 17678.00 16856.00
6/98 17422.00 16633.00 18975.00 18028.00
6/99 17660.00 16861.00 19532.00 18426.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class B 0.80% 4.45% 5.19% 6.09%
Class B** (4.04)% 4.11% 5.19% 6.09%
<CAPTION>
<S> <C>
Class B
Class B**
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 7 LIPPER INTERMEDIATE
------- --------- YEAR MUNICIPAL BOND MUNICIPAL BOND
INDEX FUNDS INDEX
------------------- -------------------
<S> <C> <C> <C> <C>
6/89 10000.00 10000.00 10000.00 10000.00
6/90 10602.00 10602.00 10675.00 10619.00
6/91 11308.00 11308.00 11624.00 11500.00
6/92 12180.00 12180.00 12895.00 12582.00
6/93 13038.00 13038.00 14280.00 13937.00
6/94 13338.00 13338.00 14461.00 14075.00
6/95 13955.00 13955.00 15651.00 15028.00
6/96 14481.00 14481.00 16517.00 15783.00
6/97 15434.00 15434.00 17678.00 16856.00
6/98 16449.00 16449.00 18975.00 18028.00
6/99 16581.00 16581.00 19532.00 18426.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The fund's income may be subject to the federal alternative minimum tax.
The above-quoted performance data includes the performance of a collective trust
fund for the period prior to the commencement of operations of the mutual fund
on January 20, 1997, adjusted to reflect the deduction of fees and expenses. The
collective trust fund was not registered under the Investment Company Act of
1940 ("1940 Act") and, therefore, was not subject to certain investment
restrictions, limitations and diversification requirements imposed by the 1940
Act and the Internal Revenue Code. If the collective trust fund had been
registered under the 1940 Act, its performance may have been adversely affected.
The performance of the West Virginia Municipal Bond Fund is measured against the
Lehman Brothers 7 Year Municipal Bond Index, an unmanaged index comprised of
investment grade municipal bonds with maturities close to seven years. Investors
are unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lehman Brothers 7 Year Municipal Bond Index for all classes consists of the
average monthly returns of the Lehman Brothers Municipal Bond Index from June
1988 through December 1989. Thereafter, the data is from the Lehman Brothers 7
Year Municipal Bond Index which corresponds with the initiation of the Index on
January 1, 1990.
The Lipper Intermediate Municipal Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
32
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (96.4):
Alabama (4.6%):
$3,815 Courtland Industrial Development
Board, 7.20%, 12/1/13, Callable
5/14/02 @ 103 $ 4,152
2,000 Dothan Industrial Development Board,
4.60%, 10/1/02, Callable 6/1/01 @
103, LOC: First Union National
Bank................................ 2,000
--------
6,152
--------
Arizona (4.0%):
105 Sedona, Certificate of Participation,
6.25%, 7/1/01....................... 109
110 Sedona, Certificate of Participation,
6.30%, 7/1/00....................... 112
5,175 State Transportation Board, Executive
Tax Revenue, Maricopa County, 4.60%,
7/1/04, AMBAC....................... 5,201
--------
5,422
--------
Arkansas (5.3%):
4,940 State Development Authority, Single
Family Mortgage Revenue, 6.50%,
2/1/11, Callable 10/1/07 @ 103...... 5,158
2,000 State Student Loan Authority, Revenue,
Series A-1, 5.95%, 6/1/01........... 2,047
--------
7,205
--------
California (4.1%):
4,000 Los Angeles Wastewater System,
Revenue, Refunding Series A, 5.50%,
2/1/02, FGIC 4,142
1,400 Palm Springs Housing Authority,
Multifamily Revenue, 4.90%,
9/1/23.............................. 1,412
--------
5,554
--------
Colorado (6.4%):
2,845 El Paso County, School District #2,
0.00%, 12/1/00...................... 2,698
1,600 Housing Finance Authority, 6.80%,
8/1/14, Callable 8/1/02 @ 102....... 1,691
4,000 Meridian Metropolitan District, 7.50%,
12/1/11, Callable 12/1/01 @ 101..... 4,278
--------
8,667
--------
Delaware (1.9%):
2,625 Clipper Caraval Tax-Exempt Certified
Trust, Series 1998-1, 4.50%,
10/6/05, AMBAC...................... 2,625
--------
Illinois (7.6%):
1,460 Broadview Tax Increment, Revenue,
4.00%, 7/1/00....................... 1,457
1,655 Broadview Tax Increment, Revenue,
4.50%, 7/1/03....................... 1,641
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$3,500 Chicago School Finance Authority,
Refunding Series A, GO, 4.70%,
6/1/00, FGIC........................ $ 3,537
1,450 Development Finance Authority,
Pollution Control Revenue, Chrysler
Corporation Project, 5.70%,
10/1/99............................. 1,458
2,000 Southwestern Development Authority,
Medical Facility Revenue, 7.00%,
8/15/12, Callable 8/15/02 @ 102..... 2,183
--------
10,276
--------
Indiana (3.7%):
5,000 Educational Facility Wabash, Private
Placement, 4.80%, 11/1/03........... 4,952
--------
Iowa (0.8%):
1,000 Student Loan Liquidity Corp., Series
A, 6.45%, 3/1/02.................... 1,043
--------
Kentucky (1.9%):
2,500 Jefferson County School District
Finance, Capital Building Revenue,
Refunding Series B, 5.70%, 1/1/00,
MBIA................................ 2,530
--------
Louisiana (8.4%):
10,100 Lake Charles Harbor & Terminal
District Port Facilities, Revenue,
7.75%, 8/15/22...................... 11,319
--------
Maryland (3.8%):
5,000 Montgomery County, Construction Public
Improvements, Series A, GO, 5.10%,
4/1/02.............................. 5,127
--------
Massachusetts (8.7%)
4,000 New England Education Loan Marketing
Corporation, Revenue, Series G,
5.00%, 8/1/00....................... 4,054
3,375 State Housing Finance Agency, 6.85%,
11/15/11, Callable 5/15/02 @ 102 3,630
3,750 State Housing Finance Agency, 6.80%,
11/15/12, Callable 5/15/02 @ 102.... 4,020
--------
11,704
--------
Michigan (5.2%):
4,500 Dickinson County Economic Revenue,
Refunding Champion International,
6.55%, 3/1/07, Callable 7/29/00 @
102................................. 4,694
500 Higher Education Facilities Authority,
Revenue, Refunding Limited
Obligation, Thomas M Cooley, 4.35%,
5/1/02, LOC: First of America
Bank................................ 498
</TABLE>
33
Continued
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$ 600 Higher Education Facilities Authority,
Revenue, Refunding Limited
Obligation, Thomas M Cooley, 4.45%,
5/1/03, LOC: First of America
Bank................................ $ 596
1,230 State Strategic Fund, Limited
Obligation Revenue, 4.50%, Mandatory
Put 2/15/01 @ 100, LOC: First of
American Bank, Lutheran Social
Services............................ 1,223
--------
7,011
--------
Minnesota (1.5%)
2,000 State Housing Finance Agency, Single
Family Mortgage, Series G, 3.70%,
Mandatory Put 6/29/00 @ 100......... 1,996
--------
Nevada (2.8%)
3,675 Clark County Highway Improvements,
Revenue, Motor Vehicle Fuel Tax
Public Improvements, 5.00%, 7/1/02,
AMBAC............................... 3,753
--------
New York (2.4%)
3,150 Municipal Assistance Corporation,
Series G, 5.00%, 7/1/02............. 3,216
--------
North Carolina (3.0%)
3,950 Capital Improvement, Series A, GO,
4.70%, 2/1/03....................... 4,009
--------
Ohio (8.6%)
2,350 State Air Quality Development
Authority, Revenue, 6.85%, 4/1/10,
Callable 4/1/01 @ 102............... 2,476
3,000 State Building Authority, Revenue,
Refunding, State Correctional
Facilities, Series A, 4.50%,
10/1/02............................. 3,020
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$5,950 State Water Development Authority,
Revenue, 6.40%, 8/15/27, Callable
8/15/02 @ 100....................... $ 6,277
--------
11,773
--------
Oregon (1.9%)
2,400 Kaiser Permanente, 6.50%, 4/1/11,
Callable 4/1/01 @ 102............... 2,504
--------
Texas (6.7%)
4,870 Central Housing Finance Corp., 8.20%,
4/1/22, GNMA........................ 5,387
3,445 Wood Glen Housing Finance Corp.,
7.13%, 9/1/21, Callable 9/1/99 @
100, FHA............................ 3,625
--------
9,012
--------
Virginia (3.1%)
4,170 State Public Building Authority,
Public Facilities Revenue, Series A,
4.90%, 8/1/03....................... 4,251
--------
Total Municipal Bonds 130,101
--------
DAILY DEMAND NOTES (1.8%):
New York (1.8%):
2,400 Long Island Power Authority, Electric
System Revenue, 3.85%, 5/1/33 *..... 2,400
--------
Total Daily Demand Notes 2,400
--------
INVESTMENT COMPANIES (0.6%):
816 Provident Municipal Cash Fund......... 816
--------
Total Investment Companies 816
--------
Total (Cost $133,234)(a) $133,317
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $134,971.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 532
Unrealized depreciation...................... (449)
-------
Net unrealized appreciation.................. $ 83
=======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon bank prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the rate
in effect at June 30, 1999.
<TABLE>
<S> <C> <C> <C>
AMBAC Insured by AMBAC Indemnity Corp. GO General Obligation
FGIC Insured by Federal Guarantee Insurance Corp. LOC Letters of Credit
Insured by Municipal Bond Insurance
FHA Insured by Federal Housing Administration MBIA Association
GNMA Insured by Government National Mortgage Association
</TABLE>
See notes to financial statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS (95.2%):
Alabama (0.8%):
$ 3,500 Courtland Industrial Development
Board, Solid Waste Disposal
Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102..... $ 3,689
5,000 State Public School & College
Authority, 5.25%, 11/1/05, MBIA... 5,178
----------
8,867
----------
Alaska (1.1%):
1,000 Anchorage, GO, 6.00%, 10/1/10,
FGIC.............................. 1,078
7,000 North Slope Boro, Capital
Appreciation, Series A, 0.00%,
6/30/08,.......................... 4,453
3,750 North Slope Boro, Capital
Appreciation, Series A, GO, 0.00%,
6/30/09, MBIA..................... 2,253
1,000 Student Loan Corp., Revenue, 5.50%,
7/1/04, Callable 7/1/03 @ 100..... 1,027
1,000 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.00%,
7/1/09............................ 986
1,000 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.10%,
7/1/10............................ 986
1,000 Student Loan Corp., Student Loan
Revenue, Series A, AMT, 5.20%,
7/1/11............................ 988
----------
11,771
----------
Arizona (1.7%):
1,105 Maricopa County Development
Authority, Multi-Family Housing
Revenue, 5.65%, 1/1/09, Callable
1/1/07 @ 101...................... 1,130
1,280 Maricopa County Development
Authority, Multi-Family Housing
Revenue, 6.05%, 7/1/17, Callable
1/1/07 @ 101...................... 1,317
1,385 Maricopa County Industrial
Development Revenue, Coral
Apartments, Project B, AMT, 5.10%,
3/1/28, Callable 3/1/06 @ 101..... 1,374
500 Maricopa County, School District
#028, GO, Kyrene Elementary,
0.00%, 1/1/09, FGIC............... 310
1,500 Maricopa County, School District
#69, GO, Paradise Valley, 0.00%,
7/1/07, AMBAC..................... 1,015
2,000 Maricopa County, Unified School
District #41, GO, 6.10%, 7/1/14,
Prerefunded 7/1/04 @ 100, FGIC.... 2,145
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$ 2,835 Phoenix Airport Revenue, Series D,
AMT, 6.00%, 7/1/06, MBIA.......... $ 3,021
700 Phoenix Industrial Development
Authority, 6.00%, 12/1/10,
Callable 12/1/03 @ 102............ 718
2,060 Pima County, Industrial Development
Authority, 5.45%, 4/1/10, Callable
4/1/07 @ 102, MBIA................ 2,117
1,090 Show Low Industrial Development
Authority, Hospital Revenue,
Navapache Regional Medical Center,
Series A, 5.25%, 12/1/10, ACA..... 1,082
1,170 Show Low Industrial Development
Authority, Hospital Revenue,
Navapache Regional Medical Center,
Series A, 5.30%, 12/1/11, ACA..... 1,158
2,215 University of Arizona, Revenue,
5.25%, 6/1/14, FSA................ 2,219
----------
17,606
----------
Arkansas (0.6%):
5,100 Ashdown Pollution Control Revenue,
4.75%, 4/1/08, Callable 3/1/08 @
100............................... 4,888
1,060 Sebastian County, Community Junior
College, 5.35%, 4/1/10, Callable
4/1/07 @ 101, AMBAC............... 1,084
1,000 State Capital Appreciation, Series
97A, 0.00%, 6/1/14................ 453
----------
6,425
----------
California (4.4%):
2,000 ABAG Finance Authority for Nonprofit
Corp., American Baptist Homes,
5.75%, 10/1/17, Callable 10/1/07 @
102............................... 1,978
1,945 ABAG Finance Authority for Nonprofit
Corp., Multi-Family Housing
Revenue, AMT, 6.75%, 4/20/07,
GNMA.............................. 2,109
2,000 ABAG Finance Authority for Nonprofit
Corp., Multi-Family Housing
Revenue, AMT, 5.70%, 11/1/26,
Callable 11/1/06 @ 100............ 2,099
3,500 Long Beach Harbor, Series A, AMT,
6.00%, 5/15/12, FGIC.............. 3,782
4,000 Orange County, Local Transportation,
5.70%, 02/15/11, AMBAC............ 4,257
4,000 Orange County, Recovery Certificate
of Participation, Series A, 5.70%,
7/1/10, Callable 7/1/06 @
102.00............................ 4,231
1,750 Riverside County, 5.75%, 6/1/09..... 1,886
</TABLE>
35
Continued
<PAGE> 38
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
California, continued:
$ 3,300 Sacramento Cogeneration Authority,
Revenue, Cogeneration Project
Procter & Gamble, 5.60%, 7/1/99... $ 3,300
1,000 Sacramento Cogeneration Authority,
Revenue, Cogerneration Project
Procter & Gamble, 5.90%, 7/1/02... 1,040
3,000 Sacramento Municipal Utility
District, 5.40%, 11/15/06,
Callable 11/15/03 @ 102, FSA...... 3,138
3,500 Southern California Public Power
Authority, Power Project Revenue,
5.50%, 1/1/05, AMBAC.............. 3,712
1,000 Southern California Public Power
Authority, Transmission Project,
Revenue, 0.00%, 7/1/15, MBIA...... 423
1,000 State, GO, 7.00%, 10/1/07........... 1,159
7,000 State Public Works Board, Lease
Revenue, Series A, 5.50%,
6/1/14............................ 7,278
1,400 Statewide Community Development
Authority, 2.40%, 1/1/09, Callable
1/1/04 @ 102, AMBAC............... 1,414
5,000 Statewide Community Development
Authority, Apartment Development
Revenue, Series A-3, 5.10%,
5/15/25, Callable 7/1/08 @ 101.... 4,869
----------
46,675
----------
Colorado (6.8%):
1,230 Adams County, Single Family Mortgage
Revenue, Series A, 8.88%,
8/1/03............................ 1,427
3,290 Arapahoe County, Capital
Improvements, Project E470, 0.00%,
8/31/03........................... 2,730
1,135 Arapahoe County, School District
#001, Englewood, 0.00%, 11/1/09... 672
1,325 Aurora Housing Authority,
Multifamily Revenue, 5.00%,....... 1,319
5,325 Colorado Housing Financial
Authority, 6.55%, 10/1/16,
Callable 4/1/09 @ 105............. 5,862
2,000 Colorado Springs, School District
#11, 4.65%, 12/15/14, Callable
12/15/09 @ 100.................... 1,864
3,410 Colorado Water Reservior & Power
Development Authority, Wastewater
Revenue, 6.00%, 9/1/10, AMBAC..... 3,707
300 Cordillera Metropolitan District,
4.75%, 2/1/09, Callable 2/1/08 @
100............................... 284
560 Cordillera Metropolitan District,
4.85%, 2/1/10, Callable 2/1/08 @
100............................... 528
1,385 Cordillera Metropolitan District,
4.95%, 2/1/12, Callable 2/1/08 @
100............................... 1,305
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 1,000 Cordillera Metropolitan District,
5.15%, 2/1/15, Callable 2/1/08 @
100............................... $ 950
2,900 Denver City & County, Airport
Revenue, AMT, 7.30%, 11/15/00..... 3,016
1,145 Denver City & County, Airport
Revenue, AMT, 6.55%, 11/15/03,
Callable 11/15/02 @ 102........... 1,212
2,000 Denver City & County, Airport
Revenue, AMT, 7.25%, 11/15/05,
Callable 11/15/02 @ 102........... 2,172
885 Denver City & County, Airport
Revenue, AMT, 6.75%, 11/15/13,
Callable 11/15/02 @ 102, MBIA..... 951
1,000 Denver City & County, Airport
Revenue, AMT, 8.00%, 11/15/25,
Callable 11/15/01 @ 100........... 1,066
2,000 Denver City & County, Airport
Revenue, Series B, AMT, 5.75%,
11/15/09, Callable 11/15/06 @ 102,
MBIA.............................. 2,083
1,000 Denver City & County, School
District #001, GO, 6.50%,
12/1/10........................... 1,132
9,750 Denver City & County, School
District #1, GO, 0.00%, 12/1/06... 6,822
2,030 Douglas County, School District #Re
1, 5.25%, 12/15/11, Callable
12/15/09 @ 100, FGIC.............. 2,060
5,000 El Paso County, School District,
7.13%, 12/1/19, Callable 12/1/07 @
125............................... 6,090
1,135 Health Facilities Authority,
Revenue, 6.40%, 1/1/10, Callable
1/1/07 @ 101...................... 1,162
4,255 Highlands Ranch Metropolitan
District #004, GO, 5.25%, 12/1/15,
Callable 12/1/08 @ 101, AMBAC..... 4,216
210 Housing Finance Authority, AMT,
5.63%, 5/1/04..................... 216
3,070 Housing Finance Authority, GO,
Series A, 6.40%, 8/1/06, Callable
8/1/02 @ 102, MBIA................ 3,225
4,000... Housing Finance Authority,
Multi-Family Program, 5.65%,
10/1/15........................... 4,130
1,000 Housing Finance Authority, Revenue,
Single Family Program, Series C-2,
5.15%, 11/1/16, Callable 5/1/08 @
102............................... 975
3,250 Housing Finance Authority, Series 97
B-3, 6.80%, 11/1/28, Callable
5/1/07 @ 105...................... 3,610
215 Housing Finance Authority, Single
Family Program, Series F, AMT,
6.75%, 12/1/04.................... 222
</TABLE>
36
Continued
<PAGE> 39
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 260 Housing Finance Authority, Single
Family, Series D, 5.65%, 12/1/04,
Callable 5/1/03 @ 100............. $ 267
3,000 Jefferson County, Open Space Sales
Tax Revenue, 5.00%, 11/1/11,
Callable 11/1/09 @ 100............ 2,977
3,500 Jefferson County, School District
#R-001, GO, 5.90%, 12/15/05....... 3,721
325 San Miguel County, Mountain Village
Metropolitan District, 8.10%,
12/1/11, Callable 12/1/02 @ 101... 360
----------
72,333
----------
Connecticut (0.8%):
1,000 Bridgeport, 6.50%, 9/1/08, AMBAC.... 1,120
1,015 State Health & Educational
Facilities, Series 97E, 5.50%,
7/1/09, Callable 7/1/07 @ 102..... 1,038
1,650 State Housing Finance Authority,
6.70%, 11/15/12, Callable 11/15/02
@ 102............................. 1,777
500 State Housing Finance Authority,
7.10% 11/15/04, Callable 11/15/99
@102, FHA/VA...................... 513
1,575 State, GO, Series A, 5.30%, 5/15/10,
Callable 5/15/06 @ 101............ 1,617
2,475 State, GO, Series B, 6.00%,
10/1/05........................... 2,680
----------
8,745
----------
District of Columbia (0.4%):
2,000 District of Columbia Water & Sewer
Revenue, 5.50%, 10/1/12, Callable
4/1/09 @ 160, FSA................. 2,068
2,000 District of Columbia, GO, 5.20%,
6/1/04, MBIA...................... 2,047
----------
4,115
----------
Florida (5.4%):
1,140 Broward County, Housing Authority,
5.55%, 7/1/09, Callable 7/1/06 @
102............................... 1,185
1,650 Clay County, Housing Finance
Authority, Revenue, Single Family
Mortgage, AMT, 5.25%, 10/1/07,
Callable 4/1/07 @102.............. 1,682
1,215 Clay County, Housing Finance
Authority, Revenue, Single Family
Mortgage, AMT, 6.20%, 9/1/11,
Callable 3/1/05 @ 102............. 1,274
945 Clay County, Housing Finance
Authority, Revenue, Single Family
Mortgage, AMT, 6.25%, 9/1/13,
Callable 3/1/05 @ 102............. 991
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$ 1,000 Dade County, Aviation Revenue,
Series A, 6.00%, 10/1/08, Callable
10/1/05 @ 102, AMBAC.............. $ 1,077
1,155 Department of Corrections,
Okeechobee Correctional
Facilities, 6.00%, 3/1/06,
Callable 3/1/05 @ 102, AMBAC...... 1,242
1,970 Escambia County, Housing Finance
Authority, Multi-Family Housing
Revenue, 5.75%, 4/1/04, Callable
4/1/99 @ 102, GNMA................ 2,012
13,231 Florida Housing Finance Authority,
6.00%, 3/30/04.................... 13,230
3,635 Hialeah Housing Finance Authority,
Revenue, 5.80%, 6/20/33, Callable
6/20/08 @ 105, GNMA............... 3,789
1,185 Indian River County, Hospital
Revenue, 5.95%, 10/1/09, Callable
1/1/07 @ 102, FSA................. 1,271
1,285 Indian River County, Hospital
Revenue, 6.00%, 10/1/10, Callable
1/1/07 @ 102, FSA................. 1,379
9,000 Lakeland Electric and Water, 6.05%,
10/1/11, Non-Callable............. 9,792
110 Manatee County, Housing Finance
Authority, Mortgage Revenue,
6.38%, 11/1/05.................... 112
3,060 Miami-Dade County Housing Finance
Authority, Multi-Family, Revenue,
AMT, 5.15%, 11/1/19, FNMA......... 2,996
4,850 Miami-Dade County Housing Finance
Authority, Revenue, 5.80%,
10/1/12........................... 5,127
2,910 Miami-Dade County Housing Finance
Authority, Single Family Revenue,
5.90%, 6/1/25, Callable 6/1/08 @
103, FHLMC........................ 3,029
1,000 Orlando Water & Electricity Revenue,
8.00%, 4/1/03..................... 1,125
2,830 Pinellas County, Housing Authority
Revenue, AMT, 6.30%, 3/1/29,
Callable 9/1/07 @ 102,
GNMA/FNMA......................... 3,011
1,060 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/16............ 421
2,920 Tampa Water & Sewer Revenue, ETM,
0.00%, 10/1/05.................... 2,015
----------
56,760
----------
</TABLE>
37
Continued
<PAGE> 40
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Georgia (2.7%):
$ 1,500 Atlanta Airport Facilities, 6.50%,
1/1/08, AMBAC..................... $ 1,658
1,000 Atlanta Airport Facilities, Revenue,
Series A, 6.50%, 1/1/07, AMBAC.... 1,101
1,215 Columbus Water & Sewer, Revenue,
6.30%, 5/1/06, Callable 11/1/02 @
102, FGIC......................... 1,306
3,950 Gainesville Water & Sewer, 6.00%,
11/15/12, FGIC.................... 4,297
8,100 Georgia Municipal Electric Authority
Power, 5.50%, 1/1/12, MBIA........ 8,363
5,000 Georgia State Tollway Authority,
5.00%, 7/1/09..................... 5,073
5,345 Georgia State Tollway Authority,
5.00%, 7/1/10..................... 5,370
1,750 Gwinnett County, Water & Sewer
Revenue, 0.00%, 8/1/08, FGIC...... 1,112
----------
28,280
----------
Hawaii (1.7%):
5,000 Honolulu City & County, 5.50%,
11/1/09, FGIC..................... 5,193
5,000 Honolulu City & County, 5.75%,
1/1/10............................ 5,264
1,000 Honolulu City & County, GO, Series
A, 5.60%, 4/1/07, FSA............. 1,047
3,500 Honolulu City & County, GO, Series
A, 7.35%, 7/1/08.................. 4,062
2,065 State Department Budget & Finance
Mortgage, Revenue, Kapiolani
Healthcare Systems, 5.60,%
7/1/02............................ 2,122
----------
17,688
----------
Idaho (2.3%):
1,000 Boise Wastewater Facilities,
Revenue, 4.10%, 2/1/09, AMBAC..... 932
1,040 Boise Wastewater Facilities,
Revenue, 4.20%, 2/1/10, Callable
2/1/09 @ 101, AMBAC............... 963
1,180 Boise Wastewater Facilities,
Revenue, 4.40%, 2/1/12, Callable
2/1/09 @ 101, AMBAC............... 1,089
1,235 Boise Wastewater Facilities,
Revenue, 4.50%, 2/1/13, Callable
2/1/09 @ 101, AMBAC............... 1,143
1,290 Boise Wastewater Facilities,
Revenue, 4.60%, 2/1/14, Callable
2/1/09 @ 101, AMBAC............... 1,199
1,585 Canyon County, School District #139,
GO, 4.60%, 7/31/12, Callable
7/31/05 @ 100, FSA................ 1,491
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Idaho, continued:
$ 1,500 Canyon County, School District #139,
GO, 4.50%, 7/31/11, Callable
7/31/05 @ 100, FSA................ $ 1,406
1,500 Canyon County, School District #139,
GO, 4.70%, 7/31/13, Callable
7/31/99 @ 100, FSA................ 1,418
1,600 Southern Idaho Regional Solid Waste
District, 5.45%, 11/1/13, Callable
11/1/03 @ 101, LOC: Credit Local
de France......................... 1,637
790 Student Loan Fund Marketing
Association, Inc., 6.40%, 10/1/99,
GSL............................... 794
1,025 Student Loan Fund Marketing
Association, Inc., AMT, 5.10%,
4/1/02, GSL....................... 1,022
4,500 Student Loan Fund Marketing
Association, Inc., Series C, AMT,
5.60%, 4/1/07, Callable 10/1/03 @
102, GSL.......................... 4,582
1,130 University of Idaho, University
Revenues, 5.63%, 4/1/14, Callable
4/1/09 @ 101, AMBAC............... 1,172
1,300 University Revenue, 5.75%, 4/1/06,
FSA............................... 1,379
1,060 University Revenue, 5.50%, 4/1/13,
Callable 4/1/07 @ 101, MBIA....... 1,085
2,320 University Student Fee, Recreation
Center Project, 6.00%, 4/1/14,
Callable 4/1/09 @ 101, FSA........ 2,498
----------
23,810
----------
Illinois (5.5%):
1,000 Chicago Metro Water Reclamation
District-Greater Chicago Capital
Improvements, GO, Prerefunded,
7.25%, 12/1/12.................... 1,203
5,000 Chicago O'Hare International Airport
Revenue, 5.625%, 1/1/13, Callable
1/1/06 @ 102, AMBAC............... 5,115
3,045 Chicago Park District, GO, 6.35%,
11/15/08, Callable 11/15/05 @ 102,
MBIA.............................. 3,336
2,585 Chicago Water Revenue, 6.50%,
11/1/10, FGIC..................... 2,887
4,000 Chicago, GO, 5.60%, 1/1/04, AMBAC... 4,163
1,450 Chicago, Single Family Mortgage
Revenue, 0.00%, 10/1/09, Callable
10/1/05 @ 78.60, MBIA............. 759
910 Chicago, Single Family Mortgage
Revenue, 0.00%, 10/1/09, MBIA..... 452
</TABLE>
38
Continued
<PAGE> 41
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 1,365 Cook County, Community School
District #097, 0.00%, 12/1/15,
Callable 12/1/10 @ 79.682......... $ 541
1,365 Cook County, Community School
District #097, 0.00%, 12/1/16,
Callable 12/1/10 @ 75.474......... 508
1,365 Cook County, Community School
District #097, 0.00%, 12/1/17,
Callable 12/1/10 @ 71.418......... 476
1,365 Cook County, Community School
District #097, 0.00%, 12/1/18,
Callable 12/1/10 @ 67.778......... 450
705 Decatur Economic Development, 7.75%,
6/1/07, Callable 6/1/02 @ 102..... 768
4,050 Development Finance Authority,
Revenue, Capital Appreciation
School District PG-304 PJ, 0.00%,
1/1/11............................ 2,209
675 Evanston Residential Mortgage,
6.38%, 1/1/09, Callable 7/1/02 @
102, AMBAC........................ 708
1,645 Health Facilities Authority,
Revenue, 6.13%, 11/15/07, Callable
11/15/04 @ 102, MBIA.............. 1,796
1,500 Health Facilities Authority,
Revenue, 6.75%, 1/1/10, Callable
1/1/00 @ 102, FGIC................ 1,551
1,000 McHenry County, High School #157,
GO, 0.00%, 12/1/11, FSA........... 520
2,000 Metropolitan Pier & Exposition
Authority, Dedicated State Tax
Revenue, 6.50%, 6/1/05............ 2,174
2,250 Metropolitan Pier & Exposition
Authority, Revenue, 6.40%,
6/1/03............................ 2,395
2,500 Metropolitan Pier & Exposition
Authority, Revenue, 6.50%,
6/1/04............................ 2,694
8,330 Metropolitan Pier & Exposition
Authority, Revenue, 0.00%,
12/15/16, MBIA.................... 3,192
3,500 Peru Industrial Development,
Revenue, 5.25%, 1/1/04............ 3,407
2,785 Regional Transportation Authority,
Revenue, Transit Improvement,
Series A, 8.00%, 6/1/03, AMBAC.... 3,125
880 Skokie Park District, Revenue,
0.00%, 12/1/07, AMBAC............. 580
1,000 Springfield Electric Revenue, 6.30%
3/1/04............................ 1,066
5,000 State Sales Tax Revenue, Series Q,
Refunding, 5.75%, 6/15/06......... 5,288
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 2,500 Student Assistance, Student Loan
Revenue, Series M, AMT, 6.60%,
3/1/07, Callable 3/1/02 @ 102..... $ 2,646
4,445 Winnebago County, School District
#122, GO, 0.00%, 1/1/13, FSA...... 2,151
1,350 Winnebago County, School District
#122, Harlem-Loves Park,
Refunding, 6.35%, 6/1/07, FGIC.... 1,485
----------
57,645
----------
Indiana (3.9%):
2,150 Brownsburg Industrial Building
Corp., Revenue, 5.50%, 2/1/15,
Callable 2/1/07 @ 102, MBIA....... 2,162
450 Danville Multipurpose School
Building Corp., 5.30%, 1/15/09,
Callable 1/15/07 @ 102, AMBAC..... 457
300 Eagle Union Community School
Building, 5.65%, 7/15/10,
Prerefunded 7/15/06 @ 102......... 320
500 East Allen Woodlan School Building
Corp., Revenue, 5.00%, 7/15/09,
Callable 7/15/07 @ 101, AMBAC..... 497
500 Evansville Vanderburgh County,
Revenue, Building Authority Excise
Incorporated Tax School Funding,
5.70%, 8/1/13, Callable 8/1/06 @
102, MBIA......................... 519
4,900 Fremont Industrial Development,
Revenue, 5.25%, 5/1/04............ 4,817
500 Hamilton Southeastern School
Building Corp., Revenue, 5.40%,
1/15/14, Callable 1/15/07 @ 102,
AMBAC............................. 505
250 Health Facilities Financing
Authority, Clarian Health
Partners, 5.50%, 2/15/16.......... 247
3,260 Health Facilities Financing
Authority, Hospital Revenue,
6.00%, 8/15/10, Callable 8/15/06 @
102............................... 3,371
5,000 Indiana Education Facility
Authority, Wabash College, 4.80%,
11/1/03, Callable 11/1/01 @ 102... 4,952
1,000 Indiana Transportation Financial
Authority, Revenue, 5.25%
6/1/06............................ 1,029
6,900 Indianapolis Airport Authority,
Revenue, AMT, Special Facilities,
Federal Express Corp. Project,
7.10%, 1/15/17, Callable 7/15/04 @
102............................... 7,590
</TABLE>
39
Continued
<PAGE> 42
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 2,500 Indianapolis Economic Development,
Revenue, Butler Association LTD.
Project, 5.40%, 1/1/03, Callable
1/1/00 @ 100*..................... $ 2,504
2,790 Indianapolis Economic Development,
Revenue, Knob-in-the-Woods
Project, 6.38%, 12/1/04........... 3,045
490 Merrillville, Indiana Multi-School
Building, Revenue, 5.65%, 7/15/14,
Callable 1/15/07 @ 102............ 500
4,400 Mishawaka, Indiana School City
Multi-School, Building
Corporation, State Aid
Withholding, 5.50%, 7/15/15,
Callable 1/15/08 @ 102............ 4,437
500 Monroe County, Indiana Community
School Corp., Revenue, 5.50%,
7/1/13, Callable 1/1/07 @ 102..... 507
500 Purdue University, Certificates of
Participation, 5.63%, 7/1/13,
Callable 1/1/07 @ 100............. 509
300 State Development Finance Authority,
Revenue, Eld Facilities-Park Tudor
Foundation Inc., 5.70%, 6/1/12,
Callable 6/1/07 @102.............. 309
1,000 State Vocational Technical College
Building Facilities Fee, 6.50%,
7/1/07, Callable 1/1/05 @ 102,
AMBAC............................. 1,104
1,500 University Revenue Student Fee,
Series J, 5.10%, 8/1/08........... 1,508
500 Westfield Elementary School Building
Corp., Revenue, 5.65%, 7/15/11,
Callable 7/15/07 @ 102, AMBAC..... 517
250 Westfield High School Building
Corp., Revenue, 5.10%, 7/5/07,
Callable 1/5/06 @ 102, FGIC....... 255
----------
41,661
----------
Iowa (0.3%):
1,040 Finance Authority, 6.35%, 7/1/09,
Callable 1/1/03 @ 102, AMBAC...... 1,089
1,000 Finance Authority, Private College
Revenue, 5.75%, 12/1/08, MBIA..... 1,062
505 Finance Authority, Single Family
Mortgage Revenue, Series F, 6.15%,
7/1/04, Callable 1/1/03 @ 102,
AMBAC............................. 518
----------
2,669
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kansas (0.7%):
$ 550 Kansas State Development Authority,
4.25%, 6/1/09, Callable 6/1/08 @
100, FSA.......................... $ 517
2,005 Sedgwick & Shawnee, Single Family
Revenue, 6.70%, 6/1/29............ 2,207
780 Sedgwick County, Family Mortgage
Revenue, Series A-1, 6.50%,
12/1/16, Callable 12/1/07 @ 105,
GNMA.............................. 835
2,480 Wichita Water & Sewer Utility,
Revenue, 5.00%, 10/1/10, Callable
10/1/06 @ 101..................... 2,484
1,750 Wichita Hospital, Revenue, St.
Francis Regional Hospital, 6.25%,
10/1/10, Callable 10/1/02 @ 102,
MBIA.............................. 1,866
----------
7,909
----------
Kentucky (1.2%):
1,000 Kenton County, Public Properties
Corp., 5.63%, 12/1/12, Callable
12/1/06 @ 101..................... 1,026
1,010 Kentucky Infrastructure Authority,
4.25%, 8/1/07..................... 964
1,000 Martin County Mortgage Section 8,
Revenue, 6.25%, 7/1/23, FHA....... 1,030
130 Owensboro Electric Light & Power,
Revenue, 0.00%, 1/1/09, BIG....... 51
1,385 Shelby County School District,
Financial Corp., School Building
Revenue, 4.80%, 5/1/13, Callable
5/1/09 @ 101...................... 1,327
1,455 Shelby County School District,
Financial Corp., School Building
Revenue, 4.90%, 5/1/14............ 1,402
1,530 Shelby County School District,
Financial Corp., School Building
Revenue, 4.90%, 5/1/15............ 1,466
600 Shelby County School District,
Financial Corp., School Building
Revenue, 5.50%, 5/1/16............ 581
2,035 State Property & Buildings, Revenue,
5.00%, 9/1/11, Callable 9/1/09 @
101............................... 2,018
2,000 State Property & Buildings, Revenue,
5.00%, 9/1/11, Callable 9/1/09 @
101............................... 1,967
1,000 Winchester Industrial Building,
7.75%, 7/1/12, Callable 7/1/02 @
102............................... 1,092
----------
12,924
----------
</TABLE>
40
Continued
<PAGE> 43
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana (1.0%):
$ 221 Housing Agency, Mortgage Revenue,
7.80%, 12/1/09, Callable 6/1/04 @
105, GNMA......................... $ 245
810 Housing Agency, Mortgage Revenue,
Single Family, Series D-2, AMT,
8.00%, 6/1/27, Callable 12/1/06 @
102, GNMA/FNMA.................... 884
1,000 New Orleans, GO, 0.00%, 9/1/06,
AMBAC............................. 707
1,550 Public Facilities Authority,
Revenue, AMT, 6.75%, 9/1/06,
Callable 9/1/02 @ 102............. 1,626
2,000 St. Charles Parish, Pollution
Control, 8.25%, 6/1/14, Callable
6/1/00 @ 102.5.................... 2,061
3,305 Stadium & Expositions District Hotel
Occupancy Tax & Stadium Revenue,
5.25%, 7/1/14, Callable 7/1/09
@102.............................. 3,283
2,005 State Water and Sewer, Revenue,
Series A, 5.25%, 12/1/12, Callable
@ 100............................. 2,014
----------
10,820
----------
Maryland (1.0%):
2,950 State Community Developement
Administration Department, Housing
and Community Development, Single
Family, Fifth Series, 5.95%,
4/1/16, Callable 4/1/06 @ 102..... 3,093
2,000 State Community Development
Administration Department, Housing
and Community Development, Single
Family Project, First Series,
4.90%, 4/1/06..................... 2,012
5,510 State, GO State & Local
Facilities-First Series, 5.00%,
03/01/08, Callable 3/1/07 @ 100... 5,603
----------
10,708
----------
Massachusetts (1.8%):
1,650 Beverly, 6.60%, 3/15/09, Callable
3/15/04 @ 102, FSA................ 1,816
5,250 New England Education Loan Marketing
Corp., Series A, 6.50%, 9/1/02,
Non-Callable...................... 5,533
7,000 State, 5.00%, 8/1/07................ 7,114
2,000 State Grant Anticipation Notes,
Series A, 5.25%, 6/15/12, Callable
12/15/08 @ 101.................... 2,009
2,400 State, GO, Series C, 6.00%,
8/1/09............................ 2,601
----------
19,073
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan (3.1%):
$ 2,000 Detroit Downtown Development
Authority, Tax Increment Revenue,
5.25%, 7/1/14, Callable 7/1/08 @
101............................... $ 1,981
2,570 Detroit, GO, 5.25%, 4/1/13, Callable
4/1/09 @ 101, FSA................. 2,566
4,000 Pittsfield Township, Housing Corp.,
Revenue, Series A, 6.00%, 1/1/22,
Callable 7/1/04 @ 103............. 4,152
5,445 Royal Oak Hospital Finance
Authority, Hospital Revenue,
William Beaumont Hospital, 6.25%,
1/1/11............................ 5,948
3,850 Royal Oak Hospital Finance
Authority, Hospital Revenue,
William Beaumont Hospital, 6.25%,
1/1/12............................ 4,224
2,500 State Building Authority, Revenue,
4.20%, 10/15/21, Callable 10/15/00
@ 100............................. 2,438
1,800 State Building Authority, Revenue,
3.875%, 10/15/21, Callable
10/15/09 @ 100.................... 1,754
5,575 State Building Authority, Revenue,
Series I, 6.75%, 10/1/11, Callable
10/1/01 @ 102..................... 5,962
1,500 State Hospital Finance Authority,
Series A, 8.10%, 10/1/13, Callable
10/1/05 @ 102..................... 1,802
2,000 State Hospital Finance Authority,
5.25%, 3/1/14, Callable 3/1/04 @
102............................... 1,937
----------
32,764
----------
Minnesota (2.6%):
1,900 Blaine Development Revenue, 5.15%,
1/1/04............................ 1,861
1,200 Maplewood Multi-Family Revenue,
6.50%, 9/1/24, Callable 9/1/04 @
102, FHA.......................... 1,295
6,000 Minnesota Public Facility Authority,
Water Pollution Control, 5.00%,
3/1/09, Callable 3/1/07 @ 100..... 6,055
2,080 State Housing Finance Agency,
Revenue, Series D, 5.90%, 8/1/15,
Callable 2/1/05 @102, LOC: MBIA... 2,162
3,215 State Housing Finance Agency,
Revenue, Series G, AMT, 6.25%,
7/1/26, Callable 1/1/06 @ 102..... 3,355
12,485 State Housing Finance Agency,
Revenue, Series L, AMT, 6.25%,
7/1/27, Callable 1/1/05 @ 102..... 12,969
----------
27,697
----------
</TABLE>
41
Continued
<PAGE> 44
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Mississippi (0.4%):
$ 1,450 Home Corp., Single Family, Series D,
5.25%, 7/1/12, Callable 7/1/07 @
105, FNMA/GNMA.................... $ 1,571
3,000 Perry County, Pollution Control
Revenue, 5.20%, 10/1/12, Callable
3/1/12 @ 100...................... 2,920
----------
4,491
----------
Missouri (1.5%):
1,895 Carthage, Waterworks & Wastewater
Treatment Systems, 6.30%, 7/1/09,
Callable 7/1/04 @ 101, MBIA....... 2,065
1,520 Fort Zumwalt School District, 5.20%,
3/1/09, Callable 3/1/07 @ 100,
AMBAC............................. 1,543
1,735 Fort Zumwalt School District, 5.30%,
3/1/10, Callable 3/1/07 @ 100,
AMBAC............................. 1,763
1,205 Kansas City Industrial Development
Authority, Multi-Family Housing
Revenue, Series A, AMT, 5.63%,
7/1/05............................ 1,256
1,430 Kansas City Municipal Corp.,
Revenue, 5.40%, 1/15/08, Callable
1/15/06 @ 101, AMBAC.............. 1,480
2,500 St. Louis Convention & Sports
Complex, 5.50%, 8/15/13, Callable
8/15/03 @ 102, MBIA............... 2,530
2,955 St. Louis Land Clearance
Redevelopment Authority, Housing
Revenue, 5.95%, 7/1/22, FNMA...... 3,172
2,500 State Health & Education Facility
Authority, Revenue, 5.50%,
10/1/12........................... 2,584
----------
16,393
----------
Montana (0.2%):
1,000 State Long Range Building Program,
Series C, 4.80%, 8/1/14, Callable
8/1/08 @ 100...................... 958
1,000 State Long Range Building Program,
Series C, 4.90%, 8/1/15, Callable
8/1/08 @ 100...................... 964
----------
1,922
----------
Nebraska (0.2%):
2,500 University of Nebraska Facilities
Corp., 5.25%, 7/15/11, Callable
7/15/08 @ 100..................... 2,521
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Nevada (1.3%):
$ 8,200 Clark County, Pollution Control
Revenue, 5.30%, 10/1/11, Callable
1/1/03 @ 102, ACA................. $ 8,087
1,000 Municipal Bond Bank Project #20-23A,
7.00%, 7/1/01, ETM................ 1,007
1,000 Nevada GO Limited Series A, 6.00%,
5/1/02, Callable 5/1/1 @ 101...... 1,040
3,010 Washoe County, School District, GO,
6.13%, 8/1/07, Callable 8/1/02 @
101, MBIA......................... 3,181
----------
13,315
----------
New Hampshire (0.1%):
1,225 Higher Education & Health Facilities
Authority, Revenue, 6.25%, 1/1/06,
Callable 7/1/04 @ 102............. 1,310
----------
New Jersey (0.3%):
3,500 Sayreville Housing Development
Corp., Revenue, 6.00%, 2/1/23,
Callable 8/1/03 @ 100, FHA........ 3,661
----------
New Mexico (0.8%):
1,000 Albuquerque Airport Revenue, AMT,
6.50%, 7/1/11, Callable 7/1/00 @
105, AMBAC........................ 1,072
5,455 Educational Assistance Foundation,
Student Loan Revenue, Series A,
AMT, 6.85%, 4/1/05, Callable
4/1/02 @ 102 AMBAC................ 5,826
1,000 Mortgage Financial Authority, 6.50%,
7/1/25............................ 1,085
----------
7,983
----------
New York (5.7%):
8,325 Metropolitan Transit Authority,
Dedicated Tax, 5.25%, 4/1/12,
Callable 4/1/09 @ 101............. 8,378
1,395 Nassau County, 5.63%, 8/1/03,
FGIC.............................. 1,457
5,000 New York GO, Unlimited Series A,
6.00%, 8/1/06, Non-Callable....... 5,330
6,500 New York GO, Unlimited Series I,
5.75%, 3/15/07, Callable 3/15/06 @
101.5............................. 6,814
3,000 New York, Series H, 5.25%, 3/15/12,
Callable 3/15/09 @ 101............ 2,982
4,640 New York, Series H, 5.25%, 3/15/13,
Callable 3/15/09 @ 101............ 4,584
3,000 New York, Series H, 5.25%, 3/15/14,
Callable 3/15/09 @ 101............ 2,956
1,980 Radisson Senior Citizens Housing
Corp., Revenue, Series A, 5.63%,
8/1/11............................ 2,044
</TABLE>
42
Continued
<PAGE> 45
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New York, continued:
$ 3,500 State Dormitory Authority, 5.125%,
2/15/08........................... $ 3,495
4,300 State Dormitory Authority, Revenue
Series A, 5.20%, 5/15/05, Callable
5/15/03 @ 101.5................... 4,373
1,500 State Dormitory Authority, Series A,
5.50%, 7/1/04..................... 1,551
2,950 State Dormitory Authority, Series A,
5.50%, 7/1/05..................... 3,053
1,500 State Dormitory Authority, Series A,
5.50%, 7/1/06..................... 1,551
4,250 State Tollway Authority, Highway &
Bridge Fund, Series A, 5.25%,
4/1/12............................ 4,274
3,000 State, GO, Series B, 5.25%, 8/1/12,
Callable 8/1/07 @ 101............. 2,982
5,000 State, GO, Series F, 5.13%, 8/1/11,
Callable 2/1/08 @ 101............. 4,933
----------
60,757
----------
North Carolina (0.5%):
2,250 Housing Finance Agency, 6.70%,
1/1/27, Callable 7/1/01 @ 102,
FHA............................... 2,412
2,500 Municipal Power Agency, Revenue, No.
