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SEASONS SERIES TRUST SEMIANNUAL REPORT
SEPTEMBER 30, 1997
Dear Investor:
We are pleased to present the first semiannual report for the Seasons Series
Trust, the underlying investment for your SEASONS VARIABLE ANNUITY issued by
Anchor National Life Insurance Company. The report covers the period from
the Trust's inception on April 15, 1997, to September 30, 1997. We are also
excited to report that as of September 30, 1997, SEASONS holds
$175.1 million in assets among 2,396 contract owners.
You can look forward to hearing from us every six months, as we update you on
the economy and investment outlook from SEASONS' five world-class money
managers. The following includes overviews of the global, U.S. equity and
U.S. fixed income markets for the last six months, as well as comments from
Putnam Investment Management, Inc., T. Rowe Price Associates Inc., Janus
Capital Corporation, SunAmerica Asset Management Corp., and Wellington
Management Company, LLP on their particular areas of expertise in SEASONS.
GLOBAL MARKET OVERVIEW
Led by U.S. and European stocks, the global capital markets showed remarkable
strength for most of the year. Moderate economic growth and benign inflation
proved to be extremely supportive of corporate earnings and stock price
appreciation. However, in August, volatility reappeared in the global
markets as a slowing economy caused Japanese stocks to fall and currency
turmoil battered Southeast Asian markets. U.S. and European stocks
recovered significantly in September.
Outlook from Putnam Investment Management
"WE BELIEVE THAT THE POSITIVE ECONOMIC CONDITIONS BEHIND THE U.S. STOCK
MARKET WILL CONTINUE IN THE NEAR FUTURE. AS A RESULT, WE EXPECT THAT OVER
THE NEXT SIX TO 12 MONTHS: (1) U.S. STOCKS WILL HAVE SCOPE FOR FURTHER
APPRECIATION; AND (2) INTERNATIONAL STOCKS WILL PERFORM IN LINE WITH U.S.
STOCKS."
U.S. EQUITY MARKET OVERVIEW
With strong earnings growth, low inflation, and high cash flows into mutual
funds, the U.S. stock market continued to break new highs. Equities rose in
July as interest rates fell and second-quarter earnings proved robust. A
sell-off in August was tied to uncertainty over the strength of the economy
and fears of a rate hike by the Federal Reserve. In September, investors
regained confidence and pushed stocks higher, as inflation remained low and
economic growth returned to a more moderate pace.
Large-capitalization stocks led the market for most of the year, as overall
earnings continued to be strong and new money poured into the market at an
unprecedented pace. Although the small-cap sector lagged behind for the
first half of 1997, smaller stocks began to outperform during the summer.
The major factors behind this trend were the huge valuation gap between the
large and small stock universes, the moderating growth of large companies and
the relatively attractive values of small-cap stocks.
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Outlook from SunAmerica Asset Management Corp.
"SINCE THE LAUNCH OF SEASONS IN APRIL 1997, WE HAVE EXPERIENCED A
CONTINUATION OF A MODERATELY GROWING, LOW INFLATIONARY ECONOMIC CLIMATE.
AS A RESULT OF THIS BENIGN ENVIRONMENT, THE FEDERAL RESERVE HAS INCREASED
SHORT-TERM INTEREST RATES ONLY ONCE IN 1997. WE BELIEVE THIS MODERATE
BACKDROP SHOULD CONTINUE INTO 1998."
Outlook from Janus Capital Corporation
"AS WE ENTER THE FOURTH QUARTER, WE ARE VERY PLEASED BY THE STOCK MARKET'S
CONTINUING BREADTH. ALTHOUGH WE INTEND TO KEEP AN EYE ON INTEREST RATES,
IT IS ENCOURAGING THAT THE RECENT RATE VOLATILITY HAS BEEN WITHIN A
RELATIVELY NARROW RANGE. AS LONG AS THE MODERATE-GROWTH, LOW-INFLATION
SCENARIO REMAINS IN PLACE, WE SHOULD ENJOY GOOD RETURNS FROM STOCKS."
Outlook from T. Rowe Price Associates
"THE PROSPECTS FOR MANY GROWTH COMPANIES AND INDUSTRIES ARE GOOD. WE
BELIEVE THE UNDERLYING FUNDAMENTALS ARE POSITIVE, ALTHOUGH VALUATIONS
REMAIN HIGH."
U.S. FIXED INCOME MARKET OVERVIEW
The fixed income markets performed well, as interest rates declined
substantially over the period from April 15, 1997, to September 30, 1997.
The yield on two-year and 30-year Treasury bonds fell by approximately 80 and
85 basis points respectively. The primary factors driving rates lower were
the solid demand for bonds from foreign accounts, lower-than-expected
inflation reports, and lower deficit projections, coupled with a balanced
budget amendment.
While inflation has trended steadily lower, economic growth rates in the U.S.
and abroad have been surprisingly strong. Global growth is expected to
accelerate, with strong performance in North America, Latin America and
Continental Europe outweighing reduced expectations from Asia.
Outlook from Wellington Management Company
"GOING FORWARD, WE BELIEVE THAT BOND YIELDS WILL CONTINUE TO FEEL THE
TUG-OF-WAR BETWEEN HIGHER GROWTH AND LOW INFLATION. HOWEVER, WITH THE
12-MONTH CONSUMER PRICE INDEX EXPECTED TO FINISH THE YEAR BELOW 2% AND THE
BUDGET DEFICIT HEADING SWIFTLY TOWARD SURPLUS, WE BELIEVE THAT BONDS WILL
CONTINUE TO PROVIDE GOOD VALUE TO INVESTORS."
As a SEASONS VARIABLE ANNUITY investor, you have the opportunity to take
advantage of the combined experience and expertise of our five highly regarded
money managers. With the markets near record highs, yet continuing to
experience volatility, it is reassuring to remember that the SEASONS VARIABLE
ANNUITY offers automatic asset allocation and portfolio rebalancing to help
you reduce risk and ensure that your investments remain on track to reach
your financial goals.
Finally, we want to thank you for choosing SEASONS to help build your
Personal Retirement Portfolio-TM-. We appreciate the confidence you
have placed in your five money managers and in the SEASONS VARIABLE ANNUITY,
a timeless investment product from Anchor National Life Insurance Company,
one of the life companies of SunAmerica Inc., The Retirement
Specialist-TM-.
Sincerely,
/s/ Eli Broad
Eli Broad
Chairman and Chief Executive Officer
Anchor National Life Insurance Company
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
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COMMON STOCK -- 67.5% SHARES VALUE
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CONSUMER DISCRETIONARY -- 3.8%
APPAREL & TEXTILES -- 0.9%
Cutter & Buck, Inc.+ ................... 2,800 $ 57,750
Liz Claiborne, Inc. .................... 600 32,962
R.P.M. Inc. ............................ 900 18,450
Sola International, Inc.+ .............. 800 27,450
AUTOMOTIVE -- 0.5%
Ford Motor Co. ......................... 400 18,100
Volkswagen AG .......................... 83 57,637
HOUSING -- 0.6%
Electrolux AB, Series B ................ 311 24,306
Furniture Brands International,
Inc.+ ................................ 2,000 37,750
Industrie Natuzzi SpA ADR .............. 900 21,319
RETAIL -- 1.8%
Costco Cos., Inc.+ ..................... 2,075 78,072
CVS Corp. .............................. 700 39,812
Federated Department Stores, Inc.+ ..... 400 17,250
Linens 'N Things, Inc.+ ................ 750 25,125
Nordstrom, Inc. ........................ 925 58,969
Office Depot, Inc.+ .................... 1,375 27,758
Wal-Mart Stores, Inc. .................. 700 25,637
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568,347
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CONSUMER STAPLES -- 1.5%
FOOD, BEVERAGE & TOBACCO -- 1.1%
Philip Morris Cos., Inc. ............... 600 24,937
RJR Nabisco Holdings Corp. ............. 700 24,063
Sara Lee Corp. ......................... 2,300 118,450
HOUSEHOLD PRODUCTS -- 0.4%
Gillette Co. ........................... 300 25,894
Kimberly-Clark Corp. ................... 300 14,681
Procter & Gamble Co. ................... 400 27,625
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235,650
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ENERGY -- 6.0%
ENERGY SERVICES -- 2.9%
Baker Hughes, Inc. ..................... 600 26,250
Friede Goldman International, Inc.+ .... 1,000 60,000
Royal Dutch Petroleum Co. .............. 400 22,200
Santa Fe International Corp.+ .......... 2,800 130,200
Schlumberger Ltd. ...................... 700 58,931
Smedvig ASA, Class B ................... 1,391 41,299
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COMMON STOCK (CONTINUED) SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Transocean Offshore, Inc. .............. 2,100 $ 100,669
ENERGY SOURCES -- 3.1%
Diamond Offshore Drilling, Inc. ........ 2,475 136,589
Elf Aquitaine SA ....................... 446 59,540
Elf Aquitaine SA ADR ................... 775 51,683
ENSCO International, Inc. .............. 600 23,663
Exxon Corp. ............................ 500 32,031
Mobil Corp. ............................ 400 29,600
Noble Drilling Corp.+ .................. 2,300 74,175
Ocean Rig ASA+ ......................... 17,728 30,433
Texaco, Inc. ........................... 400 24,575
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901,838
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FINANCE -- 8.1%
BANKS -- 3.9%
Astoria Financial Corp. ................ 100 5,031
Banca Commerciale Italiana+ ............ 8,069 23,186
Bank of New York Cos., Inc. ............ 1,225 58,800
BankAmerica Corp. ...................... 2,425 177,783
Chase Manhattan Corp. .................. 400 47,200
Citicorp ............................... 450 60,272
Dime Bancorp, Inc. ..................... 250 5,234
First Union Corp. ...................... 700 35,044
Hibernia Corp., Class A ................ 1,000 17,000
Mellon Bank Corp. ...................... 400 21,900
PNC Bank Corp. ......................... 1,000 48,813
Queens County Bancorp, Inc. ............ 100 5,181
Star Banc Corp. ........................ 1,250 57,422
Wells Fargo & Co. ...................... 100 27,500
FINANCIAL SERVICES -- 2.2%
American Express Co. ................... 400 32,750
Associates First Capital Corp. ......... 1,700 105,825
Charles Schwab Corp. ................... 1,687 60,310
ContiFinancial Corp.+ .................. 500 16,250
Federal National Mortgage
Association .......................... 400 18,800
FirstSpartan Financial Corp. ........... 200 7,750
GSB Financial Corp.+ ................... 125 2,047
Household International, Inc. .......... 200 22,637
SLM Holding Corp. ...................... 300 46,350
Transamerica Corp. ..................... 100 9,950
Washington Mutual, Inc. ................ 250 17,438
INSURANCE -- 2.0%
Aetna, Inc. ............................ 200 16,288
Allstate Corp. ......................... 300 24,112
Chubb Corp. ............................ 300 21,319
Reliance Group Holdings, Inc. .......... 275 3,730
Skandia Forsakrings AB ................. 471 21,044
Swiss Life Insurance & Pension Co. ..... 108 64,381
UICI+ .................................. 2,375 68,281
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COMMON STOCK (CONTINUED) SHARES VALUE
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FINANCE (CONTINUED)
INSURANCE (CONTINUED)
UNUM Corp. ............................. 1,700 $ 77,562
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1,227,190
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HEALTHCARE -- 7.9%
DRUGS -- 3.9%
Amgen, Inc.+ ........................... 300 14,381
Astra AB, Class A ...................... 819 15,112
Bergen Brunswig Corp., Class A ......... 825 33,309
Bristol-Myers Squibb Co. ............... 400 33,100
Cardinal Health, Inc. .................. 450 31,950
IDEC Pharmaceuticals Corp.+ ............ 1,000 41,875
Johnson & Johnson ...................... 600 34,575
LifeCell Corp.+ ........................ 1,800 14,175
Merck & Co., Inc. ...................... 200 19,988
Mylan Laboratories, Inc. ............... 4,000 89,750
Teva Pharmaceutical Industries Ltd.
ADR .................................. 275 15,331
Warner-Lambert Co. ..................... 1,825 246,261
HEALTH SERVICES -- 1.7%
Advance Paradigm, Inc.+ ................ 2,000 41,500
Columbia/HCA Healthcare Corp. .......... 500 14,375
Guidant Corp. .......................... 1,000 56,000
Humana, Inc. ........................... 700 16,669
NovaCare, Inc.+ ........................ 2,000 34,500
Omnicare, Inc. ......................... 1,475 47,937
Pacificare Health Systems, Inc., Class
B+ ................................... 350 23,844
United Healthcare Corp. ................ 300 15,000
MEDICAL PRODUCTS -- 2.3%
Andrx Corp.+ ........................... 1,000 45,500
Arterial Vascular Engineering, Inc.+ ... 1,000 55,500
Baxter International, Inc. ............. 700 36,575
Cyberonics, Inc.+ ...................... 3,000 48,375
ESC Medical Systems Ltd.+ .............. 950 35,744
Fresenius Medical AG ADR+ .............. 300 6,825
IDEXX Laboratories, Inc.+ .............. 675 11,306
Osteotech, Inc.+ ....................... 4,000 80,500
Sofamor Danek Group, Inc.+ ............. 425 24,278
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1,184,235
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INDUSTRIAL & COMMERCIAL -- 5.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 300 16,331
BUSINESS SERVICES -- 3.2%
Assisted Living Concepts, Inc.+ ........ 3,000 48,000
Caliber System, Inc. ................... 675 36,619
Dal-Tile International, Inc.+ .......... 400 6,000
Eagle Geophysical, Inc.+ ............... 200 3,950
NCO Group, Inc.+ ....................... 1,000 37,000
Owens-Illinois, Inc.+ .................. 500 16,969
Rentokil Initial PLC+ .................. 7,083 29,239
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COMMON STOCK (CONTINUED) SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Sealed Air Corp.+ ...................... 1,050 $ 57,684
Service Corp. International ............ 700 22,531
Suez Lyonnaise des Eaux+ ............... 425 47,424
Sysco Corp. ............................ 600 22,163
Technology Solutions Co. ............... 500 16,125
Tomra Systems ASA ...................... 701 16,127
USA Waste Services, Inc.+ .............. 400 15,950
Vestcom International, Inc.+ ........... 5,000 100,000
MACHINERY -- 0.3%
Metra Oy, Class B ...................... 1,751 50,965
MULTI-INDUSTRY -- 1.6%
Corning, Inc. .......................... 500 23,625
Raision Tehtaat Oy ..................... 514 58,677
Republic Industries, Inc.+ ............. 800 26,350
Siebe PLC .............................. 2,068 41,583
Westinghouse Electric Corp. ............ 3,350 90,659
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp. ..... 300 28,987
KLM Royal Dutch Air Lines NV ........... 325 11,152
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824,110
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INFORMATION & ENTERTAINMENT -- 1.9%
BROADCASTING & MEDIA -- 1.0%
General Cable Corp.+ ................... 500 17,750
Iridium World Communications Ltd.+ ..... 400 16,500
New York Times Co., Class A ............ 400 21,000
Omnicom Group, Inc. .................... 300 21,825
Time Warner, Inc. ...................... 1,400 75,862
ENTERTAINMENT PRODUCTS -- 0.2%
Mattel, Inc. ........................... 700 23,188
LEISURE & TOURISM -- 0.7%
McDonald's Corp. ....................... 500 23,813
Ryan's Family Steak Houses, Inc.+ ...... 9,000 82,687
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282,625
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INFORMATION TECHNOLOGY -- 26.6%
BROADCASTING & MEDIA -- 0.3%
Tele-Communications TCI Group, Class
A+ ................................... 2,166 44,403
COMMUNICATION EQUIPMENT -- 3.2%
Lucent Technologies, Inc. .............. 800 65,100
Newbridge Networks Corp. ADR+ .......... 2,000 119,750
Nokia Corp., Class A ADR ............... 800 75,050
PairGain Technologies, Inc.+ ........... 2,000 57,000
RADCOM Ltd.+ ........................... 6,000 70,500
Telecomunicacoes Brasileras SA ADR ..... 375 48,282
Tellabs, Inc.+ ......................... 800 41,200
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 4.7%
Compaq Computer Corp.+ ................. 4,200 $ 313,950
Computer Sciences Corp.+ ............... 300 21,225
Dell Computer Corp.+ ................... 1,900 184,062
EMC Corp.+ ............................. 1,000 58,375
HBO & Co. .............................. 1,150 43,413
Hewlett-Packard Co. .................... 300 20,869
Honeywell, Inc. ........................ 300 20,156
International Business Machines
Corp. ................................ 200 21,200
Perkin-Elmer Corp. ..................... 300 21,919
ELECTRONICS -- 10.8%
Align-Rite International, Inc.+ ........ 2,000 47,750
ANADIGICS, Inc.+ ....................... 1,000 49,312
Analog Devices, Inc.+ .................. 3,575 119,762
ASM Lithography Holdings NV+ ........... 1,025 101,219
Cypress Semiconductor Corp.+ ........... 1,000 15,500
Emerson Electric Co. ................... 400 23,050
General Electric Co. ................... 500 34,031
Intel Corp. ............................ 1,250 115,391
KLA Instruments Corp.+ ................. 885 59,793
Kulicke & Soffa Industries, Inc.+ ...... 1,000 46,312
Lernout & Hauspie Speech Products
NV+ .................................. 1,000 43,750
Micrel, Inc.+ .......................... 1,000 42,313
Motorola, Inc. ......................... 500 35,938
Novellus Systems, Inc.+ ................ 500 63,000
Philips Electronics NV ................. 521 44,082
Philips Electronics NV ADR ............. 3,775 317,100
Pittway Corp. .......................... 1,600 103,900
QLogic Corp.+ .......................... 1,000 41,875
Rockwell International Corp. ........... 200 12,588
