<PAGE>   1
                                    FORM 10-Q

                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

(Mark One)

[X]             QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
                     OF THE SECURITIES EXCHANGE ACT OF 1934
                  FOR THE QUARTERLY PERIOD ENDED JUNE 30, 2000

                                       OR

[ ]             TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
                     OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from _______________ to _______________

Commission File No. 0-23935
                    -------

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.
             ------------------------------------------------------
             (Exact name of registrant as specified in its charter)


             Ohio                                       61-1319175
-------------------------------                    ----------------------
(State or other jurisdiction of                      (I.R.S. Employer
 incorporation of organization)                    Identification Number)

         2497 Dixie Highway
       Ft. Mitchell, Kentucky                            41017-3085
---------------------------------------                  ----------
(Address of principal executive office)                  (Zip Code)



Registrant's telephone number, including area code: (606) 331-2419


State the number of shares outstanding of each of the issuer's classes of common
equity, as of the latest practicable date: As of August 7, 2000, the latest
practicable date, 2,650,950 common shares of the registrant, no par value, were
issued and outstanding.


Transitional Small Business Disclosure Format (check one): Yes     No  X
                                                               ---    ---

                               Page 1 of 15 Pages

<PAGE>   2


                                      INDEX

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

<TABLE>
<CAPTION>
                                                                                                  Page
                                                                                                  ----
<S>                                                                                               <C>
PART I        -   FINANCIAL INFORMATION

                  Consolidated Statements of Financial Condition                                    3
                  Consolidated Statements of Income                                                 4
                  Consolidated Statements of Cash Flows                                             5
                  Notes to Consolidated Financial Statements                                        6
                  Management's Discussion and Analysis of Financial
                    Condition and Results of Operations                                             8

PART II       -   OTHER INFORMATION                                                                12

SIGNATURES                                                                                         15
</TABLE>


                               Page 2 of 15 Pages

<PAGE>   3

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                 CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

<TABLE>
<CAPTION>
                                                                                 (Unaudited)
                                                                                   June 30                 Sept. 30
                                                                                   --------                --------
                                                                                     2000                    1999
                                                                                   --------                --------
                                                                                        (Dollars in Thousands)
                                ASSETS
<S>                                                                                <C>                     <C>
  Cash and due from Banks                                                          $    596                $    937
  Interest Bearing Deposits in Other Banks                                            2,802                   2,504
                                                                                   --------                --------

    Total Cash and Cash Equivalents                                                   3,398                   3,441

  Investment Securities
    Held to Maturity, At Cost (Market Value of
       $15,281 and $16,664 at June 30, 2000 and September 30, 1999)                  15,866                  16,999
  Mortgage-Backed Securities, At Cost (Market Value of
       $17,073 and $19,610 at June 30, 2000 and
        September 30, 1999)                                                          17,391                  19,968
  Loans Receivable, Net                                                              71,366                  69,089
  Interest Receivable                                                                   769                     867
  Premises and Equipment, Net                                                         1,517                   1,534
  Federal Home Loan Bank Stock, At Cost                                               1,530                   1,451
  Federal Income Tax - Refund Receivable                                                 --                      11
  Deferred Federal Income Tax Asset                                                     207                      --
  Other Assets                                                                           49                      61
                                                                                   --------                --------

    Total Assets                                                                   $112,093                $113,421
                                                                                   ========                ========

                        LIABILITIES AND EQUITY

Liabilities
  Deposits                                                                         $ 75,332                $ 81,654
  Short-Term Borrowings                                                               7,000                   1,000
  Advances from Borrowers for Taxes
    and Insurance                                                                       358                     381
  Accrued Federal Income Tax Liability                                                   85                      --
  Deferred Federal Income Tax Liability                                                  --                      45
  Other Liabilities                                                                     281                     162
                                                                                   --------                --------

   Total Liabilities                                                                 83,056                  83,242
                                                                                   --------                --------

Equity
  Preferred Stock (1,000,000 Shares, No Par Value, Authorized,
      No Shares Issued or Outstanding)                                                   --                      --
  Common Stock (6,000,000 Shares, No Par Value, Authorized,
      2,650,950 Issued and Outstanding)                                                  --                      --
        Additional Paid In Capital                                                   18,280                  18,194
  Retained Earnings - Substantially Restricted                                       13,854                  13,890
  Treasury Stock (20,500 shares at cost)                                               (262)                   (262)
  Unearned ESOP Shares                                                               (1,432)                 (1,643)
  Shares Acquired by RRP Trust                                                       (1,403)                      -
                                                                                   --------                --------

