<PAGE> 1
BOND
FUNDS
ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1999
ULTRA SHORT-TERM BOND FUND
SHORT-TERM BOND FUND
INTERMEDIATE BOND FUND
BOND FUND
INCOME BOND FUND
GOVERNMENT BOND FUND
TREASURY & AGENCY FUND
HIGH YIELD 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 THE 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............................................27
Statements of Assets and Liabilities..........................................86
Statements of Operations......................................................88
Statements of Changes in Net Assets...........................................91
Statements of Cash Flows......................................................94
Notes to Financial Statements.................................................95
Financial Highlights.........................................................110
Report of Independent Accountants............................................138
1
<PAGE> 4
One Group Ultra Short-Term Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Ultra Short-Term Bond Fund, formerly One Group Ultra Short Term Income
Fund, I share class posted a total return of 4.66% for the year ended June 30,
1999. (For information on other share classes and performance comparisons to
indexes, please see page 4.)
HOW WOULD YOU DESCRIBE FISCAL 1999'S MARKET CLIMATE?
The fiscal year ending June 30, 1999, can be characterized as an incredibly
turbulent period in the fixed income market. In the fall of 1998, interest rates
hit new lows in the wake of emerging market and hedge fund crises. Concern over
the stability of the financial markets led the Federal Reserve to cut interest
rates three times during the second half of 1998. While interest rates were
falling, interest rate volatility and credit quality spreads were rising to
levels not seen in nearly a decade. (Spreads refer to the difference in yield
between non-Treasury securities, such as agency, corporate and mortgage-backed
bonds, and comparable-maturity Treasury bonds. When spreads widen, prices on
non-Treasury bonds decline, and vice versa.) To compound the problem, the low
interest rates led to significant mortgage refinancing activity, putting further
negative pressure on mortgage-backed securities.
As the fiscal year progressed, interest rates started showing an upward trend.
In addition, liquidity improved and spreads began to tighten. Mortgage-backed
bonds, highly rated corporate bonds and asset-backed securities outperformed
Treasuries in the first quarter of 1999. Economic indicators began to show that
the economy had not been negatively affected by the liquidity crisis in the
fall.
The final quarter of the fiscal year proved to the markets that the volatility
and liquidity problems of 1998 had not been completely erased. As the U.S.
economy continued growing at a rapid pace, the Federal Reserve took action with
an interest rate increase at the end of June. In anticipation of this move,
interest rate volatility surged and quality spreads again widened.
HOW DID THESE EVENTS INFLUENCE THE FUND?
The significant increase in quality spreads, particularly those of lower-rated
asset-backed securities, negatively affected the Fund's one-year performance. In
addition, the high concentration of floating-rate securities negatively
influenced the Fund's return by generating lower income as rates were declining.
At the same time, their prices were falling due to the rise in quality spreads.
The Fund's 30-day SEC yield declined from 5.85% on June 30, 1998, to 5.35% on
June 30, 1999 (I share class). This decline was due in part to an increase of
Fund inflows, which caused the Fund to grow by approximately 30% during the
period. This growth, given the current level of short-term rates, has had a
significant dilutive effect on the Fund. Also, in order to reduce the Fund's
volatility in the difficult market, we increased the Fund's allocation to very
short, high-quality floating-rate asset-backed securities. While spreads
widened, the fact that the coupons on these securities were indexed to money
market rates, which remained very low, pushed the Fund's yield lower.
The rising rate environment contributed to a decline in share price for the
Fund. However, the high level of income more than offset the price depreciation.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our ongoing strategy is to attempt to maximize total return while maintaining a
relatively stable share price. To that end, we invested primarily in fixed- and
floating-rate asset-backed and mortgage-backed securities of high quality that
offer significant yield advantages over comparable maturity Treasury securities.
We also focused on keeping the Fund's duration close to its target of 0.90
years. (Duration is a measure of a fund's sensitivity to interest rate changes.
A longer duration indicates greater sensitivity; a shorter duration indicates
less.) Throughout the year, duration varied from 0.85 years to 1.03 years due to
the varying duration of mortgage-backed securities and to the increased interest
rate volatility.
2
<PAGE> 5
One Group Ultra Short-Term Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
In the short term, given the uncertainty surrounding inflation, economic growth
and Federal Reserve policy, we expect rates and spreads to remain volatile.
Later in the year, we believe the economy may start showing signs of a slowdown,
which should alleviate any additional pressure on the Fed to continue raising
rates. We expect interest rates to remain steady or moderately decline by the
end of 1999. We also expect the yield curve to remain flat and overall interest
rate volatility to drop. As such, the spread sectors may perform very well
throughout the rest of the calendar year. We plan to continue emphasizing these
securities over Treasuries.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond 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 information for
more information about the Fund.
3
<PAGE> 6
One Group Ultra Short-Term 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 (2/2/93)
<S> <C> <C> <C>
Class I 4.66% 5.71% 5.10%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS I LEHMAN BROTHERS 1-3 LIPPER MIX
------- YEAR GOVERNMENT ML 1 YEAR TREASURY ----------
INDEX BILL INDEX
------------------- ------------------
<S> <C> <C> <C> <C>
2/93 $10,000 $10,000 $10,000 $10,000
6/93 10,201 10,142 10,104 10,146
6/94 10,421 10,297 10,346 10,354
6/95 10,957 11,086 11,014 10,913
6/96 11,571 11,693 11,625 11,540
6/97 12,397 12,462 12,343 12,274
6/98 13,141 13,307 13,059 12,931
6/99 13,754 13,978 13,731 13,499
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/10/93)
<S> <C> <C> <C>
Class A 4.40% 5.48% 4.88%
Class A* 1.22% 4.85% 4.37%
</TABLE>
* Reflects 3.00% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LIPPER MIX
------- -------- 1-3 YEAR ML 1 YEAR ----------
GOVERNMENT TREASURY BILL
INDEX INDEX
--------------- -------------
<S> <C> <C> <C> <C> <C>
3/93 $10,000 $9,700 $10,000 $10,000 $10,000
6/93 10,146 9,842 10,111 10,074 10,114
6/94 10,344 10,033 10,265 10,316 10,321
6/95 10,845 10,519 11,052 10,982 10,878
6/96 11,432 11,089 11,657 11,591 11,503
6/97 12,233 11,866 12,423 12,307 12,235
6/98 12,935 12,548 13,265 13,021 12,890
6/99 13,505 13,099 13,934 13,691 13,456
</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 3.99% 4.98% 4.54%
Class B** 1.02% 4.98% 4.54%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LIPPER MIX
------- --------- 1-3 YEAR ML 1 YEAR ----------
GOVERNMENT TREASURY BILL
INDEX INDEX
--------------- -------------
<S> <C> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000 $10,000
6/94 9,991 9,991 9,889 10,027 10,007
6/95 10,468 10,468 10,648 10,675 10,547
6/96 10,953 10,953 11,231 11,266 11,153
6/97 11,634 11,634 11,969 11,962 11,862
6/98 12,252 12,252 12,780 12,656 12,497
6/99 12,742 12,742 13,424 13,307 13,046
</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 performance of the Ultra Short-Term Bond Fund is measured against the
Merrill Lynch 1 Year Treasury Bill Index, an unmanaged index which reflects the
total return of a hypothetical Treasury bill with a discount rate equal to the
average rate established at each of the auctions during a given year. 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 Mix consists of an average of the Lipper ARM index that invests at
least 65% of its assets in adjustable rate mortgage securities or other
securities collateralized by or representing an interest in mortgages and the
Lipper Ultra Short-Term Index that invests at least 65% of its assets in
investment grade debt issues or better, and maintain a portfolio dollar-weighted
average maturity between 91 days and 365 days.
The Lehman Brothers 1 to 3 Year Government Index is comprised of US Government
and agency securities with maturities of one to three years.
The benchmark index for the Ultra Short-Term Bond Fund was changed from the
Lehman Brothers 1 to 3 Year Government Index to the Merrill Lynch 1 year
Treasury Bill Index in order to better represent the investment policies for
comparison purposes.
4
<PAGE> 7
One Group Short-Term 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 Short-Term Bond Fund, formerly One
Group Limited Volatility Bond Fund, I share class posted a total return of
4.67%. (For information on other share classes and performance comparisons to
indexes, please see page 6.)
The Fund's I share class generated income of approximately 5.7% during the year,
which was offset somewhat by an approximate 1.0% decline in share price. Higher
interest rates and wider yield spreads led to price depreciation over the
12-month period, but income was high enough to more than offset the general
price decline and provide a positive return for the Fund. (Yield spreads refer
to the difference in yield between non-Treasury securities, such as agency,
corporate and mortgage-backed bonds, and comparable-maturity Treasury bonds.
When spreads widen, prices on non-Treasury bonds decline, and vice versa.)
HOW DID THE FUND'S YIELD CHANGE?
The Fund's 30-day SEC yield moved slightly lower during the year, to 5.66% on
June 30, 1999, compared to 5.75% on June 30, 1998 (I share class).
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Consistent with our investment philosophy, our strategy was to search for value
based on thorough credit and risk/return analysis across all sectors of the
fixed income market. We maintained a bias toward "AAA"-rated asset-backed and
mortgage-backed securities due to the yield advantages these securities offered
over Treasuries. However, Treasuries remained the best performing sector of the
market for the entire 12-month period, fueled by a "flight to quality" that
emerged in the fall of 1998. Concern over financial turmoil in Asia and other
emerging markets led to a rally in the Treasury market, with other sectors of
the fixed income market falling out of favor with investors. While corporate
bonds and asset- and mortgage-backed securities had not fully recovered by
fiscal year-end, liquidity slowly has been returning to these sectors and
valuations appear much more reasonable than levels seen in early 1999.
Because of these events and 1999's growing fears of inflation, we carefully
controlled the Fund's duration, which ended the fiscal year at 1.8 years,
compared to 2.4 years on June 30, 1998. (Duration is a measure of a fund's
sensitivity to interest rate changes. A longer duration indicates greater
sensitivity; a shorter duration indicates less.)
Given the economic and market uncertainties characteristic of the period, we
maintained a high-quality portfolio during the year, with the Fund's average
quality higher than it was a year earlier. On June 30, 1999, 81.0% of the
portfolio's securities were rated AAA, 3.4% were rated AA, 15.4% were rated A,
and 0.2% were rated BBB, compared to 78.9% AAA-rated, 0.9% AA-rated, 18.2%
A-rated, and 2.0% BBB-rated on June 30, 1998.*
WHAT IS YOUR OUTLOOK FOR THE FUND?
Much of the Fund's performance -- and that of all domestic fixed income
portfolios -- is contingent on economic activity. If the economy moderates from
its current rapid growth pace, yields likely will decline, resulting in an
increase in bond prices and in the Fund's share price. If the economy continues
to show strength and yields increase, bond prices and the Fund's share price
likely will decline.
Our longer-term outlook on yield spreads remains positive, but we continue to
advocate a bias toward high-quality securities.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
* The Fund's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
5
<PAGE> 8
One Group Short-Term 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 4.67% 6.21% 6.76%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS I LIPPER SHORT US
------- GOVERNMENT BOND FUNDS LEHMAN BROTHERS 1-3
INDEX YEAR GOVERNMENT INDEX
--------------------- ---------------------
<S> <C> <C> <C>
9/90 $10,000 $10,000 $10,000
6/91 10,799 10,710 10,768
6/92 12,068 11,730 11,881
6/93 13,066 12,515 12,659
6/94 13,170 12,668 12,852
6/95 14,218 13,604 13,837
6/96 14,947 14,309 14,595
6/97 15,957 15,153 15,554
6/98 17,008 16,136 16,609
6/99 17,802 16,844 17,446
</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 4.41% 5.94% 5.66%
Class A* 1.32% 5.29% 5.22%
</TABLE>
* Reflects 3.00% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS 1-3 LIPPER SHORT US
------- -------- YEAR GOVERNMENT GOVERNMENT BOND
INDEX FUNDS INDEX
------------------- ---------------
<S> <C> <C> <C> <C>
2/92 $10,000 $9,700 $10,000 $10,000
6/92 10,356 10,045 10,284 10,274
6/93 11,188 10,853 10,957 10,962
6/94 11,243 10,906 11,123 11,096
6/95 12,105 11,742 11,976 11,916
6/96 12,694 12,314 12,632 12,534
6/97 13,515 13,110 13,462 13,273
6/98 14,368 13,935 14,375 14,134
6/99 15,002 14,550 15,100 14,754
</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 4.02% 5.43% 4.62%
Class B** 1.05% 5.43% 4.62%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS 1-3 LIPPER SHORT US
------- --------- YEAR GOVERNMENT GOVERNMENT BOND
INDEX FUNDS INDEX
------------------- ---------------
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,819 9,819 9,889 9,874
6/95 10,524 10,524 10,648 10,603
6/96 10,974 10,974 11,231 11,153
6/97 11,604 11,604 11,969 11,811
6/98 12,297 12,297 12,780 12,578
6/99 12,792 12,792 13,424 13,130
</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 performance of the Short-Term Bond Fund is measured against the Lehman
Brothers 1 to 3 Year Government Index, an unmanaged index comprised of US
Government and agency securities with maturities of one to three 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 Short US Government Bond Funds Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
6
<PAGE> 9
One Group Intermediate 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 Intermediate Bond Fund I share
class posted a total return of -0.08%.(1) The Fund's one-year total return on I
shares as of June 30, 1999, was 3.97%. (For information on other share classes
and performance comparisons to indexes, please see page 9.)
HOW DID MARKET DEVELOPMENTS INFLUENCE PERFORMANCE?
The fixed income market experienced significant volatility during the past year.
The second half of 1998 saw interest rates moving steadily downward, with the
30-year Treasury yield reaching an all-time low. Concerns about emerging markets
and the stability of the financial markets spawned a "flight to quality" in the
Treasury market and led the Federal Reserve to cut interest rates three times.
But, as we moved into 1999, interest rates began moving upward as strong U.S.
economic growth, inflation fears and improvements abroad emerged. These events
eventually led the Fed to raise interest rates at the end of June.
The Fund's overweighted positions in high-quality mortgage-backed and
asset-backed securities led to underperformance during the "flight to quality,"
as Treasuries outperformed all other fixed income securities. Mortgage- and
asset-backed securities rebounded during the first calendar quarter of 1999,
only to once again fall behind Treasuries in the second quarter of 1999, as
liquidity concerns re-emerged.
HOW DID THE FUND'S YIELD CHANGE?
Overall, interest rates were higher for the period, which caused the Fund's
share price to decline. However, the Fund's yield more than compensated for the
price depreciation. The Fund's 30-day SEC yield (I share class) increased to
6.37% on June 30, 1999, from 6.14% on December 31, 1998, and 6.34% on June 30,
1998.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We attempted to keep the Fund's duration close to that of the Lehman Brothers
Intermediate Government/ Corporate Bond Index, the Fund's benchmark index.
(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 3.9 years, versus 3.5 years for
the index. This strategy helped the Fund's share price avoid any wide swings as
interest rates increased.
We also focused on maintaining a high credit-quality profile. In an effort to
capture yield advantages, we emphasized high-quality mortgage- and asset-backed
securities that we believed were undervalued and offered superior risk/reward
characteristics.
HOW WAS THE FUND STRUCTURED IN TERMS OF SECTORS AND QUALITY?*
On June 30, 1999, 24% of the Fund's assets were invested in U.S. Treasuries, 45%
were in mortgage-backed securities, 10% were in asset-backed securities, 12%
were in corporate bonds and 6% were in money market securities. Securities rated
"AAA" comprised 75% of the Fund.
7
<PAGE> 10
One Group Intermediate Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
While we think the bond market will remain volatile, our long-term view is
positive, and we believe that current yield levels are very compelling. We
expect the Fund to remain heavily overweighted in mortgage-backed bonds, as we
believe the sector as a whole and the Fund's particular holdings are still very
undervalued. Furthermore, we think that many of the Fund's mortgage securities
may perform well in different interest rate environments. The Fund also remains
overweighted in the asset-backed sector, which we think may outperform
Treasuries during the next year. Finally, we will continue to emphasize
higher-quality securities and attempt to keep the Fund's duration similar to
that of its benchmark.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
(1) The Pegasus Intermediate Bond Fund merged with the One Group Intermediate
Bond Fund on March 22, 1999. For financial reporting purposes, the Pegasus
fund was considered the accounting survivor. Therefore, prior to the merger
date of March 22, 1999 all financial statement and performance information
for the One Group Intermediate Bond Fund reflect that of the Pegasus fund.
The Pegasus Funds previously had a fiscal year end of December 31.
Subsequent to the merger, the fiscal year end changed from December 31 to
June 30. See notes to financial statements for additional information.
* The Fund composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
8
<PAGE> 11
One Group Intermediate 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 3.97% 7.57% 7.60% 8.52%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS I LEHMAN BROTHERS
------- INTERMEDIATE LIPPER SHORT INTERMEDIATE
GOVERNMENT/CORPORATE US GOVERNMENT BOND
BOND INDEX FUNDS INDEX
-------------------- -------------------------
<S> <C> <C> <C>
6/89 $10,000 $10,000 $10,000
6/90 10,800 10,782 10,759
6/91 11,940 11,916 11,832
6/92 13,484 13,485 13,180
6/93 14,764 14,900 14,287
6/94 14,446 14,862 14,244
6/95 15,868 16,404 15,415
6/96 16,911 17,226 16,072
6/97 18,439 18,469 17,113
6/98 20,008 20,047 18,330
6/99 20,803 20,886 18,995
</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 3.72% 7.38% 7.48% 8.44%
Class A* (0.91)% 6.39% 6.99% 8.12%
</TABLE>
* Reflects 4.50% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LIPPER SHORT
------- -------- INTERMEDIATE INTERMEDIATE US
GOVERNMENT/CORPORATE GOVERNMENT BOND
BOND INDEX FUNDS INDEX
-------------------- ---------------
<S> <C> <C> <C> <C>
6/89 $10,000 $9,550 $10,000 $10,000
6/90 10,800 10,319 10,782 10,759
6/91 11,933 11,403 11,916 11,832
6/92 13,444 12,846 13,485 13,180
6/93 14,720 14,085 14,900 14,287
6/94 14,403 13,763 14,862 14,244
6/95 15,521 15,118 16,404 15,415
6/96 16,661 16,111 17,226 16,072
6/97 18,317 17,502 18,469 17,113
6/98 19,829 18,947 20,047 18,330
6/99 20,566 19,651 20,886 18,995
</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 2.92% 6.99% 7.29% 8.32%
Class B** (1.97)% 6.69% 7.29% 8.32%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LIPPER SHORT
------- --------- INTERMEDIATE INTERMEDIATE US
GOVERNMENT/CORPORATE GOVERNMENT BOND
BOND INDEX FUNDS INDEX
-------------------- ---------------
<S> <C> <C> <C> <C>
6/89 $10,000 $10,000 $10,000 $10,000
6/90 10,808 10,808 10,782 10,759
6/91 11,942 11,942 11,916 11,832
6/92 13,454 13,454 13,485 13,180
6/93 14,725 14,725 14,900 14,287
6/94 14,416 14,416 14,862 14,244
6/95 15,842 15,842 16,404 15,415
6/96 16,873 16,873 17,226 16,072
6/97 18,277 18,277 18,469 17,113
6/98 19,641 19,641 20,047 18,330
6/99 20,214 20,214 20,886 18,995
</TABLE>
9
<PAGE> 12
One Group Intermediate 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
(3/22/99)
<S> <C> <C>
Class C (0.51)%
Class C** (1.49)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS C CLASS C** LEHMAN BROTHERS
------- --------- INTERMEDIATE LIPPER INTERMEDIATE
GOVERNMENT/CORPORATE US GOVERNMENT
BOND INDEX BOND FUNDS INDEX
-------------------- -------------------
<S> <C> <C> <C> <C>
3/99 $10,000 $10,000 $10,000 $10,000
6/99 9,957 9.957 10,430 10,455
</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 above-quoted performance data includes the performance of the Pegasus
Intermediate Bond Fund for the period prior to the commencement of operations of
the One Group Intermediate Bond Fund on March 22, 1999.
The above-quoted performance data includes the performance of a common trust
fund for the period prior to the commencement of operations of the mutual fund
on June 1, 1991, adjusted to reflect the deduction of fees and expenses. A
common trust fund is not registered under the Investment Company Act of 1940
("1940 Act") and, therefore, is not subject to certain investment restrictions,
limitations and diversification requirements imposed by the 1940 Act and the
Internal Revenue Code. If the common trust fund had been registered under the
1940 Act, its performance may have been adversely affected.
The performance of the Intermediate Bond Fund is measured against the Lehman
Brothers Intermediate Government/Corporate Bond Index, an unmanaged index
comprised of US Government agency and Treasury securities and investment grade
corporate bonds. 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 Lipper Short Intermediate US Government Bond Funds Index consists of funds
that invest at least 65% of its assets in securities issued or guaranteed by the
U.S. government, its agencies, or its instrumentalities, with a dollar-weighted
average maturity of one to five years.
10
<PAGE> 13
One Group 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 Bond Fund I share class posted
a total return of -0.87%.(1) For the year ended June 30, 1999, the Fund's total
return on I shares was 3.25%. (For information on other share classes and
performance comparisons to indexes, please see page 13.)
HOW DID MARKET DEVELOPMENTS INFLUENCE PERFORMANCE?
The fixed income market experienced significant volatility over the past year.
The second half of 1998 saw interest rates moving steadily downward, with the
30-year Treasury yield reaching an all-time low. Concerns about emerging markets
and the stability of the financial markets spawned a "flight to quality" in the
Treasury market and led the Federal Reserve to cut interest rates three times.
But, as we moved into 1999, interest rates began moving upward as strong U.S.
economic growth, inflation fears and improvements abroad emerged. These events
eventually led the Fed to raise interest rates at the end of June.
The Fund's overweighted positions in high quality mortgage-backed and
asset-backed securities led to underperformance during the "flight to quality,"
as Treasuries outperformed all other fixed income securities. Mortgage- and
asset-backed securities rebounded during the first calendar quarter of 1999,
only to once again fall behind Treasuries in the second quarter of 1999, as
liquidity concerns re-emerged.
HOW DID THE FUND'S YIELD CHANGE?
Overall, interest rates were higher for the period, which caused the Fund's
share price to decline. However, the Fund's yield more than compensated for the
price depreciation. The Fund's 30-day SEC yield (I share class) increased to
7.06% on June 30, 1999, from 6.21% on December 31, 1998, and 6.30% on June 30,
1998.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We attempted to keep the Fund's duration close to that of the Lehman Brothers
Aggregate Bond Index, the Fund's benchmark index. (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 5.2 years, versus 4.9 years for the index. This strategy helped the
Fund's share price avoid any wide swings as interest rates fluctuated.
We also focused on maintaining a high credit-quality profile. In an effort to
capture yield advantages, we emphasized high quality mortgage- and asset-backed
securities that we believed were undervalued and offered superior risk/reward
characteristics.
HOW WAS THE FUND STRUCTURED IN TERMS OF SECTORS AND QUALITY?*
At the end of the six-month period, 31% of the Fund's assets were invested in
U.S. Treasuries, 51% were in mortgage-backed securities, 6% were in asset-backed
securities, 5% were in corporate bonds and 6% were in money market securities.
Securities rated "AAA" comprised 95% of the Fund.
11
<PAGE> 14
One Group Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
While we think the bond market will remain volatile, our long-term view is
positive, and we believe that current yield levels are very compelling. We
expect the Fund to remain heavily overweighted in mortgage-backed bonds, as we
believe the sector as a whole and the Fund's particular holdings are still very
undervalued. Furthermore, we think that many of the Fund's mortgage securities
may perform well in different interest-rate environments. The Fund also remains
overweighted in the asset-backed sector, which we think may outperform
Treasuries during the next year. Finally, we will continue to emphasize
higher-quality securities and attempt to keep the Fund's duration similar to
that of its benchmark.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
* The Fund's composition is subject to change.
(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.
12
<PAGE> 15
One Group 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 3.25% 8.44% 8.38% 9.59%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS I LIPPER INTERMEDIATE US
------- LEHMAN BROTHERS GOVERNMENT BOND FUND
AGGREGATE BOND INDEX INDEX
-------------------- ----------------------
<S> <C> <C> <C>
6/89 $10,000 $10,000 $10,000
6/90 10,764 10,785 10,681
6/91 11,910 11,939 11,704
6/92 13,519 13,616 13,207
6/93 15,264 15,220 14,550
6/94 14,906 15,022 14,301
6/95 16,732 16,907 15,710
6/96 17,860 17,755 16,346
6/97 19,581 19,202 17,525
6/98 21,648 21,227 19,178
6/99 22,353 21,894 19,677
</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 2.99% 8.28% 8.30% 9.54%
Class A* (1.62)% 7.28% 7.80% 9.22%
</TABLE>
* Reflects 4.50% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LIPPER INTERMEDIATE
------- -------- AGGREGATE BOND US GOVERNMENT
INDEX BOND FUND INDEX
--------------- -------------------
<S> <C> <C> <C> <C>
6/89 $10,000 $9,550 $10,000 $10,000
6/90 10,764 10,285 10,785 10,681
6/91 11,910 11,380 11,939 11,704
6/92 13,519 12,918 13,616 13,207
6/93 15,264 14,585 15,220 14,550
6/94 14,906 14,243 15,022 14,301
6/95 16,732 15,988 16,907 15,710
6/96 17,860 17,066 17,755 16,346
6/97 19,515 18,647 19,202 17,525
6/98 21,544 20,586 21,227 19,178
6/99 22,189 21,202 21,894 19,677
</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 2.23% 7.92% 8.11% 9.42%
Class B** (2.61)% 7.62% 8.11% 9.42%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LIPPER INTERMEDIATE
------- --------- AGGREGATE BOND US GOVERNMENT
INDEX BOND FUNDS INDEX
--------------- -------------------
<S> <C> <C> <C> <C>
6/89 $10,000 $10,000 $10,000 $10,000
6/90 10,760 10,760 10,785 10,681
6/91 11,917 11,917 11,939 11,704
6/92 13,526 13,526 13,616 13,207
6/93 15,262 15,262 15,220 14,550
6/94 14,901 14,901 15,022 14,301
6/95 16,745 16,745 16,907 15,710
6/96 17,866 17,866 17,755 16,346
6/97 19,477 19,477 19,202 17,525
6/98 21,332 21,332 21,227 19,178
6/99 21,808 21,808 21,894 19,677
</TABLE>
13
<PAGE> 16
One Group 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
(3/22/99)
<S> <C> <C>
Class C (.35)%
Class C** (1.33)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS C CLASS C** LEHMAN BROTHERS LIPPER INTERMEDIATE
------- --------- AGGREGATE BOND US GOVERNMENT
INDEX BOND FUNDS INDEX
--------------- -------------------
<S> <C> <C> <C> <C>
3/99 $10,000 $10,000 $10,000 $10,000
6/99 9,982 9,883 9,912 9,901
</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 above-quoted performance data includes the performance of the Pegasus Bond
Fund for the period prior to the commencement of operations of the One Group
Bond Fund on March 22, 1999.
The above-quoted performance data includes the performance of a common trust
fund for the period prior to the commencement of operations of the mutual fund
on June 1, 1991, adjusted to reflect the deduction of fees and expenses. A
common trust fund is not registered under the Investment Company Act of 1940
("1940 Act") and, therefore, is not subject to certain investment restrictions,
limitations and diversification requirements imposed by the 1940 Act and the
Internal Revenue Code. If the common trust fund had been registered under the
1940 Act, its performance may have been adversely affected.
The performance of the Bond Fund is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index generally representative of the bond
markets 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 and Class C Shares.
The Lipper Intermediate US Government Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
14
<PAGE> 17
One Group Income Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Income Bond Fund I share class offered a total return of -1.68% for
the six months ended June 30, 1999.(1) The Fund's total return on I shares for
the year ended June 30, 1999, was 1.94%. (For information on other share classes
and performance comparisons to indexes, please see page 16.)
A general climate of higher interest rates and wider yield spreads led to price
depreciation for the Fund. (Yield spreads refer to the difference in yield
between non-Treasury securities, such as agency, corporate and mortgage-backed
bonds, and comparable-maturity Treasury bonds. When spreads widen, prices on
non-Treasury bonds decline, and vice versa.) However, the Fund's yield increased
over the period due to higher interest rates, wider spreads and an increased
allocation to non-Treasury securities. The Fund's 30-day SEC yield on June 30,
1999, was 5.88%, compared to 5.41% on December 31, 1998, and 5.55% on June 30,
1998 (I share class).
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
As is consistent with our investment philosophy, our strategy was to search for
value across all sectors of the fixed income market. In determining value, we
conducted thorough credit analysis and comprehensive risk and return
evaluations. We increased the portfolio's allocations to Treasuries, agencies
and mortgage-backed securities and decreased allocations to corporate bonds and
asset-backed securities.
In addition to improving the Fund's yield, this action increased the average
quality of the Fund. As of June 30, 1999, 64% of the portfolio was invested in
AAA-rated securities, 7% in AA-rated, 18% in A-rated and 9% in BBB-rated. This
compares to 68% in AAA-rated, 13% in AA-rated, 16% in A-rated and 2% in
BBB-rated as of December 31, 1998, and 46% in AAA-rated, 23% in AA-rated, 25% in
A-rated and 4% in BBB-rated as of June 30, 1998.*
Duration management also played a role in generating return and controlling
risk. (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 Lehman Aggregate Bond Index replaced the Lehman Government/Corporate
Bond Index as the Fund's benchmark. As a result, the Fund's duration ended the
period at 4.7 years, compared to 5.4 years on December 31, 1998.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Much of the Fund's performance -- and that of all domestic fixed income
portfolios -- is contingent on economic activity. If the economy moderates from
its current rapid growth pace, yields likely will decline, resulting in an
increase in bond prices and in the Fund's share price. If the economy continues
to show strength and yields increase, bond prices and the Fund's share price
likely will decline.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
(1) The Pegasus Multi Sector Bond Fund merged with the One Group Income Bond
Fund on March 22, 1999. For financial reporting purposes, the Pegasus fund
was considered the accounting survivor. Therefore, prior to the merger date
of March 22, 1999 all financial statement and performance information for
the One Group Income Bond Fund reflect that of the Pegasus fund. The Pegasus
Funds previously had a fiscal year end of December 31. Subsequent to the
merger, the fiscal year end changed from December 31 to June 30. See notes
to financial statements for additional information.
* The Fund's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
15
<PAGE> 18
One Group Income 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 (3/5/93)
<S> <C> <C> <C>
Class I 1.94% 7.15% 5.90%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS I LEHMAN BROTHERS LEHMAN BROTHERS LIPPER INTERMEDIATE
------- GOVERNMENT/CORPORATE AGGREGATE BOND -------------------
BOND INDEX INDEX
-------------------- ---------------
<S> <C> <C> <C> <C>
3/93 $10,000 $10,000 $10,000 $10,000
6/93 10,151 10,300 10,265 10,256
6/94 10,173 10,150 10,132 10,121
6/95 11,359 11,445 11,403 11,245
6/96 11,889 11,978 11,975 11,778
6/97 12,764 12,907 12,951 12,712
6/98 14,095 14,363 14,316 13,940
6/99 14,368 14,748 14,767 14,286
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/5/93)
<S> <C> <C> <C>
Class A 1.72% 6.87% 5.71%
Class A* (2.84)% 5.89% 4.95%
</TABLE>
* Reflects 4.50% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LEHMAN BROTHERS LIPPER
------- -------- AGGREGATE BOND GOVERNMENT/CORPORATE INTERMEDIATE
INDEX BOND INDEX INVESTMENT
--------------- -------------------- GRADE BOND
FUNDS INDEX
------------
<S> <C> <C> <C> <C> <C>
3/93 $10,000 $ 9,550 $10,000 $10,000 $10,000
6/93 10,151 9,698 10,265 10,300 10,256
6/94 10,187 9,733 10,132 10,150 10,121
6/95 11,341 10,835 11,403 11,445 11,245
6/96 11,830 11,302 11,975 11,978 11,778
6/97 12,670 12,105 12,951 12,907 12,712
6/98 13,961 13,339 14,316 14,363 13,940
6/99 14,202 13,569 14,767 14,748 14,286
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/5/93)
<S> <C> <C> <C>
Class B 0.86% 6.23% 5.21%
Class B** (3.89)% 5.91% 5.21%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LEHMAN BROTHERS LIPPER
------- --------- GOVERNMENT/CORPORATE AGGREGATE BOND INTERMEDIATE
BOND INDEX INDEX INVESTMENT
-------------------- --------------- GRADE BOND
FUNDS INDEX
------------
<S> <C> <C> <C> <C> <C>
3/93 $10,000 $10,000 $10,000 $10,000 $10,000
6/93 10,152 10,152 10,300 10,265 10,256
6/94 10,194 10,194 10,150 10,132 10,121
6/95 11,340 11,340 11,445 11,403 11,245
6/96 11,747 11,747 11,978 11,975 11,778
6/97 12,480 12,480 12,907 12,951 12,712
6/98 13,670 13,670 14,363 14,316 13,940
6/99 13,788 13,788 14,748 14,767 14,286
</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 above-quoted performance data includes the performance of the Pegasus Multi
Sector Bond Fund for the period prior to the commencement of operations of the
One Group Income Bond Fund on March 22, 1999. On December 2, 1994 the fund
terminated its offering of Class B shares and such shares converted to Class A
shares. The Fund re-offered Class B shares on May 31, 1994. Therefore, the
above-quoted performance data for Class B includes the performance of the
Pegasus Multi Sector Bond Fund for Class A for the period between December 2,
1994 to May 30, 1995. Performance for the Class B Shares is based on Class A
Share performance adjusted to reflect the absence of sales charges.
The performance of the Income Bond Fund is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index comprised of US Government, mortgage,
corporate and asset-backed securities. 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 Government/Corporate Bond Index is an unmanaged index
generally representative of the government and corporate bond market as a whole.
The Lipper Intermediate Investment Grade 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 One Group Income Bond Fund has changed from the
Lehman Brothers Government/Corporate Bond Index to the Lehman Brothers Aggregate
Bond Index to better represent the investment policies for comparison purposes.
16
<PAGE> 19
One Group Government 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 Government Bond Fund I share class
offered a total return of 1.94%. (For information on other share classes and
performance comparisons to indexes, please see page 19.)
HOW WOULD YOU DESCRIBE FISCAL 1999'S MARKET CLIMATE?
The fiscal year ending June 30, 1999, can be characterized as an incredibly
turbulent period in the fixed income market. In the fall of 1998, interest rates
hit new lows in the wake of emerging market and hedge fund crises. Concerns over
the stability of the financial markets caused the Federal Reserve to cut rates
three times during the second half of 1998. While interest rates were falling,
interest rate volatility and credit quality spreads were rising to levels not
seen in nearly a decade. (Spreads refer to the difference in yield between
non-Treasury securities, such as agency, corporate and mortgage-backed bonds,
and comparable-maturity Treasury bonds. When spreads widen, prices on
non-Treasury bonds decline, and vice versa.) To compound the problem, the low
interest rates led to significant mortgage refinancing activity, putting further
negative pressure on mortgage-backed securities.
As the fiscal year progressed, interest rates started showing an upward trend.
In addition, liquidity improved and spreads began to tighten. Mortgage-backed
bonds, highly rated corporate bonds and asset-backed securities outperformed
Treasuries in the first quarter of 1999. Economic indicators began to show that
the economy had not been negatively affected by the liquidity crisis in the
fall.
The final quarter of the fiscal year proved to the markets that the volatility
and liquidity problems of 1998 had not been completely erased. As the U.S.
economy continued growing at a rapid pace, the Fed took action with an interest
rate increase at the end of June. In anticipation of this move, interest rate
volatility surged and quality spreads again widened.
HOW DID THESE EVENTS INFLUENCE THE FUND?
Throughout the year we maintained investments in U.S. Treasuries, agency
securities and agency-issued mortgage-backed securities, with an emphasis on
mortgage-backed securities. In general, long-term Treasuries outperformed most
other sectors. The demand for liquidity, as well as a flattening of the yield
curve, significantly benefited these securities.
The significant rise in quality spreads, particularly those of mortgage-backed
securities, caused bond prices to decline, which negatively affected the Fund's
performance. These quality spreads have yet to recover. In addition, the
effective duration of the Fund was slightly longer that its 5.0 year target,
which negatively affected the Fund's price performance as interest rates
increased. (Duration is a measure of a fund's sensitivity to interest rate
changes. A longer duration indicates greater sensitivity; a shorter duration
indicates less.)
Overall, though, the Fund's performance was solid relative to the year's market
conditions. The one-year return was respectable given the high volatility in
interest rates and quality spreads and despite a period characterized by a very
flat -- and, at times, inverted -- yield curve.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our efforts were concentrated in maintaining a high quality and liquid portfolio
and keeping the Fund's duration close to our target of 5.0 years. The Fund's
duration varied during the year from 4.85 years to 5.40 years. This fluctuation
was due in part to the varying duration of mortgage-backed securities and the
increased interest rate volatility.
17
<PAGE> 20
One Group Government Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
In the short term, given the uncertainty surrounding inflation, economic growth
and Federal Reserve policy, we expect rates and spreads to remain volatile.
Later in the year, we believe the economy may start showing signs of a slowdown,
which should alleviate any additional pressure on the Fed to continue raising
rates. By year end, we expect interest rates to stabilize or moderately decline.
We also expect the yield curve to remain flat and overall interest rate
volatility to subside by year end. As such, the spread sectors, including agency
securities and agency-issued mortgages, may perform very well throughout the
rest of the calendar year. We plan to continue emphasizing these securities over
Treasuries.
/s/ Douglas S. Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond 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.
18
<PAGE> 21
One Group Government 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 (2/8/93)
<S> <C> <C> <C>
Class I 1.94% 7.27% 5.76%
</TABLE>
Value of $10,000 Investment
<TABLE>
<CAPTION>
SALOMON BROTHERS 3-7 LIPPER US GOVERNMENT
CLASS I YEAR TREASURY INDEX BOND FUNDS INDEX
------- -------------------- --------------------
<S> <C> <C> <C>
2/93 $10,000 $10,000 $10,000
6/93 10,351 10,275 10,289
6/94 10,068 10,174 9,973
6/95 11,281 11,275 11,028
6/96 11,710 11,790 11,440
6/97 12,659 12,623 12,256
6/98 14,027 13,701 13,477
6/99 14,300 14,290 13,694
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/5/93)
<S> <C> <C> <C>
Class A 1.69% 7.02% 5.26%
Class A* (2.92)% 6.04% 4.50%
</TABLE>
* Reflects 4.50% Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS A CLASS A* SALOMON BROTHERS 3- LIPPER US
------- -------- 7 YEAR TREASURY GOVERNMENT BOND
INDEX FUNDS INDEX
------------------- ---------------
<S> <C> <C> <C> <C>
3/93 $10,000 $9,550 $10,000 $10,000
6/93 10,171 9,713 10,237 10,252
6/94 9,849 9,406 10,136 9,937
6/95 11,015 10,519 11,233 10,989
6/96 11,410 10,896 11,746 11,399
6/97 12,303 11,749 12,576 12,212
6/98 13,598 12,986 13,650 13,428
6/99 13,829 13,206 14,237 13,644
</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 1.14% 6.39% 4.85%
Class B** (3.68)% 6.07% 4.70%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS B CLASS B** SALOMON BROTHERS 3- LIPPER US
------- --------- 7 YEAR TREASURY GOVERNMENT BOND
INDEX FUNDS INDEX
------------------- ---------------
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,501 9,501 9,560 9,377
6/95 10,566 10,566 10,595 10,369
6/96 10,877 10,877 11,079 10,757
6/97 11,654 11,654 11,862 11,524
6/98 12,802 12,802 12,875 12,672
6/99 12,949 12,852 13,429 12,876
</TABLE>
19
<PAGE> 22
One Group Government 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
(3/22/99)
<S> <C> <C>
Class C (1.54)%
Class C** (2.51)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
Value of $10,000 Investment
<TABLE>
<CAPTION>
CLASS C CLASS C** SALOMON BROTHERS 3- LIPPER US
------- --------- 7 YEAR TREASURY GOVERNMENT BOND
INDEX FUNDS INDEX
------------------- ---------------
<S> <C> <C> <C> <C>
3/99 $10,000 $10,000 $10,000 $10,000
6/99 9,864 9,767 9,946 9,862
</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 performance of the Government Bond Fund is measured against the Salomon
Brothers 3 to 7 Year Treasury Index, an unmanaged index comprised of US
Government agency and Treasury securities and agency mortgage-backed securities.
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 Lipper US Government 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 Treasury & Agency 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 Treasury & Agency Fund I share class
returned 3.54%. (For information on other share classes and performance
comparisons to indexes, please see page 22.)
The Fund's share price fluctuated throughout the year, as bond prices shifted in
response to perceived strength in the economy. In the fall of 1998, the market
perceived the U.S. economy would be negatively affected by the global economic
slowdown and therefore drove market yields down and bond prices up. Later, in
the first half of 1999, the U.S. economy showed more strength than had been
expected, resulting in higher market yields and lower bond prices.
Overall, for the period, yields increased and bond prices decreased. The Fund's
share price declined by approximately 2.78%, and the Fund's 30-day SEC yield
increased from 5.37% on June 30, 1998, to 5.99% on June 30, 1999 (I share
class).
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy during the fiscal year involved adjusting the
portfolio's allocation to favor agency securities over Treasuries. In the fall
of 1998, the global economic crisis spawned a "flight to quality," which sparked
a strong rally in the Treasury market -- a rally from which the Fund's
performance benefited.
But, later in 1998, after the crisis subsided, we surmised that agency
securities would become a progressively better relative value than Treasury
securities. As such, we increased the Fund's allocation to agencies. This proved
to be an effective strategy, as the agency securities contributed higher yield
and greater return potential to the portfolio.
Our ongoing strategy of maintaining a neutral duration of 2.9 years helped the
Fund avoid any negative performance due to poorly implemented market timing.
(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 Fund's duration did fluctuate -- from 2.72 years to 3.22
years -- during the 12-month period, but that was due to the varying duration of
callable agency bonds. (The call feature refers to the bond issuer's right to
repay, or "call," the bond before the scheduled maturity date. Securities that
have this feature typically offer higher yields in return for the call risk.) As
yields decreased, the higher probability of being called resulted in shorter
duration, and as yields increased, the lower probability of being called
resulted in a longer duration.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Economic activity will play a significant role in the Fund's performance during
the next year. If the economy moderates from its current rapid pace of growth,
yields likely will decline, and we would expect bond prices and the Fund's share
price to increase. If the economy continues to show strength and yields
increase, we would expect bond prices and the Fund's share price to decline.
As we begin fiscal 2000, we are taking advantage of opportunities in the
government bond market. From a historical perspective, agency yields currently
are very attractive relative to Treasuries, and the portfolio's agency component
is fully allocated. In the Treasury component, we are focusing on select
seasoned Treasuries that offer a yield advantage and higher total return
potential.
/s/ Douglas Swanson
- --------------------
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich, CFA
- ------------------------
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Please refer to the prospects and the accompanying financial statements for more
information about the Fund.
21
<PAGE> 24
One Group Treasury & Agency 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 (4/30/88)
<S> <C> <C> <C> <C>
Class I 3.54% 6.71% 6.87% 7.04%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I LEHMAN BROTHERS LIPPER MIX
------- INTERMEDIATE TREASURY ----------
INDEX
---------------------
<S> <C> <C> <C>
6/89 $10,000 $10,000 $10,000
6/90 10,745 10,762 10,754
6/91 11,743 11,887 11,701
6/92 12,961 13,419 12,816
6/93 13,824 14,782 13,673
6/94 14,044 14,755 13,841
6/95 15,635 16,191 14,853
6/96 16,261 16,981 15,601
6/97 17,390 18,145 16,606
6/98 18,766 19,672 17,684
6/99 19,430 20,553 18,456
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
<S> <C> <C> <C> <C>
Class A 3.30% 6.54% 6.67% 6.83%
Class A* 0.22% 5.89% 6.33% 6.54%
</TABLE>
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* LEHMAN BROTHERS LIPPER MIX
------- -------- INTERMEDIATE ----------
TREASURY INDEX
---------------
<S> <C> <C> <C> <C>
6/89 $10,000 $ 9,700 $10,000 $10,000
6/90 10,731 10,403 10,762 10,754
6/91 11,694 11,337 11,887 11,701
6/92 12,874 12,480 13,419 12,816
6/93 13,688 13,269 14,782 13,673
6/94 13,887 13,462 14,755 13,841
6/95 15,399 14,928 15,191 14,863
6/96 15,980 15,491 16,981 15,601
6/97 17,072 16,550 18,145 16,606
6/98 18,456 17,891 19,672 17,684
6/99 19,065 18,482 22,553 18,456
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
<S> <C> <C> <C> <C>
Class B 2.89% 6.01% 6.13% 6.29%
Class B** (0.03)% 6.01% 6.13% 6.29%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** LEHMAN BROTHERS LIPPER MIX
------- --------- INTERMEDIATE ----------
TREASURY INDEX
---------------
<S> <C> <C> <C> <C>
6/89 $10,000 $10,000 $10,000 $10,000
6/90 10,672 10,672 10,762 10,754
6/91 11,584 11,584 11,887 11,701
6/92 12,688 12,688 13,419 12,816
6/93 13,424 13,424 14,782 13,673
6/94 13,536 13,536 14,755 13,841
6/95 14,960 14,960 16,191 14,863
6/96 15,440 15,440 16,981 15,601
6/97 16,413 16,413 18,145 16,606
6/98 17,616 17,616 19,672 17,684
6/99 18,125 18,125 20,553 18,456
</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 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 Treasury & Agency Fund is measured against the Lehman
Brothers Intermediate Treasury Index, an unmanaged index comprised of US
Treasury-issued securities with maturities of one to ten 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 Mix for all the classes consists of the average monthly returns of
the Lipper Intermediate Treasury Bond Funds Index from April 1988 through
December 1989. Thereafter, the data is from the Lipper Short US Government Bond
Funds Index which corresponds with the initiation of the Index on January 1,
1989. The Lipper Indices consist of the equally weighted average monthly return
of the largest funds within the universe of all funds in the category.
22
<PAGE> 25
One Group High Yield Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group High Yield Bond Fund I share class posted a total return of 3.80% for
the period from the Fund's inception on November 13, 1998, through June 30,
1999. (For information about other share classes and performance comparisons to
indexes, please see page 25.)
The Fund benefited from commencing operations during the beginning of a recovery
period in the high-yield bond market. Prior to that, the market suffered from
the global liquidity crisis that emerged in the summer of 1998. The market began
to recover later in the year after the Federal Reserve intervened with three
interest rate cuts. In the first six months of 1999 interest rates began to
climb, which caused bond prices to decline. However, spreads tightened during
the same time period, buffering the negative pressure of rising interest rates.
(Spreads refer to the difference in yield between non-Treasury bonds -- in this
case high-yield bonds -- and comparable-maturity Treasury bonds.) High-yield
spreads generally tighten when interest rates rise and widen when interest rates
fall. This tightening of spreads was the prime reason high-yield bonds
outperformed most other intermediate fixed income categories during the period.
DID THE FUND'S YIELD BENEFIT FROM THE RISING RATE ENVIRONMENT?
As a fixed income investment, high-yield bonds are influenced by interest rate
movements, but their higher average coupon does insulate them from rising
interest rates more than most other intermediate fixed income securities. The
Fund's SEC yield did increase throughout the period -- to 9.09% on June 30,
1999 -- primarily due to the Fund becoming nearly fully invested in high-yield
bonds, with less exposure to commercial paper and other short-term instruments.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our overall strategy is to maintain a well-diversified portfolio across issuers
and industries. The most important component of this strategy is to understand
the unique, fundamental characteristics of the companies we invest in. As such,
we rely on our analyst team's bottom-up credit research expertise along with the
portfolio manager's top-down perspective on the market as a whole.
We maintained the Fund's duration in a fairly tight band throughout the period.
(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's duration ranged from 4.84 years to 5.04 years and ended the
period at 4.97 years.
The Fund benefited from our decisions to underweight the health care and energy
sectors, which underperformed, and to overweight telecommunications and
media-related sectors, which, on a fiscal year-to-date basis, offered solid
performance.
HOW DID YOU MANAGE THE FUND'S CREDIT QUALITY?
One of the critical elements of successfully managing high-yield bond portfolios
is to avoid rapidly deteriorating credits or to sell them before they
significantly decline. Our analysts attempt to do this by closely studying and
monitoring every security the Fund owns in order to stay ahead of the market.
Our portfolio managers closely follows the trading of every security in the Fund
to spot market clues to potential deterioration of individual companies or
industry sectors.
As of June 30, 1999, securities rated "BBB" or better comprised 0.2% of the
Fund, while those rated "BB" comprised 12.2%, "B," 75.0%, and "CCC," 7.5%.
Unrated companies comprised 5.1% of the Fund. The remainder was invested in cash
or cash equivalents.
23
<PAGE> 26
One Group High Yield Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
If the economy stays strong, which we think it should, high-yield bonds should
continue to do well. We expect this environment to be favorable for corporate
credit quality to remain stable or improve. Even if interest rates continue to
rise, as long as corporations and consumers have reasonable access to capital,
it's likely that high-yield bonds will outperform other fixed income
alternatives. However, it's important to remember that the primary emphasis of
the Fund is managing and maintaining credit quality, not anticipating or
responding to interest rate movements.
/s/ Anthony L. Longi Jr.
- ---------------------------
Anthony L. Longi Jr.
Banc One High Yield Partners, LLC
Fund Sub-Advisor
/s/ Gary J. Madich, CFA
- ---------------------------
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.
24
<PAGE> 27
One Group High Yield 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
(11/13/98)
<S> <C>
Class I 3.80%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CREDIT SUISSE FIRST BOSTON HIGH
CLASS I YIELD INDEX
------- -------------------------------
<S> <C> <C>
11/98 $10,000 $10,000
6/99 10,376 10,258
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(11/13/98)
<S> <C>
Class A 3.53%
Class A* (1.12)%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CREDIT SUISSE FIRST
CLASS A CLASS A* BOSTON HIGH YIELD INDEX
------- -------- -----------------------
<S> <C> <C> <C>
11/98 $10,000 $9,550 $10,000
6/99 10,349 9,884 10,258
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(11/13/98)
<S> <C>
Class B 3.30%
Class B** (1.64)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CREDIT SUISSE FIRST
CLASS B CLASS B** BOSTON HIGH YIELD INDEX
------- --------- -----------------------
<S> <C> <C> <C>
11/98 $10,000 $10,000 $10,000
6/99 10,327 9,833 10,258
</TABLE>
25
<PAGE> 28
One Group High Yield 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
(3/22/99)
<S> <C>
Class C (0.56)%
Class C** (1.53)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CREDIT SUISSE FIRST
CLASS C CLASS C** BOSTON HIGH YIELD INDEX
------- --------- -----------------------
<S> <C> <C> <C>
3/99 10,000 10,000 10,000
6/99 9,942 9,845 10,116
</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 performance of the High Yield Bond Fund is measured against the Credit
Suisse First Boston High Yield Bond Index, an unmanaged index comprised of
securities that are selected primarily on the basis of size, liquidity and
diversification to be representative of the high yield 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 and Class C
Shares.
