<PAGE> 1
BOND FUNDS
ANNUAL REPORT
For the year ended June 30, 2000
[One Group Logo]
ONE GROUP(R) ULTRA SHORT-TERM BOND FUND
ONE GROUP(R) SHORT-TERM BOND FUND
ONE GROUP(R) INTERMEDIATE BOND FUND
ONE GROUP(R) BOND FUND
ONE GROUP(R) INCOME BOND FUND
ONE GROUP(R) GOVERNMENT BOND FUND
ONE GROUP(R) TREASURY & AGENCY FUND
ONE GROUP(R) HIGH YIELD BOND FUND
<PAGE> 2
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
<PAGE> 3
Table of Contents
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Portfolio Performance Review............................................... 2
Schedules of Portfolio Investments......................................... 27
Statements of Assets and Liabilities....................................... 85
Statements of Operations................................................... 87
Statements of Changes in Net Assets........................................ 89
Schedules of Capital Stock Activity........................................ 92
Financial Highlights....................................................... 95
Notes to Financial Statements............................................... 124
Report of Independent Accountants........................................... 134
1
<PAGE> 4
One Group Ultra Short-Term Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Ultra Short-Term Bond Fund I share
class posted a total return of 5.66%. (For information on other share classes
and performance comparisons to indexes, please see page 4.)
HOW WOULD YOU DESCRIBE THE YEAR'S MARKET CLIMATE?
The 12-month period was characterized by rising interest rates, as the U.S.
economy continued to surprise investors with high growth and low inflation.
Uncomfortable with this situation, the Federal Reserve embarked on a
rate-tightening campaign that eventually raised the federal funds rate by 1.75
percentage points. More important, short-term market rates increased by more
than 1 percentage point.
High levels of spread volatility characterized the performance of the
mortgage-backed sector during the year. (Spreads refer to the differences in
yields between non-Treasury bonds, such as agency, corporate and mortgage-backed
securities, and comparable-maturity Treasury bonds. When spreads widen, prices
on non-Treasury bonds decline, and vice versa.) At the beginning of the fiscal
year, increasing concerns over potential Federal Reserve tightening and Y2K
caused interest rate volatility to spike, and spreads on mortgage-backed
securities widened. But, after the Federal Reserve announced it would provide
enough liquidity to combat any Y2K problems, spreads tightened.
During the first quarter of 2000, strong global growth, a soaring equity market
and high levels of non-public debt led to concerns that the Federal Reserve
would become significantly more restrictive. In addition, record U.S. government
surpluses led the U.S. Treasury to implement a buyback program of federal debt.
These factors resulted in an inversion of the yield curve, and spreads re-tested
their historical highs. Furthermore, the high levels of growth in some
government agencies, particularly Freddie Mac and Fannie Mae, have come under
Congressional scrutiny. We do not expect any changes in the legal or credit
status of these agencies, but spreads on their debt have risen significantly.
Also, this event has led to a dislocation in the mortgage market, where the
value of Ginnie Mae securities has risen significantly in relation to those of
Fannie Mae and Freddie Mac.
HOW DID THESE EVENTS INFLUENCE THE FUND?
The significant widening of spreads, particularly among mortgage-related
securities, negatively affected the Fund's performance. In addition, the Federal
Reserve's tightening of monetary policy negatively influenced performance by
increasing the level of spread volatility and the overall level of interest
rates.
At the same time, the rise in short-term interest rates led to increases in the
coupon rates of the Fund's floating-rate securities, which enhanced Fund
performance. Coupon income was the key to performance for the year. The rising
rate environment caused the Fund's share price to decline, but the level of
income more than offset the share price depreciation, resulting in a positive
total return.
Rising interest rates also helped push up the Fund's yield. As of June 30, 2000,
the Fund's 30-day SEC yield on I shares was 6.61%, compared to 5.35% on June 30,
1999.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our strategy is to attempt to maximize total return while maintaining a
relatively stable net asset value. As such, we invest primarily in high-quality
fixed and floating-rate asset-backed and mortgage-backed securities that offer
significant yield advantages over comparable-maturity Treasury securities.
We also attempt to keep the Fund's duration close to its target of 0.9 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.) Duration fluctuated from 0.95 years to 1.10 years, primarily due to the
varying duration of mortgage-backed securities and the increased interest rate
volatility. At fiscal year-end, duration was 1.03 years.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Given the uncertainty surrounding inflation, economic growth and Federal Reserve
policy, we expect rates and spreads to remain volatile for the near term. But,
we believe the economy will start slowing down in the fall, and this should put
an end to the Federal Reserve's
2
<PAGE> 5
One Group Ultra Short-Term Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
rate hikes. By the end of the year, we expect interest rates to remain steady or
even fall slightly. The yield curve should flatten, and overall interest rate
volatility should drop. As such, we expect spread securities to perform well
during the second half of 2000.
We plan to continue heavily overweighting spread securities. In addition, we
expect to maintain duration at or slightly above our target duration to keep
interest rate risk relatively neutral. Finally, we will actively pursue
opportunities to enhance the Fund's yield.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
Please refer to the prospectus and the accompanying financial statements 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, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 2/2/93)
Class I 5.66% 5.81% 5.18%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
ML 1 YEAR TREASURY BILL LIPPER ULTRA SHORT FUND
CLASS I INDEX INDEX
------- ----------------------- -----------------------
<S> <C> <C> <C>
2/93 10000 10000 10000
6/93 10201 10139 10182
6/94 10421 10382 10241
6/95 10957 11053 10552
6/96 11571 11665 11011
6/97 12397 12386 11686
6/98 13141 13104 12369
6/99 13754 13778 12961
6/00 14533 14483 13656
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/10/93)
Class A 5.40% 5.59% 4.95%
Class A* 2.26% 4.96% 4.51%
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
ML 1 YEAR TREASURY LIPPER ULTRA SHORT
CLASS A CLASS A* BILL INDEX FUND INDEX
------- -------- ------------------ ------------------
<S> <C> <C> <C> <C>
3/93 10000 9700 10000 10000
6/93 10146 9842 10104 10133
6/94 10344 10034 10346 10192
6/95 10845 10519 11014 10502
6/96 11432 11089 11625 10958
6/97 12233 11866 12343 11630
6/98 12936 12548 13059 12309
6/99 13505 13099 13731 12899
6/00 14234 13807 14433 13590
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (1/14/94)(1)
Class B 4.91% 5.01% 4.63%
Class B** 1.92% 5.01% 4.63%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
ML 1 YEAR TREASURY LIPPER ULTRA SHORT
CLASS B CLASS B** BILL INDEX FUND INDEX
------- --------- ------------------ ------------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9991 9991 10067 9937
6/95 10468 10468 10717 10239
6/96 10953 10953 11311 10684
6/97 11634 11634 12010 11339
6/98 12253 12253 12707 12002
6/99 12742 12742 13360 12577
6/00 13368 13368 14044 13251
</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 (ML) 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 fees. By contrast, the performance of the Fund reflects the deduction
of these 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 Ultra Short Fund Index is typically comprised of the 30 largest
mutual funds that invest at least 65% of their assets in investment grade debt
issues, or better, and maintain a portfolio dollar-weighted average maturity
between 91 and 365 days.
The Lipper Ultra Short Fund Index consists of the average monthly returns of the
Lipper Adjustable Rate Mortgage Fund Index for periods prior to July 1996.
Thereafter, the data is from the Lipper Ultra Short Fund Index, which
corresponds with the initiation of the Lipper Ultra Short Fund Index on July 1,
1996.
------------
(1) Class B shares automatically convert to Class A shares after six years.
Therefore, the performance in the "since inception" example for Class B
shares represents a combination of Class A and Class B operating expenses.
4
<PAGE> 7
One Group Short-Term Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the 12-month period ended June 30, 2000, One Group Short-Term Bond Fund I
share class posted a total return of 4.81%. (For information on other share
classes and performance comparisons to indexes, please see page 6.)
The fiscal year ended June 30, 2000, can be characterized as an incredibly
turbulent period in the fixed income market. Interest rates increased across the
board, with shorter-term rates rising more than longer-term rates. Yield spreads
widened during the year, causing agency and other non-Treasury sectors to
underperform Treasury securities. (Spreads refer to the differences in yields
between non-Treasury bonds, such as agency, corporate, asset-backed and
mortgage-backed securities, and comparable-maturity Treasury bonds. When spreads
widen, prices on non-Treasury bonds decline, and vice versa.)
With yields higher across the entire yield curve, bond prices declined
throughout the fiscal year. But, the Fund's income was enough to offset the
price declines, resulting in a positive total return for the Fund.
HOW DID THE FUND'S YIELD CHANGE?
The Fund's yield increased throughout the year, due to the rising interest rate
environment. As of June 30, 2000, the Fund's 30-day SEC yield on I shares was
6.38%, compared to 5.66% on June 30, 1999.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Consistent with our investment philosophy, our strategy was to search for value
based on thorough credit research and risk/return analysis across all sectors of
the fixed income market. At the same time, we carefully controlled the Fund's
duration, or interest rate risk. These strategies helped reduce the negative
effects of last fiscal year's flight to quality on Fund performance.
In anticipation of higher interest rates, we lowered the Fund's duration to help
limit the impact of rising rates and falling prices. Duration ended the fiscal
year at 1.6 years, compared to 1.8 years on June 30, 1999. (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 Federal Reserve's interest rate hikes during the year helped the yield curve
take on an inverted shape, meaning that shorter-term bonds offered higher yields
than long-term bonds. Our barbelled strategy of investing in maturities at the
short and long ends of our maturity range helped mitigate the effects of rising
interest rates.
WHAT WAS THE FUND'S QUALITY PROFILE?*
In general, higher-quality securities performed better than lower-quality
securities during the year. We maintained a high-quality portfolio throughout
the period, and at fiscal year end, 82% of the Fund's assets was invested in
securities rated "AAA." Securities rated "AA" "A" and "BBB" comprised 2%, 15%
and 1% of the portfolio, respectively.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Our expectation is for interest rates to possibly head higher over the near
term, as the economy continues to grow at a solid rate. We believe the Federal
Reserve may continue to raise the federal funds rate this year, possibly peaking
at 7%. We believe the Federal Reserve remains committed to keeping inflation
under control and will successfully slow down the economy. This should
contribute to a positive bond market environment. Spreads may remain volatile
and wider than their historical averages due to supply and demand changes in the
market. Nonetheless, over time, we believe that non-Treasury securities will
continue to present attractive investment opportunities.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* 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, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (9/4/90)
Class I 4.81% 5.59% 6.56%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS 1-3
YEAR GOVT/CREDIT LEHMAN BROTHERS 1-3 LIPPER SHORT US
CLASS I INDEX YEAR GOVT INDEX GOVT FUND INDEX
------- ------------------- ------------------- ---------------
<S> <C> <C> <C> <C>
9/90 10000 10000 10000 10000
6/91 10799 10858 10853 10774
6/92 12068 11991 11975 11801
6/93 13066 12791 12759 12590
6/94 13170 12995 12952 12744
6/95 14218 14007 13946 13686
6/96 14947 14783 14709 14366
6/97 15957 15762 15676 15292
6/98 17008 16836 16739 16285
6/99 17802 17702 17583 17000
6/00 18658 18561 18437 17789
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (2/18/92)
Class A 4.55% 5.32% 5.53%
Class A* 1.43% 4.67% 5.14%
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LEHMAN BROTHERS
1-3 YEAR 1-3 YEAR GOVT LIPPER SHORT US
CLASS A CLASS A* GOVT/CREDIT INDEX INDEX GOVT FUND INDEX
------- -------- ----------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
2/92 10000 9698 10000 10000 10000
6/92 10356 10043 10289 10284 10274
6/93 11188 10851 10975 10957 10961
6/94 11243 10904 11150 11123 11095
6/95 12105 11740 12019 11976 11915
6/96 12694 12311 12684 12632 12507
6/97 13515 13107 13525 13462 13314
6/98 14369 13935 14446 14375 14178
6/99 15002 14550 15188 15100 14800
6/00 15685 15212 15926 15833 15487
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (1/14/94)(1)
Class B 4.00% 4.80% 4.56%
Class B** 1.03% 4.80% 4.56%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LEHMAN BROTHERS
1-3 YEAR 1-3 YEAR GOVT LIPPER SHORT US
CLASS B CLASS B** GOVT/CREDIT INDEX INDEX GOVT FUND INDEX
------- --------- ----------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
1/94 10000 10000 10000 10000 10000
6/94 9819 9819 9953 9951 9943
6/95 10524 10524 10728 10714 10678
6/96 10974 10974 11323 11301 11208
6/97 11604 11604 12073 12044 11931
6/98 12298 12298 12895 12860 12706
6/99 12792 12792 13558 13509 13264
6/00 13304 13304 14216 14165 13879
</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 1-3 Year Government/Credit Bond Index, an unmanaged index with a broad
measure of the performance of short-term government and corporate fixed-rate
debt issues. 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 fees. By contrast, the performance of the Fund reflects
the deduction of these 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 1-3 Year Government Index is an unmanaged index comprised of
US Government and agency securities with maturities of one to three years.
The Lipper Short US Government Fund Index consists of the equally weighted
average monthly returns of the largest funds within the universe of all funds in
the category.
The benchmark index for the Short-Term Bond Fund has changed from the Lehman
Brothers 1-3 Year Government Index to the Lehman Brothers 1-3 Year
Government/Credit Index in order to better represent the investment policies for
comparison purposes.
------------
(1) Class B shares automatically convert to Class A shares after six years.
Therefore, the performance in the "since inception" example for Class B
shares represents a combination of Class A and Class B operating expenses.
6
<PAGE> 9
One Group Intermediate Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Intermediate Bond Fund I share class
posted a total return of 4.12%. (For information on other share classes and
performance comparisons to indexes, please see pages 8-9.)
HOW DID MARKET EVENTS INFLUENCE PERFORMANCE?
During the fiscal year interest rates increased as the U.S. economy continued to
surprise investors with high levels of income growth and low inflation.
Uncomfortable with the strong economic growth and potential for future
inflation, the Federal Reserve began a series of interest rate hikes that
eventually pushed up the federal funds rate by 1.75 percentage points. But, more
important, short-term market rates rose by more than 1 percentage point, causing
prices on many of the Fund's securities to decline.
In addition, spread volatility remained high during the year, and non-Treasury
securities underperformed. (Spreads refer to the differences in yields between
non-Treasury bonds, such as agency, corporate and mortgage-backed securities,
and comparable-maturity Treasury bonds. When spreads widen, prices on non-
Treasury bonds decline, and vice versa.) Several factors contributed to this
volatility, including Y2K worries, concerns about a more restrictive Federal
Reserve, and speculation that government surpluses would eliminate the federal
debt. Furthermore, high levels of growth among certain government agencies led
to congressional scrutiny, causing investors to question the future status of
securities issued by these agencies. In this volatile environment,
higher-quality bonds, such as those represented in the Fund, outperformed
lower-quality securities.
HOW DID THE FUND'S YIELD CHANGE?
The rising interest rate environment caused bond prices to fall and the Fund's
net asset value to decrease slightly during the year. Rising rates also
contributed to a slight increase in the Fund's yield. As of June 30, 2000, the
Fund's 30-day SEC yield on I shares was 6.56%, compared to 6.37% on June 30,
1999.
WHAT WERE YOUR KEY STRATEGIES AND TACTICS?
In our efforts to outperform the Fund's benchmark index, the Lehman Intermediate
Government/Credit Bond Index, we kept the Fund's duration similar to that of the
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.) At the same time, we held more longer-duration securities and fewer short
and intermediate securities because we expected yield increases (and price
declines) to be more subdued among longer securities. We also overweighted
high-quality corporate, mortgage- and asset-backed securities because of their
significantly higher yields versus Treasuries.
Security selection also was a key component of our strategy throughout the year.
By carefully researching each security we considered for purchase, we were able
to enhance the Fund's total return without taking on additional incremental
risk.
HOW WAS THE FUND STRUCTURED IN TERMS OF SECTORS AND QUALITY?*
As of June 30, 2000, 48% of the Fund's assets were invested in mortgage-backed
securities; 24% were invested in U.S. Treasuries; 11% were invested in corporate
bonds; 9% were invested in money market securities and 8% were invested in
asset-backed securities. We maintained a high credit-quality profile throughout
the year, and securities rated "AAA" comprised 86% of the Fund on June 30, 2000.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Our expectation is for interest rates to possibly head higher over the near
term, as the economy continues to grow at a solid rate in the third quarter. We
believe the Federal Reserve may continue to raise the federal funds rate this
year, possibly until it reaches 7%. Longer term, we believe the Federal Reserve
will slow down the economy and remain committed to keeping inflation under
control. This should contribute to a positive bond market environment. Spreads
may remain volatile and wider than their historical averages due to supply and
demand changes in the market. Nonetheless, we believe that non-Treasury
securities will continue to present attractive investment opportunities over the
long term.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
7
<PAGE> 10
One Group Intermediate Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
Class I 4.12% 6.41% 7.20% 8.24%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE GOVT/CREDIT LIPPER SHORT INTERMEDIATE
CLASS I BOND INDEX US GOVT INDEX
------- ------------------------ -------------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 11056 11052 10997
6/92 12486 12507 12250
6/93 13671 13820 13279
6/94 13377 13785 13239
6/95 14694 15215 14327
6/96 15659 15977 14937
6/97 17074 17130 15905
6/98 18527 18593 17036
6/99 19254 19372 17654
6/00 20046 20191 18350
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 year 10 Year (12/31/83)
Class A 3.86% 6.19% 7.06% 8.16%
Class A* (0.78)% 5.23% 6.57% 7.86%
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE LIPPER SHORT
GOVT/CREDIT BOND INTERMEDIATE US
CLASS A CLASS A* INDEX GOVT INDEX
------- -------- ---------------- ---------------
<S> <C> <C> <C> <C>
6/90 10000 9546 10000 10000
6/91 11050 10549 11052 10997
6/92 12448 11884 12507 12250
6/93 13630 13012 13820 13279
6/94 13337 12732 13785 13239
6/95 14650 13985 15215 14327
6/96 15613 14904 15977 14937
6/97 16960 16191 17130 15905
6/98 18361 17528 18593 17036
6/99 19049 18185 19372 17654
6/00 19784 18886 20191 18350
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
Class B 3.23% 5.66% 6.80% 8.00%
Class B** (1.67)% 5.33% 6.80% 8.00%
* * Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE LIPPER SHORT
GOVT/CREDIT BOND INTERMEDIATE US
CLASS B CLASS B** INDEX GOVT INDEX
------- --------- ---------------- ---------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
6/91 11049 11049 11052 10997
6/92 12448 12448 12507 12250
6/93 13625 13625 13820 13279
6/94 13339 13339 13785 13239
6/95 14658 14658 15215 14327
6/96 15612 15612 15977 14937
6/97 16911 16911 17130 15905
6/98 18173 18173 18593 17036
6/99 18696 18696 19372 17654
6/00 19299 19299 20191 18350
</TABLE>
8
<PAGE> 11
One Group Intermediate Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year (3/22/99)
Class C 3.33% 2.19%
Class C** 2.35% 2.19%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE LIPPER SHORT
GOVT/CREDIT BOND INTERMEDIATE US
CLASS C CLASS C** INDEX GOVT INDEX
------- --------- ---------------- ---------------
<S> <C> <C> <C> <C>
3/99 10000.00 10000.00 10000.00 10000.00
6/99 9949.00 9949.00 9960.00 9962.00
6/00 10280.00 10280.00 10382.00 10355.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The Intermediate Bond Fund commenced operations as the Pegasus Intermediate Bond
Fund on June 1, 1991, subsequent to the transfer of assets from a common trust
fund with materially equivalent investment objectives, policies, guidelines and
restrictions as the Fund. The quoted performance of the Fund includes the
performance of the common trust fund for periods prior to the Fund's
commencement of operations as adjusted to reflect the expenses and sales charges
associated with the Fund. Common trust funds are not registered under the
Investment Company Act of 1940 ("1940 Act") and, therefore, are 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 above quoted performance data includes the performance of a common
trust fund and the Pegasus Intermediate Bond Fund prior to the acquisition by
the One Group Intermediate Bond Fund on March 22, 1999.
The performance of the Intermediate Bond Fund is measured against the Lehman
Brothers Intermediate Government/Credit 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 fees. By contrast, the performance of the Fund reflects
the deduction of these services as well as the deduction of sales charges on
Class A shares and applicable contingent deferred sales charges on Class B and
Class C shares. The Lehman Brothers Intermediate Government/Credit Bond Index
was formally named the Lehman Brothers/Corporate Bond Index.
The Lipper Short Intermediate US Government Index consists of the equally
weighted average monthly returns of the largest funds within the universe of all
funds in the category.
9
<PAGE> 12
One Group Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Bond Fund I share class posted a total return of 3.94% for the year
ended June 30, 2000. (For information on other share classes and performance
comparisons to indexes, please see pages 11-12.) The Fund's 30-day SEC yield on
I shares ended the fiscal year at 6.74%.
During the fiscal year interest rates increased as the U.S. economy continued to
surprise investors with high levels of income growth and low inflation.
Uncomfortable with the strong economic growth and potential for future
inflation, the Federal Reserve began a series of interest rate hikes that
eventually pushed up the federal funds rate by 1.75 percentage points. But, more
important, short-term market rates rose by more than 1 percentage point.
In addition, spread volatility remained high during the year, and non-Treasury
securities underperformed. (Spreads refer to the differences in yields between
non-Treasury bonds, such as agency, corporate and mortgage-backed securities,
and comparable-maturity Treasury bonds. When spreads widen, prices on non-
Treasury bonds decline, and vice versa.) But, within the spread sectors,
higher-quality securities, such as those represented in the Fund, performed
better than lower-quality securities.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
In our goal of outperforming the Lehman Aggregate Bond Index, we kept the Fund's
average duration in line with that of the 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.) At the same time, we held more
longer-duration securities and fewer short and intermediate securities because
we expected yield increases (and price declines) to be less significant among
longer securities. We also overweighted high-quality corporate, mortgage- and
asset-backed securities because of the yield advantages these securities offered
versus Treasuries.
We also focused on security selection and carefully researched each bond we
purchased for the Fund. These efforts enabled us to enhance the Fund's total
return without taking on additional incremental risk.
HOW WAS THE FUND STRUCTURED IN TERMS OF SECTORS AND QUALITY?*
As of June 30, 2000, 53% of the Fund's assets was invested in mortgage-backed
securities; 28% was invested in U.S. Treasuries, 6% was in asset-backed
securities; 6% was in corporate bonds and 6% was in money market securities. We
maintained a high credit-quality profile throughout the year, and securities
rated "AAA" comprised 93% of the Fund on June 30, 2000.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect interest rates to possibly head higher over the near term, as the
economy continues to grow in the months ahead. We believe additional Federal
Reserve rate hikes may be in store this year and expect the federal funds rate
to top out around 7%. Longer term, we believe the Federal Reserve will be
successful in slowing down the economy through its commitment to keeping
inflation under control. This should contribute to a positive bond market
environment. Supply and demand changes in the market may cause spreads to remain
volatile and wider than their historical averages, but we still believe that,
over time, non-Treasury securities will continue to present attractive
investment opportunities.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
10
<PAGE> 13
One Group Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
Class I 3.94% 6.78% 8.00% 9.24%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE US
CLASS I AGGREGATE BOND INDEX GOVT INDEX
------- -------------------- ----------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 11064 11070 10958
6/92 12559 12624 12365
6/93 14181 14112 13623
6/94 13848 13928 13390
6/95 15545 15676 14708
6/96 16593 16462 15304
6/97 18191 17804 16408
6/98 20112 19681 17955
6/99 20766 20300 18422
6/00 21584 21228 19142
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
Class A 3.68% 6.58% 7.89% 9.17%
Class A* (1.01)% 5.60% 7.39% 8.88%
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
AGGREGATE BOND LIPPER INTERMEDIATE
CLASS A CLASS A* INDEX US GOVT INDEX
------- -------- --------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 9545 10000 10000
6/91 11604 10561 11070 10958
6/92 12559 11988 12624 12365
6/93 14181 13536 14112 13623
6/94 13848 13218 13928 13390
6/95 15545 14838 15676 14708
6/96 16593 15838 16462 15304
6/97 18130 17305 17804 16408
6/98 20015 19105 19681 17955
6/99 20615 19677 20300 18422
6/00 21373 20401 21228 19142
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
Class B 3.01% 6.05% 7.64% 9.02%
Class B** (1.87)% 5.73% 7.64% 9.02%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
AGGREGATE BOND LIPPER INTERMEDIATE
CLASS B CLASS B** INDEX US GOVT INDEX
------- --------- --------------- -------------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
6/91 11076 11076 11070 10958
6/92 12571 12571 12624 12365
6/93 14185 14185 14112 13623
6/94 13849 13849 13928 13390
6/95 15563 15563 15676 14708
6/96 16605 16605 16462 15304
6/97 18102 18102 17804 16408
6/98 19826 19826 19681 17955
6/99 20268 20268 20300 18422
6/00 20878 20878 21228 19142
</TABLE>
11
<PAGE> 14
One Group Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year (3/22/99)
Class C 3.19% 2.21%
Class C** 2.21% 2.21%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
AGGREGATE BOND LIPPER INTERMEDIATE
CLASS C CLASS C** INDEX US GOVT INDEX
------- --------- --------------- -------------------
<S> <C> <C> <C> <C>
3/99 10000 10000 10000 10000
6/99 9965 9965 9912 9901
6/00 10282 10282 10365 10288
</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 Bond Fund commenced operations as the Pegasus Bond Fund on June 1, 1991,
subsequent to the transfer of assets from a common trust fund with materially
equivalent investment objectives, policies, guidelines and restrictions as the
Fund. The quoted performance of the Fund includes the performance of the common
trust fund for periods prior to the Fund's commencement of operations as
adjusted to reflect the expenses and sales charges associated with the Fund.
Common trust funds are not registered under the Investment Company Act of 1940
("1940 Act") and, therefore, are 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 above quoted
performance data includes the performance of a common trust fund and the Pegasus
Bond Fund prior to the acquisition by the One Group Bond Fund on March 22, 1999.
The performance of the Bond Fund is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index generally representative of the bond
market as a whole. Investors are unable to purchase the index directly, although
they can invest in the underlying securities. The performance does not reflect
the deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these 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 Index consists of the equally weighted
average monthly returns of the largest funds within the universe of all funds in
the category.
12
<PAGE> 15
One Group Income Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The One Group Income Bond Fund I share class posted a total return of 4.19% for
the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see pages 14-15.)
Rising interest rates and widening yield spreads had a negative effect on the
Fund's one-year total return. (Spreads refer to the differences in yields
between non-Treasury bonds, such as agency, corporate and mortgage-backed
securities, and comparable-maturity Treasury bonds. When spreads widen, prices
on non-Treasury bonds decline, and vice versa.) With yields generally higher
across the yield curve, bond prices declined. But the Fund's income level was
enough to offset the price declines, resulting in a positive total return.
HOW DID THE FUND'S YIELD CHANGE?
The Fund's yield increased throughout the year as a result of higher market
interest rates and the addition of a modest allocation to high-yield securities.
The Fund's 30-day SEC yield on I shares was 7.10% on June 30, 2000, compared to
5.88% on June 30, 1999.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our ongoing strategy is to search for and purchase undervalued securities and
market sectors. During the past fiscal year, the sectors that we believe
represented the best value included spread products in general and, more
specifically, mortgage-backed securities. As such, we increased the Fund's
allocations to mortgages and decreased its weightings primarily in Treasury
securities. This action helped increase the Fund's yield and positions the
portfolio nicely to take advantage of historically wide spreads.
We also added a small high-yield component to the Fund. While this action helped
increase the Fund's yield, it also had a negative effect on the Fund's principal
return. High-yield bonds suffered during our holding period due to credit
quality concerns and a lack of demand. We were able to minimize the effects of
this due to our small and broadly diversified position in these bonds.
The yield curve took on an inverted shape during the year, meaning that
shorter-term bonds offered higher yields than long-term bonds. Our yield curve
positioning in the zero to three-year range as well as our long-term Treasury
holdings helped the Fund make the most of this situation.
HOW WAS THE FUND STRUCTURED IN TERMS OF SECTORS AND QUALITY?*
The Fund's average quality changed only slightly due to the addition of
high-yield securities. As of June 30, 2000, the Fund's average quality was "AA,"
and 64% of the portfolio was invested in "AAA"-rated securities. Securities
rated "AA" comprised 5% of the portfolio; those rated "A" comprised 16%;
securities rated "BBB" comprised 9%; and high-yield bonds comprised 6%.
U.S. Treasuries comprised 19% of the Fund at fiscal year end, while 29% was
invested in mortgage-backed securities, 35% in corporate bonds, 12% in asset
backed securities, 4% in agency securities and 1% in money market securities.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Over time, we believe the Federal Reserve will remain committed to controlling
inflation and will be successful in its efforts to slow down the economy. This
should contribute to a positive bond market environment. Supply and demand
changes in the market may cause spreads to remain volatile and wider than their
historical averages. Nonetheless, we believe that over the long-term
non-Treasury securities will continue to present attractive investment
opportunities.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund's composition is subject to change.
The high-yield portion of the Fund is sub-advised by Banc One High Yield
Partners, LLC. Banc One High Yield Partners, LLC is a joint venture between Banc
One Investment Advisors, the Fund's advisor, and Pacholder Associates, Inc.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
13
<PAGE> 16
One Group Income Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/5/93)
Class I 4.19% 5.69% 5.68%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE
CLASS I AGGREGATE BOND INDEX INVESTMENT GRADE INDEX
------- -------------------- ----------------------
<S> <C> <C> <C>
3/93 10000 10000 10000
6/93 10151 10308 10300
6/94 10173 10174 10164
6/95 11362 11450 11293
6/96 11895 12025 11829
6/97 12770 13005 12767
6/98 14101 14376 14000
6/99 14383 14828 14347
6/00 14986 15506 14886
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/5/93)
Class A 3.80% 5.38% 5.44%
Class A* (0.85)% 4.42% 4.78%
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE
AGGREGATE BOND INVESTMENT GRADE
CLASS A CLASS A* INDEX INDEX
------- -------- --------------- -------------------
<S> <C> <C> <C> <C>
3/93 10000 9554 10000 10000
6/93 10151 9698 10308 10300
6/94 10187 9733 10174 10164
6/95 11341 10835 11450 11293
6/96 11826 11299 12025 11829
6/97 12666 12101 13005 12767
6/98 13956 13334 14376 14000
6/99 14197 13564 14828 14347
6/00 14736 14080 15506 14886
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/5/93)
Class B 3.11% 4.63% 4.93%
Class B** (1.77)% 4.32% 4.93%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE
AGGREGATE BOND INVESTMENT GRADE
CLASS B CLASS B** INDEX INDEX
------- --------- --------------- -------------------
<S> <C> <C> <C> <C>
3/93 10000 10000 10000 10000
6/93 10153 10153 10308 10300
6/94 10194 10194 10174 10164
6/95 11340 11340 11450 11293
6/96 11748 11748 12025 11829
6/97 12481 12481 13005 12767
6/98 13671 13671 14376 14000
6/99 13790 13790 14828 14347
6/00 14219 14219 15506 14886
</TABLE>
14
<PAGE> 17
One Group Income Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/5/93)
Class C 3.15% 4.56% 4.84%
Class C** 2.15% 4.56% 4.84%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE
AGGREGATE BOND INVESTMENT GRADE
CLASS C CLASS C** INDEX INDEX
------- --------- --------------- -------------------
<S> <C> <C> <C> <C>
3/93 10000 10000 10000 10000
6/93 10149 10149 10308 10300
6/94 10181 10181 10174 10164
6/95 11314 11314 11450 11293
6/96 11709 11709 12025 11829
6/97 12427 12427 13005 12767
6/98 13600 13600 14376 14000
6/99 13706 13706 14828 14347
6/00 14138 14138 15506 14886
</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 prior to the acquisition by 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, 1995. 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 Class B
shares is based on Class A share performance adjusted to reflect the difference
in 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 fees. By contrast, the
performance of the Fund reflects the deduction of these 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. Performance for Class C shares is
based on Class B share performance adjusted to reflect the difference in sales
charges.
The Lipper Intermediate Investment Grade Index consists of the equally weighted
average monthly returns of the largest funds within the universe of all funds in
the category.
15
<PAGE> 18
One Group Government Bond Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Government Bond Fund I share class
posted a total return of 4.33%. (For information on other share classes and
performance comparisons to indexes, please see pages 18-19.)
HOW WOULD YOU DESCRIBE THE YEAR'S MARKET CLIMATE?
The 12-month period was characterized by rising interest rates, as the U.S.
economy continued to surprise investors with high growth and low inflation.
Uncomfortable with this situation, the Federal Reserve embarked on a
rate-tightening campaign that eventually raised the federal funds rate by 1.75
percentage points. More important, short-term market rates increased by more
than 1 percentage point.
High levels of spread volatility characterized the performance of the
mortgage-backed sector during the year. (Spreads refer to the differences in
yields between non-Treasury bonds, such as agency, corporate and mortgage-backed
securities, and comparable-maturity Treasury bonds. When spreads widen, prices
on non-Treasury bonds decline, and vice versa.) At the beginning of the fiscal
year, increasing concerns over potential Federal Reserve tightening and Y2K
caused interest rate volatility to spike, and spreads on mortgage-backed
securities widened. But, after the Federal Reserve announced it would provide
enough liquidity to combat any Y2K problems, spreads tightened.
The recovery was short-lived. During the first quarter of 2000, strong global
growth, a soaring equity market and high levels of non-public debt led to
concerns that the Federal Reserve would become significantly more restrictive.
In addition, record U.S. government surpluses led the U.S. Treasury to implement
a buyback program of federal debt. These factors resulted in an inversion of the
yield curve, and spreads re-tested their historical highs. Furthermore, the high
levels of growth in some government agencies, particularly Freddie Mac and
Fannie Mae, have come under Congressional scrutiny. We do not expect any changes
in the legal or credit status of these agencies, but spreads on their debt have
risen significantly. Also, this event has led to a dislocation in the mortgage
market, where the value of Ginnie Mae securities has risen significantly in
relation to those of Fannie Mae and Freddie Mac.
HOW DID THESE EVENTS INFLUENCE THE FUND?
The Federal Reserve's tightening of monetary policy negatively contributed to
the Fund's performance by increasing the level of spread volatility and the
overall level of interest rates. These factors caused bond prices to fall, which
negatively affected Fund performance. In addition, our emphasis on agency-issued
mortgage-backed securities hurt price performance, as spreads widened to levels
not seen in years. We continued to emphasize high-quality mortgage securities
because they offered attractive yield benefits compared to Treasuries.
The Fund remained underweighted in long-term Treasury securities, which
outperformed most other sectors. The demand for liquidity, the federal
government's buyback program and the inverted yield curve all significantly
benefited longer-term Treasuries.
Overall, though, the Fund's performance was solid relative to the year's market
conditions. The Fund performed relatively well despite high volatility among
interest rates and spreads and an inverted yield curve.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We focused on maintaining a high-quality and liquid portfolio and on keeping the
Fund's duration close to its target of 5.5 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.) The Fund's duration varied from
5.3 to 5.4 years during the year, due in part to the varying duration of
mortgage-backed securities and the increased interest rate volatility.
16
<PAGE> 19
One Group Government Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT IS YOUR OUTLOOK FOR THE FUND?
Given the uncertainty surrounding inflation, economic growth and Federal Reserve
policy, we expect rates and spreads to remain volatile throughout the summer
months. But, we believe the economy will start showing signs of a slowdown in
the fall, which should alleviate any further pressure on the Federal Reserve to
continue raising rates. By the end of the year, we expect interest rates to
remain steady or fall slightly. The yield curve should shift to a flat position,
and overall interest rate volatility should drop. As such, we expect spread
securities to perform well during the second half of 2000.
We plan to continue heavily overweighting spread securities in this market. In
addition, we expect to maintain duration at or slightly above our target
duration to keep interest rate risk at a neutral level.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
17
<PAGE> 20
One Group Government Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (2/8/93)
Class I 4.33% 5.75% 5.57%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
SALOMON BROTHERS 3-
LEHMAN BROTHERS 7 YEAR TREASURY LIPPER GENERAL US
CLASS I GOVT BOND INDEX INDEX GOVT FUND INDEX
------- --------------- ------------------- -----------------
<S> <C> <C> <C> <C>
2/93 10000 10000 10000 10000
6/93 10351 10530 10454 10443
6/94 10068 10390 10351 10122
6/95 11285 11643 11471 11197
6/96 11714 12168 11995 11598
6/97 12664 13068 12843 12459
6/98 14033 14538 14041 13700
6/99 14305 14982 14644 13922
6/00 14924 15731 15297 14451
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (3/5/93)
Class A 4.17% 5.51% 5.12%
Class A* (0.53)% 4.55% 4.46%
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
SALOMON LIPPER GENERAL
LEHMAN BROTHERS BROTHERS 3-7 YEAR US GOVT FUND
CLASS A CLASS A* GOVT BOND INDEX TREASURY INDEX INDEX
------- -------- --------------- ----------------- --------------
<S> <C> <C> <C> <C> <C>
3/93 10000 9549 10000 10000 10000
6/93 10171 9713 10324 10275 10290
6/94 9849 9405 10186 10174 9974
6/95 11019 10522 11414 11274 11033
6/96 11414 10899 11929 11789 11428
6/97 12307 11753 12811 12623 12276
6/98 13604 12991 14253 13800 13499
6/99 13834 13211 14687 14394 13718
6/00 14411 13762 15423 15036 14239
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year (1/14/94)
Class B 3.39% 4.85% 4.62%
Class B** (1.51)% 4.52% 4.62%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
SALOMON LIPPER GENERAL
LEHMAN BROTHERS BROTHERS 3-7 YEAR U.S. GOVT FUND
CLASS B CLASS B** GOVT BOND INDEX TREASURY INDEX INDEX
------- --------- --------------- ----------------- --------------
<S> <C> <C> <C> <C> <C>
1/94 10000 10000 10000 10000 10000
6/94 9501 9501 9588 9676 9499
6/95 10566 10566 10745 10722 10508
6/96 10877 10877 11229 11212 10884
6/97 11654 11654 12060 12005 11692
6/98 12803 12803 13417 13125 12856
6/99 12949 12949 13826 13689 13064
6/00 13388 13388 14518 14299 13561
</TABLE>
18
<PAGE> 21
One Group Government Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year (3/22/99)
Class C 3.39% 1.41%
Class C** 2.41% 1.41%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
SALOMON LIPPER GENERAL
LEHMAN BROTHERS BROTHERS 3-7 YEAR US GOVT FUND
CLASS C CLASS C** GOVT BOND INDEX TREASURY INDEX INDEX
------- --------- --------------- ----------------- --------------
<S> <C> <C> <C> <C> <C>
3/99 10000 10000 10000 10000 10000
6/99 9846 9846 9915 9947 9865
6/00 10180 10180 10411 10390 10240
</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 Lehman
Brothers Government Bond Index, an unmanaged index comprised of securities
issued by the US Government. 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 fees. By contrast, the performance of the
Fund reflects the deduction of these 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 Salomon Brothers 3-7 Year Treasury Index is comprised of US Government
agency and Treasury securities and mortgage-backed securities.
The Lipper General US Government Fund Index consists of the equally weighted
average monthly returns of the largest funds within the universe of all funds in
the category.
The benchmark index for the One Group Government Bond Fund has changed from the
Salomon Brothers 3-7 Year Treasury Index to the Lehman Brothers Government Bond
Index to better represent the investment policies for comparison purposes.
19
<PAGE> 22
One Group Treasury & Agency Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Treasury & Agency Fund I share class posted a total return of 4.42%
for the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see page 22.)
The Fund's share price declined from $9.81 on June 30, 1999, to $9.64 on June
30, 2000--a decrease of 1.73%. This decline was within our expectations, as the
Fund's average maturity is 3.5 years, and the 3.5-year Treasury note with a
5.38% coupon and a maturity date of June 30, 2003, had a price decline of 1.50%
during the same period. As with all Treasury and agency securities, all of the
Fund's holdings will mature at least at par. But, prior to maturity, their
market values may fluctuate. The daily practice of marking-to-market the Fund's
holdings reflects these fluctuating market values.
The primary cause of the decline in Treasury prices and associated increase in
yields was the Federal Reserve's tightening policy. The resulting decreases in
market prices, while significant, are not outside the norm of what can be
experienced from time to time. In addition, a one-year decline often is just the
reversal of the prior year's gains. This was the case in 1999 and 1998. Because
of this, we recommend that investors focus on longer-term return prospects and
remain disciplined during short-term periods of decline.
HOW WOULD YOU DESCRIBE THE YEAR'S MARKET CLIMATE?
Interest rates increased across the board during the fiscal year, as the U.S.
economy remained strong. Concerned about the potential for an increase in
inflation, the Federal Reserve began a tightening campaign that increased the
federal funds rate by 1.75 percentage points. More important, short-term market
rates rose by more than 1 percentage point.
At the beginning of the fiscal year agency yields relative to Treasuries were at
historic highs due to Y2K concerns. Those concerns were alleviated somewhat in
October, when the Federal Reserve announced that it would provide enough
liquidity in the system to combat potential Y2K problems. This, combined with
the growing belief that Y2K would pass without much economic disruption, helped
agency spreads tighten. (Spreads refer to the differences in yields between
non-Treasury bonds, such as agency, corporate and mortgage-backed securities,
and comparable-maturity Treasury bonds. When spreads widen, prices on non-
Treasury bonds decline, and vice versa.)
But, early in the new year the U.S. Treasury announced that its growing
surpluses would allow it to start buying back longer-term Treasury securities.
As it became clear that fewer Treasury securities would be available to
investors, Treasury prices moved higher and yields moved lower relative to other
securities, such as agencies. The perceived decrease in the supply of Treasuries
also contributed to an inverted yield curve, whereby yields on short-term
securities were higher than yields on long-term securities.
HOW DID THE FUND'S YIELD CHANGE?
With interest rates on the rise during the fiscal year, yields increased and
bond prices declined. The Fund's 30-day SEC yield on I shares increased from
5.99% on June 30, 1999, to 6.49% on June 30, 2000.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our ongoing strategy involves analyzing the relative value of the various market
sectors through a rigorous research process. For the fiscal year ended June 30,
2000, our efforts focused on the selective use of agency securities, due to the
yield advantage agencies offered over Treasuries. Within the Treasury component
of the Fund, we emphasized securities that offer the best return potential over
a six- to 12-month time horizon. We also invested a small portion of the
portfolio in Treasury inflation-protected securities, as we believe they have
attractive return potential versus regular Treasury securities.
The yield advantage of the agency portion of the portfolio was a positive
contributor to Fund performance, but it was offset a bit by the lagging price
performance of these securities relative to Treasuries. Another positive
influence was the strong relative performance of the Treasury
inflation-protected securities we purchased.
The Fund's maturity remained slightly longer than average, which was a negative
influence on total return.
20
<PAGE> 23
One Group Treasury & Agency Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
In a rising interest rate environment, prices on longer-term securities
generally fall more than prices on shorter-term securities.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The Fund's current position reflects opportunities that are available in the
government bond market. For example, agency yields versus Treasury yields are
very attractive from an historical perspective. Therefore, the Fund remains
fully allocated to the agency sector. Within the Treasury component, our focus
is on certain seasoned securities that offer a yield advantage and the potential
for higher total return over the next year. We also believe that the absolute
level of yields is relatively attractive, and the portfolio's average maturity
remains slightly longer than average.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
Please refer to the prospectus 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, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
Class I 4.42% 5.35% 6.56% 6.83%
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE TREASURY LIPPER SHORT US GOVT
CLASS I INDEX FUND INDEX
------- --------------------- --------------------
<S> <C> <C> <C>
6/90 50000 50000 50000
6/91 54646 55226 54400
6/92 60315 62342 59584
6/93 64331 68673 63571
6/94 65354 68547 64346
6/95 72756 75219 69101
6/96 75669 78889 72536
6/97 80926 84297 77214
6/98 87329 91395 82225
6/99 90419 95504 85835
6/00 94417 99911 89818
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
Class A 4.27% 5.24% 6.36% 6.61%
Class A* 1.18% 4.59% 6.04% 6.35%
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE LIPPER SHORT US
CLASS A CLASS A* TREASURY INDEX GOVT FUND INDEX
------- -------- --------------- ---------------
<S> <C> <C> <C> <C>
6/90 50000 48499 50000 50000
6/91 54489 52853 55226 54400
6/92 59985 58183 62342 59584
6/93 63777 61862 68673 63571
6/94 64706 62763 68547 64346
6/95 71749 69595 75219 69101
6/96 74458 72222 78889 72536
6/97 79548 77159 84297 77214
6/98 85993 83410 91395 82225
6/99 88833 86165 95504 85835
6/00 92626 89845 99911 89818
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
Class B 3.65% 4.66% 5.82% 6.07%
Class B** 0.70% 4.66% 5.82% 6.07%
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROTHERS
INTERMEDIATE LIPPER SHORT US
CLASS B CLASS B** TREASURY INDEX GOVT FUND INDEX
------- --------- --------------- ---------------
<S> <C> <C> <C> <C>
6/90 50000 50000 50000 50000
6/91 54273 54273 55226 54400
6/92 59445 59445 62342 59584
6/93 62894 62894 68673 63571
6/94 63418 63418 68547 64346
6/95 70090 70090 75219 69101
6/96 72339 72339 78889 72536
6/97 76897 76897 84297 77214
6/98 82534 82534 91395 82225
6/99 84916 84916 95504 85835
6/00 88013 88013 99911 89818
</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 Treasury &
Agency Fund on January 20, 1997, adjusted to reflect the expenses and sales
charges associated with the Fund. 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 fees. By contrast, the performance of the Fund reflects the deduction
of these 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 Fund Index consists of the equally weighted
average monthly returns 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, 2000
HOW DID THE FUND PERFORM?
One Group High Yield Bond Fund I share class posted a total return of -0.75% for
the year ended June 30, 2000. (For information about other share classes and
performance comparisons to indexes, please see pages 25-26.)
A steadily rising interest rate environment along with the continued economic
expansion and the U.S. Treasury Department's announcement that it would buy back
Treasury securities caused prices to fall, yields to rise and spreads to
increase for high-yield bonds and all other non-Treasury sectors. (Spreads refer
to the differences in yields between non-Treasury bonds--in this case high-yield
bonds--and comparable maturity Treasury bonds. When spreads widen, prices on
non-Treasury bonds decline, and vice versa.) The high-yield sector also was
negatively affected by an overall decrease in demand throughout most of the
period.
DID THE FUND'S YIELD BENEFIT FROM THIS ENVIRONMENT?
The Fund's 30-day SEC yield on I shares increased nearly 2 percentage points
during the year--from 9.33% on July 1, 1999, to 11.25% on June 30, 2000. High-
yield bonds are influenced by interest rate changes, but their higher average
coupon may insulate them from rising rates more than other fixed income
securities. As such, the Fund's higher yield was the result of a combination of
factors: higher overall interest rates; a widening of spreads; and the Fund
becoming more fully invested in high-yield bonds and less so in commercial paper
and other short-term products.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary, ongoing strategy is to limit risk and volatility by maintaining a
broadly diversified portfolio offering exposure to a variety of issuers and
industries. At fiscal year-end, the Fund had investments in more than 190
companies in 31 different industries. At the core of this strategy is research.
We employ fundamental investment analysis to thoroughly examine the underlying
credit quality of each company we consider for purchase. In addition, we
continuously review and monitor each security in the portfolio to uncover any
credit developments.
Our credit selection process and underweighting in what we believe are the
riskiest segments of the high-yield market position the Fund more conservatively
than a number of its peers. As such, we were not as aggressively positioned in
the volatile telecommunications sector. This negatively influenced Fund
performance in the first two months of 2000, when the more speculative credits
in the telecommunications sector offered strong performance. But, this trend
began reversing in March, and by the end of May the Fund's more conservative
stance was back in favor.
We maintained the Fund's duration in a fairly tight band during the year.
(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.) Duration ranged from 4.61 years to 4.96 years and ended the fiscal year
at 4.61 years.
HOW DID YOU MANAGE THE FUND'S CREDIT QUALITY?*
One of the key elements of successfully managing a high-yield bond portfolio is
avoiding deteriorating credits or selling them before they decline
significantly. We attempt to do this by closely monitoring every bond in the
portfolio. We try to stay ahead of the market on developing news and spot clues
to potential deteriorations of individual credits or industry sectors.
As new cash moved into the Fund, our goal was to improve the Fund's overall
credit quality. By year-end, 20% of the Fund was invested in credits rated "BB,"
compared to 12% on June 30, 1999. At fiscal year-end, the majority of the Fund's
assets--68%--were invested in securities rated "B." Cash and securities rated
"BBB" comprised 4% of the Fund; "CCC" comprised 3%; and non-rated and other
securities comprised 6%. The Fund's average credit quality was "B" as of June
30, 2000.
23
<PAGE> 26
One Group High Yield Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT IS YOUR OUTLOOK FOR THE FUND?
Our strategy of investing in a diversified portfolio of better-quality
high-yield bonds should perform well over the next year, given that the
attractive yields available in this sector should fuel demand. We believe that
if we are successful in managing credit risk, the Fund's performance should
remain solid relative to the high-yield market as a whole. Rather than focusing
on the anticipated direction of interest rates, we will constantly monitor the
Fund's credit quality to determine how the Fund's investments will perform in
various economic cycles.
/s/ William J. Morgan
William J. Morgan
Banc One High Yield Partners, LLC
Fund Sub-Advisor
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* The Fund composition is subject to change.
Banc One High Yield Partners, LLC serves as sub-advisor to the Fund. Banc One
High Yield Partners, LLC is a joint venture between Banc One Investment
Advisors, the Fund's advisor, and Pacholder Associates, Inc.
Although the Fund's yield may be higher than that of fixed income funds that
purchase higher-rate securities, the potentially higher yield is a function of
the greater risk that the Fund's share price will decline.
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, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/13/98)
<S> <C> <C>
Class I (0.75)% 1.85%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CSFB GLOBAL HIGH CSFB DOMESTIC PLUS LIPPER HIGH YIELD
CLASS I YIELD INDEX HIGH YIELD INDEX BOND FUND INDEX
------- ---------------- ------------------ -----------------
<S> <C> <C> <C> <C>
11/98 10000 10000 10000 10000
6/99 10380 10778 10729 10962
6/00 10302 10736 10571 10848
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/13/98)
<S> <C> <C>
Class A (1.00)% 1.52%
Class A* (5.42)% (1.30)%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CSFB DOMESTIC
CSFB GLOBAL PLUS HIGH YIELD LIPPER HIGH YIELD
CLASS A CLASS A* HIGH YIELD INDEX INDEX BOND FUND INDEX
------- -------- ---------------- --------------- -----------------
<S> <C> <C> <C> <C> <C>
11/98 10000 9551 10000 10000 10000
6/99 10353 9888 10778 10729 10962
6/00 10249 9789 10736 10571 10848
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/13/98)
<S> <C> <C>
Class B (1.64)% 0.98%
Class B** (6.15)% (1.21)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CSFB DOMESTIC
CSFB GLOBAL PLUS HIGH YIELD LIPPER HIGH YIELD
CLASS B CLASS B** HIGH YIELD INDEX INDEX BOND FUND INDEX
------- --------- ---------------- --------------- -----------------
<S> <C> <C> <C> <C> <C>
11/98 10000 10000 10000 10000 10000
6/99 10330 10330 10778 10729 10962
6/00 10160 9803 10736 10571 10848
</TABLE>
25
<PAGE> 28
One Group High Yield Bond Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C>
Class C (1.66)% (1.73)%
Class C** (2.56)% (1.73)%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CSFB DOMESTIC
CSFB GLOBAL PLUS HIGH YIELD LIPPER HIGH YIELD
CLASS C CLASS C** HIGH YIELD INDEX INDEX BOND FUND INDEX
------- --------- ---------------- --------------- -----------------
<S> <C> <C> <C> <C> <C>
3/99 10000.00 10000.00 10000.00 10000.00 10000.00
6/99 9944.00 9944.00 10116.00 10077.00 10065.00
6/00 9780.00 9780.00 10076.00 9928.00 9960.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the High Yield Bond Fund is measured against the Credit
Suisse First Boston (CSFB) Global 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 fees. By contrast, the performance of the Fund reflects
the deduction of these 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 CSFB Global High Yield Index was formerly named the CSFB High Yield Index.
The CSFB Domestic Plus High Yield Index is an unmanaged index comprised of high
yield securities, within developed nations, that are selected primarily on the
basis of size, liquidity and diversification to be representative of the high
yield bond market.
