<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 DECEMBER 31, 1999

                   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
        -------------------------                     ----------
                                                      (Zip Code)

(Address of principal executive office)

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

Check whether the Issuer (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Exchange Act during the past 12 months (or for such
shorter period that the registrant was required to file such reports) and (2)
has been subject to such filing requirements for the past 90 days.

Yes   X                                                 No
   --------                                               ---------


State the number of shares outstanding of each of the issuer's classes of common
equity, as of the latest practicable date: As of February 10, 2000, the latest
practicable date, 2,650,950 common shares of the registrant, no par value, were
issued and outstanding.




                                  Page 1 of 14
<PAGE>   2



                                      INDEX

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                                                                  Page
                                                                  ----

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
             Quantitative and Qualitative Disclosures About
               Market Risk                                         11

PART II  -   OTHER INFORMATION                                     12

SIGNATURES                                                         16



                                  Page 2 of 14
<PAGE>   3

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                 CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

<TABLE>
<CAPTION>


                                                       (UNAUDITED)
                                                          DEC. 31      SEPT. 30
                                                            1999         1999
                                                         ---------    ---------
                                                    (In Thousands, Except Share Data)
<S>                                                      <C>          <C>
                            ASSETS
  Cash and due from Banks                                $   1,029    $     937
  Interest Bearing Deposits in Other Banks                   3,367        2,504
                                                         ---------    ---------
    Total Cash and Cash Equivalents                          4,396        3,441

  Investment Securities
    Held to Maturity, At Cost (Market Value of
       $15,536 and $16,664 at December 31,1999 and
       and September 30, 1999)                              15,993       16,999
  Mortgage-Backed Securities, At Cost (Market Value of
       $18,503 and $19,610 at December 31,1999 and
       and September 30, 1999)                              19,171       19,968
  Loans Receivable, Net                                     70,156       69,089
  Interest Receivable                                          783          867
  Premises and Equipment, Net                                1,528        1,534
  Federal Home Loan Bank Stock, At Cost                      1,477        1,451
  Federal Income Tax - Refund Receivable                      --             11
  Other Assets                                                  76           61
                                                         ---------    ---------
    Total Assets                                         $ 113,580    $ 113,421
                                                         =========    =========

             LIABILITIES AND SHAREHOLDERS' EQUITY

Liabilities
  Deposits                                               $  78,860    $  81,654
  Short-Term Borrowings                                      4,000        1,000
  Advances from Borrowers for Taxes
    and Insurance                                              152          381
  Accrued Federal Income Tax Liability                         149         --
  Deferred Federal Income Tax Liability                          1           45
  Other Liabilities                                            223          162
                                                         ---------    ---------
   Total Liabilities                                        83,385       83,242
                                                         ---------    ---------
Shareholders' 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)             --           --
  Treasury Stock, 20,500 Shares at Cost                       (262)        (262)
  Additional Paid in Capital                                18,233       18,194
  Retained Earnings - Substantially Restricted              13,892       13,890
  Unearned ESOP Shares                                      (1,573)      (1,643)
  Shares Acquired by RRP Trust                                 (95)        --
                                                         ---------    ---------
   Total Shareholders' Equity                               30,195       30,179
                                                         ---------    ---------
    Total Liabilities and Shareholders' Equity           $ 113,580    $ 113,421
                                                         =========    =========

</TABLE>


                                  Page 3 of 14
<PAGE>   4


                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                        CONSOLIDATED STATEMENTS OF INCOME
<TABLE>
<CAPTION>

                                                         THREE MONTHS ENDED DEC. 31,
                                                         ---------------------------
                                                              1999         1998
                                                             ------       ------
                                                       (In Thousands Except Share Data)
<S>                                                      <C>          <C>
INTEREST INCOME
  Loans                                                      $1,450       $1,363
  Mortgage-Backed Securities                                    302          345
  Investments                                                   267          359
  Interest-Bearing Deposits                                      28           65
                                                             ------       ------
    Total Interest Income                                     2,047        2,132
                                                             ------       ------

INTEREST EXPENSE
  Deposits                                                      860          935
  FHLB Advances                                                  39         --
                                                             ------       ------
    Total Interest Expense                                      899          935
                                                             ------       ------