26
<PAGE> 29
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ultra Short-Term 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>
ASSET BACKED SECURITIES (40.3%):
$6,715 American Residential Home Equity Loan
Trust, 5.54%, 5/25/29*.............. $ 6,680
6,000 AmeriCredit Automobile Receivables
Trust, Series 1998-B, 6.06%,
12/12/02............................ 6,002
2,541 Amresco 1997-1, Class A9, 5.27%,
3/25/27*............................ 2,539
3,861 Amresco 1998-2, Class A8, 5.25%,
5/25/28*............................ 3,853
5,000 Amresco, Series 1998-3 MIA, 5.51%,
4/25/15*............................ 4,929
404 Auto Finance Group, Inc., Series
1997-B, Class B, 6.40%, 2/15/03..... 406
808 Auto Finance Group, Inc., Series
1997-B, Class C, 7.00%, 2/15/03..... 814
1,900 BankBoston, Series 1998-1 B2, 6.00%,
2/15/06*............................ 1,922
500 BankBoston, Series 1998-1 C1, 7.00%,
2/16/06*............................ 503
6,000 Brazos Student Loan Finance Corp.,
Series 1996-B, Class A4, 5.25%,
12/1/02*............................ 5,984
3,513 Case Equipment Loan Trust, Series
1998-B, Class B, 5.99%, 10/15/05.... 3,484
2,470 Citicorp Mortgage Securities, Series
1988-17, Class A1, 6.76%,
11/25/18*........................... 2,484
6,135 Countrywide Home Equity Loan Trust,
5.17%, 6/15/22*..................... 6,122
1,725 Countrywide Home Equity Loan Trust,
Series 1998-C, 5.17%, 10/15/24*..... 1,721
1,200 Countrywide Home Equity, Series
1997-D, Class A, 5.19%, 12/15/23*... 1,200
2,000 First USA Credit Card Master Trust,
5.44%, 2/18/04*..................... 1,988
1,073 First USA Credit Card Master Trust,
Series 1998-4, Class C, 5.52%,
3/18/08*............................ 1,053
2,000 First USA Credit Card Master Trust,
Series 1998-4, Class B, 5.32%,
3/18/08*............................ 1,993
2,253 Greentree Financial Home Equity Loan,
Series 1997-D, 5.21%, 9/15/28*...... 2,233
3,205 Greentree Financial Home Equity Loan,
Series 1998-B, Class A1B, ARM,
5.21%, 11/15/29*.................... 3,182
3,776 Greentree Home Equity Loan Trust,
Series 1998-C, Class A1B, 5.17%,
7/15/29*............................ 3,745
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$2,325 Greentree Home Improvement Loan Trust,
Series 1998-E, 5.64%, 9/15/28*...... $ 2,332
1,047 Hyundai Auto Receivables Trust, Series
1998-A, Class A1, 5.90%, 4/15/01*... 1,048
2,000 Lakeshore Commercial Loan Master
Trust, Series 1998 B2, 5.40%,
7/25/07*............................ 1,978
3,000 Lakeshore Commercial Loan Master
Trust, Series 1998 C1, 5.95%,
7/25/07*............................ 2,963
2,000 Loop Funding Master Trust I, Series
1997-A144, Class C1, 5.93%,
12/26/07*........................... 1,989
5,000 MBNA Master Credit Card Trust, Series
1997-E, Class B, 5.28%, 9/15/04*.... 5,005
1,500 MBNA Master Credit Card Trust, Series
1999-C, Class B, 5.38%, 5/17/04*.... 1,500
1,550 MBNA Master Credit Card Trust, Series
1999-C, Class C, 5.98%, 5/17/04*.... 1,549
1,658 Merrill Lynch Home Equity Loan, Series
1997-1, Class A, 5.12%, 9/25/27*.... 1,654
4,980 Merrill Lynch Mortgage Investment,
Series 1999-PNB1, Class A, 5.28%,
6/25/25*............................ 4,970
3,000 Onyx Acceptance Grantor Trust, 5.99%,
1/15/05............................. 2,973
3,000 People's Bank Credit Card Master
Trust, Series 1997-2, Class B,
5.32%, 4/15/05*..................... 3,003
6,341 Residential Funding Mortgage
Securities, 7.95%, 9/25/12.......... 6,423
5,000 SLM Student Loan Trust, Series 1999-1
Class A1T, 5.59%, 4/25/08*.......... 5,000
5,000 Standard Credit Card Master Trust,
Series 1994-2, Class A, 7.25%,
4/7/08.............................. 5,175
1,281 Structured Asset Securities Corp.,
Series 1997-1, Class B2, 7.11%,
11/15/26*........................... 1,303
1,984 Structured Asset Securities Corp.,
Series 1998-C3, Class B, 5.84%,
6/25/15*............................ 1,978
2,000 Team Fleet Financing Corp., Series
1999-2A, Class C, 5.60%, 7/25/02*... 2,000
</TABLE>
Continued
27
<PAGE> 30
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ultra Short-Term 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>
ASSET BACKED SECURITIES, CONTINUED:
$1,234 The Money Store Home Equity Trust,
Series 1993-D, Class A2, 5.08%,
2/15/18............................. $ 1,231
201 UCFC Home Equity Loan, Series 1993-B2,
Class A2, 6.20%, 7/25/14............ 200
--------
Total Asset Backed Securities 117,111
--------
COLLATERALIZED MORTGAGE OBLIGATIONS (15.0%):
3,270 AMAC, Series 1998-1, Class A5, 6.50%,
4/25/28............................. 3,273
2,240 American Housing Trust, Series VII,
Class D, 9.25%, 11/25/20............ 2,387
2,314 Asset Securitization Corp., Series
1996-MD6, Class A1B, 6.88%,
11/13/26............................ 2,332
764 Chemical Mortgage Acceptance Corp.,
Series 1988-2, Class A, 6.70%,
5/25/18*............................ 767
1,024 FFCA Secured Lending Corp., Series
1999-1X, Class B2, 6.02%,
6/18/13*............................ 1,024
422 First Boston Mortgage Securities,
Series 1992-5, Class 2A, 6.88%,
1/25/23*............................ 421
4,858 GE Capital Mortgage Services, Inc.,
Series 1998-10, Class 1A2, 6.50%,
5/25/28............................. 4,858
1,950 Glendale Federal Bank, Series 1990-1,
Class A, 6.32%, 10/25/29*........... 1,942
2,454 Government National Mortgage
Association, Series 1999-15, Class
PE, 0.00%, 12/16/26................. 2,047
571 Morgan Stanley Capital Issue, Series
1997-C1, Class A2, 5.38%,
2/15/20*............................ 569
3,000 Nascor, Series 1998-34 A2, 6.30%,
1/25/29............................. 2,966
4,940 Nationslink Funding Corp., Class A1V,
5.30%, 4/10/07*..................... 4,925
2,000 Nomura Depositor Trust, Series
1998-ST1, Class A2, 5.41%,
1/15/03*............................ 1,944
1,000 Nomura Depositor Trust, Series
1998-ST1, Class A3, 5.57%,
1/15/03*............................ 973
1,070 Nomura Mortgage Capital Corp., Series
1990-1, Class H, 7.00%, 6/17/20..... 1,073
197 Prudential Home Mortgage Securities,
Series 1992-45, Class A4, 6.50%,
1/25/00............................. 196
2,275 Salomon Brothers Mortgage Securities,
Series 1987-2, Class A, 6.98%,
12/25/17*........................... 2,263
1,722 Salomon Brothers Mortgage Securities,
Series 1988-2, Class A, 6.51%,
6/25/18*............................ 1,717
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 549 Sears Mortgage Securities Corp.
Services, Series 1992-18A, Class A3,
7.01%, 9/25/22*..................... $ 548
780 Structured Asset Securities Corp.,
Series 1997-C1, Class D, 5.69%,
8/25/00*............................ 779
1,801 Structured Asset Securities Corp.,
Series 1998-C2A, Class C, 5.34%,
1/25/01*............................ 1,779
1,823 Structured Asset Securities Corp.,
Series 1998-C2A, Class D, 5.51%,
1/25/01*............................ 1,787
3,000 Westpac Securitization Trust, Series
1999-1G, Class A, 5.20%, 5/19/30*... 3,000
--------
Total Collateralized Mortgage Obligations 43,570
--------
CORPORATE BONDS (3.4%):
Financial Services (3.4%):
5,000 Ace Securities Corp., Series 1999-LB1,
Class A1, 5.49%,11/25/28*........... 5,000
5,000 MBNA Corp., 5.78%, 5/23/03*........... 4,977
--------
Total Corporate Bonds 9,977
--------
U.S. GOVERNMENT AGENCY MORTGAGES (38.2%):
Fannie Mae (19.1%):
203 6.50%, 11/1/03, Pool #44174........... 202
985 5.75%, 9/1/06, Pool #411526........... 963
574 6.90%, 5/1/09, Pool #433995*.......... 583
960 6.70%, 6/1/09, Pool #433992*.......... 965
1,220 6.50%, 4/1/16, Pool #344051........... 1,195
658 6.00%, 3/1/17, Pool #47109, 1 Year CMT
ARM*................................ 664
1,157 6.54%, 5/1/18, Pool #75505, 6 Month
T-Bill ARM*......................... 1,195
311 6.14%, 6/1/18, Pool #70793, 6 Month
T-Bill ARM*......................... 318
8,207 6.63%, 11/1/18, Pool #313539*......... 8,451
1,967 6.40%, 1/1/20, Pool #90031, 1 Year CMT
ARM*................................ 2,029
1,828 6.25%, 1/25/20, Series 1993-102 G..... 1,823
1,126 7.13%, 5/1/20, Pool #96195*........... 1,146
4,182 6.42%, 7/1/20, Pool #133558, 1 Year
CMT ARM*.............................. 4,303
1,671 6.62%, 12/1/20, Pool #116590, 1 Year
CMT ARM*.............................. 1,706
</TABLE>
Continued
28
<PAGE> 31
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ultra Short-Term 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$1,987 5.88%, 12/25/20, Series 1990-145,
Class A, CMO*......................... $ 1,996
1,200 6.62%, 4/1/21, Pool #70983, 1 Year CMT
ARM*................................ 1,237
577 9.00%, 8/1/21, Pool #348983........... 615
560 7.50%, 11/1/21, Pool #124510, 1 Year
CMT ARM*.............................. 577
415 6.87%, 11/1/22, Pool #193013, 1 Year
CMT ARM*.............................. 428
1,692 6.52%, 3/1/23, Pool #202670, 6 Month
CD ARM*............................... 1,733
1,018 6.91%, 11/1/23, Pool #241828, 6 Month
CD ARM*............................... 1,054
369 8.50%, 7/1/24, Pool #342036........... 388
777 8.50%, 10/1/24, Pool #345876.......... 816
677 9.00%, 4/1/25, Pool #370122........... 722
379 6.87%, 7/1/25, Pool #326092, 1 Year
CMT ARM*.............................. 389
503 9.00%, 8/1/25, Pool #361354........... 535
2,393 6.91%, 6/1/26, Pool #313555*.......... 2,449
402 7.41%, 11/1/26, Pool #363030, 1 Year
CMT ARM*.............................. 404
2,653 6.58%, 7/1/27, Pool #70179, 1 Year CMT
ARM*................................ 2,728
3,419 5.77%, 10/1/28, Pool #67694, COFI
ARM*.................................. 3,357
3,877 5.77%, 11/1/28, Pool #303469*......... 3,806
3,658 5.76%, 8/1/29, Pool #303742*.......... 3,591
2,720 6.92%, 1/1/31, Pool #124945, 1 Year
CMT ARM*.............................. 2,807
--------
55,175
--------
Freddie Mac (12.3%):
271 6.00%, 10/1/00, Gold Pool #G50424..... 272
632 7.50%, 7/15/06, Series 1106, Class
E..................................... 642
2,000 6.50%, 5/15/09, Series 1628, Class
LC.................................... 1,977
2,131 8.00%, 12/1/09, Pool #G10314.......... 2,201
56 8.00%, 1/1/10, Pool #E00355........... 58
1,668 8.00%, 1/1/10, Pool #G10307........... 1,724
214 8.00%, 4/1/10, Pool #E00371........... 221
1,465 8.83%, 10/15/13, Series 1607, Class
SA*................................. 1,451
1,764 7.23%, 5/1/18, Pool #840160, 1 Year
CMT ARM*............................ 1,849
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$5,000 6.00%, 3/15/21, Series 2081, Class
PA.................................. $ 4,952
7,380 3.50%, 11/15/21, Series 1584 HA....... 6,449
392 6.05%, 12/1/21, Pool #645083, 1 Year
CMT ARM*............................ 393
2,634 7.79%, 2/1/23, Pool #845297........... 2,721
3,983 5.45%, 12/15/23, Series 1637 LG,
CMO*................................ 4,010
1,217 9.00%, 2/1/25, Pool #C00387........... 1,295
2,517 6.28%, 6/1/26, Pool #785586, 1 Year
CMT ARM*............................ 2,559
2,835 8.50%, 7/1/28, Gold Pool #G00981...... 2,966
--------
35,740
--------
Government National Mortgage Assoc. (6.8%):
1,513 6.37%, 1/20/21, Pool #8738*........... 1,540
1,186 9.00%, 11/15/24, Pool #780029......... 1,264
2,704 8.00%, 7/20/25, Pool #2036............ 2,764
2,110 8.00%, 8/20/26, Pool #2270............ 2,156
25 6.38%, 2/20/27, Pool #80045*.......... 25
7,725 6.63%, 7/20/27, Pool #80094, 1 Year
CMT ARM*............................ 7,802
1,288 8.00%, 10/15/27, Pool #412336......... 1,326
2,954 6.13%, 11/20/27, Pool #80136*......... 2,996
--------
19,873
--------
Total U.S. Government Agency Mortgages 110,788
--------
U.S. GOVERNMENT AGENCY SECURITIES (1.7%):
5,000 Student Loan Marketing Association,
Series 1997-3, 5.55%, 10/25/12*..... 4,874
--------
Total U.S. Government Agency Securities 4,874
--------
YANKEE & EURODOLLAR (0.3%):
1,024 BHN, Series 1997-1, Class A1, 6.37%,
3/25/11*............................ 865
--------
Total Yankee & Eurodollar 865
--------
INVESTMENT COMPANIES (1.0%):
2,929 One Group Prime Money Market Fund,
Class I............................. 2,929
--------
Total Investment Companies 2,929
--------
Total (Cost $291,549) (a) $290,114
========
</TABLE>
Continued
29
<PAGE> 32
- --------------------------------------------------------------------------------
One Group Mutual Funds
Ultra Short-Term Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
- ------------
Percentages indicated are based on net assets of $290,297.
(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...................... $ 756
Unrealized depreciation...................... (2,191)
-------
Net unrealized appreciation (depreciation)... $(1,435)
=======
</TABLE>
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The
rate reflected on the Schedule of Portfolio of Investments is the rate in
effect at June 30, 1999.
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CD Certificate of Deposit
CMO Collateralized Mortgage Obligation
CMT Collateralized Mortgage Trust
COFI Cost of Funds Index
</TABLE>
See notes to financial statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
ASSET BACKED SECURITIES (21.1%):
$ 159 Arcadia Automobile Receivables Trust,
Series 1997-B, Class A3, 6.30%,
7/16/01............................ $ 160
700 Arcadia Automobile Receivables Trust,
Series 1997-B, Class A4, 6.50%,
6/17/02............................ 705
6,670 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A4, 6.38%,
1/15/03............................ 6,722
1,000 Arcadia Automobile Receivables Trust,
Series 1998-A, Class A, 6.00%,
11/17/03........................... 995
1,750 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A5, 6.55%,
6/15/05............................ 1,764
1,025 Auto Leasing Investors, Series 1997,
Class A2, 5.93%, 8/14/00........... 1,027
1,600 BA Mortgage Securities, Inc.,
Series 1998-2, Class 1A10, 6.60%,
6/25/28............................ 1,592
103 Bay View Auto Trust, Series 1997-RA1,
Class A1, 6.29%, 12/15/01.......... 103
745 Case Equipment Loan Trust,
Series 1998-B, Class A3, 5.81%,
5/15/03............................ 745
183 Case Equipment Loan Trust,
Series 1998-B, Class A3, 6.65%,
9/15/03............................ 184
617 Case Equipment Loan Trust,
Series 1996-A, Class A2, 5.50%,
2/15/03............................ 617
1,930 Chase Credit Card Master Trust,
Series 1997-2, Class A, 6.30%,
4/15/03............................ 1,944
558 Chase Manhattan Auto Owner Trust,
Series 1997-B, Class A3, 6.35%,
2/15/01............................ 560
375 Chase Manhattan Auto Owner Trust,
Series 1997-A, Class A5, 6.50%,
12/17/01........................... 378
894 Chevy Chase Auto Receivable Trust,
Series 1997-3, Class A, 6.20%,
3/20/04............................ 898
1,329 Chevy Chase Auto Receivables Trust,
Series 1998-2, Class A, 5.91%,
12/15/04........................... 1,328
5,000 CIT RV Trust, Series 1998-A, Class B,
6.29%, 1/15/17..................... 4,954
5,000 Citibank Credit Card Master Trust,
Series 1998-1, Class B, 5.88%,
1/15/03............................ 4,936
7,750 Citibank Master Trust, Series 1997-9,
Class A, 0.00%, 8/15/06............ 5,636
5,063 CMC Securities Corp. III, Series
1994-D, Class M, 6.00%, 3/25/24.... 4,750
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 2,210 Consumer Portfolio Services,
Series 1997-2 A, 6.65%, 10/15/02... $ 2,226
2,425 Contimortgage Home Equity Loan Trust,
Series 1995-2, Class 4A, 8.05%,
7/15/12............................ 2,448
650 Contimortgage Home Equity Loan Trust,
Series 1996-4, Class A6, 6.71%,
6/15/14............................ 655
465 Countrywide Asset-Backed Certificate,
Series 1996-1, Class A2, 6.53%,
2/25/14............................ 465
1,140 Countrywide Home Equity,
Series 1997-D, Class A, 5.19%,
12/15/23*.......................... 1,140
1,000 CPS Auto Receivables Trust,
Series 1998-3, Class A, 6.08%,
10/15/03........................... 1,003
5,000 Dayton Hudson Credit Card Master
Trust, Series 1998-1A, 5.90%,
5/26/06............................ 4,869
1,875 Discover Card Master Trust 1, Series
1998-2, Class A, 5.80%, 9/16/03.... 1,871
1,550 Discover Card Master Trust I, 6.55%,
2/18/03............................ 1,564
1,000 Discover Card Trust, Series 1993-B,
Class A, 6.75%, 2/16/02............ 1,005
3,179 DVI Equipment Receivables Trust,
Series 1997-A, Class A, 6.45%,
1/15/04............................ 3,180
5,150 Evans Withycombe Finance Trust,
Series 1, Class A1, 7.98%,
8/1/01............................. 5,233
1,418 Fifth Third Auto Grantor Trust,
Series 1996-A, Class A, 6.20%,
9/15/01............................ 1,422
1,324 Fifth Third Auto Grantor Trust,
Series 1996-B, Class A, 6.45%
3/15/02............................ 1,330
295 Ford Credit Auto Owner Trust, Series
1996-A, Class A4, 6.75%, 9/15/00... 296
1,196 Ford Credit Auto Owner Trust, Series
1996-B, Class A4, 6.30%,
1/15/01............................ 1,200
145 Ford Credit Auto Owner Trust, Series
1997-B, Class A3, 6.05%,
4/15/01............................ 145
380 Ford Credit Auto Owner Trust, Series
1998, Class A3, 5.65%, 10/15/01.... 380
5,000 Ford Motor Credit Auto Loan Master,
Series 1995-1, Class A, 6.50%,
8/15/02............................ 5,043
5,000 Ford Motor Credit Auto Owner Trust,
Series 1998-B, Class B, 6.15%,
9/15/02............................ 4,983
2,000 Ford Motor Credit, Series 1998-C,
5.81%, 3/15/02..................... 2,004
5,000 Greentree Lease Finance, Series
1998-1, Class A3, 5.60%, 7/20/02... 4,981
</TABLE>
Continued
31
<PAGE> 34
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
ASSET BACKED SECURITIES, CONTINUED:
$ 330 Greentree Recreational, Equipment and
Consulting, Series 1996-A, Class
A1, 5.55%, 2/15/18................. $ 327
1,193 Greentree Recreational, Equipment and
Consulting, Series 1998-A, Class
A1C, 6.18%, 6/15/19................ 1,195
4,330 J.P. Morgan Commercial Mortgage
Financial Corp., Series 1998-C6,
Class A1, 6.37%, 1/15/30........... 4,296
2,000 Key Auto Finance Trust, Series
1997-1, Class A3, 6.15%, 3/15/04... 2,010
98 Merrill Lynch Home Equity Loan,
Series 1992-1, Class A, 5.34%,
7/15/22*........................... 98
6,500 Metris Mastertrust, Series 1997-1,
Class B, 7.11%, 10/1/05............ 6,514
100 Nationsbank Auto Grantor Trust,
Series 1995-A, Class A, 5.85%,
6/15/02............................ 100
421 Navistar Financial Corp. Owner Trust,
Series 1997-A, Class A3, 6.75%,
3/15/02............................ 424
125 Neiman Marcus, Series 1995-1, Class
A, 7.60%, 6/15/03.................. 127
92 New York City Tax Lien, Series
1996-1, Class A, 6.81%, 5/25/05.... 92
1,335 Newcourt Receivables Asset Trust,
Series 1997-1, Class A4, 6.19%,
5/20/05............................ 1,332
2,810 Newcourt Receivables Asset Trust,
Series 1996-3, Class A, 6.24%,
12/20/04........................... 2,808
2,674 Nomura Mortgage Capital Corp., Series
90-1, Class H, 7.00%, 6/17/20...... 2,683
290 Olympic Automobile Receivables Trust,
Series 1996-A, Class A4, 5.85%,
7/15/01............................ 290
626 Olympic Automobile Receivables Trust,
6.40%, 9/15/01..................... 628
375 Olympic Automobile Receivables Trust,
Series 1995-C, Class A2, 6.20%,
1/15/02............................ 376
3,016 Olympic Automobile Receivables Trust,
Series 1996-C, Class A4, 6.80%,
3/15/02............................ 3,038
1,375 Olympic Automobile Receivables Trust,
Series 1996-B, Class A4, 6.70%,
3/15/02............................ 1,384
488 Olympic Automobile Receivables Trust,
Series 1996-D, Class A4, 6.05%,
8/15/02............................ 489
1,435 Olympic Automobile Receivables Trust,
Series 1997-A, Class A4, 6.63%,
12/15/02........................... 1,448
1,150 Olympic Automobile Receivables Trust,
Series 1996-C, Class A5, 7.00%,
3/15/04............................ 1,168
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 3,000 Onyx Acceptance Grantor Trust, Series
1998-B, Class A2, 5.85%, 7/15/03... $ 2,974
892 Onyx Acceptance Grantor Trust, Series
1997-3, Class A, 6.35%, 1/15/04.... 899
2,266 Onyx Acceptance Grantor Trust, Series
1997-4, Class A, 6.30%, 5/15/04.... 2,282
231 Premier Auto Trust, Series 1997-2,
Class A3, 6.15%, 9/6/00............ 232
277 Premier Auto Trust, Series 1996-2,
Class A4, 6.58%, 10/6/00........... 278
20 Premier Auto Trust, Series 1996-4,
Class A3, 6.20%, 11/6/00........... 20
566 Premier Auto Trust, Series 1997-1,
Class A, 6.25%, 8/6/01............. 568
540 Premier Auto Trust, Series 1996-4,
Class A4, 6.45%, 10/6/01........... 543
7,000 Proffitt's Credit Card Master Trust,
Series 1997-2, Class B, 6.69%,
12/15/05........................... 7,023
2,000 Residential Funding Corp., 6.50%,
12/25/08........................... 1,998
3,855 Ryder Vehicle Lease, Series 1998-A,
Class A, 6.10%, 9/15/08............ 3,847
200 Sears Credit Account Master Trust,
Series 1996-2, Class D, 6.50%,
10/15/03........................... 201
3,000 Sears Credit Account Master Trust,
Series 1998-1, Class A, 5.80%,
8/15/05............................ 2,992
2,000 Sears Credit Account Master Trust,
Series 1996-1, Class A, 6.20%,
2/16/06............................ 2,008
2,000 Sears Credit Account Master Trust,
Series 1996-4, Class A, 6.45%,
10/16/06........................... 2,012
2,550 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/8/02............ 2,558
1,500 Union Acceptance Corp., Series
1998-A, Class A3, 6.05%, 6/10/02... 1,506
950 Union Acceptance Corp., Series
1997-B, Class A2, 6.70%, 6/8/03.... 958
1,332 Union Acceptance Corp., Series
1997-A, Class A2, 6.38%, 10/8/03... 1,336
258 Western Financial Grantor Trust,
Series 1995-2, Class A1, 7.10%,
7/1/00............................. 258
153 Western Financial Grantor Trust,
Series 1997-B, Class A3, 6.30%,
7/20/01............................ 154
200 Western Financial Grantor Trust,
Series 1996-D, Class A3, 6.05%,
7/20/01............................ 199
605 Western Financial Grantor Trust,
Series 1995-5, Class A1, 5.88%,
3/1/02............................. 607
</TABLE>
Continued
32
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
ASSET BACKED SECURITIES, CONTINUED:
$ 230 Western Financial Grantor Trust,
Series 1997-C, Class A3, 6.10%,
3/20/02............................ $ 231
1,650 Western Financial Grantor Trust,
Series 1997-B, Class A4, 6.40%,
7/20/02............................ 1,662
600 Western Financial Grantor Trust,
Series 1997-D, Class A4, 6.25%,
3/20/03............................ 604
1,000 Western Financial Grantor Trust,
Series 1998-B, Class A4, 6.05%,
4/20/03............................ 997
2,091 Western Financial Grantor Trust,
Series 1996-B, Class A4, 6.95%,
11/20/03........................... 2,112
3,116 Western Financial Grantor Trust,
Series 1996-C, Class A4, 6.80%,
12/20/03........................... 3,136
9,500 Western Financial Grantor Trust,
Series 1998-B, Class A3, 5.95%,
7/20/01............................ 9,498
1,509 WFS Financial Owner Trust, Series
1997-A, Class A3, 6.50%, 9/20/01... 1,516
960 WFS Financial Owner Trust, Series
1997-D, Class A3, 6.25%, 3/20/02... 963
550 WFS Financial Owner Trust, Series
1998-A, Class A3, 5.90%, 5/20/02... 552
114 World Omni, Series 97-A, Class A4,
6.90%, 6/25/03..................... 115
125 World Omni, Series 1997-B, Class A-4,
6.20%, 11/25/03.................... 126
316 World Omni, Series 1997-B, Class A1,
6.07%, 11/25/03.................... 317
--------
Total Asset Backed Securities 175,550
--------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.2%):
1,643 Citicorp Mortgage Securities, Inc.,
Series 1994-9, Class A3, 5.75%,
6/25/09............................ 1,636
170 Collateralized Mortgage Corp.,
Series 88-2, Class 2-B, 8.80%,
4/20/19............................ 178
5,000 Norwest Asset Securities Corp.,
Series 88-2, Class 2-B, 7.50%,
6/25/27............................ 5,048
92 Paine Webber, Series J, Class 3,
8.80%, 5/1/18...................... 95
249 Paine Webber, Series L, Class 4,
8.95%, 7/1/18...................... 260
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 2,000 PNC Mortgage Securities Corp., Series
1998-5, Class 2A11, 6.30%,
7/25/28............................ $ 1,994
478 United States Department of Veterans
Affairs, Series 1994-3A, Class 1H,
6.50%, 12/15/01.................... 480
--------
Total Collateralized Mortgage Obligations 9,691
--------
CORPORATE BONDS (11.2%):
Automotive (0.3%):
530 First Security Auto Grantor Trust,
Series 98-A, Class A, 5.97%,
4/15/04............................ 532
456 Ford Motor Credit Co., 7.75%,
10/1/99............................ 458
219 Ford Motor Credit Co., 8.00%,
6/15/02............................ 228
640 General Motors Acceptance Corp.,
9.38%, 4/1/00...................... 649
856 General Motors Acceptance Corp.,
9.63%, 5/15/00..................... 877
--------
2,744
--------
Financial Services (9.5%):
700 African Development Bank, 9.75%,
12/15/03........................... 788
500 American General Finance Corp.,
8.00%, 2/15/00..................... 506
3,240 Associates Corp., 8.25%, 12/1/99..... 3,271
1,025 Associates Corp., 8.50%, 1/10/00..... 1,039
1,120 Associates Corp., 6.00%, 3/15/00..... 1,121
3,054 Associates Corp., 5.25%, 3/30/00..... 3,040
3,204 Associates Corp., 9.13%, 4/1/00...... 3,273
350 Associates Corp., 6.00%, 6/15/00..... 350
1,090 Associates Corp., 6.25%, 9/15/00..... 1,094
1,015 Associates Corp., 6.63%, 5/15/01..... 1,023
250 Associates Corp., 7.55%, 8/23/01..... 256
300 Associates Corp., 7.48%, 7/27/02..... 308
1,800 Associates Corp., 5.75%, 11/1/03..... 1,746
5,000 Bear Stearns, 6.13%, 2/1/03.......... 4,888
200 Beneficial Corp., 7.34%, 11/26/99.... 201
500 Beneficial Corp., 7.95%, 2/12/01..... 513
</TABLE>
Continued
33
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
CORPORATE BONDS, CONTINUED:
Financial Services, continued:
$ 3,000 Citicorp, 8.00%, 2/1/03.............. $ 3,137
825 Du Pont EI De Nemours & Co., 9.15%,
4/15/00............................ 845
313 Ford Capital, 9.38%, 5/15/01......... 330
5,357 Ford Holdings, Inc., 9.25%, 3/1/00... 5,466
7,000 Ford Motor Credit Corp., 8.38%,
1/15/00............................ 7,091
1,850 Ford Motor Credit Corp., 7.45%,
4/13/00............................ 1,871
1,415 Ford Motor Credit Corp., 9.50%,
4/15/00............................ 1,453
950 Ford Motor Credit Corp., 8.20%,
2/15/02............................ 992
750 General Electric Corp., 8.77%,
2/8/01............................. 780
5,000 General Motors Acceptance Corp.,
6.75%, 2/7/02...................... 5,043
500 General Motors Acceptance Corp.,
5.75%, 11/10/03.................... 483
7,000 Goldman Sachs Group, 7.80%,
7/15/02............................ 7,245
5,000 Goldman Sachs Group, 6.65%, 8/1/03... 4,984
155 Grand Metropolitan Investment Corp.,
6.88%, 9/15/99..................... 155
500 International Bank for Reconstruction
& Development, 9.25%, 10/12/00..... 521
1,063 Lehman Brothers Holdings, Inc.,
7.11%, 9/27/99..................... 1,066
360 Lehman Brothers Holdings, Inc.,
6.33%, 8/1/00...................... 360
4,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00.................... 4,173
1,000 Morgan Stanley Dean Witter Discover &
Co., 6.25%, 3/15/00................ 1,001
40 Morgan Stanley Mortgage, 0.00%,
11/20/21........................... 33
1,290 New York Republic Corp., 9.75%,
12/1/00............................ 1,353
280 Norwest Corp., 6.00%, 3/15/00........ 280
265 Norwest Financial, Inc., 7.88%,
2/15/02............................ 276
600 Texaco Capital Corp., 9.00%,
12/15/99........................... 606
5,000 Visa International, Class 144A,
6.72%, 2/4/02...................... 5,047
465 Wachovia Corp., 7.00%, 12/15/99...... 467
--------
78,475
--------
Industrial Goods & Services (1.4%):
5,000 Carpenter Technology, 6.28%,
4/7/03............................. 4,878
1,402 Ford Motor Co., 9.00%, 9/15/01....... 1,474
250 General Motors Corp., 9.63%,
12/1/00............................ 261
375 Hydro Quebec, 9.40%, 3/23/00......... 384
5,000 Sears Roebuck Co., 6.69%, 8/13/01.... 5,014
--------
12,011
--------
Total Corporate Bonds 93,230
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
MEDIUM TERM/SENIOR NOTES (1.8%):
Automotive (0.6%):
$ 1,200 Ford Motor Credit Corp., 7.47%,
7/29/99............................ $ 1,202
300 Ford Motor Credit Corp., 7.59%,
4/6/00............................. 304
525 General Motors Acceptance Corp.,
8.63%, 1/10/00..................... 532
2,650 General Motors Acceptance Corp.,
7.13%, 5/10/00..................... 2,674
--------
4,712
--------
Electric Utility (0.6%):
5,000 Scana Corp., 6.25%, 7/8/03........... 4,904
--------
Industrial Goods & Services (0.6%):
5,000 Housing Urban Development, 5.30%,
8/1/01............................. 4,947
500 Sears Roebuck Acceptance, 6.73%,
8/29/00............................ 502
--------
5,449
--------
Total Medium Term/Senior Notes 15,065
--------
PRIVATE PLACEMENT (1.9%):
Financial Services (0.5%):
1,350 Bombardier Capital, 6.00%, 1/15/02... 1,328
1,275 Goldman Sachs Group, 6.88%,
9/15/99............................ 1,278
1,500 Goldman Sachs Group, 6.20%,
2/15/01............................ 1,500
--------
4,106
--------
Industrial Goods & Services (1.4%):
5,000 Avon Products, 6.25%, 5/1/03......... 4,943
7,000 Case Corp., 6.25%, 12/1/03........... 6,820
--------
11,763
--------
Total Private Placement 15,869
--------
U.S. GOVERNMENT AGENCY MORTGAGES (32.9%):
Fannie Mae (18.4%):
5,300 0.00%, 8/15/99....................... 5,269
22,000 5.72%, 3/8/01 (b).................... 21,966
11,000 5.63%, 3/15/01 (b)................... 10,979
10,000 6.16%, 3/29/01 (b)................... 10,054
5,237 6.50%, 8/1/01, Pool #190976.......... 5,272
5,000 6.65%, 9/4/01........................ 5,074
359 6.00%, 1/25/02, Series 1994-23, Class
PJ................................. 359
259 3.63%, 1/17/03, Series 1997-M1, Class
A.................................. 261
12,544 7.00%, 7/17/05, Series 97-26, Class
GD................................. 12,703
117 9.00%, 9/1/05, Pool #50340........... 123
17,836 6.60%, 10/18/05, Series 97-26, Class
B.................................. 17,961
100 9.00%, 11/1/05, Pool #50361.......... 105
128 8.50%, 4/1/06, Pool #116875.......... 133
13,678 7.42%, 9/1/06, Pool #73618........... 14,287
</TABLE>
Continued
34
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 1,900 6.50%, 12/25/06, Series 1993-107,
Class D............................ $ 1,909
615 6.00%, 1/25/07, Series 1993-86, Class
E.................................. 614
304 6.00%, 2/25/07, Series 1994-17, Class
E.................................. 304
175 6.25%, 4/25/07, Series 1993-93, Class
E.................................. 175
103 5.50%, 11/25/07, Series 1994-33,
Class E............................ 103
2,000 6.50%, 9/25/08, Series 1999-19, Class
LA................................. 2,006
4,369 7.00%, 6/1/10, Pool #315928.......... 4,396
4,164 6.50%, 9/1/10, Pool #325479.......... 4,119
3,304 6.50%, 10/1/10, Pool #250377......... 3,266
1,873 7.00%, 11/1/10, Pool #250387......... 1,884
2,047 7.50%, 2/1/11, Pool #303755.......... 2,083
7,603 6.50%, 4/1/13, Pool #425396.......... 7,522
5,000 6.50%, 6/25/13, Series 94-1, Class
K.................................. 4,986
1,840 6.50%, 9/1/13, Pool #251982.......... 1,818
235 5.90%, 7/25/15, Series G93-26, Class
PE................................. 234
223 6.00%, 10/25/16, Series 1993-127,
Class E............................ 223
354 5.75%, 11/25/16, Series 1993-187,
Class E............................ 354
490 5.65%, 5/25/17, Series 1993-206,
Class E............................ 489
2,000 6.50%, 12/18/17, Series 1998-17,
Class TB........................... 2,007
315 9.25%, 4/25/18, Series 1998-7, Class
Z.................................. 334
474 9.30%, 5/25/18, Series 1988-13, Class
C.................................. 497
395 6.50%, 10/25/28...................... 424
417 9.00%, 6/25/18, Series 1988-15, Class
A.................................. 440
224 5.45%, 10/25/18, Series 1993-225,
Class TE........................... 224
411 5.95%, 1/1/19, Pool #70226*.......... 406
581 5.50%, 2/25/19, Series 1994-15, Class
E.................................. 579
962 6.55%, 3/1/19, Pool #116612*......... 987
35 9.00%, 7/25/19, Series 1990-77, Class
C.................................. 36
233 7.32%, 8/1/19, Pool #111366*......... 244
44 0.00%, 10/25/19, Series 1989-73,
Class C............................ 43
746 9.00%, 11/25/19, Series 1989, Class
H.................................. 785
500 6.50%, 2/25/20, Series 1994-36, Class
GA................................. 503
604 0.00%, 10/25/21, Series 97-32C....... 589
94 9.00%, 2/1/23........................ 24
764 10.00%, 2/1/24, Pool #479469......... 830
1,040 7.50%, 06/20/24, Series G97-1........ 1,061
1,592 9.5%, 7/1/28, Pool #457268........... 1,706
--------
152,750
--------
Federal Home Loan Bank (2.4%):
5,000 5.58%, 2/23/01 (b)................... 4,977
10,000 7.78%, 10/19/01 (b).................. 10,404
5,000 5.59%, 1/13/03....................... 4,930
--------
20,311
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac (8.3%):
$ 430 6.00%, 6/26/00....................... $ 430
999 6.50%, 1/1/01, Pool #M80308.......... 1,007
4,607 7.00%, 1/1/02, Pool #G50415.......... 4,665
5,058 6.50%, 5/1/02, Pool #G50444.......... 5,075
431 6.50%, 12/15/04, Series 2055......... 430
237 6.00%, 11/15/05, Series 1698, Class
PE................................. 238
186 9.00%, 12/1/05, Pool #G00005......... 194
173 9.00%, 1/1/06, Pool #G00012.......... 180
95 5.75%, 7/15/06, Series 1490, Class
PE................................. 95
456 5.25%, 9/15/06, Series 1679, Class
A.................................. 454
363 8.00%, 10/1/06, Pool #G00052......... 375
1,366 7.00%, 3/1/07, Pool #G34594.......... 1,377
657 7.00%, 3/15/07, Series 1679, Class
A.................................. 663
1,433 7.50%, 4/1/07, Pool #G00084.......... 1,459
1,142 7.00%, 4/1/07, Pool #G00087.......... 1,151
500 6.47%, 6/15/07, Series 1561, Class
EA*................................ 500
2,500 7.00%, 7/15/07, Series 1555, Class
PK................................. 2,517
1,742 7.50%, 11/1/07, Pool #E00165......... 1,774
260 5.75%, 1/15/08, Series 1606, Class
G.................................. 258
2,265 8.50%, 2/1/08, Pool #10133........... 2,341
119 6.25%, 6/15/08, Series 1544, Class
E.................................. 120
575 6.50%, 10/15/08, Series 1655, Class
HB................................. 577
1,384 7.00%, 12/1/08, Pool #E20065......... 1,395
1,124 8.00%, 1/1/10, Pool #G00355.......... 1,161
3,471 8.00%, 2/1/10, Pool #G10328.......... 3,586
5,574 7.00%, 10/1/10, Pool #E61709......... 5,611
1,578 6.35%, 3/15/11, Series 1995, Class
PK................................. 1,581
8,543 7.00%, 5/1/11, Pool #E20241.......... 8,601
8,675 6.50%, 6/1/14, Pool #E77962.......... 8,570
555 6.00%, 11/15/16, Series 1560, Class
X.................................. 555
268 6.00%, 12/15/16, Series 1541, Class
E.................................. 268
537 4.00%, 12/15/16, Series 1541, Class
EA................................. 532
906 6.50%, 4/15/18, Series 1727, Class
E.................................. 912
300 6.65%, 5/15/18, Series 1477, Class
F.................................. 301
212 6.00%, 1/15/19, Series 1706, Class
E.................................. 213
900 6.00%, 1/15/19, Series 1585, Class
F.................................. 895
725 5.80%, 2/15/19, Series 1614, Class
G.................................. 725
481 9.30%, 3/15/19, Series 2, Class Z.... 512
742 4.00%, 3/25/19, Series 10, Class F... 727
16 9.50%, 4/15/19, Series 11, Class C... 16
553 6.00%, 6/15/19, Series 1552, Class
F.................................. 547
355 9.25%, 11/15/19, Series 12, Class
A.................................. 375
662 9.50%, 2/15/20, Series 1559, Class
VF................................. 695
</TABLE>
Continued
35
<PAGE> 38
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 500 6.25%, 2/15/20, Series 26, Class F... $ 499
65 8.75%, 7/15/20, Series 1019, Class
E.................................. 65
62 0.00%, 7/15/20, Series 1570, Class
D.................................. 61
359 9.00%, 10/15/20, Series 1807, Class
G.................................. 375
160 8.13%, 11/15/20, Series 81, Class
A.................................. 163
724 9.50%, 1/15/21, Series 99, Class Z... 769
501 8.60%, 1/15/21, Series 85, Class C... 521
1 1006.21%, 2/15/21, Series 1045, Class
G.................................. 25
116 4.50%, 9/15/21, Series 159, Class
H.................................. 109
669 5.39%, 11/15/22, Series 1424, Class
F*................................. 652
1,823 6.53%, 10/1/26, Pool #785652*........ 1,848
--------
68,745
--------
Government National Mortgage Assoc. (3.8%):
1 8.00%, 2/15/02, Pool #192917......... 1
9 8.00%, 3/15/02, Pool #209172......... 9
2 9.00%, 6/15/02, Pool #229311......... 2
28 9.00%, 10/15/02, Pool #229569........ 29
10 8.00%, 6/15/05, Pool #28827.......... 10
4 9.00%, 9/15/05, Pool #292569......... 4
37 9.00%, 10/15/05, Pool #292589........ 39
9 8.00%, 5/15/06, Pool #303851......... 9
4 8.00%, 7/15/06, Pool #307231......... 4
32 8.00%, 8/15/06, Pool #311166......... 33
30 8.00%, 9/15/06, Pool #311301......... 32
159 8.00%, 10/15/06, Pool #316915........ 166
177 8.00%, 11/15/06, Pool #313528........ 185
147 8.00%, 11/15/06, Pool #312210........ 153
55 8.00%, 11/15/06, Pool #316671........ 58
32 8.00%, 11/15/06, Pool #311131........ 34
61 8.00%, 11/15/06, Pool #315078........ 64
120 8.00%, 12/15/06, Pool #311384........ 125
23 8.00%, 1/15/07, Pool #317663......... 24
206 8.00%, 2/15/07, Pool #316086......... 215
57 8.00%, 3/15/07, Pool #178684......... 59
127 8.00%, 3/15/07, Pool #318825......... 133
78 8.00%, 4/15/07, Pool #316441......... 82
45 8.00%, 10/15/07, Pool #020981........ 47
81 8.00%, 10/15/07, Pool #018954........ 85
113 8.00%, 12/15/07, Pool #019083........ 118
36 8.00%, 12/15/07, Pool #020290........ 38
2,428 9.00%, 9/15/09, Pool #780072......... 2,583
824 12.00%, 11/15/19, Pool #780149....... 936
561 9.50%, 7/15/20, Pool #293363......... 606
944 9.50%, 3/15/23, Pool #780010......... 1,019
410 9.00%, 9/15/24, Pool #403964......... 436
1,253 9.50%, 12/15/24, Pool #780831........ 1,352
940 8.50%, 3/20/25, Pool #001974......... 978
4,057 6.13%, 11/20/25, Pool #8746*......... 4,118
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 9,818 9.50%, 12/15/25, Pool #780965........ $ 10,598
1,590 6.38%, 1/20/26, Pool #8790*.......... 1,611
1,704 8.00%, 9/20/26, Pool #2488........... 1,742
261 9.00%, 10/15/26, Pool #423946........ 278
548 8.00%, 10/20/27, Pool #2499.......... 560
447 8.00%, 6/15/28, Pool #444095......... 460
495 8.00%, 8/15/28, Pool #472198......... 510
1,710 7.50%, 9/20/28, Pool #002646......... 1,722
--------
31,267
--------
Total U.S. Government Agency Mortgages 273,073
--------
U.S. GOVERNMENT AGENCY SECURITIES (4.0%):
Government Trust Certificate (0.3%):
927 0.00%, 5/15/02....................... 784
250 0.00%, 11/15/02...................... 205
425 0.00%, 11/15/02...................... 349
408 0.00%, 11/15/02...................... 335
229 0.00%, 5/15/03....................... 182
216 0.00%, 11/15/03...................... 166
510 0.00%, 11/15/03...................... 393
--------
2,414
--------
Tennessee Valley Authority (3.7%):
25,287 8.38%, 10/1/99 (b)................... 25,454
5,500 6.50%, 8/20/01....................... 5,570
--------
31,024
--------
Total U.S. Government Agency Securities 33,438
--------
U.S. TREASURY OBLIGATIONS (23.1%):
U.S. Treasury Bonds (1.3%):
9,000 11.63%, 11/15/02 (b)................. 10,592
--------
U.S. Treasury Notes (17.9%):
6,750 7.75%, 1/31/00 (b)................... 6,853
17,460 8.50%, 2/15/00 (b)................... 17,819
6,000 7.13%, 2/29/00 (b)................... 6,077
1,000 6.88%, 3/31/00 (b)................... 1,012
2,700 6.75%, 4/30/00 (b)................... 2,733
3,000 6.25%, 5/31/00 (b)................... 3,026
12,000 5.75%, 10/31/00 (b).................. 12,049
3,426 4.00%, 10/31/00 (b).................. 3,365
13,000 6.25%, 4/30/01 (b)................... 13,163
1,500 6.50%, 5/31/01 (b)................... 1,527
4,400 7.88%, 8/15/01 (b)................... 4,602
15,000 6.38%, 9/30/01 (b)................... 15,253
7,500 6.25%, 10/31/01 (b).................. 7,608
10,325 7.50%, 11/15/01 (b).................. 10,757
2,000 5.88%, 11/30/01 (b).................. 2,013
500 6.25%, 1/31/02 (b)................... 508
6,600 6.25%, 2/28/02 (b)................... 6,701
</TABLE>
Continued
36
<PAGE> 39
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term 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>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes, continued:
$ 500 6.63%, 3/31/02 (b)................... $ 513
6,400 6.63%, 4/30/02 (b)................... 6,562
3,500 6.50%, 5/31/02 (b)................... 3,580
10,500 6.38%, 8/15/02 (b)................... 10,703
12,000 6.25%, 8/31/02 (b)................... 12,195
--------
148,619
--------
U.S. Treasury STRIPS (3.8%):
19,500 0.00%, 2/15/00....................... 18,908
8,500 0.00%, 11/15/01 (b).................. 7,451
8,000 0.00%, 7/15/05....................... 5,569
--------
31,928
--------
US Treasury Inflation Protected Bonds (0.1%):
1,038 3.63%, 7/15/02 (b)................... 1,028
--------
Total U.S. Treasury Obligations 192,167
--------
COMMERCIAL PAPER (1.0%):
4,301 Ford Motor, 4.98%, 7/19/99........... 4,301
4,301 General Electric Corp., 4.95%,
7/19/99............................ 4,300
--------
Total Commercial Paper 8,601
--------
INVESTMENT COMPANIES (2.2%):
18,192 One Group Government Money Market
Fund............................... 18,192
--------
Total Investment Companies 18,192
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (15.9%):
Master Notes (1.3%):
3,376 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................ 3,376
3,377 Merrill Lynch, 6.20%, 7/1/99*........ 3,377
1,823 NationsBanc Capital Markets, 6.20%,
7/1/99*............................ 1,823
1,216 PHH CFC Leasing, 5.10%, 8/11/99*..... 1,216
1,418 Williamette Industries, Inc., 5.07%,
9/14/99*........................... 1,418
--------
11,210
--------
Put Bonds (8.6%):
6,754 Amex Centurion, 5.10%, 5/5/00*....... 6,754
3,376 Bear Stearns, 6.23%, 1/7/00*......... 3,376
3,376 Branch Banking and Trust, 5.14%,
5/25/00*........................... 3,374
2,701 Caterpillar Finance, 5.20%,
5/1/01*............................ 2,701
3,376 Chase Manhattan, 5.17%, 5/4/01*...... 3,376
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 3,376 Chase Manhattan, 5.26%, 5/6/02*...... $ 3,376
3,376 Fleet National Bank, 5.07%,
4/18/00*........................... 3,376
3,376 Ford Motor Credit, 5.14%,
11/27/00*.......................... 3,413
3,376 GMAC, 5.22%, 5/3/01*................. 3,376
3,376 GMAC MTN, 5.23%, 4/30/01*............ 3,376
2,026 Greenwich Capital Markets, 5.41%,
7/9/01*............................ 2,026
4,728 Jackson National, 6.37%, 5/15/00*.... 4,728
3,376 JP Morgan and Co., 5.10%, 5/4/00*.... 3,376
3,376 JP Morgan and Co., 5.16%, 5/4/01*.... 3,376
4,728 Liberty Lighthouse, 5.15%, 5/5/00*... 4,728
3,376 Merrill Lynch, 5.31%, 5/6/02*........ 3,376
3,376 Salomon Smith Barney, 5.38%,
4/12/01*........................... 3,376
3,376 Sigma Finance, Inc., 5.14%,
3/31/00*........................... 3,376
6,079 SPARCC, 5.38%, 3/24/00*.............. 6,079
--------
70,939
--------
Repurchase Agreements (6.0%):
10,129 Goldman Sachs, 6.09%, 7/1/99
(Collateralized by $10,743 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$10,690)........................... 10,129
6,120 Lehman Brothers, 5.85%, 7/1/99
(Collateralized by $6,426 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$6,426)............................ 6,120
20,259 Merrill Lynch, 6.10%, 7/1/99
(Collateralized by $21,322 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$21,272)........................... 20,259
13,506 Paine Webber, 6.00%, 7/1/99,
(Collateralized by $14,364 various
Corporate Bonds, 6.00% - 9.45%,
6/15/00 - 11/15/46, market value
$14,181)........................... 13,506
--------
50,014
--------
Total Short-Term Securities Held as Collateral 132,163
--------
Total (Cost $966,905) (a) $967,039
========
</TABLE>
Continued
37
<PAGE> 40
- --------------------------------------------------------------------------------
One Group Mutual Funds
Short-Term Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
- ------------
Percentages indicated are based on net assets of $831,380.
(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...................... $ 4,146
Unrealized depreciation...................... (4,012)
-------
Net unrealized appreciation.................. $ 134
=======
</TABLE>
(b) A portion of this security was loaned as of June 30,1999.
(c) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Collateralized Mortgage Obligations (CMO) are debt securities issued by U.S.
government agencies, or by financial institutions and other mortgage
lenders, which are collateralized by a pool of mortgages held under an
indenture.
Interest Only (IO) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not be
fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the underlying pool of
mortgage instruments. As a result, interest income may be reduced
considerably.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
* The interest rate for this variable rate note, 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.