Sanmina Corp.+ ......................... 500 43,281
Teradyne, Inc.+ ........................ 2,000 107,625
Texas Instruments, Inc. ................ 800 108,100
Vitesse Semiconductor Corp.+ ........... 1,000 49,562
SOFTWARE -- 5.7%
Aspen Technologies, Inc.+ .............. 2,100 73,762
BEA Systems, Inc.+ ..................... 1,225 21,897
Ceridian Corp.+ ........................ 300 11,100
Cisco Systems, Inc.+ ................... 1,925 140,646
J.D. Edwards & Co.+ .................... 2,350 78,725
Keane, Inc.+ ........................... 3,000 95,250
Microsoft Corp.+ ....................... 625 82,695
Novell, Inc.+ .......................... 400 3,588
Object Design, Inc.+ ................... 5,000 41,250
Parametric Technology Corp.+ ........... 4,750 209,594
PeopleSoft, Inc.+ ...................... 250 14,937
Policy Management Systems Corp.+ ....... 125 7,773
Reynolds & Reynolds Co., Class A ....... 600 11,663
Sapient Corp.+ ......................... 100 5,088
Visio Corp.+ ........................... 1,000 41,750
Wind River Systems+ .................... 650 26,812
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 1.9%
At Home Corp., Series A+ ............... 8,500 $ 196,562
Ericsson (L.M.) Telecommunications Co.,
Class B ADR .......................... 1,350 64,716
Tele-Communications, Inc. .............. 509 10,498
Teleport Communications Group, Class
A+ ................................... 200 8,975
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3,998,969
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MATERIALS -- 3.0%
CHEMICALS -- 2.4%
du Pont (E.I.) de Nemours & Co. ........ 1,750 107,734
IMC Global, Inc. ....................... 400 14,100
Monsanto Co. ........................... 5,450 212,550
Solutia, Inc.+ ......................... 1,280 25,600
FOREST PRODUCTS -- 0.4%
American Pad & Paper Co.+ .............. 900 11,194
Consolidated Papers, Inc. .............. 500 27,750
Fort James Corp. ....................... 550 25,197
Ivex Packaging Corp.+ .................. 300 4,800
METALS & MINERALS -- 0.2%
Crown, Cork & Seal Co., Inc. ........... 300 13,837
EASCO, Inc. ............................ 1,000 12,250
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455,012
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REAL ESTATE -- 2.0%
REAL ESTATE COMPANIES -- 0.1%
Security Capital Group, Inc., Class
B .................................... 500 17,187
REAL ESTATE INVESTMENT TRUSTS -- 1.9%
Crescent Real Estate Equities .......... 500 20,063
Equity Office Properties Trust ......... 5,975 202,777
Starwood Lodging Trust ................. 1,000 57,437
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297,464
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UTILITIES -- 1.2%
ELECTRIC UTILITIES -- 0.1%
Duke Energy Co. ........................ 400 19,775
GAS & PIPELINE UTILITIES -- 0.2%
US Filter Corp.+ ....................... 600 25,838
TELEPHONE -- 0.9%
Ameritech Corp. ........................ 300 19,950
AT&T Corp. ............................. 500 22,156
Bell Atlantic Corp. .................... 307 24,694
GTE Corp. .............................. 400 18,150
MCI Communications Corp. ............... 400 11,750
Telecom Italia SpA+ .................... 6,878 45,823
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188,136
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TOTAL COMMON STOCK (cost $8,944,110).... 10,163,576
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PRINCIPAL
BONDS & NOTES -- 21.9% AMOUNT VALUE
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CONSUMER DISCRETIONARY -- 0.2%
RETAIL -- 0.2%
J.C. Penney Co., Inc. 7.40% 2037 ....... $ 20,000 $ 21,320
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ENERGY -- 0.3%
ENERGY SOURCES -- 0.3%
Petroliam Nasional Bhd. 7.13% 2005* .... 25,000 24,929
YPF Sociedad Anonima 8.00% 2004 ........ 15,000 15,281
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40,210
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FINANCE -- 2.0%
BANKS -- 1.3%
Banc One Corp. 8.00% 2027 .............. 18,000 19,528
Banponce Financial Corp. 6.75% 2001 .... 20,000 20,221
Credit National 7.00% 2005 ............. 20,000 19,675
Export Import Bank of Korea 6.50%
2006 ................................. 25,000 24,671
First Republic Bancorp 7.75% 2012 ...... 25,000 24,805
Korea Development Bank 7.13% 2001 ...... 15,000 15,080
NBD Bank SA 8.25% 2024 ................. 25,000 28,672
NCNB Co. 9.38% 2009 .................... 32,000 38,190
FINANCIAL SERVICES -- 0.7%
Dime Capital Trust I, Series A 9.33%
2027 ................................. 20,000 21,610
GE Capital Mortgage Services Inc. 6.25%
2023 ................................. 18,452 18,342
Private Export Funding Corp. 7.03%
2003 ................................. 35,000 36,298
Private Export Funding Corp. 7.90%
2000 ................................. 35,000 36,467
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303,559
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HEALTHCARE -- 0.2%
HEALTH SERVICES -- 0.2%
Allegiance Corp. 7.00% 2026 ............ 25,000 25,434
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INDUSTRIAL & COMMERCIAL -- 0.1%
MACHINERY -- 0.1%
Mark IV Industries, Inc. 8.75% 2003 .... 20,000 20,800
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INFORMATION & ENTERTAINMENT -- 0.4%
BROADCASTING & MEDIA -- 0.4%
Comcast Cable Communications 8.50%
2027* ................................ 15,000 16,722
News America Holdings, Inc. 8.00%
2016 ................................. 20,000 20,461
Scholastic Corp. 7.00% 2003 ............ 15,000 15,167
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52,350
-------------
INFORMATION TECHNOLOGY -- 0.2%
TELECOMMUNICATIONS -- 0.2%
Tele-Communications, Inc. 9.25% 2002 ... 25,000 27,257
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MATERIALS -- 0.2%
CHEMICALS -- 0.2%
ICI Wilmington, Inc. 6.95% 2004 ........ 35,000 35,525
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PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
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MUNICIPAL BONDS -- 0.3%
MUNICIPAL BONDS -- 0.3%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ $ 45,000 $ 45,288
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NON-U.S. GOVERNMENT OBLIGATIONS -- 0.9%
FOREIGN GOVERNMENT -- 0.9%
Republic of Argentina 11.00% 2006 ...... 25,000 28,500
Republic of Columbia 7.25% 2004 ........ 18,000 17,649
Republic of Germany 6.25% 2024 ....(DEM) 130,000 74,471
Republic of Lithuania 7.13% 2002* ...... 19,000 18,805
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139,425
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U.S. GOVERNMENT & AGENCIES -- 16.7%
U.S. GOVERNMENT & AGENCIES -- 16.7%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 20,000 19,675
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 38,000 37,335
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 10,000 9,684
Federal Home Loan Mortgage Corp. 6.55%
2022 ................................. 32,000 31,690
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 12,000 12,173
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 18,409 18,806
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 24,312 24,715
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 34,630 36,165
Federal National Mortgage Association
5.65% 2005 ........................... 15,000 14,853
Federal National Mortgage Association
7.00% 2006 ........................... 11,735 11,808
Federal National Mortgage Association
7.39% 2021 ........................... 28,785 29,721
Federal National Mortgage Association
9.35% 2020 ........................... 7,212 7,317
Government National Mortgage Association
7.00% 2022 ........................... 16,862 16,935
Government National Mortgage Association
7.25% 2027 ........................... 123,693 124,756
Government National Mortgage Association
7.50% 2023 ........................... 42,078 42,945
Government National Mortgage Association
8.50% 2017 ........................... 40,856 43,422
Government National Mortgage Association
9.00% 2021 ........................... 16,625 17,914
United States Treasury Bonds 6.63%
2027 ................................. 90,000 92,152
United States Treasury Bonds 8.50%
2020 ................................. 94,000 116,192
United States Treasury Bonds 9.25%
2016 ................................. 55,000 71,440
United States Treasury Bonds 12.00%
2013 ................................. 395,000 568,800
United States Treasury Notes 5.88%
2000 ................................. 245,000 245,039
United States Treasury Notes 6.25%
2002 ................................. 75,000 75,691
United States Treasury Notes 6.25%
2007 ................................. 60,000 60,310
United States Treasury Notes 6.63%
2001 ................................. 290,000 296,342
United States Treasury Notes 6.63%
2002 ................................. 50,000 51,188
United States Treasury Notes 6.63%
2007 ................................. 25,000 25,820
United States Treasury Notes 7.25%
2004 ................................. 135,000 143,353
United States Treasury Notes 8.50%
2000 ................................. 250,000 268,125
-------------
2,514,366
-------------
UTILITIES -- 0.4%
ELECTRIC UTILITIES -- 0.3%
Atlantic City Electric Co. 6.38%
2005 ................................. 20,000 19,821
Cleveland Electric Illuminating Co.
7.19% 2000* .......................... 15,000 15,176
Public Service Electric & Gas Co. 8.88%
2003 ................................. 11,000 12,143
</TABLE>
- ----------------
8
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE -- 0.1%
WorldCom, Inc. 7.55% 2004 .............. $ 15,000 $ 15,555
-------------
62,695
-------------
TOTAL BONDS & NOTES (cost $3,221,038)... 3,288,229
-------------
TOTAL INVESTMENT SECURITIES (cost
$12,165,148).......................... 13,451,805
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 8.0%
<S> <C> <C>
- -----------------------------------------------------------------------
FEDERAL AGENCY OBLIGATIONS -- 5.3%
Federal Home Loan Mortgage Corp. 6.05%
due 10/01/97.......................... 800,000 800,000
-------------
TIME DEPOSIT -- 2.7%
Cayman Island Time Deposit with State
Street Bank & Trust Co. 3.00% due
10/01/97.............................. 402,000 402,000
-------------
TOTAL SHORT-TERM SECURITIES (cost
$1,202,000)........................... 1,202,000
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.8%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.8%
Lehman Brothers, Inc. Joint Repurchase
Agreement (Note 3).................... 385,000 385,000
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3).................... 495,000 495,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$880,000)............................. 880,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $14,247,148) 103.2% 15,533,805
Liabilities in excess of other assets -- (3.2) (482,196)
----------- -------------
NET ASSETS -- 100.0% $ 15,051,609
----------- -------------
----------- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
DEM -- Deutsche Mark
----------------
9
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- --------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
USD 11,366 DEM 20,000 03/11/98 $ 69
USD 14,267 DEM 25,000 03/11/98 26
-------
95
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DEM 129,000 USD 73,051 11/18/97 (197)
DEM 94,000 USD 52,708 03/11/98 (1,032)
FIM 420,000 USD 78,344 03/11/98 (1,776)
GBP 19,000 USD 30,425 03/11/98 (11)
ITL 113,000,000 USD 63,651 03/11/98 (1,664)
NLG 340,000 USD 169,104 03/11/98 (3,413)
*SEK 666,000 USD 82,939 10/27/97 (4,930)
*SEK 220,200 USD 28,087 10/27/97 (966)
SEK 165,000 USD 21,013 03/11/98 (854)
*USD 117,331 SEK 886,200 10/27/97 (409)
-------
(15,252)
-------
Net Unrealized Depreciation............................ $ (15,157)
-------
-------
</TABLE>
- ------------
* Represents open forward foreign currency and offsetting open forward foreign
currency contracts that do not have additional market risk but have continued
counterparty settlement risk
<TABLE>
<S> <C> <C>
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NGL -- Netherlands Guilder
GBP -- Great British Pound SEK -- Swedish Krona
</TABLE>
See Notes to Financial Statements
- ----------------
10
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 52.7% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.0%
APPAREL & TEXTILES -- 0.8%
Cutter & Buck, Inc.+ ................... 2,800 $ 57,750
Liz Claiborne, Inc. .................... 600 32,962
R.P.M., Inc. ........................... 900 18,450
Sola International, Inc.+ .............. 800 27,450
AUTOMOTIVE -- 0.4%
Ford Motor Co. ......................... 400 18,100
Volkswagen AG........................... 62 43,054
HOUSING -- 0.5%
Electrolux AB, Series B................. 251 19,617
Furniture Brands International,
Inc.+ ................................. 2,000 37,750
Industrie Natuzzi SpA ADR............... 675 15,989
RETAIL -- 1.3%
Costco Cos., Inc.+ ..................... 1,525 57,378
CVS Corp. .............................. 600 34,125
Federated Department Stores, Inc.+ ..... 400 17,250
Linens' N Things, Inc.+ ................ 525 17,588
Nordstrom, Inc. ........................ 700 44,625
Office Depot, Inc.+ .................... 1,000 20,188
Wal-Mart Stores, Inc. .................. 700 25,637
-------------
487,913
-------------
CONSUMER STAPLES -- 1.3%
FOOD, BEVERAGE & TOBACCO -- 0.9%
Philip Morris Cos., Inc. ............... 600 24,937
RJR Nabisco Holdings Corp. ............. 700 24,063
Sara Lee Corp. ......................... 1,700 87,550
HOUSEHOLD PRODUCTS -- 0.4%
Gillette Co. ........................... 300 25,894
Kimberly-Clark Corp. ................... 300 14,681
Procter & Gamble Co. ................... 400 27,625
-------------
204,750
-------------
ENERGY -- 4.8%
ENERGY SERVICES -- 2.4%
Baker Hughes, Inc. ..................... 600 26,250
Friede Goldman International, Inc.+ .... 1,000 60,000
Royal Dutch Petroleum Co. .............. 400 22,200
Santa Fe International Corp.+ .......... 1,950 90,675
Schlumberger Ltd. ...................... 525 44,198
Smedvig ASA, Class B.................... 1,034 30,699
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Transocean Offshore, Inc. .............. 1,550 $ 74,303
Veritas DGC, Inc.+ ..................... 1,000 42,563
ENERGY SOURCES -- 2.4%
Diamond Offshore Drilling, Inc. ........ 2,050 113,134
Elf Aquitaine SA........................ 330 44,055
Elf Aquitaine SA ADR.................... 550 36,678
ENSCO International, Inc. .............. 600 23,663
Exxon Corp. ............................ 500 32,031
Mobil Corp. ............................ 400 29,600
Noble Drilling Corp.+ .................. 1,625 52,406
Ocean Rig ASA+ ......................... 12,838 22,039
Texaco, Inc. ........................... 400 24,575
-------------
769,069
-------------
FINANCE -- 6.2%
BANKS -- 3.0%
Astoria Financial Corp. ................ 75 3,773
Banca Commerciale Italiana+ ............ 5,867 16,859
Bank of New York Cos., Inc. ............ 900 43,200
BankAmerica Corp. ...................... 1,800 131,962
Chase Manhattan Corp. .................. 300 35,400
Citicorp................................ 325 43,530
Dime Bancorp, Inc. ..................... 175 3,664
First Union Corp. ...................... 700 35,044
Hibernia Corp., Class A................. 1,000 17,000
Mellon Bank Corp. ...................... 400 21,900
PNC Bank Corp. ......................... 1,000 48,813
Queens County Bancorp, Inc. ............ 75 3,886
Star Banc Corp. ........................ 925 42,492
Wells Fargo & Co. ...................... 100 27,500
FINANCIAL SERVICES -- 1.8%
American Express Co. ................... 400 32,750
Associates First Capital Corp. ......... 1,350 84,037
Charles Schwab Corp. ................... 1,250 44,687
ContiFinancial Corp.+ .................. 500 16,250
Federal National Mortgage Association... 400 18,800
FirstSpartan Financial Corp. ........... 175 6,781
GSB Financial Corp.+ ................... 125 2,047
Household International, Inc. .......... 200 22,638
SLM Holding Corp. ...................... 225 34,763
Transamerica Corp. ..................... 100 9,950
Washington Mutual, Inc. ................ 180 12,555
INSURANCE -- 1.4%
Aetna, Inc. ............................ 200 16,287
Allstate Corp. ......................... 300 24,112
Chubb Corp. ............................ 300 21,319
Reliance Group Holdings, Inc. .......... 200 2,713
Skandia Forsakrings AB.................. 340 15,191
Swiss Life Insurance & Pension Co. ..... 78 46,498
</TABLE>
- ----------------
12
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
UICI+ .................................. 1,690 $ 48,587
UNUM Corp. ............................. 1,250 57,031
-------------
992,019
-------------
HEALTHCARE -- 6.3%
DRUGS -- 3.2%
Amgen, Inc.+ ........................... 300 14,381
Astra AB, Class A....................... 609 11,236
Bergen Brunswig Corp., Class A.......... 625 25,234
Bristol-Myers Squibb Co. ............... 400 33,100
Cardinal Health, Inc. .................. 350 24,850
IDEC Pharmaceuticals Corp.+ ............ 1,000 41,875
Johnson & Johnson....................... 600 34,575
LifeCell Corp.+ ........................ 1,800 14,175
Merck & Co., Inc. ...................... 300 29,981
Mylan Laboratories, Inc. ............... 4,000 89,750
Teva Pharmaceutical Industries Ltd.
