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SEASONS SERIES TRUST
[LOGO]
Semiannual Report
SEPTEMBER 30, 1998
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DEAR INVESTOR:
We are pleased to present the 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 six months from March 31,
1998, to September 30, 1998. During the market volatility of this period,
SEASONS' emphasis on performance AND risk management helped to provide solid
performance for investors.
For a better understanding of the state of the economy, we have included an
overview of the global, U.S. equity and U.S. fixed income markets over the past
six months, as well as comments from SEASONS' five world-class money managers:
Putnam Investment Management, Inc., T. Rowe Price Associates, Inc., Janus
Capital Corporation, SunAmerica Asset Management Corp., and Wellington
Management Company, LLP.
GLOBAL MARKET OVERVIEW
Strong economic growth and low interest rates in the U.S. helped the S&P 500
move to record highs by mid-July, while many European markets also rallied to
new highs in light of the potential benefits of European Monetary Union (EMU).
However, general sentiment toward developed equity markets turned sharply
negative in mid-summer, triggered by continuing economic problems in Japan,
default by Russia on government debt, and concerns over Brazil and other Latin
American economies. Developed market government bonds, on the other hand, soared
as investors scrambled for safe-haven investments, causing yields to fall to
all-time lows.
Outlook from Putnam Investment Management
"WE REMAIN CONVINCED THAT U.S. AND EUROPEAN ECONOMIES ARE NOT HEADED FOR
RECESSION. THE BALANCE OF RISK HAS SHIFTED, BY THE FED'S OWN ADMISSION,
FROM THE RISK OF STRONGER GROWTH AND INFLATION TO THE RISK OF A SLOWDOWN
AND A GLOBAL CREDIT CRUNCH. WITH THIS IN MIND, THE FED APPEARS POISED
FOR FURTHER REDUCTIONS IN INTEREST RATES, WHICH SHOULD SEND A STRONG AND
REASSURING MESSAGE TO MARKETS."
U.S. EQUITY MARKET OVERVIEW
Domestic markets initially built on the impressive gains from earlier in the
year, reaching their peak in mid-July. However, this rally was within a
relatively narrow range, led by gains in only a handful of large blue-chip
companies. Meanwhile, the broader market, particularly small- and midsize
stocks, continued a correction that began in May. Amid the growing turmoil, even
the market stalwarts succumbed to selling pressures late in the period as
investors reacted to fears that a global economic slowdown could depress
corporate earnings. These fears reached a pinnacle on August 31st, and the Dow
Jones fell 517 points--its third largest point drop ever.
September provided limited relief, with markets gaining some ground against a
backdrop of benign inflation, declining long-term interest rate cuts, and
anticipation of a Federal Reserve interest rate cut. Investors rewarded
companies with strong earnings growth but severely punished companies that
missed their numbers. Responding to the heightened global uncertainty, the
Federal Reserve cut interest rates by 25 basis points. However, this move was
smaller than anticipated, and the markets ended the period on a negative note.
Outlook from SunAmerica Asset Management Corp.
"WE BELIEVE THE OUTLOOK FOR THE ECONOMY CONTINUES TO BE POSITIVE, EVEN
IN THE FACE OF CONTINUED UNCERTAINTIES. THE ECONOMY OF THE U.S. REMAINS
ON TRACK, MARKED BY LOW INFLATION, CONSISTENT--ALBEIT MODEST--CORPORATE
PROFIT GROWTH, AND A BUDGET SURPLUS. AS WE LOOK TO THE COMING YEAR, IT
IS OUR CONTENTION THAT THE U.S. WILL NOT ENTER A RECESSION IN 1999. AND,
WITH A MORE PROACTIVE FED, WE FEEL INCREASINGLY CONFIDENT THAT A LOW IN
THE STOCK MARKET HAS BEEN SEEN."
Outlook from Janus Capital Corporation
"LOOKING AHEAD, WE THINK THE ONE CERTAINTY FOR FINANCIAL MARKETS IS
CONTINUED VOLATILITY. THERE IS ALSO NO QUESTION THAT MANY COMPANIES WILL
SEE THEIR EARNINGS IMPACTED IN THIS ENVIRONMENT. HOWEVER, LOWER INTEREST
RATES WILL PROVIDE A POWERFUL BACKDROP FOR STOCKS OF COMPANIES THAT CAN
CONTINUE TO GROW THEIR EARNINGS. WHILE THE COMING PERIOD WILL BE
CHALLENGING, IT IS PRECISELY THE KIND OF ENVIRONMENT THAT TESTS A STOCK
PICKER'S ABILITIES AND ONE IN WHICH WE AT JANUS BELIEVE WE CAN ADD
VALUE."
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Outlook from T. Rowe Price Associates, Inc.
"WE DO NOT BELIEVE INVESTORS SHOULD BECOME OVERLY PESSIMISTIC, BUT
RATHER THAT THEY SHOULD BE PATIENT AND MODERATE THEIR EXPECTATIONS FOR
FUTURE EQUITY RETURNS. WE ARE CONFIDENT THAT EQUITY MARKETS WILL
EVENTUALLY REGAIN THEIR FOOTING AND THAT OUR FUNDS ARE WELL POSITIONED
FOR POTENTIAL LONG-TERM GROWTH."
U.S. FIXED INCOME MARKET OVERVIEW
A late-period Treasury rally was supported by low inflation, slowing growth, and
the substantial problems overseas, which provoked a flight to quality. All
spread sectors ended the period lagging Treasuries as investors--voluntarily or
not--unwound their positions in mortgages and corporate bonds, and especially in
U.S. high yield debt.
Outlook from Wellington Management Company
"WE PLAN TO CAREFULLY MONITOR THE FOREIGN POLITICAL AND ECONOMIC TRENDS,
BUT AT THIS POINT, WE EXPECT ONLY A MANAGEABLE SLOWDOWN--NOT THE MASSIVE
DETERIORATION IN THE U.S. ECONOMY THAT CURRENT TREASURY PRICES IMPLY."
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 recent volatility in the markets, it is reassuring to
remember that the SEASONS VARIABLE ANNUITY offers automatic asset allocation and
quarterly 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, a subsidiary of SunAmerica,
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, 1998
(UNAUDITED)
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COMMON STOCK -- 63.1% SHARES VALUE
<S> <C> <C>
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CONSUMER DISCRETIONARY -- 4.2%
APPAREL & TEXTILES -- 0.6%
Gerber Childrenswear, Inc.+ ............ 2,100 $ 16,669
Mohawk Industries, Inc.+ ............... 4,800 131,400
Movado Group, Inc. ..................... 3,000 63,000
Oakley, Inc.+ .......................... 7,000 67,375
AUTOMOTIVE -- 0.6%
Federal-Mogul Corp. .................... 3,225 150,769
Ford Motor Co. ......................... 1,000 46,938
General Motors Corp. ................... 1,000 54,687
HOUSING -- 0.0%
Krause's Furniture, Inc.+ .............. 3,600 4,275
RETAIL -- 3.0%
Abercrombie & Fitch Co.+@ .............. 3,300 145,200
Amazon.com, Inc.+ ...................... 995 111,067
CDnow, Inc.+ ........................... 2,600 23,400
Costco Cos., Inc.+ ..................... 3,155 149,468
CVS Corp. .............................. 2,700 118,294
Dayton Hudson Corp. .................... 1,700 60,775
Elder-Beerman Stores Corp.+ ............ 4,100 71,237
Federated Department Stores, Inc.+ ..... 900 32,738
Gap, Inc. .............................. 2,900 152,975
Home Depot, Inc. ....................... 4,600 181,700
Mac-Gray Corp.+ ........................ 4,500 40,500
Office Depot, Inc.+ .................... 2,200 49,362
Restoration Hardware, Inc.+ ............ 1,300 26,813
Sunglass Hut International, Inc.+ ...... 5,000 28,750
U.S. Vision, Inc.+ ..................... 3,000 25,125
Wal-Mart Stores, Inc. .................. 2,900 158,412
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1,910,929
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CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Philip Morris Cos., Inc. ............... 1,700 78,306
UST, Inc. .............................. 600 17,738
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. .................. 700 47,950
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143,994
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COMMON STOCK (CONTINUED) SHARES VALUE
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ENERGY -- 1.6%
ENERGY SERVICES -- 0.6%
Schlumberger Ltd. ...................... 1,000 $ 50,312
Transocean Offshore, Inc. .............. 6,145 213,155
ENERGY SOURCES -- 1.0%
Chevron Corp. .......................... 1,000 84,062
Enron Corp. ............................ 900 47,531
Exxon Corp. ............................ 800 56,150
Mobil Corp. ............................ 500 37,969
Ocean Rig ASA+ ....................(NOK) 117,089 46,399
Royal Dutch Petroleum Co. .............. 1,400 66,675
Smith International, Inc.+ ............. 3,600 98,775
Texaco, Inc. ........................... 800 50,150
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751,178
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FINANCE -- 5.9%
BANKS -- 2.3%
Ambanc Holding Co., Inc. ............... 325 4,225
Bank of New York Co., Inc. ............. 10,390 284,426
Chase Manhattan Corp. .................. 800 34,600
Citicorp ............................... 250 23,234
Crestar Financial Corp. ................ 675 38,306
First Union Corp. ...................... 700 35,831
Firstar Corp. .......................... 1,575 79,734
Golden State Bancorp, Inc.+ ............ 1,600 31,900
Hamilton Bancorp, Inc.+ ................ 1,600 41,700
Hibernia Corp., Class A ................ 2,500 36,094
Mellon Bank Corp. ...................... 1,000 55,063
NationsBank Corp. ...................... 680 36,380
Star Banc Corp. ........................ 2,245 148,451
Summit Bancorp. ........................ 1,350 50,625
U.S. Bancorp ........................... 4,170 148,296
FINANCIAL SERVICES -- 2.4%
American Express Co. ................... 900 69,862
American General Corp. ................. 700 44,713
Associates First Capital Corp., Class
A .................................... 4,140 270,135
Capital One Financial Corp. ............ 1,000 103,500
Equitable Cos., Inc. ................... 700 28,963
Federal National Mortgage
Association .......................... 800 51,400
Fleet Financial Group, Inc. ............ 2,100 154,219
HealthCare Financial Partners, Inc.+ ... 1,800 75,600
Household International, Inc. .......... 1,000 37,500
Morgan Stanley, Dean Witter & Co. ...... 400 17,225
Newcourt Credit Group, Inc. ............ 2,475 64,659
PaineWebber Group, Inc. ................ 900 27,000
Providian Financial Corp. .............. 1,000 84,812
Raymond James Financial, Inc. .......... 1,300 27,300
Travelers Group, Inc. .................. 900 33,750
INSURANCE -- 1.2%
Aetna, Inc. ............................ 300 20,850
Allstate Corp. ......................... 1,400 58,362
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Annuity & Life Re Holdings Ltd.+ ....... 2,100 $ 41,475
Chubb Corp. ............................ 300 18,900
Reliance Group Holdings, Inc. .......... 4,000 56,250
The Hartford Financial Services Group,
Inc. ................................. 800 37,950
UNUM Corp. ............................. 6,715 333,652
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2,706,942
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HEALTHCARE -- 10.6%
DRUGS -- 7.7%
Abbott Laboratories, Inc. .............. 800 34,750
ALZA Corp.+ ............................ 9,935 430,931
Amgen, Inc.+ ........................... 900 68,006
Biogen, Inc.+ .......................... 1,100 72,394
Bristol-Myers Squibb Co. ............... 500 51,938
Centocor, Inc.+ ........................ 8,245 326,708
Eli Lilly & Co. ........................ 6,675 522,736
Merck & Co., Inc. ...................... 600 77,737
Pfizer, Inc. ........................... 6,050 640,922
Pharmacia & Upjohn, Inc. ............... 4,085 205,016
Sepracor, Inc.+@ ....................... 1,000 65,750
Warner-Lambert Co. ..................... 13,865 1,046,807
HEALTH SERVICES -- 1.2%
IMS Health, Inc. ....................... 5,490 340,037
Omnicare, Inc. ......................... 3,904 137,616
Sunrise Assisted Living, Inc.+ ......... 1,000 34,312
Vision Twenty-One, Inc.+ ............... 500 3,469
MEDICAL PRODUCTS -- 1.7%
ADAC Laboratories ...................... 1,400 33,600
Allegiance Corp. ....................... 1,000 29,750
Baxter International, Inc. ............. 1,000 59,500
Johnson & Johnson ...................... 800 62,600
Medaphis Corp.+ ........................ 8,200 36,900
MedImmune, Inc.+ ....................... 1,800 116,550
Nanogen, Inc.+ ......................... 4,500 16,453
Schering-Plough Corp. .................. 600 62,138
Sofamor Danek Group, Inc.+ ............. 4,140 368,460
United States Surgical Corp. ........... 125 5,211
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4,850,291
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INDUSTRIAL & COMMERCIAL -- 4.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Orbital Sciences Corp.+ ................ 2,855 80,118
BUSINESS SERVICES -- 2.4%
Apollo Group, Inc., Class A+ ........... 2,490 69,409
Caliber Learning Network, Inc.+ ........ 3,050 18,491
D.R. Horton, Inc. ...................... 2,700 43,200
Delta & Pine Land Co. .................. 3,640 160,160
DSET Corp.+ ............................ 6,600 56,100
</TABLE>
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3
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COMMON STOCK (CONTINUED) SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
HA-LO Industries, Inc.+ ................ 4,100 $ 119,925
ITT Educational Services, Inc.+ ........ 3,100 99,200
Paychex, Inc. .......................... 2,200 113,437
RCM Technologies, Inc.+ ................ 4,700 69,325
Service Corp. International ............ 1,000 31,875
Storage Technology Corp.+ .............. 1,700 43,244
Sylvan Learning Systems, Inc.+ ......... 3,500 81,813
Technology Solutions Co.+ .............. 3,805 42,806
The Kroll O'Gara Co.+ .................. 3,900 91,162
Waste Management, Inc.+ ................ 1,100 52,869
MACHINERY -- 0.1%
United Technologies Corp. .............. 900 68,794
MULTI-INDUSTRY -- 1.3%
Raisio Group PLC ....................... 9,708 141,291
Republic Industries, Inc.+ ............. 1,400 20,387
Tyco International Ltd. ................ 8,360 461,890
TRANSPORTATION -- 0.2%
Atlas Air, Inc.+ ....................... 1,200 34,425
Burlington Northern Santa Fe Corp. ..... 1,200 38,400
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1,938,321
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INFORMATION & ENTERTAINMENT -- 8.4%
BROADCASTING & MEDIA -- 7.2%
Cablevision Systems Corp., Class A+ .... 2,900 125,244
Capstar Broadcasting Corp., ClassA+ .... 635 9,803
Chancellor Media Corp.+ ................ 4,860 162,203
Cinar Films, Inc., Class B+ ............ 3,600 64,575
Cox Communications, Inc., Class A+ ..... 4,695 256,464
DoubleClick, Inc.+ ..................... 1,800 42,975
Jacor Communications, Inc.+ ............ 1,200 60,750
Lamar Advertising Co.+ ................. 3,875 108,500
Liberty Media Group, Series A+ ......... 6,420 235,534
MediaOne Group, Inc. + ................. 17,960 798,097
Outdoor Systems, Inc.+ ................. 7,220 140,790
Penton Media, Inc. ..................... 3,975 54,159
Scientific-Atlanta, Inc. ............... 5,300 111,963
Snyder Communications, Inc.+ ........... 2,900 97,150
Source Media, Inc.+ .................... 800 6,300
Time Warner, Inc. ...................... 11,549 1,011,259
United International Holdings, Inc.+ ... 2,230 21,603
ENTERTAINMENT PRODUCTS -- 0.1%
Lumen Technologies, Inc.+ .............. 10,500 52,500
SportsLine USA, Inc.+ .................. 1,000 17,437
LEISURE & TOURISM -- 1.1%
Carnival Corp., Class A ................ 3,440 109,435
Family Golf Centers, Inc.+ ............. 900 15,975
McDonald's Corp. ....................... 800 47,750
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Outback Steakhouse, Inc.+ .............. 3,050 $ 80,444
Preview Travel, Inc.+ .................. 1,300 23,725
Primadonna Resorts, Inc. ............... 4,500 34,594
Royal Caribbean Cruises Ltd. ........... 3,200 85,000
Steiner Leisure Ltd.+ .................. 4,100 64,062
Travel Services International, Inc.+ ... 3,200 43,400
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3,881,691
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INFORMATION TECHNOLOGY -- 25.2%
COMMUNICATION EQUIPMENT -- 2.3%
Ascend Communications, Inc.+ ........... 4,200 191,100
General Instrument Corp.+ .............. 3,615 78,175
Lucent Technologies, Inc. .............. 2,400 165,750
Nokia Corp., Class A ADR ............... 7,710 604,753
COMPUTERS & BUSINESS EQUIPMENT -- 3.0%
Apple Computer, Inc.+ .................. 5,500 209,687
AVT Corp.+ ............................. 1,400 31,675
Compaq Computer Corp. .................. 1,000 31,625
Dell Computer Corp.+ ................... 6,625 435,594
EMC Corp.+ ............................. 2,500 142,969
FORE Systems, Inc.+ .................... 5,000 83,125
HBO & Co. .............................. 3,700 106,838
Hewlett-Packard Co. .................... 400 21,175
Honeywell, Inc. ........................ 400 25,625
International Business Machines
Corp. ................................ 1,000 128,000
Micron Technology, Inc.+ ............... 1,150 35,003
Network Appliance, Inc.+ ............... 2,300 116,437
ELECTRONICS -- 2.0%
General Electric Co. ................... 2,225 177,027
Intel Corp. ............................ 1,000 85,750
Maxim Integrated Products, Inc.+ ....... 4,725 131,709
Motorola, Inc. ......................... 800 34,150
Pittway Corp., Class A ................. 8,610 205,564
Rambus, Inc.+ .......................... 1,600 102,400
Texas Instruments, Inc. ................ 1,000 52,750
Vitesse Semiconductor Corp.+ ........... 5,765 136,198
SOFTWARE -- 10.5%
America Online, Inc.+@ ................. 6,414 713,557
AnswerThink Consulting Group+ .......... 3,400 61,413
Aspect Development, Inc.+ .............. 1,110 43,706
Aspen Technology, Inc.+ ................ 6,450 172,538
At Home Corp., Series A+ ............... 5,235 250,626
BMC Software, Inc.+ .................... 900 54,056
Broadcast.com, Inc.+ ................... 60 2,423
BroadVision, Inc.+ ..................... 2,400 25,350
Cadence Design Systems, Inc.+ .......... 9,190 234,919
Cisco Systems, Inc.+ ................... 14,260 881,446
CMG Information Services, Inc.+ ........ 1,500 79,875
Compuware Corp.+ ....................... 3,300 194,287
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Entrust Technologies, Inc.+ ............ 3,800 $ 56,288
Excite, Inc.+ .......................... 1,300 53,056
Icon CMT Corp.+ ........................ 3,300 36,713
Intuit, Inc.+ .......................... 3,370 156,916
J.D. Edwards & Co.+ .................... 2,700 129,600
Keane, Inc.+ ........................... 1,450 50,931
Legato Systems, Inc.+ .................. 1,000 51,375
Lycos, Inc.+ ........................... 2,100 71,006
Microsoft Corp.+ ....................... 8,305 914,069
Mobius Management Systems, Inc.+ ....... 2,600 15,600
Pegrine Systems, Inc.+ ................. 2,500 100,625
Sapient Corp.+ ......................... 6,160 210,210
Sun Microsystems, Inc.+ ................ 500 24,906
Wind River Systems+ .................... 2,945 139,151
Yahoo!, Inc.+@ ......................... 700 90,650
TELECOMMUNICATIONS -- 7.4%
Comcast Corp., Class A ................. 23,380 1,097,399
Frontier Corp. ......................... 5,200 142,350
Global Crossing Ltd.+ .................. 505 10,542
GST Telecommunications, Inc+ ........... 11,600 72,500
ICG Communications, Inc.+ .............. 4,600 77,625
Intermedia Communications, Inc.+ ....... 1,900 46,669
Primus Telecommunications Group,
Inc.+ ................................ 2,200 19,112
Qwest Communications International,
Inc.+ ................................ 4,600 144,037
Saville Systems PLC ADR+ ............... 900 13,050
STARTEC Global Communications Corp.+ ... 1,550 10,656
Tele-Communications, Inc., TCI Ventures
Group, Series A+ ..................... 37,715 676,513
Tele-Communications, Inc., Series A+ ... 25,321 990,684
Western Wireless Corp., Class A+ ....... 6,825 121,997
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11,571,505
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MATERIALS -- 1.0%
CHEMICALS -- 0.9%
du Pont (E.I.) de Nemours & Co. ........ 1,000 56,125
Monsanto Co. ........................... 6,120 345,015
North American Scientific, Inc.+ ....... 2,400 11,400
METALS & MINERALS -- 0.1%
Martin Marietta Materials, Inc. ........ 700 30,231
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442,771
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UTILITIES -- 1.7%
ELECTRIC UTILITIES -- 0.4%
GPU, Inc. .............................. 1,000 42,500
Niagara Mohawk Power Corp.+ ............ 10,100 155,288
GAS & PIPELINE UTILITIES -- 0.1%
Consolidated Natural Gas Co. ........... 700 38,150
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COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE -- 1.2%
AT&T Corp. ............................. 2,400 $ 140,250
Century Telephone Enterprises, Inc. .... 2,075 98,044
GTE Corp. .............................. 600 33,000
MCI WorldCom, Inc.+ .................... 2,000 97,750
SBC Communications, Inc. ............... 1,200 53,325
Telecom Italia SpA ..................... 19,632 135,288
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793,595
-------------
TOTAL COMMON STOCK (cost $27,389,591)... 28,991,217
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<CAPTION>
PREFERRED STOCK -- 0.0%
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INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1) (cost
$166)................................. 2 149
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<CAPTION>
PRINCIPAL
BONDS & NOTES -- 25.4% AMOUNT
<S> <C> <C>
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CONSUMER DISCRETIONARY -- 0.4%
APPAREL & TEXTILES -- 0.0%
Galey & Lord, Inc. 9.13% 2008 .......... $ 5,000 4,300
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008* ... 5,000 4,787
HOUSING -- 0.0%
Engle Homes, Inc., Series C 9.25%
2008 ................................. 5,000 4,800
Falcon Building Products, Inc. 9.50%
2007 ................................. 5,000 4,250
Standard Pacific Corp. 8.50% 2007 ...... 10,000 9,550
RETAIL -- 0.4%
Amazon.com, Inc. zero coupon 2008(2) ... 188,000 103,400
Duane Reade, Inc. 9.25% 2008 ........... 5,000 4,850
Fred Meyer, Inc. 7.38% 2005 ............ 25,000 25,953
J.C. Penney Co., Inc. 7.40% 2037 ....... 20,000 22,020
-------------
183,910
-------------
CONSUMER STAPLES -- 0.1%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 5,000 5,063
Nash Finch Co. 8.50% 2008 .............. 5,000 4,700
Panamerican Beverages, Inc. 8.13%
2003 ................................. 30,000 30,883
HOUSEHOLD PRODUCTS -- 0.0%
Revlon Worldwide Corp. zero coupon
2001 ................................. 10,000 7,650
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48,296
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7
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PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
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ENERGY -- 0.3%
ENERGY SERVICES -- 0.0%
Dailey International, Inc. 9.50%
2008 ................................. $ 5,000 $ 3,000
ENERGY SOURCES -- 0.3%
Abraxas Petroleum Corp. 11.50% 2004 .... 5,000 3,900
Cross Timbers Oil Co., Class B 8.75%
2009 ................................. 5,000 4,500
Newfield Exploration Co., Series B 7.45%
2007 ................................. 10,000 9,930
P&L Coal Holdings Corp. 9.63% 2008* .... 10,000 9,825
Petroleos Mexicano 9.00% 2007 .......... 25,000 20,312
Sonat, Inc. 6.88% 2005 ................. 65,000 69,560
Tesoro Petroleum Corp., Series B 9.00%
2008 ................................. 5,000 4,813
YPF Sociedad Anonima 8.00% 2004 ........ 15,000 13,613
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139,453
-------------
FINANCE -- 5.3%
BANKS -- 1.2%
Banc One Corp. 8.00% 2027 .............. 18,000 21,043
Bank One Columbus 7.38% 2002 ........... 25,000 26,817
Banponce Financial Corp. 6.75% 2001 .... 20,000 20,713
Credit National 7.00% 2005 ............. 20,000 21,064
Export Import Bank of Korea 6.50%
2006 ................................. 35,000 26,853
First Chicago NBD Corp. 7.25% 2004 ..... 60,000 64,776
First Republic Bancorp 7.75% 2012 ...... 25,000 27,846
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 115,000 118,717
Korea Development Bank 7.13% 2001 ...... 15,000 13,095
National City Corp. 7.20% 2005 ......... 80,000 86,701
NBD Bank SA 8.25% 2024 ................. 25,000 29,857
NCNB Co. 9.38% 2009 .................... 32,000 41,101
United States Bancorp 7.50% 2026 ....... 50,000 55,798
Western Financial Savings Bank 8.88%
2007 ................................. 5,000 4,200
FINANCIAL SERVICES -- 3.7%
Aesop Funding Corp. 6.14% 2006* ........ 60,000 61,762
Allstate Financing II 7.83% 2045 ....... 24,000 25,443
AMRESCO, Inc. 9.88% 2005 ............... 5,000 4,000
Arcadia Financial Ltd. 11.50%
2007(3) .............................. 5,000 3,638
Asset Securitization Corp. 6.66%
2041 ................................. 50,000 52,228
Associates Corp. of North America 7.63%
2004 ................................. 60,000 66,781
ContiFinancial Corp. 8.13% 2008 ........ 5,000 4,697
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 70,000 75,537
Dime Capital Trust I, Series A 9.33%
2027 ................................. 20,000 22,677
Equitable Cos., Inc. 7.00% 2028 ........ 60,000 60,982
Finova Capital Corp. 6.63% 2001 ........ 50,000 51,512
Finova Capital Corp., Series C 6.39%
2002 ................................. 30,000 31,290
Fleet Mortgage Group, Inc. 6.84%
2003 ................................. 30,000 31,991
Ford Motor Credit Corp. 7.02% 2000 ..... 50,000 51,900
GE Capital Mortgage Services, Inc. 6.25%
2023 ................................. 12,740 12,748
General Motors Acceptance Corp. 7.63%
2003 ................................. 60,000 66,101
Morgan Stanley Capital I, Inc. 7.22%
2007*# ............................... 60,000 64,894
Popular North America, Inc. 6.63%
2002 ................................. 35,000 35,632
Private Export Funding Corp. 5.87%
2008 ................................. 350,000 371,710
Private Export Funding Corp. 6.31%
2004 ................................. 100,000 107,126
Private Export Funding Corp. 6.62%
2005 ................................. 120,000 133,112
</TABLE>
- ----------------
8
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Private Export Funding Corp. 7.03%
2003 ................................. $ 35,000 $ 38,485
Private Export Funding Corp. 7.30%
2002 ................................. 125,000 134,785
Private Export Funding Corp. 7.90%
2000 ................................. 35,000 36,644
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. 90,000 95,578
U.S. West Capital Funding, Inc. 6.88%
2028 ................................. 45,000 47,703
INSURANCE -- 0.4%
Cigna Corp. 7.40% 2007 ................. 40,000 43,838
Cigna Corp. 7.88% 2027 ................. 19,000 20,622
Jackson National Life Insurance Co.