See notes to financial statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
ASSET BACKED SECURITIES (10.1%):
Banking, Finance & Insurance (10.1%):
$ 4,500 Advanta Mortgage Loan Trust, Series
98-1, Class A5, 6.60%, 3/25/28.... $ 4,348
5,000 Aesop Funding II, Series 97-1, Class
A2, 6.40%, 10/20/03............... 5,003
638 Arcadia Automobile Receivables
Trust, Series 97-B, Class A3,
6.30%, 7/16/01.................... 639
2,400 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................... 2,406
2,500 Arcadia Automobile Receivables
Trust, Series 99-B, Class A3,
6.30%, 7/15/03.................... 2,501
3,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03................... 2,987
2,000 Arcadia Automobile Receivables
Trust, Series 98-A, Class A4,
6.00%, 11/17/03................... 1,990
6,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................... 6,007
225 Arcadia Automobile Receivables
Trust, Series 97-C, Class A5,
6.55%, 6/15/05.................... 227
833 Case Equipment Loan Trust, Series
96-A, Class A2, 5.50%, 2/15/03.... 833
1,785 Case Equipment Loan Trust, Series
95-B, Class A3, 6.45%, 3/15/04.... 1,799
93 Chase Manhattan Grantor Trust,
Series 95-B, Class A, 5.90%,
11/15/01.......................... 93
219 Chase Manhattan Grantor Trust,
Series 96-A, Class A, 5.20%,
2/15/02........................... 219
250 Chemical Master Credit Card Trust,
Series 95-3, Class A, 6.23%,
8/15/02........................... 250
746 Chevy Chase Auto Receivable Trust,
Series 97-4, Class A, 6.25%,
6/15/04........................... 748
5,440 Circuit City Credit Card Master
Trust, Series 95-1, Class A,
6.38%, 8/15/05.................... 5,485
3,000 CPS Auto Trust, Series 98-3, Class
A3, 6.00%, 6/15/02................ 3,012
289 CPS Auto Trust, Series 97-4, Class
A1, 6.07%, 3/15/03................ 289
2,000 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............... 2,006
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 300 Discover Card Master Trust I, Series
95-2, Class A, 6.55%, 2/18/03..... $ 303
6,000 EQCC Home Equity Loan Trust, Series
96-4, Class A6, 6.88%, 7/15/14.... 6,057
2,000 First Bank Corporate Card Master
Trust, Series 97-1, Class B,
6.55%, 2/15/03.................... 2,012
398 First Security Auto Grantor Trust,
Series 98-A, Class A, 5.97%,
4/15/04........................... 399
1,000 Fleet Credit Card Master Trust,
Series 96-A, Class A1, 6.00%,
11/15/05.......................... 991
4,000 Greentree Financial Corp., Series
93-2, Class B, 8.00%, 7/15/18..... 3,824
2 Greentree Home Improvement Loan
Trust, Series 94-B1, Class A1,
7.15%, 7/15/14.................... 2
1,375 Greentree Home Improvement Loan
Trust, Series 97-D, Class HIA2,
6.45%, 10/15/23................... 1,379
5,000 Greentree Home Improvement Loan
Trust, Series 95-D, Class M1,
6.95%, 9/15/25.................... 5,036
3,975 Greentree Recreational, Equipment &
Consulting, Series 97-D, Class
A1HE, 6.90%, 3/15/29.............. 4,035
10,000 Keycorp Auto, Series 97-2A4, 6.15%,
10/15/01.......................... 10,036
345 MBNA Master Credit Card Trust,
Series 94-C, Class A, 5.25%,
3/15/04*.......................... 346
235 Merrill Lynch Home Equity Loan,
Series 92-1, Class A, 5.34%,
7/15/22*.......................... 235
525 Merrill Lynch MBS, Inc., Series
144-S, 7.43%, 7/25/24............. 527
3,027 Newcourt Receivables Asset Trust,
Series 96-3, Class A, 6.24%,
12/20/04.......................... 3,024
388 Olympic Automobile Receivables
Trust, Series 95-E, Class A4,
5.85%, 3/15/01.................... 388
291 Olympic Automobile Receivables
Trust, Series 95-B, Class A2,
7.35%, 10/15/01................... 291
</TABLE>
Continued
39
<PAGE> 42
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,662 Olympic Automobile Receivables
Trust, Series 95-C, Class A2,
6.20%, 1/15/02.................... $ 1,666
6,998 Olympic Automobile Receivables
Trust, Series 96-C, Class A4,
6.80%, 3/15/02.................... 7,049
2,650 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................... 2,691
782 Onyx Acceptance Grantor Trust,
Series 96-1, Class A, 5.40%,
5/15/01........................... 783
1,250 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03........................... 1,239
893 Onyx Acceptance Grantor Trust,
Series 97-1, Class A, 6.55%,
9/15/03........................... 900
3,790 Premier Auto Trust, Series 97-2,
Class A5, 6.32%, 3/6/02........... 3,815
2,125 Premier Auto Trust, Series 98-5,
Class A4, 5.19%, 4/8/03........... 2,079
1,100 Prime Credit Card Master Trust,
Series 96-1, Class A, 6.70%,
7/15/04........................... 1,114
5,000 Rental Car Finance, Series 97-1,
Class A2, 6.45%, 8/25/05.......... 4,913
1,246 Sears Credit Account Master Trust,
Series 95-3, Class A, 7.00%,
10/15/04.......................... 1,263
1,000 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05........................... 997
2,000 Sears Credit Account Master Trust,
Series 96-4, Class A, 6.45%,
10/16/06.......................... 2,012
11,000 SLM Student Loan Trust, Series 99-1,
Class A1T, 5.76%, 4/25/08*........ 10,999
4,000 Team Fleet Financing Corp., Series
97-1, Class A, 7.35%, 5/15/03..... 4,064
3,197 Textron Financial Corp. Receivables
Trust, Series 98-A, Class A1,
5.82%, 1/15/02.................... 3,201
1,000 Toyota Auto Lease Trust, Series
97-A, Class A2, 6.35%, 4/26/04.... 1,006
725 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/08/02.......... 727
1,289 Union Acceptance Corp., Series 95-D,
Class B, 6.03%, 1/7/03............ 1,291
1,547 WFS Financial Owner Trust, Series
96-A, Class A4, 6.15%, 6/1/01..... 1,552
599 WFS Financial Owner Trust, Series
96-D, Class A3, 6.05%, 7/20/01.... 598
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 2,232 WFS Financial Owner Trust, Series
97-B, Class A3, 6.30%, 7/20/01.... $ 2,237
446 WFS Financial Owner Trust, Series
95-4, Class A1, 6.20%, 2/1/02..... 448
2,900 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03.... 2,892
4,674 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%, 12/20/03... 4,704
6,000 World Financial Network Credit Card
Master Trust, Series 96-A, Class
A, 6.70%, 2/15/04................. 6,074
4,257 World Omni Automobile Lease Secured
Trust, Series 97-A, Class A4,
6.90%, 6/25/03.................... 4,297
1,129 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A1,
6.07%, 11/25/03................... 1,131
1,992 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A3,
6.18%, 11/25/03................... 1,997
----------
Total Asset Backed Securities 157,466
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (2.4%):
1,312 BHN, Series 97-1, Class A2, 7.92%,
7/25/09........................... 1,108
1,969 Chase Mortgage Finance Corp., Series
94-E, Class A6B, 7.30%, 4/25/10,
IF*............................... 1,961
96 Collateralized Mortgage Obligation
Trust, Series 16, Class Q, 13.25%,
3/20/18, IF*...................... 99
216 Collateralized Mortgage Securities
Corp., Series 88-2, Class B,
8.80%, 4/20/19.................... 225
1,981 Countrywide Funding Corp., Series
93-11, Class A11, 7.22%, 2/25/09,
IF*............................... 1,936
2,000 Countrywide Home Loans, Series 98-2,
Class A2, 6.25%, 3/25/28.......... 1,808
5,000 JP Morgan Commercial Mortgage
Finance Corp., Series 96-C2, Class
B, 6.80%, 11/25/27................ 5,030
</TABLE>
Continued
40
<PAGE> 43
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 2,000 JP Morgan Commercial Mortgage
Finance Corp., Series 97-C4, Class
B, 7.46%, 12/26/28................ $ 2,072
1,138 Merrill Lynch Trust, Series 43,
Class E, 6.50%, 8/27/15........... 1,137
5,000 MLMI, Series 97-C2, Class A2, 6.54%,
12/10/29.......................... 4,855
2 Morgan Stanley Mortgage Trust,
Series 35, Class 2, 7979.75%,
4/20/21, HB, IF*.................. 235
1 Morgan Stanley Mortgage Trust,
Series 37, Class 2, 7979.75%,
7/20/21, HB, IF*.................. 236
238 Morgan Stanley Mortgage Trust,
Series 39, Class 3, 0.00%,
12/20/21, PO...................... 199
4,000 Mortgage Capital Funding Inc.,
Series 96-MC2, Class A3, 7.01%,
9/20/06........................... 3,986
15 Paine Webber Trust, Series H, Class
4, 8.75%, 4/1/18.................. 15
2,500 PNC Mortgage Securities Corp.,
Series 98-5, Class 2A11, 6.30%,
7/25/28........................... 2,493
767 Prudential Home Mortgage Securities,
Series 93-17, Class A1, 6.50%,
5/25/00........................... 766
2,347 Residential Accredit Loans, Series
96-QS3, Class M2, 7.75%,
6/25/26........................... 2,372
267 Rural Housing Trust, Series 87-1,
Class 3B, 7.33%, 4/1/26........... 268
4,000 The Equitable Life Assurance Society
of Private Placement, Series 174,
Class A1, 7.24%, 5/15/06.......... 4,109
3,022 Wells Fargo Capital Markets, Series
APT, Class 1, 6.56%, 12/29/05..... 3,021
----------
Total Collateralized Mortgage Obligations 37,931
----------
CORPORATE BONDS (11.8%):
Banking, Finance & Insurance (6.0%):
200 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05........................... 203
983 African Development Bank, 9.30%,
7/1/00............................ 1,015
250 American Express Credit Corp.,
6.13%, 11/15/01................... 249
275 American Express Master Trust,
Series 2-A, 6.60%, 7/15/99........ 275
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 700 Ameritech Capital Funding, 6.15%,
1/15/08 (b)....................... $ 667
1,675 Associates Corp., 9.13%, 4/1/00..... 1,711
300 Associates Corp., 7.13%, 5/15/00.... 303
1,000 Associates Corp., 6.00%, 4/15/03.... 981
1,750 Associates Corp., 5.75%, 11/1/03.... 1,697
300 Associates Corp., 6.63%, 6/15/05.... 298
1,000 Associates Corp., 6.38%, 11/15/05... 976
3,625 Associates Corp., 8.15%, 8/1/09..... 3,913
1,750 Associates Corp., 5.96%, 5/15/37.... 1,756
250 Avco Financial Services, Inc.,
7.38%, 8/15/01.................... 255
1,000 Bank of America Corp., 9.25%,
11/1/01........................... 1,058
1,500 Boeing Capital Corp., 6.36%,
7/15/05........................... 1,408
1,000 Cit Group Holdings, Inc., Series
MTN, 6.70%, 5/28/01............... 1,007
200 Cit Group Holdings, Inc., 8.38%,
11/1/01........................... 209
1,180 Citicorp, 5.63%, 2/15/01............ 1,171
250 Citicorp, 6.75%, 8/15/05............ 249
4,000 Dao Heng Bank Ltd., 7.75%, 1/24/07
(e)............................... 3,624
4,100 First Hawaiian, Inc., 6.25%,
8/15/00........................... 4,100
300 Ford Motor Credit Co., 6.38%,
4/15/00........................... 301
2,000 Ford Motor Credit Co., 8.20%,
2/15/02........................... 2,088
1,500 Ford Motor Credit Co., 6.63%,
6/30/03........................... 1,504
1,000 General Electric Capital Corp.,
Series MTNA, 5.92%, 4/3/01........ 997
266 General Electric Capital Corp.,
7.88%, 12/1/06.................... 283
7,000 GMAC, 5.75%, 11/10/03............... 6,767
2,000 GMAC, 6.85%, 6/17/04 (b)............ 2,017
10,000 Goldman Sachs Group, 6.38%, 6/15/00
(e)............................... 10,044
500 Household Finance Corp., 6.38%,
6/30/00........................... 501
900 Household Finance Corp., 7.63%,
1/15/03........................... 924
1,000 Household Finance Corp., 6.50%,
11/15/08.......................... 951
100 Inter American Development Bank,
8.40%, 9/1/99..................... 114
5,000 International Lease, 6.38%,
8/1/02............................ 5,004
3,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00................... 3,130
</TABLE>
Continued
41
<PAGE> 44
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02..................... $ 5,231
3,000 Lehman Brothers Holdings, Inc.,
7.25%, 4/15/03.................... 3,013
6,000 Liberty Mutual Insurance, 8.20%,
5/4/07 (b)........................ 6,254
5,000 MBNA Corp., 5.60%, 5/23/03*......... 4,977
500 Merrill Lynch & Co., 6.00%, 2/12/03
(b)............................... 492
4,000 Metropolitan Life Insurance Co.,
7.00%, 11/1/05.................... 4,019
170 Midland Bank, 8.63%, 12/15/04....... 183
100 Norwest Financial, Inc., 7.00%,
1/15/03........................... 102
1,000 Norwest Financial, Inc., 7.20%,
4/1/04............................ 1,031
4,000 Prime Property Funding II, 6.80%,
8/15/02 (e)....................... 3,985
288 Private Exempt Funding, 5.65%,
3/15/03........................... 285
250 Republic New York Corp., 8.25%,
11/1/01........................... 260
570 Toyota Motor Credit, 5.63%,
11/13/03.......................... 553
35 Wells Fargo & Co., 6.00%, 3/15/00... 35
----------
92,170
----------
Governments (Foreign) (0.3%):
1,500 Metropolis of Tokyo, 8.70%,
10/5/99........................... 1,510
3,500 Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%,
1/27/03........................... 3,605
----------
5,115
----------
Industrial Goods & Services (2.9%):
100 American Home Products, 6.50%,
10/15/02.......................... 100
200 Boeing Co., 8.88%, 9/15/99.......... 201
250 Boeing Co., 8.38%, 2/15/01.......... 258
250 BP America, Inc., 8.50%, 4/15/01.... 260
1,500 Case Corp., 6.25%, 12/1/03.......... 1,462
5,000 Cox Radio, Inc., 6.38%, 5/15/05..... 4,804
200 Dillard Investment Co., 9.25%,
2/1/01............................ 208
5,000 Dillards Department Stores, 6.39%,
8/1/03............................ 4,910
5,000 Excel Paralubes Funding, 7.13%,
11/1/11........................... 4,983
2,000 Limited, Inc., 8.88%, 8/15/99....... 2,006
600 Lockheed Martin Corp., 9.38%,
10/15/99.......................... 605
4,000 Oracle Corp., 6.72%, 2/15/04........ 3,935
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 5,000 Sears Roebuck Acceptance, Series
MTN3, 7.07%, 9/18/01.............. $ 5,053
5,000 Thomas & Betts, Series MTN, 6.29%,
2/13/03........................... 4,885
5,000 Tyco International Group SA, 6.25%,
6/15/03........................... 4,926
250 Upjohn Co., 5.88%, 4/15/00.......... 250
5,000 USA Waste Services, 6.13%,
7/15/01........................... 4,969
650 VF Corp., 6.63%, 3/15/03............ 643
1,000 Wal Mart Stores, 8.63%, 4/1/01...... 1,039
150 Wal Mart Stores, 6.75%, 5/15/02..... 152
----------
45,649
----------
Telecommunications (0.5%):
500 AT&T Corp., 7.00%, 5/15/05.......... 513
2,900 Bellsouth Telecommunications, 6.00%,
6/15/02........................... 2,891
4,000 Cable & Wireless Communications,
6.63%, 3/6/05..................... 3,907
470 Chesapeake & Potomac
Telecommunications, 7.13%,
1/15/02........................... 478
----------
7,789
----------
Transportation (0.3%):
4,999 Federal Express Corp., Series 98-1A,
6.72%, 1/15/22.................... 4,757
250 Union Pacific Corp., 7.00%,
6/15/00........................... 252
----------
5,009
----------
Utilities (1.8%):
5,000 Avon Energy Partners, 7.05%,
12/11/07 (e)...................... 4,875
250 Baltimore Gas & Electric, 5.50%,
7/15/00........................... 248
3,000 D.R. Investments, 7.10%, 5/15/02
(e)............................... 3,025
2,500 Duke Power Co., 7.00%, 6/1/00....... 2,518
4,050 Enron Corp., 6.75%, 7/1/05.......... 3,997
1,366 Kern River Funding, 6.42%,
3/31/01........................... 1,362
1,032 National Rural Utilities, 7.30%,
9/15/06........................... 1,060
250 Northern States Power Co. --
Minneapolis, 7.88%, 10/1/01....... 258
6,000 Ohio Power, 6.73%, 11/1/04.......... 5,928
630 Public Service Electric & Gas
Utilities, 6.13%, 8/1/02.......... 626
</TABLE>
Continued
42
<PAGE> 45
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
CORPORATE BONDS, CONTINUED:
Utilities, continued:
$ 3,000 Ras Laffan Gas, 7.63%, 9/15/06
(e)............................... $ 2,880
1,000 Tennessee Valley Authority, Series
89-D, 8.38%, 10/01/99............. 1,007
740 Union Electric Co., 6.75%,
10/15/99.......................... 742
----------
28,526
----------
Total Corporate Bonds 184,258
----------
U.S. GOVERNMENT AGENCY (0.2%):
Other U.S. Agencies (0.2%):
960 Federal Housing Administration,
Project #07335307, 7.43%,
1/1/22............................ 968
1,872 Federal Housing Administration,
Greystone 96-2, 7.43%, 11/1/22.... 1,887
----------
Total U.S. Government Agency 2,855
----------
U.S. GOVERNMENT AGENCY MORTGAGES (44.9%):
Fannie Mae (18.2%):
300 8.55%, 8/30/99...................... 301
2,358 3.41%, 11/25/99, Series 92-199,
Class S, IF, IO*.................. 22
2,000 5.41%, 2/13/01, Series MTN.......... 1,988
0 6.50%, 12/1/02, Pool #6345 (c)...... 0
1,519 6.78%, 1/17/03, Series 97-MI, Class
A................................. 1,534
720 7.00%, 9/18/03, Series 97-13, Class
CB................................ 729
3,983 6.99%, 3/17/04, Series 97-M4, Class
A*................................ 4,014
281 10.00%, 5/25/04, Series 89-26, Class
D................................. 292
275 8.00%, 9/25/04, Series 91-155, Class
G................................. 274
484 6.75%, 12/25/04, Series 93-6, Class
C................................. 484
10,824 6.88%, 9/1/05, Pool #73192.......... 10,988
1 758.75%, 1/25/06, Series 91-4, Class
N, HB............................. 17
1 908.75%, 3/25/06, Series 91-20,
Class M, HB....................... 11
7,537 6.95%, 4/1/06, Pool #73429.......... 7,664
1,000 6.50%, 4/25/06, Series 93-18, Class
PH................................ 1,005
2 1008.00%, 4/25/06, Series 91-33,
Class J, HB....................... 30
1,455 7.05%, 6/25/06, Series 93-11, Class
G................................. 1,457
2,294 3.91%, 8/25/06, Series 93-8, Class
SB, IF, IO*....................... 64
945 0.00%, 9/25/06, Series 96-46, Class
PE, PO............................ 823
292 7.00%, 1/1/07, Pool #145771......... 294
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 750 7.25%, 4/25/07, Series 92-44, Class
K................................. $ 764
1,000 6.64%, 7/2/07, Series MTN........... 1,008
2,452 7.50%, 8/25/07, Series G92-48, Class
H................................. 2,462
690 8.80%, 11/25/07, Series 93-174,
Class SB, IF*..................... 701
1,488 0.00%, 2/25/08, Series 96-24, Class
K, PO............................. 1,297
2,358 5.69%, 2/25/08, Series 93-188, Class
F*................................ 2,381
775 5.29%, 5/25/08, Series 93-63, Class
FD*............................... 762
1,500 5.39%, 5/25/08, Series 93-72, Class
F*................................ 1,479
5,131 6.09%, 5/25/08, Series 93-55, Class
FA*............................... 5,238
516 5.39%, 8/25/08, Series 93-129, Class
FE*............................... 503
703 5.66%, 8/25/08, Series 93-209, Class
KB................................ 687
2,500 9.19%, 8/25/08, Series 93-134, Class
SA, IF*........................... 2,502
1,750 0.00%, 9/25/08, Series 96-39, Class
J, PO............................. 1,255
1,352 0.00%, 9/25/08, Series 96-20, Class
L, PO............................. 1,005
333 5.19%, 9/25/08, Series 93-170, Class
FA*............................... 330
2,000 6.50%, 9/25/08, Series 99-19, Class
LA................................ 2,006
1,394 9.94%, 9/25/08, Series 93-175, Class
SA, IF*........................... 1,442
2,547 5.39%, 10/25/08, Series 93-196,
Class FA*......................... 2,516
2,000 0.00%, 12/25/08, Series 98-27, Class
B, PO............................. 1,386
389 6.00%, 12/25/08, Series 93-214,
Class L........................... 387
829 7.75%, 1/25/09, Series 94-12, Class
SB, IF*........................... 827
557 6.50%, 2/25/09, Series 94-20, Class
Z................................. 548
3,715 6.50%, 2/25/09, Series 94-17, Class
JB, IO............................ 594
1,000 8.48%, 2/25/09, Series 94-13, Class
SK, IF*........................... 976
1,500 0.00%, 3/25/09, Series 96-24, Class
E, PO............................. 1,014
1,640 6.50%, 3/25/09, Series 95-13, Class
B................................. 1,618
102 7.50%, 11/1/09, Pool #158........... 104
3,200 7.00%, 4/25/10, Series 92-124, Class
D................................. 3,198
1,447 7.00%, 6/1/10, Pool #312903......... 1,456
2,816 6.50%, 12/1/10, Pool #322598........ 2,783
</TABLE>
Continued
43
<PAGE> 46
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 4,000 7.00%, 1/18/11, Series 97-23, Class
VG................................ $ 3,969
1,230 6.50%, 4/1/11, Pool #337903......... 1,216
2,250 6.75%, 10/25/12, Series 93-65, Class
D................................. 2,205
18,044 6.50%, 5/1/13, Pool #429707......... 17,823
3,223 6.50%, 9/1/13, Pool #251982......... 3,183
3,019 6.37%, 11/25/13, Series 93-220,
Class SE, IF*..................... 2,817
1,243 7.10%, 11/25/13, Series 93-220,
Class SD, IF*..................... 1,097
800 5.52%, 12/25/13, Series 93-225,
Class SS, IF*..................... 616
54 7.50%, 5/1/14, Pool #57930.......... 56
284 7.20%, 1/25/15, Series 92-210, Class
D................................. 283
516 12.50%, 1/1/16, Pool #303306........ 587
806 5.49%, 5/25/16, Series 93-156, Class
FA*............................... 811
310 5.70%, 8/25/16, Series G93-39, Class
A................................. 308
685 5.09%, 11/25/16, Series 93-187,
Class FE*......................... 681
826 6.00%, 12/25/16, Series G-22, Class
G................................. 804
1,164 5.59%, 3/25/17, Series 96-27, Class
FA*............................... 1,181
53 7.00%, 4/1/17, Pool #44696.......... 53
2,000 6.50%, 12/18/17, Series 98-17, Class
TB................................ 2,007
290 9.25%, 4/25/18, Series 88-7, Class
Z................................. 308
3,250 3.84%, 6/25/18, Series 92-206, Class
FA*............................... 3,157
28 6.50%, 7/25/18, Series 93-8, Class
PG................................ 28
1,894 9.85%, 11/1/18, Series 97-77, Class
M................................. 2,027
1,120 9.50%, 12/1/18, Pool #426839........ 1,202
696 6.61%, 3/1/19, Pool #116612*........ 714
95 10.50%, 3/25/19, Series 50, Class 2,
IO................................ 26
298 5.00%, 5/25/19, Series 93-19, Class
G................................. 297
564 6.50%, 6/25/19, Series G93-19, Class
K................................. 565
288 7.84%, 8/1/19, Pool #111366*........ 302
190 7.95%, 8/25/19, Series 90-14, Class
H................................. 192
58 0.00%, 10/25/19, Series 89-73, Class
C, PO............................. 56
1,000 6.96%, 10/25/19, Series 93-156,
Class SD, IF*..................... 878
2,000 8.00%, 10/25/19, Series 89-70, Class
G................................. 2,060
500 6.25%, 11/25/19, Series G93-32,
Class PG.......................... 498
747 8.50%, 11/25/19, Series 89-83, Class
H................................. 774
895 9.00%, 11/25/19, Series 89-89, Class
H................................. 942
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 1,321 9.40%, 11/25/19, Series 89-78, Class
H................................. $ 1,409
740 8.50%, 1/25/20, Series 90-7, Class
B................................. 774
397 8.80%, 1/25/20, Series 90-1, Class
D................................. 416
874 4.00%, 6/25/20, Series G92-66, Class
HB................................ 838
537 5.50%, 6/25/20, Series 90-60, Class
K................................. 517
175 6.00%, 6/25/20, Series G93-13,
Class G........................... 174
526 9.50%, 6/25/20, Series 90-63, Class
H................................. 556
588 5.50%, 8/25/20, Series 90-93, Class
G................................. 565
1,917 6.50%, 8/25/20, Series 90-102, Class
J................................. 1,896
8 504.00%, 8/25/20, Series 90-94,
Class H, HB....................... 115
5 1118.00%, 8/25/20, Series 90-95,
Class J, HB....................... 145
745 6.00%, 10/25/20, Series 92-204,
Class B........................... 743
866 9.00%, 10/25/20, Series 90-120,
Class H........................... 914
221 13.96%, 11/25/20, Series 90-134,
Class SC, IF*..................... 251
4,026 6.50%, 12/25/20, Series 97-85, Class
L, IO............................. 420
11 652.15%, 12/25/20, Series 90-140,
Class K, HB....................... 248
1,030 4.59%, 1/25/21, Series 93-165, Class
SX, IF*........................... 828
1 907.20%, 2/25/21, Series 91-7, Class
K, HB............................. 17
56 8.00%, 3/1/21, Pool #70825.......... 58
467 8.50%, 6/25/21, Series G-14, Class
L................................. 489
2,585 8.75% 6/25/21, Series G-18, Class
Z................................. 2,713
1,554 0.00%, 10/25/21, Series 97-32, Class
C, PO............................. 1,514
459 6.50%, 2/25/09, Series 94-30, Class
LA................................ 455
1,841 8.75%, 10/25/21, Series G-35, Class
M................................. 1,913
2,800 5.00%, 11/25/21, Series G92-66,
Class JB.......................... 2,575
1,200 7.88%, 11/25/21, Series 92-215,
Class PM.......................... 1,237
1,746 5.00%, 5/25/22, Series G93-10, Class
G................................. 1,687
2 6465.60%, 5/25/22, Series G92-27,
Class SQ, HB, IF*................. 211
605 7.00%, 7/25/22, Series G92-42, Class
Z................................. 607
3,000 6.50%, 8/25/22, Series 96-59, Class
J................................. 2,965
</TABLE>
Continued
44
<PAGE> 47
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,000 0.00%, 9/25/22, Series 97-70, Class
PO, PO............................ $ 1,429
700 5.50%, 9/25/22, Series 92-143, Class
MA................................ 646
2,140 7.50%, 11/1/22, Pool #189190........ 2,171
754 6.75%, 12/25/22, Series 93-46, Class
O................................. 734
2,000 6.96%, 12/25/22, Series X, Class VO,
IF*............................... 1,952
1,197 0.00%, 2/25/23, Series G93-12, Class
C, PO............................. 1,139
718 4.56%, 2/25/23, Series 93-12, Class
S, IF, IO*........................ 23
1,055 6.50%, 2/25/23, Series 93-5, Class
Z................................. 995
1,000 9.61%, 2/25/23, Series 98-35, Class
SV, IF*........................... 902
8 552.97%, 2/25/23, Series 93-12,
Class SB, IF, IO*................. 39
9,700 6.00%, 3/25/23, Series 93-41, Class
PH................................ 9,474
1,220 7.50%, 4/1/23, Series 218, Class 2,
IO................................ 332
1,180 0.00%, 4/25/23, Series 98-4, Class
C, PO............................. 884
171 5.50%, 4/25/23, Series 93-58, Class
J................................. 158
245 6.50%, 5/25/23, Series 93-155, Class
LA................................ 237
139 6.75%, 5/25/23, Series 93-94, Class
K................................. 132
12,500 0.00%, 6/25/23, Series 93-257, Class
C, PO............................. 7,458
7,783 1.94%, 5/25/23, Series 94-82, Class
SA, IF, IO*....................... 216
2,367 3.81%, 7/25/23, Series 93-113, Class
S, IF, IO*........................ 98
1,000 6.50%, 7/25/23, Series 93-122, Class
M................................. 956
3,317 2.91%, 8/25/23, Series 94-36, Class
SG, IF, IO*....................... 171
584 4.03%, 8/25/23, Series G93-27, Class
SE*............................... 422
1,261 8.26%, 8/25/23, Series 93-139, Class
SG, IF*........................... 1,032
607 10.08%, 8/25/23, Series 93-113,
Class SE, IF*..................... 572
1,758 3.00%, 9/25/23, Series 93-193, Class
B................................. 1,613
735 4.01%, 9/25/23, Series 93-178, Class
SE, IF*........................... 611
1,473 4.06%, 9/25/23, Series 93-155, Class
SB, IF, IO*....................... 83
933 6.50%, 9/25/23, Series 93-178, Class
PK................................ 877
257 5.49%, 10/25/23, Series 93-198,
Class FA*......................... 251
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$10,000 6.50%, 10/25/23, Series 93-189,
Class PI.......................... $ 9,608
5,000 6.50%, 10/25/23, Series 93-183,
Class KA.......................... 4,659
1,652 5.75%, 11/25/23, Series 93-207,
Class SC, IF*..................... 1,351
9,000 6.00%, 12/18/23, Series 97-79, Class
PE................................ 8,541
1,775 0.00%, 12/25/23, Series 97-24, Class
PQ, PO............................ 1,270
320 5.69%, 12/25/23, Series 93-223,
Class FB*......................... 313
1,500 6.32%, 12/25/23, Series 93-223,
Class SO, IF*..................... 1,255
3,000 6.75%, 12/25/23, Series 94-55, Class
G................................. 2,971
289 8.61%, 12/25/23, Series 93-223,
Class SB, IF*..................... 279
1,477 10.00%, 2/1/24, Pool #479469........ 1,606
7,866 0.00%, 2/25/24, Series 99-16, Class
B, PO............................. 4,786
483 5.49%, 3/25/24, Series 94-39, Class
F*................................ 489
318 5.59%, 3/25/24, Series 94-36, Class
FA*............................... 311
186 9.12%, 3/25/24, Series 94-39, Class
S, IF*............................ 177
1,092 8.00%, 5/1/24, Pool #250066......... 1,124
1,908 8.50%, 7/1/24, Pool #250103......... 1,997
1,361 7.50%, 10/1/24, Pool #303031........ 1,380
2,023 7.00%, 11/17/24, Series G94-13,
Class ZB.......................... 1,966
901 8.80%, 1/25/25, Series G95-1, Class
C................................. 976
151 7.50%, 5/1/25, Pool #293928......... 153
319 7.50%, 5/1/25, Pool #311810......... 323
393 8.50%, 5/1/25, Pool #308499......... 410
461 8.50%, 6/1/25, Pool #315277......... 482
1,908 7.00%, 7/1/25, Pool #290387......... 1,894
2,069 7.00%, 7/1/25, Pool #312931......... 2,054
785 9.00%, 4/1/26, Pool #446278......... 836
2,720 7.07%, 6/1/26, Pool #341503*........ 2,805
1,700 7.50%, 8/18/26, Series 97-29, Class
PL, IO............................ 516
665 8.50%, 11/1/26, Pool #411183........ 700
2,500 7.50%, 3/18/27, Series 97-22, Class
PI, IO............................ 579
10,007 1.84%, 3/25/27, Series 97-20, Class
IO, IO............................ 695
</TABLE>
Continued
45
<PAGE> 48
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 8,884 1.84%, 3/25/27, Series 97-20, Class
IB, IO............................ $ 382
3,901 7.50%, 4/18/27, Series 97-27, Class
J................................. 3,976
6,000 7.50%, 4/20/27, Series 97-29, Class
J................................. 6,088
3,284 7.50%, 5/20/27, Series 97-39, Class
PD................................ 3,282
1,306 5.81%, 9/1/27, Pool #54844*......... 1,281
3,279 7.00%, 9/1/27, Pool #313687......... 3,254
9,211 7.00%, 11/18/27, Series 97-81, Class
PI, IO............................ 2,359
9,760 6.00%, 8/1/28, Pool #423236......... 9,202
4,802 8.50%, 1/25/29, Series 98-70, Class
AD................................ 4,995
1,484 5.81%, 3/1/29, Pool #303532*........ 1,456
----------
284,581
----------
Freddie Mac (16.4%):
399 4.30%, 8/15/99, Series 1329, Class
S, IF, IO*........................ 1
69 8.00%, 6/1/01, Pool #252601......... 70
1,885 5.87%, 5/12/03, Series 2Z03......... 1,871
8,853 2.65%, 9/15/04, Series 1982, Class
SB, IF, IO*....................... 235
920 7.70%, 9/20/04, Series AT04......... 979
6,998 6.50%, 10/1/04, Gold Pool #M80495... 7,012
1,000 7.59%, 3/10/05, Series Q-05......... 1,064
750 6.92%, 9/15/05...................... 750
8 1008.00%, 5/15/06, Series 1072,
Class A, HB....................... 141
1,948 7.00%, 6/15/06, Series 1457, Class
PH................................ 1,966
1 1008.00%, 6/15/06, Series 1098,
Class M, HB....................... 23
855 7.20%, 7/18/06...................... 898
1,279 7.50%, 2/15/07, Series 1322, Class
G................................. 1,300
1,426 4.50%, 3/15/07, Series 1295, Class
JB................................ 1,376
35 8.00%, 4/1/07, Pool #160022......... 36
6 981.87%, 6/15/07, Series 1298, Class
L, IO............................. 118
121 3.81%, 10/15/07, Series 1389, Class
SA, IF*........................... 115
745 5.50%, 10/15/07, Series 1640, Class
A................................. 741
780 9.03%, 11/15/07, Series 1414, Class
LB, IF*........................... 780
264 5.72%, 12/15/07, Series 1450, Class
F*................................ 263
5,612 4.00%, 2/15/08, Series 1465, Class
SA, IF, IO*....................... 210
19 8.85%, 3/15/08, Series A-78......... 19
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 334 5.50%, 4/15/08, Series 1489, Class
L................................. $ 324
309 6.00%, 4/15/08, Series 1531, Class
K................................. 307
1,450 0.00%, 5/15/08, Series 89, Class L,
PO................................ 1,193
4,930 3.50%, 5/15/08, Series 1506, Class
SD, IF, IO*....................... 194
811 5.52%, 5/15/08, Series 1513, Class
TA*............................... 805
428 6.41%, 5/15/08, Series 1506, Class
F*................................ 430
73 9.41%, 5/15/08, Series 1506, Class
S, IF*............................ 76
1,000 6.00%, 7/15/08, Series 1708, Class
D................................. 985
558 7.50%, 8/1/08, Gold Pool #G10117.... 569
2,569 0.00%, 8/15/08, Series 1900, Class
T, PO............................. 1,847
573 5.62%, 8/15/08, Series 1564, Class
FB*............................... 573
828 5.87%, 8/15/08, Series 1565, Class
K, IF*............................ 765
265 8.41%, 8/15/08, Series 1564, Class
SB, IF*........................... 267
301 8.80%, 8/15/08, Series 1561, Class
SC, IF*........................... 305
111 7.50%, 9/1/08, Pool #252600......... 112
563 6.00%, 9/15/08, Series 1586, Class
A................................. 561
1,017 7.81%, 9/15/08, Series 1580, Class
SC, IF*........................... 953
2,397 0.00%, 10/15/08, Series 1967, Class
PC, PO............................ 1,807
632 0.00%, 10/15/08, Series 1900, Class
I, PO............................. 517
850 8.60%, 10/15/08, Series 1600, Class
SC, IF*........................... 889
3,958 9.20%, 10/15/08, Series 1587, Class
SL, IF*........................... 4,168
1,300 6.36%, 11/15/08, Series 1604, Class
SA, IF*........................... 1,218
2,711 6.97%, 11/15/08, Series 1604, Class
SH, IF*........................... 2,681
1,000 0.00%, 12/15/08, Series 1948, Class
A, PO............................. 765
1,945 5.50%, 12/15/08, Series 1635, Class
O*................................ 1,962
676 5.59%, 12/15/08, Series 1647, Class
FB*............................... 670
10,215 6.00%, 12/15/08, Series 1624, Class
KZ................................ 9,508
1,147 6.15%, 12/15/08, Series 1655, Class
F*................................ 1,165
826 7.62%, 12/15/08, Series 2017, Class
SE, IF*........................... 798
</TABLE>
Continued
46
<PAGE> 49
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 138 5.16%, 12/15/08, Series 1655, Class
SA, IF*........................... $ 125
757 8.19%, 12/15/08, Series 1647, Class
SB, IF*........................... 765
1,606 8.50%, 12/15/08, Series 1625, Class
SD, IF*........................... 1,708
997 0.00%, 2/15/09, Series 1679, Class
N, PO............................. 733
1,392 6.92%, 2/15/09, Series 1796, Class
S, IF*............................ 1,336
1,875 5.55%, 3/15/09, Series 1900, Class
FA*............................... 1,892
1,480 7.71%, 3/15/09, Series 1698, Class
SC, IF*........................... 1,443
4 10.00%, 9/15/09, Series C-79........ 4
868 8.50%, 1/1/10, Gold Pool #E00356.... 900
1,901 8.50%, 1/1/10, Gold Pool #G10305.... 1,971
143 7.00%, 8/1/10, Gold Pool #E20187.... 144
2,167 7.00%, 9/1/10, Gold Pool #E00393.... 2,181
1,827 7.50%, 7/1/11, Gold Pool #E20253.... 1,860
5,290 3.50%, 3/15/12, Series 1933, Class
SJ, IF, IO*....................... 352
6,143 7.00%, 9/1/12, Gold Pool #E00506.... 6,184
4,000 6.30%, 1/15/13, Series 2025, Class
PE................................ 3,832
6,225 7.00%, 2/15/13, Series 1942, Class
VD................................ 6,140
6,230 3.15%, 10/15/13, Series 1595, Class
S, IF, IO*........................ 175
257 6.50%, 12/1/13, Pool #C90043........ 253
800 6.00%, 12/15/13, Series 2102, Class
TC................................ 757
564 12.00%, 8/1/15, Pool #170269........ 621
10,000 6.50%, 5/15/18, Series 2056, Class
TD................................ 9,844
1,483 4.00%, 3/25/19, Series 10, Class
F................................. 1,453
242 12.00%, 7/1/19, Pool #555238........ 265
1,300 9.50%, 7/15/19, Series 11, Class
D................................. 1,379
196 6.50%, 11/15/19, Series 1418, Class
B................................. 196
964 5.50%, 12/15/19, Series 1709, Class
C................................. 955
250 6.00%, 12/15/19, Series 1666, Class
E................................. 249
3,902 7.15%, 2/15/20, Series 1446, Class
G................................. 3,940
1,683 8.00%, 2/15/20, Series 1770, Class
PE................................ 1,687
3,000 6.00%, 4/15/20, Series 1534, Class
F................................. 2,969
35 84.00%, 5/15/20, Series 41, Class I,
HB................................ 98
319 10.00%, 6/15/20, Series 47, Class
F................................. 336
324 8.00%, 7/1/20, Gold Pool #A01047.... 336
775 7.80%, 9/15/20, Series 46, Class
B................................. 796
538 9.00%, 1/1/06, Series 1807, Class
G................................. 563
4,322 6.95%, 1/15/21, Series 114, Class
H................................. 4,341
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 11 8.60%, 1/15/21, Series 85, Class
C................................. $ 12
724 9.50%, 1/15/21, Series 99, Class
Z................................. 769
258 5.95%, 5/15/21, Series 1084, Class
F*................................ 263
332 17.00%, 5/15/21, Series 1079, Class
S, IF*............................ 374
181 22.73%, 5/15/21, Series 1084, Class
S, IF*............................ 223
1,572 8.50%, 9/15/21, Series 1144, Class
KB................................ 1,627
9,440 6.50%, 10/15/21, Series 1590, Class
GA................................ 9,409
1,482 9.50%, 10/20/21, Series 62, Class
AE................................ 1,513
7 1169.85%, 11/15/21, Series 1172,
Class L, HB....................... 154
1,000 7.75%, 12/15/21, Series 1347, Class
HB................................ 1,015
749 7.00%, 12/20/21, Series 1956, Class
A................................. 751
21 570.42%, 1/15/22, Series 1196, Class
B, IF, IO*........................ 216
2,500 0.00%, 2/15/22, Series 1987, Class
W, PO............................. 1,689
8,378 8.00%, 2/15/22, Series 1212, Class
IZ................................ 8,751
22 8.00%, 4/1/22, Gold Pool #D17768.... 22
1,100 7.00%, 5/15/22, Series 1250, Class
J................................. 1,075
5,000 7.50%, 7/25/22, Series FNRA G92-35,
Class E........................... 5,089
2,000 6.50%, 8/25/22, Series 8, Class J... 1,914
2,500 6.25%, 9/15/22, Series 1591, Class
FH*............................... 2,609
1,298 5.59%, 10/15/22, Series 1646, Class
MB*............................... 1,267
552 8.50%, 10/15/22, Series 1646, Class
MD, IF*........................... 559
3,500 0.00%, 11/15/22, Series 2002, Class
A, PO............................. 2,443
1,240 5.65%, 12/15/22, Series 1483, Class
FB*............................... 1,253
3,000 5.68%, 1/15/23, Series 1603, Class
IF*............................... 3,101
360 5.49%, 2/15/23, Series 1470, Class
F*................................ 353
1,500 4.96%, 4/15/23, Series 1672, Class
FB*............................... 1,442
1,500 7.50%, 4/15/23, Series 1491, Class
I................................. 1,510
968 6.68%, 5/15/23, Series 1592, Class
TB, IF*........................... 801
297 6.88%, 5/15/23, Series 1694, Class
SE, IF*........................... 285
995 9.18%, 5/15/23, Series 1614, Class
VB, IF*........................... 917
5 892.80%, 5/15/23, Series 204, Class
E, IF, IO*........................ 77
</TABLE>
Continued
47
<PAGE> 50
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 2,700 7.00%, 6/15/23, Series 1927, Class
PD................................ $ 2,725
2,500 8.63%, 6/15/23, Series 1608, Class
SD, IF*........................... 2,482
1,883 8.74%, 6/15/23, Series 1633, Class
SB, IF*........................... 1,780
183 5.49%, 7/15/23, Series 1541, Class
TA*............................... 177
1,525 4.53%, 8/15/23, Series 1611, Class
JB, IF*........................... 1,041
1,672 6.13%, 8/15/23, Series 1611, Class
JA*............................... 1,727
195 4.98%, 9/15/23, Series 1583, Class
NS, IF*........................... 159
7,155 6.25%, 9/15/23, Series 1589, Class
Z................................. 6,479
2,000 7.53%, 10/15/23, Series 1689, Class
SD, IF*........................... 1,928
2,187 11.66%, 10/15/23, Series 1859, Class
SB, IF, IO*....................... 468
550 6.00%, 11/25/23, Series 1685, Class
Z................................. 473
449 8.50%, 11/15/23, Series 1619, Class
SD, IF*........................... 455
851 6.25%, 11/25/23, Series 24, Class
ZE................................ 779
2,500 6.39%, 12/15/23, Series 1628, Class
S, IF*............................ 1,824
1,089 10.50%, 12/15/23, Series 1854, Class
SE, IF, IO*....................... 228
2,274 0.00%, 2/15/24, Series 1700, Class
GA, PO............................ 1,671
780 5.00%, 2/15/24, Series 1686, Class
A................................. 736
383 8.61%, 2/15/24, Series 1675, Class
SC, IF*........................... 360
2,290 4.91%, 3/15/24, Series 1689, Class
FC*............................... 2,132
3,530 9.78%, 3/15/24, Series 1750, Class
S, IF*............................ 3,459
2,916 2.56%, 4/25/24, Series G-29, Class
SD, IF, IO*....................... 101
1,269 8.00%, 8/1/24, Gold Pool #G00245.... 1,306
2,000 7.50%, 8/15/24, Series 1745, Class
D................................. 2,005
1,091 8.00%, 11/1/24, Gold Pool #C00376... 1,123
1,811 7.50%, 8/1/25, Gold Pool #C00414.... 1,837
1,500 7.50%, 2/15/26, Series 1935, Class
CB................................ 1,514
2,567 7.00%, 4/1/26, Gold Pool #C00452.... 2,549
1,717 6.85%, 7/1/26, Pool #785618......... 1,726
7,038 7.50%, 1/15/27, Series 1927, Class
PH................................ 7,047
4,464 6.00%, 5/15/27, Series 1981, Class
Z................................. 3,812
3,000 7.50%, 9/15/27, Series 87, Class
PE................................ 2,995
7,359 7.00%, 3/15/28, Series 2038, Class
PN, IO............................ 1,609
10,000 6.50%, 6/15/28, Series 2063, Class
PG................................ 9,380
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 6,768 8.50%, 7/1/28, Gold Pool #G00981.... $ 7,083
4,000 7.00%, 10/15/28, Series 2089, Class
PJ, IO............................ 1,690
9,921 6.50%, 4/1/29, Gold Pool #C25557.... 9,615
----------
257,123
----------
Government National Mortgage Assoc. (10.3%):
1 11.00%, 3/15/00, Pool #123750....... 1
22 10.00%, 1/15/01, Pool #145328....... 23
21 10.00%, 1/15/01, Pool #145167....... 22
18 6.50%, 6/15/01, Pool #849........... 18
13 6.50%, 6/15/01, Pool #1305.......... 13
2 8.50%, 6/15/01, Pool #162447........ 2
11 8.50%, 6/15/01, Pool #137056........ 12
2 9.00%, 6/15/01, Pool #161443........ 2
2 9.00%, 6/15/01, Pool #166985........ 2
0 9.00%, 6/15/01, Pool #164431 (c).... 0
2 9.00%, 7/15/01, Pool #155822........ 2
26 8.50%, 8/15/01, Pool #164207........ 27
13 9.00%, 8/15/01, Pool #173460........ 14
3 9.00%, 9/15/01, Pool #177121........ 3
3 9.00%, 10/15/01, Pool #185596....... 3
22 9.00%, 10/15/01, Pool #179852....... 23
2 9.00%, 10/15/01, Pool #177634....... 2
1 8.50%, 11/15/01, Pool #183462....... 2
3 9.00%, 11/15/01, Pool #174365....... 3
38 9.00%, 11/15/01, Pool #191819....... 39
5 8.50%, 12/15/01, Pool #182959....... 5
18 8.50%, 12/15/01, Pool #199837....... 19
18 8.50%, 12/15/01, Pool #199182....... 19
4 9.00%, 1/15/02, Pool #205001........ 4
30 8.00%, 3/15/02, Pool #205933........ 31
26 8.00%, 3/15/02, Pool #210065........ 27
15 8.00%, 5/15/02, Pool #203042........ 15
30 8.00%, 5/15/02, Pool #180296........ 31
22 8.50%, 5/15/02, Pool #213776........ 23
34 8.50%, 6/15/02, Pool #2297.......... 35
13 9.00%, 8/15/02, Pool #232424........ 13
21 9.00%, 10/15/02, Pool #246307....... 22
5 9.00%, 11/15/02, Pool #235553....... 6
1 9.00%, 6/15/03, Pool #247863........ 1
19 8.50%, 9/15/04, Pool #274390........ 20
38 8.50%, 10/15/04, Pool #277469....... 40
39 9.00%, 10/15/04, Pool #281655....... 41
39 9.00%, 10/15/04, Pool #229506....... 41
58 8.50%, 11/15/04, Pool #253471....... 60
51 9.00%, 5/15/05, Pool #288771........ 53
20 9.00%, 6/15/05, Pool #283904........ 21
</TABLE>
Continued
48
<PAGE> 51
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 33 9.00%, 8/15/05, Pool #297031........ $ 34
8 9.00%, 10/15/05, Pool #292589....... 9
26 9.50%, 10/15/05, Pool #291846....... 28
62 9.00%, 11/15/05, Pool #292610....... 65
19 9.00%, 11/15/05, Pool #299161....... 20
11 9.00%, 12/15/05, Pool #299569....... 12
50 7.50%, 2/15/06, Pool #7855.......... 52
58 8.50%, 4/15/06, Pool #307487........ 60
37 7.50%, 6/15/06, Pool #7855.......... 38
26 8.00%, 10/15/06, Pool #11503........ 27
37 8.00%, 1/15/07, Pool #14709......... 38
23 7.50%, 4/15/07, Pool #16991......... 23
167 7.50%, 5/15/07, Pool #329528........ 173
47 7.50%, 7/15/07, Pool #17316......... 48
109 7.50%, 8/15/07, Pool #19015......... 112
20 9.00%, 1/15/09, Pool #26076......... 21
85 9.00%, 4/15/09, Pool #30352......... 91
60 8.00%, 5/15/09, Pool #385676........ 63
3,174 6.50%, 7/15/09, Pool #780316........ 3,173
11 8.00%, 8/15/09, Pool #372143........ 12
318 8.00%, 10/15/09, Pool #380639....... 332
26 9.50%, 10/15/09, Pool #36582........ 28
877 7.50%, 2/15/12, Pool #393363........ 901
1,080 7.50%, 3/15/12, Pool #441145........ 1,109
1,249 7.50%, 3/15/12, Pool #399163........ 1,282
24 10.50%, 2/15/13, Pool #6507......... 27
1,000 7.00%, 7/16/13, Series 96-21, Class
J................................. 981
2 12.00%, 1/15/15, Pool #112920....... 2
41 9.00%, 8/15/16, Pool #164502........ 44
12 9.00%, 9/15/16, Pool #175362........ 12
31 9.00%, 9/15/16, Pool #179044........ 33
5 9.00%, 9/15/16, Pool #168987........ 5
33 9.50%, 9/15/16, Pool #158201........ 36
48 9.00%, 12/15/16, Pool #198652....... 52
84 8.50%, 1/15/17, Pool #203625........ 88
27 9.50%, 1/15/17, Pool #185619........ 30
5 8.50%, 3/15/17, Pool #196700........ 5
10 9.00%, 3/15/17, Pool #180330........ 10
85 8.50%, 5/15/17, Pool #217536........ 90
6 8.50%, 6/15/17, Pool #188545........ 6
1,481 8.50%, 11/15/17, Pool #780086....... 1,561
102 9.00%, 7/15/18, Pool #226769........ 109
6 9.50%, 9/15/18, Pool #258627........ 6
24 9.50%, 12/15/18, Pool #229531....... 26
10 9.50%, 10/15/19, Pool #279630....... 11
12 9.00%, 11/15/19, Pool #279649....... 13
1,244 12.00%, 11/15/19, Pool #780149...... 1,413
24 9.00%, 2/15/20, Pool #286315........ 26
86 9.50%, 2/15/20, Pool #284959........ 93
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 33 9.50%, 9/15/20, Pool #292918........ $ 36
37 9.00%, 7/15/21, Pool #311256........ 39
110 8.00%, 4/15/22, Pool #325461........ 113
127 8.00%, 5/15/22, Pool #317346........ 131
7 8.00%, 5/15/22, Pool #317358........ 8
41 8.00%, 5/15/22, Pool #320675........ 43
216 8.00%, 7/15/22, Pool #183670........ 223
278 7.50%, 8/15/22, Pool #333881........ 282
1,053 8.00%, 9/15/22, Pool #297628........ 1,087
4,131 6.50%, 9/20/22, Series 98-23, Class
XI, IO............................ 993
891 7.50%, 11/15/22, Pool #313110....... 904
1,196 7.50%, 7/15/23, Pool #481915........ 1,211
1,208 7.00%, 8/15/23, Pool #352108........ 1,199
5,299 7.00%, 9/15/23, Pool #363030........ 5,258
1,810 7.00%, 11/15/23, Pool #352022....... 1,796
7,259 6.50%, 1/15/24, Pool #366706........ 7,055
8,044 7.00%, 2/15/24, Pool #371281........ 7,971
2,764 0.00%, 2/20/24, Series 98-23, Class
AP, PO............................ 2,028
1,000 7.49%, 7/16/24, Series 94-3, Class
PQ................................ 1,018
5,000 7.99%, 7/16/24, Series 94-4, Class
KQ................................ 5,299
1,892 9.00% 11/15/24, Pool #780029........ 2,016
478 8.50%, 3/20/25, Pool #1974.......... 498
2,326 8.50%, 4/20/25, Pool #1989.......... 2,422
2,902 8.50%, 5/20/25, Pool #2006.......... 3,021
10,549 8.05%, 6/16/25, Series 95-3, Class
DQ................................ 10,848
1,000 7.50%, 9/17/25, Series 98-26, Class
K................................. 1,006
4,176 9.50%, 12/15/25, Pool #780965....... 4,508
545 8.00%, 12/20/25, Pool #2141......... 557
1,304 7.50%, 1/15/26, Pool #416874........ 1,322
1,203 7.50%, 3/15/26, Pool #422292........ 1,219
1,488 7.50%, 4/15/26, Pool #426059........ 1,509
4,804 7.50%, 4/18/26, Series 97-8, Class
PD................................ 4,880
875 8.00%, 6/20/26, Pool #2334.......... 894
690 8.00%, 7/15/26, Pool #428509........ 711
919 8.00%, 7/15/26, Pool #426612........ 946
8,000 7.50%, 8/16/26, Series 96-16, Class
E................................. 8,025
1,132 8.00%, 8/20/26, Pool #2270.......... 1,157
1,220 8.00%, 9/20/26, Pool #2285.......... 1,247
1,914 7.50%, 11/15/26, Pool #442119....... 1,941
838 8.00%, 11/20/26, Pool #2324......... 856
1,971 0.00%, 12/16/26, Series 99-15, Class
PE, PO............................ 1,644
2,811 7.50%, 7/15/27, Pool #442119........ 2,848
3,234 7.50%, 7/15/27, Pool #411829........ 3,276
2,576 8.00%, 10/20/27, Pool #2499......... 2,633
2,239 8.00%, 11/20/27, Pool #2512......... 2,288
1,199 8.00%, 12/20/27, Pool #2525......... 1,225
</TABLE>
Continued
49
<PAGE> 52
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 1,366 7.50%, 2/20/28, Pool #2549.......... $ 1,376
9,622 6.00%, 3/20/28, Pool #2562.......... 8,992
716 8.00%, 5/15/98, Pool #456883........ 737
2,827 8.00%, 6/20/28, Pool #002606........ 2,888
784 8.00%, 7/15/28, Pool #468066........ 807
1,637 8.50%, 8/15/28, Pool #468149........ 1,685
602 8.00%, 8/20/28, Pool #2633.......... 616
9,841 6.50%, 9/15/28, Pool #468236........ 9,502
2,666 7.50%, 9/15/28, Pool #486537........ 2,700
5,131 7.50%, 9/20/28, Pool #2646.......... 5,167
4,613 8.00%, 10/20/28, Pool #2661......... 4,713
9,690 6.00%, 11/15/28, Pool #466406....... 9,097
----------
161,641
----------
Total U.S. Government Agency Mortgages 703,345
----------
U.S. TREASURY OBLIGATIONS (24.1%):
U.S. Treasury Bonds (9.2%):
3,000 10.75%, 5/15/03 (b)................. 3,509
750 10.75%, 8/15/05 (b)................. 933
11,300 10.38%, 11/15/09 (b)................ 13,496
850 11.75%, 2/15/10 (b)................. 1,076
51,276 12.75%, 11/15/10 (b)................ 69,111
15,660 10.38%, 11/15/12 (b)................ 19,937
1,000 12.50%, 8/15/14 (b)................. 1,471
20,000 11.75%, 11/15/14 (b)................ 28,469
6,000 7.50%, 11/15/16 (b)................. 6,746
----------
144,748
----------
U.S. Treasury Inflation Protected Bonds (3.1%):
7,989 3.63%, 7/15/02...................... 7,914
39,538 3.38%, 1/15/07 (b).................. 37,931
2,057 3.63%, 1/15/08...................... 1,999
----------
47,844
----------
U.S. Treasury Notes (10.4%):
3,050 5.63%, 11/30/99 (b)................. 3,059
100 7.75%, 12/31/99..................... 101
1,500 7.75%, 1/31/00 (b).................. 1,523
17,600 8.75%, 8/15/00 (b).................. 18,233
1,045 6.25%, 8/31/00 (b).................. 1,055
1,500 5.75%, 10/31/00..................... 1,506
85 5.63%, 11/30/00..................... 85
60 7.75%, 2/15/01 (b).................. 62
2,700 6.25%, 4/30/01 (b).................. 2,734
2,500 8.00%, 5/15/01...................... 2,609
2,000 6.63%, 7/31/01 (b).................. 2,043
3,300 7.50%, 11/15/01 (b)................. 3,438
38,000 6.25%, 2/28/02 (b).................. 38,582
3,110 6.63%, 3/31/02 (b).................. 3,189
2,750 6.38%, 8/15/02 (b).................. 2,803
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes, continued:
$39,000 6.25%, 8/31/02 (b).................. $ 39,633
1,300 6.25%, 2/15/03 (b).................. 1,322
100 5.75%, 4/30/03...................... 100
10,720 5.75%, 8/15/03 (b).................. 10,723
9,000 7.25%, 5/15/04 (b).................. 9,551
3,340 7.25%, 8/15/04 (b).................. 3,549
6,570 7.88%, 11/15/04 (b)................. 7,176
2,500 6.50%, 8/15/05 (b).................. 2,578
3,000 6.88%, 5/15/06 (b).................. 3,159
1,850 6.50%, 10/15/06 (b)................. 1,910
2,150 6.13%, 8/15/07 (b).................. 2,173
----------
162,896
----------
U.S. Treasury STRIPS (1.4%):
3,300 2/15/01............................. 3,022
2,250 8/15/01............................. 2,001
5,000 11/15/10 (b)........................ 2,483
2,250 11/15/11 (b)........................ 1,046
1,000 2/15/13 (b)......................... 427
2,500 11/15/09............................ 1,315
35,000 5/15/16 (b)......................... 12,051
----------
22,345
----------
Total U.S. Treasury Obligations 377,833
----------
INVESTMENT COMPANIES (3.9%):
61,733 One Group Government Money Market
Fund.............................. 61,733
----------
Total Investment Companies 61,733
----------
REPURCHASE AGREEMENTS (2.0%):
31,000 State Street, 4.90%, 7/1/99
(Collateralized by $31,375 various
U.S. Government Securities,
5.00% - 5.25%, 1/11/01 - 8/24/01,
market value $31,626)............. 31,000
----------
Total Repurchase Agreements 31,000
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (17.2%):
Master Notes (1.5%):
6,860 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 6,860
6,860 Merrill Lynch, 6.20%, 7/1/99*....... 6,860
3,704 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 3,704
2,470 PHH CFC Leasing, 5.10%, 8/11/99*.... 2,470
2,881 Williamette Industries, Inc., 5.07%,
9/14/99*.......................... 2,881
----------
22,775
----------
</TABLE>
Continued
50
<PAGE> 53
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate 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>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds (9.2%):
$13,719 Amex Centurion, 5.10%, 5/5/00*...... $ 13,719
6,860 Bear Stearns, 6.23%, 1/7/00*........ 6,860
6,860 Branch Banking & Trust, 5.28%,
5/25/00*.......................... 6,855
5,488 Caterpillar Finance, 5.20%,
5/1/01*........................... 5,488
6,860 Chase Manhattan, 5.17%, 5/4/01*..... 6,860
6,860 Chase Manhattan, 5.26%, 5/6/02*..... 6,860
6,860 Fleet National Bank, 5.07%,
4/18/00*.......................... 6,860
6,860 Ford Motor Credit, 5.14%,
11/27/00*......................... 6,931
6,860 GMAC, 5.22%, 5/3/01*................ 6,860
6,860 GMAC MTN, 5.23%, 4/30/01*........... 6,860
4,116 Greenwich Capital Markets, 5.41%,
7/9/01*........................... 4,116
9,604 Jackson National, 6.37%, 5/15/00*... 9,604
6,860 JP Morgan & Co., 5.10%, 5/4/00*..... 6,860
6,860 JP Morgan & Co., 5.16%, 5/4/01*..... 6,860
9,603 Liberty Lighthouse, 5.15%,
5/5/00*........................... 9,603
6,860 Merrill Lynch, 5.31%, 5/6/02*....... 6,860
6,860 Salomon Smith Barney, 5.38%,
4/12/01*.......................... 6,860
6,860 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 6,860
12,347 SPARCC, 5.38%, 3/24/00*............. 12,347
----------
144,123
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (6.5%):
$20,580 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $21,826 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$21,719).......................... $ 20,580
12,434 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $13,056 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 -10/4/99, market value
$13,056).......................... 12,434
41,159 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $43,318 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$43,218).......................... 41,159
27,439 Paine Webber, 6.00%, 7/1/99,
(Collateralized by $29,183 various
Corporate Bonds, 6.00% - 9.45%,
6/15/00 - 11/15/46, market value
$28,812).......................... 27,439
----------
101,612
----------
Total Short-Term Securities Held as Collateral 268,510
----------
Total (Cost $1,839,968) (a) $1,824,931
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,565,161.