   Total Equity                                                                      29,037                  30,179
                                                                                   --------                --------

   Total Liabilities and Equity                                                    $112,093                $113,421
                                                                                   ========                ========
</TABLE>


                               Page 3 of 15 Pages

<PAGE>   4


                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                        CONSOLIDATED STATEMENTS OF INCOME

<TABLE>
<CAPTION>
                                                          THREE MONTHS ENDED JUNE 30,           NINE MONTHS ENDED JUNE 30,
                                                          ---------------------------          ----------------------------
                                                            2000              1999              2000                  1999
                                                           ------            ------            ------                ------
                                                                        (In Thousands, Except Share Data)
<S>                                                        <C>               <C>               <C>                   <C>
INTEREST INCOME
  Loans                                                    $1,438            $1,387            $4,315                $4,130
  Mortgage-Backed Securities                                  279               324               878                 1,005
  Investments                                                 263               303               791                 1,002
  Interest-Bearing Deposits                                    43                71               113                   205
                                                           ------            ------            ------                ------

    Total Interest Income                                   2,023             2,085             6,097                 6,342
                                                           ------            ------            ------                ------

INTEREST EXPENSE
  Deposits                                                    874               911             2,575                 2,775
  FHLB Advances                                               113                --               240                    --
                                                           ------            ------            ------                ------

    Total Interest Expense                                    987               911             2,815                 2,775
                                                           ------            ------            ------                ------

NET INTEREST INCOME                                         1,036             1,174             3,282                 3,567

PROVISION FOR LOSSES ON LOANS                                  --                --                --                    --
                                                           ------            ------            ------                ------

    Net Interest Income After Provision for
      Losses on Loans                                       1,036             1,174             3,282                 3,567
                                                           ------            ------            ------                ------

NON-INTEREST INCOME                                            23                27                96                    85
                                                           ------            ------            ------                ------

NON-INTEREST EXPENSE
    Salaries and Employee Benefits                            550               514             1,747                 1,510
    Occupancy Expense of Premises                              56                69               197                   203
    Federal Deposit Insurance Premiums                         13                14                30                    41
    Data Processing Services                                   28                28                88                    82
    Advertising                                                18                32                57                    93
    Other                                                     114               133               469                   508
                                                           ------            ------            ------                ------

    Total Non-Interest Expense                                779               790             2,588                 2,437
                                                           ------            ------            ------                ------

    Income Before Federal Income Tax
      Expense                                                 280               411               790                 1,215

FEDERAL INCOME TAX EXPENSE                                     95               140               268                   413
                                                           ------            ------            ------                ------

    NET INCOME                                             $  185            $  271            $  522                $  802
                                                           ======            ======            ======                ======

EARNINGS PER SHARE
  Basic                                                    $ 0.07            $ 0.11            $ 0.21                $ 0.32
                                                           ======            ======            ======                ======
  Diluted                                                  $ 0.07            $ 0.11            $ 0.21                $ 0.32
                                                           ======            ======            ======                ======
</TABLE>


                               Page 4 of 15 Pages

<PAGE>   5

                          COLUMBIA FEDERAL SAVINGS BANK

                            STATEMENTS OF CASH FLOWS


<TABLE>
<CAPTION>
                                                                             NINE MONTHS ENDED
                                                                                  JUNE 30,
                                                                          ------------------------
                                                                            2000            1999
                                                                          -------          -------
                                                                               (In Thousands)
<S>                                                                       <C>              <C>
CASH FLOWS FROM OPERATING ACTIVITIES
  Net Income                                                              $   522          $   802
  Reconciliation of Net Income with
    Cash Flows from Operations
      Depreciation                                                             81               81
      FHLB Stock Dividends                                                    (79)             (71)
      Deferred Federal Income Tax                                            (252)            (127)
    Changes In
      Interest Receivable                                                      98              130
      Other Assets                                                             12              (19)
      Federal Income Tax Receivable / Liability                                96               60
      Other Liabilities                                                       119               26
                                                                          -------          -------

      NET CASH PROVIDED BY OPERATING ACTIVITIES                               597              882
                                                                          -------          -------