ADR.................................... 225 12,544
Warner-Lambert Co. ..................... 1,350 182,166
HEALTH SERVICES -- 1.4%
Advance Paradigm, Inc.+ ................ 2,000 41,500
Columbia/HCA Healthcare Corp. .......... 500 14,375
Guidant Corp. .......................... 1,000 56,000
Humana, Inc. ........................... 600 14,288
NovaCare, Inc.+ ........................ 2,000 34,500
Omnicare, Inc. ......................... 1,050 34,125
Pacificare Health Systems, Inc., Class
B+ .................................... 225 15,328
United Healthcare Corp. ................ 300 15,000
MEDICAL PRODUCTS -- 1.7%
Andrx Corp.+ ........................... 1,000 44,602
Arterial Vascular Engineering, Inc.+ ... 1,000 55,500
Baxter International, Inc. ............. 700 36,575
Cyberonics, Inc.+ ...................... 3,000 48,375
ESC Medical Systems Ltd.+ .............. 650 24,456
Fresenius Medical Care AG ADR+ ......... 225 5,119
IDEXX Laboratories, Inc.+ .............. 500 8,375
Osteotech, Inc.+ ....................... 2,000 40,250
Sofamor Danek Group, Inc.+ ............. 300 17,138
-------------
1,019,373
-------------
INDUSTRIAL & COMMERCIAL -- 4.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 300 16,331
BUSINESS SERVICES -- 2.6%
Assisted Living Concepts, Inc.+ ........ 3,000 48,000
Caliber System, Inc. ................... 475 25,769
Dal-Tile International, Inc.+ .......... 400 6,000
Eagle Geophysical, Inc.+ ............... 200 3,950
NCO Group, Inc.+ ....................... 1,000 37,000
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Owens-Illinois, Inc.+ .................. 500 $ 16,969
Rentokil Initial PLC+ .................. 5,136 21,201
Sealed Air Corp.+ ...................... 775 42,577
Service Corp. International............. 600 19,312
Suez Lyonnaise des Eaux+ ............... 319 35,596
Sysco Corp. ............................ 600 22,162
Technology Solutions Co. ............... 375 12,094
Tomra Systems ASA....................... 512 11,779
USA Waste Services, Inc.+ .............. 400 15,950
Vestcom International, Inc.+ ........... 5,000 100,000
MACHINERY -- 0.2%
Metra Oy, Class B....................... 1,205 35,073
MULTI-INDUSTRY -- 1.2%
Corning, Inc. .......................... 500 23,625
Raision Tehtaat Oy...................... 366 41,782
Republic Industries, Inc.+ ............. 700 23,056
Siebe PLC............................... 1,549 31,147
Westinghouse Electric Corp. ............ 2,500 67,656
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp. ..... 300 28,988
KLM Royal Dutch Air Lines NV............ 225 7,720
-------------
693,737
-------------
INFORMATION & ENTERTAINMENT -- 1.4%
BROADCASTING & MEDIA -- 0.9%
General Cable Corp.+ ................... 500 17,750
Iridium World Communications Ltd.+ ..... 400 16,500
New York Times Co., Class A............. 400 21,000
Omnicom Group, Inc. .................... 300 21,825
Time Warner, Inc. ...................... 1,125 60,961
ENTERTAINMENT PRODUCTS -- 0.1%
Mattel, Inc. ........................... 700 23,188
LEISURE & TOURISM -- 0.4%
McDonald's Corp. ....................... 400 19,050
Ryan's Family Steak Houses, Inc.+ ...... 5,000 45,937
-------------
226,211
-------------
INFORMATION TECHNOLOGY -- 20.5%
BROADCASTING & MEDIA -- 0.2%
Tele-Communications TCI Group, Class
A+ .................................... 1,602 32,841
COMMUNICATION EQUIPMENT -- 2.7%
Lucent Technologies, Inc. .............. 800 65,100
Newbridge Networks Corp. ADR+ .......... 2,000 119,750
Nokia Corp., Class A ADR................ 575 53,942
PairGain Technologies, Inc.+ ........... 2,000 57,000
RADCOM Ltd.+ ........................... 6,000 70,500
</TABLE>
- ----------------
14
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Telecomunicacoes Brasileras SA ADR...... 275 $ 35,406
Tellabs, Inc.+ ......................... 800 41,200
COMPUTERS & BUSINESS EQUIPMENT -- 3.7%
Compaq Computer Corp.+ ................. 3,400 254,150
Computer Sciences Corp.+ ............... 300 21,225
Dell Computer Corp.+ ................... 1,675 162,266
EMC Corp.+ ............................. 750 43,781
HBO & Co. .............................. 850 32,088
Hewlett-Packard Co. .................... 300 20,869
Honeywell, Inc. ........................ 300 20,156
International Business Machines
Corp. ................................. 200 21,200
Perkin-Elmer Corp. ..................... 225 16,439
ELECTRONICS -- 8.6%
Align-Rite International, Inc.+ ........ 2,000 47,750
ANADIGICS, Inc.+ ....................... 1,000 49,312
Analog Devices, Inc.+ .................. 2,900 97,150
ASM Lithography Holdings NV+ ........... 950 93,812
Cypress Semiconductor Corp.+ ........... 1,000 15,500
Emerson Electric Co. ................... 400 23,050
General Electric Co. ................... 500 34,031
Intel Corp. ............................ 1,050 96,928
KLA Instruments Corp.+ ................. 885 59,793
Kulicke & Soffa Industries, Inc.+ ...... 1,000 46,312
Micrel, Inc.+ .......................... 1,000 42,313
Motorola, Inc. ......................... 500 35,938
Novellus Systems, Inc.+ ................ 500 63,000
Philips Electronics NV.................. 373 31,560
Philips Electronics NV ADR.............. 2,800 235,200
Pittway Corp. .......................... 1,175 76,302
QLogic Corp.+ .......................... 1,000 41,875
Rockwell International Corp. ........... 200 12,588
Sanmina Corp.+ ......................... 500 43,281
Teradyne, Inc.+ ........................ 2,000 107,625
Texas Instruments, Inc. ................ 575 77,697
Vitesse Semiconductor Corp.+ ........... 1,000 49,562
SOFTWARE -- 4.0%
Aspen Technologies, Inc.+ .............. 1,525 53,566
BEA Systems, Inc.+ ..................... 825 14,747
Ceridian Corp.+ ........................ 225 8,325
Cisco Systems, Inc.+ ................... 1,500 109,594
J.D. Edwards & Co.+ .................... 1,750 58,625
Keane, Inc.+ ........................... 2,800 88,900
Microsoft Corp.+ ....................... 500 66,156
Novell, Inc.+ .......................... 400 3,588
Parametric Technology Corp.+ ........... 3,225 142,303
PeopleSoft, Inc.+ ...................... 175 10,456
Policy Management Systems Corp.+ ....... 75 4,664
Reynolds & Reynolds Co., Class A........ 600 11,662
Sapient Corp.+ ......................... 75 3,816
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Visio Corp.+ ........................... 1,000 $ 41,750
Wind River Systems+ .................... 450 18,562
TELECOMMUNICATIONS -- 1.3%
At Home Corp., Series A+ ............... 6,475 149,734
Ericsson (L.M.) Telecommunications Co.,
Class B ADR............................ 1,025 49,136
Tele-Communications, Inc. .............. 373 7,693
Teleport Communications Group, Class
A+ .................................... 200 8,975
-------------
3,300,744
-------------
MATERIALS -- 2.3%
CHEMICALS -- 1.7%
du Pont (E.I.) de Nemours & Co. ........ 1,375 84,648
IMC Global, Inc. ....................... 400 14,100
Monsanto Co. ........................... 4,050 157,950
Solutia, Inc.+ ......................... 945 18,900
FOREST PRODUCTS -- 0.4%
American Pad & Paper Co.+ .............. 500 6,219
Consolidated Papers, Inc. .............. 500 27,750
Fort James Corp. ....................... 687 31,473
Ivex Packaging Corp.+ .................. 300 4,800
METALS & MINERALS -- 0.2%
Crown, Cork & Seal Co., Inc. ........... 300 13,838
EASCO, Inc. ............................ 1,000 12,250
-------------
371,928
-------------
REAL ESTATE -- 1.7%
REAL ESTATE COMPANIES -- 0.1%
Security Capital Group, Inc., Class B... 500 17,188
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
Crescent Real Estate Equities........... 500 20,063
Equity Office Properties Trust.......... 5,150 174,778
Starwood Lodging Trust.................. 1,000 57,437
-------------
269,466
-------------
UTILITIES -- 0.9%
ELECTRIC UTILITIES -- 0.1%
Duke Energy Co. ........................ 400 19,775
GAS & PIPELINE UTILITIES -- 0.1%
US Filter Corp.+ ....................... 300 12,919
TELEPHONE -- 0.7%
Ameritech Corp. ........................ 300 19,950
AT&T Corp. ............................. 500 22,156
Bell Atlantic Corp. .................... 230 18,501
GTE Corp. .............................. 400 18,150
MCI Communications Corp. ............... 300 8,812
</TABLE>
- ----------------
16
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
Telecom Italia SpA+ .................... 4,985 $ 33,211
-------------
153,474
-------------
TOTAL COMMON STOCK (cost $7,430,633).... 8,488,684
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 34.9% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.3%
RETAIL -- 0.3%
J.C. Penney Co., Inc. 7.40% 2037........ $ 40,000 42,639
-------------
ENERGY -- 0.5%
ENERGY SOURCES -- 0.5%
Petroliam Nasional Bhd. 7.13% 2005*..... 50,000 49,857
YPF Sociedad Anonima 8.00% 2004......... 30,000 30,563
-------------
80,420
-------------
FINANCE -- 3.1%
BANKS -- 2.0%
Banc One Corp. 8.00% 2027............... 34,000 36,886
Banponce Financial Corp. 6.75% 2001..... 35,000 35,387
Credit National 7.00% 2005.............. 30,000 29,513
Export Import Bank of Korea 6.50%
2006................................... 40,000 39,474
First Republic Bancorp 7.75% 2012....... 45,000 44,649
Korea Development Bank 7.13% 2001....... 20,000 20,106
NBD Bank SA 8.25% 2024.................. 45,000 51,609
NCNB Co. 9.38% 2009..................... 48,000 57,285
FINANCIAL SERVICES -- 1.1%
Dime Capital Trust I, Series A 9.33%
2027................................... 35,000 37,818
GE Capital Mortgage Services, Inc. 6.25%
2023................................... 36,904 36,685
Private Export Funding Corp. 7.03%
2003................................... 45,000 46,669
Private Export Funding Corp. 7.90%
2000................................... 55,000 57,305
-------------
493,386
-------------
HEALTHCARE -- 0.3%
HEALTH SERVICES -- 0.3%
Allegiance Corp. 7.00% 2026............. 50,000 50,868
-------------
INDUSTRIAL & COMMERCIAL -- 0.2%
MACHINERY -- 0.2%
Mark IV Industries, Inc. 8.75% 2003..... 35,000 36,400
-------------
INFORMATION & ENTERTAINMENT -- 0.7%
BROADCASTING & MEDIA -- 0.7%
Comcast Cable Communications 8.50%
2027*.................................. 35,000 39,017
News America Holdings, Inc. 8.00%
2016................................... 40,000 40,923
</TABLE>
----------------
17
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Scholastic Corp. 7.00% 2003............. $ 30,000 $ 30,335
-------------
110,275
-------------
INFORMATION TECHNOLOGY -- 0.2%
TELECOMMUNICATIONS -- 0.2%
Tele-Communications, Inc. 9.25% 2002.... 35,000 38,160
-------------
MATERIALS -- 0.4%
CHEMICALS -- 0.4%
ICI Wilmington, Inc. 6.95% 2004......... 65,000 65,974
-------------
MUNICIPAL BONDS -- 0.5%
MUNICIPAL BONDS -- 0.5%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002.......... 85,000 85,544
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.7%
FOREIGN GOVERNMENT -- 1.7%
Republic of Argentina 11.00% 2006....... 50,000 57,000
Republic of Columbia 7.25% 2004......... 34,000 33,337
Republic of Germany 6.25% 2024.... (DEM) 245,000 140,349
Republic of Lithuania 7.13% 2002*....... 35,000 34,641
-------------
265,327
-------------
U.S. GOVERNMENT & AGENCIES -- 26.2%
U.S. GOVERNMENT & AGENCIES -- 26.2%
Federal Home Loan Mortgage Corp. 6.00%
2006................................... 35,000 34,431
Federal Home Loan Mortgage Corp. 6.50%
2022................................... 50,000 49,125
Federal Home Loan Mortgage Corp. 6.50%
2023................................... 20,000 19,369
Federal Home Loan Mortgage Corp. 6.55%
2022................................... 32,000 31,690
Federal Home Loan Mortgage Corp. 7.00%
2023................................... 25,000 25,359
Federal Home Loan Mortgage Corp. 7.50%
2023................................... 18,409 18,806
Federal Home Loan Mortgage Corp. 7.75%
2022................................... 37,990 38,619
Federal Home Loan Mortgage Corp. 8.50%
2019................................... 64,313 67,164
Federal National Mortgage Association
5.65% 2005............................. 30,000 29,706
Federal National Mortgage Association
7.00% 2006............................. 23,470 23,617
Federal National Mortgage Association
7.39% 2021............................. 47,975 49,534
Federal National Mortgage Association
9.35% 2020............................. 14,424 14,634
Government National Mortgage Association
7.00% 2022............................. 17,375 17,451
Government National Mortgage Association
7.00% 2023............................. 18,974 19,039
Government National Mortgage Association
7.25% 2027............................. 243,902 245,997
Government National Mortgage Association
7.50% 2024............................. 63,615 64,888
Government National Mortgage Association
8.50% 2017............................. 74,903 79,607
Government National Mortgage Association
9.00% 2021............................. 24,606 26,512
United States Treasury Bonds 6.63%
2027................................... 90,000 92,152
United States Treasury Bonds 8.50%
2020................................... 230,000 284,301
United States Treasury Bonds 9.25%
2016................................... 140,000 181,847
United States Treasury Bonds 12.00%
2013................................... 680,000 979,200
United States Treasury Notes 5.88%
2000................................... 245,000 245,039
United States Treasury Notes 6.25%
2002................................... 75,000 75,691
</TABLE>
- ----------------
18
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Notes 6.25%
2007................................... $ 60,000 $ 60,310
United States Treasury Notes 6.63%
2001................................... 565,000 577,357
United States Treasury Notes 6.63%
2002................................... 50,000 51,187
United States Treasury Notes 6.63%
2007................................... 25,000 25,820
United States Treasury Notes 7.25%
2004................................... 135,000 143,353
United States Treasury Notes 8.50%
2000................................... 610,000 654,225
-------------
4,226,030
-------------
UTILITIES -- 0.8%
ELECTRIC UTILITIES -- 0.6%
Atlantic City Electric Co. 6.38% 2005... 45,000 44,596
Cleveland Electric Illuminating Co.
7.19% 2000*............................ 20,000 20,235
Public Service Electric & Gas Co. 8.88%
2003................................... 21,000 23,182
TELEPHONE -- 0.2%
WorldCom, Inc. 7.55% 2004............... 35,000 36,297
-------------
124,310
-------------
TOTAL BONDS & NOTES (cost $5,496,806)... 5,619,333
-------------
TOTAL INVESTMENT SECURITIES (cost
$12,927,439)........................... 14,108,017
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 7.0%
<S> <C> <C>
- -----------------------------------------------------------------------
FEDERAL AGENCY OBLIGATIONS -- 4.3%
Federal Home Loan Mortgage Corp. 6.05%
due 10/01/97........................... 700,000 700,000
-------------
TIME DEPOSIT -- 2.7%
Cayman Island Time Deposit with State
Street Bank & Trust Co. 3.00% due
10/01/97............................... 439,000 439,000
-------------
TOTAL SHORT-TERM SECURITIES (cost
$1,139,000)............................ 1,139,000
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 8.0%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 8.0%
Lehman Brothers, Inc. Joint Repurchase
Agreement (Note 3)..................... 840,000 840,000
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3)..................... 444,000 444,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$1,284,000)............................ 1,284,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,350,439) 102.6% 16,531,017
Liabilities in excess of other assets -- (2.6) (423,094)
--------- -------------
NET ASSETS -- 100.0% $ 16,107,923
--------- -------------
--------- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
DEM -- Deutsche Mark
----------------
19
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- -----------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
USD 7,956 DEM 14,000 03/11/98 $ 48
USD 9,702 DEM 17,000 03/11/98 17
-------
65
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
DEM 243,000 USD 137,607 11/18/97 (372)
DEM 68,000 USD 38,129 03/11/98 (747)
FIM 300,000 USD 57,228 03/11/98 (1,269)
GBP 14,000 USD 22,418 03/11/98 (8)
ITL 83,000,000 USD 46,753 03/11/98 (1,222)
NLG 250,000 USD 124,341 03/11/98 (2,509)
*SEK 1,221,000 USD 152,055 10/27/97 (9,039)
*SEK 330,300 USD 42,130 10/27/97 (1,448)
SEK 125,000 USD 15,919 03/11/98 (647)
*USD 205,389 SEK 1,551,300 10/27/97 (717)
-------
(17,978)
-------
Net Unrealized Depreciation................ $(17,913)
-------
-------
</TABLE>
- ------------
* Represents open forward foreign currency and offsetting open forward foreign
currency contracts that do not have additional market risk but have continued
counterparty settlement risk
<TABLE>
<S> <C> <C>
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NGL -- Netherlands Guilder
GBP -- Great British Pound SEK -- Swedish Krona
</TABLE>
See Notes to Financial Statements
- ----------------
20
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME/EQUITY
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 29.7% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.0%
APPAREL & TEXTILES -- 0.3%
R.P.M., Inc. ........................... 950 $ 19,475
Sola International, Inc.+ .............. 600 20,587
AUTOMOTIVE -- 0.4%
Ford Motor Co. ......................... 500 22,625
Volkswagen AG........................... 31 21,527
HOUSING -- 0.1%
Electrolux AB, Series B................. 117 9,144
Industrie Natuzzi SpA ADR............... 350 8,291
RETAIL -- 1.2%
Costco Cos., Inc.+ ..................... 775 29,159
CVS Corp. .............................. 400 22,750
Federated Department Stores, Inc.+ ..... 500 21,563
Linens' N Things, Inc.+ ................ 275 9,213
Nordstrom, Inc. ........................ 350 22,312
Office Depot, Inc.+ .................... 500 10,094
Wal-Mart Stores, Inc. .................. 700 25,637
-------------
242,377
-------------
CONSUMER STAPLES -- 1.1%
FOOD, BEVERAGE & TOBACCO -- 0.7%
Philip Morris Cos., Inc. ............... 400 16,625
RJR Nabisco Holdings Corp. ............. 600 20,625
Sara Lee Corp. ......................... 850 43,775
HOUSEHOLD PRODUCTS -- 0.4%
Gillette Co. ........................... 300 25,894
Kimberly-Clark Corp. ................... 300 14,681
Procter & Gamble Co. ................... 200 13,813
-------------
135,413
-------------
ENERGY -- 3.1%
ENERGY SERVICES -- 1.2%
Baker Hughes, Inc. ..................... 500 21,875
Santa Fe International Corp.+ .......... 1,075 49,988
Schlumberger Ltd. ...................... 250 21,047
Smedvig ASA, Class B.................... 519 15,409
Transocean Offshore, Inc. .............. 800 38,350
ENERGY SOURCES -- 1.9%
Diamond Offshore Drilling, Inc. ........ 625 34,492
Elf Aquitaine SA........................ 165 22,027
Elf Aquitaine SA ADR.................... 300 20,006
</TABLE>
----------------
21
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
ENSCO International, Inc. .............. 600 $ 23,663
Exxon Corp. ............................ 400 25,625
Mobil Corp. ............................ 400 29,600
Noble Drilling Corp.+ .................. 900 29,025
Ocean Rig ASA+ ......................... 6,589 11,311
Texaco, Inc. ........................... 400 24,575
-------------
366,993
-------------
FINANCE -- 4.3%
BANKS -- 1.7%
Astoria Financial Corp. ................ 25 1,258
Banca Commerciale Italiana+ ............ 3,314 9,523
Bank of New York Cos., Inc. ............ 250 12,000
BankAmerica Corp. ...................... 875 64,149
Chase Manhattan Corp. .................. 300 35,400
Citicorp................................ 75 10,045
Dime Bancorp, Inc. ..................... 100 2,094
First Union Corp. ...................... 500 25,031
Mellon Bank Corp. ...................... 400 21,900
Queens County Bancorp, Inc. ............ 25 1,295
Star Banc Corp. ........................ 475 21,820
FINANCIAL SERVICES -- 1.4%
American Express Co. ................... 300 24,562
Associates First Capital Corp. ......... 775 48,244
Charles Schwab Corp. ................... 600 21,450
ContiFinancial Corp.+ .................. 600 19,500
Federal National Mortgage Association... 300 14,100
FirstSpartan Financial Corp. ........... 75 2,906
GSB Financial Corp.+ ................... 75 1,228
Household International, Inc. .......... 100 11,319
SLM Holding Corp. ...................... 75 11,588
Transamerica Corp. ..................... 100 9,950
Washington Mutual, Inc. ................ 112 7,812
INSURANCE -- 1.2%
Aetna, Inc. ............................ 300 24,431
Allstate Corp. ......................... 300 24,113
Chubb Corp. ............................ 300 21,319
Reliance Group Holdings, Inc. .......... 100 1,356
Skandia Forsakrings AB.................. 198 8,846
Swiss Life Insurance & Pension Co. ..... 20 11,922
UICI+ .................................. 550 15,813
UNUM Corp. ............................. 725 33,078
-------------
518,052
-------------
HEALTHCARE -- 2.5%
DRUGS -- 1.6%
Amgen, Inc.+ ........................... 200 9,588
Astra AB, Class A....................... 294 5,424
</TABLE>
- ----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Bergen Brunswig Corp., Class A.......... 300 $ 12,112
Bristol-Myers Squibb Co. ............... 200 16,550
Cardinal Health, Inc. .................. 175 12,425
Johnson & Johnson....................... 400 23,050
Merck & Co., Inc. ...................... 100 9,994
Teva Pharmaceutical Industries Ltd.