(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 $1,909. 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...................... $ 10,470
Unrealized depreciation...................... (27,416)
--------
Net unrealized appreciation (depreciation)... $(16,946)
========
</TABLE>
(b) A portion of this security was loaned as of June 30, 1999.
(c) Amount is less than 1000.
(d) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Collateralized Mortgage Obligations (CMO) are debt securities issued by U.S.
government agencies, or by financial institutions and other mortgage
lenders, which are collateralized by a pool of mortgages held under an
indenture.
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Interest Only (IO) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not be
fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the underlying pool of
mortgage instruments. As a result, interest income may be reduced
considerably.
Continued
51
<PAGE> 54
- --------------------------------------------------------------------------------
One Group Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
High Coupon Bonds (HB) (a.k.a "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IO's the owner also has a right
to receive a very small portion of principal. The high interest rate results
from taking interest payments from other classes in the REMIC trust and
allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
(e) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $28,433 or 1.82% of net assets.
* The interest rate, for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The
rate reflected on the Schedule of Portfolio of Investments is the rate in
effect as of June 30, 1999.
See notes to financial statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
ASSET BACKED SECURITIES (6.4%):
Banking, Finance & Insurance (5.6%):
$ 2,500 Arcadia Automobile Receivables
Trust, Series 99-B, Class A3,
6.30%, 7/15/03.................... $ 2,501
7,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................... 7,009
3,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................... 3,007
5,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03................... 4,978
3,600 Arcadia Automobile Receivables
Trust, Series 98-A, Class AY,
6.00%, 11/15/03................... 3,582
1,069 Case Equipment Loan Trust, Series
96-A, Class A2, 5.50%, 2/15/03.... 1,070
108 Chase Manhattan Grantor Trust,
Series 95-B, Class A, 5.90%,
11/15/01.......................... 108
190 Chevy Chase Auto Receivables Trust,
Series 95-2, Class A, 5.80%,
6/15/02........................... 190
743 CPS Auto Trust, Series 97-4, Class
A1, 6.07%, 3/15/03................ 744
8,350 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............... 8,375
3,000 Greentree Financial Corp., Series
95-4, Class A6, 7.30%, 7/15/25.... 3,066
293 Merrill Lynch Home Equity Loan,
Series 92-1, Class A, 5.34%,
7/15/22*.......................... 293
4,550 Merrill Lynch MBS Inc., Series
144-S, 7.43%, 7/25/24............. 4,566
5,631 Olympic Automobile Receivables
Trust, Series 96-C, Class A4,
6.80%, 3/15/02.................... 5,671
3,500 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................... 3,555
978 Onyx Acceptance Grantor Trust,
Series 96-1, Class A, 5.40%,
5/15/01........................... 978
1,500 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03........................... 1,487
1,834 Onyx Acceptance Grantor Trust,
Series 97-1, Class A, 6.55%,
9/15/03........................... 1,849
1,533 Sears Credit Account Master Trust,
Series 95-3, Class A, 7.00%,
10/15/04.......................... 1,554
2,800 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05........................... 2,792
1,800 Standard Credit Card Master Trust,
Series 94-2, Class A, 7.25%,
4/7/08............................ 1,863
1,700 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/8/02........... 1,705
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,397 WFS Financial Owner Trust, Series
96-D, Class A3, 6.05%, 7/20/01.... $ 1,396
3,349 WFS Financial Owner Trust, Series
97-B, Class A3, 6.30%, 7/20/01.... 3,356
560 WFS Financial Owner Trust, Series
97-A, Class A3, 6.50%, 9/20/01.... 563
1,263 WFS Financial Owner Trust, Series
95-4, Class A1, 6.20%, 2/1/02....... 1,266
6,000 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03.... 5,984
3,233 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%, 12/20/03... 3,254
4,554 World Omni Automobile Lease Secured
Trust, Series 97-A, Class A4,
6.90%, 6/25/03.................... 4,596
2,710 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A1,
6.07%, 11/25/03................... 2,713
1,992 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A3,
6.18%, 11/25/03................... 1,997
----------
86,068
----------
Student Loan Mortgage Assoc (0.8%):
12,000 5.59%, 4/25/08, Series 99-1, Class
A1T*.............................. 12,000
----------
Total Asset Backed Securities 98,068
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%):
Banking, Finance & Insurance (1.3%):
1,682 Chase Mortgage Finance Corp., Series
94-E, Class A6B, 7.30%, 4/25/10,
IF*............................... 1,675
171 Collateralized Mortgage Obligation
Trust, Series 16, Class Q, 13.25%,
3/20/18, IF*...................... 176
4,243 Countrywide Funding Corp., 7.22%,
2/25/09, Series 93-11, Class A11,
IF*............................... 4,147
2,200 Countrywide Home Loans, Series 98-2,
Class A2, 6.25%, 3/25/28.......... 1,989
1,416 First Boston Mortgage Securities
Corp., Series C, Class PO, 0.00%,
4/25/17, PO....................... 1,197
</TABLE>
Continued
53
<PAGE> 56
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,416 First Boston Mortgage Securities
Corp., Series C, Class I-O,
10.97%, 4/25/17, IO............... $ 389
2,677 Merrill Lynch Trust, Series 43,
Class E, 6.50%, 8/27/15........... 2,674
2 Morgan Stanley Mortgage Trust,
Series 35, Class 2, 7979.75%,
4/20/21, HB, IF*.................. 299
2 Morgan Stanley Mortgage Trust,
Series 37, Class 2, 7979.75%,
7/20/21, HB, IF*.................. 382
306 Morgan Stanley Mortgage Trust,
Series 39, Class 3, 0.00%,
12/20/21, PO...................... 256
366 Paine Webber Trust, Series H, Class
4, 8.75%, 4/1/18.................. 379
1,772 Paine Webber Trust, Series P, Class
4, 8.50%, 8/1/19.................. 1,839
4,500 Residential Accredit Loans, Inc,
Series 96-QS3, Class AI11, 7.75%,
6/25/26........................... 4,546
596 Rural Housing Trust, Series 87-1,
Class 3B, 7.33%, 4/1/26........... 599
----------
Total Collateralized Mortgage Obligations 20,547
----------
CORPORATE BONDS (4.9%):
Banking, Finance & Insurance (2.7%):
2,000 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05 (b)....................... 2,026
1,572 African Development Bank, 9.30%,
7/1/00............................ 1,623
1,500 American RE Corp., Series B, 7.45%,
12/15/26.......................... 1,545
2,350 Associates Corp., 9.13%, 4/1/00..... 2,400
1,750 Associates Corp., 5.75%, 11/1/03.... 1,697
3,085 Associates Corp., 8.15%, 8/1/09..... 3,330
7,300 Associates Corp., 5.96%, 5/15/37.... 7,326
5,500 Boeing Capital Corp., 6.36%,
7/15/05........................... 5,162
2,000 Chase Manhattan Corp., 9.75%,
11/1/01........................... 2,145
4,000 Ford Motor Credit Co., 8.20%,
2/15/02........................... 4,175
5,500 GMAC, 5.75%, 11/10/03............... 5,318
3,000 GMAC, 6.85%, 6/17/04 (b)............ 3,025
1,500 Household Finance Corp., 6.50%,
11/15/08.......................... 1,426
----------
41,198
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Governments (Foreign) (0.4%):
$ 2,250 Metropolis of Tokyo, 8.70%,
10/5/99........................... $ 2,265
4,400 Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%,
1/27/03........................... 4,531
----------
6,796
----------
Industrial Goods & Services (0.9%):
1,730 Boeing Co., 7.95%, 8/15/24.......... 1,895
4,000 Case Corp., 6.25%, 12/1/03.......... 3,898
1,800 Dayton Hudson Corp., 7.88%,
6/15/23........................... 1,775
2,695 General Motors Corp., 8.80%,
3/1/21............................ 3,159
1,500 Monsanto Co., 8.20%, 4/15/25........ 1,480
1,500 Xerox Corp., 6.25%, 11/15/26........ 1,469
----------
13,676
----------
Telecommunications (0.2%):
3,500 Bellsouth Telecommunications, 6.00%,
6/15/02........................... 3,489
----------
Yankee & Eurodollar (0.7%):
1,900 Household Netherlands Bv, 6.20%,
12/1/03........................... 1,865
2,000 Kingdom of Belgium, 9.20%,
6/28/10........................... 2,360
2,515 Province of Quebec, 9.13%,
8/22/01........................... 2,631
2,500 Province of Quebec, 6.50%,
1/17/06........................... 2,440
1,000 Province of Quebec, 6.29%, 3/6/26... 985
----------
10,281
----------
Total Corporate Bonds 75,440
----------
U.S. GOVERNMENT AGENCY MORTGAGES (49.7%):
Fannie Mae (22.3%):
3,385 3.41%, 11/25/99, Series 92-199,
Class S, IF, IO*.................. 32
3 758.75%, 1/25/06, Series 91-4, Class
N, HB............................. 47
3 1008.25%, 4/25/06, Series 91-33,
Class J, HB....................... 63
2,386 3.91%, 8/25/06, Series 93-8, Class
SB, IF, IO*....................... 67
1,888 6.00%, 8/25/06, Series 93-188, Class
WA, IO............................ 75
2,111 0.00%, 9/25/06, Series 96-46, Class
PE, PO............................ 1,838
3,471 8.90%, 5/25/07, Series 93-175, Class
S, IF*............................ 3,507
1,000 7.50%, 9/25/07, Series 92-135, Class
LC................................ 1,021
748 8.80%, 11/25/07, Series 93-174,
Class SB, IF*..................... 759
4,130 0.00%, 2/25/08, Series 96-24, Class
K, PO............................. 3,601
</TABLE>
Continued
54
<PAGE> 57
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 1,214 5.29%, 5/25/08, Series 93-63, Class
FA*............................... $ 1,195
2,500 5.39%, 5/25/08, Series 93-72, Class
F*................................ 2,465
3,970 5.84%, 5/25/08, Series 93-59, Class
FA*............................... 4,064
9,122 6.09%, 5/25/08, Series 93-55, Class
FA*............................... 9,313
956 5.34%, 6/25/08, Series 93-107, Class
F*................................ 935
854 5.44%, 8/25/08, Series 93-129, Class
FB*............................... 843
992 5.66%, 8/25/08, Series 93-209, Class
KB................................ 968
3,019 9.19%, 8/25/08, Series 93-134, Class
SA, IF*........................... 3,022
6,599 0.00%, 9/25/08, Series 96-39, Class
J, PO............................. 4,731
2,585 0.00%, 9/25/08, Series 96-20, Class
L, PO............................. 1,923
666 5.19%, 9/25/08, Series 93-170, Class
FA*............................... 660
2,000 5.44%, 9/25/08, Series 93-175, Class
FE*............................... 1,963
2,172 9.25%, 9/25/08, Series 93-186, Class
SA, IF*........................... 2,347
2,788 9.94%, 9/25/08, Series 93-175, Class
S, IF*............................ 2,884
5,800 0.00%, 10/25/08, Series 96-24, Class
B, PO............................. 3,990
4,354 5.39%, 10/25/08, Series 93-196,
Class FA*......................... 4,301
226 256.00%, 11/1/08, Series K, Class 2,
IO................................ 1,392
4,000 0.00%, 12/25/08, Series 98-27, Class
B, PO............................. 2,772
253 6.00%, 12/25/08, Series 93-214,
Class L........................... 251
2,000 6.19%, 12/25/08, Series 93-221,
Class FH*......................... 2,060
2,500 7.44%, 12/25/08, Series 93-233,
Class SB, IF*..................... 2,469
973 9.50%, 12/25/08, Series 93-221,
Class SE*......................... 975
134 5.59%, 1/25/09, Series 94-12, Class
FB*............................... 133
900 7.75%, 1/25/09, Series 94-12, Class
SB, IF*........................... 898
1,391 8.48%, 2/25/09, Series 94-13, Class
SK, IF*........................... 1,358
2,628 0.00%, 3/25/09, Series 96-24, Class
E PO.............................. 1,777
1,126 5.39%, 3/25/09, Series 94-32, Class
F*................................ 1,110
2,698 5.49%, 3/25/09, Series 94-33, Class
FA*............................... 2,658
440 5.49%, 3/25/09, Series 94-33, Class
F*................................ 443
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,618 6.50%, 3/25/09, Series 95-13, Class
B................................. $ 2,582
3,528 8.90%, 3/25/09, Series 94-32, Class
S, IF*............................ 3,610
2,465 11.45%, 3/25/09, Series 94-34, Class
S, IF*............................ 2,614
3,750 7.15%, 10/17/09, Series 97-M1, Class
B................................. 3,803
7 6.50%, 12/25/10, Series 96-7, Class
C................................. 7
2,088 7.10%, 11/25/13, Series 93-220,
Class SD, IF*..................... 1,843
782 12.50%, 1/1/16, Pool #303306........ 889
3,360 5.49%, 5/25/16, Series 93-156, Class
FA*............................... 3,378
1,523 5.59%, 3/25/17, Series 96-27, Class
FA*............................... 1,545
111 7.00%, 4/1/17, Pool #44699.......... 111
483 10.00%, 9/1/17, Series 23, Class 2,
IO................................ 124
296 9.25%, 4/25/18, Series 88-7, Class
Z................................. 314
2,131 9.00%, 5/1/18, Pool #426836......... 2,261
3,484 5.16%, 6/25/18, Series 92-206, Class
FA*............................... 3,385
1,894 9.85%, 11/1/18, Series 1997-77,
Class M........................... 2,027
343 5.99%, 1/1/19, Pool #70226*......... 332
1,084 6.61%, 3/1/19, Pool #116612*........ 1,113
60 10.50%, 3/25/19, Series 50, Class 2,
IO................................ 16
275 5.00%, 5/25/19, Series 93-19, Class
G................................. 274
684 6.50%, 6/25/19, Series G93-19, Class
K................................. 684
272 0.00%, 10/25/19, Series 89-73, Class
C, PO............................. 263
1,250 6.96%, 10/25/19, Series 93-156,
Class SD, IF*..................... 1,097
2,000 8.00%, 10/25/19, Series 89-70, Class
G................................. 2,060
1,494 8.50%, 11/25/19, Series 89-83, Class
H................................. 1,547
1,790 9.00%, 11/25/19, Series 89-89, Class
H................................. 1,884
1,132 9.40%, 11/25/19, Series 89-78, Class
H................................. 1,208
1,338 8.80%, 1/25/20, Series 90-1, Class
D................................. 1,401
3,505 0.00%, 5/18/20, Series 97-40, Class
PC, PO............................ 2,946
322 5.50%, 6/25/20, Series 90-60, Class
K................................. 310
349 6.00%, 6/25/20, Series G93-13, Class
G................................. 348
627 9.50%, 6/25/20, Series 90-63, Class
H................................. 662
102 0.00%, 7/25/20, Series G93-23, Class
A, PO............................. 101
692 5.50%, 8/25/20, Series 90-93, Class
G................................. 665
1,667 6.50%, 8/25/20, Series 90-102, Class
J................................. 1,649
</TABLE>
Continued
55
<PAGE> 58
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 13 505.00%, 8/25/20, Series 90-94,
Class H, HB....................... $ 195
9 1118.04%, 8/25/20, Series 90-95,
Class J, HB....................... 290
1,601 6.00%, 10/25/20, Series 92-204,
Class B........................... 1,597
3,484 9.00%, 10/25/20, Series 90-120,
Class H........................... 3,678
371 13.96%, 11/25/20, Series 90-134,
Class SC, IF*..................... 422
16,164 6.50%, 12/25/20, Series 97-85, Class
L, IO............................. 1,685
12 652.15%, 12/25/20, Series 90-140,
Class K, HB....................... 265
1,030 4.59%, 1/25/21, Series 93-165, Class
SX, IF*........................... 828
3 908.50%, 2/25/21, Series 91-7, Class
K, HB............................. 69
1,796 5.00%, 3/25/21, Series 91-24, Class
Z................................. 1,702
1,916 8.50%, 6/25/21, Series 91-144, Class
PZ................................ 1,940
52 558.00%, 6/25/21, Series G-17, Class
S, HB, IF*........................ 592
782 7.50%, 9/25/21, Series 91-126, Class
ZB................................ 793
2,621 8.00%, 9/25/21, Series G92-31, Class
W................................. 2,686
3,799 0.00%, 10/25/21, Series 97-32, Class
C, PO............................. 3,702
422 6.50%, 2/25/09, Series 94-30, Class
LA................................ 419
3,623 7.00%, 10/25/21, Series 92-124,
Class PJ.......................... 3,604
2,762 8.75%, 10/25/21, Series G-35, Class
M................................. 2,869
4,500 5.00%, 11/25/21, Series G92-66,
Class JB.......................... 4,139
1,600 7.88%, 11/25/21, Series 92-215,
Class PM.......................... 1,650
1,296 6.00%, 12/25/21, Series G92-59,
Class C........................... 1,286
1,102 13.87%, 12/25/21, Series G-51, Class
SA, IF*........................... 1,276
1,500 5.89%, 1/25/22, Series 93-79, Class
FE*............................... 1,544
2,085 7.00%, 1/25/22, Series G92-15, Class
Z................................. 2,083
1,825 10.25%, 1/25/22, Series 93-155,
Class SB, IF*..................... 2,013
2,000 7.41%, 3/25/22, Series 93-189, Class
SH, IF*........................... 1,921
4,075 5.04%, 4/25/22, Series 92-143, Class
FI*............................... 4,015
3 6465.6%, 5/25/22, Series G92-27,
Class SQ, HB, IF*................. 417
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,117 7.00%, 7/25/22, Series G92-42, Class
Z................................. $ 2,125
9,000 7.50%, 7/25/22, Series G92-35, Class
E................................. 9,161
13 1184.78%, 7/25/22, Series G92-35,
Class G, IO....................... 513
5,000 6.50%, 8/25/22, Series 96-59, Class
J................................. 4,941
5,000 0.00%, 9/25/22, Series 97-70, Class
PO, PO............................ 3,572
3,500 5.50%, 9/25/22, Series 92-143, Class
MA................................ 3,232
2,000 7.75%, 9/25/22, Series 92-163, Class
M................................. 2,046
2,853 5.19%, 10/25/22, Series G92-59,
Class F*.......................... 2,781
4,129 5.59%, 10/25/22, Series G92-61,
Class FJ*......................... 4,089
810 7.00%, 10/25/22, Series G92-61,
Class Z........................... 766
1,552 10.52%, 10/25/22, Series 92-201,
Class SB, IF*..................... 1,648
981 6.75%, 12/25/22, Series 93-46, Class
O................................. 954
1,600 6.96%, 12/25/22, Series X, Class VO,
IF*............................... 1,561
1,020 5.75%, 1/25/23, Series 93-247, Class
AB................................ 1,012
2,400 7.90%, 1/25/23, Series G93-1, Class
KA................................ 2,500
2,394 0.00%, 2/25/23, Series G93-12, Class
C, PO............................. 2,279
1,134 4.41%, 2/25/23, Series 93-12, Class
S, IF, IO*........................ 36
2,111 6.50%, 2/25/23, Series G93-5, Class
Z................................. 1,990
2,000 9.61%, 2/25/23, Series 98-35, Class
SV, IF*........................... 1,804
9 560.36%, 2/25/23, Series 93-12,
Class SB, IF, IO*................. 44
1,484 6.50%, 3/25/23, Series G93-14, Class
J................................. 1,410
1,850 7.70%, 3/25/23, Series 93-21, Class
KA................................ 1,900
3,490 7.50%, 4/1/23, Series 218, Class 2,
IO................................ 950
3,385 0.00%, 4/25/23, Series 98-4, Class
C, PO............................. 2,535
1,940 4.16%, 4/25/23, Series 93-44, Class
S, IF, IO*........................ 152
228 5.50%, 4/25/23, Series 93-58, Class
J................................. 211
643 6.50%, 5/25/23, Series 93-155, Class
LA................................ 621
208 6.75%, 5/25/23, Series 93-94, Class
K................................. 199
2,829 6.77%, 5/25/23, Series 93-110, Class
S, IF*............................ 2,343
</TABLE>
Continued
56
<PAGE> 59
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,819 7.93%, 5/25/23, Series 93-94, Class
S, IF*............................ $ 2,373
21,500 0.00%, 6/25/23, Series 93-257, Class
C, PO............................. 12,829
15,789 1.85%, 5/25/23, Series 94-82, Class
SA, IF, IO*....................... 438
148 5.49%, 6/25/23, Series 93-160, Class
FE*............................... 145
2,643 3.81%, 7/25/23, Series 93-113, Class
S, IF, IO*........................ 109
7,291 2.91%, 8/25/23, Series 94-36, Class
SG, IF, IO*....................... 376
511 4.03%, 8/25/23, Series G93-27, Class
SE*............................... 369
1,835 8.26%, 8/25/23, Series 93-139, Class
SG, IF*........................... 1,502
865 10.08%, 8/25/23, Series 93-113,
Class SE, IF*..................... 815
1,573 0.00%, 9/25/23, Series 93-248, Class
FB*............................... 1,450
4,842 3.00%, 9/25/23, Series 93-193, Class
B................................. 4,444
3,436 3.91%, 9/25/23, Series 93-155, Class
SB, IF, IO*....................... 193
944 4.01%, 9/25/23, Series 93-178, Class
SE, IF*........................... 785
1,101 6.66%, 9/25/23, Series G93-32, Class
SA, IF*........................... 789
1,573 9.00%, 9/25/23, Series 93-248, Class
SB, IF*........................... 1,398
371 10.00%, 9/25/23, Series 93-187,
Class SA, IF*..................... 375
1,000 5.26%, 10/25/23, Series 93-189,
Class FB*......................... 946
366 5.49%, 10/25/23, Series 93-198,
Class FA*......................... 358
8,000 5.64%, 10/25/23, Series 93-199,
Class FA*......................... 8,209
1,266 0.00%, 11/25/23, Series 94-8, Class
G, PO............................. 1,103
2,598 5.75%, 11/25/23, Series 93-207,
Class SC, IF*..................... 2,124
3,054 7.17%, 11/25/23, Series 97-20, Class
SA, IF*........................... 2,253
1,250 10.00%, 11/25/23, Series 93-206,
Class SD, IF*..................... 1,221
6,027 0.00%, 12/25/23, Series 97-24, Class
PQ, PO............................ 4,310
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 3,723 5.69%, 12/25/23, Series 93-230,
Class FA*......................... $ 3,766
3,153 5.69%, 12/25/23, Series 93-223,
Class FB*......................... 3,091
3,000 6.75%, 12/25/23, Series 94-55, Class
G................................. 2,971
1,366 8.61%, 12/25/23, Series 93-223,
Class SB, IF*..................... 1,321
1,262 7.00%, 1/1/24, Pool #50966.......... 1,253
10,180 0.00%, 2/25/24, Series 99-16, Class
B, PO............................. 6,193
644 5.49%, 3/25/24, Series 94-39, Class
F*................................ 652
248 9.12%, 3/25/24, Series 94-39, Class
S, IF*............................ 236
800 10.00%, 4/25/24, Series 94-63, Class
T, IF*............................ 738
2,023 7.00%, 11/17/24, Series G94-13,
Class ZB.......................... 1,966
1,598 8.80%, 1/25/25, Series G95-1, Class
C................................. 1,731
1,309 9.00%, 4/1/26, Pool #446278......... 1,394
7,875 7.50%, 8/18/26, Series 97-29, Class
PL, IO............................ 2,392
7,500 7.50%, 3/18/27, Series 97-22, Class
PI, IO............................ 1,738
34,198 1.84%, 3/25/27, Series 97-20, Class
IO, IO*........................... 2,375
1,951 7.50%, 4/18/27, Series 97-27, Class
J................................. 1,988
5,500 7.50%, 4/20/27, Series 97-29, Class
J................................. 5,581
8,000 7.50%, 5/20/27, Series 97-39, Class
PD................................ 7,994
3,772 5.81%, 9/1/27, Pool #54844*......... 3,701
22,467 7.00%, 11/18/27, Series 97-81, Class
PI, IO............................ 5,753
2,339 9.50%, 7/1/28, Pool #457268......... 2,506
3,985 5.81%, 3/1/29, Pool #303532*........ 3,911
----------
339,183
----------
Freddie Mac (19.6%):
466 4.30%, 8/15/99, Series 1329, Class
S, IF, IO*........................ 1
76 7.50%, 4/1/02, Pool #200070......... 77
21,872 2.65%, 9/15/04, Series 1982, Class
SB, IF, IO*....................... 581
1,040 9.00%, 1/1/06, Series 1807, Class
G................................. 1,088
12 1008.50%, 5/15/06, Series 1072,
Class A, HB....................... 212
6 1008.00%, 6/15/06, Series 1098,
Class M, HB....................... 104
</TABLE>
Continued
57
<PAGE> 60
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 1,919 7.50%, 2/15/07, Series 1322, Class
G................................. $ 1,949
2,281 4.50%, 3/15/07, Series 1295, Class
JB................................ 2,201
8 981.86%, 6/15/07, Series 1298, Class
L, IO............................. 177
374 3.81%, 10/15/07, Series 1389, Class
SA, IF*........................... 357
412 5.50%, 10/15/07, Series 1640, Class
A................................. 410
529 5.14%, 11/15/07, Series 1414, Class
LA*............................... 511
1,459 9.03%, 11/15/07, Series 1414, Class
LB, IF*........................... 1,460
6,088 4.00%, 2/15/08, Series 1465, Class
SA, IF, IO*....................... 228
1,249 0.00%, 4/15/08, Series 1854, Class
C, PO............................. 1,055
400 5.50%, 4/15/08, Series 1489, Class
L................................. 388
335 6.00%, 4/15/08, Series 1531, Class
K................................. 332
2,008 0.00%, 5/15/08, Series 89, Class L,
PO................................ 1,652
8,948 3.50%, 5/15/08, Series 1506, Class
SD, IF, IO*....................... 352
1,365 6.07%, 5/15/08, Series 1606, Class
LC................................ 1,396
530 6.14%, 5/15/08, Series 1506, Class
F*................................ 533
308 7.90%, 5/15/08, Series 1606, Class
LD, IF*........................... 277
1,075 9.29%, 5/15/08, Series 1587, Class
SF, IF*........................... 1,141
110 9.41%, 5/15/08, Series 1506, Class
S, IF*............................ 115
2,514 5.09%, 7/15/08, Series 1544, Class
TA*............................... 2,488
3,425 0.00%, 8/15/08, Series 1900, Class
T, PO............................. 2,462
994 4.50%, 8/15/08, Series 1575, Class
SB, IF*........................... 791
1,955 5.62%, 8/15/08, Series 1564, Class
FB................................ 1,954
1,479 5.87%, 8/15/08, Series 1565, Class
K, IF*............................ 1,366
2,983 6.50%, 8/15/08, Series 1575, Class
FB*............................... 3,074
712 8.41%, 8/15/08, Series 1564, Class
SB, IF*........................... 719
388 8.80%, 8/15/08, Series 1561, Class
SC, IF*........................... 393
604 6.00%, 9/15/08, Series 1586, Class
A................................. 602
3,457 7.81%, 9/15/08, Series 1580, Class
SC, IF*........................... 3,239
2,789 0.00%, 10/15/08, Series 1900, Class
I, PO............................. 2,279
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 6,164 0.00%, 10/15/08, Series 1967, Class
PC, PO............................ $ 4,646
2,033 0.00%, 10/15/08, Series 1946, Class
L, PO............................. 1,641
929 5.24%, 10/15/08, Series 1587, Class
FA*............................... 916
1,674 8.75%, 10/15/08, Series 1601, Class
S, IF*............................ 1,760
2,750 6.36%, 11/15/08, Series 1604, Class
SA, IF*........................... 2,577
4,647 6.51%, 11/15/08, Series 1612, Class
SD, IF*........................... 4,261
3,197 6.97%, 11/15/08, Series 1604, Class
SH, IF*........................... 3,163
935 7.04%, 11/15/08, Series 1604, Class
SE, IF*........................... 891
3,016 0.00%, 12/15/08, Series 1948, Class
A, PO............................. 2,306
3,890 5.50%, 12/15/08, Series 1635, Class
O*................................ 3,923
2,190 5.50%, 12/15/08, Series 1624, Class
FB*............................... 2,214
454 5.59%, 12/15/08, Series 1647, Class
FB*............................... 451
924 6.15%, 12/15/08, Series 1655, Class
F*................................ 939
1,856 7.62%, 12/15/08, Series 2017, Class
SE, IF*........................... 1,794
339 8.02%, 12/15/08, Series 1655, Class
SA, IF*........................... 306
1,276 8.19%, 12/15/08, Series 1647, Class
SB, IF*........................... 1,289
2,500 8.50%, 12/15/08, Series 1625, Class
SD, IF*........................... 2,659
1,000 8.50%, 1/15/09, Series 1659, Class
SB, IF*........................... 1,073
1,608 0.00%, 2/15/09, Series 1679, Class
N, PO............................. 1,182
1,998 6.40%, 2/15/09, Series 1679, Class
O................................. 1,919
1,000 6.92%, 2/15/09, Series 1796, Class
S, IF*............................ 960
6,764 5.55%, 3/15/09, Series 1900, Class
FA*............................... 6,823
2,673 7.71%, 3/15/09, Series 1698, Class
SC, IF*........................... 2,607
2,525 5.80%, 4/15/09, Series 1716, Class
F*................................ 2,566
23,521 3.50%, 3/15/12, Series 1933, Class
SJ, IF, IO*....................... 1,564
</TABLE>
Continued
58
<PAGE> 61
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 5,300 6.30%, 1/15/13, Series 2025, Class
PE................................ $ 5,077
4,420 3.15%, 10/15/13, Series 1595, Class
S, IF, IO*........................ 124
1,472 7.00%, 10/15/13, Series 1595, Class
D................................. 1,455
1,831 8.83%, 10/15/13, Series 1607, Class
SA, IF*........................... 1,814
713 12.00%, 8/1/15, Pool #170269........ 786
37 7.50%, 7/1/16, Pool #274081......... 37
12,737 3.25%, 7/15/16, Series 1930, Class
SJ, IF, IO*....................... 814
35 7.50%, 4/1/17, Pool #289711......... 36
1,483 4.00%, 3/25/19, Series 10, Class
F................................. 1,453
318 12.00%, 7/1/19, Pool #555238........ 349
3,000 9.50%, 7/15/19, Series 11, Class
D................................. 3,181
353 6.50%, 11/15/19, Series 1418, Class
B................................. 353
1,271 7.50%, 1/15/20, Series 1297, Class
H................................. 1,280
1,434 6.50%, 2/15/20, Series 1483, Class
E................................. 1,439
1,097 9.50%, 4/15/20, Series 22, Class
C................................. 1,146
1,379 9.60%, 4/15/20, Series 23, Class
F................................. 1,462
46 84.00%, 5/15/20, Series 41, Class I,
HB................................ 131
319 10.00%, 6/15/20, Series 47, Class
F................................. 336
159 5.00%, 11/15/20, Series 1190, Class
G................................. 158
724 9.50%, 1/15/21, Series 99, Class
Z................................. 769
2 1066.21%, 2/15/21, Series 1045,
Class G, IO....................... 51
1,170 9.00%, 4/15/21, Series 1065, Class
J................................. 1,229
1,215 5.95%, 5/15/21, Series 1084, Class
F*................................ 1,236
2,687 6.50%, 5/15/21, Series 1602, Class
T................................. 2,577
1,254 6.60%, 5/15/21, Series 1602, Class
SP, IF*........................... 1,162
443 17.00%, 5/15/21, Series 1079, Class
S, IF*............................ 498
850 22.73%, 5/15/21, Series 1084, Class
S, IF*............................ 1,049
2,000 5.50%, 8/15/21, Series 1116, Class
I................................. 1,916
1,398 8.50%, 9/15/21, Series 1144, Class
KB................................ 1,446
1,220 7.00%, 3/15/24, Series 1706, Class
LA................................ 1,210
3,868 7.50%, 11/15/21, Series 1378, Class
JZ................................ 3,895
8 1167.78%, 11/15/21, Series 1172,
Class L, HB....................... 178
1,245 7.75%, 12/15/21, Series 1347, Class
HB................................ 1,264
2,346 7.00%, 12/20/21, Series 1956, Class
A................................. 2,352
32 580.20%, 1/15/22, Series 1196, Class
B, IF, IO*........................ 329
5,000 0.00%, 2/15/22, Series 1987, Class
W, PO............................. 3,378
4,457 8.00%, 2/15/22, Series 1212, Class
IZ................................ 4,655
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 401 9.00%, 8/15/22, Series 134, Class B,
IO................................ $ 98
1,550 7.00%, 5/15/22, Series 1250, Class
J................................. 1,514
89 7.36%, 7/15/22, Series 1523, Class
S, IF*............................ 89
3,005 6.50%, 8/25/22, Series 8, Class J... 2,876
2,500 6.25%, 9/15/22, Series 1591, Class
FH*............................... 2,609
1,492 5.59%, 10/15/22, Series 1646, Class
MB*............................... 1,456
1,381 8.50%, 10/15/22, Series 1646, Class
MD, IF*........................... 1,398
8,800 0.00%, 11/15/22, Series 2002, Class
A, PO............................. 6,141
2,481 5.65%, 12/15/22, Series 1483, Class
FB*............................... 2,506
7,000 5.68%, 1/15/23, Series 1603, Class
IF*............................... 7,236
4,835 5.65%, 1/25/23, Series G-48, Class
BE, IF, IO*....................... 320
719 5.49%, 2/15/23, Series 1470, Class
F*................................ 706
1,500 4.96%, 4/15/23, Series 1672, Class
FB*............................... 1,442
1,250 6.15%, 4/15/23, Series 1498, Class
I*................................ 1,288
551 6.96%, 4/25/23, Series G-13, Class
SA, IF*........................... 505
1,009 5.90%, 5/15/23, Series 1669, Class
KE*............................... 1,004
1,937 6.68%, 5/15/23, Series 1592, Class
TB, IF*........................... 1,603
423 6.88%, 5/15/23, Series 1694, Class
SE, IF*........................... 406
2,562 7.00%, 5/15/23, Series 1505, Class
Q................................. 2,488
995 9.18%, 5/15/23, Series 1614, Class
VB, IF*........................... 917
15 892.80%, 5/15/23, Series 204, Class
E, IF, IO*........................ 231
1,392 8.63%, 6/15/23, Series 1608, Class
SD, IF*........................... 1,382
2,929 8.74%, 6/15/23, Series 1633, Class
SB, IF*........................... 2,768
1,500 8.33%, 7/15/23, Series 1543, Class
JC, IF*........................... 1,097
2,019 9.85%, 7/15/23, Series 1541, Class
M, IF*............................ 1,911
2,000 4.53%, 8/15/23, Series 1611, Class
JB, IF*........................... 1,365
1,283 5.99%, 8/15/23, Series 1570, Class
F*................................ 1,271
2,100 6.13%, 8/15/23, Series 1611, Class
JA*............................... 2,169
51 7.00%, 8/15/23, Series 1681, Class
K................................. 51
275 4.98%, 9/15/23, Series 1583, Class
NS, IF*........................... 224
14,878 6.25%, 9/15/23, Series 1589, Class
Z................................. 13,473
2,226 6.00%, 10/15/23, Series 1602, Class
O................................. 2,173
</TABLE>
Continued
59
<PAGE> 62
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 2,225 7.53%, 10/15/23, Series 1689, Class
SD, IF*........................... $ 2,145
5,217 11.66%, 10/15/23, Series 1859, Class
SB, IF, IO*....................... 1,116
3,440 6.00%, 11/25/23, Series 1685, Class
Z................................. 2,959
748 8.50%, 11/15/23, Series 1619, Class
SD, IF*........................... 758
2,039 8.80%, 11/15/23, Series 1619, Class
SC, IF*........................... 1,967
1,628 5.80%, 12/15/23, Series 1825, Class
C................................. 1,575
2,550 6.39%, 12/15/23, Series 1628, Class
S, IF*............................ 1,860
1,279 10.13%, 12/15/23, Series 1633, Class
SE, IF*........................... 1,500
4,305 10.50%, 12/15/23, Series 1854, Class
SE, IF, IO*....................... 901
11,008 0.00%, 2/15/24, Series 1700, Class
GA, PO............................ 8,086
338 7.90%, 2/15/24, Series 1686, Class
SL, IF*........................... 330
1,536 4.91%, 2/15/24, Series 1686, Class
SH, IF*........................... 1,285
2,250 4.76%, 3/15/24, Series 1709, Class
FA*............................... 2,153
4,489 4.91%, 3/15/24, Series 1689, Class
FC*............................... 4,179
3,530 9.78%, 3/15/24, Series 1750, Class
S, IF*............................ 3,459
5,023 2.56%, 4/25/24, Series 29, Class SD,
IF, IO*........................... 174
2,694 5.63%, 4/25/24, Series G-29, Class
FE*............................... 2,681
1,612 10.00%, 5/15/24, Series 1987, Class
SI, IF*........................... 1,624
3,043 7.50%, 8/15/24, Series 1745, Class
D................................. 3,052
3,500 7.50%, 2/15/26, Series 1935, Class
CB................................ 3,534
6,696 6.00%, 5/15/27, Series 1981, Class
Z................................. 5,717
10,500 6.50%, 7/15/27, Series 2137, Class
TG................................ 10,067
7,000 7.50%, 9/15/27, Series 1987, Class
PE................................ 6,989
5,742 7.00%, 10/15/27, Series 1995, Class
EJ, IO............................ 845
26,128 7.00%, 3/15/28, Series 2038, Class
PN, IO............................ 5,714
9,468 7.50%, 5/15/28, Series 2054, Class
PV................................ 9,583
4,000 7.00%, 10/15/28, Series 2089, Class
PJ, IO............................ 1,690
3,700 0.00%, 1/15/29, Series 2113, Class
GA, PO............................ 1,840
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 3,000 6.50%, 6/1/29, Gold Pool #C00785.... $ 2,908
2,500 6.50%, 7/1/29....................... 2,417
----------
298,844
----------
Government National Mortgage Assoc. (7.8%):
251 8.50%, 7/15/08, Pool #023594........ 265
2,000 7.00%, 8/16/13, Series 96-22, Class
VB................................ 2,018
185 9.00%, 12/15/16, Pool #190923....... 198
120 0.00%, 5/20/17, Series 1, Class A... 112
6,315 3.60%, 12/16/20, Series 96-26, Class
S, IF, IO*........................ 167
2,207 9.00%, 11/20/21, Series 96-15, Class
OB................................ 2,247
1,579 8.00%, 9/15/22, Pool #297628........ 1,630
3,249 3.5%, 10/16/22, Series 94-4, Class
SA, IF, IO*....................... 148
1,229 7.50%, 11/15/22, Pool #313110....... 1,248
391 7.50%, 3/15/23, Pool #345288........ 396
8,000 7.49%, 7/16/24, Series 94-3, Class
PQ................................ 8,140
7,000 7.99%, 7/16/24, Series 94-4, Class
KQ................................ 7,419
6,166 8.50%, 5/20/25, Pool #2006.......... 6,419
5,000 7.50%, 9/17/25, Series 98-26, Class
K................................. 5,032
581 8.00%, 12/20/25, Pool #2141......... 594
4,000 7.50%, 4/18/26, Series 97-8, Class
PD................................ 4,064
1,691 8.00%, 6/20/26, Pool #2334.......... 1,728
11,000 7.50%, 8/16/26, Series 96-16, Class
E................................. 11,035
1,365 8.00%, 8/20/26, Pool #2270.......... 1,395
1,549 8.00%, 9/20/26, Pool #2285.......... 1,583
1,746 8.00%, 11/20/26, Pool #2324......... 1,784
12,272 7.50%, 5/16/27, Series 97-8, Class
PN................................ 12,474
6,100 7.50%, 7/20/27, Series 97-11, Class
D................................. 6,202
3,289 8.00%, 10/20/27, Pool #2499......... 3,361
3,164 8.00%, 11/20/27, Pool #2512......... 3,233
2,017 8.00%, 12/20/27, Pool #2525......... 2,061
5,124 7.50%, 2/20/28, Pool #2549.......... 5,160
1,424 8.00%, 5/15/28, Pool #460372........ 1,466
723 8.00%, 5/15/98, Pool #456883........ 744
1,080 8.00%, 5/15/28, Pool #476291........ 1,112
1,753 7.50%, 7/15/28, Pool #481872........ 1,775
1,411 8.00%, 7/15/28, Pool #468066........ 1,453
2,554 8.50%, 8/15/28, Pool #468149........ 2,628
5,332 7.50%, 9/15/28, Pool #486537........ 5,400
</TABLE>
Continued
60
<PAGE> 63
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$12,057 7.50%, 9/20/28, Pool #2646.......... $ 12,143
1,963 8.00%, 9/20/28, Pool #2647.......... 2,006
----------
118,840
----------
Total U.S. Government Agency Mortgages 756,867
----------
U.S. GOVERNMENT AGENCY SECURITIES (0.4%):
Other U.S. Agencies (0.4%):
1,220 Federal Housing Administration,
Merrill Lynch Project, 7.43%,
8/1/20............................ 1,232
1,946 Federal Housing Administration,
Project #07335307, 7.43%,
1/1/22............................ 1,964
2,479 Federal Housing Administration,
Greystone 1996-2, 7.43%,
11/1/22........................... 2,498
----------
Total U.S. Government Agency Securities 5,694
----------
U.S. TREASURY OBLIGATIONS (30.8%):
U.S. Treasury Bonds (21.9%):
1,000 10.75%, 5/15/03 (b)................. 1,170
3,500 11.13%, 8/15/03 (b)................. 4,173
5,000 11.63%, 11/15/04 (b)................ 6,300
16,330 10.38%, 11/15/09 (b)................ 19,504
800 11.75%, 2/15/10 (b)................. 1,013
159,270 12.75%, 11/15/10 (b)................ 214,666
47,315 10.38%, 11/15/12 (b)................ 60,238
1,300 12.50%, 8/15/14 (b)................. 1,913
1,000 9.88%, 11/15/15 (b)................. 1,362
7,395 7.50%, 11/15/16 (b)................. 8,315
9,945 8.75%, 5/15/17 (b).................. 12,518
2,500 7.88%, 2/15/21 (b).................. 2,962
----------
334,134
----------
U.S. Treasury Inflation Protected Bonds (2.6%):
10,645 3.63%, 7/15/02 (b).................. 10,545
7,236 3.38%, 1/15/07 (b).................. 6,942
4,114 3.63%, 1/15/08...................... 3,997
18,543 3.63%, 4/15/28 (b).................. 17,518
----------
39,002
----------
U.S. Treasury Notes (0.5%):
6,800 7.50%, 11/15/01 (b)................. 7,085
1,250 5.75%, 8/15/03 (b).................. 1,250
----------
8,335
----------
U.S. Treasury STRIPS (5.8%):
2,450 2/15/01............................. 2,243
12,025 2/15/11 (b)......................... 5,874
9,338 5/15/11............................. 4,487
8,900 11/15/11 (b)........................ 4,136
9,555 2/15/12 (b)......................... 4,367
14,200 2/15/13 (b)......................... 6,067
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS, continued:
$10,594 5/15/13............................. $ 4,457
3,500 8/15/13............................. 1,445
40,000 2/15/14 (b)......................... 15,966
2,000 11/15/14............................ 1,052
2,000 2/15/15............................. 746
10,420 5/15/17 (b)......................... 3,374
33,315 8/15/17 (b)......................... 10,636
26,820 5/15/18 (b)......................... 8,168
49,840 11/15/18 (b)........................ 14,708
----------
87,726
----------
Total U.S. Treasury Obligations 469,197
----------
INVESTMENT COMPANIES (4.0%):
60,269 One Group Prime Money Market Fund,
Class I........................... 60,269
----------
Total Investment Companies 60,269
----------
REPURCHASE AGREEMENTS (2.5%):
38,000 State Street, 4.90%, 7/1/99,
(Collateralized by $38,255 various
U.S. Government Securities, 5.56%
- 5.65%, 4/28/00 - 8/24/00, market
value $38,765).................... 38,000
----------
Total Repurchase Agreements 38,000
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (19.4%):
Master Notes (1.6%):
7,565 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 7,565
7,565 Merrill Lynch, 6.20%, 7/1/99*....... 7,565
4,085 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 4,085
2,723 PHH CFC Leasing, 5.10%, 8/11/99*.... 2,723
3,177 Williamette Industries, Inc., 5.07%,
9/14/99*.......................... 3,177
----------
25,115
----------
Put Bonds (10.5%):
15,128 Amex Centurion, 5.10%, 5/5/00*...... 15,128
7,565 Bear Stearns, 6.23%, 1/7/00*........ 7,565
7,565 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 7,559
6,052 Caterpillar Finance, 5.20%,
5/1/01*........................... 6,052
7,565 Chase Manhattan, 5.17%, 5/4/01*..... 7,565
7,565 Chase Manhattan, 5.26%, 5/6/02*..... 7,565
7,565 Fleet National Bank, 5.07%,
4/18/00*.......................... 7,565
7,565 Ford Motor Credit, 5.14%,
11/27/00*......................... 7,643
7,565 GMAC, 5.23%, 4/30/01*............... 7,565
7,565 GMAC, 5.22%, 5/3/01*................ 7,565
</TABLE>
Continued
61
<PAGE> 64
- --------------------------------------------------------------------------------
One Group Mutual Funds
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>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 4,539 Greenwich Capital Markets, 5.41%,
7/9/01*........................... $ 4,539
7,565 J.P. Morgan & Co., 5.16%, 5/4/01*... 7,565
7,565 J.P. Morgan & Co., 5.10%, 5/4/00*... 7,565
10,590 Jackson National, 6.37%, 5/15/00*... 10,590
10,589 Liberty Lighthouse, 5.15%,
5/5/00*........................... 10,589
7,565 Merrill Lynch, 5.31%, 5/6/02*....... 7,565
7,565 Salomon Smith Barney, 5.38%,
4/12/01*.......................... 7,565
7,565 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 7,565
13,615 SPARCC, 5.38%, 3/24/00*............. 13,615
----------
158,930
----------
Repurchase Agreements (7.3%):
22,694 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $24,068 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$23,951).......................... 22,694
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$13,711 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $14,398 various
Commercial Papers 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$14,398).......................... $ 13,711
45,388 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $47,768 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$47,658).......................... 45,388
30,258 Paine Webber, 6.00%, 7/1/99,
(Collateralized by $32,181 various
Corporate Bonds, 6.00% - 9.45%,
6/15/00 - 11/15/46, market value
$31,771).......................... 30,258
----------
112,051
----------
Total Short-Term Securities Held as Collateral 296,096
----------
Total (Cost $1,807,375) (a) $1,820,178
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,524,852.