8.15% 2027* .......................... 22,000 26,619
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 40,000 44,814
Metropolitan Life Insurance Co. 7.70%
2015* ................................ 60,000 70,346
-------------
2,453,776
-------------
HEALTHCARE -- 0.5%
HEALTH SERVICES -- 0.2%
HEALTHSOUTH Corp. 6.88% 2005*(3) ....... 60,000 62,871
Tenet Healthcare Corp. 7.88% 2003 ...... 20,000 20,300
Tenet Healthcare Corp. 8.13%
2008*(3) ............................. 10,000 10,241
MEDICAL PRODUCTS -- 0.3%
Allegiance Corp. 7.00% 2026 ............ 65,000 68,678
Beckman Instruments, Inc. 7.10% 2003 ... 40,000 41,080
Owens & Minor, Inc. 10.88% 2006 ........ 5,000 5,300
-------------
208,470
-------------
INDUSTRIAL & COMMERCIAL -- 0.8%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
K & F Industries, Inc. 9.25% 2007 ...... 5,000 4,900
BUSINESS SERVICES -- 0.4%
Boise Cascade Office Products Co. 7.05%
2005 ................................. 105,000 111,025
Federal Express Corp. 6.72% 2022# ...... 80,000 82,400
MACHINERY -- 0.1%
Cincinnati Milacron, Inc. 7.88% 2000 ... 35,000 36,105
Grove Worldwide LLC 9.25% 2008*(3) ..... 5,000 4,400
Johnstown America Industries, Inc.
11.75% 2005 .......................... 5,000 5,244
Numatics, Inc., Series B 9.63% 2008 .... 5,000 4,881
TRANSPORTATION -- 0.3%
AMR Corp. 9.88% 2020 ................... 30,000 41,803
Continental Airlines, Inc. 6.47%
2004 ................................. 40,000 42,523
Continental Airlines, Inc. 6.65%
2017 ................................. 40,000 42,473
MTL, Inc. 10.00% 2006* ................. 5,000 4,800
-------------
380,554
-------------
INFORMATION & ENTERTAINMENT -- 0.5%
BROADCASTING & MEDIA -- 0.5%
Allbritton Communications Co. 8.88%
2008 ................................. 5,000 4,950
Century Communications Corp., Series B
zero coupon 2008 ..................... 10,000 4,700
Comcast Cable Communications 8.50%
2027 ................................. 15,000 18,376
</TABLE>
----------------
9
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
EchoStar DBS Corp. 12.50% 2002 ......... $ 5,000 $ 5,213
Granite Broadcasting Corp. 8.88%
2008* ................................ 10,000 9,337
LIN Holdings Corp. zero coupon
2008*(2) ............................. 10,000 6,550
News America Holdings, Inc. 8.00%
2016 ................................. 65,000 71,833
Scholastic Corp. 7.00% 2003 ............ 35,000 36,953
Viacom, Inc. 7.75% 2005 ................ 40,000 43,194
LEISURE & TOURISM -- 0.0%
Argosy Gaming Co. 13.25% 2004 .......... 5,000 5,313
Fitzgeralds Gaming Corp., Series B
12.25% 2004 .......................... 5,000 3,500
Loews Cineplex Entertainment Corp. 8.88%
2008* ................................ 5,000 4,950
-------------
214,869
-------------
INFORMATION TECHNOLOGY -- 0.5%
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00%
2003 ................................. 5,000 5,050
Amphenol Corp. 9.88% 2007 .............. 5,000 4,675
SOFTWARE -- 0.0%
Concentric Network Corp. 12.75% 2007 ... 5,000 4,613
PSINet, Inc. 10.00% 2005 ............... 5,000 5,000
TELECOMMUNICATIONS -- 0.5%
AMSC Acquisition, Inc. 12.25% 2008 ..... 5,000 3,088
BTI Telecom Corp. 10.50% 2007 .......... 5,000 4,150
Compania de Telecomunicaciones 7.63%
2006 ................................. 30,000 28,910
e.spire Communications, Inc. zero coupon
2008*(2) ............................. 10,000 5,137
GCI, Inc. 9.75% 2007 ................... 5,000 4,650
Globalstar LP 10.75% 2004 .............. 5,000 3,200
GST Telecommunications, Inc. zero coupon
2008*(2)(3) .......................... 10,000 4,962
Intermedia Communications, Inc. 8.88%
2007 ................................. 10,000 10,050
Iridium LLC 10.88% 2005 ................ 5,000 4,038
ITC Deltacom, Inc. 8.88% 2008 .......... 5,000 4,900
IXC Communications, Inc. 9.00% 2008 .... 5,000 4,950
KMC Telecom Holdings, Inc. zero coupon
2008(2) .............................. 10,000 4,788
Level 3 Communications, Inc. 9.13%
2008 ................................. 5,000 4,738
McleodUSA, Inc. 8.38% 2008 ............. 5,000 4,925
MJD Communications, Inc. 9.50% 2008* ... 5,000 5,025
Nextel Communications, Inc. zero coupon
2007(2) .............................. 10,000 6,000
Paging Network, Inc. 10.13% 2007 ....... 5,000 4,950
Tele-Communications, Inc. 7.25% 2005 ... 25,000 27,506
Tele-Communications, Inc. 8.00% 2005 ... 25,000 28,570
Tele-Communications, Inc. 9.25% 2002 ... 25,000 28,057
Telecommunications Tech Co. LLC 9.75%
2008* ................................ 10,000 9,137
Time Warner Telecom, Inc. 9.75% 2008 ... 5,000 5,025
Viatel, Inc. 11.25% 2008*(3) ........... 5,000 4,500
-------------
230,594
-------------
MATERIALS -- 0.3%
CHEMICALS -- 0.1%
Huntsman Corp. 9.50% 2007* ............. 5,000 4,800
ICI Wilmington, Inc. 6.95% 2004 ........ 35,000 36,599
</TABLE>
- ----------------
10
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
LaRoche Industries, Inc. 9.50% 2007 .... $ 5,000 $ 4,250
Sovereign Speciality Chemicals 9.50%
2007 ................................. 5,000 4,775
FOREST PRODUCTS -- 0.1%
American Pad & Paper Co. 13.00% 2005 ... 5,000 2,700
Boise Cascade Corp. 9.90% 2001 ......... 40,000 44,027
Gaylord Container Corp. 9.38% 2007 ..... 5,000 4,000
Grupo Industrial Durango SA de CV 12.63%
2003 ................................. 5,000 3,550
Repap New Brunswick, Inc. 9.00% 2004 ... 5,000 4,563
METALS & MINERALS -- 0.1%
A.K. Steel Holding Corp. 9.13% 2006 .... 5,000 5,000
Armco, Inc. 9.00% 2007 ................. 5,000 4,900
Bayou Steel Corp. 9.50% 2008* .......... 10,000 8,987
-------------
128,151
-------------
MUNICIPAL BONDS -- 0.6%
MUNICIPAL BONDS -- 0.6%
Allentown Pennsylvania 6.20% 2005 ...... 120,000 127,207
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 45,000 47,367
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 50,000 51,346
Miami Florida Revenue 7.25% 2003 ....... 60,000 65,422
-------------
291,342
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.9%
FOREIGN GOVERNMENT -- 0.9%
Australian Government 10.00%
2006 ............................(AUD) 440,000 340,091
Republic of Argentina 11.00% 2006 ...... 25,000 23,313
Republic of Columbia 7.25% 2004 ........ 33,000 25,822
Republic of Columbia 7.63% 2007 ........ 17,000 11,858
Republic of Lithuania 7.13% 2002* ...... 19,000 16,435
-------------
417,519
-------------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.3%
Equity Office Properties Operating LP
6.38% 2003 ........................... 60,000 59,963
Post Apartment Homes LP 7.02% 2001 ..... 60,000 62,721
-------------
122,684
-------------
U.S. GOVERNMENT & AGENCIES -- 13.6%
U.S. GOVERNMENT & AGENCIES -- 13.6%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 19,738 19,849
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 38,000 39,793
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 20,000 21,425
Federal Home Loan Mortgage Corp. 6.55%
2022 ................................. 32,000 33,610
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 105,000 108,842
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 12,000 13,117
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 16,236 16,749
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 26,436 28,435
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 24,505 25,749
Federal National Mortgage Association
5.25% 2003 ........................... 590,000 602,443
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association
5.63% 2001 ........................... $ 410,000 $ 419,865
Federal National Mortgage Association
5.65% 2005 ........................... 14,906 14,879
Federal National Mortgage Association
5.75% 2008 ........................... 955,000 1,009,473
Federal National Mortgage Association
6.13% 2028(4) ........................ 138,671 140,231
Federal National Mortgage Association
7.00% 2006 ........................... 3,819 3,823
Federal National Mortgage Association
7.39% 2021 ........................... 27,632 30,168
Federal National Mortgage Association
7.75% 2021 ........................... 50,000 52,781
Federal National Mortgage Association
8.00% 2006 ........................... 16,200 17,156
Government National Mortgage Association
7.00% 2022 ........................... 15,120 15,621
Government National Mortgage Association
7.25% 2027 ........................... 114,972 118,924
Government National Mortgage Association
7.50% 2023 ........................... 30,697 31,838
Government National Mortgage Association
8.50% 2017 ........................... 30,903 32,950
Government National Mortgage Association
9.00% 2021 ........................... 11,806 12,691
United States Treasury Bonds 7.50%
2016 ................................. 120,000 152,756
United States Treasury Bonds 9.25%
2016 ................................. 70,000 103,108
United States Treasury Bonds 11.88%
2003 ................................. 295,000 394,377
United States Treasury Bonds 12.00%
2013 ................................. 1,700,000 2,659,174
United States Treasury Bonds Strip zero
coupon 2012 .......................... 275,000 140,420
-------------
6,260,247
-------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.5%
Atlantic City Electric Co. 6.38%
2005 ................................. 20,000 21,284
Cleveland Electric Illuminating Co.,
Series B 7.19% 2000 .................. 15,000 15,359
Empresa Nacional de Electricidad SA
7.33% 2037 ........................... 25,000 22,348
PacifiCorp 6.38% 2008# ................. 100,000 104,450
Public Service Electric & Gas Co. 8.88%
2003 ................................. 11,000 12,777
UtiliCorp United, Inc. 6.88% 2004 ...... 40,000 42,510
WESCO Distribution, Inc., Series B 9.13%
2008 ................................. 10,000 9,525
GAS & PIPELINE UTILITIES -- 0.3%
HNG Internorth, Inc. 9.63% 2006 ........ 65,000 78,217
KN Energy, Inc. 6.65% 2005 ............. 50,000 51,347
TELEPHONE -- 0.5%
GTE Corp. 6.36% 2006 ................... 95,000 101,184
MCI Communications Corp. 6.13%
2002(4) .............................. 30,000 30,752
MGC Communications, Inc., Series B
13.00% 2004 .......................... 5,000 3,750
WorldCom, Inc. 7.55% 2004 .............. 85,000 92,574
-------------
586,077
-------------
TOTAL BONDS & NOTES (cost
$11,211,944).......................... 11,665,942
-------------
<CAPTION>
WARRANTS -- 0.0%+ SHARES
<S> <C> <C>
- -----------------------------------------------------------------------
FINANCE -- 0.0%
BANKS -- 0.0%
Golden State Bancorp, Inc. ............. 1,600 6,750
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 4/15/08
*# ................................... 10 25
-------------
TOTAL WARRANTS (cost $9,409)............ 6,775
-------------
</TABLE>
- ----------------
12
<PAGE>
<TABLE>
<CAPTION>
PUT OPTIONS -- 0.1% CONTRACTS VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
America Online, Inc., exp. 11/98 ....... 15 $ 19,125
At Home Corp., exp. 10/98 .............. 6 37
CMG Information Services, Inc., exp.
11/98 ................................ 14 8,225
Excite, Inc., exp. 11/98 ............... 10 6,000
Lycos, Inc., exp. 11/98 ................ 19 11,163
Yahoo!, Inc., exp. 11/98 ............... 7 11,637
-------------
TOTAL PUT OPTIONS (cost $61,182)........ 56,187
-------------
TOTAL INVESTMENT SECURITIES (cost
$38,672,292).......................... 40,720,270
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.6% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.1%
Chase Manhattan Corp. 8.77% due
2/19/99............................... $ 30,000 30,308
-------------
FEDERAL AGENCY OBLIGATIONS -- 2.4%
Federal Home Loan Mortgage Corp. 5.40%
due 10/1/98........................... 1,125,000 1,125,000
-------------
FOREIGN SHORT-TERM NOTES -- 0.1%
New Zealand Treasury Bill zero coupon
due 12/16/98.....................(NZD) 70,000 34,662
-------------
TOTAL SHORT-TERM SECURITIES (cost
$1,193,958)........................... 1,189,970
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 9.1%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.1%
J.P. Morgan & Co., Inc. Joint Repurchase
Agreement (Note 3).................... 310,000 310,000
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3).................... 2,873,000 2,873,000
State Street Bank & Trust Co. Joint
Repurchase Agreement (Note 3)......... 1,000,000 1,000,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$4,183,000)........................... 4,183,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $44,049,250) 100.3% 46,093,240
Total written call options (0.1) (29,707)
Liabilities in excess of other assets -- (0.2) (92,301)
----- -------------
NET ASSETS -- 100% $ 45,971,232
----- -------------
----- -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof has been segregated as collateral for the
written option contracts
(1) PIK ("Payment in Kind") payment made with additional securities in lieu of
cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Variable rate security; rate as of September 30, 1998
ADR -- American Depository Receipt
AUD -- Australian Dollar
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
----------------
13
<PAGE>
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Abercrombie & Fitch Co. 3 10/98 $ 50 $ (244)
America Online, Inc. 15 11/98 120 (11,812)
Sepracor, Inc. 10 10/98 60 (7,501)
Yahoo!, Inc. 7 11/98 135 (10,150)
---------
Total Open Covered Written Call Options (proceeds $27,329)...... $ (29,707)
---------
---------
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- --------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------
AUD 14,000 USD 8,332 10/27/98 $ 34
USD 55,730 FIM 300,000 11/12/98 3,403
*USD 10,591 GBP 6,500 10/07/98 455
*USD 8,135 GBP 5,000 10/07/98 362
*USD 4,875 GBP 3,000 10/07/98 224
*USD 16,217 GBP 10,000 10/07/98 778
USD 9,361 ITL 16,000,000 10/19/98 335
USD 38,613 ITL 68,000,000 11/12/98 2,604
USD 10,250 ITL 18,000,000 11/12/98 660
USD 8,565 ITL 15,000,000 11/12/98 527
USD 9,036 ITL 15,000,000 11/12/98 55
-------
9,437
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 491,000 USD 290,957 10/27/98 (82)
AUD 61,000 USD 35,490 10/27/98 (668)
FIM 605,000 USD 112,930 11/06/98 (6,287)
FIM 750,000 USD 136,369 11/12/98 (11,464)
FIM 795,000 USD 149,321 11/12/98 (8,382)
*GBP 24,500 USD 40,621 10/07/98 (1,016)
ITL 15,000,000 USD 8,526 10/19/98 (564)
ITL 107,000,000 USD 61,367 10/19/98 (3,470)
ITL 14,000,000 USD 7,922 10/19/98 (560)
ITL 166,000,000 USD 94,014 11/12/98 (6,604)
-------
(39,097)
-------
Net Unrealized Depreciation............................ $ (29,660)
-------
-------
</TABLE>
- -------------
* Represents fully offsetting forward foreign currency contracts that do not
have additional market risk but have continued counterparty settlement risk
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar GBP -- Great British Pound USD -- United States Dollar
FIM -- Finnish Markka ITL -- Italian Lira
</TABLE>
See Notes to Financial Statements
- ----------------
14
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 48.6% SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.5%
APPAREL & TEXTILES -- 0.5%
Gerber Childrenswear, Inc.+ ...................... 1,700 $ 13,494
Mohawk Industries, Inc.+ ......................... 4,500 123,187
Movado Group, Inc. ............................... 2,400 50,400
Oakley, Inc.+ .................................... 6,400 61,600
AUTOMOTIVE -- 0.5%
Federal-Mogul Corp. .............................. 2,375 111,031
Ford Motor Co. ................................... 1,000 46,937
General Motors Corp. ............................. 1,300 71,094
HOUSING -- 0.0%
Krause's Furniture, Inc.+ ........................ 3,300 3,919
RETAIL -- 2.5%
Abercrombie & Fitch Co.+@ ........................ 3,100 136,400
Amazon.com, Inc.+ ................................ 735 82,044
CDnow, Inc.+ ..................................... 2,300 20,700
Costco Cos., Inc.+ ............................... 2,350 111,331
CVS Corp. ........................................ 2,700 118,294
Dayton Hudson Corp. .............................. 1,600 57,200
Elder-Beerman Stores Corp.+ ...................... 3,900 67,763
Federated Department Stores, Inc.+ ............... 700 25,463
Gap, Inc. ........................................ 2,700 142,425
Home Depot, Inc. ................................. 4,700 185,650
Mac-Gray Corp.+ .................................. 4,200 37,800
Office Depot, Inc.+ .............................. 1,900 42,631
Restoration Hardware, Inc.+ ...................... 1,300 26,813
Sunglass Hut International, Inc.+ ................ 5,000 28,750
U.S. Vision, Inc.+ ............................... 3,000 25,125
Wal-Mart Stores, Inc. ............................ 2,700 147,487
------------
1,737,538
------------
CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Philip Morris Cos., Inc. ......................... 1,600 73,700
UST, Inc. ........................................ 600 17,737
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. ............................ 700 47,950
------------
139,387
------------
ENERGY -- 1.3%
ENERGY SERVICES -- 0.4%
Schlumberger Ltd. ................................ 1,000 50,313
Transocean Offshore, Inc. ........................ 4,530 157,134
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 0.9%
Chevron Corp. .................................... 900 $ 75,656
Enron Corp. ...................................... 700 36,969
Exxon Corp. ...................................... 800 56,150
Mobil Corp. ...................................... 400 30,375
Ocean Rig ASA+ ............................. (NOK) 86,095 34,117
Royal Dutch Petroleum Co. ........................ 1,300 61,913
Smith International, Inc.+ ....................... 3,400 93,287
Texaco, Inc. ..................................... 700 43,881
------------
639,795
------------
FINANCE -- 4.6%
BANKS -- 1.7%
Ambanc Holding Co., Inc. ......................... 235 3,055
Bank of New York Co., Inc. ....................... 7,660 209,693
Chase Manhattan Corp. ............................ 600 25,950
Citicorp.......................................... 250 23,234
Crestar Financial Corp. .......................... 625 35,469
First Union Corp. ................................ 700 35,831
Firstar Corp. .................................... 1,135 57,459
Golden State Bancorp, Inc.+ ...................... 1,500 29,906
Hamilton Bancorp, Inc.+ .......................... 1,500 39,094
Hibernia Corp., Class A........................... 2,300 33,206
Mellon Bank Corp. ................................ 800 44,050
NationsBank Corp. ................................ 340 18,190
Star Banc Corp. .................................. 1,660 109,768
Summit Bancorp. .................................. 1,300 48,750
U.S. Bancorp...................................... 3,100 110,244
FINANCIAL SERVICES -- 2.0%
American Express Co. ............................. 900 69,862
American General Corp. ........................... 700 44,713
Associates First Capital Corp., Class A........... 3,270 213,367
Capital One Financial Corp. ...................... 1,000 103,500
Equitable Cos., Inc. ............................. 700 28,963
Federal National Mortgage Association............. 600 38,550
Fleet Financial Group, Inc. ...................... 1,950 143,203
HealthCare Financial Partners, Inc.+ ............. 1,600 67,200
Household International, Inc. .................... 1,000 37,500
Morgan Stanley, Dean Witter & Co. ................ 400 17,225
Newcourt Credit Group, Inc. ...................... 1,825 47,678
PaineWebber Group, Inc. .......................... 900 27,000
Providian Financial Corp. ........................ 900 76,331
Raymond James Financial, Inc. .................... 1,200 25,200
Travelers Group, Inc. ............................ 900 33,750
INSURANCE -- 0.9%
Aetna, Inc. ...................................... 300 20,850
Allstate Corp. ................................... 1,200 50,025
Annuity & Life Re Holdings Ltd.+ ................. 1,900 37,525
Chubb Corp. ...................................... 300 18,900
Reliance Group Holdings, Inc. .................... 3,500 49,219
</TABLE>
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16
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
The Hartford Financial Services Group, Inc. ...... 800 $ 37,950
UNUM Corp. ....................................... 4,968 246,847
------------
2,259,257
------------
HEALTHCARE -- 7.8%
DRUGS -- 5.6%
Abbott Laboratories, Inc. ........................ 800 34,750
ALZA Corp.+ ...................................... 7,355 319,023
Amgen, Inc.+ ..................................... 800 60,450
Biogen, Inc.+ .................................... 1,000 65,813
Bristol-Myers Squibb Co. ......................... 500 51,938
Centocor, Inc.+ .................................. 6,095 241,514
Eli Lilly & Co. .................................. 5,200 407,225
Merck & Co., Inc. ................................ 600 77,737
Pfizer, Inc. ..................................... 4,630 490,491
Pharmacia & Upjohn, Inc. ......................... 3,030 152,068
Sepracor, Inc.+@ ................................. 1,000 65,750
Warner-Lambert Co. ............................... 10,570 798,035
HEALTH SERVICES -- 0.8%
IMS Health, Inc. ................................. 4,060 251,466
Omnicare, Inc. ................................... 2,882 101,590
Sunrise Assisted Living, Inc.+ ................... 1,000 34,313
Vision Twenty-One, Inc.+ ......................... 500 3,469
MEDICAL PRODUCTS -- 1.4%
ADAC Laboratories................................. 1,300 31,200
Allegiance Corp. ................................. 1,000 29,750
Baxter International, Inc. ....................... 1,000 59,500
Johnson & Johnson................................. 700 54,775
Medaphis Corp.+ .................................. 7,500 33,750
MedImmune, Inc.+ ................................. 1,800 116,550
Nanogen, Inc.+ ................................... 4,200 15,356
Schering-Plough Corp. ............................ 550 56,959
Sofamor Danek Group, Inc.+ ....................... 3,075 273,675
United States Surgical Corp. ..................... 85 3,544
------------
3,830,691
------------
INDUSTRIAL & COMMERCIAL -- 3.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Orbital Sciences Corp.+ .......................... 2,110 59,212
BUSINESS SERVICES -- 2.0%
Apollo Group, Inc., Class A+ ..................... 1,845 51,429
Caliber Learning Network, Inc.+ .................. 2,700 16,369
D.R. Horton, Inc. ................................ 2,700 43,200
Delta & Pine Land Co. ............................ 2,630 115,720
DSET Corp.+ ...................................... 6,300 53,550
HA-LO Industries, Inc.+ .......................... 3,800 111,150
ITT Educational Services, Inc.+ .................. 3,000 96,000
Paychex, Inc. .................................... 1,800 92,812
</TABLE>
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17
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
RCM Technologies, Inc.+ .......................... 4,400 $ 64,900
Service Corp. International....................... 900 28,688
Storage Technology Corp.+ ........................ 1,500 38,156
Sylvan Learning Systems, Inc.+ ................... 3,500 81,813
Technology Solutions Co.+ ........................ 2,800 31,500
The Kroll O'Gara Co.+ ............................ 3,700 86,487
Waste Management, Inc.+ .......................... 1,000 48,063
MACHINERY -- 0.1%
United Technologies Corp. ........................ 800 61,150
MULTI-INDUSTRY -- 1.0%
Raisio Group PLC.................................. 6,862 99,870
Republic Industries, Inc.+ ....................... 1,100 16,019
Tyco International Ltd. .......................... 6,710 370,727
TRANSPORTATION -- 0.1%
Atlas Air, Inc.+ ................................. 1,100 31,556
Burlington Northern Santa Fe Corp. ............... 1,200 38,400
------------
1,636,771
------------
INFORMATION & ENTERTAINMENT -- 6.3%
BROADCASTING & MEDIA -- 5.3%
Cablevision Systems Corp., Class A+ .............. 2,800 120,925
Capstar Broadcasting Corp., Class A+ ............. 470 7,256
Chancellor Media Corp.+ .......................... 3,595 119,983
Cinar Films, Inc., Class B+ ...................... 3,500 62,781
Cox Communications, Inc., Class A+ ............... 3,575 195,284
DoubleClick, Inc.+ ............................... 1,800 42,975
Jacor Communications, Inc.+ ...................... 1,200 60,750
Lamar Advertising Co.+ ........................... 2,867 80,276
Liberty Media Group, Series A+ ................... 5,210 191,142
MediaOne Group, Inc.+ ............................ 13,370 594,129
Outdoor Systems, Inc.+ ........................... 5,339 104,111
Penton Media, Inc. ............................... 2,815 38,354
Scientific-Atlanta, Inc. ......................... 5,100 107,737
Snyder Communications, Inc.+ ..................... 2,700 90,450
Source Media, Inc.+ .............................. 700 5,513
Time Warner, Inc. ................................ 8,542 747,959
United International Holdings, Inc.+ ............. 1,645 15,936
ENTERTAINMENT PRODUCTS -- 0.1%
Lumen Technologies, Inc.+ ........................ 9,600 48,000
SportsLine USA, Inc.+ ............................ 1,000 17,438
LEISURE & TOURISM -- 0.9%
Carnival Corp., Class A........................... 3,220 102,436
Family Golf Centers, Inc.+ ....................... 800 14,200
McDonald's Corp. ................................. 700 41,781
Outback Steakhouse, Inc.+ ........................ 2,820 74,377
Preview Travel, Inc.+ ............................ 1,300 23,725
Primadonna Resorts, Inc. ......................... 4,000 30,750
Royal Caribbean Cruises Ltd. ..................... 2,600 69,063
</TABLE>
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18
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Steiner Leisure Ltd.+ ............................ 3,900 $ 60,938
Travel Services International, Inc.+ ............. 3,100 42,044
------------
3,110,313
------------
INFORMATION TECHNOLOGY -- 19.3%
COMMUNICATION EQUIPMENT -- 1.7%
Ascend Communications, Inc.+ ..................... 4,100 186,550
General Instrument Corp.+ ........................ 2,660 57,523
Lucent Technologies, Inc. ........................ 2,300 158,844
Nokia Corp., Class A ADR.......................... 5,710 447,878
COMPUTERS & BUSINESS EQUIPMENT -- 2.5%
Apple Computer, Inc.+ ............................ 5,100 194,437
AVT Corp.+ ....................................... 1,500 33,938
Compaq Computer Corp. ............................ 900 28,463
Dell Computer Corp.+ ............................. 5,210 342,557
EMC Corp.+ ....................................... 2,500 142,969
FORE Systems, Inc.+ .............................. 4,600 76,475
HBO & Co. ........................................ 3,500 101,062
Hewlett-Packard Co. .............................. 300 15,881
Honeywell, Inc. .................................. 400 25,625
International Business Machines Corp. ............ 1,000 128,000
Micron Technology, Inc.+ ......................... 900 27,394
Network Appliance, Inc.+ ......................... 2,200 111,375
ELECTRONICS -- 1.6%
General Electric Co. ............................. 2,145 170,662
Intel Corp. ...................................... 960 82,320
Maxim Integrated Products, Inc.+ ................. 3,500 97,562
Motorola, Inc. ................................... 700 29,881
Pittway Corp., Class A............................ 6,240 148,980
Rambus, Inc.+ .................................... 1,400 89,600
Texas Instruments, Inc. .......................... 1,000 52,750