1 Catawba Electric, 7.25%, 1/1/07,
MBIA.............................. 2,861
----------
5,273
----------
North Dakota (0.8%):
3,050 Grand Forks, Sales Tax Revenue Bond,
5.10%, 12/15/10, Callable 12/15/07
@ 100............................. 3,072
135 Housing Finance Agency, AMT, 6.25%,
7/1/09, Callable 7/1/04 @ 102..... 139
3,500 Mercer County, Pollution Control
Revenue, 6.65%, 6/1/22, Callable
6/1/02 @ 102, FGIC................ 3,747
1,270 Water Development, 5.70%, 7/1/17,
Callable 7/1/07 @ 100, AMBAC...... 1,310
----------
8,268
----------
Ohio (5.3%):
1,850 Capital Corporation Housing
Management Revenue, 5.10%, 8/1/24,
Callable 8/1/03 @ 100, FHA........ 1,769
5,000 Cleveland Waterworks, 5.25%, 1/1/13,
Callable 1/1/08 @ 101, FSA........ 5,026
4,400 Cuyahoga County, Hospital Revenue,
5.00%, 1/1/10, Callable 7/1/09 @
101............................... 4,352
1,915 Cuyahoga County, Hospital Revenue,
5.25%, 1/1/14, Callable 7/1/09 @
101............................... 1,895
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 4,500 Montgomery County, Hospital Revenue,
5.625%, 4/1/16, Callable 4/1/06 @
102, MBIA......................... $ 4,552
1,865 Mount Vernon Industrial Development
Revenue, 5.90%, 3/1/03............ 1,868
2,500 Northeast Regional Sewer District,
5.60%, 11/15/13, Callable 11/15/05
@ 101, AMBAC...................... 2,587
5,060 State Building Authority, Series A,
5.25%, 10/1/10, Callable 10/1/09 @
101............................... 5,139
5,280 State Building Authority, Series A,
5.25%, 10/1/11, Callable 10/1/09 @
101............................... 5,334
2,000 State Building Authority, Series A,
5.38%, 10/1/13, Callable 10/1/09 @
101............................... 2,029
3,260 State Building Authority, Series A,
5.38%, 10/1/14, Callable 10/1/09 @
101............................... 3,293
2,270 State Building Authority, Series B,
5.25%, 10/1/10, Callable 10/1/09 @
101............................... 2,306
2,470 State Economic Development, 7.50%,
9/1/10, Callable 9/1/02 @ 102..... 2,687
3,750 State Higher Educational Facilities
Revenue, 0.00%, 12/1/13, Steps to
4.95% on 12/1/03, Callable 12/1/06
@ 101, AMBAC...................... 2,905
4,000 State Highway Capital Improvements,
Series B, 5.00%, 5/1/05,.......... 4,100
5,000 State Water Development Authority,
Revenue, 5.25%, 12/1/10, Callable
6/1/08 @ 101...................... 5,089
1,100 Toledo Lucas County Port Authority
Development, Revenue, 5.40%,
5/15/19, Callable 5/15/09 @ 102... 1,054
----------
55,985
----------
Oklahoma (0.9%):
2,500 Baptist Health Center, IDR, 6.25%,
8/15/12, Callable 8/15/05 @ 102,
AMBAC............................. 2,708
5,000 Grand River Dam Authority, 5.00%,
6/1/12, Callable 6/1/00 @ 100..... 4,936
390 Grand River Dam Authority, 5.00%,
6/1/12, Callable 6/1/00 @ 100,
MBIA.............................. 386
970 Housing Finance Agency, PG-B-1,
5.60%, 3/1/28, Callable 9/1/07 @
102............................... 978
----------
9,008
----------
</TABLE>
43
Continued
<PAGE> 46
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon (3.2%):
$ 9,705 Clackmas County, Hospital Facility,
5.375%, 2/15/12, Callable 8/15/09
@ 101............................. $ 9,803
2,350 Jackson County, School District #5
Ashland, GO, 5.70%, 6/1/07, FSA... 2,497
2,580 Lane County, School District #019,
6.00%, 10/15/11, FGIC............. 2,794
1,000 Lane County, School District #52
Bethel, GO, 6.00%, 6/1/06, FSA.... 1,079
3,630 Marion County, 5.50%, 10/1/05,
AMBAC............................. 3,806
1,550 Port of Portland Airport Revenue,
5.25%, 7/1/10, Callable 1/1/09 @
101, FGIC......................... 1,578
1,435 Port of Portland Airport, Series 7A,
6.75%, 7/1/09, Prerefunded 7/1/01
@ 101, MBIA....................... 1,522
1,000 Portland Housing Authority,
Multi-Family Revenue, 6.30%,
5/1/29, Callable 5/1/07 @ 100..... 1,047
2,610 State Department Administrative
Services Lottery, 5.25%, 4/1/12,
Callable 4/1/9 @ 101.............. 2,632
2,030 Tri-County Metropolitan
Transportation District, 5.25%,
7/1/12, Callable 7/1/09 @ 101..... 2,051
2,915 Tri-County Metropolitan
Transportation District, 5.25%,
8/1/13, Callable 8/1/09 @ 100..... 2,939
2,075 Washington County, School District
#88, GO, 6.10%, 6/1/05, Callable
12/15/04 @ 100, FSA............... 2,239
----------
33,987
----------
Pennsylvania (2.1%):
3,200 Dauphin County, Industrial
Development Authority, Pollution
Control Revenue, 6.00%, 1/1/08,
MBIA.............................. 3,206
1,085 Delaware County, Hospital Authority,
6.00%, 12/15/20, Callable 12/1/03
@ 102............................. 1,091
2,895 Geisinger Authority Health Systems,
Series A, 5.50%, 7/1/03........... 3,006
1,500 Hospital Revenue Bond, 6.40%,
1/1/06, Callable 1/1/05 @ 102,
AMBAC............................. 1,625
2,750 Indiana County, Industrial
Development Authority, Pollution
Control Revenue, 6.00%, 6/1/06,
MBIA.............................. 2,953
3,550 Indiana County, Industrial
Development Authority, Pollution
Control Revenue, PA Electric
Company Project, 5.35%, 11/1/10... 3,648
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Pennsylvania, continued:
$ 2,350 Philadelphia Airport Revenue, Series
A, AMT, 5.50%, 6/15/05, AMBAC $ 2,434
2,500 Philadelphia Water & Waste, 5.65%,
6/15/12, Callable 6/15/03 @ 102,
FGIC.............................. 2,572
2,000 State Financial Authority, Revenue,
6.60%, 11/1/09, Callable 11/1/03 @
102, LOC: Societe Generale........ 2,159
----------
22,694
----------
Puerto Rico (0.5%):
5,000 Commonwealth Infrastructure, Series
A, 5.25%, 7/1/10, Callable 7/1/08
@ 101, AMBAC...................... 5,145
----------
Rhode Island (0.1%):
1,000 Housing & Mortgage Financial Corp.,
Series 15-B, 6.20%, 10/1/06,
Callable 4/1/04 @ 102, MBIA....... 1,061
----------
South Carolina (2.2%):
2,800 Beaufort County, School District,
GO, Series B, 4.75%, 3/01/03,
MBIA.............................. 2,836
2,000 Charleston County, Care Alliance
Health Services, Revenue, 5.125%,
8/15/15........................... 1,953
5,000 Georgetown County, Pollution Control
Facilities, Revenue, International
Paper Co. Project, Series A,
5.125%, 2/1/12.................... 4,844
3,080 Greenville Hospital System
Facilities Revenue, 5.10%,
5/1/05............................ 3,140
2,840 Greenville Hospital Systems, Series
A, 5.00%, 5/1/04.................. 2,887
1,760 Greenville School Public Facilities,
5.60%, 3/1/10..................... 1,878
1,045 Hilton Head Island, GO, 5.50%,
8/1/09, MBIA...................... 1,090
105 Piedmont Municipal Power Agency,
Electric Revenue, Series A, 6.55%,
1/1/16............................ 105
2,300 South Carolina, GO, Capital Imports
Unlimited Series B, Public Imports
Unlimited Tax, 5.75%, 8/1/05...... 2,455
1,545 Spartanburg Sanitation Sewer
District, Sewer Systems, 0.00%,
3/1/14, Callable 3/1/09 @ 79.295,
MBIA.............................. 701
1,000... York County, School District #3, GO,
5.40%, 3/1/08, Callable 3/1/06 @
101, FSA.......................... 1,033
----------
22,922
----------
</TABLE>
44
Continued
<PAGE> 47
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Tennessee (2.1%):
$ 1,050 Chattanooga-Hamilton County,
Hospital Authority, Hospital
Revenue, 5.63%, 10/1/09, FSA...... $ 1,096
1,355 Dyer County, Industrial Development
Revenue, 6.00%, 2/1/07, Callable
2/1/04 @ 102...................... 1,405
3,370 Hamilton County, Series A, 5.00%,
5/1/09, Callable 5/1/07 @ 102..... 3,405
2,000 Housing Development, 6.20%, 7/1/18,
Callable 7/1/05 @ 102............. 2,104
2,000 Knoxville, 5.10% 5/1/05, Callable
5/1/04 @ 102, MBIA................ 2,055
3,470 Memphis, 5.25%, 10/1/10, Callable
10/1/06 @ 101..................... 3,524
5,240 Memphis, 5.25%, 10/1/11, Callable
10/1/06 @ 101..................... 5,296
2,000 Memphis-Shelby Airport, 6.75%,
9/1/12, Callable 9/1/02 @ 102..... 2,152
1,000 Trenton Industrial Development,
Revenue, Series A, 5.40%,
10/1/02........................... 1,003
----------
22,040
----------
Texas (7.0%):
2,800 Austin Housing Finance Corp., Single
Family Mortgage Revenue, AMT, ETM,
0.00%, 12/1/11, MBIA.............. 1,403
1,000 Austin Utility Systems, Revenue,
0.00%, 5/15/08, MBIA.............. 640
1,815 Carroll Independent School District,
GO, 0.00%, 2/15/13, Callable 2/15/08
@ 78.119, PSFG.................... 859
1,435 Carroll Independent School District,
GO, 0.00%, 2/15/14, PSFG.......... 638
5,125 Cass County, Industrial Development
Revenue, Series A, 5.30%,
7/1/09............................ 5,163
5,000 Coastal Bend Health Facilities,
Incarnate Word Health Services,
5.93%, 11/15/13, Callable 11/15/02
@ 102, AMBAC...................... 5,269
2,955 Dallas, Revenue, 5.25%, 8/15/12,
Callable 8/15/08 @ 101, AMBAC..... 2,973
850 Department Housing and Community
Affairs, Revenue, 4.91%, 9/1/02,
State Single Family Mortgage
Series E, MBIA.................... 861
6,000 El Paso County, Community College
Revenue, 5.375%, 4/1/19, Callable
4/1/07 @ 100, AMBAC............... 5,970
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 3,375 El Paso Independent School District,
0.00%, 8/15/09, Callable 8/15/08 @
95.065, PSFG...................... $ 1,985
3,600 Grand Prairie Health Facilities,
Refunding, Dallas/Fort Worth
Medical Center Project, 6.50%,
11/1/04, AMBAC.................... 3,806
840 Harlingen Apartment Revenue, AMT,
4.25%, 2/15/06, Callable 2/15/04
@100.............................. 805
605 Harlingen Apartment Revenue, AMT,
4.35%, 2/15/07, Callable 2/15/04
@100.............................. 576
615 Harlingen Apartment Revenue, AMT,
4.45%, 2/15/08, Callable 2/15/04
@100.............................. 583
680 Harlingen Apartment Revenue, AMT,
4.50%, 2/15/09, Callable 2/15/04 @
100............................... 640
685 Harlingen Apartment Revenue, AMT,
4.60%, 2/15/10, Callable 2/15/04 @
100............................... 642
680 Harlingen Apartment Revenue, AMT,
4.70%, 2/15/11, Callable 2/15/04 @
100............................... 635
7,500 Harris County, Capital Appreciation,
Toll Road, 0.00%, 8/15/18,
Prerefunded 8/15/09 @ 53.836...... 2,425
3,700 Harris County, Capital Appreciation,
Toll Road, Sub-Lien A, GO, 0.00%,
8/15/05, MBIA..................... 2,769
2,000 Harris County, Houston Sport
Authority, Revenue, 0.00%,
11/15/17, Callable 11/15/08 @
61.635, MBIA...................... 713
4,115 Harris County, Houston Sports
Authority, 0.00%, 11/15/12,
Callable 11/15/08 @ 81.214,
MBIA.............................. 1,986
1,455 Health Facilities Development Corp.,
Hospital Revenue, All Saints
Episcopal Hospital, 6.25%,
8/15/12, Callable 8/15/03 @ 102,
MBIA.............................. 1,559
1,685 Hereford Independent School
District, 5.00%, 8/15/08.......... 1,675
1,315 Hereford Independent School
District, Revenue, 5.13%, 8/15/13,
Callable 8/15/08 @ 102............ 1,268
930 Housing Agency Residential
Development Revenue, Series D,
AMT, 8.40%, 1/1/21, Callable
7/1/99 @ 102...................... 949
4,735 Huble Independent School District,
0.00%, 2/15/08.................... 3,069
</TABLE>
45
Continued
<PAGE> 48
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 2,000 Leander Independent School District,
GO, 0.00%, 8/15/14, Callable
8/15/06 @ 65.293.................. $ 873
4,855 Leander Independent School District,
GO, 0.00%, 8/15/16, Callable
8/15/06 @ 58.125, PSFG............ 1,876
2,500 Leander Independent School District,
GO, 0.00%, 8/15/18, Callable
8/15/06 @ 51.904.................. 858
2,565 Lubbock Housing Financial Corp.,
6.15%, 10/1/30, Callable 4/1/09 @
105, GNMA/FNMA.................... 2,756
1,420 State Department Housing and
Community Affairs, 4.90%,
3/1/02............................ 1,435
1,265 State Department Housing and
Community Affairs, 5.00%,
3/1/03............................ 1,283
930 State Higher Education Coordinating
Board, Student Loan, AMT, 7.45%,
10/1/06, Callable 10/1/01 @ 102... 977
1,020 Tech University Revenues, 5.95%,
2/15/13, Callable 2/15/05 @ 100,
AMBAC............................. 1,091
5,000 Texas A & M University Permanent
Fund Revenue, 5.60%, 7/1/05,
Refunding......................... 5,283
5,000 Texas GO, 5.63%, 10/1/11, Public
Finance Authority, Series B,
Callable 10/1/06 @ 100............ 5,219
2,200 United Independent School District,
5.25%, 8/15/14, Callable 8/15/06 @
100............................... 2,201
----------
73,713
----------
U.S. Territories (0.2%):
2,110 Guam Power Authority, Revenue,
5.25%, 10/1/12, Callable 10/1/09 @
101, AMBAC........................ 2,144
250 Northern Mariana Islands, Public
School System Project, 5.00%,
10/1/05, FSA/ACA, GO.............. 258
----------
2,402
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Utah (0.5%):
$ 2,000 Intermountain Power Agency, Power
Supply Revenue, Series B, 6.50%,
7/1/09, MBIA...................... $ 2,232
2,165 Logan Municipal Building Authority,
Lease Revenue, 5.20%, 4/1/18,
Callable 10/1/08 @ 100, AMBAC..... 2,076
1,145 State Housing Finance Authority,
AMT, 6.35%, 7/1/12, Callable
1/1/05 @ 102...................... 1,201
----------
5,509
----------
Vermont (0.1%):
1,380 University & State Agricultural
College, Series 73A, 5.80%,
7/1/13............................ 1,396
----------
Virginia (1.1%):
1,000 Arlington County, Industrial
Development Authority,
Multi-Family Revenue, 5.35%,
7/1/18, Callable 7/1/08 @ 102..... 980
4,000 Loudoun County, Sanitation Authority
Water, Revenue, 6.25%, 1/1/16,
Callable 1/1/03 @ 102, FGIC....... 4,263
1,340 State Housing Development Authority,
Commonwealth Mortgage, Series J,
6.65%, 7/1/10, Callable 1/1/05 @
102............................... 1,421
4,660 State Housing Development Authority,
Multi-Family Housing, Revenue, GO,
Series E, 5.60%, 11/1/18, Callable
1/1/08 @ 102...................... 4,734
----------
11,398
----------
Washington (4.3%):
1,830 Chelan County, Public Utilities,
Revenue, 5.90%, 7/1/13............ 1,869
4,915 King County, 5.25%, 12/1/11,
Callable 12/1/09 @ 100............ 4,972
10,000 King County, 5.80%, 12/1/12,
Callable 12/1/07 @ 102............ 10,613
1,360 King County, School District #400,
GO, 6.50%, 12/1/08................ 1,513
1,058 Kitsap County, Consolidated Housing,
7.00%, 8/20/08,................... 1,172
10,000 Seattle GO, 5.75%, 1/15/17, Series A
Ltd. Tax Public & Miscellaneous
Imports, Callable 1/15/06 @ 100... 10,276
1,000 Seattle Light & Power Revenue,
6.00%, 8/1/13, Callable 8/1/02 @
102............................... 1,053
5,140 Snohomish County School District
#006 Revenue WA, 5.70%, 12/1/12,
Mukilteo Refunding GO Unltd. Tax,
FGIC.............................. 5,445
</TABLE>
46
Continued
<PAGE> 49
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington, continued:
$ 3,000 Snohomish County, Public Utility
District #001, Electric Revenue,
6.00%, 1/1/13, Callable 1/1/03 @
102, FGIC......................... $ 3,148
1,350 State, 5.63% 9/1/05................. 1,424
3,500 State Nuclear Project #1, Series A,
6.00%, 7/1/08, AMBAC.............. 3,750
----------
45,235
----------
West Virginia (1.1%):
2,495 Harrison County, Community Split
Obligation, Series A, 6.25%,
5/15/10........................... 2,746
3,500 School Building Authority, Series B,
5.40%, 7/1/17, Callable 7/1/07 @
102, FSA.......................... 3,510
1,150 State College Revenue, 6.00%,
4/1/12, Callable 4/1/03 @ 102,
AMBAC............................. 1,209
2,730 State Housing Development Fund,
6.95%, 11/1/16, Callable 5/1/02 @
103............................... 2,918
1,000 West Virginia State, 5.25%,
6/1/11............................ 1,014
----------
11,397
----------
Wisconsin (2.8%):
5,605 Durand Hospital Facilities Revenue,
Chippewa Valley Hospital & Nursing
Project, 7.10%, 9/1/12............ 6,372
4,625 GO, Series B Unlimited Tax Public
Imports, 7.00%, 5/1/03............ 5,035
1,070 Hortonville School District, GO,
5.25%, 4/1/18, Callable 4/1/08 @
100, AMBAC........................ 1,047
5,000 Southeast Professional Baseball
Park, 0.00%, 12/15/07,............ 3,301
5,000 Southeast Professional Baseball
Park, 0.00%, 12/15/09,............ 2,941
1,750 State, 5.10%, 5/1/13, Callable
5/1/09 @ 100...................... 1,735
2,500 State Clean Water, Revenue, Series
2, Refunding, 6.00%, 6/1/07....... 2,688
3,000 State Health Educational Facilities
Authority, Revenue, Aurora Health
Care Obligation, 5.10%, 8/15/05,
Callable 8/15/03, @ 102, MBIA..... 3,048
3,000 State Transition Revenue, Series A,
Refunding, 5.50%, 7/1/11.......... 3,100
----------
29,267
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Wyoming (0.1%):
$ 875 Community Development Authority,
Single Family Mortgage, Series A,
7.25%, 6/1/07, Callable 6/1/01 @
102............................... $ 905
----------
Total Municipal Bonds 1,006,903
----------
WEEKLY DEMAND NOTES (0.2%):
Idaho (0.1%):
1,100 Bonner County Industrial Development
Revenue, 3.80%, 10/1/07, LOC: Bank
of Washington..................... 1,100
----------
Illinois (0.1%):
1,100 Health Facilities Authority,
Revenue, 3.70%, 12/1/15........... 1,100
----------
Total Weekly Demand Notes 2,200
----------
DAILY DEMAND NOTES (2.2%):
California (0.4%):
4,300 Orange County, 2.90%, 8/1/15........ 4,300
----------
New York (0.2%):
2,500 New York City, Series A-4, 3.50%,
8/1/21............................ 2,500
----------
Texas (1.6%):
5,500 Brazos River Authority, Pollution
Control Revenue, 3.80%, 2/1/32.... 5,500
2,300 Grapevine Industrial Development
Corp., Multiple Mode Revenue,
Series A2, 3.85%, 12/1/24......... 2,300
7,200 Harris County, Health Facilities
Revenue, 3.85%, 2/15/27, LOC:
Morgan Guarantee.................. 7,200
1,500 Sabine River Authority, Pollution
Control, 3.80%, 3/1/26............ 1,500
----------
16,500
----------
Total Daily Demand Notes 23,300
----------
</TABLE>
47
Continued
<PAGE> 50
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
MONTHLY DEMAND NOTES (2.5%):
California (1.5%):
$12,500 Educational Loan Marketing Corp.,
Revenue, Series IV-C-1, 4.00%,
1/1/33............................ $ 12,500
4,000 Student Education Loan Marketing
Revenue, 3.55%, 7/10/10........... 4,000
----------
16,500
----------
Florida (0.7%):
7,300 Educational Loan Marketing Corp.,
Revenue, Series A, 4.00%,
12/1/18........................... 7,300
----------
Wyoming (0.3%):
500 Student Loan Corp., Student Loan
Revenue, AMT, 4.00%, 12/1/05...... 500
2,150 Student Loan, Series A, 3.40%,
2/1/32,........................... 2,150
----------
2,650
----------
Total Monthly Demand Notes 26,450
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
INVESTMENT COMPANIES (0.1%):
$ 908 Provident Municipal Cash Fund....... $ 908
----------
Total Investment Companies 908
----------
Total (Cost $1,048,924)(a) $1,059,761
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,057,651.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $19,501
Unrealized depreciation...................... (8,664)
-------
Net unrealized appreciation.................. $10,837
=======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon bank prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the rate
in effect at June 30, 1999.
<TABLE>
<S> <C>
ACA Guaranteed by American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
BIG Insured by Bond Insurance Guarantee
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Federal Housing Administration
FHLMC Federal Home Loan Mortgage Corp.
FNMA Insured by Federal National Mortgage Association
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
GSL Guaranteed Student Loans
IDR Industrial Development Revenue
LOC Letters of Credit
MBIA Insured by Municipal Bond Insurance Association
PSFG Permanent School Funding Guarantee
VA Veterans Administration
</TABLE>
See notes to financial statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (93.0%):
Alabama (1.2%):
$ 5,000 Courtland Industrial Development
Board, Solid Waste Disposal,
Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102....... $ 5,270
5,000 Jefferson County, Sewer Revenue,
Capital Improvement Waters, Series
A, 5.75%, 2/1/38, Callable 2/1/09
@101, FGIC.......................... 5,125
--------
10,395
--------
Alaska (1.0%):
2,500 Fairbanks North Star Boro, Refunding,
Series S, 5.45%, 3/1/06, Callable
7/1/02 @ 100, MBIA.................. 2,596
1,000 Student Loan Revenue, State Assisted,
Series A, AMT, 6.13%, 7/1/05,
Callable 7/1/02 @ 100, AMBAC........ 1,035
5,000 Valdez Marine Terminal, Revenue,
Series C, 5.65%, 12/1/28, Callable
12/1/03 @ 102....................... 4,996
--------
8,627
--------
Arizona (1.0%):
2,500 Maricopa County School District #028,
GO, Series B, 6.00%, 7/1/14,
Callable 7/1/04 @ 100, FGIC......... 2,624
625 Salt River Project Agricultural
Improvement Power District, Revenue,
Series D, 6.00%, 1/1/08, Callable
1/1/03 @ 102........................ 673
5,000 Salt River Project Agriculture, Series
B, 5.25%, 1/1/19, Callable 1/1/03 @
102................................. 4,907
--------
8,204
--------
California (5.1%):
2,000 Anaheim Public Finance Authority,
Revenue, Public Improvements
Project, Series C, 6.00%, 9/1/16,
FSA................................. 2,186
1,750 Northern California Public Power
Agency, Revenue, Project A, 5.60%,
7/1/06, AMBAC....................... 1,869
1,750 Northern California Public Power
Agency, Revenue, Project A, 5.60%,
7/1/06, AMBAC....................... 1,870
2,345 Northern California Public Power
Agency, Revenue, Project A, 5.65%,
7/1/07, AMBAC....................... 2,512
2,455 Northern California Public Power
Agency, Revenue, Project A, 5.64%,
7/1/07, AMBAC....................... 2,634
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
California, continued:
$ 4,900 Orange County Recovery, Certificates
of Participation, Series A, 5.70%,
7/1/10, Callable 7/1/06 @ 102,
MBIA................................ $ 5,183
5,315 Orange County Recovery, Certificates
of Participation, Series A, 5.80%,
7/1/16, Callable 7/1/06 @102,
AMBAC............................... 5,566
1,000 Sacramento Cogeneration Authority,
Revenue, 6.00%, 7/1/03.............. 1,051
1,500 Sacramento Cogeneration Authority,
Revenue, 7.00%, 7/1/05.............. 1,665
2,500 Sacramento Cogeneration Authority,
Revenue, 6.20%, 7/1/06, Callable
7/1/05 @ 102........................ 2,690
1,500 Sacramento Municipal Utilities,
Revenue, 5.75%, 1/1/10, Callable
1/1/04 @ 102, MBIA.................. 1,577
3,000 Sacramento Municipal Utilities,
Revenue, 5.13% , 7/1/22, Callable
7/1/07 @ 102........................ 2,898
6,500 State Public Works Board, Revenue,
Department of Corrections, Series A,
5.25%, 1/1/21, Callable 1/1/06 @
100, AMBAC.......................... 6,405
4,500 State, GO, 5.50%, 4/1/06, MBIA........ 4,774
--------
42,880
--------
Colorado (3.5%):
2,280 Denver, City & County Airport,
Revenue, Series A, AMT, 8.50%,
11/15/23, Callable 11/15/00 @ 102... 2,433
2,095 Denver, City & County Airport,
Revenue, Series A, AMT, 8.00%,
11/15/25, Callable 11/15/00 @ 102... 2,219
3,000 Denver, City & County Airport,
Revenue, Series B, AMT, 7.25%,
11/15/05, Callable 11/15/02 @ 102... 3,257
2,000 Denver, City & County Airport,
Revenue, Series C, AMT, 6.50%,
11/15/06, Callable 11/15/02 @ 102... 2,103
6,925 Denver, City & County Airport,
Revenue, Series D, AMT, 7.75%,
11/15/13, Callable 11/15/07 @ 100... 8,351
2,200 E-470 Business Metropolitan District,
GO, 5.13%, 12/1/17, Callable 12/1/09
@ 100, ACA.......................... 2,099
12,295 E-470 Public Highway Authority,
Revenue, Capital Appreciation,
Series B, 0.00%, 9/1/23, MBIA....... 3,205
</TABLE>
49
Continued
<PAGE> 52
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 2,250 Health Facilities Authority, Revenue,
5.38%, 1/1/16, Callable 1/1/08 @
101................................. $ 2,138
3,605 Mountain Village Metropolitan
District, San Miguel County, Refund
& Improvement, GO, 5.25%, 12/1/13,
Callable 12/1/08 @ 100, MBIA........ 3,617
--------
29,422
--------
Connecticut (1.4%):
3,400 Housing Finance Authority, Revenue,
Mortgage Subseries D-1, 5.90%,
5/15/16, Callable 5/15/06 @ 102..... 3,550
3,225 State, GO, Series A, 5.40%, 3/15/06,
Callable 3/15/03 @ 102, MBIA........ 3,362
5,000 State, GO, Series A, 5.63%, 5/15/13,
Callable 5/15/06 @ 101.............. 5,216
--------
12,128
--------
Delaware (1.1%):
9,035 State Transit Authority, Revenue,
5.80%, 7/1/09, Callable 7/1/02 @
102, MBIA........................... 9,462
--------
Florida (6.1%):
3,505 Florida Housing Finance Corp.,
Revenue, 5.00%, 7/1/17, Callable
1/1/09 @ 101.50, FSA................ 3,337
4,000 Gainesville Utilities System, Revenue,
Series A, 5.00%, 10/1/16, Callable
10/1/06 @ 102....................... 3,854
9,640 Lee County Transportation Facilities,
Revenue, Series F, 5.75%, 10/1/27,
Callable, 10/1/05 @ 102, MBIA....... 9,890
4,000 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/19, ACA......... 1,328
2,255 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/20, ACA......... 707
4,265 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/22, ACA......... 1,191
5,000 State Board of Education, Capital
Outlay, GO, 5.75%, 6/1/13, Callable
6/1/03 @ 101........................ 5,298
12,100 State Board of Education, Capital
Outlay, GO, 6.40%, 6/1/19, Callable
6/1/02 @ 101........................ 12,802
8,250 State Board of Education, Capital
Outlay, GO, 5.50%, 6/1/26, Callable
6/1/06 @ 101........................ 8,300
4,000 Tampa Health System Catholic Health,
5.50%, 11/15/12..................... 4,124
--------
50,831
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Georgia (4.6%):
$ 4,250 Chatham County School District, GO,
Series B, 5.50%, 8/1/20, Callable
8/1/04 @ 101, FGIC.................. $ 4,279
5,000 Fulton County School District, GO,
6.38%, 5/1/10....................... 5,543
4,000 Private College & University
Authority, 5.38%, 6/1/31, Callable
6/1/09 @ 102, ACA................... 3,801
650 State Housing & Finance Authority,
Revenue, Series B, 6.10%, 12/1/12,
Callable 6/1/05 @ 102, FHA.......... 685
9,500 State, GO, 7.10%, 9/1/09.............. 11,192
10,000 State, GO, 6.75%, 9/1/11.............. 11,614
1,000 State, GO, Series C, 7.25%, 7/1/05.... 1,142
--------
38,256
--------
Guam (0.5%):
3,820 Power Authority, Revenue, 5.00%,
10/1/18, Callable 10/1/09 @ 101,
AMBAC............................... 3,694
250 Power Authority, Revenue, 5.00%,
10/1/20, Callable 10/1/09 @ 101,
AMBAC............................... 240
--------
3,934
--------
Hawaii (0.9%):
6,320 Honolulu City & County, GO, Series B,
8.00%, 10/1/10...................... 7,828
--------
Illinois (7.5%):
1,000 Chicago Metropolitan Water, Capital
Improvement, 5.50%, 12/1/12......... 1,037
5,000 Chicago O'Hare International Airport,
Revenue, Series A, 5.63%, 1/1/13,
Callable 1/1/06 @ 102, AMBAC........ 5,115
5,000 Chicago O'Hare International Airport,
Revenue, Series A, 5.63%, 1/1/14,
Callable 1/1/06 @ 102, AMBAC........ 5,102
1,750 Chicago Public Building Commission,
Revenue, Series A, 7.00%, 1/1/20,
Callable 12/1/05 @ 102, MBIA........ 2,116
4,750 Chicago School Reform Board of
Education, 5.25%, 12/1/22, Callable
12/1/07 @ 102, AMBAC................ 4,579
10,000 Chicago Waste Water, Revenue, Series
A, 0.00%, 1/1/22, MBIA.............. 2,820
5,000 Cook County Community College,
Certificates of Participation,
Series C, 7.70%, 12/1/04, MBIA...... 5,733
4,700 Cook County, GO, Series B, 5.13%,
11/15/17, Callable 11/15/07 @ 101,
MBIA................................ 4,537
</TABLE>
50
Continued
<PAGE> 53
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 3,700 Development Finance Authority,
Revenue, Local Government Project,
School District #303-B, 5.10%,
1/1/18, Callable 7/1/08 @ 100,
FGIC................................ $ 3,535
1,750 Du Page County, Forest Preservation
District, Refunding, 6.00%,
11/1/03............................. 1,858
1,000 Health Facilities Authority, Revenue,
Northwestern Memorial Hospital,
Series A, 5.60%, 8/15/06, Callable
8/15/04 @ 102....................... 1,048
1,000 Health Facilities Authority, Revenue,
Refunding, 6.00%, 8/15/05, FGIC..... 1,065
2,500 Housing Development Authority,
Revenue, Series 3, 6.10%, 9/1/13,
Callable 9/1/03 @ 102............... 2,592
2,000 Housing Development Authority,
Revenue, Series A, 5.95%, 7/1/21,
Callable 7/1/05 @ 102, AMBAC........ 2,068
5,000 Metropolitan Pier & Expo Authority,
Revenue, Series A, 0.00%, 12/15/12,
MBIA................................ 2,441
4,000 Northlake, GO, 5.60%, 12/1/14,
Callable 12/1/05 @ 102, MBIA........ 4,092
1,000 St. Clair County, GO, 8.00%, 12/1/02,
MBIA................................ 1,113
1,095 St. Clair County, GO, 8.00%, 12/1/03,
MBIA................................ 1,244
5,700 State, GO, 5.13%, 12/1/03, FGIC....... 5,865
3,600 Winnebago & Boone Counties, GO, 7.35%,
2/1/04, FSA......................... 4,023
--------
61,983
--------
Indiana (11.4%):
400 Ball State University, Revenue, Series
G, 6.13%, 7/1/09, Callable 7/1/02 @
102, FGIC........................... 428
150 Ball State University, Revenue, Series
H, 6.15%, 7/1/05, FGIC.............. 161
1,550 Beech Grove School Building Corp.,
Revenue, 6.25%, 7/5/16, Callable
1/5/11 @ 100, MBIA.................. 1,716
1,000 Brownsburg School Building Corp.,
Revenue, 6.10%, 2/1/13, Callable
2/1/05 @ 102, FGIC.................. 1,090
500 Carmel High School Building Corp.,
Revenue, 5.15%, 7/15/15, Callable
1/15/06 @ 102, MBIA................. 490
1,000 Central High School Building Corp.,
Revenue, 5.00%, 8/1/11, Callable
8/1/07 @ 102, AMBAC................. 981
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 1,000 Clark Elementary School Building
Corp., Revenue, 6.00%, 7/15/12,
Callable 7/15/03 @ 102.............. $ 1,032
1,015 Cloverdale School Building Corp.,
6.38%, 7/15/13, Callable 1/15/02 @
101................................. 1,075
1,000 Danville Multi-School Building Corp.,
5.75%, 1/15/18, Callable 1/15/07 @
102, AMBAC.......................... 1,022
1,000 Decatur Township Marion County School
District, GO, 5.65%, 3/15/08 @ 102,
Callable 3/15/08 @ 102.............. 1,014
100 Eagle Union Elementary School Building
Corp., 9.25%, 1/1/03, Callable
1/1/00 @ 101........................ 115
2,000 East Allen Elementary School District
Corp., Revenue, 5.88%, 7/1/12,
Callable 7/1/06 @ 102, FSA.......... 2,109
1,000 East Allen Woodland School Building
Corp., Revenue, 5.25%, 7/15/12,
Callable 7/1/99 @ 101, AMBAC........ 998
1,000 Evansville Vanderburgh Corp., Revenue,
5.80%, 8/15/16, Callable 8/1/06 @
102, MBIA........................... 1,040
450 Fort Wayne South Side, Revenue, 6.13%,
1/15/12, Callable 1/15/04 @ 102,
MBIA................................ 488
500 Franklin Community School Building
Corp., Revenue, 5.85%, 7/15/11,
Callable 7/15/06 @ 102, FSA......... 524
2,000 Franklin Community School Building
Corp., Revenue, 6.00%, 1/15/13,
Callable 7/15/06 @ 102, FSA......... 2,116
500 Greencastle N E Elementary School
Building Corp., 6.63%, 1/15/14,
Callable 1/15/03 @ 101.............. 531
1,645 Hamilton County Option, Revenue,
5.20%, 7/10/14, Callable 1/10/08 @
101, FSA............................ 1,611
1,000 Hamilton County Public Building Corp.,
Series A, 6.25%, 1/20/12, Callable
7/20/02 @ 102....................... 1,065
300 Hamilton Southeastern Construction
School Building, Revenue, 6.00%,
1/15/14, Callable 7/15/05 @ 102,
AMBAC............................... 327
1,000 Hamilton Southeastern School Building
Corp., 5.40%, 7/15/15, Callable
7/15/07 @ 102, FSA.................. 1,004
500 Hammond Multi-School Building Corp.,
Revenue, Series A, 6.15%, 7/10/10,
Callable 1/10/03 @ 102.............. 522
</TABLE>
51
Continued
<PAGE> 54
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 1,000 Health Facilities Finance Authority,
Revenue, Series A, 6.00%, 9/1/05.... $ 1,071
490 Health Facilities Finance Authority,
Revenue, Series D, 5.00%, 11/1/07... 490
1,000 Health Facility Finance Authority,
Revenue, Series A, 5.50%, 2/15/16,
Callable 2/15/07 @ 102.............. 990
200 Indiana State University, Revenue,
Series G, 6.60%, 7/1/04, Callable
1/1/00 @ 102........................ 218
1,000 Indiana State Vocational Technology
College, Revenue, Series D, 5.90%,
7/1/06, Callable 1/1/05 @ 102,
AMBAC............................... 1,063
350 Indiana State Vocational Technology
College, Series D, 6.40%, 7/1/10,
Callable 1/1/05 @ 102, AMBAC........ 381
5,000 Indiana University, Revenue, Series K,
5.88%, 8/1/20, Callable 11/1/02 @
102, MBIA........................... 5,139
200 Indianapolis Gas Utilities, Revenue,
7.00%, 6/1/08, Callable 6/1/00 @
100................................. 220
1,000 Indianapolis School Building Corp.,
Revenue, 5.20%, 7/15/12, Callable
1/5/07 @ 102, FSA................... 998
1,000 Indianapolis School Building Corp.,
Revenue, 5.20%, 1/5/13, Callable
1/5/07 @ 102, FSA................... 994
200 Lafayette Redevelopment Authority,
Economic Development, 6.70%, 2/1/10,
Prerefunded 8/1/04 @ 102, MBIA...... 223
255 Lafayette Redevelopment Authority,
Economic Development, 6.80%, 8/1/10,
Prerefunded 8/1/04 @ 102, MBIA...... 286
455 Lawrence Township Metropolitan School
District, Revenue, 6.75%, 1/5/07.... 508
525 Merrillville Multi-School Building
Corp., 6.45%, 7/1/04, Callable
1/1/04 @ 100........................ 566
1,000 Merrillville Multi-School Building
Corp., 5.65%, 7/15/14, Callable
1/15/07 @ 102, MBIA................. 1,020
1,500 Metro School District Building Corp.,
6.90%, 1/1/18, Callable 1/1/05 @
102................................. 1,694
1,000 Mooresville Construction School
Building Corp., Revenue, 5.25%,
7/15/12, Callable 7/15/07 @ 102,
AMBAC............................... 1,002
3,000 Municipal Power Agency Supply System,
Revenue, Series B, 5.50%, 1/1/16,
Callable 1/1/14 @ 100, MBIA......... 3,080
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 250 North Warrick County School Building,
10.00%, 1/1/04, Callable 7/1/03 @
101................................. $ 304
500 Purdue University, Certificates of
Participation, 6.20%, 7/1/15,
Callable 7/1/04 @ 100............... 536
1,000 Seymour Community High School Building
Corp., Revenue, 6.25%, 1/15/14,
Callable 1/15/05 @ 101, FGIC........ 1,089
900 South Bend Community School Building
Corp., 5.70%, 8/1/17, Callable
8/1/07 @ 101, FSA................... 964
1,500 South Bend Community School Building
Corp., Revenue, 5.70%, 8/1/19,
Callable 8/1/07 @ 101, FSA.......... 1,607
1,000 South Central Community School
Building Corp., Revenue, 5.85%,
7/15/17, Callable 1/15/08 @ 102,
AMBAC............................... 1,046
1,360 South Harrison Community School
Building Corp., Revenue, 5.80%,
7/15/11, Callable 1/15/03 @ 102..... 1,438
710 South Newton School Building Corp.,
Revenue, 5.80%, 7/15/12, Callable
1/15/05 @ 102, MBIA................. 740
1,000 St. Joseph County Hospital Facilities
Authority, Revenue, 6.25%, 8/15/12,
Callable 2/15/03 @ 102, MBIA........ 1,078
450 State Educational Facilities
Authority, Revenue, Series B, 6.60%,
1/1/11, Callable 1/1/02 @ 102,
MBIA................................ 480
1,000 State Educational Facilities
Authority, Revenue, 6.00%, 7/1/12,
Callable 7/1/06 @ 101............... 1,080
750 State Educational Facilities
Authority, Revenue, 6.00%, 6/1/15,
Callable 6/1/06 @ 102, MBIA......... 791
1,020 State Educational Facilities
Authority, Revenue, 5.65%, 1/1/16,
Callable 1/1/06 @ 101, MBIA......... 1,037
850 State Housing Finance Authority,
Multi-Unit Mortgage, 6.60%, 1/1/12,
Callable 1/1/03 @ 102............... 896
1,150 State Office Building Commission,
Revenue, Series A, 5.50%, 7/1/12,
Callable 7/1/05 @ 102, AMBAC........ 1,177
2,000 State Office Building Common, Revenue,
6.40%, 7/1/11, Callable 12/1/01 @
102................................. 2,142
500 State Recreational Development
Commission, Revenue, Series B,
6.00%, 7/1/09....................... 525
</TABLE>
52
Continued
<PAGE> 55
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Indiana, continued:
$ 2,100 Terre Haute North/South, Revenue,
5.80%, 7/1/13, Callable 7/1/03 @
102................................. $ 2,155
120 Tippecanoe County Hospital Authority,
Revenue, 7.25%, 1/1/11, Callable
1/1/00 @ 100, ETM................... 136
500 Transportation Finance Authority,
Airport Facility, Revenue, Series A,
6.00%, 11/1/14, Callable 11/1/05 @
102................................. 522
2,745 Transportation Finance Authority,
Revenue, 6.25%, 11/1/16, Prerefunded
11/1/02 @ 102....................... 2,963
4,000 Transportation Finance Authority,
Revenue, Series A, 7.25%, 6/1/15.... 4,795
755 Transportation Finance Authority,
Revenue, Series A, 6.25%, 11/1/16,
Callable 1/1/02 @ 102............... 801
8,750 Transportation Finance Authority,
Revenue, Series A, 6.80%, 12/1/16,
Callable 12/1/10 @ 100.............. 10,160
6,230 Transportation Finance Authority,
Revenue, Series A, 5.00%, 12/1/18,
Callable 12/1/08 @ 101.............. 5,864
1,180 Vincennes Community School Building
Corp., Revenue, 6.00%, 7/1/09,
Callable 7/1/06 @ 102, FSA.......... 1,256
300 Vinton Tecumseh School Building Corp.,
6.25%, 7/15/16, Callable 7/15/04 @
102................................. 326
450 Wa Nee Elementary/High School Building
Corp., Revenue, 6.50%, 7/15/10,
Callable 1/15/04 @ 102.............. 495
500 Wabash County School Building Corp.,
6.88%, 7/1/09, Callable 1/1/02 @
101................................. 530
1,000 Warsaw High School Building Corp.,
Revenue, 6.50%, 1/1/10, Callable
7/1/00 @ 102, MBIA.................. 1,045
2,000 West Lafayette Jr/Sr High School,
Revenue, 5.80%, 7/15/15, Callable
7/15/04 @ 101, MBIA................. 2,134
800 Westfield High School Building Corp.,
Revenue, 5.70%, 7/15/13, Callable
7/15/05 @ 102, AMBAC................ 860
1,000 Westfield High School Building Corp.,
Revenue, 5.80%, 7/15/18, Callable
7/15/05 @ 102, AMBAC................ 1,080
1,000 Whitko Middle School Building Corp.,
Revenue, 5.88%, 7/15/12, Callable
1/15/07 @ 102, FSA.................. 1,049
--------
94,503
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky (1.6%):
$ 2,920 Jefferson County School District
Finance Corp., School Building
Revenue, Refund Series A, 5.25%,
1/1/11, Callable 7/1/09 @ 101,
FSA................................. $ 2,954
1,685 Shelby County School District Finance
Corp., School Building Revenue,
5.00%, 5/1/17, Callable 5/1/09 @
101................................. 1,624
1,765 Shelby County School District Finance
Corp., School Building, Revenue,
5.00%, 5/1/18, Callable 5/1/09 @
101................................. 1,695
1,855 Shelby County School District Finance
Corp., School Building Revenue,
5.00%, 5/1/19, Callable 5/1/09 @
101................................. 1,773
4,820 State Property & Buildings Community
Revenues, Refunding-Project #59,
5.70%, 11/1/13, Callable 11/1/05 @
102................................. 4,966
--------
13,012
--------
Louisiana (2.1%):
8,340 Baton Rouge Sales & Use Tax,
Refunding, Public Improvement,
Series A, 5.25%, 8/1/11, Callable
8/1/08 @ 101.5, FGIC................ 8,433
8,770 Baton Rouge Sales & Use Tax,
Refunding, Public Improvement-Series
A, 5.25%, 8/1/12, Callable 8/1/08 @
101.5, FGIC......................... 8,828
--------
17,261
--------
Maine (0.3%):
2,710 State Housing Authority, Mortgage
Purchase, Revenue, Series A, 5.05%,
11/15/16, Callable 9/1/07 @ 101.5... 2,747
--------
Maryland (0.3%):
2,250 State Community Development, Revenue,
6.20%, 4/1/14, Callable 4/1/05 @
102................................. 2,382
--------
Massachusetts (1.9%):
3,815 Housing Finance Agency, Revenue,
6.00%, 12/1/15, Callable 12/1/05 @
102, AMBAC.......................... 3,989
2,265 State Industrial Finance Agency,
Revenue, 6.00%, 1/1/15, Callable
1/1/06 @ 102, MBIA.................. 2,407
10,000 State, GO, Series C, 5.00%, 8/1/07 @
101, Callable 12/1/05 @ 102......... 9,580
--------
15,976
--------
Michigan (5.5%):
1,500 Ann Arbor School District, 7.13%,
5/1/02.............................. 1,612
1,500 Caledonia Community Schools, GO,
5.85%, 5/1/22, Callable 5/1/07 @
100, MBIA........................... 1,610
</TABLE>
53
Continued
<PAGE> 56
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$ 2,440 Detroit, Series A, GO, 5.25%, 4/1/12,
Callable 4/1/09 @ 101, FSA.......... $ 2,445
1,000 Dexter Community Schools, 5.10%,
5/1/18, FGIC........................ 979
320 Grand Traverse County Hospital, 5.80%,
7/1/03, Callable 7/1/02 @ 102....... 335
2,500 Higher Education Hope College, 5.40%,
10/1/20, Callable 10/1/09 @ 100..... 2,428
4,675 Kalamazoo Hospital Finance Authority,
5.88%, 5/15/26, Callable 5/15/06 @
102, MBIA........................... 4,792
5,000 Oakland County Educational, Revenue,
6.90%, 11/1/14, Callable 11/1/04 @
102................................. 5,654
250 Saranac Community Schools, 6.00%,
5/1/13, Callable 5/1/03 @ 102....... 265
4,435 Southgate Community School District
UnionTrust, GO, 5.00%, 5/1/19....... 4,181
1,450 State Housing Development Authority,
Revenue, Series C, 6.38%, 12/1/11,
Callable 12/1/04 @ 102.............. 1,539
1,790 State Housing Development Authority,
Revenue, Series A, 7.30%, 12/1/09,
Callable 12/11/99 @ 102............. 1,838
5,000 State Housing Development Authority,
Revenue, Series D, 5.95%, 12/1/16,
Callable 12/1/06 @ 102.............. 5,186
2,000 State Strategic Fund, Revenue, AMT,
6.00%, 12/1/13, Callable 12/1/03 @
102................................. 2,085
5,000 State, GO, 5.00%, 12/1/05............. 5,139
3,500 State, GO, 6.25%, 11/1/07, Prerefunded
11/1/02 @ 102....................... 3,774
2,400 Traverse City Area Public School,
Series I, 5.70%, 5/1/11, Prerefunded
5/1/05 @ 101, MBIA.................. 2,559
--------
46,421
--------
Minnesota (1.4%):
5,775 State Housing Financing Agency,
Revenue, Series D, 5.90%, 8/1/15,
Callable 2/1/05 @ 102, MBIA......... 6,004
5,250 State, GO, 5.60%, 10/1/06, Prerefunded
10/1/04 @ 100....................... 5,533
--------
11,537
--------
Mississippi (0.5%):
4,680 Jackson Housing Authority,
Multi-Family Revenue, AMT, 5.38%,
4/1/31, Callable 4/1/09 @ 101,
FSA................................. 4,575
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Missouri (0.9%):
$ 3,580 Clay County Public Building Authority,
Leasehold Revenue, Refund Series A,
5.13%, 5/15/14, Callable 5/15/08 @
100, FSA............................ $ 3,518
3,710 Sikeston Electric, Revenue, 6.00%,
6/1/05.............................. 3,983
--------
7,501
--------
Montana (0.2%):
1,500 State Board Housing, Revenue, Series
A-1, 6.05%, 6/1/16, Callable 12/1/06
@ 102, FHA.......................... 1,559
--------
Nevada (1.3%):
5,145 Clark County Industrial Development,
Revenue, 7.20%, 10/1/22, AMBAC...... 5,621
5,000 Clark County School District, Refund,
GO, 5.25%, 6/15/13, Callable 6/15/09
@ 100, FSA.......................... 4,993
--------
10,614
--------
New Jersey (1.1%):
9,000 State Transportation Trust Fund
Authority, Transportation Systems-
Series B, 5.25%, 6/15/12, Callable
6/15/07 @ 102....................... 9,087
--------
New Mexico (0.4%):
3,405 State Mortgage Finance Authority,
Revenue, Single Family, 5.90%,
7/1/16, Callable 7/1/07 @ 102,
GNMA................................ 3,546
--------
New York (3.7%):
7,605 Metropolitan Transportation Authority,
Dedicated Tax Fund, Series A, 5.25%,
4/1/11, Callable 4/1/09 @ 101,
FSA................................. 7,687
5,000 State Dormitory Authority, Revenue,
5.88%, 7/1/08, Callable 7/1/06 @
102................................. 5,268
1,345 State Thruway Authority, Highway &
Bridge Trust Fund, Series A, 6.00%,
4/1/14, Callable 4/1/04 @ 102,
FGIC................................ 1,459
10,000 State Thruway Authority, Revenue,
Series E, 5.25%, 1/1/15, Callable
1/1/08 @ 101........................ 9,953
6,530 State Tollway Authority, Highway &
Bridge Trust Fund, Series B, 5.38%,
4/1/10.............................. 6,707
250 Triborough Bridge & Tunnel Authority,
Revenue, Series X, 6.63%, 1/1/12.... 285
--------
31,359
--------
</TABLE>
54
Continued
<PAGE> 57
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
North Carolina (3.1%):
$ 5,000 Charlotte Mecklenberg Hospital
Authority, Revenue, Series A, 5.13%,
1/15/22, Callable 1/15/07 @ 102..... $ 4,725
3,355 Charlotte Mecklenberg Hospital
Authority, Series A, 5.60%, 1/15/10,
Callable 1/15/06 @ 102.............. 3,492
3,510 Charlotte Mecklenberg Hospital,
Revenue, 5.90%, 1/15/16, Callable
1/15/06............................. 3,637
2,555 Charlotte, GO, Public Improvement
Series A, 5.00%, 2/1/19, Callable
2/1/08 @ 102........................ 2,464
1,670 State Housing Finance Agency, Revenue,
AMT, Single Family, Series LL,
5.50%, 9/1/22....................... 1,693
4,155 State Housing Finance Agency, Revenue,
AMT, Single Family, Series BB,
6.50%, 9/1/26, Callable 3/1/05 @
102................................. 4,383
4,900 State Housing Finance Agency, Revenue,
AMT, Single Family, Series FF,
6.25%, 3/1/28....................... 5,126
--------
25,520
--------
North Dakota (0.8%):
4,325 Bismarck Health Care Facilities,
Revenue, St. Alexius Medical Center,
Series A, 5.25%, 7/1/15, Callable
7/1/08 @ 102, FSA................... 4,236
2,910 State Building Authority, Lease
Revenue, 5.13%, 12/1/18, Callable
12/1/08 @ 100, AMBAC................ 2,799
--------
7,035
--------
Ohio (6.1%):
2,500 Cleveland, Certificate of
Participation, Cleveland Stadium
Project, 5.25%, 11/15/12, Callable
11/15/07 @ 102, AMBAC............... 2,499
7,000 Cleveland, Certificate of
Participation, Cleveland Stadium
Project, 5.25%, 11/15/13, Callable
11/15/07 @ 102, AMBAC............... 6,961
5,000 Cleveland, Certificate of
Participation, 5.25%, 11/15/17,
Callable 11/15/07 @ 102, AMBAC...... 4,887
3,655 Cuyahoga County, Hospital Revenue,
Cleveland Clinic Health, Series B,
5.25%, 1/1/13, Callable 7/1/09 @
101................................. 3,636
2,145 Delaware City School District, 5.13%,
12/1/18, Callable 12/1/08 @ 101,
FSA................................. 2,093
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 4,000 Franklin County, Hospital Revenue,
Series A, 6.50%, 5/1/07............. $ 4,316
1,605 Housing Finance Agency, Mortgage,
Revenue, Series A-1, 6.20%, 9/1/14,
GNMA................................ 1,704
250 State Building Authority, Revenue,
Series A, 6.13%, 10/1/09, Callable
10/1/02 @ 102....................... 269
3,245 State Turnpike Commission, Revenue,
Series A, 5.50%, 2/15/15, FGIC...... 3,364
5,000 State Turnpike Commission, Revenue,
Series A, 5.70%, 2/15/17,
Prerefunded 2/15/06 @ 102, MBIA..... 5,374
3,265 State, GO, 5.50%, 8/1/03, Callable
8/1/02 @ 102........................ 3,407
3,395 State, GO, 5.60%, 8/1/04, Callable
8/1/02 @ 102........................ 3,568
1,000 State, GO, State Public & Sewer
Improvement, 6.00%, 8/1/07, Callable
8/1/05 @ 102........................ 1,083
5,645 State, GO, Infrastructure Improvement,
5.50%, 8/1/16, Callable 8/1/07 @
101................................. 5,764
2,500 Toledo Water Works, Revenue Bond,
4.75%, 11/15/17, Callable 11/15/09 @
102................................. 2,319
--------
51,244
--------
Oklahoma (0.4%):
2,755 McGee Creek Authority, Revenue, 6.00%,
1/1/23, Callable 1/1/14 @ 100,
MBIA................................ 2,976
--------
Oregon (0.5%):
4,500 State Department Administrative
Services, Certificate of
Participation, Refund Series A,
5.00%, 5/1/13, Callable 5/1/09 @
101, AMBAC.......................... 4,431
--------
Pennsylvania (0.8%):
4,440 Delaware County Authority, University
Revenue, Villanova University Series
A, 5.50%, 12/1/13, Callable 12/1/12
@ 100, MBIA......................... 4,603
2,000 Ephrata Area School District, GO,
Series C, 5.00%, 10/15/16, Callable
10/15/08 @ 100, FGIC................ 1,916
--------
6,519
--------
Puerto Rico (0.5%):
4,500 Public Buildings Authority, Revenue
Generated, Government Facilities
Series B, 5.00%, 7/1/14............. 4,446
--------
</TABLE>
55
Continued
<PAGE> 58
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Rhode Island (0.8%):
$ 5,800 Depositors Economic Protection,
Revenue, Series A, 6.30%, 8/1/05,
FSA, MBIA........................... $ 6,291
--------
South Carolina (0.2%):
2,000 Greenville Hospital System Facilities,
Revenue, Series A, 5.60%, 5/1/10,
Callable 5/1/06 @ 102............... 2,062
--------
South Dakota (0.9%):
2,500 Heartland Consumers Power District
Electric, Revenue, 6.00%, 1/1/17,
FSA................................. 2,696
1,200 State Building Authority, Revenue,
6.63%, 9/1/12, Callable 9/1/02 @
102, AMBAC.......................... 1,308
2,300 State Housing Development Authority,
5.70%, 5/1/08, Callable 5/1/06 @
102................................. 2,391
1,000 State Housing Development Authority,
Revenue, 6.25%, 5/1/15, Callable
5/1/05 @ 102........................ 1,053
--------
7,448
--------
Tennessee (0.9%):
1,360 Knox County Health, Educational &
Housing Facilities Board, Revenue,
7.25%, 1/1/09, MBIA................. 1,587
1,300 Knox County Health, Educational &
Housing Facilities Board, Revenue,
7.25%, 1/1/10, MBIA................. 1,515
2,680 State Housing Development Agency,
Revenue, AMT, Homeownership Program
Issue, 5.35%, 7/1/23, Callable
1/1/09 @ 101........................ 2,624
2,280 State, GO, Public Improvements, 5.50%,
5/1/17, Callable 5/1/07 @ 101.50.... 2,218
--------
7,944
--------
Texas (4.1%):
2,185 Richardson Hospital Authority,
Unrefunded-Richardson Medical,
6.50%, 12/1/12...................... 2,317
1,370 Richardson Hospital Authority,
Prefunded-Richardson Medical, 6.50%,
12/1/12............................. 1,499
10,000 San Antonio Hotel Occupancy Tax,
Revenue, 5.70%, 8/15/26, Callable
8/15/06 @ 102, FGIC................. 10,203
5,000 State Public Finance Authority, GO,
Series B, 5.63%, 10/1/12, Callable
10/1/06 @ 100....................... 5,175
3,690 State Turnpike Authority, Dallas
Northway, Revenue, 5.25%, 1/1/23,
Callable 1/1/06 @ 102, FGIC......... 3,576
5,000 State Water Development Board, Series
B, 5.13%, 7/15/18, Callable 1/15/07
@ 100............................... 4,840
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 1,000 State, GO, Refunding, Series A, 6.00%,
10/1/05............................. $ 1,075
4,000 State, GO, College Student Loan, AMT,
6.50%, 8/1/07, Callable 8/1/02 @
100................................. 4,168
1,000 University of Texas, Revenue, Series
A, 5.25%, 8/15/07, Callable 8/15/06
@ 102............................... 1,032
--------
33,885
--------
Utah (1.2%):
4,340 Salt Lake County, 5.50%, 10/1/11,
Callable 10/1/09 @ 100.............. 4,461
5,305 State Housing Finance Agency, Revenue,
AMT, Single Family Mortgage Issue
A2, 6.25%, 7/1/25, Callable 1/1/07 @
102, FHA............................ 5,560
--------
10,021
--------
Virginia (1.5%):
4,140 Norfolk Water, Revenue, 5.88%,
11/1/14, Callable 11/1/05 @ 102,
MBIA................................ 4,337
2,000 State Housing Development Authority,
Commonwealth Mortgage, Series H,
Subseries H-2, 6.20%, 1/1/08,
Callable 1/1/05 @ 102............... 2,095
1,500 State Housing Development Authority,
Refunding, Series E, 5.60%, 11/1/10,
Callable 11/1/03 @ 102.............. 1,549
4,500 State Housing Development Authority,
Commonwealth Mortgage, Series A,
7.10%, 1/1/17, Callable 1/1/02 @
102................................. 4,651
--------
12,632
--------
Washington (2.6%):
2,280 Clark County School District #114
Evergreen, 5.25%, 12/1/15, Callable
12/1/09 @ 100....................... 2,254
4,350 King County School District #415,
Kent, 5.25%, 12/1/11, Callable
12/1/08 @ 100, FGIC................. 4,374
5,000 Spokane County School District #081,
GO, 6.00%, 12/1/03.................. 5,319
5,500 State Public Power Supply, Systems
Nuclear Project #3, 5.13%, 7/1/18... 5,237
5,000 State Public Power Supply, Systems
Nuclear Project #2 Revenue, 5.00%,
7/1/12, Callable 7/1/08 @ 102....... 4,849
--------
22,033
--------
</TABLE>
56
Continued
<PAGE> 59
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia (1.8%):
$ 5,475 Braxton County Solid Waste Disposal,
Revenue, AMT, 6.13%, 4/1/26,
Callable 10/23/06 @ 102............. $ 5,639
9,050 State Road, 5.25%, 6/1/10, Callable
6/1/08 @ 101, FGIC.................. 9,219
--------
14,858
--------
Wisconsin (0.3%):
1,370 Housing & Economic Development
Authority, Revenue, Home Ownership,
Series A, 6.15%, 9/1/17, Callable
3/1/05 @ 102........................ 1,423
1,250 State, GO, Refunding, Series 2, 5.13%,
11/1/08............................. 1,272
--------
2,695
--------
Total Municipal Bonds 778,070
--------
DAILY DEMAND NOTES (2.4%):
New York (1.6%):
12,700 New York, Subseries A-4, 3.50%,
8/1/21*............................. 12,700
--------
North Carolina (0.8%):
7,100 Medical Care Community Revenue, Carol
Woods Project, 3.75%, 4/1/21*....... 7,100
--------
Total Daily Demand Notes 19,800
--------
WEEKLY DEMAND NOTES (2.6%):
Colorado (0.2%):
1,725 Health Facilities Authority, Revenue,
3.55%, 1/1/24*...................... 1,725
--------
Illinois (0.6%):
5,000 Health Facilities Authority, Revenue,
Healthcorp Affiliates-B, 3.50%,
11/1/15*............................ 5,000
--------
Maryland (1.3%):
10,000 Montgomery Co., Housing Opportunities,
Common Manufacturing, 3.50%,
11/1/07*............................ 10,000
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Minnesota (0.4%):
$ 3,650 St. Cloud Health Care Facilities,
Revenue, 3.60%, 7/1/27 *............ $ 3,650
--------
Washington (0.1%):
1,000 Port Townsend Paper Corp-B, 3.60%,
3/1/02*............................. 1,000
--------
Total Weekly Demand Notes 21,375
--------
MONTHLY DEMAND NOTES (0.6%):
Kansas (0.2%):
440 La Cygne Pollution Control Revenue,
3.19%, 4/15/27*..................... 440
1,350 Wamego Pollution Control Revenue, Gas
& Electric, 3.25%, 4/15/32*......... 1,350
--------
1,790
--------
Kentucky (0.0%):
200 Louisville Hospital Revenue, 3.32%,
10/1/14*............................ 200
--------
New York (0.4%):
2,500 City Municipal Water Finance
Authority, 3.15%, 6/15/09*.......... 2,500
750 City Municipal Water Finance
Authority, 3.15%, 6/15/13*.......... 750
--------
3,250
--------
Texas (0.0%):
150 Brazos Higher Education Authority,
Inc., Student Loan Revenue, Senior
Lien Series A, 3.25%, 8/1/02*....... 150
--------
Total Monthly Demand Notes 5,390
--------
INVESTMENT COMPANIES (0.5%):
4,374 Provident Municipal Cash Fund......... 4,374
--------
Total Investment Companies 4,374
--------
Total (Cost $806,131)(a) $829,009
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $836,535.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $26,140
Unrealized depreciation...................... (3,262)
-------
Net unrealized appreciation.................. $22,878
=======
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon bank prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the rate
in effect at June 30, 1999.
