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SEASONS SERIES TRUST
[LOGO]
Annual Report
MARCH 31, 1998
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DEAR INVESTOR:
We are pleased to present the first annual report for the Seasons Series Trust,
the underlying investment for your SEASONS VARIABLE ANNUITY issued by Anchor
National Life Insurance Company. The report covers the period from the Trust's
inception on April 15, 1997 to March 31, 1998. Over the last year, Seasons has
benefited from the strong stock and bond markets, as well as the competitive
performance of its underlying portfolios. In fact, we are excited to report that
as of March 31, 1998, Seasons holds $248.2 million in assets compared to $175.1
million as of September 30, 1997, an increase of nearly 42% in just six months.
To help you better understand the state of the economy and to provide you with
some insight into what the future might bring, we have included an overview of
the global, U.S. equity and U.S. fixed income markets over the last year, 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.
THE YEAR IN REVIEW AND OUTLOOK FOR 1998-1999
GLOBAL MARKET
The international markets performed well from April 15, 1997 through March 31,
1998. U.S. stocks posted stellar results, while European markets were the
strongest performers overseas. Other international stocks were mixed, with Latin
American shares advancing respectably and Asian stocks generally falling.
Overall, the global markets were robust despite the uncertainties created by the
mid-1997 financial crisis in Asia. There were fears in late 1997 that Asia's
economic problems would trigger a serious decline in global growth, which would
in turn dampen corporate earnings growth and stock market performance. However,
the global markets rebounded impressively in the first quarter of 1998, with
market indices in both the U.S. and Europe hitting new record highs.
In the U.S., both stocks and bonds rose as the Federal Reserve Board maintained
a "wait-and-see" posture regarding interest rates. Early concerns that strong
economic growth would trigger inflationary pressures were alleviated as the
Asian crisis helped to moderate growth. Long-term interest rates fell to the 6%
range as inflation also continued to decline.
Meanwhile, European markets benefited from positive developments regarding
European Monetary Union (EMU), especially during the last three months. The
strongest global markets in the first quarter of 1998 (in local terms) were all
in Europe, specifically Spain (+42.3%), Italy (+40.3%), Finland (+38.2%),
Portugal (+36.7%), and Ireland (+29.6%). Asian equity markets did not fare as
well. Japan, in particular, was seriously hurt by the Asian crisis, experiencing
slow growth throughout the last year.
Outlook from Putnam Investment Management, Inc.
"LOOKING FORWARD, WE FAVOR SELECT EUROPEAN MARKETS SUCH AS FRANCE, ITALY, AND
SPAIN, WHERE VALUATIONS REMAIN ATTRACTIVE COMPARED TO THOSE IN THE U.S. AND
LARGER EUROPEAN MARKETS SUCH AS GERMANY AND THE U.K."
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U.S. EQUITY MARKET
Following some weakness in late 1997, U.S. stocks resumed their powerful gains
in the first quarter of 1998. From April 15, 1997 through March 31, 1998, the
Standard & Poor's Composite Index of 500 Stocks, an index widely accepted as
representative of the U.S. stock market performance, soared an incredible
48.37%. Technology shares came alive in recent months, helping to power the
NASDAQ Composite Index, which generally represents smaller, over-the-counter
stocks, to an even more robust 50.26% return during the period.
The strong performance of U.S. stocks was supported by an economic environment
of moderate growth and low inflation. In 1997, Gross Domestic Product (GDP)
growth was reported at 3.8% versus 2.6% in 1996. This increase in GDP growth
reflected very strong consumer demand, a rise in discretionary income, and a
housing sector that benefited from lower mortgage rates. Investors were also
encouraged by Federal Reserve Chairman Alan Greenspan's decision to hold
short-term rates during the period. In addition, both unemployment and inflation
remained low, and corporate profits continued to show strength throughout the
year.
Outlook from SunAmerica Asset Management Corp.
"WE CONTINUE TO REMAIN POSITIVE ABOUT THE OVERALL EQUITY MARKET. THE U.S.
ECONOMY REMAINS ON TRACK AS WE ENTER THE EIGHTH YEAR OF THIS ECONOMIC
EXPANSION. HOWEVER, WITH REDUCED ASIAN DEMAND FOR EXPORTS AND INTENSIFIED
COMPETITION AMONG IMPORTS, WE BELIEVE THAT U.S. ECONOMIC GROWTH WILL MODERATE
IN 1998 TO THE 2%-2.5% RANGE. ON THE INFLATION FRONT, WE CONTINUE TO WATCH
WAGE INFLATION AND ITS IMPACT ON CORPORATE EARNINGS. WITH MODERATE GROWTH AND
A STABLE TO DECLINING INFLATIONARY PICTURE, WE BELIEVE CORPORATE EARNINGS WILL
BE UP 5%-6% IN 1998. ALL OF THIS SHOULD HELP SUPPORT U.S. STOCKS IN THE NEXT
YEAR."
Outlook from Janus Capital Corporation
"WHILE EVENTS IN ASIA HAVE RESULTED IN WEAKER DEMAND FROM THE PACIFIC RIM,
THEY HAVE ALSO STRENGTHENED THE U.S. ECONOMY BY HOLDING DOWN PRICES. IN THE
U.S., LOW INTEREST RATES, MODEST INFLATION, AND STEADY GROWTH HAVE CREATED AN
ENVIRONMENT IN WHICH QUALITY COMPANIES CAN THRIVE. IN THIS CONTEXT, WE BELIEVE
CAREFULLY RESEARCHED, HIGH-QUALITY ASSETS WILL CONTINUE TO GENERATE EXCELLENT
RESULTS THROUGHOUT THE YEAR."
Outlook from T. Rowe Price Associates, Inc.
"ALTHOUGH WE REMAIN OPTIMISTIC ABOUT U.S. STOCKS, WE BELIEVE ECONOMIC GROWTH
WILL SLOW FROM THE TORRID PACE OF RECENT YEARS. THE IMPACT OF ASIA'S PROBLEMS
HAS ONLY BEGUN TO BE EVIDENT IN SPECIFIC COMPANY RESULTS, BUT IT COULD CAUSE
SOME SLOWING OF CORPORATE EARNINGS IN 1998. THIS, IN TURN, COULD INHIBIT THE
STOCK MARKET'S CLIMB, PARTICULARLY IN VIEW OF TODAY'S HISTORICALLY HIGH
VALUATIONS."
U.S. FIXED INCOME MARKET
Over the last twelve months, the U.S. bond markets produced significant gains,
as interest rates fell by approximately 1% down to the 5.5%-6.0% level across
all maturities. With inflation close to 1% and unlikely to move above 2% during
the next year, real interest rates stayed near 4%, a level which has
historically been very attractive for bond investors.
In this environment, corporate bonds and mortgages performed well, especially
compared to U.S. Treasuries. With strong double-digit gains, high-yield bonds
turned in the best results among fixed income investments. The only major
turmoil within the bond market revolved around Asian and Latin American debt. As
a result of the Asian financial crisis, many investors sold emerging market
issues in late 1997 and prices declined by over 10%. This year has seen a
reversal in fortune,
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as these debt issues have attracted investors interested in earning yields of
8-10%. However, prices still have not fully retraced their 1997 declines.
Outlook from Wellington Management Company, LLP:
"WE EXPECT INTEREST RATES TO REMAIN STABLE TO LOWER IN THE MONTHS AHEAD.
ALTHOUGH MOST OF THE IMPROVEMENT IN INFLATION IS BEHIND US, IT IS UNLIKELY TO
INCREASE ANYTIME SOON, AND THE LONGER IT REMAINS IN THE 1%-2% RANGE, THE MORE
COMFORTABLE INVESTORS WILL BE BUYING U.S. TREASURIES YIELDING LESS THAN 6% AND
THE MORE LIKELY THE FEDERAL RESERVE WOULD REDUCE RATES AT SIGNS OF ECONOMIC
WEAKNESS. OVERALL, THAT'S A GOOD SIGN FOR THE FIXED INCOME MARKETS."
IN CONCLUSION
Over the last year, the U.S. equity market continued to break new highs. In late
March, the Dow Jones Industrial Average, which represents 30 of the largest
industrial companies in the U.S., surpassed the 9,000 level for the first time
ever, a feat that seemed unlikely just a few months earlier. Yet even as the
records mount, the market has continued to experience increased volatility. As a
SEASONS VARIABLE ANNUITY investor, you have the confidence of knowing that your
money is managed by the combined talents, experience and expertise of our five
highly regarded money managers. In addition, with the market near all-time highs
and continuing to fluctuate with every economic report, it is reassuring to
remember that the SEASONS VARIABLE ANNUITY offers automatic asset allocation and
portfolio rebalancing to help you manage risk and ensure 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 the life companies of SunAmerica Inc., The Retirement
Specialist.-TM-
Sincerely,
[ELI BROAD SIGNATURE]
Eli Broad
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
ANCHOR NATIONAL LIFE INSURANCE COMPANY
May 19, 1998________
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
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COMMON STOCK -- 70.7% SHARES VALUE
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CONSUMER DISCRETIONARY -- 3.4%
APPAREL & TEXTILES -- 0.5%
Oakley, Inc.+ .......................... 8,200 $ 94,813
R.P.M., Inc. ........................... 1,625 28,945
Sola International, Inc.+ .............. 800 33,150
AUTOMOTIVE -- 0.6%
Federal-Mogul Corp. .................... 2,775 147,595
Ford Motor Co. ......................... 700 45,369
HOUSING -- 0.0%
Krause's Furniture, Inc.+ .............. 3,900 14,625
RETAIL -- 2.3%
Abercrombie & Fitch Co., Class A+ ...... 1,300 54,681
Costco Cos., Inc.+ ..................... 2,450 130,769
CVS Corp. .............................. 400 30,200
Cybershop International, Inc.+ ......... 1,150 10,781
Duane Reade, Inc.+ ..................... 6,493 165,977
Federated Department Stores, Inc.+ ..... 900 46,631
Gap, Inc. .............................. 750 33,750
Office Depot, Inc.+ .................... 1,900 59,138
Pacific Sunwear of California+ ......... 500 20,750
Sunglass Hut International, Inc.+ ...... 8,400 88,200
U.S. Vision, Inc.+ ..................... 3,000 30,750
Wal-Mart Stores, Inc. .................. 1,000 50,813
Woolworth Corp.+ ....................... 1,000 25,000
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1,111,937
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CONSUMER STAPLES -- 1.2%
FOOD, BEVERAGE & TOBACCO -- 0.7%
DEKALB Genetics Corp., Class B ......... 1,780 119,037
Flowers Industries, Inc. ............... 1,000 23,437
Philip Morris Cos., Inc. ............... 1,300 54,194
RJR Nabisco Holdings Corp. ............. 700 21,919
UST, Inc. .............................. 600 19,350
HOUSEHOLD PRODUCTS -- 0.5%
Colgate-Palmolive Co. .................. 700 60,638
Gillette Co. ........................... 400 47,475
Procter & Gamble Co. ................... 600 50,625
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396,675
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ENERGY -- 1.5%
ENERGY SERVICES -- 0.3%
Baker Hughes, Inc. ..................... 600 24,150
Friede Goldman International, Inc.+ .... 900 25,987
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COMMON STOCK (CONTINUED) SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Schlumberger Ltd. ...................... 300 $ 22,725
Smedvig ASA, Class B ................... 749 15,030
Transocean Offshore, Inc. .............. 500 25,719
ENERGY SOURCES -- 1.2%
Exxon Corp. ............................ 800 54,100
Global Marine, Inc.+ ................... 750 18,563
Mobil Corp. ............................ 500 38,312
Nabors Industries, Inc.+ ............... 750 17,766
Noble Affiliates, Inc. ................. 800 33,300
Ocean Rig ASA+ ......................... 57,031 58,343
Royal Dutch Petroleum Co. .............. 600 34,087
Smith International, Inc.+ ............. 1,593 87,715
Texaco, Inc. ........................... 800 48,200
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503,997
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FINANCE -- 10.5%
BANKS -- 4.5%
Ambanc Holding Co., Inc. ............... 325 6,175
Astoria Financial Corp. ................ 235 14,526
Banca Commerciale Italiana+ ............ 39,668 197,905
Bank of New York Co., Inc. ............. 2,125 133,477
BankAmerica Corp. ...................... 2,050 169,381
BankBoston Corp. ....................... 300 33,075
Chase Manhattan Corp. .................. 400 53,950
Citicorp ............................... 250 35,500
First American Corp. ................... 1,300 63,700
First Chicago NBD Corp. ................ 700 61,688
First Defiance Financial Corp. ......... 945 14,411
First Union Corp. ...................... 700 39,725
Golden State Bancorp, Inc.+ ............ 1,600 61,100
Hibernia Corp., Class A ................ 3,100 63,744
Klamath First Bancorp, Inc. ............ 710 16,330
Mellon Bank Corp. ...................... 500 31,750
North Central Bancshares, Inc. ......... 130 2,893
PNC Bank Corp. ......................... 1,800 107,887
Provident Financial Holdings, Inc.+ .... 525 12,338
Queens County Bancorp, Inc. ............ 400 17,600
Sovereign Bancorp, Inc. ................ 3,400 61,837
Star Banc Corp. ........................ 1,250 73,906
Summit Bancorp. ........................ 1,200 60,075
TF Financial Corp. ..................... 90 2,520
U.S. Bancorp ........................... 1,055 131,611
FINANCIAL SERVICES -- 3.7%
American Express Co. ................... 600 55,087
Associates First Capital Corp., Class
A .................................... 2,930 231,470
Beneficial Corp. ....................... 490 60,913
Capital One Financial Corp. ............ 1,000 78,875
Charles Schwab Corp. ................... 2,052 77,976
CIT Group, Inc., Class A+ .............. 1,300 42,413
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COMMON STOCK (CONTINUED) SHARES VALUE
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FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
ContiFinancial Corp.+ .................. 800 $ 24,400
Federal Agricultural Mortgage Corp.+ ... 700 39,200
Federal National Mortgage
Association .......................... 800 50,600
FirstSpartan Financial Corp. ........... 265 11,958
Healthcare Financial Partners, Inc.+ ... 1,400 66,325
Household International, Inc. .......... 1,125 154,969
Jefferies Group, Inc. .................. 200 11,300
Legg Mason, Inc. ....................... 500 29,656
Lehman Brothers Holdings, Inc. ......... 500 37,438
SLM Holding Corp. ...................... 2,820 123,022
T&W Financial Corp.+ ................... 2,000 57,500
Waddell & Reed Financial, Inc., Class
A+ ................................... 1,050 27,300
INSURANCE -- 2.3%
Aetna, Inc. ............................ 300 25,031
Allstate Corp. ......................... 400 36,775
Chubb Corp. ............................ 300 23,513
Conseco, Inc. .......................... 900 50,962
Reliance Group Holdings, Inc. .......... 4,000 76,500
Stirling Cooke Brown Holdings Ltd.+ .... 500 13,250
Swiss Life Insurance & Pension Co. ..... 108 91,316
The Hartford Financial Services Group,
Inc. ................................. 400 43,400
UICI+ .................................. 2,375 82,086
UNUM Corp. ............................. 5,700 314,569
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3,404,908
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HEALTHCARE -- 9.2%
DRUGS -- 5.5%
Abbott Laboratories, Inc. .............. 400 30,125
Alkermes, Inc.+ ........................ 2,000 49,750
Alza Corp.+ ............................ 3,140 140,711
Bristol-Myers Squibb Co. ............... 700 73,019
Centocor, Inc.+ ........................ 500 22,313