CASH FLOWS FROM INVESTING ACTIVITIES
  Investment Securities
    Purchased                                                                  --           (7,996)
    Matured                                                                 1,133           14,917
  Mortgage-Backed Securities
    Purchased                                                                  --           (3,093)
    Principal Collected                                                     2,577            4,059
  Loan Originations and Repayments, Net                                    (2,277)          (5,491)
  Purchases of Property and Equipment                                         (64)             (11)
                                                                          -------          -------

    NET CASH (USED) PROVIDED BY INVESTING ACTIVITIES                        1,369            2,385
                                                                          -------          -------

CASH FLOWS FROM FINANCING ACTIVITIES
  FHLB Advances                                                             6,000               --
  Advances from Borrowers for
    Taxes and Insurance                                                       (23)              13
  Change in Deposits                                                       (6,322)           3,089
   Dividends Paid                                                            (558)          (8,543)
   ESOP Shares Released                                                       297              278
  Treasury Shares Acquired                                                      -             (262)
  Shares Acquired by RRP                                                   (1,403)              --
                                                                          -------          -------

    NET CASH (USED) PROVIDED BY FINANCING ACTIVITIES                       (2,009)          (5,425)
                                                                          -------          -------

    CHANGE IN CASH AND CASH EQUIVALENTS                                       (43)          (2,158)

BEGINNING BALANCE, CASH AND CASH EQUIVALENTS                                3,441            6,260
                                                                          -------          -------

    ENDING BALANCE, CASH AND CASH EQUIVALENTS                             $ 3,398          $ 4,102
                                                                          =======          =======
</TABLE>


                               Page 5 of 15 Pages

<PAGE>   6


                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                   For the three-and nine-month periods ended
                             June 30, 2000 and 1999


1.       BASIS OF PRESENTATION

         The accompanying unaudited financial statements were prepared in
accordance with instructions for Form 10-Q, and, therefore, do not include
information or footnotes necessary for complete presentation of financial
position, results of operations and cash flows in conformity with generally
accepted accounting principles. Accordingly, these financial statements should
be read in conjunction with the consolidated financial statements and notes
thereto of Columbia Federal Savings Bank for the year ended September 30, 1999.
However, in the opinion of management, all adjustments (consisting of only
normal recurring accruals) that are necessary for fair presentation of the
consolidated financial statements have been included. The results of operations
for the three-month and nine-month periods ended June 30, 2000 and 1999 are not
necessarily indicative of the results that may be expected for an entire fiscal
year.

         The accompanying consolidated financial statements include the accounts
of Columbia Financial of Kentucky, Inc. ("CFKY" or the "Company") and Columbia
Federal Savings Bank ("Columbia Federal" or the "Savings Bank"). All significant
intercompany items have been eliminated.

2.       COMPREHENSIVE INCOME

         Comprehensive income includes net income and other non-owner changes in
equity. The Company had no other comprehensive income for the three-month and
nine-month periods ended June 30, 2000 or 1999.

3.       IMPACT OF RECENT ACCOUNTING STANDARDS

         In June 1998, the FASB issued SFAS No. 133, "Accounting for Derivative
Instruments and Hedging Activities." This Statement establishes accounting and
reporting standards for derivative instruments, including certain derivative
instruments embedded in other contracts, and for hedging activities. It requires
that an entity recognize all derivatives as either assets or liabilities in the
statement of financial position and measure those instruments at fair value.
SFAS No. 133 is effective for fiscal years beginning after June 15, 1999.
Management has adopted SFAS No. 133 and it has not had a material impact on the
disclosures or accounting principles of the Company.

         In October 1998, the FASB issued SFAS No. 134, "Accounting for
Mortgage-Backed Securities Retained after the Securitization of Mortgage Loans
Held for Sale by a Mortgage Banking Enterprise." Statement No. 134 requires
entities conducting certain mortgage banking activities to classify
mortgage-backed securities retained after a securitization as trading
securities. This pronouncement had no material effects on the disclosures or
accounting principles of the Company.

4.       PENDING LEGISLATIVE CHANGES

         On November 12, 1999, the Gramm-Leach-Bliley Act (the "GLB Act") was
enacted into law. The GLB Act makes sweeping changes in the financial services
in which various types of financial institutions may engage. The Glass-Steagall
Act, which had generally prevented banks from affiliating with securities and
insurance firms, was repealed. A new "financial holding company", which owns
only well capitalized and well managed depository institutions, will be
permitted to engage in a variety of financial activities, including insurance
and securities underwriting and agency activities.