Vitesse Semiconductor Corp.+ ..................... 4,280 101,115
SOFTWARE -- 8.0%
America Online, Inc.+@ ........................... 5,067 563,704
AnswerThink Consulting Group+ .................... 3,300 59,606
Aspect Development, Inc.+ ........................ 805 31,697
Aspen Technology, Inc.+ .......................... 4,740 126,795
At Home Corp., Series A+ ......................... 4,280 204,905
BMC Software, Inc.+ .............................. 800 48,050
Broadcast.com, Inc.+ ............................. 45 1,817
BroadVision, Inc.+ ............................... 2,000 21,125
Cadence Design Systems, Inc.+ .................... 6,740 172,291
Cisco Systems, Inc.+ ............................. 11,035 682,101
CMG Information Services, Inc.+ .................. 1,400 74,550
Compuware Corp.+ ................................. 3,200 188,400
Entrust Technologies, Inc.+ ...................... 3,500 51,844
Excite, Inc.+ .................................... 1,200 48,975
Icon CMT Corp.+ .................................. 2,900 32,262
Intuit, Inc.+ .................................... 2,440 113,612
</TABLE>
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19
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
J.D. Edwards & Co.+ .............................. 2,600 $ 124,800
JDA Software Group, Inc. ......................... 20 276
Keane, Inc.+ ..................................... 1,400 49,175
Legato Systems, Inc.+ ............................ 1,000 51,375
Lycos, Inc.+ ..................................... 2,000 67,625
Microsoft Corp.+ ................................. 6,475 712,655
Mobius Management Systems, Inc.+ ................. 2,500 15,000
Pegrine Systems, Inc.+ ........................... 2,200 88,550
Policy Management Systems Corp.+ ................. 5 203
Sapient Corp.+ ................................... 4,560 155,610
Sun Microsystems, Inc.+ .......................... 500 24,906
Wind River Systems+ .............................. 2,180 103,005
Yahoo!, Inc.+@ ................................... 700 90,650
TELECOMMUNICATIONS -- 5.5%
Comcast Corp., Class A............................ 18,045 846,987
Frontier Corp. ................................... 4,800 131,400
Global Crossing Ltd.+ ............................ 385 8,037
GST Telecommunications, Inc+ ..................... 11,000 68,750
ICG Communications, Inc.+ ........................ 4,400 74,250
Intermedia Communications, Inc.+ ................. 1,800 44,213
Primus Telecommunications Group, Inc.+ ........... 2,000 17,375
Qwest Communications International, Inc.+ ........ 4,400 137,775
Saville Systems PLC ADR+ ......................... 800 11,600
STARTEC Global Communications Corp.+ ............. 1,500 10,313
Tele-Communications, Inc., TCI Ventures Group,
Series A+ ....................................... 27,835 499,290
Tele-Communications, Inc., Series A+ ............. 19,722 771,623
Western Wireless Corp., Class A+ ................. 5,020 89,732
------------
9,468,750
------------
MATERIALS -- 0.7%
CHEMICALS -- 0.6%
du Pont (E.I.) de Nemours & Co. .................. 900 50,512
Monsanto Co. ..................................... 4,530 255,379
North American Scientific, Inc.+ ................. 2,000 9,500
METALS & MINERALS -- 0.1%
Martin Marietta Materials, Inc. .................. 600 25,913
------------
341,304
------------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 0.4%
GPU, Inc. ........................................ 900 38,250
Niagara Mohawk Power Corp.+ ...................... 9,300 142,987
GAS & PIPELINE UTILITIES -- 0.1%
Consolidated Natural Gas Co. ..................... 700 38,150
TELEPHONE -- 1.0%
AT&T Corp. ....................................... 2,300 134,407
Century Telephone Enterprises, Inc. .............. 1,925 90,956
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
GTE Corp. ........................................ 600 $ 33,000
MCI WorldCom, Inc.+ .............................. 2,000 97,750
SBC Communications, Inc. ......................... 1,200 53,325
Telecom Italia SpA................................ 14,018 96,601
------------
725,426
------------
TOTAL COMMON STOCK (cost $22,883,230)............. 23,889,232
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- ----------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1) (cost $332)...... 5 298
------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 40.2% AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.4%
APPAREL & TEXTILES -- 0.0%
Galey & Lord, Inc. 9.13% 2008..................... $ 5,000 4,300
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008*.............. 10,000 9,575
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008............ 10,000 9,600
Falcon Building Products, Inc. 9.50% 2007......... 10,000 8,500
Standard Pacific Corp. 8.50% 2007................. 15,000 14,325
RETAIL -- 0.3%
Amazon.com, Inc. zero coupon 2008(2).............. 137,000 75,350
Duane Reade, Inc. 9.25% 2008...................... 10,000 9,700
Fred Meyer, Inc. 7.38% 2005....................... 40,000 41,524
J.C. Penney Co., Inc. 7.40% 2037.................. 40,000 44,040
------------
216,914
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Aurora Foods, Inc., Series B 8.75% 2008........... 5,000 5,063
Nash Finch Co. 8.50% 2008......................... 10,000 9,400
Panamerican Beverages, Inc. 8.13% 2003............ 60,000 61,767
HOUSEHOLD PRODUCTS -- 0.0%
Revlon Worldwide Corp. zero coupon 2001........... 15,000 11,475
------------
87,705
------------
ENERGY -- 0.5%
ENERGY SERVICES -- 0.0%
Dailey International, Inc. 9.50% 2008............. 10,000 6,000
</TABLE>
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21
<PAGE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 0.5%
Abraxas Petroleum Corp. 11.50% 2004............... $ 10,000 $ 7,800
Cross Timbers Oil Co., Class B 8.75% 2009......... 10,000 9,000
Newfield Exploration Co., Series B 7.45% 2007..... 25,000 24,824
P&L Coal Holdings Corp. 9.63% 2008* .............. 15,000 14,738
Petroleos Mexicano 9.00% 2007..................... 47,000 38,187
Sonat, Inc. 6.88% 2005............................ 110,000 117,718
Tesoro Petroleum Corp., Series B 9.00% 2008....... 10,000 9,625
YPF Sociedad Anonima 8.00% 2004................... 30,000 27,225
------------
255,117
------------
FINANCE -- 7.9%
BANKS -- 2.0%
Banc One Corp. 8.00% 2027......................... 34,000 39,748
Bank One Columbus 7.38% 2002...................... 45,000 48,271
Banponce Financial Corp. 6.75% 2001............... 35,000 36,247
Credit National 7.00% 2005........................ 30,000 31,595
Export Import Bank of Korea 6.50% 2006............ 60,000 46,033
First Chicago NBD Corp. 7.25% 2004................ 110,000 118,756
First Republic Bancorp 7.75% 2012................. 45,000 50,124
First Union-Lehman Brothers Commercial Mortgage
Corp. 6.60% 2007................................. 205,000 211,626
Korea Development Bank 7.13% 2001................. 20,000 17,460
National City Corp. 7.20% 2005.................... 170,000 184,239
NBD Bank SA 8.25% 2024............................ 45,000 53,743
NCNB Co. 9.38% 2009............................... 48,000 61,652
United States Bancorp 7.50% 2026.................. 95,000 106,016
Western Financial Savings Bank 8.88% 2007......... 10,000 8,400
FINANCIAL SERVICES -- 5.1%
Aesop Funding Corp. 6.14% 2006*................... 100,000 102,937
Allstate Financing II 7.83% 2045.................. 44,000 46,646
AMRESCO, Inc. 9.88% 2005.......................... 10,000 8,000
Arcadia Financial Ltd. 11.50% 2007(3)............. 10,000 7,275
Asset Securitization Corp. 6.66% 2041............. 75,000 78,342
Associates Corp. of North America 7.63% 2004...... 110,000 122,431
ContiFinancial Corp. 8.13% 2008................... 10,000 9,394
CS First Boston Mortgage Securities Corp. 7.24%
2029............................................. 100,000 107,910
Dime Capital Trust I, Series A 9.33% 2027......... 35,000 39,684
Equitable Cos., Inc. 7.00% 2028................... 110,000 111,801
Finova Capital Corp. 6.63% 2001................... 100,000 103,024
Finova Capital Corp., Series C 6.39% 2002......... 45,000 46,935
Fleet Mortgage Group, Inc. 6.84% 2003............. 50,000 53,319
Ford Motor Credit Corp. 7.02% 2000................ 100,000 103,801
GE Capital Mortgage Services, Inc. 6.25% 2023..... 25,480 25,496
General Motors Acceptance Corp. 7.63% 2003........ 105,000 115,677
Morgan Stanley Capital I, Inc. 7.22% 2007*#....... 100,000 108,156
Popular North America, Inc. 6.63% 2002............ 50,000 50,903
Private Export Funding Corp. 5.87% 2008........... 325,000 345,160
Private Export Funding Corp. 6.31% 2004........... 100,000 107,126
Private Export Funding Corp. 6.62% 2005........... 220,000 244,039
Private Export Funding Corp. 7.03% 2003........... 45,000 49,480
Private Export Funding Corp. 7.30% 2002........... 225,000 242,613
</TABLE>
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22
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Private Export Funding Corp. 7.90% 2000........... $ 55,000 $ 57,583
U.S. West Capital Funding, Inc. 6.25% 2005........ 130,000 138,057
U.S. West Capital Funding, Inc. 6.88% 2028........ 80,000 84,806
INSURANCE -- 0.8%
Cigna Corp. 7.40% 2007............................ 70,000 76,716
Cigna Corp. 7.88% 2027............................ 34,000 36,903
Jackson National Life Insurance Co. 8.15% 2027*... 40,000 48,399
Lumbermens Mutual Casualty Co. 8.30% 2037*........ 70,000 78,424
Metropolitan Life Insurance Co. 7.70% 2015*....... 120,000 140,692
------------
3,905,639
------------
HEALTHCARE -- 0.8%
HEALTH SERVICES -- 0.4%
HEALTHSOUTH Corp. 6.88% 2005*(3).................. 100,000 104,785
Tenet Healthcare Corp. 7.88% 2003................. 40,000 40,600
Tenet Healthcare Corp. 8.13% 2008*(3)............. 15,000 15,361
MEDICAL PRODUCTS -- 0.4%
Allegiance Corp. 7.00% 2026....................... 120,000 126,791
Beckman Instruments, Inc. 7.10% 2003.............. 70,000 71,889
Owens & Minor, Inc. 10.88% 2006................... 10,000 10,600
------------
370,026
------------
INDUSTRIAL & COMMERCIAL -- 1.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
K & F Industries, Inc. 9.25% 2007................. 10,000 9,800
BUSINESS SERVICES -- 0.7%
Boise Cascade Office Products Co. 7.05% 2005...... 190,000 200,903
Federal Express Corp. 6.72% 2022 #................ 150,000 154,500
MACHINERY -- 0.2%
Cincinnati Milacron, Inc. 7.88% 2000.............. 65,000 67,052
Grove Worldwide LLC 9.25% 2008*(3)................ 5,000 4,400
Johnstown America Industries, Inc. 11.75% 2005.... 10,000 10,487
Numatics, Inc., Series B 9.63% 2008............... 10,000 9,763
MULTI-INDUSTRY -- 0.0%
Nortek, Inc. 8.88% 2008........................... 5,000 4,825
TRANSPORTATION -- 0.5%
AMR Corp. 10.20% 2020............................. 50,000 65,698
Continental Airlines, Inc. 6.47% 2004............. 80,000 85,047
Continental Airlines, Inc. 6.65% 2017............. 75,000 79,637
MTL, Inc. 10.00% 2006* ........................... 10,000 9,600
------------
701,712
------------
INFORMATION & ENTERTAINMENT -- 0.8%
BROADCASTING & MEDIA -- 0.7%
Allbritton Communications Co. 8.88% 2008.......... 5,000 4,950
Century Communications Corp., Series B zero coupon
2008............................................. 20,000 9,400
</TABLE>
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23
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Classic Cable, Inc. 9.88% 2008.................... $ 5,000 $ 5,087
Comcast Cable Communications 8.50% 2027........... 35,000 42,877
EchoStar DBS Corp. 12.50% 2002.................... 10,000 10,425
Granite Broadcasting Corp. 8.88% 2008*............ 15,000 14,006
LIN Holdings Corp. zero coupon 2008*(2)........... 15,000 9,825
News America Holdings, Inc. 8.00% 2016............ 110,000 121,563
Scholastic Corp. 7.00% 2003....................... 70,000 73,907
Viacom, Inc. 7.75% 2005........................... 65,000 70,191
LEISURE & TOURISM -- 0.1%
Argosy Gaming Co. 13.25% 2004..................... 10,000 10,625
Fitzgeralds Gaming Corp., Series B 12.25% 2004.... 5,000 3,500
Loews Cineplex Entertainment Corp. 8.88% 2008*.... 5,000 4,950
------------
381,306
------------
INFORMATION TECHNOLOGY -- 0.8%
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003.......... 10,000 10,100
Amphenol Corp. 9.88% 2007......................... 10,000 9,350
SOFTWARE -- 0.0%
Concentric Network Corp. 12.75% 2007.............. 10,000 9,225
PSINet, Inc. 10.00% 2005.......................... 10,000 10,000
TELECOMMUNICATIONS -- 0.7%
AMSC Acquisition, Inc. 12.25% 2008................ 5,000 3,088
BTI Telecom Corp. 10.50% 2007..................... 10,000 8,300
Compania de Telecomunicaciones 7.63% 2006......... 40,000 38,547
e.spire Communications, Inc. zero coupon
2008*(2)......................................... 20,000 10,275
GCI, Inc. 9.75% 2007.............................. 10,000 9,300
Globalstar LP 10.75% 2004......................... 10,000 6,400
GST Telecommunications, Inc. zero coupon
2008*(2)(3)...................................... 20,000 9,925
Intermedia Communications, Inc. 8.88% 2007........ 15,000 15,075
Iridium LLC 10.88% 2005........................... 10,000 8,075
Iridium LLC 11.25% 2005........................... 5,000 4,100
ITC Deltacom, Inc. 8.88% 2008..................... 5,000 4,900
IXC Communications, Inc. 9.00% 2008............... 10,000 9,900
KMC Telecom Holdings, Inc. zero coupon 2008(2).... 20,000 9,575
Level 3 Communications, Inc. 9.13% 2008........... 10,000 9,475
McleodUSA, Inc. 8.38% 2008........................ 10,000 9,850
MJD Communications, Inc. 9.50% 2008*.............. 5,000 5,025
Nextel Communications, Inc. zero coupon
2007(2) ......................................... 20,000 12,000
Paging Network, Inc. 10.13% 2007.................. 10,000 9,900
Tele-Communications, Inc. 7.25% 2005.............. 50,000 55,013
Tele-Communications, Inc. 8.00% 2005.............. 35,000 39,999
Tele-Communications, Inc. 9.25% 2002.............. 35,000 39,279
Telecommunications Tech Co. LLC 9.75% 2008*....... 10,000 9,137
Time Warner Telecom, Inc. 9.75% 2008.............. 10,000 10,050
Viatel, Inc. 11.25% 2008*(3)...................... 10,000 9,000
------------
384,863
------------
</TABLE>
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24
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.5%
CHEMICALS -- 0.2%
Huntsman Corp. 9.50% 2007*........................ $ 15,000 $ 14,400
ICI Wilmington, Inc. 6.95% 2004................... 65,000 67,970
LaRoche Industries, Inc. 9.50% 2007............... 5,000 4,250
Sovereign Speciality Chemicals 9.50% 2007......... 10,000 9,550
FOREST PRODUCTS -- 0.2%
American Pad & Paper Co. 13.00% 2005.............. 10,000 5,400
Boise Cascade Corp. 9.90% 2001.................... 70,000 77,048
Gaylord Container Corp. 9.38% 2007................ 10,000 8,000
Grupo Industrial Durango SA de CV 12.63% 2003..... 10,000 7,100
Repap New Brunswick, Inc. 9.00% 2004.............. 10,000 9,125
METALS & MINERALS -- 0.1%
A.K. Steel Holding Corp. 9.13% 2006............... 10,000 10,000
Armco, Inc. 9.00% 2007............................ 10,000 9,800
Bayou Steel Corp. 9.50% 2008*..................... 10,000 8,987
------------
231,630
------------
MUNICIPAL BONDS -- 1.1%
MUNICIPAL BONDS -- 1.1%
Allentown Pennsylvania 6.20% 2005................. 225,000 238,513
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002.............................. 85,000 89,472
Huntsville Alabama Solid Waste Disposal Authority
5.95% 2003....................................... 85,000 87,287
Miami Florida Revenue 7.25% 2003.................. 110,000 119,941
------------
535,213
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.5%
FOREIGN GOVERNMENT -- 1.5%
Australian Government 10.00% 2006........... (AUD) 755,000 583,565
Republic of Argentina 11.00% 2006................. 50,000 46,625
Republic of Columbia 7.25% 2004................... 49,000 38,342
Republic of Columbia 7.63% 2007................... 33,000 23,018
Republic of Lithuania 7.13% 2002*................. 35,000 30,275
------------
721,825
------------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.4%
Equity Office Properties Operating LP 6.38%
2003............................................. 100,000 99,938
Post Apartment Homes LP 7.02% 2001................ 110,000 114,989
------------
214,927
------------
U.S. GOVERNMENT & AGENCIES -- 21.8%
U.S. GOVERNMENT & AGENCIES -- 21.8%
Federal Home Loan Mortgage Corp. 6.00% 2006....... 34,541 34,735
Federal Home Loan Mortgage Corp. 6.50% 2022....... 122,000 127,756
Federal Home Loan Mortgage Corp. 6.50% 2023....... 40,000 42,850
Federal Home Loan Mortgage Corp. 6.55% 2022....... 32,000 33,610
Federal Home Loan Mortgage Corp. 6.75% 2022....... 130,000 134,757
Federal Home Loan Mortgage Corp. 7.00% 2023....... 25,000 27,328
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 7.50% 2023....... $ 16,236 $ 16,749
Federal Home Loan Mortgage Corp. 7.75% 2022....... 41,306 44,429
Federal Home Loan Mortgage Corp. 8.50% 2019....... 45,510 47,820
Federal National Mortgage Association 5.25%
2003............................................. 825,000 842,399
Federal National Mortgage Association 5.63%
2001............................................. 320,000 327,699
Federal National Mortgage Association 5.65%
2005............................................. 29,812 29,757
Federal National Mortgage Association 5.75%
2008............................................. 760,000 803,350
Federal National Mortgage Association 6.13%
2028(4).......................................... 231,118 233,718
Federal National Mortgage Association 7.00%
2006............................................. 7,639 7,646
Federal National Mortgage Association 7.39%
2021............................................. 46,053 50,281
Federal National Mortgage Association 7.75%
2021............................................. 184,000 194,234
Federal National Mortgage Association 8.00%
2006............................................. 64,798 68,625
Government National Mortgage Association 7.00%
2022............................................. 17,128 17,695
Government National Mortgage Association 7.00%
2023............................................. 15,007 15,499
Government National Mortgage Association 7.25%
2027............................................. 226,706 234,498
Government National Mortgage Association 7.50%
2024............................................. 59,971 62,182
Government National Mortgage Association 8.50%
2017............................................. 56,655 60,408
Government National Mortgage Association 9.00%
2021............................................. 17,472 18,783
United States Treasury Bonds 7.50% 2016........... 230,000 292,783
United States Treasury Bonds 8.50% 2020........... 200,000 284,468
United States Treasury Bonds 9.25% 2016........... 160,000 235,675
United States Treasury Bonds 11.88% 2003.......... 520,000 695,172
United States Treasury Bonds 12.00% 2013.......... 3,330,000 5,208,853
United States Treasury Bonds Strip zero coupon
2012............................................. 260,000 132,761
United States Treasury Notes 6.63% 2001........... 365,000 386,444
------------
10,712,964
------------
UTILITIES -- 2.1%
ELECTRIC UTILITIES -- 0.8%
Atlantic City Electric Co. 6.38% 2005............. 45,000 47,889
Cleveland Electric Illuminating Co., Series B
7.19% 2000....................................... 20,000 20,479
Empresa Nacional de Electricidad SA 7.33% 2037.... 45,000 40,226
PacifiCorp 6.38% 2008#............................ 150,000 156,675
Public Service Electric & Gas Co. 8.88% 2003...... 21,000 24,392
UtiliCorp United, Inc. 6.88% 2004................. 70,000 74,393
WESCO Distribution, Inc., Series B 9.13% 2008..... 15,000 14,288
GAS & PIPELINE UTILITIES -- 0.5%
HNG Internorth, Inc. 9.63% 2006................... 110,000 132,367
KN Energy, Inc. 6.65% 2005........................ 90,000 92,425
TELEPHONE -- 0.8%
GTE Corp. 6.36% 2006.............................. 175,000 186,392
MCI Communications Corp. 6.13% 2002(4)............ 45,000 46,128
MGC Communications, Inc., Series B 13.00% 2004.... 5,000 3,750
WorldCom, Inc. 7.55% 2004......................... 165,000 179,702
------------
1,019,106
------------
TOTAL BONDS & NOTES (cost $18,918,155)............ 19,738,947
------------
</TABLE>
- ----------------
26
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+ SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 0.0%
BANKS -- 0.0%
Golden State Bancorp, Inc......................... 1,500 $ 6,328
------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 4/15/08*#.............. 20 50
------------
TOTAL WARRANTS (cost $8,851)...................... 6,378
------------
<CAPTION>
PUT OPTIONS -- 0.1% CONTRACTS
<S> <C> <C>
- ----------------------------------------------------------------------------
America Online, Inc., exp 11/98................... 15 19,125
At Home Corp., exp 10/98.......................... 5 31
CMG Information Services, Inc., exp 11/98......... 14 8,225
Excite, Inc., exp 11/98........................... 10 6,000
Lycos, Inc., exp 11/98............................ 19 11,163
Yahoo, Inc., exp 11/98............................ 7 11,638
------------
TOTAL PUT OPTIONS (cost $60,781).................. 56,182
------------
TOTAL INVESTMENT SECURITIES (cost $41,871,349).... 43,691,037
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.1% AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.1%
Chase Manhattan Corp. 8.77% due 2/19/99........... $ 50,000 50,513
------------
FEDERAL AGENCY OBLIGATIONS -- 1.9%
Federal Home Loan Mortgage Corp. 5.40% due
10/1/98.......................................... 925,000 925,000
------------
FOREIGN SHORT-TERM NOTES -- 0.1%
New Zealand Treasury Bill zero coupon due
12/16/98................................... (NZD) 130,000 64,374
------------
TOTAL SHORT-TERM SECURITIES (cost $1,047,296)..... 1,039,887
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 9.2%
<S> <C> <C>
- ----------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.2%
J.P. Morgan & Co., Inc. Joint Repurchase Agreement
(Note 3)......................................... 640,000 640,000
PaineWebber, Inc. Joint Repurchase Agreement (Note
3)............................................... 2,872,000 2,872,000
State Street Bank & Trust Co. Joint Repurchase
Agreement (Note 3)............................... 1,000,000 1,000,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $4,512,000)..... 4,512,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $47,430,645) 100.2% 49,242,924
Total written call options (0.1) (29,707)
Liabilities in excess of other assets -- (0.1) (52,100)
--------- -------------
NET ASSETS -- 100.0% $ 49,161,117
--------- -------------
--------- -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof has been segregated as collateral for the
written option contracts
----------------
27
<PAGE>
(1) PIK ("Payment-in-Kind") payment made with additional securities in lieu of
cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Variable rate security; rate as of September 30, 1998
ADR -- American Depository Receipt
AUD -- Australian Dollar
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Abercrombie & Fitch Co. 3 10/98 $ 50 $ (244)
America Online, Inc. 15 11/98 120 (11,812)
Sepracor, Inc. 10 10/98 60 (7,501)
Yahoo!, Inc. 7 11/98 135 (10,150)
---------
Total Open Covered Written Call Options (proceeds $27,329)...... $ (29,707)
---------
---------
</TABLE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- ------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 24,000 USD 14,284 10/27/98 $ 58
USD 37,153 FIM 200,000 11/12/98 2,269
*USD 9,450 GBP 5,800 10/07/98 406
*USD 3,254 GBP 2,000 10/07/98 145
*USD 4,875 GBP 3,000 10/07/98 224
*USD 11,352 GBP 7,000 10/07/98 544
USD 7,606 ITL 13,000,000 10/19/98 272
USD 28,960 ITL 51,000,000 11/12/98 1,953
USD 6,264 ITL 11,000,000 11/12/98 403
USD 8,565 ITL 15,000,000 11/12/98 527
USD 4,819 ITL 8,000,000 11/12/98 30
-------
6,831
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 845,000 USD 500,730 10/27/98 (140)
AUD 103,000 USD 59,925 10/27/98 (1,127)
FIM 430,000 USD 80,264 11/06/98 (4,469)
FIM 500,000 USD 90,912 11/12/98 (7,643)
FIM 570,000 USD 106,343 11/12/98 (6,010)
*GBP 17,800 USD 29,512 10/07/98 (738)
ITL 10,000,000 USD 5,684 10/19/98 (376)
ITL 82,000,000 USD 47,029 10/19/98 (2,659)
ITL 14,000,000 USD 7,922 10/19/98 (561)
ITL 114,000,000 USD 64,564 11/12/98 (4,535)
-------
(28,258)
-------
Net Unrealized Depreciation................. $(21,427)
-------
-------
</TABLE>
- -------------
* Represents fully offsetting forward foreign currency contracts that do not
have additional market risk but have continued counter party settlement risk
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar GBP -- Great British Pound USD -- United States Dollar
FIM -- Finnish Markka ITL -- Italian Lira
</TABLE>
See Notes to Financial Statements
- ----------------
28
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME/EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 26.3% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.7%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .......................... 3,100 $ 29,837
AUTOMOTIVE -- 0.3%
Federal-Mogul Corp. .................... 1,245 58,204
Ford Motor Co. ......................... 1,000 46,937
General Motors Corp. ................... 500 27,344
RETAIL -- 1.3%
Amazon.com, Inc.+ ...................... 380 42,418
Costco Cos., Inc.+ ..................... 1,165 55,192
CVS Corp. .............................. 2,500 109,531
Dayton Hudson Corp. .................... 1,500 53,625
Federated Department Stores, Inc.+ ..... 800 29,100
Gap, Inc. .............................. 1,000 52,750
Home Depot, Inc. ....................... 1,300 51,350
Office Depot, Inc.+ .................... 1,000 22,438
Wal-Mart Stores, Inc. .................. 1,900 103,787
-------------
682,513
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos., Inc. ............... 1,100 50,669
UST, Inc. .............................. 400 11,825
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. .................. 500 34,250
-------------
96,744
-------------
ENERGY -- 0.9%
ENERGY SERVICES -- 0.3%
Schlumberger Ltd. ...................... 800 40,250
Transocean Offshore, Inc. .............. 2,355 81,689
ENERGY SOURCES -- 0.6%
Chevron Corp. .......................... 800 67,250
Enron Corp. ............................ 500 26,406
Exxon Corp. ............................ 500 35,094
Mobil Corp. ............................ 400 30,375
Ocean Rig ASA+ ....................(NOK) 44,992 17,829
Royal Dutch Petroleum Co. .............. 1,000 47,625
Texaco, Inc. ........................... 600 37,612
-------------
384,130
-------------
</TABLE>
----------------
29
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 3.3%
BANKS -- 1.1%
Ambanc Holding Co., Inc. ............... 115 $ 1,495
Bank of New York Co., Inc. ............. 4,000 109,500
Chase Manhattan Corp. .................. 600 25,950
Citicorp................................ 250 23,234
First Union Corp. ...................... 500 25,594
Firstar Corp. .......................... 575 29,109
Mellon Bank Corp. ...................... 800 44,050
NationsBank Corp. ...................... 590 31,565
Star Banc Corp. ........................ 860 56,867
Summit Bancorp. ........................ 1,200 45,000
U.S. Bancorp............................ 1,555 55,300
FINANCIAL SERVICES -- 1.6%
American Express Co. ................... 800 62,100