Eli Lilly & Co. ........................ 2,835 169,037
ICN Pharmaceuticals, Inc. .............. 1,400 68,950
Inhale Therapeutic Systems ............. 1,000 27,125
Merck & Co., Inc. ...................... 500 64,187
Pfizer, Inc. ........................... 3,565 355,386
Sepracor, Inc.+ ........................ 1,000 42,625
Smithkline Beecham PLC ................. 12,026 151,490
Warner-Lambert Co. ..................... 3,475 591,836
HEALTH SERVICES -- 1.8%
Advance Paradigm, Inc.+ ................ 1,500 59,437
Assisted Living Concepts, Inc.+ ........ 1,000 21,625
Boron, LePore & Associates, Inc.+ ...... 1,700 56,313
Columbia/HCA Healthcare Corp. .......... 1,400 45,150
Novoste Corp.+ ......................... 2,400 62,250
Omnicare, Inc. ......................... 5,599 221,860
Sunrise Assisted Living, Inc.+ ......... 1,000 44,750
Tenet Healthcare Corp.+ ................ 1,100 39,944
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COMMON STOCK (CONTINUED) SHARES VALUE
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HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
United Healthcare Corp. ................ 300 $ 19,425
Vision Twenty-One, Inc.+ ............... 2,100 24,675
MEDICAL PRODUCTS -- 1.9%
Arterial Vascular Engineering, Inc.+ ... 2,000 73,250
Baxter International, Inc. ............. 500 27,563
Cardinal Health, Inc. .................. 765 67,463
Cytyc Corp.+ ........................... 2,500 62,500
Endocardial Solutions, Inc.+ ........... 500 7,000
Johnson & Johnson ...................... 600 43,988
Medaphis Corp.+ ........................ 5,700 59,494
Respironics, Inc.+ ..................... 3,000 86,812
Sofamor Danek Group, Inc.+ ............. 2,070 176,467
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2,986,520
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INDUSTRIAL & COMMERCIAL -- 8.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 700 36,488
BUSINESS SERVICES -- 5.0%
Aavid Thermal Technologies, Inc.+ ...... 4,400 135,850
Billing Concepts Corp.+ ................ 200 5,188
Cendant Corp.+ ......................... 1,000 39,625
Cultural Access Worldwide, Inc.+ ....... 10,000 158,750
D.R. Horton, Inc. ...................... 1,500 31,875
Delta & Pine Land Co. .................. 3,640 189,280
DSET Corp.+ ............................ 3,400 63,537
Gartner Group, Inc., Class A+ .......... 700 26,163
GTECH Holdings Corp.+ .................. 400 15,550
Ha-Lo Industries, Inc.+ ................ 3,900 136,256
Metro One Telecommunications, Inc.+ .... 5,600 66,500
NCO Group, Inc.+ ....................... 1,000 25,000
Network Appliance, Inc. ................ 1,900 67,450
Owens-Illinois, Inc.+ .................. 500 21,625
Positron Fiber Systems Corp., Class
A+ ................................... 9,600 73,800
PSINet, Inc.+ .......................... 5,900 65,637
Ryland Group, Inc. ..................... 1,000 27,625
Sealed Air Corp.+ ...................... 2,440 159,820
Service Corp. International ............ 1,000 42,437
Sysco Corp. ............................ 800 20,500
Toll Brothers, Inc.+ ................... 1,500 42,188
Tomra Systems ASA ...................... 571 15,128
Transition Systems, Inc.+ .............. 3,300 67,237
Unisys Corp.+ .......................... 4,000 76,000
USA Waste Services, Inc.+ .............. 1,100 49,019
ELECTRICAL EQUIPMENT -- 0.4%
Aeroflex, Inc.+ ........................ 4,700 62,275
North American Scientific, Inc.+ ....... 2,200 79,200
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY -- 0.2%
EVI, Inc.+ ............................. 1,100 $ 50,944
Varco International, Inc.+ ............. 750 19,312
MULTI-INDUSTRY -- 1.9%
Corning, Inc. .......................... 800 35,400
Raision Tehtaat Oy ..................... 1,755 251,945
Republic Industries, Inc.+ ............. 1,400 36,137
Siebe PLC .............................. 5,571 121,609
Tyco International Ltd. ................ 2,880 157,320
TRANSPORTATION -- 0.5%
Atlas Air, Inc.+ ....................... 1,600 52,100
Burlington Northern Santa Fe Corp. ..... 400 41,600
Comair Holdings, Inc. .................. 1,000 26,500
Trans World Airlines, Inc.+ ............ 2,500 30,781
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2,623,651
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INFORMATION & ENTERTAINMENT -- 5.6%
BROADCASTING & MEDIA -- 4.6%
CBS Corp. .............................. 6,385 216,691
Chancellor Media Corp.+ ................ 4,805 220,429
Cinar Films, Inc., Class B+ ............ 1,000 42,625
Clear Channel Communications, Inc.+ .... 400 39,200
DoubleClick, Inc.+ ..................... 2,000 70,250
Forrester Research, Inc.+ .............. 500 17,750
Jacor Communications, Inc.+ ............ 1,000 59,000
Lamar Advertising Co., Class A+ ........ 2,610 91,350
Outdoor Systems, Inc.+ ................. 2,960 103,785
The Petersen Companies, Inc., Class
A+ ................................... 2,000 50,000
Time Warner, Inc. ...................... 7,544 543,168
Univision Communications, Inc., Class
A+ ................................... 1,250 46,563
ENTERTAINMENT PRODUCTS -- 0.2%
Hasbro, Inc. ........................... 800 28,250
Mattel, Inc. ........................... 800 31,700
LEISURE & TOURISM -- 0.8%
Hilton Hotels Corp. .................... 900 28,688
McDonald's Corp. ....................... 800 48,000
Outback Steakhouse, Inc.+ .............. 1,900 74,337
Primadonna Resorts, Inc.+ .............. 6,000 94,500
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1,806,286
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INFORMATION TECHNOLOGY -- 25.4%
COMMUNICATION EQUIPMENT -- 2.1%
CIENA Corp.+ ........................... 1,500 63,937
Lucent Technologies, Inc. .............. 900 115,087
Nokia Corp., Class A ADR ............... 3,060 330,289
Tellabs, Inc.+ ......................... 500 33,563
U.S. West Media Group+ ................. 3,240 112,590
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 2.0%
Computer Sciences Corp. ................ 600 $ 33,000
Dell Computer Corp.+ ................... 1,930 130,758
EMC Corp.+ ............................. 3,470 131,209
HBO & Co. .............................. 3,905 235,764
Hewlett-Packard Co. .................... 700 44,363
Honeywell, Inc. ........................ 400 33,075
International Business Machines
Corp. ................................ 400 41,550
ELECTRONICS -- 4.2%
Analog Devices, Inc.+ .................. 10,300 342,475
Applied Materials, Inc.+ ............... 900 31,781
ASM Lithography Holdings NV+ ........... 2,705 250,043
ATMI, Inc.+ ............................ 2,100 63,525
Emerson Electric Co. ................... 700 45,631
General Electric Co. ................... 900 77,569
Hubbell, Inc., Class B ................. 600 30,225
Intel Corp. ............................ 500 39,031
Lam Research Corp.+ .................... 400 11,250
Maxim Integrated Products, Inc.+ ....... 2,180 79,434
Molex, Inc., Class A ................... 1,100 29,494
Motorola, Inc. ......................... 500 30,313
Pittway Corp., Class A ................. 3,840 276,480
Vitesse Semiconductor Corp.+ ........... 1,330 62,718
SOFTWARE -- 12.7%
America Online, Inc.+ .................. 7,344 501,687
Applied Voice Technology, Inc.+ ........ 1,000 39,000
Aspen Technology, Inc.+ ................ 5,375 221,719
At Home Corp., Series A+ ............... 3,710 125,444
Cadence Design Systems, Inc.+ .......... 6,680 231,295
Caere Corp.+ ........................... 5,000 54,375
Cambridge Technology Partners, Inc.+ ... 800 39,650
Cisco Systems, Inc.+ ................... 5,855 400,336
Computer Associates International,
Inc. ................................. 1,000 57,750
Computer Task Group, Inc. .............. 1,000 41,188
Compuware Corp.+ ....................... 2,500 123,437
CrossKeys Systems Corp.+ ............... 1,000 11,250
Intuit, Inc.+ .......................... 1,930 93,364
ISS Group, Inc.+ ....................... 600 23,325
J.D. Edwards & Co.+ .................... 3,800 124,212
Keane, Inc.+ ........................... 1,300 73,450
Microsoft Corp.+ ....................... 6,835 611,732
MindSpring Enterprises, Inc.+ .......... 1,000 64,250
Oracle Corp.+ .......................... 900 28,406
Parametric Technology Corp.+ ........... 18,415 613,450
Pegrine Systems, Inc.+ ................. 3,500 66,937
PeopleSoft, Inc.+ ...................... 3,155 166,229
Reynolds & Reynolds Co., Class A ....... 1,000 21,875
Sapient Corp.+ ......................... 1,810 85,749
Segue Software, Inc.+ .................. 700 9,100
Sterling Commerce, Inc.+ ............... 1,400 64,925
Storage Technology Corp.+ .............. 850 64,653
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COMMON STOCK (CONTINUED) SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
VERITAS Software Corp.+ ................ 1,230 $ 72,724
VocalTec Communications Ltd.+ .......... 1,000 20,500
Wind River Systems+ .................... 1,865 74,134
TELECOMMUNICATIONS -- 4.4%
Alltel Corp. ........................... 1,000 43,687
Clearnet Communications, Inc., Class
A .................................... 4,500 63,844
Comcast Corp., Class A+ ................ 10,540 372,194
Frontier Corp. ......................... 3,500 113,969
GST Telecommunications, Inc+ ........... 3,900 58,744
Intermedia Communications, Inc.+ ....... 800 63,700
IWL Communications, Inc. ............... 1,000 17,875
Pacific Gateway Exchange, Inc.+ ........ 1,300 74,425
RELTEC Corp.+ .......................... 250 8,859
Saville Systems PLC ADR+ ............... 500 25,625
Star Telecommunications, Inc.+ ......... 900 50,062
STARTEC Global Communications Corp.+ ... 2,600 65,000
Tele-Communications, Inc., Series A+ ... 12,896 400,985
Teleport Communications Group Inc.,
Class A+ ............................. 1,200 70,500
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8,230,769
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MATERIALS -- 2.7%
CHEMICALS -- 2.4%
Cabot Corp. ............................ 1,985 73,197
du Pont (E.I.) de Nemours & Co. ........ 700 47,600
Monsanto Co. ........................... 10,845 563,940
Solutia, Inc. .......................... 3,195 95,051
FOREST PRODUCTS -- 0.2%
American Pad & Paper Co.+ .............. 900 6,525
Boise Cascade Corp. .................... 1,400 50,487
Sonoco Products Co. .................... 300 12,019
METALS & MINERALS -- 0.1%
EASCO, Inc. ............................ 1,000 15,250
Martin Marietta Materials, Inc. ........ 700 30,231
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894,300
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REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.1%
The Rouse Co. .......................... 500 15,750
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Crescent Real Estate Equities Co. ...... 700 25,200
ElderTrust+ ............................ 1,000 17,875
Equity Office Properties Trust ......... 400 12,250
-------------
71,075
-------------
</TABLE>
- ----------------
10
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 2.8%
ELECTRIC UTILITIES -- 0.3%
Duke Energy Corp. ...................... 800 $ 47,650
GPU, Inc. .............................. 1,000 44,250
GAS & PIPELINE UTILITIES -- 0.3%
Consolidated Natural Gas Co. ........... 700 40,381
Enron Corp. ............................ 900 41,737
US Filter Corp.+ ....................... 900 31,613
TELEPHONE-- 2.2%
Ameritech Corp. ........................ 900 44,494
AT&T Corp. ............................. 800 52,500
Bell Atlantic Corp. .................... 407 41,718
Century Telephone Enterprises, Inc. .... 1,050 64,181
Cincinnati Bell, Inc. .................. 1,800 64,125
GTE Corp. .............................. 600 35,925
MCI Communications Corp. ............... 600 29,700
SBC Communications, Inc. ............... 1,200 52,350
Telecom Italia SpA ..................... 17,263 136,030
Winstar Communications, Inc.+ .......... 1,500 64,125
WorldCom, Inc.+ ........................ 3,114 134,097
-------------
924,876
-------------
TOTAL COMMON STOCK (cost $19,667,286)... 22,954,994
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 23.6% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.1%
RETAIL -- 0.1%
J.C. Penney Co., Inc. 7.40% 2037 ....... $ 20,000 21,578
Fred Meyer, Inc. 7.38% 2005 ............ 25,000 25,071
-------------
46,649
-------------
CONSUMER STAPLES -- 0.1%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Panamerican Beverages, Inc. 8.13%
2003 ................................. 30,000 31,890
-------------
ENERGY -- 0.2%
ENERGY SOURCES-- 0.2%
Newfield Exploration Co., Series B 7.45%
2007* ................................ 10,000 9,956
Petroleos Mexicano 9.00% 2007 .......... 25,000 25,594
YPF Sociedad Anonima 8.00% 2004 ........ 15,000 15,238
-------------
50,788
-------------
FINANCE -- 4.5%
BANKS -- 1.2%
Banc One Corp. 8.00% 2027 .............. 18,000 20,365
Bank One Columbus 7.38% 2002 ........... 25,000 26,112
Banponce Financial Corp. 6.75% 2001 .... 20,000 20,230
Credit National 7.00% 2005 ............. 20,000 20,011
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Export Import Bank of Korea 6.50%
2006 ................................. $ 35,000 $ 30,259
First Chicago NBD Corp. 7.25% 2004 ..... 60,000 62,790
First Republic Bancorp 7.75% 2012 ...... 25,000 25,615
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2029 ............ 55,000 55,764
Korea Development Bank 7.13% 2001 ...... 15,000 14,105
NBD Bank SA 8.25% 2024 ................ 25,000 29,525
NCNB Co. 9.38% 2009 .................... 32,000 39,441
United States Bancorp 7.50% 2026 ....... 50,000 54,295
FINANCIAL SERVICES -- 3.2%
Allstate Financing II 7.83% 2045 ....... 24,000 24,571
Asset Securitization Corp. 6.66%
2041# ................................ 50,000 51,016
Associates Corp. of North America 7.63%
2004 ................................. 60,000 64,261
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 70,000 73,587
Dime Capital Trust I, Series A 9.33%
2027 ................................. 20,000 22,556
Finova Capital Corp. 6.63% 2001 ........ 50,000 50,615
Finova Capital Corp., Series C 6.39%
2002 ................................. 30,000 30,146
Fleet Mortgage Group, Inc. 6.84%
2003 ................................. 30,000 30,507
Ford Motor Credit Company 7.02% 2000 ... 50,000 51,093
GE Capital Mortgage Services Inc. 6.25%
2023 ................................. 16,025 15,935
Lubermens Mutual Casualty Co. 8.30%
2037* ................................ 40,000 42,540
Morgan Stanley Capital I, Inc. 7.22%
2007* ................................ 60,000 63,337
Popular North America, Inc. 6.63%
2002 ................................. 35,000 35,502
Private Export Funding Corp. 6.31%
2004 ................................. 100,000 102,278
Private Export Funding Corp. 6.62%
2005 ................................. 120,000 124,617
Private Export Funding Corp. 7.03%
2003 ................................. 35,000 36,855
Private Export Funding Corp. 7.30%
2002 ................................. 125,000 131,171
Private Export Funding Corp. 7.90%
2000 ................................. 35,000 36,405
US West Capital Funding, Inc. 6.95%
2037 ................................. 40,000 41,701
INSURANCE -- 0.1%
Cigna Corp. 7.88% 2027 ................. 19,000 20,671
Jackson National Life Insurance Co.