ADR.................................... 100 5,575
Warner-Lambert Co. ..................... 700 94,456
HEALTH SERVICES -- 0.6%
Columbia/HCA Healthcare Corp. .......... 400 11,500
Humana, Inc. ........................... 700 16,669
Omnicare, Inc. ......................... 650 21,125
Pacificare Health Systems, Inc., Class
B+ .................................... 125 8,516
United Healthcare Corp. ................ 300 15,000
MEDICAL PRODUCTS -- 0.3%
Baxter International, Inc. ............. 200 10,450
ESC Medical Systems Ltd.+ .............. 350 13,169
Fresenius Medical Care AG ADR+ ......... 150 3,412
IDEXX Laboratories, Inc.+ .............. 275 4,606
Sofamor Danek Group, Inc.+ ............. 175 9,997
-------------
303,618
-------------
INDUSTRIAL & COMMERCIAL -- 2.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Boeing Co. ............................. 400 21,775
BUSINESS SERVICES -- 1.3%
Caliber System, Inc. ................... 250 13,562
Dal-Tile International, Inc.+ .......... 400 6,000
Owens-Illinois, Inc.+ .................. 500 16,969
Rentokil Initial PLC+ .................. 2,677 11,051
Sealed Air Corp.+ ...................... 400 21,975
Service Corp. International............. 400 12,875
Suez Lyonnaise des Eaux+ ............... 176 19,639
Sysco Corp. ............................ 600 22,162
Technology Solutions Co. ............... 175 5,644
Tomra Systems ASA....................... 265 6,097
USA Waste Services, Inc.+ .............. 400 15,950
MACHINERY -- 0.1%
Metra Oy, Class B....................... 656 19,094
MULTI-INDUSTRY -- 0.8%
Corning, Inc. .......................... 300 14,175
Raision Tehtaat Oy...................... 199 22,717
Republic Industries, Inc.+ ............. 500 16,469
Siebe PLC............................... 853 17,152
Westinghouse Electric Corp. ............ 800 21,650
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp. ..... 300 $ 28,987
KLM Royal Dutch Air Lines NV............ 125 4,289
-------------
318,232
-------------
INFORMATION & ENTERTAINMENT -- 1.2%
BROADCASTING & MEDIA -- 1.0%
General Cable Corp.+ ................... 500 17,750
Iridium World Communications Ltd.+ ..... 400 16,500
New York Times Co., Class A............. 400 21,000
Omnicom Group, Inc. .................... 300 21,825
Time Warner, Inc. ...................... 750 40,641
ENTERTAINMENT PRODUCTS -- 0.1%
Mattel, Inc. ........................... 400 13,250
LEISURE & TOURISM -- 0.1%
McDonald's Corp. ....................... 300 14,287
-------------
145,253
-------------
INFORMATION TECHNOLOGY -- 9.2%
BROADCASTING & MEDIA -- 0.1%
Tele-Communications TCI Group, Class
A+ .................................... 800 16,400
COMMUNICATION EQUIPMENT -- 0.5%
Lucent Technologies, Inc. .............. 200 16,275
Nokia Corp., Class A ADR................ 300 28,144
Telecomunicacoes Brasileras SA ADR...... 150 19,312
COMPUTERS & BUSINESS EQUIPMENT -- 1.8%
Compaq Computer Corp.+ ................. 1,200 89,700
Computer Sciences Corp.+ ............... 200 14,150
Dell Computer Corp.+ ................... 250 24,219
EMC Corp.+ ............................. 350 20,431
HBO & Co. .............................. 400 15,100
Hewlett-Packard Co. .................... 200 13,912
Honeywell, Inc. ........................ 300 20,156
International Business Machines
Corp. ................................. 100 10,600
Perkin-Elmer Corp. ..................... 125 9,133
ELECTRONICS -- 3.5%
Analog Devices, Inc.+ .................. 975 32,663
ASM Lithography Holdings NV+ ........... 100 9,875
Emerson Electric Co. ................... 300 17,288
General Electric Co. ................... 600 40,837
Intel Corp. ............................ 750 69,234
Motorola, Inc. ......................... 300 21,563
Philips Electronics NV.................. 174 14,722
Philips Electronics NV ADR.............. 1,400 117,600
Pittway Corp. .......................... 600 38,963
Rockwell International Corp. ........... 250 15,734
Texas Instruments, Inc. ................ 300 40,537
</TABLE>
- ----------------
24
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE -- 2.4%
Aspen Technologies, Inc.+ .............. 775 $ 27,222
BEA Systems, Inc.+ ..................... 425 7,597
Ceridian Corp.+ ........................ 100 3,700
Cisco Systems, Inc.+ ................... 750 54,796
J.D. Edwards & Co.+ .................... 875 29,312
Microsoft Corp.+ ....................... 350 46,309
Novell, Inc.+ .......................... 200 1,794
Parametric Technology Corp.+ ........... 1,725 76,116
PeopleSoft, Inc.+ ...................... 100 5,975
Policy Management Systems Corp.+ ....... 25 1,555
Reynolds & Reynolds Co., Class A........ 700 13,606
Sapient Corp.+ ......................... 25 1,272
Wind River Systems+ .................... 325 13,406
TELECOMMUNICATIONS -- 0.9%
At Home Corp., Series A+ ............... 2,775 64,172
Ericsson (L.M.) Telecommunications Co.,
Class B ADR............................ 500 23,969
Tele-Communications, Inc................ 200 4,125
Teleport Communications Group, Class
A+ .................................... 200 8,975
-------------
1,100,449
-------------
MATERIALS -- 1.8%
CHEMICALS -- 1.3%
du Pont (E.I.) de Nemours & Co. ........ 925 56,946
IMC Global, Inc. ....................... 400 14,100
Monsanto Co. ........................... 2,050 79,950
Solutia, Inc.+ ......................... 480 9,600
FOREST PRODUCTS -- 0.4%
American Pad & Paper Co.+ .............. 400 4,975
Fort James Corp. ....................... 687 31,473
Ivex Packaging Corp.+ .................. 300 4,800
METALS & MINERALS -- 0.1%
Crown, Cork & Seal Co., Inc. ........... 200 9,225
EASCO, Inc. ............................ 500 6,125
-------------
217,194
-------------
REAL ESTATE -- 0.7%
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Crescent Real Estate Equities........... 400 16,050
Equity Office Properties Trust.......... 1,900 64,481
-------------
80,531
-------------
UTILITIES -- 1.1%
ELECTRIC UTILITIES -- 0.2%
Duke Energy Co. ........................ 400 19,775
GAS & PIPELINE UTILITIES -- 0.1%
US Filter Corp.+ ....................... 300 12,919
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE -- 0.8%
Ameritech Corp. ........................ 300 $ 19,950
AT&T Corp. ............................. 300 13,294
Bell Atlantic Corp. .................... 230 18,501
GTE Corp. .............................. 300 13,612
MCI Communications Corp. ............... 400 11,750
Telecom Italia SpA+ .................... 2,673 17,808
-------------
127,609
-------------
TOTAL COMMON STOCK (cost $3,109,988).... 3,555,721
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 56.7% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.5%
RETAIL -- 0.5%
J.C. Penney Co., Inc. 7.40% 2037........ $ 50,000 53,299
-------------
ENERGY -- 0.8%
ENERGY SOURCES -- 0.8%
Petroliam Nasional Bhd. 7.13% 2005*..... 60,000 59,829
YPF Sociedad Anonima 8.00% 2004......... 40,000 40,750
-------------
100,579
-------------
FINANCE -- 5.2%
BANKS -- 3.4%
Banc One Corp. 8.00% 2027............... 43,000 46,650
Banponce Financial Corp. 6.75% 2001..... 50,000 50,553
Credit National 7.00% 2005.............. 40,000 39,350
Export Import Bank of Korea 6.50%
2006................................... 45,000 44,409
First Republic Bancorp 7.75% 2012....... 50,000 49,610
Korea Development Bank 7.13% 2001....... 35,000 35,186
NBD Bank SA 8.25% 2024.................. 50,000 57,343
NCNB Co. 9.38% 2009..................... 68,000 81,153
FINANCIAL SERVICES -- 1.8%
Dime Capital Trust I, Series A 9.33%
2027................................... 40,000 43,221
GE Capital Mortgage Services, Inc. 6.25%
2023................................... 36,904 36,685
Private Export Funding Corp. 7.03%
2003................................... 60,000 62,225
Private Export Funding Corp. 7.90%
2000................................... 75,000 78,143
-------------
624,528
-------------
HEALTHCARE -- 0.6%
HEALTH SERVICES -- 0.6%
Allegiance Corp. 7.00% 2026............. 75,000 76,302
-------------
INDUSTRIAL & COMMERCIAL -- 0.4%
MACHINERY -- 0.4%
Mark IV Industries, Inc. 8.75% 2003..... 40,000 41,600
-------------
</TABLE>
- ----------------
26
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 1.2%
BROADCASTING & MEDIA -- 1.2%
Comcast Cable Communications 8.50%
2027*.................................. $ 50,000 $ 55,739
News America Holdings, Inc. 8.00%
2016................................... 50,000 51,154
Scholastic Corp. 7.00% 2003............. 40,000 40,446
-------------
147,339
-------------
INFORMATION TECHNOLOGY -- 0.5%
TELECOMMUNICATIONS -- 0.5%
Tele-Communications, Inc. 9.25% 2002.... 50,000 54,514
-------------
MATERIALS -- 0.6%
CHEMICALS -- 0.6%
ICI Wilmington, Inc. 6.95% 2004......... 70,000 71,049
-------------
MUNICIPAL BONDS -- 1.1%
MUNICIPAL BONDS -- 1.1%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002.......... 135,000 135,864
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 2.6%
FOREIGN GOVERNMENT -- 2.6%
Republic of Argentina 11.00% 2006....... 55,000 62,700
Republic of Columbia 7.25% 2004......... 43,000 42,162
Republic of Germany 6.25% 2024 ... (DEM) 285,000 163,263
Republic of Lithuania 7.13% 2002* ...... 43,000 42,559
-------------
310,684
-------------
U.S. GOVERNMENT & AGENCIES -- 41.7%
U.S. GOVERNMENT & AGENCIES -- 41.7%
Federal Home Loan Mortgage Corp. 6.00%
2006................................... 45,000 44,269
Federal Home Loan Mortgage Corp. 6.50%
2022................................... 100,000 98,250
Federal Home Loan Mortgage Corp. 6.50%
2023................................... 30,000 29,053
Federal Home Loan Mortgage Corp. 7.00%
2023................................... 32,000 32,460
Federal Home Loan Mortgage Corp. 7.50%
2023................................... 22,091 22,567
Federal Home Loan Mortgage Corp. 7.75%
2022................................... 53,186 54,066
Federal Home Loan Mortgage Corp. 8.50%
2019................................... 69,260 72,330
Federal National Mortgage Association
5.65% 2005............................. 45,000 44,560
Federal National Mortgage Association
7.00% 2006............................. 29,338 29,521
Federal National Mortgage Association
7.39% 2021............................. 57,570 59,441
Federal National Mortgage Association
9.35% 2020............................. 18,431 18,698
Government National Mortgage Association
7.00% 2022............................. 21,465 21,559
Government National Mortgage Association
7.00% 2023............................. 20,855 20,927
Government National Mortgage Association
7.25% 2027............................. 363,365 366,486
Government National Mortgage Association
7.50% 2022............................. 59,056 60,310
Government National Mortgage Association
7.50% 2024............................. 21,994 22,434
Government National Mortgage Association
8.50% 2017............................. 68,094 72,370
Government National Mortgage Association
8.50% 2017............................. 27,143 28,848
Government National Mortgage Association
9.00% 2021............................. 26,601 28,662
United States Treasury Bonds 6.63%
2027................................... 140,000 143,347
United States Treasury Bonds 8.50%
2020................................... 205,000 253,399
United States Treasury Bonds 9.25%
2016................................... 160,000 207,826
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Bonds 12.00%
2013................................... $ 700,000 $ 1,008,000
United States Treasury Notes 5.88%
2000................................... 375,000 375,060
United States Treasury Notes 6.25%
2002................................... 100,000 100,922
United States Treasury Notes 6.25%
2007................................... 150,000 150,774
United States Treasury Notes 6.63%
2001................................... 1,090,000 1,113,838
United States Treasury Notes 6.63%
2002................................... 100,000 102,375
United States Treasury Notes 6.63%
2007................................... 50,000 51,641
United States Treasury Notes 7.25%
2004................................... 235,000 249,539
United States Treasury Notes 8.50%
2000................................... 100,000 107,250
-------------
4,990,782
-------------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 1.1%
Atlantic City Electric Co. 6.38% 2005... 60,000 59,461
Cleveland Electric Illuminating Co.