American General Corp. ................. 700 44,712
Associates First Capital Corp., Class
A..................................... 2,255 147,139
Capital One Financial Corp. ............ 1,000 103,500
Equitable Cos., Inc. ................... 600 24,825
Federal National Mortgage Association... 400 25,700
Fleet Financial Group, Inc. ............ 800 58,750
Household International, Inc. .......... 1,400 52,500
Morgan Stanley, Dean Witter & Co. ...... 500 21,531
Newcourt Credit Group, Inc. ............ 940 24,558
PaineWebber Group, Inc. ................ 900 27,000
Providian Financial Corp. .............. 800 67,850
Travelers Group, Inc. .................. 750 28,125
INSURANCE -- 0.6%
Aetna, Inc. ............................ 400 27,800
Allstate Corp. ......................... 1,000 41,687
Chubb Corp. ............................ 300 18,900
The Hartford Financial Services Group,
Inc. ................................. 600 28,463
UNUM Corp. ............................. 2,570 127,697
-------------
1,380,501
-------------
HEALTHCARE -- 5.1%
DRUGS -- 3.9%
Abbott Laboratories, Inc. .............. 800 34,750
ALZA Corp.+ ............................ 3,785 164,174
Amgen, Inc.+ ........................... 700 52,894
Biogen, Inc.+ .......................... 900 59,231
Bristol-Myers Squibb Co. ............... 400 41,550
Centocor, Inc.+ ........................ 3,155 125,017
Eli Lilly & Co. ........................ 3,070 240,419
Merck & Co., Inc. ...................... 300 38,869
Pfizer, Inc. ........................... 2,885 305,630
Pharmacia & Upjohn, Inc. ............... 1,545 77,540
Warner-Lambert Co. ..................... 6,085 459,417
HEALTH SERVICES -- 0.4%
IMS Health, Inc. ....................... 2,120 131,308
Omnicare, Inc. ......................... 1,499 52,840
</TABLE>
- ----------------
30
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.8%
Allegiance Corp. ....................... 800 $ 23,800
Baxter International, Inc. ............. 800 47,600
Johnson & Johnson....................... 500 39,125
Schering-Plough Corp. .................. 500 51,781
Sofamor Danek Group, Inc.+ ............. 1,625 144,625
United States Surgical Corp. ........... 45 1,876
-------------
2,092,446
-------------
INDUSTRIAL & COMMERCIAL -- 1.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Orbital Sciences Corp.+ ................ 1,080 30,308
BUSINESS SERVICES -- 0.4%
Apollo Group, Inc., Class A+............ 975 27,178
Delta & Pine Land Co. .................. 1,310 57,640
Service Corp. International............. 800 25,500
Technology Solutions Co.+ .............. 1,460 16,425
Waste Management, Inc.+ ................ 600 28,838
MACHINERY -- 0.1%
United Technologies Corp. .............. 700 53,506
MULTI-INDUSTRY -- 0.7%
Raisio Group PLC........................ 3,507 51,041
Republic Industries, Inc.+ ............. 900 13,106
Tyco International Ltd. ................ 4,320 238,680
TRANSPORTATION -- 0.1%
Burlington Northern Santa Fe Corp. ..... 900 28,800
-------------
571,022
-------------
INFORMATION & ENTERTAINMENT -- 2.8%
BROADCASTING & MEDIA -- 2.7%
Capstar Broadcasting Corp., Class A+.... 240 3,705
Chancellor Media Corp.+ ................ 1,860 62,077
Cox Communications, Inc., Class A+...... 1,765 96,413
Lamar Advertising Co.,+ ................ 1,476 41,328
Liberty Media Group, Series A+.......... 3,620 132,809
MediaOne Group, Inc.+ .................. 6,825 303,286
Outdoor Systems, Inc.+ ................. 2,757 53,762
Penton Media, Inc. ..................... 1,445 19,688
Time Warner, Inc. ...................... 4,417 386,764
United International Holdings, Inc.+ ... 850 8,234
LEISURE & TOURISM -- 0.1%
Carnival Corp., Class A................. 960 30,540
McDonald's Corp. ....................... 500 29,844
-------------
1,168,450
-------------
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 9.5%
COMMUNICATION EQUIPMENT -- 0.9%
General Instrument Corp.+ .............. 1,340 $ 28,978
Lucent Technologies, Inc. .............. 1,400 96,687
Nokia Corp., Class A ADR................ 2,935 230,214
COMPUTERS & BUSINESS EQUIPMENT -- 1.3%
Compaq Computer Corp. .................. 700 22,137
Dell Computer Corp.+ ................... 3,415 224,536
EMC Corp.+ ............................. 2,500 142,969
Hewlett-Packard Co. .................... 200 10,588
Honeywell, Inc. ........................ 400 25,625
International Business Machines
Corp. ................................ 700 89,600
Micron Technology, Inc.+ ............... 800 24,350
ELECTRONICS -- 1.1%
General Electric Co. ................... 2,060 163,899
Intel Corp. ............................ 810 69,457
Maxim Integrated Products, Inc.+ ....... 1,800 50,175
Motorola, Inc. ......................... 500 21,344
Pittway Corp., Class A.................. 3,180 75,922
Texas Instruments, Inc. ................ 800 42,200
Vitesse Semiconductor Corp.+ ........... 2,270 53,629
SOFTWARE -- 3.7%
America Online, Inc.+ .................. 1,850 205,812
Aspect Development, Inc.+ .............. 410 16,144
Aspen Technology, Inc.+ ................ 2,375 63,531
At Home Corp., Series A+................ 1,600 76,600
BMC Software, Inc.+ .................... 600 36,038
Broadcast.com, Inc.+ ................... 25 1,009
Cadence Design Systems, Inc.+ .......... 3,835 98,032
Cisco Systems, Inc.+ ................... 6,813 421,129
Intuit, Inc.+ .......................... 1,220 56,806
Microsoft Corp.+ ....................... 3,760 413,835
Sapient Corp.+ ......................... 2,400 81,900
Sun Microsystems, Inc.+ ................ 300 14,944
Wind River Systems+ .................... 1,155 54,574
TELECOMMUNICATIONS -- 2.5%
Comcast Corp., Class A.................. 7,800 366,112
Frontier Corp. ......................... 1,500 41,063
Global Crossing Ltd.+ .................. 190 3,966
Tele-Communications, Inc., TCI Ventures
Group, Series A+...................... 14,520 260,453
Tele-Communications, Inc., Series A+.... 8,080 316,130
Western Wireless Corp., Class A+........ 2,565 45,849
-------------
3,946,237
-------------
MATERIALS -- 0.5%
CHEMICALS -- 0.4%
du Pont (E.I.) de Nemours & Co. ........ 800 44,900
Monsanto Co. ........................... 2,330 131,354
</TABLE>
- ----------------
32
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS -- 0.1%
Martin Marietta Materials, Inc. ........ 300 $ 12,956
-------------
189,210
-------------
UTILITIES -- 0.9%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. .............................. 800 34,000
GAS & PIPELINE UTILITIES -- 0.0%
Consolidated Natural Gas Co. ........... 500 27,250
TELEPHONE -- 0.8%
AT&T Corp. ............................. 2,000 116,875
GTE Corp. .............................. 500 27,500
MCI WorldCom, Inc.+ .................... 1,800 87,975
SBC Communications, Inc. ............... 800 35,550
Telecom Italia SpA...................... 7,115 49,031
-------------
378,181
-------------
TOTAL COMMON STOCK (cost $9,973,373).... 10,889,434
-------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- -----------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1) (cost
$332)................................. 5 298
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 65.6% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.5%
APPAREL & TEXTILES -- 0.0%
Galey & Lord, Inc. 9.13% 2008........... $ 5,000 4,300
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008*.... 10,000 9,575
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008.................................. 10,000 9,600
Falcon Building Products, Inc. 9.50%
2007.................................. 10,000 8,500
Standard Pacific Corp. 8.50% 2007....... 20,000 19,100
RETAIL -- 0.4%
Amazon.com, Inc. zero coupon 2008(2).... 65,000 35,750
Duane Reade, Inc. 9.25% 2008............ 10,000 9,700
Fred Meyer, Inc. 7.38% 2005............. 55,000 57,095
J.C. Penney Co., Inc. 7.40% 2037........ 50,000 55,051
-------------
208,671
-------------
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Aurora Foods, Inc., Series B 8.75%
2008.................................. $ 5,000 $ 5,063
Nash Finch Co. 8.50% 2008............... 10,000 9,400
Panamerican Beverages, Inc. 8.13%
2003.................................. 70,000 72,061
HOUSEHOLD PRODUCTS -- 0.0%
Revlon Worldwide Corp. zero coupon
2001.................................. 20,000 15,300
-------------
101,824
-------------
ENERGY -- 0.8%
ENERGY SERVICES -- 0.0%
Dailey International, Inc. 9.50% 2008... 15,000 9,000
ENERGY SOURCES -- 0.8%
Abraxas Petroleum Corp. 11.50% 2004..... 15,000 11,700
Cross Timbers Oil Co., Class B 8.75%
2009.................................. 15,000 13,500
Newfield Exploration Co., Series B 7.45%
2007.................................. 20,000 19,860
P&L Coal Holdings Corp. 9.63% 2008*..... 25,000 24,562
Petroleos Mexicano 9.00% 2007........... 52,000 42,250
Sonat, Inc. 6.88% 2005.................. 140,000 149,822
Tesoro Petroleum Corp., Series B 9.00%
2008.................................. 10,000 9,625
YPF Sociedad Anonima 8.00% 2004......... 40,000 36,300
-------------
316,619
-------------
FINANCE -- 11.0%
BANKS -- 3.0%
Banc One Corp. 8.00% 2027............... 43,000 50,269
Bank One Columbus 7.38% 2002............ 40,000 42,907
Banponce Financial Corp. 6.75% 2001..... 50,000 51,782
Credit National 7.00% 2005.............. 40,000 42,127
Export Import Bank of Korea 6.50%
2006.................................. 65,000 49,869
First Chicago NBD Corp. 7.25% 2004...... 135,000 145,746
First Republic Bancorp 7.75% 2012....... 50,000 55,693
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007............. 250,000 258,080
Korea Development Bank 7.13% 2001....... 35,000 30,555
National City Corp. 7.20% 2005.......... 200,000 216,752
NBD Bank SA 8.25% 2024.................. 50,000 59,715
NCNB Co. 9.38% 2009..................... 68,000 87,341
United States Bancorp 7.50% 2026........ 110,000 122,756
Western Financial Savings Bank 8.88%
2007.................................. 10,000 8,400
FINANCIAL SERVICES -- 7.0%
Aesop Funding Corp. 6.14% 2006.......... 120,000 123,525
Allstate Financing II 7.83% 2045........ 49,000 51,946
AMRESCO, Inc. 9.88% 2005*............... 10,000 8,000
Arcadia Financial Ltd. 11.50% 2007
(3)................................... 10,000 7,275
Asset Securitization Corp. 6.66% 2041... 80,000 83,565
Associates Corp. of North America 7.63%
2004.................................. 130,000 144,691
ContiFinancial Corp. 8.13% 2008......... 5,000 4,697
CS First Boston Mortgage Securities
Corp. 7.24% 2029...................... 110,000 118,701
Dime Capital Trust I, Series A 9.33%
2027.................................. 40,000 45,354
Equitable Cos., Inc. 7.00% 2028......... 130,000 132,128
</TABLE>
- ----------------
34
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Finova Capital Corp. 6.63% 2001......... $ 125,000 $ 128,780
Finova Capital Corp., Series C 6.39%
2002.................................. 60,000 62,579
Fleet Mortgage Group, Inc. 6.84% 2003... 50,000 53,319
Ford Motor Credit Corp. 7.02% 2000...... 125,000 129,751
GE Capital Mortgage Services, Inc. 6.25%
2023.................................. 25,480 25,496
General Motors Acceptance Corp. 7.63%
2003.................................. 135,000 148,728
Morgan Stanley Capital I, Inc. 7.22%
2007*#................................ 120,000 129,788
Popular North America, Inc. 6.63%
2002.................................. 50,000 50,903
Private Export Funding Corp. 5.87%
2008.................................. 400,000 424,812
Private Export Funding Corp. 6.31%
2004.................................. 100,000 107,126
Private Export Funding Corp. 6.62%
2005.................................. 160,000 177,483
Private Export Funding Corp. 7.03%
2003.................................. 60,000 65,974
Private Export Funding Corp. 7.30%
2002.................................. 270,000 291,135
Private Export Funding Corp. 7.90%
2000.................................. 75,000 78,522
U.S. West Capital Funding, Inc. 6.25%
2005.................................. 165,000 175,227
U.S. West Capital Funding, Inc. 6.88%
2028.................................. 100,000 106,007
INSURANCE -- 1.0%
Cigna Corp. 7.40% 2007.................. 80,000 87,675
Cigna Corp. 7.88% 2027.................. 37,000 40,159
Jackson National Life Insurance Co.
8.15% 2027*........................... 44,000 53,239
Lumbermens Mutual Casualty Co. 8.30%
2037*................................. 80,000 89,628
Metropolitan Life Insurance Co. 7.70%
2015*................................. 140,000 164,140
-------------
4,532,345
-------------
HEALTHCARE -- 1.0%
HEALTH SERVICES -- 0.5%
HEALTHSOUTH Corp. 6.88% 2005*(3)........ 120,000 125,742
Tenet Healthcare Corp. 7.88% 2003....... 50,000 50,750
Tenet Healthcare Corp. 8.13% 2008*(3)... 20,000 20,481
MEDICAL PRODUCTS -- 0.5%
Allegiance Corp. 7.00% 2026............. 130,000 137,357
Beckman Instruments, Inc. 7.10% 2003.... 75,000 77,024
Owens & Minor, Inc. 10.88% 2006......... 10,000 10,600
-------------
421,954
-------------
INDUSTRIAL & COMMERCIAL -- 2.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
K & F Industries, Inc. 9.25% 2007....... 15,000 14,700
BUSINESS SERVICES -- 1.1%
Boise Cascade Office Products Co. 7.05%
2005.................................. 230,000 243,197
Federal Express Corp. 6.72% 2022#....... 190,000 195,700
MACHINERY -- 0.3%
Cincinnati Milacron, Inc. 7.88% 2000.... 75,000 77,368
Grove Worldwide LLC 9.25% 2008*(3)...... 5,000 4,400
Johnstown America Industries, Inc.
11.75% 2005........................... 10,000 10,487
Numatics, Inc., Series B 9.63% 2008..... 10,000 9,763
</TABLE>
----------------
35
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.0%
Nortek, Inc. 8.88% 2008................. $ 5,000 $ 4,825
TRANSPORTATION -- 0.7%
AMR Corp. 9.88% 2020.................... 70,000 97,541
Continental Airlines, Inc. 6.47% 2004... 95,000 100,994
Continental Airlines, Inc. 6.65% 2017... 70,000 74,327
MTL, Inc. 10.00% 2006*.................. 15,000 14,400
-------------
847,702
-------------
INFORMATION & ENTERTAINMENT -- 1.3%
BROADCASTING & MEDIA -- 1.2%
Allbritton Communications Co. 8.88%
2008.................................. 10,000 9,900
Century Communications Corp., Series B
zero coupon 2008...................... 25,000 11,750
Classic Cable, Inc. 9.88% 2008.......... 5,000 5,088
Comcast Cable Communications 8.50%
2027.................................. 50,000 61,252
EchoStar DBS Corp. 12.50% 2002.......... 15,000 15,637
Granite Broadcasting Corp. 8.88%
2008*................................. 20,000 18,675
LIN Holdings Corp. zero coupon
2008*(2).............................. 20,000 13,100
News America Holdings, Inc. 8.00%
2016.................................. 125,000 138,140
Scholastic Corp. 7.00% 2003............. 80,000 84,465
Tele-Communications, Inc. 8.00% 2005.... 50,000 57,141
Viacom, Inc. 7.75% 2005................. 80,000 86,389
LEISURE & TOURISM -- 0.1%
Argosy Gaming Co. 13.25% 2004........... 10,000 10,625
Fitzgeralds Gaming Corp., Series B
12.25% 2004........................... 5,000 3,500
Loews Cineplex Entertainment Corp. 8.88%
2008*................................. 5,000 4,950
-------------
520,612
-------------
INFORMATION TECHNOLOGY -- 1.0%
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00%
2003.................................. 10,000 10,100
Amphenol Corp. 9.88% 2007............... 5,000 4,675
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007.... 10,000 9,225
PSINet, Inc. 10.00% 2005................ 10,000 10,000
TELECOMMUNICATIONS -- 0.9%
AMSC Acquisition, Inc. 12.25% 2008...... 5,000 3,088
BTI Telecom Corp. 10.50% 2007........... 10,000 8,300
Compania de Telecomunicaciones 7.63%
2006.................................. 50,000 48,184
e.spire Communications, Inc. zero coupon
2008*(2).............................. 25,000 12,844
GCI, Inc. 9.75% 2007.................... 10,000 9,300
Globalstar LP 10.75% 2004............... 15,000 9,600
GST Telecommunications, Inc. zero coupon
2008*(2)(3)........................... 20,000 9,925
Intermedia Communications, Inc. 8.88%
2007.................................. 20,000 20,100
Iridium LLC 10.88% 2005................. 10,000 8,075
Iridium LLC 11.25% 2005................. 5,000 4,100
ITC Deltacom, Inc. 8.88% 2008........... 10,000 9,800
IXC Communications, Inc. 9.00% 2008..... 10,000 9,900
</TABLE>
- ----------------
36
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
KMC Telecom Holdings, Inc. zero coupon
2008(2)............................... $ 20,000 $ 9,575
Level 3 Communications, Inc. 9.13%
2008.................................. 15,000 14,212
McleodUSA, Inc. 8.38% 2008.............. 15,000 14,775
MJD Communications, Inc. 9.50% 2008*.... 5,000 5,025
Nextel Communications, Inc. zero coupon
2007(2)............................... 20,000 12,000
Paging Network, Inc. 10.13% 2007........ 15,000 14,850
Tele-Communications, Inc. 7.25% 2005.... 50,000 55,013
Tele-Communications, Inc. 9.25% 2002.... 50,000 56,113
Telecommunications Tech Co. LLC 9.75%
2008*................................. 15,000 13,706
Time Warner Telecom, Inc. 9.75% 2008.... 10,000 10,050
Viatel, Inc. 11.25% 2008* (3)........... 10,000 9,000
-------------
401,535
-------------
MATERIALS -- 0.6%
CHEMICALS -- 0.2%
Huntsman Corp. 9.50% 2007*.............. 15,000 14,400
ICI Wilmington, Inc. 6.95% 2004......... 70,000 73,199
LaRoche Industries, Inc. 9.50% 2007..... 10,000 8,500
Sovereign Speciality Chemicals 9.50%
2007.................................. 10,000 9,550
FOREST PRODUCTS -- 0.3%
American Pad & Paper Co. 13.00% 2005.... 10,000 5,400
Boise Cascade Corp. 9.90% 2001.......... 90,000 99,061
Gaylord Container Corp. 9.38% 2007...... 10,000 8,000
Grupo Industrial Durango SA de CV 12.63%
2003.................................. 10,000 7,100
Repap New Brunswick, Inc. 9.00% 2004.... 10,000 9,125
METALS & MINERALS -- 0.1%
A.K. Steel Holding Corp. 9.13% 2006..... 10,000 10,000
Armco, Inc. 9.00% 2007.................. 10,000 9,800
Bayou Steel Corp. 9.50% 2008*........... 15,000 13,481
-------------
267,616
-------------
MUNICIPAL BONDS -- 1.7%
MUNICIPAL BONDS -- 1.7%
Allentown Pennsylvania 6.20% 2005....... 280,000 296,817
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002......... 135,000 142,102
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003.................. 100,000 102,691
Miami Florida Revenue 7.25% 2003........ 135,000 147,200
-------------
688,810
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 2.1%
FOREIGN GOVERNMENT -- 2.1%
Australian Government 10.00%
2006.............................(AUD) 935,000 722,693
Republic of Argentina 11.00% 2006....... 55,000 51,288
Republic of Columbia 7.25% 2004......... 73,000 57,122
Republic of Columbia 7.63% 2007......... 25,000 17,438
Republic of Lithuania 7.13% 2002*....... 43,000 37,195
-------------
885,736
-------------
</TABLE>
----------------
37
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.6%
REAL ESTATE COMPANIES -- 0.6%
Equity Office Properties Operating LP
6.38% 2003............................ $ 120,000 $ 119,926
Post Apartment Homes LP 7.02% 2001...... 130,000 135,895
-------------
255,821
-------------
U.S. GOVERNMENT & AGENCIES -- 39.5%
U.S. GOVERNMENT & AGENCIES -- 39.5%
Federal Home Loan Mortgage Corp. 6.00%
2006.................................. 44,410 44,659
Federal Home Loan Mortgage Corp. 6.50%
2022.................................. 100,000 104,718
Federal Home Loan Mortgage Corp. 6.50%
2023.................................. 60,000 64,275
Federal Home Loan Mortgage Corp. 6.75%
2022.................................. 45,000 46,647
Federal Home Loan Mortgage Corp. 7.00%
2023.................................. 32,000 34,980
Federal Home Loan Mortgage Corp. 7.50%
2023.................................. 19,484 20,099
Federal Home Loan Mortgage Corp. 7.75%
2022.................................. 57,828 62,201
Federal Home Loan Mortgage Corp. 8.50%
2008.................................. 202,215 209,895
Federal Home Loan Mortgage Corp. 8.50%
2019.................................. 49,011 51,498
Federal National Mortgage Association
5.25% 2003............................ 1,635,000 1,669,482
Federal National Mortgage Association
5.63% 2001............................ 710,000 727,083
Federal National Mortgage Association
5.65% 2005............................ 44,718 44,635
Federal National Mortgage Association
5.75% 2008............................ 1,715,000 1,812,824
Federal National Mortgage Association
6.13% 2028(4)......................... 323,565 327,205
Federal National Mortgage Association
6.59% 2007............................ 99,181 105,690
Federal National Mortgage Association
7.00% 2006............................ 9,548 9,557
Federal National Mortgage Association
7.39% 2021............................ 55,263 60,337
Federal National Mortgage Association
7.75% 2021............................ 200,000 211,124
Federal National Mortgage Association
8.00% 2006............................ 134,996 142,969
Government National Mortgage Association
7.00% 2022............................ 18,747 19,368
Government National Mortgage Association
7.00% 2023............................ 18,262 18,861
Government National Mortgage Association
7.25% 2027............................ 337,745 349,354
Government National Mortgage Association
7.50% 2022............................ 45,806 47,509
Government National Mortgage Association
7.50% 2024............................ 19,303 20,015
Government National Mortgage Association
8.50% 2017............................ 72,435 77,233
Government National Mortgage Association
9.00% 2021............................ 18,889 20,305
United States Treasury Bonds 5.25%
2003.................................. 200,000 208,938
United States Treasury Bonds 7.50%
2016.................................. 275,000 350,067
United States Treasury Bonds 8.13%
2021.................................. 130,000 179,989
United States Treasury Bonds 8.50%
2020.................................. 275,000 391,143
United States Treasury Bonds 9.25%
2016.................................. 320,000 471,350
United States Treasury Bonds 10.75%
2003.................................. 150,000 187,337
United States Treasury Bonds 11.88%
2003.................................. 690,000 922,440
United States Treasury Bonds 12.00%
2013.................................. 3,740,000 5,850,183
United States Treasury Bonds Strip zero
coupon 2012........................... 475,000 242,545
United States Treasury Notes 5.63%
2008.................................. 200,000 218,750
United States Treasury Notes 6.63%
2001.................................. 950,000 1,005,812
-------------
16,331,077
-------------
</TABLE>
- ----------------
38
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 3.2%
ELECTRIC UTILITIES -- 1.3%
Atlantic City Electric Co. 6.38% 2005... $ 60,000 $ 63,852
Cleveland Electric Illuminating Co.,
Series B 7.19% 2000................... 30,000 30,719
Empresa Nacional de Electricidad SA
7.33% 2037............................ 50,000 44,695
PacifiCorp 6.38% 2008#.................. 250,000 261,125
Public Service Electric & Gas Co. 8.88%
2003.................................. 35,000 40,654
UtiliCorp United, Inc. 6.88% 2004....... 80,000 85,020
WESCO Distribution, Inc., Series B 9.13%
2008.................................. 20,000 19,050
GAS & PIPELINE UTILITIES -- 0.7%
HNG Internorth, Inc. 9.63% 2006......... 140,000 168,468
KN Energy, Inc. 6.65% 2005.............. 105,000 107,829
TELEPHONE -- 1.2%
GTE Corp. 6.36% 2006.................... 210,000 223,671
MCI Communications Corp. 6.13%
2002(4)............................... 60,000 61,504
MGC Communications, Inc., Series B
13.00% 2004........................... 5,000 3,750
WorldCom, Inc. 7.55% 2004............... 200,000 217,820
-------------
1,328,157
-------------
TOTAL BONDS & NOTES (cost
$25,925,427).......................... 27,108,479
-------------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+ SHARES
<S> <C> <C>
- -----------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 4/15/08*#
(cost $55)............................ 20 50
-------------
TOTAL INVESTMENT SECURITIES (cost
$35,899,187).......................... 37,998,261
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.0% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.2%
Chase Manhattan Corp. 8.77% due
2/19/99............................... $ 60,000 60,616
-------------
FEDERAL AGENCY OBLIGATIONS -- 1.6%
Federal Home Loan Mortgage Corp. 5.40%
due 10/1/98........................... 675,000 675,000
-------------
FOREIGN SHORT-TERM NOTES -- 0.2%
New Zealand Treasury Bill zero coupon
due 12/16/98.....................(NZD) 160,000 79,228
-------------
TOTAL SHORT-TERM SECURITIES (cost
$823,970)............................. 814,844
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.2%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.2%
J.P. Morgan & Co., Inc. Joint Repurchase
Agreement (See Note 3)................ 380,000 380,000
PaineWebber, Inc. Joint Repurchase
Agreement (See Note 3)................ 1,767,000 1,767,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$2,147,000)........................... 2,147,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $38,870,157) 99.1% 40,960,105
Other assets less liabilities -- 0.9 363,687
------ -----------
NET ASSETS -- 100.0% $41,323,792
------ -----------
------ -----------
</TABLE>
----------------
39
<PAGE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
(1) PIK ("Payment-In-Kind") payment made with additional securities in lieu of
cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Variable rate security; rate as of September 30, 1998
ADR -- American Depository Receipt
AUD -- Australian Dollar
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 30,000 USD 17,855 10/27/98 $ 72
USD 27,865 FIM 150,000 11/12/98 1,702
*USD 2,444 GBP 1,500 10/07/98 105
*USD 3,254 GBP 2,000 10/07/98 145
*USD 1,625 GBP 1,000 10/07/98 75
*USD 6,487 GBP 4,000 10/07/98 311
USD 4,680 ITL 8,000,000 10/19/98 167
USD 15,332 ITL 27,000,000 11/12/98 1,034
USD 3,986 ITL 7,000,000 11/12/98 257
USD 3,997 ITL 7,000,000 11/12/98 246
USD 1,928 ITL 3,200,000 11/12/98 11
-------
4,125
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 1,048,000 USD 621,024 10/27/98 (174)
AUD 125,000 USD 72,725 10/27/98 (1,368)
FIM 190,000 USD 35,466 11/06/98 (1,974)
FIM 300,000 USD 54,547 11/12/98 (4,586)
FIM 310,000 USD 57,836 11/12/98 (3,269)
FIM 50,000 USD 9,389 11/12/98 (466)
*GBP 8,500 USD 14,093 10/07/98 (352)
ITL 7,000,000 USD 3,979 10/19/98 (263)
ITL 44,000,000 USD 25,235 10/19/98 (1,427)
ITL 7,000,000 USD 3,961 10/19/98 (281)
ITL 56,000,000 USD 31,715 11/12/98 (2,228)
-------
(16,388)
-------
Net Unrealized Depreciation................... $(12,263)
-------
-------
</TABLE>
- -------------
*Represents fully offsetting forward foreign currency contracts that do not have
additional market risk but have continued counterparty settlement risk
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar GBP -- Great British Pound USD -- United States Dollar
FIM -- Finnish Markka ITL -- Italian Lira
</TABLE>
See Notes to Financial Statements
- ------------------
40
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 13.4% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.9%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ ........................................ 1,400 $ 13,475
AUTOMOTIVE -- 0.2%
Federal-Mogul Corp. .................................. 430 20,102
Ford Motor Co. ....................................... 700 32,856