8.15% 2027* .......................... 22,000 24,169
-------------
1,472,045
-------------
HEALTHCARE -- 0.4%
HEALTH SERVICES -- 0.3%
Allegiance Corp. 7.00% 2026 ............ 55,000 56,825
Tenet Healthcare Corp. 7.88% 2003 ...... 20,000 20,300
MEDICAL PRODUCTS -- 0.1%
Beckman Instruments, Inc. 7.10%
2003* ................................ 40,000 40,079
-------------
117,204
-------------
INDUSTRIAL & COMMERCIAL -- 0.3%
MACHINERY -- 0.1%
Cincinnati Milacron, Inc. 7.88% 2000 ... 35,000 35,814
</TABLE>
- ----------------
12
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.2%
AMR Corp. 9.88% 2020 ................... $ 30,000 $ 39,169
Continental Airlines 6.65% 2019 ........ 40,000 39,777
-------------
114,760
-------------
INFORMATION & ENTERTAINMENT -- 0.5%
BROADCASTING & MEDIA -- 0.5%
Comcast Cable Communications 8.50%
2027 ................................. 15,000 17,518
News America Holdings, Inc. 8.00%
2016 ................................. 65,000 70,044
Scholastic Corp. 7.00% 2003 ............ 35,000 35,877
Viacom, Inc. 7.75% 2005 ................ 40,000 41,950
-------------
165,389
-------------
INFORMATION TECHNOLOGY -- 0.2%
TELECOMMUNICATIONS -- 0.2%
Tele-Communications, Inc. 7.25% 2005 ... 25,000 25,585
Tele-Communications, Inc. 9.25% 2002 ... 25,000 27,362
-------------
52,947
-------------
MATERIALS -- 0.1%
CHEMICALS -- 0.1%
ICI Wilmington, Inc. 6.95% 2004 ........ 35,000 36,016
-------------
MUNICIPAL BONDS -- 0.5%
MUNICIPAL BONDS -- 0.5%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 45,000 45,770
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 50,000 49,152
Miami Florida Revenue 7.25% 2003 ....... 60,000 62,906
-------------
157,828
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.9%
FOREIGN GOVERNMENT -- 0.9%
Australian Government 6.75%
2006 ............................(AUD) 290,000 205,412
Republic of Argentina 11.00% 2006 ...... 25,000 27,813
Republic of Columbia 7.25% 2004 ........ 33,000 31,521
Republic of Columbia 7.63% 2007 ........ 17,000 16,022
Republic of Lithuania 7.13% 2002* ...... 19,000 18,620
-------------
299,388
-------------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.2%
Post Apartment Homes LP 7.02% 2001 ..... 60,000 61,045
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Equity Office Properties Operating LP
6.38% 2003* .......................... 60,000 59,399
-------------
120,444
-------------
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 14.9%
U.S. GOVERNMENT & AGENCIES -- 14.9%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. $ 20,000 $ 19,868
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 38,000 38,190
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 10,000 9,962
Federal Home Loan Mortgage Corp. 6.55%
2022 ................................. 32,000 32,370
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 105,000 106,241
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 12,000 12,446
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 17,552 18,002
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 25,434 26,579
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 31,741 33,496
Federal National Mortgage Association
5.65% 2005 ........................... 15,000 14,914
Federal National Mortgage Association
5.75% 2008 ........................... 230,000 225,455
Federal National Mortgage Association
7.00% 2006 ........................... 8,201 8,223
Federal National Mortgage Association
7.39% 2021 ........................... 27,948 28,894
Federal National Mortgage Association
9.35% 2020 ........................... 3,434 3,449
Government National Mortgage Association
7.00% 2022 ........................... 16,709 16,923
Government National Mortgage Association
7.25% 2027 ........................... 123,017 125,208
Government National Mortgage Association
7.50% 2023 ........................... 40,458 41,570
Government National Mortgage Association
8.50% 2017 ........................... 36,706 39,287
Government National Mortgage Association
9.00% 2021 ........................... 14,256 15,422
United States Treasury Bonds 6.38%
2027 ................................. 20,000 21,125
United States Treasury Bonds 6.63%
2027 ................................. 90,000 97,650
United States Treasury Bonds 7.13%
2023 ................................. 150,000 171,188
United States Treasury Bonds 7.50%
2016 ................................. 70,000 81,626
United States Treasury Bonds 8.13%
2021 ................................. 55,000 69,274
United States Treasury Bonds 8.50%
2020 ................................. 124,000 161,103
United States Treasury Bonds 11.88%
2003 ................................. 350,000 451,938
United States Treasury Bonds 12.00%
2013 ................................. 700,000 1,028,237
United States Treasury Notes 5.38%
2001 ................................. 100,000 99,406
United States Treasury Notes 5.50%
2008 ................................. 200,000 197,562
United States Treasury Notes 5.88%
2000 ................................. 245,000 246,149
United States Treasury Notes 6.25%
2002 ................................. 225,000 229,781
United States Treasury Notes 6.25%
2007 ................................. 185,000 191,388
United States Treasury Notes 6.63%
2001 ................................. 290,000 298,384
United States Treasury Notes 6.63%
2002 ................................. 50,000 51,664
United States Treasury Notes 6.63%
2007 ................................. 25,000 26,539
United States Treasury Notes 7.25%
2004 ................................. 285,000 307,578
United States Treasury Notes 8.50%
2000 ................................. 280,000 299,295
-------------
4,846,386
-------------
UTILITIES -- 0.5%
ELECTRIC UTILITIES -- 0.4%
Atlantic City Electric Co. 6.38%
2005 ................................. 20,000 20,251
Cleveland Electric Illuminating Co.
7.19% 2000* .......................... 15,000 15,226
Empresa Nacional de Electricidad SA
7.33% 2037 ........................... 25,000 24,921
Public Service Electric & Gas Co. 8.88%
2003 ................................. 11,000 12,305
UtiliCorp United, Inc. 6.88% 2004 ...... 40,000 41,231
GAS & PIPELINE UTILITIES -- 0.1%
KN Energy, Inc. 6.65% 2005 ............. 35,000 35,073
</TABLE>
- ----------------
14
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE -- 0.0%
WorldCom, Inc. 7.55% 2004 .............. $ 15,000 $ 15,798
-------------
164,805
-------------
TOTAL BONDS & NOTES (cost $7,555,530)... 7,676,539
-------------
TOTAL INVESTMENT SECURITIES (cost
$27,222,816).......................... 30,631,533
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.3%
<S> <C> <C>
- -----------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.1%
Chase Manhattan Corp. 8.77% due
2/19/99 .............................. 30,000 30,692
-------------
FOREIGN SHORT-TERM NOTES -- 0.2%
New Zealand Treasury Bill zero coupon
due 12/16/98 ....................(NZD) 150,000 78,069
-------------
TOTAL SHORT-TERM SECURITIES (cost
$110,260)............................. 108,761
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 7.7%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 7.7%
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3).................... 2,153,000 2,153,000
Swiss Bank Corp. Joint Repurchase
Agreement (Note 3).................... 350,000 350,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$2,503,000)........................... 2,503,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $29,836,076) 102.3% 33,243,294
Liabilities in excess of other assets -- (2.3) (762,733)
----- -------------
NET ASSETS -- 100.0% $ 32,480,561
----- -------------
----- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
ADR -- American Depository Receipt
AUD -- Australian Dollar
NZD -- New Zealand Dollar
----------------
15
<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 309,000 USD 206,063 04/28/98 $ 1,599
*DEM 110,000 USD 61,312 04/28/98 1,736
FIM 300,000 USD 54,718 07/31/98 913
FIM 200,000 USD 36,308 07/31/98 439
FIM 770,000 USD 139,493 07/31/98 1,395
FIM 380,000 USD 69,834 08/07/98 1,656
ITL 45,000,000 USD 25,378 05/06/98 690
ITL 14,000,000 USD 7,821 05/06/98 140
ITL 14,000,000 USD 7,785 05/06/98 104
ITL 105,000,000 USD 58,761 05/06/98 1,157
ITL 111,000,000 USD 61,696 08/07/98 678
ITL 91,000,000 USD 51,146 08/07/98 1,122
ITL 34,500,000 USD 19,235 08/07/98 271
NLG 97,000 USD 47,271 07/02/98 487
NLG 25,000 USD 12,348 07/31/98 271
NLG 153,000 USD 75,683 08/07/98 1,741
*SEK 64,000 USD 8,073 08/07/98 37
*USD 5,598 SEK 45,000 08/07/98 52
*USD 3,737 SEK 30,000 08/07/98 29
-------
14,517
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GBP 8,500 USD 13,862 05/06/98 (340)
GBP 10,000 USD 16,387 05/06/98 (321)
GBP 6,000 USD 9,856 05/06/98 (170)
GBP 11,000 USD 17,856 08/07/98 (444)
GBP 26,500 USD 43,382 08/07/98 (707)
*SEK 11,000 USD 1,375 08/07/98 (6)
USD 6,668 ITL 12,000,000 05/06/98 (84)
USD 7,335 NLG 15,000 08/07/98 (86)
USD 31,799 NLG 65,000 08/07/98 (386)
USD 14,689 NLG 30,000 08/07/98 (190)
*USD 61,274 DEM 110,000 04/28/98 (1,697)
-------
(4,431)
-------
Net Unrealized Appreciation............................ $ 10,086
-------
-------
</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 SEK -- Swedish Krona
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NLG -- Netherlands Guilder
</TABLE>
See Notes to Financial Statements
- ----------------
16
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
<TABLE>
<CAPTION>
COMMON STOCK -- 56.5% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.8%
APPAREL & TEXTILES -- 0.4%
Oakley, Inc.+ .......................... 5,100 $ 58,969
R.P.M., Inc. ........................... 1,625 28,945
Sola International, Inc.+ .............. 800 33,150
AUTOMOTIVE -- 0.5%
Federal-Mogul Corp. .................... 1,965 104,513
Ford Motor Co. ......................... 700 45,369
HOUSING -- 0.0%
Krause's Furniture, Inc.+ .............. 3,600 13,500
RETAIL -- 1.9%
Abercrombie & Fitch Co., Class A+ ...... 1,100 46,269
Costco Cos., Inc.+ ..................... 1,750 93,406
CVS Corp. .............................. 400 30,200
Cybershop International, Inc.+ ......... 1,150 10,781
Duane Reade, Inc.+ ..................... 4,654 118,968
Federated Department Stores, Inc.+ ..... 700 36,269
Gap, Inc. .............................. 750 33,750
Office Depot, Inc.+ .................... 1,900 59,137
Pacific Sunwear of California+ ......... 500 20,750
Sunglass Hut International, Inc.+ ...... 7,500 78,750
U.S. Vision, Inc.+ ..................... 3,000 30,750
Wal-Mart Stores, Inc. .................. 800 40,650
Woolworth Corp.+ ....................... 1,000 25,000
-------------
909,126
-------------
CONSUMER STAPLES -- 1.1%
FOOD, BEVERAGE & TOBACCO -- 0.6%
DEKALB Genetics Corp., Class B ......... 1,270 84,931
Flowers Industries, Inc. ............... 1,000 23,437
Philip Morris Cos., Inc. ............... 1,200 50,025
RJR Nabisco Holdings Corp. ............. 700 21,919
UST, Inc. .............................. 600 19,350
HOUSEHOLD PRODUCTS -- 0.5%
Colgate-Palmolive Co. .................. 700 60,638
Gillette Co. ........................... 400 47,475
Procter & Gamble Co. ................... 600 50,625
-------------
358,400
-------------
ENERGY -- 1.3%
ENERGY SERVICES -- 0.3%
Baker Hughes, Inc. ..................... 600 24,150
Friede Goldman International, Inc.+ .... 900 25,987
</TABLE>
----------------
17
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Schlumberger Ltd. ...................... 300 $ 22,725
Smedvig ASA, Class B.................... 557 11,177
Transocean Offshore, Inc. .............. 500 25,719
ENERGY SOURCES -- 1.0%
Exxon Corp. ............................ 800 54,100
Global Marine, Inc.+ ................... 750 18,563
Mobil Corp. ............................ 400 30,650
Nabors Industries, Inc.+ ............... 750 17,766
Noble Affiliates, Inc. ................. 800 33,300
Ocean Rig ASA+ ......................... 41,561 42,517
Royal Dutch Petroleum Co. .............. 600 34,087
Smith International, Inc.+ ............. 1,135 62,496
Texaco, Inc. ........................... 700 42,175
-------------
445,412
-------------
FINANCE -- 8.3%
BANKS -- 3.7%
Ambanc Holding Co., Inc. ............... 230 4,370
Astoria Financial Corp. ................ 165 10,199
Banca Commerciale Italiana + ........... 28,186 140,621
Bank of New York Co., Inc. ............. 1,520 95,475
BankAmerica Corp. ...................... 1,600 132,200
BankBoston Corp. ....................... 300 33,075
Chase Manhattan Corp. .................. 300 40,462
Citicorp................................ 250 35,500
First American Corp. ................... 1,200 58,800
First Chicago NBD Corp. ................ 600 52,875
First Defiance Financial Corp. ......... 675 10,294
First Union Corp. ...................... 700 39,725
Golden State Bancorp, Inc.+ ............ 1,500 57,281
Hibernia Corp., Class A................. 2,800 57,575
Klamath First Bancorp, Inc. ............ 505 11,615
Mellon Bank Corp. ...................... 400 25,400
North Central Bancshares, Inc. ......... 90 2,003
PNC Bank Corp. ......................... 1,800 107,887
Provident Financial Holdings, Inc.+ .... 375 8,813
Queens County Bancorp, Inc. ............ 287 12,628
Sovereign Bancorp, Inc. ................ 3,000 54,562
Star Banc Corp. ........................ 895 52,917
Summit Bancorp. ........................ 1,100 55,069
TF Financial Corp. ..................... 65 1,820
U.S. Bancorp............................ 755 94,186
FINANCIAL SERVICES -- 2.8%
American Express Co. ................... 600 55,087
Associates First Capital Corp., Class
A...................................... 2,075 163,925
Beneficial Corp. ....................... 355 44,131
Charles Schwab Corp. ................... 1,455 55,290
CIT Group, Inc., Class A+ .............. 1,300 42,413
ContiFinancial Corp.+ .................. 800 24,400
</TABLE>
- ----------------
18
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Federal Agricultural Mortgage Corp.,
Class C+ .............................. 700 $ 39,200
Federal National Mortgage Association... 600 37,950
FirstSpartan Financial Corp. ........... 185 8,348
Healthcare Financial Partners, Inc.+ ... 1,200 56,850
Household International, Inc. .......... 865 119,154
Jefferies Group, Inc. .................. 200 11,300
Legg Mason, Inc. ....................... 500 29,656
Lehman Brothers Holdings, Inc. ......... 500 37,438
SLM Holding Corp. ...................... 2,015 87,904
T&W Financial Corp.+ ................... 2,000 57,500
Waddell & Reed Financial, Inc., Class
A+ .................................... 1,050 27,300
INSURANCE -- 1.8%
Aetna, Inc. ............................ 300 25,031
Allstate Corp. ......................... 300 27,581
Chubb Corp. ............................ 300 23,513
Conseco, Inc. .......................... 800 45,300
Reliance Group Holdings, Inc. .......... 4,000 76,500
Stirling Cooke Brown Holdings Ltd. ..... 500 13,250
Swiss Life Insurance & Pension Co. ..... 78 65,951
The Hartford Financial Services Group,
Inc. .................................. 400 43,400
UICI+ .................................. 1,690 58,411