         The GLB Act permits unitary savings and loan holding companies in
existence on May 4, 1999, including the Company, to continue to engage in all
activities in which they were permitted to engage prior to the enactment of the
Act. Such activities are essentially unlimited, provided that the thrift
subsidiary remains a qualified thrift lender. Any thrift holding company formed
after May 4, 1999, will be subject to the same restrictions as a multiple


                               Page 6 of 15 Pages

<PAGE>   7

thrift holding company. In addition, a unitary thrift holding company in
existence on May 4, 1999, may be sold only to a financial holding company
engaged in activities permissible for multiple savings and loan holding
companies.

         The GLB Act is not expected to have a material effect on the activities
in which the Company and the Savings Bank currently engage, except to the extent
that competition with other types of financial institutions may increase as they
engage in activities not permitted prior to enactment of the GLB Act.

5.       EARNINGS PER SHARE

         Basic earnings per share is computed based upon the weighted average
shares outstanding during the period, less shares in the ESOP that are
unallocated and not committed to be released. Weighted average common shares
outstanding, which give effect to 204,519 and 193,661 unallocated ESOP shares,
totaled 2,446,431 and 2,457,289 shares for the three-month and nine-month
periods ended June 30, 2000 and 1999. Diluted earnings per share is computed
taking into consideration shares outstanding and dilutive potential common
shares, which includes shares subject to options. Weighted-average shares
outstanding for purposes of computing diluted earnings per share totaled
2,446,431 and 2,457,289 for the three and nine months ended June 30, 2000 and
1999.


                               Page 7 of 15 Pages

<PAGE>   8


           MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
                            AND RESULTS OF OPERATIONS

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.


                    Note Regarding Forward-Looking Statements

         In addition to historical information contained herein, this Form 10-Q
contains forward-looking statements that involve risks and uncertainties.
Economic circumstances, Columbia Federal's operations and actual results could
differ significantly from those discussed in the forward-looking statements.
Some of the factors that could cause or contribute to such differences are
discussed herein but also include changes in the economy and interest rates in
the nation and Columbia Federal's market area generally.

         Some of the forward-looking statements included herein are the
statements regarding management's determination of the amount of allowance for
losses on loans, the adequacy of collateral on nonperforming loans, legislative
changes with respect to the federal thrift charter, the effect of certain
accounting pronouncements. See Exhibit 99 "Safe Harbor Under the Private
Securities Litigation Reform Act of 1995," attached hereto and incorporated
herein by reference.


DISCUSSION OF FINANCIAL CONDITION CHANGES FROM SEPTEMBER 30, 1999 TO
JUNE 30, 2000

         GENERAL. CFKY's assets totaled $112.1 million at June 30, 2000, a
decrease of $1.3 million from $113.4 million at September 30, 1999. The decrease
resulted primarily from the acquisition of $1.4 million of CFKY's shares by its
recognition and retention stock compensation plan (RRP). Columbia Federal also
realigned its asset holdings to maximize its return on assets with a $1.1
million decrease in held to maturity securities, a $2.6 million decrease in
mortgage-backed securities and a $2.3 million increase in loans receivable.
Deposits decreased $6.3 million and short-term borrowings increased $6.0
million.

         LIQUID ASSETS AND INVESTMENTS. Liquid assets (cash and cash
equivalents) totaled $3.4 million at June 30, 2000, a decrease of $43,000 from
the total at September 30, 1999.

         LOANS RECEIVABLE. Net loans receivable were $71.4 million at June 30,
2000, compared to $69.1 million at September 30, 1999, a 3.3% increase,
attributable to loans being originated more rapidly than loans were repaid. The
decrease in held to maturity securities and mortgaged-backed securities were
used to fund this increase in loans receivable.

         ALLOWANCE FOR LOSSES ON LOANS. Columbia Federal's allowance for loan
losses totaled $300,000 at June 30, 2000, and September 30, 1999. The allowance
represented .42% of total loans at June 30, 2000 and September 30, 1999. As of
September 30, 1999, there were $76,000 in nonperforming loans, which was .11% of
net loans at that date. As of June 30, 2000, there were $52,000 in nonperforming
loans, which was .02% of net loans at that date.