General Motors Corp. ................................. 500 27,344
RETAIL -- 0.7%
Amazon.com, Inc.+ .................................... 130 14,511
Costco Cos., Inc.+ ................................... 385 18,239
CVS Corp. ............................................ 700 30,669
Dayton Hudson Corp. .................................. 480 17,160
Federated Department Stores, Inc.+ ................... 300 10,913
Gap, Inc. ............................................ 600 31,650
Home Depot, Inc. ..................................... 700 27,650
Office Depot, Inc. + ................................. 400 8,975
Wal-Mart Stores, Inc. ................................ 1,000 54,625
-------------
308,169
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos., Inc. ............................. 700 32,244
UST, Inc. ............................................ 200 5,912
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. ................................ 500 34,250
-------------
72,406
-------------
ENERGY -- 0.6%
ENERGY SERVICES -- 0.1%
Schlumberger Ltd. .................................... 300 15,094
Transocean Offshore, Inc. ............................ 820 28,444
ENERGY SOURCES -- 0.5%
Chevron Corp. ........................................ 500 42,031
Enron Corp. .......................................... 300 15,844
Exxon Corp. .......................................... 200 14,037
Mobil Corp. .......................................... 300 22,781
Ocean Rig ASA+ ................................. (NOK) 15,501 6,143
Royal Dutch Petroleum Co. ............................ 650 30,956
Texaco, Inc. ......................................... 500 31,344
-------------
206,674
-------------
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 1.9%
BANKS -- 0.5%
Ambanc Holding Co., Inc. ............................. 35 $ 455
Bank of New York Co., Inc. ........................... 1,380 37,777
Chase Manhattan Corp. ................................ 200 8,650
Citicorp.............................................. 50 4,647
First Union Corp. .................................... 200 10,238
Firstar Corp. ........................................ 185 9,366
Mellon Bank Corp. .................................... 400 22,025
NationsBank Corp. .................................... 260 13,910
Star Banc Corp. ...................................... 295 19,507
Summit Bancorp. ...................................... 600 22,500
U.S. Bancorp.......................................... 525 18,670
FINANCIAL SERVICES -- 1.1%
American Express Co. ................................. 400 31,050
American General Corp. ............................... 400 25,550
Associates First Capital Corp., Class A............... 990 64,597
Capital One Financial Corp. .......................... 500 51,750
Equitable Cos., Inc. ................................. 300 12,413
Federal National Mortgage Association................. 300 19,275
Fleet Financial Group, Inc. .......................... 400 29,375
Household International, Inc. ........................ 1,000 37,500
Morgan Stanley, Dean Witter & Co. .................... 400 17,225
Newcourt Credit Group, Inc. .......................... 320 8,360
PaineWebber Group, Inc. .............................. 900 27,000
Providian Financial Corp. ............................ 400 33,925
Travelers Group, Inc. ................................ 300 11,250
INSURANCE -- 0.3%
Aetna, Inc. .......................................... 100 6,950
Allstate Corp. ....................................... 600 25,012
Chubb Corp. .......................................... 100 6,300
The Hartford Financial Services Group, Inc. .......... 200 9,488
UNUM Corp. ........................................... 880 43,725
-------------
628,490
-------------
HEALTHCARE -- 2.6%
DRUGS -- 2.0%
ALZA Corp.+ .......................................... 1,285 55,737
Amgen, Inc.+ ......................................... 300 22,669
Biogen, Inc.+ ........................................ 400 26,325
Bristol-Myers Squibb Co. ............................. 200 20,775
Centocor, Inc.+ ...................................... 1,080 42,795
Eli Lilly & Co. ...................................... 1,245 97,499
Merck & Co., Inc. .................................... 300 38,869
Pfizer, Inc. ......................................... 1,115 118,120
Pharmacia & Upjohn, Inc. ............................. 520 26,098
Warner-Lambert Co. ................................... 2,615 197,432
HEALTH SERVICES -- 0.2%
IMS Health, Inc. ..................................... 720 44,595
Omnicare, Inc. ....................................... 517 18,224
</TABLE>
- ----------------
42
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.4%
Allegiance Corp. ..................................... 300 $ 8,925
Baxter International, Inc. ........................... 500 29,750
Johnson & Johnson..................................... 300 23,475
Schering-Plough Corp. ................................ 230 23,819
Sofamor Danek Group, Inc.+ ........................... 565 50,285
United States Surgical Corp. ......................... 10 417
-------------
845,809
-------------
INDUSTRIAL & COMMERCIAL -- 0.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
Orbital Sciences Corp.+ .............................. 365 10,243
BUSINESS SERVICES -- 0.2%
Apollo Group, Inc., Class A+ ......................... 340 9,478
Delta & Pine Land Co. ................................ 430 18,920
Service Corp. International........................... 100 3,188
Technology Solutions Co.+ ............................ 505 5,681
Waste Management, Inc. + ............................. 500 24,031
MACHINERY -- 0.1%
United Technologies Corp. ............................ 300 22,931
MULTI-INDUSTRY -- 0.3%
Raisio Group PLC...................................... 1,084 15,777
Republic Industries, Inc.+ ........................... 500 7,281
Tyco International Ltd. .............................. 1,220 67,405
TRANSPORTATION -- 0.0%
Burlington Northern Santa Fe Corp. ................... 450 14,400
-------------
199,335
-------------
INFORMATION & ENTERTAINMENT -- 1.2%
BROADCASTING & MEDIA -- 1.1%
Capstar Broadcasting Corp., Class A+ ................. 85 1,312
Chancellor Media Corp.+ .............................. 635 21,193
Cox Communications, Inc., Class A+ ................... 590 32,229
Lamar Advertising Co.+ ............................... 504 14,112
Liberty Media Group, Series A+ ....................... 515 18,894
MediaOne Group, Inc. + ............................... 2,300 102,206
Outdoor Systems, Inc.+ ............................... 946 18,447
Penton Media, Inc. ................................... 455 6,199
Time Warner, Inc. .................................... 1,512 132,395
United International Holdings, Inc.+ ................. 295 2,858
LEISURE & TOURISM -- 0.1%
Carnival Corp., Class A............................... 460 14,634
McDonald's Corp. ..................................... 300 17,906
-------------
382,385
-------------
INFORMATION TECHNOLOGY -- 4.6%
COMMUNICATION EQUIPMENT -- 0.4%
General Instrument Corp.+ ............................ 430 9,299
Lucent Technologies, Inc. ............................ 600 41,438
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Nokia Corp., Class A ADR.............................. 995 $ 78,045
COMPUTERS & BUSINESS EQUIPMENT -- 0.7%
Compaq Computer Corp. ................................ 350 11,069
Dell Computer Corp.+ ................................. 1,325 87,119
EMC Corp.+ ........................................... 1,000 57,187
Hewlett-Packard Co. .................................. 200 10,588
Honeywell, Inc. ...................................... 200 12,812
International Business Machines Corp. ................ 350 44,800
Micron Technology, Inc.+ ............................. 450 13,697
ELECTRONICS -- 0.6%
General Electric Co. ................................. 860 68,424
Intel Corp. .......................................... 425 36,444
Maxim Integrated Products, Inc.+ ..................... 610 17,004
Motorola, Inc. ....................................... 500 21,344
Pittway Corp., Class A................................ 1,020 24,352
Texas Instruments, Inc. .............................. 400 21,100
Vitesse Semiconductor Corp.+ ......................... 785 18,545
SOFTWARE -- 1.8%
America Online, Inc.+ ................................ 634 70,532
Aspect Development, Inc.+ ............................ 135 5,316
Aspen Technology, Inc.+ .............................. 790 21,132
At Home Corp., Series A+ ............................. 515 24,656
BMC Software, Inc.+ .................................. 500 30,031
Broadcast.com, Inc.+ ................................. 5 202
Cadence Design Systems, Inc.+ ........................ 1,250 31,953
Cisco Systems, Inc.+ ................................. 2,528 156,231
Intuit, Inc.+ ........................................ 390 18,159
Microsoft Corp.+ ..................................... 1,425 156,839
Sapient Corp.+ ....................................... 830 28,324
Sun Microsystems, Inc.+ .............................. 200 9,963
Wind River Systems+ .................................. 384 18,144
TELECOMMUNICATIONS -- 1.1%
Comcast Corp., Class A................................ 2,645 124,150
Frontier Corp. ....................................... 600 16,425
Global Crossing Ltd.+ ................................ 65 1,357
Tele-Communications, Inc., TCI Ventures Group, Series
A+ .................................................. 5,000 89,687
Tele-Communications, Inc., Series A+ ................. 2,768 108,298
Western Wireless Corp., Class A+ ..................... 855 15,283
-------------
1,499,949
-------------
MATERIALS -- 0.2%
CHEMICALS -- 0.2%
du Pont (E.I.) de Nemours & Co. ...................... 300 16,838
Monsanto Co. ......................................... 790 44,536
METALS & MINERALS -- 0.0%
Martin Marietta Materials, Inc. ...................... 200 8,637
-------------
70,011
-------------
</TABLE>
- ----------------
44
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 0.6%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. ............................................ 600 $ 25,500
GAS & PIPELINE UTILITIES -- 0.1%
Consolidated Natural Gas Co. ......................... 600 32,700
TELEPHONE -- 0.4%
AT&T Corp. ........................................... 700 40,906
GTE Corp. ............................................ 300 16,500
MCI WorldCom, Inc.+ .................................. 1,000 48,875
SBC Communications, Inc. ............................. 400 17,775
Telecom Italia SpA.................................... 2,262 15,588
-------------
197,844
-------------
TOTAL COMMON STOCK (cost $4,103,702) 4,411,072
-------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1) (cost $332).......... 5 298
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 79.0% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.6%
APPAREL & TEXTILES -- 0.0%
Galey & Lord, Inc. 9.13% 2008......................... $ 5,000 4,300
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008* ................. 10,000 9,575
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008................ 10,000 9,600
Falcon Building Products, Inc. 9.50% 2007............. 10,000 8,500
Standard Pacific Corp. 8.50% 2007..................... 20,000 19,100
RETAIL -- 0.5%
Amazon.com, Inc. zero coupon 2008(2).................. 27,000 14,850
Duane Reade, Inc. 9.25% 2008.......................... 10,000 9,700
Fred Meyer, Inc. 7.38% 2005........................... 55,000 57,095
J.C. Penney Co., Inc. 7.40% 2037...................... 60,000 66,061
-------------
198,781
-------------
CONSUMER STAPLES -- 0.4%
FOOD, BEVERAGE & TOBACCO -- 0.3%
Aurora Foods, Inc., Series B 8.75% 2008............... 5,000 5,063
Nash Finch Co. 8.50% 2008............................. 10,000 9,400
Panamerican Beverages, Inc. 8.13% 2003................ 80,000 82,356
HOUSEHOLD PRODUCTS -- 0.1%
Revlon Worldwide Corp. zero coupon 2001............... 20,000 15,300
-------------
112,119
-------------
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 1.0%
ENERGY SERVICES -- 0.0%
Dailey International, Inc. 9.50% 2008................. $ 15,000 $ 9,000
ENERGY SOURCES -- 1.0%
Abraxas Petroleum Corp. 11.50% 2004................... 15,000 11,700
Cross Timbers Oil Co., Class B 8.75% 2009............. 15,000 13,500
Newfield Exploration Co., Series B 7.45% 2007......... 30,000 29,789
P&L Coal Holdings Corp. 9.63% 2008*................... 25,000 24,562
Petroleos Mexicanos 9.00% 2007........................ 56,000 45,500
Sonat, Inc. 6.88% 2005................................ 135,000 144,472
Tesoro Petroleum Corp., Series B 9.00% 2008........... 10,000 9,625
YPF Sociedad Anonima 8.00% 2004....................... 60,000 54,450
-------------
342,598
-------------
FINANCE -- 12.9%
BANKS -- 3.9%
Banc One Corp. 8.00% 2027............................. 55,000 64,298
Bank One Columbus 7.38% 2002.......................... 40,000 42,907
Banponce Financial Corp. 6.75% 2001................... 65,000 67,316
Credit National 7.00% 2005............................ 60,000 63,191
Export Import Bank of Korea 6.50% 2006................ 80,000 61,378
First Chicago NBD Corp. 7.25% 2004.................... 135,000 145,746
First Republic Bancorp 7.75% 2012..................... 55,000 61,262
First Union-Lehman Brothers Commercial Mortgage Corp.
6.60% 2007........................................... 245,000 252,918
Korea Development Bank 7.13% 2001..................... 30,000 26,190
National City Corp. 7.20% 2005........................ 200,000 216,752
NBD Bank SA 8.25% 2024................................ 55,000 65,686
NCNB Co. 9.38% 2009................................... 80,000 102,754
United States Bancorp 7.50% 2026...................... 110,000 122,756
Western Financial Savings Bank 8.88% 2007............. 10,000 8,400
FINANCIAL SERVICES -- 7.6%
Aesop Funding Corp. 6.14% 2006*....................... 120,000 123,525
Allstate Financing II 7.83% 2045...................... 53,000 56,187
AMRESCO, Inc. 9.88% 2005.............................. 10,000 8,000
Arcadia Financial Ltd. 11.50% 2007 (3)................ 10,000 7,275
Asset Securitization Corp. 6.66% 2041................. 85,000 88,788
Associates Corp. of North America 7.63% 2004.......... 130,000 144,691
ContiFinancial Corp. 8.13% 2008....................... 10,000 9,394
CS First Boston Mortgage Securities Corp. 7.24%
2029................................................. 110,000 118,701
Dime Capital Trust I, Series A 9.33% 2027............. 45,000 51,023
Equitable Cos., Inc. 7.00% 2028....................... 130,000 132,128
Finova Capital Corp. 6.63% 2001....................... 125,000 128,780
Finova Capital Corp., Series C 6.39% 2002............. 65,000 67,794
Fleet Mortgage Group, Inc. 6.84% 2003................. 50,000 53,319
Ford Motor Credit Corp. 7.02% 2000.................... 125,000 129,751
GE Capital Mortgage Services, Inc. 6.25% 2023......... 38,220 38,243
General Motors Acceptance Corp. 7.63% 2003............ 130,000 143,220
Morgan Stanley Capital I, Inc. 7.22% 2007*# .......... 130,000 140,603
Popular North America, Inc. 6.63% 2002................ 40,000 40,722
Private Export Funding Corp. 5.87% 2008............... 125,000 132,754
Private Export Funding Corp. 6.31% 2004............... 100,000 107,126
</TABLE>
- ----------------
46
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Private Export Funding Corp. 7.03% 2003............... $ 100,000 $ 109,956
Private Export Funding Corp. 7.30% 2002............... 265,000 285,744
Private Export Funding Corp. 7.90% 2000............... 100,000 104,696
U.S. West Capital Funding, Inc. 6.25% 2005............ 165,000 175,227
U.S. West Capital Funding, Inc. 6.88% 2028............ 100,000 106,007
INSURANCE -- 1.4%
Cigna Corp. 7.40% 2007................................ 80,000 87,675
Cigna Corp. 7.88% 2027................................ 40,000 43,416
Jackson National Life Insurance Co. 8.15% 2027* ...... 49,000 59,288
Lumbermens Mutual Casualty Co. 8.30% 2037* ........... 85,000 95,230
Metropolitan Life Insurance Co. 7.70% 2015* .......... 140,000 164,140
-------------
4,254,957
-------------
HEALTHCARE -- 1.3%
HEALTH SERVICES -- 0.6%
HEALTHSOUTH Corp. 6.88% 2005*(3)...................... 120,000 125,742
Tenet Healthcare Corp. 7.88% 2003..................... 50,000 50,750
Tenet Healthcare Corp. 8.13% 2008*(3)................. 20,000 20,481
MEDICAL PRODUCTS -- 0.7%
Allegiance Corp. 7.00% 2026........................... 135,000 142,640
Beckman Instruments, Inc. 7.10% 2003.................. 75,000 77,024
Owens & Minor, Inc. 10.88% 2006....................... 10,000 10,600
-------------
427,237
-------------
INDUSTRIAL & COMMERCIAL -- 2.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
K & F Industries, Inc. 9.25% 2007..................... 15,000 14,700
BUSINESS SERVICES -- 1.3%
Boise Cascade Office Products Co. 7.05% 2005.......... 225,000 237,910
Federal Express Corp. 6.72% 2022# .................... 180,000 185,400
MACHINERY -- 0.3%
Cincinnati Milacron, Inc. 7.88% 2000.................. 75,000 77,368
Grove Worldwide LLC 9.25% 2008*(3).................... 5,000 4,400
Johnstown America Industries, Inc. 11.75% 2005 10,000 10,487
Numatics, Inc., Series B 9.63% 2008................... 10,000 9,763
MULTI-INDUSTRY -- 0.0%
Nortek, Inc. 8.88% 2008............................... 5,000 4,825
TRANSPORTATION -- 0.8%
AMR Corp. 10.20% 2020................................. 50,000 65,699
Continental Airlines, Inc. 6.47% 2004................. 95,000 100,994
Continental Airlines, Inc. 6.65% 2017................. 75,000 79,636
MTL, Inc. 10.00% 2006* ............................... 15,000 14,400
-------------
805,582
-------------
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 1.7%
BROADCASTING & MEDIA -- 1.7%
Allbritton Communications Co. 8.88% 2008.............. $ 10,000 $ 9,900
Century Communications Corp., Series B zero coupon
2008 ................................................ 25,000 11,750
Classic Cable, Inc. 9.88% 2008........................ 5,000 5,087
Comcast Cable Communications 8.50% 2027............... 80,000 98,004
EchoStar DBS Corp. 12.50% 2002........................ 15,000 15,637
Granite Broadcasting Corp. 8.88% 2008* ............... 20,000 18,675
LIN Holdings Corp. zero coupon 2008*(2)............... 20,000 13,100
News America Holdings, Inc. 8.00% 2016................ 130,000 143,666
Scholastic Corp. 7.00% 2003........................... 85,000 89,744
Tele-Communications, Inc. 8.00% 2005.................. 50,000 57,141
Viacom, Inc. 7.75% 2005............................... 80,000 86,389
LEISURE & TOURISM -- 0.0%
Argosy Gaming Co. 13.25% 2004......................... 10,000 10,625
Fitzgeralds Gaming Corp., Series B 12.25% 2004........ 5,000 3,500
Loews Cineplex Entertainment Corp. 8.88% 2008* ....... 5,000 4,950
-------------
568,168
-------------
INFORMATION TECHNOLOGY -- 1.2%
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00% 2003.............. 10,000 10,100
Amphenol Corp. 9.88% 2007............................. 5,000 4,675
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007.................. 10,000 9,225
PSINet, Inc. 10.00% 2005.............................. 10,000 10,000
TELECOMMUNICATIONS -- 1.1%
AMSC Acquisition, Inc. 12.25% 2008.................... 5,000 3,088
BTI Telecom Corp. 10.50% 2007......................... 10,000 8,300
Compania de Telecomunicaciones 7.63% 2006............. 50,000 48,184
e.spire Communications, Inc. zero coupon 2008*(2)..... 25,000 12,844
GCI, Inc. 9.75% 2007.................................. 10,000 9,300
Globalstar LP 10.75% 2004............................. 15,000 9,600
GST Telecommunications, Inc. zero coupon
2008*(2)(3).......................................... 20,000 9,925
Intermedia Communications, Inc. 8.88% 2007............ 20,000 20,100
Iridium LLC 10.88% 2005............................... 10,000 8,075
Iridium LLC 11.25% 2005............................... 5,000 4,100
ITC Deltacom, Inc. 8.88% 2008......................... 10,000 9,800
IXC Communications, Inc. 9.00% 2008................... 10,000 9,900
KMC Telecom Holdings, Inc. zero coupon 2008(2)........ 20,000 9,575
Level 3 Communications, Inc. 9.13% 2008............... 15,000 14,212
McleodUSA, Inc. 8.38% 2008............................ 15,000 14,775
MJD Communications, Inc. 9.50% 2008* ................. 5,000 5,025
Nextel Communications, Inc. zero coupon 2007(2)....... 20,000 12,000
Paging Network, Inc. 10.13% 2007...................... 15,000 14,850
Tele-Communications, Inc. 7.25% 2005.................. 40,000 44,010
Tele-Communications, Inc. 9.25% 2002.................. 60,000 67,336
Telecommunications Tech Co. LLC 9.75% 2008* .......... 15,000 13,706
Time Warner Telecom, Inc. 9.75% 2008.................. 10,000 10,050
Viatel, Inc. 11.25% 2008*(3).......................... 10,000 9,000
-------------
401,755
-------------
</TABLE>
- ----------------
48
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.8%
CHEMICALS -- 0.3%
Huntsman Corp. 9.50% 2007* ........................... $ 15,000 $ 14,400
ICI Wilmington, Inc. 6.95% 2004....................... 80,000 83,655
LaRoche Industries, Inc. 9.50% 2007................... 10,000 8,500
Sovereign Speciality Chemicals 9.50% 2007............. 10,000 9,550
FOREST PRODUCTS -- 0.4%
American Pad & Paper Co. 13.00% 2005.................. 10,000 5,400
Boise Cascade Corp. 9.90% 2001........................ 80,000 88,055
Gaylord Container Corp. 9.38% 2007.................... 10,000 8,000
Grupo Industrial Durango SA de CV 12.63% 2003......... 10,000 7,100
Repap New Brunswick, Inc. 9.00% 2004.................. 10,000 9,125
METALS & MINERALS -- 0.1%
A.K. Steel Holding Corp. 9.13% 2006................... 10,000 10,000
Armco, Inc. 9.00% 2007................................ 10,000 9,800
Bayou Steel Corp. 9.50% 2008* ........................ 15,000 13,481
-------------
267,066
-------------
MUNICIPAL BONDS -- 2.3%
MUNICIPAL BONDS -- 2.3%
Allentown Pennsylvania 6.20% 2005..................... 290,000 307,417
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002.................................. 200,000 210,522
Huntsville Alabama Solid Waste Disposal Authority
5.95% 2003........................................... 105,000 107,826
Miami Florida Revenue 7.25% 2003...................... 130,000 141,748
-------------
767,513
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 2.7%
FOREIGN GOVERNMENT -- 2.7%
Australian Government 10.00% 2006............... (AUD) 940,000 726,558
Republic of Argentina 11.00% 2006..................... 60,000 55,950
Republic of Columbia 7.25% 2004....................... 70,000 54,775
Republic of Columbia 7.63% 2007....................... 25,000 17,438
Republic of Lithuania 7.13% 2002* .................... 53,000 45,845
-------------
900,566
-------------
REAL ESTATE -- 0.8%
REAL ESTATE COMPANIES -- 0.8%
Equity Office Properties Operating LP 6.38% 2003...... 120,000 119,926
Post Apartment Homes LP 7.02% 2001.................... 130,000 135,895
-------------
255,821
-------------
U.S. GOVERNMENT & AGENCIES -- 46.6%
U.S. GOVERNMENT & AGENCIES -- 46.6%
Federal Home Loan Mortgage Corp. 6.50% 2022........... 60,000 62,831
Federal Home Loan Mortgage Corp. 6.50% 2023........... 96,000 102,840
Federal Home Loan Mortgage Corp. 7.00% 2023........... 45,000 49,190
Federal Home Loan Mortgage Corp. 7.50% 2023........... 32,473 33,498
Federal Home Loan Mortgage Corp. 7.75% 2022........... 82,612 88,859
Federal Home Loan Mortgage Corp. 8.50% 2019........... 56,012 58,855
</TABLE>
----------------
49
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 8.50% 2008........... $ 217,262 $ 225,513
Federal National Mortgage Association 5.25% 2003...... 510,000 520,756
Federal National Mortgage Association 5.63% 2001...... 515,000 527,391
Federal National Mortgage Association 5.65% 2005...... 59,624 59,514
Federal National Mortgage Association 5.75% 2008...... 740,000 782,898
Federal National Mortgage Association 6.13% 2028(4)... 231,118 233,718
Federal National Mortgage Association 6.59% 2007...... 99,181 105,690
Federal National Mortgage Association 7.00% 2006...... 13,367 13,380
Federal National Mortgage Association 7.39% 2021...... 55,263 60,336
Federal National Mortgage Association 7.75% 2021...... 200,000 211,124
Federal National Mortgage Association 8.00% 2006...... 53,999 57,187
Government National Mortgage Association 7.00% 2023... 54,829 56,628
Government National Mortgage Association 7.25% 2027... 513,558 531,209
Government National Mortgage Association 7.50% 2022... 23,810 24,695
Government National Mortgage Association 7.50% 2023... 76,879 79,737
Government National Mortgage Association 8.50% 2017... 75,551 80,555
Government National Mortgage Association 9.00% 2021... 21,250 22,844
United States Treasury Bonds 5.25% 2003............... 200,000 208,938
United States Treasury Bonds 5.63% 2008............... 200,000 218,750
United States Treasury Bonds 7.50% 2001............... 220,000 239,765
United States Treasury Bonds 7.50% 2016............... 430,000 547,377
United States Treasury Bonds 8.13% 2021............... 120,000 166,144
United States Treasury Bonds 8.50% 2020............... 180,000 256,021
United States Treasury Bonds 9.25% 2016............... 275,000 405,067
United States Treasury Bonds 10.75% 2003.............. 170,000 212,315
United States Treasury Bonds 11.88% 2003.............. 620,000 828,859
United States Treasury Bonds 12.00% 2013.............. 4,650,000 7,273,623
United States Treasury Bonds Strip zero coupon 2012... 325,000 165,952
United States Treasury Notes 6.63% 2001............... 835,000 884,056
-------------
15,396,115
-------------
UTILITIES -- 4.3%
ELECTRIC UTILITIES -- 1.8%
Atlantic City Electric Co. 6.38% 2005................. 75,000 79,815
Cleveland Electric Illuminating Co., Series B 7.19%
2000................................................. 40,000 40,959
Empresa Nacional de Electricidad SA 7.33% 2037........ 60,000 53,635
PacifiCorp 6.38% 2008# ............................... 250,000 261,125
Public Service Electric & Gas Co. 8.88% 2003.......... 47,000 54,592
UtiliCorp United, Inc. 6.88% 2004..................... 90,000 95,647
WESCO Distribution, Inc., Series B 9.13% 2008......... 20,000 19,050
GAS & PIPELINE UTILITIES -- 0.8%
HNG Internorth, Inc. 9.63% 2006....................... 135,000 162,451
KN Energy, Inc. 6.65% 2005............................ 100,000 102,694
TELEPHONE -- 1.7%
GTE Corp. 6.36% 2006.................................. 220,000 234,322
MCI Communications Corp. 6.13% 2002(4)................ 55,000 56,379
MGC Communications, Inc., Series B 13.00% 2004........ 5,000 3,750
</TABLE>
- ----------------
50
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
WorldCom, Inc. 7.55% 2004............................. $ 230,000 $ 250,493
-------------
1,414,912
-------------
TOTAL BONDS & NOTES (cost $24,987,772)................ 26,113,190
-------------
<CAPTION>
WARRANTS -- 0.0%+ SHARES
<S> <C> <C>
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 4/15/08*# (cost $55)....... 20 50
-------------
TOTAL INVESTMENT SECURITIES (cost $29,091,861)........ 30,524,610
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.2%
Chase Manhattan Corp. 8.77% due 2/19/99............... $ 60,000 60,616
-------------
FEDERAL AGENCY OBLIGATIONS -- 1.0%
Federal Home Loan Mortgage Corp. 5.40% due 10/1/98.... 325,000 325,000
-------------
FOREIGN SHORT-TERM NOTES -- 0.2%
New Zealand Treasury Bill zero coupon due 12/16/98....