UNUM Corp. ............................. 4,033 222,571
-------------
2,694,706
-------------
HEALTHCARE -- 7.5%
DRUGS -- 4.3%
Abbott Laboratories, Inc. .............. 400 30,125
Alkermes, Inc.+ ........................ 2,000 49,750
Alza Corp.+ ............................ 2,220 99,484
Bristol-Myers Squibb Co................. 700 73,019
Centocor, Inc.+ ........................ 500 22,313
Eli Lilly & Co. ........................ 2,185 130,281
ICN Pharmaceuticals, Inc. .............. 1,400 68,950
Inhale Therapeutic Systems.............. 1,000 27,125
Merck & Co., Inc. ...................... 500 64,187
Pfizer, Inc. ........................... 2,690 268,159
Sepracor, Inc.+ ........................ 1,000 42,625
Smithkline Beecham PLC.................. 8,569 107,942
Warner-Lambert Co. ..................... 2,460 418,969
HEALTH SERVICES -- 1.6%
Advance Paradigm, Inc.+ ................ 1,500 59,437
Assisted Living Concepts, Inc.+ ........ 1,000 21,625
Boron, LePore & Associates, Inc.+ ...... 1,700 56,313
Columbia/HCA Healthcare Corp. .......... 1,400 45,150
Novoste Corp.+ ......................... 2,200 57,063
Omnicare, Inc. ......................... 3,962 156,994
Sunrise Assisted Living, Inc.+ ......... 1,000 44,750
Tenet Healthcare Corp.+ ................ 1,100 39,944
United Healthcare Corp. ................ 300 19,425
</TABLE>
----------------
19
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Vision Twenty-One, Inc.+ ............... 1,900 $ 22,325
MEDICAL PRODUCTS -- 1.6%
Arterial Vascular Engineering, Inc.+ ... 2,000 73,250
Baxter International, Inc. ............. 500 27,563
Cardinal Health, Inc. .................. 550 48,503
Cytyc Corp.+ ........................... 2,500 62,500
Endocardial Solutions, Inc.+ ........... 500 7,000
Johnson & Johnson ...................... 600 43,987
Medaphis Corp.+ ........................ 5,500 57,406
Respironics, Inc.+ ..................... 3,000 86,812
Sofamor Danek Group, Inc.+ ............. 1,480 126,170
-------------
2,459,146
-------------
INDUSTRIAL & COMMERCIAL -- 6.9%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 700 36,488
BUSINESS SERVICES -- 4.4%
Aavid Thermal Technologies, Inc.+ ...... 3,900 120,412
Billing Concepts Corp.+ ................ 200 5,188
Cultural Access Worldwide, Inc.+ ....... 10,000 158,750
D.R. Horton, Inc. ...................... 1,500 31,875
Delta & Pine Land Co. .................. 2,595 134,940
DSET Corp.+ ............................ 3,000 56,062
Gartner Group, Inc., Class A+ .......... 700 26,163
GTECH Holdings Corp.+ .................. 400 15,550
Ha-Lo Industries, Inc.+ ................ 3,900 136,256
Metro One Telecommunications, Inc.+ .... 5,400 64,125
NCO Group, Inc.+ ....................... 1,000 25,000
Network Appliance, Inc. ................ 1,700 60,350
Owens-Illinois, Inc.+ .................. 500 21,625
Positron Fiber Systems Corp., Class
A+ .................................... 9,200 70,725
PSINet, Inc.+ .......................... 5,700 63,412
Ryland Group, Inc. ..................... 1,000 27,625
Sealed Air Corp.+ ...................... 1,745 114,297
Service Corp. International............. 900 38,194
Sysco Corp. ............................ 800 20,500
Toll Brothers, Inc.+ ................... 1,500 42,188
Tomra Systems ASA ...................... 417 11,048
Transition Systems, Inc.+ .............. 2,900 59,087
Unisys Corp.+ .......................... 4,000 76,000
USA Waste Services, Inc.+ .............. 1,000 44,563
ELECTRICAL EQUIPMENT -- 0.4%
Aeroflex, Inc.+ ........................ 4,200 55,650
North American Scientific, Inc.+ ....... 2,000 72,000
MACHINERY -- 0.2%
EVI, Inc.+ ............................. 1,000 46,312
Varco International, Inc.+ ............. 750 19,313
</TABLE>
- ----------------
20
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 1.4%
Corning, Inc. .......................... 800 $ 35,400
Raision Tehtaat Oy...................... 1,242 178,299
Republic Industries, Inc.+ ............. 1,100 28,394
Siebe PLC............................... 3,995 87,207
Tyco International Ltd.................. 2,040 111,435
TRANSPORTATION -- 0.4%
Atlas Air, Inc.+ ....................... 1,500 48,843
Burlington Northern Santa Fe Corp. ..... 400 41,600
Comair Holdings, Inc. .................. 900 23,850
Trans World Airlines, Inc. +............ 2,300 28,319
-------------
2,237,045
-------------
INFORMATION & ENTERTAINMENT -- 4.5%
BROADCASTING & MEDIA -- 3.6%
CBS Corp. .............................. 4,520 153,397
Chancellor Media Corp.+ ................ 3,845 176,389
Cinar Films, Inc., Class B+ ............ 1,000 42,625
Clear Channel Communications, Inc.+ .... 400 39,200
DoubleClick, Inc.+ ..................... 1,800 63,225
Forrester Research, Inc.+ .............. 500 17,750
Jacor Communications, Inc.+ ............ 1,000 59,000
Lamar Advertising Co., Class A+ ........ 1,868 65,363
Outdoor Systems, Inc.+ ................. 2,118 74,262
The Petersen Companies, Inc., Class
A+ .................................... 2,000 50,000
Time Warner, Inc. ...................... 5,342 384,624
Univision Communications, Inc., Class
A+ .................................... 1,250 46,563
ENTERTAINMENT PRODUCTS -- 0.2%
Hasbro, Inc. ........................... 700 24,719
Mattel, Inc. ........................... 800 31,700
LEISURE & TOURISM -- 0.7%
Hilton Hotels Corp. .................... 800 25,500
McDonald's Corp. ....................... 700 42,000
Outback Steakhouse, Inc.+ .............. 1,800 70,425
Primadonna Resorts, Inc.+ .............. 5,300 83,475
-------------
1,450,217
-------------
INFORMATION TECHNOLOGY -- 19.4%
COMMUNICATION EQUIPMENT -- 1.6%
CIENA Corp.+ ........................... 1,070 45,609
Lucent Technologies, Inc. .............. 900 115,087
Nokia Corp., Class A ADR................ 2,165 233,685
Tellabs, Inc.+ ......................... 500 33,563
U.S. West Media Group + ................ 2,310 80,272
COMPUTERS & BUSINESS EQUIPMENT -- 1.6%
Computer Sciences Corp. ................ 600 33,000
Dell Computer Corp.+ ................... 1,370 92,817
EMC Corp.+ ............................. 2,460 93,019
</TABLE>
----------------
21
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
HBO & Co. .............................. 3,005 $ 181,427
Hewlett-Packard Co. .................... 600 38,025
Honeywell, Inc. ........................ 400 33,075
International Business Machines
Corp. ................................. 400 41,550
ELECTRONICS -- 3.3%
Analog Devices, Inc.+ .................. 7,305 242,891
Applied Materials, Inc.+ ............... 900 31,781
ASM Lithography Holdings NV+ ........... 2,205 203,825
ATMI, Inc.+ ............................ 1,900 57,475
Emerson Electric Co. ................... 700 45,631
General Electric Co. ................... 900 77,569
Hubbell, Inc., Class B.................. 500 25,188
Intel Corp. ............................ 400 31,225
Lam Research Corp.+ .................... 600 11,250
Maxim Integrated Products, Inc.+ ....... 1,550 56,478
Molex, Inc., Class A.................... 1,000 26,813
Motorola, Inc. ......................... 500 30,312
Pittway Corp., Class A ................. 2,745 197,640
Vitesse Semiconductor Corp.+ ........... 945 44,563
SOFTWARE -- 9.5%
America Online, Inc.+ .................. 5,362 366,292
Applied Voice Technology, Inc.+ ........ 1,000 39,000
Aspen Technology, Inc.+ ................ 3,800 156,750
At Home Corp., Series A+ ............... 2,675 90,448
Cadence Design Systems, Inc.+ .......... 5,055 175,029
Caere Corp.+ ........................... 5,000 54,375
Cambridge Technology Partners, Inc.+ ... 800 39,650
Cisco Systems, Inc.+ ................... 4,365 298,457
Computer Associates International,
Inc. .................................. 800 46,200
Computer Task Group, Inc. .............. 1,000 41,188
Compuware Corp.+ ....................... 1,000 49,375
CrossKeys Systems Corp.+ ............... 1,000 11,250
Intuit, Inc.+ .......................... 1,375 66,516
ISS Group, Inc.+ ....................... 500 19,438
J.D. Edwards & Co.+ .................... 3,400 111,137
Keane, Inc.+ ........................... 1,100 62,150
Microsoft Corp.+ ....................... 5,015 448,842
MindSpring Enterprises, Inc.+ .......... 1,000 64,250
Oracle Corp.+ .......................... 900 28,406
Parametric Technology Corp.+ ........... 13,075 435,561
Pegrine Systems, Inc.+ ................. 3,200 61,200
PeopleSoft, Inc.+ ...................... 2,260 119,074
Reynolds & Reynolds Co., Class A........ 800 17,500
Sapient Corp.+ ......................... 1,310 62,061
Segue Software, Inc.+ .................. 700 9,100
Sterling Commerce, Inc.+ ............... 1,300 60,287
Storage Technology Corp.+ .............. 750 57,047
VERITAS Software Corp.+ ................ 870 51,439
VocalTec Communications Ltd.+ .......... 900 18,450
Wind River Systems+ .................... 1,320 52,470
</TABLE>
- ----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 3.4%
Alltel Corp. ........................... 1,000 $ 43,688
Clearnet Communications, Inc., Class
A ..................................... 4,000 56,750
Comcast Corp., Class A+ ................ 7,460 263,431
Frontier Corp. ......................... 1,700 55,356
GST Telecommunications, Inc+ ........... 3,700 55,731
Intermedia Communications, Inc.+ ....... 700 55,737
IWL Communications, Inc. ............... 1,000 17,875
Pacific Gateway Exchange, Inc.+ ........ 1,200 68,700
RELTEC Corp.+ .......................... 250 8,859
Saville Systems PLC ADR+ ............... 500 25,625
Star Telecommunications, Inc.+ ......... 900 50,063
STARTEC Global Communications Corp.+ ... 2,400 60,000
Tele-Communications, Inc., Series A+ ... 9,127 283,793
Teleport Communications Group Inc.,
Class A+ .............................. 1,200 70,500
-------------
6,332,820
-------------
MATERIALS -- 2.1%
CHEMICALS -- 1.8%
Cabot Corp. ............................ 1,700 62,687
du Pont (E.I.) de Nemours & Co. ........ 700 47,600
Monsanto Co. ........................... 7,680 399,360
Solutia, Inc. .......................... 2,325 69,169
FOREST PRODUCTS -- 0.2%
American Pad & Paper Co.+ .............. 500 3,625
Boise Cascade Corp. .................... 1,400 50,487
Sonoco Products Co. .................... 300 12,019
METALS & MINERALS -- 0.1%
EASCO, Inc. ............................ 1,000 15,250
Martin Marietta Materials, Inc. ........ 600 25,913
-------------
686,110
-------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.0%
The Rouse Co. .......................... 500 15,750
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Crescent Real Estate Equities Co. ...... 700 25,200
ElderTrust+ ............................ 1,000 17,875
Equity Office Properties Trust.......... 300 9,187
-------------
68,012
-------------
UTILITIES -- 2.4%
ELECTRIC UTILITIES -- 0.2%
Duke Energy Corp. ...................... 700 41,694
GPU, Inc. .............................. 900 39,825
GAS & PIPELINE UTILITIES -- 0.3%
Consolidated Natural Gas Co. ........... 700 40,381
Enron Corp. ............................ 700 32,463
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES (CONTINUED)
US Filter Corp.+ ....................... 600 $ 21,075
TELEPHONE -- 1.9%
Ameritech Corp. ........................ 900 44,494
AT&T Corp. ............................. 800 52,500
Bell Atlantic Corp. .................... 330 33,825
Century Telephone Enterprises, Inc. .... 950 58,069
Cincinnati Bell, Inc. .................. 1,800 64,125
GTE Corp. .............................. 600 35,925
MCI Communications Corp. ............... 400 19,800
SBC Communications, Inc. ............... 1,200 52,350
Telecom Italia SpA...................... 12,331 97,166
Winstar Communications, Inc.+ .......... 1,500 64,125
WorldCom, Inc.+ ........................ 2,225 95,814
-------------
793,631
-------------
TOTAL COMMON STOCK (cost $15,811,458)... 18,434,625
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 37.9% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.3%
RETAIL -- 0.3%
J.C. Penney Co., Inc. 7.40% 2037 ....... $ 40,000 43,157
Fred Meyer, Inc. 7.38% 2005............. 40,000 40,113
-------------
83,270
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Panamerican Beverages, Inc. 8.13%
2003 .................................. 60,000 63,781
-------------
ENERGY -- 0.3%
ENERGY SOURCES -- 0.3%
Newfield Exploration Co., Series B 7.45%
2007*.................................. 25,000 24,892
Petroleos Mexicano 9.00% 2007........... 47,000 48,116
YPF Sociedad Anonima 8.00% 2004......... 30,000 30,476
-------------
103,484
-------------
FINANCE -- 7.6%
BANKS -- 2.2%
Banc One Corp. 8.00% 2027............... 34,000 38,467
Bank One Columbus 7.38% 2002............ 45,000 47,002
Banponce Financial Corp. 6.75% 2001..... 35,000 35,402
Credit National 7.00% 2005.............. 30,000 30,017
Export Import Bank of Korea 6.50%
2006................................... 60,000 51,872
First Chicago NBD Corp. 7.25% 2004...... 110,000 115,115
First Republic Bancorp 7.75% 2012....... 45,000 46,107
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2029.............. 105,000 106,458
Korea Development Bank 7.13% 2001....... 20,000 18,807
NBD Bank SA 8.25% 2024.................. 45,000 53,146
NCNB Co. 9.38% 2009..................... 48,000 59,161
</TABLE>
- ----------------
24
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
United States Bancorp 7.50% 2026........ $ 95,000 $ 103,160
FINANCIAL SERVICES -- 5.2%
Allstate Financing II 7.83% 2045........ 44,000 45,046
Asset Securitization Corp. 6.66% 2041
#...................................... 75,000 76,523
Associates Corp. of North America 7.63%
2004................................... 110,000 117,812
CS First Boston Mortgage Securities
Corp. 7.24% 2029....................... 100,000 105,125
Dime Capital Trust I, Series A 9.33%
2027................................... 35,000 39,473
Finova Capital Corp. 6.63% 2001......... 100,000 101,229
Finova Capital Corp., Series C 6.39%
2002................................... 45,000 45,219
Fleet Mortgage Group, Inc. 6.84% 2003... 50,000 50,845
Ford Motor Credit Company 7.02% 2000.... 100,000 102,186
GE Capital Mortgage Services, Inc. 6.25%
2023................................... 32,050 31,870
Lubermens Mutual Casualty Co. 8.30%
2037*.................................. 70,000 74,446
Morgan Stanley Capital I, Inc. 7.22%
2007................................... 100,000 105,563
Popular North America, Inc. 6.63%
2002................................... 50,000 50,718
Private Export Funding Corp. 6.31%
2004................................... 100,000 102,278
Private Export Funding Corp. 6.62%
2005................................... 220,000 228,464
Private Export Funding Corp. 7.03%
2003................................... 45,000 47,385
Private Export Funding Corp. 7.30%
2002................................... 225,000 236,108
Private Export Funding Corp. 7.90%
2000................................... 55,000 57,208
US West Capital Funding, Inc. 6.95%
2037................................... 75,000 78,189
INSURANCE -- 0.2%
Cigna Corp. 7.88% 2027.................. 34,000 36,990
Jackson National Life Insurance Co.