The Lipper High Yield Bond Fund Index is an unmanaged index typically comprised
of the 30 largest mutual funds aimed at high current yields from fixed income
securities. These funds have no quality or maturity restrictions and tend to
invest in lower grade debt issues.
The CSFB Domestic Plus High Yield Index consists of the average monthly returns
of the CSFB Global High Yield Index for periods prior to January 1999.
Thereafter, the data is from the CSFB Domestic Plus High Yield Index, which
corresponds with the initiation of the CSFB Domestic Plus High Yield Index on
January 1, 1999.
Although the fund's yield may be higher than that of fixed income funds that
purchase higher-rated securities, the potentially higher yield is a function of
the greater risk that the fund's share price will decline.
26
<PAGE> 29
One Group Mutual Funds
Ultra Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (43.2%):
$6,715 American Residential Home Equity Loan
Trust, Series 1998-1, Class M1,
5.54%, 5/25/29*.................... $ 6,689
6,000 AmeriCredit Automobile Receivables
Trust, Series 1998-B, 6.06%,
12/12/02........................... 5,946
1,437 Amresco, Series 1998-2, Class A8,
6.81%, 5/25/28*.................... 1,436
5,000 Amresco, Series 1998-3 MIA, 7.07%,
9/25/28*........................... 4,965
2,314 Asset Securitization Corp., Series
1996-MD6, Class A1B, 6.88%,
11/13/26........................... 2,277
188 Auto Finance Group, Inc., Series
1997-B, Class B, 6.40%, 2/15/03.... 187
375 Auto Finance Group, Inc., Series
1997-B, Class C, 7.00%, 2/15/03.... 374
1,550 BA Master Credit Card Trust 1998-A,
Class B, 6.92%, 4/15/05*........... 1,547
1,900 BankBoston, Series 1998-1, Class B2,
7.09%, 2/16/06* (c)................ 1,900
500 BankBoston, Series 1998-1, Class C1,
8.73%, 2/16/06* (c)................ 500
5,420 Brazos Student Loan Finance Corp.,
Series 1996-B, Class A4, 5.18%,
12/1/02*........................... 5,408
1,985 Case Equipment Loan Trust, Series
1998-B, Class B, 5.99%, 10/15/05... 1,950
4,369 Countrywide Home Equity Loan Trust,
Series 1997-B, Class A, 6.70%,
6/15/22*........................... 4,366
898 Countrywide Home Equity Loan Trust,
Series 1997-D, Class A, 6.72%,
12/15/23*.......................... 896
2,387 Countrywide Home Equity Loan Trust,
Series 1998-C, 6.70%, 10/15/24*.... 2,385
3,000 DLJ Commercial Mortgage Corp., Series
1999-STF1, Class A3, 7.89%, 9/5/01*
(c)................................ 3,008
1,024 FFCA Secured Lending Corp., Series
1999-1A, Class B2, 7.65%, 6/18/13*
(c)................................ 966
2,000 First Security Auto Owner Trust,
Series 2000-1, Class A3, 7.30%,
7/15/04............................ 2,005
2,000 First USA Credit Card Master Trust,
Series 1998-3, Class C, 5.44%,
2/18/04* (c)....................... 1,994
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$2,000 First USA Credit Card Master Trust,
Series 1998-4, Class B, 5.32%,
3/18/08*........................... $ 2,001
1,175 Greentree Home Improvement Loan
Trust, Series 1997-D, 6.80%,
9/15/28*........................... 1,175
1,919 Greentree Home Improvement Loan
Trust, Series 1998-B, Class A1B,
ARM, 6.87%, 11/15/29*.............. 1,920
2,297 Greentree Home Improvement Loan
Trust, Series 1998-C, Class A1B,
6.83%, 7/15/29*.................... 2,299
1,536 Greentree Home Improvement Loan
Trust, Series 1998-E, Class A1B,
7.30%, 9/15/28*.................... 1,529
320 Household Consumer Loan Trust, Series
1996-2, Class A1, 6.82%,
8/15/06*........................... 320
2,000 Lakeshore Commercial Loan Master
Trust, Series 1998-AA, Class B2,
6.71%, 7/25/07* (c)................ 1,973
1,000 Lakeshore Commercial Loan Master
Trust, Series 1998-AA, Class C1,
7.06%, 7/25/07* (c)................ 970
5,000 Lakeshore Commercial Loan Master
Trust, Series 1998-AA, Class C1,
7.06%, 7/25/07* (c)................ 4,852
3,000 Lex Commercial Loan Master Trust 1,
Series 1998-AA, Class C1, 8.31%,
10/25/07* (c)...................... 2,943
5,000 MBNA Master Credit Card Trust, Series
1997-E, Class B, 6.56%, 9/15/04*... 4,990
1,500 MBNA Master Credit Card Trust, Series
1999-C, Class B, 6.48%, 5/17/04*... 1,500
1,550 MBNA Master Credit Card Trust, Series
1999-C, Class C, 6.94%,
5/17/04* (c)....................... 1,549
1,353 Merrill Lynch Home Equity Loan,
Series 1997-1, Class A, 6.65%,
9/25/27*........................... 1,349
4,292 Merrill Lynch Mortgage Investment,
Series 1999-PNB1, Class A, 6.94%,
6/25/25*........................... 4,291
3,859 Nationslink Funding Corp., Series
1999-SL, Class A1V, 5.30%,
4/10/07*........................... 3,865
</TABLE>
Continued
27
<PAGE> 30
One Group Mutual Funds
Ultra Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$2,000 Nomura Depositor Trust, Series
1998-ST1, Class A2, 7.07%, 1/15/03*
(c)................................ $ 1,985
1,000 Nomura Depositor Trust, Series
1998-ST1, Class A3, 5.57%, 1/15/03*
(c)................................ 987
3,000 Onyx Acceptance Auto Trust, Series
1998-A, 5.99%, 1/15/05............. 2,932
3,000 People's Bank Credit Card Master
Trust, Series 1997-2, Class B,
5.32%, 4/15/05*.................... 3,012
2,634 Residential Asset Securities Corp.,
Series 1997-KS3, Class A4, 6.90%,
8/25/27............................ 2,611
6,341 Residential Funding Mortgage
Securities, 7.23%, 9/25/12......... 6,309
3,500 Salomon Brothers Mortgage Securities,
Series 1998-Nc3, Class A2, 6.41%,
8/25/28............................ 3,479
5,335 Standard Credit Card Master Trust,
Series 1994-2, Class A, 7.25%,
4/7/08............................. 5,306
1,115 Structured Asset Securities Corp.,
Series 1997-1, Class B2, 7.11%,
2/25/27*........................... 1,137
1,619 Structured Asset Securities Corp.,
Series 1998-C2A, Class C, 7.04%,
1/25/13* (c)....................... 1,613
1,696 Structured Asset Securities Corp.,
Series 1998-C2A, Class D, 7.21%,
1/25/01* (c)....................... 1,685
1,965 Structured Asset Securities Corp.,
Series 1998-C3A, Class B, 5.84%,
1/25/01* (c)....................... 1,964
5,000 Student Loan Marketing Association,
Series 1997-3, 6.57%, 10/25/12*.... 4,897
2,000 Team Fleet Financing Corp., Series
1999-2A, Class C, 7.25%, 7/25/02*
(c)................................ 1,999
132 UCFC Home Equity Loan, Series
1993-B2, Class A2, 6.20%,
7/25/14............................ 128
--------
Total Asset Backed Securities 126,369
--------
COLLATERALIZED MORTGAGE OBLIGATIONS (11.5%):
377 ABN AMRO Mortgage Corp., Series
1998-1, Class A3, 7.00%, 4/25/28... 376
1,410 ABN AMRO Mortgage Corp., Series
1998-2, Class IA2, 6.30%,
4/25/29............................ 1,330
2,269 AMAC, Series 1998-1, Class A5, 6.50%,
4/25/28............................ 2,249
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$1,866 American Housing Trust, Series VII,
Class D, 9.25%, 11/25/20........... $ 1,967
556 Chemical Mortgage Acceptance Corp.,
Series 1988-2, Class A, 6.70%,
5/25/18*........................... 558
2,066 Citicorp Mortgage Securities, Series
1988-17, Class A1, 6.85%,
11/25/18*.......................... 2,058
2,750 Citicorp Mortgage Securities, Series
1994-09, Class A4, 5.75%,
6/25/09............................ 2,607
375 Citicorp Mortgage Securities, Series
1998-07, Class A14, 6.75%,
8/25/28............................ 336
1,269 Collateralized Mortgage Obligation
Trust, Series 49, Class C, 9.00%,
10/1/18............................ 1,306
527 DLJ Mortgage Acceptance Corp., Series
1994-QE2, Class A1, 8.60%, 6/25/24*
(c)................................ 527
2,000 First Boston Mortgage Securities
Corp., Series 1998-Fl2A, Class D,
8.18%, 10/15/01* (c)............... 2,004
204 First Boston Mortgage Securities
Corp., Series 1992-5, Class 2A,
6.97%, 1/25/23*.................... 203
500 GE Capital Mortgage Services, Inc.,
Series 1993-13, Class A6, 6.00%,
10/25/08........................... 470
1,000 GE Capital Mortgage Services, Inc.,
Series 1998-13, Class A9, 6.25%,
8/25/28............................ 962
3,703 GE Capital Mortgage Services, Inc.,
Series 1998-10, Class 1A2, 6.50%,
5/25/28............................ 3,660
1,577 Glendale Federal Bank, Series 1990-1,
Class A, 6.41%, 10/25/29*.......... 1,575
3,000 Nascor, Series 1998-34, Class A2,
6.30%, 1/25/29..................... 2,920
805 Nomura Mortgage Capital Corp., Series
1990-1, Class H, 7.00%, 6/17/20.... 806
1,174 Prudential Home Mortgage Securities,
Series 1994-19, Class A2, 7.05%,
5/25/24............................ 1,169
1,839 Salomon Brothers Mortgage Securities,
Series 1987-2, Class A, 7.07%,
12/25/17*.......................... 1,846
</TABLE>
Continued
28
<PAGE> 31
One Group Mutual Funds
Ultra Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 762 Salomon Brothers Mortgage Securities,
Series 1988-2, Class A, 6.60%,
6/25/18*........................... $ 759
381 Sears Mortgage Securities Corp.
Services, Series 1992-18A, Class
A3, 7.11%, 9/25/22*................ 379
1,359 Securitized Asset Sales, Inc., Series
1993-7, Class TA3, 6.25%,
12/25/23........................... 1,310
2,194 Westpac Securitization Trust, Series
1999-1G, Class A, 5.28%,
5/19/30*........................... 2,191
--------
Total Collateralized Mortgage Obligations 33,568
--------
CORPORATE BONDS (2.6%):
Financial Services (1.4%):
4,292 Ace Securities Corp., Series
1999-LB1, Class A1, 6.97%,
11/25/28*.......................... 4,293
--------
Governments (Foreign) (0.5%):
1,500 Republic of Argentina, Series C,
0.00%, 10/15/01.................... 1,328
--------
Transportation & Shipping (0.7%):
1,911 Regional Jet Equipment Trust, Series
2000-1, 7.77%, 9/5/04.............. 1,930
--------
Total Corporate Bonds 7,551
--------
U.S. GOVERNMENT AGENCY MORTGAGES (39.5%):
Fannie Mae (15.6%):
128 6.50%, 11/1/03, Pool #44174.......... 125
772 5.75%, 9/1/06, Pool #411526.......... 739
4,872 8.70%, 8/25/08, Series 1993-129,
Class C............................ 4,862
774 8.44%, 10/25/08, Series 1993-197,
Class SC, CMO*..................... 771
314 6.61%, 3/25/09, Series 1994-89, Class
FA, CMO*........................... 314
505 7.00%, 5/1/09, Pool #433995*......... 509
715 6.80%, 6/1/09, Pool #433992*......... 717
1,022 6.50%, 4/1/16, Pool #344051.......... 973
639 6.08%, 3/1/17, Pool #47109, 1 Year
CMT ARM*........................... 639
954 6.63%, 5/1/18, Pool #75505, 6 Month
T-Bill ARM*........................ 967
271 6.23%, 6/1/18, Pool #70793, 6 Month
T-Bill ARM*........................ 272
6,605 6.73%, 11/1/18, Pool #313539*........ 6,715
1,530 6.49%, 1/1/20, Pool #90031, 1 Year
CMT ARM*........................... 1,554
1,814 6.25%, 1/25/20, Series 1993-102 G.... 1,797
920 7.23%, 5/1/20, Pool #96195*.......... 921
3,596 6.51%, 7/1/20, Pool #133558, 1 Year
CMT ARM* (b)....................... 3,667
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$1,302 6.71%, 12/1/20, Pool #116590, 1 Year
CMT ARM*........................... $ 1,322
1,647 5.96%, 12/25/20, Series 1990-145,
Class A, CMO*...................... 1,649
1,006 6.72%, 4/1/21, Pool #70983, 1 Year
CMT ARM*........................... 1,023
428 9.00%, 8/1/21, Pool #348983.......... 443
402 7.60%, 11/1/21, Pool #124510, 1 Year
CMT ARM*........................... 415
345 6.97%, 11/1/22, Pool #193013, 1 Year
CMT ARM*........................... 348
1,144 6.61%, 3/1/23, Pool #202670, 6 Month
CD ARM*............................ 1,155
1,738 7.89%, 6/25/23, Series 1993-102,
Class F, CMO*...................... 1,776
195 6.00%, 7/25/23, Series 1993-119,
Class H............................ 185
886 7.01%, 11/1/23, Pool #241828, 6 Month
CD ARM*............................ 905
255 8.50%, 7/1/24, Pool #342036.......... 261
587 8.50%, 10/1/24, Pool #345876......... 601
456 9.00%, 4/1/25, Pool #370122.......... 472
276 6.97%, 7/1/25, Pool #326092, 1 Year
CMT ARM*........................... 280
427 9.00%, 8/1/25, Pool #361354.......... 442
1,895 7.01%, 6/1/26, Pool #313555*......... 1,959
397 7.51%, 11/1/26, Pool #363030, 1 Year
CMT ARM*........................... 405
2,141 6.68%, 7/1/27, Pool #70179, 1 Year
CMT ARM*........................... 2,175
1,799 6.66%, 4/1/30, Pool #532523*......... 1,820
2,163 7.02%, 1/1/31, Pool #124945, 1 Year
CMT ARM*........................... 2,224
--------
45,402
--------
Freddie Mac (13.6%):
126 6.00%, 10/1/00, Gold Pool #G50424.... 125
417 7.50%, 7/15/06, Series 1106, Class
E.................................. 418
2,000 6.50%, 5/15/09, Series 1628, Class
LC................................. 1,907
1,658 8.00%, 12/1/09, Pool #G10314......... 1,677
1,294 8.00%, 1/1/10, Pool #G10307.......... 1,310
41 8.00%, 1/1/10, Pool #E00355.......... 41
167 8.00%, 4/1/10, Pool #E00371.......... 169
1,410 6.87%, 10/15/13, Series 1607, Class
SA*................................ 1,255
1,481 7.33%, 5/1/18, Pool #840160, 1 Year
CMT ARM* (b)....................... 1,524
4,630 6.95%, 3/15/21, Series 2081, Class
PA................................. 4,524
7,380 3.50%, 11/15/21, Series 1584 HA...... 6,331
</TABLE>
Continued
29
<PAGE> 32
One Group Mutual Funds
Ultra Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 322 6.14%, 12/1/21, Pool #645083, 1 Year
CMT ARM*........................... $ 320
215 7.85%, 12/20/21, Pool #2314478....... 216
803 7.15%, 6/1/22, Pool #846013.......... 822
2,138 7.79%, 2/1/23, Pool #845297.......... 2,195
3,430 5.53%, 12/15/23, Series 1637 LG,
CMO*............................... 3,427
1,640 7.25%, 4/1/24, Pool #755288.......... 1,675
5,000 6.91%, 10/15/24, Series 2236-FP,
CMO*............................... 4,991
899 9.00%, 2/1/25, Pool #C00387.......... 929
1,680 6.36%, 6/1/26, Pool #785586, 1 Year
CMT ARM*........................... 1,689
2,051 7.04%, 12/1/26, Pool #755248......... 2,084
2,144 8.50%, 7/1/28, Gold Pool #G00981..... 2,193
--------
39,822
--------
Government National Mortgage Assoc. (10.3%):
174 6.75%, 8/20/17, Pool #8252........... 175
116 6.12%, 10/20/17, Pool #8276.......... 117
191 6.38%, 2/20/18, Pool #8318........... 192
120 6.12%, 10/20/18, Pool #8416.......... 120
226 6.75%, 8/20/19, Pool #8537........... 227
725 6.75%, 9/20/19, Pool #8548........... 728
692 7.85%, 12/20/20, Pool #289712........ 695
425 7.85%, 12/20/20, Pool #289683........ 427
233 7.85%, 1/20/21, Pool #289660......... 233
1,345 7.37%, 1/20/21, Pool #8738*.......... 1,349
109 6.38%, 6/20/21, Pool #8796........... 109
211 7.85%, 8/20/21, Pool #310473......... 211
507 6.75%, 8/20/21, Pool #8826........... 510
176 6.38%, 5/20/22, Pool #8974........... 176
846 6.75%, 8/20/22, Pool #8041........... 850
483 6.75%, 9/20/22, Pool #8052........... 485
</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:
$ 324 6.38%, 4/20/23, Pool #8052........... $ 324
2,775 6.38%, 1/20/24, Pool #8351........... 2,776
1,236 6.86%, 9/20/24, Pool #8502*.......... 1,242
1,058 6.75%, 9/20/24, Pool #8503........... 1,064
910 9.00%, 11/15/24, Pool #780029........ 946
2,123 8.00%, 7/20/25, Pool #2036........... 2,141
223 6.12%, 10/20/25, Pool #8722.......... 225
477 6.75%, 7/20/26, Pool #8913*.......... 479
2,530 8.00%, 8/20/26, Pool #2270........... 2,549
2,006 0.00%, 12/16/26, Series 1999-15,
Class PE, PO....................... 1,681
18 6.38%, 2/20/27, Pool #80045.......... 18
6,650 6.63%, 7/20/27, Pool #80094, 1 Year
CMT ARM............................ 6,676
975 8.00%, 10/15/27, Pool #412336........ 988
2,352 6.13%, 11/20/27, Pool #80136......... 2,360
--------
30,073
--------
Total U.S. Government Agency Mortgages 115,297
--------
YANKEE & EURODOLLAR (0.3%):
779 BHN, Series 1997-1, Class A1, 8.24%,
3/25/11* (c)....................... 715
71 BHN, Series 1997-2, Class A2, 7.54%,
5/31/17 (c)........................ 64
--------
Total Yankee & Eurodollar 779
--------
INVESTMENT COMPANIES (3.0%):
8,861 One Group Prime Money Market Fund,
Class I............................ 8,861
--------
Total Investment Companies 8,861
--------
Total (Cost $294,686) (a) $292,425
========
</TABLE>
------------
Percentages indicated are based on net assets of $292,150.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 497
Unrealized depreciation...................... (2,758)
-------
Net unrealized appreciation (depreciation)... $(2,261)
=======
</TABLE>
(b) Serves as collateral for Futures Contracts.
(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 $34,198 or 11.71% 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 Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
30
<PAGE> 33
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (16.6%):
$ 206 Advanta Equipment Receivables, Series
1998-1, Class A4, 5.98%,
12/15/06........................... $ 200
100 AESOP Funding II, L.L.C.,
Series 1997-1A, Class A1, 6.22%,
10/20/01 (b)....................... 99
175 American Express Master Trust, Series
1994-2, Class A, 7.60%,
8/15/02............................ 176
241 Arcadia Automobile Receivables Trust,
Series 1997-B, Class A4, 6.50%,
6/17/02............................ 241
5,621 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A4, 6.38%,
1/15/03............................ 5,608
1,000 Arcadia Automobile Receivables Trust,
Series 1998-A, Class A, 6.00%,
11/17/03........................... 983
1,750 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A5, 6.55%,
6/15/05............................ 1,736
1,000 Arcadia Automobile Receivables Trust,
Series 1998-B, Class A5, 6.06%,
6/15/06............................ 977
200 BankBoston Home Equity Loan Trust,
Series 1998-2, Class A5, 6.14%,
2/25/19............................ 185
484 Case Equipment Loan Trust,
Series 1998-B, Class A3, 5.81%,
5/15/03............................ 483
670 Case Equipment Loan Trust,
Series 1997-B, Class A4, 6.41%,
9/15/04............................ 666
140 Caterpillar Financial Asset Trust,
Series 1998-A, Class A3, 5.85%,
4/25/03............................ 139
2,030 Chase Credit Card Master Trust,
Series 1997-2, Class A, 6.30%,
4/15/03............................ 2,030
1,000 Chase Loan Obligations USA Trust,
Series 2000-A, Class A, 6.92%,
2/15/06 (b)........................ 1,000
375 Chase Manhattan Auto Owner Trust,
Series 1997-A, Class A5, 6.50%,
12/17/01........................... 375
454 Chevy Chase Auto Receivables Trust,
Series 1997-3, Class A, 6.20%,
3/20/04............................ 450
746 Chevy Chase Auto Receivables Trust,
Series 1998-2, Class A, 5.91%,
12/15/04........................... 736
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 5,000 CIT RV Trust, Series 1998-A, Class B,
6.29%, 1/15/17..................... $ 4,761
575 Citibank Credit Card Master Trust I,
Series 1996-1, Class B, 0.00%,
2/7/03, PO......................... 551
840 Citibank Credit Card Master Trust I,
Series 1997-7, Class B, 6.45%,
8/15/02............................ 840
7,750 Citibank Credit Card Master Trust I,
Series 1997-9, Class A, 0.00%,
8/15/06, PO........................ 5,776
5,000 Citibank Credit Card Master Trust I,
Series 1998-1, Class B, 5.88%,
1/15/03............................ 4,957
903 CNH Equipment Trust, Series 2000-A,
Class A4, 7.34%, 2/15/07........... 904
1,061 Consumer Portfolio Services, Series
1997-2, Class A, 6.65%,
10/15/02........................... 1,058
697 Contimortgage Home Equity Loan Trust,
Series 1995-2, Class A4, 8.05%,
7/15/12............................ 696
393 Contimortgage Home Equity Loan Trust,
Series 1996-4, Class A6, 6.71%,
6/15/14............................ 392
853 Countrywide Home Equity,
Series 1997-D, Class A, 6.85%,
12/15/23*.......................... 851
1,000 CPS Auto Receivables Trust, Series
1998-3, Class A, 6.08%,
10/15/03........................... 990
5,000 Dayton Hudson Credit Card Master
Trust, Series 1998-1A, 5.90%,
5/26/06............................ 4,810
1,550 Discover Card Master Trust I, Series
1995-2, Class A, 6.55%, 2/18/03.... 1,550
1,875 Discover Card Master Trust I, Series
1998-2, Class A, 5.80%, 9/16/03.... 1,856
1,000 Discover Card Master Trust I, Series
1993-3, Class A, 6.20%, 5/16/06.... 968
140 Discover Card Master Trust I, Series
2000-1, Class A, 6.82%, 8/16/07*... 140
1,583 DVI Equipment Receivables Trust,
Series
1997-A, Class A, 6.45%, 1/15/04
(b)................................ 1,560
5,150 Evans Withycombe Finance Trust,
Series 1, Class A1, 7.98%, 8/1/01
(b)................................ 5,178
257 Fifth Third Auto Grantor Trust,
Series
1996-A, Class A, 6.20%, 9/15/01.... 257
339 Fifth Third Auto Grantor Trust,
Series 1996-B, Class A, 6.45%,
3/15/02............................ 338
</TABLE>
Continued
31
<PAGE> 34
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 150 First Bank Corporate Card Master
Trust, Series 1997-1, Class B,
6.55%,
2/15/03............................ $ 148
270 First Bank Corporate Card Master
Trust, Series 1997-A, Class A,
6.40%,
2/15/03............................ 267
500 First Omni Bank Credit Card Master
Trust, Series 1996-A, Class A,
6.65%, 9/15/03..................... 498
282 First Security Auto Grantor Trust,
Series 98-A, Class A, 5.97%,
4/15/04............................ 280
61 Ford Credit Auto Owner Trust, Series
1998, Class A3, 5.65%, 10/15/01.... 61
5,000 Ford Credit Auto Owner Trust, Series
1995-1, Class A, 6.50%, 8/15/02.... 5,000
5,000 Ford Credit Auto Owner Trust, Series
1998-B, Class B, 6.15%, 9/15/02.... 4,917
1,244 Ford Credit Auto Owner Trust, Series
1998-C, 5.81%, 3/15/02............. 1,240
655 Ford Credit Auto Owner Trust, Series
1998-C, Class B, 6.06%, 2/15/03.... 641
100 Ford Credit Auto Owner Trust, Series
1999-A, Class B, 5.79%, 6/16/03.... 97
500 GE Capital Mortgage Services, Inc.,
Series 1996-HE1, Class A4, 7.30%,
2/25/25............................ 495
4,349 Greentree Lease Finance, Series
1998-1, Class A3, 5.60%, 7/20/02... 4,320
189 Greentree Recreational, Equipment and
Consulting, Series 1996-A, Class
A1, 5.55%, 2/15/18................. 183
98 Greentree Recreational, Equipment and
Consulting, Series 1997-A, Class
A1B, 6.80%, 4/15/18*............... 98
760 Greentree Recreational, Equipment and
Consulting, Series 1998-A, Class
A1C, 6.18%, 6/15/19................ 745
3,658 J.P. Morgan Commercial Mortgage
Financial Corp., Series 1998-C6,
Class A1, 6.37%, 1/15/30........... 3,581
416 Key Auto Finance Trust, Series
1997-1, Class A3, 6.15%, 3/15/04... 416
160 MBNA Master Credit Card Trust, 6.76%,
8/15/05*........................... 160
725 MBNA Master Credit Card Trust, Series
1999-H, Class A, 6.49%,
9/15/06*........................... 728
6,500 Metris Mastertrust, Series 1997-1,
Class B, 7.11%, 10/20/05........... 6,441
155 Navistar Financial Corp. Owner Trust,
Series 1997-A, Class A3, 6.75%,
3/15/02............................ 155
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 701 Newcourt Receivables Asset Trust,
Series 1997-1, Class A4, 6.19%,
5/20/05............................ $ 695
312 Newcourt Receivables Asset Trust,
Series 1996-3, Class A, 6.24%,
12/20/04........................... 312
417 Nissan Auto Receivables Owner Trust,
Series 2000-A, Class A3, 7.01%,
9/15/03............................ 416
741 Olympic Automobile Receivables Trust,
Series 1996-C, Class A4, 6.80%,
3/15/02............................ 741
198 Olympic Automobile Receivables Trust,
Series 1996-B, Class A4, 6.70%,
3/15/02............................ 198
137 Olympic Automobile Receivables Trust,
Series 1996-D, Class A4, 6.05%,
8/15/02............................ 137
703 Olympic Automobile Receivables Trust,
Series 1997-A, Class A4, 6.63%,
12/15/02........................... 703
1,150 Olympic Automobile Receivables Trust,
Series 1996-C, Class A5, 7.00%,
3/15/04............................ 1,150
3,000 Onyx Acceptance Grantor Trust, Series
1998-B, Class A2, 5.85%, 7/15/03... 2,957
448 Onyx Acceptance Grantor Trust, Series
1997-3, Class A, 6.35%, 1/15/04.... 446
1,189 Onyx Acceptance Grantor Trust, Series
1997-4, Class A, 6.30%, 5/15/04.... 1,181
3,000 Onyx Acceptance Grantor Trust, Series
2000-B, Class A4, 7.38%, 8/15/05... 3,023
60 Premier Auto Trust, Series 1996-4,
Class A4, 6.45%, 10/6/01........... 60
630 Premier Auto Trust, Series 1998-3,
Class B, 6.14%, 9/8/04............. 616
200 Premier Auto Trust, Series 1998-2,
Class B, 6.06%, 7/6/04............. 195
7,000 Proffitt's Credit Card Master Trust,
Series 1997-2, Class B, 6.69%,
12/15/05........................... 6,914
2,671 Ryder Vehicle Lease, Series 1998-A,
Class A, 6.10%, 9/15/08 (b)........ 2,650
3,000 Sears Credit Account Master Trust,
Series 1998-1, Class A, 5.80%,
8/15/05............................ 2,976
1,750 Sears Credit Account Master Trust,
Series 1996-1, Class A, 6.20%,
2/16/06............................ 1,736
2,000 Sears Credit Account Master Trust,
Series 1996-4, Class A, 6.45%,
10/16/06........................... 1,979
</TABLE>
Continued
32
<PAGE> 35
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 390 Standard Credit Card Master Trust,
Series 1994-2, Class A, 7.25%,
4/7/08............................. $ 388
425 Toyota Auto Lease Trust, Series
1997-A, Class A3, 6.45%, 4/26/04... 423
64 Union Acceptance Corp., Series
1997-D, Class A3, 6.26%, 2/8/02.... 64
456 Union Acceptance Corp., Series
1998-A, Class A3, 6.05%, 6/10/02... 456
576 Union Acceptance Corp., Series
1997-B, Class A2, 6.70%, 6/8/03.... 574
691 Union Acceptance Corp., Series
1997-A, Class A2, 6.38%, 10/8/03... 687
647 Western Financial Grantor Trust,
Series
1997-B, Class A4, 6.40%, 7/20/02... 647
422 Western Financial Grantor Trust,
Series
1997-D, Class A4, 6.25%, 3/20/03... 421
1,000 Western Financial Grantor Trust,
Series
1998-B, Class A4, 6.05%, 4/20/03... 988
519 Western Financial Grantor Trust,
Series
1996-B, Class A4, 6.95%,
11/20/03........................... 519
897 Western Financial Grantor Trust,
Series 1996-C, Class A4, 6.80%,
12/20/03........................... 894
4,766 Western Financial Grantor Trust,
Series
1998-B, Class A3, 5.95%, 7/20/01... 4,757
138 WFS Financial Owner Trust, Series
1998-A, Class A3, 5.90%, 5/20/02... 138
65 World Omni, Series 1997-A, Class A4,
6.90%, 6/25/03..................... 65
116 World Omni, Series 1997-B, Class A4,
6.20%, 11/25/03.................... 116
--------
Total Asset Backed Securities 125,210
--------
COLLATERALIZED MORTGAGE OBLIGATIONS (3.4%):
274 Asset Securitization Corp., Series
1996-D3, Class A1-A, 7.01%,
10/13/26........................... 275
1,426 BA Mortgage Securities, Inc., Series
1998-2, Class 1A10, 6.60%,
6/25/28............................ 1,414
850 Citicorp Mortgage Securities, Inc.,
Series
1994-9, Class A3, 5.75%, 6/25/09... 839
4,656 CMC Securities Corp. III, Series
1994-D, Class M, 6.00%, 3/25/24.... 4,330
340 CMC Securities Corp. III, Series
1994-B, Class A5, 6.00%, 2/25/09... 335
131 Collateralized Mortgage Corp., Series
88-2, Class 2-B, 8.80%, 4/20/19.... 134
500 CS First Boston Mortgage Securities
Corp., Series 1998-2A, Class D,
8.05%, 10/15/01* (b)............... 501
500 GE Capital Mortgage Services, Inc.,
Series 1994-15, Class A5, 6.00%,
4/25/09............................ 478
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 428 GE Capital Mortgage Services, Inc.,
Series 1993-17, Class A5, 6.50%,
12/25/23........................... $ 426
459 GE Capital Mortgage Services, Inc.,
Series 1994-16, Class A6, 6.50%,
8/25/24............................ 456
407 Nomura Mortgage Capital Corp., Series
1994-1, Class A3, 6.63%, 1/25/09... 405
2,012 Nomura Mortgage Capital Corp., Series
1990-1, Class H, 7.00%, 6/17/20.... 2,015
5,000 Norwest Asset Securities Corp.,
Series
1988-2, Class 2-B, 7.50%,
6/25/27............................ 4,986
1,325 Norwest Asset Securities Corp.,
6.00%, 12/25/28.................... 1,236
68 Paine Webber, Series J, Class 3,
8.80%, 5/1/18...................... 70
192 Paine Webber, Series L, Class 4,
8.95%, 7/1/18...................... 197
2,000 PNC Mortgage Securities Corp., Series
1998-5, Class 2A11, 6.30%,
7/25/28............................ 1,982
1,767 Prudential Home Mortgage Securities,
Series 1992-38, Class A6, 7.00%,
11/25/22........................... 1,757
370 Residential Accredit Loans, Inc.,
Series 1998-QS1, Class A2, 7.00%,
1/25/28............................ 365
119 Residential Funding Corp.,
Series 1993-S20, Class A14, 8.24%,
6/25/08*........................... 107
2,000 Residential Funding Corp., 6.50%,
12/25/08........................... 1,980
500 Residential Funding Mortgage
Securities Trust I, Series 1999-S8,
Class A3, 6.25%, 3/25/14........... 488
295 United States Department of Veterans
Affairs, Series 1994-3A, Class 1H,
6.50%, 12/15/01.................... 294
682 United States Department of Veterans
Affairs, Series 1992-2, Class G,
7.25%, 2/15/19..................... 679
--------
Total Collateralized Mortgage Obligations 25,749
--------
CORPORATE BONDS (13.2%):
Automotive (0.2%):
1,402 Ford Motor Co., 9.00%, 9/15/01....... 1,429
250 General Motors Corp., 9.63%,
12/1/00............................ 253
--------
1,682
--------
Electric Utility (0.6%):
5,000 Scana Corp., 6.25%, 7/8/03........... 4,842
--------
</TABLE>
Continued
33
<PAGE> 36
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Financial Services (8.3%):
$ 1,000 African Development Bank, 8.63%,
5/1/01............................. $ 1,011
700 African Development Bank, 9.75%,
12/15/03........................... 752
1,090 Associates Corp., 6.25%, 9/15/00..... 1,088
1,015 Associates Corp., 6.63%, 5/15/01..... 1,010
250 Associates Corp., 7.55%, 8/23/01..... 251
300 Associates Corp., 7.48%, 7/27/02..... 301
1,800 Associates Corp., 5.75%, 11/1/03..... 1,702
500 Associates Corp., 7.70% , 6/10/04.... 502
5,000 Bear Stearns, 6.13%, 2/1/03.......... 4,822
500 Beneficial Corp., 7.95%, 2/12/01..... 503
2,250 Beneficial Corp., Series E, 6.38%,
7/18/03............................ 2,183
2,450 Beneficial Corp., 6.80%, 9/16/03..... 2,405
3,000 Beneficial Corp., Series I, 6.45%,
10/12/04........................... 2,893
1,350 Bombardier Capital, 6.00%, 1/15/02
(b)................................ 1,318
1,500 Case Credit Corp., 5.91%, 2/19/01.... 1,487
3,000 Citicorp, 8.00%, 2/1/03.............. 3,036
313 Ford Capital, 9.38%, 5/15/01......... 318
950 Ford Motor Credit Corp., 8.20%,
2/15/02............................ 961
219 Ford Motor Credit Corp., 8.00%,
6/15/02............................ 221
750 General Electric Corp., 8.77%,
2/8/01............................. 757
5,000 General Motors Acceptance Corp.,
6.75%, 2/7/02...................... 4,957
500 General Motors Acceptance Corp.,
5.75%, 11/10/03.................... 475
1,700 Goldman Sachs Group, 6.20%,
2/15/01 (b)........................ 1,691
7,000 Goldman Sachs Group, 7.80%,
7/15/02 (b)........................ 7,035
3,000 Goldman Sachs Group, 6.25%,
2/1/03 (b)......................... 2,903
5,000 Goldman Sachs Group, 6.65%,
8/1/03 (b)......................... 4,882
1,000 Household Bank FSB, 6.50%, 7/15/03... 962
500 Household Finance Corp., 6.88%,
3/1/03............................. 490
500 International Bank for Reconstruction
& Development, 9.25%, 10/12/00..... 503
360 Lehman Brothers Holdings, Inc.,
6.33%, 8/1/00...................... 360
4,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00.................... 4,031
31 Morgan Stanley Mortgage, 0.00%,
11/20/21, PO....................... 24
1,290 New York Republic Corp., 9.75%,
12/1/00............................ 1,303
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Financial Services, continued:
$ 265 Norwest Financial, Inc., 7.88%,
2/15/02............................ $ 267
5,000 Visa International, 6.72%, 2/4/02
(b)................................ 4,922
--------
62,326
--------
Industrial Goods & Services (2.9%):
5,000 Carpenter Technology, 6.28%,
4/7/03............................. 4,831
7,000 Case Corp., Series B, 6.25%,
12/1/03............................ 6,579
5,000 Housing Urban Development, 5.30%,
8/1/01............................. 4,918
500 Sears Roebuck Acceptance Co., 6.73%,
8/29/00............................ 500
5,000 Sears Roebuck Acceptance Co., 6.69%,
8/13/01............................ 4,955
--------
21,783
--------
Office Equipment & Services (0.3%):
2,005 Xerox Corp., 5.55%, 7/22/37.......... 2,003
--------
Oil & Gas Exploration (0.3%):
2,500 Mobil Oil Canada, Euro, 5.00%,
12/24/04........................... 2,294
--------
Retail Stores/Catalog (0.6%):
5,000 Avon Products, 6.25%, 5/1/03 (b)..... 4,809
--------
Total Corporate Bonds 99,739
--------
U.S. GOVERNMENT AGENCY MORTGAGES (35.8%):
Fannie Mae (20.1%):
22,000 5.72%, 3/8/01........................ 21,843
11,000 5.63%, 3/15/01....................... 10,911
10,000 6.16%, 3/29/01....................... 9,953
152 6.00%, 4/25/01, Series 1994-31,
Class VB........................... 151
212 7.00%, 7/25/01, Series 1994-75,
Class OB........................... 211
3,900 6.50%, 8/1/01, Pool #190976.......... 3,847
5,000 6.65%, 9/4/01........................ 4,991
222 6.00%, 1/25/02, Series 1994-23,
Class PJ........................... 220
100 7.55%, 4/22/02....................... 101
245 7.50%, 8/1/02, Pool #250315.......... 245
192 6.67%, 1/17/03, Series 1997-M1,
Class A *.......................... 192
800 5.76%, 2/25/03....................... 776
500 5.40%, 9/24/03....................... 477
430 5.63%, 9/29/03....................... 412
250 5.33%, 10/20/03...................... 238
225 5.35%, 10/27/03...................... 214
255 5.39%, 11/5/03....................... 243
500 5.68%, 2/2/04........................ 478
500 5.54%, 2/5/04........................ 476
500 6.00%, 3/1/04........................ 482
750 5.68%, 3/24/04....................... 716
300 5.94%, 4/5/04........................ 287
</TABLE>
Continued
34
<PAGE> 37
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 767 6.00%, 4/13/04....................... $ 738
144 8.00%, 1/25/05, Series 1992-93, Class
K.................................. 144
81 6.00%, 3/25/05, Series 1993-76,
Class PE........................... 81
10,816 7.00%, 7/17/05, Series 97-26, Class
GD................................. 10,716
83 9.00%, 9/1/05, Pool #50340........... 86
15,441 6.60%, 10/18/05, Series 97-26, Class
B.................................. 15,083
151 7.00%, 10/25/05, Series 1992-94,
Class G............................ 151
65 9.00%, 11/1/05, Pool #50361.......... 67
498 7.00%, 11/25/05, Series 1992-153,
Class L............................ 497
304 7.00%, 1/25/06, Series 1992-193,
Class GB........................... 303
108 8.50%, 4/1/06, Pool #116875.......... 110
13,542 7.42%, 9/1/06, Pool #73618........... 13,564
2,000 6.50%, 12/25/06, Series 1993-107,
Class D............................ 1,990
92 6.00%, 1/25/07, Series 1993-86, Class
E.................................. 91
146 6.00%, 2/25/07, Series 1994-17, Class
E.................................. 145
175 6.25%, 4/25/07, Series 1993-93, Class
E.................................. 174
43 5.50%, 11/25/07, Series 1994-33,
Class E............................ 43
1,325 6.50%, 12/25/07, Series 1993-10,
Class PH........................... 1,292
610 5.75%, 12/25/07, Series 1993-229,
Class PE........................... 598
100 6.43%, 6/23/08....................... 94
2,000 6.50%, 9/25/08, Series 1999-19,
Class LA........................... 1,987
536 6.50%, 10/25/08, Series 1993-192,
Class KB........................... 529
602 5.98%, 10/25/08, Series 1993-196,
Class FA *......................... 579
500 5.95%, 10/27/08...................... 458
500 5.66%, 12/17/08, Series B............ 450
460 6.25%, 1/25/09....................... 440
235 6.50%, 3/25/09, Series 1994-32, Class
Z.................................. 220
500 9.50%, 12/1/09, Pool #426815......... 519
3,631 7.00%, 6/1/10, Pool #315928.......... 3,576
3,344 6.50%, 9/1/10, Pool #325479.......... 3,253
2,750 6.50%, 10/1/10, Pool #250377......... 2,670
1,556 7.00%, 11/1/10, Pool #250387......... 1,533
1,707 7.50%, 2/1/11, Pool #303755.......... 1,707
705 6.00%, 4/25/12, Series 1999-19,
Class UD........................... 700
6,355 6.50%, 4/1/13, Pool #425396.......... 6,187
5,000 6.50%, 6/25/13, Series 94-1, Class
K.................................. 4,886
1,631 6.50%, 9/1/13, Pool #251982.......... 1,574
1 5.90%, 7/25/15, Series G93-26, Class
PE................................. 1
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 107 5.75%, 11/25/16, Series 1993-187,
Class E............................ $ 107
131 5.80%, 12/25/16, Series 1993-202,
Class E............................ 130
172 5.65%, 5/25/17, Series 1993-206,
Class E............................ 171
1,114 7.65%, 10/17/17, Series G94-6,
Class PD........................... 1,115
1,881 6.50%, 12/18/17, Series 1998-17,
Class TB........................... 1,869
228 9.25%, 4/25/18, Series 1998-7, Class
Z.................................. 238
349 9.30%, 5/25/18, Series 1988-13, Class
C.................................. 361
301 9.50%, 6/25/18....................... 316
305 9.00%, 6/25/18, Series 1988-15, Class
A.................................. 316
46 5.45%, 10/25/18, Series 1993-225,
Class TE........................... 45
359 6.03%, 1/1/19, Pool #70226*.......... 350
191 8.80%, 1/25/19, Series 1989-2, Class
D.................................. 196
182 5.50%, 2/25/19, Series 1994-15, Class
E.................................. 181
784 7.28%, 3/1/19, Pool #116612*......... 797
790 6.90%, 6/25/19, Series 1989-27, Class
Y.................................. 768
209 7.42%, 8/1/19, Pool #111366*......... 212
179 7.00%, 9/25/19, Series 1989-66, Class
J.................................. 175
187 8.00%, 10/25/19, Series 1989-70,
Class G............................ 188
10 0.00%, 10/25/19, Series 1989-73,
Class C, PO........................ 10
532 9.00%, 11/25/19, Series 1989, Class
H.................................. 553
500 6.50%, 2/25/20, Series 1994-36,
Class GA........................... 495
180 7.00%, 9/25/20, Series 1990-109,
Class J............................ 176
170 6.00%, 9/25/20, Series 1993-149,
Class H............................ 167
226 8.95%, 10/25/20, Series 1990-117,
Class E............................ 232
272 7.00%, 10/25/20, Series 1990-123,
Class G............................ 266
275 6.00%, 12/18/20, Series 1998-27,
Class PC........................... 265
233 8.00%, 3/25/21, Series 1992-132,
Class PL........................... 235
264 7.50%, 4/25/21, Series 1992-79, Class
K.................................. 263
152 7.00%, 5/25/21, Series 1992-143,
Class K............................ 151
172 6.50%, 5/25/21, Series 1992-137,
Class Z............................ 171
1,005 7.00%, 8/18/21....................... 1,003
1,037 9.00%, 9/25/21, Series 1991-130,
Class C............................ 1,068
71 9.00%, 2/1/23, IO.................... 20
</TABLE>
Continued
35
<PAGE> 38
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 572 0.00%, 11/25/23, Series 1993-225,
Class MC, PO....................... $ 515
499 10.00%, 2/1/24, Pool #479469......... 532
1,004 7.50%, 6/20/24, Series G97-1......... 1,004
276 7.00%, 2/18/27, Series 1997-55, Class
B.................................. 268
1,276 9.50%, 7/1/28, Pool #457268.......... 1,328
--------
150,957
--------
Federal Home Loan Bank (3.9%):
5,000 5.58%, 2/23/01....................... 4,962
5,000 5.88%, 8/15/01....................... 4,945
10,000 7.78%, 10/19/01...................... 10,106
1,650 5.69%, 12/10/01, Series LB-01........ 1,623
905 5.70%, 12/17/01, Series LJ-01........ 890
200 5.50%, 3/8/02........................ 196
200 5.95%, 4/1/02........................ 197
5,000 5.59%, 1/13/03....................... 4,846
100 5.53%, 11/5/03....................... 95
250 5.60%, 3/8/04........................ 238
500 5.65%, 5/5/04........................ 476
500 5.80%, 8/24/04....................... 476
--------
29,050
--------
Freddie Mac (8.7%):
151 5.68%, 9/15/00, Series 1566, Class FC
*.................................. 151
738 6.50%, 1/1/01, Pool #M80308.......... 732
3,309 7.00%, 1/1/02, Pool #G50415.......... 3,296
3,831 6.50%, 5/1/02, Pool #G50444.......... 3,770
107 7.00%, 2/15/03, Series 1730, Class
H.................................. 107
150 5.20%, 10/14/03...................... 142
200 5.70%, 2/12/04....................... 191
300 6.02%, 6/30/04....................... 288
363 6.50%, 12/15/04, Series 2055......... 357
57 6.00%, 11/15/05, Series 1698, Class
PE................................. 57
141 9.00%, 12/1/05, Pool #G00005......... 145
129 9.00%, 1/1/06, Pool #G00012.......... 133
350 5.75%, 2/15/06, Series 1693, Class
E.................................. 348
139 6.50%, 7/15/06, Series 1426.......... 139
5 5.75%, 7/15/06, Series 1490, Class
PE................................. 5
85 5.30%, 8/15/06, Series 1615, Class
E.................................. 85
150 6.50%, 9/15/06....................... 150
192 5.25%, 9/15/06, Series 1679, Class
A.................................. 190
270 8.00%, 10/1/06, Pool #G00052......... 272
1,094 7.00%, 3/1/07, Pool #G34594.......... 1,081
629 8.00%, 3/15/07, Series 1276, Class
J.................................. 634
502 7.00%, 3/15/07, Series 1679, Class
A.................................. 499
1,089 7.50%, 4/1/07, Pool #G00084.......... 1,091
884 7.00%, 4/1/07, Pool #G00087.......... 874
568 5.50%, 5/15/07, Series 1587, Class
EB................................. 566
500 6.26%, 6/15/07, Series 1561, Class
EA*................................ 497
1,881 7.00%, 7/15/07, Series 1555, Class
PK................................. 1,874
1,363 7.50%, 11/1/07, Pool #E00165......... 1,366
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 250 6.00%, 11/15/07, Series 2103, Class
PB................................. $ 247
260 5.75%, 1/15/08, Series 1606, Class
G.................................. 256
610 5.60%, 1/15/08, Series 1587, Class
GA................................. 601
1,458 8.50%, 2/1/08, Pool #10133........... 1,477
408 7.00%, 3/15/08, Series 1887, Class
A.................................. 407
40 6.25%, 6/15/08, Series 1544, Class
E.................................. 40
1,960 6.00%, 8/15/08, Series 2134, Class
PE................................. 1,927
575 6.50%, 10/15/08, Series 1655, Class
HB................................. 560
1,179 7.00%, 12/1/08, Pool #E20065......... 1,165
821 8.00%, 1/1/10, Pool #G00355.......... 831
2,749 8.00%, 2/1/10, Pool #G10328.......... 2,782
4,262 7.00%, 10/1/10, Pool #E61709......... 4,201
6,988 7.00%, 5/1/11, Pool #E20241.......... 6,878
1,186 5.85%, 11/15/11, Series 2146, Class
QV................................. 1,151
7,982 6.50%, 7/1/14, Pool #E77962.......... 7,706
1,579 5.85%, 5/15/15, Series 1692, Class
PE................................. 1,570
365 6.75%, 11/15/16, Series 2198, Class
PK................................. 363
96 6.00%, 11/15/16, Series 1560, Class
X.................................. 95
2,876 7.00%, 12/15/16, Series 1882, Class
PB................................. 2,873
9 6.00%, 12/15/16, Series 1541, Class
E.................................. 9
18 4.00%, 12/15/16, Series 1541, Class
EA................................. 18
458 6.50%, 4/15/18, Series 1727, Class
E.................................. 456
379 6.65%, 5/15/18, Series 1477, Class
F.................................. 378
104 6.25%, 9/15/18, Series 1714, Class
E.................................. 104
141 5.25%, 9/15/18, Series 1602, Class
AE................................. 141
900 6.00%, 1/15/19, Series 1585, Class
F.................................. 891
72 6.00%, 1/15/19, Series 1706, Class
E.................................. 72
251 5.80%, 2/15/19, Series 1614, Class
G.................................. 250
381 9.30%, 3/15/19, Series 2, Class Z.... 396
190 4.00%, 3/25/19, Series 10, Class F... 188
553 6.00%, 6/15/19, Series 1552, Class
F.................................. 546
417 10.00%, 10/15/19, Series 16, Class
D.................................. 435
255 9.25%, 11/15/19, Series 12, Class
A.................................. 263
82 6.75%, 11/15/19, Series 1909, Class
H.................................. 82
164 8.50%, 1/15/20, Series 77, Class G... 165
247 7.00%, 1/15/20, Series 1834, Class
A.................................. 247
449 9.50%, 2/15/20, Series 1559, Class
VF................................. 462
470 6.25%, 2/15/20, Series 26, Class F... 465
249 9.00%, 10/15/20, Series 1807, Class
G.................................. 256
114 8.13%, 11/15/20, Series 81, Class
A.................................. 115
518 9.50%, 1/15/21, Series 99, Class Z... 534
365 8.60%, 1/15/21, Series 85, Class C... 371
1 1006.21%, 2/15/21, Series 1045,
Class G, HB........................ 16
507 9.00%, 5/15/21, Series 1082, Class
C.................................. 522
500 6.00%, 5/15/21, Series 2068, Class
CG................................. 475
238 8.25%, 8/15/21, Series 1125, Class
Z.................................. 241
649 9.00%, 9/15/21, Series 1141, Class
G.................................. 672
81 4.50%, 9/15/21, Series 159, Class
H.................................. 74
200 6.25%, 4/15/22, Series 1610, Class
PM................................. 193
149 7.00%, 11/15/22, Series 1927, Class
L.................................. 149
</TABLE>
Continued
36
<PAGE> 39
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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 6.00%, 11/15/22, Series 1673, Class
H.................................. $ 469
539 5.63%, 11/15/22, Series 1424, Class
F*................................. 516
637 6.00%, 9/15/25, Series 2160, Class
D.................................. 599
868 7.43%, 10/1/26, Pool #785652*........ 873
--------
65,813
--------
Government National Mortgage Assoc. (3.1%):
1 8.00%, 2/15/02, Pool #192917......... 1
5 8.00%, 3/15/02, Pool #209172......... 5
1 9.00%, 6/15/02, Pool #229311......... 1
20 9.00%, 10/15/02, Pool #229569........ 20
8 8.00%, 6/15/05, Pool #28827.......... 8
3 9.00%, 9/15/05, Pool #292569......... 3
21 9.00%, 10/15/05, Pool #292589........ 22
5 8.00%, 5/15/06, Pool #303851......... 6
3 8.00%, 7/15/06, Pool #307231......... 3
28 8.00%, 8/15/06, Pool #311166......... 28
25 8.00%, 9/15/06, Pool #311301......... 26
141 8.00%, 10/15/06, Pool #316915........ 144
123 8.00%, 11/15/06, Pool #312210........ 125
102 8.00%, 11/15/06, Pool #313528........ 103
38 8.00%, 11/15/06, Pool #316671........ 38
34 8.00%, 11/15/06, Pool #315078........ 34
27 8.00%, 11/15/06, Pool #311131........ 28
87 8.00%, 12/15/06, Pool #311384........ 88
21 8.00%, 1/15/07, Pool #317663......... 21
151 8.00%, 2/15/07, Pool #316086......... 153
98 8.00%, 3/15/07, Pool #318825......... 100
42 8.00%, 3/15/07, Pool #178684......... 43
71 8.00%, 4/15/07, Pool #316441......... 72
64 8.00%, 10/15/07, Pool #018954........ 65
36 8.00%, 10/15/07, Pool #020981........ 37
88 8.00%, 12/15/07, Pool #019083........ 89
29 8.00%, 12/15/07, Pool #020290........ 29
1,902 9.00%, 9/15/09, Pool #780072......... 1,966
609 12.00%, 11/15/19, Pool #780149....... 676
454 9.50%, 7/15/20, Pool #293363......... 475
109 7.50%, 8/20/20, Series 1995-8, Class
B.................................. 109
268 8.00%, 2/16/22, Series 1994-6, Class
J.................................. 271
717 9.50%, 3/15/23, Pool #780010......... 750
250 6.00%, 6/20/23, Series 1998-14,
Class PD........................... 240
283 9.00%, 9/15/24, Pool #403964......... 293
872 9.50%, 12/15/24, Pool #780831........ 911
699 8.50%, 3/20/25, Pool #001974......... 713
3,048 7.13%, 11/20/25, Pool #8746*......... 3,063
7,334 9.50%, 12/15/25, Pool #780965........ 7,676
1,238 7.37%, 1/20/26, Pool #8790*.......... 1,240
1,363 8.00%, 9/20/26, Pool #2488........... 1,373
170 9.00%, 10/15/26, Pool #423946........ 176
432 8.00%, 10/20/27, Pool #2499.......... 434
</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:
$ 259 8.00%, 6/15/28, Pool #444095......... $ 262
268 8.00%, 8/15/28, Pool #472198......... 272
1,466 7.50%, 9/20/28, Pool #002646......... 1,449
--------
23,641
--------
Total U.S. Government Agency Mortgages 269,461
--------
U.S. GOVERNMENT AGENCY SECURITIES (1.1%):
Federal Farm Credit Bank (0.0%):
200 6.08%, 10/22/08...................... 185
--------
Government Trust Certificate (0.3%):
927 0.00%, 5/15/02....................... 821
425 0.00%, 11/15/02...................... 366
408 0.00%, 11/15/02...................... 352
250 0.00%, 11/15/02...................... 215
229 0.00%, 5/15/03....................... 189
510 0.00%, 11/15/03...................... 409
216 0.00%, 11/15/03...................... 173
--------
2,525
--------
Tennessee Valley Authority (0.8%):
5,500 6.50%, 8/20/01....................... 5,477
--------
Total U.S. Government Agency Securities 8,187
--------
U.S. TREASURY OBLIGATIONS (26.5%):
U.S. Treasury Bonds (1.3%):
9,000 11.63%, 11/15/02..................... 10,010
--------
U.S. Treasury Inflation Protected Bonds (0.1%):
1,069 3.63%, 7/15/02....................... 1,062
--------
U.S. Treasury Notes (24.3%):
12,000 5.75%, 10/31/00...................... 11,985
3,426 4.00%, 10/31/00...................... 3,400
13,000 6.25%, 4/30/01....................... 12,980
13,500 6.50%, 5/31/01....................... 13,508
4,000 6.63%, 6/30/01....................... 4,008
2,500 6.63%, 7/31/01....................... 2,505
9,400 7.88%, 8/15/01....................... 9,541
15,000 6.38%, 9/30/01....................... 14,977
7,500 6.25%, 10/31/01...................... 7,477
10,325 7.50%, 11/15/01...................... 10,461
2,000 5.88%, 11/30/01...................... 1,983
50,000 6.38%, 1/31/02....................... 49,905
500 6.25%, 1/31/02....................... 498
6,600 6.25%, 2/28/02....................... 6,577
500 6.63%, 3/31/02....................... 501
6,400 6.63%, 4/30/02....................... 6,418
3,500 6.50%, 5/31/02....................... 3,503
10,500 6.38%, 8/15/02....................... 10,487
12,000 6.25%, 8/31/02....................... 11,959
--------
182,673
--------
</TABLE>
Continued
37
<PAGE> 40
One Group Mutual Funds
Short-Term Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS (0.8%):
$ 7,890 0.00%, 8/15/05....................... $ 5,718
--------
Total U.S. Treasury Obligations 199,463
--------
INVESTMENT COMPANIES (2.7%):
20,093 One Group Government Money Market
Fund, Class I...................... 20,093
--------
Total Investment Companies 20,093
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (21.0%):
Master Notes (3.1%):
$ 7,702 Bear Stearns, 7.40%, 7/3/00*......... 7,702
2,311 Danaher Corp., 7.31%, 7/3/00*........ 2,311
4,467 General Mills, 6.83%, 7/3/00*........ 4,467
6,932 Lehman Brothers, 7.44%, 7/3/00*...... 6,932
1,617 NationsBanc, 7.33%, 7/3/00*.......... 1,617
--------
23,029
--------
Put Bonds (9.9%):
3,851 Associates Corp., 7.00%, 9/17/01*.... 3,894
5,391 Bank of America, 6.32%, 7/5/01*...... 5,453
3,081 Caterpillar Finance, 7.05%,
5/1/01*............................ 3,081
3,851 Chase Manhattan, 7.02%, 5/4/01*...... 3,851
3,851 Chase Manhattan, 7.11%, 5/6/02*...... 3,851
3,891 Ford Motor Credit, 6.99%,
11/27/00*.......................... 3,891
3,851 GMAC, 7.07%, 5/30/01*................ 3,851
3,851 GMAC, 7.08%, 4/30/01*................ 3,851
3,851 Goldman Sachs, 7.05%, 11/19/01*...... 3,851
5,777 Jackson National, 7.50%, 4/15/01*.... 5,777
3,851 JP Morgan and Co., 7.01%, 5/4/01*.... 3,851
3,851 Lehman Bros., 6.80%, 6/1/01*......... 3,865
1,540 Liberty Lighthouse, 7.08%,
4/12/02*........................... 1,540
3,851 Merrill Lynch, 7.16%, 5/6/02*........ 3,851
3,851 Salomon Smith Barney, 6.84%,
4/12/01*........................... 3,851
3,851 Sigma Finance, Inc., 6.91%,
5/15/01*........................... 3,851
3,081 Sigma Finance, Inc., 7.31%,
2/2/01*............................ 3,081
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 5,392 SPARCC, 6.65%, 9/25/00*.............. $ 5,392
3,851 U.S. Bancorp., 6.78%, 5/8/02*........ 3,851
--------
74,484
--------
Repurchase Agreements (8.0%):
19,255 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $20,377 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$20,285)........................... 19,255
10,783 Goldman Sachs, 7.21%, 7/3/00,
(Collateralized by $12,112 various
Corporate Bonds, 5.20% - 9.45%,
3/19/01 - 6/1/37, market value
$11,728)........................... 10,783
3,493 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $3,667 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $3,597)..... 3,493
11,553 Paine Webber, 7.27%, 7/3/00,
(Collateralized by $12,303 various
Corporate Bonds, 6.50% - 9.63%,
6/1/01 - 6/15/25, market value
$12,131)........................... 11,553
15,404 Salomon Smith Barney, 7.17%, 7/3/00,
(Collateralized by $16,237 various
Commercial Paper, 0.00%,
7/6/00 - 10/3/00, market value
$16,175)........................... 15,404
--------
60,488
--------
Total Short-Term Securities Held as Collateral
for
Securities Lending
158,001
--------
Total (Cost $913,992) (a) $905,903
========
</TABLE>
------------
Percentages indicated are based on net assets of $753,009.