7.19% 2000*............................ 30,000 30,353
Public Service Electric & Gas Co. 8.88%
2003................................... 35,000 38,637
TELEPHONE -- 0.4%
WorldCom, Inc. 7.55% 2004............... 50,000 51,852
-------------
180,303
-------------
TOTAL BONDS & NOTES (cost $6,624,128)... 6,786,843
-------------
TOTAL INVESTMENT SECURITIES (cost
$9,734,116)............................ 10,342,564
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 1.7%
<S> <C> <C>
- -----------------------------------------------------------------------
FEDERAL AGENCY OBLIGATIONS -- 1.7%
Federal Home Loan Mortgage Corp. 6.05%
due 10/01/97 (cost $200,000)........... 200,000 200,000
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 12.5%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 12.5%
Lehman Brothers, Inc. Joint Repurchase
Agreement (Note 3)..................... 820,000 820,000
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3)..................... 674,000 674,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$1,494,000)............................ 1,494,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $11,428,116) 100.6% 12,036,564
Liabilities in excess of other assets
-- (0.6) (66,092)
------ -----------
NET ASSETS -- 100.0% $11,970,472
------ -----------
------ -----------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
DEM -- Deutsche Mark
- ----------------
28
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- ------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
USD 6,819 DEM 12,000 03/11/98 $ 41
USD 5,136 DEM 9,000 03/11/98 9
-------
50
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
DEM 283,000 USD 160,258 11/18/97 (433)
DEM 39,000 USD 21,868 03/11/98 (428)
FIM 160,000 USD 29,845 03/11/98 (677)
GBP 7,500 USD 12,010 03/11/98 (4)
ITL 44,000,000 USD 24,785 03/11/98 (648)
NLG 125,000 USD 62,171 03/11/98 (1,255)
*SEK 1,554,000 USD 193,524 10/27/97 (11,504)
*SEK 330,300 USD 42,130 10/27/97 (1,448)
SEK 65,000 USD 8,278 03/11/98 (336)
*USD 249,477 SEK 1,884,300 10/27/97 (870)
-------
(17,603)
-------
Net Unrealized Depreciation................. $(17,553)
-------
-------
</TABLE>
- -------------
* Represents open forward foreign currency and offsetting open forward foreign
currency contracts that do not have additional market risk but have continued
counterparty settlement risk
<TABLE>
<S> <C> <C>
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NGL -- Netherlands Guilder
GBP -- Great British Pound SEK -- Swedish Krona
</TABLE>
See Notes to Financial Statements
----------------
29
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 16.7% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.3%
APPAREL & TEXTILES -- 0.3%
R.P.M., Inc. ......................................... 650 $ 13,325
Sola International, Inc.+ ............................ 600 20,587
AUTOMOTIVE -- 0.2%
Ford Motor Co. ....................................... 300 13,575
Volkswagen AG......................................... 11 7,639
HOUSING -- 0.1%
Electrolux AB, Series B............................... 45 3,517
Industrie Natuzzi SpA ADR............................. 125 2,961
RETAIL -- 0.7%
Costco Cos., Inc.+ ................................... 300 11,287
CVS Corp. ............................................ 100 5,688
Federated Department Stores, Inc.+ ................... 300 12,937
Linens' N Things, Inc.+ .............................. 125 4,188
Nordstrom, Inc. ...................................... 125 7,969
Office Depot, Inc.+ .................................. 200 4,038
Wal-Mart Stores, Inc. ................................ 500 18,312
-------------
126,023
-------------
CONSUMER STAPLES -- 0.7%
FOOD, BEVERAGE & TOBACCO -- 0.3%
Philip Morris Cos., Inc. ............................. 300 12,469
Sara Lee Corp. ....................................... 300 15,450
HOUSEHOLD PRODUCTS -- 0.4%
Gillette Co. ......................................... 200 17,262
Kimberly-Clark Corp. ................................. 200 9,788
Procter & Gamble Co. ................................. 200 13,812
-------------
68,781
-------------
ENERGY -- 1.8%
ENERGY SERVICES -- 0.6%
Baker Hughes, Inc. ................................... 300 13,125
Santa Fe International Corp.+ ........................ 425 19,763
Schlumberger Ltd. .................................... 100 8,419
Smedvig ASA, Class B.................................. 186 5,522
Transocean Offshore, Inc. ............................ 300 14,381
ENERGY SOURCES -- 1.2%
Diamond Offshore Drilling, Inc. ...................... 225 12,417
Elf Aquitaine SA...................................... 59 7,876
Elf Aquitaine SA ADR.................................. 125 8,336
ENSCO International, Inc. ............................ 200 7,888
</TABLE>
- ----------------
30
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Exxon Corp. .......................................... 200 $ 12,812
Mobil Corp. .......................................... 300 22,200
Noble Drilling Corp.+ ................................ 350 11,288
Ocean Rig ASA+ ....................................... 2,563 4,400
Texaco, Inc. ......................................... 400 24,575
-------------
173,002
-------------
FINANCE -- 2.3%
BANKS -- 0.6%
Astoria Financial Corp. .............................. 25 1,258
Banca Commerciale Italiana+ .......................... 1,249 3,589
Bank of New York Cos., Inc. .......................... 75 3,600
BankAmerica Corp. .................................... 200 14,663
Chase Manhattan Corp. ................................ 100 11,800
Citicorp.............................................. 25 3,349
Dime Bancorp, Inc. ................................... 25 523
Mellon Bank Corp. .................................... 200 10,950
Queens County Bancorp, Inc. .......................... 25 1,295
Star Banc Corp. ...................................... 175 8,039
FINANCIAL SERVICES -- 1.0%
American Express Co. ................................. 300 24,562
Associates First Capital Corp. ....................... 450 28,012
Charles Schwab Corp. ................................. 112 4,004
ContiFinancial Corp.+ ................................ 300 9,750
Federal National Mortgage Association................. 300 14,100
FirstSpartan Financial Corp. ......................... 25 969
GSB Financial Corp.+ ................................. 25 409
SLM Holding Corp. .................................... 25 3,863
Washington Mutual, Inc. .............................. 45 3,139
INSURANCE -- 0.7%
Aetna, Inc. .......................................... 100 8,144
Allstate Corp. ....................................... 100 8,037
Chubb Corp. .......................................... 300 21,319
Reliance Group Holdings, Inc. ........................ 50 678
Skandia Forsakrings AB................................ 82 3,663
Swiss Life Insurance & Pension Co. ................... 8 4,769
UICI+ ................................................ 225 6,469
UNUM Corp. ........................................... 350 15,969
-------------
216,922
-------------
HEALTHCARE -- 1.2%
DRUGS -- 0.8%
Amgen, Inc.+ ......................................... 200 9,587
Astra AB, Class A..................................... 102 1,882
Bergen Brunswig Corp., Class A........................ 100 4,038
Cardinal Health, Inc. ................................ 50 3,550
Johnson & Johnson..................................... 200 11,525
Merck & Co., Inc. .................................... 100 9,994
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Teva Pharmaceutical Industries Ltd. ADR............... 50 $ 2,788
Warner-Lambert Co. ................................... 250 33,734
HEALTH SERVICES -- 0.3%
Columbia/HCA Healthcare Corp. ........................ 300 8,625
Omnicare, Inc. ....................................... 250 8,125
Pacificare Health Systems, Inc., Class B+ ............ 50 3,406
United Healthcare Corp. .............................. 100 5,000
MEDICAL PRODUCTS -- 0.1%
ESC Medical Systems Ltd.+ ............................ 150 5,644
Fresenius Medical Care AG ADR+ ....................... 75 1,706
IDEXX Laboratories, Inc.+ ............................ 125 2,094
Sofamor Danek Group, Inc.+ ........................... 50 2,856
-------------
114,554
-------------
INDUSTRIAL & COMMERCIAL -- 1.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ........................................... 200 10,887
BUSINESS SERVICES -- 0.8%
Caliber System, Inc. ................................. 75 4,069
Dal-Tile International, Inc.+ ........................ 200 3,000
Owens-Illinois, Inc.+ ................................ 300 10,181
Rentokil Initial PLC+ ................................ 982 4,054
Sealed Air Corp.+ .................................... 150 8,241
Suez Lyonnaise des Eaux+ ............................. 70 7,811
Sysco Corp. .......................................... 500 18,469
Technology Solutions Co. ............................. 75 2,419
Tomra Systems ASA..................................... 97 2,231
USA Waste Services, Inc.+ ............................ 300 11,962
MACHINERY -- 0.1%
Metra Oy, Class B..................................... 250 7,276
MULTI-INDUSTRY -- 0.2%
Raision Tehtaat Oy.................................... 78 8,904
Siebe PLC............................................. 338 6,797
Westinghouse Electric Corp. .......................... 175 4,736
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp. ................... 200 19,325
KLM Royal Dutch Air Lines NV.......................... 50 1,716
-------------
132,078
-------------
INFORMATION & ENTERTAINMENT -- 0.9%
BROADCASTING & MEDIA -- 0.7%
General Cable Corp.+ ................................. 500 17,750
New York Times Co., Class A........................... 300 15,750
Omnicom Group, Inc. .................................. 200 14,550
Time Warner, Inc. .................................... 350 18,966
</TABLE>
- ----------------
32
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS -- 0.2%
Mattel, Inc. ......................................... 400 $ 13,250
-------------
80,266
-------------
INFORMATION TECHNOLOGY -- 4.8%
BROADCASTING & MEDIA -- 0.0%
Tele-Communications TCI Group, Class A+ .............. 143 2,931
COMMUNICATION EQUIPMENT -- 0.4%
Lucent Technologies, Inc. ............................ 200 16,275
Nokia Corp., Class A ADR.............................. 100 9,381
Telecomunicacoes Brasileras SA ADR.................... 50 6,438
COMPUTERS & BUSINESS EQUIPMENT -- 0.9%
Compaq Computer Corp.+ ............................... 425 31,769
Computer Sciences Corp.+ ............................. 100 7,075
Dell Computer Corp.+ ................................. 100 9,687
EMC Corp.+ ........................................... 50 2,919
HBO & Co. ............................................ 150 5,663
Hewlett-Packard Co. .................................. 100 6,956
Honeywell, Inc. ...................................... 200 13,437
Perkin-Elmer Corp. ................................... 50 3,653
ELECTRONICS -- 2.0%
Analog Devices, Inc.+ ................................ 350 11,725
ASM Lithography Holdings NV+ ......................... 50 4,937
Emerson Electric Co. ................................. 200 11,525
General Electric Co. ................................. 300 20,419
Intel Corp. .......................................... 300 27,694
Motorola, Inc. ....................................... 300 21,562
Philips Electronics NV................................ 71 6,007
Philips Electronics NV ADR............................ 500 42,000
Pittway Corp. ........................................ 225 14,611
Rockwell International Corp. ......................... 150 9,441
Texas Instruments, Inc. .............................. 125 16,891
SOFTWARE -- 1.1%
Aspen Technologies, Inc.+ ............................ 275 9,659
BEA Systems, Inc.+ ................................... 125 2,234
Cisco Systems, Inc.+ ................................. 250 18,266
J.D. Edwards & Co.+ .................................. 300 10,050
Microsoft Corp.+ ..................................... 150 19,847
Parametric Technology Corp.+ ......................... 675 29,784
PeopleSoft, Inc.+ .................................... 50 2,988
Reynolds & Reynolds Co., Class A...................... 400 7,775
Sapient Corp.+ ....................................... 25 1,272
Wind River Systems+ .................................. 109 4,496
TELECOMMUNICATIONS -- 0.4%
At Home Corp., Series A+ ............................. 1,150 26,594
Ericsson (L.M.) Telecommunications Co., Class B ADR... 175 8,389
Tele-Communications TCI Venture Group, Class A+ ...... 82 1,691
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Teleport Communications Group, Class A+ .............. 100 $ 4,488
-------------
450,529
-------------
MATERIALS -- 1.1%
CHEMICALS -- 0.7%
du Pont (E.I.) de Nemours & Co. ...................... 350 21,547
IMC Global, Inc. ..................................... 300 10,575
Monsanto Co. ......................................... 725 28,275
Solutia, Inc.+ ....................................... 170 3,400
FOREST PRODUCTS -- 0.3%
American Pad & Paper Co.+ ............................ 200 2,487
Fort James Corp. ..................................... 550 25,197
Ivex Packaging Corp.+ ................................ 100 1,600
METALS & MINERALS -- 0.1%
Crown, Cork & Seal Co., Inc. ......................... 200 9,225
-------------
102,306
-------------
REAL ESTATE -- 0.4%
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Crescent Real Estate Equities......................... 300 12,037
Equity Office Properties Trust........................ 775 26,302
-------------
38,339
-------------
UTILITIES -- 0.8%
ELECTRIC UTILITIES -- 0.2%
Duke Energy Co. ...................................... 313 15,474
GAS & PIPELINE UTILITIES -- 0.0%
US Filter Corp.+ ..................................... 100 4,306
TELEPHONE -- 0.6%
Ameritech Corp. ...................................... 200 13,300
AT&T Corp. ........................................... 200 8,863
GTE Corp. ............................................ 300 13,612
MCI Communications Corp. ............................. 300 8,813
Telecom Italia SpA+ .................................. 1,041 6,935
-------------
71,303
-------------
TOTAL COMMON STOCK (cost $1,355,291).................. 1,574,103
-------------
</TABLE>
- ----------------
34
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 72.8% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
RETAIL -- 0.7%
J.C. Penney Co., Inc. 7.40% 2037...................... $ 60,000 $ 63,959
-------------
ENERGY -- 1.3%
ENERGY SOURCES -- 1.3%
Petroliam Nasional Bhd. 7.13% 2005*................... 65,000 64,815
YPF Sociedad Anonima 8.00% 2004....................... 60,000 61,125
-------------
125,940
-------------
FINANCE -- 8.5%
BANKS -- 5.2%
Banc One Corp. 8.00% 2027............................. 55,000 59,668
Banponce Financial Corp. 6.75% 2001................... 65,000 65,720
Credit National 7.00% 2005............................ 60,000 59,025
Export Import Bank of Korea 6.50% 2006................ 60,000 59,212
First Republic Bancorp 7.75% 2012..................... 55,000 54,570
Korea Development Bank 7.13% 2001..................... 30,000 30,160
NBD Bank SA 8.25% 2024................................ 55,000 63,078
NCNB Co. 9.38% 2009................................... 80,000 95,474
FINANCIAL SERVICES -- 3.3%
Dime Capital Trust I, Series A 9.33% 2027............. 45,000 48,623
GE Capital Mortgage Services, Inc. 6.25% 2023......... 55,356 55,027
Private Export Funding Corp. 7.03% 2003............... 100,000 103,708
Private Export Funding Corp. 7.90% 2000............... 100,000 104,191
-------------
798,456
-------------
HEALTHCARE -- 1.1%
MEDICAL PRODUCTS -- 1.1%
Allegiance Corp. 7.00% 2026........................... 100,000 101,736
-------------
INDUSTRIAL & COMMERCIAL -- 0.6%
MACHINERY -- 0.6%
Mark IV Industries, Inc. 8.75% 2003................... 50,000 52,000
-------------
INFORMATION & ENTERTAINMENT -- 2.5%
BROADCASTING & MEDIA -- 2.5%
Comcast Cable Communications 8.50% 2027*.............. 80,000 89,182
News America Holdings, Inc. 8.00% 2016................ 80,000 81,846
Scholastic Corp. 7.00% 2003........................... 60,000 60,669
-------------
231,697
-------------
INFORMATION TECHNOLOGY -- 0.7%
TELECOMMUNICATIONS -- 0.7%
Tele-Communications, Inc. 9.25% 2002.................. 60,000 65,417
-------------
MATERIALS -- 0.9%
CHEMICALS -- 0.9%
ICI Wilmington, Inc. 6.95% 2004....................... 80,000 81,199
-------------
</TABLE>
----------------
35
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 2.1%
MUNICIPAL BONDS -- 2.1%
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002.................................. $ 200,000 $ 201,280
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 3.8%
FOREIGN GOVERNMENT -- 3.8%
Republic of Argentina 11.00% 2006..................... 60,000 68,400
Republic of Columbia 7.25% 2004....................... 55,000 53,928
Republic of Germany 6.25% 2024.................. (DEM) 325,000 186,176
Republic of Lithuania 7.13% 2002*..................... 53,000 52,457
-------------
360,961
-------------
U.S. GOVERNMENT & AGENCIES -- 48.0%
U.S. GOVERNMENT & AGENCIES -- 48.0%
Federal Home Loan Mortgage Corp. 6.50% 2022........... 60,000 58,950
Federal Home Loan Mortgage Corp. 6.50% 2023........... 40,000 38,737
Federal Home Loan Mortgage Corp. 7.00% 2023........... 45,000 45,646
Federal Home Loan Mortgage Corp. 7.50% 2023........... 36,818 37,612
Federal Home Loan Mortgage Corp. 7.75% 2022........... 75,980 77,238
Federal Home Loan Mortgage Corp. 8.50% 2019........... 79,154 82,663
Federal National Mortgage Association 5.65% 2005...... 60,000 59,413
Federal National Mortgage Association 7.00% 2006...... 41,073 41,330
Federal National Mortgage Association 7.39% 2021...... 57,570 59,441
Federal National Mortgage Association 9.35% 2020...... 40,067 40,649
Government National Mortgage Association 7.00% 2023... 19,805 19,873
Government National Mortgage Association 7.00% 2023... 26,316 26,407
Government National Mortgage Association 7.00% 2023... 19,728 19,795
Government National Mortgage Association 7.25% 2027... 552,514 557,260
Government National Mortgage Association 7.50% 2022... 26,223 26,779
Government National Mortgage Association 7.50% 2023... 90,076 91,934
Government National Mortgage Association 8.50% 2017... 69,796 74,179
Government National Mortgage Association 8.50% 2017... 29,514 31,367
Government National Mortgage Association 9.00% 2021... 29,926 32,245
United States Treasury Bonds 6.63% 2027............... 110,000 112,630
United States Treasury Bonds 8.50% 2020............... 110,000 135,970
United States Treasury Bonds 9.25% 2016............... 115,000 149,375
United States Treasury Bonds 12.00% 2013.............. 805,000 1,159,200
United States Treasury Notes 5.88% 2000............... 185,000 185,030
United States Treasury Notes 6.25% 2007............... 110,000 110,568
United States Treasury Notes 6.63% 2001............... 835,000 853,261
United States Treasury Notes 6.63% 2002............... 65,000 66,544
United States Treasury Notes 6.63% 2007............... 25,000 25,820
United States Treasury Notes 7.25% 2004............... 155,000 164,590
United States Treasury Notes 8.50% 2000............... 125,000 134,062
-------------
4,518,568
-------------
</TABLE>
- ----------------
36
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 1.7%
Atlantic City Electric Co. 6.38% 2005................. $ 75,000 $ 74,327
Cleveland Electric Illuminating Co. 7.19% 2000*....... 40,000 40,470
Public Service Electric & Gas Co. 8.88% 2003.......... 47,000 51,884
TELEPHONE -- 0.9%
WorldCom, Inc. 7.55% 2004............................. 80,000 82,964
-------------
249,645
-------------
TOTAL BONDS & NOTES (cost $6,662,783)................. 6,850,858
-------------
TOTAL INVESTMENT SECURITIES (cost $8,018,074)......... 8,424,961
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.3%
<S> <C> <C>
- -------------------------------------------------------------------------------------
FEDERAL AGENCY OBLIGATIONS -- 0.3%
Federal Home Loan Mortgage Corp. 6.05% due 10/01/97
(cost $25,000)....................................... 25,000 25,000
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 9.8%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.8%