NET INTEREST INCOME                                           1,148        1,197

PROVISION FOR LOSSES ON LOANS                                  --           --
                                                             ------       ------
    Net Interest Income After Provision for
      Losses on Loans                                         1,148        1,197
                                                             ------       ------
NON-INTEREST INCOME                                              48           31
                                                             ------       ------
NON-INTEREST EXPENSE
    Salaries and Employee Benefits                              596          495
    Occupancy Expense of Premises                                74           65
    Federal Deposit Insurance Premiums                           13           13
    Data Processing Services                                     28           24
    Advertising                                                  21           30
    Other                                                       180          173
                                                             ------       ------
    Total Non-Interest Expense                                  912          800
                                                             ------       ------
    Income Before Federal Income Tax
      Expense                                                   284          428

FEDERAL INCOME TAX EXPENSE                                       96          145
                                                             ------       ------
    NET INCOME                                               $  188       $  283
                                                             ======       ======
EARNINGS PER SHARE
  Basic                                                      $ 0.08       $ 0.11
                                                             ======       ======
  Diluted                                                    $ 0.08       $ 0.11
                                                             ======       ======
</TABLE>


                                  Page 4 of 14
<PAGE>   5


                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

                            STATEMENTS OF CASH FLOWS

<TABLE>
<CAPTION>
                                                            THREE MONTHS ENDED
                                                                DECEMBER 31,
                                                            -------------------
                                                             1999        1998
                                                            -------     -------
                                                               (IN THOUSANDS)
<S>                                                     <C>         <C>
CASH FLOWS FROM OPERATING ACTIVITIES
  Net Income                                                $   188     $   283
  Reconciliation of Net Income with
    Cash Flows from Operations
      Depreciation                                               27          27
      Shares Released to ESOP                                   109          98
      FHLB Stock Dividends                                      (26)        (23)
      Deferred Federal Income Tax                               (44)        (71)
    Changes In
      Interest Receivable                                        84          88
      Other Assets                                              (15)         (6)
      Federal Income Tax Receivable / Liability                 160         207
      Other Liabilities                                          61           6
                                                            -------     -------
      Net Cash Provided by Operating Activities                 544         609
                                                            -------     -------

CASH FLOWS FROM INVESTING ACTIVITIES
  Investment Securities
    Purchased                                                  --        (6,996)
    Matured                                                   1,006       7,967
  Mortgage-Backed Securities
    Principal Collected                                         797         598
  Loan Originations and Repayments, Net                      (1,067)     (2,284)
  Purchases of Property and Equipment                           (21)         (5)
                                                            -------     -------
    Net Cash Used by Investing Activities                       715        (720)
                                                            -------     -------
CASH FLOWS FROM FINANCING ACTIVITIES
  FHLB Advances                                               3,000        --
  Advances from Borrowers for
    Taxes and Insurance                                        (229)       (193)
  Change in Deposits                                         (2,794)      2,084
  Dividends Paid                                               (186)       (187)
  Shares Acquired by RRP                                        (95)       --
                                                            -------     -------
    NET CASH PROVIDED (USED) BY FINANCING ACTIVITIES           (304)      1,704
                                                            -------     -------
    CHANGE IN CASH AND CASH EQUIVALENTS                         955       1,593

BEGINNING BALANCE, CASH AND CASH EQUIVALENTS                  3,441       6,260
                                                            -------     -------
    ENDING BALANCE, CASH AND CASH EQUIVALENTS               $ 4,396     $ 7,853
                                                            =======     =======

</TABLE>


                                  Page 5 of 14
<PAGE>   6




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

                        For the three-month period ended
                           December 31, 1999 and 1998

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) which are necessary for fair presentation of the
consolidated financial statements have been included. The results of operations
for the three-month period ended December 31, 1999 and 1998 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 quarters ended
December 31, 1999 or 1998.

3.       IMPACT OF RECENT ACCOUNTING STANDARDS

         In July, the FASB issued SFAS No. 131, "Disclosures About Segments of
an Enterprise and Related Information." Statement No. 131 requires disclosures
for each segment that are similar to those required under current standards with
the addition of quarterly disclosure requirements and a finer partitioning of
geographic disclosures. It requires limited segment data on a quarterly basis.
It also requires geographic data by country, as opposed to broader geographic
regions as permitted under current standards. The Statement is effective for
fiscal years beginning after December 15, 1997. Management has adopted SFAS No.
131, and it has not had a material effect on the disclosures required for the
Company.

         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.



                                  Page 6 of 14
<PAGE>   7

                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

                      COLUMBIA FINANCIAL OF KENTUCKY, INC.

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 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 unallocated ESOP shares, totaled
2,446,431 shares for the three-month period ended December 31, 1999. Diluted
earnings per share is computed taking into consideration common shares
outstanding and dilutive potential common shares. Weighted-average shares
outstanding for purposes of computing diluted earnings per share totaled
2,454,190 for the three months ended December 31, 1999.