(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 $107. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 888
Unrealized depreciation...................... (9,084)
-------
Net unrealized appreciation (depreciation)... $(8,196)
=======
</TABLE>
(b) 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 $38,547 or 5.12% 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 Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
38
<PAGE> 41
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES (9.2%):
$ 4,500 Advanta Mortgage Loan Trust, Series
98-1, Class A5, 6.60%, 3/25/28.... $ 4,201
5,000 Aesop Funding II, Series 97-1, Class
A2, 6.40%, 10/20/03............... 4,925
5,000 Americredit Automobile Receivable
Trust, Series 99-C, Class A3,
6.84%, 10/5/03.................... 4,983
3,270 Americredit Automobile Receivable
Trust, Series 99-A, Class A4,
5.88%, 12/12/05................... 3,197
1,874 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................... 1,867
2,500 Arcadia Automobile Receivables
Trust, Series 99-B, Class A3,
6.30%, 7/15/03.................... 2,474
3,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03................... 2,955
2,000 Arcadia Automobile Receivables
Trust, Series 98-A, Class A4,
6.00%, 11/17/03................... 1,966
1,450 Arcadia Automobile Receivables
Trust, Series 99-C, Class A2,
6.90%, 12/15/03................... 1,442
6,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................... 5,918
225 Arcadia Automobile Receivables
Trust, Series 97-C, Class A5,
6.55%, 6/15/05.................... 223
475 Case Equipment Loan Trust, Series
95-B, Class A3, 6.45%, 3/15/04.... 474
49 Chase Manhattan Grantor Trust,
Series 96-A, Class A, 5.20%,
2/15/02........................... 48
250 Chemical Master Credit Card Trust,
Series 95-3, Class A, 6.23%,
8/15/02........................... 246
386 Chevy Chase Auto Receivable Trust,
Series 97-4, Class A, 6.25%,
6/15/04........................... 382
5,440 Circuit City Credit Card Master
Trust, Series 95-1, Class A,
6.38%, 8/15/05.................... 5,438
1,858 CPS Auto Trust, Series 98-3, Class
A3, 6.00%, 6/15/02................ 1,856
2,000 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............... 1,980
300 Discover Card Master Trust I, Series
95-2, Class A, 6.55%, 2/18/03..... 300
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 6,000 EQCC Home Equity Loan Trust, Series
96-4, Class A6, 6.88%, 7/15/14.... $ 5,969
2,000 First Bank Corporate Card Master
Trust, Series 97-1, Class B,
6.55%, 2/15/03.................... 1,977
4,000 First Security Auto, Series 2000-1,
Class A3, 7.30%, 7/15/04.......... 4,009
212 First Security Auto Grantor Trust,
Series 98-A, Class A, 5.97%,
4/15/04........................... 210
1,000 Fleet Credit Card Master Trust,
Series 96-A, Class A1, 6.00%,
11/15/05.......................... 975
4,000 Greentree Financial Corp., Series
93-2, Class B, 8.00%, 7/15/18..... 3,451
1,927 Greentree Home Improvement Loan
Trust, Series 95-D, Class M1,
6.95%, 9/15/25.................... 1,924
2,941 Greentree Recreational, Equipment &
Consulting, Series 97-D, Class
A1HE, 6.90%, 3/15/29.............. 2,909
345 MBNA Master Credit Card Trust,
Series 94-C, Class A, 7.13%,
3/15/04*.......................... 346
517 Merrill Lynch MBS, Inc., Series
144-S, 7.43%, 7/25/24............. 496
336 Newcourt Receivables Asset Trust,
Series 96-3, Class A, 6.24%,
12/20/04.......................... 336
1,718 Olympic Automobile Receivables
Trust, Series 96-C, Class A4,
6.80%, 3/15/02.................... 1,719
2,650 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................... 2,649
1,000 Onyx Acceptance Auto Trust, Series
97-C, Class A4, 6.76%, 5/15/04.... 994
127 Onyx Acceptance Grantor Trust,
Series 96-1, Class A, 5.40%,
5/15/01........................... 127
1,250 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03........................... 1,232
404 Onyx Acceptance Grantor Trust,
Series 97-1, Class A, 6.55%,
9/15/03........................... 403
259 Premier Auto Trust, Series 97-2,
Class A4, 6.25%, 6/6/01........... 259
3,790 Premier Auto Trust, Series 97-2,
Class A5, 6.32%, 3/6/02........... 3,775
</TABLE>
Continued
39
<PAGE> 42
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 2,125 Premier Auto Trust, Series 98-5,
Class A4, 5.19%, 4/8/03........... $ 2,062
1,100 Prime Credit Card Master Trust,
Series 96-1, Class A, 6.70%,
7/15/04........................... 1,096
5,000 Rental Car Finance, Series 97-1,
Class A2, 6.45%, 8/25/05.......... 4,867
596 Sears Credit Account Master Trust,
Series 95-3, Class A, 7.00%,
10/15/04.......................... 596
1,000 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05........................... 992
2,000 Sears Credit Account Master Trust,
Series 96-4, Class A, 6.45%,
10/16/06.......................... 1,979
5,000 Sears Roebuck Acceptance, Series
MTN3, 7.07%, 9/18/01.............. 4,973
9,323 SLM Student Loan Trust, Series 99-1,
Class A1T, 6.71%, 4/25/08*........ 9,310
4,000 Team Fleet Financing Corp. (c),
Series 97-1, Class A, 7.35%,
5/15/03........................... 3,990
1,050 Textron Financial Corp. Receivables
Trust, Series 98-A, Class A1,
5.82%, 1/15/02.................... 1,048
1,000 Toyota Auto Lease Trust, Series
97-A, Class A2, 6.35%, 4/26/04.... 1,000
18 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/8/02........... 18
1,000 Union Acceptance Corp., Series 99-A,
Class A3, 5.57%, 9/8/03........... 990
259 WFS Financial Owner Trust, Series
98-A, Class A3, 5.90%, 5/20/02.... 259
2,900 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03.... 2,865
1,345 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%, 12/20/03... 1,341
4,000 WFS Financial Owner Trust, Series
99-C, Class A2, 6.92%, 1/20/04.... 3,991
6,000 World Financial Network Credit Card
Master Trust, Series 96-A, Class
A, 6.70%, 2/15/04................. 5,977
2,429 World Omni Automobile Lease Secured
Trust, Series 97-A, Class A4,
6.90%, 6/25/03.................... 2,431
980 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A3,
6.18%, 11/25/03................... 980
----------
Total Asset Backed Securities 129,400
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (2.9%):
$ 981 BHN, Series 97-1, Class A2, 7.92%,
7/25/09 (c)....................... $ 900
1,390 Chase Mortgage Finance Corp., Series
94-E, Class A6B, 5.96%, 4/25/10,
IF*............................... 1,328
73 Collateralized Mortgage Obligation
Trust, Series 16, Class Q, 11.25%,
3/20/18, IF*...................... 72
167 Collateralized Mortgage Securities
Corp., Series 88-2, Class B,
8.80%, 4/20/19.................... 170
1,981 Countrywide Funding Corp., Series
93-11, Class A11, 5.92%, 2/25/09,
IF*............................... 1,763
933 Countrywide Home Loans, Series 97-7,
Class A1, 7.75%, 12/25/27......... 930
2,000 Countrywide Home Loans, Series 98-2,
Class A2, 6.25%, 3/25/28.......... 1,773
5,000 JP Morgan Commercial Mortgage
Finance Corp., Series 96-C2, Class
B, 6.80%, 11/25/27................ 4,854
2,000 JP Morgan Commerical Mortgage
Finance Corp., Series 97-C4, Class
B, 7.46%, 12/26/28................ 1,987
5,000 MLMI, Series 97-C2, Class A2, 6.54%,
12/10/29.......................... 4,722
1 Morgan Stanley Mortgage Trust,
Series 35, Class 2, 7979.75%,
4/20/21, HB, IF*.................. 119
1 Morgan Stanley Mortgage Trust,
Series 37, Class 2, 7979.75%,
7/20/21, HB, IF*.................. 123
170 Morgan Stanley Mortgage Trust,
Series 39, Class 3, 0.00%,
12/20/21, PO...................... 134
4,000 Mortgage Capital Funding, Inc.,
Series 96-MC2, Class A3, 7.01%,
9/20/06........................... 3,898
1,183 Norwest Asset Securities Corp.,
Series 1997-18, Class A1, 6.75%,
12/25/27.......................... 1,138
</TABLE>
Continued
40
<PAGE> 43
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 11 Paine Webber Trust, Series H, Class
4, 8.75%, 4/1/18.................. $ 12
2,500 PNC Mortgage Securities Corp.,
Series 98-5, Class 2A11, 6.30%,
7/25/28........................... 2,478
2,347 Residential Accredit Loans, Series
96-QS3, Class M2, 7.75%,
6/25/26........................... 2,324
1,993 Residential Asset Securitization
Trust, Series 98-A4, Class IA2,
6.75%, 5/25/28.................... 1,978
3,580 Residential Funding Mortgage
Securities, Series 1994-S8, Class
A6, 6.00%, 3/25/09................ 3,433
219 Rural Housing Trust, Series 87-1,
Class 3B, 7.33%, 4/1/26........... 218
4,000 The Equitable Life Assurance Society
of Private Placement, Series 174,
Class A1, 7.24%, 5/15/06 (c)...... 3,948
3,022 Wells Fargo Capital Markets, Series
APT, Class 1, 6.56%,
12/29/05 (c)...................... 2,963
----------
Total Collateralized Mortgage Obligations 41,265
----------
CORPORATE BONDS (10.4%):
Banking, Finance & Insurance (5.1%):
200 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05........................... 198
983 African Development Bank, 9.30%,
7/1/00............................ 983
250 American Express Credit Corp.,
6.13%, 11/15/01................... 246
700 Ameritech Capital Funding, 6.15%,
1/15/08........................... 637
1,000 Associates Corp., 6.00%, 4/15/03.... 960
1,750 Associates Corp., 5.75%, 11/1/03.... 1,655
300 Associates Corp., 6.63%, 6/15/05.... 289
1,000 Associates Corp., 6.38%, 11/15/05... 947
3,625 Associates Corp., 8.15%, 8/1/09..... 3,647
250 Avco Financial Services, Inc.,
7.38%, 8/15/01.................... 250
1,000 Bank of America Corp., 9.25%,
11/1/01........................... 1,024
1,500 Boeing Capital Corp., 6.36%,
7/15/05........................... 1,438
1,000 CIT Group Holdings, Inc., Series
MTN, 6.70%, 5/28/01............... 995
200 CIT Group Holdings, Inc., 8.38%,
11/1/01........................... 202
1,180 Citicorp, 5.63%, 2/15/01............ 1,169
250 Citicorp, 6.75%, 8/15/05............ 242
200 Dillard Investment Co., 9.25%,
2/1/01............................ 202
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 4,100 First Hawaiian, Inc., 6.25%,
8/15/00........................... $ 4,095
2,000 Ford Motor Credit Co., 8.20%,
2/15/02........................... 2,024
1,500 Ford Motor Credit Co., 6.63%,
6/30/03........................... 1,463
1,000 General Electric Capital Corp.,
Series MTNA, 5.92%, 4/3/01........ 991
266 General Electric Capital Corp.,
7.88%, 12/1/06.................... 276
7,000 GMAC, 5.75%, 11/10/03............... 6,645
2,000 GMAC, 6.85%, 6/17/04................ 1,957
900 Household Finance Corp., 7.63%,
1/15/03........................... 899
1,000 Household Finance Corp., 7.20%,
7/15/06........................... 965
1,000 Household Finance Corp., 6.50%,
11/15/08.......................... 909
4,000 Household Finance Corp., 5.88%,
2/1/09............................ 3,480
100 Inter American Development Bank,
8.40%, 9/1/09..................... 108
3,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00................... 3,023
5,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02..................... 5,093
3,000 Lehman Brothers Holdings, Inc.,
7.25%, 4/15/03.................... 2,961
6,000 Liberty Mutual Insurance, 8.20%,
5/4/07 (c)........................ 5,908
5,000 MBNA Corp., 6.84%, 5/23/03*......... 4,971
4,000 Metropolitan Life Insurance Co.,
7.00%, 11/1/05 (c)................ 3,870
170 Midland Bank, 8.63%, 12/15/04....... 178
100 Norwest Financial, Inc., 7.00%,
1/15/03........................... 99
1,000 Norwest Financial, Inc., 7.20%,
4/1/04............................ 993
4,000 Prime Property Funding II, 6.80%,
8/15/02 (c)....................... 3,910
216 Private Exempt Funding, 5.65%,
3/15/03........................... 212
250 Republic New York Corp., 8.25%,
11/1/01........................... 253
570 Toyota Motor Credit, 5.63%,
11/13/03.......................... 545
----------
70,912
----------
Governments (Foreign) (0.2%):
3,500 Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%,
1/27/03........................... 3,518
----------
Industrial Goods & Services (1.8%):
100 American Home Products Corp., 6.50%,
10/15/02.......................... 99
250 Boeing Co., 8.38%, 2/15/01.......... 252
250 BP America, Inc., 8.50%, 4/15/01.... 253
</TABLE>
Continued
41
<PAGE> 44
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 1,500 Case Corp., Series B, 6.25%,
12/1/03 (c)....................... $ 1,410
5,000 Cox Radio, Inc., 6.38%, 5/15/05..... 4,723
4,000 Oracle Corp., 6.72%, 2/15/04........ 3,925
5,000 Thomas & Betts, Series MTN, 6.29%,
2/13/03 (c)....................... 4,866
5,000 Tyco International Group SA, 6.25%,
6/15/03........................... 4,763
5,000 USA Waste Services, 6.13%,
7/15/01........................... 4,843
650 VF Corp., 6.63%, 3/15/03............ 642
----------
25,776
----------
Leasing (0.3%):
4,250 International Lease Finance Corp.,
5.85%, 11/25/03................... 4,070
----------
Retail (0.4%):
5,000 Dillards Department Stores, 6.39%,
8/1/03............................ 4,546
1,000 Wal Mart Stores, Inc., 8.63%,
4/1/01............................ 1,011
150 Wal Mart Stores, Inc., 6.75%,
5/15/02........................... 149
----------
5,706
----------
Telecommunications (0.3%):
500 AT&T Corp., 7.00%, 5/15/05.......... 492
2,900 Bellsouth Telecommunications, 6.00%,
6/15/02........................... 2,837
470 Chesapeake & Potomac
Telecommunications, 7.13%,
1/15/02........................... 468
----------
3,797
----------
Transportation (0.7%):
5,039 Federal Express Corp., Series 98-1A,
6.72%, 1/15/22.................... 4,601
5,000 Ford Motor Credit, 7.38%,
10/28/09.......................... 4,850
----------
9,451
----------
Utilities (1.6%):
5,000 Avon Energy Partners, 7.05%,
12/11/07 (c)...................... 4,635
250 Baltimore Gas & Electric, 5.50%,
7/15/00........................... 250
3,000 D.R. Investments, 7.10%,
5/15/02 (c)....................... 2,955
4,050 Enron Corp., 6.75%, 7/1/05.......... 3,912
723 Kern River Funding, 6.42%,
3/31/01 (c)....................... 722
1,032 National Rural Utilities, 7.30%,
9/15/06........................... 1,020
250 Northern States Power Co. --
Minneapolis, 7.88%, 10/1/01....... 251
6,000 Ohio Power, 6.73%, 11/1/04.......... 5,810
630 Public Service Electric & Gas
Utilities, 6.13%, 8/1/02.......... 619
</TABLE>
<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 (c)....................... $ 2,888
----------
23,062
----------
Total Corporate Bonds 146,292
----------
U.S. GOVERNMENT AGENCY (0.2%):
Other U.S. Agencies (0.2%):
933 Federal Housing Administration,
Project #07335307, 7.43%,
1/1/22............................ 908
1,789 Federal Housing Administration,
Greystone 96-2, 7.43%, 11/1/22.... 1,733
----------
Total U.S. Government Agency 2,641
----------
U.S. GOVERNMENT AGENCY MORTGAGES (44.8%):
Fannie Mae (17.9%):
2,000 5.41%, 2/13/01, Series MTN.......... 1,984
0 6.50%, 12/1/02, Pool #6345 (b)...... 0
1,130 6.78%, 1/17/03, Series 97-MI, Class
A*................................ 1,128
568 7.00%, 9/18/03, Series 97-13, Class
CB................................ 565
572 6.99%, 3/17/04, Series 97-M4, Class
A*................................ 571
179 10.00%, 5/25/04, Series 89-26, Class
D................................. 184
10,694 6.88%, 9/1/05, Pool #73192.......... 10,466
1 758.75%, 1/25/06, Series 91-4, Class
N, HB............................. 11
0 908.75%, 3/25/06, Series 91-20,
Class M, HB (b)................... 7
7,454 6.95%, 4/1/06, Pool #73429.......... 7,310
1 1008.00%, 4/25/06, Series 91-33,
Class J, HB*...................... 19
790 6.50%, 4/25/06, Series 93-18, Class
PH................................ 785
544 7.05%, 6/25/06, Series 93-11, Class
G................................. 542
1,138 2.34%, 8/25/06, Series 93-8, Class
SB, IF, IO*....................... 17
673 0.00%, 9/25/06, Series 96-46, Class
PE, PO............................ 564
216 7.00%, 1/1/07, Pool #145771......... 213
750 7.25%, 4/25/07, Series 92-44, Class
K................................. 742
654 7.50%, 8/25/07, Series G92-48, Class
H................................. 651
454 7.52%, 11/25/07, Series 93-174,
Class SB, IF*..................... 442
2,003 7.41%, 2/25/08, Series 93-188, Class
F*................................ 2,020
1,388 0.00%, 2/25/08, Series 96-24,
Class K, PO....................... 1,175
5,000 6.50%, 4/25/08, Series 99-45D, Class
TA................................ 4,974
4,657 7.66%, 5/25/08, Series 93-55, Class
FA*............................... 4,777
1,465 5.98%, 5/25/08, Series 93-72, Class
F*................................ 1,416
</TABLE>
Continued
42
<PAGE> 45
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 701 5.88%, 5/25/08, Series 93-63, Class
FD*............................... $ 661
2,275 8.86%, 8/25/08, Series 93-134, Class
SA, IF*........................... 2,258
449 5.98%, 8/25/08, Series 93-129, Class
FE*............................... 421
622 5.66%, 8/25/08, Series 93-209, Class
KB................................ 605
1,375 8.19%, 9/25/08, Series 93-175, Class
SA, IF*........................... 1,413
2,000 6.50%, 9/25/08, Series 99-19, Class
LA................................ 1,987
305 5.78%, 9/25/08, Series 93-170, Class
FA*............................... 298
1,750 0.00%, 9/25/08, Series 96-39, Class
J, PO............................. 1,290
1,303 0.00%, 9/25/08, Series 96-20, Class
L, PO............................. 920
2,409 5.98%, 10/25/08, Series 93-196,
Class FA*......................... 2,316
243 6.00%, 12/25/08, Series 93-214,
Class L........................... 241
2,000 0.00%, 12/25/08, Series 98-27, Class
B, PO............................. 1,337
659 6.41%, 1/25/09, Series 94-12, Class
SB, IF*........................... 613
2,760 6.50%, 2/25/09, Series 94-17, Class
JB,
IO................................ 428
1,000 6.50%, 2/25/09, Series 94-13, Class
SK, IF*........................... 882
594 6.50%, 2/25/09, Series 94-20, Class
Z................................. 551
1,555 6.50%, 3/25/09, Series 95-13, Class
B................................. 1,492
1,500 0.00%, 3/25/09, Series 96-24, Class
E,
PO................................ 996
73 7.50%, 11/1/09, Pool #158........... 73
3,200 7.00%, 4/25/10, Series 92-124, Class
D................................. 3,090
1,134 7.00%, 6/1/10, Pool #312903......... 1,117
2,455 6.50%, 12/1/10, Pool #322598........ 2,383
4,000 7.00%, 1/18/11, Series 97-23, Class
VG................................ 3,830
1,019 6.50%, 4/1/11, Pool #337903......... 987
2,250 6.75%, 10/25/12, Series 93-65, Class
D................................. 2,142
15,873 6.50%, 5/1/13, Pool #429707......... 15,322
2,856 6.50%, 9/1/13, Pool #251982......... 2,757
3,019 6.37%, 11/25/13, Series 93-220,
Class SE, IF*..................... 2,655
1,243 1.96%, 11/25/13, Series 93-220,
Class SD, IF*..................... 979
800 5.52%, 12/25/13, Series 93-225,
Class SS, IF*..................... 507
46 7.50%, 5/1/14, Pool #57930.......... 46
381 12.50%, 1/1/16, Pool #303306........ 428
252 7.06%, 5/25/16, Series 93-156, Class
FA*............................... 252
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 158 5.70%, 8/25/16, Series G93-39, Class
A................................. $ 157
207 5.68%, 11/25/16, Series 93-187,
Class FE*......................... 206
650 6.00%, 12/25/16, Series G-22, Class
G................................. 611
844 7.16%, 3/25/17, Series 96-27, Class
FA*............................... 846
42 7.00%, 4/1/17, Pool #44696.......... 41
1,881 6.50%, 12/18/17, Series 98-17, Class
TB................................ 1,869
210 9.25%, 4/25/18, Series 88-7, Class
Z................................. 219
3,250 5.31%, 6/25/18, Series 92-206, Class
FA*............................... 3,037
1,447 9.85%, 11/1/18, Series 97-77, Class
M................................. 1,524
909 9.50%, 12/1/18, Pool #426839........ 946
78 10.50%, 3/25/19, Series 50, Class 2,
IO................................ 19
567 7.12%, 3/1/19, Pool #116612*........ 577
453 6.50%, 6/25/19, Series G93-19, Class
K................................. 451
259 7.84%, 8/1/19, Pool #111366*........ 262
38 7.95%, 8/25/19, Series 90-14, Class
H................................. 37
1,737 8.00%, 10/25/19, Series 89-70, Class
G................................. 1,752
1,000 2.53%, 10/25/19, Series 93-156,
Class SD, IF*..................... 785
13 0.00%, 10/25/19, Series 89-73, Class
C, PO............................. 12
889 9.40%, 11/25/19, Series 89-78, Class
H................................. 930
638 9.00%, 11/25/19, Series 89-89, Class
H................................. 663
526 8.50%, 11/25/19, Series 89-83, Class
H................................. 538
500 6.25%, 11/25/19, Series G93-32,
Class PG.......................... 494
279 8.80%, 1/25/20, Series 90-1, Class
D................................. 285
559 8.50%, 1/25/20, Series 90-7, Class
B................................. 571
365 9.50%, 6/25/20, Series 90-63, Class
H................................. 379
400 5.50%, 6/25/20, Series 90-60, Class
K................................. 372
550 4.00%, 6/25/20, Series G92-66, Class
HB................................ 524
3 1118.00%, 8/25/20, Series 90-95,
Class J, HB....................... 101
6 504.00%, 8/25/20, Series 90-94,
Class H, HB*...................... 92
1,369 6.50%, 8/25/20, Series 90-102, Class
J................................. 1,308
412 5.50%, 8/25/20, Series 90-93, Class
G................................. 382
629 9.00%, 10/25/20, Series 90-120,
Class H........................... 651
92 6.00%, 10/25/20, Series 92-204,
Class B........................... 92
152 11.62%, 11/25/20, Series 90-134,
Class SC, IF*..................... 166
10 652.15%, 12/25/20, Series 90-140,
Class K, HB....................... 189
2,855 6.50%, 12/25/20, Series 97-85, Class
L,
IO................................ 220
1,030 0.01%, 1/25/21, Series 93-165, Class
SX, IF*........................... 795
</TABLE>
Continued
43
<PAGE> 46
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 0 907.20%, 2/25/21, Series 91-7, Class
K, HB* (b)........................ $ 11
42 8.00%, 3/1/21, Pool #70825.......... 43
1,954 8.75%, 6/25/21, Series G-18, Class
Z................................. 2,008
472 8.50%, 6/25/21, Series G-14, Class
L................................. 483
1,371 8.75%, 10/25/21, Series G-35, Class
M................................. 1,412
210 6.50%, 10/25/21, Series 94-30, Class
LA................................ 207
1,200 7.88%, 11/25/21, Series 92-215,
Class PM.......................... 1,209
2,800 5.00%, 11/25/21, Series G92-66,
Class JB.......................... 2,536
2,149 7.00%, 2/18/22, Series 97-30, Class
E................................. 2,145
1 3614.40%, 5/25/22, Series G92-27,
Class SQ, HB, IF*................. 112
1,158 5.00%, 5/25/22, Series G93-10, Class
G................................. 1,117
473 7.00%, 7/25/22, Series G92-42, Class
Z................................. 458
3,000 6.50%, 8/25/22, Series 96-59, Class
J................................. 2,851
700 5.50%, 9/25/22, Series 92-143, Class
MA................................ 618
2,000 0.00%, 9/25/22, Series 97-70, Class
PO, PO............................ 1,464
1,859 7.50%, 11/1/22, Pool #189190........ 1,845
616 6.75%, 12/25/22, Series 93-46, Class
O................................. 587
2,000 6.73%, 12/25/22, Series X, Class VO,
IF*............................... 1,895
3 359.96%, 2/25/23, Series 93-12,
Class SB, IF, IO*................. 8
1,126 6.50%, 2/25/23, Series 93-5, Class
Z................................. 1,042
909 4.55%, 2/25/23, Series 98-35, Class
SV, IF*........................... 688
271 2.84%, 2/25/23, Series 93-12, Class
S, IF, IO*........................ 4
493 0.00%, 2/25/23, Series G93-12, Class
C, PO............................. 472
9,700 6.00%, 3/25/23, Series 93-41, Class
PH................................ 9,263
1,041 7.50%, 4/1/23, Series 218, Class 2,
IO................................ 318
118 5.50%, 4/25/23, Series 93-58, Class
J................................. 101
1,001 0.00%, 4/25/23, Series 98-4, Class
C, PO............................. 691
116 6.75%, 5/25/23, Series 93-94, Class
K................................. 110
145 6.50%, 5/25/23, Series 93-155, Class
LA................................ 138
5,500 0.00%, 5/25/23, Series 93-146, Class
D, PO............................. 4,813
6,149 0.99%, 5/25/23, Series 94-82, Class
SA, IF, IO*....................... 119
12,500 0.00%, 6/25/23, Series 93-257, Class
C, PO............................. 7,559
1,000 6.50%, 7/25/23, Series 93-122, Class
M................................. 894
1,549 2.24%, 7/25/23, Series 93-113, Class
S, IF, IO*........................ 45
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 579 8.33%, 8/25/23, Series 93-113, Class
SE, IF*........................... $ 510
1,123 1.49%, 8/25/23, Series 93-139, Class
SG, IF*........................... 673
3,099 1.34%, 8/25/23, Series 94-36, Class
SG, IF, IO*....................... 120
486 0.73%, 8/25/23, Series G93-27, Class
SE*............................... 213
933 6.50%, 9/25/23, Series 93-178, Class
PK................................ 841
1,290 3.00%, 9/25/23, Series 93-193, Class
B................................. 1,178
937 2.34%, 9/25/23, Series 93-155, Class
SB, IF, IO*....................... 48
535 1.89%, 9/25/23, Series 93-178, Class
SE, IF*........................... 357
10,000 6.50%, 10/25/23, Series 93-189,
Class PI.......................... 9,186
5,000 6.50%, 10/25/23, Series 93-183,
Class KA.......................... 4,495
60 6.08%, 10/25/23, Series 93-198,
Class FA*......................... 58
1,518 1.04%, 11/25/23, Series 93-207,
Class SC, IF*..................... 1,104
9,000 6.00%, 12/18/23, Series 97-79, Class
PE................................ 8,363
157 7.08%, 12/25/23, Series 93-223,
Class SB, IF*..................... 149
3,000 6.75%, 12/25/23, Series 94-55, Class
G................................. 2,865
174 6.28%, 12/25/23, Series 93-223,
Class FB*......................... 168
1,500 1.14%, 12/25/23, Series 93-223,
Class SO, IF*..................... 1,078
1,384 0.00%, 12/25/23, Series 97-24, Class
PQ, PO............................ 1,006
966 10.00%, 2/1/24, Pool #479469........ 1,030
7,632 0.00%, 2/25/24, Series 99-16, Class
B,
PO................................ 4,029
377 7.06%, 3/25/24, Series 94-39, Class
F*................................ 378
726 6.50%, 3/25/24, Series 95-18, Class
B................................. 700
203 6.18%, 3/25/24, Series 94-36, Class
FA*............................... 196
145 5.05%, 3/25/24, Series 94-39, Class
S, IF*............................ 135
909 8.00%, 5/1/24, Pool #250066......... 916
1,459 8.50%, 7/1/24, Pool #250103......... 1,489
1,166 7.50%, 10/1/24, Pool #303031........ 1,156
1,617 7.00%, 11/17/24, Series G94-13,
Class ZB.......................... 1,539
901 8.80%, 1/25/25, Series G95-1, Class
C................................. 934
289 8.50%, 5/1/25, Pool #308499......... 295
311 7.50%, 5/1/25, Pool #311810......... 308
147 7.50%, 5/1/25, Pool #293928......... 146
330 8.50%, 6/1/25, Pool #315277......... 336
1,724 7.00%, 7/1/25, Pool #312931......... 1,668
1,528 7.00%, 7/1/25, Pool #290387......... 1,478
</TABLE>
Continued
44
<PAGE> 47
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 580 9.00%, 4/1/26, Pool #446278......... $ 600
1,991 7.05%, 6/1/26, Pool #341503*........ 2,001
1,700 7.50%, 8/18/26, Series 97-29, Class
PL, IO............................ 527
555 8.50%, 11/1/26, Pool #411183........ 569
2,500 7.50%, 3/18/27, Series 97-22, Class
PI, IO............................ 542
8,182 1.84%, 3/25/27, Series 97-20, Class
IO, IO............................ 555
7,232 1.84%, 3/25/27, Series 97-20, Class
IB, IO............................ 487
3,826 7.50%, 4/18/27, Series 97-27, Class
J................................. 3,757
6,000 7.50%, 4/20/27, Series 97-29, Class
J................................. 5,876
3,284 7.50%, 5/20/27, Series 97-39, Class
PD................................ 3,157
2,900 7.00%, 9/1/27, Pool #313687......... 2,805
1,078 6.22%, 9/1/27, Pool #54844*......... 1,049
8,071 7.00%, 11/18/27, Series 97-81, Class
PI, IO............................ 2,047
9,223 6.00%, 8/1/28, Pool #423236......... 8,456
4,274 8.50%, 1/25/29, Series 98-70, Class
AD................................ 4,410
1,248 6.22%, 3/1/29, Pool #303532*........ 1,215
----------
252,407
----------
Freddie Mac (17.0%):
22 8.00%, 6/1/01, Pool #252601......... 22
1,885 5.87%, 5/12/03, Series 2Z03......... 1,832
6,462 0.96%, 9/15/04, Series 1982, Class
SB, IF, IO*....................... 84
920 7.70%, 9/20/04, Series AT04......... 944
5,580 6.50%, 10/1/04, Gold Pool #M80495... 5,461
1,000 7.59%, 3/10/05, Series Q-05......... 1,021
750 6.92%, 9/15/05...................... 733
6 1008.00%, 5/15/06, Series 1072,
Class A, HB....................... 102
1 1008.00%, 6/15/06, Series 1098,
Class M, HB....................... 16
1,103 7.00%, 6/15/06, Series 1457, Class
PH................................ 1,103
855 7.20%, 7/18/06...................... 862
823 7.50%, 2/15/07, Series 1322, Class
G................................. 827
1,029 4.50%, 3/15/07, Series 1295, Class
JB................................ 978
27 8.00%, 4/1/07, Pool #160022......... 27
4 981.87%, 6/15/07, Series 1298, Class
L,
IO................................ 91
485 5.50%, 10/15/07, Series 1640, Class
A................................. 480
84 2.24%, 10/15/07, Series 1389, Class
SA, IF*........................... 68
694 7.93%, 11/15/07, Series 1414, Class
LB, IF*........................... 678
224 6.28%, 12/15/07, Series 1450, Class
F*................................ 217
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 3,100 2.31%, 2/15/08, Series 1465, Class
SA, IF, IO*....................... $ 80
9 8.85%, 3/15/08, Series A-78......... 9
170 6.00%, 4/15/08, Series 1531, Class
K................................. 168
239 5.50%, 4/15/08, Series 1489, Class
L................................. 233
73 7.76%, 5/15/08, Series 1506, Class
S, IF*............................ 70
428 6.73%, 5/15/08, Series 1506, Class
F*................................ 422
740 6.08%, 5/15/08, Series 1513, Class
TA*............................... 709
3,215 1.81%, 5/15/08, Series 1506, Class
SD, IF, IO*....................... 89
1,366 0.00%, 5/15/08, Series 89, Class L,
PO................................ 1,075
1,000 6.00%, 7/15/08, Series 1708, Class
D................................. 961
441 7.50%, 8/1/08, Gold Pool #G10117.... 442
176 7.52%, 8/15/08, Series 1561, Class
SC, IF*........................... 165
176 7.28%, 8/15/08, Series 1564, Class
SB, IF*........................... 174
381 6.14%, 8/15/08, Series 1564, Class
FB*............................... 361
828 4.49%, 8/15/08, Series 1565, Class
K, IF*............................ 676
2,432 0.00%, 8/15/08, Series 1900, Class
T, PO............................. 1,642
75 7.50%, 9/1/08, Pool #252600......... 75
463 6.00%, 9/15/08, Series 1586, Class
A................................. 447
659 1.22%, 9/15/08, Series 1580, Class
SC,
IF*............................... 531
850 8.60%, 10/15/08, Series 1600, Class
SC, IF*........................... 855
3,958 7.68%, 10/15/08, Series 1587, Class
SL, IF*........................... 3,741
2,284 0.00%, 10/15/08, Series 1967, Class
PC, PO............................ 1,587
581 0.00%, 10/15/08, Series 1900, Class
I, PO............................. 412
2,502 5.34%, 11/15/08, Series 1604, Class
SH, IF*........................... 2,335
1,300 4.87%, 11/15/08, Series 1604, Class
SA, IF*........................... 1,077
1,606 8.51%, 12/15/08, Series 1625, Class
SD, IF*........................... 1,620
1,048 7.84%, 12/15/08, Series 1655, Class
F*................................ 1,060
1,799 7.19%, 12/15/08, Series 1635, Class
O*................................ 1,810
698 7.10%, 12/15/08, Series 1647, Class
SB, IF*........................... 654
623 6.18%, 12/15/08, Series 1647, Class
FB*............................... 600
10,845 6.00%, 12/15/08, Series 1624, Class
KZ................................ 9,826
798 5.39%, 12/15/08, Series 2017, Class
SE, IF*........................... 695
</TABLE>
Continued
45
<PAGE> 48
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 127 0.70%, 12/15/08, Series 1655, Class
SA, IF*........................... $ 101
1,000 0.00%, 12/15/08, Series 1948, Class
A,
PO................................ 653
1,392 5.74%, 2/15/09, Series 1796, Class
S, IF*............................ 1,201
997 0.00%, 2/15/09, Series 1679, Class
N, PO............................. 669
1,461 7.24%, 3/15/09, Series 1900, Class
FA*............................... 1,468
1,480 6.93%, 3/15/09, Series 1698, Class
SC, IF*........................... 1,426
1,000 6.21%, 6/2/09....................... 938
2 10.00%, 9/15/09, Series C-79........ 2
1,512 8.50%, 1/1/10, Gold Pool #G10305.... 1,548
660 8.50%, 1/1/10, Gold Pool #E00356.... 676
115 7.00%, 8/1/10, Gold Pool #E20187.... 113
1,758 7.00%, 9/1/10, Gold Pool #E00393.... 1,733
1,468 7.50%, 7/1/11, Gold Pool #E20253.... 1,469
4,942 1.81%, 3/15/12, Series 1933, Class
SJ, IF, IO*....................... 233
5,042 7.00%, 9/1/12, Gold Pool #E00506.... 4,957
4,000 6.30%, 1/15/13, Series 2025, Class
PE................................ 3,660
6,225 7.00%, 2/15/13, Series 1942, Class
VD................................ 5,926
4,335 1.46%, 10/15/13, Series 1595, Class
S, IF, IO*........................ 81
222 6.50%, 12/1/13, Pool #C90043........ 213
800 6.00%, 12/15/13, Series 2102, Class
TC................................ 712
435 12.00%, 8/1/15, Pool #170269........ 477
6,000 6.50%, 12/15/15, Series 2054, Class
VB................................ 5,577
10,000 6.50%, 5/15/18, Series 2056, Class
TD................................ 9,395
380 4.00%, 3/25/19, Series 10, Class
F................................. 376
172 12.00%, 7/1/19, Pool #555238........ 188
1,030 9.50%, 7/15/19, Series 11, Class
D................................. 1,069
250 6.00%, 12/15/19, Series 1666, Class
E................................. 247
605 5.50%, 12/15/19, Series 1709, Class
C................................. 596
2,383 7.15%, 2/15/20, Series 1446, Class
G................................. 2,379
3,000 6.00%, 4/15/20, Series 1534, Class
F................................. 2,944
25 84.00%, 5/15/20, Series 41, Class I,
HB................................ 64
233 10.00%, 6/15/20, Series 47, Class
F................................. 242
274 8.00%, 7/1/20, Gold Pool #A01047.... 277
605 7.80%, 9/15/20, Series 46, Class
B................................. 606
373 9.00%, 1/1/06, Series 1807, Class
G................................. 384
518 9.50%, 1/15/21, Series 99, Class
Z................................. 534
1,616 9.36%, 1/15/21, Series 1362, Class
S, IF*............................ 1,669
8 8.60%, 1/15/21, Series 85, Class
C................................. 8
3,172 6.95%, 1/15/21, Series 114, Class
H................................. 3,091
129 15.13%, 5/15/21, Series 1084, Class
S,
IF*............................... 146
239 11.26%, 5/15/21, Series 1079, Class
S,
IF*............................... 254
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 184 7.64%, 5/15/21, Series 1084, Class
F*................................ $ 187
1,115 8.50%, 9/15/21, Series 1144, Class
KB................................ 1,144
9,440 6.50%, 10/15/21, Series 1590, Class
GA................................ 9,026
249 9.50%, 10/20/21, Series 62, Class
AE................................ 249
4 1169.85%, 11/15/21, Series 1172,
Class L, HB....................... 96
966 7.75%, 12/15/21, Series 1347, Class
HB................................ 969
524 7.00%, 12/20/21, Series 1956, Class
A................................. 520
15 367.02%, 1/15/22, Series 1196, Class
B, IF, IO*........................ 120
9,074 8.00%, 2/15/22, Series 1212, Class
IZ................................ 9,142
2,500 0.00%, 2/15/22, Series 1987, Class
W,
PO................................ 1,442
21 8.00%, 4/1/22, Gold Pool #D17768.... 21
1,100 7.00%, 5/15/22, Series 1250, Class
J................................. 1,051
5,000 7.50%, 7/25/22, Series FNRA G92-35,
Class E........................... 4,933
2,000 6.50%, 8/25/22, Series 8, Class J... 1,886
2,500 8.00%, 9/15/22, Series 1591, Class
FH*............................... 2,573
413 8.50%, 10/15/22, Series 1646, Class
MD, IF*........................... 420
971 6.18%, 10/15/22, Series 1646, Class
MB*............................... 934
3,500 0.00%, 11/15/22, Series 2002, Class
A,
PO................................ 2,485
858 7.34%, 12/15/22, Series 1483, Class
FB*............................... 862
3,000 7.37%, 1/15/23, Series 1603, Class
IF*............................... 3,035
293 6.08%, 2/15/23, Series 1470, Class
F*................................ 284
1,500 7.50%, 4/15/23, Series 1491, Class
I................................. 1,463
1,500 5.84%, 4/15/23, Series 1672, Class
FB*............................... 1,359
4 558.00%, 5/15/23, Series 204, Class
E, IF, IO*........................ 42
921 7.02%, 5/15/23, Series 1614, Class
VB, IF*........................... 756
181 4.45%, 5/15/23, Series 1694, Class
SE,
IF*............................... 166
968 1.04%, 5/15/23, Series 1592, Class
TB, IF*........................... 652
1,586 7.21%, 6/15/23, Series 1633, Class
SB, IF*........................... 1,429
2,700 7.00%, 6/15/23, Series 1927, Class
PD................................ 2,661
2,500 6.61%, 6/15/23, Series 1608, Class
SD, IF*........................... 2,272
2,500 6.50%, 7/15/23, Series 1558, Class
D................................. 2,256
128 6.08%, 7/15/23, Series 1541, Class
TA*............................... 121
1,672 7.88%, 8/15/23, Series 1611, Class
JA*............................... 1,712
1,525 0.00%, 8/15/23, Series 1611, Class
JB,
IF*............................... 848
7,616 6.25%, 9/15/23, Series 1589, Class
Z................................. 6,609
</TABLE>
Continued
46
<PAGE> 49
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 161 1.25%, 9/15/23, Series 1583, Class
NS, IF*........................... $ 111
2,000 6.02%, 10/15/23, Series 1689, Class
SD, IF*........................... 1,871
1,976 5.54%, 10/15/23, Series 1859, Class
SB, IF, IO*....................... 280
169 8.50%, 11/15/23, Series 1619, Class
SD, IF*........................... 171
584 6.00%, 11/25/23, Series 1685, Class
Z................................. 505
906 6.25%, 11/25/23, Series 24, Class
ZE................................ 801
1,029 5.78%, 12/15/23, Series 1854, Class
SE, IF, IO*....................... 133
2,500 2.41%, 12/15/23, Series 1628, Class
S,
IF*............................... 1,584
302 7.08%, 2/15/24, Series 1675, Class
SC,
IF*............................... 276
556 5.00%, 2/15/24, Series 1686, Class
A................................. 519
2,274 0.00%, 2/15/24, Series 1700, Class
GA, PO............................ 1,713
3,388 8.25%, 3/15/24, Series 1750, Class
S, IF*............................ 2,953
2,190 5.79%, 3/15/24, Series 1689, Class
FC*............................... 1,898
1,907 0.81%, 4/25/24, Series G-29, Class
SD, IF, IO*....................... 48
1,021 8.00%, 8/1/24, Gold Pool #G00245.... 1,030
2,000 7.50%, 8/15/24, Series 1745, Class
D................................. 1,949
887 8.00%, 11/1/24, Gold Pool #C00376... 895
1,528 7.50%, 8/1/25, Gold Pool #C00414.... 1,514
1,500 7.50%, 2/15/26, Series 1935, Class
CB................................ 1,491
2,238 7.00%, 4/1/26, Gold Pool #C00452.... 2,167
1,014 6.85%, 7/1/26, Pool #785618......... 1,003
7,038 7.50%, 1/15/27, Series 1927, Class
PH................................ 6,982
4,739 6.00%, 5/15/27, Series 1981, Class
Z................................. 3,863
3,000 7.50%, 9/15/27, Series 87, Class
PE................................ 2,921
5,000 6.50%, 1/15/28, Series 2137, Class
TM................................ 4,737
6,426 7.00%, 3/15/28, Series 2038, Class
PN, IO............................ 1,272
10,000 6.50%, 6/15/28, Series 2063, Class
PG................................ 9,080
5,118 8.50%, 7/1/28, Gold Pool #G00981.... 5,235
4,000 7.00%, 10/15/28, Series 2089, Class
PJ, IO............................ 1,471
9,345 6.50%, 4/1/29, Gold Pool #C25557.... 8,827
----------
239,474
----------
Government National Mortgage Assoc. (9.9%):
8 10.00%, 1/15/01, Pool #145167....... 8
5 10.00%, 1/15/01, Pool #145328....... 5
1 9.00%, 6/15/01, Pool #161443........ 1
0 9.00%, 6/15/01, Pool #166985 (b).... 0
</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:
$ 0 9.00%, 6/15/01, Pool #164431 (b).... $ 0
6 8.50%, 6/15/01, Pool #137056........ 6
1 8.50%, 6/15/01, Pool #162447........ 1
7 6.50%, 6/15/01, Pool #849........... 6
4 6.50%, 6/15/01, Pool #1305.......... 4
1 9.00%, 7/15/01, Pool #155822........ 1
9 8.50%, 8/15/01, Pool #164207........ 9
1 9.00%, 9/15/01, Pool #177121........ 1
12 9.00%, 10/15/01, Pool #179852....... 12
2 9.00%, 10/15/01, Pool #185596....... 2
1 9.00%, 10/15/01, Pool #177634....... 1
14 9.00%, 11/15/01, Pool #191819....... 14
2 9.00%, 11/15/01, Pool #174365....... 2
1 8.50%, 11/15/01, Pool #183462....... 1
10 8.50%, 12/15/01, Pool #199837....... 10
2 8.50%, 12/15/01, Pool #182959....... 2
2 9.00%, 1/15/02, Pool #205001........ 2
13 8.00%, 3/15/02, Pool #205933........ 13
13 8.00%, 3/15/02, Pool #210065........ 13
14 8.50%, 5/15/02, Pool #213776........ 15
19 8.00%, 5/15/02, Pool #180296........ 19
7 8.00%, 5/15/02, Pool #203042........ 7
16 8.50%, 6/15/02, Pool #2297.......... 16
8 9.00%, 8/15/02, Pool #232424........ 8
5 9.00%, 10/15/02, Pool #246307....... 6
4 9.00%, 11/15/02, Pool #235553....... 4
1 9.00%, 6/15/03, Pool #247863........ 1
14 8.50%, 9/15/04, Pool #274390........ 14
24 9.00%, 10/15/04, Pool #281655....... 24
18 9.00%, 10/15/04, Pool #229506....... 18
31 8.50%, 10/15/04, Pool #277469....... 31
36 8.50%, 11/15/04, Pool #253471....... 37
40 9.00%, 5/15/05, Pool #288771........ 41
14 9.00%, 6/15/05, Pool #283904........ 15
28 9.00%, 8/15/05, Pool #297031........ 29
17 9.50%, 10/15/05, Pool #291846....... 18
5 9.00%, 10/15/05, Pool #292589....... 5
51 9.00%, 11/15/05, Pool #292610....... 52
14 9.00%, 11/15/05, Pool #299161....... 15
5 9.00%, 12/15/05, Pool #299569....... 6
27 7.50%, 2/15/06, Pool #7855.......... 27
50 8.50%, 4/15/06, Pool #307487........ 51
27 7.50%, 6/15/06, Pool #7855.......... 27
23 8.00%, 10/15/06, Pool #11503........ 24
22 8.00%, 1/15/07, Pool #14709......... 22
5 7.50%, 4/15/07, Pool #16991......... 5
123 7.50%, 5/15/07, Pool #329528........ 124
39 7.50%, 7/15/07, Pool #17316......... 39
97 7.50%, 8/15/07, Pool #19015......... 97
</TABLE>
Continued
47
<PAGE> 50
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 18 9.00%, 1/15/09, Pool #26076......... $ 19
72 9.00%, 4/15/09, Pool #30352......... 74
52 8.00%, 5/15/09, Pool #385676........ 53
2,589 6.50%, 7/15/09, Pool #780316........ 2,542
9 8.00%, 8/15/09, Pool #372143........ 9
24 9.50%, 10/15/09, Pool #36582........ 25
243 8.00%, 10/15/09, Pool #380639....... 247
787 7.50%, 2/15/12, Pool #393363........ 793
1,093 7.50%, 3/15/12, Pool #399163........ 1,101
1,019 7.50%, 3/15/12, Pool #441145........ 1,027
17 10.50%, 2/15/13, Pool #6507......... 18
1,000 7.00%, 7/16/13, Series 96-21, Class
J................................. 958
2 12.00%, 1/15/15, Pool #112920....... 2
36 9.00%, 8/15/16, Pool #164502........ 37
25 9.50%, 9/15/16, Pool #158201........ 26
25 9.00%, 9/15/16, Pool #179044........ 26
3 9.00%, 9/15/16, Pool #175362........ 3
18 9.00%, 12/15/16, Pool #198652....... 19
17 9.50%, 1/15/17, Pool #185619........ 18
81 8.50%, 1/15/17, Pool #203625........ 83
10 9.00%, 3/15/17, Pool #180330........ 10
4 8.50%, 3/15/17, Pool #196700........ 4
82 8.50%, 5/15/17, Pool #217536........ 84
5 8.50%, 6/15/17, Pool #188545........ 5
1,182 8.50%, 11/15/17, Pool #780086....... 1,218
84 9.00%, 7/15/18, Pool #226769........ 88
4 9.50%, 9/15/18, Pool #258627........ 4
13 9.50%, 12/15/18, Pool #229531....... 14
3 9.50%, 10/15/19, Pool #279630....... 3
919 12.00%, 11/15/19, Pool #780149...... 1,020
12 9.00%, 11/15/19, Pool #279649....... 12
62 9.50%, 2/15/20, Pool #284959........ 65
17 9.00%, 2/15/20, Pool #286315........ 18
24 9.50%, 9/15/20, Pool #292918........ 25
36 9.00%, 7/15/21, Pool #311256........ 38
90 8.00%, 4/15/22, Pool #325461........ 91
45 8.00%, 5/15/22, Pool #317346........ 46
27 8.00%, 5/15/22, Pool #320675........ 28
7 8.00%, 5/15/22, Pool #317358........ 7
192 8.00%, 7/15/22, Pool #183670........ 195
174 7.50%, 8/15/22, Pool #333881........ 173
923 8.00%, 9/15/22, Pool #297628........ 937
3,721 6.50%, 9/20/22, Series 98-23, Class
XI,
IO................................ 815
742 7.50%, 11/15/22, Pool #313110....... 741
1,052 7.00%, 8/15/23, Pool #352108........ 1,027
4,796 7.00%, 9/15/23, Pool #363030........ 4,684
</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:
$ 1,593 7.00%, 11/15/23, Pool #352022....... $ 1,556
6,435 6.50%, 1/15/24, Pool #366706........ 6,145
7,051 7.00%, 2/15/24, Pool #371281........ 6,883
2,485 0.00%, 2/20/24, Series 98-23, Class
AP, PO............................ 1,814
5,000 7.99%, 7/16/24, Series 94-4, Class
KQ................................ 5,045
1,000 7.49%, 7/16/24, Series 94-3, Class
PQ................................ 973
1,451 9.00%, 11/15/24, Pool #780029....... 1,508
356 8.50%, 3/20/25, Pool #1974.......... 363
1,713 8.50%, 4/20/25, Pool #1989.......... 1,748
2,177 8.50%, 5/20/25, Pool #2006.......... 2,221
7,886 8.05%, 6/16/25, Series 95-3, Class
DQ................................ 7,932
3,000 7.50%, 9/16/25, Series 95-7, Class
CQ................................ 2,960
1,000 7.50%, 9/17/25, Series 98-26, Class
K................................. 969
3,119 9.50%, 12/15/25, Pool #780965....... 3,265
441 8.00%, 12/20/25, Pool #2141......... 444
1,067 7.50%, 1/15/26, Pool #416874........ 1,062
1,077 7.50%, 3/15/26, Pool #422292........ 1,072
1,289 7.50%, 4/15/26, Pool #426059........ 1,283
4,804 7.50%, 4/18/26, Series 97-8, Class
PD................................ 4,691
698 8.00%, 6/20/26, Pool #2334.......... 703
750 8.00%, 7/15/26, Pool #426612........ 760
532 8.00%, 7/15/26, Pool #428509........ 539
8,000 7.50%, 8/16/26, Series 96-16, Class
E................................. 7,787
883 8.00%, 8/20/26, Pool #2270.......... 890
975 8.00%, 9/20/26, Pool #2285.......... 983
1,710 7.50%, 11/15/26, Pool #442119....... 1,702
683 8.00%, 11/20/26, Pool #2324......... 688
1,612 0.00%, 12/16/26, Series 99-15, Class
PE, PO............................ 1,350
2,970 7.50%, 7/15/27, Pool #411829........ 2,954
2,303 7.50%, 7/15/27, Pool #442119........ 2,291
2,028 8.00%, 10/20/27, Pool #2499......... 2,042
1,816 8.00%, 11/20/27, Pool #2512......... 1,828
930 8.00%, 12/20/27, Pool #2525......... 936
1,170 7.50%, 2/20/28, Pool #2549.......... 1,156
9,001 6.00%, 3/20/28, Pool #2562.......... 8,253
661 8.00%, 5/15/98, Pool #456883........ 669
2,139 8.00%, 6/20/28, Pool #002606........ 2,151
619 8.00%, 7/15/28, Pool #468066........ 626
1,023 7.50%, 7/15/23, Pool # 481915....... 1,017
1,304 8.50%, 8/15/28, Pool #468149........ 1,320
454 8.00%, 8/20/28, Pool #2633.......... 457
2,291 7.50%, 9/15/28, Pool #486537........ 2,278
9,442 6.50%, 9/15/28, Pool #468236........ 8,965
4,399 7.50%, 9/20/28, Pool #2646.......... 4,348
3,159 8.00%, 10/20/28, Pool #2661......... 3,177
</TABLE>
Continued
48
<PAGE> 51
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 9,464 6.00%, 11/15/28, Pool #466406....... $ 8,725
----------
139,872
----------
Total U.S. Government Agency Mortgages 631,753
----------
U.S. TREASURY OBLIGATIONS (23.5%):
U.S. Treasury Bonds (9.4%):
3,000 10.75%, 5/15/03..................... 3,338
750 10.75%, 8/15/05..................... 894
11,300 10.38%, 11/15/09.................... 12,953
850 11.75%, 2/15/10..................... 1,027
51,276 12.75%, 11/15/10.................... 65,714
15,660 10.38%, 11/15/12.................... 19,276
1,000 12.50%, 8/15/14..................... 1,419
20,000 11.75%, 11/15/14.................... 27,582
----------
132,203
----------
U.S. Treasury Inflation Protected Bonds (3.5%):
8,231 3.63%, 7/15/02...................... 8,179
40,737 3.38%, 1/15/07...................... 39,107
2,119 3.63%, 1/15/08...................... 2,055
----------
49,341
----------
U.S. Treasury Notes (10.1%):
17,600 8.75%, 8/15/00...................... 17,672
1,045 6.25%, 8/31/00...................... 1,046
1,500 5.75%, 10/31/00..................... 1,498
85 5.63%, 11/30/00..................... 85
60 7.75%, 2/15/01...................... 61
2,700 6.25%, 4/30/01...................... 2,696
2,500 8.00%, 5/15/01...................... 2,533
2,000 6.63%, 7/31/01...................... 2,004
3,300 7.50%, 11/15/01..................... 3,343
38,000 6.25%, 2/28/02...................... 37,868
3,110 6.63%, 3/31/02...................... 3,117
2,750 6.38%, 8/15/02...................... 2,747
39,000 6.25%, 8/31/02...................... 38,864
1,300 6.25%, 2/15/03...................... 1,297
100 5.75%, 4/30/03...................... 99
10,720 5.75%, 8/15/03...................... 10,539
5,000 7.25%, 5/15/04...................... 5,156
6,570 7.88%, 11/15/04..................... 6,956
2,500 6.50%, 8/15/05...................... 2,527
2,150 6.13%, 8/15/07...................... 2,136
----------
142,244
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS (0.5%):
$ 3,300 2/15/01............................. $ 3,176
2,250 8/15/01............................. 2,095
2,500 11/15/09............................ 1,383
----------
6,654
----------
Total U.S. Treasury Obligations 330,442
----------
INVESTMENT COMPANIES (4.0%):
55,961 One Group Prime Money Market Fund,
Class I........................... 55,961
----------
Total Investment Companies 55,961
----------
REPURCHASE AGREEMENTS (4.8%):
$67,191 State Street Bank and Trust, 6.45%,
7/3/00, (Collateralized by $69,160
various U.S. Government
securities, 5.13% - 7.62%,
2/13/04 - 1/12/10, market value
$68,543).......................... 67,191
----------
Total Repurchase Agreements 67,191
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (18.5%):
Master Notes (2.7%):
12,672 Bear Stearns, 7.40%, 7/3/00*........ 12,672
3,802 Danaher Corp., 7.31%, 7/3/00*....... 3,802
7,350 General Mills, 6.83%, 7/3/00*....... 7,350
11,405 Lehman Brothers, 7.44%, 7/3/00*..... 11,405
2,661 NationsBanc, 7.33%, 7/3/00*......... 2,661
----------
37,890
----------
Put Bonds (8.7%):
6,336 Associates Corp., 7.00%, 9/17/01*... 6,409
8,871 Bank of America, 6.32%, 7/5/01*..... 8,972
5,069 Caterpillar Finance, 7.05%,
5/1/01*........................... 5,069
6,336 Chase Manhattan, 7.02%, 5/4/01*..... 6,336
6,336 Chase Manhattan, 7.11%, 5/6/02*..... 6,336
6,336 Ford Motor Credit, 6.99%,
11/27/00*......................... 6,402
6,336 GMAC, 7.07%, 5/30/01*............... 6,336
6,336 GMAC, 7.08%, 4/30/01*............... 6,336
6,336 Goldman Sachs, 7.05%, 11/19/01*..... 6,336
9,504 Jackson National, 7.50%, 4/15/01*... 9,504
6,336 JP Morgan and Co., 7.01%, 5/4/01*... 6,336
6,336 Lehman Brothers, 6.80%, 6/1/01*..... 6,360
2,534 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 2,534
6,336 Merrill Lynch, 7.16%, 5/6/02*....... 6,336
6,336 Salomon Smith Barney, 6.84%,
4/12/01*.......................... 6,336
6,336 Sigma Finance, Inc., 6.91%,
5/15/01*.......................... 6,336
5,069 Sigma Finance, Inc., 7.31%,
2/2/01*........................... 5,069
8,871 SPARCC, 6.65%, 9/25/00*............. 8,871
6,336 U.S. Bancorp, 6.78%, 5/8/02*........ 6,336
----------
122,550
----------
</TABLE>
Continued
49
<PAGE> 52
One Group Mutual Funds
Intermediate Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements (7.1%):
$31,681 Goldman Sachs, 7.15%, 7/3/00
(Collateralized by $33,526 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $33,376).... $ 31,681
17,741 Goldman Sachs, 7.21%, 7/3/00
(Collateralized by $19,928 various
Corporate Bonds, 5.20% - 9.45%,
3/19/01 - 6/1/37, market value
$19,297).......................... 17,741
5,746 Lehman Brothers, 7.18%, 7/3/00
(Collateralized by $6,034 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $5,919).... 5,746
19,009 Paine Webber, 7.27%, 7/3/00,
(Collateralized by $20,242 various
Corporate Bonds, 6.50% - 9.63%,
6/1/01 - 6/15/25, market value
$19,960).......................... 19,009
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$25,345 Salomon Smith Barney, 7.17%, 7/3/00,
(Collateralized by $26,715 various
Commercial Paper, 0.00%,
7/6/00 - 10/3/00, market value
$26,612).......................... $ 25,345
----------
99,522
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 259,962
----------
Total (Cost $1,708,316) (a) $1,664,907
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,407,240.