8.15% 2027*............................ 40,000 43,944
-------------
2,481,335
-------------
HEALTHCARE -- 0.7%
HEALTH SERVICES -- 0.5%
Allegiance Corp. 7.00% 2026............. 110,000 113,650
Tenet Healthcare Corp. 7.88% 2003....... 40,000 40,600
MEDICAL PRODUCTS -- 0.2%
Beckman Instruments, Inc. 7.10% 2003*... 70,000 70,138
-------------
224,388
-------------
INDUSTRIAL & COMMERCIAL -- 0.6%
MACHINERY -- 0.2%
Cincinnati Milacron, Inc. 7.88% 2000.... 65,000 66,512
TRANSPORTATION -- 0.4%
AMR Corp 10.20% 2020.................... 50,000 66,460
Continental Airlines 6.65% 2019......... 75,000 74,581
-------------
207,553
-------------
INFORMATION & ENTERTAINMENT -- 0.9%
BROADCASTING & MEDIA -- 0.9%
Comcast Cable Communications 8.50%
2027................................... 35,000 40,876
News America Holdings, Inc. 8.00%
2016................................... 110,000 118,536
Scholastic Corp. 7.00% 2003............. 70,000 71,753
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Viacom, Inc. 7.75% 2005................. $ 65,000 $ 68,169
-------------
299,334
-------------
INFORMATION TECHNOLOGY -- 0.3%
TELECOMMUNICATIONS -- 0.3%
Tele-Communications, Inc. 7.25% 2005.... 50,000 51,170
Tele-Communications, Inc. 9.25% 2002.... 35,000 38,306
-------------
89,476
-------------
MATERIALS -- 0.2%
CHEMICALS -- 0.2%
ICI Wilmington, Inc. 6.95% 2004......... 65,000 66,886
-------------
MUNICIPAL BONDS -- 0.9%
MUNICIPAL BONDS -- 0.9%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002.......... 85,000 86,455
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003................... 85,000 83,558
Miami Florida Revenue 7.25% 2003........ 110,000 115,328
-------------
285,341
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.7%
FOREIGN GOVERNMENT -- 1.7%
Australian Government 6.75% 2006 .......
(AUD) 530,000 375,409
Republic of Argentina 11.00% 2006....... 50,000 55,625
Republic of Columbia 7.25% 2004......... 49,000 46,803
Republic of Columbia 7.63% 2007......... 33,000 31,103
Republic of Lithuania 7.13% 2002*....... 35,000 34,300
-------------
543,240
-------------
REAL ESTATE -- 0.6%
REAL ESTATE COMPANIES -- 0.3%
Post Apartment Homes LP 7.02% 2001...... 110,000 111,915
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
Equity Office Properties Operating LP
6.38% 2003*............................ 100,000 98,998
-------------
210,913
-------------
U.S. GOVERNMENT & AGENCIES -- 22.7%
U.S. GOVERNMENT & AGENCIES -- 22.7%
Federal Home Loan Mortgage Corp. 6.00%
2006................................... 35,000 34,770
Federal Home Loan Mortgage Corp. 6.50%
2022................................... 122,000 122,610
Federal Home Loan Mortgage Corp. 6.50%
2023................................... 20,000 19,925
Federal Home Loan Mortgage Corp. 6.55%
2022................................... 32,000 32,370
Federal Home Loan Mortgage Corp. 6.75%
2022................................... 130,000 131,537
Federal Home Loan Mortgage Corp. 7.00%
2023................................... 25,000 25,930
Federal Home Loan Mortgage Corp. 7.50%
2023................................... 17,552 18,002
Federal Home Loan Mortgage Corp. 7.75%
2022................................... 39,741 41,529
</TABLE>
- ----------------
26
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 8.50%
2019................................... $ 58,948 $ 62,206
Federal National Mortgage Association
5.65% 2005............................. 30,000 29,828
Federal National Mortgage Association
5.75% 2008............................. 160,000 156,839
Federal National Mortgage Association
7.00% 2006............................. 16,401 16,447
Federal National Mortgage Association
7.39% 2021............................. 46,581 48,156
Federal National Mortgage Association
9.35% 2020............................. 6,868 6,897
Government National Mortgage Association
7.00% 2022............................. 17,254 17,475
Government National Mortgage Association
7.00% 2023............................. 17,006 17,219
Government National Mortgage Association
7.25% 2027............................. 242,569 246,889
Government National Mortgage Association
7.50% 2024............................. 63,227 64,886
Government National Mortgage Association
8.50% 2017............................. 67,295 72,026
Government National Mortgage Association
9.00% 2021............................. 21,098 22,825
United States Treasury Bonds 6.38%
2027................................... 15,000 15,844
United States Treasury Bonds 6.63%
2027................................... 90,000 97,650
United States Treasury Bonds 7.13%
2023................................... 265,000 302,431
United States Treasury Bonds 7.50%
2016................................... 75,000 87,457
United States Treasury Bonds 8.13%
2021................................... 75,000 94,465
United States Treasury Bonds 8.50%
2020................................... 300,000 389,766
United States Treasury Bonds 9.25%
2016................................... 40,000 54,193
United States Treasury Bonds 11.88%
2003................................... 625,000 807,031
United States Treasury Bonds 12.00%
2013................................... 1,200,000 1,762,692
United States Treasury Notes 5.38%
2001................................... 100,000 99,406
United States Treasury Notes 5.50%
2008................................... 200,000 197,562
United States Treasury Notes 5.75%
2002................................... 100,000 100,281
United States Treasury Notes 5.88%
2000................................... 245,000 246,149
United States Treasury Notes 6.13%
2007................................... 100,000 102,844
United States Treasury Notes 6.25%
2002................................... 150,000 153,187
United States Treasury Notes 6.25%
2007................................... 120,000 124,144
United States Treasury Notes 6.63%
2001................................... 565,000 581,334
United States Treasury Notes 6.63%
2002................................... 50,000 51,664
United States Treasury Notes 6.63%
2007................................... 25,000 26,539
United States Treasury Notes 7.25%
2004................................... 185,000 199,656
United States Treasury Notes 8.50%
2000................................... 670,000 716,170
-------------
7,398,831
-------------
UTILITIES -- 0.9%
ELECTRIC UTILITIES -- 0.6%
Atlantic City Electric Co. 6.38% 2005... 45,000 45,564
Cleveland Electric Illuminating Co.
7.19% 2000*............................ 20,000 20,302
Empresa Nacional de Electricidad SA
7.33% 2037............................. 45,000 44,857
Public Service Electric & Gas Co. 8.88%
2003................................... 21,000 23,492
UtiliCorp United, Inc. 6.88% 2004....... 70,000 72,154
GAS & PIPELINE UTILITIES -- 0.2%
KN Energy, Inc. 6.65% 2005.............. 65,000 65,134
TELEPHONE -- 0.1%
Worldcom, Inc. 7.55% 2004............... 35,000 36,863
-------------
308,366
-------------
TOTAL BONDS & NOTES (cost
$12,152,576)........................... 12,366,198
-------------
TOTAL INVESTMENT SECURITIES (cost
$27,964,034)........................... 30,800,823
-------------
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.6% AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.2%
Chase Manhattan Corp. 8.77% due
2/19/99................................ $ 50,000 $ 51,153
-------------
FOREIGN SHORT-TERM NOTES -- 0.4%
New Zealand Treasury Bill zero coupon
due 12/16/98 .................... (NZD) 270,000 140,525
-------------
TOTAL SHORT-TERM SECURITIES (cost
$194,381).............................. 191,678
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.9%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 6.9%
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3) .................... 1,566,000 1,566,000
Swiss Bank Corp. Joint Repurchase
Agreement (Note 3) .................... 675,000 675,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$2,241,000)............................ 2,241,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $30,399,415) 101.9% 33,233,501
Liabilities in excess of other assets -- (1.9) (611,337)
--------- -------------
NET ASSETS -- 100.0% $ 32,622,164
--------- -------------
--------- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyer
# Fair valued security; see Note 2
ADR -- American Depository Receipt
AUD -- Australian Dollar
NZD -- New Zealand Dollar
- ----------------
28
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- -----------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 565,000 USD 376,782 04/28/98 $ 2,924
*DEM 193,000 USD 107,575 04/28/98 3,045
FIM 200,000 USD 36,478 07/31/98 609
FIM 145,000 USD 26,323 07/31/98 318
FIM 555,000 USD 100,543 07/31/98 1,006
FIM 280,000 USD 51,457 08/07/98 1,221
ITL 35,000,000 USD 19,738 05/06/98 537
ITL 8,000,000 USD 4,469 05/06/98 80
ITL 11,000,000 USD 6,117 05/06/98 82
ITL 72,000,000 USD 40,293 05/06/98 793
ITL 80,000,000 USD 44,466 08/07/98 488
ITL 66,000,000 USD 37,095 08/07/98 814
ITL 24,400,000 USD 13,604 08/07/98 191
NLG 65,000 USD 31,676 07/02/98 326
NLG 15,000 USD 7,409 07/31/98 163
NLG 115,000 USD 56,886 08/07/98 1,309
*SEK 47,000 USD 5,928 08/07/98 27
*USD 4,105 SEK 33,000 08/07/98 38
*USD 2,741 SEK 22,000 08/07/98 21
-------
13,992
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
GBP 6,800 USD 11,090 05/06/98 (272)
GBP 7,000 USD 11,471 05/06/98 (225)
GBP 4,000 USD 6,571 05/06/98 (112)
GBP 8,000 USD 12,986 08/07/98 (323)
GBP 19,200 USD 31,431 08/07/98 (512)
*SEK 8,000 USD 1,000 08/07/98 (5)
USD 6,668 ITL 12,000,000 05/06/98 (84)
USD 5,379 NLG 11,000 08/07/98 (63)
USD 21,525 NLG 44,000 08/07/98 (261)
USD 9,792 NLG 20,000 08/07/98 (127)
*USD 107,507 DEM 193,000 04/28/98 (2,978)
-------
(4,962)
-------
Net Unrealized Appreciation................ $ 9,030
-------
-------
</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 SEK -- Swedish Krona
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NLG -- Netherlands Guilder
</TABLE>
See Notes to Financial Statements
----------------
29
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME/EQUITY
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
<TABLE>
<CAPTION>
COMMON STOCK -- 29.9% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.6%
APPAREL & TEXTILES -- 0.3%
Oakley, Inc.+ .......................... 2,500 $ 28,906
R.P.M., Inc. ........................... 1,687 30,050
Sola International, Inc.+ .............. 600 24,862
AUTOMOTIVE -- 0.4%
Federal-Mogul Corp. .................... 1,015 53,985
Ford Motor Co. ......................... 700 45,369
RETAIL -- 0.9%
Costco Cos., Inc.+ ..................... 895 47,771
CVS Corp. .............................. 300 22,650
Duane Reade, Inc.+ ..................... 2,327 59,484
Federated Department Stores, Inc.+ ..... 800 41,450
Office Depot, Inc.+ .................... 1,000 31,125
Wal-Mart Stores, Inc. .................. 800 40,650
-------------
426,302
-------------
CONSUMER STAPLES -- 1.0%
FOOD, BEVERAGE & TOBACCO -- 0.5%
DEKALB Genetics Corp., Class B ......... 650 43,469
Flowers Industries, Inc. ............... 1,000 23,437
Philip Morris Cos., Inc. ............... 800 33,350
RJR Nabisco Holdings Corp. ............. 600 18,788
UST, Inc. .............................. 400 12,900
HOUSEHOLD PRODUCTS -- 0.5%
Colgate-Palmolive Co. .................. 500 43,312
Gillette Co. ........................... 400 47,475
Procter & Gamble Co. ................... 400 33,750
-------------
256,481
-------------
ENERGY -- 1.0%
ENERGY SERVICES -- 0.2%
Baker Hughes, Inc. ..................... 500 20,125
Schlumberger Ltd. ...................... 300 22,725
Smedvig ASA, Class B ................... 279 5,598
ENERGY SOURCES -- 0.8%
Exxon Corp. ............................ 500 33,812
Mobil Corp. ............................ 400 30,650
Noble Affiliates, Inc. ................. 700 29,138
Ocean Rig ASA+ ......................... 19,699 20,152
Royal Dutch Petroleum Co. .............. 300 17,044
</TABLE>
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30
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Smith International, Inc.+ ............. 575 $ 31,661
Texaco, Inc. ........................... 600 36,150
-------------
247,055
-------------
FINANCE -- 4.6%
BANKS -- 1.7%
Ambanc Holding Co., Inc. ............... 115 2,185
Astoria Financial Corp. ................ 85 5,254
Banca Commerciale Italiana + ........... 14,192 70,804
Bank of New York Co., Inc. ............. 775 48,680
BankAmerica Corp. ...................... 865 71,471
BankBoston Corp. ....................... 200 22,050
Chase Manhattan Corp. .................. 300 40,463
Citicorp ............................... 250 35,500
First Defiance Financial Corp. ......... 345 5,261
First Union Corp. ...................... 500 28,375
Klamath First Bancorp, Inc. ............ 260 5,980
Mellon Bank Corp. ...................... 400 25,400
North Central Bancshares, Inc. ......... 50 1,112
Provident Financial Holdings, Inc. + ... 190 4,465
Queens County Bancorp, Inc. ............ 147 6,468
Star Banc Corp. ........................ 455 26,902
TF Financial Corp. ..................... 35 980
U.S. Bancorp ........................... 385 48,029
FINANCIAL SERVICES -- 1.7%
American Express Co. ................... 400 36,725
Associates First Capital Corp., Class
A ..................................... 1,070 84,530
Beneficial Corp. ....................... 175 21,754
Capital One Financial Corp. ............ 1,000 78,875
Charles Schwab Corp. ................... 750 28,500
CIT Group, Inc., Class A+ .............. 1,200 39,150
ContiFinancial Corp.+ .................. 700 21,350
Federal National Mortgage
Association ........................... 400 25,300
FirstSpartan Financial Corp. ........... 95 4,287
Household International, Inc. .......... 440 60,610
SLM Holding Corp. ...................... 1,027 44,803
INSURANCE -- 1.2%
Aetna, Inc. ............................ 400 33,375
Allstate Corp. ......................... 300 27,581
Chubb Corp. ............................ 300 23,513
Conseco, Inc. .......................... 500 28,313
Swiss Life Insurance & Pension Co. ..... 20 16,910
The Hartford Financial Services Group,
Inc. .................................. 300 32,550
UICI+ .................................. 750 25,922
UNUM Corp. ............................. 2,085 115,066
-------------
1,198,493
-------------
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 3.8%
DRUGS -- 2.6%
Abbott Laboratories, Inc. .............. 400 $ 30,125
Alza Corp.+ ............................ 1,140 51,086
Bristol-Myers Squibb Co. ............... 500 52,156
Eli Lilly & Co. ........................ 1,265 75,426
Merck & Co., Inc. ...................... 400 51,350
Pfizer, Inc. ........................... 1,520 151,525
Smithkline Beecham PLC ................. 4,378 55,149
Warner-Lambert Co. ..................... 1,270 216,297
HEALTH SERVICES -- 0.7%
Columbia/HCA Healthcare Corp. .......... 1,000 32,250
Omnicare, Inc. ......................... 2,049 81,192
Tenet Healthcare Corp.+ ................ 1,100 39,944
United Healthcare Corp. ................ 300 19,425
MEDICAL PRODUCTS -- 0.5%
Baxter International, Inc. ............. 400 22,050
Cardinal Health, Inc. .................. 280 24,692
Johnson & Johnson ...................... 400 29,325
Sofamor Danek Group, Inc.+ ............. 755 64,364
-------------
996,356
-------------
INDUSTRIAL & COMMERCIAL -- 2.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 600 31,275
BUSINESS SERVICES -- 1.2%
Cendant Corp.+ ......................... 1,000 39,625
Delta & Pine Land Co. .................. 1,310 68,120
Gartner Group, Inc., Class A+ .......... 400 14,950
GTECH Holdings Corp.+ .................. 300 11,663
Owens-Illinois, Inc.+ .................. 500 21,625
Sealed Air Corp.+ ...................... 860 56,330