                                  Page 7 of 14
<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, interest rate risk, and 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 DECEMBER
31, 1999

         GENERAL. CFKY's assets totaled $113.6 million at December 31,1999, an
increase of $159,000, or .14%, from $113.4 million at September 30, 1999. The
increase resulted primarily from a $1.0 million increase in cash and cash
equivalents and a $1.1 million increase in loans receivable, partially offset by
a $1.0 million decrease in held-to-maturity securities and a $797,000 decrease
in mortgage-backed securities. Deposits decreased $2.8 million. Short-term
borrowings increased $3.0 million and advances from borrowers for taxes and
insurance decreased $229,000.

         LIQUID ASSETS AND INVESTMENTS. Liquid assets (cash and cash
equivalents) totaled $4.4 million at December 31, 1999, an increase of $1.0
million, from the total at September 30, 1999. This increase was funded with a
$1.0 million decrease in held-to-maturity securities as a result of a bond
maturing.

         LOANS RECEIVABLE. Net loans receivable equaled $70.2 million at
December 31,1999, compared to $69.1 million at September 30, 1999, a 1.5%
increase, attributable to loans being originated more rapidly than loans were
being repaid.

         ALLOWANCE FOR LOSSES ON LOANS. Columbia Federal's allowance for loan
losses totaled $300,000 at December 31, 1999 and September 30, 1999. The
allowance represented .43% of net loans at December 31, 1999 and September 30,
1999. As of September 30, 1999, there were $76,000 in nonperforming loans, which
was .11% of total net loans at that date. As of December 31,1999, there were
$50,000 in nonperforming loans, which was .07% of total 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 14
<PAGE>   9


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

<TABLE>
<CAPTION>
                                                           December 31, 1999                 September 30, 1999
                                                           -----------------                 ------------------
                                                         Amount        Percent             Amount         Percent
                                                         ------        -------             ------         -------
<S>                                                  <C>             <C>               <C>              <C>
         REAL ESTATE LOANS
           One-to-four Family Residential               $59,832         81.03%            $58,675          80.03%
           Multi-family and Non-residential               4,567          6.19               5,493           7.49
           Land and Construction:
             Nonresidential Real Estate                   4,041          5.47               3,671           5.01
             Construction Loans                           5,378          7.28               5,439           7.42
                                                         ------                            ------          -----
             Total Real Estate Loans                     73,818         99.97              73,278          99.95
                                                         ------         -----              ------          -----

         CONSUMER LOANS
           Loans on Deposit                                  19           .03                  38            .05
           Home Improvement Loans                             -             -                   -              -
                                                         ------         -----              ------          -----
             Total Consumer Loans                            19           .03                  38         .05
                                                         ------         -----              ------          -----
             Total Loans                                 73,837        100.00%             73,316         100.00%
                                                         ------        ======              ------         ======

         LESS
           Loans in Process                               2,645                             3,174
           Deferred Loan Fees                               736                               753
           Allowance for Loan Losses                        300                               300
                                                        -------                           -------
             Loans Receivable, Net                      $70,156                           $69,089
                                                         ======                            ======
</TABLE>

         The following is the change in the allowance for loan losses for the
periods indicated.
<TABLE>
<CAPTION>

                                                      Three Months Ended                          Year Ended
                                                       December 31, 1999                     September 30, 1999
                                                       -----------------                     ------------------
<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
December 31, 1999, 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 $2.8 million, to $78.9 million,
at December 31, 1999, from $81.7 million at September 30, 1999. At December 31,
1999, certificates of deposit that will mature within one year accounted for
39.9% of Columbia Federal's deposit liabilities.

         SHORT-TERM BORROWINGS: Advances from FHLB were $4.0 million at December
31, 1999, compared to $1.0 million at September 30, 1999. These advances were
used to fund the decrease in deposits.

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



                                  Page 9 of 14
<PAGE>   10

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. The Savings Bank
manages the pricing of its deposits to maintain a steady deposit balance. In
addition, the Savings Bank invests excess funds in overnight deposits and other
short-term interest-earning assets which 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 December 31, 1999, the
Savings Bank had $4 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 December 31, 1999, the total approved loan commitments outstanding, excluding
construction loans amounted to $600,000. At the same date, the unadvanced
portion of construction loans approximated $2.6 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 December 31, 1999 totaled
$31.5 million. The Savings Bank did not have any mortgage-backed securities
scheduled to mature in one year or less at December 31, 1999.