(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 $1,497. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 4,874
Unrealized depreciation...................... (49,780)
--------
Net unrealized appreciation (depreciation)... $(44,906)
========
</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 $45,311 or 3.22% 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 Investments is the rate in effect as
of June 30, 2000.
See notes to financial statements.
50
<PAGE> 53
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES (6.0%):
Banking, Finance & Insurance (6.0%):
$ 5,000 Americredit Automobile Receivables
Trust, Series 99-C, Class A3,
6.84%, 10/5/03.................... $ 4,981
1,701 Arcadia Automobile Receivables
Trust, Series 99-C, Class A1,
6.25%, 9/15/02.................... 1,698
2,342 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................... 2,334
2,500 Arcadia Automobile Receivables
Trust, Series 99-B, Class A3,
6.30%, 7/15/03.................... 2,474
5,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03................... 4,925
3,600 Arcadia Automobile Receivables
Trust, Series 98-A, Class AY,
6.00%, 11/15/03................... 3,539
1,450 Arcadia Automobile Receivables
Trust, Series 99-C, Class A2,
6.90%, 12/15/03................... 1,442
7,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................... 6,904
8,850 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............... 8,762
8,000 First Security Auto Owner Trust,
Series 00-1, Class A3, 7.30%,
7/15/04........................... 8,019
3,000 Greentree Financial Corp., Series
95-4, Class A6, 7.30%, 7/15/25.... 2,922
1,833 Greentree Financial Corp., Series
95-6, Class A4, 7.00%, 9/15/26.... 1,833
4,472 Merrill Lynch MBS, Inc., Series
144-S, 7.43%, 7/25/24............. 4,291
1,383 Olympic Automobile Receivables
Trust, Series 96-C, Class A4,
6.80%, 3/15/02.................... 1,383
3,500 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................... 3,500
1,200 Onyx Acceptance Auto Trust, Series
97-C, Class A4, 6.76%, 5/15/04.... 1,193
159 Onyx Acceptance Grantor Trust,
Series 96-1, Class A, 5.40%,
5/15/01........................... 159
1,500 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03........................... 1,478
1,839 Onyx Acceptance Grantor Trust,
Series 97-1, Class A, 6.55%,
9/15/03........................... 1,836
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,550 Onyx Acceptance Grantor Trust,
Series 00-B, Class A4, 7.38%,
8/15/05........................... $ 1,562
2,900 Providian Master Trust, Series 99-2,
Class A, 6.60%, 4/16/07........... 2,869
733 Sears Credit Account Master Trust,
Series 95-3, Class A, 7.00%,
10/15/04.......................... 734
2,800 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05........................... 2,778
1,800 Standard Credit Card Master Trust,
Series 94-2, Class A, 7.25%,
4/7/08............................ 1,790
10,170 Student Loan Marketing Association,
Series 99-1, Class A1T, 6.71%,
4/25/08*.......................... 10,155
43 Union Acceptance Corp., Series 97-D,
Class A3, 6.26%, 2/8/02........... 43
304 Union Acceptance Corp., Series 98-A,
Class A3, 6.05%, 6/10/02.......... 304
396 WFS Financial Owner Trust, Series
97-B, Class A4, 6.40%, 7/20/02.... 396
6,000 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03.... 5,928
930 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%, 12/20/03... 927
14,000 WFS Financial Owner Trust, Series
99-C, Class A2, 6.92%, 1/20/04.... 13,967
2,000 WFS Financial Owner Trust, Series
99-C, Class A3, 7.07%, 10/20/04... 1,995
2,599 World Omni Automobile Lease Secured
Trust, Series 97-A, Class A4,
6.90%, 6/25/03.................... 2,600
980 World Omni Automobile Lease Secured
Trust, Series 97-B, Class A3,
6.18%, 11/25/03................... 980
----------
Total Asset Backed Securities 110,701
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (6.1%):
Banking, Finance & Insurance (6.1%):
4,136 BA Mortgage Securities, Inc., Series
98-6, Class A2, 6.25%, 12/26/28... 3,847
</TABLE>
Continued
51
<PAGE> 54
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,187 Chase Mortgage Finance Corp., Series
94-E, Class A6B, 5.96%, 4/25/10,
IF*............................... $ 1,135
1,562 Citicorp Mortgage Securities, Series
97-2, Class A8, 7.25%, 5/25/27.... 1,557
130 Collateralized Mortgage Obligation
Trust, Series 16, Class Q, 11.25%,
3/20/18, IF*...................... 128
4,243 Countrywide Funding Corp., Series
93-11, Class A11, 5.92%, 2/25/09,
IF*............................... 3,776
4,423 Countrywide Funding Corp., Series
93-8, Class A9, 7.81%,
12/25/23*......................... 4,489
2,200 Countrywide Home Loans, Series 98-2,
Class A2, 6.25%, 3/25/28.......... 1,950
1,258 Countrywide Home Loans, Series
98-19, Class A12, 1.04%, 12/25/28,
IF*............................... 543
6,727 Countrywide Home Loans, Series
99-12, Class A1, 7.50%,
11/25/29.......................... 6,683
1,068 First Boston Mortgage Securities
Corp., Series C, Class IO, 10.97%,
4/25/17, IO....................... 284
1,068 First Boston Mortgage Securities
Corp., Series C, Class PO, 0.00%,
4/25/17, PO....................... 830
1,800 First Union Residential
Securitization Trust, Series 98-1,
Class SA3, 7.00%, 4/25/25......... 1,675
1,141 GE Capital Mortgage Services, Inc.,
Series 96-10, Class A1, 6.75%,
6/25/11........................... 1,137
1,250 GE Capital Mortgage Services, Inc.,
Series 94-3, Class A8, 6.50%,
1/25/24........................... 1,164
1,399 GE Capital Mortgage Services, Inc.,
Series 98-25, Class A15, 3.90%,
12/25/28, IF*..................... 681
4,053 GE Capital Mortgage Services, Inc.,
Series 99-13, Class A4, 1.21%,
7/25/29, IF*...................... 1,761
1,156 Homeside Mortgage Securities, Inc.,
Series 98-1, Class A8, 8.50%,
2/25/28........................... 1,168
1 Morgan Stanley Mortgage Trust,
Series 35, Class 2, 7136.00%,
4/20/21, HB, IF*.................. 156
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 2 Morgan Stanley Mortgage Trust,
Series 37, Class 2, 7136.00%,
7/20/21, HB, IF*.................. $ 186
219 Morgan Stanley Mortgage Trust,
Series 39, Class 3, 0.00%,
12/20/21, PO...................... 173
3,647 Norwest Asset Securities Corp.,
Series 97-18, Class A1, 6.75%,
12/25/27.......................... 3,507
3,500 Norwest Asset Securities Corp.,
Series 98-4, Class 2A4, 6.75%,
2/25/28........................... 3,247
1,481 Norwest Asset Securities Corp.,
Series 98-9, Class A1, 6.50%,
3/25/28........................... 1,409
1,716 Norwest Asset Securities Corp.,
Series 99-2, Class A1, 6.50%,
2/25/29........................... 1,619
1,739 Norwest Asset Securities Corp.,
Series 99-4, Class A1, 6.50%,
3/26/29........................... 1,637
532 Norwest Asset Securities Corp.,
Series 99-12, Class A1, 6.25%,
5/25/29........................... 503
12,919 Norwest Asset Securities Corp.,
Series 99-24, Class A6, 7.00%,
11/25/29.......................... 12,206
285 Paine Webber Trust, Series H, Class
4, 8.75%, 4/1/18.................. 293
1,246 Paine Webber Trust, Series P, Class
4, 8.50%, 8/1/19.................. 1,272
2,000 PNC Mortgage Securities Corp.,
Series 98-1, Class 2A10, 6.50%,
2/25/28........................... 1,777
4,060 PNC Mortgage Securities Corp.,
Series 98-10, Class 1A8, 6.50%,
12/25/28.......................... 3,827
705 PNC Mortgage Securities Corp.,
Series 98-8, Class 1A11, 6.75%,
8/25/29........................... 651
3,808 Prudential Home Mortgage Securities,
Series 93-39, Class A13, 4.48%,
10/25/08*......................... 3,137
10,740 Prudential Home Mortgage Securities,
Series 93-28, Class A7, 7.38%,
8/25/23........................... 10,715
2,007 Prudential Home Mortgage Securities,
Series 93-47, Class A9, 6.60%,
10/25/08, IF*..................... 1,612
4,500 Residential Accredit Loans, Inc.,
Series 96-QS3, Class AI11, 7.75%,
6/25/26........................... 4,456
</TABLE>
Continued
52
<PAGE> 55
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 1,917 Residential Asset Securitization
Trust, Series 97-A1, Class A3,
7.38%, 3/25/27.................... $ 1,911
2,185 Residential Asset Securitization
Trust, Series 98-A4, Class IA2,
6.75%, 5/25/28.................... 2,168
7,607 Residential Funding Mortgage
Securities, Inc., Series 94-S8,
Class A6, 6.00%, 3/25/09.......... 7,296
1,698 Residential Funding Mortgage
Securities, Inc., Series 98-S9,
Class 1A1, 6.50%, 4/25/13......... 1,632
2,028 Residential Funding Mortgage
Securities, Inc., Series 93-S45,
Class A10, 8.00%, 12/25/23........ 2,033
2,086 Residential Funding Mortgage
Securities, Inc., Series 97-S15,
Class A1, 7.00%, 10/25/27......... 2,074
2,500 Residential Funding Mortgage
Securities, Inc., Series 98-S10,
Class A6, 6.75%, 4/25/28.......... 2,377
490 Rural Housing Trust, Series
87-1,Class 3B, 7.33%, 4/1/26...... 488
697 Securitized Asset Sales, Inc.,
Series 94-A, Class A3, 6.91%,
3/25/24........................... 690
761 Securitized Asset Sales, Inc.,
Series 94-5, Class A3, 7.00%,
7/25/24........................... 757
4,500 Structured Asset Mortgage
Investments, Series 98-8, Class
2A11, 6.75%, 7/25/28.............. 4,186
2,800 Vendee Mortgage Trust, Series 95-2B,
Class 2D, 7.50%, 10/15/17......... 2,803
----------
Total Collateralized Mortgage Obligations 113,606
----------
CORPORATE BONDS (6.3%):
Automotive (0.1%):
2,000 Daimler Chrysler, 7.75%, 5/27/03.... 2,016
----------
Banking, Finance & Insurance (4.0%):
2,000 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05........................... 1,983
1,572 African Development Bank, 9.30%,
7/1/00............................ 1,572
1,500 American RE Corp., Series B, 7.45%,
12/15/26.......................... 1,377
1,750 Associates Corp., 5.75%, 11/1/03.... 1,655
2,625 Associates Corp., 8.55%, 7/15/09.... 2,708
3,085 Associates Corp., 8.15%, 8/1/09..... 3,105
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 2,500 Associates Corp., NA, 7.95%,
8/15/10........................... $ 2,475
5,000 Bank of America Corp., 7.80%,
2/15/10........................... 4,982
1,900 Bellsouth Capital Funding, 7.75%,
2/15/10........................... 1,902
5,500 Boeing Capital Corp., 6.36%,
7/15/05........................... 5,273
2,000 Chase Manhattan Corp., 9.75%,
11/1/01........................... 2,063
2,500 Citicorp, 8.00%, 2/1/03............. 2,530
4,000 Ford Motor Credit Co., 8.20%,
2/15/02........................... 4,048
7,000 Ford Motor Credit Co., 7.38%,
10/28/09.......................... 6,790
5,500 GMAC, 5.75%, 11/10/03............... 5,221
3,000 GMAC, 6.85%, 6/17/04................ 2,936
2,000 Goldman Sachs Group LP, 6.25%,
2/1/03 (b)........................ 1,935
1,000 Household Finance Corp., 7.20%,
7/15/06........................... 965
5,670 Household Finance Corp., 6.50%,
11/15/08.......................... 5,151
2,000 Household Finance Corp., 5.88%,
2/1/09............................ 1,740
2,700 Huntington National Bank, 8.00%,
4/1/10............................ 2,680
4,600 National Westminister Bank, PLC.,
7.38%, 10/1/09.................... 4,477
4,000 USAA Capital Corp., 7.05%,
11/8/06 (b)....................... 3,892
2,020 Wells Fargo Co., 6.38%, 9/15/02..... 1,984
----------
73,444
----------
Electric Utility (0.1%):
2,500 WPS Resources Co., 7.00%, 11/1/09... 2,405
----------
Governments (Foreign) (0.8%):
1,900 Household Netherlands BV, 6.20%,
12/1/03........................... 1,830
2,000 Kingdom of Belgium, 9.20%,
6/28/10........................... 2,270
4,400 Ontario Province of Canada, Senior
Unsubordinated Debenture, 7.38%,
1/27/03........................... 4,423
2,515 Province of Quebec, 9.13%,
8/22/01........................... 2,567
2,500 Province of Quebec, 6.50%,
1/17/06........................... 2,404
1,000 Province of Quebec, 6.29%, 3/6/26... 976
----------
14,470
----------
Industrial Goods & Services (0.9%):
1,730 Boeing Co., 7.95%, 8/15/24.......... 1,782
4,000 Case Corp., 6.25%, 12/1/03.......... 3,759
1,800 Dayton Hudson Corp., 7.88%,
6/15/23........................... 1,724
2,695 General Motors Corp., 8.80%,
3/1/21............................ 2,947
1,500 Monsanto Co., 8.20%, 4/15/25........ 1,465
1,500 Xerox Corp., 6.25%, 11/15/26........ 1,408
</TABLE>
Continued
53
<PAGE> 56
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 4,000 Xerox Corp., 5.55%, 7/22/37......... $ 3,996
----------
17,081
----------
Telecommunications (0.3%):
3,500 Bellsouth Telecommunications, 6.00%,
6/15/02........................... 3,423
2,000 Deutsche Telekom, 8.00%, 6/15/10.... 2,020
----------
5,443
----------
Transportation & Shipping (0.1%):
1,737 Regional Jet Equipment Trust, 7.77%,
9/5/04 (b)........................ 1,755
----------
Total Corporate Bonds 116,614
----------
U.S. GOVERNMENT AGENCY MORTGAGES (46.5%):
Fannie Mae (21.0%):
2 758.75%, 1/25/06, Series 91-4, Class
N, HB............................. 32
2 1008.00%, 4/25/06, Series 91-33,
Class J, HB*...................... 41
576 6.00%, 8/25/06, Series 93-188, Class
WA, IO............................ 8
1,184 2.34%, 8/25/06, Series 93-8, Class
SB, IF, IO*....................... 18
1,505 0.00%, 9/25/06, Series 96-46, Class
PE, PO............................ 1,261
1,000 7.50%, 9/25/07, Series 92-135, Class
LC................................ 994
492 7.52%, 11/25/07, Series 93-174,
Class SB, IF*..................... 479
3,854 0.00%, 2/25/08, Series 96-24, Class
K, PO............................. 3,262
5,000 6.50%, 4/25/08, Series 99-45D, Class
TA................................ 4,974
8,279 7.66%, 5/25/08, Series 93-55, Class
FA*............................... 8,491
3,970 7.41%, 5/25/08, Series 93-59, Class
FA*............................... 4,010
2,442 5.98%, 5/25/08, Series 93-72, Class
F*................................ 2,359
1,157 5.88%, 5/25/08, Series 93-63, Class
FA*............................... 1,115
956 5.93%, 6/25/08, Series 93-107, Class
F*................................ 915
2,500 9.06%, 7/25/08, Series 93-238, Class
SB, IF*........................... 2,565
2,748 8.86%, 8/25/08, Series 93-134, Class
SA, IF*........................... 2,727
753 6.03%, 8/25/08, Series 93-129, Class
FB*............................... 713
877 5.66%, 8/25/08, Series 93-209, Class
KB................................ 853
937 4.74%, 8/25/08, Series 93-209, Class
SG, IF*........................... 807
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,093 9.25%, 9/25/08, Series 93-186, Class
SA, IF*........................... $ 2,149
2,749 8.19%, 9/25/08, Series 93-175, Class
S, IF*............................ 2,825
3,306 7.52%, 9/25/08, Series 93-164, Class
SC, IF*........................... 3,108
2,000 6.03%, 9/25/08, Series 93-175, Class
FE*............................... 1,911
610 5.78%, 9/25/08, Series 93-170, Class
FA*............................... 596
2,491 0.00%, 9/25/08, Series 96-20, Class
L, PO............................. 1,759
6,599 0.00%, 9/25/08, Series 96-39, Class
J, PO............................. 4,865
2,306 9.25%, 10/25/08, Series 93-196,
Class SB, IF*..................... 2,398
4,118 5.98%, 10/25/08, Series 93-196,
Class FA*......................... 3,960
1,700 4.43%, 10/25/08, Series 93-197,
Class SB, IF*..................... 1,361
5,800 0.00%, 10/25/08, Series 96-24, Class
B, PO............................. 3,874
171 256.00%, 11/1/08, Series K, Class 2,
HB................................ 975
973 9.50%, 12/25/08, Series 93-221,
Class SE*......................... 994
2,000 7.76%, 12/25/08, Series 93-221,
Class FH*......................... 2,048
158 6.00%, 12/25/08, Series 93-214,
Class L........................... 157
2,500 5.70%, 12/25/08, Series 93-233,
Class SB, IF*..................... 2,176
4,000 0.00%, 12/25/08, Series 98-27, Class
B, PO............................. 2,675
716 6.41%, 1/25/09, Series 94-12, Class
SB, IF*........................... 666
106 6.18%, 1/25/09, Series 94-12, Class
FB*............................... 102
901 6.13%, 1/25/09, Series 94-12, Class
FC*............................... 852
1,391 6.50%, 2/25/09, Series 94-13, Class
SK, IF*........................... 1,226
2,465 10.89%, 3/25/09, Series 94-34, Class
S, IF*............................ 2,664
3,344 7.63%, 3/25/09, Series 94-32, Class
S, IF*............................ 3,244
332 7.06%, 3/25/09, Series 94-33, Class
F*................................ 331
2,481 6.50%, 3/25/09, Series 95-13, Class
B................................. 2,381
3,945 6.08%, 3/25/09, Series 94-33, Class
FA*............................... 3,809
</TABLE>
Continued
54
<PAGE> 57
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 1,542 5.98%, 3/25/09, Series 94-32, Class
F*................................ $ 1,477
2,628 0.00%, 3/25/09, Series 96-24,
Class E, PO....................... 1,745
3,750 7.15%, 10/17/09, Series 97-M1,
Class B*.......................... 3,720
4,381 7.00%, 5/18/12, Series 97-51,
Class PM, IO...................... 814
2,088 1.96%, 11/25/13, Series 93-220,
Class SD, IF*..................... 1,645
5,000 6.50%, 6/25/14, Series 98-59,
Class VB.......................... 4,653
578 12.50%, 1/1/16, Pool #303306........ 648
1,050 7.06%, 5/25/16, Series 93-156,
Class FA*......................... 1,051
1,105 7.16%, 3/25/17, Series 96-27,
Class FA*......................... 1,107
94 7.00%, 4/1/17, Pool #44699.......... 91
380 10.00%, 9/1/17, Series 23, Class 2,
IO................................ 101
214 9.25%, 4/25/18, Series 88-7, Class
Z................................. 223
1,692 9.00%, 5/1/18, Pool #426836......... 1,750
3,484 5.31%, 6/25/18, Series 92-206,
Class FA*......................... 3,256
1,447 9.85%, 11/1/18, Series 1997-77,
Class M........................... 1,524
299 5.97%, 1/1/19, Pool #70226*......... 292
2,353 6.43%, 10/25/23, Series 93-178,
Class SD, IF*..................... 2,300
49 10.50%, 3/25/19, Series 50, Class 2,
IO................................ 12
885 7.28%, 3/1/19, Pool #116612*........ 899
549 6.50%, 6/25/19, Series G93-19, Class
K................................. 547
1,737 8.00%, 10/25/19, Series 89-70, Class
G................................. 1,752
1,250 2.53%, 10/25/19, Series 93-156,
Class SD, IF*..................... 982
59 0.00%, 10/25/19, Series 89-73, Class
C, PO............................. 58
762 9.40%, 11/25/19, Series 89-78, Class
H................................. 797
1,276 9.00%, 11/25/19, Series 89-89, Class
H................................. 1,326
1,051 8.50%, 11/25/19, Series 89-83, Class
H................................. 1,075
938 8.80%, 1/25/20, Series 90-1, Class
D................................. 960
3,505 0.00%, 5/18/20, Series 97-40,
Class PC, PO...................... 3,036
435 9.50%, 6/25/20, Series 90-63, Class
H................................. 452
240 5.50%, 6/25/20, Series 90-60, Class
K................................. 223
7 1118.04%, 8/25/20, Series 90-95,
Class J, HB....................... 203
10 504.00%, 8/25/20, Series 90-94,
Class H, HB....................... 155
1,190 6.50%, 8/25/20, Series 90-102, Class
J................................. 1,138
485 5.50%, 8/25/20, Series 90-93, Class
G................................. 450
2,531 9.00%, 10/25/20, Series 90-120,
Class H........................... 2,618
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 198 6.00%, 10/25/20, Series 92-204,
Class B........................... $ 197
256 11.62%, 11/25/20, Series 90-134,
Class SC, IF*..................... 280
11 652.15%, 12/25/20, Series 90-140,
Class K, HB....................... 203
11,461 6.50%, 12/25/20, Series 97-85,
Class L, IO*...................... 882
1,030 0.01%, 1/25/21, Series 93-165,
Class SX, IF*..................... 795
2 907.20%, 2/25/21, Series 91-7,
Class K, HB*...................... 46
1,210 0.00%, 2/25/21, Series 92-23,
Class C, PO....................... 1,190
983 9.00%, 3/25/21, Series 91-82,
Class PM.......................... 989
1,352 5.00%, 3/25/21, Series 91-24, Class
Z................................. 1,233
40 374.40%, 6/25/21, Series G-17, Class
S, HB, IF*........................ 387
850 8.50%, 6/25/21, Series 91-144,
Class PZ.......................... 854
2,482 8.00%, 9/25/21, Series G92-31,
Class W........................... 2,492
589 7.50%, 9/25/21, Series 91-126,
Class ZB.......................... 586
2,057 8.75%, 10/25/21, Series G-35,
Class M........................... 2,117
3,374 7.00%, 10/25/21, Series 92-124,
Class PJ.......................... 3,319
193 6.50%, 2/25/09, Series 94-30, Class
LA................................ 191
5,720 0.00%, 10/25/21, Series 98-57, Class
L, PO............................. 4,216
1,600 7.88%, 11/25/21, Series 92-215,
Class PM.......................... 1,612
4,500 5.00%, 11/25/21, Series G92-66,
Class JB.......................... 4,076
844 11.25%, 12/25/21, Series G-51,
Class SA, IF*..................... 932
741 6.00%, 12/25/21, Series G92-59,
Class C........................... 729
1,825 10.25%, 1/25/22, Series 93-155,
Class SB, IF*..................... 1,938
1,500 7.46%, 1/25/22, Series 93-79,
Class FE*......................... 1,525
895 7.39%, 1/25/22, Series 93-165,
Class SC, IF*..................... 821
2,236 7.00%, 1/25/22, Series G92-15,
Class Z........................... 2,127
2,000 6.20%, 3/25/22, Series 93-189,
Class SH, IF*..................... 1,878
</TABLE>
Continued
55
<PAGE> 58
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 4,075 5.63%, 4/25/22, Series 92-143,
Class FI*......................... $ 3,978
3 3614.40%, 5/25/22, Series G92-27,
Class SQ, HB, IF*................. 223
200 7.50%, 6/25/22, Series 92-101, Class
J................................. 196
11 1184.78%, 7/25/22, Series G92-35,
Class G, IO....................... 420
9,000 7.50%, 7/25/22, Series G92-35,
Class E........................... 8,879
1,655 7.00%, 7/25/22, Series G92-42,
Class Z........................... 1,604
5,184 7.00%, 7/25/22, Series 93-103,
Class PN, IO*..................... 879
5,000 6.50%, 8/25/22, Series 96-59, Class
J................................. 4,751
6,000 7.75%, 9/25/22, Series 92-163,
Class M........................... 5,941
9,308 6.50%, 9/25/22, Series 93-185,
Class A, IO....................... 847
3,500 5.50%, 9/25/22, Series 92-143,
Class MA.......................... 3,091
5,000 0.00%, 9/25/22, Series 97-70,
Class PO, PO...................... 3,660
1,355 9.15%, 10/25/22, Series 92-201,
Class SB, IF*..................... 1,333
782 7.00%, 10/25/22, Series G92-61,
Class Z........................... 733
3,468 6.18%, 10/25/22, Series G92-61,
Class FJ*......................... 3,358
2,274 5.78%, 10/25/22, Series G92-59,
Class F*.......................... 2,166
7,331 7.00%, 11/25/22, Series 93-138,
Class JH, IO...................... 1,150
801 6.75%, 12/25/22, Series 93-46, Class
O................................. 763
1,600 6.74%, 12/25/22, Series X,
Class VO, IF*..................... 1,516
2,400 7.90%, 1/25/23, Series G93-1,
Class KA.......................... 2,408
584 5.75%, 1/25/23, Series 93-247,
Class AB.......................... 577
3 384.71%, 2/25/23, Series 93-12,
Class SB, IF, IO*................. 10
2,252 6.50%, 2/25/23, Series 93-5,
Class Z........................... 2,084
1,817 4.55%, 2/25/23, Series 98-35,
Class SV, IF*..................... 1,376
428 2.84%, 2/25/23, Series 93-12,
Class S, IF, IO*.................. 6
987 0.00%, 2/25/23, Series G93-12,
Class C, PO....................... 945
1,850 7.70%, 3/25/23, Series 93-21,
Class KA.......................... 1,824
1,484 6.50%, 3/25/23, Series G93-14, Class
J................................. 1,340
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,978 7.50%, 4/1/23, Series 218, Class 2,
IO................................ $ 911
157 5.50%, 4/25/23, Series 93-58, Class
J................................. 135
1,582 2.59%, 4/25/23, Series 93-44, Class
S, IF, IO*........................ 121
2,871 0.00%, 4/25/23, Series 98-4, Class
C, PO............................. 1,982
174 6.75%, 5/25/23, Series 93-94, Class
K................................. 165
379 6.50%, 5/25/23, Series 93-155,
Class LA.......................... 362
2,671 6.04%, 5/25/23, Series 93-94,
Class S, IF*...................... 1,952
2,675 5.19%, 5/25/23, Series 93-110,
Class S, IF*...................... 1,873
16,800 0.00%, 5/25/23, Series 93-146,
Class D, PO....................... 14,700
110 6.08%, 6/25/23, Series 93-160,
Class FE*......................... 106
12,475 0.99%, 5/25/23, Series 94-82,
Class SA, IF, IO*................. 242
21,500 0.00%, 6/25/23, Series 93-257,
Class C, PO....................... 13,001
737 2.67%, 7/25/23, Series 93-115,
Class SB, IF*..................... 489
1,730 2.24%, 7/25/23, Series 93-113, Class
S, IF, IO*........................ 50
3,000 0.00%, 7/25/23, Series 93-159, Class
PD, PO............................ 2,227
825 8.33%, 8/25/23, Series 93-113, Class
SE, IF*........................... 727
1,634 1.49%, 8/25/23, Series 93-139, Class
SG, IF*........................... 980
6,813 1.34%, 8/25/23, Series 94-36, Class
SG, IF, IO*....................... 265
425 0.73%, 8/25/23, Series G93-27, Class
SE*............................... 187
1,797 10.00%, 9/25/23, Series 93-187,
Class FB*......................... 2,001
239 10.00%, 9/25/23, Series 93-187,
Class SA, IF*..................... 242
1,370 9.00%, 9/25/23, Series 93-248, Class
FB*............................... 1,327
3,555 3.00%, 9/25/23, Series 93-193, Class
B................................. 3,245
2,187 2.34%, 9/25/23, Series 93-155, Class
SB, IF, IO*....................... 113
687 1.89%, 9/25/23, Series 93-178, Class
SE, IF*........................... 459
939 0.00%, 9/25/23, Series G93-32, Class
SA, IF*........................... 553
1,370 0.00%, 9/25/23, Series 93-248, Class
SB, IF*........................... 987
1,384 10.50%, 10/25/23, Series 93-179,
Class SC, IF*..................... 1,527
</TABLE>
Continued
56
<PAGE> 59
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 8,000 7.21%, 10/25/23, Series 93-199,
Class FA*......................... $ 8,046
86 6.08%, 10/25/23, Series 93-198,
Class FA*......................... 83
1,000 5.41%, 10/25/23, Series 93-189,
Class FB*......................... 861
1,228 0.00%, 10/25/23, Series 93-241,
Class PG, PO...................... 1,106
1,250 10.00%, 11/25/23, Series 93-206,
Class SD, IF*..................... 1,082
2,707 6.50%, 11/25/23, Series 95-19, Class
Z................................. 2,356
3,054 3.10%, 11/25/23, Series 97-20, Class
SA, IF*........................... 1,769
2,387 1.04%, 11/25/23, Series 93-207,
Class SC, IF*..................... 1,736
1,044 0.00%, 11/25/23, Series 94-8, Class
G, PO............................. 849
1,159 7.87%, 12/25/23, Series 93-247,
Class SU, IF*..................... 1,118
3,226 7.26%, 12/25/23, Series 93-230,
Class FA*......................... 3,170
745 7.08%, 12/25/23, Series 93-223,
Class SB, IF*..................... 703
3,000 6.75%, 12/25/23, Series 94-55, Class
G................................. 2,865
1,719 6.28%, 12/25/23, Series 93-223,
Class FB*......................... 1,656
2,409 1.25%, 12/25/23, Series 93-245,
Class SE, IF*..................... 1,547
4,697 0.00%, 12/25/23, Series 97-24,
Class PQ, PO...................... 3,415
6,349 9.77%, 12/26/23, Series 99-34,
Class FR*......................... 6,784
2,683 7.11%, 12/26/23, Series 99-34,
Class FV*......................... 2,610
3,194 0.00%, 12/26/23, Series 99-34,
Class SY, IF*..................... 1,576
1,113 7.00%, 1/1/24, Pool #50966.......... 1,081
2,403 0.00%, 1/25/24, Series 94-19,
Class S, IF*...................... 1,934
9,876 0.00%, 2/25/24, Series 99-16,
Class B, PO....................... 5,214
503 7.06%, 3/25/24, Series 94-39, Class
F*................................ 504
1,042 6.50%, 3/25/24, Series 95-18, Class
B................................. 1,004
194 5.05%, 3/25/24, Series 94-39,
Class S, IF*...................... 180
800 7.33%, 4/25/24, Series 94-63, Class
T, IF*............................ 628
1,617 7.00%, 11/17/24, Series G94-13,
Class ZB.......................... 1,539
1,598 8.80%, 1/25/25, Series G95-1, Class
C................................. 1,657
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 967 9.00%, 4/1/26, Pool #446278......... $ 1,001
7,875 7.50%, 8/18/26, Series 97-29, Class
PL, IO............................ 2,440
7,500 7.50%, 3/18/27, Series 97-22, Class
PI, IO............................ 1,627
27,961 1.84%, 3/25/27, Series 97-20, Class
IO, IO............................ 1,898
1,913 7.50%, 4/18/27, Series 97-27, Class
J................................. 1,879
5,500 7.50%, 4/20/27, Series 97-29, Class
J................................. 5,387
8,000 7.50%, 5/20/27, Series 97-39,
Class PD.......................... 7,691
3,113 6.22%, 9/1/27, Pool #54844*......... 3,031
19,686 7.00%, 11/18/27, Series 97-81, Class
PI, IO............................ 4,992
1,874 9.50%, 7/1/28, Pool #457268......... 1,951
6,079 6.00%, 12/1/28, Pool #454390........ 5,574
9,256 6.00%, 1/1/29, Pool #252211......... 8,485
2,553 7.00%, 2/25/29, Series 99-65, Class
ZB................................ 2,130
3,352 6.26%, 3/1/29, Pool #303532*........ 3,263
2,378 5.50%, 4/18/29, Series 99-18, Class
Z................................. 1,621
4,443 7.30%, 2/20/30, Series 00-8, Class
F*................................ 4,435
----------
388,890
----------
Freddie Mac (19.1%):
40 7.50%, 4/1/02, Pool #200070......... 39
15,965 0.96%, 9/15/04, Series 1982, Class
SB, IF, IO*....................... 207
9 1008.00%, 5/15/06, Series 1072,
Class A, HB*...................... 153
4 1008.00%, 6/15/06, Series 1098,
Class M, HB*...................... 74
1,235 7.50%, 2/15/07, Series 1322, Class
G................................. 1,241
1,647 4.50%, 3/15/07, Series 1295, Class
JB................................ 1,565
6 981.86%, 6/15/07, Series 1298, Class
L, IO............................. 136
269 5.50%, 10/15/07, Series 1640, Class
A................................. 265
261 2.24%, 10/15/07, Series 1389, Class
SA, IF*........................... 211
1,299 7.93%, 11/15/07, Series 1414, Class
LB, IF*........................... 1,269
471 5.73%, 11/15/07, Series 1414, Class
LA*............................... 454
3,364 2.31%, 2/15/08, Series 1465, Class
SA, IF, IO*....................... 87
184 6.00%, 4/15/08, Series 1531, Class
K................................. 182
286 5.50%, 4/15/08, Series 1489, Class
L................................. 279
1,123 0.00%, 4/15/08, Series 1854, Class
C, PO............................. 760
1,075 9.29%, 5/15/08, Series 1587, Class
SF, IF*........................... 1,109
1,287 8.50%, 5/15/08, Series 1606, Class
LC*............................... 1,316
</TABLE>
Continued
57
<PAGE> 60
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 110 7.76%, 5/15/08, Series 1506, Class
S, IF*............................ $ 106
530 6.73%, 5/15/08, Series 1506, Class
F*................................ 523
5,836 1.81%, 5/15/08, Series 1506, Class
SD, IF, IO*....................... 162
290 0.00%, 5/15/08, Series 1606, Class
LD, IF*........................... 239
1,892 0.00%, 5/15/08, Series 89, Class L,
PO................................ 1,489
1,999 8.50%, 6/15/08, Series 1539, Class
S, IF*............................ 1,996
1,622 5.68%, 7/15/08, Series 1544,
Class TA*......................... 1,595
2,983 8.00%, 8/15/08, Series 1575,
Class FB*......................... 3,048
227 7.52%, 8/15/08, Series 1561,
Class SC, IF*..................... 213
473 7.28%, 8/15/08, Series 1564,
Class SB, IF*..................... 469
1,299 6.14%, 8/15/08, Series 1564,
Class FB*......................... 1,230
1,000 6.03%, 8/15/08, Series 1563,
Class FA*......................... 956
1,479 4.49%, 8/15/08, Series 1565, Class
K, IF*............................ 1,207
3,243 0.00%, 8/15/08, Series 1900, Class
T, PO............................. 2,189
4,500 0.00%, 8/15/08, Series 1561, Class
TA, PO............................ 3,146
994 0.00%, 8/15/08, Series 1575, Class
SB, IF*........................... 750
497 6.00%, 9/15/08, Series 1586, Class
A................................. 480
2,239 1.22%, 9/15/08, Series 1580, Class
SC, IF*........................... 1,805
1,540 8.75%, 10/15/08, Series 1601, Class
S, IF*............................ 1,565
892 5.83%, 10/15/08, Series 1587,
Class FA*......................... 851
3,149 5.64%, 10/15/08, Series 1601, Class
SB, IF*........................... 2,930
1,807 0.00%, 10/15/08, Series 1946, Class
L, PO............................. 1,254
2,566 0.00%, 10/15/08, Series 1900, Class
I, PO............................. 1,818
5,873 0.00%, 10/15/08, Series 1967, Class
PC, PO............................ 4,081
2,951 5.34%, 11/15/08, Series 1604, Class
SH, IF*........................... 2,754
4,647 4.98%, 11/15/08, Series 1612, Class
SD, IF*........................... 3,860
2,750 4.87%, 11/15/08, Series 1604, Class
SA, IF*........................... 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:
$ 869 3.67%, 11/15/08, Series 1604, Class
SE, IF*........................... $ 781
2,500 8.51%, 12/15/08, Series 1625, Class
SD, IF*........................... 2,523
845 7.84%, 12/15/08, Series 1655,
Class F*.......................... 854
2,161 7.19%, 12/15/08, Series 1624,
Class FB*......................... 2,177
3,598 7.19%, 12/15/08, Series 1635,
Class O*.......................... 3,620
1,177 7.10%, 12/15/08, Series 1647,
Class SB, IF*..................... 1,103
419 6.18%, 12/15/08, Series 1647,
Class FB*......................... 404
1,794 5.39%, 12/15/08, Series 2017, Class
SE, IF*........................... 1,562
310 0.70%, 12/15/08, Series 1655, Class
SA, IF*........................... 248
3,016 0.00%, 12/15/08, Series 1948, Class
A, PO............................. 1,969
1,000 8.50%, 1/15/09, Series 1659, Class
SB, IF*........................... 1,002
1,998 6.40%, 2/15/09, Series 1679, Class
O................................. 1,905
1,000 5.74%, 2/15/09, Series 1796, Class
S, IF*............................ 863
1,608 0.00%, 2/15/09, Series 1679, Class
N, PO............................. 1,079
5,271 7.24%, 3/15/09, Series 1900, Class
FA*............................... 5,296
2,673 6.93%, 3/15/09, Series 1698, Class
SC, IF*........................... 2,576
2,525 7.49%, 4/15/09, Series 1716, Class
F*................................ 2,550
21,968 1.81%, 3/15/12, Series 1933, Class
SJ, IF, IO*....................... 1,034
5,300 6.30%, 1/15/13, Series 2025, Class
PE................................ 4,849
5,200 6.50%, 5/15/13, Series 2055, Class
OE................................ 4,912
1,472 7.00%, 10/15/13, Series 1595, Class
D................................. 1,406
1,762 6.76%, 10/15/13, Series 1607, Class
SA, IF*........................... 1,568
3,076 1.46%, 10/15/13, Series 1595, Class
S, IF, IO*........................ 57
5,000 6.50%, 3/15/14, Series 2135, Class
UK, IO*........................... 972
550 12.00%, 8/1/15, Pool #170269........ 604
8,000 6.50%, 12/15/15, Series 2054,
Class VB.......................... 7,436
26 7.50%, 7/1/16, Pool #274081......... 26
11,708 1.56%, 7/15/16, Series 1930, Class
SJ, IF, IO*....................... 474
34 7.50%, 4/1/17, Pool #289711......... 34
5,000 6.50%, 3/15/19, Series 2134, Class
PI, IO*........................... 1,129
</TABLE>
Continued
58
<PAGE> 61
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 380 4.00%, 3/25/19, Series 10, Class
F................................. $ 376
226 12.00%, 7/1/19, Pool #555238........ 247
2,377 9.50%, 7/15/19, Series 11, Class
D................................. 2,466
585 7.50%, 1/15/20, Series 1297, Class
H................................. 586
211 6.50%, 2/15/20, Series 1483, Class
E................................. 210
988 9.60%, 4/15/20, Series 23, Class
F................................. 1,021
860 9.50%, 4/15/20, Series 22, Class
C................................. 889
34 84.00%, 5/15/20, Series 41,
Class I, HB*...................... 85
233 10.00%, 6/15/20, Series 47, Class
F................................. 242
722 9.00%, 1/1/06, Series 1807, Class
G................................. 742
518 9.50%, 1/15/21, Series 99, Class
Z................................. 534
1,778 9.36%, 1/15/21, Series 1362, Class
S, IF*............................ 1,835
1 1066.21%, 2/15/21, Series 1045,
Class G, IO....................... 33
876 9.00%, 4/15/21, Series 1065, Class
J................................. 905
606 15.13%, 5/15/21, Series 1084, Class
S, IF*............................ 688
319 11.26%, 5/15/21, Series 1079, Class
S, IF*............................ 339
865 7.64%, 5/15/21, Series 1084, Class
F*................................ 877
2,687 6.50%, 5/15/21, Series 1602, Class
T................................. 2,538
1,254 4.91%, 5/15/21, Series 1602, Class
SP, IF*........................... 1,079
1,542 5.50%, 8/15/21, Series 1116, Class
I................................. 1,445
991 8.50%, 9/15/21, Series 1144, Class
KB................................ 1,017
5 1171.50%, 11/15/21, Series 1172,
Class L, HB....................... 111
4,169 7.50%, 11/15/21, Series 1378, Class
JZ................................ 4,052
797 7.00%, 3/15/21, Series 1706, Class
LA................................ 800
1,203 7.75%, 12/15/21, Series 1347,
Class HB.......................... 1,206
1,641 7.00%, 12/20/21, Series 1956,
Class A........................... 1,630
32 394.27%, 1/15/22, Series 1196, Class
B, IF, IO*........................ 260
4,826 8.00%, 2/15/22, Series 1212, Class
IZ................................ 4,863
5,000 0.00%, 2/15/22, Series 1987, Class
W, PO............................. 2,884
296 9.00%, 4/1/22, Series 134, Class B,
IO................................ 76
1,550 7.00%, 5/15/22, Series 1250, Class
J................................. 1,481
3,005 6.50%, 8/25/22, Series 8, Class J... 2,833
2,500 8.00%, 9/15/22, Series 1591,
Class FH*......................... 2,573
1,033 8.50%, 10/15/22, Series 1646, Class
MD, IF*........................... 1,050
1,346 6.95%, 10/15/22, Series 1577, Class
SH, IF*........................... 1,103
2,222 6.56%, 10/15/22, Series 1577, Class
SG, IF*........................... 1,784
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 1,116 6.18%, 10/15/22, Series 1646, Class
MB*............................... $ 1,073
8,800 0.00%, 11/15/22, Series 2002, Class
A, PO............................. 6,248
1,717 7.34%, 12/15/22, Series 1483, Class
FB*............................... 1,724
7,000 7.37%, 1/15/23, Series 1603, Class
IF*............................... 7,083
2,547 0.94%, 1/25/23, Series G-48, Class
BE, IF, IO*....................... 45
585 6.08%, 2/15/23, Series 1470, Class
F*................................ 569
7,000 7.84%, 4/15/23, Series 1498, Class
I*................................ 7,144
1,500 5.84%, 4/15/23, Series 1672,
Class FB*......................... 1,359
366 4.35%, 4/25/23, Series G-13, Class
SA, IF*........................... 335
11 558.00%, 5/15/23, Series 204, Class
E, IF, IO*........................ 131
557 7.59%, 5/15/23, Series 1669,
Class KE*......................... 557
1,197 7.02%, 5/15/23, Series 1614,
Class VB, IF*..................... 983
2,318 7.00%, 5/15/23, Series 1505,
Class Q........................... 2,190
7,000 5.00%, 5/15/23, Series 1798,
Class F........................... 5,413
258 4.45%, 5/15/23, Series 1694, Class
SE, IF*........................... 237
1,937 1.04%, 5/15/23, Series 1592, Class
TB, IF*........................... 1,305
3,468 7.89%, 6/15/23, Series 1532, Class
E*................................ 3,558
2,468 7.21%, 6/15/23, Series 1633, Class
SB, IF*........................... 2,222
1,392 6.61%, 6/15/23, Series 1608, Class
SD, IF*........................... 1,265
2,019 7.54%, 7/15/23, Series 1541, Class
M, IF*............................ 1,627
2,500 6.50%, 7/15/23, Series 1558, Class
D................................. 2,256
1,500 0.23%, 7/15/23, Series 1543, Class
JC, IF*........................... 789
2,100 7.88%, 8/15/23, Series 1611,
Class JA*......................... 2,150
1,283 6.58%, 8/15/23, Series 1570, Class
F*................................ 1,247
2,000 0.00%, 8/15/23, Series 1611, Class
JB, IF*........................... 1,112
2,928 10.00%, 9/15/23, Series 1584,
Class FB*......................... 3,262
15,835 6.25%, 9/15/23, Series 1589, Class
Z................................. 13,741
227 1.25%, 9/15/23, Series 1583, Class
NS, IF*........................... 156
2,500 7.00%, 9/25/23, Series 29, Class
J................................. 2,402
2,225 6.02%, 10/15/23, Series 1689, Class
SD, IF*........................... 2,081
</TABLE>
Continued
59
<PAGE> 62
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 1,429 6.00%, 10/15/23, Series 1602, Class
O................................. $ 1,378
4,714 5.54%, 10/15/23, Series 1859, Class
SB, IF, IO*....................... 667
281 8.50%, 11/15/23, Series 1619, Class
SD, IF*........................... 286
2,000 7.69%, 11/15/23, Series 1630,
Class FA*......................... 2,021
767 6.74%, 11/15/23, Series 1619, Class
SC, IF*........................... 708
3,652 6.00%, 11/25/23, Series 1685, Class
Z................................. 3,157
2,266 5.84%, 11/15/23, Series 1610, Class
SD, IF*........................... 1,761
1,279 10.13%, 12/15/23, Series 1633, Class
SE, IF*........................... 1,470
1,402 5.80%, 12/15/23, Series 1825, Class
C................................. 1,340
4,071 5.78%, 12/15/23, Series 1854, Class
SE, IF, IO*....................... 527
2,550 2.41%, 12/15/23, Series 1628, Class
S, IF*............................ 1,616
686 6.00%, 1/15/24, Series 1666, Class
SB, IF*........................... 621
4,648 10.00%, 2/15/24, Series 1671, Class
QC, IF*........................... 5,166
241 6.77%, 2/15/24, Series 1686, Class
SL, IF*........................... 228
1,536 4.19%, 2/15/24, Series 1686, Class
SH, IF*........................... 1,068
11,008 0.00%, 2/15/24, Series 1700, Class
GA, PO............................ 8,288
1,995 0.00%, 2/15/24, Series 1860, Class
PA, PO............................ 1,172
12,500 0.00%, 2/15/24, Series 1865, Class
D, PO............................. 7,317
3,388 8.25%, 3/15/24, Series 1750, Class
S, IF*............................ 2,953
4,292 5.79%, 3/15/24, Series 1689,
Class FC*......................... 3,721
1,911 5.64%, 3/15/24, Series 1709, Class
FA*............................... 1,739
743 1.13%, 3/15/24, Series 1689, Class
SA, IF*........................... 572
2,325 7.19%, 4/25/24, Series G-29, Class
FE*............................... 2,310
3,285 0.81%, 4/25/24, Series 29, Class SD,
IF, IO*........................... 83
103,068 0.60%, 4/25/24, Series 55, Class Gl,
IF, IO*........................... 1,287
1,060 10.00%, 5/15/24, Series 1987, Class
SI, IF*........................... 1,014
1,000 8.75%, 5/15/24, Series 1727, Class
ME................................ 1,044
1,786 6.00%, 5/15/24, Series 2134, Class
DA................................ 1,674
3,043 7.50%, 8/15/24, Series 1745, Class
D................................. 2,966
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 3,500 7.50%, 2/15/26, Series 1935, Class
CB................................ $ 3,479
2,650 6.50%, 9/15/26, Series 2067, Class
PD................................ 2,509
1,863 7.39%, 2/15/27, Series 1935, Class
FL*............................... 1,872
7,109 6.00%, 5/15/27, Series 1981, Class
Z................................. 5,795
17,500 6.50%, 7/15/27, Series 2137, Class
TG................................ 16,573
7,000 7.50%, 9/15/27, Series 1987, Class
PE................................ 6,816
4,523 7.00%, 10/15/27, Series 1995, Class
EJ, IO............................ 531
3,528 6.50%, 12/15/27, Series 2019, Class
Z................................. 2,952
3,000 6.00%, 2/15/28, Series 2143, Class
CD................................ 2,715
22,816 7.00%, 3/15/28, Series 2038, Class
PN, IO*........................... 4,515
9,468 7.50%, 5/15/28, Series 2054, Class
PV................................ 9,207
14,700 7.00%, 10/15/28, Series 2089, Class
PJ, IO............................ 5,406
3,700 0.00%, 1/15/29, Series 2113, Class
GA, PO............................ 1,467
2,873 6.50%, 6/1/29, Pool #C00785......... 2,714
2,417 6.50%, 7/1/29, Pool #C29164......... 2,283
----------
353,467
----------
Government National Mortgage Assoc. (6.4%):
189 8.50%, 7/15/08, Pool #023594........ 193
2,000 7.00%, 8/16/13, Series 96-22, Class
VB................................ 1,930
135 9.00%, 12/15/16, Pool #190923....... 140
88 0.00%, 5/20/17, Series 1, Class A... 69
7,373 7.05%, 12/16/18, Series 99-42, Class
FG*............................... 7,338
2,768 1.91%, 12/16/20, Series 96-26, Class
S, IF, IO*........................ 26
773 9.00%, 11/20/21, Series 96-15,
Class OB.......................... 775
1,384 8.00%, 9/15/22, Pool #297628........ 1,406
2,189 1.81%, 10/16/22, Series 94-4, Class
SA, IF, IO*....................... 75
1,024 7.50%, 11/15/22, Pool #313110....... 1,022
2,687 4.55%, 12/20/22, Series 99-27, Class
SG, IF*........................... 2,214
348 7.50%, 3/15/23, Pool #345288........ 347
7,000 7.99%, 7/16/24, Series 94-4, Class
KQ................................ 7,063
8,000 7.49%, 7/16/24, Series 94-3, Class
PQ................................ 7,783
4,626 8.50%, 5/20/25, Pool #2006.......... 4,720
5,000 7.50%, 9/17/25, Series 98-26, Class
K................................. 4,844
470 8.00%, 12/20/25, Pool #2141......... 474
4,000 7.50%, 4/18/26, Series 97-8, Class
PD................................ 3,906
1,349 8.00%, 6/20/26, Pool #2334.......... 1,359
11,000 7.50%, 8/16/26, Series 96-16, Class
E................................. 10,708
1,065 8.00%, 8/20/26, Pool #2270.......... 1,073
1,239 8.00%, 9/20/26, Pool #2285.......... 1,248
</TABLE>
Continued
60
<PAGE> 63
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 1,422 8.00%, 11/20/26, Pool #2324......... $ 1,433
12,272 7.50%, 5/16/27, Series 97-8, Class
PN................................ 11,864
6,100 7.50%, 7/20/27, Series 97-11, Class
D................................. 5,883
2,589 8.00%, 10/20/27, Pool #2499......... 2,606
2,566 8.00%, 11/20/27, Pool #2512......... 2,583
1,565 8.00%, 12/20/27, Pool #2525......... 1,575
4,387 7.50%, 2/20/28, Pool #2549.......... 4,336
1,278 8.00%, 5/15/28, Pool #460372........ 1,293
759 8.00%, 5/15/28, Pool #476291........ 768
668 8.00%, 5/15/28, Pool #456883........ 676
1,114 8.00%, 7/15/28, Pool #468066........ 1,128
1,482 7.50%, 7/15/28, Pool #481872........ 1,473
2,034 8.50%, 8/15/28, Pool #468149........ 2,059
4,582 7.50%, 9/15/28, Pool #486537........ 4,556
1,586 8.00%, 9/20/28, Pool #2647.......... 1,595
10,337 7.50%, 9/20/28, Pool #2646.......... 10,218
3,692 6.50%, 10/15/28, Pool #486631....... 3,505
2,200 6.50%, 1/16/29, Series 99-15, Class
E................................. 1,928
----------
118,192
----------
Total U.S. Government Agency Mortgages 860,549
----------
U.S. GOVERNMENT AGENCY SECURITIES (0.3%):
Other U.S. Agencies (0.3%):
1,149 Federal Housing Administration,
Merrill Lynch Project, 7.43%,
8/1/20............................ 1,112
1,891 Federal Housing Administration,
Project #07335307, 7.43%,
1/1/22............................ 1,841
2,370 Federal Housing Administration,
Greystone 1996-2, 7.43%,
11/1/22........................... 2,295
----------
Total U.S. Government Agency Securities 5,248
----------
U.S. TREASURY OBLIGATIONS (26.2%):
U.S. Treasury Bonds (18.5%):
1,000 10.75%, 5/15/03..................... 1,113
3,500 11.13%, 8/15/03..................... 3,962
5,000 11.63%, 11/15/04.................... 6,003
16,330 10.38%, 11/15/09.................... 18,718
14,800 11.75%, 2/15/10..................... 17,880
159,270 12.75%, 11/15/10.................... 204,115
50,315 10.38%, 11/15/12.................... 61,935
4,000 12.00%, 8/15/13..................... 5,406
1,300 12.50%, 8/15/14..................... 1,845
1,000 9.88%, 11/15/15..................... 1,355
7,395 7.50%, 11/15/16..................... 8,331
8,695 8.75%, 5/15/17...................... 10,931