         It is management's policy to maintain an allowance for estimated losses
based on the perceived risk of loss in the loan portfolio. In assessing risk,
management considers historical loss experience, the volume and type of lending
conducted by the Bank, industry standards, past due loans, general economic
conditions and other factors related to the collectibility of the loan
portfolio.


                               Page 8 of 15 Pages

<PAGE>   9


         The following table sets forth the composition of the Bank's portfolio
by type of loan at the dates indicated:

<TABLE>
<CAPTION>
                                                             June 30, 2000                  September 30, 1999
                                                             -------------                  ------------------
                                                        Amount          Percent            Amount           Percent
                                                       -------          -------           --------          -------
                                                    (In Thousands)                    (In Thousands)
<S>                                                   <C>              <C>               <C>              <C>
REAL ESTATE LOANS
  One-to-Four Family Residential                       $60,933           81.17%            58,675           80.03%
  Multi-Family and Non Residential                       3,930            5.24              5,493            7.49
  Land and Construction
    Non Residential Real Estate                          3,882            5.17              3,671            5.01
    Construction Loans                                   6,305            8.40              5,439            7.42
                                                       -------          ------            -------          ------

    Total Real Estate Loans                             75,050           99.98             73,278           99.95
                                                       -------          ------            -------          ------

CONSUMER LOANS
  Loans on Deposit                                          17             .02                 38             .05
  Home Improvement Loans                                    --              --                 --              --
                                                       -------          ------            -------          ------

    Total Consumer Loans                                    17             .02                 38             .05
                                                       -------          ------            -------          ------

    Total Loans                                         75,067          100.00%            73,316          100.00%
                                                       -------          ======            -------          ======

LESS
  Loans in Process                                       2,668                              3,174
  Deferred Loan Fees                                       733                                753
  Allowance for Loan Losses                                300                                300
                                                       -------                            -------

    Loans Receivable, Net                              $71,366                            $69,089
                                                       =======                            =======
</TABLE>

         The following is the change in the allowance for loan losses for the
periods indicated.

<TABLE>
<CAPTION>
                                                           Nine Months Ended              Year Ended
                                                             June 30, 2000            September 30, 1999
                                                           -----------------          ------------------
                                                            (In Thousands)              (In Thousands)
<S>                                                        <C>                        <C>
ALLOWANCE FOR LOAN LOSSES
  Balance at Beginning of Period                                   $300                      $300
  Net (Charge-Offs) Recoveries                                       --                        (8)

    Provision for Loan Losses                                        --                         8
                                                                   ----                      ----

    Balance at End of Period                                       $300                      $300
                                                                   ====                      ====
</TABLE>

         Although management believes that its allowance for loan losses at June
30, 2000, was adequate based upon the available facts and circumstances, there
can be no assurances that additions to such allowance will not be necessary in
future periods, which could adversely affect CFKY's results of operations.

         DEPOSITS. Total deposits decreased by $6.3 million, to $75.3 million,
at June 30, 2000, compared to September 30, 1999, a 7.7% decrease, attributable
to borrowing from the FHLB at better rates than competitors deposit rates. At
June 30, 2000, certificates of deposit that will mature within one year
accounted for 38.5% of Columbia Federal's deposit liabilities.

         SHORT-TERM BORROWINGS. Advances from the FHLB were $7.0 million at June
30, 2000, compared to $1.0 million at September 30, 1999. These advances were
used to fund the decrease in deposits.


                               Page 9 of 15 Pages

<PAGE>   10

LIQUIDITY AND CAPITAL RESOURCES

         The Savings Bank's liquidity, represented by cash and cash equivalents,
is a product of its operating, investing and financing activities. The Savings
Bank's primary sources of funds are deposits, borrowings, amortization,
prepayments and maturities of outstanding loans, sales of loans, maturities of
investment securities and other short-term investments and funds provided from
operations. While scheduled loan amortization and maturing investment securities
and short-term investments are relatively predictable sources of funds, deposit
flows and loan prepayments are greatly influenced by general interest rates,
economic conditions and competition. In addition, the Savings Bank invests
excess funds in overnight deposits and other short-term interest-earning assets
that provide liquidity to meet lending requirements. The Savings Bank has
generally been able to generate enough cash through the retail deposit market,
its traditional funding source, to offset the cash utilized in investing
activities. As an additional source of funds, the Savings Bank may borrow from
the FHLB of Cincinnati. At June 30, 2000, the Savings Bank had $7.0 million in
outstanding advances from the FHLB of Cincinnati.