57
<PAGE> 60
- --------------------------------------------------------------------------------
One Group Mutual Funds
Tax-Free Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<S> <C> <C> <C>
ACA Insured by American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See notes to financial statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS (94.3%):
Alabama (0.6%):
$4,250 Courtland Industrial Development
Board, Solid Waste Disposal
Revenue, Series A, AMT, 6.50%,
9/1/25, Callable 9/1/05 @ 102..... $ 4,478
500 Housing Finance Authority, Series
A1, 5.80%, 10/1/08, Callable
4/1/05 @ 102, GNMA................ 522
1,540 Mobile Refunding & Improvement, GO,
0.00%, 2/15/14, Callable 2/15/08 @
76.49, MBIA....................... 685
1,500 Mobile Refunding & Improvement, GO,
0.00%, Callable 2/15/08 @ 74.50,
MBIA.............................. 649
----------
6,334
----------
Alaska (1.4%):
3,570 Energy Authority, Utility Revenue,
5.20%, 7/1/17, Callable 7/1/08 @
100, FSA.......................... 3,481
655 Home Mortgage Revenue Refunding,
8.00%, 3/1/09, Callable 3/1/02 @
102, FNMA......................... 693
8,440 State Housing Finance Corp., 0.00%,
12/1/17, Callable 6/1/07 @ 54,
MBIA.............................. 2,883
48,000 State Housing Finance Corp., Series
A2, AMT, 0.00%, 6/1/37, Callable
12/1/07 @ 17.74................... 5,232
2,750 Student Loan Corp., Series A, AMT,
5.75%, 7/1/14, Callable 7/1/07 @
100, AMBAC........................ 2,833
----------
15,122
----------
Arizona (4.8%):
315 Maricopa County, Industrial
Development Authority,
Multi-Family Housing Revenue,
7.25%, 7/1/17, Callable 7/1/07 @
101............................... 331
600 Maricopa County, Industrial
Development Authority, Health
Facilities Revenue, Pennington
Gardens, Series A, 5.10%, 9/20/19,
Callable 3/20/09 @ 103, GNMA...... 576
2,305 Maricopa County, Industrial
Development Authority, Health
Facilities Revenue, Pennington
Gardens, Series A, 6.25%, 9/20/29,
Callable 3/20/09 @ 103, GNMA...... 2,437
1,000 Maricopa County, Industrial
Development Authority,
Multi-Family Housing Revenue,
5.65%, 7/1/19, Callable 7/1/09 @
102, MBIA......................... 1,029
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,500 Maricopa County, Industrial
Development Authority,
Multi-Family Housing Revenue,
Series A, 6.25%, 7/1/27, Callable
1/1/07 @ 101...................... $ 1,553
10,000 Maricopa County, Industrial
Development Authority, Revenue,
AMT, 4.75%, 12/1/30, Callable
6/1/08 @ 108, FNMA/GNMA........... 10,589
11,705 Maricopa County, Industrial
Development Authority, Revenue,
Coral Point Apartments, Series A,
4.95%, 3/1/28, Callable 3/1/06 @
101............................... 11,748
1,780 Pima County, Industrial Development
Authority, Multi-Family Mortgage
Revenue, Ria Nova & Villa, 5.13%,
12/20/18, Callable 6/20/08 @ 101,
GNMA.............................. 1,755
1,285 Pima County, Industrial Development
Authority, Multi-Family Housing
Revenue, 7.00%, 12/20/31, Callable
6/20/12 @ 100, GNMA............... 1,475
1,400 Pima County, Industrial Development
Authority, Multi-Family Mortgage
Revenue, La Jolla Tuscon
Apartments, AMT, 5.20%, 4/1/19,
Callable 4/1/09 @ 102, FNMA....... 1,363
5,805 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, AMT, 6.20%, 11/1/30,
Callable 5/1/09 @ 101, GNMA/
FNMA/FHLMC........................ 5,544
585 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, AMT, 6.20%, 5/01/27,
Callable 5/01/04 @ 102, GNMA...... 591
7,130 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, AMT, 6.20%, 11/1/30,
Callable 5/1/09 @ 101, GNMA/
FNMA/FHLMC........................ 7,753
530 Pima County, Industrial Development
Authority,Single Family Mortgage
Revenue, Series B, AMT, 6.15%,
11/1/23, Callable 5/1/07 @ 103.38,
GNMA/FNMA/FHLMC................... 580
</TABLE>
59
Continued
<PAGE> 62
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$2,340 Yuma, Industrial Development
Authority, Multi-Family Mortgage
Revenue, AMT, 6.10%, 9/20/19,
Callable 9/20/09 @ 106, GNMA...... $ 2,466
----------
49,790
----------
Arkansas (1.6%):
223 Drew County, Public Facilities
Board, 7.90%, 8/1/11, Callable
8/1/03 @ 103, FNMA................ 239
92 Drew County, Public Facilities
Board, 7.75%, 8/1/11, Callable
2/1/04 @ 100...................... 98
391 Jacksonville, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, 7.90%, 1/1/11,
Callable 7/1/03 @ 103, FNMA....... 422
140 Jacksonville, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, 7.75%, 1/1/11,
Callable 7/1/05 @ 103............. 151
157 Lonoke County, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, 7.38%, 4/1/11,
Callable 4/1/03 @ 103............. 168
446 Lonoke County, Residential Housing
Facilities Board, Single Family
Mortgage Revenue, Series A-2,
7.90%, 4/1/11, FNMA............... 483
638 Pope County, Residential Facilities,
Housing Board Mortgage Revenue,
Series B, 7.75%, 9/1/11, Callable
8/1/02 @ 102, FHA................. 675
1,500 State Capital Appreciation, College
Savings, Series 97A, GO, 0.00%,
6/1/16............................ 604
2,000 State Capital Appreciation, College
Savings, Series A, GO, 0.00%,
6/1/15............................ 854
1,405 State Development Authority, Revenue
Refunding, 8.00%, 8/15/11,
Callable 8/15/01 @ 103, FHA....... 1,467
3,650 State Development Finance Authority
Revenue, 0.00%, 6/1/15............ 1,454
9,575 State Development Finance Authority,
Multi-Family Mortgage Revenue,
Series A, 5.45%, 7/1/24, Callable
7/14/99 @ 100, MBIA............... 9,563
374 Stuttgart Public Facilities Board,
Revenue, Series A-2, 7.90%,
9/1/11, Callable 9/1/03 @ 103,
FNMA.............................. 404
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arkansas, continued:
$ 180 Stuttgart Public Facilities Board,
Revenue, Series B, 7.75%, 9/1/11,
Callable 3/1/06 @ 103............. $ 195
----------
16,777
----------
California (4.2%):
430 ABAG Finance Authority for Nonprofit
Corp., 5.85%, 10/1/27, Callable
10/1/07 @ 102..................... 424
2,835 ABAG Finance Authority for Nonprofit
Corp., Multi-Family Housing
Revenue, Palo Alto Garden
Apartments, Series A, AMT, 5.35%,
10/1/29, Callable 4/1/06 @ 102.... 2,776
4,749 Contra Costa County, Multi-Family
Mortgage Revenue, Crescent Park,
Series B, 7.80%, 6/20/34, Callable
6/20/04 @ 105, GNMA............... 5,320
1,255 Fairfield, Water Revenue, 0.00%,
4/1/15, Callable 4/1/05 @ 56.75,
AMBAC............................. 515
1,690 Fresno Housing Authority, Project B,
AMT, 5.60%, 8/1/30, Callable
8/1/07 @ 102, FNMA................ 1,732
1,080 Housing Finance Agency, Home
Mortgage Revenue, AMT, 7.50%,
2/1/23, Callable 8/1/05 @ 102,
FHA/VA............................ 1,172
575 Housing Finance Agency, Local or
Guaranteed Housing Revenue, Series
B, 8.63%, 8/1/15, Callable 8/1/00
@ 100, MBIA....................... 592
635 Housing Finance Agency, Single
Family Housing Revenue, Series F,
7.88%, 8/1/19, Callable 7/29/99 @
101, FHA.......................... 644
1,460 Los Angeles Housing Authority,
Multi-Family Mortgage Revenue, The
Palms Apartments, Series E, AMT,
5.30%, 7/1/18, Callable 7/1/08 @
102, FNMA......................... 1,444
630 Redondo Beach, Redevelopment Agency,
Residential Mortgage Revenue,
Series B, 6.25%, 6/1/11, Callable
6/1/03 @ 100...................... 642
650 Rural Home Mortgage Financing
Authority, AMT, 7.55%, 11/1/26,
GNMA/FNMA/FHLMC................... 723
645 Rural Home Mortgage Financing
Authority, AMT, 7.75%, 5/1/27..... 725
</TABLE>
60
Continued
<PAGE> 63
\
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
California, continued:
$2,710 Sacramento County Housing Authority,
Multi-Family Housing Revenue, AMT,
5.15%, 6/1/19, Callable 6/1/09 @
102, FNMA......................... $ 2,647
3,910 San Francisco City & County, Tax
Allocation, 0.00%, 8/1/16,
Callable 8/1/07 @ 63.206.......... 1,508
1,000 San Francisco State University
Foundation, Auxiliary
Organization, Student Housing
Revenue, 5.20%, 7/1/19, Callable
7/1/09 @ 101, ACA................. 951
1,180 San Joaquin Hills Toll Road,
Prerefunded, 0.00%, 1/1/14........ 547
4,435 San Joaquin Hills Toll Road,
Prerefunded, 0.00%, 1/1/16........ 1,823
2,825 San Jose, Multi-Family Housing
Revenue, Helzer Courts Apartments,
Series A, AMT, 6.20%, 6/1/19,
Callable 12/1/09 @ 102............ 2,803
2,500 San Jose, Multi-Family Housing
Revenue, Helzer Courts Apartments,
Series B, AMT, 5.05%, 12/1/08..... 2,483
3,300 Statewide Community Development
Authority, Multi-Family Revenue,
Bouquet Canyon, Series X, AMT,
5.30%, 7/1/18, Callable 7/1/08 @
102, FNMA......................... 3,280
3,400 Statewide Community Development
Authority, Multi-Family Revenue,
Cudahy Gardens, Series J, AMT,
5.60%, 4/1/29, Callable 4/1/03 @
102, LOC: Swiss Bank.............. 3,426
4,390 Statewide Community Development
Authority, Multi-Family Revenue,
Irvine Apartments, Series A-2,
4.90%, 5/15/25.................... 4,246
2,000 Statewide Community Development
Authority, Multi-Family Revenue,
Irvine Apartments, Series A-3,
5.10%, 5/15/25, Callable 7/1/08 @
101............................... 1,948
1,695 Vallejo, Multi-Family Housing
Revenue, AMT, 5.40%, 11/20/38,
Callable 11/20/08 @ 102, GNMA..... 1,684
----------
44,055
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado (13.1%):
$5,250 Arapahoe County, Highway Revenue,
Series C, 0.00%, 8/31/15, Callable
8/31/05 @ 48.60................... $ 1,913
4,920 Aurora, Industrial Development,
McKesson Corp., Series A, 5.38%,
12/1/11, Callable 12/1/02 @ 102... 4,940
5,030 Aurora, Single Family Mortgage
Revenue, Series A2, 0.00%, 9/1/15,
Prerefunded 3/1/13 @ 75.20........ 1,828
2,095 Brush Creek Metropolitan District,
GO, Refunding, 6.70%, 11/15/09,
Callable 11/15/03 @ 101........... 2,221
2,500 Denver City & County, Airport
Revenue, AMT, 5.63%, 11/15/08,
Callable 11/15/06 @ 102, MBIA..... 2,594
885 Denver City & County, Airport
Revenue, AMT, 6.75%, 11/15/13,
Callable 11/15/02 @ 102, MBIA..... 951
20,270 Denver City & County, Mortgage
Revenue, AMT, 0.00%, 8/1/29,
Callable 8/1/07 @ 26.947,
GNMA/FHLMC........................ 3,413
1,000 Denver City & County, Residential
Revenue, Single Family, Series A,
0.00%, 7/1/10, Callable 7/1/08 @
91.867............................ 546
9,850 Denver City & County, Residential
Revenue, Single Family, Series A,
0.00%, 7/1/14, Callable 7/1/08 @
73.557............................ 4,184
2,910 Denver City & County, Single Family
Mortgage Revenue, Metro Mayors,
AMT, 6.00%, 4/1/22, Callable
4/1/08 @ 102.50, GNMA/FNMA/FHLMC.. 3,061
7,065 Denver City & County, Single Family
Mortgage Revenue, Metro Mayors,
AMT, 0.00%, 10/1/30, Callable
4/1/08 @ 28.518, GNMA/FNMA/FHLMC.. 1,216
10,150 Denver City & County, Single Family
Mortgage Revenue, Metro Mayors,
Series A, AMT, 5.50%, 11/1/30,
Callable 5/1/09 @ 103.50, GNMA/
FNMA/FHLMC........................ 10,950
1,235 Eagle's Nest Metropolitan District,
GO, Refunding, 6.50%, 11/15/17,
Callable 11/15/99 @ 105........... 1,304
108 El Paso County, Home Mortgage,
Series C, 8.30%, 9/20/18, GNMA.... 119
1,145 El Paso County, Single Family
Mortgage Revenue, 0.00%, 9/1/15,
ETM............................... 476
</TABLE>
61
Continued
<PAGE> 64
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$8,700 El Paso County, Single Family
Mortgage Revenue, Series A, AMT,
0.00%, 12/1/30, Callable 6/1/08 @
29.348, GNMA/FNMA/FHLMC........... $ 1,418
2,500 Englewood, Multi-Family Housing,
Marks Apartment Revenue, 6.65%,
12/1/26, Callable 12/1/06 @ 102... 2,686
1,345 Englewood, Multi-Family Housing,
Marks Apartment Revenue, Series B,
6.00%, 12/15/18, Callable 12/15/03
@ 100, LOC: Citibank.............. 1,363
2,000 Erie Water Enterprise, Revenue,
5.25%, 12/1/13, Callable 12/1/08 @
100, ACA.......................... 1,973
2,500 Health Facilities Authority,
Revenue, Steamboat Springs, 5.75%,
9/15/22, Callable 9/15/08 @ 101... 2,395
2,385 Housing Finance Authority,
Multi-Family Housing Revenue, AMT,
6.65%, 10/1/28, Callable 4/1/05 @
102............................... 2,545
3,000 Housing Finance Authority,
Multi-Family Mortgage Revenue,
5.30%, 10/1/41, Callable 4/1/09 @
101, FHA.......................... 2,911
150 Housing Finance Authority,
Multi-Family Mortgage Revenue,
AMT, 5.75%, 10/1/06, FHA.......... 158
1,295 Housing Finance Authority,
Multi-Family Mortgage Revenue,
AMT, 5.51%, 10/1/22, Callable
4/1/09 @ 101, FHA................. 1,254
3,000 Housing Finance Authority,
Multi-Family Mortgage Revenue,
AMT, 5.30%, 10/1/30, Callable
4/1/09 @ 101, FHA................. 2,915
1,235 Housing Finance Authority,
Multi-Family Mortgage Revenue,
Series A, 9.00%, 10/1/25, Callable
7/29/99 @ 100, FHA................ 1,233
2,000 Housing Finance Authority,
Multi-Family Mortgage Revenue,
Series A-2, AMT, 5.45%, 10/1/29,
Callable 10/1/08 @ 101, FHA....... 1,988
2,595 Housing Finance Authority,
Multi-Family Mortgage Revenue,
Series B, 6.00%, 10/1/25, Callable
7/29/99 @ 100, FHA................ 2,166
1,500 Housing Finance Authority,
Multi-Family Mortgage Revenue,
Series B2, AMT, 5.80%, 10/1/28,
Callable 4/1/07 @ 101.50, FHA..... 1,558
3,000 Housing Finance Authority,
Multi-Family Mortgage Revenue,
Series C3, 5.70%, 10/1/21, FHA.... 3,045
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$2,500 Housing Finance Authority, Series
B-2, AMT, 7.00%, 5/1/26, Callable
5/1/07 @ 105...................... $ 2,747
2,500 Housing Finance Authority, Series
C-2, AMT, 6.88%, 11/1/28, Callable
11/1/07 @ 105..................... 2,769
5,730 Housing Finance Authority, Single
Family Housing Revenue, 6.13%,
11/1/23, Callable 11/1/08 @ 105... 6,151
4,315 Housing Finance Authority, Single
Family Housing Revenue, AMT,
6.35%, 11/1/29, Callable 11/1/08 @
105............................... 4,646
3,450 Housing Finance Authority, Single
Family Mortgage Revenue, 7.45%,
11/1/27, Callable 5/1/06 @ 105.... 3,842
10,250 Housing Finance Authority, Single
Family Mortgage Revenue, AMT,
7.25%, 5/1/27, Callable 5/1/07 @
105............................... 11,346
640 Housing Finance Authority, Single
Family Mortgage Revenue, Series
95C, 7.45%, 6/1/17, Callable
6/1/05 @ 105...................... 682
470 Housing Finance Authority, Single
Family Mortgage Revenue, Series A,
0.00%, 9/1/14, FHA................ 99
2,000 Housing Finance Authority, Single
Family Mortgage Revenue, Series
A-3, 6.50%, 5/1/16, Callable
5/1/08 @ 105...................... 2,190
1,000 Housing Finance Authority, Single
Family Mortgage Revenue, Series
A-3, 6.50%, 11/1/29, Callable
5/1/08 @ 105...................... 1,106
225 Housing Finance Authority, Single
Family Mortgage Revenue, Series
A-3, AMT, 6.50%, 11/1/23, Callable
5/1/02 @ 102...................... 233
3,500 Housing Finance Authority, Single
Family Mortgage Revenue, Series
C-1, AMT, 7.55%, 11/1/27, Callable
11/1/06 @ 105..................... 3,923
6,730 Housing Finance Authority, Single
Family Mortgage Revenue, Series
PG-C-SR, 0.00%, 11/1/29, Callable
5/1/08 @ 31.766................... 1,211
11,005 Housing Finance Authority, Single
Family Mortgage Revenue, Series
PG-C1, AMT, 0.00%, 11/1/29,
Callable 5/1/08 @ 30.946.......... 1,995
</TABLE>
62
Continued
<PAGE> 65
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Colorado, continued:
$ 540 Housing Finance Authority, Single
Family Program, Series B, 6.13%,
5/1/13, Callable 11/1/04 @ 103,
FHA/VA............................ $ 557
495 Housing Finance Authority, Single
Family Program, Series B, 7.50%,
11/1/24, Callable 11/1/04 @ 105,
FHA............................... 518
275 Housing Finance Authority, Single
Family Program, Series D-1, 6.60%,
8/1/17, Callable 8/1/01 @ 102,
FHA/VA............................ 280
330 Housing Finance Authority, Single
Family Program, Series E, AMT,
6.25%, 12/1/09, Callable 12/1/04 @
103............................... 346
145 Housing Finance Authority, Single
Family Program, Sub Series A, AMT,
6.50%, 12/1/02.................... 149
1,000 Housing Finance Authority, Single
Family Revenue, Series-B2, AMT,
6.40%, 11/1/24, Callable 5/1/08 @
105............................... 1,085
565 Jefferson County, Single Family
Mortgage Revenue, Refunding,
Series A, 8.88%, 10/1/13, Callable
4/1/01 @ 103, MBIA................ 595
7,525 Meridian Metropolitan District, GO,
7.50%, 12/1/11, Callable 12/1/01 @
101............................... 8,047
1,835 Mesa County, Residential Revenue
Refunding, 0.00%, 12/1/11, ETM.... 964
750 San Miguel County, Mountain Village
Metropolitan District, GO, 7.95%,
12/1/03, Callable 12/1/02 @ 101... 800
835 San Miguel County, Mountain Village
Metropolitan District, GO, 8.10%,
12/1/11, Callable 12/1/02 @ 101... 926
1,720 San Miguel County, Mountain Village
Metropolitan District, GO, 8.10%,
12/1/11, Prerefunded 12/1/02 @
101............................... 1,936
2,630 San Miguel County, Mountain Village
Metropolitan District, GO, 5.15%,
12/1/13, Callable 12/1/07 @ 101,
MBIA.............................. 2,622
4,700 San Miguel County, Mountain Village
Metropolitan District, GO, 5.20%,
12/1/17, Callable 12/1/07 @ 101,
MBIA.............................. 4,629
----------
135,718
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Connecticut (1.4%):
$4,350 Stamford, Housing Authority,
Rippowam Project, 6.25%, 10/1/19,
Callable 10/1/08 @ 103............ $ 4,622
9,200 Stamford, Housing Authority,
Rippowam Project, 6.38%, 10/1/29,
Callable 10/1/08 @ 103............ 9,758
170 State Housing Mortgage, Series A,
7.63%, 11/15/17, Callable 7/29/99
@ 100.50.......................... 171
----------
14,551
----------
Delaware (0.5%):
5,490 Greystone Tax-Exempt Asset Trust,
Series 98-1, Class A-3, 4.40%,
11/2/04........................... 5,398
540 New Castle County, Single Family
Mortgage Revenue, 0.00%, 11/1/16,
FGIC.............................. 94
----------
5,492
----------
Florida (5.5%):
2,375 Clay County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 5.20%, 10/01/19,
Callable 4/1/08 @ 102,
GNMA/FNMA......................... 2,297
1,000 Clearwater, Water & Sewer Revenue,
0.00%, 12/1/13, Callable 12/1/08 @
80.928, FGIC...................... 460
4,340 Clearwater, Water & Sewer Revenue,
0.00%, 12/1/14, Callable 12/1/08 @
76.878, FGIC...................... 1,876
4,205 Clearwater, Water & Sewer Revenue,
0.00%, 12/1/15, Callable 12/1/08 @
72.978, FGIC...................... 1,705
1,070 Collier County, Housing Finance
Authority, Multi-Family Housing
Revenue, Whistlers Green, Series
A, AMT, 5.35%, 12/1/19, Callable
12/1/09 @ 102..................... 1,048
4,435 Duval County, Housing Finance
Authority, Single Family Mortgage
Revenue, Series C, 7.35%, 7/1/24,
Callable 1/1/01 @ 103, FGIC....... 4,660
5,000 Escambia County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 4.65%, 10/1/31,
Callable 4/1/08 @ 102,
FNMA/GNMA......................... 4,949
330 Housing Finance Authority, Home
Ownership Revenue, 7.50%, 9/1/14,
Callable 9/1/00 @ 102, GNMA....... 342
</TABLE>
63
Continued
<PAGE> 66
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$1,780 Lee County, Housing Finance
Authority, Series A, AMT, 6.85%,
3/1/29, Callable 9/1/07 @ 105,
FNMA/GNMA/ FHLMC.................. $ 1,990
2,680 Lee County, Housing Finance
Authority, Single Family Mortgage
Revenue, 7.20%, 3/1/27, Callable
3/1/07 @ 105, GNMA/FNMA/FHLMC..... 2,999
955 Lee County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 6.40%, 3/1/29,
Callable 3/1/08 @ 105,
GNMA/FNMA/FHLMC................... 1,043
970 Lee County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 6.30%, 3/1/29,
Callable 3/1/08 @ 102,
GNMA/FNMA/FHLMC................... 1,060
2,850 Lee County, Housing Finance
Authority, Single Family Mortgage
Revenue, AMT, 5.05%, 3/1/28,
Callable 3/1/08 @ 102,
GNMA/FNMA/FHLMC................... 2,839
4,000 Lee County, Housing Finance
Authority, Single Family Mortgage
Revenue, Series A, Sub Series One,
AMT, 6.25%, 9/1/31, Callable
3/1/09 @ 106, FNMA/GNMA/FHLMC..... 4,315
650 Leon County, Housing Finance
Authority, Multi-County Program,
Series B, AMT, 7.30%, 1/1/28,
GNMA/FHLMC........................ 733
1,050 Manatee County, Housing Finance
Authority, Mortgage Revenue, AMT,
8.38%, 5/1/25, GNMA/FHLMC......... 1,145
2,250 Manatee County, Housing Finance
Authority, Mortgage Revenue, AMT,
7.20%, 5/1/28, Callable 5/1/07 @
105, GNMA/FNMA/FHLMC.............. 2,520
1,350 Manatee County, Housing Finance
Authority, Single Family Mortgage
Revenue, Sub Series 1, AMT, 6.30%,
11/1/28, Callable 3/20/09 @ 103,
GNMA.............................. 1,483
2,000 Miami Beach, Health Facilities
Revenue, 5.25%, 8/1/13, Callable
8/1/08 @ 100, ACA................. 1,907
1,310 Miami-Dade County, Housing Finance
Authority, Multi-Family Revenue,
Terrace Series A, AMT, 5.20%,
11/1/22, Callable 11/1/08 @ 102,
FNMA.............................. 1,289
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$2,195 Orange County, Housing Finance
Authority, Home Ownership Revenue,
Series A-1, AMT, 5.15%, 9/1/18,
Callable 9/1/07 @ 102,
GNMA/FNMA......................... $ 2,087
1,315 Orange County, Housing Finance
Authority, Multi-Family Revenue,
Series G, AMT, 5.40%, 9/1/19,
Callable 3/1/09 @ 102............. 1,285
1,020 Orange County, Housing Finance
Authority, Multi-Family Revenue,
Series G, AMT, 5.45%, 9/1/24,
Callable 3/1/09 @ 102............. 994
550 Orange County, Housing Finance
Authority, Mortgage Revenue,
Series A, AMT, 7.25%, 9/1/19,
Callable 3/1/01 @ 103, FHA/VA..... 576
800 Orange County, Housing Finance
Authority, Mortgage Revenue,
Series A, AMT, 7.38%, 9/1/24,
Callable 3/1/01 @ 103, FHA/VA..... 840
1,000 Palm Beach County, Housing Finance
Authority, Revenue, Windsor Park,
Series A, AMT, 5.80%, 12/1/28,
Callable 6/1/08 @ 102............. 1,032
505 Palm Beach County, Housing Finance
Authority, Single Family Mortgage
Revenue, Series A, AMT, 6.38%,
10/1/06, Callable 10/1/04 @ 102,
GNMA/FNMA......................... 525
65 Pinellas County, Housing Finance
Authority, Multi-Family Housing
Revenue, Series A, AMT, 5.20%,
1/1/32, Callable 7/1/09 @ 102,
FNMA.............................. 64
830 Pinellas County, Housing Finance
Authority, Single Family Mortgage
Revenue, Multi-County, Series A,
AMT, 6.35%, 2/1/17, Callable
2/1/05 @ 102, GNMA/FNMA........... 860
2,280 Pinellas County, Housing Finance
Authority, Single Family Mortgage
Revenue, Series 95-A, AMT, 6.25%,
8/1/12, Callable 2/1/05 @ 102,
GNMA/FNMA......................... 2,396
1,620 Polk County, Housing Finance
Authority, Single Family Mortgage
Revenue, Series A, AMT, 7.88%,
9/1/22, Callable 3/1/00 @ 103,
GNMA.............................. 1,683
1,320 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/08, ACA....... 845
</TABLE>
64
Continued
<PAGE> 67
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Florida, continued:
$1,625 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/09, ACA....... $ 983
1,535 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/12, ACA....... 774
1,635 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/14, ACA....... 731
2,255 Santa Rosa Bay Bridge Authority,
Revenue, 0.00%, 7/1/16, ACA....... 895
----------
57,230
----------
Georgia (1.9%):
1,500 Atlanta, Urban Residential Finance
Authority, Multi-Family Revenue,
Series A, AMT, 5.35%, 10/01/28,
Callable 4/1/09 @ 102, FNMA....... 1,474
2,120 Atlanta, Urban Residential Finance
Authority, Multi-Family Revenue,
Series A-1, AMT, 5.55%, 11/20/37,
Callable 5/20/08 @ 102, GNMA...... 2,132
1,900 Canton County, Housing Authority,
Multi-Family Revenue, AMT,
Canterbury Ridge Apartments
Project, 5.30%, 3/1/18, Callable
3/1/08 @ 102, FNMA................ 1,891
1,275 Clayton County, Housing Authority,
Multi-Family Housing Revenue,
Magnolia Park Apartments, Series
A, 5.50%, 12/1/09................. 1,278
5,000 De Kalb County, Housing Authority,
Multi-Family Housing Revenue, AMT,
7.05%, 1/1/39, Callable 1/1/08 @
104, FHA.......................... 5,533
785 De Kalb County, Housing Authority,
Revenue, 6.40%, 5/1/05, Callable
5/1/04 @ 100...................... 813
335 De Kalb County, Housing Authority,
Single Family Housing Revenue,
AMT, 7.65%, 6/1/18, Callable
6/1/04 @ 100, GNMA................ 352
1,765 Fulton County, Housing Authority,
Multi-Family Housing Revenue,
Series A, AMT, 6.30%, 7/1/16,
Callable 7/1/06 @ 102............. 1,853
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Georgia, continued:
$2,055 Gwinnett County, Housing Authority,
Multi-Family Housing Revenue, AMT,
5.13%, 11/1/14, Callable 5/1/09 @
102, MBIA......................... $ 2,029
2,380 Gwinnett County, Housing Authority,
Multi-Family Housing Revenue, AMT,
5.30%, 11/1/19, Callable 5/1/09 @
102, MBIA......................... 2,345
----------
19,700
----------
Idaho (0.9%):
1,000 Housing & Financial Assistance,
Housing Revenue, AMT, 5.25%,
1/1/21, Callable 1/1/09 @ 102,
FHA............................... 974
1,085 Housing & Financial Assistance,
Housing Revenue, AMT, 5.30%,
7/1/25, Callable 1/1/09 @ 102,
FHA............................... 1,054
1,000 Housing & Financial Assistance,
Single Family Mortgage Revenue,
Series 97E-2, AMT, 5.95%, 7/1/14,
Callable 1/1/07 @ 101.50.......... 1,039
1,285 Housing & Financial Assistance,
Single Family Mortgage Revenue,
Series D, AMT, 6.45%, 7/1/14,
Callable 1/1/06 @ 102, FHA........ 1,368
1,890 Housing & Financial Assistance,
Single Family Mortgage Revenue,
Series H, AMT, 6.05%, 7/1/14,
Callable 1/1/07 @ 102, FHA/VA..... 1,976
155 Housing Agency, Single Family
Mortgage Revenue, AMT, 6.30%,
7/1/24, Callable 1/1/03 @ 102..... 159
1,500 Student Loan Fund Marketing
Association, Inc., Student Loan
Revenue, Series C, AMT, 5.00%,
10/1/01, GSL...................... 1,499
1,250 Student Loan Fund Marketing
Association, Inc., Student Loan
Revenue, Series C, AMT, 5.15%,
4/1/03, GSL....................... 1,243
----------
9,312
----------
Illinois (5.2%):
5,890 Addison, Alton Electric Public
Improvements Revenue, Sub Series
1, 0.00%, 7/1/11, Callable 7/1/04
@ 62.039.......................... 2,830
12,410 Aurora, Fox Valley Apartments,
5.30%, 11/1/27, Callable 11/1/05 @
101............................... 12,683
</TABLE>
65
Continued
<PAGE> 68
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$ 195 Aurora, Single Family Mortgage
Revenue Refunding, Series B, AMT,
8.05%, 9/1/25, GNMA/FHLMC......... $ 216
1,375 Bolingbrook, Mortgage Revenue,
Capital Appreciation, Sub Series
1, 0.00%, 1/1/11, Callable 1/1/02
@ 53.094.......................... 599
2,330 Chicago, Multi-Family Housing
Revenue, AMT, 5.60%, 1/1/24,
Callable 1/1/16 @ 100, GNMA....... 2,364
905 Chicago, Residential Mortgage
Revenue, 0.00%, 10/1/09, MBIA..... 450
4,750 Chicago, Single Family Mortgage
Revenue, Series C1, AMT, 6.30%,
9/1/29, Callable 9/1/08 @ 105,
GNMA/FNMA/FHLMC................... 5,110
1,115 Chicago, Single Family Mortgage
Revenue, AMT, 7.63%, 9/1/27,
Callable 6/15/06 @ 105, GNMA/FNMA/
FHLMC............................. 1,260
2,360 Chicago, Single Family Mortgage
Revenue, AMT, 6.95%, 9/1/28,
Callable 9/1/07 @ 105, GNMA/FNMA/
FHLMC............................. 2,634
2,155 Chicago, Single Family Mortgage
Revenue, Series 97-A, AMT, 7.25%,
9/1/28, Callable 9/1/07 @ 105,
GNMA/FNMA/FHLMC................... 2,415
3,355 Chicago, Single Family Mortgage
Revenue, Series A, AMT, 7.00%,
9/1/27, Callable 3/1/06 @ 105,
GNMA/FNMA/FHLMC................... 3,703
8,350 Chicago, Single Family Mortgage
Revenue, Series A-1, AMT, 6.45%,
9/1/29, Callable 9/1/08 @ 105,
GNMA/FNMA/FHLMC................... 9,047
695 Clay County, Hospital Revenue,
5.70%, 12/1/18, Callable 12/1/08 @
102............................... 665
1,070 Clay County, Hospital Revenue,
5.90%, 12/1/28, Callable 12/1/08 @
102............................... 1,028
2,265 Cook County, High School District
#200, Oak Park, GO, 0.00%,
12/1/12, Callable 12/1/11 @
97.606, FSA....................... 1,099
480 Danville, Single Family Mortgage
Revenue Refunding, 7.30%, 11/1/10,
Callable 11/1/03 @ 102............ 507
2,000 Freeport, Single Family Mortgage
Revenue, 0.00%, 8/1/10, Callable
10/1/01 @ 48.962.................. 817
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois, continued:
$2,000 Health Facilities Authority,
Revenue, Victory Health Services,
Series A, 5.38%, 8/15/16, Callable
8/15/07 @ 101..................... $ 1,885
560 Housing Development Authority,
Residential Mortgage Revenue,
Series A, AMT, 7.35%, 8/1/10,
Callable 8/1/01 @ 102............. 583
4,685 Moline, Mortgage Revenue, Capital
Appreciation, Sub Series 1, 0.00%,
5/1/11, Callable 5/1/02 @
54.023............................ 2,043
650 Quincy, Single Family Mortgage
Revenue Refunding, 6.88%, 3/1/10,
Callable 3/1/04 @ 102............. 685
270 Rock Island, Residential Mortgage
Revenue Refunding, 7.70%, 9/1/08,
Callable 9/1/02 @ 102............. 285
2,225 Winnebago County, School District
#122, 0.00%, 1/1/12, FSA.......... 1,143
----------
54,051
----------
Indiana (0.7%):
420 Elkhart, Multi-Family Housing
Revenue, AMT, 5.25%, 5/20/18,
Callable 5/20/08 @ 103, GNMA...... 413
3,500 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series A-2, AMT, 6.45%, 7/1/14,
Callable 7/1/05 @ 102, FHA/VA..... 3,703
450 State Housing Finance Authority,
Single Family Mortgage Revenue,
Series B-2, AMT, 7.80%, 1/1/22,
Callable 7/1/00 @ 102, GNMA....... 467
3,130 State Toll Finance Authority, Toll
Road Revenue, 6.00%, 7/1/15,
Callable 7/29/99 @ 100............ 3,135
----------
7,718
----------
Iowa (0.6%):
435 Davenport, Home Ownership Mortgage
Revenue Refunding, 7.90%, 3/1/10,
Callable 9/1/04 @ 102............. 461
695 Finance Authority, Multi-Family
Mortgage Revenue, AMT, 7.15%,
12/1/09, FHA...................... 748
6,380 Finance Authority, Single Family
Mortgage Revenue, 0.00%, 9/1/16,
AMBAC............................. 901
</TABLE>
66
Continued
<PAGE> 69
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Iowa, continued:
$ 425 Finance Authority, Single Family
Mortgage Revenue, AMT, 7.90%,
11/1/22, Callable 11/1/99 @ 102,
GNMA.............................. $ 437
2,265 Finance Authority, Single Family
Mortgage Revenue, Mortgage Backed
Securities Program, Series C,
6.40%, 7/1/19, Callable 1/1/05 @
102, GNMA/FNMA.................... 2,382
815 Salix, PCR, Gas & Electric Project,
5.75%, 6/1/03, Callable 12/1/99 @
100............................... 821
----------
5,750
----------
Kansas (2.3%):
85 Finney County, Single Family
Mortgage Revenue, 8.95%, 10/1/09,
Callable 10/1/99 @ 100, AMBAC..... 85
520 Ford County, Single Family Mortgage
Revenue, 7.90%, 8/1/10, Callable
8/1/02 @ 103, FHA/VA.............. 554
1,400 Johnson County, Single Family
Mortgage Revenue, 7.10%, 5/1/12,
Callable 5/1/04 @ 103............. 1,509
305 Labette County, Single Family
Mortgage Revenue, Series A, 8.40%,
12/1/11, Callable 6/1/03 @ 103.... 324
170 Olathe & Labette County, Single
Family Mortgage Revenue, Series
A-I, AMT, 8.10%, 8/1/23, Callable
2/1/05 @ 105, GNMA................ 189
2,505 Olathe County, Multi-Family Housing
Project, Series A, 5.75%, 7/1/12,
Callable 7/1/07 @ 101............. 2,567
1,005 Olathe County, Multi-Family Housing,
Project B, AMT, 5.80%, 7/1/12,
Callable 7/1/07 @ 101............. 1,026
2,400 Reno & Labette County, Single Family
Mortgage Revenue, Series A, ETM,
0.00%, 12/1/15, FGIC.............. 986
335 Reno County, Single Family Mortgage
Revenue, Series B, 8.70%, 9/1/11,
Callable 9/1/01 @ 103............. 359
2,260 Sedgwick & Shawnee County, Series
A-1, AMT, 5.50%, 6/1/29, GNMA..... 2,479
285 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series B,
8.05%, 5/1/14, GNMA............... 312
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kansas, continued:
$ 235 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series
B-2, 7.80%, 5/1/14, Callable
11/1/04 @ 103, GNMA............... $ 255
410 Sedgwick & Shawnee County, Single
Family Mortgage Revenue, Series
C-2, 7.80%, 11/1/24, Callable
11/1/04 @ 105, GNMA............... 453
6,000 Sedgwick & Shawnee County, Single
Family Revenue, Series Prog-A1,
AMT, 5.50%, 12/1/22, Callable
6/1/08 @ 105, GNMA................ 6,539
24,185 Sedgwick & Shawnee County, Single
Family Revenue, Series Prog-A1,
AMT, 0.00%, 12/1/29, Callable
6/1/08 @ 31.414, GNMA............. 4,286
1,470 Sedgwick County, Mortgage Loan
Revenue, Series B, AMT, 7.80%,
6/1/22, Callable 6/1/00 @ 103,
AMBAC............................. 1,532
1,360 Shawnee County, Single Family
Mortgage Revenue, 0.00%, 10/1/16,
Callable 10/1/00 @ 20.031, MBIA... 238
605 Wichita, Single Family Mortgage
Revenue, Series A, 7.10%, 9/1/09,
Callable 3/1/03 @ 103............. 635
----------
24,328
----------
Kentucky (0.6%):
2,455 Boone County, Mortgage Revenue,
Normandy Green, Series B, 5.40%,
6/20/29, Callable 6/20/09 @ 102,
GNMA.............................. 2,430
300 Housing Corp. Revenue, Series D,
AMT, 6.13%, 7/1/22, Callable
7/1/04 @ 102, FHA/VA.............. 307
1,700 Jefferson County, Multi-Family
Revenue, 5.65%, 8/20/34, Callable
8/20/08 @ 102, GNMA............... 1,729
1,450 Meade County, PCR, Olin Corp.
Project, 6.00%, 7/1/07, Callable
7/29/99 @ 100..................... 1,459
----------
5,925
----------
Louisiana (3.0%):
900 Calcasieu Parish, Single Family
Mortgage Revenue, Series 92 B,
0.00%, 5/1/13, Callable 11/1/02 @
48.73............................. 349
1,390 Greater Baton Rouge Parking
Authority, Sales & Use Tax, 6.38%,
7/1/03, Callable 7/29/99 @ 100.... 1,392
</TABLE>
67
Continued
<PAGE> 70
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$2,000 Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.20%, 12/1/29, Callable
12/1/07 @ 101, FNMA/GNMA/FHLMC.... $ 2,151
1,895 Housing Finance Agency, Single
Family Mortgage Revenue, 6.65%,
6/1/15, Callable 12/1/07 @ 104,
GNMA/ FNMA........................ 2,077
1,945 Housing Finance Agency, Single
Family Mortgage Revenue, 5.60%,
12/1/17, Callable 12/1/07 @ 102,
GNMA/ FNMA........................ 1,957
540 Housing Finance Agency, Single
Family Mortgage Revenue, AMT,
7.80%, 12/1/26, Callable 6/1/05 @
105, AMBAC........................ 600
2,155 Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.75%, 12/1/28, Callable
6/1/07 @ 102, GNMA/FNMA........... 2,319
245 Housing Finance Agency, Single
Family Mortgage Revenue, Series
D-2, AMT, 8.00%, 6/1/27, Callable
12/1/06 @ 102, GNMA/FNMA.......... 267
715 Iberia Home Mortgage Authority,
Single Family Mortgage Revenue
Refunding, 7.38%, 1/1/11, Callable
7/1/03 @ 103...................... 766
5,000 New Orleans, GO, 0.00%, 9/1/14,
AMBAC............................. 2,205
10,500 Public Facilities Authority,
Multi-Family Housing Revenue,
8.00%, 11/1/05, Callable 11/1/99 @
100............................... 10,501
47 Public Facilities Authority, Single
Family Mortgage Revenue, 7.50%,
10/1/15, Callable 6/1/02 @ 103.... 50
892 Public Facilities Authority, Single
Family Mortgage Revenue, Series C,
8.45%, 12/1/12, Callable 10/1/01 @
103, FHA/VA....................... 937
47 St. Mary Public Finance Authority,
Single Family Mortgage Revenue,
Series A, 7.63%, 3/25/12.......... 52
5,975 St. Tammany Public Trust Financing
Authority, Revenue, Christwood
Project, 5.70%, 11/15/18, Callable
11/15/08 @ 102.................... 5,653
----------
31,276
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Maine (0.7%):
$ 810 State Housing Authority, Housing
Finance Revenue, Series I, AMT,
0.00%, 11/1/10, Callable 11/1/06 @
80.207............................ $ 442
535 State Housing Authority, Housing
Finance Revenue, Series I, AMT,
0.00%, 11/1/11, Callable 11/1/06 @
75.346............................ 273
1,750 State Housing Authority, Mortgage
Revenue, Series C, AMT, 6.10%,
11/15/16, Callable 11/15/06 @
102............................... 1,821
5,000 State Housing Authority, Mortgage
Revenue, Series D2, AMT, 5.80%,
11/15/16, Callable 9/1/07 @
101.50............................ 5,135
----------
7,671
----------
Maryland (0.4%):
1,140 Baltimore County, Mortgage Revenue,
Series A, 0.00%, 9/1/24, Callable
9/1/07 @ 40.552, FHA.............. 272
1,240 Community Development, Multi-Family
Housing Revenue, Series E, AMT,
6.85%, 5/15/25, Callable 5/15/04 @
102, GNMA/FHA..................... 1,328
8,095 Prince Georges County Housing
Authority, Revenue, Foxglenn
Apartments, Series A, AMT, 0.00%,
5/20/22, Callable 7/14/99 @
27.675, GNMA...................... 2,230
----------
3,830
----------
Massachusetts (1.9%):
3,370 Boston Industrial Development, North
End Community, Series A, 6.45%,
2/1/24, Callable 8/1/07 @ 105,
FHA............................... 3,596
390 Boston, Revenue, 5.95%, 10/1/18,
Callable 10/1/08 @ 105, FHA....... 400
3,200 Boston, Revenue, 6.13%, 10/1/31,
Callable 10/1/08 @ 105, FHA....... 3,314
2,185 Dartmouth, Housing Development
Corp., Crossroads Apartments,
Series A, 5.45%, 7/1/24, Callable
7/1/03 @ 100, MBIA................ 2,200
1,805 State Housing Finance Agency,
Housing Revenue, Series C, AMT,
5.45%, 7/1/18, Callable 7/1/07 @
100, AMBAC........................ 1,809
1,010 State Housing Finance Agency, Single
Family Mortgage Revenue, AMT,
7.13%, 6/1/25, Callable 6/1/02 @
102............................... 1,067
</TABLE>
68
Continued
<PAGE> 71
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Massachusetts, continued:
$1,590 State Industrial Finance Agency,
Revenue, University Commons,
6.55%, 8/1/18, Callable 2/1/08 @
105, FHA.......................... $ 1,772
3,720 State Industrial Finance Agency,
Revenue, University Commons,
6.65%, 8/1/38, Callable 2/1/08 @
105, FHA.......................... 4,171
2,000 State Industrial Pollution Control,
5.88%, 8/1/08, Callable 8/1/03 @
102............................... 2,026
----------
20,355
----------
Michigan (1.5%):
6,000 Detroit Development, Series A,
5.38%, 5/1/18, Callable 5/1/07 @
101.50............................ 5,881
7,210 Dickinson County, Economic
Development Corp., Solid Waste
Disposal Revenue, 6.55%, 3/1/07,
Callable 7/29/00 @ 102............ 7,520
1,000 State Building, Series I, 5.10%,
10/1/07, Callable 10/1/03 @ 102,
AMBAC............................. 1,016
1,340 State Housing Development Authority,
Home Improvement Revenue, Series
B, AMT, 7.65%, 12/1/12, Callable
12/1/99 @ 102, FHA/VA............. 1,375
----------
15,792
----------
Minnesota (0.1%):
2,950 Minneapolis, Mortgage Revenue,
0.00%, 10/1/12, Callable 10/1/05 @
100............................... 1,279
----------
Mississippi (1.6%):
1,000 Higher Education Assistance Corp.,
Student Loan Revenue, AMT, 6.60%,
1/1/05, Callable 7/1/02 @ 102,
GSL............................... 1,050
1,440 Higher Education Assistance Corp.,
Student Loan Revenue, Series 92-C,
AMT, 6.50%, 7/1/04, Callable
7/1/02 @ 102, GSL................. 1,532
710 Higher Education Assistance Corp.,
Student Loan Revenue, Series C,
AMT, 6.05%, 9/1/07, Callable
9/1/02 @ 102, GSL................. 728
3,705 Home Corp., Single Family Mortgage
Revenue, Class 7, Series B, AMT,
5.25%, 6/1/30, Callable 6/1/08 @
105, FNMA/GNMA.................... 3,856
855 Home Corp., Single Family Mortgage
Revenue, AMT, 7.10%, 12/1/10,
Callable 12/1/04 @ 103, GNMA...... 873
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Mississippi, continued:
$2,380 Home Corp., Single Family Mortgage
Revenue, Class 6, Series A, AMT,
5.25%, 6/1/31, Callable 6/1/09 @
105, FNMA/GNMA.................... $ 2,548
1,625 Home Corp., Single Family Mortgage
Revenue, Series B, AMT, 7.90%,
3/1/25, Callable 3/1/05 @ 106,
GNMA.............................. 1,802
1,985 Home Corp., Single Family Mortgage
Revenue, Series F, AMT, 7.55%,
12/1/27, Callable 12/1/06 @ 105,
FNMA/GNMA......................... 2,234
925 Housing Finance Corp., Single Family
Mortgage Revenue, AMT, 8.25%,
10/15/18, Callable 10/15/99 @ 102,
FGIC.............................. 950
1,000 Jackson, Housing Authority, Multi-
Family Housing Revenue, The
Woodlands, Series A, AMT, 5.30%,
4/1/19, Callable 4/1/09 @ 101,
FSA............................... 982
----------
16,555
----------
Missouri (2.8%):
585 Grandview, Industrial Development
Authority, Multi-Family Housing
Revenue, 9.25%, 5/15/08, Callable
5/15/04 @ 103..................... 583
1,000 Jefferson City, School District,
Series A, 6.70%, 3/1/11........... 1,150
1,750 Kansas City, Industrial Development
Authority, Multi-Family Housing
Revenue, AMT, 6.25%, 4/1/30,
Callable 4/1/08 @ 102............. 1,743
3,080 Kansas City, Industrial Development
Authority, Multi-Family Housing
Revenue, Series A, AMT, 5.60%,
9/20/23, Callable 3/20/06 @ 101,
GNMA.............................. 3,101
5,000 St. Charles County, Industrial
Development Authority,
Multi-Family Housing Revenue,
5.00%, 2/1/29, Callable 2/1/07 @
101............................... 4,932
1,500 St. Charles County, Industrial
Development Authority,
Multi-Family Housing Revenue, AMT,
5.60%, 4/1/30, Callable 4/1/08 @
102, FSA.......................... 1,513
1,500 St. Louis County, Industrial
Development Authority,
Multi-Family Revenue, 5.35%,
7/1/18, Callable 1/1/08 @ 100,
FNMA.............................. 1,501
</TABLE>
69
Continued
<PAGE> 72
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Missouri, continued:
$1,135 State Housing Development, Common
Mortgage Revenue, Single Family,
AMT, 7.38%, 8/1/23, Callable
2/1/01 @ 102, GNMA................ $ 1,183
3,410 State Housing Development, Common
Mortgage Revenue, Single Family,
AMT, 7.25%, 9/1/26, Callable
3/1/06 @ 105, GNMA................ 3,796
1,670 State Housing Development, Common
Mortgage Revenue, Single Family,
Series A, AMT, 7.20%, 9/1/26,
Callable 9/1/06 @ 105,
GNMA/FNMA......................... 1,810
1,680 State Housing Development, Common
Mortgage Revenue, Single Family,
Series D, AMT, 7.10%, 9/1/27,
Callable 1/1/07 @ 102,
GNMA/FNMA......................... 1,788
1,320 State Housing Development, Community
Mortgage Single Family, Revenue,
Series D-2, AMT, 6.30%, 3/1/29,
Callable 9/1/08 @ 105,
FNMA/GNMA......................... 1,428
5,000 State Housing Development, Community
Revenue, AMT, 0.00%, 3/1/29,
Callable 9/1/08 @ 32.88,
FNMA/GNMA......................... 914
2,750 State Housing Development, Multi-
Family Mortgage Revenue, AMT,
5.30%, 12/1/18, Callable 6/1/08 @
100, MBIA......................... 2,720
1,080 State Housing Development, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.40%, 3/1/29, Callable
3/1/08 @ 105, GNMA/FNMA........... 1,168
----------
29,330
----------
Montana (0.4%):
1,523 Greenwood Plaza Housing, Inc.,
10.43%, 1/1/22, Callable 1/1/00 @
101.50, FHA....................... 1,563
2,500 State Higher Education Student
Assistance Revenue, AMT, 5.50%,
12/1/31, Callable 12/1/08 @ 101... 2,443
----------
4,006
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Nebraska (0.0%):
$ 60 Finance Authority, Single Family
Mortgage Revenue, 0.00%, 12/15/13,
FHA............................... $ 14
185 Finance Authority, Single Family
Mortgage Revenue, AMT, 6.35%,
3/15/06, Callable 9/15/02 @ 102,
GNMA.............................. 192
----------
206
----------
Nevada (1.6%):
1,825 Housing Division, Issue C, AMT,
6.35%, 10/1/13, Callable 4/1/05 @
102,
FHA/VA............................ 1,922
1,425 Housing Division, Single Family
Mortgage Revenue, Series C, AMT,
6.60%, 4/1/14, Callable 4/1/06 @
102, FHA/VA....................... 1,501
430 Housing Division, Single Family
Program, Series B-1, 6.20%,
10/1/15, Callable 4/1/04 @ 102.... 447
810 Housing Division, Single Family
Program, Series B-2, AMT, 7.90%,
10/1/21, Callable 4/1/00 @ 102,
FHA/VA............................ 834
875 Housing Finance Authority, Single
Family Mortgage Revenue, Series
Sub B-1, AMT, 6.00%, 4/1/10,
Callable 4/1/07 @ 102............. 912
10,000 Washoe County, Water Facilities
Revenue, Sierra Pacific Power,
AMT, 6.65%, 6/1/17, Callable
12/1/02 @ 102, MBIA............... 10,759
----------
16,375
----------
New Hampshire (0.7%):
7,000 Higher Educational & Health
Facilities, 6.13%, 10/1/13,
Callable 10/1/03 @ 102............ 7,126
----------
New Jersey (0.1%):
935 State Housing & Mortgage Finance
Agency, Revenue, 7.38%, 10/1/17,
Callable 10/1/99 @ 102, MBIA...... 959
----------
New Mexico (2.8%):
1,000 Bernalillo County, Multi-Family
Housing Revenue, AMT, 5.15%,
10/1/18, Callable 10/1/08 @ 100,
FSA............................... 977
1,000 Educational Assistance Foundation,
Student Loan Program, AMT, 6.20%,
11/1/08, Callable 11/01/06 @ 102,
GSL............................... 1,051
</TABLE>
70
Continued
<PAGE> 73
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New Mexico, continued:
$ 600 Educational Assistance Foundation,
Student Loan Program, AMT, 6.30%,
11/1/09, Callable 11/1/06 @ 102,
GSL............................... $ 637
405 Hobbs, Single Family Mortgage
Revenue Refunding, 8.75%, 7/1/11,
Callable 7/1/02 @ 103............. 442
135 Las Cruces, Housing Development
Corp., Multi-Family Mortgage
Revenue, 9.00%, 10/1/03........... 138
1,140 Las Cruces, Housing Development
Corp., Multi-Family Mortgage
Revenue, 6.40%, 10/1/19, Callable
4/1/02 @ 102...................... 1,188
320 Mortgage Finance Authority, Single
Family Mortgage Refunding, Series
A-2, 6.85%, 7/1/12, Callable
7/1/02 @ 102...................... 336
1,375 Mortgage Finance Authority, Single
Family Mortgage Refunding, Series
A-2, 6.90%, 7/1/24, Callable
7/1/02 @ 102...................... 1,444
1,000 Mortgage Finance Authority, Single
Family Mortgage Revenue, 5.05%,
9/1/17, Callable 9/1/08 @ 102,
FNMA/GNMA......................... 946
2,790 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-2, AMT, 6.00%, 1/1/29, Callable
1/1/08 @ 102, FNMA/GNMA/FHLMC..... 2,968
1,375 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-2, AMT, 4.60%, 9/1/29, Callable
9/1/08 @ 102, FNMA/GNMA........... 1,371
2,000 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
A-3, 5.10%, 9/1/28, Callable
9/1/08 @ 102, FNMA/GNMA........... 1,852
4,220 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
B-2, AMT, 6.25%, 3/1/30, Callable
9/1/08 @ 102.50,
FNMA/GNMA/FHLMC................... 4,592
1,000 Mortgage Finance Authority, Single
Family Mortgage Revenue, Series
G-3, 5.20%, 7/1/17, Callable
7/1/07 @ 102, FNMA/GNMA/FHLMC..... 975
2,000 Mortgage Finance Authority, Single
Family Mortgage, Series B-3, GO,
5.15%, 9/1/28, Callable 9/1/08 @
101, FNMA/GNMA/FHLMC.............. 1,893
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
New Mexico, continued:
$1,000 Mortgage Finance Authority, Single
Family Revenue, AMT, 6.05%,
7/1/16, Callable 7/1/07 @ 102,
FNMA/ GNMA/FHLMC.................. $ 1,043
610 Mortgage Finance Authority, Single
Family Revenue, Series 95, AMT,
6.45%, 7/1/25, Callable 1/1/06 @
102, GNMA......................... 634
2,535 Sandoval County, Multi-Family
Revenue, AMT, 5.20%, 11/1/19,
Callable 5/1/09 @ 100, FSA........ 2,470