2,500 7.88%, 2/15/21...................... 2,970
----------
344,564
----------
U.S. Treasury Inflation Protected Bonds (2.2%):
10,967 3.63%, 7/15/02...................... 10,899
7,456 3.38%, 1/15/07...................... 7,158
</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, continued:
$ 4,239 3.63%, 1/15/08...................... $ 4,110
19,105 3.63%, 4/15/28...................... 18,227
----------
40,394
----------
U.S. Treasury Notes (0.4%):
6,800 7.50%, 11/15/01..................... 6,889
----------
U.S. Treasury STRIPS (5.1%):
2,450 2/15/01............................. 2,358
2,000 11/15/09............................ 1,107
12,025 2/15/11............................. 6,256
9,338 5/15/11............................. 4,784
8,900 11/15/11............................ 4,422
9,555 2/15/12............................. 4,664
14,200 2/15/13............................. 6,492
10,594 5/15/13............................. 4,769
3,500 8/15/13............................. 1,551
40,000 2/15/14............................. 17,164
25,410 11/15/14............................ 10,408
2,000 2/15/15............................. 807
30,870 5/15/17............................. 10,879
55,265 5/15/18............................. 18,339
----------
94,000
----------
Total U.S. Treasury Obligations 485,847
----------
INVESTMENT COMPANIES (4.0%):
73,414 One Group Prime Money Market Fund,
Class I........................... 73,414
----------
Total Investment Companies 73,414
----------
REPURCHASE AGREEMENTS (5.2%):
$ 96,126 State Street Bank and Trust, 6.45%,
7/3/00, (Collateralized by $99,715
various U.S. Government
securities, 6.39% - 6.70%,
12/21/01 - 10/1/08, market value
$98,110).......................... 96,126
----------
Total Repurchase Agreements 96,126
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (17.0%):
Master Notes (2.5%):
$ 15,320 Bear Stearns Mortgage Capital,
7.40%, 7/3/00*.................... 15,320
4,596 Danaher, 7.31%, 7/3/00*............. 4,596
8,886 General Mills, 6.83%, 7/3/00*....... 8,886
13,788 Lehman Brothers, 7.44%, 7/3/00*..... 13,788
3,217 NationsBanc Capital Markets, 7.33%,
7/3/00*........................... 3,217
----------
45,807
----------
Put Bonds (8.0%):
7,660 Associates Corp., 7.00%, 9/17/01*... 7,746
10,724 Bank of America, 6.32%, 7/5/01*..... 10,847
6,128 Caterpillar Finance, 7.05%,
5/1/01*........................... 6,128
</TABLE>
Continued
61
<PAGE> 64
One Group Mutual Funds
Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 7,660 Chase Manhattan, 7.11%, 5/6/02*..... $ 7,660
7,660 Chase Manhattan, 7.02%, 5/4/01*..... 7,660
7,660 Ford Motor Credit, 6.99%,
11/27/00*......................... 7,740
7,660 GMAC, 7.08%, 4/30/01*............... 7,660
7,660 GMAC, 7.07%, 5/30/01*............... 7,660
7,660 Goldman Sachs, 7.05%, 11/19/01*..... 7,660
11,490 Jackson National, 7.50%, 4/15/01*... 11,490
7,660 JP Morgan & Co., 7.01%, 5/4/01*..... 7,660
7,660 Lehman Brothers, 6.80%, 6/1/01*..... 7,689
3,064 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 3,063
7,660 Merrill Lynch, 7.16%, 5/6/02*....... 7,660
7,660 Salomon Smith Barney, 6.84%,
4/12/01*.......................... 7,660
7,660 Sigma Financial, 6.91%, 5/15/01*.... 7,660
6,128 Sigma Financial, 7.31%, 2/2/01*..... 6,128
10,724 SPARCC, 6.65%, 9/25/00*............. 10,724
7,660 US Bancorp, 6.78%, 5/8/02*.......... 7,660
----------
148,155
----------
Repurchase Agreements (6.5%):
38,301 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $40,531 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$40,350).......................... 38,301
21,448 Goldman Sachs, 7.21%, 7/3/00,
(Collateralized by $24,092 various
Corporate Bonds, 5.20% - 9.45%,
3/19/01 - 6/1/37, market value
$23,328).......................... 21,448
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 6,947 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $7,294 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $7,156).... $ 6,947
22,980 Paine Webber, 7.27%, 7/3/00,
(Collateralized by $24,471 various
Corporate Bonds, 6.50% - 9.63%,
6/1/01 - 6/15/25, market value
$24,130).......................... 22,980
30,640 Salomon Smith Barney, 7.17%, 7/3/00,
(Collateralized by $32,297 various
Commercial Paper, 0.00%,
7/6/00 - 10/3/00, market value
$32,173).......................... 30,640
----------
120,316
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 314,278
----------
Total (Cost $2,205,263) (a) $2,176,383
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,851,388.
(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 $3,704. Cost for federal income tax purposes and differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 19,308
Unrealized depreciation...................... (51,892)
--------
Net unrealized appreciation (depreciation)... $(32,584)
========
</TABLE>
(b) 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 $7,582 or .41% 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 Investments is the rate in effect as
of June 30, 2000.
See notes to financial statements.
62
<PAGE> 65
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
ASSET BACKED SECURITIES (11.3%):
Banking, Finance & Insurance (11.3%):
$ 5,000 Advanta Mortgage Loan Trust, 7.60%,
6/25/27.......................... $ 4,926
1,000 Americredit Automobile Receivables,
Series 99-A, Class A4, 5.88%,
12/12/05......................... 978
5,900 Arcadia Automobile Receivables
Trust, Series 97-C, Class A4,
6.38%, 1/15/03................... 5,883
2,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A4,
6.00%, 11/15/03.................. 1,970
5,000 Arcadia Automobile Receivables
Trust, 8.15%, 8/1/09............. 4,916
1,300 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04................... 1,282
469 Auto Finance Group, Inc., Series
97-B, Class C, 7.00%, 2/15/03.... 467
7,071 Case Equipment Loan Trust, Series
97-B, Class A4, 6.41%,
9/15/04.......................... 7,026
6,000 Chase Manhatten Auto Owner Trust,
Series 98-C, Class A4, 5.85%,
5/15/03.......................... 5,903
2,500 Chemical Master Credit Card Trust,
Series 95-3, Class A, 6.23%,
8/15/02.......................... 2,459
340 Chevy Chase Auto Receivables Trust,
Series 97-3, Class A, 6.20%,
3/20/04.......................... 337
257 Chevy Chase Auto Receivables Trust,
Series 97-4, Class A, 6.25%,
6/15/04.......................... 255
857 Chevy Chase Auto Receivables Trust,
Series 98-2, Class A, 5.91%,
12/15/04......................... 847
1,041 Citicorp Mortgage Securities, Inc.,
Series 94-9, Class A3, 5.75%,
6/25/09.......................... 1,028
57 Collateralized Mortgage Securities
Corp., Series 88-2, Class 2-B,
8.80%, 4/20/19................... 59
1,000 CPS Auto Receivables Trust, Series
98-3, Class A4, 6.08%,
10/15/03......................... 990
1,640 Discover Card Master Trust 1,
Series 98-2, Class A, 5.80%,
9/16/03.......................... 1,623
600 EQCC Home Equity Loan Trust, Series
96-2, Class A4, 7.50%, 6/15/21... 601
995 EQCC Home Equity Loan Trust, Series
97-1, Class A7, 7.12%, 5/15/28... 989
5,000 EQCC Home Loan Trust, Series
1998-2, Class A3F, 6.23%,
3/15/13.......................... 4,950
197 First Security, Series 98A, Class
A, 5.97%, 4/15/04................ 196
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 170 First Security Auto Grantor Trust,
Series 97-B, Class A, 6.10%,
4/15/03.......................... $ 169
1,182 Ford Credit Auto, Series 98-C,
Class A4, 5.81%, 3/15/02......... 1,178
1,000 GE Capital Mortgage Services, Inc.,
Series 97-HE3, Class A6, 6.72%,
10/25/27......................... 975
4,053 Greentree Financial Corp., Series
980-C, Class A3, 5.92%,
2/15/09.......................... 4,036
498 Greentree Financial Corp., Series
97-C, Class A1, 6.49%, 2/15/18... 492
4,350 Greentree Financial Corp., 8.60%,
5/15/26.......................... 4,211
4,873 Greentree Financial Corp., 7.05%,
2/15/27.......................... 4,617
5,000 Greentree Financial Corp., Series
93-2, Class B, 8.00%, 7/15/18.... 4,314
1,927 Greentree Home Improvement Loan
Trust, Series 95-D, 6.95%,
9/15/25.......................... 1,924
3,050 John Deere, Series 99-A, Class A3,
5.94%, 10/15/02.................. 3,009
3,000 MBNA, Series 98-C, 6.35%,
11/15/05 (b)..................... 2,859
262 MBNA, Series 99-D, 6.50%,
11/17/08......................... 251
1,655 MBNA Master Credit Card Trust,
Series 94-C, Class A, 5.81%,
3/15/04.......................... 1,660
1,530 Navistar Financial Corp Owner
Trust, Series 98-A, Class A,
5.94%, 11/15/04.................. 1,514
3,000 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04................... 2,999
1,120 Onyx Acceptance Auto Trust, Series
99-A2, 5.83%, 3/15/04............ 1,098
800 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03.......................... 788
706 Onyx Acceptance Grantor Trust,
Series 97-1, Class A, 6.55%,
9/15/03.......................... 705
97 Onyx Acceptance Grantor Trust,
Series 97-2, Class A, 6.35%,
10/15/03......................... 96
2,672 Onyx Acceptance Grantor Trust,
Series 97-4, Class A, 6.30%,
5/15/04.......................... 2,655
2,000 Osprey Trust, 8.31%, 1/15/03 (b)... 2,008
382 PNC Student Loan Trust, Series
97-2, Class A6, 6.57%, 1/25/04... 378
10,000 Premier Auto Trust, Series 97-2,
Class A5, 6.32%, 3/6/02.......... 9,962
1,200 Premier Auto Trust, Series 98-2,
Class A4, 5.82%, 12/6/02......... 1,184
</TABLE>
Continued
63
<PAGE> 66
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 7,500 Premier Auto Trust, Series 99-3,
Class A3, 6.27%, 4/8/03.......... $ 7,425
8,000 Sears Credit Account Master Trust,
Series 98-1A, 5.80%, 8/15/05..... 7,937
2,056 Sears Credit Account Master Trust,
Series 96-1, Class A, 6.20%,
2/16/06.......................... 2,040
2,000 Security Pacific Acceptance Corp.,
Series 95-1, Class A3, 7.25%,
4/10/20.......................... 1,980
600 Standard Credit Card Master Trust,
Series 94-2, Class A, 7.25%,
4/7/08........................... 597
6,780 Student Loan Marketing Assoc.,
Series 99-1, Class A1T, 6.18%,
4/25/08.......................... 6,770
3,000 Team Fleet, 6.53%, 7/25/02 (b)..... 2,929
600 The Money Store Home Equity Trust,
Series 96-C, Class A13, 7.54%,
8/15/15.......................... 599
745 The Money Store Home Equity Trust,
Series 96-B, Class A16, 8.01%,
7/15/27.......................... 750
76 Union Acceptance Corp., Series
97-D, Class A3, 6.26%, 2/8/02.... 76
1,000 Union Acceptance Corp., Series
98-A, Class A4, 6.11%, 10/8/03... 991
2,000 Union Acceptance Corp., Series
99-C, Class A4, 6.82%, 1/9/06.... 1,989
1,000 Union Acceptance Corp., Series
98-D, Class A5, 5.96%, 7/10/06... 975
1,200 Western Financial Service Owner
Trust, 5.95%, 5/20/03............ 1,187
7,000 Western Financial Service Owner
Trust, 5.75%, 8/20/03............ 6,859
839 WFS Financial Owner Trust, Series
98-A, Class A3, 5.90%, 5/20/02... 838
3,800 WFS Financial Owner Trust, Series
98-B, Class A4, 6.05%, 4/20/03... 3,754
897 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%,
12/20/03......................... 894
5,000 World Omni, 6.48%, 12/12/08........ 4,788
----------
Total Asset Backed Securities 154,145
----------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.7%):
Asset Backed Securities (1.5%):
1,783 BA Mortgage Securities, Inc.,
Series 98-2, Class 1A10, 6.60%,
6/25/28.......................... 1,767
700 Bear Stearns Co., Series 98-1,
Class A17, 5.00%, 3/25/28........ 514
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Asset Backed Securities, continued:
$ 1,471 BHN, Series 97-1, Class A2, 7.92%,
7/25/09 (b)...................... $ 1,350
1,811 BHN, Series 97-2, Class A2, 7.54%,
5/31/17 (b)...................... 1,639
361 Case Equipment Loan Trust, Series
97-A, Class A3, 6.45%, 3/15/04... 361
190 Chase Mortgage Finance Corp.,
Series 1993-P, Class A18, 6.75%,
12/25/24......................... 169
450 Chase Mortgage Finance Corp.,
Series 1994-H, Class A7, 7.25%,
6/25/25.......................... 425
4,923 Citicorp Mortgage Securities, Inc.,
Series 1999-3, Class A4, 6.50%,
5/25/29.......................... 4,576
2,500 CMC Securities Corp., Series
97-Nam3, Class A4, 7.25%,
10/25/27......................... 2,440
750 Federal Home Loan Mortgage Corp.,
Series 2151, Class JM, 6.00%,
4/15/25.......................... 656
2,827 General Electric Mortgage Services,
Inc., Series 96-12, Class A4,
7.25%, 7/25/11................... 2,782
193 Kidder Peabody Mortgage Assets
Trust, Series 22, Class D, 9.95%,
2/1/19........................... 198
223 Morgan Stanley Mortgage Trust,
Series L, Class L-5, 8.95%,
11/1/17.......................... 225
500 Nationsbanc Montgomery Funding
Corp., Series 98-1, Class A16,
6.75%, 6/25/28................... 464
680 Norwest Asset Securities Corp.,
6.50%, 7/25/29................... 618
239 Paine Webber Trust, Series H, Class
4, 8.75%, 4/1/18................. 246
68 Paine Webber Trust, Series J, Class
3, 8.80%, 5/1/18................. 70
240 Paine Webber Trust, Series L, Class
L-4, 8.95%, 7/1/18............... 247
360 PNC Mortgage Securities Corp.,
Series 99-4, Class 4A4, 6.50%,
5/25/29.......................... 326
815 Prudential Home Mortgage
Securities, Series 94-15, Class
A7, 6.80%, 5/25/24............... 810
455 Residential Asset Securitization
Trust, Series 1998-A8, Class A8,
6.75%, 8/25/28................... 432
</TABLE>
Continued
64
<PAGE> 67
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Asset Backed Securities, continued:
$ 275 Residential Funding Mortgage
Securities, Series 1997-S14,
Class A6, 7.25%, 10/25/27........ $ 267
----------
20,582
----------
Financial Services (0.2%):
691 Citicorp Mortgage Securities, Inc.,
Series 1998-6, Class A, 6.80%,
7/25/28.......................... 658
2,436 PNC Mortgage Securities Corp.,
Series 98-10, Class 1A8, 6.50%,
12/25/28......................... 2,297
----------
2,955
----------
Total Collateralized Mortgage Obligations 23,537
----------
CORPORATE BONDS (34.9%):
Airlines (0.1%):
1,031 Atlantic Coast Airlines, 8.75%,
1/1/07 (b)....................... 1,023
----------
Automotive (1.0%):
1,000 Accuride Corp., 9.25%, 2/1/08...... 845
1,000 Airxcel Inc., 11.00%, 11/15/07..... 715
1,000 Dura Operating Corp., 9.00%,
5/1/09........................... 875
5,000 General Motors Corp., 9.13%,
7/15/01.......................... 5,097
750 General Motors Corp., 8.80%,
3/1/21........................... 820
1,000 Group One Auto, 10.88%, 3/1/09..... 895
2,000 Harley-Davidson Eaglemark
Motorcycle Trust, Series 97-3,
6.60%, 4/15/04................... 1,963
1,000 Hayes Lemmerz Wheels, 9.13%,
7/15/07.......................... 900
1,000 Oshkosh Truck Corp., 8.75%,
3/1/08........................... 935
1,000 Western Star Truck, 8.75%,
5/1/07........................... 935
----------
13,980
----------
Banking, Finance & Insurance (12.3%):
4,800 ABN AMRO Bank NV Chicago, 7.25%,
5/31/05.......................... 4,758
250 AETNA Services, Inc., 7.50%,
1/15/07.......................... 213
5,000 American Express Credit Corp.,
6.13%, 11/15/01.................. 4,920
5,160 American RE Corp., Series B, 7.45%,
12/15/26......................... 4,736
500 Associates Corp., 6.88%, 2/17/03... 493
1,500 Associates Corp., 7.70%, 6/10/04... 1,505
150 Associates Corp., 7.63%, 4/27/05... 150
1,000 Associates Corp., 6.63%, 6/15/05... 965
1,000 Associates Corp., 6.25%, 11/1/08... 898
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 6,000 Associates Corp., 8.15%, 8/1/09.... $ 6,038
500 Associates Corp., Series B, 7.95%,
2/15/10.......................... 495
2,900 Banc Of America, 7.80%, 2/15/10.... 2,889
1,331 BankAmerica Corp., 9.38%, 3/1/01... 1,349
1,350 BankAmerica Corp., 6.85%, 3/1/03... 1,329
4,000 BankBoston, 6.35%, 2/25/13......... 3,769
250 Bankers Trust New York, 7.25%,
10/15/11......................... 235
5,000 Bear Stearns Corp., Inc., 8.25%,
2/1/02........................... 5,045
5,000 Citigroup, Inc., 7.38%, 3/15/03.... 4,938
5,000 Citigroup, Inc., 6.25%, 12/1/05.... 4,742
1,500 Commercial Credit, 7.75%, 3/1/05... 1,518
6,500 Corestates Capital, 8.00%,
12/15/26 (b)..................... 5,636
500 Donaldson Lufkin & Jenrette, 6.50%,
4/1/08........................... 451
1,000 Donaldson Lufkin & Jenrette, 6.50%,
6/1/08........................... 900
400 Donaldson Lufkin & Jenrette, 5.63%,
2/15/16.......................... 395
2,000 Fleet-Norstar Group, 8.13%,
7/1/04........................... 2,045
3,500 Ford Capital BV, 10.13%,
11/15/00......................... 3,536
1,050 Ford Motor Credit Co., 5.99%,
2/27/01.......................... 1,043
724 Ford Motor Credit Co., 7.75%,
3/15/05.......................... 729
250 Ford Motor Credit Co., 6.25%,
12/8/05.......................... 236
6,865 General Electric Capital Corp.,
5.65%, 3/31/03................... 6,606
500 General Electric Capital Corp.,
5.70%, 10/7/03................... 479
3,500 General Electric Capital Corp.,
8.85%, 4/1/05.................... 3,728
900 General Motors Acceptance Corp.,
9.63%, 12/15/01.................. 928
2,000 General Motors Acceptance Corp.,
7.13%, 5/1/03.................... 1,993
3,710 Goldman Sachs, 5.90%,
1/15/03 (b)...................... 3,567
5,000 Household Finance Corp., 7.25%,
7/15/03.......................... 4,939
1,000 Household Finance Corp., 7.25%,
5/15/06.......................... 968
1,000 Household Finance Corp., 6.50%,
11/15/08......................... 909
7,200 Household Finance Corp., 5.88%,
2/1/09........................... 6,264
2,000 Huntington National Bank, 8.00%,
4/1/10........................... 1,985
5,000 Key Bank, 7.55%, 9/15/06........... 4,948
</TABLE>
Continued
65
<PAGE> 68
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 10,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02.................... $ 10,185
5,000 Lehman Brothers Holdings, Inc.,
11.63%, 5/15/05.................. 5,676
295 Lehman Brothers Holdings, Inc.,
8.50%, 8/1/15.................... 295
5,000 Manufacturer's Life, 8.38%,
2/1/27 (b)....................... 4,365
6,000 Massachusetts Mutual Life
Insurance, 7.50%, 3/1/24 (b)..... 5,643
500 Mellon Financial Corp., 6.38%,
2/15/10.......................... 452
6,000 Morgan Stanley Dean Witter and Co.,
6.13%, 10/1/03................... 5,771
500 NationsBank Corp., 7.80%,
9/15/16.......................... 486
1,500 Norwest Corp., 7.75%, 3/1/02....... 1,512
600 Pitney Bowes Credit Corp., 9.25%,
6/15/08.......................... 668
5,000 Principal Mutual, 7.88%,
3/1/24 (b)....................... 4,489
5,000 Republic New York Corp., 7.25%,
7/15/02.......................... 4,983
500 Sears Roebuck Acceptance Corp.,
6.88%, 10/15/17.................. 430
5,000 Security Pacific Corp., 11.00%,
3/1/01........................... 5,118
5,000 Sun Life Capital Trust, 8.53%,
5/29/49 (b)...................... 4,393
419 SunAmerica, Inc., 8.13%, 4/28/23... 429
400 Torchmark Corp., 7.88%, 5/15/23.... 354
10,000 Transamerica Financial, 6.37%,
5/14/04.......................... 9,514
----------
168,033
----------
Beverages & Tobacco (0.1%):
500 Coca-Cola Enterprises, 7.13%,
8/1/17........................... 467
400 Coca-Cola Enterprises, 6.95%,
11/15/26......................... 359
250 Phillip Morris Co., Inc., 7.20%,
2/1/07........................... 233
----------
1,059
----------
Broadcasting/Cable (0.7%):
1,500 Cablevision, 7.25%, 7/15/08........ 1,393
1,000 Classic Cable, 9.38%, 8/1/09....... 878
4,000 Comcast Cable, 8.38%, 5/1/07....... 4,082
1,000 Mediacom, 8.50%, 4/15/08........... 925
1,000 Salem Communications, 9.50%,
10/1/07.......................... 943
1,000 Spanish Broadcasting, 9.63%,
11/1/09.......................... 1,000
----------
9,221
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Chemicals/Plastics (0.1%):
$ 1,000 Huntsman ICI, 10.13%, 7/1/09....... $ 1,013
1,000 Polymer Group, Inc., Series B,
9.00%, 7/1/07.................... 855
----------
1,868
----------
Computer Software (0.1%):
1,000 Psinet, Inc., 10.50%, 12/1/06...... 925
----------
Containers & Packaging (0.1%):
1,000 Portola Packaging, 10.75%,
10/1/05.......................... 815
----------
Electrical & Electronic (0.1%):
1,000 Flextronics International, 8.75%,
10/15/07......................... 950
650 IBM, 7.00%, 10/30/25............... 624
----------
1,574
----------
Entertainment (0.1%):
1,000 Hollywood Park, 9.50%, 8/1/07...... 1,000
1,000 SFX Entertainment, 9.13%,
12/1/08.......................... 1,010
----------
2,010
----------
Environmental Services (0.4%):
1,000 Jackson Products, 9.50%, 4/15/05... 905
740 Safety-Kleen Services, 9.25%,
6/1/08 (c)....................... 63
5,000 Waste Management, 6.88%, 5/15/09... 4,413
----------
5,381
----------
Equipment Trust Certificate (1.6%):
4,649 Federal Express, 7.85%, 6/1/08..... 4,476
4,292 Northwest Air Trust, Series B,
10.23%, 6/21/14.................. 4,791
10,302 Northwest Air Trust, Series 2,
Class A, 9.25%, 6/21/14.......... 11,023
782 Regional Jet Equipment Trust,
7.77%, 9/5/04, (b)............... 790
----------
21,080
----------
Food Products & Services (0.2%):
1,000 Dominos, Inc., 10.38%, 1/15/09..... 933
660 Fresh Foods, 10.75%, 6/1/06........ 413
1,000 International Home Foods, 10.38%,
11/1/06.......................... 1,074
----------
2,420
----------
Forest Products (0.2%):
1,000 Ainsworth Lumber, 12.50%,
7/15/07.......................... 998
1,000 American Tissue, Inc., 12.50%,
7/15/06.......................... 970
1,000 Millar Western, 9.88%, 5/15/08..... 940
----------
2,908
----------
</TABLE>
Continued
66
<PAGE> 69
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Health Care (0.6%):
$ 1,000 Bally Total Fitness, 9.88%,
10/15/07......................... $ 910
3,500 Cardinal Health, 6.25%, 7/15/08.... 3,195
1,000 Drypers Corp., 10.25%, 6/15/07..... 650
1,000 Fisher Scientific International,
Inc., 9.00%, 2/1/08.............. 920
1,000 Healthsouth Corp., 3.25%, 4/1/03... 790
1,500 Tenet Healthcare Corp, 8.00%,
1/15/05.......................... 1,448
----------
7,913
----------
Hotels & Lodging (0.5%):
5,000 Hilton Hotels Corp., 7.95%,
4/15/07.......................... 4,709
1,000 HMH Properties, Inc., Series C,
8.45%, 12/1/08................... 931
1,000 Prime Hospitality, 9.75%, 4/1/07... 970
----------
6,610
----------
Industrial Goods & Services (5.9%):
1,000 Ackerly Group, 9.00%, 1/15/09...... 923
1,500 Advanced Micro Device, Inc.,
11.00%, 8/1/03................... 1,556
1,000 Anchor Lamina, 9.88%, 2/1/08....... 455
5,000 Avon Products, Inc., 6.25%,
5/1/03 (b)....................... 4,809
3,000 Beckman Instruments, 7.05%,
6/1/26........................... 2,795
3,000 Boise Cascade Co., 9.45%,
11/1/09.......................... 3,141
400 Brunswick Corp., 7.38%, 9/1/23..... 361
9,750 Case Corp., Series B, 6.25%,
12/1/03.......................... 9,163
1,500 D.R. Horton, Inc., 6.50%, 4/1/08... 1,425
250 Eastman Chemical, 7.60%, 2/1/27.... 227
2,500 Fred Meyer, Inc., 7.38%, 3/1/05.... 2,440
4,000 Golden State Petroleum, 8.04%,
2/1/19........................... 3,602
1,000 Home Products International, 9.63%,
5/15/08.......................... 825
300 Ingersoll Rand Corp., 7.20%,
6/1/25........................... 281
1,000 Iron Mountain, Inc., 10.13%,
10/1/06.......................... 1,005
1,000 ISP Holdings, Inc., Series B,
9.75%, 2/15/02................... 978
300 Loews Corp., 7.63%, 6/1/23......... 276
400 Loral Corp., 7.00%, 9/15/23........ 341
1,000 NCI Building Systems, 9.25%,
5/1/09........................... 945
5,000 Newell Co., 6.35%, 7/15/08......... 4,602
4,282 Newmont Gold Co., 8.91%, 1/5/09.... 4,366
2,500 Northrop-Grumman Co., 7.00%,
3/1/06........................... 2,388
7,000 NRG Energy Corp., 7.63%,
2/1/06 (b)....................... 6,791
4,611 Oslo Seismic Service, 8.28%,
6/1/11........................... 4,621
2,500 Owens-Illinois, Inc., 7.15%,
5/15/05.......................... 2,267
1,000 Philipp Brothers, 9.88%, 6/1/08.... 715
1,000 Pope & Talbot, 8.38%, 6/1/13....... 915
1,500 Terra Industries, 10.50%,
6/15/05.......................... 908
500 Weyerhauser Co., 7.50%, 3/1/13..... 485
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 2,500 Williams Cos., Inc., 6.13%,
2/15/02.......................... $ 2,439
1,000 Windmere-Durable, 10.00%,
7/31/08.......................... 985
5,000 Xerox Corp, 5.55%, 7/22/37......... 4,996
6,000 Xerox Corp., 6.25%, 11/15/26....... 5,631
2,075 Yanacocha, 8.40%, 6/15/04 (b)...... 2,139
----------
79,796
----------
Leasing (0.9%):
5,000 Enterprise Rent-A-Car, 6.38%,
5/15/03 (b)...................... 4,792
5,000 Hertz Corp., 6.50%, 5/15/06........ 4,701
2,500 Hertz Corp., Senior Note, 6.63%,
5/15/08.......................... 2,314
1,000 Williams Scotsman, 9.88%, 6/1/07... 915
----------
12,722
----------
Machinery & Equipment (0.3%):
1,000 Better Minerals, 13.00%, 9/15/09... 982
750 Columbus Mckinnon Corp., 8.50%,
4/1/08........................... 649
1,000 Marsulex, Inc., 9.63%, 7/1/08...... 935
1,000 National Equipment Services,
10.00%, 11/30/04................. 835
1,000 Wesco Distribution, Inc., Series B,
9.13%, 6/1/08.................... 920
----------
4,321
----------
Medical Equipment & Supplies (0.1%):
1,250 Hanger Orthopedic, 11.25%,
6/15/09.......................... 1,094
----------
Oil & Gas (0.1%):
1,500 Pride Petroleum Services, Inc.,
9.38%, 5/1/07.................... 1,504
----------
Paper Products (0.1%):
1,000 Buckeye Cellulose, 9.25%,
9/15/08.......................... 1,005
----------
Printing & Publishing (0.1%):
1,000 Garden State, 8.63%, 7/1/11........ 875
1,000 Phoenix Color, 10.38%, 2/1/09...... 905
----------
1,780
----------
Publishing (0.1%):
1,000 Hollinger International Publishing,
9.25%, 2/1/06.................... 968
----------
Real Estate (1.1%):
2,000 Avalon Properties, 7.38%,
9/15/02.......................... 1,975
5,000 Security Capital Pacific Trust,
6.95%, 10/15/02 (b).............. 4,820
5,000 Spieker Properties, Inc., 6.65%,
12/15/00......................... 4,976
</TABLE>
Continued
67
<PAGE> 70
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Real Estate, continued:
$ 3,000 Wellsford Residential Property,
7.25%, 8/15/00................... $ 2,998
----------
14,769
----------
Retailers (0.1%):
1,000 Central Tractor Farm & Country,
10.63%, 4/1/07................... 705
----------
Steel (0.1%):
1,000 Ns Group, Inc., 13.50%, 7/15/03.... 1,025
----------
Telecommunications (2.4%):
1,000 Alaska Communications, 9.38%,
5/15/09.......................... 928
1,000 Arch Communications, Inc., 13.75%,
4/15/08.......................... 810
250 AT&T Corp., 8.63%, 12/31/01........ 252
4,000 Bell Telephone Co., 8.35%,
12/15/30......................... 4,190
1,000 Bellsouth Telecommunications,
6.00%, 6/15/02................... 978
1,000 Centennial Cellular, 10.75%,
12/15/08......................... 976
1,000 Charter Communications, 10.25%,
1/15/10.......................... 973
1,000 Exodus Communications, 10.75%,
12/15/09......................... 970
1,000 Global Crossing, 9.13%, 11/15/06... 963
1,000 Globenet Communications Group,
Ltd., 13.00%, 7/15/07............ 1,014
400 GTE Corp., 7.90%, 2/1/27........... 380
1,000 Level 3 Communications, 11.25%,
3/15/10 (b)...................... 990
400 MCI Communications Corp., 8.25%,
1/20/23.......................... 395
1,000 McLeodUSA, Inc., 9.25%, 7/15/07.... 970
1,000 Metromedia Fiber, 10.00%,
12/15/09......................... 990
5,000 New York Telephone, 5.63%,
11/1/03.......................... 4,749
500 New York Telephone, 6.13%,
1/15/10.......................... 445
1,000 Nextel Communications, 9.38%,
11/15/09......................... 960
1,000 Nextlink Communications, 10.50%,
12/1/09.......................... 985
5,000 Pacific Bell, 6.88%, 8/15/06....... 4,868
1,000 RCN Corp., 10.13%, 1/15/10......... 838
1,000 Rogers Cantel, Inc., 8.80%,
10/1/07.......................... 1,000
1,000 Rural Cellular, 9.63%, 5/15/08..... 975
270 United Telephones of Florida,
8.38%, 1/15/25................... 275
1,000 Voicestream Wire, 10.38%,
11/15/09......................... 1,040
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Telecommunications, continued:
$ 1,000 Williams Communications, 10.88%,
10/1/09.......................... $ 983
----------
32,897
----------
Transportation & Shipping (0.5%):
1,000 Newport News Shipbuilding, 8.63%,
12/1/06.......................... 990
5,000 Union Pacific Co., 9.63%,
12/15/02......................... 5,247
----------
6,237
----------
Utilities (1.3%):
5,000 Baltimore Gas & Electric Co.,
6.50%, 2/15/03................... 4,887
300 Commonwealth Edison, 8.38%,
9/15/22.......................... 293
500 Florida Power Corp., 8.00%,
12/1/22.......................... 488
200 Minnesota Power and Light Co.,
7.50%, 8/1/07.................... 194
2,290 National Rural Utilities
Cooperative Financial Corp.,
6.75%, 9/1/01.................... 2,279
5,000 Ohio Edison, 8.25%, 4/1/02......... 5,073
250 Pacificorp, Series F, 7.24%,
8/16/23.......................... 226
4,600 Penn Electric, 6.63%, 4/1/19....... 3,991
250 Texas Utilities, 7.88%, 3/1/23..... 236
----------
17,667
----------
Yankee & Eurodollar (3.6%):
1,120 African Development Bank, 9.30%,
7/1/00........................... 1,120
3,650 Bombardier Capital, 6.00%,
1/15/02 (b)...................... 3,565
280 Canadian Pacific, Ltd., 9.45%,
8/1/21........................... 316
1,000 Deutsche Telephone Finance, 8.00%,
6/15/10.......................... 1,010
619 Government Trust Certificate,
Israel, 9.40%, 5/15/02........... 631
9,500 Grand Metro Investment Corp.,
7.45%, 4/15/35 (b)............... 9,528
1,000 Kingdom of Belgium Put Euro, 9.20%,
6/28/10.......................... 1,135
3,000 Mobil Oil Canada, 5.00%,
12/21/04......................... 2,753
4,250 Ras Laffan Gas, 7.63%,
9/15/06 (b)...................... 4,091
5,000 Royal Caribbean Cruises, 8.25%,
4/1/05........................... 4,799
1,150 Royal Caribbean Cruises, 6.75%,
3/15/08.......................... 991
5,000 Scotland International Finance,
8.80%, 1/27/04 (b)............... 5,186
7,125 Scotland International Finance,
7.00%, 11/29/49 (b).............. 6,512
</TABLE>
Continued
68
<PAGE> 71
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Yankee & Eurodollar, continued:
$ 8,055 Societe Generale Estate LLC, 7.64%,
9/30/07 (b)...................... $ 7,344
----------
48,981
----------
Total Corporate Bonds 472,291
----------
U.S. GOVERNMENT AGENCY (2.0%):
Federal Home Loan Bank (0.3%):
2,600 5.59%, 1/13/03..................... 2,520
1,500 5.09%, 10/7/08..................... 1,308
----------
3,828
----------
Resolution Funding Corporation (1.6%):
10,000 4/15/19............................ 2,905
5,000 10/15/19........................... 1,407
65,000 10/15/19........................... 18,422
----------
22,734
----------
Student Loan Marketing Association (0.1%):
700 7.20%, 6/17/02..................... 703
----------
Total U.S. Government Agency 27,265
----------
U.S. GOVERNMENT AGENCY MORTGAGES (29.4%):
Fannie Mae (8.6%):
10,000 5.63%, 3/15/01..................... 9,920
25 8.00%, 11/1/02, Pool #076220....... 25
2,310 7.00%, 4/1/03...................... 2,291
329 6.90%, 12/25/03, Series 93-70,
Class D.......................... 326
330 6.00%, 12/25/06, Series 93-212,
Class PB......................... 325
305 6.00%, 5/25/07, Series 93-209,
Class G.......................... 300
725 7.50%, 9/25/07, Series 92-135,
Class LC......................... 720
490 6.50%, 5/25/08, Series 93-55, Class
K................................ 469
2,000 6.50%, 9/25/08, Series 99-19, Class
LA............................... 1,987
3,000 6.50%, 9/25/08, Series 1993-175,
Class PG......................... 2,853
746 5.64%, 9/25/08, Series 93-175,
Class FE......................... 713
615 6.00%, 12/25/08, Series 93-231,
Class M.......................... 585
1,000 7.15%, 10/17/09, Series 97-M1,
Class B.......................... 992
2,500 6.00%, 4/18/12, Series 97-31, Class
EB............................... 2,274
300 6.50%, 3/25/13, Series 93-140,
Class H.......................... 291
7,554 6.50%, 5/1/13, Pool #251700........ 7,291
13,461 6.00%, 1/1/14, Pool #440777........ 12,752
5,600 6.50%, 6/25/14, Series 98-59, Class
VB............................... 5,212
462 12.50%, 1/1/16, Pool #303306....... 518
2,000 8.20%, 3/10/16..................... 2,192
57 5.70%, 6/25/17, Series X-225C,
Class PD......................... 56
1,881 6.50%, 12/18/17, Series 98-17,
Class TB......................... 1,869
257 9.30%, 5/25/18, Series 88-13, Class
13-C............................. 266
232 5.50%, 2/25/19, Series 94-15, Class
E................................ 230
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 198 11.50%, 12/25/19, Series 89-98,
Class 98-H....................... $ 219
308 8.80%, 1/25/20, Series 90-1, Class
D................................ 315
280 6.00%, 2/25/20, Series 94-36, Class
G................................ 275
353 9.50%, 5/15/20, Series 38, Class
38-D............................. 363
249 8.75%, 9/25/20, Series 90-110,
Class H.......................... 256
180 8.95%, 10/25/20, Series 90-117,
Class E.......................... 185
311 6.00%, 10/25/20, Series 94-40,
Class H.......................... 305
331 8.50%, 9/25/21, Series G-29, Class
O................................ 338
1,158 8.00%, 10/25/21, Series 91-141,
Class PZ......................... 1,163
2,683 7.00%, 1/25/22, Series G92-15,
Class Z.......................... 2,553
2,652 6.00%, 5/25/22, Series 1993-204,
Class A.......................... 2,564
1,184 9.00%, 6/25/22, Series 92-79, Class
Z................................ 1,242
1,500 7.50%, 6/25/22, Series 92-101,
Class J.......................... 1,469
440 7.00%, 6/25/22, Series G92-30,
Class Z.......................... 429
1,520 4.55%, 2/25/23, Series 98-35, Class
SV*.............................. 1,151
181 7.50%, 3/25/23, Series 93-23, Class
PZ............................... 172
1,638 6.50%, 4/25/23, Series 93-160,
Class AJ......................... 1,575
516 7.00%, 5/25/23, Series 93-56, Class
PZ............................... 477
3,000 0.00%, 5/25/23, Series 93-146,
Class D, PO...................... 2,625
225 10.25%, 6/25/23, Series 93-98,
Class SE, IF*.................... 238
334 7.00%, 6/25/23, Series 93-89, Class
Z................................ 303
2,000 0.00%, 6/25/23, Series 93-257,
Class C.......................... 1,209
655 6.50%, 7/25/23, Series 96-59, Class
K................................ 595
2,417 7.00%, 8/25/23, Series 1993-141,
Class Z.......................... 2,252
2,000 6.50%, 8/25/23, Series 1994-28,
Class K.......................... 1,892
2,030 6.50%, 11/25/23, Series 95-19,
Class Z.......................... 1,767
3,292 7.00%, 7/18/24, Series 97-12, Class
G................................ 3,277
4,066 7.50%, 9/1/25, Pool #324179........ 4,026
333 0.00%, 6/25/26, Series 99-27,
Class PG, PO..................... 163
265 7.50%, 10/1/26, Pool #365997....... 262
229 7.50%, 2/1/27, Pool #250854........ 226
956 7.50%, 4/18/27, Series 97-27, Class
J................................ 939
313 7.00%, 3/1/28, Pool #251569........ 303
7,202 6.50%, 4/1/28, Pool #420165........ 6,799
4,940 6.50%, 7/1/29, Pool #252570........ 4,660
10,136 6.50%, 7/1/29, Pool #517679........ 9,565
4,729 6.50%, 8/1/29, Pool #323866........ 4,462
1,538 7.50%, 2/20/30, Series 2000-8,
Class Z.......................... 1,470
----------
116,541
----------
Freddie Mac (16.8%):
18,000 0.00%, 8/15/02..................... 15,601
</TABLE>
Continued
69
<PAGE> 72
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 49 7.25%, 1/1/05, Pool #184093........ $ 48
100 6.75%, 12/15/05, Series 1507, Class
LC............................... 97
615 6.00%, 5/15/07, Series 1490, Class
PJ............................... 611
2,000 6.25%, 9/15/07, Series 1701, Class
PG............................... 1,976
100 8.75%, 4/1/08, Pool #160043........ 103
1,537 0.00%, 5/15/08, Series 89, Class
L................................ 1,209
105 8.00%, 8/1/08, Pool #180531........ 105
63 8.25%, 9/1/08, Pool #186743........ 64
1,500 6.00%, 1/15/09, Series 1667, Class
B................................ 1,419
2,278 7.00%, 6/1/09, Pool #E00313........ 2,248
124 8.00%, 8/1/09, Pool #256159........ 124
3,495 7.50%, 5/1/11, Pool #E00438........ 3,496
4,042 7.00%, 5/1/11, Pool #E00434........ 3,979
3,526 7.00%, 6/1/11, Pool #E64220........ 3,470
32 6.38%, 8/15/11, Series 1995, Class
EM............................... 32
1,000 7.00%, 2/15/13, Series 1942, Class
VD............................... 952
5,000 6.50%, 5/15/13, Series 2055, Class
OE............................... 4,723
115 6.50%, 8/15/13, Series 1556, Class
H................................ 107
31,110 6.50%, 7/1/14, Pool #E00721........ 30,036
113 12.00%, 8/1/15, Pool #170269....... 124
15,450 6.50%, 12/15/15, Series 2054, Class
VB............................... 14,360
41 7.50%, 11/1/16, Pool #280421....... 40
17 7.50%, 2/1/17, Pool #285128........ 17
2,000 6.00%, 2/15/17, Series 2108, Class
VB............................... 1,809
17 7.50%, 3/1/17, Pool #290818........ 17
5 7.50%, 6/1/17, Pool #294569........ 5
345 5.50%, 1/15/19, Series 1590, Class
FA............................... 339
1,590 5.50%, 11/25/23, Series 24, Class
G................................ 1,559
124 12.00%, 7/1/19, Pool #555238....... 135
792 9.50%, 7/15/19, Series 11, Class
D................................ 822
965 6.50%, 11/15/19, Series 1498, Class
F................................ 959
1,150 6.00%, 12/15/19, Series 1666, Class
E................................ 1,136
735 6.00%, 6/15/20, Series 1614, Class
H................................ 729
399 9.20%, 10/15/20, Series 84, Class
F................................ 409
225 8.13%, 11/15/20, Series 81, Class
A................................ 227
345 9.10%, 1/15/21, Series 109, Class
I................................ 356
5,000 7.00%, 1/17/21, Series 2190, Class
PU............................... 4,824
289 6.50%, 12/15/21, Series 1552, Class
GB............................... 279
2,000 7.50%, 3/15/22, Series 1459, Class
L................................ 1,949
250 6.25%, 3/15/22, Series 1671, Class
F................................ 247
3,936 8.00%, 6/15/22, Series 1316, Class
Z................................ 3,957
216 8.66%, 8/15/22, Series 1541,
Class KN, IF*.................... 196
1,000 7.50%, 8/15/22, Series 1721, Class
G................................ 1,000
99 8.50%, 9/15/22, Series 198, Class
Z................................ 101
255 7.00%, 10/15/22, Series 1547, Class
PK............................... 251
1,700 6.75%, 11/15/22, Series 1552, Class
H................................ 1,645
733 6.50%, 11/15/22, Series 1552,
Class HB 3....................... 698
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 782 6.50%, 2/15/23, Series 1522, Class
N................................ $ 733
2,500 6.50%, 3/15/23, Series 2137, Class
Tl............................... 2,412
802 6.00%, 5/15/23, Series 1630, Class
PJ............................... 733
13,318 6.00%, 6/15/23, Series 1637, Class
G................................ 12,702
638 7.00%, 7/15/23, Series 1542, Class
Z................................ 581
500 6.50%, 9/15/23, Series 1633, Class
B................................ 482
307 6.50%, 9/15/23, Series 1574, Class
T................................ 273
875 6.50%, 9/15/23, Series 1577, Class
Pv............................... 801
1,500 7.00%, 9/25/23, Series 29, Class
J................................ 1,441
680 6.50%, 11/15/23, Series 1617, Class
D................................ 628
4,332 6.25%, 11/25/23, Series 24, Class
J................................ 4,029
7,234 6.50%, 1/1/24, Gold Pool #C80091... 6,885
1,976 10.00%, 2/15/24, Series 1671, Class
QC............................... 2,197
336 6.50%, 2/15/24, Series 1682, Class
E................................ 311
535 7.50%, 6/1/24, Pool #C80161........ 531
8,597 7.00%, 9/1/24, Pool #G00271........ 8,332
2,722 7.50%, 10/1/24, Pool #C80245....... 2,701
5,326 7.00%, 11/1/24, Pool #G00278....... 5,162
1,336 6.50%, 11/15/23, Series 2093, Class
G................................ 1,209
3,000 6.50%, 9/15/26, Series 2067, Class
PD............................... 2,840
3,600 6.25%, 10/15/26, Series 2082, Class
PG............................... 3,329
2,400 6.25%, 12/15/26, Series 2075, Class
QG............................... 2,254
206 7.50%, 2/1/27, Pool #00496......... 204
157 7.50%, 2/1/27, Pool #78499......... 155
10,000 6.50%, 7/15/27, Series 2137, Class
TG............................... 9,471
6,131 8.00%, 8/1/27, Gold Pool #G00747... 6,172
2,516 7.00%, 8/1/27, Gold Pool #D81734... 2,436
3,000 6.00%, 11/15/27, Series 2132, Class
PD............................... 2,739
8,000 6.00%, 12/15/27, Series 2123, Class
PE............................... 7,345
7,000 6.50%, 1/15/28, Series 2137, Class
TM............................... 6,631
289 7.00%, 2/1/28, Pool #086005........ 279
321 6.50%, 4/15/28, Series 2046, Class
PN............................... 291
2,000 7.00%, 10/15/28, Series 2089, Class
PJ............................... 735
10,000 6.00%, 11/15/28, Series 2091, Class
PG............................... 8,656
4,982 6.00%, 2/1/29, Pool #C21930........ 4,566
4,789 6.50%, 6/1/29, Gold Pool #C00785... 4,523
4,916 7.00%, 8/1/29...................... 4,752
----------
228,111
----------
Government National Mortgage Assoc. (3.7%):
55 8.00%, 5/15/04, Pool #002597....... 55
216 7.50%, 6/15/07, Pool #017109....... 215
16 8.00%, 10/15/07, Pool #20471....... 16
72 8.00%, 10/15/07, Pool #19860....... 72
71 8.00%, 11/15/07, Pool #21064....... 71
28 8.00%, 1/15/08, Pool #21259........ 29
68 8.00%, 5/15/08, Pool #23139........ 68
58 9.00%, 4/15/16, Pool #159851....... 61
48 9.00%, 9/15/16, Pool #164740....... 49
</TABLE>
Continued
70
<PAGE> 73
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 25 9.00%, 11/15/16, Pool #193234...... $ 26
371 9.00%, 12/15/16, Pool #190923...... 386
32 9.00%, 12/15/16, Pool #151253...... 33
42 9.00%, 12/15/16, Pool #183237...... 44
82 9.00%, 12/15/16, Pool #190783...... 85
122 9.00%, 1/15/17, Pool #180482....... 126
5 9.00%, 5/15/17, Pool #2003439...... 5
1,658 7.50%, 10/15/22, Pool #297656...... 1,656
202 7.00%, 1/15/23, Pool #339885....... 197
357 7.00%, 2/15/24, Pool #376855....... 348
53 7.00%, 4/15/24, Pool #389850....... 52
106 7.00%, 4/15/24, Pool #380930....... 103
640 7.00%, 4/15/24, Pool #359713....... 624
1,270 9.00%, 11/15/24, Pool #780029...... 1,319
3,537 7.50%, 7/15/26, Pool #430999....... 3,520
294 8.00%, 8/20/26, Pool #2270......... 297
746 6.38%, 11/20/26, Series 98-14,
Class PG......................... 687
289 7.75%, 2/15/27, Pool #438633....... 290
225 7.50%, 2/15/27, Pool #442422....... 223
183 8.00%, 3/20/27, Pool #2397......... 184
1,500 7.50%, 5/16/27, Series 97-8, Class
PN............................... 1,450
1,888 8.00%, 6/20/27, Pool #2445......... 1,900
4,586 7.50%, 7/20/27, Pool #2457......... 4,534
333 7.00%, 11/15/27, Pool #460982...... 325
8,669 6.50%, 2/15/28, Pool #460759....... 8,232
303 8.00%, 4/20/28, Pool #002581....... 305
277 8.00%, 6/20/28, Pool #002606....... 278
856 8.00%, 7/20/28, Pool #2619......... 861
1,717 8.00%, 8/20/28, Pool #2633......... 1,728
9,474 6.00%, 11/15/28, Pool #486678...... 8,734
4,956 6.50%, 6/15/29, Pool #472969....... 4,706
6,884 6.50%, 10/15/29, Pool #781118...... 6,545
----------
50,439
----------
U.S. Government Agency (0.3%):
1,915 Federal Housing Administration,
7.43%, 8/1/20.................... 1,853
2,684 Federal Housing Administration,
Greystone Series 96-2, 7.43%,
11/1/22.......................... 2,600
----------
4,453
----------
Total U.S. Government Agency Mortgages 399,544
----------
U.S. TREASURY OBLIGATIONS (18.7%):
U.S. Treasury Bonds (18.3%):
6,050 11.88%, 11/15/03................... 7,048
33,500 10.75%, 8/15/05.................... 39,938
46,815 12.75%, 11/15/10................... 59,996
8,385 10.38%, 11/15/12................... 10,321
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Bonds, continued:
$ 750 7.25%, 5/15/16..................... $ 825
5,500 7.50%, 11/15/16.................... 6,196
10,925 8.88%, 8/15/17..................... 13,899
15,125 9.13%, 5/15/18..................... 19,738
14,000 9.00%, 11/15/18.................... 18,152
5,000 8.13%, 8/15/19..................... 6,033
1,150 8.50%, 2/15/20..................... 1,440
8,000 8.75%, 5/15/20..................... 10,250
12,685 8.13%, 5/15/21..................... 15,448
13,450 8.13%, 8/15/21..................... 16,405
7,125 8.00%, 11/15/21.................... 8,601
13,600 7.13%, 2/15/23..................... 15,092
----------
249,382
----------
U.S. Treasury Inflation Protected Bonds (0.4%):
1,069 3.63%, 7/15/02..................... 1,062
2,809 3.38%, 1/15/07..................... 2,697
1,058 3.63%, 4/15/28..................... 1,010
----------
4,769
----------
U.S. Treasury STRIPS (0.0%):
308 5/15/13............................ 139
230 5/15/17............................ 81
810 5/15/18............................ 269
----------
489
----------
Total U.S. Treasury Obligations 254,640
----------
INVESTMENT COMPANIES (1.4%):
19,260 One Group Prime Money Market Fund,
Class I.......................... 19,260
----------
Total Investment Companies 19,260
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (18.2%):
Master Notes (2.7%):
$ 12,047 Bear Stearns Mortgage Capital,
7.40%, 7/3/00*................... 12,047
3,614 Danaher, 7.31%, 7/3/00*............ 3,614
6,987 General Mills, 6.83%, 7/3/00*...... 6,987
10,842 Lehman Brothers, 7.44%, 7/3/00*.... 10,842
2,530 NationsBanc Capital Markets, 7.33%,
7/3/00*.......................... 2,530
----------
36,020
----------
Put Bonds (8.5%):
6,023 Associates Corp., 7.00%,
9/17/01*......................... 6,091
8,433 Bank of America, 6.32%, 7/5/01*.... 8,530
4,819 Caterpillar Finance, 7.05%,
5/1/01*.......................... 4,819
6,023 Chase Manhattan, 7.02%, 5/4/01*.... 6,023
6,023 Chase Manhattan, 7.11%, 5/6/02*.... 6,023
</TABLE>
Continued
71
<PAGE> 74
One Group Mutual Funds
Income Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 6,023 Ford Motor Credit, 6.99%,
11/27/00*........................ $ 6,086
6,023 GMAC, 7.08%, 4/30/01*.............. 6,023
6,023 GMAC, 7.07%, 5/30/01*.............. 6,023
6,023 Goldman Sachs, 7.05%, 11/19/01*
(b).............................. 6,023
9,035 Jackson National, 7.50%,
4/15/01*......................... 9,035
6,023 JP Morgan & Co., 7.01%, 5/4/01*.... 6,023
6,023 Lehman Brothers, 6.80%, 6/1/01*.... 6,046
2,409 Liberty Lighthouse, 7.08%,
4/12/02*......................... 2,408
6,023 Merrill Lynch, 7.16%, 5/6/02*...... 6,023
6,023 Salomon Smith Barney, 6.84%,
4/12/01*......................... 6,023
4,819 Sigma Financial, 7.31%, 2/2/01*.... 4,819
6,023 Sigma Financial, 6.91%, 5/15/01*... 6,023
8,433 SPARCC, 6.65%, 9/25/00*............ 8,433
6,023 US Bancorp, 6.78%, 5/8/02*......... 6,023
----------
116,497
----------
Repurchase Agreements (7.0%):
16,865 Goldman Sachs, 7.21%, 7/3/00,
(Collateralized by $18,944
various Corporate Bonds,
5.20% - 9.45%, 3/19/01 - 6/1/37,
market value $18,344)............ 16,865
30,117 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $31,870
various Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$31,728)......................... 30,117
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ----------------------------------- ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 5,462 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $5,736 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $5,627)... $ 5,462
18,070 Paine Webber, 7.27%, 7/3/00,
(Collateralized by $19,242
various Corporate Bonds,
6.50% - 9.63%, 6/1/01 - 6/15/25,
market value $18,974)............ 18,070
24,093 Salomon Smith Barney, 7.17%,
7/3/00, (Collateralized by
$25,396 various Commercial Paper,
0.00%,
7/6/00 - 10/3/00, market value
$25,298)......................... 24,093
----------
94,607
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 247,124
----------
Total (Cost $1,623,624) (a) $1,597,806
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,358,969.