         Liquidity management is both a daily and long-term function of business
management. Excess liquidity is generally invested in short-term investments
such as overnight deposits. On a longer-term basis, the Savings Bank maintains a
strategy of investing in various lending products. The Savings Bank uses its
sources of funds primarily to meet its ongoing commitments, to pay maturing
savings certificates and savings withdrawals and fund loan commitments. At June
30, 2000, the total approved loan commitments outstanding, excluding
construction loans, amounted to $78,000. At the same date, the unadvanced
portion of construction loans approximated $2.7 million. Investment securities
scheduled to mature within one year or less is $1.0 million. Certificates of
deposit scheduled to mature in one year or less at June 30, 2000 totaled $29.0
million. The Savings Bank did not have any mortgage-backed securities scheduled
to mature in one year or less at June 30, 2000.

         The Savings Bank is required by the OTS to maintain average daily
balances of liquid assets (as defined) in an amount equal to 4% of net
withdrawable deposits and borrowings payable in one year or less to assure its
ability to meet demand for withdrawals and repayment of short-term borrowings.
The liquidity requirements may vary from time to time at the direction of the
OTS depending upon economic conditions and deposit flows. The Savings Bank has a
policy of maintaining a liquidity ratio of at least 8% of its net withdrawable
deposits and borrowings payable in one year or less. The Savings Bank's
liquidity ratio at June 30, 2000 was 22.37%.

         Federally insured savings institutions are required to satisfy three
different OTS capital requirements. Under these standards, savings institutions
must maintain "tangible" capital equal to at least 1.5% of adjusted total
assets, "core" capital generally equal to at least 4% of adjusted total assets
and "total" capital (a combination of core and "supplementary" capital) equal to
at least 8% of "risk-weighted" assets. For purposes of the regulation, core
capital is defined as common stockholders' equity (including retained earnings),
noncumulative perpetual preferred stock and related surplus, minority interests
in the equity accounts of fully consolidated subsidiaries, certain
nonwithdrawable accounts and pledged deposits and qualifying supervisory
goodwill. Core capital generally does not include the amount of a savings
institution's intangible assets. Tangible capital is core capital less all
intangible assets, with a limited exception for purchased mortgage-servicing
rights. Risk-based capital is defined as core capital plus certain additional
items of capital, which in the case of the Savings Bank includes a general
valuation allowance for losses on loans of $300,000 at June 30, 2000.

         Under the "prompt corrective action" regulations of OTS, a savings bank
that has not received the highest possible examination rating may become subject
to corrective action if its core capital is less than 4% of its adjusted total
assets.

         The Savings Bank substantially exceeded each of the above-described
regulatory capital requirements at June 30, 2000.

COMPARISON OF OPERATING RESULTS FOR THE THREE-MONTH PERIODS ENDED JUNE 30, 2000
AND 1999

         GENERAL. CFKY's recorded net income of $185,000 for the three months
ended June 30, 2000, compared to income of $271,000 for the same period in 1999,
an $86,000 and 32% decrease. The decrease resulted primarily from a $62,000
decrease in interest income an increase of $76,000 in interest expense. Such
changes were partially offset by a $45,000 decrease in income tax expense.


                              Page 10 of 15 Pages

<PAGE>   11


         INTEREST INCOME. Interest income decreased $62,000 for the three months
ended June 30, 2000 compared to the three months ended June 30, 1999. This was
primarily a result of a decrease of $5.5 million in average balances in interest
earning assets, which resulted in large part from the payment of a return of
capital in June 1999 of $8.0 million. The yield on assets increased 14 basis
points, or 1.9%, to 7.38% for the three months ended June 30, 2000 compared to
the same period the previous year.

         INTEREST EXPENSE. Interest expense increased $76,000 for the three
months ended June 30, 2000 compared to the three months ended June 30, 1999.
Interest expense was affected by an increase in average interest-bearing
liabilities for the three months ended June 30, 2000 of $1.5 million and an
increase in cost of funds of 29 basis points to 4.76% for the three months ended
June 30, 2000 compared to the same period the previous year.