Service Corp. International ............ 800 33,950
Sysco Corp. ............................ 600 15,375
Tomra Systems ASA ...................... 215 5,696
USA Waste Services, Inc.+ .............. 600 26,737
MULTI-INDUSTRY -- 0.9%
Corning, Inc. .......................... 300 13,275
Raision Tehtaat Oy ..................... 642 92,164
Republic Industries, Inc.+ ............. 900 23,231
Siebe PLC .............................. 1,970 43,003
Tyco International Ltd. ................ 1,055 57,630
TRANSPORTATION -- 0.1%
Burlington Northern Santa Fe Corp. ..... 300 31,200
-------------
585,849
-------------
</TABLE>
- ----------------
32
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 1.9%
BROADCASTING & MEDIA -- 1.5%
CBS Corp. .............................. 2,335 $ 79,244
Chancellor Media Corp.+ ................ 1,205 55,279
Lamar Advertising Co., Class A+ ........ 951 33,285
Outdoor Systems, Inc.+ ................. 1,080 37,868
Time Warner, Inc. ...................... 2,757 198,504
ENTERTAINMENT PRODUCTS -- 0.2%
Hasbro, Inc. ........................... 600 21,188
Mattel, Inc. ........................... 600 23,775
LEISURE & TOURISM -- 0.2%
Hilton Hotels Corp. .................... 500 15,937
McDonald's Corp. ....................... 500 30,000
-------------
495,080
-------------
INFORMATION TECHNOLOGY -- 10.3%
COMMUNICATION EQUIPMENT -- 1.0%
CIENA Corp.+ ........................... 550 23,444
Lucent Technologies, Inc. .............. 300 38,362
Nokia Corp., Class A ADR ............... 1,120 120,890
Tellabs, Inc.+ ......................... 400 26,850
U.S. West Media Group + ................ 1,180 41,005
COMPUTERS & BUSINESS EQUIPMENT -- 1.0%
Computer Sciences Corp. ................ 400 22,000
Dell Computer Corp.+ ................... 700 47,425
EMC Corp.+ ............................. 1,260 47,644
HBO & Co. .............................. 1,020 61,582
Hewlett-Packard Co. .................... 300 19,013
Honeywell, Inc. ........................ 400 33,075
International Business Machines
Corp. ................................. 300 31,162
ELECTRONICS -- 2.2%
Analog Devices, Inc.+ .................. 3,740 124,355
Applied Materials, Inc.+ ............... 900 31,781
ASM Lithography Holdings NV+ ........... 625 57,773
Emerson Electric Co. ................... 500 32,594
General Electric Co. ................... 900 77,569
Hubbell, Inc., Class B ................. 400 20,150
Intel Corp. ............................ 400 31,225
Maxim Integrated Products, Inc.+ ....... 790 28,786
Molex, Inc., Class A ................... 900 24,131
Motorola, Inc. ......................... 300 18,187
Pittway Corp. .......................... 1,380 99,360
Vitesse Semiconductor Corp.+ ........... 485 22,871
SOFTWARE -- 4.8%
America Online, Inc.+ .................. 2,355 160,876
Aspen Technology, Inc.+ ................ 1,950 80,437
At Home Corp., Series A+ ............... 1,275 43,111
Cadence Design Systems, Inc.+ .......... 1,785 61,806
Cisco Systems, Inc.+ ................... 2,517 172,100
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Computer Associates International,
Inc. .................................. 800 $ 46,200
Intuit, Inc.+ .......................... 705 34,104
Microsoft Corp.+ ....................... 2,680 239,860
Oracle Corp.+ .......................... 800 25,250
Parametric Technology Corp.+ ........... 6,690 222,861
PeopleSoft, Inc.+ ...................... 1,150 60,591
Reynolds & Reynolds Co., Class A ....... 800 17,500
Sapient Corp.+ ......................... 650 30,794
VERITAS Software Corp.+ ................ 450 26,606
Wind River Systems+ .................... 680 27,030
TELECOMMUNICATIONS -- 1.3%
Comcast Corp., Class A+ ................ 3,855 136,130
Frontier Corp. ......................... 1,500 48,844
Tele-Communications, Inc., Series A+ ... 4,715 146,607
Teleport Communications Group Inc.,
Class A+ .............................. 200 11,750
-------------
2,673,691
-------------
MATERIALS -- 1.5%
CHEMICALS -- 1.2%
Cabot Corp. ............................ 350 12,906
du Pont (E.I.) de Nemours & Co. ........ 800 54,400
Monsanto Co. ........................... 3,965 206,180
Solutia, Inc. .......................... 1,150 34,213
FOREST PRODUCTS -- 0.2%
American Pad & Paper Co.+ .............. 400 2,900
Boise Cascade Corp. .................... 1,200 43,275
Sonoco Products Co. .................... 200 8,013
METALS & MINERALS -- 0.1%
EASCO, Inc. ............................ 500 7,625
Martin Marietta Materials, Inc. ........ 300 12,956
-------------
382,468
-------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.0%
The Rouse Co. .......................... 200 6,300
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Crescent Real Estate Equities Co. ...... 500 18,000
ElderTrust+ ............................ 1,000 17,875
Equity Office Properties Trust ......... 200 6,125
-------------
48,300
-------------
UTILITIES -- 1.7%
ELECTRIC UTILITIES -- 0.3%
Duke Energy Corp. ...................... 700 41,694
GPU, Inc. .............................. 800 35,400
</TABLE>
- ----------------
34
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES -- 0.3%
Consolidated Natural Gas Co. ........... 500 $ 28,844
Enron Corp. ............................ 500 23,187
US Filter Corp.+ ....................... 600 21,075
TELEPHONE -- 1.1%
Ameritech Corp. ........................ 800 39,550
AT&T Corp. ............................. 500 32,812
Bell Atlantic Corp. .................... 330 33,825
GTE Corp. .............................. 500 29,938
MCI Communications Corp. ............... 500 24,750
SBC Communications, Inc. ............... 800 34,900
Telecom Italia SpA ..................... 6,291 49,572
WorldCom, Inc.+ ........................ 1,135 48,876
-------------
444,423
-------------
TOTAL COMMON STOCK (cost $6,415,338).... 7,754,498
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 61.7% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.4%
RETAIL -- 0.4%
J.C. Penney Co., Inc. 7.40% 2037........ $ 50,000 53,946
Fred Meyer, Inc. 7.38% 2005............. 55,000 55,156
-------------
109,102
-------------
CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.3%
Panamerican Beverages, Inc. 8.13%
2003................................... 70,000 74,411
-------------
ENERGY -- 0.4%
ENERGY SOURCES -- 0.4%
Newfield Exploration Co., Series B 7.45%
2007*.................................. 20,000 19,913
Petroleos Mexicano 9.00% 2007........... 52,000 53,235
YPF Sociedad Anonima 8.00% 2004......... 40,000 40,635
-------------
113,783
-------------
FINANCE -- 10.8%
BANKS -- 3.3%
Banc One Corp. 8.00% 2027............... 43,000 48,650
Bank One Columbus 7.38% 2002............ 40,000 41,780
Banponce Financial Corp. 6.75% 2001..... 50,000 50,574
Credit National 7.00% 2005.............. 40,000 40,022
Export Import Bank of Korea 6.50%
2006................................... 65,000 56,194
First Chicago NBD Corp. 7.25% 2004...... 135,000 141,277
First Republic Bancorp 7.75% 2012....... 50,000 51,230
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2029.............. 130,000 131,806
Korea Development Bank 7.13% 2001....... 35,000 32,912
NBD Bank SA 8.25% 2024.................. 50,000 59,051
NCNB Co. 9.38% 2009..................... 68,000 83,811
</TABLE>
----------------
35
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
United States Bancorp 7.50% 2026........ $ 110,000 $ 119,449
FINANCIAL SERVICES -- 7.2%
Allstate Financing II 7.83% 2045 ....... 49,000 50,165
Asset Securitization Corp. 6.66% 2041
# ..................................... 80,000 81,625
Associates Corp. of North America 7.63%
2004................................... 130,000 139,233
CS First Boston Mortgage Securities
Corp. 7.24% 2029....................... 110,000 115,638
Dime Capital Trust I, Series A 9.33%
2027................................... 40,000 45,112
Finova Capital Corp. 6.63% 2001......... 125,000 126,536
Finova Capital Corp., Series C 6.39%
2002................................... 60,000 60,292
Fleet Mortgage Group, Inc. 6.84% 2003... 50,000 50,845
Ford Motor Credit Company 7.02% 2000.... 125,000 127,732
GE Capital Mortgage Services, Inc. 6.25%
2023 .................................. 32,050 31,870
Lubermens Mutual Casualty Co. 8.30%
2037*.................................. 80,000 85,081
Morgan Stanley Capital I, Inc. 7.22%
2007*.................................. 120,000 126,675
Popular North America, Inc. 6.63%
2002................................... 50,000 50,718
Private Export Funding Corp. 6.31%
2004................................... 100,000 102,278
Private Export Funding Corp. 6.62%
2005................................... 160,000 166,155
Private Export Funding Corp. 7.03%
2003................................... 60,000 63,180
Private Export Funding Corp. 7.30%
2002................................... 270,000 283,330
Private Export Funding Corp. 7.90%
2000................................... 75,000 78,011
U.S. West Capital Funding, Inc. 6.95%
2037................................... 80,000 83,401
INSURANCE -- 0.3%
Cigna Corp. 7.88% 2027.................. 37,000 40,253
Jackson National Life Insurance Co.
8.15% 2027*............................ 44,000 48,339
-------------
2,813,225
-------------
HEALTHCARE -- 0.9%
HEALTH SERVICES -- 0.6%
Allegiance Corp. 7.00% 2026............. 105,000 108,484
Tenet Healthcare Corp. 7.88% 2003....... 50,000 50,750
MEDICAL PRODUCTS -- 0.3%
Beckman Instruments, Inc. 7.10% 2003*... 75,000 75,148
-------------
234,382
-------------
INDUSTRIAL & COMMERCIAL -- 0.9%
MACHINERY -- 0.3%
Cincinnati Milacron, Inc. 7.88% 2000.... 75,000 76,745
TRANSPORTATION -- 0.6%
AMR Corp. 9.88% 2020.................... 70,000 91,395
Continental Airlines 6.65% 2019......... 70,000 69,608
-------------
237,748
-------------
INFORMATION & ENTERTAINMENT -- 1.4%
BROADCASTING & MEDIA -- 1.4%
Comcast Cable Communications 8.50%
2027................................... 50,000 58,394
News America Holdings, Inc. 8.00%
2016................................... 125,000 134,700
Scholastic Corp. 7.00% 2003............. 80,000 82,004
</TABLE>
- ----------------
36
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Viacom, Inc. 7.75% 2005................. $ 80,000 $ 83,900
-------------
358,998
-------------
INFORMATION TECHNOLOGY -- 0.4%
TELECOMMUNICATIONS -- 0.4%
Tele-Communications, Inc. 7.25% 2005.... 50,000 51,171
Tele-Communications, Inc. 9.25% 2002.... 50,000 54,722
-------------
105,893
-------------
MATERIALS -- 0.3%
CHEMICALS -- 0.3%
ICI Wilmington, Inc. 6.95% 2004......... 70,000 72,031
-------------
MUNICIPAL BONDS -- 1.5%
MUNICIPAL BONDS -- 1.5%
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002.......... 135,000 137,311
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003................... 100,000 98,303
Miami Florida Revenue 7.25% 2003........ 135,000 141,540
-------------
377,154
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 2.5%
FOREIGN GOVERNMENT -- 2.5%
Australian Government 6.75% 2006 .......
(AUD) 625,000 442,699
Republic of Argentina 11.00% 2006....... 55,000 61,188
Republic of Columbia 7.25% 2004......... 73,000 69,727
Republic of Columbia 7.63% 2007......... 25,000 23,563
Republic of Lithuania 7.13% 2002*....... 43,000 42,140
-------------
639,317
-------------
REAL ESTATE -- 1.0%
REAL ESTATE COMPANIES -- 0.5%
Post Apartment Homes LP 7.02% 2001...... 130,000 132,263
REAL ESTATE INVESTMENT TRUSTS -- 0.5%
Equity Office Properties Operating LP
6.38% 2003*............................ 120,000 118,798
-------------
251,061
-------------
U.S. GOVERNMENT & AGENCIES -- 39.4%
U.S. GOVERNMENT & AGENCIES -- 39.4%
Federal Home Loan Mortgage Corp. 6.00%
2006................................... 45,000 44,704
Federal Home Loan Mortgage Corp. 6.50%
2022................................... 100,000 100,500
Federal Home Loan Mortgage Corp. 6.50%
2023................................... 30,000 29,888
Federal Home Loan Mortgage Corp. 6.75%
2022................................... 45,000 45,532
Federal Home Loan Mortgage Corp. 7.00%
2023................................... 32,000 33,190
Federal Home Loan Mortgage Corp. 7.50%
2023................................... 21,063 21,602
Federal Home Loan Mortgage Corp. 7.75%
2022................................... 55,637 58,141
Federal Home Loan Mortgage Corp. 8.50%
2019................................... 63,483 66,991
</TABLE>
----------------
37
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association
5.65% 2005............................. $ 45,000 $ 44,742
Federal National Mortgage Association
5.75% 2008............................. 185,000 181,345
Federal National Mortgage Association
7.00% 2006............................. 20,501 20,559
Federal National Mortgage Association
7.39% 2021............................. 55,897 57,787
Federal National Mortgage Association
9.35% 2020............................. 8,776 8,813
Government National Mortgage Association
7.00% 2022............................. 20,373 20,634
Government National Mortgage Association
7.00% 2023............................. 18,794 19,029
Government National Mortgage Association
7.25% 2027............................. 361,379 367,815
Government National Mortgage Association
7.50% 2022............................. 49,649 51,030
Government National Mortgage Association
7.50% 2024............................. 20,376 20,910
Government National Mortgage Association
8.50% 2017............................. 85,650 91,671
Government National Mortgage Association
9.00% 2021............................. 22,809 24,676
United States Treasury Bonds 6.38%
2027................................... 50,000 52,813
United States Treasury Bonds 6.63%
2027................................... 140,000 151,900
United States Treasury Bonds 7.13%
2023................................... 330,000 376,612
United States Treasury Bonds 7.50%
2016................................... 110,000 128,270
United States Treasury Bonds 8.13%
2021................................... 230,000 289,692
United States Treasury Bonds 8.50%
2020................................... 275,000 357,286
United States Treasury Bonds 9.25%
2016................................... 160,000 216,774
United States Treasury Bonds 10.75%
2003................................... 150,000 181,968
United States Treasury Bonds 11.88%
2003................................... 810,000 1,045,912
United States Treasury Bonds 12.00%
2013................................... 1,400,000 2,056,474
United States Treasury Notes 5.38%
2001................................... 200,000 198,812
United States Treasury Notes 5.50%
2008................................... 600,000 592,686
United States Treasury Notes 5.75%
2002................................... 250,000 250,703
United States Treasury Notes 5.88%
2000................................... 375,000 376,759
United States Treasury Notes 6.00%
2000................................... 100,000 100,844
United States Treasury Notes 6.13%
2007................................... 150,000 154,266
United States Treasury Notes 6.25%
2002................................... 250,000 255,312
United States Treasury Notes 6.25%
2007................................... 300,000 310,359
United States Treasury Notes 6.63%
2001................................... 1,090,000 1,121,512
United States Treasury Notes 6.63%
2002................................... 100,000 103,328
United States Treasury Notes 6.63%
2007................................... 50,000 53,078
United States Treasury Notes 7.25%
2004................................... 335,000 361,539
United States Treasury Notes 8.50%
2000................................... 165,000 176,370
-------------
10,222,828
-------------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 1.0%
Atlantic City Electric Co. 6.38% 2005... 60,000 60,752
Cleveland Electric Illuminating Co.