(NZD) 150,000 74,276
-------------
TOTAL SHORT-TERM SECURITIES (cost $468,440)........... 459,892
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.0%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.0%
J.P. Morgan & Co., Inc. Joint Repurchase Agreement
(See Note 3)......................................... 905,000 905,000
PaineWebber, Inc. Joint Repurchase Agreement (See Note
3)................................................... 753,000 753,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $1,658,000)......... 1,658,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $31,218,301) 98.8% 32,642,502
Other assets less liabilities -- 1.2 409,295
------- -------------
NET ASSETS -- 100.0% $ 33,051,797
------- -------------
------- -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair Value Security; see Note 2
* Resale restricted to qualified institutional buyers
(1) PIK ("Payment-in-kind") payment made with additional securities in lieu of
cash
(2) Represent a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Variable rate security; rate as of September 30, 1998
ADR -- American Depository Receipt
AUD -- Australian Dollar
NOK -- Norwegian Krone
NZD -- New Zealand Dollar
----------------
51
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ---------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 30,000 USD 17,855 10/27/98 $ 72
USD 6,502 FIM 35,000 11/12/98 397
*USD 1,466 GBP 900 10/07/98 63
*USD 1,625 GBP 1,000 10/07/98 74
*USD 1,622 GBP 1,000 10/07/98 78
*USD 1,287 ITL 2,200,000 10/19/98 46
USD 4,579 ITL 8,000,000 11/12/98 270
USD 1,708 ITL 3,000,000 11/12/98 110
USD 1,142 ITL 2,000,000 11/12/98 70
USD 904 ITL 1,500,000 11/12/98 6
------
1,186
------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 1,055,000 USD 625,172 10/27/98 (175)
AUD 125,000 USD 72,725 10/27/98 (1,368)
FIM 70,000 USD 13,066 11/06/98 (728)
FIM 75,000 USD 13,637 11/12/98 (1,147)
FIM 100,000 USD 18,657 11/12/98 (1,054)
FIM 20,000 USD 3,756 11/12/98 (187)
*GBP 2,900 USD 4,808 10/07/98 (120)
ITL 2,000,000 USD 1,137 10/19/98 (75)
ITL 14,500,000 USD 8,316 10/19/98 (470)
*ITL 2,200,000 USD 1,245 10/19/98 (88)
ITL 17,500,000 USD 9,911 11/12/98 (696)
------
(6,108)
------
Net Unrealized Depreciation............................. $ (4,922)
------
------
</TABLE>
- -------------
* Represents fully offsetting forward foreign currency contracts that do not
have additional market risk but have continued counterparty settlement risk
<TABLE>
<S> <C> <C>
AUD -- Australian Dollar GBP -- Great British Pound USD -- United States Dollar
FIM -- Finnish Markka ITL -- Italian Lira
</TABLE>
See Notes to Financial Statements
- ----------------
52
<PAGE>
- ----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 73.8% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.8%
APPAREL & TEXTILES -- 0.2%
Jones Apparel Group, Inc.+ ........................... 7,200 $ 165,150
Onward Kashiyama Co Ltd. ............................. 2,000 24,552
AUTOMOTIVE -- 1.7%
Bayerische Motoren Werke AG........................... 166 106,859
Bayerische Motoren Werke AG New....................... 39 24,522
Bridgestone Corp. .................................... 3,000 60,393
Chrysler Corp. ....................................... 1,300 62,238
Ford Motor Co. ....................................... 5,900 276,931
Fuji Heavy Industries Ltd. ........................... 6,000 31,273
General Motors Corp. ................................. 1,900 103,906
Goodyear Tire & Rubber Co. ........................... 2,900 148,988
Honda Motor Co., Ltd. ................................ 4,000 121,518
Michelin Corp., Class B............................... 3,821 150,116
Renault SA............................................ 567 22,681
Volkswagen AG......................................... 1,825 131,688
Volvo AB, Class B..................................... 2,852 69,867
HOUSING -- 0.5%
Cemex SA.............................................. 3,693 8,130
CRH PLC............................................... 16,316 206,047
Masco Corp. .......................................... 5,400 132,975
RETAIL -- 6.4%
Aoyama Trading Co., Ltd. ............................. 100 2,130
Costco Cos., Inc.+ ................................... 9,200 435,850
CVS Corp. ............................................ 16,700 731,669
Dayton Hudson Corp. .................................. 15,235 544,651
Federated Department Stores, Inc.+ ................... 400 14,550
Gucci Group NV........................................ 100 3,613
Home Depot, Inc. ..................................... 10,200 402,900
Koninklijke Ahold NV ................................. 4,572 136,673
J.C. Penney, Inc. .................................... 900 40,444
Kmart Corp.+ ......................................... 9,900 118,181
Marks & Spencer PLC................................... 2,900 22,285
May Department Stores Co. ............................ 2,100 108,150
Office Depot, Inc.+ .................................. 6,400 143,600
Safeway, Inc.+ ....................................... 10,000 463,750
Sears, Roebuck & Co. ................................. 2,500 110,469
TJX Cos., Inc. ....................................... 14,500 258,281
Toys "R" Us, Inc.+ ................................... 5,100 82,556
Vendex NV............................................. 2,183 81,137
Wal-Mart Stores, Inc. ................................ 13,400 731,975
Walgreen Co. ......................................... 9,600 423,000
-------------
6,703,698
-------------
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COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
CONSUMER STAPLES -- 4.6%
FOOD, BEVERAGE & TOBACCO -- 3.2%
Anheuser-Busch Cos., Inc. ............................ 4,100 $ 221,400
British America Tobacco Holdings Ltd. ................ 8,765 65,305
Coca-Cola Femsa SA ADR+ .............................. 935 11,395
ConAgra, Inc. ........................................ 2,500 67,344
General Mills, Inc. .................................. 900 63,000
Greencore Group PLC................................... 14,240 52,140
H.J. Heinz & Co. ..................................... 3,700 189,162
Nabisco Holdings Corp., Class A....................... 1,066 38,309
Nestle SA+ ........................................... 189 377,069
PepsiCo, Inc. ........................................ 200 5,888
Philip Morris Cos., Inc. ............................. 18,400 847,550
Quaker Oats Co. ...................................... 2,416 142,544
RJR Nabisco Holdings Corp. ........................... 6,200 156,163
Sara Lee Corp. ....................................... 3,800 205,200
HOUSEHOLD PRODUCTS -- 1.4%
Clorox Co. ........................................... 2,805 231,413
Colgate-Palmolive Co. ................................ 6,510 445,935
Estee Lauder Cos., Inc., Class A...................... 3,800 194,750
KAO Corp. ............................................ 8,000 127,667
Kimberly-Clark Corp. ................................. 2,600 105,300
-------------
3,547,534
-------------
ENERGY -- 4.5%
ENERGY SERVICES -- 0.4%
Halliburton Co. ...................................... 1,800 51,413
Schlumberger Ltd. .................................... 2,090 105,153
Tosco Corp. .......................................... 2,405 51,707
VA Technologies AG.................................... 582 52,803
ENERGY SOURCES -- 4.1%
Amoco Corp. .......................................... 4,666 251,381
Atlantic Richfield Co. ............................... 2,965 210,330
British Petroleum Co. PLC............................. 11,890 181,928
Burlington Resources, Inc. ........................... 700 26,163
Burmah Castrol PLC.................................... 9,656 137,239
Chevron Corp. ........................................ 1,300 109,281
ENI SpA+ ............................................. 22,146 135,775
Enron Corp. .......................................... 1,400 73,938
Exxon Corp. .......................................... 14,500 1,017,719
Iberdrola SA.......................................... 4,267 71,099
Mobil Corp. .......................................... 3,200 243,000
Occidental Petroleum Corp. ........................... 2,600 55,900
Societe Nationale Elf Aquitaine SA.................... 1,589 196,078
Sonat, Inc. .......................................... 3,300 98,587
Texaco, Inc. ......................................... 1,650 103,434
Total SA, Class B..................................... 1,848 232,988
-------------
3,405,916
-------------
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 13.6%
BANKS -- 6.4%
ABN Amro Holdings NV.................................. 6,492 $ 110,650
Allied Irish Banks PLC................................ 17,269 252,924
Banc One Corp. ....................................... 900 38,363
Banca Popolare di Bergamo Credito Varesino SpA........ 1,300 26,344
Banca Popolare di Brescia............................. 1,287 24,209
Banca Popolare di Milano.............................. 3,660 26,386
Banco Frances SA...................................... 3,828 24,503
Bank of Ireland....................................... 12,143 215,958
Bank of Nova Scotia................................... 8,135 133,321
BankAmerica Corp. .................................... 8,800 529,100
BankBoston Corp. ..................................... 4,395 145,035
Bankers Trust New York Corp. ......................... 2,380 140,420
Banque Nationale de Paris............................. 3,263 174,810
Bayerische Vereinsbank AG............................. 893 65,774
Chase Manhattan Corp. ................................ 2,552 110,374
Citicorp.............................................. 2,030 188,663
Comerica, Inc. ....................................... 4,000 219,250
Commonwealth Bank of Australia........................ 5,793 68,546
Credit Commerce France................................ 630 40,501
Deutsche Bank AG+ .................................... 2,309 119,325
Fifth Third Bancorp................................... 3,800 218,500
First Chicago NBD Corp. .............................. 3,390 232,215
First Tennessee National Corp. ....................... 465 12,700
First Union Corp. .................................... 2,495 127,713
Firstar Corp. ........................................ 3,900 197,438
Foreningsbanken AB, Class A........................... 1,423 32,681
Huntington Bancshares, Inc. .......................... 500 12,563
Istituto Nazionale delle Assicurazioni................ 24,349 61,955
Julius Baer Holdings AG............................... 50 117,720
MBNA Corp. ........................................... 9,900 283,387
Mercantile Bancorp, Inc. ............................. 1,500 72,563
National City Corp. .................................. 800 52,750
National Westminster Bank PLC......................... 6,394 85,876
NationsBank Corp. .................................... 2,410 128,935
Nordbanken AB+ ....................................... 6,876 39,479
PNC Bank Corp. ....................................... 2,600 117,000
Royal Bank of Canada.................................. 620 25,158
Societe Generale Enterprises+ ........................ 1,029 113,929
Southtrust Corp. ..................................... 2,400 83,850
Star Banc Corp. ...................................... 1,900 125,638
Summit Bancorp. ...................................... 500 18,750
Svenska Handelsbank, Series A......................... 2,126 79,750
FINANCIAL SERVICES -- 5.0%
Allied Zurich AG+ .................................... 10,065 103,011
American Express Co. ................................. 4,100 318,262
American General Corp. ............................... 3,400 217,175
Associates First Capital Corp., Class A............... 2,100 137,025
Assurances Generales de France+ ...................... 1,306 72,066
Compagnie Financiere Richemont AG+ ................... 53 67,959
Equitable Cos., Inc. ................................. 2,668 110,389
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Federal Home Loan Mortgage Corp. ..................... 9,900 $ 489,431
Federal National Mortgage Association................. 3,700 237,725
Fleet Financial Group, Inc. .......................... 1,500 110,156
H.F. Ahmanson & Co. .................................. 200 11,100
ING Groep NV.......................................... 4,160 187,530
J.P. Morgan & Co., Inc. .............................. 1,800 152,325
KeyCorp. ............................................. 3,464 100,023
Lehman Brothers Holdings, Inc. ....................... 1,400 39,550
Merrill Lynch & Co., Inc. ............................ 800 37,900
Morgan Stanley, Dean Witter & Co. .................... 1,005 43,278
Nikko Securities Co. Ltd. ............................ 36,000 77,215
Norwest Corp. ........................................ 5,940 212,726
P & O Finance BV+ .................................... 6,351 60,465
Promise Co. .......................................... 1,700 76,535
Travelers Group, Inc. ................................ 11,555 433,312
UBS AG+ .............................................. 1,024 200,290
Unidanmark A/S, Class A............................... 602 43,606
Washington Mutual, Inc. .............................. 3,134 105,773
Wells Fargo & Co. .................................... 500 177,500
INSURANCE -- 2.2%
Aetna, Inc. .......................................... 700 48,650
Allianz AG............................................ 236 73,205
Allstate Corp. ....................................... 2,600 108,388
American International Group, Inc. ................... 5,150 396,550
Aon Corp. ............................................ 2,995 193,177
Axa SA+ .............................................. 577 52,859
CIGNA Corp. .......................................... 3,100 204,987
Conseco, Inc. ........................................ 8,700 265,894
Munchener Ruckversicherungs AG+ ...................... 164 72,378
Royal & Sun Alliance Insurance Group PLC.............. 12,266 106,352
The Hartford Financial Services Group, Inc. .......... 1,400 66,413
Zurich Allied AG+ .................................... 119 59,224
-------------
10,365,410
-------------
HEALTHCARE -- 9.6%
DRUGS -- 5.8%
Bristol-Myers Squibb Co. ............................. 8,360 868,395
Glaxo Wellcome PLC.................................... 2,844 83,985
Eli Lilly & Co. ...................................... 5,900 462,044
Merck & Co., Inc. .................................... 2,960 383,505
Novartis AG........................................... 139 223,443
Pfizer, Inc. ......................................... 7,400 783,937
Pharmacia & Upjohn, Inc. ............................. 10,800 542,025
Pharmacia & Upjohn, Inc. ....................... (SEK) 5,511 277,044
Sankyo Co. Ltd. ...................................... 3,000 66,323
Warner-Lambert Co. ................................... 10,300 777,650
HEALTH SERVICES -- 1.0%
Columbia/HCA Healthcare Corp. ........................ 2,500 50,156
HEALTHSOUTH Corp.+ ................................... 7,300 77,106
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
IMS Health, Inc. ..................................... 3,800 $ 235,363
Quintiles Transnational Corp.+ ....................... 3,200 140,000
Tenet Healthcare Corp.+ .............................. 4,700 135,125
United HealthCare Corp. .............................. 1,000 35,000
Wellpoint Health Networks, Inc., Class A+ ............ 1,068 59,875
MEDICAL PRODUCTS -- 2.8%
Akzo Nobel NV......................................... 4,315 153,506
American Home Products Corp. ......................... 6,200 324,725
Baxter International, Inc. ........................... 6,135 365,032
Cardinal Health, Inc. ................................ 3,300 340,725
McKesson Corp. ....................................... 1,500 137,438
Schering-Plough Corp. ................................ 7,600 787,075
-------------
7,309,477
-------------
INDUSTRIAL & COMMERCIAL -- 5.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Lockheed Martin Corp. ................................ 1,090 109,886
BUSINESS SERVICES -- 1.4%
Dai Nippon Printing Co. Ltd. ......................... 5,000 64,126
Interpublic Group of Cos., Inc. ...................... 6,100 329,019
Owens-Illinois, Inc.+ ................................ 1,568 39,200
TNT Post Group NV+ ................................... 4,428 112,854
Vedior NV+ ........................................... 2,431 60,022
Waste Management, Inc.+ .............................. 9,300 446,981
ELECTRICAL EQUIPMENT -- 0.5%
Emerson Electric Co. ................................. 3,400 211,650
Premier Farnell PLC................................... 600 1,530
Raytheon Co., Class B................................. 600 32,363
Rohm Co. Ltd. ........................................ 1,000 95,165
Siebe PLC............................................. 22,605 73,018
MACHINERY -- 0.7%
Bombardie, Inc., Class B+ ............................ 9,149 100,759
Cooper Industries, Inc. .............................. 2,300 93,725
Deere & Co. .......................................... 2,400 72,600
Ingersoll-Rand Co. ................................... 5,200 197,275
Molins PLC............................................ 1,920 3,917
Sandvik AB, Class B................................... 2,085 43,629
United Technologies Corp. ............................ 345 26,371
MULTI-INDUSTRY -- 2.3%
Avery Dennison Corp. ................................. 1,000 43,687
BTR PLC............................................... 35,350 63,855
Cookson Group PLC..................................... 10,936 20,266
Minnesota Mining & Manufacturing Co. ................. 1,575 116,058
Ogden Corp. .......................................... 800 22,750
Securicor Group PLC................................... 13,785 89,349
Smiths Industries..................................... 7,876 89,311
Tomkins PLC........................................... 33,913 159,129
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY (CONTINUED)
Tyco International Ltd. .............................. 16,400 $ 906,100
Vivendi SA............................................ 1,319 262,867
TRANSPORTATION -- 0.6%
British Airways PLC................................... 15,297 93,623
Burlington Northern Santa Fe Corp. ................... 6,000 192,000
Delta Air Lines, Inc. ................................ 600 58,350
Deutsche Lufthansa AG................................. 4,403 87,034
Norfolk Southern Corp. ............................... 1,900 55,219
-------------
4,373,688
-------------
INFORMATION & ENTERTAINMENT -- 3.2%
BROADCASTING & MEDIA -- 1.9%
Gannett, Inc. ........................................ 2,700 144,619
Grupo Televisa SA GDR+ ............................... 383 7,397
McGraw-Hill Cos., Inc. ............................... 1,300 103,025
Time Warner, Inc. .................................... 7,039 616,352
Times Mirror Co., Series A............................ 2,134 113,369
Viacom, Inc., Class B+ ............................... 8,316 482,328
ENTERTAINMENT PRODUCTS -- 0.4%
Eastman Kodak Co. .................................... 2,487 192,276
Fuji Photo Film Co., Ltd. ............................ 3,000 103,217
LEISURE & TOURISM -- 0.9%
Bass PLC.............................................. 12,613 151,176
Carnival Corp., Class A+ ............................. 9,700 308,581
Granada Group PLC..................................... 10,596 133,306
McDonald's Corp. ..................................... 1,900 113,406
-------------
2,469,052
-------------
INFORMATION TECHNOLOGY -- 17.0%
COMMUNICATION EQUIPMENT -- 1.1%
3Com Corp.+ .......................................... 4,065 122,204
Alcatel Alsthom, Inc. ................................ 412 36,640
Ascend Communications, Inc.+ ......................... 3,500 159,250
Lucent Technologies, Inc. ............................ 5,000 345,313
Nokia Corp., Class A ADR+ ............................ 2,610 207,383
COMPUTERS & BUSINESS EQUIPMENT -- 5.6%
Canon, Inc. .......................................... 5,000 101,387
Cisco Systems, Inc.+ ................................. 6,900 426,506
Compaq Computer Corp. ................................ 10,600 335,225
Computer Sciences Corp.+ ............................. 3,700 201,650
Dell Computer Corp.+ ................................. 5,400 355,050
EMC Corp.+ ........................................... 7,500 428,906
Fujitsu Ltd. ......................................... 18,000 155,485
HBO & Co. ............................................ 13,000 375,375
International Business Machines Corp. ................ 7,900 1,011,200
NCR Corp.+ ........................................... 2,268 65,205
Pitney Bowes, Inc. ................................... 6,200 325,887
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Ricoh Co. Ltd. ....................................... 9,000 $ 83,013
Seagate Technology, Inc.+ ............................ 5,800 145,363
Xerox Corp. .......................................... 3,000 254,250
ELECTRONICS -- 3.6%
Dixons Group PLC...................................... 9,472 97,103
General Electric Co. ................................. 16,325 1,298,858
Intel Corp. .......................................... 7,025 602,394
Motorola, Inc. ....................................... 2,700 115,256
Omron Corp. .......................................... 6,000 59,515
Philips Electronics NV................................ 2,758 148,638
Sony Corp. ........................................... 1,700 118,099
STMicroelectronics NV+ ............................... 2,384 107,131
Texas Instruments, Inc. .............................. 3,700 195,175
SOFTWARE -- 2.9%
America Online, Inc.+ ................................ 1,600 178,000
BMC Software, Inc.+ .................................. 8,800 528,550
Computer Associates International, Inc. .............. 2,434 90,058
Compuware Corp.+ ..................................... 3,900 229,612
Microsoft Corp.+ ..................................... 9,300 1,023,581
PeopleSoft, Inc.+ .................................... 3,300 107,663
Sun Microsystems, Inc.+ .............................. 1,600 79,700
TELECOMMUNICATIONS -- 3.8%
AirTouch Communications, Inc.+ ....................... 5,600 319,200
Ameritech Corp. ...................................... 3,800 180,025
Cable & Wireless PLC.................................. 14,007 136,093
Comcast Corp., Class A................................ 1,600 75,100
Deutsche Telekom AG................................... 4,114 127,858
Ericsson (LM) Telecommunications Co., Series B........ 2,307 43,564
Mannesmann AG......................................... 2,491 228,224
MediaOne Group, Inc.+ ................................ 10,033 445,842
Northern Telecom Ltd. ................................ 3,083 99,219
Tele-Communications, Inc., TCI Ventures Group, Series
A+ .................................................. 14,100 252,919
Tele-Communications, Inc., Series A+ ................. 10,400 406,900
Telecomunicacoes de Brasileiras SA ADR+ .............. 1,723 118,887
Telefonica SA......................................... 5,695 207,842
U.S. West, Inc. ...................................... 3,800 199,263
Vodafone Group PLC.................................... 5,470 63,516
-------------
13,019,077
-------------
MATERIALS -- 1.6%
CHEMICALS -- 0.7%
Bayer AG.............................................. 3,343 126,317
Dow Chemical Co. ..................................... 200 17,088
du Pont (E.I.) de Nemours & Co. ...................... 4,700 263,787
Eastman Chemical Co. ................................. 2,000 100,875
Hoechst AG+ .......................................... 700 28,923
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 0.4%
Fort James Corp. ..................................... 1,100 $ 36,094
Svenska Cellulosa AB, Class B......................... 5,167 102,186
Temple-Inland, Inc. .................................. 900 43,088
Weyerhaeuser Co. ..................................... 3,610 152,297
METALS & MINERALS -- 0.5%
Aluminum Co. of America............................... 800 56,800
Cimpor-Cimentos de Portugal SA........................ 1,622 45,268
Freeport-McMoRan Copper & Gold, Inc., Class A......... 2,200 25,712
Freeport-McMoRan Copper & Gold, Inc., Class B......... 1,500 17,813
Lafarge Corp. ........................................ 1,086 96,192
Rio Tinto PLC......................................... 8,322 99,250
-------------
1,211,690
-------------
REAL ESTATE -- 0.2%
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Equity Residential Properties Trust................... 1,534 64,716
Starwood Hotels & Resorts Trust....................... 2,700 82,350
-------------
147,066
-------------
UTILITIES -- 5.0%
ELECTRIC UTILITIES -- 1.9%
Consolidated Edison, Inc.+ ........................... 1,300 67,763
Duke Energy Corp. .................................... 3,400 225,037
Electricidad de Portugal SA........................... 4,412 101,594
Entergy Corp. ........................................ 3,066 94,280
Public Service Enterprise Group, Inc. ................ 200 7,863
Scottish Power PLC.................................... 25,401 246,150
Sempra Energy+ ....................................... 2,300 59,944
Southern Co. ......................................... 3,300 97,144
Telecom Italia SpA.................................... 32,183 221,780
Texas Utilities Co. .................................. 3,234 150,583
VEBA AG............................................... 2,786 145,143
TELEPHONE -- 3.1%
AT&T Corp. ........................................... 5,700 333,094
Bell Atlantic Corp. .................................. 3,450 167,109
BellSouth Corp. ...................................... 1,080 81,270
GTE Corp. ............................................ 2,934 161,370
MCI WorldCom, Inc.+ .................................. 9,300 454,538
OTE Greek Telecommunications.......................... 3,541 84,904
Portugal Telecom SA................................... 1,000 36,424
Royal Koninklijke KPN NV.............................. 1,655 51,143
SBC Communications, Inc. ............................. 8,400 373,275
Sprint Corp. ......................................... 8,500 612,000
Telefonos de Mexico SA ADR+ .......................... 959 42,436
-------------
3,814,844
-------------
TOTAL COMMON STOCK (cost $59,658,694)................. 56,367,452
-------------
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<CAPTION>