Lehman Brothers, Inc. Joint Repurchase Agreement (Note
3)................................................... 835,000 835,000
PaineWebber, Inc. Joint Repurchase Agreement (Note
3)................................................... 91,000 91,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $926,000)........... 926,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- (cost $8,969,074) 99.6% 9,375,961
Other assets less liabilities -- 0.4 35,900
------- -------------
NET ASSETS -- 100.0% $ 9,411,861
------- -------------
------- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
DEM -- Deutsche Mark
----------------
37
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ---------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
USD 4,546 DEM 8,000 03/11/98 $ 27
USD 1,712 DEM 3,000 03/11/98 3
-------
30
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DEM 322,000 USD 182,343 11/18/97 (492)
DEM 18,000 USD 10,093 03/11/98 (198)
FIM 60,000 USD 11,192 03/11/98 (254)
GBP 3,000 USD 4,804 03/11/98 (2)
ITL 17,000,000 USD 9,578 03/11/98 (250)
NLG 47,000 USD 23,376 03/11/98 (472)
*SEK 1,998,000 USD 248,817 10/27/97 (14,791)
*SEK 110,000 USD 14,031 10/27/97 (482)
SEK 26,000 USD 3,311 03/11/98 (134)
*USD 279,094 SEK 2,108,000 10/27/97 (974)
-------
(18,049)
-------
Net Unrealized Depreciation............................. $ (18,019)
-------
-------
</TABLE>
- -------------
* Represents open forward foreign currency and offsetting open forward foreign
currency contracts that do not have additional market risk but have continued
counterparty settlement risk
<TABLE>
<S> <C> <C>
DEM -- Deutsche Mark ITL -- Italian Lira SEK -- Swedish Krona
FIM -- Finnish Markka NGL -- Netherlands Guilder USD -- United States Dollar
GBP -- Great British Pound
</TABLE>
See Notes to Financial Statements
- ----------------
38
<PAGE>
- ----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 69.6% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.9%
APPAREL & TEXTILES -- 0.0%
Onward Kashiyama Co. Ltd. ............................ 1,000 $ 14,419
AUTOMOTIVE -- 2.1%
Bayerische Motoren Werke AG+ ......................... 101 85,998
Bridgestone Corp. .................................... 1,000 24,033
Cycle & Carriage Ltd. ................................ 1,000 6,048
Edaran Otomobil Nasional Bhd.......................... 2,000 8,014
Lear Corp.+ .......................................... 6,200 305,350
Magna International, Inc., Class A ADR................ 498 34,424
Michelin SA, Class B.................................. 659 37,434
HOUSING -- 0.8%
Cemex SA de CV........................................ 6,844 35,850
CRH PLC............................................... 4,826 55,041
Electrolux AB, Series B............................... 145 11,333
Lafarge SA............................................ 644 47,198
Matsushita Electric Works Ltd. ....................... 4,000 41,767
RETAIL -- 4.0%
Fuji Photo Film Co., Ltd. ............................ 1,000 41,270
Ito Yokado Co. Ltd. .................................. 1,000 54,197
Kmart Corp.+ ......................................... 19,900 278,600
Lowe's Cos., Inc. .................................... 8,100 314,887
Office Max, Inc.+ .................................... 15,000 227,813
Vendex International NV............................... 786 46,600
-------------
1,670,276
-------------
CONSUMER STAPLES -- 6.4%
FOOD, BEVERAGE & TOBACCO -- 6.0%
B.A.T. Industries PLC................................. 8,276 72,464
Bass PLC+ ............................................ 2,100 28,309
Dimon, Inc. .......................................... 13,100 327,500
Dole Food, Inc. ...................................... 6,500 293,719
Fomento Economico Mexicano SA de CV, Class B+ ........ 2,750 23,571
Goodman Fielder Ltd. ................................. 19,296 31,238
Nestle SA............................................. 52 72,437
Quaker Oats Co. ...................................... 5,900 297,212
RJR Nabisco Holdings Corp. ........................... 8,900 305,937
HOUSEHOLD PRODUCTS -- 0.4%
KAO Corp. ............................................ 4,000 58,010
Unilever PLC.......................................... 1,543 45,059
-------------
1,555,456
-------------
</TABLE>
----------------
39
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 4.3%
ENERGY SERVICES -- 0.3%
Petroleo Brasileiro SA ADR* .......................... 200 $ 5,623
Petroleo Brasileiro SA ADR............................ 800 22,350
Shell Transport & Trading Co. PLC..................... 6,873 50,604
ENERGY SOURCES -- 4.0%
Amoco Corp. .......................................... 3,100 298,762
British Petroleum Co. PLC............................. 3,824 57,654
Burmah Castrol PLC.................................... 3,353 59,798
Elf Aquitaine SA...................................... 521 69,553
ENI SpA............................................... 15,290 96,285
Occidental Petroleum.................................. 11,300 293,094
Total SA, Class B..................................... 705 80,688
-------------
1,034,411
-------------
FINANCE -- 12.4%
BANKS -- 8.0%
ABN Amro Holdings NV.................................. 1,296 26,242
Allied Irish Banks.................................... 5,685 50,264
Banco Frances del Rio de la Plata SA.................. 1,126 12,197
Bank of Ireland PLC................................... 4,136 51,690
Bank of Nova Scotia................................... 748 35,856
Bankers Trust New York Corp. ......................... 3,000 367,500
Commonwealth Bank of Australia........................ 2,146 26,546
Dao Heng Holdings Ltd. ............................... 6,000 27,061
Deutsche Bank AG...................................... 726 51,113
Development Bank of Singapore Ltd. alien shares....... 2,000 20,399
First Union Corp. .................................... 6,500 325,406
HSBC Holdings PLC..................................... 2,000 66,942
Julius Baer Holdings AG............................... 6 9,220
Schweizerische Bank-Gesellschaft+ .................... 60 70,091
Societe Generale...................................... 250 36,198
Summit Bancorp........................................ 8,100 359,944
Uniao De Barncos Brasilieros SA GDR+ ................. 300 10,988
Union Planters Corp. ................................. 5,500 307,313
United Overseas Bank Ltd. alien shares................ 5,000 36,940
Westpac Banking Corp., Ltd. .......................... 8,693 54,903
FINANCIAL SERVICES -- 3.1%
Acom Co. Ltd.* ....................................... 200 10,425
Ahmanson (H.F.) & Co. ................................ 5,300 301,106
Cetelem+ ............................................. 218 24,840
Credit Local de France+ .............................. 402 38,081
Guoco Group Ltd. ..................................... 4,000 15,973
ING Groep NV.......................................... 1,234 56,669
Washington Mutual, Inc. .............................. 4,470 311,783
INSURANCE -- 1.3%
CIGNA Corp. .......................................... 600 111,750
Norwich Union PLC+.................................... 4,217 22,848
Schweizerische Rueckversicherungs-Gesellschaft........ 15 22,494
USF&G Corp. .......................................... 5,900 135,331
</TABLE>
- ----------------
40
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Zurich Versicherungs-Gesellschaft..................... 43 $ 18,715
-------------
3,016,828
-------------
HEALTHCARE -- 3.3%
DRUGS -- 2.0%
Astra AB, Class A..................................... 1,208 22,289
Glaxo Wellcome PLC.................................... 1,000 22,299
Novartis AG ADR....................................... 27 41,399
Pharmacia & Upjohn, Inc. ............................. 7,700 281,050
Pharmacia & Upjohn, Inc. (SEK)........................ 836 30,300
Sankyo Co. Ltd. ...................................... 2,000 69,280
Santen Pharmaceutical Co.+ ........................... 1,000 18,812
HEALTH SERVICES -- 1.3%
Wellpoint Health Networks, Inc., Class A.............. 5,500 318,656
-------------
804,085
-------------
INDUSTRIAL & COMMERCIAL -- 11.5%
AEROSPACE & MILITARY TECHNOLOGY -- 1.9%
Boeing Co. ........................................... 4,800 261,300
General Motors Corp., Class H......................... 300 19,838
Northrop Grumman Corp.+ .............................. 1,200 145,650
Rolls Royce Ltd. PLC.................................. 7,061 28,544
BUSINESS SERVICES -- 1.7%
Dai Nippon Printing Co., Ltd. ........................ 2,000 42,761
Kurita Water Industries Ltd. ......................... 1,000 19,972
Ogden Corp. .......................................... 13,300 314,212
VA Technologie AG..................................... 137 29,371
Yamato Transport Co. Ltd. ............................ 2,000 24,530
MACHINERY -- 0.6%
Mannesmann AG......................................... 108 51,465
Molins PLC............................................ 1,520 10,784
Rieter Holdings Ltd. AG............................... 67 31,049
Sandvik AB, Class B................................... 1,460 50,703
MULTI-INDUSTRY -- 3.5%
Alfa, SA de CV, Class A............................... 6,050 56,840
BTR Ltd. PLC.......................................... 8,492 34,507
Compagnie Generale des Eaux........................... 377 44,356
Cookson Group PLC..................................... 2,900 11,777
Hercules, Inc. ....................................... 5,500 273,625
Securicor Group PLC+ ................................. 4,497 19,506
Smiths Industries..................................... 2,766 41,043
Sungei Way Holdings Bhd. ............................. 9,000 8,267
Swire Pacific Ltd., Class A........................... 2,000 15,314
Tomkins PLC........................................... 8,275 46,435
Whitman Corp. ........................................ 10,900 297,025
TRANSPORTATION -- 3.8%
ABB AG+ .............................................. 8 11,782
Burlington Northern Santa Fe Corp. ................... 3,000 289,875
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Delta Air Lines, Inc. ................................ 3,400 $ 320,238
KLM Royal Dutch Air Lines NV.......................... 830 28,983
Norfolk Southern Corp. ............................... 2,600 268,450
-------------
2,798,202
-------------
INFORMATION & ENTERTAINMENT -- 2.5%
BROADCASTING & MEDIA -- 1.2%
Times Mirror Co., Series A............................ 5,300 291,169
ENTERTAINMENT PRODUCTS -- 1.1%
Polaroid Corp. ....................................... 5,000 255,937
LEISURE & TOURISM -- 0.2%
Hutchison Whampoa Ltd. ............................... 5,000 49,270
Resorts World Bhd. ................................... 2,000 4,377
-------------
600,753
-------------
INFORMATION TECHNOLOGY -- 11.5%
COMMUNICATION EQUIPMENT -- 0.3%
Newbridge Networks Corp. ADR+......................... 700 41,887
Nokia Corp., Class A ADR.............................. 470 44,682
COMPUTERS & BUSINESS EQUIPMENT -- 4.6%
Canon, Inc. .......................................... 3,000 87,760
Hewlett-Packard Co. .................................. 4,900 340,856
International Business Machines Corp. ................ 3,000 317,812
NCR Corp.+ ........................................... 10,000 349,375
Ricoh Co. Ltd. ....................................... 1,000 15,000
ELECTRONICS -- 2.6%
Dixons Group PLC...................................... 900 9,259
General Electric Co. PLC.............................. 7,905 49,713
Murata Manufacturing Co. Ltd. ........................ 1,000 43,258
Omron Corp............................................ 2,000 41,932
Philips Electronics NV................................ 877 74,203
SGS Thomson Microelectronics NV+ ..................... 738 69,280
Tokyo Electron Ltd. .................................. 1,000 61,076
Vishay Intertechnology, Inc.+ ........................ 10,655 281,692
SOFTWARE -- 1.4%
Computer Associates International, Inc. .............. 4,800 344,700
TELECOMMUNICATIONS -- 2.6%
Deutsche Telekom AG................................... 4,247 82,202
Ericsson (L.M.) Telecommunications Co., Series B
ADR.................................................. 971 46,647
Northern Telecom Ltd. ................................ 543 56,950
Portugal Telecom SA................................... 1,605 69,618
PT Telekomunikasi Indonesia ADR....................... 193 4,318
U.S. West Communications Group........................ 7,500 288,750
Vodafone Group PLC.................................... 14,227 76,394
-------------
2,797,364
-------------
</TABLE>
- ----------------
42
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 6.2%
CHEMICALS -- 0.8%
Akzo-Nobel NV+ ....................................... 348 $ 59,466
Bayer AG+ ............................................ 1,559 62,071
Ciba Specialty Chemicals AG+ ......................... 488 47,142
Shin-Etsu Chemical Co. Ltd.+ ......................... 1,000 27,513
FOREST PRODUCTS -- 3.9%
Boise Cascade Corp. .................................. 7,400 311,262
International Paper Co. .............................. 4,700 258,794
Mayr-Melnhof Karton AG................................ 80 4,773
Svenska Cellulosa AB, Class B......................... 1,899 47,929
Unisource Worldwide, Inc. ............................ 16,900 321,100
METALS & MINERALS -- 1.5%
Freeport Copper & Gold, Inc., Class B................. 10,100 291,006
Kawasaki Steel Corp. ................................. 8,000 15,315
Rio Tinto Corp. PLC................................... 3,615 57,359
-------------
1,503,730
-------------
REAL ESTATE -- 2.7%
REAL ESTATE COMPANIES -- 0.7%
Amoy Properties Ltd. ................................. 19,500 21,294
Cheung Kong Holdings Ltd. ............................ 5,000 56,216
Security Capital Group, Inc., Class B................. 2,300 79,063
REAL ESTATE INVESTMENT TRUSTS -- 2.0%
Beacon Properties Corp. .............................. 3,700 169,506
Equity Residential Properties Trust................... 5,800 316,463
-------------
642,542
-------------
UTILITIES -- 1.9%
ELECTRIC UTILITIES -- 0.5%
Electricidad de Portugal SA........................... 200 3,434
Hong Kong Electric Holdings Ltd. ..................... 2,000 7,444
Scottish Power PLC.................................... 7,802 60,375
Veba AG............................................... 1,033 60,362
GAS & PIPELINE UTILITIES -- 0.1%
Hong Kong & China Gas Co. Ltd.+ ...................... 6,000 12,368
TELEPHONE -- 1.3%
Sprint Corp. ......................................... 6,200 310,000
-------------
453,983
-------------
TOTAL COMMON STOCK (cost $15,200,136)................. 16,877,630
-------------
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 19.0% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.4%
RETAIL -- 0.4%
Rite Aid Corp. 6.70% 2001............................. $ 100,000 $ 100,635
-------------
ENERGY -- 0.8%
ENERGY SERVICES -- 0.4%
Petroleum Geo Services ASA 7.50% 2007................. 100,000 103,332
ENERGY SOURCES -- 0.4%
Saga Petroleum ASA 7.25% 2027......................... 40,000 39,449
YPF Sociedad Anonima 7.75% 2007....................... 45,000 45,067
-------------
187,848
-------------
FINANCE -- 3.0%
BANKS -- 0.3%
Merita Bank Ltd 6.50% 2006............................ 40,000 38,960
Societe Generale New York 7.40% 2006.................. 30,000 31,074
FINANCIAL SERVICES -- 2.3%
Advanta Mortgage Loan Trust 6.69% 2017................ 25,000 25,223
Advanta Mortgage Loan Trust 7.05% 2021................ 25,000 25,343
Amresco Residential Securities 6.57% 2018............. 20,000 20,097
Carco Auto Loan Master Trust 6.69% 2004............... 20,000 20,034
Green Tree Financial Corp. 6.93% 2028................. 55,000 55,859
Greentree Recreational Equipment 6.55% 2028........... 42,103 42,478
Harley Davidson Eagle Motorcycle Trust 6.20% 2003..... 150,000 151,559
Money Store, Inc. 8.05% 2002.......................... 100,000 103,552
PNC Mortgage Securities Corp. 6.60% 2027.............. 25,000 25,037
Salomon, Inc. 7.00% 1999.............................. 100,000 101,196
INSURANCE -- 0.4%
Travelers Capital II 7.75% 2036....................... 100,000 100,163
-------------
740,575
-------------
INDUSTRIAL & COMMERCIAL -- 0.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.7%
Lockheed Martin Corp. 7.25% 2006...................... 115,000 119,054
Raytheon Co. 6.45% 2002............................... 35,000 34,952
Raytheon Co. 7.20% 2027............................... 5,000 5,011
-------------
159,017
-------------
INFORMATION & ENTERTAINMENT -- 0.5%
BROADCASTING & MEDIA -- 0.5%
News America Holdings, Inc. 7.70% 2025................ 100,000 98,115
Time Warner Entertainment Co. LP 8.38% 2033........... 20,000 21,460
-------------
119,575
-------------
</TABLE>
- ----------------
44
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.8%
TELECOMMUNICATIONS -- 0.8%
Compania de Telecomunicaciones 7.63% 2006............. $ 100,000 $ 105,217
SK Telecom Ltd. 7.75% 2004............................ 100,000 101,745
-------------
206,962
-------------
MUNICIPAL BONDS -- 0.2%
MUNICIPAL BONDS -- 0.2%
New Jersey Economic Development Authority, Series A
7.43% 2029........................................... 40,000 42,037
-------------
U.S. GOVERNMENT & AGENCIES -- 11.9%
U.S. GOVERNMENT & AGENCIES -- 11.9%
Federal National Mortgage Association 5.50% 2011...... 86,057 82,533
Federal National Mortgage Association 7.00% 2023...... 10,000 9,387
Federal National Mortgage Association 7.00% 2027...... 49,500 49,299
Federal National Mortgage Association 8.50% 2019...... 35,000 38,019
Federal National Mortgage Association 9.00% 2026...... 37,947 40,413
Federal National Mortgage Association 9.00% 2026...... 39,590 42,065
Government National Mortgage Association 5.50% TBA.... 80,000 79,925
Government National Mortgage Association 6.88% 2023... 21,332 21,955
Government National Mortgage Association 6.88% 2025... 43,562 44,706
Government National Mortgage Association 7.13% 2025... 20,284 20,873
Government National Mortgage Association 7.38% 2026... 22,972 23,718
Government National Mortgage Association 7.50% 2026... 344,563 350,483
Government National Mortgage Association 7.50% 2026... 112,934 114,874
Government National Mortgage Association 7.50% 2027... 360,441 372,606
Government National Mortgage Association 8.50% 2026... 22,051 23,071
Government National Mortgage Association 8.50% 2026... 489,694 512,343
Government National Mortgage Association 8.50% 2026... 478,254 500,374
United States Treasury Bonds 6.38% 2027............... 220,000 219,036
United States Treasury Notes 5.88% 1999............... 255,000 255,199
United States Treasury Notes 6.13% 2007............... 25,000 25,012
United States Treasury Notes 6.25% 2002............... 55,000 55,507
-------------
2,881,398
-------------
UTILITIES -- 0.7%
ELECTRIC UTILITIES -- 0.7%
Arizona Public Services Co. 6.75% 2006................ 160,000 160,381
-------------
TOTAL BONDS & NOTES (cost $4,528,213)................. 4,598,428
-------------
<CAPTION>
WARRANTS -- 0.0% SHARES
<S> <C> <C>
- -------------------------------------------------------------------------------------
INDUSTRIAL & COMMERCIAL -- 0.0%
MULTI-INDUSTRY -- 0.0%
Compagnie Generale des Eaux (cost $0)................. 20 11
-------------
TOTAL INVESTMENT SECURITIES (cost $19,728,349)........ 21,476,069
-------------
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 10.9% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 10.9%
Agreement with Union Bank of Switzerland, bearing
interest of 6.05% dated 9/30/97, to be repurchased
10/01/97 in the amount of $2,641,444 and
collateralized by $1,849,000 U.S. Treasury Notes
12.00% due 8/15/13
(cost $2,641,000).................................... $ 2,641,000 $ 2,641,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- (cost $22,369,349) 99.5% 24,117,069
Other assets less liabilities -- 0.5 116,031
------ -------------
NET ASSETS -- 100.0% $ 24,233,100
------ -------------
------ -------------
</TABLE>
- -------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
SEK -- Swedish Krona
TBA -- Securities purchased on a forward commitment with an approximate
principal amount and no definitive maturity date. The actual principal
amount and maturity date will be determined upon settlement date.