7.19% 2000*............................ 30,000 30,452
Empresa Nacional de Electricidad SA
7.33% 2037............................. 50,000 49,841
Public Service Electric & Gas Co. 8.88%
2003................................... 35,000 39,153
UtiliCorp United, Inc. 6.88% 2004....... 80,000 82,462
GAS & PIPELINE UTILITIES -- 0.3%
KN Energy, Inc. 6.65% 2005.............. 80,000 80,166
</TABLE>
- ----------------
38
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
TELEPHONE -- 0.2%
WorldCom, Inc. 7.55% 2004............... $ 50,000 $ 52,661
-------------
395,487
-------------
TOTAL BONDS & NOTES (cost
$15,733,777)........................... 16,005,420
-------------
TOTAL INVESTMENT SECURITIES (cost
$22,149,115)........................... 23,759,918
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.8%
<S> <C> <C>
- -----------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.2%
Chase Manhattan Corp. 8.77% due
2/19/99 ............................... 60,000 61,384
-------------
FOREIGN SHORT-TERM NOTES -- 0.6%
New Zealand Treasury Bill zero coupon
due 12/16/98 .................... (NZD) 320,000 166,548
-------------
TOTAL SHORT-TERM SECURITIES (cost
$231,134).............................. 227,932
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 7.2%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 7.2%
PaineWebber, Inc. Joint Repurchase
Agreement (Note 3)..................... 1,011,000 1,011,000
Swiss Bank Corp. Joint Repurchase
Agreement (Note 3) .................... 860,000 860,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$1,871,000)............................ 1,871,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $24,251,249) 99.6% 25,858,850
Other assets less liabilities -- 0.4 97,892
------ -----------
NET ASSETS -- 100.0% $25,956,742
------ -----------
------ -----------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
ADR -- American Depository Receipt
AUD -- Australian Dollar
NZD -- New Zealand Dollar
----------------
39
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
AUD 666,000 USD 444,135 04/28/98 $ 3,446
*DEM 231,000 USD 128,755 04/28/98 3,645
FIM 100,000 USD 18,239 07/31/98 304
FIM 85,000 USD 15,431 07/31/98 186
FIM 290,000 USD 52,536 07/31/98 525
FIM 115,000 USD 21,134 08/07/98 501
ITL 15,000,000 USD 8,459 05/06/98 230
ITL 5,000,000 USD 2,793 05/06/98 50
ITL 4,000,000 USD 2,224 05/06/98 30
ITL 37,000,000 USD 20,706 05/06/98 408
ITL 38,000,000 USD 21,121 08/07/98 232
ITL 36,000,000 USD 20,234 08/07/98 444
ITL 14,400,000 USD 8,028 08/07/98 113
NLG 38,000 USD 18,518 07/02/98 191
NLG 12,000 USD 5,927 07/31/98 130
NLG 50,000 USD 24,733 08/07/98 569
*SEK 22,000 USD 2,775 08/07/98 13
*USD 1,990 SEK 16,000 08/07/98 18
*USD 1,246 SEK 10,000 08/07/98 10
-------
11,045
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------
<S> <C> <C> <C> <C>
GBP 3,000 USD 4,893 05/06/98 (120)
GBP 3,500 USD 5,735 05/06/98 (112)
GBP 2,000 USD 3,285 05/06/98 (56)
GBP 4,000 USD 6,493 08/07/98 (162)
GBP 9,500 USD 15,552 08/07/98 (253)
*SEK 4,000 USD 500 08/07/98 (2)
USD 2,778 ITL 5,000,000 05/06/98 (35)
USD 2,445 NLG 5,000 08/07/98 (29)
USD 12,230 NLG 25,000 08/07/98 (148)
USD 4,896 NLG 10,000 08/07/98 (63)
*USD 128,675 DEM 231,000 04/28/98 (3,565)
-------
(4,545)
-------
Net Unrealized Appreciation................... $ 6,500
-------
-------
</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 SEK -- Swedish Krona
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NLG -- Netherlands Guilder
</TABLE>
See Notes to Financial Statements
- ----------------
40
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
<TABLE>
<CAPTION>
COMMON STOCK -- 16.0% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.0%
APPAREL & TEXTILES -- 0.2%
R.P.M., Inc. ......................................... 912 $ 16,245
Sola International, Inc.+ ............................ 600 24,863
AUTOMOTIVE -- 0.3%
Federal-Mogul Corp. .................................. 325 17,286
Ford Motor Co. ....................................... 500 32,406
RETAIL -- 0.5%
Costco Cos., Inc.+ ................................... 285 15,212
CVS Corp. ............................................ 100 7,550
Duane Reade, Inc.+ ................................... 761 19,453
Federated Department Stores, Inc.+ ................... 300 15,543
Office Depot, Inc.+ .................................. 400 12,450
Wal-Mart Stores, Inc. ................................ 300 15,244
-------------
176,252
-------------
CONSUMER STAPLES -- 0.7%
FOOD, BEVERAGE & TOBACCO -- 0.3%
DEKALB Genetics Corp., Class B ....................... 205 13,709
Flowers Industries, Inc. ............................. 500 11,719
Philip Morris Cos., Inc. ............................. 500 20,844
UST, Inc. ............................................ 200 6,450
HOUSEHOLD PRODUCTS -- 0.4%
Colgate-Palmolive Co. ................................ 500 43,312
Gillette Co. ......................................... 200 23,738
Procter & Gamble Co. ................................. 200 16,875
-------------
136,647
-------------
ENERGY -- 0.7%
ENERGY SERVICES -- 0.2%
Baker Hughes, Inc. ................................... 300 12,075
Schlumberger Ltd. .................................... 200 15,150
Smedvig ASA, Class B ................................. 100 2,007
ENERGY SOURCES -- 0.5%
Exxon Corp. .......................................... 200 13,525
Mobil Corp. .......................................... 300 22,987
Noble Affiliates, Inc. ............................... 300 12,488
Ocean Rig ASA+ ....................................... 6,883 7,041
Smith International, Inc.+ ........................... 191 10,517
Texaco, Inc. ......................................... 500 30,125
-------------
125,915
-------------
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 2.6%
BANKS -- 0.8%
Ambanc Holding Co., Inc. ............................. 35 $ 665
Astoria Financial Corp. .............................. 25 1,545
Banca Commerciale Italiana + ......................... 4,634 23,119
Bank of New York Co., Inc. ........................... 250 15,703
BankAmerica Corp. .................................... 380 31,397
Chase Manhattan Corp. ................................ 100 13,488
Citicorp ............................................. 50 7,100
First Defiance Financial Corp. ....................... 110 1,678
First Union Corp. .................................... 200 11,350
Klamath First Bancorp, Inc. .......................... 85 1,955
Mellon Bank Corp. .................................... 200 12,700
North Central Bancshares, Inc. ....................... 15 334
Provident Financial Holdings, Inc. +.................. 60 1,410
Queens County Bancorp, Inc. .......................... 47 2,068
Star Banc Corp. ...................................... 145 8,573
TF Financial Corp. ................................... 10 280
U.S. Bancorp ......................................... 125 15,594
FINANCIAL SERVICES -- 1.2%
American Express Co. ................................. 500 45,906
Associates First Capital Corp., Class A .............. 340 26,860
Beneficial Corp. ..................................... 60 7,459
Capital One Financial Corp. .......................... 500 39,438
Charles Schwab Corp. ................................. 242 9,196
CIT Group, Inc., Class A+ ............................ 800 26,100
ContiFinancial Corp.+ ................................ 500 15,250
Federal National Mortgage Association ................ 300 18,975
FirstSpartan Financial Corp. ......................... 10 451
Household International, Inc. ........................ 110 15,153
SLM Holding .......................................... 330 14,396
INSURANCE -- 0.6%
Aetna, Inc. .......................................... 100 8,344
Allstate Corp. ....................................... 100 9,194
Chubb Corp. .......................................... 100 7,837
Conseco, Inc. ........................................ 400 22,650
Swiss Life Insurance & Pension Co. ................... 8 6,764
The Hartford Financial Services Group, Inc. .......... 100 10,850
UICI+ ................................................ 225 7,776
UNUM Corp. ........................................... 665 36,700
-------------
478,258
-------------
HEALTHCARE -- 1.8%
DRUGS -- 1.1%
Alza Corp.+ .......................................... 365 16,357
Eli Lilly & Co. ...................................... 740 44,122
Merck & Co., Inc. .................................... 100 12,838
Pfizer, Inc. ......................................... 360 35,887
Smithkline Beecham PLC ............................... 1,403 17,673
Warner-Lambert Co. ................................... 405 68,977
</TABLE>
- ----------------
42
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES -- 0.5%
Columbia/HCA Healthcare Corp. ........................ 1,000 $ 32,250
Omnicare, Inc. ....................................... 652 25,835
Tenet Healthcare Corp.+ .............................. 700 25,419
United Healthcare Corp. .............................. 100 6,475
MEDICAL PRODUCTS -- 0.2%
Cardinal Health, Inc. ................................ 90 7,937
Johnson & Johnson .................................... 200 14,663
Sofamor Danek Group, Inc.+ ........................... 240 20,460
-------------
328,893
-------------
INDUSTRIAL & COMMERCIAL -- 1.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.0%
Boeing Co. ........................................... 200 10,425
BUSINESS SERVICES -- 0.7%
Cendant Corp.+ ....................................... 500 19,812
Delta & Pine Land Co. ................................ 430 22,360
GTECH Holdings Corp.+ ................................ 200 7,775
Owens-Illinois, Inc.+ ................................ 200 8,650
Sealed Air Corp.+ .................................... 285 18,668
Service Corp. International .......................... 100 4,244
Sysco Corp. .......................................... 600 15,375
Tomra Systems ASA+ ................................... 77 2,040
USA Waste Services, Inc.+ ............................ 500 22,281
MULTI-INDUSTRY -- 0.4%
Raision Tehtaat Oy ................................... 205 29,430
Republic Industries, Inc.+ ........................... 500 12,906
Siebe PLC ............................................ 653 14,254
Tyco International Ltd. .............................. 335 18,299
-------------
206,519
-------------
INFORMATION & ENTERTAINMENT -- 1.0%
BROADCASTING & MEDIA -- 0.7%
CBS Corp. ............................................ 745 25,283
Chancellor Media Corp.+ .............................. 385 17,662
Lamar Advertising Co., Class A+ ...................... 304 10,640
Outdoor Systems, Inc.+ ............................... 344 12,062
Time Warner, Inc. .................................... 882 63,504
ENTERTAINMENT PRODUCTS -- 0.1%
Hasbro, Inc. ......................................... 200 7,063
Mattel, Inc. ......................................... 300 11,887
LEISURE & TOURISM -- 0.2%
Hilton Hotels Corp. .................................. 400 12,750
McDonald's Corp. ..................................... 300 18,000
-------------
178,851
-------------
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 5.2%
COMMUNICATION EQUIPMENT -- 0.5%
CIENA Corp.+ ......................................... 175 $ 7,459
Lucent Technologies, Inc. ............................ 200 25,575
Nokia Corp., Class A ADR ............................. 355 38,318
Tellabs, Inc.+ ....................................... 200 13,425
U.S. West Media Group + .............................. 375 13,031
COMPUTERS & BUSINESS EQUIPMENT -- 0.6%
Computer Sciences Corp. .............................. 200 11,000
Dell Computer Corp.+ ................................. 225 15,244
EMC Corp.+ ........................................... 405 15,314
HBO & Co. ............................................ 325 19,622
Hewlett-Packard Co. .................................. 300 19,012
Honeywell, Inc. ...................................... 200 16,537
International Business Machines Corp. ................ 100 10,388
ELECTRONICS -- 1.1%
Analog Devices, Inc.+ ................................ 1,205 40,066
Applied Materials, Inc.+ ............................. 400 14,125
ASM Lithography Holdings NV+ ......................... 200 18,487
General Electric Co. ................................. 400 34,475
Intel Corp. .......................................... 200 15,613
Maxim Integrated Products, Inc.+ ..................... 255 9,292
Molex, Inc., Class A ................................. 500 13,406
Motorola, Inc. ....................................... 300 18,188
Pittway Corp., Class A ............................... 450 32,400
Vitesse Semiconductor Corp.+ ......................... 155 7,309
SOFTWARE -- 2.4%
America Online, Inc.+ ................................ 754 51,508
Aspen Technology, Inc.+ .............................. 625 25,781
At Home Corp., Series A+ ............................. 425 14,370
Cadence Design Systems, Inc.+ ........................ 570 19,736
Cisco Systems, Inc.+ ................................. 945 64,615
Computer Associates International, Inc. .............. 300 17,325
Intuit, Inc.+ ........................................ 225 10,885
Microsoft Corp.+ ..................................... 930 83,235
Oracle Corp.+ ........................................ 500 15,781
Parametric Technology Corp.+ ......................... 2,150 71,622
PeopleSoft, Inc.+ .................................... 365 19,231
Reynolds & Reynolds Co., Class A ..................... 400 8,750
Sapient Corp.+ ....................................... 200 9,475
VERITAS Software Corp.+ .............................. 145 8,573
Wind River Systems+ .................................. 219 8,705
TELECOMMUNICATIONS -- 0.6%
Comcast Corp., Class A+ .............................. 1,230 43,434
SBC Communications, Inc. ............................. 400 17,450
Tele-Communications, Inc., Series A+ ................. 1,503 46,734
Teleport Communications Group Inc., Class A+ ......... 100 5,875
-------------
951,371
-------------
</TABLE>
- ----------------
44
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.7%
CHEMICALS -- 0.6%
Cabot Corp. .......................................... 115 $ 4,240
du Pont (E.I.) de Nemours & Co. ...................... 300 20,400
Monsanto Co. ......................................... 1,265 65,780
Solutia, Inc. ........................................ 385 11,454
FOREST PRODUCTS -- 0.1%
American Pad & Paper Co.+ ............................ 200 1,450
Boise Cascade Corp. .................................. 400 14,425
Sonoco Products Co. .................................. 200 8,012
METALS & MINERALS -- 0.0%
Martin Marietta Materials, Inc. ...................... 200 8,638
-------------
134,399
-------------
REAL ESTATE -- 0.0%
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
Crescent Real Estate Equities Co. .................... 300 10,800
-------------
UTILITIES -- 1.2%
ELECTRIC UTILITIES -- 0.3%
Duke Energy Corp. .................................... 413 24,599
GPU, Inc. ............................................ 600 26,550
GAS & PIPELINE UTILITIES -- 0.3%
Consolidated Natural Gas Co. ......................... 600 34,612
Enron Corp. .......................................... 300 13,913
US Filter Corp.+ ..................................... 200 7,025
TELEPHONE -- 0.6%
Ameritech Corp. ...................................... 700 34,606
AT&T Corp. ........................................... 200 13,125
GTE Corp. ............................................ 300 17,963
MCI Communications Corp. ............................. 300 14,850
Telecom Italia SpA ................................... 2,014 15,870
WorldCom, Inc.+ ...................................... 364 15,675