PREFERRED STOCK -- 0.1% SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.1%
RETAIL -- 0.1%
Kmart Financing I 7.75% (cost $53,897)................ 800 $ 40,000
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 21.1% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.1%
AUTOMOTIVE -- 0.0%
Chrysler Corp. 7.45% 2097............................. $ 15,000 16,532
RETAIL -- 0.1%
Federated Department Stores, Inc. 8.50% 2003.......... 40,000 44,939
-------------
61,471
-------------
CONSUMER STAPLES -- 0.1%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos, Inc. 6.80% 2003.................... 100,000 105,646
Philip Morris Cos, Inc. 7.50% 2004.................... 20,000 21,784
-------------
127,430
-------------
ENERGY -- 0.6%
ENERGY SERVICES -- 0.2%
Global Marine, Inc. 7.00% 2028........................ 85,000 80,734
Petroleum Geo Services ASA 7.50% 2007................. 100,000 106,672
ENERGY SOURCES -- 0.4%
Coastal Corp. 6.50% 2008.............................. 50,000 51,218
Coastal Corp. 6.95% 2028.............................. 60,000 58,517
Enron Corp. 6.40% 2006................................ 20,000 20,471
Enron Corp. 6.95% 2028................................ 40,000 39,652
KN Energy, Inc. 6.45% 2003............................ 60,000 61,670
KN Energy, Inc. 7.25% 2028............................ 15,000 14,841
Saga Peteroleum ASA 7.25% 2027........................ 40,000 36,149
-------------
469,924
-------------
FINANCE -- 4.1%
BANKS -- 1.0%
ABN-Amro Bank NV Chicago Branch 7.25% 2005............ 40,000 43,149
First Union-Lehman Brothers Mortgage Trust 6.65%
2007................................................. 25,000 25,855
First Union-Lehman Brothers-Bank of America 6.28%
2007................................................. 88,583 91,301
Greenpoint Bank Brooklyn New York 6.70% 2002.......... 65,000 66,425
Merita Bank Ltd. 6.50% 2006........................... 40,000 40,536
Nationsbank Corp. 6.88% 2005.......................... 45,000 48,072
Popular, Inc. 6.40% 2000.............................. 100,000 101,062
Provident Cos., Inc. 7.41% 2038....................... 50,000 53,711
St. Paul Bancorp 7.13% 2004........................... 100,000 107,737
Svenska Handelsbank 8.13% 2007........................ 65,000 73,332
Wilmington Trust Corp. 6.63% 2008..................... 105,000 111,194
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PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES -- 2.9%
Advanta Mortgage Loan Trust 6.69% 2017................ $ 25,000 $ 25,829
Advanta Mortgage Loan Trust 7.05% 2021................ 25,000 25,733
AFC Capital Trust I 8.21% 2027........................ 20,000 22,646
AMRESCO Commercial Mortgage Funding I Corp. 6.73%
2029................................................. 188,796 197,471
AMRESCO Residential Securities Corp. 6.60% 2018....... 20,000 20,141
Amvescap PLC 6.60% 2005............................... 100,000 105,600
Associates Corp. of North America 6.50% 2002.......... 60,000 62,531
AT&T Capital Corp. 6.25% 2001......................... 50,000 50,791
Commercial Mortgage Acceptance Corp. 5.80% 2006....... 85,000 85,876
Commercial Mortgage Acceptance Corp. 6.53% 2007#...... 15,000 15,823
Commercial Mortgage Acceptance Corp. 6.57% 2007#...... 40,000 42,350
Fleet Financial Group, Inc. 6.88% 2028................ 50,000 51,124
Ford Motor Credit Co. 7.00% 2001...................... 60,000 62,776
Ford Motor Credit Co. 8.00% 2002...................... 40,000 43,657
General Motors Acceptance Corp. 6.63% 2002............ 40,000 42,057
GMAC Commercial Mortgage Security, Inc. 6.15% 2007.... 44,819 45,949
GMAC Commercial Mortgage Security, Inc. 6.42% 2008.... 65,000 67,708
Green Tree Financial Corp. 6.24% 2016#................ 90,000 92,081
Green Tree Financial Corp. 6.93% 2028................. 55,000 57,200
Green Tree Recreational Equipment 6.18% 2019#......... 250,311 255,708
Green Tree Recreational Equipment 6.55% 2028.......... 29,750 30,511
GS Mortgage Securities Corp. II 6.56% 2031#........... 45,000 47,222
Harley Davidson Eagle Motorcycle Trust 6.20% 2003..... 150,000 156,425
Independent National Mortgage Corp. zero coupon
2024................................................. 18,911 20,044
Lehman Brothers Holdings, Inc. 6.50% 2002............. 105,000 105,546
Merrill Lynch Mortgage Investors, Inc. 6.22% 2030#.... 58,301 61,753
Merrill Lynch Mortgage Investors, Inc. 6.54% 2029#.... 80,000 82,525
Money Store, Inc. 8.05% 2002.......................... 20,000 21,788
Morgan Stanley Capital I, Inc. 7.22% 2028#............ 55,000 59,047
Mortgage Capital Funding, Inc. 6.66% 2008............. 40,000 42,337
Norwest Corp. 6.75% 2027.............................. 25,000 25,751
PaineWebber Group, Inc. 6.65% 2002.................... 135,000 141,242
PNC Mortgage Securities Corp. 6.60% 2027.............. 16,757 17,045
INSURANCE -- 0.2%
Hartford Life, Inc. 7.10% 2007........................ 100,000 109,066
Hartford Life, Inc. 7.65% 2027........................ 20,000 21,681
TIG Holdings, Inc. 8.13% 2005......................... 40,000 44,058
-------------
3,121,466
-------------
INDUSTRIAL & COMMERCIAL -- 1.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Lockheed Martin Corp. 7.25% 2006...................... 115,000 126,501
Raytheon Co. 6.45% 2002............................... 35,000 36,423
BUSINESS SERVICES -- 0.1%
United States Filter Corp. 6.50% 2003*(1)............. 55,000 55,908
MACHINERY -- 0.1%
Prologis Trust 7.05% 2006............................. 85,000 89,557
</TABLE>
- ----------------
62
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.1%
Tyco International Group SA 6.25% 2003(1)............. $ 45,000 $ 46,595
Tyco International Group SA 6.38% 2005................ 45,000 47,080
TRANSPORTATION -- 0.6%
Continental Airlines, Inc. 6.54% 2009................. 60,000 63,948
Continental Airlines, Inc. 6.80% 2009................. 30,000 31,141
CSX Corp. 7.95% 2027.................................. 230,000 260,960
Hertz Corp. 7.00% 2028................................ 65,000 65,658
-------------
823,771
-------------
INFORMATION & ENTERTAINMENT -- 0.1%
BROADCASTING & MEDIA -- 0.1%
News America Holdings, Inc. 7.70% 2025................ 65,000 69,511
-------------
INFORMATION TECHNOLOGY -- 0.3%
COMPUTERS & BUSINESS EQUIPMENT -- 0.1%
Apple Computer, Inc. 6.00% 2001....................... 35,000 46,113
Dell Computer Corp. 7.10% 2028........................ 45,000 46,887
TELECOMMUNICATIONS -- 0.2%
Airtouch Communications, Inc. 6.65% 2008.............. 50,000 53,993
TCI Communciations, Inc. 8.65% 2004................... 55,000 63,452
-------------
210,445
-------------
MATERIALS -- 0.0%
CHEMICALS -- 0.0%
Solutia, Inc. 6.72% 2037.............................. 45,000 48,556
-------------
MUNICIPAL BONDS -- 0.2%
MUNICIPAL BONDS -- 0.2%
Province of Ontario 5.50% 2008........................ 160,000 160,291
-------------
REAL ESTATE -- 0.1%
REAL ESTATE COMPANIES -- 0.1%
Equity Office Properties Operating LP 6.76% 2007* .... 55,000 54,969
-------------
U.S. GOVERNMENT & AGENCIES -- 13.8%
U.S. GOVERNMENT & AGENCIES -- 13.8%
Federal Home Loan Mortgage Corp. 7.50% 2022........... 45,000 50,667
Federal National Mortgage Association 5.50% 2011...... 75,895 75,586
Federal National Mortgage Association 5.75% 2003...... 105,000 109,528
Federal National Mortgage Association 6.00% 2008...... 230,000 247,968
Federal National Mortgage Association 6.00% TBA....... 640,000 646,598
Federal National Mortgage Association 6.50% 2010...... 381,150 389,368
Federal National Mortgage Association 6.50% 2012...... 111,910 114,253
Federal National Mortgage Association 6.50% 2013...... 890,315 908,949
Federal National Mortgage Association 6.50% 2028...... 885,733 900,675
Federal National Mortgage Association 7.00% 2011...... 128,700 132,118
Federal National Mortgage Association 7.00% 2023...... 10,723 11,180
</TABLE>
----------------
63
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association 7.00% TBA....... $ 335,000 $ 343,897
Federal National Mortgage Association 8.50% 2019...... 35,000 38,226
Federal National Mortgage Association 9.00% 2026...... 49,778 52,617
Government National Mortgage Association 6.50% 2028... 221,817 226,737
Government National Mortgage Association 6.50% TBA.... 175,000 178,881
Government National Mortgage Association 7.00%
2024(1).............................................. 238,709 242,999
Government National Mortgage Association 7.00% 2024... 178,758 184,568
Government National Mortgage Association 7.00% 2025... 33,745 34,842
Government National Mortgage Association 7.00% 2028... 1,095,493 1,130,745
Government National Mortgage Association 7.50% 2023... 49,064 50,888
Government National Mortgage Association 7.50% 2027... 70,000 77,153
Government National Mortgage Association 8.00% 2025... 120,767 125,825
Government National Mortgage Association 8.00% 2026... 353,025 367,805
Government National Mortgage Association 8.00% 2027... 23,869 24,869
United States Treasury Bonds 5.25% 2003............... 685,000 715,613
United States Treasury Bonds 5.50% 2028............... 425,000 459,399
United States Treasury Bonds 6.13% 2027............... 665,000 766,619
United States Treasury Notes 4.50% 2000............... 435,000 436,701
United States Treasury Notes 5.50% 2003............... 1,450,000 1,521,137
-------------
10,566,411
-------------
UTILITIES -- 0.6%
ELECTRIC UTILITIES -- 0.4%
Arizona Public Services Co. 6.75% 2006................ 160,000 169,565
Southern California Edison Co. 5.88% 2001............. 100,000 101,753
TELEPHONE -- 0.2%
MCI Communications Corp. 6.13% 2002(1)................ 40,000 41,003
Worldcom, Inc. 6.40% 2005............................. 70,000 73,870
Worldcom, Inc. 7.75% 2007............................. 50,000 57,127
-------------
443,318
-------------
TOTAL BONDS & NOTES (cost $15,733,280)................ 16,157,563
-------------
<CAPTION>
WARRANTS -- 0.0%+ SHARES
<S> <C> <C>
- -------------------------------------------------------------------------------------
FINANCE -- 0.0%
INSURANCE -- 0.0%
Allianz AG 6/15/00.................................... 1 12
-------------
REAL ESTATE -- 0.0%
REAL ESTATE COMPANIES -- 0.0%
EOP Operating LP 12/15/99#............................ 55 297
-------------
TOTAL WARRANTS (cost $440)............................ 309
-------------
TOTAL INVESTMENT SECURITIES (cost $75,446,311)........ 72,565,324
-------------
</TABLE>
- ----------------
64
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 8.0% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 8.0%
Agreement with Swiss Bank Corp.-Warburg, bearing
interest of 5.50% dated 9/30/98,
to be repurchased 10/01/98 in the amount of
$6,130,937 and collateralized by $3,657,000 U.S.
Treasury Bonds 11.25% due 2/15/15, approximate
aggregate value $6,265,056 (cost $6,130,000)......... $ 6,130,000 $ 6,130,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $81,576,311) 103.0% 78,695,324
Liabilities in excess of other assets -- (3.0) (2,297,242)
------ -------------
NET ASSETS -- 100.0% $ 76,398,082
------ -------------
------ -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued securities; see Note 2
* Resale restricted to qualified institutional buyers
(1) Variable rate security; rate as of September 30, 1998
TBA -- Security purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal
amount and maturity date will be determined on settlement date.
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
SEK -- Swedish Krona
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ----------------------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 422,949 GBP 260,000 10/28/98 $ 18,407
JPY 80,700,000 USD 616,972 03/15/99 12,394
-------
30,801
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*GBP 260,000 USD 429,439 10/28/98 (11,916)
GBP 324,000 USD 541,242 03/22/99 (4,610)
-------
(16,526)
-------
Net Unrealized Appreciation.......................................... $ 14,275
-------
-------
</TABLE>
- -------------
* Represents fully offsetting forward foreign currency contracts that do not
have additional market risk but have continued counterparty settlement risk
GBP -- Great Britain Pound
JPY -- Japanese Yen
USD -- United States Dollar
See Notes to Financial Statements
----------------
65
<PAGE>
- ------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 94.5% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.7%
HOUSING -- 0.8%
Masco Corp. .......................................... 20,900 $ 514,662
RETAIL -- 5.9%
AutoZone, Inc.+ ...................................... 4,900 120,663
CVS Corp. ............................................ 11,714 513,220
Fred Meyer, Inc.+ .................................... 10,700 415,963
Home Depot, Inc. ..................................... 11,800 466,100
Koninklijke Ahold NV ................................. 4,900 146,478
Rite Aid Corp. ....................................... 8,300 294,650
Safeway, Inc.+ ....................................... 19,900 922,862
Saks, Inc.+ .......................................... 12,000 269,250
Tag Heuer International SA ADR+ ...................... 18,800 110,450
Wal-Mart Stores, Inc. ................................ 8,300 453,387
-------------
4,227,685
-------------
CONSUMER STAPLES -- 4.9%
FOOD, BEVERAGE & TOBACCO -- 3.2%
Campbell Soup Co. .................................... 3,300 165,619
Coca-Cola Co. ........................................ 4,700 270,837
PepsiCo, Inc. ........................................ 18,100 532,819
Philip Morris Cos., Inc. ............................. 21,600 994,950
HOUSEHOLD PRODUCTS -- 1.7%
Gillette Co. ......................................... 6,200 237,150
Kimberly-Clark Corp. ................................. 12,100 490,050
Kimberly-Clark de Mexico SA de CV, Class A............ 37,500 92,849
Procter & Gamble Co. ................................. 3,700 262,469
-------------
3,046,743
-------------
ENERGY -- 4.1%
ENERGY SERVICES -- 0.6%
Halliburton Co. ...................................... 13,100 374,169
ENERGY SOURCES -- 3.5%
Chevron Corp. ........................................ 6,000 504,375
Mobil Corp. .......................................... 9,400 713,812
Petroleo Brasileiro SA ADR+ .......................... 1,700 17,427
Petroleo Brasileiro SA ADR* .......................... 2,600 26,653
Royal Dutch Petroleum Co. ............................ 19,700 938,212
-------------
2,574,648
-------------
FINANCE -- 19.6%
BANKS -- 7.4%
Bank of New York Co., Inc. ........................... 20,200 552,975
BCA Fideuram SpA...................................... 14,500 61,842
</TABLE>
- ----------------
66
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Citicorp.............................................. 4,700 $ 436,806
First Union Corp. .................................... 13,700 701,269
HSBC Holdings PLC..................................... 4,200 76,967
Mellon Bank Corp. .................................... 4,300 236,769
NationsBank Corp. .................................... 12,405 663,667
Northern Trust Corp. ................................. 2,800 191,100
Norwest Corp. ........................................ 26,000 931,125
Societe Generale Enterprises+ ........................ 700 77,503
Toronto Dominion Bank................................. 7,000 186,375
Wells Fargo & Co. .................................... 1,400 497,000
FINANCIAL SERVICES -- 6.5%
Federal Home Loan Mortgage Corp. ..................... 38,000 1,878,625
Federal National Mortgage Association................. 14,800 950,900
First Data Corp. ..................................... 12,200 286,700
H&R Block, Inc. ...................................... 5,700 235,838
Morgan Stanley, Dean Witter & Co. .................... 2,000 86,125
Travelers Group, Inc. ................................ 16,200 607,500
INSURANCE -- 5.7%
Ace Co., Ltd. ........................................ 24,400 732,000
Fairfax Financial Holdings Ltd.+ ..................... 1,565 452,434
Mutual Risk Management Ltd. .......................... 18,300 647,363
PartnerRe Ltd. ....................................... 15,700 628,981
Travelers Property Casualty Corp., Class A............ 10,800 344,925
UNUM Corp. ........................................... 15,400 765,187
-------------
12,229,976
-------------
HEALTHCARE -- 14.1%
DRUGS -- 10.3%
American Home Products Corp. ......................... 12,600 659,925
Biogen, Inc.+ ........................................ 9,700 638,381
Bristol-Myers Squibb Co. ............................. 9,000 934,875
Genentech, Inc.+ ..................................... 7,500 539,063
Lilly (Eli) & Co. .................................... 8,200 642,163
Merck & Co., Inc. .................................... 7,000 906,937
Novartis AG........................................... 181 290,958
Pfizer, Inc. ......................................... 7,300 773,344
Warner-Lambert Co. ................................... 10,500 792,750
Zeneca Group PLC+ .................................... 7,300 258,143
HEALTH SERVICES -- 2.0%
Gehe AG............................................... 3,500 220,066
HEALTHSOUTH Corp.+ ................................... 30,900 326,381
Tenet Healthcare Corp.+ .............................. 7,000 201,250
United HealthCare Corp. .............................. 15,000 525,000
MEDICAL PRODUCTS -- 1.8%
Guidant Corp. ........................................ 3,300 245,025
Johnson & Johnson..................................... 7,500 586,875
</TABLE>
----------------
67
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Schering-Plough Corp. ................................ 2,700 $ 279,619
-------------
8,820,755
-------------
INDUSTRIAL & COMMERCIAL -- 12.3%
AEROSPACE & MILITARY TECHNOLOGY -- 1.7%
AlliedSignal, Inc. ................................... 20,900 739,338
Raytheon Co. ......................................... 5,500 296,656
BUSINESS SERVICES -- 3.6%
Cendant Corp.+ ....................................... 7,100 82,538
Gartner Group, Inc., Class A+ ........................ 9,400 196,225
Newmont Mining Corp. ................................. 12,100 293,425
Rentokil Initial PLC+ ................................ 66,400 409,778
Waste Management, Inc.+ .............................. 17,900 860,319
Wolters Kluwer NV+ ................................... 2,300 441,718
MACHINERY -- 2.0%
Danaher Corp. ........................................ 25,300 759,000
Teleflex, Inc. ....................................... 13,300 465,500
MULTI-INDUSTRY -- 5.0%
Berkshire Hathaway, Inc. ............................. 10 596,000
Sara Lee Corp. ....................................... 9,400 507,600
Tomkins PLC........................................... 180,200 845,548
Tyco International Ltd. .............................. 18,946 1,046,766
Unilever NV........................................... 2,300 140,875
-------------
7,681,286
-------------
INFORMATION & ENTERTAINMENT -- 8.6%
BROADCASTING & MEDIA -- 5.1%
CBS Corp. ............................................ 21,400 518,950
Cox Communications, Inc., Class A+ ................... 6,400 349,600
Elsevier NV........................................... 11,700 173,945
Omnicom Group, Inc. .................................. 12,700 571,500
Schibsted ASA......................................... 5,500 68,434
Time Warner, Inc. .................................... 5,000 437,813
Tribune Co. .......................................... 8,500 427,656
Vereenigde Ned Uitgevers.............................. 13,900 574,200
Vodafone Group PLC.................................... 5,300 61,542
ENTERTAINMENT PRODUCTS -- 0.5%
Hasbro, Inc. ......................................... 10,300 303,850
LEISURE & TOURISM -- 3.0%
Carnival Corp., Class A............................... 11,700 372,206
Disney (Walt) Co. .................................... 9,400 237,938
Granada Group PLC..................................... 16,000 201,292
Hilton Hotels Corp. .................................. 14,000 238,875
Hutchison Whampoa Ltd. ............................... 64,700 340,667
McDonald's Corp. ..................................... 4,300 256,656
</TABLE>
- ----------------
68
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Mirage Resorts, Inc.+ ................................ 14,100 $ 236,175
-------------
5,371,299
-------------
INFORMATION TECHNOLOGY -- 17.4%
COMMUNICATION EQUIPMENT -- 1.7%
AirTouch Communications, Inc.+ ....................... 9,200 524,400
Ascend Communications, Inc.+ ......................... 5,800 263,900
Northern Telecom Ltd. ................................ 7,700 246,400
COMPUTERS & BUSINESS EQUIPMENT -- 3.0%
Automatic Data Processing, Inc. ...................... 6,000 448,500
Dell Computer Corp.+ ................................. 6,200 407,650
EMC Corp.+ ........................................... 8,600 491,813
HBO & Co. ............................................ 5,400 155,925
Hewlett-Packard Co. .................................. 6,700 354,681
ELECTRONICS -- 5.0%
Analog Devices, Inc.+ ................................ 20,200 324,463
General Electric Co. ................................. 17,200 1,368,475
Getronics NV+ ........................................ 5,619 255,090
Intel Corp. .......................................... 7,900 677,425
Linear Technology Corp. .............................. 1,500 75,000
Maxim Integrated Products, Inc.+ ..................... 12,900 359,588
Philips Electronics NV................................ 700 37,725
Texas Instruments, Inc. .............................. 900 47,475
SOFTWARE -- 7.4%
America Online, Inc.+ ................................ 3,600 400,500
BMC Software, Inc.+ .................................. 14,400 864,900
Cisco Systems, Inc.+ ................................. 8,400 519,225
Microsoft Corp.+ ..................................... 9,100 1,001,569
Networks Associates, Inc.+ ........................... 17,850 633,675
Oracle Corp.+ ........................................ 8,350 243,194
Parametric Technology Corp.+ ......................... 42,500 427,656
Platinum Technology, Inc.+ ........................... 13,400 241,200
Sterling Commerce, Inc.+ ............................. 9,300 322,012
TELECOMMUNICATIONS -- 0.3%
GTE Corp. ............................................ 3,000 165,000
-------------
10,857,441
-------------
MATERIALS -- 0.2%
CHEMICALS -- 0.2%
Rhone-Poulenc Ltd.+ .................................. 3,300 138,487
-------------
REAL ESTATE -- 1.9%
REAL ESTATE INVESTMENT TRUSTS -- 1.9%
Crescent Real Estate Equities Co. .................... 19,900 502,475
Security Capital U.S. Realty+ ........................ 29,900 304,980
</TABLE>
----------------
69
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Starwood Hotels & Resorts Trust....................... 12,600 $ 384,300
-------------
1,191,755
-------------
UTILITIES -- 4.7%
TELEPHONE -- 4.7%
MCI Worldcom, Inc.+ .................................. 27,107 1,324,869
Philips Electronics NV................................ 1,500 80,063
SBC Communications, Inc. ............................. 10,000 444,375
Telecel-Comunicacaoes Pessoais SA+* .................. 2,400 310,437
Telecom Italia Mobile SpA............................. 33,200 193,490
Telecom Italia SpA+ .................................. 20,239 96,802
Telecomunicacoes de Brasileiras SA ADR+ .............. 7,000 493,062
-------------
2,943,098
-------------
TOTAL INVESTMENT SECURITIES (cost $59,259,002) 59,083,173
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 5.9% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 5.6%
du Pont (E.I.) de Nemours & Co. 5.53% due 10/9/98..... $ 1,525,000 1,523,126
Falcon Asset Securitization Corp. 5.52% due
10/13/98............................................. 2,000,000 1,996,320
-------------
3,519,446
-------------
FEDERAL AGENCY OBLIGATIONS -- 0.3%
Federal National Mortgage Association Discount Notes
5.42% due 10/19/98................................... 85,000 84,769
United States Treasury Bills 4.15% due 1/7/99......... 75,000 74,153
-------------
TOTAL SHORT-TERM SECURITIES (cost $3,678,368)......... 3,678,368
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $62,937,370) 100.4 % 62,761,541
Liabilities in excess of other assets
-- (0.4) (270,609)
------ -----------
NET ASSETS -- 100.0 % $62,490,932
------ -----------
------ -----------
</TABLE>
- -------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
ADR -- American Depository Receipt
See Notes to Financial Statements
- ----------------
70
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1998 (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*........ $ 40,720,270 $ 43,691,037 $ 37,998,261 $ 30,524,610 $ 72,565,324 $ 59,083,173
Short-term securities*.................. 1,189,970 1,039,887 814,844 459,892 -- 3,678,368
Repurchase agreements (cost equals
market)............................... 4,183,000 4,512,000 2,147,000 1,658,000 6,130,000 --
Cash.................................... 13,577 14,647 15,575 8,711 172 --
Foreign currency........................ 18 13 6 13 8,537 1,430
Receivables for --
Sales of investments.................. 391,632 314,894 59,599 15,658 1,838,024 478,387
Dividends and accrued interest........ 168,976 291,908 379,363 379,047 278,729 79,078
Fund shares sold...................... 96,608 92,758 100,027 99,339 177,325 143,243
Foreign currency contracts............ 8,226 6,017 3,464 1,181 70,661 77,522
Deferred organizational expenses........ 11,384 11,384 11,384 11,384 11,384 11,384
Unrealized appreciation on forward
foreign currency
contracts............................. 9,437 6,831 4,125 1,186 30,801 --
Prepaid expenses........................ 253 269 212 168 408 334
Due from adviser........................ -- -- -- 884 4,855 --
----------------------------------------------------------------------------------------
46,793,351 49,981,645 41,533,860 33,160,073 81,116,220 63,552,919
----------------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of investments.............. 651,561 612,294 119,988 44,892 4,487,764 867,436
Management fees....................... 51,710 46,024 28,490 41,042 50,732 41,042
Foreign currency contracts............ 8,214 6,008 3,459 1,179 70,496 77,289
Fund shares redeemed.................. 3,157 58,676 4,614 1,599 31,013 24,993
Unrealized depreciation on forward
foreign currency
contracts............................. 39,097 28,258 16,388 6,108 16,526 --
Other accrued expenses.................. 38,673 39,561 37,129 13,456 61,607 42,903