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ----------------------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*JPY 9,000,000 USD 81,213 11/20/97 $ 6,081
*JPY 5,475,000 USD 48,893 11/20/97 3,187
-------
9,268
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 48,217 JPY 5,475,000 11/20/97 (2,511)
*USD 79,260 JPY 9,000,000 11/20/97 (4,127)
USD 87,237 FRF 540,000 02/11/98 (4,552)
USD 185,623 FRF 1,100,000 02/11/98 (1,356)
-------
(12,548)
-------
Net Unrealized Depreciation.......................................... $ (3,280)
-------
-------
</TABLE>
- -------------
* Represents open forward foreign currency and offsetting open forward foreign
currency contracts that do not have additional market risk but have continued
counterparty settlement risk
FRF -- French Franc
JPY -- Japanese Yen
USD -- United States Dollar
See Notes to Financial Statements
- ----------------
46
<PAGE>
- ------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1997
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 94.4% SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.5%
APPAREL & TEXTILES -- 0.2%
Louis Vuitton........................... 210 $ 44,636
HOUSING -- 0.8%
Masco Corp. ............................ 3,300 151,181
RETAIL -- 5.5%
Circuit City Stores, Inc.+ ............. 700 28,219
Corporate Express, Inc.+ ............... 4,000 84,500
CVS Corp. .............................. 1,707 97,086
Dillards, Inc. ......................... 2,900 127,056
Hennes & Mauritz AB, Class B............ 2,000 87,381
Home Depot, Inc. ....................... 2,500 130,312
Kohl's Corp.+ .......................... 1,400 99,400
Safeway, Inc.+ ......................... 3,200 174,000
Tag Heuer International SA ADR+ ........ 11,600 153,700
Wal-Mart Stores, Inc. .................. 3,600 131,850
-----------
1,309,321
-----------
CONSUMER STAPLES -- 5.1%
FOOD, BEVERAGE & TOBACCO -- 3.4%
Hershey Foods Corp. .................... 700 39,550
PepsiCo, Inc. .......................... 5,100 206,869
Philip Morris Cos., Inc. ............... 6,900 286,781
Sara Lee Corp. ......................... 2,800 144,200
HOUSEHOLD PRODUCTS -- 1.7%
Kimberly-Clark Corp. ................... 3,200 156,600
Kimberly-Clark de Mexico SA de CV ADR... 14,800 77,429
Procter & Gamble Co. ................... 1,600 110,500
-----------
1,021,929
-----------
ENERGY -- 3.8%
ENERGY SERVICES -- 2.6%
Halliburton Co. ........................ 2,100 109,200
Royal Dutch Petroleum Co. .............. 6,000 333,000
Schlumberger Ltd. ...................... 1,100 92,606
ENERGY SOURCES -- 1.2%
Cooper Cameron Corp.+ .................. 800 57,450
Mobil Corp. ............................ 2,400 177,600
-----------
769,856
-----------
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------
<S> <C> <C>
FINANCE -- 18.4%
BANKS -- 5.8%
Barnett Banks, Inc. .................... 1,200 $ 84,900
BCA Fideuram SpA........................ 24,000 100,107
Citicorp................................ 1,500 200,906
First Union Corp.+ ..................... 1,800 90,113
Mellon Bank Corp. ...................... 1,300 71,175
Northern Trust Corp. ................... 1,900 112,338
Norwest Corp. .......................... 2,900 177,625
Toronto Dominion Bank................... 3,900 133,087
Wells Fargo & Co. ...................... 700 192,500
FINANCIAL SERVICES -- 6.1%
Federal Home Loan Mortgage Corp. ....... 17,100 602,775
Federal National Mortgage Association... 6,200 291,400
H&R Block, Inc. ........................ 3,500 135,187
SLM Holding Corp. ...................... 300 46,350
Travelers Group, Inc. .................. 2,200 150,150
INSURANCE -- 6.5%
Ace Ltd. ............................... 4,500 423,000
Aetna, Inc. ............................ 700 57,006
Exel Ltd. ORD........................... 1,900 113,169
Fairfax Financial Holdings Ltd.+ ....... 460 127,477
Mutual Risk Management Ltd. ............ 3,100 157,519
Partner Residential Holding Corp. ...... 800 34,450
St. Paul Cos., Inc. .................... 1,600 130,500
UNUM Corp. ............................. 5,900 269,188
-----------
3,700,922
-----------
HEALTHCARE -- 11.4%
DRUGS -- 7.7%
American Home Products Corp. ........... 1,700 124,100
Amgen, Inc.+ ........................... 1,400 67,113
Astra AB, Class B....................... 5,966 105,363
Biogen, Inc.+ .......................... 2,100 68,119
Bristol-Myers Squibb Co. ............... 2,000 165,500
Genentech, Inc.+ ....................... 2,600 151,125
Johnson & Johnson....................... 1,400 80,675
Merck & Co., Inc. ...................... 2,300 229,856
Novartis AG ADR......................... 133 203,926
Pfizer, Inc. ........................... 3,800 228,237
Warner-Lambert Co. ..................... 1,000 134,938
HEALTH SERVICES -- 1.5%
HEALTHSOUTH Corp.+ ..................... 6,400 170,800
Pacificare Health Systems, Inc., Class
B+ .................................... 900 61,313
United Healthcare Corp. ................ 1,300 65,000
MEDICAL PRODUCTS -- 2.2%
Baxter International, Inc. ............. 2,400 125,400
Boston Scientific Corp.+ ............... 1,200 66,225
Medtronic, Inc. ........................ 2,600 122,200
</TABLE>
- ----------------
48
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Tenet Healthcare Corp.+ ................ 4,300 $ 125,237
-----------
2,295,127
-----------
INDUSTRIAL & COMMERCIAL -- 14.3%
AEROSPACE & MILITARY TECHNOLOGY -- 1.4%
AlliedSignal, Inc. ..................... 6,700 284,750
BUSINESS SERVICES -- 4.6%
CUC International, Inc.+ ............... 7,400 229,400
Hagemeyer NV............................ 1,000 50,997
Ikon Office Solutions, Inc. ............ 3,200 81,800
Newmont Mining Corp. ................... 3,600 161,775
Rentokil Initial PLC+ .................. 29,500 121,776
Service Corp. International............. 3,400 109,438
United Engineers Bhd. .................. 12,000 38,468
USA Waste Services, Inc.+ .............. 3,000 119,625
MACHINERY -- 3.3%
Danaher Corp. .......................... 6,700 388,600
Teleflex, Inc. ......................... 4,300 148,887
TriMas Corp. ........................... 3,600 109,800
MULTI-INDUSTRY -- 4.6%
Berkshire Hathaway, Inc. ............... 6 268,800
Swire Pacific Ltd., Class A............. 8,000 61,256
Tomkins PLC............................. 45,000 252,518
Tyco International Ltd. ................ 3,173 260,384
Unilever NV............................. 400 85,050
TRANSPORTATION -- 0.4%
Tranz Rail Holdings, Inc. .............. 5,000 82,500
-----------
2,855,824
-----------
INFORMATION & ENTERTAINMENT -- 8.3%
BROADCASTING & MEDIA -- 4.6%
Elsevier NV............................. 3,700 53,726
Interpublic Group of Cos., Inc. ........ 3,050 156,503
Modern Times Group AB+ ................. 1,500 11,862
Reuters Holdings PLC ADR................ 900 64,125
Tribune Co. ............................ 3,700 197,256
Ver Ned Uitgevers....................... 8,600 199,628
Vodafone Group PLC...................... 13,300 71,416
Vodafone Group PLC ADR.................. 3,300 177,375
ENTERTAINMENT PRODUCTS -- 0.7%
Mattel, Inc. ........................... 4,300 142,438
LEISURE & TOURISM -- 3.0%
Carnival Corp., Class A................. 2,900 134,125
Disney (Walt) Co. ...................... 2,600 209,625
Granada Group PLC....................... 7,500 105,881
Hutchison Whampoa Ltd. ................. 9,000 88,686
</TABLE>
----------------
49
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
McDonald's Corp. ....................... 1,500 $ 71,437
-----------
1,684,083
-----------
INFORMATION TECHNOLOGY -- 22.2%
BROADCASTING & MEDIA -- 0.7%
Grupo Lusacell SA, Series D ADR+ ....... 11,200 140,000
COMMUNICATION EQUIPMENT -- 3.3%
3Com Corp.+ ............................ 4,000 205,000
Cisco Systems, Inc.+ ................... 2,400 175,350
Cox Communications, Inc., Class A+ ..... 3,300 90,956
Telecomunicacoes Brasileras SA ADR...... 1,000 128,750
WorldCom, Inc.+ ........................ 4,800 169,800
COMPUTERS & BUSINESS EQUIPMENT -- 2.2%
Automatic Data Processing, Inc. ........ 2,700 135,000
Compaq Computer Corp.+ ................. 300 22,425
Dell Computer Corp.+ ................... 800 77,500
EMC Corp.+ ............................. 800 46,700
Hewlett-Packard Co. .................... 2,300 159,994
ELECTRONICS -- 8.5%
Analog Devices, Inc.+ .................. 3,400 113,900
General Electric Co. ................... 8,400 571,725
Getronics NV+ .......................... 2,800 87,645
Intel Corp. ............................ 2,500 230,781
Linear Technology Corp. ................ 2,700 185,625
Maxim Integrated Products, Inc.+ ....... 2,900 207,169
Molex, Inc. Class A..................... 2,325 94,744
Motorola, Inc. ......................... 1,700 122,187
National Semiconductor Corp.+ .......... 1,700 69,700
Xilinx, Inc.+ .......................... 600 30,375
SOFTWARE -- 6.8%
BMC Software, Inc.+ .................... 4,000 259,000
First Data Corp. ....................... 6,900 259,181
McAfee Associates, Inc.+ ............... 2,800 148,400
Microsoft Corp.+ ....................... 2,100 277,856
Oracle Systems Corp.+ .................. 5,750 209,516
Parametric Technology Corp.+ ........... 4,800 211,800
TELECOMMUNICATIONS -- 0.2%
Ericsson (L.M.) Telecommunications Co.,
Class B ADR............................ 700 33,556
-----------
4,464,635
-----------
MATERIALS -- 1.1%
CHEMICALS -- 0.5%
Great Lakes Chemical Corp. ............. 2,000 98,625
METALS & MINERALS -- 0.6%
Anglo American Platinum Corp. Ltd. ..... 3,800 65,812
Pohang Iron & Steel Co., Ltd. ADR....... 300 7,725
</TABLE>
- ----------------
50
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Rustenburg Platinum Holdings Ltd. ADR... 2,900 $ 50,247
-----------
222,409
-----------
REAL ESTATE -- 1.7%
REAL ESTATE COMPANIES -- 0.5%
Security Capital US Realty+ ............ 7,000 104,300
REAL ESTATE INVESTMENT TRUSTS -- 1.2%
Starwood Lodging Trust.................. 4,100 235,494
-----------
339,794
-----------
UTILITIES -- 1.6%
TELEPHONE -- 1.6%
AT&T Corp. ............................. 2,400 106,350
Telecel-Comunicacaoes Pessoais SA+ ..... 2,100 170,390
Telecom Italia Mobile SpA............... 6,200 24,604
Telecom Italia SpA...................... 4,139 16,101
-----------
317,445
-----------
TOTAL INVESTMENT SECURITIES (cost
$16,724,225)........................... 18,981,345
-----------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 6.9% AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 3.7%
Ciesco L.P. 5.50% due 11/18/97.......... $ 350,000 347,433
Delaware Funding Corp. 5.52% due
10/15/97............................... 274,000 273,412
General Electric Capital Corp. 5.51% due
11/03/97............................... 125,000 124,369
-----------
745,214
-----------
FEDERAL AGENCY OBLIGATIONS -- 3.2%
Federal Home Loan Mortgage Discount
Notes 5.39% due 11/13/97............... 122,000 121,215
Federal Home Loan Mortgage Discount
Notes 5.41% due 10/14/97............... 34,000 33,934
Federal Home Loan Mortgage Discount
Notes 5.44% due 11/13/97............... 90,000 89,415
Federal National Mortgage Association
Discount Notes 5.41% due 10/14/97...... 110,000 109,785
Federal National Mortgage Association
Discount Notes 5.46% due 10/24/97...... 204,000 203,288
Federal National Mortgage Association
Discount Notes 5.46% due 10/29/97...... 69,000 68,707
United States Treasury Bills 4.95% due
11/13/97............................... 26,000 25,846
-----------
652,190
-----------
TOTAL SHORT-TERM SECURITIES (cost
$1,397,404)............................ 1,397,404
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $18,121,629) 101.3 % 20,378,749
Liabilities in excess of other assets
-- (1.3) (263,170)
------ -----------
NET ASSETS -- 100.00% $20,115,579
------ -----------
------ -----------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
See Notes to Financial Statements
----------------
51
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- MULTI- ASSET
MULTI- MANAGED MANAGED MULTI- ALLOCATION:
MANAGED MODERATE INCOME/ MANAGED DIVERSIFIED
GROWTH GROWTH EQUITY INCOME GROWTH STOCK
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................. $13,451,805 $14,108,017 $10,342,564 $ 8,424,961 $ 21,476,069 $18,981,345
Short-term securities*........................... 1,202,000 1,139,000 200,000 25,000 -- 1,397,404
Repurchase agreements (cost equals market)....... 880,000 1,284,000 1,494,000 926,000 2,641,000 --
Cash............................................. 93,925 76,983 31,021 8,070 15,177 793
Foreign currency................................. 7,082 12,217 15,121 19,153 12,888 179
Receivables for --
Sales of investments........................... 158,504 240,572 271,879 293,540 356,489 39,162
Foreign currency contracts..................... 121,387 212,432 257,950 288,291 43,305 35,853
Fund shares sold............................... 84,917 42,333 45,288 34,172 96,525 82,864
Dividends and accrued interest................. 55,028 93,738 98,919 104,621 89,408 27,435
Deferred organizational expenses................. 14,596 14,596 14,596 14,596 14,596 14,596
Due from adviser................................. 6,189 6,183 7,330 7,924 10,661 4,341
Prepaid expenses................................. 125 131 121 78 197 165
Unrealized appreciation on forward foreign
currency
contracts...................................... 95 65 50 30 9,268 --
-------------------------------------------------------------------------------
16,075,653 17,230,267 12,778,839 10,146,436 24,765,583 20,584,137
-------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of investments....................... 854,065 858,916 505,699 404,963 435,837 394,723
Foreign currency contracts..................... 120,961 211,688 257,045 287,280 43,491 36,086
Management fees................................ 10,159 10,201 7,413 5,545 15,408 12,812
Fund shares redeemed........................... 574 616 587 360 984 815
Other accrued expenses........................... 23,033 22,945 20,020 18,378 24,215 24,122
Unrealized depreciation on forward foreign
currency
contracts...................................... 15,252 17,978 17,603 18,049 12,548 --
-------------------------------------------------------------------------------
1,024,044 1,122,344 808,367 734,575 532,483 468,558
-------------------------------------------------------------------------------
NET ASSETS....................................... $15,051,609 $16,107,923 $11,970,472 $ 9,411,861 $ 24,233,100 $20,115,579
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 1,244,273 1,362,068 1,068,831 857,296 2,086,410 1,604,205
Net asset value per share........................ $12.10 $11.83 $11.20 $10.98 $11.61 $12.54
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Capital paid in.................................. $13,414,951 $14,574,353 $11,105,743 $ 8,757,941 $ 21,997,138 $17,565,423
Accumulated undistributed net investment
income......................................... 72,266 114,646 151,137 164,736 185,026 28,458
Accumulated undistributed net realized gain on
investments.................................... 292,582 255,690 121,991 99,379 306,540 264,385
Unrealized appreciation on investments........... 1,286,657 1,180,578 608,448 406,887 1,747,720 2,257,120
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... (14,847) (17,344) (16,847) (17,082) (3,324) 193
-------------------------------------------------------------------------------
$15,051,609 $16,107,923 $11,970,472 $ 9,411,861 $ 24,233,100 $20,115,579
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
- ---------------
* Cost
Investment securities.......................... $12,165,148 $12,927,439 $ 9,734,116 $ 8,018,074 $ 19,728,349 $16,724,225
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Short-term securities.......................... $ 1,202,000 $ 1,139,000 $ 200,000 $ 25,000 $ -- $ 1,397,404
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
- ----------------
52
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED SEPTEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- MULTI- ASSET
MULTI- MANAGED MANAGED MULTI- ALLOCATION:
MANAGED MODERATE INCOME/ MANAGED DIVERSIFIED
GROWTH GROWTH EQUITY INCOME GROWTH STOCK
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Interest............................................ $ 109,832 $ 154,053 $ 183,977 $ 194,521 $ 150,681 $ 29,332
Dividends........................................... 18,541 16,064 10,625 6,053 123,357 73,605
--------------------------------------------------------------------------
Total income*..................................... 128,373 170,117 194,602 200,574 274,038 102,937
--------------------------------------------------------------------------
EXPENSES:
Management fees..................................... 38,709 38,967 30,899 26,033 62,529 52,320
Custodian fees...................................... 14,407 14,374 13,831 13,200 25,236 14,205
Auditing fees....................................... 11,205 11,205 10,175 9,145 12,860 11,830
Reports to investors................................ 4,665 4,725 3,820 2,975 6,855 5,950
Legal fees.......................................... 2,579 2,579 2,491 2,403 2,755 2,623
Amortization of organizational expenses............. 640 640 640 640 640 640
Trustees' fees...................................... 313 313 269 257 570 514
Other expenses...................................... 823 823 823 823 823 823
--------------------------------------------------------------------------
Total expenses before reimbursement............... 73,341 73,626 62,948 55,476 112,268 88,905
Expenses reimbursed by the investment adviser..... (17,234) (18,155) (19,483) (19,638) (23,256) (14,426)
--------------------------------------------------------------------------
Net investment income................................. 72,266 114,646 151,137 164,736 185,026 28,458
--------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain on investments.................... 289,667 248,776 114,736 89,716 301,569 268,785
Net realized foreign exchange gain (loss) on
other assets and liabilities...................... 2,915 6,914 7,255 9,663 4,971 (4,400)
Change in unrealized appreciation/depreciation
on investments.................................... 1,286,657 1,180,578 608,448 406,887 1,747,720 2,257,120
Change in unrealized foreign exchange gain/loss
on other assets and liabilities................... (14,847) (17,344) (16,847) (17,082) (3,324) 193
--------------------------------------------------------------------------
Net realized and unrealized gain (loss) on investments
and foreign currencies.............................. 1,564,392 1,418,924 713,592 489,184 2,050,936 2,521,698
--------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........................... $1,636,658 $1,533,570 $ 864,729 $ 653,920 $2,235,962 $2,550,156
--------------------------------------------------------------------------
--------------------------------------------------------------------------
- ---------------
* Net of foreign withholding taxes on interest and
dividends of........................................ $ 327 $ 255 $ 146 $ 53 $ 3,622 $ 2,519
--------------------------------------------------------------------------
--------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
----------------
53
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED SEPTEMBER 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- MULTI- ASSET
MULTI- MANAGED MANAGED MULTI- ALLOCATION:
MANAGED MODERATE INCOME/ MANAGED DIVERSIFIED
GROWTH GROWTH EQUITY INCOME GROWTH STOCK
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income............................. $ 72,266 $ 114,646 $ 151,137 $ 164,736 $ 185,026 $ 28,458
Net realized gain on investments.................. 289,667 248,776 114,736 89,716 301,569 268,785
Net realized foreign exchange gain (loss) on
other assets and liabilities.................... 2,915 6,914 7,255 9,663 4,971 (4,400)
Change in unrealized appreciation/depreciation
on investments.................................. 1,286,657 1,180,578 608,448 406,887 1,747,720 2,257,120
Change in unrealized foreign exchange gain/loss
on other assets and liabilities................. (14,847) (17,344) (16,847) (17,082) (3,324) 193
------------------------------------------------------------------------------
Net increase in net assets resulting from
operations...................................... 1,636,658 1,533,570 864,729 653,920 2,235,962 2,550,156
------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold......................... 13,642,629 14,749,732 11,180,065 8,816,050 22,190,929 18,345,542
Cost of shares repurchased........................ (227,678) (175,379) (74,322) (58,109) (193,791) (780,119)
------------------------------------------------------------------------------
Net increase in net assets resulting from capital
share transactions.............................. 13,414,951 14,574,353 11,105,743 8,757,941 21,997,138 17,565,423
------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS...................... 15,051,609 16,107,923 11,970,472 9,411,861 24,233,100 20,115,579
NET ASSETS:
Beginning of period............................... 0 0 0 0 0 0
------------------------------------------------------------------------------
End of period..................................... $15,051,609 $16,107,923 $11,970,472 $9,411,861 $ 24,233,100 $20,115,579
------------------------------------------------------------------------------
------------------------------------------------------------------------------
- ---------------
Accumulated undistributed net investment income... $ 72,266 $ 114,646 $ 151,137 $ 164,736 $ 185,026 $ 28,458
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Shares issued and repurchased:
Sold.............................................. 1,263,766 1,377,322 1,075,680 862,751 2,103,707 1,670,466
Repurchased....................................... (19,493) (15,254) (6,849) (5,455) (17,297) (66,261)
------------------------------------------------------------------------------
Net increase...................................... 1,244,273 1,362,068 1,068,831 857,296 2,086,410 1,604,205
------------------------------------------------------------------------------
------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
- ----------------
54
<PAGE>
- ----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF BUSINESS: Seasons Series Trust ("the Trust"), organized as a
Massachusetts business trust on October 10, 1995, is an open-end, management
investment company. It was established to provide a funding medium for certain
annuity contracts issued by Variable Annuity Account Five (the "Account"), a
separate account of Anchor National Life Insurance Company (the "Life Company"),
organized under the laws of the state of Arizona.
The Trust currently issues six separate series of shares ("Portfolios"), each of
which represents a separate managed portfolio of securities with its own
investment objective. All shares may be purchased or redeemed by the Account at
net asset value without any sales or redemption charge.
The investment objectives for each portfolio are as follows:
The MULTI-MANAGED GROWTH PORTFOLIO seeks long-term growth of capital.