(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 $4,495. 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...................... $32,598
Unrealized depreciation...................... (24,290)
-------
Net unrealized appreciation.................. $ 8,308
=======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1999.
(c) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Collateralized Mortgage Obligations (CMO) are debt securities issued by U.S.
government agencies, or by financial institutions and other mortgage
lenders, which are collateralized by a pool of mortgages held under an
indenture.
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Interest Only (IO) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not be
fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the underlying pool of
mortgage instruments. As a result, interest income may be reduced
considerably.
Continued
62
<PAGE> 65
- --------------------------------------------------------------------------------
One Group Mutual Funds
Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
High Coupon Bonds (HB) (a.k.a "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IOs the owner also has a right
to receive a very small portion of principal. The high interest rate results
from taking interest payments from other classes in the REMIC trust and
allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
* The interest rate for these bonds changes periodically based on an
underlying benchmark (ie PRIME, LIBOR, etc). The rate reflected in the
Schedule of Portfolio Investments is the rate in effect as of June 30, 1999.
See notes to financial statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
ASSET BACKED SECURITIES (11.4%):
Banking, Finance & Insurance (9.0%):
$ 1,054 Advanta Mortgage Loan Trust, Series
95-1, Class A5, 8.32%, 12/25/19... $ 1,057
5,000 Advanta Mortgage Loan Trust, 7.60%,
6/25/27........................... 5,105
957 Arcadia Automobile Receivables
Trust, Series 97-B, Class A3,
6.30%, 7/16/01.................... 958
7,000 Arcadia Automobile Receivables
Trust, Series 97-C Class A4,
6.38%, 1/15/03.................... 7,054
2,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03................... 1,991
1,300 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................... 1,302
5,000 Arcadia Automobile Receivables,
8.15%, 8/1/09..................... 4,975
1,010 Auto Finance Group, Inc., Series
97-B, Class C, 7.00%, 2/15/03..... 1,017
2,000 BA Mortgage Securities, Inc., Series
98-2, Class 1A10, 6.60%, 6/25/28.. 1,990
9,500 Case Equipment Loan Trust, Series
97-B, Class A4, 6.41%, 9/15/04.... 9,560
2,500 Chemical Master Credit Card Trust,
Series 95-3, Class A, 6.23%,
8/15/02........................... 2,500
285 Chevy Chase Auto Receivables Trust,
Series 95-2, Class A, 5.80%,
6/15/02........................... 285
670 Chevy Chase Auto Receivables Trust,
Series 97-3 Class A, 6.20%,
3/20/04........................... 673
497 Chevy Chase Auto Receivables Trust,
Series 97-4, Class A, 6.25%,
6/15/04........................... 499
1,528 Chevy Chase Auto Receivables Trust,
Series 98-2, Class A, 5.91%,
4/15/00........................... 1,527
2,014 Citicorp Mortgage Securities, Inc.,
Series 94-9, Class A3, 5.75%,
6/25/09........................... 2,004
74 Collateralized Mortgage Securities
Corp., Series 88-2, Class 2-B,
8.80%, 4/20/19.................... 78
1,000 CPS Auto Receivables Trust, Series
98-3, Class A4, 6.08%, 10/15/03... 1,003
1,640 Discover Card Master Trust 1, Series
98-2, Class A, 5.80%, 9/16/03..... 1,637
272 EQCC Home Equity Loan Trust, Series
94-3, Class A3, 7.85%, 8/15/07.... 273
600 EQCC Home Equity Loan Trust, Series
96-2, Class A4, 7.50%, 6/15/21.... 615
1,034 EQCC Home Equity Loan Trust, Series
97-1, Class A7, 7.12%, 5/15/28.... 1,053
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 EQCC Home Loan Trust, Series 1998-2,
Class A3I, 6.23%, 3/15/13......... $ 4,996
371 First Security, Series 98A, Class A,
5.97%, 4/15/04.................... 372
383 First Security Auto Grantor Trust,
Series 97-B, Class A, 6.10%,
4/15/03........................... 385
1,900 Ford Credit Auto, Series 98-C, Class
A4, 5.81%, 3/15/02................ 1,903
6 Greentree Financial Corp., Series
94-B1, Class A1, 7.15%, 7/15/14... 6
789 Greentree Financial Corp., Series
97-C, Class A1, 6.49%, 2/15/18.... 793
5,000 Greentree Financial Corp., Series
93-2, Class B, 8.00%, 7/15/18..... 4,780
3,050 John Deere, Series 99-A, Class A3,
5.94% 10/15/02.................... 3,048
1,515 Key Auto Finance Trust, Series 97-1,
Class A2, 6.05%, 9/15/03.......... 1,519
264 Kidder Peabody Mortgage Assets
Trust, Class 22-D, 9.95%,
2/1/19............................ 266
3,000 MBNA, Series 98-C, 6.35%,
11/15/05.......................... 2,919
1,655 MBNA Master Credit Card Trust,
Series 94-C, Class A, 5.81%,
3/15/04........................... 1,660
669 Merrill Lynch Trust, Series 43,
Class E, 6.50%, 8/27/15........... 669
1,386 Olympic Automobile Receivables
Trust, 6.85%, 6/15/01............. 1,388
229 Olympic Automobile Receivables
Trust, Series 95-A, Class A,
7.88%, 7/15/01.................... 230
2,166 Olympic Automobile Receivables
Trust, Series 95-D, Class A5,
6.15%, 7/15/01.................... 2,172
1,974 Olympic Automobile Receivables
Trust, Series 1995-B Class A2,
7.35%, 10/15/01................... 1,977
264 Olympic Automobile Receivables
Trust, Series 95-C, Class A2,
6.20%, 1/15/02.................... 265
3,000 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................... 3,047
1,120 Onyx Acceptance Auto Trust, Series
99 A 2, 5.83%, 3/15/04............ 1,108
800 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03........................... 793
</TABLE>
Continued
64
<PAGE> 67
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 206 Onyx Acceptance Grantor Trust,
Series 97-2, Class A, 6.35%,
10/15/03.......................... $ 207
5,093 Onyx Acceptance Grantor Trust, Auto
Loan Pass Thru Certificates,
Series 97-4, Class A, 6.30%,
5/15/04........................... 5,128
382 PNC Student Loan Trust, Series 97-2,
Class A6, 6.57%, 1/25/04.......... 383
10,000 Premier Auto Trust, Series 97-2,
Class A5, 6.32%, 3/6/02........... 10,067
1,200 Premier Auto Trust, Series 98-2,
Class A4, 5.82%, 12/6/02.......... 1,192
7,500 Premier Auto Trust, Series 99-3,
Class A3, 6.27%, 4/8/03........... 7,525
1,355 Residential Funding Corp, 7.55%,
9/25/12........................... 1,356
8,000 Sears Credit Account Master Trust,
Series 98-1A, 5.80%, 8/15/05...... 7,978
2,350 Sears Credit Account Master Trust,
Series 96-1, Class A, 6.20%,
2/16/06........................... 2,360
2,000 Security Pacific Acceptance Corp.,
Series 95-1, Class A3, 7.25%,
4/10/20........................... 2,040
600 Standard Credit Card Master Trust,
Series 94-2, Class A, 7.25%,
4/7/08............................ 621
8,000 Student Loan Marketing Assoc.,
Series 99-1, Class A1T, 0.00%,
4/25/08........................... 8,000
32 The Money Store Home Equity Trust,
Series 96-B, Class A-5, 7.18%,
12/15/14.......................... 32
600 The Money Store Home Equity Trust,
Series 96-C, Class A13, 7.54%,
8/15/15........................... 615
900 Toyota Auto Lease Trust, Series
97-A, Class A1, 6.20%, 4/26/04.... 904
3,000 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/8/02........... 3,009
1,000 Union Acceptance Corp., Series 98-A,
Class A4, 6.11%, 10/8/03.......... 1,000
806 Western Financial Grantor Trust,
Series 95-5, Class A1, 5.88%,
3/1/02............................ 808
312 WFS Financial Owner Trust, Series
97-A, Class A3, 6.50%, 9/20/01.... 313
1,166 WFS Financial Owner Trust, Series
95-4, Class A1, 6.20%, 2/1/02..... 1,170
662 WFS Financial Owner Trust, Series
97-D, Class A3, 6.25%, 3/20/02.... 664
3,350 WFS Financial Owner Trust, Series
98-A, Class A3, 5.90%, 5/20/02.... 3,359
3,800 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03.... 3,790
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 3,116 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%, 12/20/03... $ 3,136
504 WFS Financial Owner Trust, Series
96-A, Class A4, 6.15%, 6/1/01..... 506
271 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A1,
6.07%, 11/25/03................... 271
----------
147,886
----------
Transportation & Shipping (1.2%):
4,772 Federal Express, 7.85%, 6/1/08...... 4,838
10,671 Northwest Air Series 2, Class A,
9.25%, 6/21/14.................... 11,339
----------
16,177
----------
Yankee & Eurodollar (0.7%):
9,500 Grand Metro Investment Corp., 7.45%,
4/15/35........................... 9,909
----------
Total Asset Backed Securities 173,972
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.6%):
1,357 Case Equipment Loan Trust, Series
97-A, Class A3, 6.45%, 3/15/04.... 1,367
1,674 General Electric Mortgage Services,
Inc., Series 96-12 Class A4,
7.25%, 7/25/11.................... 1,684
5,000 Greentree Home Improvement Loan
Trust, Series 95-D, 6.95%,
9/15/25........................... 5,036
5,000 Merrill Lynch CBO, Series 96dm1,
7.87%, 12/17/06................... 4,618
470 Morgan Stanley Mortgage Trust Series
L, Class L-5, 8.95%, 11/1/17...... 479
307 Paine Webber Trust, Series H. Class
4, 8.75%, 4/1/18.................. 319
92 Paine Webber Trust, Series J, Class
3, 8.80%, 5/1/18.................. 95
312 Paine Webber Trust, Series L, Class
L-4, 8.95%, 7/1/18................ 324
942 Prudential Home Mortgage Securities,
Series 94-15, Class A7, 6.80%,
5/25/24........................... 945
----------
Total Collateralized Mortgage Obligations 14,867
----------
COMMERCIAL PAPER (2.4%):
Automotive (1.2%):
16,506 Ford Motor, 4.98%, 7/19/99.......... 16,506
----------
</TABLE>
Continued
65
<PAGE> 68
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
COMMERCIAL PAPER, CONTINUED:
Financial Services (1.2%):
$16,506 General Electric Corp., 4.95%,
7/19/99........................... $ 16,506
----------
Total Commercial Paper 33,012
----------
CORPORATE BONDS (34.5%):
Automotive (1.3%):
3,500 Ford Capital BV, 10.13%, 11/15/00... 3,683
1,500 Ford Motor Credit Corp., 6.38%,
10/6/00........................... 1,506
2,000 Harley-Davidson Eaglemark Motorcycle
Trust, Series 97-3, 6.60%,
4/15/04........................... 1,962
----------
7,151
----------
Banking, Finance & Insurance (17.6%):
4,800 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05 (b)....................... 4,862
2,000 AETNA Services, Inc., 7.50%, 1/15/07
(b)............................... 1,784
250 AETNA Services, Inc., 7.50%, 1/15/07
(b)............................... 246
5,000 American Express Credit Corp.,
6.13%, 11/15/01................... 4,973
500 American General Finance Corp.,
7.13%, 12/1/99.................... 503
5,160 American RE Corp., Series B, 7.45%,
12/15/26.......................... 5,315
500 Associates Corp., 7.40%, 7/7/99..... 500
900 Associates Corp., 6.75%, 10/15/99... 903
9,000 Associates Corp., 8.34%, 11/25/99... 9,088
860 Associates Corp., 5.25%, 3/30/00.... 856
1,750 Associates Corp., 9.13%, 4/1/00..... 1,788
500 Associates Corp., 6.88%, 2/17/03.... 505
1,500 Associates Corp., 7.70%, 6/10/04.... 1,562
150 Associates Corp., 7.63%, 4/27/05.... 155
1,000 Associates Corp., 6.63%, 6/15/05.... 994
1,000 Associates Corp., 6.25%, 11/1/08.... 951
6,000 Associates Corp., 7.70%, 6/10/04.... 6,477
500 Associates Corp., Series B, 7.95%,
2/15/10........................... 532
2,000 Avalon Properties, 7.38%, 9/15/02... 2,006
1,331 BankAmerica Corp., 9.38%, 3/1/01.... 1,394
5,000 BankAmerica Corp., 9.50%, 4/1/01.... 5,258
1,350 BankAmerica Corp., 6.85%, 3/1/03.... 1,358
4,000 BankBoston, 6.35%, 2/25/13.......... 3,848
250 Bankers Trust New York, 7.25%,
10/15/11.......................... 242
5,000 Bear Stearns Corp., Inc., 8.25%,
2/1/02............................ 5,181
1,967 BHN, Series 97-1, Class A2, 7.92%,
7/25/09........................... 1,662
2,283 BHN, Series 97-2, Class A2, 7.54%,
5/31/17........................... 1,861
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 Citigroup Holdings, 6.50%,
6/14/02........................... $ 4,999
5,000 Citigroup, Inc., 6.25%, 12/1/05..... 4,861
1,500 Commercial Credit, 7.75%, 3/1/05.... 1,565
6,500 Corestates Capital, 8.00%, 12/15/26
(b)............................... 6,598
400 Donaldson Lufkin & Jenrette, 5.63%,
2/15/16........................... 400
1,000 Donaldson Lufkin, Senior Note,
6.50%, 6/1/08..................... 947
2,000 Fleet/Norstar Group, 8.13%,
7/1/04............................ 2,117
875 Ford Holdings, Inc., 9.25%,
3/1/00............................ 893
694 Ford Motor Credit Co., 9.50%,
4/15/00........................... 712
1,500 Ford Motor Credit Co., 6.38%,
4/15/00........................... 1,505
1,175 Ford Motor Credit Co., 6.90%,
6/5/00............................ 1,184
1,050 Ford Motor Credit Co., 5.99%,
2/27/01........................... 1,047
724 Ford Motor Credit Co., 7.75%,
3/15/05........................... 758
250 Ford Motor Credit Co., 6.25%,
12/8/05........................... 242
6,865 General Electric Capital Corp,
5.65%, 3/31/03.................... 6,707
500 General Electric Capital Corp.,
5.70%, 10/7/03.................... 487
3,500 General Electric Capital Corp.,
8.85%, 4/1/05..................... 3,861
3,000 General Motors Acceptance Corp.,
8.40%, 10/15/94................... 3,020
8,000 General Motors Acceptance Corp.,
7.00%, 3/1/00..................... 8,042
300 General Motors Acceptance Corp.,
Note, 9.38%, 4/1/00............... 304
900 General Motors Acceptance Corp.,
Debenture, 9.63%, 12/15/01........ 966
2,000 General Motors Acceptance Corp.,
Note, 7.13%, 5/1/03............... 2,018
3,710 Goldman Sachs, 5.90%, 1/15/03....... 3,619
5,000 Greentree Financial Corp., Series
980-C, Class A3, 5.92%, 2/15/09... 5,007
4,224 Greentree Financial Corp., 8.60%,
5/15/26........................... 4,279
5,000 Greentree Financial Corp., 7.05%,
2/15/27........................... 4,904
5,000 Household Finance Corp., 7.25%,
7/15/03........................... 5,081
1,000 Household Finance Corp., 7.25%,
5/15/06........................... 1,002
1,000 Household Finance Corp., 6.50%,
11/15/08.......................... 951
7,200 Household Finance Corp., 5.88%,
2/1/09............................ 6,546
</TABLE>
Continued
66
<PAGE> 69
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 Key Bank, Series 97-1, Class A1,
7.55%, 9/15/06.................... $ 5,109
10,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02..................... 10,463
5,000 Lehman Brothers Holdings, Inc.,
11.63%, 5/15/05................... 5,980
5,000 Lehman Brothers Holdings, Inc.,
8.80%, 3/1/15..................... 5,406
295 Lehman Brothers Holdings, Inc.,
8.50%, 8/1/15..................... 307
5,000 Manufacturer's Life, 8.38%,
2/1/27............................ 4,733
6,000 Massachusetts Mutual Life Insurance,
7.50%, 3/1/24..................... 6,111
500 Mellon Financial Corp., 6.38%,
2/15/10........................... 474
6,000 Morgan Stanley Dean Witter and Co.,
6.13%, 10/1/03.................... 5,910
500 NationsBank Corp, 7.80%, 9/15/16.... 519
1,500 Norwest Corp., 7.75%, 3/1/02........ 1,552
600 Pitney Bowes Credit Corp., 9.25%,
6/15/08........................... 697
5,000 Principal Mutual, 7.88%, 3/1/24..... 4,877
5,000 Republic New York Corp., 7.25%,
7/15/02........................... 5,103
5,000 Spieker Properties, Inc., 6.65%,
12/15/00.......................... 4,992
5,000 Sun Life Capital Trust, 8.53%,
5/29/49........................... 5,006
419 SunAmerica, Inc., 8.13%, 4/28/23.... 471
3,000 Team Fleet, 6.53%, 7/25/02.......... 2,932
400 Torchmark Corp., 7.88% 5/15/23...... 397
10,000 Transamerica Financial, 6.37%,
5/14/04........................... 9,834
1,200 Western Financial Service Owner
Trust, 5.95%, 5/20/03............. 1,200
7,000 Western Financial Service Owner
Trust, 5.75%, 8/20/03............. 6,924
----------
238,423
----------
Beverages & Tobacco (0.0%):
500 Coca-Cola Enterprises, 7.13%,
8/1/17............................ 492
400 Coca-Cola Enterprises, 6.95%,
11/15/26.......................... 381
----------
873
----------
Electric Utility (0.8%):
300 Commonwealth Edison, 8.38%,
9/15/22........................... 303
500 Florida Power Corp., 8.00%,
12/1/22........................... 508
200 Minnesota Power and Light Co.,
7.50%, 8/1/07..................... 202
5,000 Ohio Edison, 8.25%, 4/1/02.......... 5,198
250 Pacificorp, Series F, 7.24%,
8/16/23........................... 244
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Electric Utility, continued:
$ 250 Texas Utilities, 7.88%, 3/1/23...... $ 247
5,000 United Utilities, 6.25%, 8/15/05.... 4,780
----------
11,482
----------
Electrical & Electronic (0.5%):
1,500 Cablevision, 7.25%, 7/15/08......... 1,433
650 IBM, 7.00%, 10/30/25................ 645
4,600 Penn Electric, 6.63%, 4/1/19........ 4,288
----------
6,366
----------
Equipment Trust Certificate (0.4%):
4,446 Northwest Air Trust, 10.23%,
6/21/14, Series B................. 4,854
----------
Health Care (0.2%):
3,500 Cardinal Health, 6.25%, 7/15/08..... 3,301
----------
Industrial Goods & Services (7.7%):
1,500 Advanced Micro Device, Inc., 11.00%,
8/1/03 (b)........................ 1,515
3,000 Beckman Instruments, 7.05%,
6/1/26............................ 2,880
3,000 Boise Cascade Co., 9.45%, 11/1/09... 3,309
400 Brunswick Corp., 7.38%, 9/1/23...... 375
9,750 Case Corp., 6.25%, 12/1/03.......... 9,499
4,000 Comcast Cable, 8.38%, 5/1/07........ 4,277
2,260 Conoco, Inc. 144A, 6.35%, 4/15/09
(b)............................... 2,169
1,500 D.R. Horton, Inc., 6.50%, 4/1/08.... 1,485
500 D.R. Horton, Inc., 6.50%, 4/1/08.... 474
250 Eastman Chemical, 7.60%, 2/1/27..... 245
2,500 Fred Meyer, Inc., 7.38%, 3/1/05..... 2,536
5,000 General Motors Corp., 9.13%,
7/15/01........................... 5,250
750 General Motors Corp., 8.80%,
3/1/21............................ 879
3,000 Golden State Petroleum, 8.04%,
2/1/19............................ 2,831
2,500 Hertz Corp., Senior Note, 6.63%,
5/15/08........................... 2,417
5,000 Hilton Hotels Corp., 7.95%, 4/15/07
(b)............................... 5,063
300 Ingersoll Rand Corp., 7.20%,
6/1/25............................ 291
300 Loews Corp., 7.63%, 6/1/23.......... 290
400 Loral Corp., 7.00% 9/15/23.......... 374
5,000 Motorola, Inc., 6.50%, 11/15/28
(b)............................... 4,462
5,000 Newell Co., 6.35%, 7/15/08.......... 4,813
4,435 Newmont Gold Co., 8.91%, 1/5/09..... 4,740
1,500 Nine West Group, Inc., 8.38%,
8/15/05........................... 1,553
2,500 Northrop-Grumman Co., 7.00%,
3/1/06............................ 2,435
7,000 NRG Energy Corp., 7.63%, 2/1/06..... 7,030
4,407 Oslo Seismic Service, 8.28%,
6/1/11............................ 4,522
2,500 Owens-Illinois, Inc., 7.15%,
5/15/05........................... 2,387
9,000 Penske Truck Leasing, 8.25%,
11/1/99........................... 9,069
</TABLE>
Continued
67
<PAGE> 70
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 250 Phillip Morris Co., Inc., 7.20%,
2/1/07............................ $ 250
500 Sears Roebuck Acceptance Corp.,
6.88%, 10/15/17................... 472
5,000 Tele-Communications, Inc., 7.38%,
2/15/00........................... 5,042
1,500 Terra Industries, 10.50%, 6/15/05... 1,448
500 Weyerhauser Co., 7.50%, 3/1/13...... 509
2,500 Williams Cos, Inc., 6.13%,
2/15/02........................... 2,461
1,000 Wyman-Gordon Co., 8.00%, 12/15/07... 1,078
6,000 Xerox Corp., 6.25%, 11/15/26........ 5,876
2,275 Yanacocha, 8.40% , 6/15/04.......... 2,067
----------
106,373
----------
Leasing (0.4%):
5,000 Hertz Corp., 6.50%, 5/15/06......... 4,846
----------
Real Estate (1.0%):
5,000 Security Capital Pacific Trust,
6.95%, 10/15/02................... 4,868
5,000 Security Pacific Corp., 11.00%,
3/1/01............................ 5,331
3,000 Wellsford Residential Property,
7.25%, 8/15/00.................... 3,010
----------
13,209
----------
Telecommunications (1.5%):
250 AT&T Corp., 8.63%, 12/31/01......... 270
4,000 Bell Telephone Co., Pennsylvania,
8.35%, 12/15/30................... 4,496
1,000 Bellsouth Telecommunications, 6.00%,
6/15/02........................... 997
400 GTE Corp., 7.90%, 2/1/27............ 402
400 MCI Communications Corp., 8.25%,
1/20/23........................... 402
5,000 New York Telephone, 5.63%,
11/1/03........................... 4,865
500 New York Telephone, 6.13%,
1/15/10........................... 477
5,000 Pacific Bell, 6.88%, 8/15/06........ 5,032
270 United Telephones of Florida, 8.38%,
1/15/25........................... 296
4,000 Worldcom, Inc., 6.13%, 8/15/01...... 3,982
----------
21,219
----------
Transportation & Shipping (0.4%):
5,000 Union Pacific Co., 9.63%,
12/15/02.......................... 5,453
----------
Trucking & Leasing (0.4%):
5,000 Enterprise Rent-A-Car, 6.38%,
5/15/03........................... 4,897
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Utilities (0.6%):
$ 5,000 Baltimore Gas & Electric Co.
Mortgage, 6.50%, 2/15/03.......... $ 5,006
2,290 National Rural Utilities Cooperative
Financial Corp., 6.75%, 9/1/01.... 2,308
1,295 Salton Sea Funding Corp., 6.69%,
5/30/00........................... 1,293
----------
8,607
----------
Yankee & Eurodollar (1.7%):
1,120 African Development Bank, 9.30%,
7/1/00............................ 1,156
280 Canadian Pacific Ltd., 9.45%,
8/1/21............................ 326
1,000 Kingdom of Belgium Put Euro, 9.20%,
6/28/10........................... 1,180
4,250 Ras Laffan Gas, 7.63%, 9/15/06
(c)............................... 4,080
5,000 Royal Caribbean Cruises, 6.75%,
3/15/08........................... 4,711
5,000 Scotland International Finance,
8.80%, 1/27/04.................... 5,389
7,000 Scotland International Finance,
7.00%, 11/29/49................... 6,692
----------
23,534
----------
Total Corporate Bonds 460,588
----------
FOREIGN BONDS (0.3%):
Health Care (0.1%):
1,500 Tenet Healthcare Corp, 8.00%,
1/15/05........................... 1,478
----------
Natural Gas Utility (0.1%):
1,500 Pride Petroleum Services, Inc.,
9.38%, 5/1/07 (b)................. 1,493
----------
Telecommunications (0.1%):
1,500 Comcast Cellular Holdings, Inc.,
Senior Note, Series B, 9.50%,
5/1/07............................ 1,685
----------
Total Foreign Bonds 4,656
----------
PRIVATE PLACEMENT (1.9%):
Banking, Finance & Insurance (0.3%):
3,650 Bombardier Capital, 6.00%,
1/15/02........................... 3,592
----------
Industrial Goods & Services (0.7%):
5,000 Avon Products, Inc., 6.25%,
5/1/03............................ 4,942
5,000 Waste Management, 6.88%, 5/15/09.... 4,882
----------
9,824
----------
Manufacturing -- Capital Goods (0.4%):
5,000 World Omni, 6.48%, 12/12/08......... 4,830
----------
Yankee & Eurodollar (0.5%):
8,055 Societe Generale Estate LLC, 7.64%,
9/30/07........................... 7,479
----------
Total Private Placement 25,725
----------
</TABLE>
Continued
68
<PAGE> 71
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
U.S. GOVERNMENT AGENCY (1.0%):
US Government Agency (1.0%):
$ 1,230 Government Trust Certificate,
Israel, 9.40%, 5/15/02............ $ 1,281
700 Student Loan Mortgage Association,
7.20%, 6/17/02.................... 720
3,200 Tennessee Valley Authority, 8.63%,
11/15/29.......................... 3,313
----------
Total U.S. Government Agency 5,314
----------
U.S. GOVERNMENT AGENCY MORTGAGES (22.2%):
Fannie Mae (5.9%):
10,000 5.63%, 3/15/01 (b).................. 9,982
49 8.00%, 11/1/02, Pool #076220........ 50
3,196 7.00%, 4/1/03....................... 3,227
205 6.90%, 12/25/03, Series 93-70, Class
D................................. 207
330 6.00%, 12/25/06, Series 93-212,
Class PB.......................... 328
305 6.00%, 5/25/07, Series 93-209, Class
G................................. 303
725 7.50%, 9/25/07, Series 92-135, Class
LC................................ 740
490 6.50%, 5/25/08, Series 93-55, Class
K................................. 489
2,000 6.50%, 9/25/08, Series 99-19, Class
LA................................ 2,006
746 5.64%, 9/25/08, Series 93-175, Class
FE................................ 733
615 6.00%, 12/25/08, Series 93-231,
Class M........................... 602
1,000 7.15%, 10/17/09, Series 97-M1, Class
B................................. 1,014
300 6.50%, 3/25/13, Series 93-140, Class
H................................. 298
8,686 6.50%, 5/1/13, Pool #251700......... 8,581
14,658 6.00%, 1/1/14, Pool #440777......... 14,180
626 12.50%, 1/1/16, Pool #303306........ 711
2,000 8.20%, 3/10/16 (b).................. 2,333
130 5.70%, 6/25/17, Series X-225C, Class
PD................................ 130
2,000 6.50%, 12/18/17, Series 98-17, Class
TB................................ 2,007
349 9.30%, 5/25/18, Series 88-13, Class
13-C.............................. 367
55 6.50%, 7/25/18, Series 93-8, Class
PG................................ 55
739 5.50%, 2/25/19, Series 94-15, Class
E................................. 736
84 5.00%, 5/25/19, Series 93-19, Class
G................................. 84
297 6.50%, 12/18/17, Series 98-17, Class
TB................................ 331
439 8.80%, 1/25/20, Series 90-1, Class
D................................. 460
280 6.00%, 2/25/20, Series 94-36, Class
G................................. 277
469 9.50%, 5/15/20, Series 38, Class
38-D.............................. 494
346 8.75%, 9/25/20, Series 90-110, Class
H................................. 359
251 8.95%, 10/25/20, Series 90-117,
Class E........................... 264
311 6.00%, 10/25/20, Series 94-40, Class
H................................. 308
441 8.50%, 9/25/21, Series G-29, Class
O................................. 457
2,503 7.00%, 1/25/22, Series G92-15, Class
Z................................. 2,500
1,083 9.00%, 6/25/22, Series 92-79, Class
Z................................. 1,186
566 7.00%, 6/25/22, Series G92-30, Class
Z................................. 566
1,673 9.61%, 2/25/23, Series 1998-35,
Class SV*......................... 1,509
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 168 7.50%, 3/25/23, Series 93-23, Class
PZ................................ $ 167
1,638 6.50%, 4/25/23, Series 93-160, Class
AJ................................ 1,614
482 7.00%, 5/25/23, Series 93-56, Class
PZ................................ 478
2,000 0.00%, 6/25/23, Series 93-257, Class
C................................. 1,193
655 6.50%, 7/25/23, Series 96-59, Class
K................................. 632
3,500 7.00%, 7/18/24, Series 97-12, Class
G................................. 3,514
5,139 7.50%, 9/1/25, Pool #324179......... 5,212
271 7.50%, 10/1/26, Pool #365997........ 274
262 7.50%, 2/1/27, Pool #250854......... 266
975 7.50%, 4/18/27, Series 97-27, Class
J................................. 994
351 7.00%, 3/1/28, Pool #251569......... 348
9,062 6.50%, 4/1/28, Pool #420165......... 8,783
----------
81,349
----------
Federal Home Loan Bank (0.3%):
2,600 5.59%, 1/13/03...................... 2,563
1,500 5.09%, 10/7/08...................... 1,356
----------
3,919
----------
Freddie Mac (12.3%):
5,000 7.13%, 7/21/99...................... 5,005
18,000 0.00%, 8/15/02 (b).................. 14,993
70 7.25%, 1/1/05, Pool #184093......... 70
100 6.75%, 12/15/05, Series 1507, Class
LC................................ 101
615 6.00%, 5/15/07, Series 1490, Class
PJ................................ 615
2,000 6.25%, 9/15/07, Series 1701, Class
PG................................ 1,999
129 8.75%, 4/1/08, Pool #160043......... 137
1,631 0.00%, 5/15/08, Series 89 Class L... 1,342
129 8.00%, 8/1/08, Pool #180531......... 133
109 8.25%, 9/1/08, Pool #186743......... 112
1,500 6.00%, 1/15/09, Series 1667, Class
B................................. 1,428
2,777 7.00%, 6/1/09, Pool #E00313......... 2,797
158 8.00%, 8/1/09, Pool #256159......... 162
4,344 7.50%, 5/1/11, Pool #E00438......... 4,423
4,905 7.00%, 5/1/11, Pool #E00434......... 4,938
4,379 7.00%, 6/1/11, Pool #E64220......... 4,408
2,353 6.38%, 8/15/11, Series 1995, Class
EM................................ 2,358
1,000 7.00%, 2/15/13, Series 1942, Class
VD................................ 986
115 6.50%, 8/15/13, Series 1556, Class
H................................. 111
33,250 6.50%, 6/1/14....................... 32,844
147 12.00%, 8/1/15, Pool #170269........ 162
54 7.50%, 11/1/16, Pool #280421........ 54
34 7.50%, 2/1/17, Pool #285128......... 35
20 7.50%, 3/1/17, Pool #290818......... 21
</TABLE>
Continued
69
<PAGE> 72
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 14 7.50%, 6/1/17, Pool #294569......... $ 14
228 6.00%, 7/15/18, Series 1394, Class
F................................. 228
345 5.50%, 1/15/19, Series 1590, Class
FA................................ 339
1,800 5.50%, 11/25/23, Series 24, Class
G................................. 1,764
174 12.00%, 7/1/19, Pool #555238........ 191
1,000 9.50%, 7/15/19, Series 11, Class
D................................. 1,060
1,150 6.00%, 12/15/19, Series 1666, Class
E................................. 1,144
735 6.00%, 6/15/20, Series 1614, Class
H................................. 731
543 9.20%, 10/15/20, Series 84, Class
F................................. 572
319 8.13%, 11/15/20, Series 81, Class
A................................. 326
500 9.10%, 1/15/21, Series 109, Class
I................................. 520
287 8.50%, 1/15/21, Series 1087, Class
H................................. 289
121 8.50%, 3/15/21, Series 131, Class
D................................. 122
289 6.50%, 12/15/21, Series 1552, Class
GB................................ 285
250 6.25%, 3/15/22, Series 1671, Class
F................................. 249
3,635 8.00%, 6/15/22, Series 1316, Class
Z................................. 3,757
1,000 7.50%, 8/15/22, Series 1721, Class
G................................. 1,022
130 8.50%, 9/15/22, Series 198, Class
Z................................. 134
255 7.00%, 10/15/22, Series 1547, Class
PK................................ 257
1,700 6.75%, 11/15/22, Series 1552, Class
H................................. 1,682
733 6.50%, 11/15/22, Series 1552, Class
HB 3.............................. 712
802 6.00%, 5/15/23, Series 1630, Class
PJ................................ 761
13,318 6.00%, 6/15/23, Series 1637, Class
G................................. 12,962
500 6.50%, 9/15/23, Series 1633, Class
B................................. 491
4,332 6.25%, 11/25/23, Series 24, Class
J................................. 4,120
8,056 6.50%, 1/1/24, Gold Pool #C80091.... 7,866
634 7.50%, 6/1/24, Pool #C80161......... 643
10,004 7.00%, 9/1/24, Pool #G00271......... 9,944
3,420 7.50%, 10/1/24, Pool #C80245........ 3,471
5,949 7.00%, 11/1/24, Pool #G00278........ 5,913
245 7.50%, 2/1/27, Pool #00496.......... 248
192 7.50%, 2/1/27, Pool #78499.......... 195
3,000 6.50%, 7/15/27, Series 2137, Class
TG................................ 2,876
7,640 8.00%, 8/1/27, Gold Pool #G00747.... 7,856
2,855 7.00%, 8/1/27, Gold Pool #D81734.... 2,835
303 7.00%, 2/1/28, Pool #086005......... 301
2,000 7.00%, 10/15/28, Series 2089, Class
PJ................................ 845
10,000 6.00%, 11/15/28, Series 2091, Class
PG................................ 9,208
5,001 6.50%, 6/1/29, Gold Pool #C00785.... 4,846
----------
170,013
----------
Government National Mortgage Assoc. (3.3%):
110 8.00%, 5/15/04, Pool #002597........ 114
255 7.50%, 6/15/07, Pool #017109........ 262
81 8.00%, 10/15/07, Pool #19860........ 85
20 8.00%, 10/15/07, Pool #20471........ 21
101 8.00%, 11/15/07, Pool #21064........ 105
34 8.00%, 1/15/08, Pool #21259......... 35
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 86 8.00%, 5/15/08, Pool #23139......... $ 90
62 9.00%, 4/15/16, Pool #159851........ 66
82 9.00%, 9/15/16, Pool #164740........ 88
26 9.00%, 11/15/16, Pool #193234....... 28
106 9.00%, 12/15/16, Pool #190783....... 113
46 9.00%, 12/15/16, Pool #151253....... 49
510 9.00%, 12/15/16, Pool #190923....... 544
89 9.00%, 12/15/16, Pool #183237....... 95
166 9.00%, 1/15/17, Pool #180482........ 177
5 9.00%, 5/15/17, Pool #2003439....... 6
1,977 7.50%, 10/15/22, Pool #297656....... 2,007
257 7.00%, 1/15/23, Pool #339885........ 255
363 7.00%, 2/15/24, Pool #376855........ 360
682 7.00%, 4/15/24, Pool #359713........ 675
59 7.00%, 4/15/24, Pool #389850........ 58
114 7.00%, 4/15/24, Pool #380930........ 113
1,655 9.00%, 11/15/24, Pool #780029....... 1,764
4,174 7.50%, 7/15/26, Pool #430999........ 4,232
377 8.00%, 8/20/26, Pool #2270.......... 386
304 7.75%, 2/15/27, Pool #438633........ 312
269 7.50%, 2/15/27, Pool #442422........ 272
232 8.00%, 3/20/27, Pool #2397.......... 237
1,500 7.50%, 5/16/27, Series 97-8, Class
PN................................ 1,525
2,366 8.00%, 6/20/27, Pool #2445.......... 2,418
5,384 7.50%, 7/20/27, Pool #2457.......... 5,425
359 7.00%, 11/15/27, Pool #460982....... 356
9,481 6.50%, 2/15/28, Pool #460759........ 9,156
346 8.00%, 4/20/28, Pool #002581........ 353
366 8.00%, 6/20/28, Pool #002606........ 374
1,242 8.00%, 7/20/28, Pool #2619.......... 1,269
2,279 8.00%, 8/20/28, Pool #2633.......... 2,328
9,874 6.00%, 11/15/28, Pool #486678....... 9,271
----------
45,024
----------
US Government Agency (0.4%):
2,033 Federal Housing Administration,
7.43%, 8/1/20..................... 2,053
2,807 Federal Housing Administration,
Greystone Series 96-2, 7.43%,
11/1/22........................... 2,830
----------
4,883
----------
Total U.S. Government Agency Mortgages 305,188
----------
U.S. TREASURY OBLIGATIONS (26.2%):
U.S. Treasury Bonds (23.9%):
8,500 6.63%, 6/30/01 (b).................. 8,675
2,250 13.38%, 8/15/01 (b)................. 2,597
20,000 6.25%, 6/30/02 (b).................. 20,325
39,500 6.25%, 2/15/03 (b).................. 40,179
</TABLE>
Continued
70
<PAGE> 73
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Bonds, continued:
$ 9,600 11.88%, 11/15/03 (b)................ $ 11,805
10,500 7.88%, 11/15/04 (b)................. 11,468
33,500 10.75%, 8/15/05 (b)................. 41,667
6,800 6.25%, 2/15/07 (b).................. 6,930
14,000 6.63%, 5/15/07 (b).................. 14,586
38,815 12.75%, 11/15/10 (b)................ 52,316
3,385 10.38%, 11/15/12 (b)................ 4,310
750 7.25%, 5/15/16 (b).................. 823
5,500 7.50%, 11/15/16 (b)................. 6,184
735 8.75%, 5/15/17 (b).................. 925
19,925 8.88%, 8/15/17 (b).................. 25,386
14,000 9.00%, 11/15/18..................... 18,165
1,150 8.50%, 2/15/20 (b).................. 1,439
13,085 8.13%, 5/15/21 (b).................. 15,894
13,450 8.13%, 8/15/21 (b).................. 16,367
7,125 8.00%, 11/15/21 (b)................. 8,574
17,600 7.13%, 2/15/23 (b).................. 19,448
750 6.13%, 11/15/27 (b)................. 743
----------
328,806
----------
U.S. Treasury Inflation Protected Bonds (0.3%):
1,038 3.63%, 7/15/02...................... 1,028
2,727 3.38%, 1/15/07 (b).................. 2,615
1,027 3.63%, 4/15/28...................... 971
----------
4,614
----------
U.S. Treasury STRIPS (2.0%):
308 5/15/13............................. 130
230 5/15/17............................. 74
800 8/15/17 (b)......................... 255
10,000 4/15/19............................. 2,788
85,000 10/15/19............................ 23,079
5,000 10/15/19............................ 1,352
----------
27,678
----------
Total U.S. Treasury Obligations 361,098
----------
INVESTMENT COMPANIES (1.1%):
14,826 One Group Prime Money Market Fund,
Class I........................... 14,826
----------
Total Investment Companies 14,826
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (19.9%):
Master Notes (1.7%):
6,997 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 6,997
6,997 Merrill Lynch, 6.20%, 7/1/99*....... 6,997
3,779 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 3,779
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Master Notes, continued:
$ 2,519 PHH CFC Leasing, 5.10%, 8/11/99*.... $ 2,519
2,939 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 2,939
----------
23,231
----------
Put Bonds (10.7%):
13,996 Amex Centurion, 5.10%, 5/5/00*...... 13,996
6,997 Bear Stearns, 6.23%, 1/7/00*........ 6,997
6,997 Branch Banking and Trust, 5.14%,
5/25/00*.......................... 6,994
5,598 Caterpillar Finance, 5.20%,
5/1/01*........................... 5,598
6,997 Chase Manhattan, 5.26%, 5/6/02*..... 6,997
6,997 Chase Manhattan, 5.17%, 5/4/01*..... 6,997
6,997 Fleet National Bank, 5.07%,
4/18/00*.......................... 6,997
6,997 Ford Motor Credit, 5.14%,
11/27/00*......................... 7,070
6,997 GMAC MTN, 5.23%, 4/30/01*........... 6,997
6,997 GMAC MTN, 5.22%, 5/3/01*............ 6,997
4,198 Greenwich Capital Markets, 5.41%,
7/9/01*........................... 4,198
9,797 Jackson National, 6.37%, 5/15/00*... 9,797
6,997 JP Morgan and Co., 5.16%, 5/4/01*... 6,997
6,997 JP Morgan and Co., 5.10%, 5/4/00*... 6,997
9,797 Liberty Lighthouse, 5.15%,
5/5/00*........................... 9,797
6,997 Merrill Lynch, 5.31%, 5/6/02*....... 6,997
6,997 Salomon Smith Barney, 5.38%,
4/12/01*.......................... 6,997
6,997 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 6,997
12,596 SPARCC, 5.38%, 3/24/00*............. 12,596
----------
147,013
----------
Repurchase Agreements (7.5%):
20,992 Goldman Sachs, 6.09%, 7/1/99
(Collateralized by $22,263 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$22,155).......................... 20,992
12,683 Lehman Brothers, 5.85%, 7/1/99
(Collateralized by $13,318 various
Commercial Paper, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$13,318).......................... 12,683
41,985 Merrill Lynch, 6.10%, 7/1/99
(Collateralized by $44,186 various
Commercial Paper, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$44,084).......................... 41,985
</TABLE>
Continued
71
<PAGE> 74
- --------------------------------------------------------------------------------
One Group Mutual Funds
Income 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>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$27,989 Paine Webber, 6.00%, 7/1/99,
(Collateralized by $29,768 various
Corporate Bonds, 6.00% - 9.45%,
6/15/00 - 11/15/46, market value
$29,389).......................... $ 27,989
----------
103,649
----------
Total Short-Term Securities Held as Collateral 273,893
----------
Total (Cost $1,670,661) (a) $1,673,139
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,376,614.
(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 $118. 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...................... $ 24,908
Unrealized depreciation...................... (22,548)
--------
Net unrealized appreciation.................. $ 2,360
========
</TABLE>
(b) A portion of this security was loaned as of June 30, 1999.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $6,249 or .45% of net assets.
(d) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Collateralized Mortgage Obligations (CMO) are debt securities issued by U.S.
government agencies, or by financial institutions and other mortgage
lenders, which are collateralized by a pool of mortgages held under an
indenture.
Interest Only (IO) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not be
fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the underlying pool of
mortgage instruments. As a result, interest income may be reduced
considerably.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
* The interest rate for this variable rate note, 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.
See notes to financial statements.