2,105 Santa Fe Civic Housing Authority
Inc., Multi-Family Revenue, AMT,
5.35%, 8/1/19, Callable 8/1/08 @
100, FSA.......................... 2,097
2,055 Santa Fe Civic Housing Authority
Inc., Multi-Family Revenue, AMT,
5.45%, 8/1/24, Callable 8/1/08 @
100, FSA.......................... 2,047
----------
29,101
----------
New York (1.0%):
2,300 New York City, Industrial
Development Agency, Revenue, Japan
Airlines, AMT, 6.00%, 11/1/15,
Callable 11/1/04 @ 102, FHA....... 2,401
4,600 New York, GO, 7.00%, 8/1/07,
Callable 8/1/06 @ 101.50.......... 5,188
3,000 New York, GO, Series A, 5.25%,
8/1/10, Callable 8/1/07 @ 101..... 3,010
----------
10,599
----------
North Carolina (0.5%):
2,155 Eastern Municipal Power Agency,
Revenue, Series A, 6.00%, 1/1/26,
Callable 7/29/99 @ 100............ 2,128
2,000 Haywood County, Industrial
Facilities & Pollution, AMT,
6.25%, 9/1/25, Callable 9/1/05 @
102............................... 2,082
295 Municipal Power Agency #1, Catawba
Electric Revenue, 6.00%, 1/1/20,
Callable 7/29/99 @ 100, MBIA...... 296
430 Municipal Power Agency #1, Catawba
Electric Revenue, Series B, 6.00%,
1/1/20, Callable 7/29/99 @ 100.... 430
----------
4,936
----------
</TABLE>
71
Continued
<PAGE> 74
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
North Dakota (0.4%):
$1,510 State Housing Finance Agency,
Housing Finance Program Revenue,
Series A, AMT, 6.00%, 7/1/17,
Callable 1/1/07 @ 102............. $ 1,572
275 State Housing Finance Agency, Single
Family Mortgage Revenue, Series
95A, AMT, 7.40%, 7/1/15, Callable
1/1/05 @ 102...................... 291
730 State Housing Finance Agency, Single
Family Mortgage Revenue, Series A,
AMT, 8.38%, 7/1/21, Callable
7/29/99 @ 103, FHA................ 753
1,280 State Municipal Financing Project
Series H, 5.13%, 6/1/17, Callable
6/1/07 @ 100, FSA................. 1,245
300 Student Loan, Series D, AMT, 6.15%,
7/1/09, Callable 7/1/06 @ 100,
AMBAC............................. 315
----------
4,176
----------
Ohio (5.1%):
4,500 Akron, Municipal Baseball Stadium,
0.00%, 12/1/16, Callable 12/1/06 @
102............................... 4,319
75 Capital Corp., Multi-Family Housing
Revenue, 7.45%, 11/1/03, Callable
7/29/99 @ 104, FNMA............... 78
825 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/07, Callable
6/11/07 @ 97.356, AMBAC........... 503
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/10, Callable
6/11/07 @ 82.132, AMBAC........... 412
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/13, Callable
6/11/07 @ 69.287, AMBAC........... 345
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/16, Callable
6/11/07 @ 58.451, AMBAC........... 292
820 Cleveland, Non Tax Stadium Revenue,
Series A, 0.00%, 12/1/19, Callable
6/11/07 @ 49.31, AMBAC............ 247
810 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/08, Callable
6/11/07 @ 91.992, AMBAC........... 461
815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/11, Callable
6/11/07 @ 77.605, AMBAC........... 387
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/14, Callable
6/11/07 @ 65.469, AMBAC........... $ 325
815 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/17, Callable
6/11/07 @ 55.23, AMBAC............ 275
810 Cleveland, Non Tax Stadium Revenue,
Series B, 0.00%, 12/1/20, Callable
6/11/07 @ 46.592, AMBAC........... 230
1,000 Dayton, Special Facilities Revenue,
Emery Air Freight Corp., 6.05%,
10/1/09........................... 1,049
650 East Liverpool, Hospital Authority,
Series 91B, 8.13%, 10/1/11,
Callable 10/1/01 @ 102............ 694
1,600 Forest Hills, Local School District,
GO, 6.25%, 12/1/20, Callable
12/1/06 @ 102, MBIA............... 1,733
2,435 Franklin County, Mortgage Revenue,
AMT, 5.80%, 12/20/28, Callable
12/20/08 @ 105, GNMA.............. 2,532
215 Franklin County, Multi-Family
Revenue, 3.80%, 11/1/03........... 213
265 Franklin County, Multi-Family
Revenue, 4.30%, 11/1/08........... 260
585 Franklin County, Multi-Family
Revenue, 4.70%, 11/1/13, Callable
11/1/09 @ 102..................... 569
7,565 Franklin County, Multi-Family
Revenue, 5.25%, 11/1/40, Callable
11/1/09 @ 102..................... 7,305
2,470 Franklin County, Multi-Family
Revenue, AMT, 6.40%, 11/1/35,
Callable 11/1/08 @ 102............ 2,402
2,310 Housing Finance Agency, Mortgage
Revenue, AMT, 6.375%, 3/1/25,
Callable 9/1/04 @ 102, GNMA....... 2,435
3,000 Housing Finance Agency, Mortgage
Revenue, Series B, AMT, 4.65%,
9/1/20, Callable 9/1/08 @ 101,
GNMA.............................. 2,995
1,255 Housing Finance Agency, Single
Family Mortgage Revenue, Series D,
7.00%, 9/1/11, Callable 9/1/01 @
102, GNMA......................... 1,314
785 Housing Finance Agency, Single
Family Mortgage Revenue, Series D,
7.05%, 9/1/16, Callable 9/1/01 @
102, GNMA......................... 821
</TABLE>
72
Continued
<PAGE> 75
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$3,030 Kent, Multi-Family Revenue, Silver
Meadows, AMT, 7.30%, 12/20/36,
Callable 6/20/06 @ 105, GNMA...... $ 3,402
2,430 Lucas County, Multi-Family Revenue,
5.20%, 11/1/18, Callable 11/1/08 @
102, LOC: Keybank................. 2,381
5,250 Mahoning District Water Revenue,
7.75%, 5/15/14, Callable 5/15/04 @
102............................... 5,729
1,000 Montgomery County, Hospital Revenue,
5.60%, 12/1/11, Callable 12/1/07 @
102............................... 971
2,500 State Educational Loan Revenue,
Series A-1, AMT, 5.55%, 12/1/11,
Callable 6/1/07 @ 102, AMBAC...... 2,548
3,415 Water Development Authority, Solid
Waste Disposal Revenue, AMT, 6.45%
9/1/20, Callable 9/1/05 @ 102..... 3,630
1,200 Westlake, City School District, GO,
5.90%, 12/1/16, Callable 12/1/06 @
102............................... 1,255
1,000 Wyoming, City School District, GO,
5.25%, 12/1/22, Callable 12/1/08 @
102............................... 954
----------
53,066
----------
Oklahoma (1.8%):
3,548 Canadian County Partners Trust,
5.10%, 8/1/23..................... 3,514
1,000 Development Finance Authority,
5.45%, 7/1/10, Callable 7/1/05 @
101, FSA.......................... 1,029
4,285 Grand River Dam Authority, Revenue,
5.00%, 6/1/12, Callable 7/29/99 @
100............................... 4,232
5,000 Housing Finance Agency, Revenue,
0.00%, 3/1/29, Callable 9/1/08 @
34.046............................ 930
16,105 Housing Finance Agency, Single
Family Mortgage Revenue, Capital
Appreciation Homeowner B-1, 0.00%,
3/1/29, Callable 9/1/08 @
33.373............................ 2,987
2,730 Housing Finance Agency, Single
Family Mortgage Revenue, AMT,
7.05%, 9/1/26, Callable 9/1/06 @
105, GNMA......................... 3,018
2,600 Housing Finance Agency, Single
Family Mortgage Revenue, Series
B-2A, AMT, 7.63%, 9/1/26, Callable
3/1/06 @ 105...................... 2,872
500 Tulsa Metropolitan Water, Series A,
5.50%, 11/1/03.................... 519
----------
19,101
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Oregon (1.0%):
$ 720 Eugene, Trojan Nuclear Project
Revenue, 5.90%, 9/1/09, Callable
7/29/99 @ 100..................... $ 737
2,170 Marion County, Housing Authority,
Revenue, Elliott Residence, AMT,
7.50%, 10/20/37, Callable 10/20/06
@ 105, GNMA....................... 2,511
1,545 Portland, Housing Authority, Multi-
Family Housing Revenue, AMT,
6.13%, 5/1/17, Callable 5/1/07 @
100............................... 1,606
1,020 State Housing & Community Services,
Single Family Mortgage Revenue,
Series 92G, AMT, 6.80%, 7/1/27,
Callable 11/18/02 @ 102........... 1,067
4,700 State Housing & Community Services,
Single Family Mortgage Revenue,
Series A, AMT, 6.20%, 7/1/27,
Callable 7/1/07 @ 102............. 4,943
----------
10,864
----------
Pennsylvania (1.1%):
1,225 Allegheny County, Residential
Finance Authority, Multi-Family
Revenue, Green Meadows A, AMT,
5.13%, 10/20/18, Callable 4/20/09
@ 102, FHA........................ 1,186
1,115 Allegheny County, Residential
Finance Authority, Multi-Family
Revenue, Landmark Project, Series
A, 5.10%, 1/20/19, Callable
1/20/08 @ 102, GNMA............... 1,091
1,680 Allegheny County, Residential
Finance Authority, Multi-Family
Revenue, Green Meadows A, AMT,
5.13%, 10/20/23, Callable 4/20/09
@ 102, FHA........................ 1,598
1,280 Housing & Finance Agency, Single
Family Mortgage, AMT, 6.75%,
10/1/08........................... 1,462
2,330 Northeastern Hospital Revenue,
5.00%, 10/1/18, Callable 10/1/08 @
100, MBIA......................... 2,185
825 Philadelphia Gas Works, 14th Series,
6.38%, 7/1/14, Prerefunded 7/1/03
@ 102............................. 895
1,725 Philadelphia Gas Works, 14th Series,
6.38%, 7/1/14, Prerefunded 7/1/03
@ 102............................. 1,839
</TABLE>
73
Continued
<PAGE> 76
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Pennsylvania, continued:
$ 705 Pittsburgh, Urban Redevelopment
Authority, Mortgage Revenue,
Sidney Square, Project A, AMT,
6.10%, 9/1/10, Callable 9/1/06 @
102, GNMA......................... $ 747
1,515 Shaler Area School District, Series
B, GO, 0.00%, 11/15/11, FGIC...... 792
----------
11,795
----------
Rhode Island (0.3%):
2,630 Housing & Mortgage Financial Corp.,
Home Ownership Opportunity, AMT,
6.15%, 4/1/17, Callable 10/1/06 @
102............................... 2,749
500 Housing & Mortgage Financial Corp.,
Home Ownership Opportunity, Series
15-B, 6.00%, 10/1/04, Callable
4/1/04 @ 102, MBIA................ 525
130 Housing & Mortgage Financial Corp.,
Home Ownership Opportunity, Series
C-1, AMT, 6.80%, 10/1/23, Callable
10/1/01 @ 102..................... 131
----------
3,405
----------
South Carolina (1.8%):
2,080 Jobs, Economic Development
Authority, Revenue, 5.00%,
11/1/23, Callable 5/1/08 @ 101,
AMBAC............................. 1,935
1,265 Piedmont, Municipal Power Agency,
Electric Revenue Refunding, Series
A, 6.60%, 1/1/21, Callable 7/29/99
@ 100............................. 1,267
2,950 Piedmont, Municipal Power Agency,
Electric Revenue, Series A, 6.55%,
1/1/16, Callable 7/29/99 @ 100.... 2,956
8,125 Piedmont, Municipal Power Agency,
Electric Revenue, Series A, 5.75%,
1/1/24, Callable 7/29/99 @ 100.... 7,823
1,000 Resource Authority, Local Government
Program Revenue, Series A, 7.25%,
6/1/20, Callable 6/1/00 @ 102..... 1,038
1,545 Spartanburg, Sanitation and Sewer
District, Sewer System Revenue,
Series B, 0.00%, 3/01/16, Callable
3/1/09 @ 70.933, MBIA............. 622
2,850 Spartanburg, Waterworks Revenue,
5.25%, 6/1/23, Callable 6/1/14 @
100, FGIC......................... 2,765
----------
18,406
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
South Dakota (0.6%):
$4,750 Education Loans Incorporated,
Student Loan Revenue, AMT, 5.60%,
6/1/20, Callable 6/1/08 @ 102,
GSL............................... $ 4,615
400 Housing Development Authority,
Homeowner Mortgage, Series D1,
AMT, 6.80%, 5/1/12, Callable
5/1/03 @ 102...................... 424
1,365 Housing Development Authority,
Revenue, AMT, 5.40%, 5/1/20,
Callable 5/1/08 @ 102............. 1,341
----------
6,380
----------
Tennessee (0.7%):
910 Bristol, Multi-Family Home Revenue,
Shelby Heights Project, Series 97,
6.10%, 3/1/12, Callable 3/1/07 @
101............................... 957
2,000 Housing Development Agency,
Homeownership Program, AMT, 7.38%,
7/1/23, Callable 7/1/01 @ 102..... 2,054
665 La Follette, Housing Development
Corp., Mortgage Revenue Refunding,
Series A, 6.25%, 1/1/16, Callable
7/1/05 @ 102, MBIA................ 708
380 La Follette, Housing Development
Corp., Mortgage Revenue Refunding,
Series A, 6.37%, 1/1/20, Callable
7/1/05 @ 102, MBIA................ 406
1,264 Memphis, Health, Educational &
Housing Revenue Refunding, 7.37%,
1/20/27, Callable 1/20/02 @ 103,
GNMA.............................. 1,366
2,000 Shelby County, Health, Educational,
& Housing Facilities Board,
Multi-Family Housing Revenue,
6.00%, 7/1/28, Callable 7/1/07 @
102............................... 2,062
----------
7,553
----------
Texas (8.2%):
1,165 Beaumont, Housing Finance Corp.,
Single Family Mortgage Revenue
Refunding, 9.20%, 3/1/12, Callable
9/1/01 @ 103...................... 1,271
1,765 Bexar County, Housing Finance Corp.,
Residential Revenue, GO, 0.00%,
3/1/15, Callable 9/1/03 @
49.358............................ 648
2,500 Central Housing Finance Corp.,
Single Family Mortgage Revenue,
Series A, ETM, 0.00%, 9/1/16...... 980
</TABLE>
74
Continued
<PAGE> 77
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$3,735 Dallas -- Fort Worth, Regulation
Airport Revenue, 6.10%, 11/1/07,
Callable 7/29/99 @ 100............ $ 3,742
1,870 Dallas County, Housing Finance
Corp., Single Family Mortgage
Revenue, 0.00%, 1/1/17, FGIC...... 336
440 El Paso, Housing Finance Corp.,
Single Family Mortgage Revenue
Refunding, Series A, 8.75%,
10/1/11, Callable 4/1/01 @ 103,
FHA/VA............................ 473
4,000 El Paso, Independent School
District, GO, 0.00%, 8/15/12,
Callable 8/15/08 @ 80.49.......... 1,942
2,300 El Paso, Independent School
District, GO, 0.00%, 8/15/13,
Callable 8/15/08 @ 75.962......... 1,050
2,490 Fort Worth, Housing Finance Corp.,
Home Mortgage Revenue Refunding,
Series A, 8.50%, 10/1/11, Callable
10/1/01 @ 103..................... 2,641
1,060 Galveston, Property Finance
Authority, Single Family Mortgage
Revenue Refunding, Series A,
8.50%, 9/1/11, Callable 9/1/01 @
103............................... 1,128
3,345 Harris County, Sports Authority,
Special Revenue, 0.00%, 11/15/11,
Callable 11/15/08 @ 85.801........ 1,717
4,950 Harris County, Sports Authority,
Special Revenue, 0.00%,
11/15/14.......................... 2,111
2,365 Houston, Housing Financial Corp.,
Single Family Mortgage Revenue
Refunding, Series B-2, 0.00%,
6/1/14, Callable 12/1/06 @ 58..... 758
2,500 Houston, Single Family Mortgage
Revenue, Series B-1, 8.00%,
6/1/14, Callable 12/1/06 @ 102.... 2,589
530 Laredo, Housing Finance Corp.,
Single Family Mortgage Revenue,
AMT, 6.20%, 10/1/19, Callable
4/1/04 @ 103, FNMA/GNMA........... 545
5,000 Lewisville, Combination Contract
Revenue, 5.80%, 9/1/25, Callable
9/1/13 @ 100, ACA................. 5,026
1,560 Lewisville, Housing Finance, Multi-
Family Mortgage Revenue, AMT,
5.50%, 6/1/17, Callable 12/1/07 @
100, FSA.......................... 1,561
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$ 500 Lewisville, Independent School
District, GO, 5.25%, 8/15/06,
Callable 8/15/04 @ 100, PSFG...... $ 511
825 Lufkin, Health Facilities
Development Corp., Health Systems
Revenue Refunding, 6.50%,
2/15/06........................... 868
5,000 Matagorda County, Port Of Bay City
Authority, AMT, 6.50%, 5/1/26,
Callable 5/1/06 @ 102............. 5,365
1,045 Municipal Power Agency, 0.00%,
9/1/08............................ 659
2,860 North Central Housing Financial
Corp., Housing Revenue, Heather
Lane Apartments, Series A, AMT,
5.20%, 5/15/19, Callable 5/15/09 @
100, FSA.......................... 2,787
3,160 North Central Housing Financial
Corp., Housing Revenue, Heather
Lane Apartments, Series A, AMT,
5.15%, 5/15/25, Callable 5/15/09 @
100, FSA.......................... 3,068
10,000 Nueces County, Port Corpus Christi
Authority, PCR, AMT, 6.88%,
4/1/17, Callable 4/1/02 @ 102..... 10,709
8,100 Red River Authority, PCR, AMT,
6.88%, 4/1/17, Callable 4/1/02 @
102............................... 8,674
8,630 Richardson, Independent School
District, Series A, GO, 0.00%,
2/15/06........................... 6,267
4,580 Richardson, Independent School
District, Series A, GO, 0.00%,
2/15/07........................... 3,145
6,060 Rockwall, Independent School
District, GO, 0.00%, 8/15/16,
Callable 8/15/09 @ 68.726, PSFG... 2,322
2,000 Rockwall, Independent School
District, GO, 0.00%, 8/15/17,
Callable 8/15/09 @ 64.888, PSFG... 723
1,500 San Antonio, Hotel Occupancy
Revenue, 5.30%, 8/15/08, Callable
8/15/06 @ 102, FGIC............... 1,538
2,000 San Antonio, Hotel Occupancy
Revenue, 0.00%, 8/15/17, FGIC..... 740
1,555 Southeast Housing Finance Corp.,
Residential Revenue, Series A,
ETM, 0.00%, 11/1/14, Callable
5/1/05 @ 56.094................... 642
2,755 State Department of Housing &
Community Affairs, AMT, Multi-
Family Revenue, 5.55%, 12/1/24,
Callable 12/1/08 @ 102, FNMA...... 2,787
</TABLE>
75
Continued
<PAGE> 78
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Texas, continued:
$1,500 State Department of Housing &
Community Affairs, Multi-Family
Housing Revenue, Series A, 6.30%,
1/1/16, Callable 1/1/07 @ 102..... $ 1,592
510 State Department of Housing &
Community Affairs, Multi-Family
Revenue, Series A, 5.90%,
7/1/06............................ 524
7,090 State Department of Housing &
Community Affairs, Single Family
Revenue Refunding, Series A,
0.00%, 3/1/15, Callable 9/1/04 @
49.53............................. 2,355
290 State Veterans Housing Assistance,
GO, AMT, 6.05%, 12/1/12, Callable
12/1/02 @ 102..................... 296
15 Travis County, Housing Finance
Corp., Single Family Mortgage
Revenue Refunding, Series A,
6.25%, 4/1/19, Callable 4/1/04 @
103, FNMA/GNMA.................... 16
665 Winter Garden Housing Finance Corp.,
Single Family Mortgage Revenue,
AMT, 6.20%, 10/1/19, Callable
4/1/04 @ 103, FNMA/GNMA........... 682
----------
84,788
----------
Utah (0.7%):
3,270 Salt Lake County, Housing Authority,
Multi-Family Revenue, AMT, 6.38%,
11/1/33, Callable 11/1/06 @ 102,
FHA............................... 3,443
950 State Housing Finance Agency, Single
Family Mortgage, AMT, 5.95%,
7/1/09, Callable 1/1/07 @ 102,
FHA/VA............................ 976
1,040 State Housing Finance Agency, Single
Family Mortgage, AMT, 6.25%,
7/1/14, Callable 1/1/07 @ 102,
FHA/VA............................ 1,089
2,015 State Housing Finance Agency, Single
Family Mortgage, Issue A-1, 6.00%,
7/1/14, Callable 1/1/07 @ 102,
FHA............................... 2,099
----------
7,607
----------
Vermont (0.6%):
3,320 Housing Finance Agency, Home
Management Revenue, Series A,
7.85%, 12/1/29, Callable 7/29/99 @
102, FHA/VA....................... 3,392
3,055 Housing Finance Agency, Single
Family Revenue, AMT, 7.30%,
5/1/25, Callable 11/1/01 @ 102.... 3,100
----------
6,492
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Virginia (1.2%):
$1,065 Alexandria, Redevelopment & Housing
Authority, Multi-Family Revenue,
5.45%, 7/1/18, Callable 1/1/06 @
102............................... $ 1,032
1,170 Arlington County, Industrial
Development Authority, Mortgage
Revenue, Whitefield, Series A,
5.50%, 7/1/25, Callable 7/1/00 @
100, MBIA......................... 1,167
5,500 Fairfax County, Water Authority,
Revenue, 6.00%, 4/1/22, Callable
4/1/07 @ 102...................... 5,865
500 State Housing Development, Series H,
5.60%, 11/1/06, Callable 5/1/05 @
102............................... 520
3,690 Suffolk, Redevelopment & Housing
Authority, Multi-Family Housing
Revenue, Oxford Project, 6.10%,
4/1/26, Callable 10/1/08 @ 101.... 3,637
705 Virginia Beach Development
Authority, Multi-Family Housing
Revenue, 2nd Mortgage, Series B,
8.75%, 1/15/09, Callable 1/15/00 @
100............................... 706
----------
12,927
----------
Washington (4.7%):
3,000 Chelan Public Utilities, Series D,
AMT, 6.35%, 7/1/28, Callable
7/1/07 @ 102, MBIA................ 3,214
1,040 Housing Finance Community, NonProfit
Housing Revenue, Presbyterian
Ministries, Series A, 5.30%,
1/1/19, Callable 1/1/09 @ 102,
ACA............................... 1,015
4,250 Housing Finance Community, NonProfit
Housing Revenue, Presbyterian
Ministries, Series A, 5.45%,
1/1/29, Callable 1/1/09 @ 102,
ACA............................... 4,129
2,530 King County, Housing Authority,
Revenue, AMT, 5.50%, 10/1/29,
Callable 10/1/09 @ 100, ACA....... 2,500
670 King County, Housing Authority,
Rural Preservation Project, AMT,
5.60%, 1/1/18, Callable 1/1/08 @
100............................... 663
800 King County, Housing Authority,
Rural Preservation Project, AMT,
5.75%, 1/1/28, Callable 1/1/08 @
100............................... 790
5,265 Pierce County, Housing Authority,
Revenue, 5.65%, 12/1/18, Callable
12/1/08 @ 100, ACA................ 5,326
6,970 Pierce County, Housing Authority,
Revenue, 5.80%, 12/1/23, Callable
12/1/08 @ 100, ACA................ 7,076
</TABLE>
76
Continued
<PAGE> 79
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Washington, continued:
$4,675 Seattle, Housing Authority, Low
Income Housing Assistance Revenue,
Brighton Place Apartments, 6.65%,
7/20/29, Callable 7/20/09 @ 105... $ 5,170
2,390 Spokane, Housing Authority, Revenue,
Cheney Care Center, Series A,
6.35%, 8/20/39, Callable 5/20/09 @
105, GNMA......................... 2,580
985 Spokane, Housing Authority, Revenue,
Valley 206 Apartments, Junior Lien
B, 5.75%, 4/1/28, LOC: Washington
Trust Bank........................ 978
1,025 Spokane, Housing Authority, Revenue,
Valley 206 Apartments, Senior Lien
A, 5.40%, 4/1/18, Callable 4/1/08
@ 100............................. 994
2,600 Spokane, Housing Authority, Revenue,
Valley 206 Apartments, Senior Lien
A, 5.63%, 4/1/28, Callable 4/1/08
@ 100............................. 2,522
3,500 State Housing, Community Revenue,
Crista Ministries, Series A,
5.35%, 7/1/14, Callable 7/1/08 @
100, LOC: U.S. Bancorp............ 3,513
1,000 State Housing, Multi-Family Mortgage
Revenue, 5.95%, 7/1/20, Callable
1/1/08 @ 103, GNMA................ 1,047
2,000 State Housing, Multi-Family Mortgage
Revenue, 6.00%, 7/1/30, Callable
1/1/08 @ 103, GNMA................ 2,098
1,950 State Public Power Supply, 0.00%,
7/1/15............................ 807
2,750 State Public Power Supply, Nuclear
Project No. 2, Revenue Refunding,
Series B, 5.63%, 7/1/12, Callable
7/1/03 @ 102, FSA................. 2,800
2,000 Vancouver, Housing Authority,
Revenue, Pooled Housing, Series A,
5.40%, 3/1/18, Callable 3/1/08 @
100............................... 1,991
----------
49,213
----------
West Virginia (1.3%):
1,000 Charleston, Community Parking
Facilities Revenue, 0.00%,
12/1/20........................... 253
1,595 Charleston, Community Parking
Facilities Revenue, 0.00%,
12/1/21........................... 378
1,630 Charleston, Community Parking
Facilities Revenue, 0.00%,
12/1/22........................... 360
1,665 Charleston, Community Parking
Facilities Revenue, 0.00%,
12/1/23........................... 344
3,175 Charleston, Community Parking
Facilities, Sub-C, 0.00%,
12/1/26........................... 539
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$8,370 Kanawha-Putnam County, Single Family
Mortgage, Series A, ETM, 0.00%,
12/1/16........................... $ 3,237
2,600 Monongalia County, Series A, 6.00%,
11/15/27, Callable 11/15/02 @
102............................... 2,524
905 State Housing Development Fund,
Housing Finance, AMT, 7.20%,
11/1/20, Callable 5/1/02 @ 102,
FHA/VA............................ 931
2,785 Various Forty Four Municipalities,
Single Family Mortgage, Series A,
5.20%, 8/1/17, Callable 8/1/07 @
102, FNMA/GNMA.................... 2,807
10,800 Various Forty Four Municipalities,
Single Family Mortgage, Series B,
0.00%, 8/1/30, Callable 8/1/07 @
26.78............................. 1,796
----------
13,169
----------
Wyoming (0.4%):
1,550 Community Development Authority,
Revenue, Series 4, AMT, 5.70%,
6/1/17, Callable 8/1/07 @ 102..... 1,553
500 Community Development Authority,
Series E, 5.70%, 6/1/13, Callable
12/1/03 @ 102, FHA................ 509
60 Community Development Authority,
Single Family Mortgage, Series A,
6.88%, 6/1/14, Callable 6/1/01 @
102, FHA.......................... 62
2,000 Sweetwater County, Solid Waste
Disposal Revenue, Series A, AMT,
7.00%, 6/1/24, Callable 6/1/04 @
102............................... 2,171
----------
4,295
----------
Total Municipal Bonds 984,486
----------
WEEKLY DEMAND NOTES (0.3%):
California (0.3%):
3,500 Alameda County, Industrial
Development Authority, 3.70%,
4/1/29*........................... 3,500
----------
Total Weekly Demand Notes 3,500
----------
DAILY DEMAND NOTES (1.2%):
California (0.1%):
1,300 Orange County Water District,
Certificates of Participation,
4.75%, 8/15/15*................... 1,300
----------
Delaware (0.5%):
5,200 State Economic Development
Authority, Revenue, AMT, 4.00%,
10/1/29*.......................... 5,200
----------
</TABLE>
77
Continued
<PAGE> 80
- --------------------------------------------------------------------------------
One Group Mutual Funds
Municipal Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
DAILY DEMAND NOTES, CONTINUED:
North Carolina (0.5%):
$5,000 Wake County, Industrial Facilities &
Pollution Control Financing
Authority, Revenue, AMT, 3.90%,
3/1/17, LOC: First Union National
Bank*............................. $ 5,000
----------
Texas (0.1%):
1,200 Brazos River Authority, PCR, 3.80%,
2/1/32*........................... 1,200
----------
Total Daily Demand Notes 12,700
----------
MONTHLY DEMAND NOTES (1.3%):
Florida (0.4%):
4,200 Educational Loan Marketing Corp.,
Series A, 3.55%,.................. 4,200
----------
Idaho (0.4%):
4,000 Education Funding Association Inc.,
Student Loan Revenue, Class IV,
Series B, 3.55%, 7/1/33*.......... 4,000
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
MONTHLY DEMAND NOTES, CONTINUED:
Illinois (0.5%):
$5,000 Health Facilities Authority,
Revenue, 3.65%, 12/1/15*.......... $ 5,000
----------
Total Monthly Demand Notes 13,200
----------
INVESTMENT COMPANIES (2.2%):
310 Blackrock Investment Quality
Municipal Fund.................... 4,514
360 Nuveen Premium Income Municipal
Fund.............................. 5,153
5,974 Provident Institutional Municipal
Bond Fund......................... 5,974
7,487 Provident Municipal Cash Fund....... 7,487
----------
Total Investment Companies 23,128
----------
Total (Cost $1,035,036)(a) $1,037,014
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,044,426.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $84. Cost for federal income tax purposes differs from value
by net unrealized appreciation of securities as follows (amounts in
thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 13,467
Unrealized depreciation...................... (11,573)
--------
Net unrealized appreciation.................. $ 1,894
========
</TABLE>
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon bank prime rates or an index of market
rates. The rate reflected on the Schedule of Portfolio Investments is the rate
in effect at June 30, 1999.
<TABLE>
<S> <C>
ACA Insured by American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FHLMC Insured by Federal Home Loan Mortgage Corp.
FNMA Insured by Federal National Mortgage Association
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
GSL Guaranteed Student Loan
LOC Letter Of Credit
MBIA Insured by Municipal Bond Insurance Association
PCR Pollution Control Revenue
PSFG Permanent School Fund Guarantee
VA Veterans Administration
</TABLE>
See notes to financial statements.
78
<PAGE> 81
- --------------------------------------------------------------------------------
One Group Mutual Funds
Arizona Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (98.4%):
Arizona (96.6%):
$1,175 Apache County, Public Finance Corp.,
Certificates of Participation,
5.25%, 5/1/04, Callable 5/1/00 @
102................................. $ 1,167
500 Apache County, Public Finance Corp.,
Certificates of Participation,
5.50%, 5/1/10, Callable 5/1/00 @
102................................. 514
1,000 Arizona State University Revenues,
6.90%, 7/1/04, Callable 7/1/02 @
101, AMBAC.......................... 1,078
1,950 Arizona State University Revenues,
Series A, 5.85%, 7/1/08, Callable
7/1/02
@ 101............................... 2,045
1,820 Arizona State University Revenues,
Series A, 5.90%, 7/1/09, Callable
7/1/02
@ 101............................... 1,911
725 Casa Grande, Excise Tax Revenue,
5.90%, 4/1/09, Callable 4/1/04 @
100, FGIC........................... 763
2,000 Central Arizona Water Conservation
District, Contract Revenue, 7.13%,
11/1/11, Prerefunded 11/1/00 @
102................................. 2,126
2,875 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project, 4.75%, 11/1/07,
Callable 5/1/04 @ 102, MBIA......... 2,870
1,460 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project -- Series A, 5.20%,
11/1/03............................. 1,504
4,000 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project -- Series A, 5.40%,
11/1/05............................. 4,162
4,750 Central Arizona Water Conservation
District, Contract Revenue, Central
Arizona Project -- Series A, 5.40%,
11/1/06............................. 4,957
5,000 Chandler, Capital Appreciation, GO,
0.00%, 7/1/07, FGIC................. 3,384
625 Coconino & Yavapai Counties, School
District #9, Sedona Oak Creek
Project of 1992-C, GO, 5.60%,
7/1/06, Callable 7/1/02 @ 101,
FGIC................................ 650
2,400 Coconino County, Arizona University,
School District #001, Flagstaff, GO,
5.50%, 7/1/08, Callable 7/1/05 @
101, AMBAC.......................... 2,491
2,500 East Valley Institute of Technology,
District #401, Project of 1994,
Series B, GO, 6.00%, 7/1/05,
AMBAC............................... 2,678
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,250 Gila County Industrial Development
Authority, Revenue, Asarco Inc.,
5.55%, 1/1/27, Callable 1/1/08, @
102................................. $ 1,179
1,000 Gilbert Improvement District #011, GO,
7.60%, 1/1/04, Callable 7/1/99 @
102, FGIC........................... 1,035
1,000 Glendale Municipal Property Corp.,
7.00%, 7/1/05, Callable 7/1/99 @
101, MBIA........................... 1,027
1,000 Glendale Municipal Property Corp.,
7.00%, 7/1/09, Callable 7/1/99 @
101, MBIA........................... 1,027
4,000 Glendale University High School,
District #205, Projects of
1993 -- Series A, GO, 5.30%, 7/1/07,
Callable 7/1/03 @ 101............... 4,096
2,900 Glendale University High School,
District #205, Projects of
1993 -- Series B, GO, 5.45%, 7/1/09,
Callable 7/1/05 @ 101, FGIC......... 2,999
1,220 Lake Havasu, City Excise Tax Revenue,
Refunding Bond, 4.10%, 6/1/08....... 1,146
965 Maricopa County, Community College
District, 6.00%, 7/1/07, Prerefunded
7/1/03 @ 101........................ 1,029
2,000 Maricopa County, Community College
District, 5.00%, 7/1/13, Callable
7/1/06
@ 101............................... 1,981
1,570 Maricopa County, Community College
District, Building Revenue, 5.10%,
7/15/05, MBIA....................... 1,613
1,855 Maricopa County, Industrial
Development Authority, Multi -Family
Housing Revenue, 5.20%, 7/1/18,
Callable 7/1/08
@ 102............................... 1,835
500 Maricopa County, Industrial
Development Authority, Hospital
Facility Revenue, St. Joseph's
Hospital & Medical Centers Project,
6.20%, 11/1/11, Putable 11/1/99 @
100, ETM............................ 504
1,500 Maricopa County, Industrial
Development Authority, Hospital
Revenue, 5.25%, 11/15/37, Callable
5/15/08 @ 101....................... 1,448
1,790 Maricopa County, Industrial
Development Authority, Multi-Family
Housing Revenue, Series A, 5.05%,
10/1/29............................. 1,705
1,000 Maricopa County, Industrial
Development Authority, Multiple
Family Housing, Revenue, 5.15%,
7/1/29, Callable 7/1/09 @ 102....... 965
</TABLE>
79
Continued
<PAGE> 82
- --------------------------------------------------------------------------------
One Group Mutual Funds
Arizona Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,500 Maricopa County, School District #001,
Phoenix Elementary Project of
1998 -- Series A, GO, 5.00%, 7/1/14,
Callable 7/1/08 @ 100, FSA.......... $ 1,468
1,000 Maricopa County, School District #001,
Phoenix Elementary, GO, 5.50%,
7/1/10, Callable 7/1/07 @ 101,
MBIA................................ 1,036
2,000 Maricopa County, School District #038,
Madison Elementary Project of
1995 -- Series B, GO, 5.80%, 7/1/15,
Callable 7/1/06 @ 101, MBIA......... 2,149
1,015 Maricopa County, School District #038,
Madison Elementary, GO, 5.30%,
7/1/08, Callable 7/1/03 @ 101,
AMBAC............................... 1,037
2,000 Maricopa County, School District #11,
5.00%, 7/1/09, Callable 7/1/07 @
101, AMBAC.......................... 2,009
2,000 Maricopa County, School District #210,
Project of 1995 -Series B, GO,
5.38%, 7/1/13....................... 2,092
1,200 Maricopa County, School District #210,
Series A, GO, 5.60%, 7/1/13,
Callable 7/1/05 @ 101............... 1,271
2,000 Maricopa County, School District #4,
GO, 5.50%, 7/1/09, Callable 7/1/05 @
102, FGIC........................... 2,129
2,500 Maricopa County, School District #4,
GO, 5.00%, 7/1/10, Callable 7/1/06 @
101, FGIC........................... 2,501
1,475 Maricopa County, School District #48,
Scottsdale, GO, 4.90%, 7/1/06,
Callable 7/1/02 @ 101............... 1,495
1,000 Maricopa County, School District #48,
Scottsdale, GO, 5.25%, 7/1/08,
Callable 7/1/03 @ 101............... 1,023
2,000 Maricopa County, School District #48,
Scottsdale, Series B, GO, 6.10%,
7/1/02.............................. 2,106
1,000 Maricopa County, School District #48,
Scottsdale, Series B, GO, 6.30%,
7/1/04.............................. 1,083
3,100 Maricopa County, School District #69,
Paradise Valley, GO, 5.80%, 7/1/09,
AMBAC............................... 3,292
2,400 Maricopa County, School District #69,
Paradise Valley, GO, 5.00%, 7/1/09,
Callable 7/1/03 @ 102, AMBAC........ 2,401
1,000 Maricopa County, School District #69,
Paradise Valley, GO, 6.35%, 7/1/10,
MBIA................................ 1,108
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,500 Maricopa County, School District #69,
Paradise Valley, Series E, GO,
4.00%, 7/1/16, Callable 7/1/07 @
101, FSA............................ $ 1,247
200 Maricopa County, School District #8,
0.00%, 7/1/12, FGIC................. 105
1,000 Maricopa County, School District #80,
Chandler, GO, 5.80%, 7/1/08,
Callable 7/1/05 @ 101, FGIC......... 1,072
1,000 Maricopa County, School District #80,
Chandler, Projects of 1995 -- Series
C, GO, 5.10%, 7/1/08, FGIC.......... 1,016
920 Maricopa County, School District #9,
Wickenburg, GO, 5.50%, 7/1/13,
Callable 7/1/07 @ 100, AMBAC........ 941
1,000 Maricopa County, School District #97,
5.00%, 7/1/11, Callable 7/1/08 @
100, MBIA........................... 985
750 Mesa Industrial Development Authority,
Revenue, 5.00%, 1/1/19, Callable
1/1/08 @ 101, MBIA.................. 707
2,345 Mesa Street & Highway, 5.00%, 7/1/15,
Callable 7/1/07 @ 100, FGIC......... 2,281
1,625 Mesa, GO, 6.00%, 7/1/02, AMBAC........ 1,705
3,000 Mesa, GO, 5.00%, 7/1/18, Callable
7/1/08 @ 100, FGIC.................. 2,877
2,000 Mesa, Utility System Revenue, 5.38%,
7/1/12, Callable 7/1/05 @ 101,
FGIC................................ 2,034
3,000 Mesa, Utility System Revenue, 5.25%,
7/1/16, Callable 7/1/07 @ 101,
FGIC................................ 2,985
1,205 Mohave County, Elementary School
District #16, GO, 5.25%, 7/1/09,
Callable 7/1/07 @ 100, MBIA......... 1,231
1,200 Mohave County, School District #1,
Lake Havasu, GO, 5.20%, 7/1/09,
Callable 7/1/03 @ 101, AMBAC........ 1,217
1,000 Mohave County, School District #1,
Lake Havasu, GO, 4.75%, 7/1/12,
FGIC................................ 959
2,050 Navajo County, School District #10,
5.13%, 7/1/12, Callable 7/1/07 @
101, FGIC........................... 2,010
2,750 Northern Arizona University, Revenue,
6.40%, 6/1/07, Callable 6/1/02 @
101, FGIC........................... 2,923
1,535 Northern Arizona University, Revenue,
5.00%, 6/1/15, Callable 6/1/07 @
101, FGIC........................... 1,493
1,215 Northern Arizona University, Revenue,
Series A, 5.60%, 6/1/05, Callable
6/1/02 @ 102, AMBAC................. 1,268
</TABLE>
80
Continued
<PAGE> 83
- --------------------------------------------------------------------------------
One Group Mutual Funds
Arizona Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,000 Oro Valley Municipal Property Corp.,
Municipal Water System Revenue,
Canada Hills, 5.45%, 7/1/14,
Callable 7/1/08 @ 101, MBIA......... $ 1,020
2,000 Phoenix Civic Improvement Corp.,
Series B, 6.00%, 7/1/08, Callable
7/1/04 @ 102........................ 2,146
2,000 Phoenix Civic Improvement Corp., Water
System Revenue, 5.63%, 7/1/09,
Callable 7/1/06 @ 100............... 2,114
2,000 Phoenix Civic Improvement, Airport
Revenue, 5.00%, 7/1/17, Callable
7/1/08 @ 101, FSA................... 1,925
2,500 Phoenix Civic Improvement, Airport
Revenue, 5.00%, 7/1/18, Callable
7/1/08 @ 101, FSA................... 2,395
725 Phoenix Street & Highway User Revenue,
6.25%, 7/1/06, Callable 7/1/02 @
102................................. 775
2,000 Phoenix Street & Highway User Revenue,
6.50%, 7/1/09, ETM.................. 2,218
1,255 Phoenix Street & Highway User Revenue,
Series A, 5.80%, 7/1/05, Callable
7/1/02 @ 102, FGIC.................. 1,319
3,950 Phoenix, GO, 6.38%, 7/1/13, Callable
7/1/02 @ 102........................ 4,218
1,000 Phoenix, GO, Series 1999, 4.75%,
7/1/19, Callable 7/1/09 @ 101....... 924
1,000 Phoenix, GO, Series A, 5.40%,
7/1/07.............................. 1,047
1,000 Phoenix, Industrial Development
Authority, Single Family Mortgage
Revenue, Series A, AMT, 5.35%,
6/1/20, Callable 12/1/07 @ 101.50,
GNMA/FNMA/FHLMC.................... 973
1,000 Pima County, Arizona College District,
Certificates of Participation,
Series B, 6.00%, 7/1/07, Callable
7/1/01 @ 101, AMBAC................. 1,043
725 Pima County, GO, 5.60%, 7/1/07,
Callable 7/1/03 @ 101............... 751
555 Pima County, GO, 6.20%, 7/1/08,
Callable 7/1/02 @ 101............... 588
1,500 Pima County, Industrial Development
Authority, HealthPartners -- Series
A, 5.30%, 4/1/07, MBIA.............. 1,543
1,500 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, Series A, AMT, 5.20%,
5/1/31.............................. 1,407
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$ 815 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue Refunding, Series B, AMT,
6.15%, 11/1/23, Callable 5/1/07 @
102, GNMA........................... $ 891
985 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, Series A, 6.40%, 8/1/11,
Callable 8/1/05 @ 102............... 1,039
190 Pima County, Industrial Development
Authority, Single Family Mortgage
Revenue, Series A, 7.63%, 2/1/12,
Callable 2/1/01 @ 101............... 196
1,000 Pima County, Metro Water District
Revenue, 4.88%, 1/1/19, Callable
1/1/09 @ 101, FGIC.................. 939
1,585 Pima County, Sewer Revenue, Series A,
4.90%, 7/1/08, Callable 7/1/04 @
102, FGIC........................... 1,587
2,000 Pima County, Union School District,
5.38%, 7/1/09, FGIC................. 2,075
1,000 Pima County, Union School District #1,
Project of 1989 -Series G, GO,
5.00%, 7/1/06, Callable 7/1/05 @
101, MBIA........................... 1,021
1,000 Pima County, Union School District #1,
Series B, GO, 7.20%, 7/1/09,
Prerefunded 7/1/00 @ 101............ 1,046
1,500 Pima County, Union School District #1,
Series C, GO, 6.88%, 7/1/10,
Prerefunded 7/1/01 @ 101, MBIA...... 1,595
1,200 Pinal County, School District #004,
Casa Grande Elementary School
Improvement, GO, 6.00%, 7/1/04,
Callable 7/1/01 @ 101, AMBAC........ 1,264
1,000 Prescott Valley Water District,
Revenue, 4.88%, 1/1/19, Callable
1/1/09 @ 101, MBIA.................. 939
2,015 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, 6.00%,
1/1/07.............................. 2,166
2,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
5.63%, 1/1/06....................... 2,105
1,000 Salt River Project, Agriculture,
Improvement & Power District,
Electric Systems Revenue, Series A,
6.50%, 1/1/07, Callable 1/1/01 @
102................................. 1,052
</TABLE>
81
Continued
<PAGE> 84
- --------------------------------------------------------------------------------
One Group Mutual Funds
Arizona Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,000 Salt River Project, Agriculture
Improvement & Power District,
Electric Systems Revenue, Series A,
5.00%, 1/1/20, Callable 1/1/08 @
101................................. $ 962
3,250 Salt River Project, Agriculture
Improvement & Power District,
Electric Systems Revenue, Series B,
5.20%, 1/1/08....................... 3,325
2,500 Salt River Project, Agriculture
Improvement & Power District,
Electric Systems Revenue, Series B,
5.38%, 1/1/09, Callable 1/1/03 @
102................................. 2,555
3,000 Salt River Project, Agriculture
Improvement & Power District,
Electric Systems Revenue, Series D,
6.00%, 1/1/13, Callable 1/1/02 @
102................................. 3,150
2,815 Santa Cruz County Industrial
Development, Citizens Utility Co.,
4.75%, 8/1/20....................... 2,744
2,085 Scottsdale Municipal Property Corp.,
Excise Tax Revenue, 5.38%, 7/1/05... 2,172
1,000 Scottsdale Municipal Property Corp.,
Lease Revenue, Excise Tax Revenue,
6.38%, 5/1/05, Callable 11/1/02 @
100................................. 1,060
1,900 Scottsdale Project of 1989, Series E,
GO, 5.50%, 7/1/14, Callable 7/1/02 @
101................................. 1,929
1,065 Scottsdale Street & Highway User
Revenue, 5.50%, 7/1/07.............. 1,116
2,000 Scottsdale Water & Sewer, A989-Series
D, 5.00%, 7/1/19, Callable 7/1/08 @
101, FSA............................ 1,916
3,000 Scottsdale Water & Sewer, Revenue,
4.50%, 7/1/20....................... 2,651
1,700 Scottsdale, GO, 5.25%, 7/1/06......... 1,767
500 Scottsdale, GO, 5.50%, 7/1/09......... 525
500 Scottsdale, GO, 5.00%, 7/1/09,
Callable 7/1/03 @ 101............... 504
2,500 Scottsdale, Industrial Development
Authority, Hospital Revenue,
Scottsdale Memorial Hospitals,
Series A, 6.13%, 9/1/17, Callable
9/1/07 @ 102, AMBAC................. 2,639
2,000 Sedona Wastewater Excise Tax Revenue,
5.00%, 7/1/19, MBIA................. 1,916
1,000 Sedona Wastewater Excise Tax Revenue,
0.00%, 7/1/21, MBIA................. 307
1,000 Sedona Wastewater Excise Tax Revenue,
0.00%, 7/1/23, MBIA................. 275
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,000 Show Low, Industrial Development
Authority, Hospital Revenue,
Navapache Regulated Medical Center,
Series A, 5.50%, 12/1/17, Callable
12/1/07 @ 100, ACA.................. $ 981
2,500 State Certificates of Participation,
6.63%, 9/1/08, Callable 9/1/01 @
102, FSA............................ 2,670
1,000 State Municipal Financing Program,
Certificates of Participation,
Series 20, 7.70%, 8/1/10, ETM,
BIG................................. 1,206
1,000 State Municipal Financing Program,
Certificates of Participation,
Series 27, 7.00%, 8/1/04, Callable
8/1/99 @ 100, BIG................... 1,003
1,000 State Power Authority Resource
Revenue, Hoover Uprating Project,
4.80%, 10/1/01, MBIA................ 1,017
2,035 State Power Authority Resource
Revenue, Hoover Uprating Project,
5.40%, 10/1/07, Callable 10/1/03 @
102, MBIA........................... 2,103
3,000 State Transportation Board Highway
Revenue, 5.25%, 7/1/07, Callable
7/1/03 @ 102........................ 3,085
1,635 Tempe, GO, 5.00%, 7/1/10, Callable
7/1/06 @ 101........................ 1,638
1,815 Tempe, GO, 4.90%, 7/1/12, Callable
7/1/08 @ 100........................ 1,775
1,000 Tempe, GO, Series A, 5.10%, 7/1/05.... 1,028
2,000 Tucson Water Revenue Refunding, Series
A, 5.75%, 7/1/12, Callable 7/1/02 @
102, MBIA........................... 2,073
1,000 Tucson Water System, 5.13%, 7/1/20,
Callable 7/1/07 @................... 975
2,050 Tucson, GO, 5.00%, 7/1/17............. 1,980
2,500 Tucson, GO, 5.00%, 7/1/19, Callable
7/1/07 @ 100........................ 2,401
700 University of Arizona, Foundation
Certificates of Participation,
Series 8, 4.90%, 8/1/09, MBIA....... 699
1,000 University of Arizona, University
Revenues, 6.25%, 6/1/11, Callable
6/1/02 @ 102........................ 1,065
2,250 Water Infrastructure Financial
Authority, Water Quality Financial
Asset, Series A, 5.00%, 7/1/17,
Callable 7/1/08 @ 100, MBIA......... 2,163
</TABLE>
82
Continued
<PAGE> 85
- --------------------------------------------------------------------------------
One Group Mutual Funds
Arizona Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Arizona, continued:
$1,100 Yavapai County, Industrial Development
Authority, Hospital Facility
Revenue, Yavapai Regional Medical
Center --
Series A, 5.13%, 12/1/13, Callable
6/1/07 @ 102, FSA................... $ 1,085
1,750 Yuma County, GO, 6.13%, 7/1/12,
Callable 7/1/03 @ 101, AMBAC........ 1,877
1,305 Yuma County, GO, Elementary School
District #1, 5.25%, 7/1/10, Callable
7/1/07 @ 101, MBIA.................. 1,328
3,000 Yuma County, Industrial Development
Authority, Multi Family Revenue,
6.10%, 9/20/34, Callable 9/20/09 @
106................................. 3,120
1,000 Yuma County, Industrial Development
Authority, Hospital Revenue
Refunding, Yuma Regional Medical
Center, 5.50%, 8/1/09, Callable
8/1/07 @ 102, MBIA.................. 1,032
1,000 Yuma County, Municipal Property Corp.
Revenue, Series A, 5.20%, 7/1/09,
Callable 7/1/03 @ 101, AMBAC........ 1,013
1,575 Yuma County, Union High School,
District #70, GO, 5.00%, 7/1/06,
Callable 7/1/02 @ 101, FGIC......... 1,598
--------
227,894
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Illinois (0.5%):
$ 845 Du Page County, School District #041,
Glen Ellyn Capital Appreciation, GO,
0.00%, 2/1/08, FGIC................. $ 547
910 Du Page County, School District #041,
Glen Ellyn Capital Appreciation, GO,
0.00%, 2/1/09, FGIC................. 557
--------
1,104
--------
Puerto Rico (0.4%):
2,000 Commonwealth, GO, 0.00%, 7/1/16,
MBIA................................ 826
--------
Tennessee (0.9%):
2,985 Housing Development Agency, Issue 3A,
Revenue, AMT, 0.00%, 7/1/06......... 2,119
--------
Total Municipal Bonds
.................................................. 231,943
--------
INVESTMENT COMPANIES (1.3%):
0 One Group Municipal Money Market Fund,
Class I (b)......................... 0
3,037 Provident Municipal Cash Fund......... 3,037
--------
Total Investment Companies 3,037
--------
Total (Cost $230,362)(a) $234,980
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $235,799.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $17. Cost for federal income tax purposes differs from value
by net unrealized appreciation of securities as follows (amounts in
thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 6,583
Unrealized depreciation...................... (1,982)
-------
Net unrealized appreciation.................. $ 4,601
=======
</TABLE>
(b) Rounds to less than 1,000.
<TABLE>
<S> <C>
ACA American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax
BIG Insured by Bond Insurance Guarantee
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHLMC Insured by Federal Home Loan Mortgage Corp.
FNMA Insured by Federal National Mortgage Assoc.
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See notes to financial statements.