The MULTI-MANAGED MODERATE GROWTH PORTFOLIO seeks long-term growth of capital,
with capital preservation as a secondary objective.
The MULTI-MANAGED INCOME/EQUITY PORTFOLIO seeks conservation of principal while
maintaining some potential for long-term growth of capital.
The MULTI-MANAGED INCOME PORTFOLIO seeks capital preservation.
The ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO seeks capital appreciation.
The STOCK PORTFOLIO seeks long-term capital appreciation, and secondarily,
increasing dividend income through investments primarily in well-established
growth companies.
SunAmerica Asset Management Corp. ("SunAmerica" or the "Adviser"), an indirect,
wholly owned subsidiary of the Life Company, serves as investment adviser for
all the Portfolios of the Trust. Janus Capital Corporation ("Janus") and
Wellington Management Company, LLP ("WMC") both serve as subadvisers for each of
the Multi-Managed Portfolios. Each of Janus and WMC is responsible for managing
one particular portion of the assets (each, a "Managed Component" or
"component") of each of the Multi-Managed Portfolios, subject to the supervision
of SunAmerica. Putnam Investment Management, Inc. ("Putnam") serves as
subadviser for the Asset Allocation: Diversified Growth Portfolio and will be
responsible for managing the Portfolio, subject to the supervision of
SunAmerica. T. Rowe Price Associates, Inc. ("T. Rowe Price") serves as
subadviser for the Stock Portfolio and will be responsible for managing the
Portfolio, subject to the supervision of SunAmerica. (Janus, WMC, Putnam and T.
Rowe Price are referred to herein individually as a "Subadviser," and
collectively as the "Subadvisers.") In addition to being responsible for overall
supervision of each Portfolio, SunAmerica manages one or more particular
components of each of the Multi-Managed Portfolios.
Each Multi-Managed Portfolio is organized as a "non-diversified" Portfolio of
the Trust (as such term is defined under the Investment Company Act of 1940, as
amended), subject, however, to certain tax diversification requirements.
Investments in each Multi-Managed Portfolio (and redemption requests) will be
allocated among the Managed Components of such Portfolio as described in the
chart below. The Trust expects that differences in investment returns among the
Managed Components of a Multi-Managed Portfolio will cause the actual percentage
of the Portfolio's assets allocated to each component to vary from the target
allocation over the course of a calendar quarter. Accordingly, the assets of
each Multi-Managed Portfolio will be reallocated or "rebalanced" among the
Managed Components on at least a quarterly basis to restore the target
allocations for such Portfolio.
<TABLE>
<CAPTION>
Managed Components As a Target Percentage
of each Multi-Managed Portfolio
--------------------------------------------------------------
SunAmerica/ WMC/
Aggressive Janus/ SunAmerica/ Fixed
Growth Growth Balanced Income
PORTFOLIO component component component component
- --------------- --------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
Multi-Managed
Growth
Portfolio 20% 40% 20% 20%
Multi-Managed
Moderate
Growth
Portfolio 18% 28% 18% 36%
Multi-Managed
Income/
Equity
Portfolio 0% 18% 28% 54%
Multi-Managed
Income
Portfolio 0% 8% 17% 75%
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES: The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from these estimates.
In the opinion of management of the Trust, the accompanying financial statements
contain all normal and recurring adjustments
55
<PAGE>
necessary for the fair presentation of the financial position of the Trust at
September 30, 1997, and the results of its operations, the changes in its net
assets and its financial highlights for the period then ended. The following is
a summary of the significant accounting policies consistently followed by the
Trust in the preparation of its financial statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales prices
reported on recognized securities exchanges or, for listed securities having no
sales reported and for unlisted securities, upon last-reported bid prices.
Nonconvertible bonds, debentures, other long-term debt securities, and
short-term securities with original or remaining maturities in excess of 60 days
are valued at prices obtained for the day of valuation from a bond pricing
service of a major dealer in bonds when such prices are available; however, in
circumstances where the investment adviser deems it appropriate to do so, an
over-the-counter or exchange quotation at the mean of representative bid or
asked prices may be used. Securities traded primarily on securities exchanges
outside the United States are valued at the last sale price on such exchanges on
the day of valuation, or if there is no sale on the day of valuation, at the
last reported bid price. If a security's price is available from more than one
foreign exchange, a portfolio uses the exchange that is the primary market for
the security. Futures contracts are valued at the last sale price established
each day by the board of trade or exchange on which they are traded. Short-term
securities with 60 days or less to maturity are amortized to maturity based on
their cost to the Trust if acquired within 60 days of maturity or, if already
held by the Trust on the 60th day, are amortized to maturity based on the value
determined on the 61st day. Securities for which quotations are not readily
available are valued at fair value as determined in good faith under the
direction of the Trust's Trustees.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are maintained
in U.S. dollars. Assets and liabilities denominated in foreign currencies and
commitments under forward foreign currency contracts are translated into U.S.
dollars at the mean of the quoted bid and asked prices of such currencies
against the U.S. dollar.
The Trust does not isolate that portion of the results of operations arising as
a result of changes in the foreign exchange rates from the changes in the market
prices of securities held at fiscal year-end. Similarly, the Trust does not
isolate the effect of changes in foreign exchange rates from the changes in the
market prices of portfolio securities sold during the year.
Realized foreign exchange gains and losses on other assets and liabilities and
change in unrealized foreign exchange gains and losses on other assets and
liabilities include realized foreign exchange gains and losses from currency
gains or losses between the trade and settlement dates of securities
transactions, the difference between the amounts of interest, dividends and
foreign withholding taxes recorded on the Trust's books and the U.S. dollar
equivalent amounts actually received or paid and changes in the unrealized
foreign exchange gains and losses relating to the other assets and liabilities
arising as a result of changes in the exchange rate.
SECURITIES TRANSACTIONS, INVESTMENT INCOME, EXPENSES, DIVIDENDS AND
DISTRIBUTIONS TO SHAREHOLDERS: As is customary in the mutual fund industry,
securities transactions are recorded on a trade date basis. Interest income is
accrued daily except when collection is not expected. Dividend income is
recorded on the ex-dividend date except for certain dividends from foreign
securities, which are recorded as soon as the Trust is informed after the
ex-dividend date. The Trust amortizes premiums and accretes discounts on fixed
income securities, as well as those original issue discounts for which
amortization is required for federal income tax purposes; gains and losses
realized upon the sale of such securities are based on their identified cost.
Portfolios which earn foreign income and capital gains may be subject to foreign
withholding taxes at various rates.
Common expenses incurred by the Trust are allocated among the Portfolios based
upon relative net assets or other appropriate allocation methods. In all other
respects, expenses are charged to each Portfolio as incurred on a specific
identification basis.
Dividends from net investment income and capital gain distributions, if any, are
paid annually.
ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with the
organization and registration of the Trust amounted to $91,413. Organizational
expenses are amortized on a straight line basis by each applicable Portfolio of
the Trust over the period of benefit not to exceed 60 months from the date the
respective Portfolio commenced operations.
3. OPERATING POLICIES:
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the collateral
pledged for investments in repurchase agreements ("repo" or collectively
"repos"). The underlying collateral is valued daily on a mark-to-market basis to
assure that the value, including accrued interest, is at least equal to the
repurchase price. In the event of default of the obligation to repurchase, the
Trust has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. If the seller defaults and the value of the
collateral declines or if bankruptcy proceedings are commenced with respect to
the seller of the security,
56
<PAGE>
realization of the collateral by the Trust may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange Commission,
the Portfolios are permitted to participate in joint repo transactions with
other affiliated investment companies.
As of September 30, 1997, the Multi-Managed Growth, Multi-Managed Moderate
Growth, Multi-Managed Income/Equity, and Multi-Managed Income Portfolios had a
.5%, .5%, .7%, and .1% undivided interest, respectively, which represented
$495,000, $444,000, $674,000, and $91,000, respectively, in principal amount in
a joint repo with PaineWebber, Inc. In addition, the Portfolios had .4%, .8%,
.8%, and .8% undivided interest, respectively, which represented $385,000,
$840,000, $820,000, and $835,000, respectively, in principal amount in a joint
repo with Lehman Brothers, Inc. As of such date the repos in the joint accounts
and the collateral therefore were as follows:
PaineWebber, Inc., bearing interest of 5.90% dated 9/30/97, in the principal
amount of $98,661,000 repurchase price $98,667,169 due 10/01/97 collateralized
by $50,000,000 U.S. Treasury Notes 6.25% due 4/30/01, $7,930,000 U.S. Treasury
Notes 7.375% due 11/15/97, $26,830,000 U.S. Treasury Bonds 11.25% due 2/15/15,
approximate aggregate value $100,662,448.
Lehman Brothers, Inc., bearing interest of 6.04% dated 9/30/97, in the principal
amount of $100,970,000 repurchase price $100,986,941 due 10/01/97 collateralized
by $222,305,000 U.S. Treasury Strip Bonds due 5/15/09, approximate aggregate
value $106,639,709.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
foreign currency contracts ("forward contracts") to attempt to protect
securities and related receivables and payables against changes in future
foreign exchange rates or to enhance return. A forward contract is an agreement
between two parties to buy or sell currency at a set price on a future date. The
market value of the contract will fluctuate with changes in currency exchange
rates. The contract is marked to market daily using the forward rate and the
change in market value is recorded by the Portfolio as unrealized gain or loss.
On settlement date, the Portfolio records either realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Risks may
arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
Forward contracts involve elements of risk in excess of the amounts reflected in
the Statement of Assets and Liabilities. The Trust bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
4. PORTFOLIO SECURITIES: The Trust intends to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable income, including any net realized gains on
investments, to its shareholders. Therefore, no federal tax provision is
required.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities, including short-term securities at September 30, 1997, were as
follows:
<TABLE>
<CAPTION>
MULTI- MULTI-
MULTI- MANAGED MANAGED
MANAGED MODERATE INCOME/
GROWTH GROWTH EQUITY
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 14,247,148 $ 15,350,439 $ 11,428,116
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 1,382,656 $ 1,252,402 $ 647,630
Aggregate unrealized
(loss)........................... (95,999) (71,824) (39,182)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 1,286,657 $ 1,180,578 $ 608,448
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 8,969,074 $ 22,369,349 $ 18,121,629
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 429,601 $ 1,885,954 $ 2,400,819
Aggregate unrealized
(loss)........................... (22,714) (138,234) (143,699)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 406,887 $ 1,747,720 $ 2,257,120
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
5. MANAGEMENT OF THE TRUST: The Trust, on behalf of each Portfolio, entered
into an Investment Advisory and Management Agreement (the "Management
Agreement") with SunAmerica to handle the Trust's day-to-day affairs, to provide
investment advisory services, office space, and other facilities for the
management of the affairs of the Trust, and to pay the compensation of certain
officers of the Trust who are affiliated persons of SunAmerica.
Pursuant to the Management Agreement entered into between the Adviser and the
Trust, on behalf of each Portfolio, each Portfolio pays the Adviser a fee,
payable monthly, computed daily at the annual rates of .89% of average daily net
assets ("Assets") for the Multi-Managed Growth Portfolio, .85% of Assets for the
Multi-Managed Moderate Growth Portfolio, .81% of Assets for the Multi-
57
<PAGE>
Managed Income/Equity Portfolio, .77% of Assets for the Multi-Managed Income
Portfolio, .85% of Assets for the Asset Allocation: Diversified Growth Portfolio
and .85% of Assets for the Stock Portfolio.
The Management Agreement authorizes SunAmerica to retain one or more subadvisers
to make the investment decisions for the Portfolios, and to place the purchase
and sale orders for portfolio transactions. The organizations below serve as
Subadvisers to the portfolios pursuant to Subadvisory Agreements with
SunAmerica. Each of the Subadvisers is independent of SunAmerica and discharges
its responsibilities subject to the policies of the Trustees and the oversight
and supervision of SunAmerica, which pays the Subadvisers' fees. All Subadvisory
fees are payable by the Adviser to the respective Subadviser and do not increase
Portfolio expenses.
Each Subadviser is paid monthly by SunAmerica a fee equal to a percentage of the
Assets of the Portfolio allocated to the Subadviser. SunAmerica has agreed to
pay Janus a composite fee of .60% on the first $200 million and .55% on Assets
over $200 million, and WMC a composite fee of .225% on the first $100 million,
.125% on the next $100 million and .10% on Assets over $200 million, in each
case based on the aggregate Assets it manages in the four Multi-Managed
Portfolios. In addition, SunAmerica has agreed to pay each of Putnam and T. Rowe
Price a fee at the following annual rates, expressed as a percentage of the
Assets of the respective Portfolio: with regard to the Asset Allocation:
Diversified Growth Portfolio, .55% on the first $150 million, .50% on the next
$150 million, and .40% on Assets over $300 million; and Stock Portfolio, .50% on
the first $40 million, and .40% on Assets over $40 million.
The Adviser has voluntarily agreed to waive fees or reimburse expenses, if
necessary, to keep annual operating expenses at or below the following
percentages of each of the Portfolio's Assets: Multi-Managed Growth Portfolio,
1.29%; Multi-Managed Moderate Growth Portfolio, 1.21%; Multi-Managed
Income/Equity Portfolio, 1.14%; Multi-Managed Income Portfolio, 1.06%; Asset
Allocation: Diversified Growth Portfolio, 1.21%; and Stock Portfolio, 1.21%. The
Adviser also may voluntarily waive or reimburse additional amounts to increase
the investment return to a Portfolio's investors. The Adviser may terminate all
such waivers and/or reimbursements at any time. Further, any waivers or
reimbursements made by the Adviser with respect to a Portfolio are subject to
recoupment from that Portfolio within the following two years, provided that the
Portfolio is able to effect such payment to the Adviser and remain in compliance
with the foregoing expense limitations.
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the period ended September 30, 1997 was as
follows:
<TABLE>
<CAPTION>
MULTI- MULTI-
MULTI- MANAGED MANAGED
MANAGED MODERATE INCOME/
GROWTH GROWTH EQUITY
------------- ------------- -------------
<S> <C> <C> <C>
Purchases of portfolio
securities....................... $ 15,823,504 $ 16,544,203 $ 11,270,130
Sales of portfolio
securities....................... 4,518,540 4,316,550 1,731,006
U.S. government securities included
above were as follows:
Purchases of U.S. government
securities....................... 2,697,000 4,254,847 5,334,902
Sales of U.S. government
securities....................... 207,615 178,439 442,347
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK
------------- ------------- -------------
<S> <C> <C> <C>
Purchases of portfolio
securities....................... $ 10,151,655 $ 34,210,203 $ 18,577,015
Sales of portfolio securities...... 2,182,278 14,730,474 2,282,000
U.S. government securities included
above were as follows:
Purchases of U.S. government
securities....................... 5,647,308 13,703,233 --
Sales of U.S. government
securities....................... 1,241,237 10,876,718 --
</TABLE>
58
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
DIVIDENDS
DECLARED DIVIDENDS NET NET
NET ASSET NET REALIZED & FROM NET FROM NET ASSET ASSETS
VALUE NET UNREALIZED TOTAL FROM INVEST- REALIZED VALUE END OF
PERIOD BEGINNING INVESTMENT GAIN(LOSS) ON INVESTMENT MENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME(1)(2) INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN(3) (000'S)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
9/30/97(5) $10.00 $0.10 $2.00 $2.10 -- -- $12.10 21.00% $15,052
Multi-Managed Moderate Growth Portfolio
4/15/97-
9/30/97(5) 10.00 0.14 1.69 1.83 -- -- 11.83 18.30 16,108
Multi-Managed Income/Equity Portfolio
4/15/97-
9/30/97(5) 10.00 0.22 0.98 1.20 -- -- 11.20 12.00 11,970
Multi-Managed Income Portfolio
4/15/97-
9/30/97(5) 10.00 0.27 0.71 0.98 -- -- 10.98 9.80 9,412
Asset Allocation: Diversified Growth Portfolio
4/15/97-
9/30/97(5) 10.00 0.14 1.47 1.61 -- -- 11.61 16.10 24,233
Stock Portfolio
4/15/97-
9/30/97(5) 10.00 0.03 2.51 2.54 -- -- 12.54 25.40 20,116
<CAPTION>
- ----------
----------------------------------------------------
RATIO OF NET
RATIO OF INVESTMENT AVERAGE
EXPENSES TO INCOME TO COMMISSION
PERIOD AVERAGE NET AVERAGE NET PORTFOLIO PER
ENDED ASSETS ASSETS TURNOVER SHARE(4)
- ----------
----------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
9/30/97(5) 1.29%(6)(7) 1.66%(6)(7) 63% $.0505
Multi-Managed Moderate Growth Portfolio
4/15/97-
9/30/97(5) 1.21(6)(7) 2.50(6)(7) 58 .0477
Multi-Managed Income/Equity Portfolio
4/15/97-
9/30/97(5) 1.14(6)(7) 3.96(6)(7) 29 .0482
Multi-Managed Income Portfolio
4/15/97-
9/30/97(5) 1.06(6)(7) 4.87(6)(7) 38 .0578
Asset Allocation: Diversified Growth Portfolio
4/15/97-
9/30/97(5) 1.21(6)(7) 2.52(6)(7) 113 .0306
Stock Portfolio
4/15/97-
9/30/97(5) 1.21(6)(7) 0.46(6)(7) 20 .0327
</TABLE>
- ----------------------------------
(1) Calculated based upon average shares outstanding
(2) After fee waivers and expense reimbursements by the investment adviser
(3) Total return is not annualized and does not reflect expenses that apply to
the separate accounts of Anchor National Life Insurance Company. If such
expenses had been included, total return would have been lower for each
period presented.
(4) The average commission per share is derived by dividing the agency
commissions paid on equity securities trades by the number of shares
purchased or sold.
(5) Unaudited
(6) Annualized
(7) During the period April 15, 1997 (commencement of operations) through
September 30, 1997, the investment adviser waived a portion of or all fees
and assumed a portion of or all expenses for the Portfolios. If all fees and
expenses had been incurred by the Portfolios, the ratio of expenses to
average net assets and the ratio of net investment income to average net
assets would have been as follows:
<TABLE>
<CAPTION>
EXPENSES (6) NET INVESTMENT INCOME (6)
------------ -------------------------
<S> <C> <C>
Multi-Managed Growth Portfolio.................... 1.69% 1.26%
Multi-Managed Moderate Growth Portfolio........... 1.61 2.10
Multi-Managed Income/Equity Portfolio............. 1.65 3.45
Multi-Managed Income Portfolio.................... 1.64 4.29
Asset Allocation: Diversified Growth Portfolio.... 1.53 2.20
Stock Portfolio................................... 1.44 0.23
</TABLE>
See Notes to Financial Statements
----------------
59
<PAGE>
J-1906-SAR (11/97)