(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 $6. Cost for federal income tax purposes differs from value by
net unrealized appreciation (depreciation) of securities as follows (amounts
in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 16,761
Unrealized depreciation...................... (42,585)
--------
Net unrealized appreciation (depreciation)... $(25,824)
========
</TABLE>
(b) 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 $101,256 or 7.45% of net assets.
(c) Safety Kleen, which filed for protection under Chapter 11 of the Federal
Bankruptcy Code, has $0 accrued interest and amortized cost of $733.
* 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 Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
72
<PAGE> 75
One Group Mutual Funds
Government Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (70.8%):
Fannie Mae (20.4%):
$ 53 7.00%, 9/1/02, Pool #250355.......... $ 52
2,310 7.00%, 4/1/03, Pool #303876.......... 2,291
80 7.50%, 5/1/03, Pool #347175.......... 80
671 7.50%, 7/1/03, Pool #250656.......... 672
21 6.50%, 4/1/04, Pool #85019........... 20
100 8.00%, 5/25/05, Series 92-146, Class
D.................................. 101
4,859 7.00%, 7/17/05, Series 97-26, Class
GD................................. 4,814
148 6.25%, 2/25/07, Series 93-129, Class
E.................................. 147
2,000 7.35%, 6/25/07, Series 93-11, Class
N.................................. 1,996
1,083 7.00%, 9/1/07, Pool #185265.......... 1,071
1,678 7.00%, 4/1/08, Pool #211750.......... 1,657
6,000 8.30%, 10/25/08, Series 93-197, Class
SC, IF*............................ 5,978
1,000 6.25%, 1/25/09, Series 94-12, Class
C.................................. 957
6,878 8.63%, 2/25/09, Series 94-13, Class
SM, IF*............................ 6,274
8,000 6.00%, 6/25/09, Series 94-86, Class
PJ................................. 7,419
1,868 7.00%, 7/1/10, Pool #250326.......... 1,840
1,314 6.50%, 12/1/10, Pool #332301......... 1,276
8,063 6.00%, 3/1/11, Pool #340683.......... 7,682
9,394 6.00%, 1/17/13, Series 98-37, Class
VB................................. 8,553
10,000 6.50%, 6/25/13, Series 94-1, Class
K.................................. 9,772
3,596 6.35%, 8/25/13, Series 93-225B,
Class VG........................... 3,470
1,936 7.50%, 6/1/14, Pool #250081.......... 1,933
4,000 6.50%, 6/25/14, Series 98-59, Class
VB................................. 3,723
1,648 7.50%, 7/1/14, Pool #250082.......... 1,645
53 10.00%, 10/1/16, Pool #70110......... 56
3,170 10.00%, 9/1/17, Pool #303969......... 3,373
3,314 9.50%, 6/25/18, Series 88-16,
Class B (b)........................ 3,478
209 10.00%, 10/1/19, Pool #231675........ 222
3,794 7.00%, 5/25/20, Series 90-57......... 3,703
102 10.00%, 7/1/20, Pool #050318......... 109
5,584 6.50%, 5/25/21, Series 92-205, Class
K.................................. 5,327
5,000 7.00%, 9/25/21, Series G92-64, Class
K.................................. 4,916
191 10.00%, 11/1/21, Pool #208372........ 204
145 10.00%, 11/1/21, Pool #208374........ 154
5,150 6.55%, 12/25/21, Series 93-137,
Class PH........................... 5,011
1,000 7.25%, 5/25/22, Series G93-9, Class
K.................................. 976
648 7.50%, 7/25/22, Series G92-35........ 642
10,785 6.50%, 2/17/23, Series G94-12, Class
C.................................. 10,305
5,000 6.50%, 5/25/23, Series 94-110, Class
H.................................. 4,743
7,400 7.00%, 9/25/23, Series 93-155, Class
PJ................................. 7,127
9,094 6.35%, 12/25/23, Series 94-43, Class
PJ................................. 8,446
5,042 7.00%, 1/25/24, Series 94-62, Class
PJ................................. 4,910
5,110 7.00%, 2/1/24, Pool #190257.......... 4,964
10,556 6.00%, 3/15/24, Series 94-51, Class
PV................................. 9,310
982 9.00%, 12/1/24, Pool #353898......... 1,017
2,524 7.00%, 8/1/25, Pool #315500.......... 2,442
16,486 6.50%, 3/1/28, Pool #251613.......... 15,561
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 2,038 7.50%, 2/20/30, Series 2000-8, Class
Z.................................. $ 1,948
5,919 7.50%, 3/1/30, Pool #524949.......... 5,835
8,977 7.50%, 4/1/30, Pool #530816.......... 8,857
7,985 7.50%, 4/1/30, Pool #536916.......... 7,872
--------
194,931
--------
Freddie Mac (33.7%):
1,571 7.50%, 11/15/01, Series 1318, Class
JB................................. 1,576
32 6.70%, 5/15/05, Series 1233, Class
F.................................. 31
247 9.00%, 11/1/05, Pool #B00203......... 253
182 9.00%, 5/1/06, Pool #B00282.......... 185
1,000 7.00%, 10/15/06, Series 1150, Class
I.................................. 984
13 7.25%, 5/1/07, Pool #185801.......... 13
3,425 7.00%, 9/15/07, Series 1457, Class
PJ................................. 3,388
4,850 6.50%, 4/15/08, Series 1489, Class
I.................................. 4,626
2,543 7.50%, 4/1/09, Gold Pool #E00315..... 2,547
290 9.00%, 8/1/09, Pool #279063.......... 296
16,500 6.50%, 9/15/09, Series 1838, Class
G.................................. 16,051
506 9.00%, 12/1/09, Pool #256360......... 516
1,613 8.50%, 1/1/10, Gold Pool #G10305..... 1,651
3,895 6.00%, 4/1/14, Pool #E76438.......... 3,695
15,349 6.00%, 4/1/14, Pool #E76504.......... 14,563
35,905 6.50%, 6/1/14, Pool #E00678.......... 34,666
2 9.50%, 4/1/16, Pool #170161.......... 2
1,000 6.00%, 2/15/17, Series 2108, Class
VB................................. 905
102 9.00%, 10/1/17, Gold Pool #A00756.... 106
101 9.00%, 4/1/18, Gold Pool #A01143..... 104
26 9.00%, 10/1/20, Gold Pool #A01134.... 27
28 9.00%, 1/1/21, Gold Pool #A00948..... 30
500 7.25%, 2/15/21, Series 1464.......... 499
4,630 6.00%, 3/15/21, Series 2081.......... 4,524
9 9.00%, 4/1/21, Gold Pool #D04193..... 9
40 9.00%, 6/1/21, Gold Pool #A01017..... 41
43 9.00%, 7/1/21, Gold Pool #A01093..... 45
25 9.00%, 9/1/21, Gold Pool #D32271..... 25
44 9.00%, 11/1/21, Gold Pool #D11866.... 46
35 9.00%, 11/1/21, Gold Pool #D11191.... 36
24 9.00%, 11/1/21, Gold Pool #C00078.... 25
5,500 6.50%, 1/15/22, Series 2149, Class
TR................................. 5,328
129 9.00%, 5/1/22, Gold Pool #D19203..... 133
900 7.00%, 8/25/22, Series 13, Class
PL................................. 883
10,000 5.50%, 9/15/22, Series 1367, Class
K.................................. 8,488
6,200 6.50%, 11/15/22, Series 1552, Class
HB................................. 5,904
2,380 7.00%, 4/15/23, Pool #348645......... 2,325
4,554 10.00%, 10/15/23, Series 1591, Class
E.................................. 5,081
8,837 6.00%, 10/15/23, Series 1785, Class
A.................................. 7,646
17,851 5.00%, 11/15/23, Series 1686, Class
PG................................. 17,381
7,053 6.50%, 1/1/24, Gold Pool #C80091..... 6,713
3,000 6.50%, 3/15/24, Series 1694, Class
PK................................. 2,805
1,717 8.50%, 5/1/24, Gold Pool #G00229..... 1,760
1,440 8.50%, 7/1/24, Gold Pool #C00354..... 1,474
1,245 7.50%, 9/1/24, Gold Pool #D56307..... 1,236
</TABLE>
Continued
73
<PAGE> 76
One Group Mutual Funds
Government Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 5,000 6.80%, 10/15/24, Series 2236, Class
FP................................. $ 4,991
2,218 8.00%, 11/1/24, Gold Pool #C00376.... 2,237
1,528 7.50%, 8/1/25, Gold Pool #C00414..... 1,514
2,592 7.00%, 8/1/25, Gold Pool #C00418..... 2,510
2,053 8.00%, 9/1/25, Gold Pool #D63705..... 2,069
2,121 7.00%, 9/1/25, Gold Pool #D63303..... 2,053
7,678 7.00%, 4/1/26, Gold Pool #D69811..... 7,434
3,384 6.50%, 6/1/26, Pool #250575.......... 3,201
11,800 6.50%, 10/17/26, Series 1985, Class
PL................................. 10,919
10,500 6.00%, 2/15/27, Series 2091, Class
PF................................. 9,608
14,000 6.25%, 4/15/27, Series 2018, Class
PE................................. 12,754
5,000 6.50%, 1/15/28, Series 2137, Class
TM................................. 4,737
5,000 7.00%, 2/15/28, Series 2031, Class
PG................................. 4,685
9,000 6.95%, 3/15/28, Series 2035, Class
PC................................. 8,512
10,000 6.50%, 6/15/28, Series 2064, Class
PD................................. 9,166
2,948 8.50%, 7/1/28, Gold Pool #G00981..... 3,015
14,000 6.50%, 10/25/28, Series 98-64,
Class TM........................... 12,802
4,545 6.50%, 2/1/29, Pool #C22459.......... 4,295
2,266 6.50%, 4/1/29, Gold Pool #C24553..... 2,140
27,333 6.50%, 4/1/29, Pool #C00742.......... 25,817
9,942 6.50%, 6/1/29, Gold Pool #C00785..... 9,391
906 6.50%, 7/1/29, Gold Pool #C29124..... 856
18,970 6.50%, 8/1/29, Gold Pool #C00843..... 17,917
--------
321,245
--------
Government National Mortgage Assoc. (16.7%):
4 8.50%, 6/15/01, Pool #166491......... 4
1 8.50%, 7/15/01, Pool #161997......... 1
12 9.50%, 9/15/01, Pool #180786......... 12
1 9.00%, 9/15/01, Pool #174330......... 1
8 9.00%, 9/15/01, Pool #166928......... 8
9 8.50%, 11/15/01, Pool #179383........ 9
8 9.00%, 12/15/01, Pool #187723........ 8
10 8.50%, 12/15/01, Pool #199837........ 10
13 8.00%, 3/15/02, Pool #205933......... 13
2 9.00%, 7/15/02, Pool #227176......... 2
57 9.00%, 5/15/03, Pool #154134......... 59
59 9.00%, 6/15/05, Pool #283904......... 61
30 9.00%, 8/15/05, Pool #291836......... 31
22 9.00%, 9/15/05, Pool #292898......... 23
7 9.00%, 9/15/05, Pool #295227......... 7
28 8.00%, 7/15/06, Pool #11337.......... 28
17 7.50%, 7/15/07, Pool #17316.......... 17
40 8.00%, 8/15/07, Pool #18677.......... 41
26 8.00%, 8/15/07, Pool #18539.......... 26
73 7.50%, 12/15/07, Pool #338189........ 74
643 6.50%, 7/15/08, Pool #349693......... 632
40 9.00%, 11/15/08, Pool #27932......... 41
82 6.50%, 3/15/09, Pool #367398......... 81
54 9.00%, 4/15/09, Pool #30352.......... 56
10 9.00%, 5/15/09, Pool #32214.......... 11
</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:
$ 1,711 6.50%, 5/15/09, Pool #366779......... $ 1,677
2 9.50%, 7/15/09, Pool #34487.......... 2
93 9.50%, 9/15/09, Pool #34878.......... 97
18 9.50%, 10/15/09, Pool #36804......... 19
13 11.00%, 11/15/09, Pool #37615........ 15
12 11.00%, 6/15/15, Pool #130125........ 13
28 9.00%, 5/15/16, Pool #149877......... 29
28 9.00%, 6/15/16, Pool #166130......... 30
4 9.00%, 6/15/16, Pool #157147......... 5
9 9.50%, 7/15/16, Pool #166772......... 10
39 9.00%, 7/15/16, Pool #144968......... 41
87 9.00%, 7/15/16, Pool #151273......... 91
48 9.00%, 7/15/16, Pool #158921......... 50
38 9.00%, 7/15/16, Pool #167475......... 40
70 9.50%, 8/15/16, Pool #177531......... 74
71 9.00%, 9/15/16, Pool #179044......... 74
163 9.00%, 9/15/16, Pool #169908......... 169
40 9.00%, 10/15/16, Pool #173089........ 41
49 9.00%, 11/15/16, Pool #183868........ 50
72 9.00%, 11/15/16, Pool #156478........ 75
7 9.50%, 1/15/17, Pool #185619......... 7
97 9.00%, 2/15/17, Pool #195058......... 101
8 9.00%, 2/15/17, Pool #201757......... 8
156 9.00%, 6/15/17, Pool #219079......... 162
205 9.50%, 8/15/17, Pool #201217......... 214
31 9.50%, 8/15/17, Pool #218841......... 32
21 9.50%, 8/15/17, Pool #224015......... 22
4 9.00%, 8/15/17, Pool #225825......... 4
72 9.00%, 6/15/18, Pool #238161......... 74
32 9.50%, 8/15/18, Pool #248390......... 33
1 9.00%, 10/15/18, Pool #253188........ 1
27 9.50%, 12/15/18, Pool #263400........ 29
79 10.00%, 4/15/19, Pool #257047........ 84
26 10.00%, 5/15/19, Pool #269607........ 27
2 9.00%, 10/15/19, Pool #267676........ 2
18 9.00%, 11/15/19, Pool #162768........ 19
118 9.50%, 12/15/19, Pool #281696........ 123
35 9.00%, 1/15/20, Pool #283138......... 37
16 9.00%, 2/15/20, Pool #276157......... 17
24 9.50%, 9/15/20, Pool #292918......... 25
37 9.50%, 12/15/20, Pool #291865........ 38
5,545 9.00%, 8/15/21, Pool #306081......... 5,754
1,691 9.00%, 12/15/21, Pool #780284........ 1,757
19 7.50%, 2/15/22, Pool #324025......... 19
205 8.00%, 7/15/22, Pool #321560......... 208
393 7.50%, 8/15/22, Pool #337141......... 393
19 7.00%, 10/15/22, Pool #337175........ 19
113 7.00%, 11/15/22, Pool #323008........ 110
20 7.00%, 12/15/22, Pool #339969........ 19
252 7.00%, 1/15/23, Pool #342248......... 246
323 7.00%, 1/15/23, Pool #332022......... 316
191 7.00%, 1/15/23, Pool #346214......... 186
</TABLE>
Continued
74
<PAGE> 77
One Group Mutual Funds
Government Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(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:
$ 25 7.00%, 1/15/23, Pool #321675......... $ 25
227 7.00%, 1/15/23, Pool #341536......... 221
31 7.00%, 3/15/23, Pool #350110......... 30
39 7.00%, 5/15/23, Pool #338005......... 38
479 7.00%, 5/15/23, Pool #221604......... 468
544 7.00%, 5/15/23, Pool #346572......... 531
503 7.00%, 5/15/23, Pool #351041......... 491
510 7.00%, 5/15/23, Pool #342348......... 498
208 6.50%, 5/15/23, Pool #343208......... 199
2,635 7.50%, 6/15/23, Pool #358801......... 2,630
3,727 7.50%, 6/15/23, Pool #359588......... 3,719
286 6.50%, 6/15/23, Pool #348677......... 273
43 6.50%, 6/15/23, Pool #358250......... 41
72 6.50%, 6/15/23, Pool #346624......... 69
45 6.50%, 6/15/23, Pool #349788......... 43
228 7.00%, 7/15/23, Pool #358382......... 223
101 7.00%, 7/15/23, Pool #357782......... 98
155 7.00%, 7/15/23, Pool #325977......... 152
536 7.00%, 7/15/23, Pool #362982......... 523
277 7.00%, 7/15/23, Pool #360889......... 271
352 7.00%, 7/15/23, Pool #360697......... 344
15 7.00%, 7/15/23, Pool #350709......... 15
228 7.00%, 7/15/23, Pool #353569......... 223
583 7.00%, 7/15/23, Pool #346673......... 570
21 7.00%, 7/15/23, Pool #354538......... 20
256 6.50%, 7/15/23, Pool #322200......... 245
89 6.50%, 8/15/23, Pool #359027......... 85
302 6.50%, 8/15/23, Pool #353137......... 289
420 6.50%, 8/15/23, Pool #356717......... 401
229 6.50%, 8/15/23, Pool #344505......... 219
196 6.50%, 8/15/23, Pool #360738......... 187
116 6.50%, 8/15/23, Pool #360713......... 111
37 6.50%, 9/15/23, Pool #339041......... 36
541 6.50%, 9/15/23, Pool #345375......... 517
2,157 8.00%, 10/15/23, Pool #354681........ 2,190
160 6.50%, 10/15/23, Pool #345391........ 153
331 6.00%, 10/15/23, Pool #364717........ 308
269 6.00%, 10/15/23, Pool #345389........ 250
32 6.00%, 10/15/23, Pool #370006........ 30
443 6.50%, 11/15/23, Pool #369356........ 423
14 6.50%, 11/15/23, Pool #370927........ 13
426 6.50%, 12/15/23, Pool #369830........ 407
24 6.50%, 12/15/23, Pool #370289........ 23
118 6.50%, 12/15/23, Pool #349944........ 113
66 6.50%, 12/15/23, Pool #365740........ 63
755 6.50%, 12/15/23, Pool #349265........ 721
386 6.50%, 1/15/24, Pool #379127......... 368
295 6.50%, 2/15/24, Pool #389200......... 282
284 6.50%, 2/15/24, Pool #371999......... 271
15,307 6.50%, 2/15/24, Pool #354747......... 14,615
234 6.50%, 2/15/24, Pool #370338......... 223
125 6.50%, 2/15/24, Pool #380818......... 119
</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:
$ 1,048 6.50%, 2/15/24, Pool #362341......... $ 1,001
933 7.00%, 2/16/24, Series 96-21, Class
D.................................. 898
376 7.00%, 3/15/24, Pool #391552......... 367
1,008 7.00%, 3/15/24, Pool #379328......... 984
652 7.00%, 4/15/24, Pool #355128......... 636
1,387 7.00%, 4/15/24, Pool #379001......... 1,354
42 7.50%, 6/15/24, Pool #389827......... 42
232 7.50%, 6/15/24, Pool #388747......... 231
140 8.00%, 9/15/24, Pool #393908......... 142
1,454 8.00%, 9/15/24, Pool #403212......... 1,476
470 8.50%, 10/15/24, Pool #407073........ 483
3,629 9.00%, 11/15/24, Pool #780029........ 3,770
89 8.00%, 6/15/25, Pool #385370......... 90
90 7.50%, 6/15/25, Pool #401860......... 89
885 8.00%, 7/15/25, Pool #377557......... 898
854 7.25%, 12/15/25, Pool #411361........ 840
73 7.50%, 3/15/26, Pool #381163......... 72
2,648 7.50%, 3/15/26, Pool #422308......... 2,634
4,350 8.00%, 7/15/26, Pool #412644......... 4,410
93 8.00%, 8/15/26, Pool #436445......... 94
2,275 8.00%, 11/20/26, Pool #G22324........ 2,292
4,898 8.00%, 12/20/26, Pool #2344.......... 4,934
1,275 7.50%, 3/15/27, Pool #432398......... 1,268
14,500 6.50%, 6/20/27, Series 97-19, Class
PJ................................. 13,515
3,592 6.00%, 7/20/27, Pool #80094.......... 3,606
15,000 6.25%, 8/20/27, Series 98-1, Class
PD................................. 13,565
7,943 8.00%, 11/20/27, Pool #2512.......... 7,995
5,228 7.50%, 1/15/28, Pool #461625......... 5,198
9,324 7.50%, 2/15/28, Pool #462562......... 9,271
74 7.00%, 6/15/28, Pool #472679......... 72
10,549 7.50%, 7/15/28, Pool #780828......... 10,494
10,800 7.50%, 9/16/28, Series 99-33B, Class
PQ................................. 10,718
5,000 6.50%, 9/20/28, Series 98-22,
Class PD........................... 4,522
4,500 6.00%, 5/20/29, Series 99-17, Class
L.................................. 3,749
--------
160,031
--------
Total U.S. Government Agency Mortgages 676,207
--------
U.S. GOVERNMENT AGENCY SECURITIES (11.4%):
Fannie Mae (4.0%):
15,000 7.16%, 5/11/05....................... 15,084
15,000 5.00%, 2/2/06........................ 14,213
10,211 6.38%, 6/15/09....................... 9,693
--------
38,990
--------
Federal Agricultural Mortgage Corp. (0.1%):
500 7.56%, 5/28/02....................... 506
--------
Federal Home Loan Bank (0.1%):
500 7.50%, 8/10/04....................... 508
--------
Financial Corporation STRIPS (0.2%):
180 10/5/05.............................. 126
334 12/27/05............................. 230
</TABLE>
Continued
75
<PAGE> 78
One Group Mutual Funds
Government Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Financial Corporation STRIPS, continued:
$ 500 10/6/06.............................. $ 327
1,000 11/11/06............................. 651
500 12/27/06............................. 322
--------
1,656
--------
Freddie Mac (0.5%):
4,500 7.00%, 11/18/02...................... 4,520
250 7.93%, 1/20/05....................... 258
--------
4,778
--------
Resolution Funding Corp. (3.9%):
53,000 Principal STRIPS, 7/15/20............ 14,311
50,000 Principal STRIPS, 7/15/20............ 13,449
25,000 Principal STRIPS, 10/15/20........... 6,645
15,000 Principal STRIPS, 4/15/28............ 2,527
5,000 Principal STRIPS, 4/15/30............ 754
--------
37,686
--------
Tennessee Valley Authority (2.6%):
25,000 6.24%, 7/15/45, Putable on
7/15/01 @ 100...................... 24,831
--------
Total U.S. Government Agency Securities 108,955
--------
U.S. TREASURY OBLIGATIONS (15.4%):
U.S. Treasury Bonds (3.7%):
1,000 9.38%, 2/15/06....................... 1,144
1,500 10.38%, 11/15/09..................... 1,719
25,000 8.13%, 8/15/19....................... 30,164
2,500 7.13%, 2/15/23....................... 2,774
--------
35,801
--------
U.S. Treasury Inflation Protected Bonds (3.2%):
31,790 3.63%, 1/15/08....................... 30,837
--------
U.S. Treasury Notes (5.7%):
4,500 6.13%, 7/31/00....................... 4,503
2,775 8.75%, 8/15/00....................... 2,786
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes, continued:
$32,800 6.25%, 4/30/01....................... $ 32,748
1,000 7.88%, 8/15/01....................... 1,015
5,425 6.38%, 8/15/02....................... 5,418
150 6.25%, 2/15/03....................... 150
2,150 5.75%, 8/15/03....................... 2,114
5,500 6.50%, 8/15/05....................... 5,560
--------
54,294
--------
U.S. Treasury STRIPS (2.8%):
5,000 8/15/02.............................. 4,373
30,000 11/15/09............................. 16,598
20,000 5/15/20.............................. 5,889
--------
26,860
--------
Total U.S. Treasury Obligations 147,792
--------
INVESTMENT COMPANIES (2.2%):
21,500 One Group Government Money Market
Fund, Class I...................... 21,500
--------
Total Investment Companies 21,500
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (0.6%):
Repurchase Agreements (0.6%):
$ 6,151 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $27,971 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $6,686)............... 6,151
--------
Total Short-Term Securities Held as Collateral
for
Securities Lending
6,151
--------
Total (Cost $978,502) (a) $960,605
========
</TABLE>
------------
Percentages indicated are based on net assets of $956,897.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 8,895
Unrealized depreciation...................... (26,792)
--------
Net unrealized appreciation (depreciation)... $(17,897)
========
</TABLE>
(b) Serves as collateral for Futures Contracts.
* 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 Portolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
76
<PAGE> 79
One Group Mutual Funds
Treasury & Agency Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY (34.2%):
Federal Farm Credit Bank (12.2%):
$ 3,000 5.90%, 10/21/05...................... $ 2,842
7,000 7.16%, 5/15/06....................... 7,018
3,100 7.60%, 7/24/06....................... 3,173
3,000 5.38%, 2/11/08....................... 2,773
2,000 5.87%, 9/2/08........................ 1,844
2,000 5.93%, 7/6/10........................ 1,834
--------
19,484
--------
Federal Home Loan Bank (10.2%):
6,840 5.79%, 12/1/03....................... 6,573
4,000 8.22%, 11/17/04...................... 4,176
1,000 5.94%, 12/1/05....................... 944
5,000 5.89%, 7/7/08........................ 4,619
--------
16,312
--------
FICO Strips (5.7%):
2,425 0.00%, 8/8/01........................ 2,254
3,675 0.00%, 6/27/02....................... 3,224
4,051 0.00%, 8/8/02........................ 3,529
--------
9,007
--------
Tennessee Valley Authority (6.1%):
10,000 6.13%, 7/15/03....................... 9,683
--------
Total U.S. Government Agency 54,486
--------
U.S. TREASURY OBLIGATIONS (61.3%):
U.S. Treasury Bonds (49.7%):
18,500 11.63%, 11/15/02..................... 20,575
19,000 11.88%, 11/15/03..................... 22,135
28,500 12.75%, 11/15/10..................... 36,525
--------
79,235
--------
</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 (2.6%):
$ 4,322 3.38%, 1/15/07....................... $ 4,149
--------
U.S. Treasury Notes (9.0%):
4,000 4.88%, 3/31/01....................... 3,953
10,500 6.25%, 2/28/02....................... 10,463
--------
14,416
--------
Total U.S. Treasury Obligations 97,800
--------
INVESTMENT COMPANIES (2.6%):
4,163 One Group Treasury Only Money Market
Fund, Class I...................... 4,163
--------
Total Investment Companies 4,163
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (6.8%):
Repurchase Agreements (6.8%):
$10,796 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $49,092 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $11,734).............. 10,796
--------
Total Short-Term Securities Held as Collateral
for Securities Lending 10,796
--------
Total (Cost $172,363) (a) $167,245
========
</TABLE>
------------
Percentages indicated are based on net assets of $159,414.
(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 $438. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 313
Unrealized depreciation...................... (5,869)
-------
Net unrealized appreciation (depreciation)... $(5,556)
=======
</TABLE>
See notes to financial statements.