83
<PAGE> 86
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, (97.6%)
Arizona (0.9%):
$1,950 Maricopa County, Industrial
Development, Single Family Mortgage
Revenue, 0.00%, 12/31/14, ETM....... $ 852
1,000 Tucson & Pima County, Single Family
Mortgage Revenue, 0.00%, 12/1/14,
ETM................................. 438
--------
1,290
--------
California (1.0%):
1,990 San Marcos, Public Facilities Revenue,
0.00%, 3/1/14, ETM.................. 915
1,500 San Marcos, Public Facilities Revenue,
0.00%, 9/1/19, ETM.................. 499
--------
1,414
--------
Colorado (0.6%):
2,000 El Paso County, Single Family Mortgage
Revenue, 0.00%, 9/1/15, ETM......... 832
--------
Kansas (1.7%):
1,600 Kansas City, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/14, ETM........................ 699
3,225 Labette County, Single Family Mortgage
Revenue, 0.00%, 12/1/14, ETM........ 1,410
1,000 Saline County, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/15, ETM........................ 411
--------
2,520
--------
Kentucky (89.8%):
225 Ashland Utility Revenue, 6.65%,
4/1/04.............................. 231
1,500 Berea College Utility Revenue, AMT,
5.90%, 6/1/17, Callable 6/1/07 @
102................................. 1,566
200 Boone County, Certificates of
Participation, Public Golf, 6.35%,
11/15/02............................ 213
200 Boone County, Certificates of
Participation, Public Golf, 6.40%,
11/15/03, Callable 11/15/02 @ 102... 217
250 Boone County, School District Finance
Corp., School Building Revenue,
6.70%, 9/1/06, Prerefunded 9/1/01 @
103................................. 270
310 Boone County, School District Finance
Corp., School Building Revenue,
7.10%, 8/1/07, Prerefunded 8/1/00 @
103................................. 330
1,000 Boone County, School District Finance
Corp., School Building Revenue,
6.70%, 9/1/07, Prerefunded 9/1/01 @
103................................. 1,081
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 395 Boone County, School District Finance
Corp., School Building Revenue,
7.10%, 8/1/08, Prerefunded 8/1/00 @
103................................. $ 421
1,000 Bowling Green-Warren County, Hospital
Facilities Revenue, 5.00%, 4/1/17,
Callable 4/1/08 @ 101, FSA.......... 944
240 Campbell & Kenton Counties, Sanitation
District #1, Sanitation District
Revenue, 6.38%, 8/1/03, ETM......... 250
525 Campbell & Kenton Counties, Sanitation
District #1, Sanitation District
Revenue, 7.13%, 8/1/05, ETM......... 569
415 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/09, Callable
6/1/02 @ 102........................ 443
445 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/10, Callable
6/1/02 @ 102........................ 475
325 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/11, Callable
6/1/02 @ 102........................ 347
510 Clinton County, School District
Finance Corp., School Building
Revenue, 6.10%, 6/1/12, Callable
6/1/02 @ 102........................ 544
345 Danville, Hospital Revenue, Esphraim
McDowell Region, 6.40%, 4/1/00,
FGIC................................ 352
100 Danville, Multi-City Lease Revenue,
Metro Sewer District, 6.35%, 2/1/02,
Prerefunded 2/1/01 @ 102, MBIA...... 105
225 Danville, Multi-City Lease Revenue,
Metro Sewer District, 6.50%, 2/1/04,
Prerefunded 2/1/01 @ 102, MBIA...... 238
500 Daviess County, Hospital Revenue,
Owensboro-Daviess County, 6.00%,
8/1/04, Callable 8/1/02 @ 102,
MBIA................................ 528
4,500 Development Finance Authority,
Hospital Revenue, Elizabeth, Med-A,
6.00%, 11/1/10, Callable 11/1/01 @
100, FGIC........................... 4,663
250 Eastern Kentucky University, Revenues
Construction, Educational Buildings,
Series 0, 6.70%, 5/1/07, Prerefunded
5/1/01 @ 102, AMBAC................. 267
2,000 Economic Development Finance
Authority, Hospital Revenue,
Catholic Health, 5.00%, 12/1/18,
Callable 6/1/08 @ 101............... 1,873
</TABLE>
84
Continued
<PAGE> 87
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 Economic Development Finance
Authority, Hospital Revenue,
Catholic Health Initiatives
Hospital, 5.38%, 12/1/11, Callable
6/1/08 @ 101........................ $ 1,017
1,000 Economic Development Finance
Authority, Medical Center Revenue,
5.00%, 2/1/12, Callable 2/1/08 @
102, FSA............................ 973
655 Fayette County, School District
Finance Corp., School Building
Revenue, 6.00%, 5/1/02, Callable
5/1/00 @ 102........................ 680
1,000 Fayette County, School District
Finance Corp., School Building
Revenue, 5.38%, 1/1/17, Callable
1/1/07 @ 102........................ 1,002
1,255 Fayette County, School District
Finance Corp., School Building
Revenue, Series A, 5.35%, 1/1/13,
Callable 1/1/07@ 102................ 1,269
200 Hardin County, Water District #1,
Waterworks Revenue, 6.70%, 9/1/05,
Callable 3/1/01 @ 102............... 211
125 Henderson Electric Light & Power
Revenue, 5.70%, 3/1/03, Callable
3/1/03 @ 100........................ 125
1,025 Higher Education Student Loan Corp.,
Insured Student Loan Revenue, Series
C, 6.50%, 6/1/02, GSL............... 1,079
1,500 Higher Education Student Loan Corp.,
Insured Student Loan Revenue, Series
C, AMT, 5.45%, 6/1/03, GSL.......... 1,545
1,705 Higher Education Student Loan Corp.,
Insured Student Loan Revenue, Series
D, AMT, 7.00%, 12/1/06, Callable
12/1/01 @ 102, GSL.................. 1,813
500 Housing Corp. Revenue, Series A,
5.40%, 1/1/05, Callable 7/1/03 @
102, FHA, VA........................ 522
500 Housing Corp. Revenue, Series A,
5.50%, 1/1/06, Callable 7/1/03 @
102, FHA, VA........................ 523
500 Housing Corp. Revenue, Series A,
5.60%, 1/1/07, Callable 7/1/03 @
102, FHA, VA........................ 521
760 Housing Corp. Revenue, Series A,
7.40%, 1/1/10, Callable 7/1/00 @
102, FHA, VA........................ 791
400 Housing Corp. Revenue, Series B,
5.85%, 7/1/00, FHA, VA.............. 406
275 Housing Corp. Revenue, Series B,
6.20%, 7/1/03, Callable 7/1/02 @
102, FHA, VA........................ 288
1,745 Housing Corp. Revenue, Series D,
5.80%, 7/1/13, Callable 7/1/06 @
102................................. 1,844
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 410 Infrastructure Authority Revenue,
Governmental Agencies Program
Revenue, 5.25%, 8/1/04, Callable
8/1/03 @ 102........................ $ 422
500 Infrastructure Authority Revenue,
Governmental Agencies Program
Revenue, 5.40%, 8/1/06, Callable
8/1/03 @ 102........................ 515
30 Infrastructure Authority Revenue,
Governmental Agencies Program
Revenue, 6.00%, 8/1/11, Prerefunded
8/1/01 @ 100........................ 31
80 Infrastructure Authority Revenue,
Governmental Agencies Program
Revenue, 6.00%, 8/19/11, Callable
8/1/01 @ 100........................ 83
500 Infrastructure Authority Revenue,
Governmental Agencies Program
Revenue, 5.75%, 8/1/13, Callable
8/1/03 @ 102........................ 516
1,000 Infrastructure Authority Revenue,
Revolving Fund Program, Series E,
6.40%, 6/1/04, Callable 6/1/01 @
102................................. 1,061
710 Infrastructure Authority Revenue,
Revolving Fund Program, Series E,
6.50%, 6/1/05, Callable 6/1/01 @
102................................. 754
250 Infrastructure Authority Revenue,
Revolving Fund Program, Series G,
6.10%, 6/1/02....................... 262
1,110 Infrastructure Authority Revenue,
Revolving Fund Program, Series M,
4.75%, 6/1/13, Callable 6/1/09 @
101................................. 1,039
250 Interlocal School Transportation
Assoc., Equipment Lease Revenue,
6.00%, 3/1/01....................... 257
405 Interlocal School Transportation
Assoc., Equipment Lease Revenue,
6.00%, 3/1/02....................... 421
135 Jefferson County, Capital Projects,
7.70%, 6/1/01, ETM.................. 144
725 Jefferson County, Capital Projects
Revenue, Series A, 6.10%, 8/15/07,
Callable 2/15/03 @ 102.............. 773
1,000 Jefferson County, Capital Projects
Revenue, Series A, 5.50%, 4/1/10,
Callable 4/1/06 @ 102, AMBAC........ 1,029
1,000 Jefferson County, Capital Projects
Revenue, Series A, 5.50%, 4/1/11,
Callable 4/1/06 @ 102, AMBAC........ 1,028
</TABLE>
85
Continued
<PAGE> 88
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 500 Jefferson County, Capital Projects,
First Mortgage Revenue, 6.38%,
12/1/07, ETM........................ $ 552
1,500 Jefferson County, Health Facilities
Revenue, Alliant Hospital, 5.00%,
10/1/13, Callable 10/1/07 @ 101,
MBIA................................ 1,449
500 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.05%, 5/1/02,
AMBAC............................... 523
1,000 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.10%, 5/1/03,
Callable 5/1/02 @ 102, AMBAC........ 1,058
300 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.20%, 5/1/04,
Callable 5/1/02 @ 102, AMBAC........ 320
500 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 6.38%, 5/1/08,
Callable 5/1/02 @ 102, AMBAC........ 535
930 Jefferson County, Health Facilities
Revenue, Jewish Hospital Healthcare
Services, Inc., 5.65%, 1/1/10,
Callable 1/1/07 @ 102............... 964
1,500 Jefferson County, Health Facilities
Revenue, University Medical Center,
5.50%, 7/1/17, Callable 7/1/07 @
101, MBIA........................... 1,512
1,325 Jefferson County, Hospital Revenue,
Series C, 6.20%, 10/1/04, Callable
10/1/02 @ 102, MBIA................. 1,415
675 Jefferson County, Hospital Revenue,
Series C, 6.20%, 10/1/04,
Prerefunded 10/1/02 @ 102, MBIA..... 726
700 Jefferson County, Multi-Family Housing
Revenue, Kentucky Towers, 5.00%,
8/20/18, Callable 8/20/08 @ 102,
GNMA................................ 681
550 Jefferson County, Pollution Control
Revenue, Louisville Gas & Electric
Co., 7.45%, 6/15/15, Callable
6/15/00 @ 102....................... 575
1,000 Jefferson County, School District
Finance Corp., School Building
Revenue, 6.00%, 1/1/04, Callable
7/1/02 @ 102, MBIA.................. 1,054
625 Jefferson County, School District
Finance Corp., School Building
Revenue, 7.15%, 9/1/04, Prerefunded
9/1/00 @ 103........................ 669
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 675 Jefferson County, School District
Finance Corp., School Building
Revenue, 7.20%, 9/1/05, Prerefunded
9/1/00 @ 103........................ $ 722
1,430 Jefferson County, School District
Finance Corp., School Building
Revenue, 5.25%, 7/1/07, Callable
7/1/05 @ 102, MBIA.................. 1,473
1,000 Jefferson County, School District
Finance Corp., School Building
Revenue, Series B, 5.25%, 6/1/17,
Callable 7/1/09 @ 101, FSA.......... 999
1,500 Jefferson County, School District
Finance Corp., School Building
Revenue, Series C, 4.50%, 2/1/17,
Callable 2/1/09 @ 101, MBIA......... 1,335
2,315 Junction City, College Revenue, Centre
College Project, 5.70%, 4/1/12,
Callable 4/1/07 @ 102............... 2,443
500 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.10%, 3/1/04, Callable 3/1/02 @
101, FSA............................ 522
1,000 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.20%, 3/1/05, Callable 3/1/02 @
101, FSA............................ 1,043
1,050 Kenton County, Airport Revenue,
International, Series AR-A, AMT,
6.30%, 3/1/15, Callable 3/1/02 @
101, FSA............................ 1,102
500 Kenton County, Airport Revenue,
International, Series B, AMT, 5.75%,
3/1/07, Callable 3/1/03 @ 102,
FSA................................. 515
500 Kenton County, Airport Revenue,
International, Series B, AMT, 5.75%,
3/1/08, Callable 3/1/03 @ 102,
FSA................................. 515
200 Kenton County, School District Finance
Corp., School Building Revenue,
6.30%, 12/1/00, ETM................. 207
100 Kenton County, School District Finance
Corp., School Building Revenue,
6.50%, 12/1/02, Prerefunded 12/1/01
@ 102............................... 107
325 Kenton County, School District Finance
Corp., School Building Revenue,
5.25%, 7/1/07, Callable 7/1/03 @
102................................. 334
495 Kenton County, Water District,
Waterworks Revenue, District #001,
6.30%, 2/1/02, FGIC................. 519
1,015 Kenton County, Water District,
Waterworks Revenue, District #001,
6.38%, 2/1/04, Callable 2/1/02 @
103, FGIC........................... 1,091
</TABLE>
86
Continued
<PAGE> 89
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 210 Lexington-Fayette Urban County
Government, Economic Development
Revenue, 7.54%, 12/1/03............. $ 212
335 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Capital Projects Mortgage Revenue,
6.20%, 4/1/05, Prerefunded 4/1/02 @
102................................. 358
355 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Capital Projects Mortgage Revenue,
6.30%, 4/1/06, Prerefunded 4/1/02 @
102................................. 381
380 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Capital Projects Mortgage Revenue,
6.40%, 4/1/07, Prerefunded 4/1/02 @
102................................. 408
405 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Capital Projects Mortgage Revenue,
6.40%, 4/1/08, Prerefunded 4/1/02 @
102................................. 435
425 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Capital Projects Mortgage Revenue,
6.40%, 4/1/09, Prerefunded 4/1/02 @
102................................. 457
425 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Greenspace Project Revenue, 6.75%,
12/1/05, Prerefunded 12/1/00 @
102................................. 451
240 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Greenspace Project Revenue, 6.75%,
12/1/07, Prerefunded 12/1/00 @
102................................. 255
350 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Mortgage Revenue, 6.70%, 2/1/02,
Prerefunded 2/1/00 @ 102............ 364
210 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Mortgage Revenue, 6.88%, 2/1/06,
Prerefunded 2/1/00 @ 102............ 218
430 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Mortgage Revenue, 6.75%, 7/1/07,
Prerefunded 7/1/00 @ 102............ 452
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 500 Lexington-Fayette Urban County
Government, Public Facilities Corp.,
Sewer System Revenue, 6.35%, 7/1/07,
Callable 7/1/02 @ 102, MBIA......... $ 536
935 Lexington-Fayette Urban County
Government, Revenue, University of
Kentucky Alumni Assoc., Inc., 6.50%,
11/1/07, Prerefunded 11/1/04 @ 102,
MBIA................................ 1,040
1,500 Lexington-Fayette Urban County
Government, Revenue, University of
Kentucky Alumni Assoc., Inc., 5.00%,
11/1/14, Callable 11/1/08 @ 102,
MBIA................................ 1,468
625 Lexington-Fayette Urban County
Government, School Building Revenue,
7.00%, 6/1/04, Prerefunded 12/1/99 @
103................................. 653
1,930 Lexington-Fayette Urban County
Government, Sewer System Revenue,
6.35%, 7/1/09, Callable 7/1/02 @
102, MBIA........................... 2,071
1,065 Lexington-Fayette Urban County
Revenue, 5.13%, 10/1/16, Callable
7/15/08 @ 102, FSA.................. 1,047
1,500 Lexington-Fayette Urban County
Revenue, 5.13%, 8/1/18, Callable
8/1/08 @ 102, MBIA.................. 1,447
1,420 Louisville & Jefferson County, Airport
Authority Revenue, AMT, 6.00%,
7/1/10, Callable 7/1/07 @ 102,
MBIA................................ 1,511
1,375 Louisville & Jefferson County,
Metropolitan Sewer District, Sewer
Revenue, 5.00%, 5/15/13, Callable
5/15/08 @ 101, FGIC................. 1,349
1,000 Louisville & Jefferson County,
Metropolitan Sewer District, Sewer
Revenue, 5.00%, 5/15/14, Callable
5/15/08 @ 101....................... 975
825 Louisville & Jefferson County, Sewer &
Drain System Revenue, 6.40%,
5/15/08, Prerefunded 11/15/04 @ 102,
AMBAC............................... 914
205 Louisville Parking Authority Revenue,
6.60%, 12/1/03, Prerefunded 6/1/01 @
103................................. 220
300 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.00%,
4/1/05, Callable 10/1/99 @ 102...... 308
</TABLE>
87
Continued
<PAGE> 90
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 295 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.15%,
12/1/05, Prerefunded 12/1/02 @
102................................. $ 317
200 Louisville Public Properties Corp.,
First Mortgage Revenue, 6.40%,
12/1/07, Prerefunded 12/1/02 @
102................................. 217
1,000 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.40%, 11/15/04, Callable
11/15/00 @ 102...................... 1,030
500 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.63%, 11/15/07, Callable
11/15/00 @ 102...................... 521
1,540 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.75%, 11/15/09, Callable
11/15/00 @ 102...................... 1,606
1,530 Louisville Water Works Board, Water
System Revenue, Louisville Water
Co., 5.75%, 11/15/10, Callable
11/15/00 @ 102...................... 1,595
1,000 Louisville, Series A, GO, 4.50%,
12/1/12, Callable 6/1/09 @ 102...... 929
1,000 McCracken County, Hospital Revenue,
Mercy Health System, Series A,
6.20%, 11/1/05, Callable 11/1/04 @
102, MBIA........................... 1,082
2,090 McCracken County, Hospital Revenue,
Mercy Health System, Series A,
6.40%, 11/1/07, Callable 11/1/04 @
102, MBIA........................... 2,297
505 McCreary County, School District
Finance Corp., School Building
Revenue, 6.60%, 10/1/08, Callable
10/1/01 @ 103....................... 546
215 Mercer County, School District Finance
Corp., School Building Revenue,
6.38%, 12/1/07, Callable 12/1/01 @
102................................. 232
300 Morehead State University, Housing &
Dining System Revenue, Series I,
6.10%, 11/1/05, Callable 11/1/01 @
102, AMBAC.......................... 318
200 Morehead State University, Housing &
Dining System Revenue, Series M,
6.30%, 11/1/08, Callable 11/1/01 @
102, AMBAC.......................... 213
215 Muhlenberg County, School District
Finance Corp., School Building
Revenue, 5.85%, 8/1/09, Callable
8/1/02 @ 102........................ 227
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 750 Muhlenberg County, School District
Finance Corp., School Building
Revenue, Second Series, 5.85%,
8/1/10, Callable 8/1/02 @ 102....... $ 790
240 Murray State University Revenues,
Series G, Second Series, 5.60%,
5/1/06, Callable 5/1/03 @ 102....... 249
460 Murray State University Revenues,
Series G, Second Series, 5.60%,
5/1/07, Callable 5/1/03 @ 102....... 476
530 Northern Kentucky University,
Educational Buildings Revenue,
6.10%, 5/1/06, Callable 5/1/02 @
102, AMBAC.......................... 566
250 Owensboro, Electric Light & Power
Revenue, 6.75%, 1/1/03, Callable
1/1/00 @ 100, ETM................... 262
205 Paducah Electric Plant Board Revenue,
6.30%, 1/1/08, Callable 1/1/01 @
102, AMBAC.......................... 218
300 Paducah Waterworks Revenue, 6.10%,
7/1/00, MBIA........................ 308
300 Paducah Waterworks Revenue, 6.60%,
7/1/05, Prerefunded 7/1/01 @ 102,
MBIA................................ 320
1,085 Perry County, School District Finance
Corp., School Building Revenue,
6.25%, 7/1/09, Callable 7/1/02 @
100................................. 1,163
100 Richmond Water, Gas & Sewer Revenue,
5.00%, 7/1/14, Callable 7/1/08 @
102, MBIA........................... 98
255 Richmond Water, Gas & Sewer Revenue,
5.00%, 7/1/14, Callable 7/1/08 @
102, MBIA........................... 250
1,000 Shelby County, School District Finance
Corp., School Building Revenue,
5.00%, 5/1/16, Callable 5/1/09 @
101................................. 968
545 Shelby County, School District Finance
Corp., School Building Revenue,
6.10%, 9/1/02, Callable 9/1/01 @
103................................. 582
100 Shelby County, School District Finance
Corp., School Building Revenue,
6.25%, 9/1/03, Callable 9/1/01 @
103................................. 107
500 Shelby County, School District Finance
Corp., School Building Revenue,
6.50%, 9/1/05, Callable 9/1/01 @
103................................. 538
200 Shelby County, School District Finance
Corp., School Building Revenue,
6.50%, 9/1/07, Callable 9/1/01 @
103................................. 215
</TABLE>
88
Continued
<PAGE> 91
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,245 State Economic Development Finance
Authority, Hospital Revenue,
Southern Central Nursing Homes,
6.00%, 7/1/27, Callable 1/1/08 @
105, FHA, MBIA...................... $ 1,304
535 State Property & Buildings Commission
Revenues, Project #26, 7.40%,
6/1/00, Callable 12/1/99 @ 101...... 547
2,300 State Property & Buildings Commission
Revenues, Project #50, 6.00%,
2/1/10, Prerefunded 2/1/01 @ 100.... 2,371
1,475 State Property & Buildings Commission
Revenues, Project #53, 6.25%,
10/1/02, Callable 10/1/01 @ 102..... 1,559
1,000 State Property & Buildings Commission
Revenues, Project #54, 5.90%,
9/1/07, Callable 9/1/02 @ 102....... 1,061
1,000 State Property & Buildings Commission
Revenues, Project #56, 5.70%,
9/1/06, Callable 9/1/04 @ 102....... 1,054
1,000 State Property & Buildings Commission
Revenues, Project #56, 5.80%,
9/1/07, Callable 9/1/04 @ 102....... 1,054
1,000 State Property & Buildings Commission
Revenues, Project #59, 5.30%,
5/1/07, Callable 11/1/05 @ 102...... 1,027
1,000 State Property & Buildings Commission
Revenues, Project #59, 5.38%,
11/1/09, Callable 11/1/05 @ 102..... 1,013
1,000 State Property & Buildings Commission
Revenues, Project #63, 5.10%,
11/1/18, Callable 11/1/09 @ 100..... 958
275 State Property & Buildings Commission
Revenues, Toyota Corp., 6.40%,
11/1/01............................. 288
220 State Turnpike Authority, Economic
Development, Recovery Road Revenue,
6.13%, 7/1/07, ETM.................. 232
500 State Turnpike Authority, Economic
Development, Road Revenue,
* Revitalization Project, 7.13%,
5/15/01, Prerefunded 5/15/00 @
101.5............................... 523
750 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.70%,
1/1/03.............................. 779
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.20%,
7/1/03, AMBAC....................... 1,030
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.40%,
7/1/05, AMBAC....................... $ 1,043
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 7.38%,
5/15/07, Prerefunded 5/15/00 @
101.50.............................. 1,049
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 6.50%,
7/1/08, AMBAC....................... 1,117
2,750 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.50%,
7/1/08, AMBAC....................... 2,876
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.50%,
7/1/09, AMBAC....................... 1,044
1,000 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 0.00%,
1/1/10, FGIC........................ 584
2,600 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.63%,
7/1/10, Callable 7/1/05 @ 102,
AMBAC............................... 2,705
500 State Turnpike Authority, Economic
Development, Road Revenue,
Revitalization Project, 5.75%,
7/1/11, Callable 7/1/05 @ 102,
AMBAC............................... 524
500 State Turnpike Authority, Resource
Recovery Revenue, 6.63%, 7/1/08,
ETM................................. 542
1,000 State Turnpike Authority, Resource
Recovery Revenue, 1985 Series A,
6.00%, 7/1/09, Callable 7/1/99 @
100................................. 1,002
200 State Turnpike Authority, Toll Road
Revenue Refunding, 6.13%, 7/1/08,
ETM................................. 212
1,000 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, 6.60%, 5/1/01.... 1,043
535 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, 6.30%, 5/1/02,
Callable 11/1/01 @ 102.............. 562
</TABLE>
89
Continued
<PAGE> 92
- --------------------------------------------------------------------------------
One Group Mutual Funds
Kentucky Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Kentucky, continued:
$ 475 University of Kentucky Revenues,
Community Colleges, Educational
Buildings Revenue, Southeast, 6.30%,
5/1/05, Callable 11/1/01 @ 102...... $ 506
1,000 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.38%, 5/1/06,
Callable 5/1/03 @ 102............... 1,034
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/07,
Callable 5/1/03 @ 102............... 515
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/08,
Callable 5/1/03 @ 102............... 513
500 University of Louisville Revenues,
Construction of Educational
Buildings, Series I, 5.40%, 5/1/09,
Callable 5/1/03 @ 102............... 511
330 Versailles County, Water & Sewer,
6.30%, 12/1/09, Callable 12/1/01 @
103................................. 356
950 Winchester Utilities Revenue, 5.30%,
7/1/09, Callable 7/1/03 @ 102....... 965
--------
133,104
--------
Louisiana (0.9%):
3,000 Public Facilities Authority Revenue,
Multi-Family, Series A, 0.00%,
2/1/20, ETM......................... 957
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,000 Public Facilities Authority Revenue,
Series B, 0.00%, 12/1/19, ETM....... $ 326
--------
1,283
--------
Mississippi (0.6%):
2,500 Home Corp., Single Family Mortgage
Revenue, 0.00%, 9/15/16, Callable
3/15/04 @ 41.70, ETM................ 846
--------
Puerto Rico (1.8%):
3,525 Puerto Rico Commonwealth, 0.00%,
7/1/16, AMBAC....................... 1,455
3,450 Puerto Rico Commonwealth, GO, 0.00%,
7/1/16, MBIA........................ 1,425
--------
2,880
--------
Texas (0.3%):
1,000 Central Housing Finance Corp., Single
Family Mortgage Revenue, Series A,
0.00%, 9/1/16, ETM, VA.............. 392
--------
Total Municipal Bonds........................... 144,561
--------
INVESTMENT COMPANIES (1.4%):
2,062 Provident Municipal Cash Fund......... 2,062
21 One Group Municipal Money Market Fund,
Class I............................. 21
--------
Total Investment Companies 2,083
--------
Total (Cost $142,309)(a) $146,644
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $148,127.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $5,275
Unrealized depreciation...................... (940)
------
Net unrealized appreciation.................. $4,335
======
</TABLE>
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FNMA Insured by Federal National Mortgage Association
FSA Insured by Federal Security Assurance
GO General Obligation
GSL Guaranteed Student Loans
MBIA Insured by Municipal Bond Insurance Association
VA Veterans Administration
</TABLE>
See notes to financial statements.
90
<PAGE> 93
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (99.2%):
Louisiana (99.2%):
$ 100 Alexandria, Utilities Revenue, 5.25%,
5/1/11, FGIC........................ $ 101
150 Ascension Parish, Parish Wide School
District, GO, 4.90%, 3/1/09,
AMBAC............................... 151
1,165 Ascension Parish, Gravity Drain, Sales
& Use Tax Revenue, 5.40%, 12/1/07,
Callable 12/1/06 @100, FGIC......... 1,204
1,230 Ascension Parish, Gravity Drain, Sales
& Use Tax Revenue, 5.50%, 12/1/08,
Callable 12/1/06 @ 100, FGIC........ 1,270
2,500 Bastrop, Industrial Development Board,
Pollution Control Revenue,
International Paper Co. Project,
6.90%, 3/1/07, Callable 3/1/02 @
102................................. 2,663
800 Baton Rouge, Public Improvements,
Sales & Use Tax Revenue, 6.90%,
8/1/01, Callable 8/1/99 @ 102,
AMBAC............................... 818
765 Baton Rouge, Public Improvements,
Sales & Use Tax Revenue, 6.38%,
8/1/09, Callable 8/1/01 @ 101.50,
FSA................................. 811
200 Baton Rouge, Sales & Use Tax Revenue,
6.00%, 8/1/08, Prerefunded 8/1/01 @
101.50, FSA......................... 211
700 Bossier City, Public Improvements,
Sales & Use Tax Revenue, 5.05%,
11/1/11, Callable 11/1/07 @ 100,
FGIC................................ 693
805 Bossier City, Public Improvements,
Sales & Use Tax Revenue, Series ST,
6.20%, 11/1/07, Callable 11/1/01 @
102, AMBAC.......................... 855
400 Bossier City, Public Improvements,
Sales & Use Tax Revenue, Series
ST-1989, 6.88%, 11/1/06, Callable
11/1/99 @ 101.50, FGIC.............. 411
400 Bossier City, Public Improvements,
Sales & Use Tax Revenue, Series
ST-1989, 6.88%, 11/1/07, Callable
11/1/99 @ 101.50, FGIC.............. 411
550 Bossier City, Public Improvements,
Sales & Use Tax Revenue, Series
ST-1989, 6.88%, 11/1/08, Callable
11/1/99 @ 101.50, FGIC.............. 565
350 Caddo Parish, GO, 5.00%, 2/1/05,
MBIA................................ 357
1,415 Caddo Parish, GO, 5.25%, 2/1/06,
Callable 2/1/05 @ 100, MBIA......... 1,452
750 Caddo Parish, GO, 5.25%, 2/1/08,
Callable 2/1/05 @ 100, MBIA......... 762
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 470 Caddo Parish, Industrial Development
Board, Wal-Mart Stores, Inc.
Project, 5.95%, 11/1/07, Callable
11/1/00 @ 100....................... $ 474
80 East Baton Rouge, Mortgage Financing
Authority, Series B, 5.30%,
10/1/14............................. 80
1,000 East Baton Rouge, Mortgage Financing
Authority, 5.13%, 10/1/18, Callable
10/1/08 @ 101, FNMA/GNMA............ 959
340 East Baton Rouge Parish, Sales & Use
Tax Revenue, 4.80%, 2/1/09, FGIC.... 334
500 East Baton Rouge Parish, Sales & Use
Tax Revenue, 5.90%, 2/1/16, FGIC.... 520
500 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/07, Callable 2/1/05 @ 101.50,
FGIC................................ 528
845 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/08, Callable 2/1/05 @ 101.50,
FGIC................................ 893
910 East Baton Rouge Parish, Sales & Use
Tax Revenue, Series ST, 5.80%,
2/1/09, Callable 2/1/05 @ 101.50,
FGIC................................ 961
1,085 East Baton Rouge Parish, Series ST,
5.15%, 2/1/05, Callable 2/1/03 @
101.50.............................. 1,104
1,000 East Baton Rouge Parish, Series ST,
5.10%, 2/1/07, Callable 2/1/06 @
101.50, FGIC........................ 1,015
2,280 East Baton Rouge Parish, Series ST-A,
8.00%, 2/1/02, FGIC................. 2,478
3,500 Government Facilities Revenue, 5.25%,
12/1/18, AMBAC...................... 3,444
225 Gretna, Refunding -- Sales Tax
Revenue, 5.20%, 6/1/06, AMBAC....... 228
1,560 Houma Utilities Revenue, 6.13%,
1/1/07, Callable 1/1/02 @ 102,
FGIC................................ 1,651
1,000 Housing Finance Agency, Single Family
Mortgage Revenue, 6.65%, 6/1/15,
Callable 12/1/07 @ 104, GNMA/FNMA... 1,096
220 Housing Finance Agency, Single Family
Mortgage Revenue, Series A-1, 5.70%,
6/1/15, Callable 6/1/05 @ 102....... 226
770 Housing Finance Agency, Single Family
Mortgage Revenue, Series B, 6.00%,
6/1/15.............................. 804
480 Housing Finance Agency, Single Family
Mortgage Revenue, Series D-2, AMT,
6.10%, 12/1/11, Callable 12/1/06 @
102................................. 510
1,005 Iberia Home Mortgage Authority, Single
Family Mortgage Revenue, 7.38%,
1/1/11, Callable 7/1/03 @ 103....... 1,076
</TABLE>
91
Continued
<PAGE> 94
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 250 Iberville School District #5, 5.75%,
10/1/03, FSA........................ $ 262
250 Jefferson Parish, Ad Valorem Property
Tax, GO, Series A, 5.25%, 9/1/05,
FGIC................................ 258
1,680 Jefferson Parish, Drain Sales Tax
Revenue, 6.50%, 11/1/06, Prerefunded
11/1/01 @ 100, AMBAC................ 1,772
2,000 Jefferson Parish, Hospital Services
Revenue, 5.25%, 1/1/14, Callable
1/1/09 @ 101........................ 1,969
300 Jefferson Parish, Hospital Services
Revenue, District #1, 5.10%, 1/1/05,
Callable 1/1/04 @ 102, FGIC......... 305
100 Jefferson Parish, Hospital Services
Revenue, District #1, 5.30%,
12/1/07, Callable 1/1/04 @ 102,
FGIC................................ 102
130 Jefferson Parish, Sales & Use Tax
Revenue, 5.00%, 2/1/08, Callable
2/1/06 @ 102, AMBAC................. 130
700 Jefferson Parish, Sales & Use Tax
Revenue, 5.00%, 2/1/13, Callable
2/1/06 @ 102, AMBAC................. 683
500 Jefferson Parish, School Board Sales &
Use Tax Revenue, 6.05%, 2/1/02,
MBIA................................ 521
1,100 Jefferson Parish, School Board Sales &
Use Tax Revenue, 6.15%, 2/1/03,
Callable 2/1/02 @ 102, MBIA......... 1,161
2,060 Jefferson Parish, School Board Sales &
Use Tax Revenue, 6.25%, 2/1/08,
Callable 2/1/02 @ 102, MBIA......... 2,189
2,070 Jefferson Parish, School Board Sales &
Use Tax Revenue, 0.00%, 9/1/09,
FSA................................. 1,233
3,225 Jefferson, Sales Tax District, Special
Tax Revenue, 6.75%, 12/1/06,
Callable 12/1/02 @ 100, FGIC........ 3,458
1,445 Jefferson, Sales Tax District, Special
Tax Revenue, 6.75%, 12/1/06,
Prerefunded 12/1/02 @ 100, FGIC..... 1,558
1,000 Jefferson, Sales Tax District, Special
Tax Revenue, 0.00%, 12/1/13, FSA.... 462
855 Kenner, Sales & Use Tax Revenue,
5.75%, 6/1/06, Callable 6/1/02 @
103, FGIC........................... 895
505 Lafayette Parish, Public Improvement
Sales Tax Revenue, Series A, 4.90%,
3/1/03, FGIC........................ 513
200 Lafayette Parish, Public Improvement
Sales Tax Revenue, 5.50%, 3/1/07,
Callable 3/1/03 @ 102, FGIC......... 206
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 250 Lafayette Parish, Public Power
Authority, 5.00%, 11/1/06, Callable
11/1/03 @ 102, AMBAC................ $ 253
510 Lafayette Parish, Public Power
Authority, 5.30%, 11/1/07, Callable
11/1/01 @ 102, AMBAC................ 519
250 Lafayette Parish, Public Power
Authority, 5.25%, 11/1/09, Callable
11/1/03 @ 102, AMBAC................ 253
575 Lafayette Parish, School Board Sales
Tax Revenue, 4.88%, 4/1/04, FSA..... 584
750 Lafourche Parish, Hospital Service,
District #3, Hospital Revenue,
5.50%, 10/1/04, Callable 10/1/03 @
102................................. 768
900 Lafourche Parish, School Improvements,
GO, 5.00%, 2/1/16, Callable 2/1/08 @
100, FSA............................ 862
650 Lafourche Parish, Water District #1,
Water Revenue, 5.63%, 1/1/01........ 662
500 Lincoln Parish, School District #1,
GO, Ruston, 6.20%, 3/1/03, Callable
3/1/01 @ 100, MBIA.................. 516
1,465 Lincoln Parish, School District #1,
GO, Ruston, 6.40%, 3/1/05, Callable
3/1/01 @ 100, MBIA.................. 1,516
150 Louisiana State University,
Agricultural & Mechanical College,
5.40%, 7/1/05, Callable 7/1/04 @
102, FGIC........................... 155
250 Louisiana State University,
Agricultural & Mechanical College,
5.50%, 7/1/06, Callable 7/1/07 @
102, FGIC........................... 260
500 Louisiana State University,
Agricultural & Mechanical College,
5.75%, 7/1/14, Callable 7/1/04 @
102, FGIC........................... 515
1,580 Louisiana State University,
Agricultural & Mechanical College,
University Revenue, 6.00%, 7/1/07,
Callable 7/1/06 @ 102, MBIA......... 1,696
1,120 Louisiana State University,
Agricultural & Mechanical College,
University Revenue, 5.50%, 7/1/13,
Callable 7/1/06 @ 102, MBIA......... 1,140
100 Mandeville Water Utility Improvements,
Ad Valorem Property Tax Revenue,
5.15%, 2/1/10, Callable 2/1/04 @
100................................. 101
1,300 Monroe Parish, Special School
District, GO, 7.00%, 3/1/02, MBIA... 1,384
1,390 Monroe Parish, Special School
District, GO, 7.00%, 3/1/03, MBIA... 1,505
</TABLE>
92
Continued
<PAGE> 95
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,230 Monroe Parish, Special School
District, GO, 5.35%, 3/1/05, FGIC... $ 1,271
1,320 Monroe Parish, Special School
District, GO, 5.35%, 3/1/06,
Callable 3/1/05 @ 100, FGIC......... 1,359
500 Monroe Parish, Special School
District, GO, 5.35%, 3/1/09,
Callable 3/1/05 @ 100, FGIC......... 510
190 Natchitoches Parish, School District
#7, GO, 4.90%, 3/1/07, Callable
3/1/03 @ 101, FSA................... 191
1,000 New Orleans, GO, 5.50%, 12/1/18,
FGIC................................ 1,027
1,000 New Orleans, 5.13%, 12/1/18, Callable
12/1/07 @ 100, AMBAC................ 964
4,300 New Orleans Home Mortgage Authority,
Revenue, 0.00%, 10/1/15, ETM, MBIA.. 1,780
500 New Orleans Home Mortgage, Special
Obligation, 6.25%, 1/15/11, ETM..... 547
1,215 New Orleans Sewer Service, Revenue,
6.25%, 6/1/07, FGIC................. 1,322
1,000 New Orleans Sewer Service, Revenue,
5.25%, 6/1/11, Callable 6/1/07 @
101, FGIC........................... 1,006
1,500 New Orleans Sewer Service, Revenue,
5.00%, 6/1/18, Callable 6/1/08 @
101, MBIA........................... 1,434
1,000 New Orleans, Audubon Park, Revenue,
5.00%, 4/1/12, Callable 4/1/07 @
101, MBIA........................... 981
350 New Orleans, GO, 5.85%, 11/1/09,
Prerefunded 11/1/05 @ 100, FGIC..... 375
1,000 New Orleans, GO, 5.88%, 10/1/11,
Callable 10/1/05 @ 101, AMBAC....... 1,058
2,000 New Orleans, GO, 0.00%, 9/1/16,
AMBAC............................... 783
1,000 New Orleans, GO, 5.50%, 12/1/16,
FGIC................................ 1,031
4,935 New Orleans, GO, 0.00%, 9/1/17,
AMBAC............................... 1,822
1,000 New Orleans, GO, Series B, 5.00%,
12/1/12, Callable 12/1/08 @ 102,
FSA................................. 975
550 New Orleans, Public Improvement, GO,
5.85%, 11/1/07, Prerefunded 11/1/05
@ 100, FGIC......................... 589
250 Orleans Parish School Board, Public
School Capital Refinancing, 5.00%,
12/1/05, MBIA....................... 255
555 Orleans Parish School Board, Public
School Capital Refinancing, 6.00%,
6/1/09, MBIA........................ 597
250 Orleans Parish School District, GO,
5.30%, 9/1/10, Callable 9/1/05 @
100, MBIA........................... 253
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,000 Orleans Parish School District, GO,
Series A, 5.13%, 9/1/13, Callable
3/1/08 @ 100, MBIA.................. $ 987
1,000 Orleans Parish, Parishwide School
District, Series A, 5.13%, 9/1/15,
Callable 3/1/08 @ 100, MBIA......... 976
1,000 Ouachita Parish, East Ouachita School
District, GO, 5.00%, 3/1/19,
Callable 3/1/09 @ 100, FGIC......... 951
1,000 Ouachita Parish, Hospital Service
District #1, Glenwood Regional
Medical Center, Health Care Revenue,
5.70%, 5/15/16, Callable 5/15/10 @
100, FSA............................ 1,022
2,525 Ouachita Parish, Hospital Service
District #1, Glenwood Regional
Medical Center, Health Care Revenue,
7.50%, 7/1/06, Callable 7/1/01 @
102................................. 2,730
1,015 Ouachita Parish, West Ouachita School
District Revenue, 5.00%, 9/1/17,
Callable 9/1/09 @ 102, MBIA......... 972
2,000 Ouachita Parish, West Ouachita School
District, Series A, 6.50%, 3/1/03,
Callable 3/1/01 @ 102, FSA.......... 2,112
1,440 Plaquemines Parish, GO, 6.40%, 8/1/04,
Callable 8/1/01 @ 102, AMBAC........ 1,529
420 Plaquemines Parish, Sales & Use Tax
Revenue, 6.70%, 12/1/08, Prerefunded
12/1/01 @ 102....................... 452
410 Plaquemines Parish, Sales & Use Tax
Revenue, 6.70%, 12/1/09, Prerefunded
12/1/01 @ 102....................... 441
605 Plaquemines Parish, School Board,
Sales & Use Tax Revenue, 6.65%,
3/1/05, Prerefunded 3/1/02 @ 102.... 651
1,850 Public Facilities Authority, Hospital
Revenue, 5.00%, 10/1/14, Callable
10/1/08 @ 102, FSA.................. 1,773
905 Public Facilities Authority, Hospital
Revenue, 5.20%, 8/15/10, Callable
8/15/09 @ 101....................... 876
1,500 Public Facilities Authority, Hospital
Revenue, 5.00%, 10/1/15, Callable
10/1/08 @102, FSA................... 1,428
2,180 Public Facilities Authority, Revenue,
Alton Ochsner Medical Foundation,
Series A, 6.30%, 5/15/04, Callable
5/15/02 @ 102, MBIA................. 2,329
</TABLE>
93
Continued
<PAGE> 96
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 100 Public Facilities Authority, Revenue,
Alton Ochsner Medical Foundation,
6.00%, 5/15/17, Callable 5/15/02 @
100, MBIA .......................... $ 103
1,000 Public Facilities Authority, Revenue,
Alton Ochsner Medical Project,
5.75%, 5/15/11, Callable 5/15/02 @
100, MBIA .......................... 1,034
500 Public Facilities Authority, Revenue,
Department of Public Safety, 4.90%,
8/1/04, AMBAC....................... 505
400 Public Facilities Authority, Revenue,
Department of Public Safety, 5.00%,
8/1/05, AMBAC....................... 405
1,650 Public Facilities Authority, Revenue,
Dillard University, 5.00%, 2/1/18,
Callable 2/10/08 @ 102, AMBAC....... 1,568
1,000 Public Facilities Authority, Revenue,
Franciscan Missionaries, Series C,
5.38%, 7/1/13, Callable 7/1/08 @
101, MBIA........................... 1,003
1,000 Public Facilities Authority, Revenue,
Indexed Caps, 5.88%, 2/15/11,
Callable 2/15/03 @ 102, FGIC........ 1,049
250 Public Facilities Authority, Revenue,
Jefferson Parish, 4.85%, 8/1/06,
Callable 8/1/04 @ 101, FGIC......... 251
500 Public Facilities Authority, Revenue,
Lafayette General Medic, 6.05%,
10/1/04, Callable 10/1/02 @ 102,
FSA................................. 535
1,960 Public Facilities Authority, Revenue,
Loyola University, 6.60%, 4/1/05,
Callable 4/1/02 @ 102............... 2,097
2,525 Public Facilities Authority, Revenue,
Loyola University, 5.63%, 10/1/10,
Callable 10/1/07 @ 102, MBIA........ 2,633
500 Public Facilities Authority, Revenue,
Loyola University, Series A, 7.20%,
10/1/00, Callable 10/1/99 @ 102..... 514
1,135 Public Facilities Authority, Revenue,
Mary Bird Perkins Cancer Center,
5.50%, 1/1/04, FSA.................. 1,173
5,000 Public Facilities Authority, Revenue,
Multi-Family, Series A, 0.00%,
2/1/20, ETM......................... 1,594
500 Public Facilities Authority, Revenue,
Our Lady of Lake Region, 5.70%,
12/1/04, Callable 12/1/01 @ 102,
MBIA................................ 528
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 390 Public Facilities Authority, Revenue,
Our Lady of Lake Region, 5.90%,
12/1/06, Callable 12/1/01 @ 102,
MBIA................................ $ 413
945 Public Facilities Authority, Revenue,
Pendelton Memorial Methodist
Hospital, 5.00%, 6/1/08............. 918
7,500 Public Facilities Authority, Revenue,
Series B, 0.00%, 12/1/19, ETM....... 2,448
2,145 Public Facilities Authority, Revenue,
Tulane University, 6.25%, 7/15/06,
Callable 7/15/01 @ 102.............. 2,263
735 Public Facilities Authority, Revenue,
Tulane University, 5.55%, 10/1/07,
Callable 10/1/06 @ 102, AMBAC....... 769
1,605 Public Facilities Authority, Revenue,
Tulane University, 5.75%, 10/1/09,
Callable 10/1/06 @ 102, AMBAC....... 1,691
300 Public Facilities Authority, Revenue,
Tulane University, Series A, 7.50%,
5/15/00............................. 304
225 Public Facilities Authority, Revenue,
Tulane University, Series A-1,
5.80%, 2/15/04, Callable 2/15/03 @
102, FGIC........................... 236
1,235 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 6.85%,
10/1/05, Prerefunded 10/1/02 @
102................................. 1,348
730 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 5.40%,
10/1/05, Callable 10/1/04 @ 102,
FGIC................................ 754
1,715 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 5.50%,
10/1/06, Callable 10/1/04 @ 102,
FGIC................................ 1,779
500 Public Facilities Authority, Revenue,
Women's Hospital Foundation, 6.00%,
10/1/10, FSA........................ 534
2,000 Public Facilities Authority, Revenue,
Xavier University of Louisiana,
5.13%, 9/1/12, Callable 9/1/07 @
102, MBIA........................... 1,983
1,475 Rapides Parish, School District #11,
Rigolette-Series 1990, GO, 6.95%,
2/1/02, Prerefunded 2/1/00 @ 100,
FGIC................................ 1,504
1,000 Shreveport, Certificates of
Indebtedness, Revenue, Series A,
5.50%, 10/1/12, Callable 10/1/09 @
102, AMBAC.......................... 1,017
480 Shreveport, GO, 6.20%, 3/1/02,
Prerefunded 3/1/01 @ 100, AMBAC..... 497
480 Shreveport, GO, 5.90%, 2/1/07,
Callable 2/1/03 @ 100............... 504
</TABLE>
94
Continued
<PAGE> 97
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 265 Shreveport, GO, 5.15%, 2/1/09,
Callable 2/1/05 @ 100, AMBAC........ $ 267
1,000 Shreveport, GO, 5.00%, 3/1/18,
Callable 3/1/09 @ 100,.............. 956
200 Shreveport, GO, Public Improvements,
Ad Valorem Property Tax Revenue,
4.75%, 12/1/09, Callable 12/1/03 @
100................................. 194
930 Shreveport, Water & Sewer Revenue,
Series A, 7.75%, 12/1/02, FGIC...... 1,028
500 Shreveport, Water & Sewer Revenue,
Series A, 6.25%, 12/1/03, FGIC...... 535
1,000 Shreveport, Water and Sewer Revenue,
Series A, 5.25%, 12/1/13, Callable
12/1/04 @ 102, FGIC................. 1,002
200 Slidell, GO, 4.90%, 3/1/09, Callable
3/1/06 @ 100, AMBAC................. 198
400 Slidell, GO, 5.00%, 3/1/13, Callable
3/1/06 @ 100, AMBAC................. 390
100 Slidell, Sales & Use Tax Revenue,
Public Improvement, Series B, 5.20%,
10/1/05, Callable 10/1/03 @ 101..... 103
200 Slidell, Sales & Use Tax Revenue,
Public Improvement, Series B, 5.40%,
10/1/07, Callable 10/1/03 @ 101..... 206
1,000 South Port Community, Port Revenue,
Cargill, Inc., Project, 5.85%,
4/1/17, Callable 4/1/07 @ 102....... 1,024
200 St. Bernard Parish, School Board
Refunding, 4.90%, 5/1/10, Callable
5/1/05 @ 100, MBIA.................. 197
500 St. Charles Parish, Public
Improvements, Sales Tax Revenue,
Series St-96, 5.00%, 12/1/06,
Callable 11/1/05 @ 101, MBIA........ 508
750 St. Charles Parish, Public
Improvements, Sales Tax Revenue,
6.60%, 11/1/07, Callable 11/1/99 @
102................................. 772
2,350 St. Charles Parish, School District
#1, GO, 6.45%, 3/1/06, Callable
3/1/02 @ 100, AMBAC................. 2,481
85 St. James Parish, GO, Ad Valorem
Property Tax Revenue, 4.80%,
3/1/05.............................. 86
75 St. James Parish, GO, Ad Valorem
Property Tax Revenue, 5.20%,
3/1/08.............................. 76
870 St. John Baptist Parish, School
District #1, GO, 6.25%, 3/1/05,
Prerefunded 3/1/02 @ 100............ 912
250 St. Tammany Parish, School Board Sales
& Use Tax Revenue, 5.75%, 4/1/03,
Callable 4/1/02 @ 102, FGIC......... 261
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 200 St. Tammany Parish, School District
#12, 6.50%, 3/1/05, Prerefunded
3/1/01 @100, FGIC................... $ 208
250 St. Tammany Parish, Sales & Use Tax
Revenue, 5.75%, 4/1/06, Callable
4/1/02 @ 102, FGIC.................. 262
1,815 St. Tammany Parish, Hospital Service,
District #1, Hospital Revenue,
6.30%, 7/1/07, Callable 7/1/02 @
102................................. 1,942
1,000 St. Tammany Parish, Justice Complex,
Sales Tax Revenue, 5.00%, 4/1/13,
Callable 4/1/08 @ 102, FGIC......... 975
1,225 St. Tammany Parish, Public Financing
Authority Revenue, Christwood
Project, 5.25%, 11/15/08............ 1,187
4,000 St. Tammany Parish, Public Financing
Authority, Revenue, 0.00%, 7/20/14,
FNMA................................ 1,833
1,000 St. Tammany Parish, Sales & Use Tax
Revenue, District #3, Series A,
6.50%, 12/1/02, Callable 12/1/99 @
102, FGIC........................... 1,032
750 St. Tammany Parish, Sales & Use Tax
Revenue, District #3, Series A,
6.50%, 12/1/05, Callable 12/1/99 @
102, FGIC........................... 774
2,530 St. Tammany Parish, Sales & Use Tax
Revenue, Justice Complex, 5.00%,
4/1/12, Callable 4/1/08 @ 102,
FGIC................................ 2,482
3,300 Stadium & Exposition District, Hotel
Occupancy Tax & Stadium Revenue,
Series B, 5.25%, 7/1/17, Callable
7/1/09 @ 102, FGIC.................. 3,242
1,665 Stadium & Exposition District, Hotel
Occupancy Tax & Stadium Revenue,
Series A, 5.65%, 7/1/07, Callable
7/1/04 @ 102, FGIC.................. 1,779
500 State Energy & Power Authority
Revenue, 6.00%, 1/1/13, Callable
1/1/01 @ 100, FGIC.................. 513
1,500 State Gas & Fuels Tax Revenue, Series
A, 7.25%, 11/15/04, Callable
11/15/99 @ 102...................... 1,551
1,000 State GO, 5.38%, 8/1/04, FGIC......... 1,064
250 State GO, Series A, 6.00%, 8/1/04,
FGIC................................ 258
500 State GO, Series A, 5.50%, 5/15/05,
MBIA................................ 521
400 State GO, 5.38%, 8/1/05, MBIA......... 415
1,000 State GO, Series A, 6.00%, 5/1/07,
Prerefunded 5/1/04 @ 102, AMBAC..... 1,082
750 State GO, Series A, 5.60%, 5/15/07,
Callable 5/15/05 @ 102, MBIA........ 786
</TABLE>
95
Continued
<PAGE> 98
- --------------------------------------------------------------------------------
One Group Mutual Funds
Louisiana Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$ 250 State GO, 5.60%, 8/1/07, MBIA......... $ 262
1,000 State GO, 5.13%, 4/15/08, Callable
4/15/07 @ 102, FGIC................. 1,012
250 State GO, Series A, 5.70%, 5/15/08,
Callable 5/15/05 @ 100, MBIA........ 262
250 State GO, 5.60%, 8/1/08, MBIA......... 261
3,000 State GO, Series A, 6.50%, 4/15/06,
FGIC................................ 3,293
430 State GO, Series A, 6.00%, 5/1/08,
Prerefunded 5/1/04 @ 102, AMBAC..... 465
2,875 State GO, Series A, 5.80%, 8/1/10,
MBIA................................ 3,050
500 State GO, Series A, 6.10%, 5/1/11,
Prerefunded 5/1/04 @ 102, AMBAC..... 543
3,000 State GO, Series B, 5.63%, 8/1/13,
MBIA................................ 3,137
500 State Miscellaneous Taxes Refunding
Bond, Series A, 5.70%, 8/1/08,
MBIA................................ 527
500 State Offshore Terminal Authority,
Deepwater Port Revenue, 1st Stage,
Series B, 6.10%, 9/1/02............. 523
1,325 State Offshore Terminal Authority,
Deepwater Port Revenue, 1st Stage,
Series B, 6.25%, 9/1/04............. 1,416
2,430 State Public Facility Authority,
Series A-2, 5.05%, 11/15/13,
Callable 11/15/07 @ 102, MBIA....... 2,380
1,495 State Refunding, Series A, 4.88%,
4/15/13, Callable 4/15/08 @ 101..... 1,431
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Louisiana, continued:
$1,435 Tangipahoa Parish, Consolidated School
District #1, GO, 6.15%, 12/1/07,
Callable 12/1/02 @ 100.............. $ 1,506
1,250 Tangipahoa Parish, Hospital Service
District #1, Hospital Revenue,
6.13%, 2/1/14, Callable 2/1/04 @
102, AMBAC.......................... 1,328
1,000 Terrebonne Parish, Hospital Service
District #1, 5.20%, 4/1/13, Callable
4/1/08 @ 102, AMBAC................. 977
690 Terrebonne Parish, Waterworks District
#1, Water Revenue, 5.70%, 11/1/06,
Callable 11/1/03 @ 102, FGIC........ 726
500 Terrebonne Parish, Waterworks District
#1, Water Revenue, 5.75%, 11/1/08,
Callable 11/1/03 @ 102, FGIC........ 529
--------
Total Municipal Bonds 191,525
--------
INVESTMENT COMPANIES (0.0%):
3 One Group Municipal Money Market Fund,
Class I............................. 3
0 Provident Municipal Cash Fund (b)..... 0
--------
Total Investment Companies 3
--------
Total (Cost $187,840)(a) $191,528
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $193,118.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 5,154
Unrealized depreciation...................... (1,466)
-------
Net unrealized appreciation.................. $ 3,688
=======
</TABLE>
(b) Rounds to less than 1,000.
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
BIG Insured by Bond Insurance Guarantee
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FNMA Insured by Federal National Mortgage Association
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
OID Original Issue Discount
</TABLE>
See notes to financial statements.
96
<PAGE> 99
- --------------------------------------------------------------------------------
One Group Mutual Funds
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (94.7%):
Michigan (92.6%):
$5,500 Birmingham City School District, GO,
School Improvements, 5.00%,
11/1/20, Callable 11/1/07 @ 100,
FSA................................ $ 5,193
3,080 Bishop International Airport
Authority, Series B, Revenue Bond,
5.13%, 12/1/17, ACA................ 2,890
10,000 Brighton Area School District, 0.00%,
5/1/15, AMBAC...................... 4,241
4,500 Caledonia Community Schools, GO,
5.85%, 5/1/22, Callable 5/1/07 @
100, MBIA.......................... 4,831
1,575 Chelsea Economic Development Corp.,
Revenue, 5.40%, 11/15/18, Callable
11/15/08 @ 101..................... 1,483
2,000 Chelsea Economic Development Corp.,
Revenue, 5.40%, 11/15/27, Callable
11/15/08 @ 101..................... 1,850
1,730 Chippewa County Hospital Finance,
5.63%, 11/1/14, Callable 11/1/07
@102............................... 1,691
5,000 Clarkston Community School, 5.75%,
5/1/16, Prerefunded 5/1/05 @ 101,
FGIC............................... 5,344
2,355 Clarkston Community Schools, 5.25%,
5/1/17............................. 2,327
2,500 Comstock Park Public School, 5.50%,
5/1/21, Callable 5/1/06 @ 100,
FSA................................ 2,502
1,430 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.25%,
11/15/05, FGIC..................... 1,476
1,690 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.60%,
11/15/08, Callable 11/15/05 @ 102,
FGIC............................... 1,763
1,560 Dearborn Economic Development Corp.,
Hospital Revenue, Oakwood
Obligation Group, Series A, 5.60%,
11/15/09, Callable 11/15/05 @ 102,
FGIC............................... 1,628
1,830 Dearborn Sewage Disposal System,
Revenue, Series A, 5.13%, 4/1/14,
Callable 4/1/04 @ 101, MBIA........ 1,806
3,850 Detroit Local Development Finance
Authority, Refunded Tax Increment
Senior, Series A, 5.38%, 5/1/18,
Callable 5/1/07 @ 101.50........... 3,774
1,410 Detroit Local Development Finance
Authority, Refunded Tax Increment
Senior, Series A, 5.38%, 5/1/21,
Callable 5/1/07 @ 101.50........... 1,383
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,000 Detroit Sewage Disposal System,
Revenue, Refunding, Series B,
6.00%, 7/1/10, MBIA................ $ 2,162
8,000 Detroit Sewage Disposal, Revenue,
5.25%, 7/1/15...................... 7,961
1,800 Detroit Wayne County Stadium
Authority, Public Improvements,
5.50%, 2/1/17, Callable 2/1/07 @
102, FGIC.......................... 1,819
2,000 Dexter Community School, GO, 5.80%,
5/1/19, Callable 5/1/03 @ 102...... 2,061
4,000 Dickinson County, Economic
Development Corp., Pollution
Control Revenue, 5.85%, 10/1/18,
Callable 10/1/03 @ 102............. 4,027
2,100 East China School District, GO,
5.00%, 5/1/15, Callable 5/1/08 @
100, FGIC.......................... 2,021
1,625 East China School District, GO,
5.00%, 5/1/16, Callable 5/1/08 @
100, FGIC.......................... 1,556
4,000 Eastern Michigan University, Revenue,
6.38%, 6/1/14, Callable 6/1/02 @
101, AMBAC......................... 4,238
1,000 Ferndale School District, 5.50%,
5/1/11, Callable 5/1/05 @ 101,
FGIC............................... 1,025
2,500 Ferris State University, Revenue,
5.75%, 10/1/17, Prerefunded 4/1/07
@101, AMBAC........................ 2,684
5,000 Ferris State University, Revenue,
5.85%, 10/1/22, Prerefunded 4/1/07
@ 101, AMBAC....................... 5,399
3,000 Grand Haven, Electric Revenue, 5.25%,
7/1/08, MBIA....................... 3,075
2,000 Grand Rapids Water Supply, Revenue,
6.25%, 1/1/11, Callable 1/1/01 @
102, FGIC.......................... 2,093
4,400 Hancock Hospital Finance Authority,
Revenue, 5.45%, 8/1/47, Callable
8/1/08 @ 100, MBIA................. 4,423
1,550 Higher Education Facilities
Authority, Revenue, Calvin College
Project, 5.55%, 6/1/17, Callable
6/1/08 @ 101....................... 1,507
2,515 Higher Education Hope College, 5.40%,
10/1/20, Callable 10/01/09 @ 100... 2,442
7,860 Higher Education Student Loan
Authority, Revenue, AMT, Student
Loan -- Series XVII-B, 5.40%,
6/1/18, Callable 6/1/08 @ 101,
AMBAC.............................. 7,709
</TABLE>
97
Continued
<PAGE> 100
- --------------------------------------------------------------------------------
One Group Mutual Funds
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$1,000 Higher Education Student Loan
Authority, Revenue, AMT, Student
Loan XVII-A Conv, 5.75%, 6/1/13,
Callable 6/1/06 @ 102, AMBAC....... $ 1,027
2,500 Housing Development Authority, Rental
Housing Revenue, Series B, 5.10%,
10/1/19, Callable 4/1/09 @ 101..... 2,432
1,000 Huron Valley School District, 5.88%,
5/1/16, Prerefunded 5/1/07 @ 100,
FGIC............................... 1,075
1,250 Kalamazoo Economic Development,
Revenue, 6.13%, 5/15/12, Callable
5/15/07 @ 102...................... 1,292
600 Kalamazoo Economic Development,
Revenue, 6.13%, 5/15/17, Callable
5/15/07 @ 102...................... 618
1,000 Kalamazoo Hospital Finance Authority,
Revenue, Borgess Medical Center,
Series A, 5.25%, 6/1/17, Callable
6/1/04 @ 102, FGIC................. 970
3,685 Lake Orion Community School District,
6.00%, 5/1/10, Callable 5/1/05 @
101, AMBAC......................... 3,905
1,000 Lake Orion Community School District,
5.80%, 5/1/15, Callable 5/1/05 @
101, AMBAC......................... 1,041
4,150 Lake Orion Community School District,
GO, 5.13%, 5/1/23, Callable 5/1/08
@ 100, FGIC........................ 3,960
3,250 Lanse Creuse Public Schools, 5.25%,
5/1/15............................. 3,253
1,000 Lansing Building Authority, 6.00%,
6/1/05, Callable 6/1/00 @ 102,
AMBAC.............................. 1,044
1,330 Livingston County, Building
Authority, GO, 5.80%, 7/1/08....... 1,420
2,100 Livonia Public School District,
Series I, 6.25%, 5/1/03, Callable
5/1/02 @ 102....................... 2,234
3,000 Livonia Public School District,
Series I, 6.30%, 5/1/22,
Prerefunded 5/1/02 @ 102........... 3,219
1,000 Livonia Public School District, GO,
5.50%, 5/1/14, Callable 5/1/03 @
102, FGIC.......................... 1,012
1,175 Mason Public School District, GO,
5.40%, 5/1/09, Callable 5/1/05 @
101.50, FGIC....................... 1,209
1,075 Mason Public School District, GO,
5.50%, 5/1/10, Callable 5/1/05 @
101.50, FGIC....................... 1,108
2,455 Michigan State, Environmental
Protection Program, GO, 5.40%,
11/1/19, Callable 11/1/05 @ 101.... 2,456
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,000 Michigan State University, Revenue,
General Series A, 6.25%, 8/15/15,
Prerefunded 8/15/02 @ 101.......... $ 2,132
1,145 Municipal Bond Authority, Revenue,
Series A, 5.70%, 8/1/07, Callable
2/1/03 @ 102....................... 1,188
1,500 Municipal Bond Authority, Revenue,
Local Government Loan Program,
Series A, 6.00%, 12/1/13, Callable
12/1/04 @ 102, FGIC................ 1,595
1,650 Municipal Bond Authority, Revenue,
5.25%, 12/1/13..................... 1,655
2,500 Municipal Bond Authority, Revenue,
5.40%, 10/1/14, Callable 10/1/03 @
102................................ 2,506
1,970 Muskegon Public Schools, GO, 5.25%,
5/1/16, Callable 5/1/04 @ 100,
FGIC............................... 1,943
10,000 Oakland County Economic Development
Corp., Revenue, 5.00%, 11/1/17,
Callable 11/1/08 @ 101............. 9,543
4,185 Oakland County Economic Development
Corp., Revenue, 5.63%, 6/1/19,
Callable 6/1/07 @ 102, LOC: First
of America Bank.................... 4,186
3,000 Oakland County Education, Revenue,
6.38%, 11/1/14, Prerefunded 11/1/04
@ 100.............................. 3,271
4,075 Ottawa County, GO, 6.00%, 8/1/08,
Callable 8/1/02 @ 101.............. 4,298
1,200 Paw Paw Public School District, GO,
6.50%, 5/1/09, FGIC................ 1,336
2,000 Plymouth Canton Community School
District, GO, 5.38%, 5/1/06,
Callable 5/1/03 @ 102, AMBAC....... 2,068
1,750 Rockford Public Schools, 5.88%,
5/1/12, Callable 5/1/02 @ 102...... 1,838
2,930 Rockford Public Schools, GO, 5.25%,
5/1/22, Callable 5/1/07 @ 100,
FGIC............................... 2,844
4,755 Romulus Community Schools, GO, 0.00%,
5/1/18, FGIC....................... 1,692
6,070 Royal Oak Hospital Finance Authority,
Revenue, 6.25%, 1/1/10............. 6,609
5,000 Royal Oak Hospital Finance Authority,
Revenue, 5.60%, 11/15/11, Callable
11/15/03 @ 102..................... 5,134
2,000 Saginaw Hospital Finance Authority,
Revenue, Series C, St. Lukes
Hospital, 6.75%, 7/1/06, Callable
7/1/01 @ 102, MBIA................. 2,133
2,385 Southgate, Michigan GO, 5.00%,
5/1/16............................. 2,284
</TABLE>
98
Continued
<PAGE> 101
- --------------------------------------------------------------------------------
One Group Mutual Funds
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,500 State Building Authority, Revenue,
Refunding, Series 1, 6.00%,
10/1/02, AMBAC..................... $ 2,629
3,820 State Building Authority, Revenue,
5.00%, 10/1/06..................... 3,884
12,370 State GO, School Loan, 5.00%,
12/1/16, Callable 12/1/08 @ 100.... 11,971
13,010 State GO, 5.00%, 12/1/17, Callable
12/1/08 @ 100...................... 12,517
2,035 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series T, 5.25%, 8/15/09, Callable
8/15/07 @ 101, MBIA................ 2,050
3,000 State Hospital Finance Authority,
Revenue, Henry Ford Health System,
6.00%, 9/1/11, Callable 9/1/02 @
102, AMBAC......................... 3,171
5,840 State Hospital Finance Authority,
Revenue, 5.38%, 7/1/12, Callable
7/1/05 @ 102, FSA.................. 5,848
2,000 State Hospital Finance Authority,
Revenue, 5.25%, 3/1/14, Callable
3/1/04 @ 102....................... 1,937
3,795 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series U, 5.63%, 8/15/16, Callable
8/15/07 @ 101...................... 3,841
1,000 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series R, 5.38%, 8/15/16, Callable
8/15/06 @ 101, AMBAC............... 988
8,125 State Hospital Finance Authority,
Revenue, Mercy Health Services,
Series W, 5.25%, 8/15/17, Callable
8/15/07 @ 101, FSA................. 7,953
1,250 State Hospital Finance Authority,
Revenue, Henry Ford, First
Mortgage, Series B, 9.00%,
5/1/04............................. 1,423
1,000 State Hospital Financial Authority,
St. John Health System -- Series A,
5.00%, 5/15/18, Callable 5/15/08 @
101................................ 939
1,725 State Housing Development Authority,
Revenue, Parkway Meadows Project,
6.63%, 10/15/06, Callable 10/15/02
@ 103, FSA......................... 1,859
1,000 State Housing Development Authority,
Revenue, Series A, 5.63%, 10/1/10,
Callable 4/1/07 @ 102.............. 1,035
2,450 State Housing Development Authority,
Revenue, Series C, 6.38%, 12/1/11,
Callable 12/1/04 @ 102, FHA........ 2,600
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$4,750 State Housing Development Authority,
Revenue, Series A, 6.00%, 12/1/15,
Callable 6/1/06 @ 102, FHA......... $ 4,946
2,415 State Housing Development Authority,
Revenue, Series A, 5.88%, 10/1/17,
Callable 4/1/03 @ 102, AMBAC....... 2,516
2,415 State Housing Development Authority,
Revenue, Series A, 6.05%, 12/1/17,
Callable 6/1/06 @ 102, FHA......... 2,514
2,250 State Housing Development Authority,
Revenue, Series B, AMT, 5.20%,
12/1/18, Callable 11/1/08 @ 101,
AMBAC.............................. 2,165
1,995 State Housing Development Authority,
Revenue, Series B, 6.95%, 12/1/20,
Callable 12/1/01 @ 102............. 2,085
2,165 State Housing Development Authority,
Revenue, Series B, AMT, 6.20%,
6/1/27, Callable 6/1/06 @ 102,
FHA................................ 2,276
2,000 State Housing Development Authority,
Revenue, Series D, 5.95%, 12/1/16,
Callable 12/1/06 @ 102............. 2,074
4,000 State Housing Representatives
Certificate of Participation,
Capital Appreciation, 0.00%,
8/15/24............................ 993
2,170 State Strategic Fund, Revenue,
Refunded, Hope Network Project,
Series B, 5.25%, 9/1/13, Callable
9/1/08 @ 102, LOC: First of America
Bank............................... 2,087
1,250 State Strategic Fund, Revenue, Porter
Hills Presbyterian Village, 5.30%,
7/1/18, Callable 7/1/08 @ 101...... 1,182
1,000 State Strategic Fund, Revenue,
College of Detroit Fund, 7.00%,
5/1/21, AMBAC...................... 1,210
1,500 State Strategic Waste Management,
5.20%, 4/1/10...................... 1,488
3,200 State Trunk Line, Series A, 5.40%,
10/1/01............................ 3,289
2,900 State Trunk Line, Revenue, Series A,
5.75%, 10/1/12, Callable 10/1/02 @
100................................ 3,007
3,375 Thorn Apple Kellogg School, GO,
5.38%, 5/1/22, Callable 5/1/05 @
101, FGIC.......................... 3,344
2,400 Traverse City Area Public School,
5.70%, 5/1/12, Prerefunded 5/1/05 @
101, MBIA.......................... 2,559
3,600 University of Michigan, Hospital,
Revenue, Series A, 5.75%, 12/1/12,
Callable 12/1/02 @ 102............. 3,724
</TABLE>
99
Continued
<PAGE> 102
- --------------------------------------------------------------------------------
One Group Mutual Funds
Michigan Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Michigan, continued:
$2,000 University of Michigan, Revenue,
Medical Service Plan, 6.20%,
12/1/03, Prerefunded 12/1/01 @
102................................ $ 2,134
2,130 University of Michigan, Revenue,
Medical Service Plan, 6.30%,
12/1/04, Prerefunded 12/1/01 @
102................................ 2,277
1,015 University of Michigan, Revenue,
Medical Service Plan, 6.20%,
4/1/15, Prerefunded 12/1/01 @
102................................ 1,010
2,000 Wayne State University, Revenue,
5.50%, 11/15/07, Callable 11/15/03
@ 101, AMBAC....................... 2,068
5,250 Western Michigan University, Revenue,
5.13%, 11/15/22, Callable 11/15/07
@ 100, FGIC........................ 5,012
3,100 Wyoming Public Schools, GO, 5.13%,
5/1/23, Callable 5/1/08 @ 100,
FGIC............................... 2,958
--------
313,477
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Puerto Rico (2.1%):
$2,195 GO Unlimited, 6.25%, 7/1/12, MBIA.... $ 2,454
3,280 GO Unlimited, 5.75%, 7/1/17, Callable
7/1/07 @ 101.5..................... 3,436
1,480 GO Unlimited, 0.00%, 7/1/17, MBIA.... 578
2,000 Highway & Transportation Authority
Revenue, 0.00%, 7/1/17, AMBAC...... 781
--------
7,249
--------
Total Municipal Bonds 320,726
--------
WEEKLY DEMAND NOTES (0.9%):
Michigan (0.9%):
3,000 Detroit, Sewer Revenue, 3.30%,
7/1/23, MBIA*...................... 3,000
--------
Total Weekly Demand Notes 3,000
--------
INVESTMENT COMPANIES (3.5%):
4,539 One Group Michigan Municipal Money
Market Fund, Class I............... 4,539
7,257 Provident Municipal Cash Fund........ 7,258
--------
Total Investment Companies 11,797
--------
Total (Cost $332,161)(a) $335,523
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $338,433.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 7,242
Unrealized depreciation...................... (3,880)
-------
Net unrealized appreciation.................. $ 3,362
=======
</TABLE>
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based upon an index of market rates. The
rate reflected on the Schedule of Portfolio Investments is the rate in effect
at June 30, 1999.