Written call options at value (proceeds
$27,329, $27,329, $0, $0, $0 and $0,
respectively)......................... 29,707 29,707 -- -- -- --
Due to custodian bank................... -- -- -- -- -- 8,324
----------------------------------------------------------------------------------------
822,119 820,528 210,068 108,276 4,718,138 1,061,987
----------------------------------------------------------------------------------------
NET ASSETS.............................. $ 45,971,232 $ 49,161,117 $ 41,323,792 $ 33,051,797 $ 76,398,082 $ 62,490,932
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
Shares of beneficial interest
outstanding
(unlimited shares authorized)......... 3,635,148 3,988,705 3,370,089 2,788,461 7,100,752 4,739,796
Net asset value per share............... $12.65 $12.33 $12.26 $11.85 $10.76 $13.18
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Capital paid in......................... $ 43,305,204 $ 46,573,472 $ 38,084,694 $ 30,714,515 $ 79,310,443 $ 60,731,032
Accumulated undistributed net investment
income................................ 346,895 612,848 787,378 743,172 658,463 77,305
Accumulated undistributed net realized
gain (loss) on investments............ 307,142 183,154 373,963 174,761 (706,327) 1,857,042
Unrealized appreciation (depreciation)
on investments........................ 2,043,990 1,812,279 2,089,948 1,424,201 (2,880,987) (175,829)
Unrealized foreign exchange gain (loss)
on other assets and liabilities....... (29,621) (18,258) (12,191) (4,852) 16,490 1,382
Unrealized depreciation on written
options contracts..................... (2,378) (2,378) -- -- -- --
----------------------------------------------------------------------------------------
$ 45,971,232 $ 49,161,117 $ 41,323,792 $ 33,051,797 $ 76,398,082 $ 62,490,932
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
- ---------------
* Cost
Investment securities................. $ 38,672,292 $ 41,871,349 $ 35,899,187 $ 29,091,861 $ 75,446,311 $ 59,259,002
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
Short-term securities................. $ 1,193,958 $ 1,047,296 $ 823,970 $ 468,440 $ -- $ 3,678,368
----------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
----------------
71
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1998 (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.................................. $ 439,510 $ 659,709 $ 764,599 $ 690,018 $ 487,344 $ 96,708
Dividends................................. 66,515 56,650 34,878 16,132 393,886 293,541
-------------------------------------------------------------------------------------
Total income*........................... 506,025 716,359 799,477 706,150 881,230 390,249
-------------------------------------------------------------------------------------
EXPENSES:
Management fees........................... 200,664 192,296 137,729 96,951 275,429 236,878
Custodian fees............................ 42,243 42,842 36,990 30,829 118,722 45,398
Auditing fees............................. 11,893 11,862 11,495 11,247 12,386 12,019
Reports to investors...................... 4,988 5,436 4,326 3,351 8,291 6,838
Amortization of organizational expenses... 1,610 1,610 1,610 1,610 1,610 1,610
Legal fees................................ 792 812 761 680 1,096 1,178
Trustees' fees............................ 610 671 518 366 915 844
Other expenses............................ 192 198 163 142 260 227
-------------------------------------------------------------------------------------
Total expenses before reimbursement..... 262,992 255,727 193,592 145,176 418,709 304,992
Expenses reimbursed by the investment
adviser............................... -- -- -- (11,711) (26,627) --
-------------------------------------------------------------------------------------
Net investment income....................... 243,033 460,632 605,885 572,685 489,148 85,257
-------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments... 187,865 69,023 159,233 10,225 (633,607) 898,424
Net realized foreign exchange gain (loss)
on other assets and liabilities......... 23,984 53,282 71,525 75,195 7,344 (8,399)
Net realized gain (loss) on options
contracts............................... (1,958) 10,020 -- -- -- --
Change in unrealized
appreciation/depreciation on
investments............................. (1,363,228) (1,021,807) 482,347 612,651 (6,341,160) (7,411,195)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities............................. (39,711) (27,289) (18,674) (9,593) 317 1,502
Change in unrealized
appreciation/depreciation on written
options contracts....................... (2,378) (2,378) -- -- -- --
-------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments and foreign exchange........ (1,195,426) (919,149) 694,431 688,478 (6,967,106) (6,519,668)
-------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................. $ (952,393) $ (458,517) $ 1,300,316 $ 1,261,163 $(6,477,958) $ (6,434,411)
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
- ---------------
* Net of foreign withholding taxes on
interest and dividends of................. $ 83 $ 385 $ 83 $ -- $ 20,353 $ 10,491
-------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
- ----------------
72
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1998 (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............................. $ 243,033 $ 460,632 $ 605,885 $ 572,685 $ 489,148 $ 85,257
Net realized gain (loss) on investments........... 187,865 69,023 159,233 10,225 (633,607) 898,424
Net realized foreign exchange gain (loss) on other
assets and liabilities.......................... 23,984 53,282 71,525 75,195 7,344 (8,399)
Net realized gain (loss) on options contracts..... (1,958) 10,020 -- -- -- --
Change in unrealized appreciation/depreciation on
investments..................................... (1,363,228) (1,021,807) 482,347 612,651 (6,341,160) (7,411,195)
Change in unrealized foreign exchange gain/loss on
other assets and liabilities.................... (39,711) (27,289) (18,674) (9,593) 317 1,502
Change in unrealized appreciation/depreciation on
written options contracts....................... (2,378) (2,378) -- -- -- --
------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations................................. (952,393) (458,517) 1,300,316 1,261,163 (6,477,958) (6,434,411)
------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold......................... 17,373,551 20,426,782 17,033,893 15,398,146 35,058,784 28,966,705
Cost of shares repurchased........................ (2,930,487) (3,429,312) (2,967,159) (1,985,295) (2,567,148) (2,126,052)
------------------------------------------------------------------------------
Net increase in net assets resulting from capital
share transactions.............................. 14,443,064 16,997,470 14,066,734 13,412,851 32,491,636 26,840,653
------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS...................... 13,490,671 16,538,953 15,367,050 14,674,014 26,013,678 20,406,242
NET ASSETS:
Beginning of period............................... 32,480,561 32,622,164 25,956,742 18,377,783 50,384,404 42,084,690
------------------------------------------------------------------------------
End of period..................................... $45,971,232 $49,161,117 $41,323,792 $33,051,797 $ 76,398,082 $62,490,932
------------------------------------------------------------------------------
------------------------------------------------------------------------------
- ---------------
Accumulated undistributed net investment income... $ 346,895 $ 612,848 $ 787,378 $ 743,172 $ 658,463 $ 77,305
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Shares issued and repurchased:
Sold.............................................. 1,330,862 1,626,767 1,411,856 1,331,426 3,023,960 2,019,557
Repurchased....................................... (223,888) (274,759) (244,117) (170,161) (224,884) (151,060)
------------------------------------------------------------------------------
Net increase...................................... 1,106,974 1,352,008 1,167,739 1,161,265 2,799,076 1,868,497
------------------------------------------------------------------------------
------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
----------------
73
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED MARCH 31, 1998#
<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............................. $ 233,996 $ 375,550 $ 467,248 $ 466,369 $ 504,309 $ 51,271
Net realized gain on investments.................. 450,946 353,817 281,459 189,755 426,906 1,303,958
Net realized foreign exchange gain (loss) on
other assets and liabilities.................... 18,930 26,437 23,750 26,463 795 (13,405)
Net unrealized appreciation/depreciation on
investments..................................... 3,407,218 2,834,086 1,607,601 811,550 3,460,173 7,235,366
Net unrealized foreign exchange gain/loss on other
assets and liabilities.......................... 10,090 9,031 6,483 4,741 16,173 (120)
------------------------------------------------------------------------------
Net increase in net assets resulting from
operations...................................... 4,121,180 3,598,921 2,386,541 1,498,878 4,408,356 8,577,070
------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income............ (145,000) (240,000) (295,000) (310,000) (350,000) (50,000)
Distributions from net realized gain on
investments................................... (360,000) (315,000) (155,000) (115,000) (495,000) (335,000)
------------------------------------------------------------------------------
Total dividends and distributions to
shareholders.................................... (505,000) (555,000) (450,000) (425,000) (845,000) (385,000)
------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold......................... 35,042,648 36,053,150 30,442,119 24,213,091 58,480,233 47,040,730
Proceeds from shares issued for reinvestment of
dividends and distributions..................... 505,000 555,000 450,000 425,000 845,000 385,000
Cost of shares repurchased........................ (6,683,267) (7,029,907) (6,871,918) (7,334,186) (12,504,185) (13,533,110)
------------------------------------------------------------------------------
Net increase in net assets resulting from capital
share transactions.............................. 28,864,381 29,578,243 24,020,201 17,303,905 46,821,048 33,892,620
------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS...................... 32,480,561 32,622,164 25,956,742 18,377,783 50,384,404 42,084,690
NET ASSETS:
Beginning of period............................... 0 0 0 0 0 0
------------------------------------------------------------------------------
End of period..................................... $32,480,561 $32,622,164 $25,956,742 $18,377,783 $ 50,384,404 $42,084,690
------------------------------------------------------------------------------
------------------------------------------------------------------------------
- ---------------
Accumulated undistributed (distributions in excess
of) net investment income....................... $ 103,862 $ 152,216 $ 181,493 $ 170,487 $ 169,315 $ (7,952)
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Shares issued and repurchased:
Sold.............................................. 3,051,992 3,193,790 2,768,731 2,243,277 5,347,715 3,890,293
Issued in reinvestment of dividends and
distributions................................... 43,395 48,593 40,581 39,192 77,457 30,323
Repurchased....................................... (567,213) (605,686) (606,962) (655,273) (1,123,496) (1,049,317)
------------------------------------------------------------------------------
Net increase...................................... 2,528,174 2,636,697 2,202,350 1,627,196 4,301,676 2,871,299
------------------------------------------------------------------------------
------------------------------------------------------------------------------
</TABLE>
# Commenced operations April 15, 1997
See Notes to Financial Statements
- ----------------
74
<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 manages 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 T. Rowe Price Associates, Inc. ("T.
Rowe Price") serves as subadviser for the Stock Portfolio, each 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
----------------
75
<PAGE>
statements contain all normal and recurring adjustments necessary for the fair
presentation of the financial position of the Trust at September 30, 1998, 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: 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.
The Portfolios record dividends and distributions to their shareholders on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined and presented in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in capital. Net
investment income/loss, net realized gain/loss, and net assets are not affected.
- ----------------
76
<PAGE>
For the period ended March 31, 1998, the reclassification arising from
"book/tax" differences resulted in increases (decreases) to the components of
net assets as follows:
<TABLE>
<CAPTION>
Accumulated Accumulated
Undistributed Undistributed
Net Investment Net Realized Paid-In
Income/(Loss) Gain/(Loss) Capital
-------------- ------------- ---------
<S> <C> <C> <C>
Multi-Managed Growth
Portfolio $ 14,866 $ (12,625) $ (2,241)
Multi-Managed Moderate
Growth Portfolio 16,666 (14,425) (2,241)
Multi-Managed Income/
Equity Portfolio 9,245 (7,004) (2,241)
Multi-Managed Income
Portfolio 14,118 (11,877) (2,241)
Asset Allocation:
Diversified Growth
Portfolio 15,006 (12,765) (2,241)
Stock Portfolio (9,223) 11,464 (2,241)
</TABLE>
ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with the
organization and registration of the Trust amounted to $91,410. 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, 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.
At September 30, 1998, The Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity and Multi-Managed Income Portfolios had a 2.2%,
2.2%, 1.3% and 0.6%, respectively, undivided interest, representing $2,873,000,
$2,872,000, $1,767,000 and $753,000, respectively, in principal amount, in a
joint repo with PaineWebber, Inc. which is dated September 30, 1998, bears
interest at the rate of 5.20% per annum, has a principal amount of $131,433,000
and a repurchase price of $131,451,985, matures October 1, 1998 and is
collateralized by $50,000,000 of U.S. Treasury Bonds (bearing interest at the
rate of 5.25% per annum and maturing August 15, 2003), $40,000,000 of U.S.
Treasury Bonds (bearing interest at the rate of 6.13% per annum and maturing
November 15, 2027) and $32,400,000 of U.S. Treasury Bonds (bearing interest at
the rate of 6.25% per annum and maturing February 15, 2003), which together have
an approximate value of $134,487,192.
In addition at September 30, 1998, the above-mentioned Portfolios had a 0.3%,
0.5%, 0.3% and 0.7%, respectively, undivided interest, representing $310,000,
$640,000, $380,000 and $905,000, respectively, in principal amount, in a joint
repo with J.P. Morgan Securities, Inc., which is dated September 30, 1998, bears
interest at a rate of 5.40% per annum, has a principal amount of $121,325,000
and a repurchase price of $121,343,199, matures October 1, 1998 and is
collateralized by $52,907,000 of U.S. Treasury Bonds (bearing interest at the
rate of 6.38% per annum and maturing January 15, 2000) and $64,769,000 of U.S.
Treasury Notes (bearing interest at the rate of 6.25% per annum and maturing
April 30, 2001), which together have an approximate value of $124,307,234.
At September 30, 1998, the Multi-Managed Growth and Multi-Managed Moderate
Growth also had a 0.8%, respectively, undivided interest, representing
$1,000,000, respectively, in principal amount, in a joint repo with State Street
Bank and Trust Co., which is dated September 30, 1998, bears interest at the
rate of 5.33% per annum, has a principal amount of $130,000,000 and a repurchase
price of $130,019,247, matures October 1, 1998 and is collateralized by
$39,430,000 of U.S. Treasury Notes (bearing interest at the rate of 5.50% per
annum and maturing December 31, 2000), $19,180,000 of U.S. Treasury Notes
(bearing interest at the rate of 6.13% per annum and maturing December 31,
2001), $16,490,000 of U.S. Treasury Bonds (bearing interest at the rate of 6.88%
per annum and maturing August 15, 2025), $9,620,000 of U.S. Treasury Notes
(bearing interest at the rate of 7.75% per annum and maturing November 30,
1999), $19,155,000 of U.S. Treasury Notes (bearing interest at the rate of 6.25%
per annum and maturing August 31, 2002) and $13,340,000 of U.S. Treasury Bonds
(bearing interest at the rate of 12.75% per annum and maturing November 15,
2010), which together have an approximate value of $132,620,236.
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
----------------
77
<PAGE>
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.
OPTIONS: An option is a contract conveying a right to buy or sell a financial
instrument at a specified price during a stipulated period. The premium paid by
a Portfolio for the purchase of a call or a put option is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current market value of the option.
When a Portfolio writes a call or a put option, an amount equal to the premium
received by the Portfolio is included in the Portfolio's Statement of Assets and
Liabilities as a liability and is subsequently marked to market to reflect the
current market value of the option written. If an option which the Portfolio has
written either expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of a closing purchase transaction exceeds the premium received
when the option was written) without regard to any unrealized gain or loss on
the underlying security, and the liability related to such options is
extinguished. If a call option which the Portfolio has written is exercised, the
Portfolio realizes a capital gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a put option which the Portfolio has written is exercised, the
amount of the premium originally received reduces the cost of the security which
the Portfolio purchased upon exercise of the option.
During the six months ended September 30, 1998, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
MULTI-MANAGED GROWTH
----------------------------
CONTRACTS AMOUNT
--------------- -----------
<S> <C> <C>
Written option contracts as of 3/31/98... 0 $ 0
Options written during the year.......... (85) (66,536)
Written options assigned during the
year................................... 3 1,603
Written options closed during the year... 47 20,872
Net realized gain on written options
closed................................. -- 16,732
--
-----------
Written option contracts as of 9/30/98... (35) ($ 27,329)
--
--
-----------
-----------
<CAPTION>
MULTI-MANAGED MODERATE
GROWTH
----------------------------
CONTRACTS AMOUNT
--------------- -----------
<S> <C> <C>
Written option contracts as of 3/31/98... 0 $ 0
Options written during the year.......... (80) (63,537)
Written options assigned during the
year................................... 2 1,069
Written options closed during the year... 43 19,266
Net realized gain on written options
closed................................. -- 15,873
--
-----------
Written option contracts as of 9/30/98... (35) ($ 27,329)
--
--
-----------
-----------
</TABLE>
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, 1998, were as
follows:
<TABLE>
<CAPTION>
MULTI- MULTI-
MULTI- MANAGED MANAGED
MANAGED MODERATE INCOME/
GROWTH GROWTH EQUITY
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 44,049,250 $ 47,430,645 $ 38,870,157
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 4,208,178 $ 3,782,264 $ 2,725,575
Aggregate unrealized
(loss)........................... (2,164,188) (1,969,985) (635,627)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 2,043,990 $ 1,812,279 $ 2,089,948
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 31,218,301 $ 81,576,311 $ 62,937,370
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 1,810,152 $ 3,037,291 $ 5,498,598
Aggregate unrealized
(loss)........................... (385,951) (5,918,278) (5,674,427)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 1,424,201 $ (2,880,987) $ (175,829)
------------- ------------- -------------
------------- ------------- -------------
</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.
- ----------------
78
<PAGE>
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-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, with regard to the 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.
At September 30, 1998, the amounts repaid to the Adviser which are included in
the management fee along with the remaining balance subject to recoupment are as
follows:
<TABLE>
<CAPTION>
BALANCE
AMOUNT SUBJECT TO
RECOUPED RECOUPMENT
------------- -------------
<S> <C> <C>
Multi-Managed Growth Portfolio..... $ 19,221 $ 4,425
Multi-Managed Moderate Growth
Portfolio........................ 12,654 17,273
Multi-Managed Income/Equity
Portfolio........................ 1,730 36,414
Multi-Managed Income Portfolio..... -- 55,200
Asset Allocation: Diversified
Growth Portfolio................. -- 104,351
Stock Portfolio.................... 10,325 --
</TABLE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the six months ended September 30, 1998 was as
follows:
<TABLE>
<CAPTION>
MULTI- MULTI-
MULTI- MANAGED MANAGED
MANAGED MODERATE INCOME/
GROWTH GROWTH EQUITY
------------- ------------- -------------
<S> <C> <C> <C>
Purchases of portfolio
securities....................... $ 32,328,164 $ 33,123,057 $ 25,002,766
Sales of portfolio
securities....................... 21,149,592 19,355,351 11,485,735
U.S. government securities excluded
above were as follows:
Purchases of U.S. government
securities....................... 4,438,453 6,895,808 10,945,982
Sales of U.S. government
securities....................... 3,293,829 3,713,091 5,501,225
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK
------------- ------------- -------------
<S> <C> <C> <C>
Purchases of portfolio
securities....................... $ 18,323,736 $ 77,765,426 $ 34,226,470
Sales of portfolio securities...... 5,523,311 46,204,369 12,337,546
U.S. government securities excluded
above were as follows:
Purchases of U.S. government
securities....................... 9,143,335 17,824,028 --
Sales of U.S. government
securities....................... 2,470,619 12,705,506 --
</TABLE>
----------------
79
<PAGE>
- ----------------
80
<PAGE>
7. SUBSEQUENT EVENTS: On August 19, 1998, SunAmerica Inc. entered into an
agreement with American International Group, Inc. ("AIG"). Under the terms of
the agreement, SunAmerica Inc. will merge with and into AIG, and consequently,
SunAmerica Asset Management Corp. ("SAAMCo"), which acts as investment adviser
of the Trust, will become a subsidiary of AIG. SAAMCo will not change its name
and no organizational changes are currently planned which would affect services
provided to the Trust. As a result of the merger, contract owners of record as
of October 30, 1998 are being asked to submit voting instructions for the
approval of a new investment advisory and management agreement with SAAMCo, to
take effect upon consummation of the merger, as well as certain other matters.
The new agreement will be identical to the current agreement in all respects
except for its effective date and termination date and will have no effect on
the fees or expenses payable by the Trust or its contract owners. The merger
transaction is expected to be consummated in late 1998 or early 1999.
----------------
81
<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-
3/31/98 $10.00 $0.18 $2.95 $3.13 $(0.08) $(0.20) $12.85 31.55% $32,481
9/30/98(5) 12.85 0.08 (0.28) (0.20) -- -- 12.65 (1.56) 45,971
Multi-Managed Moderate Growth Portfolio
4/15/97-
3/31/98 10.00 0.27 2.40 2.67 (0.13) (0.17) 12.37 26.86 32,622
9/30/98(5) 12.37 0.14 (0.18) (0.04) -- -- 12.33 (0.32) 49,161
Multi-Managed Income/Equity Portfolio
4/15/97-
3/31/98 10.00 0.41 1.68 2.09 (0.20) (0.10) 11.79 21.10 25,957
9/30/98(5) 11.79 0.22 0.25 0.47 -- -- 12.26 3.99 41,324
Multi-Managed Income Portfolio
4/15/97-
3/31/98 10.00 0.51 1.15 1.66 (0.27) (0.10) 11.29 16.81 18,378
9/30/98(5) 11.29 0.26 0.30 0.56 -- -- 11.85 4.96 33,052
Asset Allocation: Diversified Growth Portfolio
4/15/97-
3/31/98 10.00 0.23 1.76 1.99 (0.12) (0.16) 11.71 20.09 50,384
9/30/98(5) 11.71 0.09 (1.04) (0.95) -- -- 10.76 (8.11) 76,398
Stock Portfolio
4/15/97-
3/31/98 10.00 0.03 4.80 4.83 (0.02) (0.15) 14.66 48.59 42,085
9/30/98(5) 14.66 0.02 (1.50) (1.48) -- -- 13.18 (10.10) 62,491
<CAPTION>
- ----------
---------------------------------------
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES TO INCOME TO
PERIOD AVERAGE NET AVERAGE NET PORTFOLIO
ENDED ASSETS(4)(6) ASSETS(4)(6) TURNOVER
- ----------
---------------------------------------
<S> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
3/31/98 1.29% 1.52% 114%
9/30/98(5) 1.29 1.19 59
Multi-Managed Moderate Growth Portfolio
4/15/97-
3/31/98 1.21 2.36 101
9/30/98(5) 1.21 2.18 52
Multi-Managed Income/Equity Portfolio
4/15/97-
3/31/98 1.14 3.72 46
9/30/98(5) 1.14 3.57 37
Multi-Managed Income Portfolio
4/15/97-
3/31/98 1.06 4.69 47
9/30/98(5) 1.06 4.55 24
Asset Allocation: Diversified Growth
Portfolio
4/15/97-
3/31/98 1.21 2.06 166
9/30/98(5) 1.21 1.51 76
Stock Portfolio
4/15/97-
3/31/98 1.21 0.24 46
9/30/98(5) 1.14 0.32 25
</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.
(4) Annualized
(5) Unaudited
(6) 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>
NET INVESTMENT INCOME
EXPENSES (4) (4)
---------------------- ----------------------
3/31/98 9/30/98(5) 3/31/98 9/30/98(5)
-------- ----------- -------- -----------
<S> <C> <C> <C> <C>
Multi-Managed Growth Portfolio.............................. 1.44% -- % 1.37% -- %
Multi-Managed Moderate Growth Portfolio..................... 1.40 -- 2.17 --
Multi-Managed Income/Equity Portfolio....................... 1.43 -- 3.43 --
Multi-Managed Income Portfolio.............................. 1.50 1.15 4.25 4.46
Asset Allocation: Diversified Growth Portfolio.............. 1.53 1.29 1.74 1.43
Stock Portfolio............................................. 1.26 -- 0.19 --
</TABLE>
See Notes to Financial Statements
- ----------------
82
<PAGE>
J-1906-SAR (R11/98)