77
<PAGE> 80
One Group Mutual Funds
High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMERCIAL PAPER (3.4%):
Financial Services (3.0%):
$3,000 Ford Motor Credit Corp., 0.00%,
7/3/00............................. $ 2,999
1,000 Riverwood, 6.53%, 7/3/00............. 1,000
1,000 Riverwood, 6.53%, 7/5/00............. 1,000
1,000 Sheffield Receivable Corp., 0.00%,
7/3/00............................. 1,000
1,000 Southern Company, 0.00%, 7/5/00...... 1,000
--------
6,999
--------
Packaging (0.4%):
1,000 Grand Funding Dp, 6.58%, 7/5/00...... 1,000
--------
Total Commercial Paper 7,999
--------
COMMON STOCKS (0.4%):
Oil & Gas (0.3%):
9 Grant Prideco, Inc................... 213
9 Weatherford International............ 340
--------
553
--------
Telecommunications/Mobile, Cellular (0.1%):
1 AT&T Canada, Inc..................... 23
8 Convergent Communications............ 65
10 Mcleod, Inc.......................... 212
2 Viatel, Inc.......................... 46
--------
346
--------
Total Common Stocks 899
--------
CORPORATE BONDS (87.5%):
Air Transport (0.9%):
2,059 Atlantic Coast Airlines, Inc., 8.75%
1/1/07 (c)......................... 2,042
--------
Automotive (5.1%):
2,000 Accuride Corp., 9.25%, 2/1/08........ 1,690
1,750 Dura Operating Corp, 9.00%, 5/1/09... 1,531
1,750 Group 1 Automotive, Inc., 10.88%,
3/1/09............................. 1,566
825 Hayes Lemmerz International, Inc.,
9.13%, 7/15/07..................... 743
1,350 JL French, Series B, 11.50%, 6/1/09,
Callable 6/1/04 @ 106.............. 1,235
1,650 Lear Corp., 9.50%, 7/15/06........... 1,592
250 Lear Seating Corp., 8.25%, 2/1/02.... 246
2,000 Oshkosh Truck Corp., 8.75%, 3/1/08... 1,871
1,750 Western Star Truck Holdings, 8.75%,
5/1/07............................. 1,636
--------
12,110
--------
Beverages & Tobacco (0.7%):
840 Cott Corp., 9.38%, 7/1/05............ 804
1,000 National Wine & Spirits, 10.13%,
1/15/09............................ 975
--------
1,779
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Broadcast Radio & TV (5.4%):
$1,750 Ackerly Group, Inc., 9.00%,
1/15/09............................ $ 1,614
160 AMFM Operating, Inc., 12.63%,
10/31/06........................... 187
150 Capstar Broadcasting, 9.25%,
7/1/07............................. 154
95 Capstar Broadcasting, 12.00%, 7/1/09,
PIK................................ 110
675 Chancellor Media Corp., 8.75%,
6/15/07............................ 680
600 Chancellor Media Corp., 8.13%,
12/15/07........................... 607
875 Chancellor Media Corp., 9.00%,
10/1/08............................ 903
1,755 Citadel Broadcasting Co., 9.25%,
11/15/08........................... 1,711
915 Granite Broadcasting Corp., 10.38%,
5/15/05............................ 874
2,250 Lamar Media Corp., 9.63%, 12/1/06.... 2,272
1,250 Salem Communication Corp., 9.50%,
10/1/07............................ 1,178
1,500 Spanish Broadcasting System, 9.63%,
11/1/09............................ 1,500
750 Tri-State Outdoor Media, 11.00%,
5/15/08............................ 694
250 Young Broadcasting, Inc., 10.13%,
2/15/05............................ 248
--------
12,732
--------
Building & Development (4.8%):
1,250 American Builders & Contractors
Supply Co., 10.63%, 5/15/07........ 1,034
1,775 Associated Materials, Inc., 9.25%,
3/1/08............................. 1,669
500 Collins & Aikman Floorcoverings,
10.00%, 1/15/07.................... 489
2,250 D.R. Horton, 10.50%, 4/1/05.......... 2,274
1,000 Fedders North America, 9.38%,
8/15/07............................ 944
1,250 MMI Products, Inc., 11.25%,
4/15/07............................ 1,238
1,750 NCI Building Systems, Inc., 9.25%,
5/1/09............................. 1,654
1,000 Omega Cabinets, 10.50%, 6/15/07...... 925
1,400 Williams Scotsman, Inc., 9.88%,
6/1/07............................. 1,281
--------
11,508
--------
Business Equipment & Services (0.9%):
1,000 Iron Mountain, Inc., 10.13%,
10/1/06............................ 1,004
500 Pierce Leahy Corp., 11.13%,
7/15/06............................ 519
500 Pierce Leahy Corp., 8.13%, 5/15/08... 443
300 United Stationer Supply Co., 8.38%,
4/15/08............................ 276
--------
2,242
--------
</TABLE>
Continued
78
<PAGE> 81
One Group Mutual Funds
High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Cable Television (5.1%):
$2,000 Charter Community Holdings, 10.25%,
1/15/10 (c)........................ $ 1,945
2,575 Classic Cable, Inc., 9.38%, 8/1/09... 2,259
450 CSC Holdings, Inc., 9.25%, 11/1/05... 455
250 CSC Holdings, Inc., 7.88%,
12/15/07........................... 242
225 CSC Holdings, Inc., 9.88%, 2/15/13... 232
275 Lenfest Communications, 8.25%,
2/15/08............................ 273
2,250 Mediacom L.L.C., 8.50%, 4/15/08...... 2,080
1,500 RCN Corp., 0.00%/9.80%, 2/15/08...... 863
535 Rogers Cablesystems Ltd., 10.00%,
3/15/05............................ 550
1,500 Susquehanna Media Co., 8.50%,
5/15/09............................ 1,433
1,250 TeleWest Communication PLC., Series
B, 0.00%/11.00%, 10/1/07........... 1,191
300 UIH Australia/Pacific, Series B,
0.00%/14.00%, 5/15/06.............. 278
525 United International Holdings, Inc.,
0.00%/10.75%, 2/15/08.............. 370
--------
12,171
--------
Chemicals/Plastics (5.2%):
1,000 Berry Plastics Corp., 11.00%,
7/15/07, Callable 7/15/03 @ 106
(c)................................ 883
775 Buckeye Cellulose Corp., 8.50%,
12/15/05........................... 750
650 Buckeye Cellulose Corp., 9.25%,
9/15/08............................ 653
400 Huntsman Corp., 9.50%, 7/1/07 (c).... 366
2,000 Huntsman ICI Chemicals, 10.13%,
7/1/09, Callable 7/1/04 @ 105...... 2,024
250 Indesco International, 9.75%,
4/15/08............................ 94
1,275 ISP Holdings, Inc., 9.00%,
10/15/03........................... 1,194
350 ISP Holdings, Inc., Series B, 9.75%,
2/15/02............................ 342
2,250 Philipp Brothers, 9.88%, 6/1/08...... 1,609
2,000 Polymer Group, Inc., 9.00%, 7/1/07... 1,709
1,500 Portola Packaging, Inc., 10.75%,
10/1/05............................ 1,223
1,500 Scotts Co., 8.63%, 1/15/09 (c)....... 1,448
--------
12,295
--------
Clothing/Textiles (0.3%):
750 Coyne International Enterprises,
11.25%, 6/1/08..................... 628
200 Dyersburg Corp., 9.75%, 9/1/07....... 47
--------
675
--------
Containers & Packaging (1.3%):
2,075 Ball Corp, 8.25%, 8/1/08............. 1,960
1,250 LLS Corp., 11.63%, 8/1/09, Callable
8/1/04 @ 106....................... 1,188
--------
3,148
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Cosmetics/Toiletries (0.9%):
$1,000 Chattem, Inc., Series B, 8.88%,
4/1/08............................. $ 805
1,425 Drypers Corp., 10.25%, 6/15/07....... 926
500 Playtex Products, Inc., Series B,
8.88%, 7/15/04..................... 485
--------
2,216
--------
Drugs (1.6%):
2,000 Gentek, Inc., 11.00%, 8/1/09,
Callable 8/1/04 @ 106.............. 2,035
1,750 King Pharmaceutical, Inc., 10.75%,
2/15/09............................ 1,811
--------
3,846
--------
Ecological Services & Equipment (1.3%):
500 American Eco Corp., 9.63%, 5/15/08
(e)................................ 18
1,500 Marsulex, Inc., 9.63%, 7/1/08........ 1,403
1,500 Norcal Waste Systems, 13.50%,
11/15/05........................... 1,567
555 Safety-Kleen Corp., 9.25%, 6/1/08
(d)................................ 47
--------
3,035
--------
Electronics/Electric (4.1%):
1,000 Airxcel, Inc., 11.00%, 11/15/07...... 715
180 Amphenol Corp., 9.88%, 5/15/07....... 182
1,300 Communication Instruments, 10.00%,
9/15/04............................ 1,066
2,420 Flextronics International Ltd.,
8.75%, 10/15/07.................... 2,300
2,000 Viasystems, Inc., 9.75%, 6/1/07...... 1,740
175 Viasystems, Inc., Series B, 9.75%,
6/1/07............................. 152
1,750 Wesco Distribution, Inc., 9.13%,
6/1/08............................. 1,610
2,000 Windmere Durable Holdings, 10.00%,
7/31/08............................ 1,970
--------
9,735
--------
Equipment Leasing (1.6%):
2,370 Coinmach Corp., Series D, 11.75%,
11/15/05........................... 2,287
1,500 National Equipment Services, 10.00%,
11/30/04........................... 1,253
175 National Equipment Services, Series
B, 10.00%, 11/30/04................ 146
--------
3,686
--------
Food Service (2.8%):
1,500 American Restaurant Group, Inc.,
11.50%, 2/15/03.................... 1,159
500 Apple South, Inc., 9.75%, 6/1/06..... 395
1,000 Avado Brands, Inc., 11.75%,
6/15/09............................ 513
1,500 Dominos, Inc., 10.38%, 1/15/09....... 1,399
1,000 Fresh Foods, Inc., 10.75%, 6/1/06.... 625
</TABLE>
Continued
79
<PAGE> 82
One Group Mutual Funds
High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Food Service, continued:
$1,750 TPI Enterprises, 8.25%, 7/15/02...... $ 945
1,875 Volume Services, 11.25%, 3/1/09...... 1,715
--------
6,751
--------
Food/Drug Retailers (1.0%):
2,250 International Home Foods, 10.38%,
11/1/06............................ 2,419
--------
Forest Products (2.5%):
1,600 Ainsworth Lumber, 12.50%, 7/15/07.... 1,596
1,250 Crown Packaging Ltd., 10.75%,
11/1/00............................ 1,033
2,000 Millar Western, 9.88%, 5/15/08....... 1,879
1,500 Pope & Talbot, 8.38%, 6/1/13......... 1,373
--------
5,881
--------
Health Care (4.4%):
2,000 American Tissue, Inc., 12.50%,
7/15/06, Callable 7/15/04 @ 107.... 1,940
935 Beverly Enterprises, 9.00%, 2/15/06,
Callable 2/15/01 @ 104.5........... 781
375 Fisher Scientific International,
Inc., Add On, 9.00%, 2/1/08........ 345
1,875 Fisher Scientific International,
Inc., 9.00%, 2/1/08................ 1,725
1,250 Hanger Orthopedic Group, 11.25%,
6/15/09, Callable 6/15/04 @ 106.... 1,094
500 Healthsouth Corp., 3.25%, 4/1/03..... 395
1,750 Quorum Health, 8.75%, 11/1/05........ 1,671
500 Rose Hill Co., 9.50%, 11/15/04....... 328
2,250 Tenet Healthcare Corp., 8.00%,
1/15/05............................ 2,170
--------
10,449
--------
Home Furnishings (1.1%):
1,750 Home Products International, Inc.,
9.63%, 5/15/08..................... 1,444
1,250 Mattress Discount Co., 12.63%,
7/15/07 (c)........................ 1,144
--------
2,588
--------
Hotels/Motels/Inns & Casinos (4.0%):
1,500 Argosy Gaming Co., 10.75%, 6/1/09
(c)................................ 1,557
1,150 HMH Properties, Inc., Series B,
7.88%, 8/1/08...................... 1,038
500 HMH Properties, Inc., Series C,
8.45%, 12/1/08..................... 466
1,500 Hollywood Park, Inc., 9.50%,
8/1/07............................. 1,499
1,000 Horseshoe Gaming Holdings, 8.63%,
5/15/09, Callable 5/15/04 @
104.31............................. 948
1,250 Mohegan Tribal Gaming, 8.13%,
1/1/06............................. 1,194
650 Mohegan Tribal Gaming, 8.75%,
1/1/09............................. 621
750 Prime Hospitality Corp., 9.25%,
1/15/06............................ 743
1,375 Prime Hospitality Corp., 9.75%,
4/1/07............................. 1,334
--------
9,400
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Equipment (2.6%):
$1,650 Anchor Lamina, Inc., 9.88%, 2/1/08... $ 751
1,325 Columbus McKinnon Corp., 8.50%,
4/1/08............................. 1,146
500 International Knife & Saw, 11.38%,
11/15/06........................... 263
1,000 Jackson Products, Inc., 9.50%,
4/15/05............................ 905
1,000 Newport News Shipbuilding, 8.63%,
12/1/06............................ 990
500 Precision Partners Inc., 12.00%,
3/15/09, Callable 3/15/04 @ 106.... 293
500 Westinghouse Air Brake, 9.38%,
6/15/05............................ 485
1,500 Westinghouse Electric, 9.38%,
6/15/05, Callable 6/15/01 @
102.34............................. 1,454
--------
6,287
--------
Industrial Goods & Services (0.7%):
1,500 Advanced Micro Device, 11.00%,
8/1/03............................. 1,556
--------
Leisure (2.9%):
1,500 Bally Total Fitness Holding, 9.88%,
10/15/07........................... 1,365
550 Premier Parks, Inc., 9.25%, 4/1/06... 520
325 Premier Parks, Inc., 9.75%,
1/15/07............................ 316
750 Premier Parks, Inc., 9.75%,
6/15/07............................ 728
375 Premier Parks, Inc., 0.00%/10.00%,
4/1/08............................. 256
1,500 SFX Entertainment, Inc., 9.13%,
12/1/08............................ 1,515
2,250 Speedway Motorsports, Inc., Series D,
8.50%, 8/15/07..................... 2,104
--------
6,804
--------
Medical Equipment & Supplies (0.3%):
750 Fresenius Medical Care Agency, 9.00%,
12/1/06, Callable 12/1/01 @
104.50............................. 714
--------
Nonferrous Metals/Minerals (0.5%):
400 AEI Resources, Inc., 11.50%,
12/15/06 (c)....................... 42
1,250 Oglebay Norton Co., 10.00%, 2/1/09... 1,144
--------
1,186
--------
Office Equipment & Services (0.5%):
1,140 Knoll, Inc., 10.88, 3/15/06, Callable
3/15/01 @ 105.44................... 1,146
--------
Oil & Gas (3.5%):
500 Buckeye Technologies, 8.00%,
10/15/10........................... 468
2,000 Coho Energy, 15.00%, 3/31/08 (c)..... 1,999
750 Giant Industries, Inc., 9.75%,
11/15/03........................... 733
925 Houston Exploration Co., 8.63%,
1/1/08............................. 865
</TABLE>
Continued
80
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One Group Mutual Funds
High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Oil & Gas, continued:
$1,200 Orion Refining Corp., 10.00%,
11/15/04 (c)....................... $ 816
1,500 Pioneer Natural Resource, 6.50%,
1/15/08............................ 1,294
750 Pogo Producing Co., Series B, 8.75%,
5/15/07............................ 713
1,500 Pride Petroleum Services, Inc.,
9.38%, 5/1/07...................... 1,504
--------
8,392
--------
Publishing (4.2%):
1,880 Garden State Newspapers, Series B,
8.75%, 10/1/09..................... 1,673
500 Hollinger International Publishing,
8.63%, 3/15/05..................... 497
1,500 Hollinger International Publishing,
9.25%, 2/1/06...................... 1,487
275 K-III Communications Corp., 8.50%,
2/1/06............................. 261
1,300 Liberty Group Publishing, 9.38%,
2/1/08............................. 1,073
500 Liberty Group Publishing,
0.00%/11.63%, 2/1/09............... 280
1,000 Perry-Judd, 10.63%, 12/15/07......... 845
1,000 Phoenix Color Corp., 10.38%,
2/1/09............................. 905
1,750 Primedia, Inc., 7.63%, 4/1/08........ 1,566
1,500 World Color Press, Inc., 8.38%,
11/15/08........................... 1,451
--------
10,038
--------
Restaurants (0.2%):
500 FM 1993A Corp, 9.75%, 11/1/03,
Callable 1/1/01 @ 102.5............ 503
--------
Retailers (1.1%):
1,250 Central Tractor, 10.63%, 4/1/07...... 881
1,250 Frank's Nursery & Crafts, 10.25%,
3/1/08............................. 469
1,150 Travelcenters of America, 10.25%,
4/1/07............................. 1,166
--------
2,516
--------
Steel (1.9%):
1,250 LTV Corp., 11.75%, 11/15/09.......... 1,056
200 Metals USA, Inc., 8.63%, 2/15/08..... 167
3,000 NS Group, Inc., 13.50%, 7/15/03...... 3,075
250 Ryerson Tull, Inc., 8.50%, 7/15/01... 253
--------
4,551
--------
Surface Transport (0.6%):
1,500 Newport News Shipbuilding, 9.25%,
12/1/06............................ 1,508
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Telecommunications/Mobile, Cellular (13.5%):
$1,000 Alaska Communications, 9.38%,
5/15/09............................ $ 928
325 Arch Communications, Inc., 12.75%,
7/1/07............................. 250
1,000 Arch Communications, Inc., 13.75%,
4/15/08............................ 810
1,750 Centennial Cellular Corp., 10.75%,
12/15/08........................... 1,708
2,250 Convergent Communication, 13.00%,
4/1/08............................. 1,589
2,000 Crown Castle International Corp.,
9.50%, 8/1/11, Callable 8/1/04 @
10................................. 1,910
500 Dobson/Sygnet, 12.25%, 12/15/08...... 535
2,000 DTI Holdings, Inc., 0.00%/12.50%,
3/1/08............................. 850
2,250 Exodus Communications, 10.75%,
12/15/09........................... 2,182
600 GCI, Inc., 9.75%, 8/1/07............. 561
550 Hermes Europe Railtel, 11.50%,
8/15/07............................ 473
225 Hermes Europe Railtel, 10.38%,
1/15/09............................ 185
1,025 Level 3 Communications, Inc.,
0.00%/10.50%, 12/1/08.............. 628
1,500 Level 3 Communications, Inc., 11.25%,
3/15/10 (c)........................ 1,485
750 McLeod USA, Inc., 0.00%/10.50%,
3/1/07............................. 619
150 McLeod USA, Inc., 9.25%, 7/15/07..... 146
1,100 McLeod USA, Inc., 8.38%, 3/15/08..... 1,018
225 McLeod USA, Inc., 8.13%, 2/15/09..... 204
1,725 Metrocall, Inc., 10.38%, 10/1/07..... 1,216
2,250 Metromedia Fiber Network, 10.00%,
12/15/09........................... 2,227
2,250 Nextel Communication, 9.38%,
11/15/09, Callable 11/15/04 @ 105
(c)................................ 2,159
1,210 Pathnet, Inc., 12.25%, 4/15/08....... 684
500 Price Communication Wire, 9.13%,
12/15/06........................... 508
1,075 Qwest Communications International,
0.00%/9.47%, 10/15/07 (c).......... 905
200 Qwest Communications International,
7.50%, 11/1/08..................... 194
750 RCN Corp., 10.13%, 1/15/10........... 628
2,000 Rogers Cantel, Inc., 8.80%,
10/1/07............................ 2,000
900 Rogers Communications, 8.88%,
7/15/07............................ 887
2,086 Rural Cellular, 9.63%, 5/15/08....... 2,034
</TABLE>
Continued
81
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High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Telecommunications/Mobile, Cellular, continued:
$ 400 Viatel, Inc., 0.00%/12.50%,
4/15/08............................ $ 182
2,250 Williams Communications Group, Inc.,
10.88%, 10/1/09.................... 2,210
--------
31,915
--------
Total Corporate Bonds 207,824
--------
INVESTMENT COMPANIES (2.1%):
4,933 One Group Prime Money Market Fund,
Class I............................ 4,933
--------
Total Investment Companies 4,933
--------
PREFERRED STOCKS (0.2%):
Broadcast Radio & TV (0.1%):
4 Sinclair Capital, 11.63%............. 326
--------
Cable Television (0.0%):
0 Pegasus Communications Corp., 12.75%,
PIK (b)............................ 1
--------
Oil & Gas (0.0%):
0 Orion Refining, Class C (b).......... 21
10 Transcontinental Refining Corp.,
Class A............................ 7
5 Transcontinental Refining Corp.,
Class B (b)........................ 0
3 Transcontinental Refining Corp.,
Class C (b)........................ 0
7 Transcontinental Refining Corp.,
Class D (b)........................ 0
15 Transcontinental Refining Corp.,
Class E............................ 1
--------
29
--------
Telecommunications/Mobile, Cellular (0.1%):
0 Nextel Communications, 11.13%, PIK
(b)................................ 153
--------
Total Preferred Stocks 509
--------
PRIVATE PLACEMENT (5.6%):
Chemicals/Plastics (0.2%):
$ 500 Georgia Gulf Corp., 10.38%, 11/1/07,
Callable 11/1/03 @ 105.19.......... 523
--------
Industrial Equipment (0.6%):
1,800 Concentra Operating Corp., 13.00%,
8/15/09, Callable 8/15/04 @
106.5.............................. 1,449
--------
Nonferrous Metals/Minerals (0.6%):
1,500 Better Minerals & Aggregates, 13.00%,
9/15/09............................ 1,474
--------
Telecommunications/Mobile, Cellular (4.2%):
2,500 Global Crossing Holding Ltd., 9.13%,
11/15/06........................... 2,406
1,250 Globenet Communication Group Ltd.,
13.00%, 7/15/07, Callable 7/14/04 @
106.50............................. 1,267
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
PRIVATE PLACEMENT, CONTINUED:
Telecommunications/Mobile, Cellular, continued:
$2,250 Nextlink Communications, 10.50%,
12/1/09, Callable 12/01/04 @
105.25............................. $ 2,216
2,250 Psinet, Inc, 10.50%, 12/1/06......... 2,081
1,750 Voicestream Wire, 10.38%, 11/15/09,
Callable 11/15/04 @ 105.19......... 1,820
--------
9,790
--------
Total Private Placement 13,236
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (19.5%):
Master Notes (2.8%):
2,259 Bear Stearns, 7.40%, 7/3/00*......... 2,259
678 Danaher Corp., 7.31%, 7/3/00*........ 678
1,310 General Mills, 6.83%, 7/3/00*........ 1,310
2,033 Lehman Brothers, 7.44%, 7/3/00*...... 2,033
474 NationsBanc, 7.33%, 7/3/00*.......... 474
--------
6,754
--------
Put Bonds (9.2%):
1,129 Associates Corp., 7.00%, 9/17/01*.... 1,143
1,581 Bank of America, 6.32%, 7/5/01*...... 1,600
903 Caterpillar Finance, 7.05%,
5/1/01*............................ 903
1,129 Chase Manhattan, 7.11%, 5/6/02*...... 1,129
1,129 Chase Manhattan, 7.02%, 5/4/01*...... 1,129
1,129 Ford Motor Credit, 6.99%,
11/27/00*.......................... 1,141
1,129 GMAC, 7.07%, 5/30/01*................ 1,129
1,129 GMAC, 7.08%, 4/30/01*................ 1,129
1,129 Goldman Sachs, 7.05%, 11/19/01*...... 1,129
1,694 Jackson National, 7.50%, 4/15/01*.... 1,694
1,129 JP Morgan and Co., 7.01%, 5/4/01*.... 1,129
1,129 Lehman Brothers, 6.80%, 6/1/01*...... 1,133
452 Liberty Lighthouse, 7.08%,
4/12/02*........................... 452
1,129 Merrill Lynch, 7.16%, 5/6/02*........ 1,129
1,129 Salomon Smith Barney, 6.84%,
4/12/01*........................... 1,129
1,129 Sigma Financial, 6.91%, 5/15/01*..... 1,129
903 Sigma Financial, 7.31%, 2/2/01*...... 903
1,581 SPARCC, 6.65%, 9/25/00*.............. 1,582
1,129 U.S. Bancorp, 6.78%, 5/8/02*......... 1,129
--------
21,841
--------
Repurchase Agreements (7.5%):
3,162 Goldman Sachs, 7.21%, 7/3/00,
(Collateralized by $3,552 various
Corporate Bonds, 5.20% - 9.45%,
3/19/01 - 6/1/37, market value
$3,439)............................ 3,162
5,647 Goldman Sachs, 7.15%, 7/3/00
(Collateralized by $5,975 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $5,949)...... 5,647
</TABLE>
Continued
82
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One Group Mutual Funds
High Yield Bond Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$1,024 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $1,075 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $1,055)..... $ 1,024
3,388 Paine Webber, 7.27%, 7/3/00
(Collateralized by $3,608 various
Corporate Bonds, 6.50% - 9.63%,
6/1/01 - 6/15/25, market
value $3,557)...................... 3,388
4,517 Salomon Smith Barney, 7.17%, 7/3/00,
(Collateralized by $4,762 various
Commercial Paper, 0.00%, 7/6/00 -
10/3/00, market value $4,743)...... 4,517
--------
17,738
--------
Total Short-Term Securities Held as Collateral
for Securities Lending 46,333
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
WARRANTS (0.0%):
Cable Television (0.0%):
0 UIH Australia/Pacific (b)............ $ 9
--------
Telecommunications/Mobile, Cellular (0.0%):
10 DTI Holdings, Inc. (c)............... 1
1 Pathnet, Inc. (c).................... 12
--------
13
--------
Total Warrants 22
--------
Total (Cost $297,461) (a) $281,755
========
</TABLE>
------------
Percentages indicated are based on net assets of $237,326.
(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. Cost for federal income tax purposes differs from value by
net unrealized appreciation (depreciation) of securities as follows (amounts
in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 1,806
Unrealized depreciation...................... (17,516)
--------
Net unrealized appreciation (depreciation)... $(15,710)
========
</TABLE>
(b) Amount is less than 1,000.
(c) Security exempt from registration under Rule 144A or Section 4(2) of the
Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. These
securities amounted to $15,908 or 6.70% of net assets.
(d) Safety Kleen, which filed for protection under Chapter 11 of the Federal
Bankruptcy Code, has accrued interest of $15 and amortized cost of $549.
(e) American Eco Corp., which filed for protection under Chapter 11 of the
Federal Bankruptcy Code, has accrued interest of $13 and amortized cost of
$277.
* 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 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, 2000.
See notes to financial statements.
83
<PAGE> 86
One Group Mutual Funds
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
Abbreviations
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CD Certificate of Deposit
CMO Collateralized Mortgage Obligation
CMT Collateralized Mortgage Trust
COFI Cost of Funds Index
HB High Coupon Bonds (a.k.a. "IOettes") represent the right to
receive interest payment 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.
IF Inverse Floaters represent securities that pay interest at a
rate that increases (decreases) with a decline (increase) in
a specified index.
IO Interest Only 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.
PIK Paid In Kind
PO Principal Only 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.
</TABLE>
See notes to financial statements.
84
<PAGE> 87
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(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 cost........................................ $294,686 $913,992 $1,708,316 $2,205,263
Unrealized appreciation (depreciation) from investments..... (2,261) (8,089) (43,409) (28,880)
-------- -------- ---------- ----------
Investments, at value....................................... 292,425 905,903 1,664,907 2,176,383
Cash........................................................ -- -- -- 1
Interest and dividends receivable........................... 1,729 9,116 13,032 14,342
Receivable for capital shares issued........................ 98 44 287 197
Receivable from brokers for investments sold................ 179 61 287 14,508
Prepaid expenses and other assets........................... 8 6 9 9
-------- -------- ---------- ----------
TOTAL ASSETS................................................ 294,439 915,130 1,678,522 2,205,440
-------- -------- ---------- ----------
LIABILITIES:
Dividends payable........................................... 1,562 3,677 7,069 9,940
Payable to brokers for investments purchased................ 534 -- 3,426 28,564
Payable for capital shares redeemed......................... 8 16 32 384
Net payable for variation margin on futures contracts....... 18 -- -- --
Payable for return of collateral received for securities on
loan...................................................... -- 158,001 259,962 314,278
Accrued expenses and other payables:
Investment advisory fees.................................. 64 200 426 567
Administration fees....................................... 9 50 93 113
Distribution fees......................................... 10 7 84 44
Other..................................................... 84 170 190 162
-------- -------- ---------- ----------
TOTAL LIABILITIES........................................... 2,289 162,121 271,282 354,052
-------- -------- ---------- ----------
NET ASSETS:
Capital..................................................... 300,047 773,518 1,461,034 1,893,421
Undistributed (distributions in excess of) net investment
income.................................................... 139 (125) 31 (341)
Accumulated undistributed net realized gains (losses) from
investment and futures transactions....................... (5,614) (12,295) (10,416) (12,812)
Net unrealized appreciation (depreciation) from investments
and futures............................................... (2,422) (8,089) (43,409) (28,880)
-------- -------- ---------- ----------
NET ASSETS.................................................. $292,150 $753,009 $1,407,240 $1,851,388
======== ======== ========== ==========
NET ASSETS:
Class I................................................... $261,592 $726,539 $1,179,116 $1,687,041
Class A................................................... 23,352 21,834 157,577 143,421
Class B................................................... 7,206 4,636 37,460 18,808
Class C................................................... -- -- 33,087 2,118
-------- -------- ---------- ----------
Total....................................................... $292,150 $753,009 $1,407,240 $1,851,388
======== ======== ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I................................................... 26,885 70,637 117,104 167,327
Class A................................................... 2,401 2,124 15,650 14,228
Class B................................................... 745 448 3,757 1,866
Class C................................................... -- -- 3,316 209
-------- -------- ---------- ----------
Total....................................................... 30,031 73,209 139,827 183,630
======== ======== ========== ==========
Net Asset Value
Class I -- Offering and redemption price per share........ $ 9.73 $ 10.29 $ 10.07 $ 10.08
======== ======== ========== ==========
Class A -- Redemption price per share..................... $ 9.73 $ 10.28 $ 10.07 $ 10.08
======== ======== ========== ==========
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)................................................. $ 10.03 $ 10.60 $ 10.54 $ 10.55
======== ======== ========== ==========
Class B -- Offering price per share (a)................... $ 9.68 $ 10.35 $ 9.97 $ 10.08
======== ======== ========== ==========
Class C -- Offering price per share (a)................... $ 9.98 $ 10.14
========== ==========
</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.
85
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--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
INCOME GOVERNMENT TREASURY & HIGH YIELD
BOND FUND BOND FUND AGENCY FUND BOND FUND
---------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at cost........................................ $1,623,624 $978,502 $172,363 $297,461
Unrealized appreciation (depreciation) from investments..... (25,818) (17,897) (5,118) (15,706)
---------- -------- -------- --------
Investments, at value....................................... 1,597,806 960,605 167,245 281,755
Cash........................................................ -- 31 -- 1
Interest and dividends receivable........................... 17,619 7,776 2,247 6,164
Receivable for capital shares issued........................ 38 60 1,829 101
Receivable from brokers for investments sold................ 287 16 -- 1,375
Prepaid expenses and other assets........................... 9 8 5 4
---------- -------- -------- --------
TOTAL ASSETS................................................ 1,615,759 968,496 171,326 289,400
---------- -------- -------- --------
LIABILITIES:
Dividends payable........................................... 7,263 4,884 744 1,889
Payable to brokers for investments purchased................ 1,425 -- -- 3,646
Payable for capital shares redeemed......................... 45 67 183 --
Net payable for variation margin on futures contracts....... -- 43 -- --
Payable for return of collateral received for securities on
loan...................................................... 247,124 6,151 10,796 46,333
Accrued expenses and other payables:
Investment advisory fees.................................. 478 328 26 117
Administration fees....................................... 90 58 9 16
Distribution fees......................................... 16 42 42 8
Other..................................................... 349 26 112 65
---------- -------- -------- --------
TOTAL LIABILITIES........................................... 256,790 11,599 11,912 52,074
---------- -------- -------- --------
NET ASSETS:
Capital..................................................... 1,461,013 998,263 167,835 264,924
Undistributed (distributions in excess of) net investment
income.................................................... 305 (94) -- --
Accumulated undistributed net realized gains (losses)
from investment and futures transactions.................. (76,531) (23,213) (3,303) (11,892)
Net unrealized appreciation (depreciation) from investments
and futures............................................... (25,818) (18,059) (5,118) (15,706)
---------- -------- -------- --------
NET ASSETS.................................................. $1,358,969 $956,897 $159,414 $237,326
========== ======== ======== ========
NET ASSETS:
Class I................................................... $1,317,128 $866,755 $ 65,437 $218,780
Class A................................................... 28,677 43,935 39,655 9,860
Class B................................................... 13,036 43,077 54,322 6,565
Class C................................................... 128 3,130 -- 2,121
---------- -------- -------- --------
Total....................................................... $1,358,969 $956,897 $159,414 $237,326
========== ======== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I................................................... 175,447 90,820 6,788 24,593
Class A................................................... 3,822 4,603 4,110 1,109
Class B................................................... 1,731 4,511 5,637 737
Class C................................................... 17 327 -- 238
---------- -------- -------- --------
Total....................................................... 181,017 100,261 16,535 26,677
========== ======== ======== ========
Net Asset Value
Class I -- Offering and redemption price per share........ $ 7.51 $ 9.54 $ 9.64 $ 8.90
========== ======== ======== ========
Class A -- Redemption price per share..................... $ 7.50 $ 9.55 $ 9.65 $ 8.89
========== ======== ======== ========
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)................................................. $ 7.85 $ 10.00 $ 9.95 $ 9.31
========== ======== ======== ========
Class B -- Offering price per share (a)................... $ 7.53 $ 9.55 $ 9.64 $ 8.91
========== ======== ======== ========
Class C -- Offering price per share (a)................... $ 7.54 $ 9.55 $ 8.90
========== ======== ========
</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
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
ULTRA
SHORT-TERM SHORT-TERM INTERMEDIATE
BOND FUND BOND FUND BOND FUND BOND FUND
---------- ---------- ------------ ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income....................................... $18,564 $49,269 $100,468 $111,291
Discount accretion.................................... 725 2,219 3,626 9,812
Premium amortization.................................. (1,304) (4,571) (8,965) (11,139)
Dividend income....................................... 652 1,332 2,720 3,774
Income from securities lending........................ -- 445 845 882
------- ------- -------- --------
Total Income.......................................... 18,637 48,694 98,694 114,620
------- ------- -------- --------
EXPENSES:
Investment advisory fees.............................. 1,619 4,642 8,864 9,773
Administration fees................................... 475 1,248 2,383 2,627
Distribution fees (Class A)........................... 92 75 486 564
Distribution fees (Class B)........................... 65 52 383 178
Distribution fees (Class C)........................... -- -- 270 15
Custodian fees........................................ 17 53 89 77
Legal and audit fees.................................. 7 14 19 22
Trustees' fees and expenses........................... 5 13 22 23
Transfer agent fees................................... 28 163 383 707
Registration and filing fees.......................... 32 26 46 56
Printing costs........................................ 8 29 53 80
Other................................................. 16 67 107 95
------- ------- -------- --------
Total expenses before waivers......................... 2,364 6,382 13,105 14,217
Less waivers.......................................... (1,072) (2,200) (3,602) (3,818)
------- ------- -------- --------
Net Expenses.......................................... 1,292 4,182 9,503 10,399
------- ------- -------- --------
Net Investment Income................................. 17,345 44,512 89,191 104,221
------- ------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
AND FUTURES:
Net realized gains (losses) from investment and
futures transactions................................ (378) (531) (3,911) 5,430
Net change in unrealized appreciation (depreciation)
from investments and futures........................ (987) (8,223) (28,372) (41,683)
------- ------- -------- --------
Net realized/unrealized gains (losses) from
investments and futures............................. (1,365) (8,754) (32,283) (36,253)
------- ------- -------- --------
Change in net assets resulting from operations........ $15,980 $35,758 $ 56,908 $ 67,968
======= ======= ======== ========
</TABLE>
See notes to financial statements.
87
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
INCOME GOVERNMENT TREASURY & HIGH YIELD
BOND FUND BOND FUND AGENCY FUND BOND FUND
--------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income..................................... $ 96,977 $ 63,381 $14,025 $ 18,733
Discount accretion.................................. 4,484 6,064 783 2,251
Premium amortization................................ (6,904) (2,197) (2,751) (191)
Dividend income..................................... 770 1,406 89 328
Income from securities lending...................... 759 200 44 43
-------- -------- ------- --------
Total Income........................................ 96,086 68,854 12,190 21,164
-------- -------- ------- --------
EXPENSES:
Investment advisory fees............................ 8,264 4,536 779 1,511
Administration fees................................. 2,222 1,626 314 325
Distribution fees (Class A)......................... 106 150 208 38
Distribution fees (Class B)......................... 146 487 632 53
Distribution fees (Class C)......................... --(a) 22 -- 12
Custodian fees...................................... 75 47 14 18
Legal and audit fees................................ 22 13 11 9
Organizations costs................................. 4 -- -- --
Trustees' fees and expenses......................... 25 13 7 5
Transfer agent fees................................. 325 270 37 109
Registration and filing fees........................ 83 63 54 52
Printing costs...................................... 61 29 9 8
Other............................................... 98 49 13 36
-------- -------- ------- --------
Total expenses before waivers....................... 11,431 7,305 2,078 2,176
Less waivers........................................ (2,619) (459) (721) (315)
-------- -------- ------- --------
Net Expenses........................................ 8,812 6,846 1,357 1,861
-------- -------- ------- --------
Net Investment Income............................... 87,274 62,008 10,833 19,303
-------- -------- ------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
AND FUTURES:
Net realized gains (losses) from investment and
futures transactions.............................. (3,787) (8,382) (3,123) (10,690)
Net change in unrealized appreciation (depreciation)
from investments and futures...................... (28,296) (13,140) (370) (10,116)
-------- -------- ------- --------
Net realized/unrealized gains (losses) from
investments and futures........................... (32,083) (21,522) (3,493) (20,806)
-------- -------- ------- --------
Change in net assets resulting from operations...... $ 55,191 $ 40,486 $ 7,340 $ (1,503)
======== ======== ======= ========
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
88
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--------------------------------------------------------------------------------
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 YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999 (A) 1998
-------- -------- -------- -------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.............. $ 17,345 $ 13,896 $ 44,512 $ 38,748 $ 89,191 $ 34,900 $ 35,381
Net realized gains (losses) from
investment and futures
transactions..................... (378) (691) (531) 1,942 (3,911) (379) 2,568
Net change in unrealized
appreciation (depreciation) from
investments and futures.......... (987) (2,163) (8,223) (10,835) (28,372) (37,645) 4,718
-------- -------- -------- -------- ---------- ---------- --------
Change in net assets resulting from
operations........................... 15,980 11,042 35,758 29,855 56,908 (3,124) 42,667
-------- -------- -------- -------- ---------- ---------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income......... (15,521) (12,265) (43,071) (37,526) (77,602) (31,201) (30,769)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income......... (1,483) (1,232) (1,180) (969) (8,144) (2,929) (4,974)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income......... (343) (268) (261) (253) (2,015) (512) (36)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income......... -- -- -- -- (1,430) (193) --
-------- -------- -------- -------- ---------- ---------- --------
Change in net assets from shareholder
distributions........................ (17,347) (13,765) (44,512) (38,748) (89,191) (34,835) (35,779)
-------- -------- -------- -------- ---------- ---------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions......................... 3,220 75,609 (69,617) 227,171 (125,638) 946,582 124,243
-------- -------- -------- -------- ---------- ---------- --------
Change in net assets................... 1,853 72,886 (78,371) 218,278 (157,921) 908,623 131,131
NET ASSETS:
Beginning of period................ 290,297 217,411 831,380 613,102 1,565,161 656,538 525,407
-------- -------- -------- -------- ---------- ---------- --------
End of period...................... $292,150 $290,297 $753,009 $831,380 $1,407,240 $1,565,161 $656,538
======== ======== ======== ======== ========== ========== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group
Intermediate Bond Fund merged into the Pegasus Intermediate Bond Fund to
become the One Group Intermediate Bond Fund. The Statements of Changes in
Net Assets for the periods prior to March 22, 1999, represent the Pegasus
Intermediate Bond Fund.
See notes to financial statements.
89
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
BOND FUND INCOME BOND FUND
---------------------------------------- ----------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (A) 1998 2000 1999 (B) 1998
---------- ---------- ------------ ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................. $ 104,221 $ 49,325 $ 85,685 $ 87,274 $ 27,787 $ 11,949
Net realized gains (losses) from
investment and futures
transactions......................... 5,430 156 3,839 (3,787) 1,520 3,788
Net change in unrealized appreciation
(depreciation) from investments and
futures.............................. (41,683) (63,408) 21,184 (28,296) (46,355) (2,293)
---------- ---------- ---------- ---------- ---------- --------
Change in net assets resulting from
operations............................... 67,968 (13,927) 110,708 55,191 (17,048) 13,444
---------- ---------- ---------- ---------- ---------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income............. (93,243) (42,447) (73,570) (84,636) (27,011) (11,104)
From net realized gains from investment
transactions......................... -- -- -- -- (2,726) (2,199)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............. (9,911) (6,544) (12,214) (1,843) (705) (707)
From net realized gains from investment
transactions......................... -- -- -- -- (114) (85)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income............. (983) (290) (313) (795) (247) (26)
From net realized gains from investment
transactions......................... -- -- -- -- (5) (3)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income............. (84) (4) -- --(c) -- --
---------- ---------- ---------- ---------- ---------- --------
Change in net assets from shareholder
distributions............................ (104,221) (49,285) (86,097) (87,274) (30,808) (14,124)
---------- ---------- ---------- ---------- ---------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions............................. 362,789 75,484 257,166 14,438 1,022,375 299,866
---------- ---------- ---------- ---------- ---------- --------
Change in net assets....................... 326,536 12,272 281,777 (17,645) 974,519 299,186
NET ASSETS:
Beginning of period.................... 1,524,852 1,512,580 1,230,803 1,376,614 402,095 102,909
---------- ---------- ---------- ---------- ---------- --------
End of period.......................... $1,851,388 $1,524,852 $1,512,580 $1,358,969 $1,376,614 $402,095
========== ========== ========== ========== ========== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Bond Fund
became the One Group Bond Fund. The Statements of Changes in Net Assets for
the periods prior to March 22, 1999, represent the Pegasus Bond Fund.
(b) Upon reorganizing as a fund of One Group Mutual Funds, the One Group Income
Bond Fund merged into the Pegasus Multi Sector Bond Fund to become the One
Group Income Bond Fund. The Statements of Changes in Net Assets for the
periods prior to March 22, 1999, represent the Pegasus Multi Sector Bond
Fund.
(c) Amount is less than $1,000.
See notes to financial statements.
90
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--------------------------------------------------------------------------------
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 YEAR NOVEMBER 13,
ENDED ENDED ENDED ENDED ENDED 1998
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, TO JUNE 30,
2000 1999 2000 1999 2000 1999 (a)
---------- ---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.......................... $ 62,008 $ 60,356 $ 10,833 $ 10,761 $ 19,303 $ 4,101
Net realized gains (losses) from investment and
futures transactions......................... (8,382) 509 (3,123) 1,522 (10,690) (724)
Net change in unrealized appreciation
(depreciation) from investments and
futures...................................... (13,140) (41,455) (370) (7,604) (10,116) (2,977)
---------- ---------- -------- -------- -------- --------
Change in net assets resulting from operations..... 40,486 19,410 7,340 4,679 (1,503) 400
---------- ---------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income..................... (56,766) (56,313) (4,246) (5,060) (17,737) (3,864)
From net realized gains from investment
transactions................................. -- -- (135) (654) -- --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income..................... (2,535) (2,114) (3,341) (3,606) (1,001) (190)
From net realized gains from investment
transactions................................. -- -- (122) (484) -- --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income..................... (2,582) (1,922) (3,246) (2,095) (460) (47)
From net realized gains from investment
transactions................................. -- -- (124) (273) -- --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income..................... (119) (7) -- -- (105) --(b)
---------- ---------- -------- -------- -------- --------
Change in net assets from shareholder
distributions.................................... (62,002) (60,356) (11,214) (12,172) (19,303) (4,101)
---------- ---------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions..... (83,468) 198,840 (59,436) 87,448 105,537 156,296
---------- ---------- -------- -------- -------- --------
Change in net assets............................... (104,984) 157,894 (63,310) 79,955 84,731 152,595
NET ASSETS:
Beginning of period............................ 1,061,881 903,987 222,724 142,769 152,595 --
---------- ---------- -------- -------- -------- --------
End of period.................................. $ 956,897 $1,061,881 $159,414 $222,724 $237,326 $152,595
========== ========== ======== ======== ======== ========
</TABLE>
------------
(a) Period from commencement of operations.
(b) Amount is less than $1,000.
See notes to financial statements.
91
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
ULTRA SHORT-TERM SHORT-TERM INTERMEDIATE
BOND FUND BOND FUND BOND FUND
-------------------- ---------------------- ---------------------------------------
YEAR YEAR YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999 (a) 1998
-------- -------- --------- --------- --------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued...... $92,871 $134,162 $ 162,163 $ 116,291 $ 170,807 $ 141,767 $ 148,957
Proceeds from shares issued in
Pegasus acquisition............ -- -- -- 299,075 -- 811,565 --
Proceeds from shares issued in
conversion..................... -- -- -- -- -- -- 24,556
Dividends reinvested............. 212 302 844 866 866 5,585 14,064
Cost of shares redeemed.......... (90,142) (60,288) (232,876) (195,425) (350,007) (107,046) (108,667)
-------- -------- --------- --------- --------- --------- ---------
Change in net assets from Class I
capital transactions........... $ 2,941 $ 74,176 $ (69,869) $ 220,807 $(178,334) $ 851,871 $ 78,910
======== ======== ========= ========= ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued...... $18,076 $ 20,412 $ 27,155 $ 7,482 $ 94,592 $ 51,170 $ 67,341
Proceeds from shares issued in
Pegasus acquisition............ -- -- -- 13,936 -- 61,562 --
Dividends reinvested............. 1,305 868 738 645 7,000 2,289 4,355
Cost of shares redeemed.......... (20,210) (21,498) (27,293) (15,953) (66,383) (74,736) (26,830)
-------- -------- --------- --------- --------- --------- ---------
Change in net assets from Class A
capital transactions........... $ (829) $ (218) $ 600 $ 6,110 $ 35,209 $ 40,285 $ 44,866
======== ======== ========= ========= ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued...... $ 4,178 $ 4,206 $ 1,740 $ 1,382 $ 13,382 $ 8,892 $ 525
Proceeds from shares issued in
Pegasus acquisition............ -- -- -- 271 -- 31,409 --
Dividends reinvested............. 252 197 230 226 1,589 283 29
Cost of shares redeemed.......... (3,322) (2,752) (2,318) (1,625) (14,378) (3,068) (88)
-------- -------- --------- --------- --------- --------- ---------
Change in net assets from Class B
capital transactions........... $ 1,108 $ 1,651 $ (348) $ 254 $ 593 $ 37,516 $ 466
======== ======== ========= ========= ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued...... $ 27,629 $ 7,634
Proceeds from shares issued in
Pegasus acquisition............ -- 10,204
Dividends reinvested............. 1,323 122
Cost of shares redeemed.......... (12,058) (1,050)
--------- ---------
Change in net assets from Class C
capital transactions........... $ 16,894 $ 16,910
========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued........................... 9,541 13,642 15,750 11,046 16,889 13,591 14,087
Issued in Pegasus acquisition.... -- -- -- 28,482 -- 77,461 --
Issued in conversion............. -- -- -- -- -- -- 2,318
Reinvested....................... 21 31 82 82 86 531 1,337
Redeemed......................... (9,266) (6,137) (22,587) (18,623) (34,704) (10,266) (10,295)
-------- -------- --------- --------- --------- --------- ---------
Change in Class I Shares......... 296 7,536 (6,755) 20,987 (17,729) 81,317 7,447
======== ======== ========= ========= ========= ========= =========
CLASS A SHARES:
Issued........................... 1,858 2,080 2,639 711 9,380 4,921 6,387
Issued in Pegasus acquisition.... -- -- -- 1,327 -- 5,875 --
Reinvested....................... 134 88 72 61 694 219 414
Redeemed......................... (2,078) (2,188) (2,651) (1,519) (6,578) (7,164) (2,541)
-------- -------- --------- --------- --------- --------- ---------
Change in Class A Shares......... (86) (20) 60 580 3,496 3,851 4,260
======== ======== ========= ========= ========= ========= =========
CLASS B SHARES:
Issued........................... 432 429 167 130 1,336 865 50
Issued in Pegasus acquisition.... -- -- -- 26 -- 3,027 --
Reinvested....................... 26 20 22 21 159 27 3
Redeemed......................... (343) (281) (223) (153) (1,440) (299) (8)
-------- -------- --------- --------- --------- --------- ---------
Change in Class B Shares......... 115 168 (34) 24 55 3,620 45
======== ======== ========= ========= ========= ========= =========
CLASS C SHARES:
Issued........................... 2,757 742
Issued in Pegasus acquisition.... -- 983
Reinvested....................... 132 12
Redeemed......................... (1,208) (102)
--------- ---------
Change in Class C Shares......... 1,681 1,635
========= =========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group
Intermediate Bond Fund merged into the Pegasus Intermediate Bond Fund to
become the One Group Intermediate Bond Fund. The Schedules of Capital Stock
Activity for the periods prior to March 22, 1999, represent the Pegasus
Intermediate Bond Fund.
See notes to financial statements.
92
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
BOND FUND INCOME BOND FUND
--------------------------------------- ---------------------------------------
YEAR SIX MONTHS YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (A) 1998 2000 1999 (B) 1998
--------- ---------- ------------ --------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............... $ 664,916 $ 229,160 $ 413,142 $ 291,397 $ 82,599 $ 21,736
Proceeds from shares issued in Pegasus
acquisition............................. -- -- -- -- 987,407 --
Proceeds from shares issued in
conversion.............................. -- -- -- -- -- 330,845
Dividends reinvested...................... 21,311 14,637 36,842 716 2,781 1,979
Cost of shares redeemed................... (298,518) (136,395) (295,732) (272,681) (83,617) (62,714)
--------- --------- --------- --------- -------- --------
Change in net assets from Class I capital
transactions............................ $ 387,709 $ 107,402 $ 154,252 $ 19,432 $989,170 $291,846
========= ========= ========= ========= ======== ========
CLASS A SHARES:
Proceeds from shares issued............... $ 45,137 $ 31,835 $ 169,562 $ 15,465 $ 8,944 $ 11,205
Proceeds from shares issued in Pegasus
acquisition............................. -- -- -- -- 21,297 --
Dividends reinvested...................... 8,508 5,639 10,307 1,372 560 698
Cost of shares redeemed................... (85,665) (75,039) (82,545) (19,054) (13,742) (3,980)
--------- --------- --------- --------- -------- --------
Change in net assets from Class A capital
transactions............................ $ (32,020) $ (37,565) $ 97,324 $ (2,217) $ 17,059 $ 7,923
========= ========= ========= ========= ======== ========
CLASS B SHARES:
Proceeds from shares issued............... $ 11,012 $ 6,139 $ 5,939 $ 1,410 $ 971 $ 148
Proceeds from shares issued in Pegasus
acquisition............................. -- -- -- -- 17,369 --
Dividends reinvested...................... 746 230 251 644 144 24
Cost of shares redeemed................... (6,339) (1,184) (600) (4,959) (2,338) (76)
--------- --------- --------- --------- -------- --------
Change in net assets from Class B capital
transactions............................ $ 5,419 $ 5,185 $ 5,590 $ (2,905) $ 16,146 $ 96
========= ========= ========= ========= ======== ========
CLASS C SHARES:
Proceeds from shares issued............... $ 2,409 $ 592 $ 130
Dividends reinvested...................... 69 1 --
Cost of shares redeemed................... (797) (131) (2)
--------- --------- ---------
Change in net assets from Class C capital
transactions............................ $ 1,681 $ 462 $ 128
========= ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................... 66,089 21,673 38,580 38,629 10,561 3,006
Issued in Pegasus acquisition............. -- -- -- -- 125,129 --
Issued in conversion...................... -- -- -- -- -- 40,333
Reinvested................................ 2,121 1,373 3,454 95 352 245
Redeemed.................................. (29,548) (12,881) (27,545) (36,271) (10,683) (7,756)
--------- --------- --------- --------- -------- --------
Change in Class I Shares.................. 38,662 10,165 14,489 2,453 125,359 35,828
========= ========= ========= ========= ======== ========
CLASS A SHARES:
Issued.................................... 4,452 2,992 15,864 2,058 1,140 1,377
Issued in Pegasus acquisition............. -- -- -- -- 2,701 --
Reinvested................................ 841 532 966 182 71 87
Redeemed.................................. (8,480) (7,103) (7,686) (2,534) (1,747) (493)
--------- --------- --------- --------- -------- --------
Change in Class A Shares.................. (3,187) (3,579) 9,144 (294) 2,165 971
========= ========= ========= ========= ======== ========
CLASS B SHARES:
Issued.................................... 1,085 584 554 186 123 18
Issued in Pegasus acquisition............. -- -- -- -- 2,192 --
Reinvested................................ 74 22 24 85 18 3
Redeemed.................................. (629) (112) (56) (656) (296) (9)
--------- --------- --------- --------- -------- --------
Change in Class B Shares.................. 530 494 522 (385) 2,037 12
========= ========= ========= ========= ======== ========
CLASS C SHARES:
Issued.................................... 237 56 17
Reinvested................................ 7 --(c) --
Redeemed.................................. (79) (12) --(c)
--------- --------- ---------
Change in Class C Shares.................. 165 44 17
========= ========= =========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Bond Fund
became the One Group Bond Fund. The Schedules of Capital Stock Activity for
the periods prior to March 22, 1999, represent the Pegasus Bond Fund.
(b) Upon reorganizing as a fund of One Group Mutual Funds, the One Group Income
Bond Fund merged into the Pegasus Multi Sector Bond Fund to become the One
Group Income Bond Fund. The Schedules of Capital Stock Activity for the
periods prior to March 22, 1999, represent the Pegasus Multi Sector Bond
Fund.
(c) Amount is less than 1,000.
See notes to financial statements.
93
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
GOVERNMENT TREASURY & AGENCY HIGH YIELD
BOND FUND FUND BOND FUND
---------------------- -------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR NOVEMBER 13,
ENDED ENDED ENDED ENDED ENDED 1998
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, TO JUNE 30,
2000 1999 2000 1999 2000 1999 (A)
--------- --------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued..................... $ 141,985 $ 212,763 $ 7,926 $14,674 $118,263 $ 63,280
Proceeds from shares issued in Pegasus
acquisition................................... -- -- -- -- -- 82,230
Proceeds from shares issued in Marquis
acquisition................................... -- 139,784 -- -- -- --
Dividends reinvested............................ 1,625 349 178 71 793 391
Cost of shares redeemed......................... (221,909) (202,815) (21,266) (27,558) (18,682) (5,216)
--------- --------- -------- -------- -------- --------
Change in net assets from Class I capital
transactions.................................. $ (78,299) $ 150,081 $(13,162) $(12,813) $100,374 $140,685
========= ========= ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued..................... $ 42,052 $ 22,234 $17,695 $76,947 $ 13,255 $ 10,697
Proceeds from shares issued in Pegasus
acquisition................................... -- -- -- -- -- 2,221
Proceeds from shares issued in Marquis
acquisition................................... -- 3,008 -- -- -- --
Dividends reinvested............................ 1,914 1,502 3,192 3,561 829 86
Cost of shares redeemed......................... (41,989) (13,769) (52,913) (39,994) (14,509) (1,242)
--------- --------- -------- -------- -------- --------
Change in net assets from Class A capital
transactions.................................. $ 1,977 $ 12,975 $(32,026) $40,514 $ (425) $ 11,762
========= ========= ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued..................... $ 9,522 $ 42,690 $ 8,691 $69,682 $ 6,230 $ 3,445
Proceeds from shares issued in Pegasus
acquisition................................... -- -- -- -- -- 400
Proceeds from shares issued in Marquis
acquisition................................... -- 1,211 -- -- -- --
Dividends reinvested............................ 2,148 1,451 2,545 1,636 286 21
Cost of shares redeemed......................... (20,866) (10,693) (25,484) (11,571) (3,157) (27)
--------- --------- -------- -------- -------- --------
Change in net assets from Class B capital
transactions.................................. $ (9,196) $ 34,659 $(14,248) $59,747 $ 3,359 $ 3,839
========= ========= ======== ======== ======== ========
CLASS C SHARES:
Proceeds from shares issued..................... $ 2,877 $ 1,122 $ 2,256 $ 10
Dividends reinvested............................ 98 3 84 --(b)
Cost of shares redeemed......................... (925) -- (111) --
--------- --------- -------- --------
Change in net assets from Class C capital
transactions.................................. $ 2,050 $ 1,125 $ 2,229 $ 10
========= ========= ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.......................................... 14,859 21,078 819 1,451 12,578 6,241
Issued in Pegasus acquisition................... -- -- -- -- -- 8,117
Issued in Marquis acquisition................... -- 13,813 -- -- -- --
Reinvested...................................... 172 35 19 7 86 38
Redeemed........................................ (23,319) (20,081) (2,200) (2,733) (1,996) (471)
--------- --------- -------- -------- -------- --------
Change in Class I Shares........................ (8,288) 14,845 (1,362) (1,275) 10,668 13,925
========= ========= ======== ======== ======== ========
CLASS A SHARES:
Issued.......................................... 4,466 2,199 1,824 7,587 1,399 1,050
Issued in Pegasus acquisition................... -- -- -- -- -- 219
Issued in Marquis acquisition................... -- 297 -- -- -- --
Reinvested...................................... 201 148 330 351 88 9
Redeemed........................................ (4,463) (1,367) (5,478) (3,994) (1,534) (122)
--------- --------- -------- -------- -------- --------
Change in Class A Shares........................ 204 1,277 (3,324) 3,944 (47) 1,156
========= ========= ======== ======== ======== ========
CLASS B SHARES:
Issued.......................................... 994 4,216 894 6,878 665 339
Issued in Pegasus acquisition................... -- -- -- -- -- 40
Issued in Marquis acquisition................... -- 120 -- -- -- --
Reinvested...................................... 225 144 263 162 31 2
Redeemed........................................ (2,191) (1,067) (2,641) (1,157) (338) (2)
--------- --------- -------- -------- -------- --------
Change in Class B Shares........................ (972) 3,413 (1,484) 5,883 358 379
========= ========= ======== ======== ======== ========
CLASS C SHARES:
Issued.......................................... 301 113 240 1
Reinvested...................................... 10 --(b) 9 --(b)
Redeemed........................................ (97) -- (12) --
--------- --------- -------- --------
Change in Class C Shares........................ 214 113 237 1
========= ========= ======== ========
</TABLE>
------------
(a) Period from commencement of operations.
(b) Amount is less than 1,000.
See notes to financial statements.
94
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM BOND FUND
---------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 9.77 $ 9.87 $ 9.87 $ 9.79 $ 9.84
-------- -------- -------- -------- -------
Investment Activities:
Net investment income..................... 0.58 0.56 0.59 0.62 0.62
Net realized and unrealized gains (losses)
from investments and futures........... (0.04) (0.11) (0.01) 0.05 (0.07)
-------- -------- -------- -------- -------
Total from Investment Activities....... 0.54 0.45 0.58 0.67 0.55
-------- -------- -------- -------- -------
Distributions:
Net investment income..................... (0.58) (0.55) (0.58) (0.59) (0.60)
-------- -------- -------- -------- -------
Total Distributions.................... (0.58) (0.55) (0.58) (0.59) (0.60)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 9.73 $ 9.77 $ 9.87 $ 9.87 $ 9.79
======== ======== ======== ======== =======
Total Return................................ 5.66% 4.66% 6.00% 7.14% 5.71%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $261,592 $259,873 $188,133 $114,413 $57,276
Ratio of expenses to average net assets... 0.40% 0.32% 0.30% 0.35% 0.45%
Ratio of net investment income to average
net assets............................. 5.93% 5.63% 5.92% 6.02% 6.20%
Ratio of expenses to average net
assets*................................ 0.77% 0.79% 0.81% 0.81% 1.06%
Portfolio turnover (a).................... 32.68% 38.70% 41.15% 70.36% 67.65%
</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) 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.
95
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM BOND FUND
----------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 9.77 $ 9.87 $ 9.87 $ 9.78 $ 9.83
------- ------- ------- ------- ------
Investment Activities:
Net investment income.......................... 0.55 0.52 0.56 0.58 0.58
Net realized and unrealized gains (losses) from
investments................................. (0.04) (0.10) (0.01) 0.09 (0.06)
------- ------- ------- ------- ------
Total from Investment Activities............ 0.51 0.42 0.55 0.67 0.52
------- ------- ------- ------- ------
Distributions:
Net investment income.......................... (0.55) (0.52) (0.55) (0.58) (0.57)
------- ------- ------- ------- ------
Total Distributions......................... (0.55) (0.52) (0.55) (0.58) (0.57)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD................... $ 9.73 $ 9.77 $ 9.87 $ 9.87 $ 9.78
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)............. 5.40% 4.40% 5.75% 7.00% 5.42%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).............. $23,352 $24,300 $24,747 $29,643 $3,969
Ratio of expenses to average net assets........ 0.65% 0.57% 0.54% 0.61% 0.70%
Ratio of net investment income to average net
assets...................................... 5.66% 5.37% 5.66% 5.78% 5.95%
Ratio of expenses to average net assets*....... 1.12% 1.14% 1.15% 1.17% 1.41%
Portfolio turnover (a)......................... 32.68% 38.70% 41.15% 70.36% 67.65%
</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) 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.
96
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM BOND FUND
------------------------------------------------------
CLASS B SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
2000 1999 1998 1997 1996
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 9.72 $ 9.81 $ 9.81 $ 9.76 $ 9.84
------ ------ ------ ------ ------
Investment Activities:
Net investment income.............................. 0.51 0.48 0.52 0.54 0.52
Net realized and unrealized gains (losses) from
investments..................................... (0.04) (0.10) (0.01) 0.05 (0.07)
------ ------ ------ ------ ------
Total from Investment Activities................ 0.47 0.38 0.51 0.59 0.45
------ ------ ------ ------ ------
Distributions:
Net investment income.............................. (0.51) (0.47) (0.51) (0.54) (0.53)
------ ------ ------ ------ ------
Total Distributions............................. (0.51) (0.47) (0.51) (0.54) (0.53)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD....................... $ 9.68 $ 9.72 $ 9.81 $ 9.81 $ 9.76
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)................. 4.91% 3.99% 5.32% 6.22% 4.63%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $7,206 $6,124 $4,531 $2,818 $1,144
Ratio of expenses to average net assets............ 1.15% 1.03% 0.99% 1.07% 1.20%
Ratio of net investment income to average net
assets.......................................... 5.24% 4.93% 5.23% 5.18% 5.45%
Ratio of expenses to average net assets*........... 1.77% 1.76% 1.75% 1.81% 2.06%
Portfolio turnover (a)............................. 32.68% 38.70% 41.15% 70.36% 67.65%
</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) 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.