<TABLE>
<S> <C>
ACA American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FSA Insured by Federal Security Assurance
GO General Obligation
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See notes to financial statements.
100
<PAGE> 103
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (97.2%):
California (0.2%):
$1,715 San Marcos, Public Facilities
Authority, Public Facilities
Revenue, 0.00%, 1/1/19.............. $ 592
--------
Colorado (0.9%):
2,810 El Paso County, Single Family Mortgage
Revenue, Series A, 0.00%, 5/1/15,
ETM................................. 1,190
2,350 Housing Finance Authority, Single
Family Mortgage Revenue, 0.00%,
9/1/14, ETM......................... 1,040
--------
2,230
--------
Georgia (0.3%):
3,000 Richmond County, Development Authority
Revenue, GO, 0.00%, 12/1/21......... 684
--------
Kansas (0.4%):
1,000 Kansas City, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/14, ETM........................ 437
1,390 Saline County, Single Family Mortgage
Revenue, Series 1983 A, 0.00%,
12/1/15, ETM........................ 571
--------
1,008
--------
Massachusetts (0.5%):
360 State GO, Series C, 6.75%, 8/1/09,
Callable 8/1/01 @ 102, AMBAC........ 385
640 State GO, Series C, 6.75%, 8/1/09,
Prerefunded 8/1/01 @ 102, AMBAC..... 687
--------
1,072
--------
Mississippi (0.4%):
3,000 Home Corp., Single Family Mortgage
Revenue, 0.00%, 9/15/16, Callable
3/15/04 @ 41.70, ETM................ 1,016
--------
Missouri (0.5%):
1,000 State Health, Series AA, 6.40%,
6/1/10, MBIA........................ 1,114
--------
Ohio (93.1%):
1,000 Adams County, School District, GO,
5.45%, 12/1/08, Callable 12/1/05 @
102, MBIA........................... 1,040
1,045 Akron Sewer Systems, Sewer Revenue,
5.30%, 12/1/05, MBIA................ 1,087
1,000 Akron Sewer Systems, Sewer Revenue,
5.65%, 12/1/08, Callable 12/1/06 @
101, MBIA........................... 1,053
1,070 Akron Sewer Systems, Sewer Revenue,
5.50%, 12/1/12, FGIC................ 1,113
1,030 Akron Sewer Systems, Sewer Revenue,
5.38%, 12/1/13, FGIC................ 1,057
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Akron, Bath, Copley Hospital Revenue,
7.45%, 11/15/20, Prerefunded
11/15/00 @ 102, AMBAC............... $ 1,068
1,000 Allen County, Justice Center, GO,
7.00%, 12/1/15, Prerefunded 12/1/01
@ 101, AMBAC........................ 1,077
1,280 Belmont County, Health Systems
Revenue, Regional Hospital, 5.25%,
1/1/08, ACA......................... 1,287
3,000 Bexley School District, GO, 6.50%,
12/1/16, Prerefunded 12/1/01 @
102................................. 3,221
1,000 Big Walnut School District, GO, 7.30%,
6/1/15, Prerefunded 6/1/01 @ 102,
AMBAC............................... 1,078
250 Big Walnut School District, GO, 5.10%,
12/1/15, Callable 12/1/07 @ 101,
AMBAC............................... 249
725 Bowling Green State University, 5.65%,
6/1/11, Callable 6/1/06 @ 101,
AMBAC............................... 754
1,000 Butler County Sewer Systems, Sewer
Revenue, 5.00%, 12/1/16, Callable
12/1/09 @ 101, FGIC................. 968
1,000 Butler County, Hospital Facilities
Revenue, 6.75%, 11/15/10, Callable
11/15/01 @ 102, FGIC................ 1,072
1,475 Butler County, Hospital Facilities
Revenue, 4.75%, 11/15/18, Callable
11/15/08 @ 101...................... 1,309
1,000 Canton Improvements, 5.00%, 12/1/18,
Callable 6/1/09 @ 101, AMBAC........ 961
750 Cincinnati, GO, 6.75%, 12/1/00........ 781
2,775 Clermont County Waterworks, Water
Revenue, 6.63%, 12/1/15, Prerefunded
12/1/01 @ 102, AMBAC................ 2,991
1,000 Cleveland Airport Systems Revenue,
Series A, AMT, 5.13%, 1/1/13,
Callable 1/1/08 @ 101, FSA.......... 974
4,500 Cleveland Public Power System, Power
Revenue, 6.40%, 11/15/06,
Prerefunded 11/15/04 @ 102, MBIA.... 4,986
3,000 Cleveland Public Power System, Power
Revenue, 0.00%, 11/15/11, MBIA...... 1,580
1,630 Cleveland Public Power System, Power
Revenue, 5.25%, 11/15/14, Callable
11/15/08 @ 101, MBIA................ 1,631
1,000 Cleveland Stadium Project, 5.25%,
11/15/12, Callable 11/15/07 @ 102,
AMBAC............................... 999
</TABLE>
101
Continued
<PAGE> 104
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,850 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.25%, 1/1/06,
Callable 1/1/02 @ 102, AMBAC........ $ 1,963
315 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.50%, 1/1/11,
Callable 1/1/02 @ 102, AMBAC........ 337
3,485 Cleveland Waterworks, Water Revenue,
Series F-92B, 6.50%, 1/1/11,
Prerefunded 1/1/02 @ 102, AMBAC..... 3,736
2,000 Cleveland Waterworks, Water Revenue,
Series G, 5.50%, 1/1/13, MBIA....... 2,074
500 Cleveland, GO, 7.50%, 8/1/07,
Prerefunded 2/1/03 @ 100, AMBAC..... 552
1,000 Cleveland, GO, 6.38%, 7/1/12,
Prerefunded 7/1/02 @ 102, MBIA...... 1,078
2,230 Cleveland-Cuyahoga County, Port
Authority Revenue, Capital
Improvements Project, Series A,
5.38%, 5/15/19, Callable 5/15/09 @
102, LOC -- FifthThird Bank
Toledo.............................. 2,140
1,225 Columbus Municipal Airport No. 30-E-U,
GO, 6.20%, 4/15/04, Callable 4/15/01
@ 100............................... 1,269
1,000 Columbus Sewer Improvements, GO,
6.75%, 9/15/06, Callable 9/15/01 @
100, ETM............................ 1,058
2,285 Columbus Waterworks Enlargement No.
44, GO, 6.00%, 5/1/11, Prerefunded
5/1/03 @ 102........................ 2,457
1,000 Columbus Waterworks Enlargement No.
44, GO, 6.00%, 5/1/12, Prerefunded
5/1/03 @ 102........................ 1,075
1,000 Columbus, GO, 6.40%, 1/1/07, Callable
1/1/02 @ 102........................ 1,067
1,000 Columbus, GO, 5.00%, 6/15/12, Callable
6/15/08 @ 101....................... 992
1,620 Columbus, GO, 5.00%, 7/15/15, Callable
7/15/08 @ 101....................... 1,586
2,000 Columbus, GO, 5.00%, 6/15/16, Callable
6/15/08 @ 101....................... 1,950
2,000 Cuyahoga County, Health Care
Facilities, Benjamin Rose Institute,
5.50%, 12/1/17, Callable 12/1/08 @
101................................. 1,922
1,000 Cuyahoga County, Hospital Revenue,
Cleveland Clinic Health, Series B,
5.25%, 1/1/15, Callable 7/1/09 @
101................................. 984
1,000 Cuyahoga County, Hospital Revenue,
Metrohealth System, Series A, 5.13%,
2/15/13, Callable 2/15/07 @ 102,
MBIA................................ 979
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Cuyahoga County, Hospital Revenue,
Series A, 5.50%, 1/15/10, Callable
1/15/06 @ 102, MBIA................. $ 1,022
1,000 Cuyahoga County, Hospital Revenue,
W.O. Walker Center, 5.25%, 1/1/13,
Callable 7/1/08 @ 101, AMBAC........ 1,005
1,000 Cuyahoga County, Jail Facilities, GO,
7.00%, 10/1/13, Prerefunded 10/1/01
@ 102............................... 1,080
1,500 Dayton Special Facilities Revenue,
Emery Air Freight, 6.05%, 10/1/09... 1,578
1,000 Delaware County, Library District, GO,
7.25%, 11/1/10, Prerefunded 11/1/00
@ 102............................... 1,066
1,000 Delaware County, Sewer, GO, 5.60%,
12/1/10, Callable 12/1/05 @ 101..... 1,046
2,165 Dublin City School District, GO,
0.00%, 12/1/09, MBIA................ 1,281
2,150 Dublin City School District, GO,
0.00%, 12/1/10, MBIA................ 1,199
1,650 Dublin City School District, GO,
0.00%, 12/1/11, MBIA................ 867
1,185 Dublin City School District, GO,
5.00%, 12/1/12, Callable 12/1/07 @
101, MBIA........................... 1,171
1,000 Fairfield County, Hospital Improvement
Revenue, Lancaster-Fairfield
Community Hospital, 7.10%, 6/15/21,
Prerefunded 6/15/01 @ 102, MBIA..... 1,075
2,000 Franklin County Revenue, Online
Computer, Series A, 5.00%, 10/1/16,
Callable 10/1/08 @ 101.............. 1,903
1,500 Franklin County, Health Care
Facilities Revenue, 5.50%, 11/1/16,
Callable 11/1/02 @ 102.............. 1,445
1,000 Franklin County, Health Care
Facilities Revenue, 5.50%, 7/1/17,
Callable 7/1/08 @ 101............... 966
1,290 Franklin County, Hospital Revenue,
Children's Hospital, 5.65%, 11/1/08,
Callable 11/1/06 @ 101.............. 1,352
1,065 Franklin County, Hospital Revenue,
Children's Hospital, 5.75%, 11/1/09,
Callable 11/1/06 @ 101.............. 1,116
800 Franklin County, Hospital Revenue,
Children's Hospital, 5.80%, 11/1/10,
Callable 11/1/06 @ 101.............. 839
2,000 Franklin County, Hospital Revenue,
Children's Hospital Project, Series
A, 6.50%, 5/1/07, Callable 11/1/02 @
102................................. 2,158
</TABLE>
102
Continued
<PAGE> 105
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Franklin County, Hospital Revenue,
Children's Hospital Project, Series
A, 6.60%, 11/1/11, Callable 11/1/01
@ 102............................... $ 1,073
1,000 Franklin County, Hospital Revenue,
Holy Cross Health, 7.65%, 6/1/10,
Prerefunded 6/1/00 @ 102, AMBAC..... 1,057
445 Franklin County, Mortgage Revenue,
AMT, 4.80%, 12/20/13, GNMA.......... 430
500 Franklin County, Multi-Family Housing
Revenue, Kimberly Apartments, Series
A, 5.00%, 11/1/18, Callable 11/1/09
@ 102............................... 484
1,070 Gahanna-Jefferson Public Schools, GO,
4.85%, 12/1/15, Callable 6/1/09 @
100................................. 1,036
1,000 Greater Cleveland Regional
Transportation Authority, GO, 5.60%,
12/1/11, Callable 12/1/06 @ 101,
FGIC................................ 1,041
1,600 Greene County, GO, 6.25%, 12/1/09,
Callable 12/1/02 @ 102, AMBAC....... 1,731
1,000 Greene County, Water System Revenue,
6.85%, 12/1/11, Callable 12/1/01 @
102, AMBAC.......................... 1,083
1,000 Hamilton County Waterworks, Water
Utility Improvement Revenue, Series
A, 6.40%, 10/15/07, Callable
10/15/01 @ 102, MBIA................ 1,066
1,500 Hamilton County, Building Improvement,
Museum Center, GO, 6.50%, 12/1/09,
Callable 12/1/01 @ 102.............. 1,606
1,500 Hamilton County, Economic Development,
Housing Revenue, AMT, 5.50%, 1/1/12,
Callable 1/1/07 @ 102, FNMA......... 1,536
1,500 Hamilton County, Electric Systems
Revenue, 6.13%, 10/15/08, Callable
10/15/02 @ 102, FGIC................ 1,603
1,000 Hamilton County, Health Care
Facilities Revenue, 5.13%, 10/1/18,
Callable 10/1/08 @ 101.............. 947
1,500 Hamilton County, Hospital Facilities
Revenue, Bethesda Hospital, Series
A, 6.25%, 1/1/12, Callable 1/1/03 @
102................................. 1,584
1,265 Hamilton County, Hospital Facilities
Revenue, Christ Hospital, Series B,
6.63%, 1/1/06, Prerefunded 1/1/01 @
100, FGIC........................... 1,313
3,000 Hamilton County, Sales Tax Revenue,
5.00%, 12/1/18, Callable 6/1/08 @
101, MBIA........................... 2,869
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 380 Hamilton County, Sewer System Revenue,
6.30%, 12/1/01, Prerefunded 6/1/01 @
102................................. $ 403
1,000 Housing Finance Agency, Mortgage
Revenue, AMT, 5.05%, 9/1/10,
Callable 9/1/08 @ 101, GNMA......... 986
2,685 Housing Finance Agency, Single Family
Mortgage Revenue, 0.00%, 1/15/15,
Prerefunded 7/15/13 @ 86.075........ 1,097
1,000 Huron County, Correctional Facility,
Issue I, GO, 5.70%, 12/1/11,
Callable 12/1/07 @ 102, MBIA........ 1,055
1,000 Kent State University, General
Receipts Revenue, 6.45%, 5/1/12,
Prerefunded 5/1/02 @ 102, AMBAC..... 1,077
1,000 Kent State University, General
Receipts Revenue, 5.00%, 5/1/18,
Callable 5/1/08 @ 101, AMBAC........ 962
1,000 Kent State University, General
Receipts Revenue, Series A, 5.00%,
5/1/14, Callable 5/1/08 @ 101,
AMBAC............................... 978
1,000 Knox County, Hospital Facilities
Revenue, 5.00%, 6/1/12, Asset
Guaranty............................ 974
1,000 Lake County Hospital Facilities
Revenue, 5.38%, 8/15/15, Callable
8/15/08 @ 101, AMBAC................ 1,007
3,000 Lakewood Sanitation Sewer System,
Special Obligation, 6.40%, 12/1/11,
Prerefunded 12/1/01 @ 102........... 3,215
1,000 Lakota School District, GO, 0.00%,
12/1/11, FGIC....................... 525
570 Liberty Benton School District, GO,
0.00%, 12/1/11, AMBAC............... 310
570 Liberty Benton School District, GO,
0.00%, 12/1/12, AMBAC............... 292
1,000 Logan County School District, GO,
7.10%, 12/1/12, Prerefunded 12/1/01
@ 101, AMBAC........................ 1,080
1,000 Lorain County, Hospital Revenue,
Catholic Healthcare Partners, 6.00%,
9/1/05, MBIA........................ 1,069
1,000 Lorain County, Hospital Revenue,
Catholic Healthcare Partners, 5.63%,
9/1/12, Callable 9/1/07 @ 102,
MBIA................................ 1,032
1,000 Lucas County Metropolitan Sewer &
Water Distribution, 5.00%, 12/1/18,
Callable 12/1/08 @ 102.............. 944
</TABLE>
103
Continued
<PAGE> 106
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Marysville School District, GO, 7.20%,
12/1/10, Prerefunded 12/1/00 @ 102,
AMBAC............................... $ 1,067
1,000 Miami County, GO, 5.25%, 12/1/17,
Callable 12/1/07 @ 102.............. 995
2,500 Middleburg Heights Hospital, 5.70%,
8/15/10, Callable 8/15/08 @ 102,
FSA................................. 2,628
1,000 Montgomery County Hospital, Grandview
Hospital, 5.35%, 12/1/08, Callable
12/1/07 @ 102....................... 976
1,575 Montgomery County Hospital, Grandview
Hospital, 5.65%, 12/1/12, Callable
12/1/07 @ 102....................... 1,520
2,000 Montgomery County, Sisters of Charity,
Series A, 6.50%, 5/15/08, Callable
5/15/01 @ 102, MBIA................. 2,119
1,245 Newark Capital Appreciation, GO,
0.00%, 12/1/12...................... 616
1,490 Newark Capital Appreciation, GO,
0.00%, 12/1/13...................... 695
1,000 North Canton City School District, GO,
5.00%, 12/1/12, Callable 12/1/08 @
101, FGIC........................... 991
1,000 North Royalton, GO, 7.50%, 12/1/11,
Prerefunded 12/1/00 @ 102........... 1,071
1,000 Northeast Ohio, Regional Sewer
District Wastewater, Sewer Revenue,
6.50%, 11/15/08, Prerefunded
11/15/01 @ 101, AMBAC............... 1,065
820 Ohio Capital Corporation for Housing,
5.60%, 1/1/07, Callable 7/1/03 @
102, MBIA........................... 847
500 Olentangy Local School District, GO,
7.75%, 12/1/11, BIG................. 623
1,250 Olmstead Falls School District, GO,
0.00%, 12/15/10, AMBAC.............. 715
565 Olmstead Falls School District, GO,
6.85%, 12/15/11, Prerefunded
12/15/04 @ 102, FGIC................ 639
1,000 Ottawa County, GO, 7.00%, 9/1/11,
Prerefunded 9/1/01 @ 102, AMBAC..... 1,081
1,000 Pickerington School District, GO,
7.00%, 12/1/13, Prerefunded 12/1/00
@ 102, AMBAC........................ 1,064
1,000 Piqua School District, GO, 5.20%,
12/1/15, Callable 12/1/07 @ 102,
FGIC................................ 995
2,600 Portage County, Robinson Memorial
Hospital Project, 5.63%, 11/15/07,
Callable 11/15/04 @ 102, MBIA....... 2,718
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,465 Reynoldsburg City School District, GO,
0.00%, 12/1/12,..................... $ 725
2,220 Rocky River School District, School
Improvements, GO, 6.90%, 12/1/11,
Prerefunded 2/1/00 @ 102............ 2,358
1,000 Saint Mary's Electric Systems Mortgage
Revenue, 7.15%, 12/1/10, Prerefunded
2/1/00 @ 102, AMBAC................. 1,066
1,000 Sandusky County, Hospital Facility
Revenue, Memorial Hospital, 5.10%,
1/1/09, Callable 1/1/08 @ 102....... 988
1,000 Sandusky School District, GO, 7.30%,
12/1/10, Callable 12/1/00 @ 102..... 1,064
1,000 Shaker Heights City Schools, GO,
7.10%, 12/15/10..................... 1,150
1,500 South-Western City School District,
Franklin & Pickaway County, GO,
0.00%, 12/1/05, AMBAC............... 1,110
1,260 Southwest Licking Local School
District, GO, 5.75%, 12/1/14,
FGIC................................ 1,343
2,500 Springboro Water System Revenue,
5.00%, 12/1/18, Callable 12/1/08 @
101, AMBAC.......................... 2,402
1,710 Springfield County, School District,
GO, 0.00%, 12/1/12, AMBAC........... 846
1,000 Springfield, GO, 6.88%, 9/1/06,
Callable 9/1/01 @ 102, AMBAC........ 1,074
1,000 State Air Quality Development
Authority, Pollution Control
Revenue, Ohio Edison, 7.45%, 3/1/16,
Callable 3/1/00 @ 102, FGIC......... 1,042
1,000 State Building Authority, 7.35%,
4/1/09, Prerefunded 4/1/00 @ 102,
MBIA................................ 1,049
2,000 State Building Authority, Adult
Correctional Building, Series A,
6.13%, 10/1/09, Callable 10/1/03 @
102................................. 2,153
1,000 State Building Authority, Adult
Correctional Building, Series A,
5.50%, 4/1/13, Callable 4/1/07 @
101, AMBAC.......................... 1,026
1,000 State Building Authority, Adult
Correctional Building, Series A,
5.25%, 4/1/13, Callable 4/1/08 @
101................................. 1,003
1,000 State Building Authority, Adult
Correctional Building, Series A,
5.00%, 4/1/15, Callable 4/1/08 @
101................................. 969
1,000 State Building Authority, Highway
Safety Building, 5.38%, 10/1/09,
Callable 4/1/07 @ 101, AMBAC........ 1,032
</TABLE>
104
Continued
<PAGE> 107
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 State Building Authority, State
Correctional Facilities, Series A,
6.50%, 10/1/01...................... $ 1,050
1,000 State Building Authority, State
Facilities, Administration Building
Funds, Series A, 5.75%, 10/1/06,
Callable 10/1/04 @ 102, MBIA........ 1,064
2,000 State Building Authority, State
Facilities, J. Rhodes, Series A,
6.38%, 6/1/07, Prerefunded 6/1/01 @
102................................. 2,122
1,165 State Building Authority, State
Facilities, Transportation Building
Fund, Series A, 6.50%, 9/1/09,
Callable 9/1/04 @ 102, AMBAC........ 1,283
1,300 State Department Administrative
Services, 5.00%, 06/15/17, Callable
12/15/07 @ 102...................... 1,254
1,750 State Elementary & Secondary
Education, 5.63%, 12/1/06........... 1,848
2,510 State Fresh Water Development, Water
Revenue, 5.80%, 6/1/11, Callable
6/1/05 @ 102, AMBAC................. 2,699
2,675 State Higher Educational Facilities
Commission, Wittenberg University,
5.25%, 6/1/19, Callable 6/1/09 @
101, AMBAC.......................... 2,644
200 State Higher Educational Facilities,
Case Western Reserve University,
7.25%, 12/1/12, Prerefunded 12/1/00
@ 102, FGIC......................... 213
1,000 State Higher Educational Facilities,
Case Western Reserve University,
Series B, 7.13%, 10/1/14,
Prerefunded 10/1/00 @ 102........... 1,058
1,200 State Higher Educational Facilities,
Case Western Reserve University,
Series C, 5.25%, 10/1/12, Callable
10/1/07 @ 101....................... 1,204
1,150 State Higher Educational Facilities,
Case Western Reserve University,
Series D, 0.00%, 7/1/10, Coupon
steps up to 6.25%, 7/1/00........... 1,179
1,000 State Higher Educational Facilities,
Denison University, 5.40%, 11/1/11,
Callable 11/1/06 @ 101.............. 1,019
1,000 State Higher Educational Facilities,
Denison University, 5.25%, 11/1/16,
Callable 11/1/06 @ 101.............. 993
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 800 State Higher Educational Facilities,
University of Dayton, 7.25%,
12/1/12, Prerefunded 12/1/00 @ 102,
FGIC................................ $ 854
1,000 State Higher Educational Loan Revenue,
Series A-1, AMT, 5.40%, 12/1/09,
Callable 6/1/07 @ 102, AMBAC........ 1,011
1,200 State Housing Finance Agency, Mortgage
Revenue, Series A-1, 6.20%, 9/1/14,
Callable 3/1/05 @ 102, GNMA......... 1,274
1,525 State Housing Finance Agency, Mortgage
Revenue, Series B-3, AMT, 5.25%,
9/1/10, Callable 9/1/07 @ 102,
GNMA................................ 1,548
885 State Housing Finance Agency, Multi-
Family Housing Mortgage Revenue,
AMT, 5.30%, 9/1/18, Callable 3/1/08
@ 102, FHA.......................... 880
440 State Housing Finance Agency, Single
Family Mortgage Revenue, Series F,
7.50%, 9/1/10, Callable 9/1/00 @
102, GNMA........................... 459
5,155 State Turnpike Commission, Turnpike
Revenue, Series A, 5.50%, 2/15/14... 5,352
1,000 State Water Development Authority,
Pollution Control Facilities, 5.50%,
12/1/09, Callable 6/1/05 @ 101,
MBIA................................ 1,035
1,500 State Water Development Authority,
Water Development Revenue, 7.00%,
12/1/09, Callable 6/1/00 @ 102, ETM,
AMBAC............................... 1,697
1,000 Strongsville, GO, 6.70%, 12/1/11,
Callable 12/1/06 @ 102.............. 1,124
1,335 Strongsville, GO, 5.05%, 12/1/14,
Callable 12/1/07 @ 101.............. 1,324
1,000 Sycamore Community School District,
5.00%, 12/1/18, Callable 12/1/08 @
101................................. 954
2,165 Toledo Lucas County Port Authority,
Development Revenue, 5.10%, 5/15/12,
Callable 5/15/09 @ 102.............. 2,110
800 Toledo Sewer Revenue, 6.20%, 11/15/02,
AMBAC............................... 848
2,000 Toledo Sewer System, Sewer Revenue,
5.25%, 11/15/13, Callable 11/15/09 @
102................................. 2,012
1,000 Toledo, GO, 5.63%, 12/1/11, Callable
12/1/06 @ 102, AMBAC................ 1,044
1,000 Toledo, GO, Series B, 0.00%, 12/1/11,
FGIC................................ 525
</TABLE>
105
Continued
<PAGE> 108
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ohio Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 University of Cincinnati, Certificates
of Participation, University &
College Improvements, 6.75%,
12/1/09, Callable 12/1/01 @ 102,
MBIA................................ $ 1,081
1,000 University of Cincinnati, General
Receipts, 5.75%, 6/1/13, Callable
6/1/06 @ 101........................ 1,034
1,000 University of Cincinnati, General
Receipts, University & College
Improvements, 7.00%, 6/1/11,
Callable 6/1/01 @ 102............... 1,068
1,000 University of Cincinnati, Revenue,
Series R2, 6.25%, 6/1/09, Callable
12/1/02 @ 102....................... 1,080
2,875 University of Toledo, General
Receipts, 5.00%, 6/1/16, Callable
12/1/08 @ 101, FGIC................. 2,784
1,000 Wadsworth City School District, GO,
5.00%, 12/1/18, Callable 6/1/09 @
101 FGIC............................ 964
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$1,000 Wadsworth School District, 5.13%,
12/1/15, Callable 12/1/08 @ 101,
FGIC................................ $ 987
1,000 Westerville, Minerva Park & Blendon
Joint Township, Saint Ann's
Hospital, Series B, 6.80%, 9/15/06,
Callable 9/15/01 @ 102, AMBAC,
ETM................................. 1,077
2,750 Westerville, Minerva Park & Blendon
Joint Township, Saint Ann's
Hospital, Series B, 7.00%, 9/15/12,
Callable 9/15/01 @ 102, AMBAC,
ETM................................. 2,974
--------
220,744
--------
Texas (0.4%):
2,500 Southeast Texas Housing Financial
Corp., 0.00%, 9/1/17, ETM, MBIA..... 923
--------
Washington (0.5%):
1,000 State, GO, Series A & AT-6, 6.25%,
2/1/11.............................. 1,100
--------
Total Municipal Bonds 230,483
--------
INVESTMENT COMPANIES (2.1%):
286 Fidelity Ohio Tax Free Money Market
Fund................................ 286
349 One Group Ohio Municipal Money Market
Fund, Class I....................... 349
4,282 Provident Municipal Cash Fund......... 4,282
--------
Total Investment Companies 4,917
--------
Total (Cost $229,905) (a) $235,400
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $237,072.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $38. Cost of federal income tax purposes differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 7,597
Unrealized depreciation...................... (2,140)
-------
Net unrealized appreciation.................. $ 5,457
=======
</TABLE>
<TABLE>
<S> <C>
ACA Insured by American Capital Access
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
BIG Insured by Bond Insurance Guarantee
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FNMA Insured by Federal National Mortgage Association
FSA Insured by Federal Security Assurance
GNMA Insured by Government National Mortgage Association
GO General Obligation
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See notes to financial statements.
106
<PAGE> 109
- --------------------------------------------------------------------------------
One Group Mutual Funds
West Virginia Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS (99.1%):
Arizona (0.4%):
$1,000 Maricopa County, Industrial
Development Single Family Mortgage
Revenue, 0.00%, 12/31/14, ETM....... $ 437
--------
California (0.4%):
1,350 San Marcos Public Facilities, 0.00%,
9/1/19, ETM......................... 449
--------
Hawaii (0.4%):
400 State GO, Series BT, 8.13%, 2/1/00.... 411
--------
Maryland (0.7%):
2,860 Prince Georges County, Housing
Authority Revenue, Foxglenn Apts.,
Series A, AMT, 0.00%, 5/20/22,
Callable 5/20/00 @ 28.732, GNMA..... 788
--------
Ohio (0.8%):
500 Columbus, GO, 8.13%, 5/1/04........... 578
250 Public Community Facilities, Higher
Education Cap, Revenue, Series II-B,
5.38%, 11/1/00, AMBAC............... 255
--------
833
--------
Puerto Rico (1.0%):
1,000 Industrial Tourist, Educational,
Medical and Environmental Control
Facilities, Auxilio Mutuo Hospital
Obligation Group, 5.80%, 7/1/06,
Callable 1/1/05 @ 102, MBIA......... 1,065
--------
Texas (0.7%):
1,850 Port Arthur Housing Financial Corp.,
0.00%, 3/1/15, ETM.................. 791
--------
Virginia (0.2%):
200 State Public School Authority Revenue,
Series A, 6.30%, 8/1/01............. 209
--------
West Virginia (94.5%):
170 Bath & Waterworks Revenue, 5.80%,
9/1/19, Callable 9/1/07 @ 102....... 167
1,000 Berkeley County, Building Community,
Hospital Revenue, City Hospital
Project, 6.50%, 11/1/09, Callable
11/1/02 @ 102....................... 1,054
1,000 Berkeley County, Education Board, GO,
5.50%, 4/1/01....................... 1,022
800 Berkeley County, Education Board, GO,
5.55%, 4/1/02....................... 824
900 Berkeley County, Education Board, GO,
5.60%, 4/1/03....................... 934
500 Berkeley County, Education Board, GO,
5.00%, 6/1/08, Callable 6/1/05 @
100, FGIC........................... 504
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,525 Brooke Pleasants Tyler Wetzed
Counties, Single Family Mortgage
Revenue, 7.40%, 8/15/10, ETM........ $ 1,831
1,000 Building Commission Lease Revenue
Jail, Series A, 5.38%, 7/1/18,
AMBAC............................... 1,002
150 Cabell County, Education Board, GO,
6.20%, 5/1/00, MBIA, ETM............ 153
1,670 Cabell County, Education Board, GO,
6.60%, 5/1/04, MBIA, ETM............ 1,824
1,500 Cabell County, Education Board, GO,
6.00%, 5/1/06, MBIA, ETM............ 1,618
70 Charles Town Residential Mortgage,
Revenue, Series A, 5.40%, 9/1/02.... 72
70 Charles Town Residential Mortgage,
Revenue, Series A, 5.56%, 3/1/03.... 72
55 Charles Town Residential Mortgage,
Revenue, Series A, 5.70%, 9/1/04,
Callable 3/1/03 @ 102............... 57
1,020 Charleston Building Community, Lease
Revenue, 5.30%, 6/1/12, Callable
6/01/09 @ 102....................... 1,006
1,555 Charleston Building Community, Parking
Facility Revenue, Capital
Appreciation, 0.00%, 12/1/17........ 481
1,570 Charleston Building Community, Parking
Facility Revenue, Capital
Appreciation, 0.00%, 12/1/18........ 454
1,570 Charleston Building Community, Parking
Facility Revenue, Capital
Appreciation, 0.00%, 12/1/19........ 424
400 Charleston Building Community, Parking
Facility Revenue, Capital
Appreciation, 0.00%, 12/1/20........ 101
1,010 Charleston Parking Revenue, Series B,
6.75%, 6/1/08, Callable 12/1/04 @
102................................. 1,115
2,330 Charleston Urban Renewal Authority
Lease Revenue, 5.05%, 12/15/14,
Callable 12/15/09 @ 103............. 2,280
500 Charleston Urban Renewal Authority
Lease Revenue, 5.25%, 12/15/18,
Callable 12/15/09 @ 103............. 490
1,020 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty, 0.00%,
9/1/08, FSA......................... 646
1,000 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty, 0.00%,
9/1/11, FSA......................... 531
</TABLE>
107
Continued
<PAGE> 110
- --------------------------------------------------------------------------------
One Group Mutual Funds
West Virginia Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,000 Clarksburg Water Revenue, Capital
Appreciation, Asset Guaranty, 0.00%,
9/1/12, FSA......................... $ 500
1,270 Fairmont General Hospital Revenue,
5.15%, 11/1/07...................... 1,251
790 Fairmont Waterworks Revenue, 5.30%,
7/1/09, Callable 7/1/07 @ 102,
MBIA................................ 811
925 Fairmont Waterworks Revenue, 5.50%,
7/1/12, Callable 7/1/07 @ 102,
MBIA................................ 951
2,500 Harrison County, Board of Education,
GO, 6.40%, 5/1/07, FGIC............. 2,774
2,000 Harrison County, Community Special
Obligation Revenue, Series A, 6.25%,
5/15/10, ETM........................ 2,201
1,500 Harrison County, Education Board, GO,
6.30%, 5/1/05,...................... 1,634
505 Harrison County, Healthcare Building
Revenue, Maplewood Retirement
Center, 5.00%, 4/1/12, Callable
4/1/08 @ 102, AMBAC................. 491
500 Harrison County, Healthcare Building
Revenue, Maplewood Retirement
Center, 5.10%, 4/1/13, Callable
4/1/08 @ 102, AMBAC................. 488
735 Jackson County, Residential Mortgage
Revenue, 7.38%, 6/1/10, Callable
6/1/99 @ 100, FGIC, ETM............. 879
4,260 Kanawha Mercer Nicholas Counties,
Single Family Mortgage Revenue,
0.00%, 2/1/15, Prerefunded 2/1/14 @
89.85............................... 1,722
5,195 Kanawha-Putnam County, Single Family
Mortgage Revenue, Series A, 0.00%,
12/1/16, AMBAC, ETM................. 2,009
1,638 Keyser Housing Corp. Mortgage Revenue,
7.25%, 4/1/21, Callable 11/1/99 @
100, FHA............................ 1,651
1,065 Marion County, Single Family Mortgage
Revenue, 7.38%, 8/1/11, FGIC, ETM... 1,281
500 Marshall County, Special Obligation,
6.50%, 5/15/10, ETM................. 555
1,000 Monongalia County, Board of Education,
GO, 7.00%, 4/1/03, MBIA............. 1,091
440 Monongalia County, Board of Education,
GO, 7.00%, 4/1/04, MBIA............. 487
300 Monongalia County, Board of Education,
GO, 7.00%, 4/1/05, MBIA............. 337
1,000 Monongalia County, Building Community,
Healthcare Revenue, 5.75%, 11/15/14,
Callable 11/15/02 @ 102............. 983
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,295 Parkersburg Waterworks & Sewer System
Revenue, 5.50%, 3/1/10, Callable
9/1/06 @ 102, FSA................... $ 1,343
1,335 Parkersburg Waterworks & Sewer System
Revenue, 5.50%, 9/1/10, Callable
9/1/06 @ 102, FSA................... 1,384
900 Parkersburg Waterworks & Sewer System
Revenue, 5.70%, 9/1/13, Callable
9/1/06 @ 102, FSA................... 941
2,500 Pleasants County, Pollution Control
Revenue, Potomac Power, 6.15%,
5/1/15, Callable 5/1/05 @ 102,
AMBAC............................... 2,669
1,000 Pleasants County, Pollution Control
Revenue, Potomac Power, 6.15%,
5/1/15, Callable 5/1/05 @ 102,
MBIA................................ 1,067
1,750 Pleasants County, Pollution Control
Revenue, West Penn Power, 6.15%,
5/1/15, Callable 5/1/05 @ 102,
AMBAC............................... 1,868
1,015 Putnam County, Pollution Control
Revenue, FMC Corp., 5.63%, 10/1/13,
Callable 10/1/07 @ 102.............. 1,001
2,000 Randolph County, Health Systems
Revenue, Davis Health Systems, Inc.,
5.20%, 11/1/15, Callable 11/1/13 @
100, FSA............................ 1,960
1,750 School Building Authority Revenue,
Capital Improvement, 6.25%, 7/1/01,
MBIA................................ 1,822
1,000 School Building Authority Revenue,
Capital Improvement, 5.50%, 7/1/11,
Callable 7/1/07 @ 102, AMBAC........ 1,031
800 School Building Authority Revenue,
Capital Improvement, Series B,
6.80%, 7/1/00, MBIA................. 826
1,000 School Building Authority Revenue,
Capital Improvement, Series B,
6.90%, 7/1/02, Callable 7/1/00 @
102, MBIA........................... 1,053
500 School Building Authority Revenue,
Capital Improvement, Series B,
6.95%, 7/1/03, Prerefunded 7/1/00 @
102, MBIA........................... 527
200 School Building Authority Revenue,
Capital Improvement, Series B,
6.75%, 7/1/06, MBIA................. 224
1,000 School Building Authority Revenue,
Capital Improvement, Series B,
6.00%, 7/1/12, Callable 7/1/02 @
100, MBIA........................... 1,040
1,500 State, 5.25%, 6/1/12, Callable 6/1/08
@ 101, FGIC......................... 1,514
</TABLE>
108
Continued
<PAGE> 111
- --------------------------------------------------------------------------------
One Group Mutual Funds
West Virginia Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$ 500 State Building Common Lease Revenue,
6.70%, 7/1/02, Prerefunded 7/1/00 @
102, MBIA........................... $ 526
1,000 State Building, Lottery Commission
Revenue, Series A, 5.25%, 7/1/08,
Callable 7/1/07 @ 102, MBIA......... 1,021
1,000 State Building, Lottery Commission
Revenue, Series A, 5.25%, 7/1/09,
Callable 7/1/07 @ 102, MBIA......... 1,018
250 State GO, 5.25%, 3/1/01, Callable
3/1/00 @ 100........................ 250
200 State GO, 5.70%, 6/1/01, Callable
9/13/99 @ 100....................... 202
1,200 State GO, 6.10%, 6/1/03, Callable
9/13/99 @ 100.5..................... 1,208
300 State GO, Series A, 5.30%, 2/1/00..... 303
600 State GO, Series A, 5.40%, 2/1/01..... 612
2,500 State GO, Series A, 5.50%, 2/1/02..... 2,577
1,000 State GO, Series B, AMT, 5.80%,
11/1/11, Callable 11/1/06 @ 102,
FGIC................................ 1,060
1,000 State GO, Series B, AMT, 5.85%,
11/1/12, Callable 11/1/06 @ 102,
FGIC................................ 1,063
1,160 State GO, Series B, AMT, 5.10%,
11/1/15, Callable 11/1/08 @ 102,
FGIC................................ 1,123
625 State Hospital Finance Authority,
Hospital Revenue, 5.50%, 1/1/02,
MBIA................................ 642
500 State Hospital Finance Authority,
Hospital Revenue, 5.70%, 1/1/04,
Callable 1/1/02 @ 102, MBIA......... 522
2,350 State Hospital Finance Authority,
Hospital Revenue, 5.10%, 6/1/06,
Callable 6/1/03 @ 102, MBIA......... 2,389
1,000 State Hospital Finance Authority,
Hospital Revenue, 5.13%, 9/1/06,
Callable 9/1/05 @ 102, MBIA......... 1,021
1,000 State Hospital Finance Authority,
Hospital Revenue, 5.75%, 9/1/13,
Callable 9/1/05 @ 102, MBIA......... 1,039
190 State Housing Development, 6.30%,
11/1/03, Callable 5/1/02 @ 103,
FHA................................. 200
195 State Housing Development, 6.40%,
5/1/04, Callable 5/1/02 @ 103,
FHA................................. 207
205 State Housing Development, 6.40%,
11/1/04, Callable 5/1/02 @ 103,
FHA................................. 218
245 State Housing Development, 6.75%,
11/1/10, Callable 5/1/02 @ 103,
FHA................................. 262
315 State Housing Development, 6.75%,
5/1/11, Callable 5/1/02 @ 103,
FHA................................. 336
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$ 320 State Housing Development, 6.75%,
11/1/11, Callable 5/1/02 @ 103,
FHA................................. $ 342
1,000 State Housing Development, 5.05%,
11/1/14, Callable 5/1/08 @ 101.5.... 972
1,000 State Housing Development, 5.10%,
11/1/15, Callable 5/1/08 @ 101.5.... 971
1,000 State Housing Development, 5.80%,
5/1/17, Callable 5/1/07 @ 102....... 1,049
655 State Housing Development, AMT, 5.65%,
11/1/15, Callable 11/1/07 @ 102..... 667
1,500 State Roads, 5.20%, 6/1/14............ 1,496
1,000 State Roads, GO, 5.00%, 6/1/14,
Callable 6/1/08 @ 101, FGIC......... 977
1,520 State Single Family Housing Mortgage
Revenue, 5.30%, 8/1/13, Callable
8/1/07 @ 102, GNMA/FNMA............. 1,527
1,500 State University Revenue, 5.75%,
4/1/03, AMBAC....................... 1,571
1,500 State University Revenue, 5.75%,
4/1/04, Callable 4/1/03 @ 102,
AMBAC............................... 1,582
1,000 State University Revenue, 6.00%,
4/1/07, Callable 4/1/03 @ 102,
AMBAC............................... 1,066
1,000 State University Revenue, 6.00%,
4/1/12, Callable 4/1/03 @ 102,
AMBAC............................... 1,059
100 State Water Development Authority
Revenue, Loan Program, Series A,
7.30%, 11/1/99...................... 101
100 State Water Development Authority
Revenue, Loan Program, Series A,
7.40%, 11/1/00...................... 104
130 State Water Development Authority
Revenue, Loan Program, Series A,
6.90%, 11/1/01...................... 137
160 State Water Development Authority
Revenue, Loan Program, Series A,
7.10%, 11/1/04, Callable 11/1/01 @
102................................. 172
2,000 State Water Development Authority
Revenue, Loan Program, Series A,
7.00%, 11/1/11, Callable 11/1/01 @
102, FSA............................ 2,155
1,715 University Revenue, Series A, 5.30%,
5/1/12, Callable 11/1/07 @ 101,
AMBAC............................... 1,732
1,125 University Revenue, Series A, 5.25%,
4/1/13, Callable 4/1/08 @ 102,
AMBAC............................... 1,128
1,500 University Revenues, Dorm Project A,
5.00%, 5/1/18, Callable 11/1/07 @
101, AMBAC.......................... 1,432
</TABLE>
109
Continued
<PAGE> 112
- --------------------------------------------------------------------------------
One Group Mutual Funds
West Virginia Municipal Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
West Virginia, continued:
$1,000 University Revenues, Series A, 5.13%,
4/1/17, Callable 4/1/08 @ 102,
AMBAC............................... $ 973
750 University Revenues, State University
System, Marshall University Library,
5.60%, 4/1/11, Callable 4/1/06 @
101, AMBAC.......................... 777
1,000 West Virginia Capital Appreciation-
Infrastructure-A, 5.15%, 11/1/13,
FGIC................................ 472
1,000 Wheeling Waterworks & Sewer System
Revenue, 5.40%, 6/1/11, Callable
6/1/07 @ 100, FGIC.................. 1,021
1,200 Wheeling Waterworks & Sewer System
Revenue, Series C, 6.60%, 6/1/12,
Prerefunded 6/1/02 @ 100, FGIC...... 1,278
--------
103,588
--------
Total Municipal Bonds 108,571
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (1.4%):
8 One Group Municipal Money Market Fund,
Class I............................. $ 8
1,485 Provident Municipal Cash Fund......... 1,486
--------
Total Investment Companies 1,494
--------
Total (Cost $106,996)(a) $110,065
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $109,466.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $3,850
Unrealized depreciation...................... (781)
------
Net unrealized appreciation.................. $3,069
======
</TABLE>
<TABLE>
<S> <C>
AMBAC Insured by AMBAC Indemnity Corp.
AMT Alternative Minimum Tax Paper
ETM Escrowed to Maturity
FGIC Insured by Federal Guarantee Insurance Corp.
FHA Insured by Federal Housing Administration
FSA Insured by Federal Security Assurance
GO General Obligation
GNMA Insured by Government National Mortgage Association
MBIA Insured by Municipal Bond Insurance Association
</TABLE>
See notes to financial statements.
110
<PAGE> 113
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
ARIZONA
SHORT-TERM INTERMEDIATE TAX-FREE MUNICIPAL MUNICIPAL
MUNICIPAL TAX-FREE BOND INCOME BOND
BOND FUND BOND FUND FUND FUND FUND
---------- ------------ --------- ---------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $133,234; $1,048,924;
$806,131; $1,035,036; $230,362; respectively)....... $133,317 $1,059,761 $829,009 $1,037,014 $234,980
Cash.................................................. -- -- 1,445 8 --
Dividends receivable.................................. 2,314 15,341 12,358 13,582 5,109
Receivable for capital shares issued.................. -- 30 44 2,674 --
Receivable from investment securities sold............ -- 1,671 5,007 6,022 --
Unamortized organization cost......................... 30 -- 1 -- --
Prepaid expenses and other assets..................... 14 8 3 9 4
-------- ---------- -------- ---------- --------
TOTAL ASSETS.......................................... 135,675 1,076,811 847,867 1,059,309 240,093
-------- ---------- -------- ---------- --------
LIABILITIES:
Cash overdraft........................................ -- 7,026 -- -- --
Dividends payable..................................... 406 3,952 3,273 4,032 908
Payable to brokers for investments purchased.......... 221 7,424 7,382 9,785 3,189
Payable for capital shares redeemed................... -- 16 157 74 --
Accrued expenses and other payables:
Investment advisory fees.......................... 31 333 271 303 77
Administration fees............................... 14 129 91 142 29
12b-1 Fees........................................ 1 28 15 240 2
Other............................................. 31 252 143 307 89
-------- ---------- -------- ---------- --------
TOTAL LIABILITIES..................................... 704 19,160 11,332 14,883 4,294
-------- ---------- -------- ---------- --------
NET ASSETS:
Capital............................................... 134,884 1,053,794 815,703 1,048,012 229,617
Undistributed (distributions in excess of) net
investment income................................... 7 231 10 18 --
Accumulated undistributed net realized gains (losses)
from investment transactions........................ (3) (7,211) (2,056) (5,582) 1,564
Net unrealized appreciation (depreciation) from
investments......................................... 83 10,837 22,878 1,978 4,618
-------- ---------- -------- ---------- --------
NET ASSETS............................................ $134,971 $1,057,651 $836,535 $1,044,426 $235,799
======== ========== ======== ========== ========
NET ASSETS
Class I........................................... $132,902 $1,013,839 $795,839 $ 744,647 $233,360
Class A........................................... 1,843 34,725 38,253 188,143 1,799
Class B........................................... 226 9,087 2,443 97,899 640
Class C........................................... -- -- -- 13,737 --
-------- ---------- -------- ---------- --------
Total................................................. $134,971 $1,057,651 $836,535 $1,044,426 $235,799
======== ========== ======== ========== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES)
Class I........................................... 13,258 94,971 63,994 75,096 23,950
Class A........................................... 184 3,255 3,074 18,918 186
Class B........................................... 23 850 196 9,880 66
Class C........................................... -- -- -- 1,387 --
-------- ---------- -------- ---------- --------
Total................................................. 13,465 99,076 67,264 105,281 24,202
======== ========== ======== ========== ========
Net Asset Value:
Class I -- offering and redemption price per
share........................................... $ 10.02 $ 10.68 $ 12.44 $ 9.92 $ 9.74
======== ========== ======== ========== ========
Class A -- Redemption price per share............. $ 10.01 $ 10.67 $ 12.44 $ 9.95 $ 9.67
======== ========== ======== ========== ========
Class A -- Maximum sales charge................... 3.00% 4.50% 4.50% 4.50% 4.50%
======== ========== ======== ========== ========
Class A -- Maximum offering price per share
(100%/(100% -- maximum sales charge) of net
asset value adjusted to nearest cent)........... $ 10.32 $ 11.17 $ 13.03 $ 10.42 $ 10.13
======== ========== ======== ========== ========
Class B -- Offering price per share (a)........... $ 10.05 $ 10.69 $ 12.44 $ 9.91 $ 9.75
======== ========== ======== ========== ========
Class C -- Offering price per share (a)........... $ -- $ -- $ -- $ 9.91 $ --
======== ========== ======== ========== ========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C share varies based on length of
time shares are held.
See notes to financial statements.
111
<PAGE> 114
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
OHIO WEST
KENTUCKY LOUISIANA MICHIGAN MUNICIPAL VIRGINIA
MUNICIPAL MUNICIPAL MUNICIPAL BOND MUNICIPAL
BOND FUND BOND FUND BOND FUND FUND BOND FUND
--------- ------------ --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $142,309; $187,840;
$332,161; $229,905; $106,996; respectively)......... $146,644 $191,528 $335,523 $235,400 $110,065
Dividends receivable.................................. 2,196 2,914 3,844 2,367 1,347
Receivable for capital shares issued.................. 36 70 88 480 100
Receivable from investment securities sold............ 958 -- 482 -- --
Prepaid expenses and other assets..................... 2 3 2 3 3
-------- -------- -------- -------- --------
TOTAL ASSETS.......................................... 149,836 194,515 339,939 238,250 111,515
-------- -------- -------- -------- --------
LIABILITIES:
Cash overdraft........................................ -- 349 -- -- --
Dividends payable..................................... 579 735 1,274 902 436
Payable to brokers for investments purchased.......... 981 -- -- -- 1,489
Payable for capital shares redeemed................... 1 82 -- 4 --
Accrued expenses and other payables:
Investment advisory fees.......................... 44 62 108 71 34
Administration fees............................... 19 24 37 33 13
12b-1 Fees........................................ 27 49 13 86 19
Other............................................. 58 96 74 82 58
-------- -------- -------- -------- --------
TOTAL LIABILITIES..................................... 1,709 1,397 1,506 1,178 2,049
-------- -------- -------- -------- --------
NET ASSETS:
Capital............................................... 145,524 189,291 334,582 235,950 106,359
Undistributed (distributions in excess of) net
investment income................................... -- -- 9 5 --
Accumulated undistributed net realized gains (losses)
from investment transactions........................ (1,732) 139 480 (4,378) 38
Net unrealized appreciation (depreciation) from
investments......................................... 4,335 3,688 3,362 5,495 3,069
-------- -------- -------- -------- --------
NET ASSETS............................................ $148,127 $193,118 $338,433 $237,072 $109,466
======== ======== ======== ======== ========
NET ASSETS
Class I........................................... $122,917 $106,294 $309,445 $160,493 $ 98,391
Class A........................................... 10,075 75,958 22,217 26,876 3,570
Class B........................................... 15,135 10,866 6,771 49,703 7,505
-------- -------- -------- -------- --------
Total................................................. $148,127 $193,118 $338,433 $237,072 $109,466
======== ======== ======== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I........................................... 12,143 10,669 29,137 14,924 9,877
Class A........................................... 995 7,624 2,090 2,492 356
Class B........................................... 1,504 1,090 659 4,577 748
-------- -------- -------- -------- --------
Total................................................. 14,642 19,383 31,886 21,993 10,981
======== ======== ======== ======== ========
Net Asset Value:
Class I -- offering and redemption price per
share........................................... $ 10.12 $ 9.96 $ 10.62 $ 10.75 $ 9.96
======== ======== ======== ======== ========
Class A -- Redemption price per share............. $ 10.13 $ 9.96 $ 10.63 $ 10.78 $ 10.03
======== ======== ======== ======== ========
Class A -- Maximum sales charge................... 4.50% 4.50% 4.50% 4.50% 4.50%
======== ======== ======== ======== ========
Class A -- Maximum offering price per share
(100%/(100% -- maximum sales charge) of net
asset value adjusted to nearest cent)........... $ 10.61 $ 10.43 $ 11.13 $ 11.29 $ 10.50
======== ======== ======== ======== ========
Class B -- Offering price per share (a)........... $ 10.06 $ 9.97 $ 10.28 $ 10.86 $ 10.03
======== ======== ======== ======== ========
</TABLE>
- ------------
(a) Redemption price per Class B share varies based on length of time shares are
held.
See notes to financial statements.