72
<PAGE> 75
- --------------------------------------------------------------------------------
One Group Mutual Funds
Government 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>
U.S. GOVERNMENT AGENCY MORTGAGES (68.0%):
Fannie Mae (16.6%):
$ 5,585 6.00%, 3/1/01, Pool #50783.......... $ 5,563
70 7.00%, 9/1/02, Pool #250355......... 70
3,196 7.00%, 4/1/03, Pool #303876......... 3,227
80 7.50%, 5/1/03, Pool #347175......... 81
894 7.50%, 7/1/03, Pool #250656......... 906
34 6.50%, 4/1/04, Pool #85019.......... 34
100 8.00%, 5/25/05, Series 1992-146 D... 103
5,635 7.00%, 7/17/05, Series 97-26 GD..... 5,707
150 6.25%, 2/25/07, Series 1993-129,
Class E........................... 149
2,000 7.35%, 6/25/07, Pool 1993-11 N...... 2,042
1,432 7.00%, 9/1/07, Pool #185265......... 1,442
2,156 7.00%, 4/1/08, Pool #211750......... 2,172
1,000 6.25%, 1/25/09, Series 1994-12 C,
CMO............................... 978
8,000 6.00%, 6/25/09, Series 1994-86 PJ,
CMO............................... 7,587
2,285 7.00%, 7/1/10, Pool #250326......... 2,299
1,572 6.50%, 12/1/10, Pool #332301........ 1,553
9,819 6.00%, 3/1/11, Pool #340683......... 9,520
9,394 6.00%, 1/17/13, Series 98-37 VB,
CMO............................... 8,672
10,000 6.50%, 6/25/13, Series 94-1 K....... 9,971
3,596 6.35%, 8/25/13, Series 1993-225B VG,
CMO............................... 3,551
2,390 7.50%, 6/1/14, Pool #250081......... 2,428
1,969 7.50%, 7/1/14, Pool #250082......... 2,000
72 10.00%, 10/1/16, Pool #70110........ 78
4,162 10.00%, 9/1/17, Pool #303969........ 4,524
4,349 9.50%, 6/25/18, Series 1988-16 B,
CMO............................... 4,659
269 10.00%, 10/1/19, Pool #231675....... 292
5,058 7.00%, 5/25/20, Series 1990-57...... 5,093
140 10.00%, 7/1/20, Pool #050318........ 152
5,584 6.50%, 5/25/21, Series 1992-205 K,
CMO............................... 5,457
5,000 7.00%, 9/25/21, Series G92-64 K,
CMO............................... 5,035
194 10.00%, 11/1/21, Pool #208372....... 211
182 10.00%, 11/1/21, Pool #208374....... 198
5,150 6.55%, 12/25/21, Pool #1993-137 PH,
CMO............................... 5,118
1,000 7.25%, 5/25/22, Series G93-9, Class
K................................. 992
800 7.50%, 7/25/22, Series G92-35,
CMO............................... 814
10,785 6.50%, 2/17/23, Series G94-12 C,
CMO............................... 10,372
5,000 6.50%, 5/25/23, Series 1994-110 H,
CMO............................... 4,913
7,400 7.00%, 9/25/23, Pool #1993-155 PJ... 7,454
9,094 6.35%, 12/25/23, Series 1994-43 PJ,
CMO............................... 8,590
5,042 7.00%, 1/25/24, Series 1994-62 PJ,
CMO............................... 5,078
5,838 7.00%, 2/1/24, Pool #190257......... 5,798
10,556 6.00%, 3/15/24, Pool #1994-51....... 9,443
1,301 9.00%, 12/1/24, Pool #353898........ 1,385
2,853 7.00%, 8/1/25, Pool #315500......... 2,833
18,011 6.50%, 3/1/28, Pool #251613......... 17,454
----------
175,998
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac (30.7%):
$ 2 7.00%, 4/1/00, Pool #253036......... $ 2
4,628 6.00%, 5/1/01, Pool #G50347......... 4,603
2,634 7.50%, 11/15/01, Pool #1318-JB,
CMO............................... 2,674
1,012 6.70%, 5/15/05, Pool #1233-F, CMO... 1,016
360 9.00%, 11/1/05, Pool #B0-0203....... 375
382 9.00%, 5/1/06, Pool #B0-0282........ 395
1,000 7.00%, 10/15/06, Series 1150, Class
I................................. 1,011
3,425 7.00%, 9/15/07, Series 1457, Class
PJ, CMO........................... 3,467
4,850 6.50%, 4/15/08, Series 1489, Class
I, CMO............................ 4,765
3,291 7.50%, 4/1/09, Gold Pool #E00315.... 3,352
16,500 6.50%, 9/15/09, Series 1838, Class
G, CMO............................ 16,493
2,028 8.50%, 1/1/10, Gold Pool #G10305.... 2,102
4,305 6.00%, 4/1/14, Pool #E76438......... 4,168
16,780 6.00%, 4/1/14, Pool #E76504......... 16,248
39,000 6.50%, 6/1/14, Pool #E00678......... 38,556
2 9.50%, 4/1/16, Pool #170161......... 2
151 9.00%, 10/1/17, Gold Pool #A00756... 162
123 9.00%, 4/1/18, Gold Pool #A01143.... 130
33 9.00%, 10/1/20, Gold Pool #A01134... 36
39 9.00%, 1/1/21, Gold Pool #A00948.... 41
500 7.25%, 2/15/21, Series 1464, CMO.... 507
5,000 6.00%, 3/15/21, Series 2081, CMO.... 4,952
19 9.00%, 4/1/21, Gold Pool #D04193.... 20
52 9.00%, 6/1/21, Gold Pool #A01017.... 56
55 9.00%, 7/1/21, Gold Pool #A01093.... 59
28 9.00%, 9/1/21, Gold Pool #D32271.... 30
24 9.00%, 11/1/21, Gold Pool #C00078... 26
57 9.00%, 11/1/21, Gold Pool #D11866... 60
48 9.00%, 11/1/21, Gold Pool #D11191... 51
158 9.00%, 5/1/22, Gold Pool #D19203.... 168
900 7.00%, 8/25/22, Series 13, Class
PL................................ 903
10,000 5.50%, 9/15/22, Series 1367-K....... 8,816
5,200 6.50%, 11/15/22, Pool #1152......... 5,058
2,817 7.00%, 4/15/23, Pool #348645........ 2,795
5,098 10.00%, 10/15/23, Series 1591 E,
CMO............................... 5,719
8,837 6.00%, 10/15/23, Series 1785 A...... 8,155
</TABLE>
Continued
73
<PAGE> 76
- --------------------------------------------------------------------------------
One Group Mutual Funds
Government 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$17,851 5.00%, 11/15/23, Series 1686 PG,
CMO............................... $ 17,357
7,854 6.50%, 1/1/24, Gold Pool #C80091.... 7,668
2,230 8.50%, 5/1/24, Gold Pool #G00229.... 2,341
1,865 8.50%, 7/1/24, Gold Pool #C00354.... 1,954
1,898 7.50%, 9/1/24, Gold Pool #D56307.... 1,926
2,726 8.00%, 11/1/24, Gold Pool #C00376... 2,807
1,811 7.50%, 8/1/25, Gold Pool #C00414.... 1,837
2,944 7.00%, 8/1/25, Gold Pool #C00418.... 2,924
2,322 8.00%, 9/1/25, Gold Pool #D63705.... 2,389
2,524 7.00%, 9/1/25, Gold Pool #D63303.... 2,507
8,621 7.00%, 4/1/26, Gold Pool #D69811
(d)............................... 8,562
3,777 6.50%, 6/1/26, Pool #250575......... 3,673
10,000 6.50%, 10/17/26, Series 1985, Class
PL................................ 9,668
10,500 6.00%, 2/15/27, CMO................. 9,829
14,000 6.25%, 4/15/27, Series 2018 PE...... 13,018
30,000 6.00%, 2/15/28, CMO................. 28,082
10,000 6.50%, 6/15/28, Series 2064 PD...... 9,481
3,898 8.50%, 7/1/28, Gold Pool #G00981.... 4,079
5,000 6.50%, 8/15/28, Series 2080 PJ...... 4,732
7,000 6.25%, 8/15/98, Series 2075 PM...... 6,442
14,000 6.50%, 10/25/28, Series 1998-64,
Class TM.......................... 13,100
4,894 6.50%, 2/1/29, Pool #C22459......... 4,744
28,865 6.50%, 4/1/29, Pool #C00742......... 27,973
2,495 6.50%, 4/1/29, Gold Pool #C24553.... 2,418
----------
326,484
----------
Government National Mortgage Assoc. (20.7%):
5 10.00%, 9/15/00, Pool #138814....... 5
11 8.50%, 6/15/01, Pool #166491........ 11
2 8.50%, 7/15/01, Pool #161997........ 2
28 9.50%, 9/15/01, Pool #180786........ 30
2 9.00%, 9/15/01, Pool #174330........ 2
18 9.00%, 9/15/01, Pool #166928........ 19
26 8.50%, 11/15/01, Pool #179383....... 27
17 9.00%, 12/15/01, Pool #187723....... 17
18 8.50%, 12/15/01, Pool #199837....... 19
30 8.00%, 3/15/02, Pool #205933........ 31
5 9.00%, 7/15/02, Pool #227176........ 6
76 9.00%, 5/15/03, Pool #154134........ 79
81 9.00%, 6/15/05, Pool #283904........ 85
36 9.00%, 8/15/05, Pool #291836........ 37
26 9.00%, 9/15/05, Pool #292898........ 28
12 9.00%, 9/15/05, Pool #295227........ 12
32 8.00%, 7/15/06, Pool #11337......... 34
20 7.50%, 7/15/07, Pool #17316......... 21
51 8.00%, 8/15/07, Pool #18677......... 53
30 8.00%, 8/15/07, Pool #18539......... 31
81 7.50%, 12/15/07, Pool #338189....... 83
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 765 6.50%, 7/15/08, Pool #349693........ $ 765
43 9.00%, 11/15/08, Pool #27932........ 46
90 6.50%, 3/15/09, Pool #367398........ 90
64 9.00%, 4/15/09, Pool #30352......... 68
12 9.00%, 5/15/09, Pool #32214......... 12
2,052 6.50%, 5/15/09, Pool #366779........ 2,048
2 9.50%, 7/15/09, Pool #34487......... 3
100 9.50%, 9/15/09, Pool #34878......... 108
22 9.50%, 10/15/09, Pool #36804........ 24
18 11.00%, 11/15/09, Pool #37615....... 20
0 12.00%, 4/15/15, Pool #125262 (b)... 0
12 11.00%, 6/15/15, Pool #130125....... 14
38 9.00%, 5/15/16, Pool #149877........ 41
43 9.00%, 6/15/16, Pool #166130........ 46
8 9.00%, 6/15/16, Pool #157147........ 9
9 9.50%, 7/15/16, Pool #166772........ 10
74 9.00%, 7/15/16, Pool #144968........ 79
43 9.00%, 7/15/16, Pool #167475........ 45
100 9.00%, 7/15/16, Pool #151273........ 106
59 9.00%, 7/15/16, Pool #158921........ 63
72 9.50%, 8/15/16, Pool #177531........ 78
89 9.00%, 9/15/16, Pool #179044........ 95
199 9.00%, 9/15/16, Pool #169908........ 212
50 9.00%, 10/15/16, Pool #173089....... 54
50 9.00%, 11/15/16, Pool #183868....... 53
84 9.00%, 11/15/16, Pool #156478....... 90
10 9.50%, 1/15/17, Pool #185619........ 11
196 9.00%, 2/15/17, Pool #195058........ 209
11 9.00%, 2/15/17, Pool #201757........ 12
175 9.00%, 6/15/17, Pool #219079........ 187
263 9.50%, 8/15/17, Pool #201217........ 284
26 9.50%, 8/15/17, Pool #224015........ 28
31 9.50%, 8/15/17, Pool #218841........ 34
11 9.00%, 8/15/17, Pool #225825........ 12
75 9.00%, 6/15/18, Pool #238161........ 80
39 9.50%, 8/15/18, Pool #248390........ 42
1 9.00%, 10/15/18, Pool #253188....... 1
37 9.50%, 12/15/18, Pool #263400....... 40
81 10.00%, 4/15/19, Pool #257047....... 88
26 10.00%, 5/15/19, Pool #269607....... 29
2 9.00%, 10/15/19, Pool #267676....... 2
28 9.00%, 11/15/19, Pool #162768....... 30
153 9.50%, 12/15/19, Pool #281696....... 165
44 9.00%, 1/15/20, Pool #283138........ 47
21 9.00%, 2/15/20, Pool #276157........ 23
18 9.00%, 3/15/20, Pool #285283........ 19
33 9.50%, 9/15/20, Pool #292918........ 36
46 9.50%, 12/15/20, Pool #291865....... 50
7,116 9.00%, 8/15/21, Pool #306081........ 7,578
</TABLE>
Continued
74
<PAGE> 77
- --------------------------------------------------------------------------------
One Group Mutual Funds
Government 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 2,124 9.00%, 12/15/21, Pool #780284....... $ 2,263
23 7.50%, 2/15/22, Pool #324025........ 23
255 8.00%, 7/15/22, Pool #321560........ 263
467 7.50%, 8/15/22, Pool #337141........ 474
26 7.00%, 10/15/22, Pool #337175....... 25
147 7.00%, 11/15/22, Pool #323008....... 146
24 7.00%, 12/15/22, Pool #339969....... 24
280 7.00%, 1/15/23, Pool #342248........ 277
260 7.00%, 1/15/23, Pool #341536........ 257
378 7.00%, 1/15/23, Pool #332022........ 375
206 7.00%, 1/15/23, Pool #346214........ 204
34 7.00%, 1/15/23, Pool #321675........ 34
34 7.00%, 3/15/23, Pool #350110........ 34
602 7.00%, 5/15/23, Pool #221604........ 597
44 7.00%, 5/15/23, Pool #338005........ 43
593 7.00%, 5/15/23, Pool #346572........ 589
619 7.00%, 5/15/23, Pool #342348........ 614
622 7.00%, 5/15/23, Pool #351041........ 617
244 6.50%, 5/15/23, Pool #343208........ 237
4,039 7.50%, 6/15/23, Pool #359588........ 4,098
2,901 7.50%, 6/15/23, Pool #358801........ 2,943
74 6.50%, 6/15/23, Pool #346624........ 72
46 6.50%, 6/15/23, Pool #358250........ 45
320 6.50%, 6/15/23, Pool #348677........ 311
46 6.50%, 6/15/23, Pool #349788........ 45
659 7.00%, 7/15/23, Pool #346673........ 654
17 7.00%, 7/15/23, Pool #350709........ 17
435 7.00%, 7/15/23, Pool #360697........ 431
134 7.00%, 7/15/23, Pool #357782........ 133
242 7.00%, 7/15/23, Pool #358382........ 240
202 7.00%, 7/15/23, Pool #325977........ 200
640 7.00%, 7/15/23, Pool #362982........ 635
253 7.00%, 7/15/23, Pool #353569........ 251
25 7.00%, 7/15/23, Pool #354538........ 24
315 7.00%, 7/15/23, Pool #360889........ 313
261 6.50%, 7/15/23, Pool #322200........ 253
111 6.50%, 8/15/23, Pool #359027........ 108
476 6.50%, 8/15/23, Pool #356717........ 463
338 6.50%, 8/15/23, Pool #353137........ 329
121 6.50%, 8/15/23, Pool #360713........ 117
288 6.50%, 8/15/23, Pool #344505........ 280
223 6.50%, 8/15/23, Pool #360738........ 217
41 6.50%, 9/15/23, Pool #339041........ 40
567 6.50%, 9/15/23, Pool #345375........ 551
2,570 8.00%, 10/15/23, Pool #354681....... 2,648
180 6.50%, 10/15/23, Pool #345391....... 175
338 6.00%, 10/15/23, Pool #364717....... 320
310 6.00%, 10/15/23, Pool #345389....... 293
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 33 6.00%, 10/15/23, Pool #370006....... $ 31
506 6.50%, 11/15/23, Pool #369356....... 492
15 6.50%, 11/15/23, Pool #370927....... 15
26 6.50%, 12/15/23, Pool #370289....... 25
126 6.50%, 12/15/23, Pool #349944....... 122
874 6.50%, 12/15/23, Pool #349265....... 850
67 6.50%, 12/15/23, Pool #365740....... 66
480 6.50%, 12/15/23, Pool #369830....... 466
438 6.50%, 1/15/24, Pool #379127........ 426
1,142 6.50%, 2/15/24, Pool #362341........ 1,110
335 6.50%, 2/15/24, Pool #389200........ 325
338 6.50%, 2/15/24, Pool #371999........ 328
251 6.50%, 2/15/24, Pool #370338........ 244
134 6.50%, 2/15/24, Pool #380818........ 130
17,430 6.50%, 2/15/24, Pool #354747........ 16,941
933 7.00%, 2/16/24, Series 1996-21 D,
CMO............................... 899
1,144 7.00%, 3/15/24, Pool #379328........ 1,133
442 7.00%, 3/15/24, Pool #391552........ 438
780 7.00%, 4/15/24, Pool #355128........ 773
1,415 7.00%, 4/15/24, Pool #379001........ 1,402
290 7.50%, 6/15/24, Pool #388747........ 294
56 7.50%, 6/15/24, Pool #389827........ 57
1,820 8.00%, 9/15/24, Pool #403212........ 1,874
161 8.00%, 9/15/24, Pool #393908........ 165
514 8.50%, 10/15/24, Pool # 407073...... 539
4,729 9.00% 11/15/24, Pool #780029........ 5,039
102 8.00%, 6/15/25, Pool # 385370....... 105
117 7.50%, 6/15/25, Pool #401860........ 119
1,091 8.00%, 7/15/25, Pool #377557........ 1,123
865 7.25%, 12/15/25, Pool #411361....... 870
74 7.50%, 3/15/26, Pool #381163........ 75
3,158 7.50%, 3/15/26, Pool #422308........ 3,202
5,462 8.00%, 7/15/26, Pool #412644........ 5,623
115 8.00%, 8/15/26, Pool #436445........ 118
6,101 8.00%, 12/20/26, Pool #2344......... 6,235
1,396 7.50%, 3/15/27, Pool #432398........ 1,414
14,500 6.50%, 6/20/27, Series 1997-19 PJ... 13,845
5,125 6.00%, 7/20/27, Pool #80094......... 5,175
15,000 6.25%, 8/20/27, Series 98-1 PD...... 14,040
6,654 7.50%, 1/15/28, Pool #461625........ 6,739
10,745 7.50%, 2/15/28, Pool #462562........ 10,882
28,179 6.50%, 4/15/28, Pool #410875........ 27,212
81 7.00%, 6/15/28, Pool #472679........ 80
11,887 7.50%, 7/15/28, Pool #780828........ 12,052
9,990 6.50%, 7/15/28, Pool #481819........ 9,647
5,000 6.50%, 9/20/28, Series 1998-22 PD... 4,756
4,770 7.00%, 11/15/28, Pool #469699....... 4,720
10,658 6.50%, 4/15/29, Pool #487601........ 10,287
</TABLE>
Continued
75
<PAGE> 78
- --------------------------------------------------------------------------------
One Group Mutual Funds
Government 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>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 9,794 8.00%, 11/20/29, Pool #2512......... $ 10,009
----------
219,632
----------
Total U.S. Government Agency Mortgages 722,114
----------
U.S. GOVERNMENT AGENCY SECURITIES (12.1%):
Fannie Mae (4.0%):
3,000 8.90%, 6/12/00...................... 3,090
15,000 7.16%, 5/11/05...................... 15,516
15,000 5.00%, 2/2/06 (c)................... 14,688
10,000 6.70%, 6/19/07 (c).................. 10,111
----------
43,405
----------
Federal Agricultural Mortgage Corp. (0.0%):
500 7.56%, 5/28/02...................... 519
----------
Federal Farm Credit Bank (0.0%):
255 8.65%, 10/1/99...................... 257
----------
Federal Home Loan Bank (1.0%):
10,000 5.91%, 12/23/02 (c)................. 9,961
500 7.50%, 8/10/04...................... 526
----------
10,487
----------
Financial Corporation STRIPS (0.2%):
180 10/5/05............................. 121
334 12/27/05............................ 222
500 10/6/06............................. 316
1,000 11/11/06............................ 628
500 12/27/06............................ 311
----------
1,598
----------
Freddie Mac (0.8%):
2,000 6.44%, 1/28/00...................... 2,011
4,500 7.00%, 11/18/02 (c)................. 4,650
250 7.93%, 1/20/05...................... 269
21 7.25%, 5/1/07, Pool #185801......... 21
375 9.00%, 8/1/09, Pool #279063......... 397
653 9.00%, 12/1/09, Pool #256360........ 687
----------
8,035
----------
Resolution Funding Corp. (3.4%):
53,000 Principal STRIPS, 7/15/20 (c)....... 13,799
50,000 Principal STRIPS, 7/15/20 (c)....... 12,911
25,000 Principal STRIPS, 10/15/20.......... 6,542
15,000 Principal STRIPS, 4/15/28........... 2,432
5,000 Principal STRIPS, 4/15/30 (c)....... 752
----------
36,436
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Tennessee Valley Authority (2.7%):
$ 3,000 8.38%, 10/1/99, Series 89-D......... $ 3,020
25,000 6.24%, 7/15/45, Putable on 7/15/01 @
100 (c)........................... 25,227
----------
28,247
----------
Total U.S. Government Agency Securities 128,984
----------
U.S. TREASURY OBLIGATIONS (16.7%):
U.S. Treasury Bonds (4.7%):
1,000 9.38%, 2/15/06 (c).................. 1,188
25,000 8.13%, 8/15/19 (c).................. 30,132
2,500 7.13%, 2/15/23 (c).................. 2,763
10,000 6.25%, 8/15/23 (c).................. 10,013
6,000 6.13%, 11/15/27 (c)................. 5,945
----------
50,041
----------
U.S. Treasury Inflation Protected Bonds (1.4%):
15,428 3.63%, 1/15/08 (c).................. 14,999
----------
U.S. Treasury Notes (9.2%):
100 8.00%, 8/15/99...................... 100
3,000 7.13%, 9/30/99 (c).................. 3,017
1,500 6.00%, 10/15/99..................... 1,505
1,400 7.88%, 11/15/99 (c)................. 1,415
150 6.38%, 1/15/00...................... 151
2,850 8.50%, 2/15/00 (c).................. 2,909
650 5.50%, 4/15/00 (c).................. 651
4,500 6.13%, 7/31/00 (c).................. 4,535
2,775 8.75%, 8/15/00 (c).................. 2,875
32,800 6.25%, 4/30/01 (c).................. 33,210
1,000 7.88%, 8/15/01 (c).................. 1,046
5,425 6.38%, 8/15/02 (c).................. 5,530
19,000 5.50%, 1/31/03 (c).................. 18,875
150 6.25%, 2/15/03...................... 153
2,150 5.75%, 8/15/03 (c).................. 2,151
1,500 5.88%, 2/15/04 (c).................. 1,508
5,500 6.50%, 8/15/05 (c).................. 5,672
14,000 5.50%, 8/15/28 (c).................. 12,788
----------
98,091
----------
U.S. Treasury STRIPS (1.4%):
5,000 8/15/02............................. 4,195
50,000 2/15/25 (c)......................... 10,511
----------
14,706
----------
Total U.S. Treasury Obligations 177,837
----------
INVESTMENT COMPANIES (2.8%):
29,467 One Group Government Money Market
Fund.............................. 29,467
----------
Total Investment Companies 29,467
----------
</TABLE>
Continued
76
<PAGE> 79
- --------------------------------------------------------------------------------
One Group Mutual Funds
Government 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>
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.6%):
Repurchase Agreements (3.6%):
$26,162 Bear Stearns, 5.00%, 7/1/99
(Collateralized by $29,613 various
U.S. Government Securities,
6.00% - 7.50%, 8/15/07 - 4/16/29,
market value $27,084)............. $ 26,162
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$11,542 Lehman Brothers, 4.91%, 7/1/99
(Collateralized by $11,846 various
U.S. Government Securities,
0.00% - 8.00%, 4/1/09 - 6/1/28,
market value $11,846)............. $ 11,542
----------
Total Short-Term Securities Held as Collateral 37,704
----------
Total (Cost $1,100,815) (a) $1,096,106
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,061,881.
(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 $234. 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...................... $ 14,032
Unrealized depreciation...................... (18,975)
--------
Net unrealized appreciation (depreciation)... $ (4,943)
========
</TABLE>
(b) Amount less than $1,000.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for Futures Contracts.
<TABLE>
<CAPTION>
NUMBER OPENING CURRENT
OF POSITIONS MARKET VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- ------------
<C> <S> <C> <C>
Long Bond U.S. 20 Year, September
100 1999 Futures $11,801 $11,591
</TABLE>
(e) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Collateralized Mortgage Obligations (CMO) are debt securities issued by U.S.
government agencies, or by financial institutions and other mortgage
lenders, which are collateralized by a pool of mortgages held under an
indenture.
* The interest rate for this variable rate note, 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.
See notes to financial statements.
77
<PAGE> 80
- --------------------------------------------------------------------------------
One Group Mutual Funds
Treasury & Agency Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY (34.5%):
Federal Farm Credit Bank (9.0%):
$ 3,000 5.90%, 10/21/05....................... $ 2,854
7,000 7.16%, 5/15/06........................ 7,207
3,100 7.60%, 7/24/06........................ 3,269
3,000 5.38%, 2/11/08........................ 2,864
2,000 5.87%, 9/2/08......................... 1,910
2,000 5.93%, 7/6/10......................... 1,899
--------
20,003
--------
Federal Home Loan Bank (9.6%):
6,840 5.79%, 12/1/03........................ 6,692
5,000 5.51%, 12/29/03....................... 4,849
4,000 8.22%, 11/17/04....................... 4,337
1,000 5.94%, 12/1/05........................ 970
5,000 5.89%, 7/7/08......................... 4,803
--------
21,651
--------
FICO Strips (3.9%):
2,425 0.00%, 8/8/01......................... 2,143
3,675 0.00%, 6/27/02........................ 3,075
4,051 0.00%, 8/8/02......................... 3,365
--------
8,583
--------
Student Loan Marketing Association (5.4%):
4,000 7.20%, 11/9/00........................ 4,076
8,000 5.20%, 3/2/01......................... 7,922
--------
11,998
--------
Tennessee Valley Authority (6.6%):
10,000 6.13%, 7/15/03........................ 9,900
5,000 5.00%, 12/18/03....................... 4,757
--------
14,657
--------
Total U.S. Government Agency 76,892
--------
U.S. TREASURY OBLIGATIONS (63.9%):
U.S. Treasury Bonds (34.1%):
26,000 11.63%, 11/15/02 (b).................. 30,599
15,000 7.63%, 2/15/07 (b).................... 15,558
22,000 12.75%, 11/15/10 (b).................. 29,652
--------
75,809
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Inflation Protected Bonds (3.6%):
$ 8,390 3.38%, 1/15/07 (b).................... $ 8,049
--------
U.S. Treasury Notes (26.2%):
10,000 7.75%, 11/30/99....................... 10,113
2,000 6.63%, 6/30/01........................ 2,041
35,000 6.25%, 2/28/02........................ 35,535
5,000 6.63%, 4/30/02........................ 5,127
5,000 7.88%, 11/15/04....................... 5,461
--------
58,277
--------
Total U.S. Treasury Obligations 142,135
--------
INVESTMENT COMPANIES (0.4%):
949 One Group Treasury Only Money Market
Fund Class I........................ 949
--------
Total Investment Companies 949
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (15.4%):
Repurchase Agreements (15.4%):
23,838 Bear Stearns, 5.00%, 7/1/99
(Collateralized by $26,982 various
U.S. Government Securities,
6.00% - 7.50%, 8/15/07 - 4/16/29,
market value $24,677)............... 23,838
10,516 Lehman Brothers, 4.91%, 7/1/99
(Collateralized by $299,962 various
Government Securities,
0.00% - 8.00%, 4/1/09 - 6/1/28,
market value $10,794)............... 10,516
--------
Total Short-Term Securities Held as Collateral 34,354
--------
Total (Cost $259,078)(a) $254,330
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $222,724.
(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 $180. 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...................... $ 292
Unrealized depreciation...................... (5,220)
-------
Net unrealized appreciation (depreciation)... $(4,928)
=======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1999.
See notes to financial statements.
78
<PAGE> 81
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
COMMERCIAL PAPER (3.6%):
Financial Services (3.6%):
$ 1,750 American Express Credit Corp., 5.20%,
7/6/99.............................. $ 1,749
1,000 Ford Motor Credit Corp., 5.50%,
7/6/99.............................. 999
1,750 General Electric Capital Corp., 5.20%,
7/6/99.............................. 1,749
1,000... Prudential Funding, 5.23%, 7/6/99..... 999
--------
Total Commercial Paper 5,496
--------
COMMON STOCKS (0.1%):
Telecommunications/Mobile, Cellular (0.1%):
2 Viatel, Inc. ......................... 91
--------
Total Common Stocks 91
--------
CONVERTIBLE BONDS (0.3%):
Publishing (0.3%):
500 The Learning Company, 5.50%, 11/1/00,
Convertible to 18.8679 Shares of
Softkey Intl. Per 1,000 Shares
Owned............................... 500
--------
Total Convertible Bonds 500
--------
CORPORATE BONDS (93.5%):
Automotive (4.1%):
350 Accuride Corp., 9.25%, 2/1/08......... 348
750 Collins & Aikman Products, 11.50%,
4/15/06............................. 758
1,250 Dura Operating Corp., 9.00%, 5/1/09
(c)................................. 1,200
350 Eagle Picher Industries, Inc., 9.38%,
3/1/08.............................. 334
750 Group 1 Automotive, Inc., 10.88%,
3/1/09.............................. 735
825 Hayes Lemmerz International, Inc.,
9.13%, 7/15/07...................... 831
150 HDA Parts System, Inc., 12.00%, 8/1/05
(c)................................. 152
1,000 JL French Auto Casting, 11.50%, 6/1/09
(c) (d)............................. 1,025
300 Lear Corp., 9.50%, 7/15/06............ 312
250 Lear Seating Corp., 8.25%, 2/1/02..... 254
100 Oshkosh Truck Corp., 8.75%, 3/1/08.... 100
250 Oxford Automotive, Inc., 10.13%,
6/15/07............................. 251
--------
6,300
--------
Beverages & Tobacco (0.7%):
800 Cott Corp., 9.38%, 7/1/05............. 786
275 Triarc Consumer/Beverage, 10.25%,
2/15/09 (c)......................... 271
--------
1,057
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Broadcast Radio & TV (5.9%):
$ 500 Ackerly Group, Inc., 9.00%, 1/15/09... $ 496
150 Capstar Broadcasting, 9.25%, 7/1/07... 153
100 Chancellor Media Corp., 10.50%,
1/15/07............................. 106
675 Chancellor Media Corp., 8.75%,
6/15/07............................. 676
600 Chancellor Media Corp., 8.13%,
12/15/07............................ 582
875 Chancellor Media Corp., 9.00%,
10/1/08............................. 895
500 Citadel Broadcasting Co., 9.25%,
11/15/08............................ 518
1,000 Cumulus Media, Inc., 10.38%, 7/1/08... 1,064
1,000 Granite Broadcasting Corp., 10.38%,
5/15/05............................. 1,015
200 Lamar Advertising Co., 9.63%,
12/1/06............................. 207
500 Lin Television Corp., 8.38%, 3/1/08... 480
75 Outdoor Systems, Inc., 9.38%,
10/15/06............................ 80
600 Outdoor Systems, Inc., 8.88%,
6/15/07............................. 629
250 Salem Communication Corp., 9.50%,
10/1/07............................. 264
550 Spanish Broadcasting Systems,
7.50%/12.50%, 6/15/02............... 608
750 Tri-State Outdoor Media, 11.00%,
5/15/08............................. 767
250 Young Broadcasting, Inc., 10.13%,
2/15/05............................. 258
175 Young Broadcasting, Inc., 9.00%,
1/15/06............................. 172
--------
8,970
--------
Building & Development (4.1%):
100 American Architect, 11.75%, 12/1/07... 71
1,250 American Builders & Contractors Supply
Co., 10.63%, 5/15/07................ 1,182
500 Associated Materials, Inc., 9.25%,
3/1/08.............................. 503
500 Collins & Aikman Floorcoverings,
10.00%, 1/15/07..................... 498
500 Falcon Building Products, Inc.,
0.00%/10.50%, 6/15/07............... 343
500 Fedders North America, 9.38%,
8/15/07............................. 508
200 Formica Corp., 10.88%, 3/1/09 (c)..... 195
750 MMI Products, Inc., 11.25%, 4/15/07... 772
750 NCI Building Systems, Inc., 9.25%,
5/1/09 (c).......................... 725
1,000 Omega Cabinets, 10.50%, 6/15/07....... 1,009
500 Williams Scotsman, Inc., 9.88%,
6/1/07.............................. 498
--------
6,304
--------
</TABLE>
Continued
79
<PAGE> 82
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
CORPORATE BONDS, CONTINUED:
Business Equipment & Services (1.2%):
$ 100 Iron Mountain, Inc., 10.13%,
10/1/06............................. $ 104
500 Pierce Leahy Command Co., 8.13%,
5/15/08............................. 475
500 Pierce Leahy Corp., 11.13%, 7/15/06... 545
425 U.S. Office Product Co., 9.75%,
6/15/08............................. 285
134 United Stationer Supply Co., 12.75%,
5/1/05.............................. 147
300 United Stationer Supply Co., 8.38%,
4/15/08............................. 287
--------
1,843
--------
Cable Television (6.0%):
500 Avalon Cable Of Michigan, 9.38%,
12/1/08 (c)......................... 511
450 Classic Cable, Inc., 9.88%, 8/1/08
(c)................................. 467
250 Comcast Corp., 9.38%, 5/15/05......... 265
450 CSC Holdings, Inc., 9.25%, 11/1/05.... 467
250 CSC Holdings, Inc., 7.88%, 12/15/07... 252
225 CSC Holdings, Inc., 9.88%, 2/15/13.... 241
875 International Cabletel, Inc.,
0.00%/11.50%, 2/1/06................ 767
300 Lenfest Communications, 8.38%,
11/1/05............................. 313
275 Lenfest Communications, 8.25%,
2/15/08............................. 282
500 Mediacom LLC, 8.50%, 4/15/08.......... 473
750 Mediacom LLC, 7.88%, 2/15/11 (c)...... 673
1,500 RCN Corp., 0.00%/9.80%, 2/15/08....... 952
285 Rogers Cablesystems Ltd., 10.00%,
3/15/05............................. 307
1,500 Susquehanna Media Co., 8.50%, 5/15/09
(c)................................. 1,485
1,250 TeleWest Communication PLC, Series B,
0.00%/11.00%, 10/1/07............... 1,118
300 UIH Australia/Pacific, Series B,
0.00%/14.00%, 5/15/06............... 215
525 United International Holdings, Inc.,
0.00%/10.75%, 2/15/08............... 348
--------
9,136
--------
Chemicals/Plastics (5.1%):
1,000 Berry Plastics Corp., 11.00%, 7/15/07
(c)................................. 1,000
425 Buckeye Cellulose Corp., 8.50%,
12/15/05............................ 422
400 Huntsman Corp., 9.50%, 7/1/07 (c)..... 380
1,500 Huntsman ICI Chemicals, 10.13%, 7/1/09
(c)................................. 1,522
250 Indesco International, 9.75%,
4/15/08............................. 184
750 ISP Holdings, Inc., 9.00%, 10/15/03... 750
450 ISP Holdings, Inc., Series B, 9.75%,
2/15/02............................. 460
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Chemicals/Plastics, continued:
$ 750 Philipp Brothers, 9.88%, 6/1/08....... $ 686
1,000 Polymer Group, Inc., 9.00%, 7/1/07.... 975
500 Polymer Group, Inc., 8.75%, 3/1/08.... 483
250 Portola Packaging, Inc., 10.75%,
10/1/05............................. 256
150 Scotts Co., 8.63%, 1/15/09 (c)........ 149
250 Sterling Chemicals Holdings, Inc.,
0.00%/13.50%, 8/15/08............... 76
475 Tekni-Plex, Inc., 9.25%, 3/1/08....... 466
--------
7,809
--------
Clothing/Textiles (1.9%):
750 Coyne International Enterprises,
11.25%, 6/1/08...................... 701
1,000 Delta Mills, Inc., 9.63%, 9/1/07...... 965
200 Dyersburg Corp., 9.75%, 9/1/07........ 101
200 GFSI, Inc., Series B, 9.63%, 3/1/07... 168
500 Pillowtex Corp., 10.00%, 11/15/06..... 498
450 Pillowtex Corp., Series B, 9.00%,
12/15/07............................ 425
--------
2,858
--------
Cosmetics/Toiletries (0.5%):
325 Chattem, Inc., Series B, 8.88%,
4/1/08.............................. 317
500 Playtex Products, Inc., Series B,
8.88%, 7/15/04...................... 509
--------
826
--------
Drugs (0.3%):
500 King Pharmaceutical, Inc., 10.75%,
2/15/09 (c)......................... 518
--------
Ecological Services & Equipment (2.6%):
2,075 Allied Waste of North America, 7.88%,
1/1/09 (d).......................... 1,934
500 American Eco Corp., 9.63%, 5/15/08.... 293
500 Marsulex, Inc., 9.63%, 7/1/08......... 504
1,250 Safety-Kleen Corp., 9.25%, 5/15/09
(c)................................. 1,263
--------
3,994
--------
Electronics/Electric (4.0%):
300 Amphenol Corp., 9.88%, 5/15/07........ 308
1,250 Communication Instruments, 10.00%,
9/15/04............................. 1,131
1,000 Dialog Corp., Series A, 11.00%,
11/15/07............................ 910
1,000 Flextronics International Ltd., 8.75%,
10/15/07............................ 1,000
550 Telecommunications Techniques Co.,
9.75%, 5/15/08...................... 558
1,000 Viasystems, Inc., 9.75%, 6/1/07....... 880
</TABLE>
Continued
80
<PAGE> 83
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
CORPORATE BONDS, CONTINUED:
Electronics/Electric, continued:
$ 175 Viasystems, Inc., Series B, 9.75%,
6/1/07.............................. $ 154
1,175 Wesco Distribution, Inc., 9.13%,
6/1/08.............................. 1,143
--------
6,084
--------
Equipment Leasing (2.0%):
1,000 Coinmach Corp., Series D, 11.75%,
11/15/05............................ 1,082
500 National Equipment Services, 10.00%,
11/30/04............................ 508
150 National Equipment Services, Series B,
10.00%, 11/30/04.................... 152
400 Nationsrent, Inc., 10.38%, 12/15/08... 398
500 United Rentals, Inc., 9.25%,
1/15/09............................. 495
500 United Rentals, Inc., 9.00%, 4/1/09
(c) (d)............................. 493
--------
3,128
--------
Food Service (4.0%):
1,000 American Restaurant Group, Inc.,
11.50%, 2/15/03..................... 915
775 Ameriserve Food Distribution, Inc.,
10.13%, 7/15/07..................... 663
500 Apple South, Inc., 9.75%, 6/1/06...... 490
1,000 Avado Brands, Inc., 11.75%, 6/15/09
(c)................................. 990
750 Dominos, Inc., 10.38%, 1/15/09........ 763
750 Fresh Foods, Inc., 10.75%, 6/1/06..... 748
125 Nebco Evans Holding Co., 0.00%/12.38%,
7/15/07............................. 62
1,375 Volume Services, 11.25%, 3/1/09 (c)... 1,505
--------
6,136
--------
Food/Drug Retailers (1.4%):
350 Agrilink Foods, Inc., 11.88%,
11/1/08............................. 362
225 Aurora Foods, Inc., Series B, 9.88%,
2/15/07............................. 234
100 Aurora Foods, Inc., Series D, 9.88%,
2/15/07............................. 104
150 Community Distributors, Inc., 10.25%,
10/15/04............................ 133
600 Eagle Family Foods, Inc., 8.75%,
1/15/08............................. 540
725 International Home Foods, 10.38%,
11/1/06............................. 765
--------
2,138
--------
Forest Products (1.3%):
1,000 Ainsworth Lumber, 12.50%, 7/15/07..... 1,122
750 Millar Western, 9.88%, 5/15/08........ 727
200 Stone Container Corp., 12.25%,
4/1/02.............................. 201
--------
2,050
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Health Care (5.0%):
$ 250 Alliance Imaging, 9.63%, 12/15/05..... $ 241
350 Conmed Corp., 9.00%, 3/15/08.......... 350
450 Dade International, Inc., Series B,
11.13%, 5/1/06...................... 476
200 Everest Healthcare Services, 9.75%,
5/1/08.............................. 193
750 Fisher Scientific International, Inc.,
9.00%, 2/1/08....................... 716
375 Fisher Scientific International, Inc.,
Add On, 9.00%, 2/1/08............... 358
1,000 Genesis Health Ventures, 9.25%,
10/1/06 (d)......................... 805
1,000 Hanger Orthopedic Group, 11.25%,
6/15/09 (c) (d)..................... 1,020
275 Hudson Respiratory Care, Inc., 9.13%,
4/15/08............................. 231
1,250 Quorum Health, 8.75%, 11/1/05......... 1,225
500 Rose Hill Co., 9.50%, 11/15/04........ 454
1,175 Tenet Healthcare Corp., 8.00%,
1/15/05............................. 1,157
225 Tenet Healthcare Corp., 8.63%,
1/15/07............................. 222
150 Tenet Healthcare Corp., 8.13%,
12/1/08............................. 143
--------
7,591
--------
Hotels/Motels/Inns & Casinos (3.1%):
150 Courtyard By Marriott, Series B,
10.75%, 2/1/08...................... 154
500 Harrahs Operating Company, Inc.,
7.88%, 12/15/05..................... 486
1,150 HMH Properties, Inc., Series B, 7.88%,
8/1/08.............................. 1,066
300 HMH Properties, Inc., Series C, 8.45%,
12/1/08............................. 287
1,000 Horseshoe Gaming Holding, 8.63%,
5/15/09 (c) (d)..................... 976
250 Mohegan Tribal Gaming, 8.13%,
1/1/06.............................. 246
650 Mohegan Tribal Gaming, 8.75%,
1/1/09.............................. 647
750 Prime Hospitality Corp., 9.25%,
1/15/06............................. 754
125 Prime Hospitality Corp., 9.75%,
4/1/07.............................. 122
--------
4,738
--------
Industrial Equipment (3.9%):
104 Alvey Systems, Inc., 11.38%,
1/31/03............................. 106
750 Anchor Lamina, Inc., 9.88%, 2/1/08.... 694
575 Columbus McKinnon Corp., 8.50%,
4/1/08.............................. 555
375 Continental Global Group, Series B,
11.00%, 4/1/07...................... 315
400 Hexcel Corp., 9.75%, 1/15/09 (c)...... 398
</TABLE>
Continued
81
<PAGE> 84
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
CORPORATE BONDS, CONTINUED:
Industrial Equipment, continued:
$ 500 International Knife & Saw, 11.38%,
11/15/06............................ $ 473
1,000 Jackson Products, Inc., 9.50%,
4/15/05............................. 965
200 Neenah Corp., Series B, 11.13%,
5/1/07.............................. 197
500 Precision Partners, Inc., 12.00%,
3/15/09 (c)......................... 480
1,250 Simonds Industries, 10.25%, 7/1/08.... 1,230
500 Westinghouse Electric, 9.38%, 6/15/05
(c)................................. 510
--------
5,923
--------
Leisure (3.9%):
337 AMF Bowling Worldwide, Series B,
0.00%/12.25%, 3/15/06............... 207
1,500 Bally Total Fitness Holding, 9.88%,
10/15/07............................ 1,462
300 Leslie's Poolmart, 10.38%, 7/15/04.... 302
50 Premier Parks, Inc., 9.25%, 4/1/06.... 50
325 Premier Parks, Inc., 9.75%, 1/15/07... 349
750 Premier Parks, Inc., 9.75%, 6/15/07... 761
375 Premier Parks, Inc., 0.00%/10.00%,
4/1/08.............................. 251
1,000 SFX Entertainment, Inc., 9.13%,
12/1/08............................. 975
450 Six Flags Theme Parks, Series A,
12.25%, 6/15/05..................... 504
1,000 Speedway Motorsports, Inc., 8.50%,
8/15/07 (c)......................... 1,015
--------
5,876
--------
Nonferrous Metals/Minerals (1.7%):
350 AEI Resources, Inc., 10.50%, 12/15/05
(c)................................. 348
400 AEI Resources, Inc., 11.50%, 12/15/06
(c)................................. 393
1,250 Easco Corp., 10.00%, 3/15/01.......... 1,263
150 Euramax International, Inc., 11.25%,
10/1/06............................. 152
500 Oglebay Norton Co., 10.00%, 2/1/09.... 480
--------
2,636
--------
Oil & Gas (2.4%):
250 Chiles Offshore LLC, 10.00%, 5/1/08... 209
450 Dailey International, Inc., Series B,
9.50%, 2/15/08 (f).................. 286
450 Forcenergy, Inc., 8.50%, 2/15/07 (d)
(g)................................. 317
750 Giant Industries, Inc., 9.75%,
11/15/03............................ 725
250 ISG Resources, Inc., 10.00%,
4/15/08............................. 258
100 KCS Energy, Inc., 8.88%, 1/15/08...... 18
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Oil & Gas, continued:
$ 250 Pogo Producing Co., Series B, 8.75%,
5/15/07............................. $ 238
375 Pride Petroleum Services, Inc., 9.38%,
5/1/07.............................. 373
150 Statia Terminals, 11.75%, 11/15/03.... 159
267 Transcontinental Refining Corp.,
15.00%, 12/1/03 (c)................. 254
802 Transcontinental Refining Corp.,
15.00%, 12/1/03 (c)................. 760
--------
3,597
--------
Publishing (4.6%):
500 American Lawyer Media, 9.75%,
12/15/07............................ 513
650 Garden State Newspapers, Series B,
8.75%, 10/1/09...................... 640
500 Hollinger International Publishing,
8.63%, 3/15/05...................... 509
400 Hollinger International Publishing,
9.25%, 2/1/06....................... 410
250 Hollinger International Publishing,
9.25%, 3/15/07...................... 258
275 K-III Communications Corp., 8.50%,
2/1/06.............................. 277
1,300 Liberty Group Publishing, 9.38%,
2/1/08.............................. 1,228
500 Liberty Group Publishing,
0.00%/11.63%, 2/1/09................ 273
1,000 Perry-Judd, 10.63%, 12/15/07.......... 995
750 Phoenix Color Corp., 10.38%, 2/1/09... 739
1,250 Primedia, Inc., 7.63%, 4/1/08......... 1,199
--------
7,041
--------
Rail Industries (0.1%):
125 Johnstown America Industries, Inc.,
Series C, 11.75%, 8/15/05........... 133
--------
Retailers (Other than Food & Drug) (3.4%):
500 Albecca, Inc., 10.75%, 8/15/08........ 410
1,250 Central Tractor, 10.63%, 4/1/07....... 1,281
1,250 Frank's Nursery & Crafts, 10.25%,
3/1/08.............................. 1,250
1,250 G & G Retail, Inc., 11.00%, 5/15/06
(c)................................. 1,148
750 Just For Feet, Inc., 11.00%, 5/1/09
(c) (d)............................. 488
200 K-Mart Corp., 13.50%, 1/1/09.......... 205
400 Travelcenters of America, 10.25%,
4/1/07.............................. 400
--------
5,182
--------
</TABLE>
Continued
82
<PAGE> 85
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
CORPORATE BONDS, CONTINUED:
Steel (1.3%):
$ 200 Metals USA, Inc., 8.63%, 2/15/08...... $ 187
1,500 NS Group, Inc., 13.50%, 7/15/03....... 1,537
250 Ryerson Tull, Inc., 8.50%, 7/15/01.... 256
--------
1,980
--------
Surface Transport (1.0%):
1,000 Allied Holdings, Inc., Series B,
8.63%, 10/1/07...................... 945
325 AmeriTruck Distribution, Series B,
12.25%, 11/15/05 (e)................ 21
400 Gearbulk Holdings Ltd., 11.25%,
12/1/04............................. 413
150 Newport News Shipbuilding, 9.25%,
12/1/06............................. 156
--------
1,535
--------
Telecommunications/Mobile, Cellular (17.4%):
1,000 Alaska Communications, 9.38%, 5/15/09
(c)................................. 965
350 American Cellular Corp., 10.50%,
5/15/08............................. 357
325 Arch Communication, Inc., 12.75%,
7/1/07.............................. 281
725 Call-Net Enterprises, Inc.,
0.00%/9.27%, 8/15/07................ 464
525 Call-Net Enterprises, Inc.,
0.00%/8.94%, 8/15/08................ 294
1,000 CCPR Services, Inc., 10.00%, 2/1/07... 1,073
1,000 Centennial Cellular Corp., 10.75%,
12/15/08............................ 1,038
375 Comcast Cellular Holdings, Inc.,
Series B, 9.50%, 5/1/07............. 421
1,125 Convergent Communication, 13.00%,
4/1/08.............................. 985
1,000 Crown Castle International Corp.,
9.00%, 5/15/11 (c).................. 983
500 Dobson/Sygnet, 12.25%, 12/15/08....... 528
1,000 DTI Holdings, Inc., 0.00%/12.50%,
3/1/08.............................. 375
225 E. Spire Communications, Inc.,
0.00%/13.00%, 11/1/05............... 120
200 E. Spire Communications, Inc.,
0.00%/12.75%, 4/1/06................ 109
125 Facilicom International, 10.50%,
1/15/08............................. 98
750 GCI, Inc., 9.75%, 8/1/07.............. 743
550 Hermes Europe Railtel, 11.50%,
8/15/07............................. 582
225 Hermes Europe Railtel, 10.38%,
1/15/09............................. 229
450 ICG Holdings, Inc., 0.00%/12.50%,
5/1/06.............................. 353
400 ICG Holdings, Inc., 0.00%/11.63%,
3/15/07............................. 279
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Telecommunications/Mobile, Cellular, continued:
$ 525 Intermedia Communications,
0.00%/12.25%, 3/1/09................ $ 294
1,100 Intermedia Communications, Series B,
0.00%/11.25%, 7/15/07............... 789
100 Intermedia Communications, Series B,
8.88%, 11/1/07...................... 94
350 Intermedia Communications, Series B,
8.60%, 6/1/08....................... 324
625 IXC Communications, Inc., 9.00%,
4/15/08............................. 600
1,025 Level 3 Communications, Inc.,
0.00%/10.50%, 12/1/08 (d)........... 636
750 McLeod USA, Inc., 0.00%/10.50%,
3/1/07.............................. 578
150 McLeod USA, Inc., 9.25%, 7/15/07...... 150
100 McLeod USA, Inc., 8.38%, 3/15/08...... 94
225 McLeod USA, Inc., 8.13%, 2/15/09
(c)................................. 209
625 Metrocall, Inc., 10.38%, 10/1/07...... 469
250 Metromedia Fiber Network, 10.00%,
11/15/08............................ 258
200 Metronet Communications, 12.00%,
8/15/07............................. 229
1,150 Metronet Communications, 0.00%/9.95%,
6/15/08............................. 851
225 Metronet Communications, 10.63%,
11/1/08 (c)......................... 255
525 Millicom International Cellular,
0.00%/13.50%, 6/1/06 (c)............ 389
1,050 Nextel Communications, 0.00%/10.65%,
9/15/07 (d)......................... 769
1,125 Nextel Communications, 0.00%/9.95%,
2/15/08............................. 776
200 Nextel International, Inc.,
0.00%/12.13%, 4/15/08............... 101
225 Nextel Partners, Inc., 0.00%/14.00%,
2/1/09 (c).......................... 133
400 Nextlink Communications, 9.63%,
10/1/07............................. 391
375 Nextlink Communications, 9.45%,
4/15/08............................. 225
400 Orange PLC., 8.00%, 8/1/08 (d)........ 384
725 Paging Network, 10.00%, 10/15/08
(d)................................. 562
275 Pathnet, Inc., 12.25%, 4/15/08........ 155
500 Price Communication Wire, 9.13%,
12/15/06............................ 508
250 PSINET, Inc., 11.50%, 11/1/08 (d)..... 265
350 PSINET, Inc., Series B, 10.00%,
2/15/05............................. 354
</TABLE>
Continued
83
<PAGE> 86
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
CORPORATE BONDS, CONTINUED:
Telecommunications/Mobile, Cellular, continued:
$ 1,075 Qwest Communications International,
0.00%/9.47%, 10/15/07............... $ 844
200 Qwest Communications International,
7.50%, 11/1/08...................... 195
1,000 Rogers Cantel, Inc., 8.80%, 10/1/07... 1,001
900 Rogers Communications, 8.88%,
7/15/07............................. 909
586 Rural Cellular, 9.63%, 5/15/08........ 592
275 Sitel Corp., 9.25%, 3/15/06........... 232
500 Splitrock Services, Inc., 11.75%,
7/15/08............................. 470
400 Telesystem International Wireless,
Inc., Series B, 0.00%/13.25%,
6/30/07............................. 218
350 Telesystem International Wireless,
Inc., Series C, 0.00%/10.50%,
11/1/07............................. 163
175 US Xchange LLC, 15.00%, 7/1/08........ 183
250 USA Mobile Communications, 14.00%,
11/1/04 (d)......................... 233
150 Verio, Inc., 11.25%, 12/1/08.......... 156
400 Viatel, Inc., 0.00%/12.50%, 4/15/08... 258
--------
26,573
--------
Utilities (0.6%):
150 CMS Energy Corp, 7.50%, 1/15/09....... 140
400 El Paso Electric Co., Series E, 9.40%,
5/1/11.............................. 443
350 Niagara Mohawk Power Corp.,
0.00%/8.50%, 7/1/10................. 264
--------
847
--------
Total Corporate Bonds 142,803
--------
PREFERRED STOCKS (1.2%):
Broadcast Radio & TV (0.7%):
0 Benedek Communications, 11.50%, PIK
(b)................................. 159
1 Capstar Broadcasting, Inc., 12.00%,
PIK................................. 110
2 Capstar Communications, 12.63%, PIK... 174
0 Cumulus Media, Inc., Series A, 13.75%
(b)................................. 189
4 Sinclair Capital, 11.63%,
Cumulative.......................... 377
--------
1,009
--------
Cable Television (0.0%):
0 Pegasus Communications, 12.75%, PIK
(b)................................. 1
--------
Food Service (0.0%):
1 Nebco Evans Holding Co., 11.25%,
PIK................................. 46
--------
Health Care (0.0%):
1 River Holding Corp., Series B, 11.50%,
PIK................................. 37
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
Oil & Gas (0.0%):
$ 41 Transcontinental Refining Corp.,
6.00%................................. $ 27
21 Transcontinental Refining Corp., Class
B................................... 1
11 Transcontinental Refining Corp., Class
C................................... 1
62 Transcontinental Refining Corp., Class
E................................... 4
30 Transcontinental Refining Corp., Class
D................................... 2
--------
35
--------
Publishing (0.4%):
5 Primedia, Inc., Series F, 9.20%....... 516
1 Primedia, Inc., Series H, 8.63%....... 95
--------
611
--------
Telecommunications/Mobile, Cellular (0.1%):
0 Nextel Communications, 11.13%, PIK
(b)................................. 141
--------
Total Preferred Stocks 1,880
--------
WARRANTS (0.1%):
Cable Television (0.0%):
0 Pegasus Communications (b)............ 11
0 UIH Australia/Pacific (b)............. 0
--------
11
--------
Telecommunications/Mobile, Cellular (0.1%):
5 Convergent Communications............. 33
5 DTI Holdings, Inc. (c)................ 1
0 Metronet Communications, Inc. (b)..... 22
0 Pathnet, Inc. (b) (c)................. 3
1 Splitrock Services, Inc............... 10
--------
69
--------
Total Warrants 80
--------
INVESTMENT COMPANIES (1.1%):
1,678 One Group Prime Money Market Fund,
Class I............................. 1,678
--------
Total Investment Companies 1,678
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (5.2%):
Master Notes (0.4%):
202 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................. 202
201 Merrill Lynch, 6.20%, 7/1/99*......... 201
109 NationsBanc Capital Markets, 6.20%,
7/1/99*............................. 109
73 PHH CFC Leasing, 5.10%, 8/11/99*...... 73
85 Willamette Industries, Inc., 5.07%,
9/14/99*............................ 85
--------
670
--------
</TABLE>
Continued
84
<PAGE> 87
- --------------------------------------------------------------------------------
One Group Mutual Funds
High Yield 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>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds (2.8%):
$ 402 Amex Centurion, 5.10%, 5/5/00*........ $ 402
202 Bear Stearns, 6.23%, 1/7/00*.......... 202
202 Branch Banking and Trust, 5.14%,
5/25/00*............................ 202
161 Caterpillar Finance, 5.20%, 5/1/01*... 161
202 Chase Manhattan, 5.17%, 5/4/01*....... 202
202 Chase Manhattan, 5.26%, 5/6/02*....... 202
202 Fleet National Bank, 5.07%,
4/18/00*............................ 202
202 Ford Motor Credit, 5.14%, 11/27/00*... 202
202 GMAC MTN, 5.23%, 4/30/01*............. 202
202 GMAC MTN, 5.22%, 5/03/01*............. 202
121 Greenwich Capital Markets, 5.41%,
7/9/01*............................. 121
282 Jackson National, 6.37%, 5/15/00*..... 282
202 JP Morgan and Co., 5.10%, 5/4/00*..... 202
202 JP Morgan and Co., 5.16%, 5/4/01*..... 202
282 Liberty Lighthouse, 5.15%, 5/5/00*.... 282
202 Merrill Lynch, 5.31%, 5/6/02*......... 202
202 Salomon Smith Barney, 5.38%,
4/12/01*............................ 202
202 Sigma Finance, Inc., 5.14%,
3/31/00*............................ 202
363 SPARCC, 5.38%, 3/24/00*............... 363
--------
4,237
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (2.0%):
$ 605 Goldman Sachs, 6.09%, 7/1/99
(Collateralized by $642 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$639)............................... $ 605
366 Lehman Brothers, 5.85%, 7/1/99
(Collateralized by $384 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$384)............................... 366
1,209 Merrill Lynch, 6.10%, 7/1/99
(Collateralized by $1,274 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$1,271)............................. 1,209
807 Paine Webber, 6.00%, 7/1/99,
(Collateralized by $858 various
Corporate Bonds, 6.00% - 9.45%,
6/15/00 - 11/15/46, market value
$847)............................... 807
--------
2,987
--------
Total Short-Term Securities Held as Collateral 7,894
--------
Total (Cost $166,012) (a) $160,422
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $152,595.