         Columbia Federal's net interest rate spread was 2.62% for the three
months ended June 30, 2000, compared to 2.77% for the three months ended June
30, 1999.

         NON-INTEREST INCOME AND NON-INTEREST EXPENSE. Non-interest income was
$23,000 for the three months ended June 30, 2000, compared to $27,000 for the
same period in 1999, primarily due to a decrease in fee income. Non-interest
expense decreased $11,000, or 1.4%, to $779,000. The primary reason for this
decrease was reduction in various expenses including occupancy expenses of
$13,000, advertising of $14,000 and other of $19,000 offset by an increase in
salaries and employee benefits from $514,000 for the three months ended June 30,
1999, to $550,000 for the three months ended June 30, 2000 as a result of costs
associated with CFKY's Employee Stock Ownership Plan (ESOP) and its recognition
and retention stock compensation plan (RRP).

COMPARISON OF OPERATING RESULTS FOR THE NINE-MONTH PERIODS ENDED JUNE 30, 2000
AND 1999

         GENERAL. CFKY's recorded net income of $522,000 for the nine months
ended June 30, 2000, compared to income of $802,000 for the same period in 1999,
a $280,000 and 34.9% decrease. The decrease resulted primarily from a $245,000
decrease in interest income, an increase of $40,000 in interest expense and
increases of $151,000 in non-interest expenses. Such changes were partially
offset by a $145,000 decrease in income tax expense.

         INTEREST INCOME. Interest income decreased $245,000 for the nine months
ended June 30, 2000 compared to the nine months ended June 30, 1999. This was
primarily a result of a decrease of $6.8 million in average balances in interest
earning assets, which resulted in large part from the payment of a return of
capital in June 1999 of $8.0 million. The yield on assets increased 15 basis
points, or 2.1%, to 7.45% for the nine months ended June 30, 2000 compared to
the same period the previous year.

         INTEREST EXPENSE. Interest expense increased $40,000 for the six months
ended June 30, 2000 compared to the nine months ended June 30, 1999. This
increase was the result of an increase in average interest-bearing liabilities
for the nine months ended June 30, 2000 of $888,000.

         Columbia Federal's net interest rate spread was 2.88% for the nine
months ended June 30, 2000, compared to 2.73% for the nine months ended June 30,
1999.

         NON-INTEREST INCOME AND NON-INTEREST EXPENSE. Non-interest income was
$96,000 for the nine months ended June 30, 2000, compared to $83,000 for the
same period in 1999, primarily due to an increase in fee income. Non-interest
expense increased $151,000, or 6.2%, to $2.6 million. The primary reason for
this increase was the increase in salaries and employee benefits from $1.5
million for the nine months ended June 30, 1999 to $1.7 million for the nine
months ended June 30, 2000 as a result of costs associated with CFKY's ESOP and
RRP.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Company's June 30, 2000 analysis of the impact of changes in interest rates
on net interest income over the next 12 months indicates no significant changes
in its exposure to interest rate changes since the Company filed its Annual
Report on Form 10-K with the Securities and Exchange Commission for the year
ended September 30, 1999.


                              Page 11 of 15 Pages

<PAGE>   12

                                     PART II
                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

ITEM 1.  LEGAL PROCEEDINGS

         Not applicable.

ITEM 2.  CHANGES IN SECURITIES AND USE OF PROCEEDS

         (a)      Not applicable.

         (b)      Not applicable.

         (c)      Not applicable.

         (d)      Not applicable.

ITEM 3.  DEFAULTS UPON SENIOR SECURITIES

         Not applicable.

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         Not applicable.

ITEM 5.  OTHER INFORMATION

         Not applicable.

ITEM 6.  EXHIBITS AND REPORTS ON FORM 8-K

         Exhibit 27 - Financial Data Schedule

         Exhibit 99 - Safe Harbor Under the Private Securities Litigation Reform
                      Act of 1995


                              Page 12 of 15 Pages

<PAGE>   13
                                   SIGNATURES

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.


         Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.


Date: August 8, 2000                  By: /s/ Robert V. Lynch
                                          ------------------------------
                                          Robert V. Lynch, President and
                                             Chief Executive Officer


Date:  August 8, 2000                 By: /s/ Abijah Adams
                                          ------------------------------
                                          Abijah Adams, Controller


                              Page 13 of 15 Pages