97
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
-----------------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 10.40 $ 10.51 $ 10.47 $ 10.42 $ 10.53
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.................... 0.59 0.59 0.63 0.63 0.64
Net realized and unrealized gains
(losses) from investments............. (0.11) (0.11) 0.04 0.05 (0.11)
-------- -------- -------- -------- --------
Total from Investment Activities...... 0.48 0.48 0.67 0.68 0.53
-------- -------- -------- -------- --------
Distributions:
Net investment income.................... (0.59) (0.59) (0.63) (0.63) (0.64)
-------- -------- -------- -------- --------
Total Distributions................... (0.59) (0.59) (0.63) (0.63) (0.64)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............. $ 10.29 $ 10.40 $ 10.51 $ 10.47 $ 10.42
======== ======== ======== ======== ========
Total Return............................... 4.81% 4.67% 6.59% 6.75% 5.13%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $726,539 $804,883 $592,669 $563,979 $604,916
Ratio of expenses to average net
assets................................ 0.53% 0.53% 0.53% 0.51% 0.51%
Ratio of net investment income to average
net assets............................ 5.77% 5.61% 6.01% 6.06% 6.06%
Ratio of expenses to average net
assets*............................... 0.81% 0.81% 0.82% 0.81% 0.82%
Portfolio turnover (a)................... 25.93% 37.22% 56.99% 66.61% 75.20%
</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.
98
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
-----------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 10.39 $ 10.50 $ 10.46 $ 10.41 $ 10.52
------- ------- ------- ------- -------
Investment Activities:
Net investment income......................... 0.57 0.57 0.61 0.61 0.63
Net realized and unrealized gains (losses)
from investments........................... (0.11) (0.11) 0.04 0.05 (0.13)
------- ------- ------- ------- -------
Total from Investment Activities........... 0.46 0.46 0.65 0.66 0.50
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.57) (0.57) (0.61) (0.61) (0.61)
------- ------- ------- ------- -------
Total Distributions........................ (0.57) (0.57) (0.61) (0.61) (0.61)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 10.28 $ 10.39 $ 10.50 $ 10.46 $ 10.41
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)............ 4.55% 4.41% 6.32% 6.47% 4.86%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $21,834 $21,450 $15,582 $20,055 $21,343
Ratio of expenses to average net assets....... 0.78% 0.78% 0.78% 0.76% 0.76%
Ratio of net investment income to average
net assets................................. 5.52% 5.30% 5.77% 5.81% 5.81%
Ratio of expenses to average net assets*...... 1.16% 1.16% 1.17% 1.16% 1.17%
Portfolio turnover (a)........................ 25.93% 37.22% 56.99% 66.61% 75.20%
</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.
99
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SHORT-TERM BOND FUND
------------------------------------------------------
CLASS B SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
2000 1999 1998 1997 1996
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $10.46 $10.57 $10.53 $10.49 $10.60
------ ------ ------ ------ ------
Investment Activities:
Net investment income.............................. 0.52 0.53 0.58 0.55 0.55
Net realized and unrealized gains (losses) from
investments..................................... (0.11) (0.11) 0.04 0.04 (0.10)
------ ------ ------ ------ ------
Total from Investment Activities................ 0.41 0.42 0.62 0.59 0.45
------ ------ ------ ------ ------
Distributions:
Net investment income.............................. (0.52) (0.53) (0.58) (0.55) (0.56)
------ ------ ------ ------ ------
Total Distributions............................. (0.52) (0.53) (0.58) (0.55) (0.56)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD....................... $10.35 $10.46 $10.57 $10.53 $10.49
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)................. 4.00% 4.02% 5.98% 5.74% 4.28%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $4,636 $5,047 $4,851 $4,920 $4,923
Ratio of expenses to average net assets............ 1.28% 1.14% 1.11% 1.20% 1.26%
Ratio of net investment income to average net
assets.......................................... 4.98% 4.96% 5.44% 5.21% 5.31%
Ratio of expenses to average net assets*........... 1.80% 1.65% 1.64% 1.81% 1.82%
Portfolio turnover (a)............................. 25.93% 37.22% 56.99% 66.61% 75.20%
</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.
100
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
----------------------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, --------------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
---------- ---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 10.28 $ 10.61 $ 10.48 $ 10.29 $ 10.37 $ 9.21
---------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income......... 0.62 0.32 0.63 0.65 0.64 0.59
Net realized and unrealized
gains (losses) from
investments................. (0.21) (0.33) 0.14 0.18 (0.07) 1.16
---------- ---------- -------- -------- -------- --------
Total from Investment
Activities............... 0.41 (0.01) 0.77 0.83 0.57 1.75
---------- ---------- -------- -------- -------- --------
Distributions:
Net investment income......... (0.62) (0.32) (0.64) (0.64) (0.65) (0.59)
---------- ---------- -------- -------- -------- --------
Total Distributions......... (0.62) (0.32) (0.64) (0.64) (0.65) (0.59)
---------- ---------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD........................ $ 10.07 $ 10.28 $ 10.61 $ 10.48 $ 10.29 $ 10.37
========== ========== ======== ======== ======== ========
Total Return.................... 4.12% (0.08)%(b) 7.62% 8.37% 5.78% 19.48%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)....................... $1,179,116 $1,385,890 $567,609 $482,679 $395,105 $393,656
Ratio of expenses to average
net assets.................. 0.58% 0.62%(c) 0.66% 0.61% 0.67% 0.73%
Ratio of net investment income
to average net assets....... 6.10% 6.27%(c) 6.02% 6.26% 6.29% 5.98%
Ratio of expenses to average
net assets*................. 0.81% 0.77%(c) 0.66% 0.61% 0.67% 0.73%
Portfolio turnover (d)........ 6.08% 9.24% 50.32% 31.66% 31.62% 36.47%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group
Intermediate Bond Fund merged into the Pegasus Intermediate Bond Fund to
become the One Group Intermediate Bond Fund. The Financial Highlights for
the periods prior to March 22, 1999 represent the Pegasus Intermediate Bond
Fund.
(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.
101
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
----------------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, ----------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 10.28 $ 10.61 $ 10.47 $ 10.29 $ 10.37 $ 9.21
-------- -------- ------- ------- ------- -------
Investment Activities:
Net investment income................ 0.59 0.30 0.61 0.62 0.64 0.59
Net realized and unrealized gains
(losses) from investments.......... (0.21) (0.33) 0.14 0.18 (0.07) 1.16
-------- -------- ------- ------- ------- -------
Total from Investment Activities... 0.38 (0.03) 0.75 0.80 0.57 1.75
-------- -------- ------- ------- ------- -------
Distributions:
Net investment income................ (0.59) (0.30) (0.61) (0.62) (0.65) (0.59)
-------- -------- ------- ------- ------- -------
Total Distributions................ (0.59) (0.30) (0.61) (0.62) (0.65) (0.59)
-------- -------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 10.07 $ 10.28 $ 10.61 $ 10.47 $ 10.29 $ 10.37
======== ======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)... 3.86% (0.27)%(b) 7.37% 8.04% 5.65% 19.48%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $157,577 $124,940 $88,072 $42,343 $18,324 $11,654
Ratio of expenses to average net
assets............................. 0.83% 0.84%(c) 0.91% 0.86% 0.79% 0.73%
Ratio of net investment income to
average net assets................. 5.87% 5.87%(c) 5.77% 6.01% 6.17% 5.98%
Ratio of expenses to average net
assets*............................ 1.16% 1.02%(c) 0.91% 0.86% 0.79% 0.73%
Portfolio turnover (d)............... 6.08% 9.24% 50.32% 31.66% 31.62% 36.47%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group
Intermediate Bond Fund merged into the Pegasus Intermediate Bond Fund to
become the One Group Intermediate Bond Fund. The Financial Highlights for
the periods prior to March 22, 1999 represent the Pegasus Intermediate Bond
Fund.
(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.
102
<PAGE> 105
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------------
YEAR SIX MONTHS YEAR ENDED SEPTEMBER 23,
ENDED ENDED DECEMBER 31, 1996 TO
JUNE 30, JUNE 30, ------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
---------- ---------- ------ ------ -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 10.18 $ 10.50 $10.38 $10.20 $10.00
------- ------- ------ ------ ------
Investment Activities:
Net investment income..................... 0.53 0.27 0.47 0.55 0.15
Net realized and unrealized gains (losses)
from investments........................ (0.21) (0.32) 0.18 0.17 0.20
------- ------- ------ ------ ------
Total from Investment Activities........ 0.32 (0.05) 0.65 0.72 0.35
------- ------- ------ ------ ------
Distributions:
Net investment income..................... (0.53) (0.27) (0.53) (0.54) (0.15)
------- ------- ------ ------ ------
Total Distributions..................... (0.53) (0.27) (0.53) (0.54) (0.15)
------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD.............. $ 9.97 $ 10.18 $10.50 $10.38 $10.20
======= ======= ====== ====== ======
Total Return (Excludes Sales Charge)........ 3.23% (0.46)%(c) 6.44% 7.32% 3.50%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $37,460 $37,681 $ 857 $ 385 $ 122
Ratio of expenses to average net assets... 1.48% 1.50%(d) 1.66% 1.61% 1.60%(d)
Ratio of net investment income to average
net assets.............................. 5.26% 5.15%(d) 5.02% 5.26% 1.52%(d)
Ratio of expenses to average net
assets*................................. 1.81% 1.91%(d) 1.66% 1.61% 1.60%(d)
Portfolio turnover (e).................... 6.08% 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) Upon reorganizing as a fund of One Group Mutual Funds, the One Group
Intermediate Bond Fund merged into the Pegasus Intermediate Bond Fund to
become the One Group Intermediate Bond Fund. The Financial Highlights for
the periods prior to March 22, 1999 represent the Pegasus Intermediate Bond
Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
103
<PAGE> 106
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Intermediate Bond Fund
-------------------------
Class C Shares
-------------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.18 $ 10.38
------- -------
Investment Activities:
Net investment income..................................... 0.53 0.15
Net realized and unrealized gains (losses) from
investments............................................ (0.20) (0.20)
------- -------
Total from Investment Activities....................... 0.33 (0.05)
------- -------
Distributions:
Net investment income..................................... (0.53) (0.15)
------- -------
Total Distributions.................................... (0.53) (0.15)
------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.98 $ 10.18
======= =======
Total Return (Excludes Sales Charge)........................ 3.33% (0.51)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $33,087 $16,650
Ratio of expenses to average net assets................... 1.49% 1.50%(c)
Ratio of net investment income to average net assets...... 5.30% 5.18%(c)
Ratio of expenses to average net assets*.................. 1.82% 2.13%(c)
Portfolio turnover (d).................................... 6.08% 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.
104
<PAGE> 107
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Fund
---------------------------------------------------------------------------------------
Class I Shares
---------------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED Year Ended December 31,
JUNE 30, JUNE 30, ------------------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
---------- ---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.... $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01
---------- ---------- ---------- ---------- -------- --------
Investment Activities:
Net investment
income.............. 0.65 0.35 0.65 0.66 0.68 0.63
Net realized and
unrealized gains
(losses) from
investments......... (0.26) (0.44) 0.19 0.32 (0.18) 1.45
---------- ---------- ---------- ---------- -------- --------
Total from
Investment
Activities........ 0.39 (0.09) 0.84 0.98 0.50 2.08
---------- ---------- ---------- ---------- -------- --------
Distributions:
Net investment
income.............. (0.65) (0.35) (0.65) (0.66) (0.68) (0.64)
---------- ---------- ---------- ---------- -------- --------
Total
Distributions..... (0.65) (0.35) (0.65) (0.66) (0.68) (0.64)
---------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE, END OF
PERIOD................. $ 10.08 $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45
========== ========== ========== ========== ======== ========
Total Return............. 3.94% (0.87)%(b) 8.17% 9.97% 5.08% 23.75%
RATIOS/SUPPLEMENTARY
DATA:
Net assets at end of
period (000)........ $1,687,041 $1,330,527 $1,277,246 $1,101,894 $757,627 $485,851
Ratio of expenses to
average net
assets.............. 0.60% 0.64%(c) 0.64% 0.61% 0.66% 0.74%
Ratio of net investment
income to average
net assets.......... 6.44% 6.65%(c) 6.10% 6.41% 6.71% 6.39%
Ratio of expenses to
average net
assets*............. 0.83% 0.75%(c) 0.64% 0.61% 0.66% 0.74%
Portfolio turnover
(d)................. 16.19% 10.89% 34.69% 17.60% 24.92% 41.91%
</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) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Bond Fund
became the One Group Bond Fund. The Financial Highlights for the periods
prior to March 22, 1999 represent the Pegasus Bond Fund.
(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.
105
<PAGE> 108
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Fund
-------------------------------------------------------------------------------
Class A Shares
-------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED Year Ended December 31,
JUNE 30, JUNE 30, ------------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45 $ 9.01
-------- -------- -------- -------- ------- -------
Investment Activities:
Net investment income......... 0.62 0.34 0.61 0.63 0.67 0.63
Net realized and unrealized
gains (losses) from
investments................ (0.26) (0.44) 0.21 0.32 (0.18) 1.45
-------- -------- -------- -------- ------- -------
Total from Investment
Activities............... 0.36 (0.10) 0.82 0.95 0.49 2.08
-------- -------- -------- -------- ------- -------
Distributions:
Net investment income......... (0.62) (0.34) (0.63) (0.63) (0.67) (0.64)
-------- -------- -------- -------- ------- -------
Total Distributions........ (0.62) (0.34) (0.63) (0.63) (0.67) (0.64)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF
PERIOD........................ $ 10.08 $ 10.34 $ 10.78 $ 10.59 $ 10.27 $ 10.45
======== ======== ======== ======== ======= =======
Total Return (Excludes Sales
Charge)....................... 3.68% (0.98)%(b) 7.92% 9.65% 4.98% 23.75%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)...................... $143,421 $180,058 $226,261 $125,515 $46,977 $31,714
Ratio of expenses to average
net assets................. 0.85% 0.86%(c) 0.89% 0.86% 0.78% 0.74%
Ratio of net investment income
to average net assets...... 6.15% 6.39%(c) 5.85% 6.16% 6.59% 6.39%
Ratio of expenses to average
net assets*................ 1.16% 0.97%(c) 0.89% 0.86% 0.78% 0.74%
Portfolio turnover (d)........ 16.19% 10.89% 34.69% 17.60% 24.92% 41.91%
</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) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Bond Fund
became the One Group Bond Fund. The Financial Highlights for the periods
prior to March 22, 1999 represent the Pegasus Bond Fund.
(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.
106
<PAGE> 109
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Fund
---------------------------------------------------------------------
Class B Shares
---------------------------------------------------------------------
YEAR SIX MONTHS Year Ended AUGUST 26,
ENDED ENDED December 31, 1996 TO
JUNE 30, JUNE 30, ------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
---------- ---------- ------ ------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 10.34 $ 10.78 $10.59 $10.27 $10.00
------- ------- ------ ------ ------
Investment Activities:
Net investment income.................. 0.56 0.30 0.47 0.56 0.21
Net realized and unrealized gains
(losses) from investments........... (0.26) (0.44) 0.27 0.32 0.27
------- ------- ------ ------ ------
Total from Investment Activities.... 0.30 (0.14) 0.74 0.88 0.48
------- ------- ------ ------ ------
Distributions:
Net investment income.................. (0.56) (0.30) (0.55) (0.56) (0.21)
------- ------- ------ ------ ------
Total Distributions................. (0.56) (0.30) (0.55) (0.56) (0.21)
------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD........... $ 10.08 $ 10.34 $10.78 $10.59 $10.27
======= ======= ====== ====== ======
Total Return (Excludes Sales Charge)..... 3.01% (1.35)%(c) 7.16% 8.91% 4.81%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $18,808 $13,812 $9,074 $3,394 $ 280
Ratio of expenses to average net
assets.............................. 1.50% 1.57%(d) 1.64% 1.61% 1.59%(d)
Ratio of net investment income to
average net assets.................. 5.52% 5.69%(d) 5.10% 5.41% 3.01%(d)
Ratio of expenses to average net
assets*............................. 1.81% 1.70%(d) 1.64% 1.61% 1.59%(d)
Portfolio turnover (e)................. 16.19% 10.89% 34.69% 17.60% 24.92%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Bond Fund
became the One Group Bond Fund. The Financial Highlights for the periods
prior to March 22, 1999 represent the Pegasus Bond Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
107
<PAGE> 110
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Fund
-------------------------
Class C Shares
-------------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.38 $10.59
------ ------
Investment Activities:
Net investment income..................................... 0.56 0.17
Net realized and unrealized gains (losses) from
investments............................................ (0.24) (0.21)
------ ------
Total from Investment Activities....................... 0.32 (0.04)
------ ------
Distributions:
Net investment income..................................... (0.56) (0.17)
------ ------
Total Distributions.................................... (0.56) (0.17)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.14 $10.38
====== ======
Total Return (Excludes Sales Charge)........................ 3.19% (0.35)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,118 $ 455
Ratio of expenses to average net assets................... 1.50% 1.47%(c)
Ratio of net investment income to average net assets...... 5.56% 5.66%(c)
Ratio of expenses to average net assets*.................. 1.82% 1.69%(c)
Portfolio turnover (d).................................... 16.19% 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.
108
<PAGE> 111
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-----------------------------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------------------------
YEAR SIX MONTHS FEBRUARY 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
---------- ---------- -------- ------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $ 7.68 $ 8.10 $ 8.01 $ 7.85 $ 8.18 $ 7.68
---------- ---------- -------- ------- -------- --------
Investment Activities:
Net investment income............ 0.48 0.22 0.47 0.50 0.46 0.47
Net realized and unrealized gains
(losses) from investments...... (0.17) (0.35) 0.14 0.17 (0.24) 0.72
---------- ---------- -------- ------- -------- --------
Total from Investment
Activities.................. 0.31 (0.13) 0.61 0.67 0.22 1.19
---------- ---------- -------- ------- -------- --------
Distributions:
Net investment income............ (0.48) (0.23) (0.47) (0.49) (0.45) (0.47)
Net realized gains (losses)...... -- (0.06) (0.05) (0.02) (0.10) (0.22)
---------- ---------- -------- ------- -------- --------
Total Distributions............ (0.48) (0.29) (0.52) (0.51) (0.55) (0.69)
---------- ---------- -------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD..... $ 7.51 $ 7.68 $ 8.10 $ 8.01 $ 7.85 $ 8.18
========== ========== ======== ======= ======== ========
Total Return....................... 4.19% (1.68)%(c) 7.82% 8.86% 3.14% 15.90%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $1,317,128 $1,328,702 $385,672 $94,544 $187,112 $191,930
Ratio of expenses to average net
assets......................... 0.62% 0.62%(d) 0.65% 0.62% 0.57% 0.55%(d)
Ratio of net investment income to
average net assets............. 6.35% 5.92%(d) 5.79% 6.08% 6.02% 6.34%(d)
Ratio of expenses to average net
assets*........................ 0.81% 0.76%(d) 0.65% 0.62% 0.66% 0.67%(d)
Portfolio turnover (e)........... 25.10% 20.55% 41.69% 38.70% 103.93% 173.26%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group Income
Bond Fund merged into the Pegasus Multi Sector Bond Fund to become the One
Group Income Bond Fund. The Financial Highlights for the periods prior to
March 22, 1999 represent the Pegasus Multi Sector Bond Fund.
(b) Effective February 1, 1995 the Fund changed its fiscal year end from January
31, to December 31.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
109
<PAGE> 112
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-----------------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------------
YEAR SIX MONTHS FEBRUARY 1,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, --------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ------- ------ ------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 7.68 $ 8.09 $ 8.00 $ 7.84 $ 8.18 $ 7.68
------- ------- ------- ------ ------ ------
Investment Activities:
Net investment income................... 0.46 0.21 0.44 0.48 0.41 0.44
Net realized and unrealized gains
(losses) from investments............. (0.18) (0.34) 0.14 0.17 (0.25) 0.72
------- ------- ------- ------ ------ ------
Total from Investment Activities...... 0.28 (0.13) 0.58 0.65 0.16 1.16
------- ------- ------- ------ ------ ------
Distributions:
Net investment income................... (0.46) (0.22) (0.44) (0.47) (0.40) (0.44)
Net realized gains (losses)............. -- (0.06) (0.05) (0.02) (0.10) (0.22)
------- ------- ------- ------ ------ ------
Total Distributions................... (0.46) (0.28) (0.49) (0.49) (0.50) (0.66)
------- ------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD............ $ 7.50 $ 7.68 $ 8.09 $ 8.00 $ 7.84 $ 8.18
======= ======= ======= ====== ====== ======
Total Return (Excludes Sales Charge)...... 3.80% (1.62)%(c) 7.44% 8.58% 2.75% 15.55%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $28,677 $31,603 $15,785 $7,832 $8,798 $6,095
Ratio of expenses to average net
assets................................ 0.88% 0.87%(d) 0.90% 0.87% 0.84% 0.94%(d)
Ratio of net investment income to
average net assets.................... 6.11% 5.37%(d) 5.57% 5.83% 5.75% 5.72%(d)
Ratio of expenses to average net
assets*............................... 1.16% 1.16%(d) 0.90% 0.87% 0.90% 1.15%(d)
Portfolio turnover (e).................. 25.10% 20.55% 41.69% 38.70% 103.93% 173.26%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group Income
Bond Fund merged into the Pegasus Multi Sector Bond Fund to become the One
Group Income Bond Fund. The Financial Highlights for the periods prior to
March 22, 1999 represent the Pegasus Multi Sector Bond Fund.
(b) Effective February 1, 1995 the Fund changed its fiscal year end from January
31, to December 31.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
110
<PAGE> 113
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-----------------------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------------------
YEAR SIX MONTHS MAY 31,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, --------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ------ ------ ------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 7.71 $ 8.13 $8.00 $7.85 $8.18 $8.13
------- ------- ----- ----- ----- -----
Investment Activities:
Net investment income................... 0.41 0.18 0.39 0.42 0.45 0.24
Net realized and unrealized gains
(losses) from investments............. (0.18) (0.34) 0.14 0.17 (0.23) 0.27
------- ------- ----- ----- ----- -----
Total from Investment Activities...... 0.23 (0.16) 0.53 0.59 0.22 0.51
------- ------- ----- ----- ----- -----
Distributions:
Net investment income................... (0.41) (0.20) (0.35) (0.42) (0.45) (0.24)
Net realized gains (losses)............. -- (0.06) (0.05) (0.02) (0.10) (0.22)
------- ------- ----- ----- ----- -----
Total Distributions................... (0.41) (0.26) (0.40) (0.44) (0.55) (0.46)
------- ------- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD............ $ 7.53 $ 7.71 $8.13 $8.00 $7.85 $8.18
======= ======= ===== ===== ===== =====
Total Return (Excludes Sales Charge)...... 3.11% (2.07)%(c) 6.74% 7.75% 2.09% 6.41%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $13,036 $16,309 $ 638 $ 533 $ 502 $ 259
Ratio of expenses to average net
assets................................ 1.52% 1.52%(d) 1.65% 1.62% 1.58% 1.60%(d)
Ratio of net investment income to
average net assets.................... 5.42% 5.05%(d) 4.80% 5.08% 5.01% 5.00%(d)
Ratio of expenses to average net
assets*............................... 1.81% 2.01%(d) 1.65% 1.62% 1.67% 1.78%(d)
Portfolio turnover (e).................. 25.10% 20.55% 41.69% 38.70% 103.93% 173.26%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Upon reorganizing as a fund of One Group Mutual Funds, the One Group Income
Bond Fund merged into the Pegasus Multi Sector Bond Fund to become the One
Group Income Bond Fund. The Financial Highlights for the periods prior to
March 22, 1999 represent the Pegasus Multi Sector Bond Fund.
(b) Re-offering date of Class B shares was May 31, 1995.
(c) Not annualized.
(d) Annualized.
(e) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
111
<PAGE> 114
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
----------------
CLASS C SHARES
----------------
MAY 30,
2000 TO
JUNE 30,
2000 (a)
----------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $7.40
-----
Investment Activities:
Net investment income..................................... 0.04
Net realized and unrealized gains (losses) from
investments............................................ 0.14
-----
Total from Investment Activities....................... 0.18
-----
Distributions:
Net investment income..................................... (0.04)
-----
Total Distributions.................................... (0.04)
-----
NET ASSET VALUE, END OF PERIOD.............................. $7.54
=====
Total Return (Excludes Sales Charge)........................ 2.37%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 128
Ratio of expenses to average net assets................... 1.51%(c)
Ratio of net investment income to average net assets...... 5.90%(c)
Ratio of expenses to average net assets*.................. 1.77%(c)
Portfolio turnover (d).................................... 25.10%
</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.
112
<PAGE> 115
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
----------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 9.73 $ 10.11 $ 9.69 $ 9.56 $ 9.81
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.................... 0.59 0.58 0.60 0.62 0.62
Net realized and unrealized gains
(losses) from investments and
futures............................... (0.19) (0.38) 0.42 0.13 (0.25)
-------- -------- -------- -------- --------
Total from Investment Activities...... 0.40 0.20 1.02 0.75 0.37
-------- -------- -------- -------- --------
Distributions:
Net investment income.................... (0.59) (0.58) (0.60) (0.62) (0.62)
-------- -------- -------- -------- --------
Total Distributions................... (0.59) (0.58) (0.60) (0.62) (0.62)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............. $ 9.54 $ 9.73 $ 10.11 $ 9.69 $ 9.56
======== ======== ======== ======== ========
Total Return............................... 4.33% 1.94% 10.81% 8.10% 3.81%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $866,755 $964,576 $851,517 $724,423 $677,326
Ratio of expenses to average net
assets................................ 0.62% 0.62% 0.62% 0.62% 0.68%
Ratio of net investment income to average
net assets............................ 6.21% 5.77% 6.05% 6.45% 6.34%
Ratio of expenses to average net
assets*............................... 0.66% 0.66% 0.67% 0.68% 0.69%
Portfolio turnover (a)................... 25.30% 80.86% 91.49% 60.53% 62.70%
</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>
GOVERNMENT BOND FUND
-----------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 9.73 $ 10.11 $ 9.69 $ 9.56 $ 9.81
------- ------- ------- ------- -------
Investment Activities:
Net investment income......................... 0.57 0.56 0.58 0.60 0.60
Net realized and unrealized gains (losses)
from investments and futures............... (0.18) (0.38) 0.42 0.13 (0.25)
------- ------- ------- ------- -------
Total from Investment Activities........... 0.39 0.18 1.00 0.73 0.35
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.57) (0.56) (0.58) (0.60) (0.60)
------- ------- ------- ------- -------
Total Distributions........................ (0.57) (0.56) (0.58) (0.60) (0.60)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 9.55 $ 9.73 $ 10.11 $ 9.69 $ 9.56
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)............ 4.17% 1.69% 10.54% 7.83% 3.58%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $43,935 $42,819 $31,548 $34,727 $38,800
Ratio of expenses to average net assets....... 0.87% 0.87% 0.87% 0.87% 0.93%
Ratio of net investment income to average net
assets..................................... 5.93% 5.52% 5.80% 6.20% 6.09%
Ratio of expenses to average net assets*...... 1.01% 1.00% 1.02% 1.03% 1.04%
Portfolio turnover (a)........................ 25.30% 80.86% 91.49% 60.53% 62.70%
</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>
GOVERNMENT BOND FUND
-----------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 9.74 $ 10.11 $ 9.69 $ 9.56 $ 9.81
------- ------- ------- ------- -------
Investment Activities:
Net investment income......................... 0.51 0.49 0.52 0.54 0.54
Net realized and unrealized gains (losses)
from investments and futures............... (0.19) (0.37) 0.42 0.13 (0.25)
------- ------- ------- ------- -------
Total from Investment Activities........... 0.32 0.12 0.94 0.67 0.29
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.51) (0.49) (0.52) (0.54) (0.54)
------- ------- ------- ------- -------
Total Distributions........................ (0.51) (0.49) (0.52) (0.54) (0.54)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 9.55 $ 9.74 $ 10.11 $ 9.69 $ 9.56
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)............ 3.39% 1.14% 9.86% 7.14% 2.95%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $43,077 $53,384 $20,922 $11,729 $10,782
Ratio of expenses to average net assets....... 1.52% 1.52% 1.52% 1.52% 1.58%
Ratio of net investment income to average net
assets..................................... 5.30% 4.86% 5.14% 5.55% 5.44%
Ratio of expenses to average net assets*...... 1.66% 1.65% 1.67% 1.68% 1.69%
Portfolio turnover (a)........................ 25.30% 80.86% 91.49% 60.53% 62.70%
</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
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
-------------------------
CLASS C SHARES
-------------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.74 $10.03
------ ------
Investment Activities:
Net investment income..................................... 0.51 0.14
Net realized and unrealized gains (losses) from
investments and futures................................ (0.19) (0.29)
------ ------
Total from Investment Activities....................... 0.32 (0.15)
------ ------
Distributions:
Net investment income..................................... (0.51) (0.14)
------ ------
Total Distributions.................................... (0.51) (0.14)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.55 $ 9.74
====== ======
Total Return (Excludes Sales Charge)........................ 3.39% (1.54)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $3,130 $1,102
Ratio of expenses to average net assets................... 1.52% 1.52%(c)
Ratio of net investment income to average net assets...... 5.36% 5.06%(c)
Ratio of expenses to average net assets*.................. 1.66% 1.65%(c)
Portfolio turnover (d).................................... 25.30% 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.
116
<PAGE> 119
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
--------------------------------------------
CLASS I SHARES
--------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
----------------------------- JUNE 30,
2000 1999 1998 1997 (a)
------- ------- ------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 9.81 $ 10.09 $ 9.99 $ 10.00
------- ------- ------- --------
Investment Activities:
Net investment income................................... 0.57 0.57 0.62 0.28
Net realized and unrealized gains (losses) from
investments.......................................... (0.15) (0.21) 0.15 (0.01)
------- ------- ------- --------
Total from Investment Activities..................... 0.42 0.36 0.77 0.27
------- ------- ------- --------
Distributions:
Net investment income................................... (0.57) (0.57) (0.62) (0.28)
Net realized gains (losses)............................. (0.02) (0.07) (0.05) --
------- ------- ------- --------
Total Distributions.................................. (0.59) (0.64) (0.67) (0.28)
------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD............................ $ 9.64 $ 9.81 $ 10.09 $ 9.99
======= ======= ======= ========
Total Return.............................................. 4.42% 3.54% 7.91% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $65,437 $79,958 $95,073 $110,084
Ratio of expenses to average net assets................. 0.38% 0.36% 0.35% 0.45%(c)
Ratio of net investment income to average net assets.... 5.89% 5.60% 6.16% 6.44%(c)
Ratio of expenses to average net assets*................ 0.63% 0.65% 0.65% 0.78%(c)
Portfolio turnover (d).................................. 30.02% 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.
117
<PAGE> 120
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
--------------------------------------------
CLASS A SHARES
--------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
----------------------------- JUNE 30,
2000 1999 1998 1997 (a)
------- ------- ------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 9.81 $ 10.09 $ 9.98 $10.00
------- ------- ------- ------
Investment Activities:
Net investment income................................... 0.55 0.54 0.63 0.29
Net realized and unrealized gains (losses) from
investments.......................................... (0.14) (0.21) 0.16 (0.02)
------- ------- ------- ------
Total from Investment Activities..................... 0.41 0.33 0.79 0.27
------- ------- ------- ------
Distributions:
Net investment income................................... (0.55) (0.54) (0.63) (0.29)
Net realized gains (losses)............................. (0.02) (0.07) (0.05) --
------- ------- ------- ------
Total Distributions.................................. (0.57) (0.61) (0.68) (0.29)
------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD............................ $ 9.65 $ 9.81 $ 10.09 $ 9.98
======= ======= ======= ======
Total Return (Excludes Sales Charge)...................... 4.27% 3.30% 8.10% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $39,655 $72,941 $35,213 $ 94
Ratio of expenses to average net assets................. 0.63% 0.60% 0.58% 0.71%(c)
Ratio of net investment income to average net assets.... 5.62% 5.30% 5.87% 6.47%(c)
Ratio of expenses to average net assets*................ 0.99% 1.00% 0.98% 1.15%(c)
Portfolio turnover (d).................................. 30.02% 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.
118
<PAGE> 121
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
--------------------------------------------
CLASS B SHARES
--------------------------------------------
JANUARY 20,
YEAR ENDED JUNE 30, 1997 TO
----------------------------- JUNE 30,
2000 1999 1998 1997 (a)
------- ------- ------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 9.81 $ 10.08 $ 9.99 $10.00
------- ------- ------- ------
Investment Activities:
Net investment income................................... 0.50 0.49 0.58 0.26
Net realized and unrealized gains (losses) from
investments.......................................... (0.15) (0.20) 0.14 (0.01)
------- ------- ------- ------
Total from Investment Activities..................... 0.35 0.29 0.72 0.25
------- ------- ------- ------
Distributions:
Net investment income................................... (0.50) (0.49) (0.58) (0.26)
Net realized gains (losses)............................. (0.02) (0.07) (0.05) --
------- ------- ------- ------
Total Distributions.................................. (0.52) (0.56) (0.63) (0.26)
------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD............................ $ 9.64 $ 9.81 $ 10.08 $ 9.99
======= ======= ======= ======
Total Return (Excludes Sales Charge)...................... 3.65% 2.89% 7.33% 2.58%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $54,322 $69,825 $12,483 $ 80
Ratio of expenses to average net assets................. 1.13% 1.10% 1.08% 1.23%(c)
Ratio of net investment income to average net assets.... 5.14% 4.79% 5.39% 6.30%(c)
Ratio of expenses to average net assets*................ 1.64% 1.64% 1.63% 1.81%(c)
Portfolio turnover (d).................................. 30.02% 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.
119
<PAGE> 122
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND
----------------------------
CLASS I SHARES
----------------------------
YEAR NOVEMBER 13,
ENDED 1998 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.87 $ 10.00
-------- --------
Investment Activities:
Net investment income..................................... 0.89 0.51
Net realized and unrealized gains (losses) from
investments............................................ (0.97) (0.13)
-------- --------
Total from Investment Activities....................... (0.08) 0.38
-------- --------
Distributions:
Net investment income..................................... (0.89) (0.51)
-------- --------
Total Distributions.................................... (0.89) (0.51)
-------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.90 $ 9.87
======== ========
Total Return................................................ (0.75)% 3.80%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $218,780 $137,433
Ratio of expenses to average net assets................... 0.88% 0.89%(c)
Ratio of net investment income to average net assets...... 9.63% 8.48%(c)
Ratio of expenses to average net assets*.................. 1.03% 1.18%(c)
Portfolio turnover (d).................................... 35.14% 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.
120
<PAGE> 123
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND
----------------------------
CLASS A SHARES
----------------------------
YEAR NOVEMBER 13,
ENDED 1998 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.86 $ 10.00
------ -------
Investment Activities:
Net investment income..................................... 0.87 0.49
Net realized and unrealized gains (losses) from
investments............................................ (0.97) (0.14)
------ -------
Total from Investment Activities....................... (0.10) 0.35
------ -------
Distributions:
Net investment income..................................... (0.87) (0.49)
------ -------
Total Distributions.................................... (0.87) (0.49)
------ -------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.89 $ 9.86
====== =======
Total Return (Excludes Sales Charge)........................ (1.00)% 3.53%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $9,860 $11,405
Ratio of expenses to average net assets................... 1.13% 1.13%(c)
Ratio of net investment income to average net assets...... 9.28% 8.46%(c)
Ratio of expenses to average net assets*.................. 1.38% 1.43%(c)
Portfolio turnover (d).................................... 35.14% 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.
121
<PAGE> 124
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND
----------------------------
CLASS B SHARES
----------------------------
YEAR NOVEMBER 13,
ENDED 1998 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.88 $10.00
------ ------
Investment Activities:
Net investment income..................................... 0.81 0.45
Net realized and unrealized gains (losses) from
investments............................................ (0.97) (0.12)
------ ------
Total from Investment Activities....................... (0.16) 0.33
------ ------
Distributions:
Net investment income..................................... (0.81) (0.45)
------ ------
Total Distributions.................................... (0.81) (0.45)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.91 $ 9.88
====== ======
Total Return (Excludes Sales Charge)........................ (1.64)% 3.30%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $6,565 $3,748
Ratio of expenses to average net assets................... 1.77% 1.77%(c)
Ratio of net investment income to average net assets...... 8.66% 7.69%(c)
Ratio of expenses to average net assets*.................. 2.02% 2.06%(c)
Portfolio turnover (d).................................... 35.14% 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.
122
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
High Yield Bond Fund
-------------------------
Class C Shares
-------------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
---------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.87 $10.14
------ ------
Investment Activities:
Net investment income..................................... 0.81 0.22
Net realized and unrealized gains (losses) from
investments............................................ (0.97) (0.27)
------ ------
Total from Investment Activities....................... (0.16) (0.05)
------ ------
Distributions:
Net investment income..................................... (0.81) (0.22)
------ ------
Total Distributions.................................... (0.81) (0.22)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.90 $ 9.87
====== ======
Total Return (Excludes Sales Charge)........................ (1.66)% (0.56)%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,121 $ 9
Ratio of expenses to average net assets................... 1.78% 1.76%(c)
Ratio of net investment income to average net assets...... 8.82% 7.84%(c)
Ratio of expenses to average net assets*.................. 2.03% 2.08%(c)
Portfolio turnover (d).................................... 35.14% 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.
123
<PAGE> 126
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000
1. ORGANIZATION:
The One Group Mutual Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end investment
company established as a Massachusetts business trust. The accompanying
financial statements and financial highlights are those of the Ultra
Short-Term Bond Fund, the Short-Term Bond Fund, the Intermediate Bond Fund,
the Bond Fund, the Income Bond Fund, the Government Bond Fund, the Treasury &
Agency Fund, and the High Yield Bond Fund (individually a "Fund,"
collectively the "Funds") only. Each Fund is a diversified mutual fund.
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by the
Trust in 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 mean of the latest bid and ask prices. 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 Pricing Committee which is
comprised of members from One Group Administrative Services, ("OGA"), an
affiliate of 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.
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, letters of credit or any combination of cash,
such securities or letters of credit
Continued
124
<PAGE> 127
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
as collateral equal at all times to at least 100% of the market value plus
accrued interest on the securities lent. The Funds receive payments from
borrowers equivalent to the dividends and interest that would have been
earned on securities lent while simultaneously seeking to earn interest on
the investment of cash collateral.
Collateral is marked to market daily to provide a level of collateral at
least equal to the market value of securities lent. There may be risks of
delay in recovery of the securities or even loss of rights in the
collateral should the borrower of the securities fail financially. However,
loans will be made only to borrowers deemed by the Advisor to be of good
standing and creditworthy under guidelines established by the Board of
Trustees and when, in the judgment of the Advisor, the consideration which
can be earned currently from such securities loans justifies the attendant
risks. Loans are subject to termination by the Funds or the borrower at any
time, and are, therefore, not considered to be illiquid investments. As of
June 30, 2000, the following Funds had securities with the following market
values on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET
MARKET VALUE
VALUE OF OF LOANED
COLLATERAL SECURITIES
---------- ----------
<S> <C> <C>
Short-Term Bond Fund........................................ $223,643 $217,528
Intermediate Bond Fund...................................... 325,998 317,448
Bond Fund................................................... 374,572 367,182
Income Bond Fund............................................ 281,940 275,905
Government Bond Fund........................................ 165,934 162,112
Treasury & Agency Fund...................................... 48,490 47,468
High Yield Bond Fund........................................ 47,549 46,734
</TABLE>
The loaned securities were fully collateralized by cash, U.S. Government
securities, and letters of credit as of June 30, 2000.
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. Net
investment income includes premium amortization and discount accretion for
both financial reporting and tax purposes. Amortization and accretion are
calculated 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.
Continued
125
<PAGE> 128
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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. Prior to June 30, 1998, costs were being
amortized using the straight-line method over a period of five years
beginning with the commencement of each Fund's operations. After June 30,
1998, costs are expensed as incurred. All such costs, which are
attributable to more than one Fund of the Trust, have been allocated among
the respective Fund's pro-rata, based on the relative net assets of each
Fund. In the event that any of the initial shares are redeemed during such
period by any holder thereof, the related Fund will be reimbursed by such
holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
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.
FINANCIAL INSTRUMENTS
Investing in financial instruments such as written options, futures,
structured notes and indexed securities involves risks in excess of the
amounts reflected in the Statements of Assets and Liabilities. The face or
contract amounts reflect the extent of the involvement the Funds have in
the particular class of instrument. Risks associated with these instruments
include an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates,
an illiquid secondary market for the instruments or inability of
counterparties to perform under the terms of the contract. The Funds enter
into these contracts primarily as a means to hedge against adverse
fluctuations in securities held or planned to be purchased by the funds.
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 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.
The following is a summary of futures outstanding as of June 30, 2000:
<TABLE>
<CAPTION>
OPENING CURRENT MARKET
NUMBER OF POSITIONS VALUE
FUND CONTRACT TYPE CONTRACTS (000) (000)
---- -------------------------- --------- --------- --------------
<S> <C> <C> <C> <C>
Ultra Short-Term Bond Fund Short Bond U.S. 2 Year,
October 2000 Futures 100 $19,676 $19,837
Government Bond Fund Short Bond U.S. 2 Year,
October 2000 Futures 100 19,676 19,838
</TABLE>
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.
Continued
126
<PAGE> 129
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value, which may, without shareholder approval, be divided into an
unlimited number of series of such shares, and any series may be classified
or reclassified into one or more classes. The Trust is registered to offer
fifty-four series and six classes of shares: Class I, Class A, Class B, Class
C, Class S and Service Class. Currently, the Trust consists of forty-nine
active funds. The Funds are each authorized to issue Class I, Class A, Class
B and Class C shares only. 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, 2000, there were no shareholders in Class C of the Ultra
Short-Term Bond Fund, the Short-Term Bond Fund, and the Treasury and Agency
Fund. Shareholders are entitled to one vote for each full share held and vote
in the aggregate and not by class or series, except as otherwise expressly
required by law or when the Board of Trustees has determined that the matter
to be voted on affects only the interest of shareholders of a particular
class or series. See Schedules of Capital Stock Activity.
4. INVESTMENT ADVISORY, ADMINISTRATION, AND DISTRIBUTION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
under which the Advisor is entitled to receive an annual fee, computed daily
and paid monthly, equal to the following percentages of the Funds' average
daily net assets: 0.55% of the Ultra Short-Term Bond Fund, 0.60% of the
Short-Term Bond Fund, the Intermediate Bond Fund, the Bond Fund and the
Income 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.
The Trust and the Administrator, a wholly-owned subsidiary of The BISYS
Group, Inc., are parties to an administration agreement under which the
Administrator provides services for a fee that is computed daily and paid
monthly, at an annual rate of 0.20% on the first $1.5 billion of Trust net
assets (excluding the Investor Growth Fund, the Investor Growth & Income
Fund, the Investor Conservative Growth Fund and the Investor Balanced Fund
(the "Investor Funds") and the Treasury Only Money Market Fund, the
Government Money Market Fund and the Institutional Prime Money Market Fund
(the "Institutional Money Market Funds")); 0.18% on the next $0.5 billion of
Trust net assets (excluding the Investor Funds and the Institutional Money
Market Funds); and 0.16% of Trust net assets (excluding the Investor Funds
and the Institutional Money Market Funds) over $2 billion. OGA serves as
Sub-Administrator to each fund of the Trust, pursuant to an agreement between
the Administrator and OGA. Pursuant to this agreement, OGA performs many of
the Administrator's duties, for which OGA receives a fee paid by the
Administrator.
Banc One High Yield Partners, LLC, the sub-advisor of the One Group High
Yield Bond Fund, was formed as a limited liability company under an agreement
between Banc One Investment Advisors and Pacholder Associates, Inc. Under the
Agreement, Pacholder is responsible for providing portfolio management
services on behalf of Banc One High Yield Partners, LLC for the One Group
High Yield Bond Fund. For its services, Banc One High Yield Partners, LLC is
paid a fee by the Advisor.
A Special Meeting of Shareholders ("Special Meeting") of the One Group Income
Bond Fund (the "Fund") was held on November 19, 1999. At the meeting, a
majority of the shareholders of record at the close of business on September
23, 1999 approved a Sub-Investment Advisory Agreement between Banc One
Investment Advisors Corporation and Banc One High Yield Partners, LLC with
respect to the Fund. As a result, Banc One High Yield Partners, LLC now acts
as sub-advisor to the Fund with respect to that portion of the Fund's assets
designated by Banc One Investment Advisors for investment in corporate
fixed-income securities and instruments which are rated below investment
grade or unrated corporate fixed-income securities and instruments of similar
quality. The Fund cannot invest more than 30% of its total assets in this
type of security. Approval of the Sub-Investment Advisory Agreement did not
result in any change in the Fund's investment restrictions or an increase in
the contractual rate of any advisory fees payable by the Fund. For its
services, Banc One High Yield Partners, LLC is paid a fee by the Advisor.
Continued
127
<PAGE> 130
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A, Class B, and Class C shares are subject to
distribution and shareholder services plans (the "Plans") pursuant to Rule
12b-1 under the 1940 Act. As provided in the Plans, the Trust will pay the
Distributor a fee of 0.35% of the average daily net assets of Class A shares
of each of the Funds and 1.00% of the average daily net assets of the Class B
and Class C shares of each of the Funds. Currently, the Distributor has
voluntarily agreed to limit payments under the Plans to 0.25% 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 Income 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, 2000, the Distributor received
$760,556 from commissions earned on sales of Class A shares and redemptions
of Class B and Class C shares, of which the Distributor re-allowed $439,833
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, 2000, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT DISTRIBUTION
ADVISORY FEES WAIVED
FEES ADMINISTRATION -----------------------------
WAIVED FEES WAIVED CLASS A CLASS B CLASS C
---------- -------------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
Ultra Short-Term Bond Fund............. $ 719 $310 $ 26 $ 17 $--
Short-Term Bond Fund................... 2,166 -- 21 13 --
Intermediate Bond Fund................. 3,398 -- 139 38 27
Bond Fund.............................. 3,454 184 161 18 1
Income Bond Fund....................... 2,574 -- 30 15 --(a)
Government Bond Fund................... 172 193 43 49 2
Treasury & Agency Fund................. 390 114 59 158 --
High Yield Bond Fund................... 298 -- 11 5 1
</TABLE>
------------
(a) Amount is less than $1,000.
Continued
128
<PAGE> 131
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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, 2000, were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
--------- --------
<S> <C> <C>
Ultra Short-Term Bond Fund.................................. $ 92,555 $ 94,292
Short-Term Bond Fund........................................ 192,690 252,419
Intermediate Bond Fund...................................... 83,203 224,977
Bond Fund................................................... 553,146 246,437
Income Bond Fund............................................ 355,748 339,726
Government Bond Fund........................................ 247,341 325,756
Treasury & Agency Fund...................................... 56,799 118,078
High Yield Bond Fund........................................ 161,766 65,595
</TABLE>
6. LINE OF CREDIT:
The Trust and State Street Bank and Trust Company ("State Street") and a
group of banks (collectively, the "Banks") entered into a financing agreement
dated October 19, 1999. Under this agreement, the Banks provide an unsecured
committed credit facility in the aggregate amount of $500 million. The credit
facility is allocated, under the terms of the financing agreement, among the
Banks. Advances under the agreement are taken primarily for temporary or
emergency purposes, including the meeting of redemption requests that
otherwise might require the untimely disposition of securities, and are
subject to each Fund's borrowing restrictions. Interest on borrowings is
payable at the Federal Funds Rate plus 0.50% on an annualized basis. Interest
on borrowings during the period from and including December 15, 1999 to
January 17, 2000, was payable at 0.50% plus the higher of the Fed Funds
Effective Rate plus 0.50% or the Fed Funds Target Rate plus 1.50%. A
commitment fee of 0.10% per annum will be incurred on the unused portion of
the committed facility, which is allocated to all funds.
For the year ended June 30, 2000, there were no borrowings by the Funds under
the agreement.
7. DEFERRED TRUSTEES FEES:
Independent Trustees of the Funds may participate in a Deferred Compensation
Plan in which they may defer any or all compensation related to performance
of their duties as a Trustee. All deferred compensation is paid by the Funds
and invested into various One Group Mutual Funds elected by each Trustee. The
Plan is fully funded and therefore, the Funds bear no additional trustee
expense over and above the normal cash compensation.
8. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by First Chicago NBD
Investment Management Company (an affiliate of the Advisor) were exchanged in
a tax-free conversion for Class I shares of the corresponding Funds. The
transactions were accounted for by a method followed for tax purposes in a
tax-free business
Continued
129
<PAGE> 132
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
combination. The following is a summary of dates, shares issued, net asset
value per share issued and unrealized appreciation of assets acquired as of
the conversion date (amounts in thousands, except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
SHARES NET ASSETS VALUE PER UNREALIZED
ISSUED CONVERTED SHARE 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>
9. 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 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>
10. 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
Continued
130
<PAGE> 133
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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
----------------------------- --------------
LIMITED
PEGASUS SHORT 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 I............................................ 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>
<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............................................ -- 10.38 10.38
Unrealized appreciation.............................. 10,495 3,899 14,394
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION 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>
Continued
131
<PAGE> 134
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------- --------------
PEGASUS MULTI
SECTOR BOND INCOME INCOME
FUND BOND FUND BOND 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 BOND HIGH YIELD HIGH YIELD
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 (depreciation)............... (2,613) 343 (2,270)
</TABLE>
11. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below detail distributions from long-term capital
gains for the following funds for the fiscal year ended June 30, 2000
(amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- ------
<S> <C>
Treasury & Agency Fund...................................... $296
</TABLE>
On June 30, 2000, the following Funds have capital loss carryforwards which
are available to offset future capital gains, if any (amounts in thousands):
<TABLE>
<CAPTION>
EXPIRES
--------------------------------------------------------------
FUND 2002 2003 2004 2005 2006 2007 2008 TOTAL
---- ------ ------- ------- ---- ------ ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ultra Short-Term Bond Fund................ $ -- $ 2,282 $1,065 $682 $ 139 $ 602 $ 632 $ 5,402
Short-Term Bond Fund...................... 122 2,720 3,301 651 2,646 1,623 -- 11,063
Intermediate Bond Fund.................... 1,756 2,148 529 -- 184 -- 1,128 5,745
Bond Fund................................. 8,066 1,042 -- -- -- -- -- 9,108
Income Bond Fund.......................... -- 50,654 1,963 -- 2,229 17,780 615 73,241
Government Bond Fund...................... -- 3,425 5,967 -- -- -- 10,260 19,652
Treasury & Agency Fund.................... -- -- -- -- -- -- 155 155
High Yield Bond Fund...................... -- -- -- -- 478 -- 2,983 3,461
</TABLE>
Continued
132
<PAGE> 135
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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, 2001 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- ------
<S> <C>
Ultra Short-Term Bond Fund.................................. $ 373
Short Term Bond Fund........................................ 1,232
Intermediate Bond Fund...................................... 3,174
Income Bond Fund............................................ 3,283
Government Bond Fund........................................ 3,722
Treasury & Agency Fund...................................... 2,710
High Yield Bond Fund........................................ 8,426
</TABLE>
133
<PAGE> 136
Report of Independent Accountants
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
To the Board of Trustees and Shareholders of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Ultra Short-Term Bond Fund, the
Short-Term Bond Fund, the Intermediate Bond Fund, the 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, 2000, the results of each of their operations for the year
then ended and the changes in each of their net assets and the financial
highlights for each of the periods presented (other than those statements of
changes in net assets and financial highlights that have been audited by other
independent accountants), in conformity with accounting principles generally
accepted in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States, which require that we plan and perform
the audit to obtain reasonable assurance about whether the financial statements
are free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made by
management, and evaluating the overall financial statement presentation. We
believe that our audits, which included confirmation of securities at June 30,
2000 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above. The financial statements of the
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 18, 2000
134
<PAGE> 137
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<PAGE> 138
(This page has been left blank intentionally.)
<PAGE> 139
(This page has been left blank intentionally.)
<PAGE> 140
One Group is distributed by
The One Group Services Company,
which is not affiliated with BANK
ONE CORPORATION. Banc One
Investment Advisors Corporation
serves as investment advisor to
the One Group, for which it
receives advisory fees.
Call Investor Services at
The One Group Service Center
at 1 800 480 4111 for a prospectus
containing complete information
about charges and expenses. Read
carefully before investing. Past
performance is no guarantee of
future results.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION
TOG-F-037-AN (8/00)
[Bank One Logo]