(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...................... $ 1,427
Unrealized depreciation...................... (7,017)
-------
Net unrealized appreciation (depreciation)... $(5,590)
=======
</TABLE>
(b) Amount is less than 1,000.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $25,251 or 16.6% of net assets.
(d) A portion of this security was loaned as of June 30, 1999.
(e) AmeriTruck Distribution, which filed for protection under Chapter 11 of the
Federal Bankruptcy Code, has accrued interest of $19,906 and amortized cost
of $345,312.
(f) Dailey International, Inc., which filed for protection under Chapter 11 of
the Federal Bankruptcy Code, has accrued interest of $16,141 and amortized
cost of $448,946.
(g) Forcenergy, Inc., which filed for protection under Chapter 11 of the Federal
Bankruptcy Code, has $0 accrued interest (trades with accrued interest in
market value) and amortized cost of $444,789.
* 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.
PIK Payment-In-Kind
See notes to financial statements.
85
<PAGE> 88
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in thousands, except per share amounts)
<TABLE>
<CAPTION>
ULTRA
SHORT-TERM SHORT-TERM INTERMEDIATE
BOND FUND BOND FUND BOND FUND BOND FUND
---------- ---------- ------------ ---------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value...................................... $290,114 $917,025 $1,692,319 $1,670,127
Repurchase agreements, at cost............................. -- 50,014 132,612 150,051
-------- -------- ---------- ----------
Total (cost $291,549; $966,905; $1,839,968; $1,807,375
respectively)............................................ 290,114 967,039 1,824,931 1,820,178
Cash....................................................... -- -- 22 11
Interest and dividends receivable.......................... 1,470 9,417 14,385 11,503
Receivable for capital shares issued....................... 16 52 3,052 669
Receivable from brokers for investments sold............... 195 145 316 888
Prepaid expenses and other assets.......................... 3 10 4 7
-------- -------- ---------- ----------
TOTAL ASSETS............................................... 291,798 976,663 1,842,710 1,833,256
-------- -------- ---------- ----------
LIABILITIES:
Dividends payable.......................................... 1,274 3,935 7,797 8,649
Payable to brokers for investments purchased............... -- 8,558 -- 2,404
Payable for capital shares redeemed........................ 30 9 41 227
Net payable for variation margin on futures contracts...... 15 -- -- --
Payable for return of collateral received for securities on
loan..................................................... -- 132,163 268,510 296,096
Accrued expenses and other payables:
Investment advisory fees................................. 71 238 474 495
Administration fees...................................... 5 115 201 164
12b-1 fees............................................... 18 19 145 94
Other.................................................... 88 246 381 275
-------- -------- ---------- ----------
TOTAL LIABILITIES.......................................... 1,501 145,283 277,549 308,404
-------- -------- ---------- ----------
NET ASSETS:
Capital.................................................... 296,827 843,056 1,586,672 1,530,632
Undistributed (distributions in excess of) net investment
income................................................... 140 (63) 53 (188)
Accumulated undistributed net realized gains (losses) from
investment and futures transactions...................... (5,235) (11,747) (6,527) (18,395)
Net unrealized appreciation (depreciation) from investments
and futures.............................................. (1,435) 134 (15,037) 12,803
-------- -------- ---------- ----------
NET ASSETS................................................. $290,297 $831,380 $1,565,161 $1,524,852
======== ======== ========== ==========
NET ASSETS:
Class I.................................................. $259,873 $804,883 $1,385,890 $1,330,527
Class A.................................................. 24,300 21,450 124,940 180,058
Class B.................................................. 6,124 5,047 37,681 13,812
Class C.................................................. -- -- 16,650 455
-------- -------- ---------- ----------
Total...................................................... $290,297 $831,380 $1,565,161 $1,524,852
======== ======== ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................. 26,589 77,392 134,833 128,665
Class A.................................................. 2,487 2,064 12,154 17,415
Class B.................................................. 630 482 3,702 1,336
Class C.................................................. -- -- 1,635 44
-------- -------- ---------- ----------
Total...................................................... 29,706 79,938 152,324 147,460
======== ======== ========== ==========
NET ASSET VALUE
Class I Offering and redemption price per share.......... $ 9.77 $ 10.40 $ 10.28 $ 10.34
======== ======== ========== ==========
Class A Redemption price per share....................... $ 9.77 $ 10.39 $ 10.28 $ 10.34
======== ======== ========== ==========
Maximum sales charge................................. 3.00% 3.00% 4.50% 4.50%
======== ======== ========== ==========
Maximum offering price per share
(100%/(100% -- maximum sales charge) of net asset
value adjusted to nearest cent).................... $ 10.07 $ 10.71 $ 10.76 $ 10.83
======== ======== ========== ==========
Class B Offering price per share (a)..................... $ 9.72 $ 10.46 $ 10.18 $ 10.34
======== ======== ========== ==========
Class C Offering price per share (a)..................... $ 10.18 $ 10.38
========== ==========
</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.
86
<PAGE> 89
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in thousands, except per share amounts)
<TABLE>
<CAPTION>
TREASURY &
INCOME GOVERNMENT AGENCY HIGH YIELD
BOND FUND BOND FUND FUND BOND FUND
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value...................................... $1,569,490 $1,058,402 $219,976 $157,435
Repurchase agreements, at cost............................. 103,649 37,704 34,354 2,987
---------- ---------- -------- --------
Total (cost $1,670,661; $1,100,815; $259,078; $166,012
respectively)............................................ 1,673,139 1,096,106 254,330 160,422
Cash....................................................... 9 -- -- --
Interest and dividends receivable.......................... 17,976 9,415 3,430 3,178
Receivable for capital shares issued....................... 17 164 620 8
Receivable from brokers for investments sold............... 121 36 -- 146
Net receivable for variation margin on futures contracts... -- 87 -- --
Deferred organizational costs.............................. 4 -- -- --
Prepaid expenses and other assets.......................... 1 11 2 49
---------- ---------- -------- --------
TOTAL ASSETS............................................... 1,691,267 1,105,819 258,382 163,803
---------- ---------- -------- --------
LIABILITIES:
Dividends payable.......................................... 6,790 5,284 1,033 1,068
Payable to brokers for investments purchased............... 32,845 -- -- 2,047
Payable for capital shares redeemed........................ 53 105 11 --
Payable for return of collateral received for securities on
loan..................................................... 273,893 37,704 34,354 7,942
Accrued expenses and other payables:
Investment advisory fees................................. 448 390 37 73
Administration fees...................................... 182 115 13 19
12b-1 fees............................................... 47 100 119 9
Other.................................................... 395 240 91 50
---------- ---------- -------- --------
TOTAL LIABILITIES.......................................... 314,653 43,938 35,658 11,208
---------- ---------- -------- --------
NET ASSETS:
Capital.................................................... 1,446,575 1,081,731 227,271 159,387
Undistributed (distributions in excess of) net investment
income................................................... 305 (100) -- --
Accumulated undistributed net realized gains (losses) from
investment and futures transactions...................... (72,744) (14,831) 201 (1,202)
Net unrealized appreciation (depreciation) from investments
and futures.............................................. 2,478 (4,919) (4,748) (5,590)
---------- ---------- -------- --------
NET ASSETS................................................. $1,376,614 $1,061,881 $222,724 $152,595
========== ========== ======== ========
NET ASSETS:
Class I.................................................. $1,328,702 $ 964,576 $ 79,958 $137,433
Class A.................................................. 31,603 42,819 72,941 11,405
Class B.................................................. 16,309 53,384 69,825 3,748
Class C.................................................. -- 1,102 -- 9
---------- ---------- -------- --------
Total...................................................... $1,376,614 $1,061,881 $222,724 $152,595
========== ========== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................. 172,994 99,108 8,150 13,925
Class A.................................................. 4,116 4,399 7,434 1,156
Class B.................................................. 2,116 5,483 7,121 379
Class C.................................................. -- 113 -- 1
---------- ---------- -------- --------
Total...................................................... 179,226 109,103 22,705 15,461
========== ========== ======== ========
NET ASSET VALUE
Class I Offering and redemption price per share.......... $ 7.68 $ 9.73 $ 9.81 $ 9.87
========== ========== ======== ========
Class A Redemption price per share....................... $ 7.68 $ 9.73 $ 9.81 $ 9.86
========== ========== ======== ========
Maximum sales charge................................. 4.50% 4.50% 3.00% 4.50%
========== ========== ======== ========
Maximum offering price per share
(100%/(100% -- maximum sales charge) of net asset
value adjusted to nearest cent).................... $ 8.04 $ 10.19 $ 10.11 $ 10.32
========== ========== ======== ========
Class B Offering price per share (a)..................... $ 7.71 $ 9.74 $ 9.81 $ 9.88
========== ========== ======== ========
Class C Offering price per share (a)..................... $ 9.74 $ 9.87
========== ========
</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.
87
<PAGE> 90
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
ULTRA
SHORT-TERM SHORT-TERM
BOND FUND BOND FUND INTERMEDIATE BOND FUND
---------- ---------- --------------------------
YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
1999 1999 1999 1998
-------- -------- ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $14,559 $ 41,944 $ 37,980 $39,491
Dividend income............................................. 221 289 543 --
Income from securities lending.............................. -- 255 168 --
------- -------- -------- -------
Total Income................................................ 14,780 42,488 38,691 39,491
------- -------- -------- -------
EXPENSES:
Investment advisory fees.................................... 1,366 4,152 3,097 2,349
Administration fees......................................... 404 1,123 912 881
12b-1 fees (Class A)........................................ 81 64 155 212
12b-1 fees (Class B)........................................ 56 51 99 6
12b-1 fees (Class C)........................................ -- -- 37 --
Custodian and accounting fees............................... 38 72 65 124
Legal and audit fees........................................ 7 19 29 60
Trustees' fees and expenses................................. 3 9 13 5
Transfer agent fees......................................... 51 92 157 279
Registration and filing fees................................ 77 61 71 62
Printing costs.............................................. 17 53 95 16
Other....................................................... 9 12 3 116
------- -------- -------- -------
Total expenses before waivers............................... 2,109 5,708 4,733 4,110
Less waivers................................................ (1,225) (1,968) (942) --
------- -------- -------- -------
Net Expenses................................................ 884 3,740 3,791 4,110
------- -------- -------- -------
Net Investment Income....................................... 13,896 38,748 34,900 35,381
------- -------- -------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES
Net realized gains (losses) from investment and futures
transactions.............................................. (691) 1,942 (379) 2,568
Net change in unrealized appreciation (depreciation) from
investments and futures................................... (2,163) (10,835) (37,645) 4,718
------- -------- -------- -------
Net realized/unrealized gains (losses) from investments and
futures................................................... (2,854) (8,893) (38,024) 7,286
------- -------- -------- -------
Change in net assets resulting from operations.............. $11,042 $ 29,855 $ (3,124) $42,667
======= ======== ======== =======
</TABLE>
See notes to financial statements.
88
<PAGE> 91
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
BOND FUND INCOME BOND FUND
-------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1998 1999 1998
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 53,511 $ 95,272 $ 30,053 $13,348
Dividend income............................................. 681 -- 580 --
Income from securities lending.............................. 143 -- 162 --
-------- -------- -------- -------
Total Income................................................ 54,335 95,272 30,795 13,348
-------- -------- -------- -------
EXPENSES:
Investment advisory fees.................................... 3,737 5,675 2,566 827
Administration fees......................................... 1,163 2,128 747 310
12b-1 fees (Class A)........................................ 303 516 39 31
12b-1 fees (Class B)........................................ 51 60 49 6
12b-1 fees (Class C)........................................ 1 -- -- --
Custodian and accounting fees............................... 92 207 56 44
Legal and audit fees........................................ 33 80 27 39
Organizational costs........................................ -- -- 4 10
Trustees' fees and expenses................................. 23 12 11 3
Transfer agent fees......................................... 283 665 76 65
Registration and filing fees................................ 83 155 54 36
Printing costs.............................................. 82 39 99 5
Other....................................................... 1 50 4 23
-------- -------- -------- -------
Total expenses before waivers............................... 5,852 9,587 3,732 1,399
Less waivers................................................ (842) -- (724) --
-------- -------- -------- -------
Net Expenses................................................ 5,010 9,587 3,008 1,399
-------- -------- -------- -------
Net Investment Income....................................... 49,325 85,685 27,787 11,949
-------- -------- -------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND FUTURES
Net realized gains (losses) from investment and futures
transactions.............................................. 156 3,839 1,520 3,788
Net change in unrealized appreciation (depreciation) from
investments and futures................................... (63,408) 21,185 (46,355) (2,293)
-------- -------- -------- -------
Net realized/unrealized gains (losses) from investments and
futures................................................... (63,252) 25,024 (44,835) 1,495
-------- -------- -------- -------
Change in net assets resulting from operations.............. $(13,927) $110,709 $(17,048) $13,444
======== ======== ======== =======
</TABLE>
See notes to financial statements.
89
<PAGE> 92
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in thousands)
<TABLE>
<CAPTION>
GOVERNMENT TREASURY & HIGH YIELD
BOND FUND AGENCY FUND BOND FUND
---------- ----------- ------------
YEAR YEAR NOVEMBER 13,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, JUNE 30,
1999 1999 1999(a)
-------- -------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 66,490 $11,785 $ 4,494
Dividend income............................................. 722 172 39
Income from securities lending.............................. 173 20 11
-------- ------- -------
Total Income................................................ 67,385 11,977 4,544
-------- ------- -------
EXPENSES:
Investment advisory fees.................................... 4,745 809 364
Administration fees......................................... 1,712 328 78
12b-1 fees (Class A)........................................ 134 238 8
12b-1 fees (Class B)........................................ 396 437 6
12b-1 fees (Class C)........................................ 1 -- --(b)
Custodian and accounting fees............................... 112 17 18
Legal and audit fees........................................ 17 7 21
Organizational costs........................................ -- 3 --
Trustees' fees and expenses................................. 13 2 --(b)
Transfer agent fees......................................... 101 49 19
Registration and filing fees................................ 96 74 61
Printing costs.............................................. 64 17 6
Other....................................................... 58 3 --
-------- ------- -------
Total expenses before waivers............................... 7,449 1,984 581
Less waivers................................................ (420) (768) (138)
-------- ------- -------
Net Expenses................................................ 7,029 1,216 443
-------- ------- -------
Net Investment Income....................................... 60,356 10,761 4,101
-------- ------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES
Net realized gains (losses) from investment and futures
transactions.............................................. 509 1,522 (724)
Net change in unrealized appreciation (depreciation) from
investments and futures................................... (41,455) (7,604) (2,977)
-------- ------- -------
Net realized/unrealized gains (losses) from investments and
futures................................................... (40,946) (6,082) (3,701)
-------- ------- -------
Change in net assets resulting from operations.............. $ 19,410 $ 4,679 $ 400
======== ======= =======
</TABLE>
- ---------------
(a) Period from commencement of operations.
(b) Amount is less than $1,000.
See notes to financial statements.
90
<PAGE> 93
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
ULTRA SHORT-TERM SHORT-TERM INTERMEDIATE
BOND FUND BOND FUND BOND FUND
---------------------- ----------------------- ----------------------------------------
YEAR YEAR YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1999 1998 1997
-------- --------- --------- --------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss).... $13,896 $ 11,971 $ 38,748 $ 35,814 $ 34,900 $ 35,381 $ 29,517
Net realized gains (losses) from
investment and futures
transactions.................. (691) (446) 1,942 (2,526) (379) 2,568 453
Net change in unrealized
appreciation (depreciation)
from investments and
futures....................... (2,163) 200 (10,835) 4,699 (37,645) 4,718 8,279
-------- --------- --------- --------- ---------- --------- ---------
Change in net assets resulting
from operations................. 11,042 11,725 29,855 37,987 (3,124) 42,667 38,249
-------- --------- --------- --------- ---------- --------- ---------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income...... (12,265) (9,591) (37,526) (34,511) (31,201) (30,769) (27,921)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income...... (1,232) (2,049) (969) (1,040) (2,929) (4,974) (1,483)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income...... (268) (177) (253) (263) (512) (36) (13)
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment income...... -- -- -- -- (193) -- --
-------- --------- --------- --------- ---------- --------- ---------
Change in net assets from
shareholder distributions....... (13,765) (11,817) (38,748) (35,814) (34,835) (35,779) (29,417)
-------- --------- --------- --------- ---------- --------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued..... 158,780 210,232 125,155 120,557 209,463 216,824 213,560
Proceeds from shares issued in
Pegasus acquisition........... -- -- 313,282 -- 914,740 -- --
Proceeds from shares issued in
conversion.................... -- 1,303 -- 41,843 -- 24,556 --
Dividends reinvested............ 1,367 1,953 1,737 2,149 8,279 18,448 17,878
Cost of shares redeemed......... (84,538) (142,859) (213,003) (142,574) (185,900) (135,585) (128,414)
-------- --------- --------- --------- ---------- --------- ---------
Change in net assets from share
transactions.................... 75,609 70,629 227,171 21,975 946,582 124,243 103,024
-------- --------- --------- --------- ---------- --------- ---------
Change in net assets............. 72,886 70,537 218,278 24,148 908,623 131,131 111,856
NET ASSETS:
Beginning of period............. 217,411 146,874 613,102 588,954 656,538 525,407 413,551
-------- --------- --------- --------- ---------- --------- ---------
End of period................... $290,297 $ 217,411 $ 831,380 $ 613,102 $1,565,161 $ 656,538 $ 525,407
======== ========= ========= ========= ========== ========= =========
SHARE TRANSACTIONS:
Issued.......................... 16,151 21,267 11,887 11,459 20,119 20,524 20,655
Issued in Pegasus acquisition... -- -- 29,835 -- 87,346 -- --
Issued in conversion............ -- 132 -- 3,970 -- 2,318 --
Reinvested...................... 139 198 164 204 789 1,754 1,734
Redeemed........................ (8,606) (14,453) (20,295) (13,545) (17,831) (12,843) (12,417)
-------- --------- --------- --------- ---------- --------- ---------
Change in shares................. 7,684 7,144 21,591 2,088 90,423 11,753 9,972
======== ========= ========= ========= ========== ========= =========
</TABLE>
See notes to financial statements.
91
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- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
BOND FUND INCOME BOND FUND
----------------------------------------- ----------------------------------------
SIX MONTHS YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997 1999 1998 1997
---------- ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............. $ 49,325 $ 85,685 $ 65,310 $ 27,787 $ 11,949 $ 8,533
Net realized gains (losses) from
investment and futures transactions.... 156 3,839 801 1,520 3,788 263
Net change in unrealized appreciation
(depreciation) from investments and
futures................................ (63,408) 21,184 34,887 (46,355) (2,293) 1,982
---------- ---------- ---------- ---------- -------- ---------
Change in net assets resulting from
operations............................... (13,927) 110,708 100,998 (17,048) 13,444 10,778
---------- ---------- ---------- ---------- -------- ---------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income............... (42,447) (73,570) (60,755) (27,011) (11,104) (8,031)
From net realized gains from investment
transactions........................... -- -- -- (2,726) (2,199) (230)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............... (6,544) (12,214) (4,500) (705) (707) (483)
From net realized gains from investment
transactions........................... -- -- -- (114) (85) (19)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income............... (290) (313) (74) (247) (26) (23)
From net realized gain from investment
transactions........................... -- -- -- (5) (3) (1)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income............... (4)
---------- ---------- ---------- ---------- -------- ---------
Change in net assets from shareholder
distributions............................ (49,285) (86,097) (65,329) (30,808) (14,124) (8,787)
---------- ---------- ---------- ---------- -------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.............. 267,726 588,643 525,892 92,514 33,090 10,311
Proceeds from shares issued in Pegasus
acquisition............................ -- -- -- 1,026,073 -- --
Proceeds from shares issued in
conversion............................. -- -- -- -- 330,845 --
Dividends reinvested..................... 20,507 47,400 36,740 3,485 2,701 725
Cost of shares redeemed.................. (212,749) (378,877) (172,382) (99,697) (66,770) (106,530)
---------- ---------- ---------- ---------- -------- ---------
Change in net assets from share
transactions............................. 75,484 257,166 390,250 1,022,375 299,866 (95,494)
---------- ---------- ---------- ---------- -------- ---------
Change in net assets...................... 12,272 281,777 425,919 974,519 299,186 (93,503)
NET ASSETS:
Beginning of period...................... 1,512,580 1,230,803 804,884 402,095 102,909 196,412
---------- ---------- ---------- ---------- -------- ---------
End of period............................ $1,524,852 $1,512,580 $1,230,803 $1,376,614 $402,095 $ 102,909
========== ========== ========== ========== ======== =========
SHARE TRANSACTIONS:
Issued................................... 25,305 54,999 50,865 11,824 4,402 1,313
Issued in Pegasus acquisition............ -- -- -- 130,022 -- --
Issued in conversion..................... -- -- -- -- 40,332 --
Reinvested............................... 1,927 4,444 3,560 441 335 92
Redeemed................................. (20,108) (35,287) (16,599) (12,726) (8,258) (13,570)
---------- ---------- ---------- ---------- -------- ---------
Change in shares.......................... 7,124 24,156 37,826 129,561 36,811 (12,165)
========== ========== ========== ========== ======== =========
</TABLE>
See notes to financial statements.
92
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One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
GOVERNMENT TREASURY & AGENCY HIGH YIELD
BOND FUND FUND BOND FUND
---------------------- ------------------- ------------
YEAR YEAR YEAR YEAR NOVEMBER 13,
ENDED ENDED ENDED ENDED 1998 TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998 1999(a)
---------- --------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss).................. $ 60,356 $ 50,777 $10,761 $ 7,103 $ 4,101
Net realized gains (losses) from investment
and futures transactions.................... 509 6,626 1,522 430 (724)
Net change in unrealized appreciation
(depreciation) from investments and
futures..................................... (41,455) 27,673 (7,604) 1,288 (2,977)
---------- --------- -------- -------- --------
Change in net assets resulting from
operations.................................... 19,410 85,076 4,679 8,821 400
---------- --------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.................... (56,313) (48,072) (5,060) (6,265) (3,864)
From net realized gains from investment
transactions................................ -- -- (654) (474) --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.................... (2,114) (1,922) (3,606) (626) (190)
From net realized gains from investment
transactions................................ -- -- (484) (32) --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.................... (1,922) (783) (2,095) (212) (47)
From net realized gain from investment
transactions................................ -- -- (273) (12) --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income.................... (7) -- -- -- --(b)
From net realized gain from investment
transactions................................ -- -- -- -- --
---------- --------- -------- -------- --------
Change in net assets from shareholder
distributions................................. (60,356) (50,777) (12,172) (7,621) (4,101)
---------- --------- -------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued................... 278,810 252,076 161,303 54,786 77,432
Proceeds from shares issued in Pegasus
acquisition................................. -- -- -- -- 84,851
Proceeds from shares issued in Marquis
acquisition................................. 144,002 -- -- -- --
Proceeds from shares issued in conversion..... -- 26,687 -- -- --
Dividends reinvested.......................... 3,305 2,675 5,268 897 498
Cost of shares redeemed....................... (227,277) (182,629) (79,123) (24,372) (6,485)
---------- --------- -------- -------- --------
Change in net assets from share transactions.... 198,840 98,809 87,448 31,311 156,296
---------- --------- -------- -------- --------
Change in net assets............................ 157,894 133,108 79,955 32,511 152,595
NET ASSETS:
Beginning of period........................... 903,987 770,879 142,769 110,258 --
---------- --------- -------- -------- --------
End of period................................. $1,061,881 $903,987 $222,724 $142,769 $152,595
========== ========= ======== ======== ========
SHARE TRANSACTIONS:
Issued........................................ 27,606 25,308 15,916 5,441 7,631
Issued in Pegasus acquisition................. -- -- -- 8,376
Issued in Marquis acquisition................. 14,230 -- -- -- --
Issued in conversion.......................... -- 2,663 -- -- --
Reinvested.................................... 327 268 520 89 49
Redeemed...................................... (22,515) (18,328) (7,884) (2,418) (595)
---------- --------- -------- -------- --------
Change in shares................................ 19,648 9,911 8,552 3,112 15,461
========== ========= ======== ======== ========
</TABLE>
- ---------------
(a) Period from commencement of operations.
(b) Amount is less than $1,000.
See notes to financial statements.
93
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One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CASH FLOWS
(Amounts in thousands)
<TABLE>
<CAPTION>
SHORT-TERM INTERMEDIATE INCOME
BOND FUND BOND FUND BOND FUND BOND FUND
----------- ------------- ----------- -----------
YEAR SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1999 1999 1999
----------- ------------- ----------- -----------
<S> <C> <C> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Total net investment income (loss)............. $ 38,748 $ 34,900 $ 49,325 $ 27,787
Adjustments to reconcile net investment income to
net cash provided (used) by operating
activities:
Purchases of investments....................... (3,560,814) (4,868,207) (2,462,374) (2,404,962)
Proceeds from disposition of investment
securities................................... 3,337,410 3,933,958 2,402,481 1,395,630
Decrease (increase) investments purchased with
cash collateral from securities lending...... (77,112) (268,510) (296,096) (273,893)
Decrease (increase) in dividends and interest
receivable................................... (2,482) (8,928) (149) (13,454)
Increase (decrease) in payable for return of
collateral received from securities
lending...................................... 77,112 268,510 296,096 273,893
Increase (decrease) in accrued expenses........ 268 785 (9) 904
Net amortization/accretion from investments.... (731) 929 437 915
----------- ----------- ----------- -----------
Net cash provided (used) by operating
activities................................ (187,601) (906,563) (10,289) (993,180)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares issued.................... 438,422 1,122,687 271,370 1,118,768
Cost of shares redeemed........................ (213,018) (185,869) (212,676) (99,643)
Cash distributions paid........................ (37,804)(a) (30,233)(b) (48,345)(c) (25,900)(d)
----------- ----------- ----------- -----------
Net cash provided (used) by financing
activities................................ 187,600 906,585 10,349 993,225
----------- ----------- ----------- -----------
Net increase (decrease) in cash.................. (1) 22 60 45
CASH:
Beginning balance.............................. 1 -- (49) (36)
----------- ----------- ----------- -----------
Ending balance................................. $ -- $ 22 $ 11 $ 9
=========== =========== =========== ===========
</TABLE>
- ---------------
(a) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $1,737.
(b) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $8,279.
(c) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $20,507.
(d) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $3,485.
See notes to financial statements.
94
<PAGE> 97
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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 Ultra
Short-Term Bond Fund (previously the Ultra Short-Term Income Fund),
Short-Term Bond Fund (previously the Limited Volatility Bond Fund),
Intermediate Bond Fund (previously the Pegasus Intermediate Bond Fund), Bond
Fund (previously the Pegasus Bond Fund), Income Bond Fund (previously the
Pegasus Multi Sector Bond Fund), Government Bond Fund, Treasury & Agency
Fund, and High Yield Bond Fund (individually a "Fund," collectively the
"Funds") only. Each Fund is a diversified mutual fund.
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. For
financial reporting purposes, the Pegasus Intermediate Bond Fund and Pegasus
Multi Sector Bond Fund are considered the accounting survivors. Therefore,
prior to March 22, 1999 all financial statement and performance information
for the One Group Intermediate Bond Fund and One Group Income Bond Fund
reflect that of the Pegasus Intermediate Bond Fund and Pegasus Multi Sector
Bond Fund, respectively. Subsequent to the reorganization, the fiscal year
end changed from December 31 to June 30 for the Intermediate Bond Fund, the
Bond Fund and the Income 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. All financial information 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>
Ultra Short-Term Bond Fund Seeks a high level of current income consistent with low
volatility of principal by investing in a diversified
portfolio of short-term investment grade securities.
Short -Term Bond Fund Seeks current income consistent with the preservation of
capital through investment in high and medium-grade
fixed income securities.
Intermediate Bond Fund Seeks current income consistent with the preservation of
capital by investing in high and medium-grade fixed
income securities with intermediate maturities.
Bond Fund Seeks to maximize total return by investing primarily in
a diversified portfolio of intermediate and long-term
debt securities.
Income Bond Fund Seeks a high level of current income by investing
primarily in a diversified portfolio of high, medium and
low grade debt securities.
</TABLE>
Continued
95
<PAGE> 98
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One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
Government Bond Fund Seeks a high level of current income with liquidity and
safety of principal.
Treasury & Agency Fund Seeks a high level of current income by investing in U.S.
Treasury and other U.S. agency obligations with a
primary, but not exclusive, focus on issues that produce
income exempt from state income taxes.
High Yield Bond Fund Seeks a high level of current income by investing
primarily in a diversified portfolio of debt securities
which are rated below investment grade or unrated.
Capital appreciation is a secondary objective.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in 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 carried at fair value as
determined 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 (except for the Treasury & Agency Fund) 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. Premi-
Continued
96
<PAGE> 99
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One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
ums 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.
FUTURES CONTRACTS
The Funds (except for the Treasury & Agency Fund) 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.
MORTGAGE ROLLS
The Funds may enter into mortgage "dollar rolls" in which the Fund sells
mortgage-backed securities for delivery in the current month and
simultaneously contracts to repurchase substantially similar securities on
a specified future date. During the roll period, the Fund forgoes principal
and interest paid on the mortgage-backed securities. The Fund is
compensated by fee income or the difference between the current sales price
and the lower forward price for the future purchase.
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,
Continued
97
<PAGE> 100
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One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
not considered to be illiquid investments. As of June 30, 1999, the
following Funds had securities with the following market values on loan
(amounts in thousands):
<TABLE>
<CAPTION>
MARKET MARKET MARKET
VALUE VALUE VALUE
OF CASH OF NON-CASH OF LOANED
COLLATERAL COLLATERAL SECURITIES
---------- ----------- ----------
<S> <C> <C> <C>
Short-Term Bond Fund............................. $132,163 $115,711 $242,248
Intermediate Bond Fund........................... 268,510 84,469 350,758
Bond Fund........................................ 296,096 76,595 371,593
Income Bond Fund................................. 273,893 85,000 356,327
Government Bond Fund............................. 37,704 188,560 222,414
Treasury & Agency Fund........................... 34,354 1,252 35,541
High Yield Bond Fund............................. 7,942 -- 7,909
</TABLE>
The loaned securities were fully collateralized by cash, U.S. Government
securities, corporate bonds and commercial paper as of June 30, 1999.
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.
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.
ORGANIZATION COSTS
Costs incurred by the Trust in connection with its organization, including
the fees and expenses of registering and qualifying its shares for
distribution have been deferred and are being amortized using the
straight-line method over a period of five years beginning with the
commencement of each Fund's operations. All such costs, which are
attributable to more than one fund of the Trust, have been allocated among
the respective
Continued
98
<PAGE> 101
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One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
funds pro-rata, based on the relative net assets of each Fund. In the event
that any of the initial shares are redeemed during such period by any
holder thereof, the related fund will be reimbursed by such holder for any
unamortized organization costs in the proportion as the number of initial
shares being redeemed bears to the number of initial shares outstanding at
the time of redemption.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions from net investment income and from net realized capital
gains sufficient to relieve it from all, or substantially all, federal
income taxes.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-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
the 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,
no shareholders were in Class C of the funds except for the Intermediate Bond
Fund, the Bond Fund, the Government Bond Fund and the High Yield Bond 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
Continued
99
<PAGE> 102
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
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:
<TABLE>
<CAPTION>
ULTRA SHORT-TERM SHORT-TERM
BOND FUND BOND FUND
-------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.............. $134,162 $ 185,046 $ 116,291 $ 116,789
Proceeds from shares issued in Pegasus
acquisition............................ -- -- 299,075 --
Proceeds from shares issued in
conversion............................. -- 1,303 -- 41,843
Dividends reinvested..................... 302 28 866 1,189
Cost of shares redeemed.................. (60,288) (112,580) (195,425) (133,214)
-------- --------- --------- ---------
Change in net assets from
Class I Share transactions............. $74,176 $ 73,797 $ 220,807 $ 26,607
======== ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued.............. $20,412 $ 22,649 $ 7,482 $ 2,909
Proceeds from shares issued in Pegasus
acquisition............................ -- -- 13,936 --
Dividends reinvested..................... 868 1,798 645 722
Cost of shares redeemed.................. (21,498) (29,331) (15,953) (8,184)
-------- --------- --------- ---------
Change in net assets from
Class A Share transactions............. $ (218) $ (4,884) $ 6,110 $ (4,553)
======== ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued.............. $ 4,206 $ 2,537 $ 1,382 $ 859
Proceeds from shares issued in Pegasus
acquisition............................ -- -- 271 --
Dividends reinvested..................... 197 127 226 238
Cost of shares redeemed.................. (2,752) (948) (1,625) (1,176)
-------- --------- --------- ---------
Change in net assets from
Class B Share transactions............. $ 1,651 $ 1,716 $ 254 $ (79)
======== ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued..............
Proceeds from shares issued in Pegasus
acquisition............................
Dividends reinvested.....................
Cost of shares redeemed..................
Change in net assets from Class C Share
transactions...........................
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued................................... 13,642 18,717 11,046 11,101
Issued in Pegasus acquisition............ -- -- 28,482 --
Issued in conversion..................... -- 132 -- 3,970
Reinvested............................... 31 3 82 113
Redeemed................................. (6,137) (11,387) (18,623) (12,655)
-------- --------- --------- ---------
Change in Class I Shares................. 7,536 7,465 20,987 2,529
======== ========= ========= =========
CLASS A SHARES:
Issued................................... 2,080 2,292 711 276
Issued in Pegasus acquisition............ -- -- 1,327 --
Reinvested............................... 88 182 61 69
Redeemed................................. (2,188) (2,970) (1,519) (779)
-------- --------- --------- ---------
Change in Class A Shares................. (20) (496) 580 (434)
======== ========= ========= =========
CLASS B SHARES:
Issued................................... 429 258 130 82
Issued in Pegasus acquisition............ -- -- 26 --
Reinvested............................... 20 13 21 22
Redeemed................................. (281) (96) (153) (111)
-------- --------- --------- ---------
Change in Class B Shares................. 168 175 24 (7)
======== ========= ========= =========
CLASS C SHARES:
Issued...................................
Issued in Pegasus acquisition............
Reinvested...............................
Redeemed.................................
Change in Class C Shares.................
<CAPTION>
INTERMEDIATE BOND FUND
-----------------------------------------
SIX MONTHS YEAR YEAR
ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997
----------- ------------ ------------
<S> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.............. $ 141,767 $ 148,957 $ 185,977
Proceeds from shares issued in Pegasus
acquisition............................ 811,565 -- --
Proceeds from shares issued in
conversion............................. -- 24,556 --
Dividends reinvested..................... 5,585 14,064 16,511
Cost of shares redeemed.................. (107,046) (108,667) (123,283)
--------- --------- ---------
Change in net assets from
Class I Share transactions............. $ 851,871 $ 78,910 $ 79,205
========= ========= =========
CLASS A SHARES:
Proceeds from shares issued.............. $ 51,170 $ 67,341 $ 27,304
Proceeds from shares issued in Pegasus
acquisition............................ 61,562 -- --
Dividends reinvested..................... 2,289 4,355 1,358
Cost of shares redeemed.................. (74,736) (26,830) (5,102)
--------- --------- ---------
Change in net assets from
Class A Share transactions............. $ 40,285 $ 44,866 $ 23,560
========= ========= =========
CLASS B SHARES:
Proceeds from shares issued.............. $ 8,892 $ 525 $ 279
Proceeds from shares issued in Pegasus
acquisition............................ 31,409 -- --
Dividends reinvested..................... 283 29 8
Cost of shares redeemed.................. (3,068) (88) (29)
--------- --------- ---------
Change in net assets from
Class B Share transactions............. $ 37,516 $ 466 $ 258
========= ========= =========
CLASS C SHARES:
Proceeds from shares issued.............. $ 7,634
Proceeds from shares issued in Pegasus
acquisition............................ 10,204
Dividends reinvested..................... 122
Cost of shares redeemed.................. (1,050)
---------
Change in net assets from Class C Share
transactions........................... $ 16,910
=========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued................................... 13,591 14,087 18,004
Issued in Pegasus acquisition............ 77,461 -- --
Issued in conversion..................... -- 2,318 --
Reinvested............................... 531 1,337 1,601
Redeemed................................. (10,266) (10,295) (11,921)
--------- --------- ---------
Change in Class I Shares................. 81,317 7,447 7,684
========= ========= =========
CLASS A SHARES:
Issued................................... 4,921 6,387 2,625
Issued in Pegasus acquisition............ 5,875 -- --
Reinvested............................... 219 414 131
Redeemed................................. (7,164) (2,541) (493)
--------- --------- ---------
Change in Class A Shares................. 3,851 4,260 2,263
========= ========= =========
CLASS B SHARES:
Issued................................... 865 50 27
Issued in Pegasus acquisition............ 3,027 -- --
Reinvested............................... 27 3 1
Redeemed................................. (299) (8) (3)
--------- --------- ---------
Change in Class B Shares................. 3,620 45 25
========= ========= =========
CLASS C SHARES:
Issued................................... 742
Issued in Pegasus acquisition............ 983
Reinvested............................... 12
Redeemed................................. (102)
---------
Change in Class C Shares................. 1,635
=========
</TABLE>
Continued
100
<PAGE> 103
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
BOND FUND INCOME BOND FUND
---------------------------------------- ----------------------------------------
SIX MONTHS YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1997 1999 1998 1997
---------- ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued.............. $ 229,160 $ 413,142 $ 435,649 $ 82,599 $ 21,736 $ 7,730
Proceeds from shares issued in Pegasus
acquisition............................ -- -- -- 987,407 -- --
Proceeds from shares issued in
conversion............................. -- -- -- -- 330,845 --
Dividends reinvested..................... 14,637 36,842 32,769 2,781 1,979 224
Cost of shares redeemed.................. (136,395) (295,732) (157,152) (83,617) (62,714) (102,380)
--------- --------- --------- ---------- -------- ---------
Change in net assets from
Class I Share transactions............. $ 107,402 $ 154,252 $ 311,266 $ 989,170 $291,846 $ (94,426)
========= ========= ========= ========== ======== =========
CLASS A SHARES:
Proceeds from shares issued.............. $ 31,835 $ 169,562 $ 87,086 $ 8,944 $ 11,205 $ 2,346
Proceeds from shares issued in Pegasus
acquisition............................ -- -- -- 21,297 -- --
Dividends reinvested..................... 5,639 10,307 3,911 560 698 482
Cost of shares redeemed.................. (75,039) (82,545) (15,064) (13,742) (3,980) (3,920)
--------- --------- --------- ---------- -------- ---------
Change in net assets from
Class A Share transactions............. $ (37,565) $ 97,324 $ 75,933 $ 17,059 $ 7,923 $ (1,092)
========= ========= ========= ========== ======== =========
CLASS B SHARES:
Proceeds from shares issued.............. $ 6,139 $ 5,939 $ 3,156 $ 971 $ 148 $ 235
Proceeds from shares issued in Pegasus
acquisition............................ -- -- -- 17,369 -- --
Dividends reinvested..................... 230 251 60 144 24 19
Cost of shares redeemed.................. (1,184) (600) (164) (2,338) (76) (231)
--------- --------- --------- ---------- -------- ---------
Change in net assets from
Class B Share transactions............. $ 5,185 $ 5,590 $ 3,052 $ 16,146 $ 96 $ 23
========= ========= ========= ========== ======== =========
CLASS C SHARES:
Proceeds from shares issued.............. $ 592
Dividends reinvested..................... 1
Cost of shares redeemed.................. (131)
---------
Change in net assets from
Class C Share transactions............. $ 462
=========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued................................... 21,673 38,580 42,208 10,561 3,006 984
Issued in Pegasus acquisition............ -- -- -- 125,129 -- --
Issued in conversion..................... -- -- -- -- 40,333 --
Reinvested............................... 1,373 3,454 3,176 352 245 28
Redeemed................................. (12,881) (27,545) (15,127) (10,683) (7,756) (13,037)
--------- --------- --------- ---------- -------- ---------
Change in Class I Shares................. 10,165 14,489 30,257 125,359 35,828 (12,025)
========= ========= ========= ========== ======== =========
CLASS A SHARES:
Issued................................... 2,992 15,864 8,353 1,140 1,377 299
Issued in Pegasus acquisition............ -- -- -- 2,701 -- --
Reinvested............................... 532 966 378 71 87 61
Redeemed................................. (7,103) (7,686) (1,456) (1,747) (493) (503)
--------- --------- --------- ---------- -------- ---------
Change in Class A Shares................. (3,579) 9,144 7,275 2,165 971 (143)
========= ========= ========= ========== ======== =========
CLASS B SHARES:
Issued................................... 584 554 303 123 18 30
Issued in Pegasus acquisition............ -- -- -- 2,192 -- --
Reinvested............................... 22 24 6 18 3 2
Redeemed................................. (112) (56) (16) (296) (9) (30)
--------- --------- --------- ---------- -------- ---------
Change in Class B Shares................. 494 522 293 2,037 12 2
========= ========= ========= ========== ======== =========
CLASS C SHARES:
Issued................................... 56
Reinvested............................... --(a)
Redeemed................................. (12)
---------
Change in Class C Shares................. 44
=========
</TABLE>
- ------------
(a) Amount less than 1,000.
Continued
101
<PAGE> 104
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in thousands)
<TABLE>
<CAPTION>
HIGH YIELD
BOND FUND
GOVERNMENT BOND FUND TREASURY & AGENCY FUND --------------------
-------------------------- ----------------------- FOR THE PERIOD
YEAR YEAR YEAR YEAR NOVEMBER 13,
ENDED ENDED ENDED ENDED 1998 TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998 1999(a)
--------- --------- -------- -------- --------------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................. $ 212,763 $ 234,966 $ 14,674 $ 7,487 $ 63,280
Proceeds from shares issued in Pegasus
acquisition............................... -- -- -- -- 82,230
Proceeds from shares issued in Marquis
acquisition............................... 139,784 -- -- -- --
Proceeds from shares issued in conversion... -- 26,687 -- -- --
Dividends reinvested........................ 349 720 71 373 391
Cost of shares redeemed..................... (202,815) (167,601) (27,558) (23,978) (5,216)
--------- --------- -------- -------- --------
Change in net assets from
Class I Share transactions................ $ 150,081 $ 94,772 $(12,813) $(16,118) $140,685
========= ========= ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued................. $ 22,234 $ 6,410 $ 76,947 $ 34,752 $ 10,697
Proceeds from shares issued in Pegasus
acquisition............................... -- -- -- -- 2,221
Proceeds from shares issued in Marquis
acquisition............................... 3,008 -- -- -- --
Dividends reinvested........................ 1,502 1,363 3,561 417 86
Cost of shares redeemed..................... (13,769) (12,344) (39,994) (121) (1,242)
--------- --------- -------- -------- --------
Change in net assets from
Class A Share transactions................ $ 12,975 $ (4,571) $ 40,514 $ 35,048 $ 11,762
========= ========= ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued................. $ 42,690 $ 10,700 $ 69,682 $ 12,547 $ 3,445
Proceeds from shares issued in Pegasus
acquisition............................... -- -- -- -- 400
Proceeds from shares issued in Marquis
acquisition............................... 1,211 -- -- -- --
Dividends reinvested........................ 1,451 592 1,636 107 21
Cost of shares redeemed..................... (10,693) (2,684) (11,571) (273) (27)
--------- --------- -------- -------- --------
Change in net assets from
Class B Share transactions................ $ 34,659 $ 8,608 $ 59,747 $ 12,381 $ 3,839
========= ========= ======== ======== ========
CLASS C SHARES:
Proceeds from shares issued................. $ 1,122 $ 10
Dividends reinvested........................ 3 --(b)
--------- --------
Change in net assets from Class C Share
transactions.............................. $ 1,125 $ 10
========= ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued...................................... 21,078 23,598 1,451 743 6,241
Issued in Pegasus acquisition............... -- -- -- -- 8,117
Issued in Marquis acquisition............... 13,813 -- -- -- --
Issued in conversion........................ -- 2,663 -- -- --
Reinvested.................................. 35 72 7 37 38
Redeemed.................................... (20,081) (16,821) (2,733) (2,379) (471)
--------- --------- -------- -------- --------
Change in Class I Shares.................... 14,845 9,512 (1,275) (1,599) 13,925
========= ========= ======== ======== ========
CLASS A SHARES:
Issued...................................... 2,199 640 7,587 3,452 1,050
Issued in Pegasus acquisition............... -- -- -- -- 219
Issued in Marquis acquisition............... 297 -- -- -- --
Reinvested.................................. 148 137 351 41 9
Redeemed.................................... (1,367) (1,238) (3,994) (12) (122)
--------- --------- -------- -------- --------
Change in Class A Shares.................... 1,277 (461) 3,944 3,481 1,156
========= ========= ======== ======== ========
CLASS B SHARES:
Issued...................................... 4,216 1,070 6,878 1,246 339
Issued in Pegasus acquisition............... -- -- -- -- 40
Issued in Marquis acquisition............... 120 -- -- -- --
Reinvested.................................. 144 59 162 11 2
Redeemed.................................... (1,067) (269) (1,157) (27) (2)
--------- --------- -------- -------- --------
Change in Class B Shares.................... 3,413 860 5,883 1,230 379
========= ========= ======== ======== ========
CLASS C SHARES:
Issued...................................... 113 1
Reinvested.................................. --(b) --(b)
--------- --------
Change in Class C Shares.................. 113 1
========= ========
</TABLE>
- ------------
(a) Period from commencement of operations.
(b) Amount is less than 1,000.
Continued
102
<PAGE> 105
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
4. INVESTMENT ADVISORY, ADMINISTRATIVE, AND DISTRIBUTION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
under which the Advisor is entitled to receive an annual fee, computed daily
and paid monthly, equal to the following percentages of the Funds' average
net assets: 0.55% of the Ultra Short-Term Bond Fund, 0.60% of the Short-Term
Bond Fund, the Intermediate Bond Fund, the Income Bond Fund and the Bond
Fund; 0.45% of the Government Bond Fund; 0.40% of the Treasury & Agency Fund;
and 0.75% of the High Yield Bond Fund.
Prior to March 22, 1999, the Trust 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
Intermediate Bond Fund, the Bond Fund and the Income 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 Growth Fund and the Investor Balanced Fund
(the "Investor Funds") and the Treasury Only Money Market Fund, the
Government Money Market Fund and 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 Service (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
Intermediate Bond Fund, the Bond Fund and the Income 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 a
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% of average
daily net assets of the Class A shares of each Fund, 0.75% of average daily
net assets of the Class B shares of the Ultra Short-Term Bond Fund, the
Short-Term Bond Fund and the Treasury & Agency Fund, 0.90% of average daily
net assets of the Class B shares of the Intermediate Bond Fund, the Bond
Fund, the Income Bond Fund, the Government Bond Fund and the High Yield Bond
Fund and 0.90% of the average daily net assets of the Class C shares of the
Intermediate Bond Fund, the Bond Fund, the Government Bond Fund and the High
Yield Bond 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 $1,051,751 from commissions earned on
Continued
103
<PAGE> 106
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
sales of Class A shares and redemptions of Class B and Class C shares, of which
the Distributor re-allowed $1,014,988 to affiliated broker-dealers of the Funds.
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
ADVISORY WAIVED
FEES ADMINISTRATION -----------------------------
WAIVED FEES WAIVED CLASS A CLASS B CLASS C
---------- -------------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Ultra Short-Term Bond Fund........... $ 789 $399 $23 $ 14 $--
Short-Term Bond Fund................. 1,938 -- 18 12 --
Intermediate Bond Fund*.............. 900 -- 29 10 3
Bond Fund *.......................... 749 43 47 3 --(a)
Income Bond Fund*.................... 710 -- 9 5 --
Government Bond Fund................. -- 342 38 40 --(a)
Treasury & Agency Fund............... 404 187 68 109 --
High Yield Bond Fund................. 135 -- 2 1 --(a)
</TABLE>
* Amounts are for six months ended June 30, 1999.