                 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
generally maintains a liquidity ratio of at least 8% of its net withdrawable
deposits and borrowings payable in one year or less. The Savings Bank's average
quarterly liquidity ratio for December 31, 1999 was 22.71%.

                 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 is generally reduced by 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 December 31, 1999.

                 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 December 31, 1999.

COMPARISON OF OPERATING RESULTS FOR THE THREE-MONTH PERIODS ENDED DECEMBER 31,
1999 AND 1998

         GENERAL. CFKY's recorded net income of $188,000 for the three months
ended December 31, 1999, compared to income of $283,000 for the same period in
1998, a $95,000 and 34% decrease. The decrease resulted primarily from a $85,000
decrease in interest income and increases of $112,000 in non-interest expense.
Such changes were offset by a $49,000 decrease in interest expense and a $49,000
decrease in income tax expense.


                                 Page 10 of 14
<PAGE>   11

         INTEREST INCOME. Interest income decreased $85,000 for the three months
ended December 31, 1999 compared to the three months ended December 31, 1998.
This was primarily a result of a decrease of $5.2 million in average balances in
interest earning assets, which resulted in large part from the payment of a
return of capital in June, 1999.

         INTEREST EXPENSE. Interest expense decreased $49,000 for the three
months ended December 31, 1999 compared to the three months ended December 31,
1998. This decrease was the result of a decrease in average interest-bearing
liabilities, primarily deposits for the three months ended December 31, 1999.

         Columbia Federal's net interest rate spread was 3.08% for the three
months ended December 31, 1999, compared to 2.72% for the three months ended
December 31, 1998.

         NON-INTEREST INCOME AND NON-INTEREST EXPENSE. Non-interest income was
$48,000 for the three months ended December 31, 1999, compared to $31,000 for
the same period in 1998, primarily due to an increase in fee income.
Non-interest expense increased $112,000, or 14%, to $912,000. The primary reason
for this increase was the increase in salaries and employee benefits from
$495,000 for the three months ended December 31, 1998, to $596,000 for the three
months ended December 31, 1999 as a result of costs associated with CFKY's ESOP
and new RRP.

ITEM 3.  QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

         The Company's December 31, 1999 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 10K with the Securities and Exchange Commission
for the year ended September 30, 1999.



                                 Page 11 of 14
<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

         CFKY held its 2000 Annual Meeting of Shareholders on Thursday, January
         27, 2000. The following information sets forth the matters considered
         at such annual meeting and the voting with respect to such matters.
<TABLE>
<CAPTION>

                                                                                                  Broker
         1.       Election of three Directors                      For          Withheld         Non Votes
                                                                   ---          --------         ---------
<S>                                                              <C>              <C>                 <C>
                  a.  Kenneth R. Kelly                           2,007,044        40,641             -0-
                  b.  John C. Layne                              2,009,772        37,913             -0-
                  c.  Robert V. Lynch                            2,004,772        42,913             -0-
                  d.  George H. Kreutzjans                          51,262             -             -0-
</TABLE>

2.       Ratification of Auditors
<TABLE>
<CAPTION>
                                                                         Broker
                        For          Against           Abstain          Non Votes
                        ---          -------           -------          ---------
<S>                               <C>               <C>                  <C>
                    2,042,422        19,875            36,650              -0-
</TABLE>

ITEM 5.  OTHER INFORMATION

Not Applicable



                                 Page 12 of 14
<PAGE>   13


ITEM 6.  EXHIBITS AND REPORTS ON FORM 8-K

         Exhibit 3.1 - Articles of Incorporation of Columbia Financial of
         Kentucky, Inc.

                  Incorporated by reference to Registration Statement on Form
                  8-A of the Registrant filed with the SEC on March 20, 1998,
                  Exhibit 2(a) and 2(b).

         Exhibit 3.2 - Code of Regulations of Columbia Financial of Kentucky,
         Inc.

                  Incorporated by reference to Registration Statement on Form
                  8-A of the Registrant filed with the SEC on March 20, 1998,
                  Exhibit 2(c).

         Exhibit 27 - Financial Data Schedule

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


                                 Page 13 of 14
<PAGE>   14


                                   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: February 11, 2000               By:  /s/ Robert V. Lynch
     ----------------------              -----------------------------------
                                           Robert V. Lynch, President and
                                               Chief Executive Officer

Date: February 11, 2000               By:   /s/ Abijah Adams
     ----------------------              -----------------------------------
                                           Abijah Adams, Controller





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