112
<PAGE> 115
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
INTERMEDIATE
SHORT-TERM TAX-FREE TAX-FREE
MUNICIPAL BOND FUND BOND FUND BOND FUND
------------------------------------ ------------- ---------------------------------
FOR THE SIX FOR THE PERIOD FROM FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED MAY 4, 1998 TO ENDED MONTHS ENDED ENDED
JUNE 30, 1999 DECEMBER 31, 1998(B) JUNE 30, 1999 JUNE 30, 1999 DECEMBER 31, 1998
------------- -------------------- ------------- ------------- -----------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest Income................ $ 2,688 $2,036 $ 35,119 $ 22,690 $30,709
Dividend Income................ 31 -- 108 93 --
------- ------ -------- -------- -------
Total Income................... 2,719 2,036 35,227 22,783 30,709
------- ------ -------- -------- -------
EXPENSES:
Investment advisory fees....... 296 186 4,154 1,851 2,358
Administration fees............ 96 70 1,123 679 884
12b-1 fees (Class A)........... 2 --(a) 74 59 99
12b-1 fees (Class B)........... 1 --(a) 75 10 17
12b-1 fees (Class C)........... -- -- -- -- --
Custodian and accounting
fees.......................... 7 25 81 60 87
Legal and audit fees........... 8 19 28 30 48
Trustees' fees and expenses.... 2 --(a) 9 18 6
Transfer agent fees............ 10 2 57 52 47
Amortization of deferred
organization costs............ 4 5 -- 1 1
Registration and filing fees... 60 8 76 99 90
Printing costs................. 8 2 85 88 13
Other.......................... -- 11 10 1 162
------- ------ -------- -------- -------
Total Expenses before
waivers....................... 494 328 5,772 2,948 3,812
Less waivers and
reimbursements................ (109) (41) (1,537) (164) --
------- ------ -------- -------- -------
Net Expenses................... 385 287 4,235 2,784 3,812
------- ------ -------- -------- -------
Net Investment Income.......... 2,334 1,749 30,992 19,999 26,897
------- ------ -------- -------- -------
REALIZED / UNREALIZED GAINS
(LOSSES) FROM INVESTMENTS:
Net realized gains (losses)
from investment
transactions.................. (4) 56 (2,945) (2,056) 2,787
Net change in unrealized
appreciation (depreciation)
from investments.............. (1,639) 669 (31,081) (33,577) 6,497
------- ------ -------- -------- -------
Net realized/unrealized gains
(losses) from investments..... (1,643) 725 (34,026) (35,633) 9,284
------- ------ -------- -------- -------
Change in net assets resulting
from operations............... $ 691 $2,474 $ (3,034) $(15,634) $36,181
======= ====== ======== ======== =======
<CAPTION>
MUNICIPAL ARIZONA
INCOME MUNICIPAL
FUND BOND FUND
------------ ------------
FOR THE YEAR FOR THE YEAR
ENDED ENDED
JUNE 30, JUNE 30,
1999 1999
------------ ------------
<S> <C> <C>
INVESTMENT INCOME:
Interest Income................ $ 49,953 $12,694
Dividend Income................ 665 44
-------- -------
Total Income................... 50,618 12,738
-------- -------
EXPENSES:
Investment advisory fees....... 4,154 1,103
Administration fees............ 1,499 398
12b-1 fees (Class A)........... 518 6
12b-1 fees (Class B)........... 777 4
12b-1 fees (Class C)........... 60 --
Custodian and accounting
fees.......................... 101 32
Legal and audit fees........... 15 5
Trustees' fees and expenses.... 12 3
Transfer agent fees............ 100 37
Amortization of deferred
organization costs............ -- --
Registration and filing fees... 178 33
Printing costs................. 99 20
Other.......................... 14 5
-------- -------
Total Expenses before
waivers....................... 7,527 1,646
Less waivers and
reimbursements................ (1,110) (149)
-------- -------
Net Expenses................... 6,417 1,497
-------- -------
Net Investment Income.......... 44,201 11,241
-------- -------
REALIZED / UNREALIZED GAINS
(LOSSES) FROM INVESTMENTS:
Net realized gains (losses)
from investment
transactions.................. 470 2,448
Net change in unrealized
appreciation (depreciation)
from investments.............. (21,731) (8,561)
-------- -------
Net realized/unrealized gains
(losses) from investments..... (21,261) (6,113)
-------- -------
Change in net assets resulting
from operations............... $ 22,940 $ 5,128
======== =======
</TABLE>
- ------------
(a) Amount is less than $1,000.
(b) Period from commencement of operations.
See notes to financial statements.
113
<PAGE> 116
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
KENTUCKY LOUISIANA MICHIGAN OHIO WEST VIRGINIA
MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL
BOND FUND BOND FUND BOND FUND BOND FUND BOND FUND
------------- ------------- --------------------------------- ------------- -------------
FOR THE YEAR FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED MONTHS ENDED ENDED ENDED ENDED
JUNE 30, 1999 JUNE 30, 1999 JUNE 30, 1999 DECEMBER 31, 1998 JUNE 30, 1999 JUNE 30, 1999
------------- ------------- ------------- ----------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest Income............... $ 7,767 $10,209 $ 8,552 $ 9,036 $11,888 $ 6,010
Dividend Income............... 40 49 51 -- 80 50
------- ------- -------- ------- ------- -------
Total Income.................. 7,807 10,258 8,603 9,036 11,968 6,060
------- ------- -------- ------- ------- -------
EXPENSES:
Investment advisory fees...... 654 1,169 697 700 1,328 510
Administration fees........... 236 316 255 262 360 184
12b-1 fees (Class A).......... 31 275 32 48 77 15
12b-1 fees (Class B).......... 109 89 17 13 383 58
Custodian and accounting
fees......................... 34 37 24 49 37 23
Legal and audit fees.......... 9 9 14 35 7 5
Trustees' fees and expenses... 2 3 5 2 2 1
Transfer agent fees........... 50 62 25 21 54 38
Registration and filing
fees......................... 32 35 84 22 37 34
Printing costs................ 16 20 27 6 21 10
Other......................... 2 4 1 66 4 2
------- ------- -------- ------- ------- -------
Total Expenses before
waivers...................... 1,175 2,019 1,181 1,224 2,310 880
Less waivers and
reimbursements............... (169) (554) (66) (13) (667) (126)
------- ------- -------- ------- ------- -------
Net Expenses.................. 1,006 1,465 1,115 1,211 1,643 754
------- ------- -------- ------- ------- -------
Net Investment Income......... 6,801 8,793 7,488 7,825 10,325 5,306
------- ------- -------- ------- ------- -------
REALIZED / UNREALIZED GAINS
(LOSSES) FROM INVESTMENTS:
Net realized gains (losses)
from investment
transactions................. (52) 201 480 810 (494) 110
Net change in unrealized
appreciation (depreciation)
from investments............. (4,095) (5,727) (13,062) 1,875 (6,916) (3,453)
------- ------- -------- ------- ------- -------
Net realized/unrealized gains
(losses) from investments.... (4,147) (5,526) (12,582) 2,685 (7,410) (3,343)
------- ------- -------- ------- ------- -------
Change in net assets resulting
from operations.............. $ 2,654 $ 3,267 $ (5,094) $10,510 $ 2,915 $ 1,963
======= ======= ======== ======= ======= =======
</TABLE>
See notes to financial statements.
114
<PAGE> 117
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INTERMEDIATE TAX-FREE
BOND FUND BOND FUND
------------------------------ -----------------------------
FOR THE PERIOD
FROM MAY 4,
FOR THE SIX 1998 TO FOR THE YEAR FOR THE YEAR
MONTHS ENDED DECEMBER 31, ENDED ENDED
JUNE 30, 1999 1998(b) JUNE 30, 1999 JUNE 30, 1998
------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ 2,334 $ 1,749 $ 30,992 $ 22,892
Net realized gains (losses) from
investment transactions............ (4) 56 (2,945) 5,307
Net change in unrealized appreciation
(depreciation) from investments.... (1,639) 669 (31,081) 7,769
-------- -------- ---------- --------
Change in net assets resulting from
operations............................. 691 2,474 (3,034) 35,968
-------- -------- ---------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........... (2,318) (1,733) (29,832) (22,232)
From net realized gains from
investment transactions............ (23) (32) (7,647) (3,217)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........... (18) (4) (891) (487)
From net realized gains from
investment transactions............ --(a) --(a) (229) (68)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........... (2) (1) (269) (173)
From net realized gain from
investment transactions............ --(a) --(a) (102) (31)
-------- -------- ---------- --------
Change in net assets from shareholder
distributions.......................... (2,361) (1,770) (38,970) (26,208)
-------- -------- ---------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......... 34,831 29,003 137,548 122,240
Proceeds from shares issued in
conversion......................... -- 95,766 50,518 --
Proceeds from shares issued in
Pegasus acquisition................ -- -- 493,231 --
Dividends reinvested................. 97 274 3,434 2,765
Cost of shares redeemed.............. (17,254) (6,780) (98,936) (83,758)
-------- -------- ---------- --------
Change in net assets from share
transactions........................... 17,674 118,263 585,795 41,247
-------- -------- ---------- --------
Change in net assets.................... 16,004 118,967 543,791 51,007
NET ASSETS:
Beginning of period.................. 118,967 -- 513,860 462,853
-------- -------- ---------- --------
End of period........................ $134,971 $118,967 $1,057,651 $513,860
======== ======== ========== ========
SHARE TRANSACTIONS:
Issued............................... 3,445 2,916 12,475 11,002
Issued in conversion................. -- 9,463 4,541 --
Issued in Pegasus acquisition........ -- -- 44,634 --
Reinvested........................... 9 -- 310 249
Redeemed............................. (1,701) (666) (8,985) (7,543)
-------- -------- ---------- --------
Change in shares........................ 1,753 11,713 52,975 3,708
======== ======== ========== ========
<CAPTION>
TAX-FREE BOND FUND
-----------------------------------------------------
FOR THE SIX FOR THE YEAR FOR THE YEAR
MONTHS ENDED ENDED ENDED
JUNE 30, 1999 DECEMBER 31, 1998 DECEMBER 31, 1997
------------- ----------------- -----------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ 19,999 $ 26,897 $ 18,743
Net realized gains (losses) from
investment transactions............ (2,056) 2,787 2,051
Net change in unrealized appreciation
(depreciation) from investments.... (33,577) 6,497 13,549
-------- -------- --------
Change in net assets resulting from
operations............................. (15,634) 36,181 34,343
-------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........... (19,877) (25,026) (17,511)
From net realized gains from
investment transactions............ (710) (1,639) --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........... (887) (1,770) (1,484)
From net realized gains from
investment transactions............ (30) (86) --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........... (41) (63) (36)
From net realized gain from
investment transactions............ (2) (4) --
-------- -------- --------
Change in net assets from shareholder
distributions.......................... (21,547) (28,588) (19,031)
-------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......... 55,742 110,237 103,258
Proceeds from shares issued in
conversion......................... -- 449,204 --
Proceeds from shares issued in
Pegasus acquisition................ -- -- --
Dividends reinvested................. 1,502 2,333 1,504
Cost of shares redeemed.............. (74,561) (70,189) (96,347)
-------- -------- --------
Change in net assets from share
transactions........................... (17,317) 491,585 8,415
-------- -------- --------
Change in net assets.................... (54,498) 499,178 23,727
NET ASSETS:
Beginning of period.................. 891,033 391,855 368,128
-------- -------- --------
End of period........................ $836,535 $891,033 $391,855
======== ======== ========
SHARE TRANSACTIONS:
Issued............................... 4,321 8,596 8,309
Issued in conversion................. -- 34,802 --
Issued in Pegasus acquisition........ -- -- --
Reinvested........................... 116 180 120
Redeemed............................. (5,807) (5,418) (7,745)
-------- -------- --------
Change in shares........................ (1,370) 38,160 684
======== ======== ========
</TABLE>
- ------------
(a) Amount less than $1,000.
(b) Period from commencement of operations.
See notes to financial statements.
115
<PAGE> 118
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
MUNICIPAL ARIZONA MUNICIPAL KENTUCKY MUNICIPAL
INCOME FUND BOND FUND BOND FUND
----------------------------- ----------------------------- -----------------------------
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, 1999 JUNE 30, 1998 JUNE 30, 1999 JUNE 30, 1998 JUNE 30, 1999 JUNE 30, 1998
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.......... $ 44,201 $ 31,124 $ 11,241 $ 12,353 $ 6,801 $ 6,390
Net realized gains (losses)
from investment
transactions................. 470 2,557 2,448 3,573 (52) 119
Net change in unrealized
appreciation (depreciation)
from investments............. (21,731) 12,210 (8,561) 550 (4,095) 2,318
---------- -------- -------- -------- -------- --------
Change in net assets resulting
from operations.................. 22,940 45,891 5,128 16,476 2,654 8,827
---------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income..... (34,013) (25,751) (11,155) (12,296) (5,985) (5,949)
From net realized gains from
investment transactions...... -- -- (3,594) (1,813) -- --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income..... (6,846) (3,418) (70) (56) (395) (293)
From net realized gains from
investment transactions...... -- -- (20) (7) -- --
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income..... (3,104) (1,923) (16) (1) (421) (148)
From net realized gain from
investment transactions...... -- -- (5) --(a) -- --
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment income..... (238) (32) -- -- -- --
---------- -------- -------- -------- -------- --------
Change in net assets from
shareholder distributions........ (44,201) (31,124) (14,860) (14,173) (6,801) (6,390)
---------- -------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.... 472,181 323,602 26,965 34,060 34,005 27,438
Proceeds from shares issued in
conversion................... -- 46,179 -- -- -- --
Dividends reinvested........... 8,108 4,009 1,122 41 550 314
Cost of shares redeemed........ (193,419) (96,404) (32,757) (43,458) (17,981) (19,272)
---------- -------- -------- -------- -------- --------
Change in net assets from share
transactions..................... 286,870 277,386 (4,670) (9,357) 16,574 8,480
---------- -------- -------- -------- -------- --------
Change in net assets.............. 265,609 292,153 (14,402) (7,054) 12,427 10,917
NET ASSETS:
Beginning of period............ 778,817 486,664 250,201 257,255 135,700 124,783
---------- -------- -------- -------- -------- --------
End of period.................. $1,044,426 $778,817 $235,799 $250,201 $148,127 $135,700
========== ======== ======== ======== ======== ========
SHARE TRANSACTIONS:
Issued......................... 46,535 32,215 2,683 3,350 3,263 2,650
Issued in conversion........... -- 4,581 -- -- -- --
Reinvested..................... 797 399 112 4 53 30
Redeemed....................... (19,085) (9,602) (3,240) (4,282) (1,722) (1,862)
---------- -------- -------- -------- -------- --------
Change in shares.................. 28,247 27,593 (445) (928) 1,594 818
========== ======== ======== ======== ======== ========
</TABLE>
- ------------
(a) Amount is less than 1,000.
See notes to financial statements.
116
<PAGE> 119
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
LOUISIANA
MUNICIPAL MICHIGAN MUNICIPAL OHIO MUNICIPAL
BOND FUND BOND FUND BOND FUND
------------------- -------------------------------------- -------------------
FOR THE
FOR THE FOR THE SIX FOR THE FOR THE
YEAR YEAR MONTHS FOR THE YEAR FOR THE YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, JUNE 30,
1999 1998 1999 1998 1997 1999 1998
-------- -------- -------- ------------ ------------ -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............ $ 8,793 $ 7,337 $ 7,488 $ 7,825 $ 3,234 $ 10,325 $ 8,797
Net realized gains (losses) from
investment transactions........ 201 968 480 810 (145) (494) 257
Net change in unrealized
appreciation (depreciation)
from investments............... (5,727) 1,590 (13,062) 1,875 3,141 (6,916) 2,911
-------- -------- -------- -------- ------- -------- --------
Change in net assets resulting from
operations......................... 3,267 9,895 (5,094) 10,510 6,230 2,915 11,965
-------- -------- -------- -------- ------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income....... (5,005) (4,929) (7,069) (6,900) (2,399) (7,834) (7,209)
From net realized gains from
investment transactions........ (207) -- (22) (481) -- -- --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income....... (3,453) (2,237) (475) (849) (815) (1,004) (794)
From net realized gains from
investment transactions........ (113) -- (2) (33) -- -- --
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income....... (335) (171) (64) (50) (13) (1,487) (794)
From net realized gain from
investment transactions........ (13) -- --(a) (3) -- -- --
-------- -------- -------- -------- ------- -------- --------
Change in net assets from shareholder
distributions...................... (9,126) (7,337) (7,632) (8,316) (3,227) (10,325) (8,797)
-------- -------- -------- -------- ------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued...... 42,692 15,023 53,249 49,388 26,315 86,264 57,251
Proceeds from shares issued in
Marquis acquisition............ 51,579 -- -- -- -- -- --
Proceeds from shares issued in
conversion..................... -- -- -- 207,445 -- -- --
Dividends reinvested............. 2,446 1,558 532 1,328 988 2,005 1,266
Cost of shares redeemed.......... (42,982) (39,568) (26,280) (17,861) (9,737) (37,112) (31,962)
-------- -------- -------- -------- ------- -------- --------
Change in net assets from share
transactions....................... 53,735 (22,987) 27,501 240,300 17,566 51,157 26,555
-------- -------- -------- -------- ------- -------- --------
Change in net assets................. 47,876 (20,429) 14,775 242,494 20,569 43,747 29,723
NET ASSETS:
Beginning of period.............. 145,242 165,671 323,658 $ 81,164 60,595 193,325 163,602
-------- -------- -------- -------- ------- -------- --------
End of period.................... $193,118 $145,242 $338,433 $323,658 $81,164 $237,072 $193,325
======== ======== ======== ======== ======= ======== ========
SHARE TRANSACTIONS:
Issued........................... 4,132 1,468 4,896 4,529 2,478 7,736 5,175
Issued in acquisition............ 5,037 -- -- -- -- -- --
Issued in conversion............. -- -- -- 18,876 -- -- --
Reinvested....................... 238 152 48 121 93 179 114
Redeemed......................... (4,182) (3,865) (2,401) (1,611) (923) (3,349) (2,889)
-------- -------- -------- -------- ------- -------- --------
Change in shares..................... 5,225 (2,245) 2,543 21,915 1,648 4,566 2,400
======== ======== ======== ======== ======= ======== ========
<CAPTION>
WEST VIRGINIA
MUNICIPAL BOND
FUND
-------------------
FOR THE FOR THE
YEAR YEAR
ENDED ENDED
JUNE 30, JUNE 30,
1999 1998
-------- --------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............ $ 5,306 $ 5,119
Net realized gains (losses) from
investment transactions........ 110 126
Net change in unrealized
appreciation (depreciation)
from investments............... (3,453) 2,009
-------- --------
Change in net assets resulting from
operations......................... 1,963 7,254
-------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income....... (4,900) (4,999)
From net realized gains from
investment transactions........ (127) (33)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income....... (186) (60)
From net realized gains from
investment transactions........ (4) --(a)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income....... (220) (60)
From net realized gain from
investment transactions........ (6) --(a)
-------- --------
Change in net assets from shareholder
distributions...................... (5,443) (5,152)
-------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued...... 23,588 23,999
Proceeds from shares issued in
Marquis acquisition............ -- --
Proceeds from shares issued in
conversion..................... -- --
Dividends reinvested............. 338 114
Cost of shares redeemed.......... (18,769) (16,118)
-------- --------
Change in net assets from share
transactions....................... 5,157 7,995
-------- --------
Change in net assets................. 1,677 10,097
NET ASSETS:
Beginning of period.............. 107,789 97,692
-------- --------
End of period.................... $109,466 $107,789
======== ========
SHARE TRANSACTIONS:
Issued........................... 2,282 2,345
Issued in acquisition............ -- --
Issued in conversion............. -- --
Reinvested....................... 33 11
Redeemed......................... (1,819) (1,579)
-------- --------
Change in shares..................... 496 777
======== ========
</TABLE>
- ------------
(a) Amount less than $1,000.
See notes to financial statements.
117
<PAGE> 120
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999
1. ORGANIZATION:
The One Group Mutual Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end investment
company established as a Massachusetts business trust. The accompanying
financial statements and financial highlights are those of the Short-Term
Municipal Bond Fund (previously the Pegasus Short Municipal Bond Fund),
Intermediate Tax-Free Bond Fund, Tax-Free Bond Fund (previously the Pegasus
Municipal Bond Fund), Municipal Income Fund, Arizona Municipal Bond Fund,
Kentucky Municipal Bond Fund, Louisiana Municipal Bond Fund, Michigan
Municipal Bond Fund (previously the Pegasus Michigan Municipal Bond Fund),
Ohio Municipal Bond Fund, and West Virginia Municipal Bond Fund,
(individually a "Fund", collectively the "Funds") only. Each Fund is a
non-diversified mutual fund, except for Short-Term Municipal Bond Fund,
Intermediate Tax-Free Bond Fund, Tax-Free Bond Fund and Municipal Income
Fund, which are diversified.
The Trust entered into an Agreement and Plan of Reorganization (the "Marquis
Agreement") with the Marquis Family of Funds ("Marquis"), a Massachusetts
business trust. Pursuant to the Marquis Agreement, all of the assets and
liabilities of each Marquis Fund transferred to a Fund of the One Group on
August 10, 1998 in exchange for shares of the corresponding Fund of the One
Group.
The Trust entered into an Agreement and Plan of Reorganization (the "Pegasus
Agreement") with the Pegasus Funds ("Pegasus"), a Massachusetts business
trust. Pursuant to the Pegasus Agreement, all of the assets and liabilities
of each Pegasus Fund transferred to a Fund of the One Group on March 22, 1999
in exchange for shares of the corresponding Fund of the One Group. Subsequent
to the reorganization, the fiscal year end changed from December 31 to June
30 for the Short-Term Municipal Bond Fund, the Tax-Free Bond Fund and the
Michigan Municipal Bond Fund. Therefore, the most recent period presented for
the statements of operations, statements of changes in net assets and
financial highlights for those Funds present the results for the six months
ended June 30, 1999. Capital and share transactions for the periods prior to
March 22, 1999 represent the predecessor fund.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
--------------------------------- ---------------------------------------------------------
<S> <C>
Short-Term Municipal Bond Fund Seeks as high a level of current income exempt from
Federal income tax as is consistent with relative
stability of principal.
Intermediate Tax-Free Bond Fund Seeks current income exempt from Federal income taxes
consistent with prudent investment management and the
preservation of capital.
Tax-Free Bond Fund Seeks as high a level of current income exempt from
Federal income tax as is consistent with relative
stability of principal.
Municipal Income Fund Seeks current income exempt from Federal income taxes.
Arizona Municipal Bond Fund Seeks current income exempt from Federal income tax and
Arizona personal income tax, consistent with the
preservation of principal.
Kentucky Municipal Bond Fund Seeks current income exempt from Federal income tax and
Kentucky personal income tax, consistent with the
preservation of principal.
Louisiana Municipal Bond Fund Seeks current income both consistent with the
preservation of principal and exempt from Federal income
tax and Louisiana income tax. \
</TABLE>
118
Continued
<PAGE> 121
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
FUND OBJECTIVE
--------------------------------- ---------------------------------------------------------
<S> <C>
Michigan Municipal Bond Fund Seeks current income exempt from Federal income tax and
Michigan personal income tax, consistent with the
preservation of principal.
Ohio Municipal Bond Fund Seeks current income exempt from Federal income tax and
Ohio personal income tax, consistent with the
preservation of principal.
West Virginia Municipal Bond Fund Seeks current income exempt from Federal income tax and
West Virginia personal income tax, consistent with the
preservation of principal.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses for the
period. Actual results could differ from those estimates.
SECURITY VALUATION
Debt securities (other than short-term investments maturing in 60 days or
less), including municipal securities, are valued on the basis of
valuations provided by dealers or by an independent pricing service
approved by the Board of Trustees. Short-term investments maturing in 60
days or less are valued at amortized cost, which approximates market
value. Futures contracts are valued at the settlement price established
each day by the board of trade or an exchange on which they are traded.
Options traded on an exchange are valued using the last sale price or, in
the absence of a sale, the last offering price. Options traded
over-the-counter are valued using dealer-supplied valuations. Investments
for which there are no such quotations or valuations are valued at fair
value as determined in good faith by the Fair Value Committee, which is
comprised of members from Banc One Investment Advisors Corporation (the
"Advisor") and the One Group Services Company (the "Administrator"),
under the direction of the Board of Trustees.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that are
deemed by the Advisor to be of good standing and creditworthy under
guidelines established by the Board of Trustees. Each repurchase
agreement is recorded at cost. The Fund requires that the securities
purchased in a repurchase agreement transaction be transferred to the
custodian in a manner sufficient to enable the Fund to obtain those
securities in the event of a counterparty default. The seller, under the
repurchase agreement, is required to maintain the value of the securities
held at not less than the repurchase price, including accrued interest.
Repurchase agreements are considered to be loans by a fund under the 1940
Act.
WRITTEN OPTIONS
The Funds may write covered call or secured put options for which
premiums received are recorded as liabilities and are subsequently
adjusted to the current value of the options written. Premiums received
from writing options, which expire, are treated as realized gains.
Premiums received from writing options, which are either exercised or
closed, are offset against the proceeds received or amount paid on the
transaction to determine realized gains or losses.
119
Continued
<PAGE> 122
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
FUTURES CONTRACTS
The Funds may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or for the change in the
value of a specified financial index over a predetermined time period.
Cash or securities are deposited with brokers in order to maintain a
position. Subsequent payments made or received by the Fund based on the
daily change in the market value of the position are recorded as
unrealized appreciation or depreciation until the contract is closed out,
at which time the appreciation or depreciation is realized.
INDEXED SECURITIES
The Funds may invest in indexed securities whose value is linked either
directly or inversely to changes in foreign currencies, interest rates,
commodities, indices or other referenced instruments. Indexed securities
may be more volatile than the referenced instrument itself, but any loss
is limited to the amount of the original investment.
SECURITIES LENDING
To generate additional income, the Funds may lend up to 33 1/3% of
securities in which they are invested pursuant to agreements requiring
that the loan be continuously secured by cash, U.S. Government or U.S.
Government Agency securities, shares of an investment trust or mutual
fund, letters of credit or any combination of cash, such securities,
shares or letters of credit as collateral equal at all times to at least
100% of the market value plus accrued interest on the securities lent.
The Funds continue to earn interest on securities lent while
simultaneously seeking to earn interest on the investment of cash
collateral. Collateral is marked to market daily to provide a level of
collateral at least equal to the market value of securities lent. There
may be risks of delay in recovery of the securities or even loss of
rights in the collateral should the borrower of the securities fail
financially. However, loans will be made only to borrowers deemed by the
Advisor to be of good standing and creditworthy under guidelines
established by the Board of Trustees and when, in the judgment of the
Advisor, the consideration which can be earned currently from such
securities loans justifies the attendant risks. Loans are subject to
termination by the Funds or the borrower at any time, and are, therefore,
not considered to be illiquid investments. As of June 30, 1999, the Funds
had no securities on loan.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net
realized gains or losses from sales of securities are determined on the
specific identification cost method. Interest income and expenses are
recognized on the accrual basis. Dividends are recorded on the
ex-dividend date. Interest income, including any discount or premium, is
accrued as earned using the effective interest method.
EXPENSES
Expenses directly attributable to a Fund are charged directly to that
Fund, while the expenses which are attributable to more than one fund of
the Trust are allocated among the respective Funds. Each class of shares
bears its pro-rata portion of expenses attributable to its series, except
that each class separately bears expenses related specifically to that
class, such as distribution fees.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly
for the Funds. Net realized capital gains, if any, are distributed at
least annually. Dividends are declared separately for each class. No
class has preferential dividend rights; differences in per share dividend
rates are due to differences in separate class expenses.
120
Continued
<PAGE> 123
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations which may differ
from generally accepted accounting principles. These differences are
primarily due to differing treatments for mortgage-backed securities,
expiring capital loss carryforwards, and deferrals of certain losses.
Permanent book and tax basis differences have been reclassified among the
components of net assets.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment
company by complying with the provisions available to certain investment
companies as defined in applicable sections of the Internal Revenue Code,
and to make distributions from net investment income and from net
realized capital gains sufficient to relieve it from all, or
substantially all, Federal income taxes.
DEFERRED ORGANIZATION COSTS
Organization costs for Funds commencing operations prior to June 30, 1998
are amortized on a straight-line basis over a five year period beginning
with the commencement of operations of each fund.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-nine series and five classes of shares: Class I, Class A, Class B,
Class C and Service Class (Prior to November 1, 1998, Class I was known as
Fiduciary Class). Currently, the Trust consists of forty-nine active funds.
The funds are each authorized to issue Class I, Class A, Class B, and Class C
shares. Class A shares are subject to initial sales charges, imposed at the
time of purchase, in accordance with the funds' prospectus. Certain
redemptions of Class B and Class C shares are subject to contingent deferred
sales charges in accordance with the funds' prospectus. As of June 30, 1999,
there were no shareholders in Class C of the funds except for the Municipal
Income Fund. Shareholders are entitled to one vote for each full share held
and vote in the aggregate and not by class or series, except as otherwise
expressly required by law or when the Board of Trustees has determined that
the matter to be voted on affects only the interest of shareholders of a
particular class or series. The following is a summary of transactions in
fund shares for the periods noted:
121
Continued
<PAGE> 124
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INTERMEDIATE TAX-FREE TAX-FREE
BOND FUND BOND FUND BOND FUND
----------------------- --------------------- --------------------------------------
PERIOD MAY 4, YEAR YEAR PERIOD YEAR YEAR
ENDED 1998 TO ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998(a) 1999 1998 1999 1998 1997
-------- ------------ --------- --------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......... $32,888 $ 28,335 $125,858 $111,699 $43,899 $ 89,326 $ 90,800
Proceeds from shares issued in
conversion........................ -- 95,766 50,518 -- -- 449,204 --
Proceeds from shares issued in
Pegasus acquisition............... -- -- 471,982 -- -- -- --
Dividends reinvested................ 80 271 2,422 2,191 795 1,162 633
Cost of shares redeemed............. (16,716) (6,780) (90,415) (80,781) (55,106) (60,985) (87,732)
------- -------- -------- -------- -------- -------- --------
Change in net assets from Class I
Share transactions................ $16,252 $117,592 $560,365 $ 33,109 $(10,412) $478,707 $ 3,701
======= ======== ======== ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued......... $ 1,774 $ 558 $ 7,787 $ 7,828 $11,193 $ 19,917 $ 11,724
Proceeds from shares issued in
Pegasus acquisition............... -- -- 20,534 -- -- -- --
Dividends reinvested................ 15 2 715 408 678 1,123 843
Cost of shares redeemed............. (484) -- (7,422) (2,369) (19,172) (8,974) (8,455)
------- -------- -------- -------- -------- -------- --------
Change in net assets from Class A
Share transactions................ $ 1,305 $ 560 $ 21,614 $ 5,867 $(7,301) $ 12,066 $ 4,112
======= ======== ======== ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued......... $ 169 $ 110 $ 3,903 $ 2,713 $ 650 $ 994 $ 734
Proceeds from shares issued in
Pegasus acquisition............... -- -- 715 -- -- -- --
Dividends reinvested................ 2 1 297 166 29 48 28
Cost of shares redeemed............. (54) -- (1,099) (608) (283) (231) (160)
------- -------- -------- -------- -------- -------- --------
Change in net assets from Class B
Share transactions................ $ 117 $ 111 $ 3,816 $ 2,271 $ 396 $ 811 $ 602
======= ======== ======== ======== ======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................. 3,252 2,850 11,419 10,053 3,394 6,980 7,312
Issued in conversion................ -- 9,463 4,541 -- -- 34,802 --
Issued in Pegasus acquisition....... -- -- 42,711 -- -- -- --
Reinvested.......................... 8 -- 219 197 62 89 51
Redeemed............................ (1,648) (666) (8,209) (7,275) (4,300) (4,707) (7,051)
------- -------- -------- -------- -------- -------- --------
Change in Class I Shares............ 1,612 11,647 50,681 2,975 (844) 37,164 312
======= ======== ======== ======== ======== ======== ========
CLASS A SHARES:
Issued.............................. 176 55 706 705 876 1,539 939
Issued in Pegasus acquisition....... -- -- 1,858 -- -- -- --
Reinvested.......................... 1 --(b) 64 37 52 87 67
Redeemed............................ (48) -- (676) (214) (1,485) (694) (681)
------- -------- -------- -------- -------- -------- --------
Change in Class A Shares............ 129 55 1,952 528 (557) 932 325
======= ======== ======== ======== ======== ======== ========
CLASS B SHARES:
Issued.............................. 17 11 350 244 51 77 58
Issued in Pegasus acquisition....... -- -- 65 -- -- -- --
Reinvested.......................... -- --(b) 27 15 2 4 2
Redeemed............................ (5) -- (100) (54) (22) (18) (13)
------- -------- -------- -------- -------- -------- --------
Change in Class B Shares............ 12 11 342 205 31 63 47
======= ======== ======== ======== ======== ======== ========
</TABLE>
- ------------
(a) Period from commencement of operations.
(b) Amount is less than 1,000.
122
Continued
<PAGE> 125
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
MUNICIPAL ARIZONA MUNICIPAL KENTUCKY MUNICIPAL
INCOME FUND BOND FUND BOND FUND
------------------- ------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998 1999 1998
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.............. $214,044 $220,026 $25,638 $32,085 $19,845 $ 21,000
Proceeds from shares issued in
conversion............................. -- 46,179 -- -- -- --
Dividends reinvested..................... 64 44 1,082 -- 8 11
Cost of shares redeemed.................. (72,581) (69,016) (32,308) (41,541) (15,769) (17,905)
-------- -------- -------- -------- -------- --------
Change in net assets from Class I Share
transactions........................... $141,527 $197,233 $(5,588) $(9,456) $ 4,084 $ 3,106
======== ======== ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued.............. $193,257 $77,150 $ 963 $ 1,686 $ 3,399 $ 3,088
Dividends reinvested..................... 5,621 2,621 31 41 261 217
Cost of shares redeemed.................. (108,374) (21,365) (449) (1,917) (1,207) (1,062)
-------- -------- -------- -------- -------- --------
Change in net assets from Class A Share
transactions........................... $90,504 $58,406 $ 545 $ (190) $ 2,453 $ 2,243
======== ======== ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued.............. $50,465 $24,239 $ 364 $ 289 $10,761 $ 3,350
Dividends reinvested..................... 2,235 1,319 9 -- 281 86
Cost of shares redeemed.................. (9,665) (6,014) -- -- (1,005) (305)
-------- -------- -------- -------- -------- --------
Change in net assets from Class B Share
transactions........................... $43,035 $19,544 $ 373 $ 289 $10,037 $ 3,131
======== ======== ======== ======== ======== ========
CLASS C SHARES:
Proceeds from shares issued.............. $14,415 $ 2,187
Dividends reinvested..................... 188 25
Cost of shares redeemed.................. (2,799) (9)
-------- --------
Change in net assets from Class C Share
transactions........................... $11,804 $ 2,203
======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued................................... 21,119 21,915 2,551 3,154 1,901 2,029
Issued in conversion..................... -- 4,581 -- -- -- --
Reinvested............................... 6 4 108 -- 1 1
Redeemed................................. (7,166) (6,882) (3,196) (4,092) (1,509) (1,730)
-------- -------- -------- -------- -------- --------
Change in Class I Shares................. 13,959 19,618 (537) (938) 393 300
======== ======== ======== ======== ======== ========
CLASS A SHARES:
Issued................................... 19,009 7,666 96 167 326 297
Reinvested............................... 552 260 3 4 25 21
Redeemed................................. (10,686) (2,120) (44) (190) (115) (103)
-------- -------- -------- -------- -------- --------
Change in Class A Shares................. 8,875 5,806 55 (19) 236 215
======== ======== ======== ======== ======== ========
CLASS B SHARES:
Issued................................... 4,982 2,416 36 29 1,036 324
Reinvested............................... 220 132 1 -- 27 8
Redeemed................................. (956) (599) -- -- (98) (29)
-------- -------- -------- -------- -------- --------
Change in Class B Shares................. 4,246 1,949 37 29 965 303
======== ======== ======== ======== ======== ========
CLASS C SHARES:
Issued................................... 1,425 218
Reinvested............................... 19 3
Redeemed................................. (277) (1)
-------- --------
Change in Class C Shares................. 1,167 220
======== ========
</TABLE>
123
Continued
<PAGE> 126
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL MICHIGAN MUNICIPAL OHIO MUNICIPAL
BOND FUND BOND FUND BOND FUND
------------------- ------------------------------ -------------------
YEAR YEAR PERIOD YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER DECEMBER JUNE 30, JUNE 30,
1999 1998 1999 31, 1998 31, 1997 1999 1998
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......... $20,995 $ 7,654 $41,357 $41,309 $23,854 $40,536 $37,277
Proceeds from shares issued in
acquisition....................... 15,090 -- -- -- -- -- --
Proceeds from shares issued in
conversion........................ -- -- -- 207,445 -- -- --
Dividends reinvested................ 171 7 126 629 347 34 41
Cost of shares redeemed............. (19,498) (30,030) (19,178) (14,329) (6,574) (25,022) (23,179)
-------- -------- -------- -------- -------- -------- --------
Change in net assets from Class I
Share transactions................ $16,758 $(22,369) $22,305 $235,054 $17,627 $15,548 $14,139
======== ======== ======== ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued......... $16,545 $ 5,295 $ 6,796 $ 6,878 $ 1,863 $15,718 $ 5,696
Proceeds from shares issued in
acquisition....................... 34,487 -- -- -- -- -- --
Dividends reinvested................ 2,039 1,436 370 671 636 816 637
Cost of shares redeemed............. (21,854) (8,929) (6,989) (3,525) (3,140) (6,121) (5,438)
-------- -------- -------- -------- -------- -------- --------
Change in net assets from Class A
Share transactions................ $31,217 $(2,198) $ 177 $ 4,024 $ (641) $10,413 $ 895
======== ======== ======== ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued......... $ 5,152 $ 2,074 $ 5,096 $ 1,202 $ 597 $30,010 $14,278
Proceeds from shares issued in
acquisition....................... 2,002 -- -- -- -- -- --
Dividends reinvested................ 236 115 36 28 5 1,155 588
Cost of shares redeemed............. (1,630) (609) (113) (7) (22) (5,969) (3,345)
-------- -------- -------- -------- -------- -------- --------
Change in net assets from Class B
Share transactions................ $ 5,760 $ 1,580 $ 5,019 $ 1,223 $ 580 $25,196 $11,521
======== ======== ======== ======== ======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................. 2,034 747 3,788 3,794 2,244 3,649 3,381
Issued in Marquis acquisition....... 1,474 -- -- -- -- -- --
Issued in conversion................ -- -- -- 18,876 -- -- --
Reinvested.......................... 17 1 11 57 33 3 4
Redeemed............................ (1,891) (2,934) (1,750) (1,290) (623) (2,261) (2,097)
-------- -------- -------- -------- -------- -------- --------
Change in Class I Shares............ 1,634 (2,186) 2,049 21,437 1,654 1,391 1,288
======== ======== ======== ======== ======== ======== ========
CLASS A SHARES:
Issued.............................. 1,602 519 623 623 176 1,416 513
Issued in Marquis acquisition....... 3,368 -- -- -- -- -- --
Reinvested.......................... 198 140 34 61 60 73 57
Redeemed............................ (2,133) (872) (640) (320) (298) (554) (491)
-------- -------- -------- -------- -------- -------- --------
Change in Class A Shares............ 3,035 (213) 17 364 (62) 935 79
======== ======== ======== ======== ======== ======== ========
CLASS B SHARES:
Issued.............................. 496 202 485 113 58 2,671 1,281
Issued in Marquis acquisition....... 195 -- -- -- -- -- --
Reinvested.......................... 23 11 3 3 --(a) 103 53
Redeemed............................ (158) (59) (11) (1) (2) (534) (301)
-------- -------- -------- -------- -------- -------- --------
Change in Class B Shares............ 556 154 477 115 56 2,240 1,033
======== ======== ======== ======== ======== ======== ========
<CAPTION>
WEST VIRGINIA
MUNICIPAL
BOND FUND
-------------------
YEAR YEAR
ENDED ENDED
JUNE 30, JUNE 30,
1999 1998
-------- --------
<S> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......... $13,880 $ 19,752
Proceeds from shares issued in
acquisition....................... -- --
Proceeds from shares issued in
conversion........................ -- --
Dividends reinvested................ 46 38
Cost of shares redeemed............. (14,873) (15,715)
-------- --------
Change in net assets from Class I
Share transactions................ $ (947) $ 4,075
======== ========
CLASS A SHARES:
Proceeds from shares issued......... $ 4,559 $ 1,552
Proceeds from shares issued in
acquisition....................... -- --
Dividends reinvested................ 144 48
Cost of shares redeemed............. (3,013) (398)
-------- --------
Change in net assets from Class A
Share transactions................ $ 1,690 $ 1,202
======== ========
CLASS B SHARES:
Proceeds from shares issued......... $ 5,149 $ 2,695
Proceeds from shares issued in
acquisition....................... -- --
Dividends reinvested................ 148 28
Cost of shares redeemed............. (883) (5)
-------- --------
Change in net assets from Class B
Share transactions................ $ 4,414 $ 2,718
======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................. 1,349 1,933
Issued in Marquis acquisition....... -- --
Issued in conversion................ -- --
Reinvested.......................... 5 4
Redeemed............................ (1,443) (1,539)
-------- --------
Change in Class I Shares............ (89) 398
======== ========
CLASS A SHARES:
Issued.............................. 438 150
Issued in Marquis acquisition....... -- --
Reinvested.......................... 14 5
Redeemed............................ (291) (39)
-------- --------
Change in Class A Shares............ 161 116
======== ========
CLASS B SHARES:
Issued.............................. 495 262
Issued in Marquis acquisition....... -- --
Reinvested.......................... 14 2
Redeemed............................ (85) (1)
-------- --------
Change in Class B Shares............ 424 263
======== ========
</TABLE>
- ------------
(a) Amount is less than 1,000.
124
Continued
<PAGE> 127
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
4. INVESTMENT ADVISORY, ADMINISTRATIVE, AND DISTRIBUTION AGREEMENTS:
The Trust and the Adviser are parties to an investment advisory agreement
under which the Advisor is entitled to receive an annual fee, computed daily
and paid monthly, equal to the following percentages of the Fund's average
net assets: 0.60% of the Short-Term Municipal Bond Fund, the Intermediate
Tax-Free Bond Fund, the Louisiana Municipal Bond Fund and the Ohio Municipal
Bond Fund; 0.45% of the Tax-Free Bond Fund, the Municipal Income Fund, the
Arizona Municipal Bond Fund, the Kentucky Municipal Bond Fund, the Michigan
Municipal Bond Fund and the West Virginia Municipal Bond Fund.
Prior to March 22, 1999 the Pegasus Funds and First Chicago NBD Investment
Management Company ("FCNIMCO") were parties to an investment advisory
agreement under which the Advisor was entitled to a fee, computed daily and
paid monthly, at an annual rate of 0.40% of the average net assets of the
Short-Term Municipal Bond Fund, the Tax-Free Bond Fund and the Michigan
Municipal Bond Fund.
The Trust and the Administrator, a wholly-owned subsidiary of The BISYS
Group, Inc., are parties to an administrative agreement under which the
Administrator provides services for a fee that is computed daily and paid
monthly, at an annual rate of 0.20% on the first $1.5 billion of Trust net
assets (excluding the Investor Growth Fund, the Investor Growth & Income
Fund, the Investor Conservative Fund, and the Investor Balanced Fund, the
"Investor Funds" and the Treasury Only Money Market Fund, the Government
Money Market Fund and the Institutional Prime Money Market Fund (the
"Institutional Money Market Funds"), 0.18% on the next $0.5 billion of Trust
net assets (excluding the Investor Funds and the Institutional Money Market
Funds); and 0.16% of Trust net assets (excluding the Investor Funds and the
Institutional Money Market Funds) over $2 billion. The Advisor also serves as
Sub-Administrator to each fund of the Trust, pursuant to an agreement between
the Administrator and the Advisor. Pursuant to this agreement, the Advisor
performs many of the Administrator's duties, for which the Advisor receives a
fee paid by the Administrator.
Prior to March 22, 1999 FCNIMCO and BISYS Fund Services (the
"Co-Administrators") were parties to a Co-Administration agreement under
which the Co-Administrators were entitled to a fee, computed daily and paid
monthly, at an annual rate of 0.15% of the average net assets of the
Short-Term Municipal Bond Fund, the Tax-Free Bond Fund and the Michigan
Municipal Bond Fund.
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A, Class B, and Class C shares are subject to
distribution and shareholder services plans (the "Plans") pursuant to Rule
12b-1 under the 1940 Act. As provided in the Plans, the Trust will pay the
Distributor a fee of 0.35% of the average daily net assets of Class A shares
of each of the funds and 1.00% of the average daily net assets of the Class B
and Class C shares of each of the funds. Currently, the Distributor has
voluntarily agreed to limit payments under the Plans to 0.25%, 0.90% and
0.90% of average daily net assets of the Class A, Class B and Class C shares,
respectively, of each fund. Up to 0.25% of the fees payable under the Plans
may be used as compensation for shareholder services by the Distributor
and/or financial institutions and intermediaries. Fees paid under the Plans
may be applied by the Distributor toward (i) compensation for its services in
connection with distribution assistance or provision of shareholder services;
or (ii) payments to financial institutions and intermediaries such as banks
(including affiliates of the Advisor), brokers, dealers and other
institutions, including the Distributor's affiliates and subsidiaries as
compensation for services or reimbursement of expenses incurred in connection
with distribution assistance or provision of shareholder services. Class I
shares of each fund are offered without distribution fees. For the year ended
June 30, 1999, the Distributor received $173,660 from commissions earned on
sales of Class A shares and redemptions of Class B and Class C shares, of
which the Distributor reallowed $160,014 to affiliated broker/dealers of the
Funds.
125
Continued
<PAGE> 128
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
The Advisor, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the year ended June 30, 1999, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT 12b-1 FEES WAIVED
ADVISORY FEES ADMINISTRATION ---------------------------
WAIVED FEES WAIVED CLASS A CLASS B CLASS C
------------- --------------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Short-Term Municipal Bond Fund**............ $ 105 $ 4 $ -- $ --* $ --
Intermediate Tax-Free Bond Fund............. 1,481 27 21 8 --
Tax-Free Bond Fund **....................... 129 25 9 1 --
Municipal Income Fund....................... 878 -- 148 78 6
Arizona Municipal Bond Fund................. 104 43 2 --* --
Kentucky Municipal Bond Fund................ 131 18 9 11 --
Louisiana Municipal Bond Fund............... 423 44 78 9 --
Michigan Municipal Bond Fund **............. 50 10 5 1 --
Ohio Municipal Bond Fund.................... 606 -- 23 38 --
West Virginia Municipal Bond Fund........... 91 25 4 6 --
</TABLE>
- ---------------
*Amount is less than $1,000
**Amounts are for six months ended June 30, 1999.
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and purchased options) during the year ended
June 30, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
--------- --------
<S> <C> <C>
Short-Term Municipal Bond Fund*...................... $105,203 $ 90,927
Intermediate Tax-Free Bond Fund...................... 851,732 759,559
Tax-Free Bond Fund *................................. 325,070 391,167
Municipal Income Fund................................ 741,278 494,227
Arizona Municipal Bond Fund.......................... 39,500 49,207
Kentucky Municipal Bond Fund......................... 22,252 8,991
Louisiana Municipal Bond Fund........................ 41,058 37,489
Michigan Municipal Bond Fund *....................... 46,274 34,261
Ohio Municipal Bond Fund............................. 74,516 29,627
West Virginia Municipal Bond Fund.................... 21,771 16,909
</TABLE>
- ---------------
* Amounts are for six months ended June 30, 1999.
6. FINANCIAL INSTRUMENTS:
Investing in financial instruments such as written options, futures,
structured notes and indexed securities involves risks in excess of the
amounts reflected in the Statements of Assets and Liabilities. The face or
contract amounts reflect the extent of the involvement the Funds have in the
particular class of instrument. Risks associated with these instruments
include an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates, an
illiquid secondary market for the instruments or inability of counterparties
to perform under the terms of the contract. The Funds enter into these
contracts primarily as a means to hedge against adverse fluctuation in
securities.
7. CONCENTRATION OF CREDIT RISK:
The Arizona, Kentucky, Louisiana, Michigan, Ohio and West Virginia Municipal
Bond Funds invest primarily in debt obligations issued by the respective
States and their political subdivisions, agencies and public authorities to
obtain funds for various public purposes. The Funds are more susceptible to
economic and political factors
126
Continued
<PAGE> 129
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
adversely affecting issuers of the state's specific municipal securities than
are municipal bond funds that are not concentrated in these issuers to the
same extent.
8. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by FCNIMCO were
exchanged in a tax-free conversion for shares of the corresponding Funds
(Class I). The transactions were accounted for by a method followed for tax
purposes in a tax-free business combination. The following is a summary of
dates, shares issued, net asset value per share issued and unrealized
appreciation of assets acquired as of the conversion date:
<TABLE>
<CAPTION>
NET ASSET
SHARES NET ASSETS VALUE PER UNREALIZED
ISSUED CONVERTED SHARE ISSUED APPRECIATION
------ ---------- ------------ ------------
<S> <C> <C> <C> <C>
June 5, 1998
Tax-Free Bond Fund................................... 1,695 $ 21,792 $12.86 $ 1,386
August 21, 1998
Short-Term Municipal Bond Fund....................... 9,463 95,766 10.12 1,053
Tax-Free Bond Fund................................... 33,107 427,413 12.91 23,196
Michigan Municipal Bond Fund......................... 18,876 207,445 10.99 10,379
</TABLE>
On December 19, 1997, the net assets of certain common trust funds managed by
the Advisor were exchanged in a tax-free conversion for shares of the
corresponding One Group Fund. The transaction was accounted for by a method
followed for tax purposes in a tax-free business combination. The following
is a summary of shares issued, net assets converted, net asset value per
share issued and unrealized appreciation of assets acquired as of the
conversion date (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
NET VALUE
SHARES ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ --------- --------- ------------
<S> <C> <C> <C> <C>
Municipal Income Fund............................... 4,581 $46,179 $10.08 $1,820
February 21, 1999
Intermediate Tax-Free Bond Fund..................... 4,541 $50,518 $11.13 $1,888
</TABLE>
127
Continued
<PAGE> 130
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
9. MARQUIS REORGANIZATIONS:
The Trust entered an agreement and plan of reorganization and liquidation
("the Marquis Reorganization") with the Marquis Family of Funds (the "Marquis
Funds") pursuant to which all of the assets and liabilities of each Marquis
Fund transferred to a fund of the One Group in exchange for shares of the
corresponding fund of the One Group. The Marquis Reorganization, which
qualified as a tax-free exchange for Federal income tax purposes, was
completed on August 10, 1998 following approval by shareholders of the
Marquis Funds at a special Shareholder Meeting on July 30, 1998. The
following is a summary of shares outstanding, net assets, net asset value per
share issued and unrealized appreciation immediately before and after the
Marquis Reorganization (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------ --------------
MARQUIS LOUISIANA LOUISIANA LOUISIANA
TAX-FREE MUNICIPAL MUNICIPAL
INCOME FUND BOND FUND BOND FUND
----------------- --------- --------------
<S> <C> <C> <C>
Shares.............................................. 5,044 14,026 19,063
Net assets.......................................... $51,579 $143,628 $195,207
Net asset value:
Class I........................................... -- 10.24 10.24
Class A........................................... $ 10.23 10.24 10.24
Class B........................................... $ 10.23 10.24 10.24
Unrealized appreciation............................. $ 1,475 7,913 9,388
</TABLE>
10. PEGASUS REORGANIZATIONS:
The Trust entered an agreement and plan of reorganization and liquidation
("the Pegasus Reorganization") with the Pegasus Funds pursuant to which all
of the assets and liabilities of each Pegasus Fund transferred to a fund of
the One Group in exchange for shares of the corresponding fund of the One
Group. The Pegasus Reorganization, which qualified as a tax-free exchange for
Federal income tax purposes, was completed on March 21, 1999 following
approval by shareholders of the Pegasus Funds at a special Shareholder
Meeting. The following is a summary of shares outstanding, net assets, net
asset value per share issued and unrealized appreciation immediately before
and after the Pegasus Reorganization (amounts in thousands except per share
amounts):
<TABLE>
<CAPTION>
BEFORE AFTER
REORGANIZATION REORGANIZATION
------------------------------ --------------
SHORT- SHORT-TERM
PEGASUS SHORT TERM MUNICIPAL
MUNICIPAL MUNICIPAL BOND
BOND FUND BOND FUND FUND
----------------- --------- --------------
<S> <C> <C> <C>
Shares.............................................. 12,389 -- 12,389
Net assets.......................................... $125,675 -- $125,675
Net asset value:
Class I........................................... $ 10.14 -- $ 10.14
Class A........................................... $ 10.13 -- $ 10.13
Class B........................................... $ 10.18 -- $ 10.18
Unrealized appreciation............................. $ 1,490 -- $ 1,490
</TABLE>
128
Continued
<PAGE> 131
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
BEFORE AFTER
REORGANIZATION REORGANIZATION
--------------------------------- --------------
PEGASUS
INTERMEDIATE INTERMEDIATE INTERMEDIATE
MUNICIPAL TAX-FREE TAX-FREE BOND
BOND FUND BOND FUND FUND
----------------- ------------ --------------
<S> <C> <C> <C>
Shares.............................................. 40,404 54,578 99,212
Net assets.......................................... $493,231 $603,298 $1,096,529
Net asset value:
Class I........................................... 12.21 11.05 11.05
Class A........................................... 12.20 11.05 11.05
Class B........................................... 12.20 11.07 11.07
Unrealized appreciation............................. 16,153 23,576 39,729
</TABLE>
<TABLE>
<CAPTION>
BEFORE AFTER
REORGANIZATION REORGANIZATION
------------------------------ --------------
PEGASUS
MUNICIPAL TAX-FREE TAX-FREE BOND
BOND FUND BOND FUND FUND
----------------- --------- --------------
<S> <C> <C> <C>
Shares.............................................. 68,770 -- 68,770
Net assets.......................................... $887,243 -- $887,243
Net asset value:
Class I........................................... 12.90 -- 12.90
Class A........................................... 12.91 -- 12.91
Class B........................................... 12.90 -- 12.90
Unrealized appreciation............................. 49,137 -- 49,137
</TABLE>
<TABLE>
<CAPTION>
BEFORE AFTER
REORGANIZATION REORGANIZATION
------------------------------ --------------
MICHIGAN
PEGASUS MICHIGAN MICHIGAN MUNICIPAL
MUNICIPAL MUNICIPAL BOND
BOND FUND BOND FUND FUND
----------------- --------- --------------
<S> <C> <C> <C>
Shares.............................................. 29,971 -- 29,971
Net assets.......................................... $329,411 -- $329,411
Net asset value:
Class I........................................... 10.99 -- 10.99
Class A........................................... 10.99 -- 10.99
Class B........................................... 10.64 -- 10.63
Unrealized appreciation............................. 14,703 -- 14,703
</TABLE>
129
Continued
<PAGE> 132
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
11. SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED):
A Special Meeting of Shareholders of the One Group Mutual Funds was held on
May 17, 1999. At the meeting, shareholders voted on the approval of the
following proposals:
1. To elect the Board of Trustees of the One Group Mutual Funds.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ---------- ------- ------- ---------
<S> <C> <C> <C> <C>
Intermediate Tax-Free Bond Fund................... 51,566,548 -- 94,571 --
Municipal Income Fund............................. 93,678,006 -- 100,315 --
Arizona Municipal Bond Fund....................... 23,689,329 -- -- --
Kentucky Municipal Bond Fund...................... 13,265,230 -- 2,996 --
Louisiana Municipal Bond Fund..................... 15,771,627 -- 14,916 --
Ohio Municipal Bond Fund.......................... 20,322,344 -- 25,435 --
West Virginia Municipal Bond Fund................. 11,024,625 -- -- --
</TABLE>
2. To ratify the selection of independent accountants.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C>
Intermediate Tax-Free Bond Fund.................. 51,595,417 4,631 61,070 --
Municipal Income Fund............................ 93,648,227 17,257 112,837 --
Arizona Municipal Bond Fund...................... 23,689,329 -- -- --
Kentucky Municipal Bond Fund..................... 13,261,636 -- 6,590 --
Louisiana Municipal Bond Fund.................... 15,755,719 1,161 29,663 --
Ohio Municipal Bond Fund......................... 20,290,023 5,821 51,935 --
West Virginia Municipal Bond Fund................ 11,024,625 -- -- --
</TABLE>
3. To approve a change to a fundamental investment restriction by eliminating
language which prohibits One Group Mutual Funds from participating on a
joint or a joint and several basis in any trading account in securities.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C>
Intermediate Tax-Free Bond Fund.................. 50,329,513 41,744 72,942 1,216,920
Municipal Income Fund............................ 74,036,832 127,437 141,134 19,472,918
Arizona Municipal Bond Fund...................... 23,570,239 -- -- 119,090
Kentucky Municipal Bond Fund..................... 12,213,704 2,556 11,204 1,040,762
Louisiana Municipal Bond Fund.................... 12,306,843 146,677 56,577 3,276,446
Ohio Municipal Bond Fund......................... 15,299,637 31,486 62,174 4,954,482
West Virginia Municipal Bond Fund................ 10,081,744 999 1,750 940,132
</TABLE>
130
Continued
<PAGE> 133
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
12. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below details distributions from long-term capital
gains for the following funds for the fiscal year ended June 30, 1999
(amounts in thousands):
<TABLE>
<CAPTION>
DISTRIBUTIONS
-------------
<S> <C>
Short-Term Municipal Bond Fund.............................. 15
Intermediate Tax-Free Bond Fund............................. 5,103
Tax-Free Bond Fund.......................................... 728
Arizona Municipal Bond Fund................................. 3,596
Louisiana Municipal Bond Fund............................... 333
Michigan Municipal Bond Fund................................ 24
West Virginia Municipal Bond Fund........................... 108
</TABLE>
On June 30, 1999, the following Funds have capital loss carry forwards which
are available to offset future capital gains, if any (amounts in thousands):
<TABLE>
<CAPTION>
EXPIRES
------------------------------------------------------
FUND NAME 2001 2002 2003 2004 2005 TOTAL
--------- ------- ---- ------ ----- ------ ------
<S> <C> <C> <C> <C> <C> <C>
Municipal Income Fund....................... $-- $-- $1,801 $ -- $2,561 $4,362
Kentucky Municipal Bond Fund................ -- -- 1,067 483 -- 1,550
Ohio Municipal Bond Fund.................... -- -- 2,161 1,463 217 3,841
</TABLE>
The Funds designate the following exempt-interest dividends for the taxable
year ended June 30, 1999 (amounts in thousands):
<TABLE>
<CAPTION>
TAX-EXEMPT
DISTRIBUTION
------------
<S> <C>
Short-Term Municipal Bond Fund.............................. $ 2,447
Intermediate Tax-Free Bond Fund............................. 28,648
Tax-Free Bond Fund.......................................... 21,275
Municipal Income Fund....................................... 41,779
Arizona Municipal Bond Fund................................. 11,067
Kentucky Municipal Bond Fund................................ 6,638
Louisiana Municipal Bond Fund............................... 8,500
Michigan Municipal Bond Fund................................ 7,528
Ohio Municipal Bond Fund.................................... 10,007
West Virginia Municipal Bond Fund........................... 5,128
</TABLE>
POST OCTOBER LOSS DEFERRAL
Capital losses incurred after October 31 within a Fund's fiscal year are
deemed to arise on the first business day of the following fiscal year for
tax purposes. The following Funds have incurred and will elect to defer such
capital losses (amounts in thousands):
<TABLE>
<CAPTION>
POST OCTOBER
CAPITAL LOSSES
--------------
<S> <C>
Short-Term Municipal Bond Fund.............................. 4
Intermediate Tax-Free Bond Fund............................. 7,211
Tax-Free Bond Fund.......................................... 2,056
Municipal Income Fund....................................... 1,136
Kentucky Municipal Bond Fund................................ 183
Ohio Municipal Bond Fund.................................... 498
</TABLE>
131
<PAGE> 134
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
-------------------------------
CLASS I SHARES
-------------------------------
FOR THE SIX MAY 4, 1998
MONTHS ENDED TO
JUNE 30, DECEMBER 31,
1999 1998(a)
------------ ------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.16 $ 10.00
-------- --------
Investment Activities:
Net investment income..................................... 0.19 0.25
Net realized and unrealized gains (losses) from
investments............................................ (0.14) 0.16
-------- --------
Total from Investment Activities............................ 0.05 0.41
-------- --------
Distributions:
Net investment income..................................... (0.19) (0.25)
-------- --------
Total Distributions......................................... (0.19) (0.25)
-------- --------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.02 $ 10.16
======== ========
Total Return................................................ 0.50%(b) 4.15%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $132,902 $118,296
Ratio of expenses to average net assets................... 0.62%(c) 0.61%(c)
Ratio of net investment income to average net assets...... 3.79%(c) 3.75%(c)
Ratio of expenses to average net assets*.................. 0.80%(c) 0.70%(c)
Ratio of net investment income to average net assets*..... 3.61%(c) 3.66%(c)
Portfolio Turnover(d)..................................... 74.84% 32.23%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
132
<PAGE> 135
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
------------------------------
CLASS A SHARES
------------------------------
FOR THE SIX MAY 4, 1998
MONTHS ENDED TO
JUNE 30, DECEMBER 31,
1999 1998(a)
------------ ------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.15 $10.00
------ ------
Investment Activities:
Net investment income..................................... 0.19 0.22
Net realized and unrealized gains (losses) from
investments............................................ (0.15) 0.16
------ ------
Total from Investment Activities............................ 0.04 0.38
------ ------
Distributions:
Net investment income..................................... (0.18) (0.23)
------ ------
Total Distributions......................................... (0.18) (0.23)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.01 $10.15
====== ======
Total Return................................................ 0.37%(b) 3.89%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $1,843 $ 559
Ratio of expenses to average net assets................... 0.86%(c) 0.86%
Ratio of net investment income to average net assets...... 3.48%(c) 3.53%
Ratio of expenses to average net assets*.................. 1.16%(c) 0.99%
Ratio of net investment income to average net assets*..... 3.18%(c) 3.40%
Portfolio Turnover(d)..................................... 74.84% 32.23%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
133
<PAGE> 136
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL BOND FUND
------------------------------
CLASS B SHARES
------------------------------
FOR THE SIX MAY 4, 1998
MONTHS ENDED TO
JUNE 30, DECEMBER 31,
1999 1998(a)
------------ ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.19 $10.00
------ ------
Investment Activities:
Net investment income..................................... 0.15 0.13
Net realized and unrealized gains (losses) from
investments............................................ (0.14) 0.21
------ ------
Total from Investment Activities............................ 0.01 0.34
------ ------
Distributions:
Net investment income..................................... (0.15) (0.15)
------ ------
Total Distributions......................................... (0.15) (0.15)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.05 $10.19
====== ======
Total Return................................................ 0.11%(b) 3.48%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 226 $ 112
Ratio of expenses to average net assets................... 1.55%(c) 1.61%(c)
Ratio of net investment income to average net assets...... 2.80%(c) 2.43%(c)
Ratio of expenses to average net assets*.................. 1.80%(c) 1.68%(c)
Ratio of net investment income to average net assets*..... 2.55%(c) 2.36%(c)
Portfolio Turnover(d)..................................... 74.84% 32.23%(b)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
134
<PAGE> 137
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
----------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 11.15 $ 10.92 $ 10.67 $ 10.64 $ 10.49
---------- -------- -------- -------- --------
Investment Activities:
Net investment income....................... 0.50 0.52 0.54 0.52 0.54
Net realized and unrealized gains (losses)
from investments.......................... (0.30) 0.31 0.27 0.04 0.15
---------- -------- -------- -------- --------
Total from Investment Activities.............. 0.20 0.83 0.81 0.56 0.69
---------- -------- -------- -------- --------
Distributions:
Net investment income....................... (0.50) (0.52) (0.54) (0.51) (0.54)
Net realized gains.......................... (0.17) (0.08) (0.02) (0.02) --
---------- -------- -------- -------- --------
Total Distributions........................... (0.67) (0.60) (0.56) (0.53) (0.54)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................ $ 10.68 $ 11.15 $ 10.92 $ 10.67 $ 10.64
========== ======== ======== ======== ========
Total Return.................................. 1.71% 7.74% 7.76% 5.39% 6.75%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........... $1,013,839 $493,686 $451,089 $217,201 $211,229
Ratio of expenses to average net assets..... 0.59% 0.60% 0.58% 0.54% 0.53%
Ratio of net investment income to average
net assets................................ 4.49% 4.70% 5.05% 4.87% 5.17%
Ratio of expenses to average net assets*.... 0.81% 0.81% 0.81% 0.87% 0.88%
Ratio of net investment income to average
net assets*............................... 4.27% 4.49% 4.82% 4.54% 4.82%
Portfolio Turnover(a)....................... 108.41% 109.03% 86.89% 111.58% 199.76%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
135
<PAGE> 138
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
--------------------------------------------------
CLASS A SHARES
--------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------ ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................. $ 11.14 $ 10.91 $10.67 $ 10.63 $ 10.48
------- ------- ------ ------- -------
Investment Activities:
Net investment income............................... 0.47 0.50 0.51 0.50 0.51
Net realized and unrealized gains (losses) from
investments....................................... (0.30) 0.31 0.26 0.05 0.15
------- ------- ------ ------- -------
Total from Investment Activities...................... 0.17 0.81 0.77 0.55 0.66
------- ------- ------ ------- -------
Distributions:
Net investment income............................... (0.47) (0.50) (0.51) (0.49) (0.49)
In excess of net investment income.................. -- -- -- -- (0.02)
Net realized gains.................................. (0.17) (0.08) (0.02) (0.02) --
------- ------- ------ ------- -------
Total Distributions................................... (0.64) (0.58) (0.53) (0.51) (0.51)
------- ------- ------ ------- -------
NET ASSET VALUE,
END OF PERIOD......................................... $ 10.67 $ 11.14 $10.91 $ 10.67 $ 10.63
======= ======= ====== ======= =======
Total Return.......................................... 1.45% 7.50% 7.39% 5.28% 6.49%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $34,725 $14,515 $8,457 $ 6,622 $ 5,614
Ratio of expenses to average net assets............. 0.84% 0.85% 0.83% 0.79% 0.78%
Ratio of net investment income to average net
assets............................................ 4.28% 4.45% 4.75% 4.62% 4.91%
Ratio of expenses to average net assets*............ 1.16% 1.16% 1.15% 1.22% 1.23%
Ratio of net investment income to average net
assets*........................................... 3.96% 4.14% 4.43% 4.19% 4.46%
Portfolio Turnover(a)............................... 108.41% 109.03% 86.89% 111.58% 199.76%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
136
<PAGE> 139
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE TAX-FREE BOND FUND
--------------------------------------------------
CLASS B SHARES
--------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------ ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................. $ 11.16 $ 10.93 $10.68 $ 10.65 $ 10.50
------- ------- ------ ------- -------
Investment Activities:
Net investment income............................... 0.40 0.43 0.45 0.43 0.46
Net realized and unrealized gains (losses) from
investments....................................... (0.30) 0.31 0.27 0.04 0.14
------- ------- ------ ------- -------
Total from Investment Activities...................... 0.10 0.74 0.72 0.47 0.60
------- ------- ------ ------- -------
Distributions:
Net investment income............................... (0.40) (0.43) (0.45) (0.42) (0.45)
Net realized gains.................................. (0.17) (0.08) (0.02) (0.02) --
------- ------- ------ ------- -------
Total Distributions................................... (0.57) (0.51) (0.47) (0.44) (0.45)
------- ------- ------ ------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 10.69 $ 11.16 $10.93 $ 10.68 $ 10.65
======= ======= ====== ======= =======
Total Return.......................................... 0.80% 6.81% 6.82% 4.48% 5.89%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $ 9,087 $ 5,659 $3,307 $ 2,439 $ 1,116
Ratio of expenses to average net assets............. 1.49% 1.50% 1.47% 1.44% 1.43%
Ratio of net investment income to average net
assets............................................ 3.58% 3.80% 4.09% 3.97% 4.29%
Ratio of expenses to average net assets *........... 1.81% 1.81% 1.78% 1.87% 1.88%
Ratio of net investment income to average net assets
*................................................. 3.26% 3.49% 3.78% 3.54% 3.84%
Portfolio Turnover(a)............................... 108.41% 109.03% 86.89% 111.58% 199.76%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
137
<PAGE> 140
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
-----------------------------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------------------------
FOR THE SIX MARCH 1, FEBRUARY 1,
MONTHS ENDED YEAR ENDED DECEMBER 31, 1995 TO 1995 TO
JUNE 30, ------------------------------ DECEMBER 31, FEBRUARY 28,
1999 1998 1997 1996 1995(b) 1995(a)
------------- -------- -------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD......................... $ 12.98 $ 12.86 $ 12.36 $ 12.63 $ 12.06 $ 12.06
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income.......... 0.29 0.60 0.61 0.65 0.52 0.05
Net realized and unrealized
gains (losses) from
investments.................. (0.52) 0.16 0.51 (0.20) 0.81 --
-------- -------- -------- -------- -------- --------
Total from Investment
Activities..................... (0.23) 0.76 1.12 0.45 1.33 0.05
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income.......... (0.30) (0.61) (0.62) (0.61) (0.52) (0.05)
Net realized gains............. (0.01) (0.03) -- (0.01) (0.24) --
In excess of net realized
gains........................ -- -- -- (0.10) -- --
-------- -------- -------- -------- -------- --------
Total Distributions.............. (0.31) (0.64) (0.62) (0.72) (0.76) (0.05)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD... $ 12.44 $ 12.98 $ 12.86 $ 12.36 $ 12.63 $ 12.06
======== ======== ======== ======== ======== ========
Total Return..................... (1.78%)(d) 6.01% 9.32% 3.76% 11.20%(d) 0.39%(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)........................ $795,839 $841,715 $355,814 $338,104 $240,160 $220,143
Ratio of expenses to average
net assets................... 0.63%(c) 0.63% 0.60% 0.58% 0.54%(c) 0.65%(c)
Ratio of net investment income
to average net assets........ 4.60%(c) 4.61% 4.90% 4.79% 4.95%(c) 5.45%(c)
Ratio of expenses to average
net assets*.................. 0.66%(c) 0.63% 0.60% 0.68% 0.67%(c) 0.79%(c)
Ratio of net investment income
to average net assets*....... 4.57%(c) 4.61% 4.90% 4.69% 4.82%(c) 5.31%(c)
Portfolio Turnover(e).......... 37.90% 22.05% 32.08% 64.51% 69.31%(d) 60.78%(d)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(c) Annualized.
(d) Not Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
138
<PAGE> 141
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
--------------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------------
FOR THE SIX MARCH 1, YEAR
MONTHS ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
JUNE 30, --------------------------- DECEMBER 31, FEBRUARY 28,
1999 1998 1997 1996 1995(a) 1995
------------- ------- ------- ------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 12.99 $ 12.87 $ 12.36 $ 12.64 $12.06 $12.13
------- ------- ------- ------- ------ ------
Investment Activities:
Net investment income............... 0.28 0.55 0.56 0.59 0.48 0.60
Net realized and unrealized gains
(losses) from investments......... (0.53) 0.17 0.54 (0.18) 0.82 (0.07)
------- ------- ------- ------- ------ ------
Total from Investment Activities...... (0.25) 0.72 1.10 0.41 1.30 0.53
------- ------- ------- ------- ------ ------
Distributions:
Net investment income............... (0.29) (0.57) (0.59) (0.58) (0.48) (0.60)
Net realized gains.................. (0.01) (0.03) -- (0.01) (0.24) --
In excess of net realized gains..... -- -- -- (0.10) -- --
------- ------- ------- ------- ------ ------
Total Distributions................... (0.30) (0.60) (0.59) (0.69) (0.72) (0.60)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD........ $ 12.44 $ 12.99 $ 12.87 $ 12.36 $12.64 $12.06
======= ======= ======= ======= ====== ======
Total Return.......................... (1.97%)(c) 5.74% 9.13% 3.36% 10.95%(c) 4.45%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)... $38,253 $47,176 $34,729 $29,352 $7,426 $6,840
Ratio of expenses to average net
assets............................ 0.87%(b) 0.88% 0.85% 0.83% 0.89%(b) 1.98%
Ratio of net investment income to
average net assets................ 4.34%(b) 4.36% 4.65% 4.54% 4.57%(b) 5.09%
Ratio of expenses to average net
assets*........................... 0.95%(b) 0.88% 0.85% 0.89% 1.04%(b) 3.89%
Ratio of net investment income to
average net assets*............... 4.26%(b) 4.36% 4.65% 4.48% 4.42%(b) 3.18%
Portfolio Turnover(d)............... 37.90% 22.05% 32.08% 64.51% 69.31%(c) 60.78%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(b) Annualized.
(c) Not Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
139
<PAGE> 142
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TAX-FREE BOND FUND
-------------------------------------------------------------------------------------
CLASS B SHARES
-------------------------------------------------------------------------------------
FOR THE SIX APRIL 4, MARCH 1, FEBRUARY 8,
MONTHS ENDED YEAR ENDED DECEMBER 31, 1995 TO 1994 TO 1994 TO
JUNE 30, ------------------------ DECEMBER 31, DECEMBER 2, FEBRUARY 28,
1999 1998 1997 1996 1995(c)(d) 1994(b) 1994(a)
------------- ------ ------ ------ ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD..................... $12.99 $12.86 $12.36 $12.65 $12.17 $12.14 $12.37
------ ------ ------ ------ ------ ------ ------
Investment Activities:
Net investment income...... 0.23 0.45 0.46 0.52 0.34 0.41 0.03
Net realized and unrealized
gains (losses) from
investments.............. (0.53) 0.18 0.54 (0.21) 0.72 (0.70) (0.23)
------ ------ ------ ------ ------ ------ ------
Total from Investment
Activities................... (0.30) 0.63 1.00 0.31 1.06 (0.29) (0.20)
------ ------ ------ ------ ------ ------ ------
Distributions:
Net investment income...... (0.24) (0.47) (0.50) (0.49) (0.34) (0.41) (0.03)
Net realized gains......... (0.01) (0.03) -- (0.01) (0.24) -- --
In excess of net realized
gains.................... -- -- -- (0.10) -- -- --
------ ------ ------ ------ ------ ------ ------
Total Distributions.......... (0.25) (0.50) (0.50) (0.60) (0.58) (0.41) (0.03)
------ ------ ------ ------ ------ ------ ------
Conversion to Class A
Shares(b)................ -- -- -- -- -- (11.44) --
NET ASSET VALUE, END OF
PERIOD..................... $12.44 $12.99 $12.86 $12.36 $12.65 $ -- $12.14
====== ====== ====== ====== ====== ====== ======
Total Return................. (2.31%)(f) 4.98% 8.26% 2.56% 8.81%(f) (4.30%)(f) (1.64%)(f)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000).................... $2,443 $2,142 $1,312 $ 672 $ 238 $ -- $ 2
Ratio of expenses to
average net assets....... 1.57%(e) 1.63% 1.60% 1.58% 1.66%(e) 3.18%(e) 0.50%(e)
Ratio of net investment
income to average net
assets................... 3.64%(e) 3.61% 3.90% 3.79% 3.61%(e) 4.51%(e) 4.10%(e)
Ratio of expenses to
average net assets*...... 1.61%(e) 1.63% 1.60% 1.70% 2.04%(e) 5.85%(e) 2.91%(e)
Ratio of net investment
income to average net
assets*.................. 3.60%(e) 3.61% 3.90% 3.67% 3.23%(e) 1.84%(e) 1.69%(e)
Portfolio Turnover(g)...... 37.90% 22.05% 32.08% 64.51% 69.31%(f) 60.78%(f) 175.06%(f)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) On December 2, 1994, the fund terminated its offering of Class B Shares and
such shares converted to Class A Shares.
(c) Re-offering date of Class B Shares.
(d) Effective March 1, 1995, the fund changed its fiscal year end from February
28 to December 31.
(e) Annualized.
(f) Not Annualized.
(g) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
140
<PAGE> 143
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
--------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 10.11 $ 9.84 $ 9.66 $ 9.69 $ 9.66
-------- -------- -------- -------- --------
Investment Activities:
Net investment income......................... 0.50 0.51 0.53 0.56 0.57
Net realized and unrealized gains (losses)
from investments............................ (0.19) 0.27 0.18 (0.03) 0.03
-------- -------- -------- -------- --------
Total from Investment Activities................ 0.31 0.78 0.71 0.53 0.60
-------- -------- -------- -------- --------
Distributions:
Net investment income......................... (0.50) (0.51) (0.53) (0.56) (0.57)
-------- -------- -------- -------- --------
Total Distributions............................. (0.50) (0.51) (0.53) (0.56) (0.57)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.................. $ 9.92 $ 10.11 $ 9.84 $ 9.66 $ 9.69
======== ======== ======== ======== ========
Total Return.................................... 3.06% 8.09% 7.49% 5.54% 6.46%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............. $744,647 $617,885 $408,577 $241,115 $185,916
Ratio of expenses to average net assets....... 0.57% 0.57% 0.57% 0.56% 0.56%
Ratio of net investment income to average net
assets...................................... 4.92% 5.08% 5.38% 5.70% 6.02%
Ratio of expenses to average net assets*...... 0.67% 0.67% 0.68% 0.76% 0.74%
Ratio of net investment income to average net
assets*..................................... 4.82% 4.98% 5.27% 5.50% 5.84%
Portfolio Turnover(a)......................... 55.03% 69.76% 62.83% 83.17% 66.02%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
141
<PAGE> 144
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
------------------------------------------------------
CLASS A SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 10.14 $ 9.87 $ 9.69 $ 9.72 $ 9.67
-------- -------- -------- ------- -------
Investment Activities:
Net investment income........................... 0.47 0.49 0.51 0.55 0.55
Net realized and unrealized gains (losses) from
investments................................... (0.19) 0.27 0.18 (0.04) 0.05
-------- -------- -------- ------- -------
Total from Investment Activities.................. 0.28 0.76 0.69 0.51 0.60
-------- -------- -------- ------- -------
Distributions:
Net investment income........................... (0.47) (0.49) (0.51) (0.54) (0.55)
-------- -------- -------- ------- -------
Total Distributions............................... (0.47) (0.49) (0.51) (0.54) (0.55)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.................... $ 9.95 $ 10.14 $ 9.87 $ 9.69 $ 9.72
======== ======== ======== ======= =======
Total Return...................................... 2.80% 7.84% 7.24% 5.35% 6.21%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............... $188,143 $101,805 $ 41,829 $25,787 $11,462
Ratio of expenses to average net assets......... 0.82% 0.82% 0.82% 0.81% 0.81%
Ratio of net investment income to average net
assets........................................ 4.62% 4.83% 5.13% 5.45% 5.76%
Ratio of expenses to average net assets*........ 1.01% 1.02% 1.03% 1.11% 1.09%
Ratio of net investment income to average net
assets*....................................... 4.43% 4.63% 4.92% 5.15% 5.48%
Portfolio Turnover(a)........................... 55.03% 69.76% 62.83% 83.17% 66.02%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
142
<PAGE> 145
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
---------------------------------------------------
CLASS B SHARES
---------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 10.10 $ 9.84 $ 9.66 $ 9.69 $ 9.62
------- ------- ------- ------- -------
Investment Activities:
Net investment income.............................. 0.41 0.42 0.44 0.47 0.49
Net realized and unrealized gains (losses) from
investments...................................... (0.19) 0.26 0.18 (0.03) 0.07
------- ------- ------- ------- -------
Total from Investment Activities..................... 0.22 0.68 0.62 0.44 0.56
------- ------- ------- ------- -------
Distributions:
Net investment income.............................. (0.41) (0.42) (0.44) (0.47) (0.49)
------- ------- ------- ------- -------
Total Distributions.................................. (0.41) (0.42) (0.44) (0.47) (0.49)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD....................... $ 9.91 $ 10.10 $ 9.84 $ 9.66 $ 9.69
======= ======= ======= ======= =======
Total Return......................................... 2.14% 7.04% 6.55% 4.65% 5.58%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).................. $97,899 $56,911 $36,258 $23,204 $ 8,326
Ratio of expenses to average net assets............ 1.47% 1.47% 1.47% 1.46% 1.46%
Ratio of net investment income to average net
assets........................................... 3.99% 4.18% 4.48% 4.80% 5.14%
Ratio of expenses to average net assets*........... 1.67% 1.67% 1.67% 1.76% 1.74%
Ratio of net investment income to average net
assets*.......................................... 3.79% 3.98% 4.28% 4.50% 4.86%
Portfolio Turnover(a).............................. 55.03% 69.76% 62.83% 83.17% 66.02%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
143
<PAGE> 146
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
-----------------------
CLASS C SHARES
-----------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998(a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.09 $ 9.96
------- ------
Investment Activities:
Net investment income..................................... 0.41 0.68
Net realized and unrealized gains (losses) from
investments............................................ (0.18) 0.13
------- ------
Total from Investment Activities............................ 0.23 0.81
------- ------
Distributions:
Net investment income..................................... (0.41) (0.68)
------- ------
Total Distributions......................................... (0.41) (0.68)
------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.91 $10.09
======= ======
Total Return................................................ 2.24% 8.28%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $13,737 $2,216
Ratio of expenses to average net assets................... 1.47% 1.47%(c)
Ratio of net investment income to average net assets...... 3.93% 4.18%(c)
Ratio of expenses to average net assets*.................. 1.66% 1.67%(c)
Ratio of net investment income to average net assets*..... 3.74% 3.98%(c)
Portfolio Turnover(d)..................................... 55.03% 69.76%(b)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
144
<PAGE> 147
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
----------------------------------
CLASS I SHARES
----------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
-------------------- JUNE 30,
1999 1998 1997(a)
-------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.15 $ 10.06 $ 10.00
-------- -------- --------
Investment Activities:
Net investment income..................................... 0.46 0.49 0.23
Net realized and unrealized gains (losses) from
investments............................................ (0.26) 0.16 0.06
-------- -------- --------
Total from Investment Activities............................ 0.20 0.65 0.29
-------- -------- --------
Distributions:
Net investment income..................................... (0.46) (0.49) (0.23)
Net realized gains........................................ (0.15) (0.07) --
-------- -------- --------
Total Distributions......................................... (0.61) (0.56) (0.23)
-------- -------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.74 $ 10.15 $ 10.06
======== ======== ========
Total Return................................................ 1.94% 6.58% 2.90%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $233,360 $248,590 $255,755
Ratio of expenses to average net assets................... 0.61% 0.59% 0.59%(c)
Ratio of net investment income to average net assets...... 4.59% 4.79% 5.09%(c)
Ratio of expenses to average net assets*.................. 0.67% 0.65% 0.66%(c)
Ratio of net investment income to average net assets*..... 4.53% 4.73% 5.02%(c)
Portfolio Turnover(d)..................................... 16.29% 20.89% 5.66%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
145
<PAGE> 148
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
---------------------------------
CLASS A SHARES
---------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
------------------- JUNE 30,
1999 1998 1997(a)
------- ------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.08 $ 9.99 $10.00
------ ------ ------
Investment Activities:
Net investment income..................................... 0.44 0.46 0.15
Net realized and unrealized gains (losses) from
investments............................................ (0.26) 0.16 (0.01)
------ ------ ------
Total from Investment Activities............................ 0.18 0.62 0.14
------ ------ ------
Distributions:
Net investment income..................................... (0.44) (0.46) (0.15)
Net realized gains........................................ (0.15) (0.07) --
------ ------ ------
Total Distributions......................................... (0.59) (0.53) (0.15)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.67 $10.08 $ 9.99
====== ====== ======
Total Return................................................ 1.69% 6.30% 1.40%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $1,799 $1,321 $1,500
Ratio of expenses to average net assets................... 0.86% 0.84% 0.85%(c)
Ratio of net investment income to average net assets...... 4.37% 4.53% 4.90%(c)
Ratio of expenses to average net assets*.................. 1.02% 1.01% 0.96%(c)
Ratio of net investment income to average net assets*..... 4.21% 4.36% 4.79%(c)
Portfolio Turnover(d)..................................... 16.29% 20.89% 5.66%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
146
<PAGE> 149
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ARIZONA MUNICIPAL BOND FUND
---------------------------------------
CLASS B SHARES
---------------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
--------------------- JUNE 30,
1999 1998 1997(a)
------ ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.16 $10.09 $10.00
------ ------ ------
Investment Activities:
Net investment income..................................... 0.37 0.13 --
Net realized and unrealized gains (losses) from
investments............................................ (0.26) 0.14 0.09
------ ------ ------
Total from Investment Activities............................ 0.11 0.27 0.09
------ ------ ------
Distributions:
Net investment income..................................... (0.37) (0.13) --
Net realized gains........................................ (0.15) (0.07) --
------ ------ ------
Total Distributions......................................... (0.52) (0.20) --
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.75 $10.16 $10.09
====== ====== ======
Total Return................................................ 1.04% 2.67% 0.90%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 640 $ 290 $ --(c)
Ratio of expenses to average net assets................... 1.50% 1.50% --(d)
Ratio of net investment income to average net assets...... 3.67% 3.88% --(d)
Ratio of expenses to average net assets*.................. 1.66% 1.64% --(d)
Ratio of net investment income to average net assets*..... 3.51% 3.74% --(d)
Portfolio Turnover(e)..................................... 16.29% 20.89% 5.66%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Amount is less than $1,000.
(d) Since net assets are less than $1,000, ratios have not been presented.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
147
<PAGE> 150
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
--------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------
JANUARY 20, FEBRUARY 1,
1995 1994
YEAR ENDED JUNE 30, TO TO
---------------------------------------- JUNE 30, JANUARY 19,
1999 1998 1997 1996 1995(a) 1995(b)
-------- -------- -------- ------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 10.40 $ 10.20 $ 10.04 $ 9.92 $ 9.49 $ 10.45
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income.............. 0.50 0.51 0.50 0.50 0.20 0.41
Net realized and unrealized gains
from investments................ (0.28) 0.20 0.16 0.12 0.43 (0.95)
-------- -------- -------- ------- ------- -------
Total from Investment Activities..... 0.22 0.71 0.66 0.62 0.63 (0.54)
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income.............. (0.50) (0.51) (0.50) (0.50) (0.20) (0.42)
-------- -------- -------- ------- ------- -------
Total Distributions.................. (0.50) (0.51) (0.50) (0.50) (0.20) (0.42)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 10.12 $ 10.40 $ 10.20 $ 10.04 $ 9.92 $ 9.49
======== ======== ======== ======= ======= =======
Total Return......................... 2.05% 7.11% 6.74% 6.35% 6.56%(d) (5.17%)(d)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)........................... $122,917 $122,220 $116,830 $30,300 $32,520 $41,953
Ratio of expenses to average net
assets.......................... 0.61% 0.60% 0.59% 0.68% 0.65%(c) 1.03%(c)
Ratio of net investment income to
average net assets.............. 4.77% 4.94% 5.12% 4.60% 4.70%(c) 4.27%(c)
Ratio of expenses to average net
assets*......................... 0.71% 0.69% 0.72% 1.02% 0.97%(c) 1.05%(c)
Ratio of net investment income to
average net assets*............. 4.67% 4.85% 4.99% 4.26% 4.38%(c) 4.25%(c)
Portfolio turnover(e).............. 6.30% 5.81% 13.30% 16.78% 19.75% 10.00%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from date reorganized as a fund of the One Group.
(b) Prior to reorganizing as a fund of the One Group, the fund offered only one
class of shares.
(c) Annualized.
(d) Not annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
148
<PAGE> 151
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
----------------------------------------------------
CLASS A SHARES
----------------------------------------------------
JANUARY 20,
1995
YEAR ENDED JUNE 30, TO
------------------------------------- JUNE 30,
1999 1998 1997 1996 1995(a)
------- ------ ------ ------ -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 10.41 $10.21 $10.05 $ 9.93 $ 9.49
------- ------ ------ ------ ------
Investment Activities:
Net investment income........................ 0.47 0.49 0.48 0.44 0.19
Net realized and unrealized gains from
investments............................... (0.28) 0.20 0.16 0.12 0.44
------- ------ ------ ------ ------
Total from Investment Activities............... 0.19 0.69 0.64 0.56 0.63
------- ------ ------ ------ ------
Distributions:
Net investment income........................ (0.47) (0.49) (0.48) (0.44) (0.19)
------- ------ ------ ------ ------
Total Distributions............................ (0.47) (0.49) (0.48) (0.44) (0.19)
------- ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD................. $ 10.13 $10.41 $10.21 $10.05 $ 9.93
======= ====== ====== ====== ======
Total Return................................... 1.79% 6.86% 6.46% 5.70% 5.66%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............ $10,075 $7,899 $5,554 $8,178 $8,818
Ratio of expenses to average net assets...... 0.86% 0.85% 0.84% 0.93% 0.90%(c)
Ratio of net investment income to average net
assets.................................... 4.50% 4.69% 4.66% 4.35% 4.44%(c)
Ratio of expenses to average net assets*..... 1.06% 1.04% 1.04% 1.37% 1.33%(c)
Ratio of net investment income to average net
assets*................................... 4.30% 4.50% 4.46% 3.91% 4.01%(c)
Portfolio turnover(d)........................ 6.30% 5.81% 13.30% 16.78% 19.75%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary fee
reductions had not occurred, the ratios would have been as indicated.
(a) Period from date reorganized as a fund of the One Group.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
149
<PAGE> 152
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
KENTUCKY MUNICIPAL BOND FUND
-----------------------------------------------
CLASS B SHARES
-----------------------------------------------
MARCH 16,
YEAR ENDED JUNE 30, 1995 TO
----------------------------------- JUNE 30,
1999 1998 1997 1996 1995(a)
------- ------ ------ ------ ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 10.35 $10.15 $ 9.99 $ 9.87 $ 9.75
------- ------ ------ ------ ------
Investment Activities:
Net investment income................................... 0.40 0.42 0.41 0.38 0.14
Net realized and unrealized gains from investments...... (0.29) 0.20 0.16 0.13 0.12
------- ------ ------ ------ ------
Total from Investment Activities.......................... 0.11 0.62 0.57 0.51 0.26
------- ------ ------ ------ ------
Distributions:
Net investment income................................... (0.40) (0.42) (0.41) (0.39) (0.14)
------- ------ ------ ------ ------
Total Distributions....................................... (0.40) (0.42) (0.41) (0.39) (0.14)
------- ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $ 10.06 $10.35 $10.15 $ 9.99 $ 9.87
======= ====== ====== ====== ======
Total Return.............................................. 1.05% 6.20% 5.81% 5.16% 2.63%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)....................... $15,135 $5,581 $2,399 $1,457 $ 79
Ratio of expenses to average net assets................. 1.51% 1.51% 1.47% 1.58% 1.58%(c)
Ratio of net investment income to average net assets.... 3.85% 4.04% 4.05% 3.70% 3.89%(c)
Ratio of expenses to average net assets*................ 1.71% 1.70% 1.70% 2.02% 2.21%(c)
Ratio of net investment income to average net assets*... 3.65% 3.85% 3.82% 3.26% 3.25%(c)
Portfolio turnover(d)................................... 6.30% 5.81% 13.30% 16.78% 19.75%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
150
<PAGE> 153
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
------------------------------------------
CLASS I SHARES
------------------------------------------
MARCH 26,
1996
YEAR ENDED JUNE 30, THROUGH
------------------------------ JUNE 30,
1999 1998 1997 1996(a)
-------- ------- -------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 10.26 $ 10.10 $ 9.93 $ 10.00
-------- ------- -------- --------
Investment Activities:
Net investment income.................................. 0.48 0.50 0.49 0.13
Net realized and unrealized gains from investments..... (0.28) 0.16 0.17 (0.07)
-------- ------- -------- --------
Total from Investment Activities......................... 0.20 0.66 0.66 0.06
-------- ------- -------- --------
Distributions:
Net investment income.................................. (0.48) (0.50) (0.49) (0.13)
Net realized gains..................................... (0.02) -- -- --
-------- ------- -------- --------
Total Distributions...................................... (0.50) (0.50) (0.49) (0.13)
-------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD........................... $ 9.96 $ 10.26 $ 10.10 $ 9.93
======== ======= ======== ========
Total Return............................................. 1.92% 6.62% 6.81% 0.90%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)...................... $106,294 $92,690 $113,338 $136,041
Ratio of expenses to average net assets................ 0.61% 0.60% 0.62% 0.71%(d)
Ratio of net investment income to average net assets... 4.66% 4.85% 4.91% 4.76%(d)
Ratio of expenses to average net assets*............... 0.85% 0.83% 0.84% 0.86%(d)
Ratio of net investment income to average net
assets*.............................................. 4.42% 4.62% 4.69% 4.61%(d)
Portfolio turnover(e).................................. 19.67% 12.03% 17.39% 16.72%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from date reorganized as a fund of the One Group.
(b) Not annualized.
(c) Represents total return for Class A Shares from December 1, 1995 through
March 25, 1996 plus total return for Class I Shares for the period March 26,
1996 through June 30, 1996.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
151
<PAGE> 154
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
---------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------
SEVEN
MONTHS
YEAR ENDED JUNE 30, ENDED YEAR ENDED JUNE 30,
---------------------------- JUNE 30, -------------------
1999 1998 1997 1996(a) 1995 1994
------- ------- ------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 10.26 $ 10.10 $ 9.93 $ 10.09 $ 9.38 $ 10.27
------- ------- ------- ------- -------- --------
Investment Activities:
Net investment income.................... 0.45 0.47 0.47 0.24 0.50 0.49
Net realized and unrealized gains from
investments............................ (0.28) 0.16 0.17 (0.16) 0.71 (0.79)
------- ------- ------- ------- -------- --------
Total from Investment Activities........... 0.17 0.63 0.64 0.08 1.21 (0.30)
------- ------- ------- ------- -------- --------
Distributions:
Net investment income.................... (0.45) (0.47) (0.47) (0.24) (0.50) (0.49)
Net realized gains....................... (0.02) -- -- -- -- (0.10)
------- ------- ------- ------- -------- --------
Total Distributions........................ (0.47) (0.47) (0.47) (0.24) (0.50) (0.59)
------- ------- ------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD............. $ 9.96 $ 10.26 $ 10.10 $ 9.93 $ 10.09 $ 9.38
======= ======= ======= ======= ======== ========
Total Return............................... 1.67% 6.35% 6.55% 0.84%(b) 13.11% (2.97%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........ $75,958 $47,078 $48,498 $53,479 $206,119 $196,820
Ratio of expenses to average net
assets................................. 0.86% 0.85% 0.87% 0.69%(c) 0.62% 0.65%
Ratio of net investment income to average
net assets............................. 4.40% 4.60% 4.66% 4.71%(c) 5.07% 4.97%
Ratio of expenses to average net
assets*................................ 1.20% 1.18% 1.19% 0.86%(c) 0.77% 0.80%
Ratio of net investment income to average
net assets*............................ 4.06% 4.27% 4.34% 4.54%(c) 4.92% 4.82%
Portfolio turnover(d).................... 19.67% 12.03% 17.39% 16.72% 28.00% 24.00%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group, the Paragon Louisiana Tax-Free
Fund became the Louisiana Municipal Bond Fund. Financial highlights for the
periods prior to March 26, 1996 represents the Paragon Louisiana Tax-Free
Fund. The per share data for the periods prior to March 26, 1996 have been
restated to reflect the impact of restatement of net asset value from $10.67
to $10.00 effective March 26, 1996.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
152
<PAGE> 155
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LOUISIANA MUNICIPAL BOND FUND
---------------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------------
SEVEN
MONTHS YEAR SEPTEMBER 16,
YEAR ENDED JUNE 30, ENDED ENDED 1994 THROUGH
-------------------------- JUNE 30, NOVEMBER 30, NOVEMBER 30,
1999 1998 1997 1996(a) 1995 1994(b)
------- ------ ------ -------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 10.26 $10.10 $ 9.93 $10.09 $ 9.36 $ 9.73
------- ------ ------ ------ ------ ------
Investment Activities:
Net investment income................ 0.39 0.41 0.40 0.21 0.42 0.08
Net realized and unrealized gains
from investments................... (0.27) 0.16 0.17 (0.16) 0.73 (0.37)
------- ------ ------ ------ ------ ------
Total from Investment Activities....... 0.12 0.57 0.57 0.05 1.15 (0.29)
------- ------ ------ ------ ------ ------
Distributions:
Net investment income................ (0.39) (0.41) (0.40) (0.21) (0.42) (0.08)
Net realized gains................... (0.02) -- -- -- -- --
------- ------ ------ ------ ------ ------
Total Distributions.................... (0.41) (0.41) (0.40) (0.21) (0.42) (0.08)
------- ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD......... $ 9.97 $10.26 $10.10 $ 9.93 $10.09 $ 9.36
======= ====== ====== ====== ====== ======
Total Return........................... 1.11% 5.69% 5.87% 0.48%(c) 12.52% (2.94%)(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).... $10,866 $5,474 $3,835 $3,223 $2,115 $ 204
Ratio of expenses to average net
assets............................. 1.51% 1.50% 1.51% 1.50%(d) 1.37% 1.41%(d)
Ratio of net investment income to
average net assets................. 3.74% 3.95% 4.02% 3.98%(d) 4.27% 4.45%(d)
Ratio of expenses to average net
assets*............................ 1.85% 1.83% 1.85% 1.70%(d) 1.52% 1.56%(d)
Ratio of net investment income to
average net assets*................ 3.40% 3.62% 3.68% 3.78%(d) 4.12% 4.30%(d)
Portfolio turnover(e)................ 19.67% 12.03% 17.39% 16.72% 28.00% 24.00%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of the One Group, the Paragon Louisiana Tax-Free
Fund became the Louisiana Municipal Bond Fund. Financial highlights for the
periods prior to March 26, 1996 represents the Paragon Louisiana Tax-Free
Fund. The per share data for the periods prior to March 26, 1996 have been
restated to reflect the impact of restatement of net asset value from $10.70
to $10.00 effective March 26, 1996.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
153
<PAGE> 156
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
--------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
1999 1998 1997 1996 1995 1994
------------ -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54 $ 10.60
-------- -------- ------- ------- ------- -------
Investment Activities:
Net investment income............... 0.25 0.50 0.51 0.49 0.48 0.50
Net realized and unrealized gains
from investments.................. (0.41) 0.13 0.45 (0.14) 1.06 (1.06)
-------- -------- ------- ------- ------- -------
Total from Investment Activities...... (0.16) 0.63 0.96 0.35 1.54 (0.56)
-------- -------- ------- ------- ------- -------
Distributions:
Net investment income............... (0.25) (0.51) (0.51) (0.47) (0.48) (0.50)
Net realized gains.................. -- (0.02) -- -- -- --
-------- -------- ------- ------- ------- -------
Total Distributions................... (0.25) (0.53) (0.51) (0.47) (0.48) (0.50)
-------- -------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........ $ 10.62 $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54
======== ======== ======= ======= ======= =======
Total Return.......................... (1.46%)(a) 5.94% 9.42% 3.44% 16.49% (5.42%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)... $309,445 $298,842 $61,768 $41,909 $32,419 $24,157
Ratio of expenses to average net
assets............................ 0.66%(b) 0.66% 0.67% 0.77% 0.79% 0.53%
Ratio of net investment income to
average net assets................ 4.60%(b) 4.52% 4.84% 4.68% 4.71% 5.01%
Ratio of expenses to average net
assets*........................... 0.69%(b) 0.67% 0.73% 0.85% 1.04% 1.05%
Ratio of net investment income to
average net assets*............... 4.57%(b) 4.51% 4.78% 4.60% 4.46% 4.49%
Portfolio turnover(c)............... 10.60% 23.33% 37.84% 24.49% 26.97% 25.93%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not annualized.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
154
<PAGE> 157
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
-------------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------------------
1999 1998 1997 1996 1995 1994
------------ ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54 $ 10.60
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income................ 0.24 0.47 0.49 0.48 0.48 0.50
Net realized and unrealized gains
from investments................... (0.40) 0.13 0.44 (0.14) 1.06 (1.06)
------- ------- ------- ------- ------- -------
Total from Investment Activities....... (0.16) 0.60 0.93 0.34 1.54 (0.56)
------- ------- ------- ------- ------- -------
Distributions:
Net investment income................ (0.24) (0.48) (0.48) (0.46) (0.48) (0.50)
Net realized gains................... -- (0.02) -- -- -- --
------- ------- ------- ------- ------- -------
Total Distributions.................... (0.24) (0.50) (0.48) (0.46) (0.48) (0.50)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 10.63 $ 11.03 $ 10.93 $ 10.48 $ 10.60 $ 9.54
======= ======= ======= ======= ======= =======
Total Return........................... (1.47%)(a) 5.61% 9.15% 3.32% 16.49% (5.42%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).... $22,217 $22,876 $18,687 $18,575 $21,034 $21,106
Ratio of expenses to average net
assets............................. 0.88%(b) 0.91% 0.92% 0.88% 0.79% 0.53%
Ratio of net investment income to
average net assets................. 4.35%(b) 4.27% 4.59% 4.57% 4.71% 5.01%
Ratio of expenses to average net
assets*............................ 0.96%(b) 0.92% 0.98% 0.96% 1.04% 1.05%
Ratio of net investment income to
average net assets*................ 4.27%(b) 4.26% 4.53% 4.49% 4.46% 4.49%
Portfolio turnover(c)................ 10.60% 23.33% 37.84% 24.49% 26.97% 25.93%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not Annualized.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
155
<PAGE> 158
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MICHIGAN MUNICIPAL BOND FUND
----------------------------------------------
CLASS B SHARES
----------------------------------------------
PERIOD YEAR ENDED SEPTEMBER 23,
ENDED DECEMBER 31, 1996 TO
JUNE 30, ---------------- DECEMBER 31,
1999 1998 1997 1996 (a)
-------- ------ ------ --------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $10.68 $10.59 $10.18 $10.00
------ ------ ------ ------
Investment Activities:
Net investment income..................................... 0.20 0.39 0.38 0.07
Net realized and unrealized gains from investments...... (0.40) 0.12 0.44 0.17
------ ------ ------ ------
Total from Investment Activities.......................... (0.20) 0.51 0.82 0.24
------ ------ ------ ------
Distributions:
Net investment income................................... (0.20) (0.40) (0.41) (0.06)
Net realized gains...................................... -- (0.02) -- --
------ ------ ------ ------
Total Distributions....................................... (0.20) (0.42) (0.41) (0.06)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $10.28 $10.68 $10.59 $10.18
====== ====== ====== ======
Total Return.............................................. (1.86%)(b) 4.92% 8.26% 2.45%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)....................... $6,771 $1,940 $ 707 $ 110
Ratio of expenses to average net assets................. 1.59%(c) 1.66% 1.67% 1.69%(c)
Ratio of net investment income to average net assets.... 3.64%(c) 3.52% 3.84% 2.01%(c)
Ratio of expenses to average net assets*................ 1.70%(c) 1.67% 1.73% 1.77%(c)
Ratio of net investment income to average net assets*... 3.53%(c) 3.51% 3.78% 1.93%(c)
Portfolio turnover(d)................................... 10.60%(b) 23.33% 37.84% 24.49%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
156
<PAGE> 159
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
-------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 11.08 $ 10.88 $ 10.69 $ 10.65 $ 10.58
-------- -------- -------- -------- -------
Investment Activities:
Net investment income.......................... 0.54 0.56 0.56 0.56 0.55
Net realized and unrealized gains from
investments.................................. (0.33) 0.20 0.19 0.04 0.07
-------- -------- -------- -------- -------
Total from Investment Activities............. 0.21 0.76 0.75 0.60 0.62
-------- -------- -------- -------- -------
Distributions:
Net investment income.......................... (0.54) (0.56) (0.56) (0.56) (0.55)
-------- -------- -------- -------- -------
Total Distributions.............................. (0.54) (0.56) (0.56) (0.56) (0.55)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD................... $ 10.75 $ 11.08 $ 10.88 $ 10.69 $ 10.65
======== ======== ======== ======== =======
Total Return..................................... 1.84% 7.13% 7.22% 5.69% 6.07%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).............. $160,493 $149,890 $133,172 $ 80,611 $79,993
Ratio of expenses to average net assets........ 0.56% 0.54% 0.54% 0.57% 0.58%
Ratio of net investment income to average net
assets....................................... 4.86% 5.09% 5.24% 5.17% 5.29%
Ratio of expenses to average net assets *...... 0.83% 0.83% 0.84% 0.95% 0.91%
Ratio of net investment income to average net
assets*...................................... 4.59% 4.80% 4.94% 4.79% 4.96%
Portfolio turnover (a)......................... 13.69% 10.49% 7.45% 24.61% 77.69%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
157
<PAGE> 160
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
------------------------------------------------
CLASS A SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 11.11 $ 10.91 $ 10.72 $ 10.68 $ 10.61
======= ======= ======= ======= =======
Investment Activities:
Net investment income.................................. 0.51 0.54 0.54 0.55 0.53
Net realized and unrealized gains from investments..... (0.33) 0.20 0.19 0.03 0.07
------- ------- ------- ------- -------
Total from Investment Activities......................... 0.18 0.74 0.73 0.58 0.60
------- ------- ------- ------- -------
Distributions:
Net investment income.................................. (0.51) (0.54) (0.54) (0.54) (0.51)
Net realized gains..................................... -- -- -- -- (0.02)
------- ------- ------- ------- -------
Total Distributions...................................... (0.51) (0.54) (0.54) (0.54) (0.53)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................... $ 10.78 $ 11.11 $ 10.91 $ 10.72 $ 10.68
======= ======= ======= ======= =======
Total Return............................................. 1.59% 6.87% 6.95% 5.44% 5.79%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)...................... $26,876 $17,297 $16,114 $16,507 $12,006
Ratio of expenses to average net assets................ 0.81% 0.79% 0.79% 0.82% 0.82%
Ratio of net investment income to average net assets... 4.57% 4.83% 4.96% 4.92% 5.01%
Ratio of expenses to average net assets*............... 1.18% 1.18% 1.19% 1.30% 1.25%
Ratio of net investment income to average net
assets*.............................................. 4.20% 4.44% 4.56% 4.44% 4.58%
Portfolio turnover(a).................................. 13.69% 10.49% 7.45% 24.61% 77.69%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
158
<PAGE> 161
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL BOND FUND
------------------------------------------------
CLASS B SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 11.18 $ 10.98 $ 10.79 $ 10.75 $ 10.68
------- ------- ------- ------- -------
Investment Activities:
Net investment income.................................. 0.44 0.47 0.47 0.48 0.43
Net realized and unrealized gains from investments..... (0.32) 0.20 0.19 0.03 0.07
------- ------- ------- ------- -------
Total from Investment Activities......................... 0.12 0.67 0.66 0.51 0.50
------- ------- ------- ------- -------
Distributions:
Net investment income.................................. (0.44) (0.47) (0.47) (0.47) (0.43)
------- ------- ------- ------- -------
Total Distributions...................................... (0.44) (0.47) (0.47) (0.47) (0.43)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................... $ 10.86 $ 11.18 $ 10.98 $ 10.79 $ 10.75
======= ======= ======= ======= =======
Total Return............................................. 1.01% 6.20% 6.26% 4.79% 5.17%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)...................... $49,703 $26,138 $14,316 $ 8,854 $ 3,209
Ratio of expenses to average net assets................ 1.46% 1.44% 1.44% 1.47% 1.48%
Ratio of net investment income to average net assets... 3.89% 4.19% 4.33% 4.27% 4.40%
Ratio of expenses to average net assets*............... 1.83% 1.83% 1.84% 1.95% 1.91%
Ratio of net investment income to average net
assets*.............................................. 3.52% 3.80% 3.93% 3.79% 3.97%
Portfolio turnover(a).................................. 13.69% 10.49% 7.45% 24.61% 77.69%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
159
<PAGE> 162
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
---------------------------------
CLASS I SHARES
---------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
------------------- JUNE 30,
1999 1998 1997(a)
------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.28 $ 10.06 $ 10.00
------- -------- -------
Investment Activities:
Net investment income..................................... 0.49 0.50 0.22
Net realized and unrealized gains from investments........ (0.31) 0.22 0.06
------- -------- -------
Total from Investment Activities............................ 0.18 0.72 0.28
------- -------- -------
Distributions:
Net investment income..................................... (0.49) (0.50) (0.22)
Net realized gains........................................ (0.01) -- --
------- -------- -------
Total Distributions......................................... (0.50) (0.50) (0.22)
------- -------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.96 $ 10.28 $ 10.06
======= ======== =======
Total Return................................................ 1.71% 7.36% 2.84%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $98,391 $102,413 $96,270
Ratio of expenses to average net assets................... 0.61% 0.60% 0.59%(c)
Ratio of net investment income to average net assets...... 4.74% 4.93% 5.04%(c)
Ratio of expenses to average net assets*.................. 0.71% 0.72% 0.67%(c)
Ratio of net investment income to average net assets*..... 4.64% 4.81% 4.96%(c)
Portfolio turnover(d)..................................... 15.24% 16.69% 6.21%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
160
<PAGE> 163
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
---------------------------------
CLASS A SHARES
---------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
------------------- JUNE 30,
1999 1998 1997(a)
------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.36 $ 10.15 $ 10.00
------- -------- -------
Investment Activities:
Net investment income..................................... 0.47 0.48 0.16
Net realized and unrealized gains from investments........ (0.32) 0.21 0.15
------- -------- -------
Total from Investment Activities............................ 0.15 0.69 0.31
------- -------- -------
Distributions:
Net investment income..................................... (0.47) (0.48) (0.16)
Net realized gains........................................ (0.01) -- --
------- -------- -------
Total Distributions......................................... (0.48) (0.48) (0.16)
------- -------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.03 $ 10.36 $ 10.15
======= ======== =======
Total Return................................................ 1.37% 6.98% 3.08%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 3,570 $ 2,024 $ 808
Ratio of expenses to average net assets................... 0.85% 0.85% 0.84%(c)
Ratio of net investment income to average net assets...... 4.42% 4.68% 4.94%(c)
Ratio of expenses to average net assets*.................. 1.05% 1.07% 0.97%(c)
Ratio of net investment income to average net assets*..... 4.22% 4.46% 4.81%(c)
Portfolio turnover(d)..................................... 15.24% 16.69% 6.21%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
161
<PAGE> 164
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WEST VIRGINIA MUNICIPAL BOND FUND
---------------------------------
CLASS B SHARES
---------------------------------
JANUARY 20,
1997
YEAR ENDED JUNE 30, THROUGH
------------------- JUNE 30,
1999 1998 1997(a)
------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.35 $ 10.12 $ 10.00
------- -------- -------
Investment Activities:
Net investment income..................................... 0.40 0.42 0.14
Net realized and unrealized gains from investments........ (0.31) 0.23 0.12
------- -------- -------
Total from Investment Activities............................ 0.09 0.65 0.26
------- -------- -------
Distributions:
Net investment income..................................... (0.40) (0.42) (0.14)
Net realized gains........................................ (0.01) -- --
------- -------- -------
Total Distributions......................................... (0.41) (0.42) (0.14)
------- -------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.03 $ 10.35 $ 10.12
======= ======== =======
Total Return................................................ 0.80% 6.57% 2.64%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 7,505 $ 3,352 $ 614
Ratio of expenses to average net assets................... 1.50% 1.50% 1.49%(c)
Ratio of net investment income to average net assets...... 3.79% 4.05% 4.08%(c)
Ratio of expenses to average net assets*.................. 1.71% 1.72% 1.62%(c)
Ratio of net investment income to average net assets*..... 3.58% 3.83% 3.95%(c)
Portfolio turnover(d)..................................... 15.24% 16.69% 6.21%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
162
<PAGE> 165
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
To the Shareholders and Board of Trustees of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolios investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the Short-Term
Municipal Bond Fund (formerly the Pegasus Short Term Municipal Bond Fund), the
Intermediate Tax-Free Bond Fund, the Tax-Free Bond Fund (formerly the Pegasus
Municipal Bond Fund), the Municipal Income Fund, the Arizona Municipal Bond
Fund, the Ohio Municipal Bond Fund, the Kentucky Municipal Bond Fund, the
Louisiana Municipal Bond Fund, the Michigan Municipal Bond Fund (formerly the
Pegasus Michigan Municipal Bond Fund) and the West Virginia Municipal Bond Fund
(ten series of One Group Mutual Funds, hereafter referred to as the "Funds") at
June 30, 1999, and the results of each of their operations, the changes in each
of their net assets and the financial highlights for each of the periods
presented (other than those statements of operations, statements of changes in
net assets and financial highlights that have been audited by other independent
accountants), in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these statements in accordance with
generally accepted auditing standards which require that we plan and perform the
audit to obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at June 30,
1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above. The financial statements of the
Short-Term Municipal Bond, the Tax-Free Bond Fund and the Michigan Municipal
Bond Fund for all periods ended on or before December 31, 1998 were audited by
other independent accountants whose report dated February 12, 1999, expressed an
unqualified opinion on those statements and financial highlights. The financial
highlights of the Kentucky Municipal Bond Fund for the period ended January 19,
1995 were audited by other independent accountants whose report dated April 6,
1995 expressed an unqualified opinion on those financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 20, 1999
163
<PAGE> 166
(This page has been left blank intentionally.)
<PAGE> 167
(This page has been left blank intentionally.)
<PAGE> 168
Important Customer Information.
Please Read:
Shares of One Group:
- - are not deposits or obligations
of, or guaranteed by, BANK ONE
CORPORATION or its affiliates
- - are not insured or guaranteed by the
FDIC or by any other governmental
agency or government-sponsored
agency of the federal government
or any state
- - are subject to investment risks,
including possible loss of the
principal amount invested
Banc One Investment Advisors
Corporation, a registered investment
advisor and an indirect subsidiary of
BANK ONE CORPORATION, serves
as an investment advisor to One Group,
for which it receives advisory fees. One
Group is distributed by The One Group
Services Company,
3435 Stelzer Road, Columbus,
Ohio 43219, which is not affiliated
with BANK ONE CORPORATION and
is not a bank. Contact us at our web
site address: www.onegroup.com or
e-mail us at [email protected].
For more complete information on
any of One Group Funds, includ-
ing management fees and expenses,
you may obtain a prospectus from
The One Group Services Company.
Read the Prospectus carefully
before investing.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION
[BANK ONE LOGO] TOG-F-035-AN (8/99)