(a) Amount is less than $1,000.
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and purchased options) for the year ended
June 30, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
--------- --------
<S> <C> <C>
Ultra Short-Term Bond Fund.................................. $166,142 $ 94,138
Short-Term Bond Fund........................................ 252,032 345,987
Intermediate Bond Fund*..................................... 103,313 125,589
Bond Fund*.................................................. 183,028 157,311
Income Bond Fund*........................................... 245,733 192,264
Government Bond Fund........................................ 867,795 840,533
Treasury & Agency Fund...................................... 237,311 148,897
High Yield Bond Fund........................................ 91,349 22,415
</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
Continued
104
<PAGE> 107
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
contracts primarily as a means to hedge against adverse fluctuations in
securities held or planned to be purchased by the funds.
7. 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 acquires as of the conversion date:
<TABLE>
<CAPTION>
NET ASSET
VALUE
PER
SHARES NET ASSETS SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- --------- ------------
<S> <C> <C> <C> <C>
January 16, 1998
- ------------------
Income Bond Fund..................... 5,726 $ 46,377 $8.10 $ 1,314
June 5, 1998
- -------------
Intermediate Bond Fund............... 658 6,897 10.49 212
August 21, 1998
- -----------------
Intermediate Bond Fund............... 424 4,465 10.52 123
September 25, 1998
- ---------------------
Intermediate Bond Fund............... 1,236 13,194 10.67 499
Income Bond Fund..................... 34,607 284,468 8.22 17,961
</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 Mutual Funds. 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
VALUE
PER
SHARES NET ASSETS SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- --------- ------------
<S> <C> <C> <C> <C>
Ultra Short-Term Bond Fund............ 132 $1,303 $9.89 $ --
Short-Term Bond Fund.................. 3,970 41,843 10.54 254
Government Bond Fund.................. 2,663 26,687 10.02 127
</TABLE>
8. MARQUIS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Marquis Reorganization") with the Marquis Family of Funds (the "Marquis
Funds") pursuant to which all of the assets and liabilities of each Marquis
Fund transferred to a fund of the One Group in exchange for shares of the
corresponding fund of the One Group. The Marquis Reorganization, which
qualified as a tax-free exchange for Federal income tax
Continued
105
<PAGE> 108
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
purposes, was completed on August 10, 1998 following approval by shareholders
of the Marquis 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 Marquis
Reorganization (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------- --------------
MARQUIS GOVERNMENT GOVERNMENT GOVERNMENT
SECURITIES FUND BOND FUND BOND FUND
------------------ ---------- --------------
<S> <C> <C> <C>
Shares................................ 14,222 90,163 104,393
Net assets............................ $144,002 $912,669 $1,056,671
Net asset value:
Class I............................. -- 10.12 10.12
Class A............................. 10.13 10.12 10.12
Class B............................. 10.18 10.12 10.12
Unrealized appreciation............... 2,739 35,291 38,030
</TABLE>
9. PEGASUS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Pegasus Reorganization") with the Pegasus Funds pursuant to which all
of the assets and liabilities of each Pegasus Fund transferred to a fund of
the One Group in exchange for shares of the corresponding fund of the One
Group. The Pegasus Reorganization, which qualified as a tax-free exchange for
Federal income tax purposes, was completed on March 22, 1999 following
approval by shareholders of the Pegasus Funds at a special Shareholder
Meeting. All of the One Group Funds were accounting survivors except the
Intermediate Bond Fund and the Income Bond Fund where the Pegasus Fund was
the accounting survivor. All accounting and performance information reflect
the prior Pegasus Fund. 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>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------- --------------
PEGASUS SHORT LIMITED VOLATILITY SHORT-TERM
BOND FUND FUND BOND FUND
------------- ------------------ --------------
<S> <C> <C> <C>
Shares................................. 30,860 58,460 88,295
Net assets............................. $313,282 $613,984 $927,266
Net asset value:
Class................................ 10.15 10.50 10.50
Class A.............................. 10.16 10.50 10.50
Class B.............................. 10.06 10.57 10.57
Unrealized appreciation................ 1,569 7,001 8,570
</TABLE>
Continued
106
<PAGE> 109
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ --------------
PEGASUS INTERMEDIATE INTERMEDIATE INTERMEDIATE
BOND FUND BOND FUND BOND FUND
-------------------- ------------ --------------
<S> <C> <C> <C>
Shares............................... 62,063 87,346 149,434
Net assets........................... $650,147 $914,740 $1,564,887
Net asset value:
Class I............................ 10.48 10.48 10.48
Class A............................ 10.48 10.48 10.48
Class B............................ 10.37 10.38 10.38
Class C............................ 0 10.38 10.38
Unrealized appreciation.............. 10,495 3,899 14,394
</TABLE>
<TABLE>
<CAPTION>
BEFORE REORGANIZATION AFTER
------------------------------- REORGANIZATION
PEGASUS --------------
BOND FUND BOND FUND BOND FUND
----------------- ---------- --------------
<S> <C> <C> <C>
Shares................................. 143,101 -- 143,101
Net assets............................. $1,515,388 -- $1,515,388
Net asset value:
Class I.............................. 10.59 -- 10.59
Class A.............................. 10.59 -- 10.59
Class B.............................. 10.59 -- 10.59
Unrealized appreciation................ 48,460 -- 48,460
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------- --------------
PEGASUS MULTI SECTOR INCOME BOND INCOME BOND
BOND FUND FUND FUND
-------------------- ----------- --------------
<S> <C> <C> <C>
Shares............................... 48,669 130,022 178,659
Net assets........................... $383,772 $1,026,073 $1,409,845
Net asset value:
Class I............................ 7.89 7.89 7.89
Class A............................ 7.88 7.89 7.89
Class B............................ 7.92 7.92 7.92
Unrealized appreciation.............. 12,187 28,006 40,193
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
-------------------------------- --------------
PEGASUS HIGH YIELD HIGH YIELD HIGH YIELD
BOND FUND BOND FUND BOND FUND
------------------ ---------- --------------
<S> <C> <C> <C>
Shares.................................. 8,666 3,769 12,145
Net assets.............................. $84,851 $38,195 $123,045
Net asset value:
Class I............................... 9.79 10.13 10.13
Class A............................... 9.71 10.13 10.13
Class B............................... 9.73 10.14 10.14
Unrealized appreciation................. (2,613) 343 (2,270)
</TABLE>
Continued
107
<PAGE> 110
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
10. 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>
Ultra Short-Term Bond Fund.................. 22,762,909 -- 6,279 --
Short-Term Bond Fund........................ 55,869,832 -- 38,399 --
Intermediate Bond Fund...................... 84,889,088 -- 71,848 --
Income Bond Fund............................ 105,185,940 -- 33,020 --
Government Bond Fund........................ 101,481,942 -- 49,328 --
Treasury & Agency Fund...................... 22,552,063 -- 69,370 --
High Yield Bond Fund........................ 3,340,339 -- 3,647 --
</TABLE>
2. To ratify the selection of independent accountants.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
- --------- ----------- ------- ------- --------
<S> <C> <C> <C> <C>
Ultra Short-Term Bond Fund.................. 22,576,345 66,893 125,949 --
Short-Term Bond Fund........................ 55,876,205 2,611 29,414 --
Intermediate Bond Fund...................... 84,839,037 8,247 113,651 --
Income Bond Fund............................ 105,177,425 6,116 35,418 --
Government Bond Fund........................ 101,405,667 35,124 90,478 --
Treasury & Agency Fund...................... 22,494,589 36,114 90,730 --
High Yield Bond Fund........................ 3,342,629 -- 1,357 --
</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>
Ultra Short-Term Bond Fund............... 20,781,948 5,461 125,889 1,855,890
Short-Term Bond Fund..................... 54,752,404 17,208 15,670 1,122,949
Intermediate Bond Fund................... 78,978,775 87,697 114,870 5,779,594
Income Bond Fund......................... 102,955,460 25,926 52,858 2,184,716
Government Bond Fund..................... 97,036,224 47,881 105,232 4,341,933
Treasury & Agency Fund................... 11,774,724 156,119 98,014 10,592,576
High Yield Bond Fund..................... 3,331,893 -- 1,357 10,736
</TABLE>
11. 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>
FUND AMOUNT
- ---- ------
<S> <C>
Treasury & Agency Bond Fund................................. $1,229
</TABLE>
Continued
108
<PAGE> 111
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
On June 30, 1999 the following funds have capital loss carryforwards which
are available to offset future capital gains, if any (amounts in thousands):
<TABLE>
<CAPTION>
FUND 2000 2001 2002 2003 2004 2005 2006 2007 TOTAL
---- ---- ---- ------- ------- ------ ---- ------ ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Ultra Short-Term Bond Fund.... $ -- $ -- $ -- $ 2,283 $1,065 $682 $ 139 $ 602 $ 4,771
Short-Term Bond Fund.......... 197 165 443 2,720 3,301 651 2,646 1,623 11,746
Intermediate Bond Fund........ -- -- 1,756 2,148 530 -- 184 -- 4,618
Bond Fund..................... -- -- 11,488 1,042 -- -- -- -- 12,530
Income Bond Fund.............. -- -- -- 50,654 1,963 -- 2,229 17,780 76,626
Government Bond Fund.......... -- -- -- 3,425 5,967 -- -- -- 9,392
High Yield Bond Fund.......... -- -- -- -- -- -- 478 -- 478
</TABLE>
Capital losses incurred after October 31 within the Fund's fiscal year may
be deferred and treated as occurring on the first day of the following
fiscal year. The following deferred losses will be treated as arising on the
first day of the fiscal year ended June 30, 2000 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
- ---- ------
<S> <C>
Ultra Short-Term Bond Fund.................................. $ 464
Bond Fund................................................... 1,370
Government Bond Fund........................................ 5,416
High Yield Bond Fund........................................ 724
</TABLE>
109
<PAGE> 112
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM 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.................. $ 9.87 $ 9.87 $ 9.79 $ 9.84 $ 9.85
-------- -------- -------- ------- -------
Investment Activities:
Net investment income............................... 0.56 0.59 0.62 0.62 0.55
Net realized and unrealized gains (losses) from
investments and futures........................... (0.11) (0.01) 0.05 (0.07) (0.05)
-------- -------- -------- ------- -------
Total from Investment Activities.................. 0.45 0.58 0.67 0.55 0.50
-------- -------- -------- ------- -------
Distributions:
Net investment income............................... (0.55) (0.58) (0.59) (0.60) (0.48)
In excess of net investment income.................. -- -- -- -- (0.03)
-------- -------- -------- ------- -------
Total Distributions............................... (0.55) (0.58) (0.59) (0.60) (0.51)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 9.77 $ 9.87 $ 9.87 $ 9.79 $ 9.84
======== ======== ======== ======= =======
Total Return.......................................... 4.66% 6.00% 7.14% 5.71% 5.14%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $259,873 $188,133 $114,413 $57,276 $51,050
Ratio of expenses to average net assets............. 0.32% 0.30% 0.35% 0.45% 0.61%
Ratio of net investment income to average net
assets............................................ 5.63% 5.92% 6.02% 6.20% 5.18%
Ratio of expenses to average net assets*............ 0.79% 0.81% 0.81% 1.06% 1.01%
Ratio of net investment income average net
assets*........................................... 5.16% 5.41% 5.56% 5.59% 4.78%
Portfolio Turnover (a).............................. 38.70% 41.15% 70.36% 67.65% 2.91%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
110
<PAGE> 113
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM 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....................... $ 9.87 $ 9.87 $ 9.78 $ 9.83 $ 9.84
------- ------- ------- ------ ------
Investment Activities:
Net investment income.................................... 0.52 0.56 0.58 0.58 0.52
Net realized and unrealized gains (losses) from
investments............................................ (0.10) (0.01) 0.09 (0.06) (0.06)
------- ------- ------- ------ ------
Total from Investment Activities....................... 0.42 0.55 0.67 0.52 0.46
------- ------- ------- ------ ------
Distributions:
Net investment income.................................... (0.52) (0.55) (0.58) (0.57) (0.46)
In excess of net investment income....................... -- -- -- -- (0.01)
------- ------- ------- ------ ------
Total Distributions.................................... (0.52) (0.55) (0.58) (0.57) (0.47)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD............................. $ 9.77 $ 9.87 $ 9.87 $ 9.78 $ 9.83
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)....................... 4.40% 5.75% 7.00% 5.42% 4.84%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................ $24,300 $24,747 $29,643 $3,969 $4,631
Ratio of expenses to average net assets.................. 0.57% 0.54% 0.61% 0.70% 0.86%
Ratio of net investment income to average net assets..... 5.37% 5.66% 5.78% 5.95% 4.88%
Ratio of expenses to average net assets*................. 1.14% 1.15% 1.17% 1.41% 1.36%
Ratio of net investment income to average net assets*.... 4.80% 5.05% 5.22% 5.24% 4.38%
Portfolio Turnover (a)................................... 38.70% 41.15% 70.36% 67.65% 2.91%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
111
<PAGE> 114
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM 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........................ $ 9.81 $ 9.81 $ 9.76 $ 9.84 $ 9.86
------ ------ ------ ------ ------
Investment Activities:
Net investment income..................................... 0.48 0.52 0.54 0.52 0.47
Net realized and unrealized gains (losses) from
investments............................................. (0.10) (0.01) 0.05 (0.07) (0.04)
------ ------ ------ ------ ------
Total from Investment Activities........................ 0.38 0.51 0.59 0.45 0.43
------ ------ ------ ------ ------
Distributions:
Net investment income..................................... (0.47) (0.51) (0.54) (0.53) (0.45)
------ ------ ------ ------ ------
Total Distributions..................................... (0.47) (0.51) (0.54) (0.53) (0.45)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.72 $ 9.81 $ 9.81 $ 9.76 $ 9.84
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)........................ 3.99% 5.32% 6.22% 4.63% 4.77%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $6,124 $4,531 $2,818 $1,144 $ 160
Ratio of expenses to average net assets................... 1.03% 0.99% 1.07% 1.20% 1.31%
Ratio of net investment income to average net assets...... 4.93% 5.23% 5.18% 5.45% 4.91%
Ratio of expenses to average net assets*.................. 1.76% 1.75% 1.81% 2.06% 1.96%
Ratio of net investment income to average net assets*..... 4.20% 4.47% 4.44% 4.59% 4.26%
Portfolio Turnover (a).................................... 38.70% 41.15% 70.36% 67.65% 2.91%
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
112
<PAGE> 115
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM 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............. $ 10.51 $ 10.47 $ 10.42 $ 10.53 $ 10.33
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.......................... 0.59 0.63 0.63 0.64 0.60
Net realized and unrealized gains (losses) from
investments.................................. (0.11) 0.04 0.05 (0.11) 0.19
-------- -------- -------- -------- --------
Total from Investment Activities............. 0.48 0.67 0.68 0.53 0.79
-------- -------- -------- -------- --------
Distributions:
Net investment income.......................... (0.59) (0.63) (0.63) (0.64) (0.59)
-------- -------- -------- -------- --------
Total Distributions.......................... (0.59) (0.63) (0.63) (0.64) (0.59)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................... $ 10.40 $ 10.51 $ 10.47 $ 10.42 $ 10.53
======== ======== ======== ======== ========
Total Return..................................... 4.67% 6.59% 6.75% 5.13% 7.96%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).............. $804,883 $592,669 $563,979 $604,916 $410,746
Ratio of expenses to average net assets........ 0.53% 0.53% 0.51% 0.51% 0.52%
Ratio of net investment income to average net
assets....................................... 5.61% 6.01% 6.06% 6.06% 5.82%
Ratio of expenses to average net assets*....... 0.81% 0.82% 0.81% 0.82% 0.85%
Ratio of net investment income to average net
assets*...................................... 5.33% 5.72% 5.76% 5.75% 5.49%
Portfolio Turnover (a)......................... 37.22% 56.99% 66.61% 75.20% 76.43%
</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.
113
<PAGE> 116
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM 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.................. $ 10.50 $ 10.46 $ 10.41 $ 10.52 $ 10.32
------- ------- ------- ------- -------
Investment Activities:
Net investment income............................... 0.57 0.61 0.61 0.63 0.56
Net realized and unrealized gains (losses) from
investments....................................... (0.11) 0.04 0.05 (0.13) 0.21
------- ------- ------- ------- -------
Total from Investment Activities.................. 0.46 0.65 0.66 0.50 0.77
------- ------- ------- ------- -------
Distributions:
Net investment income............................... (0.57) (0.61) (0.61) (0.61) (0.56)
In excess of net investment income.................. -- -- -- -- (0.01)
------- ------- ------- ------- -------
Total Distributions............................... (0.57) (0.61) (0.61) (0.61) (0.57)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 10.39 $ 10.50 $ 10.46 $ 10.41 $ 10.52
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge).................. 4.41% 6.32% 6.47% 4.86% 7.67%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $21,450 $15,582 $20,055 $21,343 $12,516
Ratio of expenses to average net assets............. 0.78% 0.78% 0.76% 0.76% 0.77%
Ratio of net investment income to average net
assets............................................ 5.30% 5.77% 5.81% 5.81% 5.57%
Ratio of expenses to average net assets*............ 1.16% 1.17% 1.16% 1.17% 1.20%
Ratio of net investment income to average net
assets*........................................... 4.92% 5.38% 5.41% 5.40% 5.14%
Portfolio Turnover (a).............................. 37.22% 56.99% 66.61% 75.20% 76.43%
</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.
114
<PAGE> 117
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT TERM 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............... $10.57 $10.53 $10.49 $10.60 $10.40
------ ------ ------ ------ ------
Investment Activities:
Net investment income............................ 0.53 0.58 0.55 0.55 0.53
Net realized and unrealized gains (losses) from
investments.................................... (0.11) 0.04 0.04 (0.10) 0.19
------ ------ ------ ------ ------
Total from Investment Activities............... 0.42 0.62 0.59 0.45 0.72
------ ------ ------ ------ ------
Distributions:
Net investment income............................ (0.53) (0.58) (0.55) (0.56) (0.52)
------ ------ ------ ------ ------
Total Distributions............................ (0.53) (0.58) (0.55) (0.56) (0.52)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD..................... $10.46 $10.57 $10.53 $10.49 $10.60
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)............... 4.02% 5.98% 5.74% 4.28% 7.18%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................ $5,047 $4,851 $4,920 $4,923 $2,906
Ratio of expenses to average net assets.......... 1.14% 1.11% 1.20% 1.26% 1.28%
Ratio of net investment income to average net
assets......................................... 4.96% 5.44% 5.21% 5.31% 5.10%
Ratio of expenses to average net assets*......... 1.65% 1.64% 1.81% 1.82% 1.86%
Ratio of net investment income to average net
assets*........................................ 4.45% 4.91% 4.60% 4.75% 4.52%
Portfolio Turnover (a)........................... 37.22% 56.99% 66.61% 75.20% 76.43%
</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.
115
<PAGE> 118
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------------
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... $ 10.61 $ 10.48 $ 10.29 $ 10.37 $ 9.21 $ 10.41
---------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)......... 0.32 0.63 0.65 0.64 0.59 0.56
Net realized and unrealized gains
(losses) from investments.......... (0.33) 0.14 0.18 (0.07) 1.16 (1.20)
---------- -------- -------- -------- -------- --------
Total from Investment Activities... (0.01) 0.77 0.83 0.57 1.75 (0.64)
---------- -------- -------- -------- -------- --------
Distributions:
Net investment income................ (0.32) (0.64) (0.64) (0.65) (0.59) (0.55)
Net realized gains................... -- -- -- -- -- (0.01)
---------- -------- -------- -------- -------- --------
Total Distributions................ (0.32) (0.64) (0.64) (0.65) (0.59) (0.56)
---------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD......... $ 10.28 $ 10.61 $ 10.48 $ 10.29 $ 10.37 $ 9.21
========== ======== ======== ======== ======== ========
Total Return........................... (0.08)%(a) 7.62% 8.37% 5.78% 19.48% (6.31)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).... $1,385,890 $567,609 $482,679 $395,105 $393,656 $381,036
Ratio of expenses to average net
assets............................. 0.62%(b) 0.66% 0.61% 0.67% 0.73% 0.74%
Ratio of net investment income to
average net assets................. 6.27%(b) 6.02% 6.26% 6.29% 5.98% 5.73%
Ratio of expenses to average net
assets*............................ 0.77%(b) 0.66% 0.61% 0.67% 0.73% 0.74%
Ratio of net investment income to
average net assets*................ 6.12%(b) 6.02% 6.26% 6.29% 5.98% 5.73%
Portfolio Turnover (c)............... 9.24% 50.32% 31.66% 31.62% 36.47% 54.60%
</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.
116
<PAGE> 119
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
-------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------
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....... $ 10.61 $ 10.47 $ 10.29 $ 10.37 $ 9.21 $ 10.41
-------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income.................... 0.30 0.61 0.62 0.64 0.59 0.56
Net realized and unrealized gains
(losses) from investments.............. (0.33) 0.14 0.18 (0.07) 1.16 (1.20)
-------- ------- ------- ------- ------- -------
Total from Investment Activities....... (0.03) 0.75 0.80 0.57 1.75 (0.64)
-------- ------- ------- ------- ------- -------
Distributions:
Net investment income.................... (0.30) (0.61) (0.62) (0.65) (0.59) (0.55)
Net realized gains....................... -- -- -- -- -- (0.01)
-------- ------- ------- ------- ------- -------
Total Distributions.................... (0.30) (0.61) (0.62) (0.65) (0.59) (0.56)
-------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............. $ 10.28 $ 10.61 $ 10.47 $ 10.29 $ 10.37 $ 9.21
======== ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)....... (0.27)%(a) 7.37% 8.04% 5.65% 19.48% (6.31)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........ $124,940 $88,072 $42,343 $18,324 $11,654 $11,983
Ratio of expenses to average net
assets................................. 0.84%(b) 0.91% 0.86% 0.79% 0.73% 0.74%
Ratio of net investment income to average
net assets............................. 5.87%(b) 5.77% 6.01% 6.17% 5.98% 5.73%
Ratio of expenses to average net
assets*................................ 1.02%(b) 0.91% 0.86% 0.79% 0.73% 0.74%
Ratio of net investment income to average
net assets*............................ 5.69%(b) 5.77% 6.01% 6.17% 5.98% 5.73%
Portfolio Turnover (c)................... 9.24% 50.32% 31.66% 31.62% 36.47% 54.60%
</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.
117
<PAGE> 120
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
-----------------------------------------------------
CLASS B SHARES
-----------------------------------------------------
SIX MONTHS 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...................... $ 10.50 $10.38 $10.20 $10.00
------- ------ ------ ------
Investment Activities:
Net investment income................................... 0.27 0.47 0.55 0.15
Net realized and unrealized gains (losses) from
investments........................................... (0.32) 0.18 0.17 0.20
------- ------ ------ ------
Total from Investment Activities...................... (0.05) 0.65 0.72 0.35
------- ------ ------ ------
Distributions:
Net investment income................................... (0.27) (0.53) (0.54) (0.15)
------- ------ ------ ------
Total Distributions................................... (0.27) (0.53) (0.54) (0.15)
------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD............................ $ 10.18 $10.50 $10.38 $10.20
======= ====== ====== ======
Total Return (Excludes Sales Charge)...................... (0.46)%(b) 6.44% 7.32% 3.50%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)....................... $37,681 $ 857 $ 385 $ 122
Ratio of expenses to average net assets................. 1.50%(c) 1.66% 1.61% 1.60%(b)
Ratio of net investment income to average net assets.... 5.15%(c) 5.02% 5.26% 1.52%(b)
Ratio of expenses to average net assets*................ 1.91%(c) 1.66% 1.61% 1.60%(b)
Ratio of net investment income to average net assets*... 4.74%(c) 5.02% 5.26% 1.52%(b)
Portfolio Turnover (d).................................. 9.24% 50.32% 31.66% 31.62%
</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.
118
<PAGE> 121
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
----------------------
CLASS C
----------------------
MARCH 22, 1999 TO
JUNE 30, 1999(a)
----------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.38
-------
Investment Activities:
Net investment income..................................... 0.15
Net realized and unrealized gains (losses) from
investments............................................. (.20)
-------
Total from Investment Activities........................ (0.05)
-------
Distributions:
Net investment income (loss).............................. (0.15)
-------
Total Distributions..................................... (0.15)
-------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.18
=======
Total Return (Excludes Sales Charge)........................ (0.51)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $16,650
Ratio of expenses to average net assets................... 1.50%(c)
Ratio of net investment income to average net assets...... 5.18%(c)
Ratio of expenses to average net assets*.................. 2.13%(c)
Ratio of net investment income to average net assets*..... 4.55%(c)
Portfolio Turnover (d).................................... 9.24%
</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.
119
<PAGE> 122
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND FUND
-----------------------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------------------
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.......................... $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01 $ 10.32
---------- ---------- ---------- -------- -------- --------
Investment Activities:
Net investment income........... 0.35 0.65 0.66 0.68 0.63 0.61
Net realized and unrealized
gains (losses) from
investments................... (0.44) 0.19 0.32 (0.18) 1.45 (1.31)
---------- ---------- ---------- -------- -------- --------
Total from Investment
Activities................. (0.09) 0.84 0.98 0.50 2.08 (0.70)
---------- ---------- ---------- -------- -------- --------
Distributions:
Net investment income........... (0.35) (0.65) (0.66) (0.68) (0.64) (0.59)
Net realized gains.............. -- -- -- -- -- (0.02)
---------- ---------- ---------- -------- -------- --------
Total Distributions........... (0.35) (0.65) (0.66) (0.68) (0.64) (0.61)
---------- ---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.... $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01
========== ========== ========== ======== ======== ========
Total Return...................... (0.87)%(a) 8.17% 9.97% 5.08% 23.75% (6.99)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)......................... $1,330,527 $1,277,246 $1,101,894 $757,627 $485,851 $395,116
Ratio of expenses to average net
assets........................ 0.64%(b) 0.64% 0.61% 0.66% 0.74% 0.74%
Ratio of net investment income
to average net assets......... 6.65%(b) 6.10% 6.41% 6.71% 6.39% 6.36%
Ratio of expenses to average net
assets*....................... 0.75%(b) 0.64% 0.61% 0.66% 0.74% 0.74%
Ratio of net investment income
to average net assets*........ 6.54%(b) 6.10% 6.41% 6.71% 6.39% 6.36%
Portfolio Turnover (c).......... 10.89% 34.69% 17.60% 24.92% 41.91% 75.67%
</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.
120
<PAGE> 123
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND FUND
----------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------
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... $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01 $ 10.32
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income................ 0.34 0.61 0.63 0.67 0.63 0.61
Net realized and unrealized gains
(losses) from investments.......... (0.44) 0.21 0.32 (0.18) 1.45 (1.31)
-------- -------- -------- ------- ------- -------
Total from Investment Activities... (0.10) 0.82 0.95 0.49 2.08 (0.70)
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income................ (0.34) (0.63) (0.63) (0.67) (0.64) (0.59)
Net realized gains................... -- -- -- -- -- (0.02)
-------- -------- -------- ------- ------- -------
Total Distributions................ (0.34) (0.63) (0.63) (0.67) (0.64) (0.61)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01
======== ======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)... (0.98)%(a) 7.92% 9.65% 4.98% 23.75% (6.99)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).... $180,058 $226,261 $125,515 $46,977 $31,714 $32,053
Ratio of expenses to average net
assets............................. 0.86%(b) 0.89% 0.86% 0.78% 0.74% 0.74%
Ratio of net investment income to
average net assets................. 6.39%(b) 5.85% 6.16% 6.59% 6.39% 6.36%
Ratio of expenses to average net
assets*............................ 0.97%(b) 0.89% 0.86% 0.78% 0.74% 0.74%
Ratio of net investment income to
average net assets*................ 6.28%(b) 5.85% 6.16% 6.59% 6.39% 6.36%
Portfolio Turnover (c)............... 10.89% 34.69% 17.60% 24.92% 41.91% 75.67%
</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.
121
<PAGE> 124
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND FUND
----------------------------------------------
CLASS B SHARES
----------------------------------------------
SIX MONTHS YEAR ENDED AUGUST 24,
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.................... $ 10.78 $10.59 $10.27 $10.00
------- ------ ------ ------
Investment Activities:
Net investment income................................. 0.30 0.47 0.56 0.21
Net realized and unrealized gains (losses) from
investments......................................... (0.44) 0.27 0.32 0.27
------- ------ ------ ------
Total from Investment Activities.................... (0.14) 0.74 0.88 0.48
------- ------ ------ ------
Distributions:
Net investment income................................. (0.30) (0.55) (0.56) (0.21)
------- ------ ------ ------
Total Distributions................................. (0.30) (0.55) (0.56) (0.21)
------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD.......................... $ 10.34 $10.78 $10.59 $10.27
======= ====== ====== ======
Total Return (Excludes Sales Charge).................... (1.35)%(b) 7.16% 8.91% 4.81%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)..................... $13,812 $9,074 $3,394 $ 280
Ratio of expenses to average net assets............... 1.57%(c) 1.64% 1.61% 1.59%(c)
Ratio of net investment income to average net
assets.............................................. 5.69%(c) 5.10% 5.41% 3.01%(c)
Ratio of expenses to average net assets*.............. 1.70%(c) 1.64% 1.61% 1.59%(c)
Ratio of net investment income to average net
assets*............................................. 5.56%(c) 5.10% 5.41% 3.01%(c)
Portfolio Turnover (d)................................ 10.89% 34.69% 17.60% 24.92%(c)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(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.
122
<PAGE> 125
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND FUND
--------------
CLASS C SHARES
--------------
MARCH 22,
1999 TO
JUNE 30,
1999(a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.59
------
Investment Activities:
Net investment income..................................... 0.17
Net realized and unrealized gains (losses) from
investments............................................ (0.21)
------
Total from Investment Activities....................... (0.04)
------
Distributions:
Net investment income..................................... (0.17)
------
Total Distributions.................................... (0.17)
------
NET ASSET VALUE, END OF PERIOD.............................. $10.38
======
Total Return (Excludes Sales Charge)........................ (0.35)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 455
Ratio of expenses to average net assets................... 1.47%(c)
Ratio of net investment income to average net assets...... 5.66%(c)
Ratio of expenses to average net assets*.................. 1.69%(c)
Ratio of net investment income to average net assets*..... 5.44%(c)
Portfolio Turnover (d).................................... 10.89%
</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.
123
<PAGE> 126
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-----------------------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------------------
SIX MONTHS FEBRUARY 1, YEAR
ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
JUNE 30, ----------------------------- DECEMBER 31, JANUARY 31,
1999 1998 1997 1996 1995(a) 1995
---------- -------- ------- -------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................ $ 8.10 $ 8.01 $ 7.85 $ 8.18 $ 7.68 $ 8.25
---------- -------- ------- -------- -------- ------
Investment Activities:
Net investment income............. 0.22 0.47 0.50 0.46 0.47 0.52
Net realized and unrealized gains
(losses) from investments....... (0.35) 0.14 0.17 (0.24) 0.72 (0.57)
---------- -------- ------- -------- -------- ------
Total from Investment
Activities................... (0.13) 0.61 0.67 0.22 1.19 (0.05)
---------- -------- ------- -------- -------- ------
Distributions:
Net investment income............. (0.23) (0.47) (0.49) (0.45) (0.47) (0.52)
Net realized gains................ (0.06) (0.05) (0.02) (0.10) (0.22) --
---------- -------- ------- -------- -------- ------
Total Distributions............. (0.29) (0.52) (0.51) (0.55) (0.69) (0.52)
---------- -------- ------- -------- -------- ------
NET ASSET VALUE, END OF PERIOD...... $ 7.68 $ 8.10 $ 8.01 $ 7.85 $ 8.18 $ 7.68
========== ======== ======= ======== ======== ======
Total Return........................ (1.68)%(b) 7.82% 8.86% 3.14% 15.90%(b) (0.48)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period
(000)........................... $1,328,702 $385,672 $94,544 $187,112 $191,930 $7,101
Ratio of expenses to average net
assets.......................... 0.62%(c) 0.65% 0.62% 0.57% 0.55%(c) 0.04%
Ratio of net investment income to
average net assets.............. 5.92%(c) 5.79% 6.08% 6.02% 6.34%(c) 6.70%
Ratio of expenses to average net
assets*......................... 0.76%(c) 0.65% 0.62% 0.66% 0.67%(c) 2.78%
Ratio of net investment income to
average net assets*............. 5.78%(c) 5.79% 6.08% 5.93% 6.22%(c) 3.96%
Portfolio Turnover (d)............ 20.55% 41.69% 38.70% 103.93% 173.26% 71.65%
</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 February 1, 1995 the Fund changed its fiscal year end from January
31, to December 31.
(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.
124
<PAGE> 127
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
---------------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------------
SIX MONTHS FEBRUARY 1, YEAR
ENDED YEAR ENDED DECEMBER 31, 1995 TO ENDED
JUNE 30, ------------------------- DECEMBER 31, JANUARY 31,
1999 1998 1997 1996 1995(a) 1995
---------- ------- ------ ------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 8.09 $ 8.00 $ 7.84 $ 8.18 $ 7.68 $ 8.25
------- ------- ------ ------ ------ ------
Investment Activities:
Net investment income................ 0.21 0.44 0.48 0.41 0.44 0.52
Net realized and unrealized gains
(losses) from investments.......... (0.34) 0.14 0.17 (0.25) 0.72 (0.57)
------- ------- ------ ------ ------ ------
Total from Investment Activities... (0.13) 0.58 0.65 0.16 1.16 (0.05)
------- ------- ------ ------ ------ ------
Distributions:
Net investment income................ (0.22) (0.44) (0.47) (0.40) (0.44) (0.52)
Net realized gains................... (0.06) (0.05) (0.02) (0.10) (0.22) --
------- ------- ------ ------ ------ ------
Total Distributions................ (0.28) (0.49) (0.49) (0.50) (0.66) (0.52)
------- ------- ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD......... $ 7.68 $ 8.09 $ 8.00 $ 7.84 $ 8.18 $ 7.68
======= ======= ====== ====== ====== ======
Total Return (Excludes Sales Charge)... (1.62)%(b) 7.44% 8.58% 2.75% 15.55%(b) (0.45)%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).... $31,603 $15,785 $7,832 $8,798 $6,095 $ 69
Ratio of expenses to average net
assets............................. 0.87%(c) 0.90% 0.87% 0.84% 0.94%(c) 0.04%
Ratio of net investment income to
average net assets................. 5.37%(c) 5.57% 5.83% 5.75% 5.72%(c) 6.70%
Ratio of expenses to average net
assets*............................ 1.16%(c) 0.90% 0.87% 0.90% 1.15%(c) 2.78%
Ratio of net investment income to
average net assets*................ 5.08%(c) 5.57% 5.83% 5.69% 5.51%(c) 3.96%
Portfolio Turnover (d)............... 20.55% 41.69% 38.70% 103.93% 173.26% 71.65%
</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 February 1, 1995 the Fund changed its fiscal year end from January
31, to December 31.
(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.
125
<PAGE> 128
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-------------------------------------------------------------------
CLASS B SHARES
-------------------------------------------------------------------
SIX MONTHS MAY 31, FEBRUARY 8,
ENDED YEAR ENDED DECEMBER 31, 1995 TO 1994 TO
JUNE 30, ------------------------ DECEMBER 31, DECEMBER 2,
1999 1998 1997 1996 1995(a)(b) 1994(c)(d)
---------- ------ ------ ------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 8.13 $ 8.00 $ 7.85 $ 8.18 $ 8.13 $ 8.16
------- ------ ------ ------ ------- ------
Investment Activities:
Net investment income............... 0.18 0.39 0.42 0.45 0.24 0.40
Net realized and unrealized gains
(losses) from investments......... (0.34) 0.14 0.17 (0.23) 0.27 (0.55)
------- ------ ------ ------ ------- ------
Total from Investment
Activities..................... (0.16) 0.53 0.59 0.22 0.51 (0.15)
------- ------ ------ ------ ------- ------
Distributions:
Net investment income............... (0.20) (0.35) (0.42) (0.45) (0.24) (0.40)
Net realized gains.................. (0.06) (0.05) (0.02) (0.10) (0.22) --
------- ------ ------ ------ ------- ------
Total Distributions............... (0.26) (0.40) (0.44) (0.55) (0.46) (0.40)
------- ------ ------ ------ ------- ------
Conversion to Class A Shares.......... (7.61)
NET ASSET VALUE, END OF PERIOD........ $ 7.71 $ 8.13 $ 8.00 $ 7.85 $ 8.18 $ --
======= ====== ====== ====== ======= ======
Total Return (Excludes Sales
Charge)............................. (2.07)%(e) 6.74% 7.75% 2.09% 6.41%(e) (1.82)%(e)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)... $16,309 $ 638 $ 533 $ 502 $ 259 $ --
Ratio of expenses to average net
assets............................ 1.52%(f) 1.65% 1.62% 1.58% 1.60%(f) --%(f)
Ratio of net investment income to
average net assets................ 5.05%(f) 4.80% 5.08% 5.01% 5.00%(f) 6.48%(f)
Ratio of expenses to average net
assets*........................... 2.01%(f) 1.65% 1.62% 1.67% 1.78%(f) 2.58%(f)
Ratio of net investment income to
average net assets*............... 4.56%(f) 4.80% 5.08% 4.92% 4.82%(f) 3.90%(f)
Portfolio Turnover (g).............. 20.55% 41.69% 38.70% 103.93% 173.26% 71.65%(e)
</TABLE>
- ------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Re-offering date of Class B shares was May 31, 1995.
(b) Effective February 1, 1995 the Fund changed its fiscal year end from January
31, to December 31.
(c) Period from commencement of operations.
(d) On December 2, 1994 the Fund terminated its offering of Class B Shares and
such shares converted to Class A shares.
(e) Not annualized.
(f) 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.
126
<PAGE> 129
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT 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............. $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.......................... 0.58 0.60 0.62 0.62 0.62
Net realized and unrealized gains (losses) from
investments.................................. (0.38) 0.42 0.13 (0.25) 0.46
-------- -------- -------- -------- --------
Total from Investment Activities............. 0.20 1.02 0.75 0.37 1.08
-------- -------- -------- -------- --------
Distributions:
Net investment income.......................... (0.58) (0.60) (0.62) (0.62) (0.61)
In excess of net investment income............. -- -- -- -- (0.01)
-------- -------- -------- -------- --------
Total Distributions.......................... (0.58) (0.60) (0.62) (0.62) (0.62)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD................... $ 9.73 $ 10.11 $ 9.69 $ 9.56 $ 9.81
======== ======== ======== ======== ========
Total Return..................................... 1.94% 10.81% 8.10% 3.81% 12.04%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).............. $964,576 $851,517 $724,423 $677,326 $379,826
Ratio of expenses to average net assets........ 0.62% 0.62% 0.62% 0.68% 0.71%
Ratio of net investment income to average net
assets....................................... 5.77% 6.05% 6.45% 6.34% 6.65%
Ratio of expenses to average net assets*....... 0.66% 0.67% 0.68% 0.69% 0.73%
Ratio of net investment income to average net
assets*...................................... 5.73% 6.00% 6.39% 6.33% 6.63%
Portfolio Turnover (a)......................... 80.86% 91.49% 60.53% 62.70% 106.14%
</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.
127
<PAGE> 130
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT 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.................. $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
------- ------- ------- ------- -------
Investment Activities:
Net investment income............................... 0.56 0.58 0.60 0.60 0.61
Net realized and unrealized gains (losses) from
investments....................................... (0.38) 0.42 0.13 (0.25) 0.45
------- ------- ------- ------- -------
Total from Investment Activities.................. 0.18 1.00 0.73 0.35 1.06
------- ------- ------- ------- -------
Distributions:
Net investment income............................... (0.56) (0.58) (0.60) (0.60) (0.59)
In excess of net investment income.................. -- -- -- -- (0.01)
------- ------- ------- ------- -------
Total Distributions............................... (0.56) (0.58) (0.60) (0.60) (0.60)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 9.73 $ 10.11 $ 9.69 $ 9.56 $ 9.81
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge).................. 1.69% 10.54% 7.83% 3.58% 11.84%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $42,819 $31,548 $34,727 $38,800 $ 8,130
Ratio of expenses to average net assets............. 0.87% 0.87% 0.87% 0.93% 0.97%
Ratio of net investment income to average net
assets............................................ 5.52% 5.80% 6.20% 6.09% 6.46%
Ratio of expenses to average net assets*............ 1.00% 1.02% 1.03% 1.04% 1.09%
Ratio of net investment income to average net
assets*........................................... 5.39% 5.65% 6.04% 5.98% 6.34%
Portfolio Turnover (a).............................. 80.86% 91.49% 60.53% 62.70% 106.14%
</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.
128
<PAGE> 131
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT 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.................. $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
------- ------- ------- ------- -------
Investment Activities:
Net investment income............................... 0.49 0.52 0.54 0.54 0.55
Net realized and unrealized gains (losses) from
investments....................................... (0.37) 0.42 0.13 (0.25) 0.46
------- ------- ------- ------- -------
Total from Investment Activities.................. 0.12 0.94 0.67 0.29 1.01
------- ------- ------- ------- -------
Distributions:
Net investment income............................... (0.49) (0.52) (0.54) (0.54) (0.55)
------- ------- ------- ------- -------
Total Distributions............................... (0.49) (0.52) (0.54) (0.54) (0.55)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................ $ 9.74 $ 10.11 $ 9.69 $ 9.56 $ 9.81
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge).................. 1.14% 9.86% 7.14% 2.95% 11.20%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................... $53,384 $20,922 $11,729 $10,782 $ 2,513
Ratio of expenses to average net assets............. 1.52% 1.52% 1.52% 1.58% 1.62%
Ratio of net investment income to average net
assets............................................ 4.86% 5.14% 5.55% 5.44% 5.76%
Ratio of expenses to average net assets*............ 1.65% 1.67% 1.68% 1.69% 1.74%
Ratio of net investment income to average net
assets*........................................... 4.73% 4.99% 5.39% 5.33% 5.64%
Portfolio Turnover (a).............................. 80.86% 91.49% 60.53% 62.70% 106.14%
</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.
129
<PAGE> 132
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT
BOND FUND
--------------
CLASS C
SHARES
--------------
MARCH 22,
1999 TO
JUNE 30,
1999(a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.03
------
Investment Activities:
Net investment income..................................... 0.14
Net realized and unrealized gains (losses) from
investments............................................. (0.29)
------
Total from Investment Activities........................ (0.15)
------
Distributions:
Net investment income..................................... (0.14)
------
Total Distributions..................................... (0.14)
------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.74
======
Total Return (Excludes Sales Charge)........................ (1.54)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $1,102
Ratio of expenses to average net assets................... 1.52%(c)
Ratio of net investment income to average net assets...... 5.06%(c)
Ratio of expenses to average net assets*.................. 1.65%(c)
Ratio of net investment income to average net assets*..... 4.93%(c)
Portfolio Turnover (d).................................... 80.86%
</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.
130
<PAGE> 133
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
-----------------------------------
CLASS I SHARES
-----------------------------------
YEAR ENDED JUNE 30, JANUARY 20,
-------------------- TO JUNE 30,
1999 1998 1997(a)
-------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.09 $ 9.99 $ 10.00
------- ------- --------
Investment Activities:
Net investment income..................................... 0.57 0.62 0.28
Net realized and unrealized gains (losses) from
investments............................................. (0.21) 0.15 (0.01)
------- ------- --------
Total from Investment Activities........................ 0.36 0.77 0.27
------- ------- --------
Distributions:
Net investment income..................................... (0.57) (0.62) (0.28)
Net realized gains........................................ (0.07) (0.05) --
------- ------- --------
Total Distributions..................................... (0.64) (0.67) (0.28)
------- ------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.81 $ 10.09 $ 9.99
======= ======= ========
Total Return................................................ 3.54% 7.91% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $79,958 $95,073 $110,084
Ratio of expenses to average net assets................... 0.36% 0.35% 0.45%(c)
Ratio of net investment income to average net assets...... 5.60% 6.16% 6.44%(c)
Ratio of expenses to average net assets*.................. 0.65% 0.65% 0.78%(c)
Ratio of net investment income to average net assets*..... 5.31% 5.86% 6.11%(c)
Portfolio Turnover (d).................................... 76.73% 41.60% 54.44%
</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.
131
<PAGE> 134
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
-----------------------------------
CLASS A SHARES
-----------------------------------
YEAR ENDED JUNE 30, JANUARY 20,
-------------------- TO JUNE 30,
1999 1998 1997(a)
-------- -------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.09 $ 9.98 $10.00
------- ------- ------
Investment Activities:
Net investment income..................................... 0.54 0.63 0.29
Net realized and unrealized gains (losses) from
investments............................................. (0.21) 0.16 (0.02)
------- ------- ------
Total from Investment Activities........................ 0.33 0.79 0.27
------- ------- ------
Distributions:
Net investment income..................................... (0.54) (0.63) (0.29)
Net realized gains........................................ (0.07) (0.05) --
------- ------- ------
Total Distributions..................................... (0.61) (0.68) (0.29)
------- ------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.81 $ 10.09 $ 9.98
======= ======= ======
Total Return (Excludes Sales Charge)........................ 3.30% 8.10% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $72,941 $35,213 $ 94
Ratio of expenses to average net assets................... 0.60% 0.58% 0.71%(c)
Ratio of net investment income to average net assets...... 5.30% 5.87% 6.47%(c)
Ratio of expenses to average net assets*.................. 1.00% 0.98% 1.15%(c)
Ratio of net investment income to average net assets*..... 4.90% 5.47% 6.03%(c)
Portfolio Turnover (d).................................... 76.73% 41.60% 54.44%
</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>
TREASURY & AGENCY FUND
-----------------------------------
CLASS B SHARES
-----------------------------------
YEAR ENDED JUNE 30, JANUARY 20,
-------------------- TO 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..................................... 0.49 0.58 0.26
Net realized and unrealized gains (losses) from
investments............................................ (0.20) 0.14 (0.01)
------- ------- ------
Total from Investment Activities....................... 0.29 0.72 0.25
------- ------- ------
Distributions:
Net investment income..................................... (0.49) (0.58) (0.26)
Net realized gains........................................ (0.07) (0.05) --
------- ------- ------
Total Distributions.................................... (0.56) (0.63) (0.26)
------- ------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.81 $ 10.08 $ 9.99
======= ======= ======
Total Return (Excludes Sales Charge)........................ 2.89% 7.33% 2.58%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $69,825 $12,483 $ 80
Ratio of expenses to average net assets................... 1.10% 1.08% 1.23%(c)
Ratio of net investment income to average net assets...... 4.79% 5.39% 6.30%(c)
Ratio of expenses to average net assets*.................. 1.64% 1.63% 1.81%(c)
Ratio of net investment income to average net assets*..... 4.25% 4.84% 5.72%(c)
Portfolio Turnover (d).................................... 76.73% 41.60% 54.44%
</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>
HIGH YIELD
BOND FUND
--------------
CLASS I SHARES
--------------
NOVEMBER 13,
1998 TO
JUNE 30,
1999(a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.00
--------
Investment Activities:
Net investment income..................................... 0.51
Net realized and unrealized gains (losses) from
investments............................................ (0.13)
--------
Total from Investment Activities....................... 0.38
--------
Distributions:
Net investment income..................................... (0.51)
--------
Total Distributions.................................... (0.51)
--------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.87
========
Total Return................................................ 3.80%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $137,433
Ratio of expenses to average net assets................... 0.89%(c)
Ratio of net investment income to average net assets...... 8.48%(c)
Ratio of expenses to average net assets*.................. 1.18%(c)
Ratio of net investment income to average net assets*..... 8.19%(c)
Portfolio Turnover (d).................................... 28.02%
</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) 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>
HIGH YIELD
BOND FUND
--------------
CLASS A SHARES
--------------
NOVEMBER 13,
1998 TO
JUNE 30,
1999 (a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.00
-------
Investment Activities:
Net investment income..................................... 0.49
Net realized and unrealized gains (losses) from
investments............................................. (0.14)
-------
Total from Investment Activities........................ 0.35
-------
Distributions:
Net investment income..................................... (0.49)
-------
Total Distributions..................................... (0.49)
-------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.86
=======
Total Return (Excludes Sales Charge)........................ 3.53%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $11,405
Ratio of expenses to average net assets................... 1.13%(c)
Ratio of net investment income to average net assets...... 8.46%(c)
Ratio of expenses to average net assets*.................. 1.43%(c)
Ratio of net investment income to average net assets*..... 8.16%(c)
Portfolio Turnover (d).................................... 28.02%
</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) 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.
135
<PAGE> 138
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
HIGH YIELD
BOND FUND
--------------
CLASS B SHARES
--------------
NOVEMBER 13,
1998 TO
JUNE 30,
1999 (a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.00
------
Investment Activities:
Net investment income..................................... 0.45
Net realized and unrealized gains (losses) from
investments............................................. (0.12)
------
Total from Investment Activities........................ 0.33
------
Distributions:
Net investment income..................................... (0.45)
------
Total Distributions..................................... (0.45)
------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.88
======
Total Return (Excludes Sales Charge)........................ 3.30%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $3,748
Ratio of expenses to average net assets................... 1.77%(c)
Ratio of net investment income to average net assets...... 7.69%(c)
Ratio of expenses to average net assets*.................. 2.06%(c)
Ratio of net investment income to average net assets*..... 7.40%(c)
Portfolio Turnover (d).................................... 28.02%
</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) 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.
136
<PAGE> 139
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
HIGH YIELD
BOND FUND
--------------
CLASS C SHARES
--------------
MARCH 22
1999 TO
JUNE 30,
1999 (a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.14
------
Investment Activities:
Net investment income..................................... 0.22
Net realized and unrealized gains from investments........ (0.27)
------
Total from Investment Activities........................ (0.05)
------
Distributions:
Net investment income..................................... (0.22)
------
Total Distributions..................................... (0.22)
------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.87
======
Total Return (Excludes Sales Charge)........................ (0.56)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 9
Ratio of expenses to average net assets................... 1.76%(c)
Ratio of net investment income to average net assets...... 7.84%(c)
Ratio of expenses to average net assets*.................. 2.08%(c)
Ratio of net investment income to average net assets*..... 7.52%(c)
Portfolio Turnover (d).................................... 28.02%
</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) 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.
137
<PAGE> 140
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
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 portfolio investments, and the related statements of
operations, of changes in net assets and of cash flows and the financial
highlights present fairly, in all material respects, the financial position of
the Ultra Short-Term Bond Fund, the Short-Term Bond Fund (formerly the Limited
Volatility Bond Fund), the Intermediate Bond Fund, the Bond Fund (formerly the
Pegasus Bond Fund), the Income Bond Fund, the Government Bond Fund, the Treasury
& Agency Fund, and the High Yield Bond Fund (eight series of One Group Mutual
Funds, hereafter referred to as the "Funds") at June 30, 1999, the results of
each of their operations for each of the periods presented, the changes in each
of their net assets for each of the periods presented, and the cash flows of the
Short-Term Bond Fund, the Intermediate Bond Fund, the Bond Fund and the Income
Bond Fund for each of the periods then ended 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 Intermediate Bond Fund, the Bond Fund and the Income
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.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 20, 1999
138
<PAGE> 141
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<PAGE> 142
(This page has been left blank intentionally.)
<PAGE> 143
(This page has been left blank intentionally.)
<PAGE> 144
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-037-AN (8/99)