-------------
218,788
-------------
TOTAL COMMON STOCK (cost $2,414,759).................. 2,946,693
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 77.2% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.7%
RETAIL -- 0.7%
J.C. Penney Co., Inc. 7.40% 2037...................... $ 60,000 64,736
Fred Meyer Inc. 7.38% 2005............................ 55,000 55,156
-------------
119,892
-------------
CONSUMER STAPLES -- 0.5%
FOOD, BEVERAGE & TOBACCO -- 0.5%
Panamerican Beverages, Inc. 8.13% 2003................ 80,000 85,041
-------------
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.8%
ENERGY SOURCES -- 0.8%
Newfield Exploration Co., Series B 7.45% 2007*........ $ 30,000 $ 29,870
Petroleos Mexicano 9.00% 2007......................... 56,000 57,330
YPF Sociedad Anonima 8.00% 2004....................... 60,000 60,952
-------------
148,152
-------------
FINANCE -- 15.5%
BANKS -- 5.1%
Banc One Corp. 8.00% 2027............................. 55,000 62,227
Bank One Columbus 7.38% 2002.......................... 40,000 41,780
Banponce Financial Corp. 6.75% 2001................... 65,000 65,747
Credit National 7.00% 2005............................ 60,000 60,033
Export Import Bank of Korea 6.50% 2006................ 80,000 69,162
First Chicago NBD Corp. 7.25% 2004.................... 135,000 141,277
First Republic Bancorp 7.75% 2012..................... 55,000 56,353
First Union-Lehman Brothers Commercial Mortgage Corp
6.60% 2029........................................... 125,000 126,736
Korea Development Bank 7.13% 2001..................... 30,000 28,210
NBD Bank SA 8.25% 2024................................ 55,000 64,956
NCNB Co. 9.38% 2009................................... 80,000 98,602
United States Bancorp 7.50% 2026...................... 110,000 119,449
FINANCIAL SERVICES -- 9.9%
Allstate Financing II 7.83% 2045 ..................... 53,000 54,260
Asset Securitization Corp. 6.66% 2041# ............... 85,000 86,727
Associates Corp. of North America 7.63% 2004.......... 130,000 139,233
CS First Boston Mortgage Securities Corp. 7.24%
2029................................................. 110,000 115,638
Dime Capital Trust I, Series A 9.33% 2027............. 45,000 50,751
Finova Capital Corp. 6.63% 2001....................... 125,000 126,536
Finova Capital Corp., Series C 6.39% 2002............. 65,000 65,316
Fleet Mortgage Group, Inc. 6.84% 2003................. 50,000 50,845
Ford Motor Credit Company 7.02% 2000.................. 125,000 127,733
GE Capital Mortgage Services, Inc. 6.25% 2023 ........ 48,076 47,805
Lubermens Mutual Casualty Co. 8.30% 2037*............. 85,000 90,398
Morgan Stanley Capital I, Inc. 7.22% 2007*............ 130,000 137,231
Popular North America, Inc. 6.63% 2002................ 40,000 40,574
Private Export Funding Corp. 6.31% 2004............... 100,000 102,278
Private Export Funding Corp. 7.03% 2003............... 100,000 105,300
Private Export Funding Corp. 7.30% 2002............... 265,000 278,083
Private Export Funding Corp. 7.90% 2000............... 100,000 104,015
U.S. West Capital Funding, Inc. 6.95% 2037............ 90,000 93,827
INSURANCE -- 0.5%
Cigna Corp. 7.88% 2027................................ 40,000 43,517
Jackson National Life Insurance Co. 8.15% 2027*....... 49,000 53,832
-------------
2,848,431
-------------
HEALTHCARE -- 1.4%
HEALTH SERVICES -- 1.0%
Allegiance Corp. 7.00% 2026........................... 120,000 123,981
Tenet Healthcare Corp. 7.88% 2003..................... 50,000 50,750
</TABLE>
- ----------------
46
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.4%
Beckman Instruments, Inc. 7.10% 2003*................. $ 75,000 $ 75,148
-------------
249,879
-------------
INDUSTRIAL & COMMERCIAL -- 1.2%
MACHINERY -- 0.4%
Cincinnati Milacron, Inc. 7.88% 2000.................. 75,000 76,744
TRANSPORTATION -- 0.8%
AMR Corp. 10.20% 2020................................. 50,000 66,460
Continental Airlines 6.65% 2019....................... 75,000 74,581
-------------
217,785
-------------
INFORMATION & ENTERTAINMENT -- 2.2%
BROADCASTING & MEDIA -- 2.2%
Comcast Cable Communications 8.50% 2027............... 80,000 93,431
News America Holdings, Inc. 8.00% 2016................ 130,000 140,088
Scholastic Corp. 7.00% 2003........................... 85,000 87,129
Viacom, Inc. 7.75% 2005............................... 80,000 83,900
-------------
404,548
-------------
INFORMATION TECHNOLOGY -- 0.6%
TELECOMMUNICATIONS -- 0.6%
Tele-Communications, Inc. 7.25% 2005.................. 40,000 40,936
Tele-Communications, Inc. 9.25% 2002.................. 60,000 65,667
-------------
106,603
-------------
MATERIALS -- 0.4%
CHEMICALS -- 0.4%
ICI Wilmington, Inc. 6.95% 2004....................... 80,000 82,322
-------------
MUNICIPAL BONDS -- 2.4%
MUNICIPAL BONDS -- 2.4%
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002.................................. 200,000 203,424
Huntsville Alabama Solid Waste Disposal Authority
5.95% 2003........................................... 105,000 103,218
Miami Florida Revenue 7.25% 2003...................... 130,000 136,297
-------------
442,939
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 3.7%
FOREIGN GOVERNMENT -- 3.7%
Australian Government 6.75% 2006 ............... (AUD) 665,000 471,032
Republic of Argentina 11.00% 2006..................... 60,000 66,750
Republic of Columbia 7.25% 2004....................... 70,000 66,937
Republic of Columbia 7.63% 2007....................... 25,000 23,563
Republic of Lithuania 7.13% 2002*..................... 53,000 51,940
-------------
680,222
-------------
REAL ESTATE -- 1.4%
REAL ESTATE COMPANIES -- 0.7%
Post Apartment Homes LP 7.02% 2001.................... 130,000 132,263
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Equity Office Properties Operating LP 6.38% 2003*..... $ 120,000 $ 118,798
-------------
251,061
-------------
U.S. GOVERNMENT & AGENCIES -- 43.8%
U.S. GOVERNMENT & AGENCIES -- 43.8%
Federal Home Loan Mortgage Corp. 6.50% 2022........... 60,000 60,300
Federal Home Loan Mortgage Corp. 6.50% 2023........... 40,000 39,850
Federal Home Loan Mortgage Corp. 7.00% 2023........... 45,000 46,673
Federal Home Loan Mortgage Corp. 7.50% 2023........... 35,104 36,004
Federal Home Loan Mortgage Corp. 7.75% 2022........... 79,482 83,058
Federal Home Loan Mortgage Corp. 8.50% 2019........... 72,552 76,562
Federal National Mortgage Association 5.65% 2005...... 60,000 59,656
Federal National Mortgage Association 5.75% 2008...... 425,000 416,602
Federal National Mortgage Association 7.00% 2006...... 28,702 28,783
Federal National Mortgage Association 7.39% 2021...... 55,897 57,787
Federal National Mortgage Association 9.35% 2020...... 19,078 19,159
Government National Mortgage Association 7.00% 2023... 58,401 59,131
Government National Mortgage Association 7.25% 2027... 549,494 559,280
Government National Mortgage Association 7.50% 2022... 25,002 25,697
Government National Mortgage Association 7.50% 2023... 84,696 87,024
Government National Mortgage Association 8.50% 2017... 89,316 95,596
Government National Mortgage Association 9.00% 2021... 25,660 27,760
United States Treasury Bonds 6.38% 2027............... 20,000 21,125
United States Treasury Bonds 6.63% 2027............... 110,000 119,350
United States Treasury Bonds 7.13% 2023............... 365,000 416,556
United States Treasury Bonds 7.50% 2016............... 150,000 174,913
United States Treasury Bonds 8.13% 2021............... 220,000 277,097
United States Treasury Bonds 8.50% 2020............... 180,000 233,860
United States Treasury Bonds 9.25% 2016............... 115,000 155,807
United States Treasury Bonds 10.75% 2003.............. 170,000 206,230
United States Treasury Bonds 11.88% 2003.............. 740,000 955,525
United States Treasury Bonds 12.00% 2013.............. 1,220,000 1,792,070
United States Treasury Notes 5.63% 1999............... 160,000 160,026
United States Treasury Notes 5.88% 2000............... 185,000 185,868
United States Treasury Notes 6.13% 2007............... 50,000 51,422
United States Treasury Notes 6.25% 2002............... 40,000 40,850
United States Treasury Notes 6.25% 2007............... 150,000 155,179
United States Treasury Notes 6.63% 2001............... 835,000 859,140
United States Treasury Notes 6.63% 2002............... 65,000 67,163
United States Treasury Notes 6.63% 2007............... 25,000 26,539
United States Treasury Notes 7.25% 2004............... 155,000 167,279
United States Treasury Notes 8.50% 2000............... 195,000 208,437
-------------
8,053,358
-------------
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 1.7%
Atlantic City Electric Co. 6.38% 2005................. 75,000 75,940
Cleveland Electric Illuminating Co., Series B 7.19%
2000*................................................ 40,000 40,603
Empresa Nacional de Electricidad SA 7.33% 2037........ 60,000 59,809
</TABLE>
- ----------------
48
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Public Service Electric & Gas Co. 8.88% 2003.......... $ 47,000 $ 52,577
UtiliCorp United, Inc. 6.88% 2004..................... 90,000 92,770
GAS & PIPELINE UTILITIES -- 0.4%
KN Energy, Inc. 6.65% 2005............................ 80,000 80,165
TELEPHONE -- 0.5%
WorldCom, Inc. 7.55% 2004............................. 80,000 84,259
-------------
486,123
-------------
TOTAL BONDS & NOTES (cost $13,893,743)................ 14,176,356
-------------
TOTAL INVESTMENT SECURITIES (cost $16,308,502)........ 17,123,049
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 1.2%
<S> <C> <C>
- -------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 0.3%
Chase Manhattan Corp. 8.77% due 2/19/99............... 60,000 61,384
-------------
FOREIGN SHORT-TERM NOTES -- 0.9%
New Zealand Treasury Bill coupon due 12/16/98 ........
(NZD) 300,000 156,139
-------------
TOTAL SHORT-TERM SECURITIES (cost $220,520)........... 217,523
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.4%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.4%
PaineWebber, Inc. Joint Repurchase Agreement (Note
3) .................................................. 256,000 256,000
Swiss Bank Corp. Joint Repurchase Agreement (Note
3) .................................................. 745,000 745,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $1,001,000)......... 1,001,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,530,022) 99.8% 18,341,572
Other assets less liabilities -- 0.2 36,211
------- -------------
NET ASSETS -- 100.0% $ 18,377,783
------- -------------
------- -------------
</TABLE>
- ------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; See Note 2
ADR -- American Depository Receipt
AUD -- Australian Dollar
NZD -- New Zealand Dollar
----------------
49
<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 709,000 USD 472,811 04/28/98 $ 3,669
*DEM 253,000 USD 141,018 04/28/98 3,992
FIM 40,000 USD 7,296 07/31/98 122
FIM 20,000 USD 3,631 07/31/98 44
FIM 85,000 USD 15,398 07/31/98 154
FIM 45,000 USD 8,270 08/07/98 196
ITL 4,000,000 USD 2,256 05/06/98 61
ITL 1,500,000 USD 838 05/06/98 15
ITL 1,500,000 USD 834 05/06/98 11
ITL 12,000,000 USD 6,715 05/06/98 132
ITL 11,000,000 USD 6,114 08/07/98 67
ITL 14,500,000 USD 8,150 08/07/98 179
ITL 4,000,000 USD 2,230 08/07/98 31
NLG 12,000 USD 5,848 07/02/98 60
NLG 3,000 USD 1,482 07/31/98 33
NLG 18,000 USD 8,904 08/07/98 205
*SEK 6,000 USD 757 08/07/98 4
*USD 622 SEK 5,000 08/07/98 6
*USD 249 SEK 2,000 08/07/98 2
------
8,983
------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C> <C>
GBP 1,200 USD 1,957 05/06/98 (48)
GBP 1,200 USD 1,966 05/06/98 (38)
GBP 500 USD 821 05/06/98 (14)
GBP 1,000 USD 1,623 08/07/98 (40)
GBP 3,100 USD 5,075 08/07/98 (83)
*SEK 1,000 USD 125 08/07/98 (1)
USD 833 ITL 1,500,000 05/06/98 (11)
USD 1,222 NLG 2,500 08/07/98 (14)
USD 3,180 NLG 6,500 08/07/98 (38)
USD 2,448 NLG 5,000 08/07/98 (32)
*USD 140,929 DEM 253,000 04/28/98 (3,904)
------
(4,223)
------
Net Unrealized Appreciation............................. $ 4,760
------
------
</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 SEK -- Swedish Krona
DEM -- Deutsche Mark ITL -- Italian Lira USD -- United States Dollar
FIM -- Finnish Markka NLG -- Netherlands Guilder
</TABLE>
See Notes to Financial Statements
- ----------------
50
<PAGE>
- ----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
<TABLE>
<CAPTION>
COMMON STOCK -- 77.0% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.7%
APPAREL & TEXTILES -- 0.2%
Adidas-Salomon AG .................................... 307 $ 54,435
Jones Apparel Group, Inc.+ ........................... 700 38,544
Onward Kashiyama Co. Ltd. ............................ 3,000 37,155
AUTOMOTIVE -- 2.7%
Bayerische Motoren Werke AG .......................... 138 152,583
Bridgestone Corp. .................................... 2,000 45,337
Chrysler Corp. ....................................... 11,500 477,969
Michelin Corp., Class B .............................. 2,360 140,857
Lear Corp.+ .......................................... 8,800 496,100
Renault SA+ .......................................... 838 37,320
HOUSING -- 0.5%
CRH PLC .............................................. 10,202 153,296
Masco Corp. .......................................... 1,400 83,300
RETAIL -- 4.3%
CompUSA, Inc.+ ....................................... 1,700 44,200
Costco Cos., Inc.+ ................................... 2,600 138,775
CVS Corp. ............................................ 2,700 203,850
Dayton Hudson Corp. .................................. 1,300 114,400
Fred Meyer, Inc.+ .................................... 900 41,569
Home Depot, Inc. ..................................... 900 60,694
Ito-Yokado Co. Ltd. .................................. 1,000 54,194
Kmart Corp.+ ......................................... 35,700 595,744
Office Max, Inc.+ .................................... 22,100 395,037
Safeway, Inc.+ ....................................... 1,800 66,487
TJX Cos., Inc. ....................................... 2,000 90,500
Vendex International NV .............................. 1,435 90,851
Wal-Mart Stores, Inc. ................................ 3,600 182,925
Walgreen Co. ......................................... 2,500 87,969
-------------
3,884,091
-------------
CONSUMER STAPLES -- 5.0%
FOOD, BEVERAGE & TOBACCO -- 3.0%
B.A.T. Industries PLC ................................ 13,806 140,632
Coca-Cola Enterprises, Inc. .......................... 2,600 95,388
Goodman Fielder Ltd. ................................. 6,571 10,195
Nestle SA ............................................ 142 271,332
Quaker Oats Co. ...................................... 8,700 498,075
RJR Nabisco Holdings Corp. ........................... 13,700 428,981
Sara Lee Corp. ....................................... 1,100 67,788
</TABLE>
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51
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS -- 2.0%
Clorox Co. ........................................... 1,200 $ 102,825
Colgate-Palmolive Co. ................................ 1,000 86,625
Estee Lauder Cos., Inc., Class A ..................... 700 47,513
KAO Corp. ............................................ 6,000 78,814
Kimberly-Clark Corp. ................................. 8,700 436,087
Procter & Gamble Co. ................................. 1,900 160,312
Shiseido Co. Ltd. .................................... 3,000 34,453
Unilever PLC ......................................... 6,297 59,558
-------------
2,518,578
-------------
ENERGY -- 5.5%
ENERGY SERVICES -- 1.7%
Halliburton Co. ...................................... 14,600 732,737
Mobil Corp. .......................................... 600 45,975
VA Technologie AG .................................... 137 21,583
Western Atlas, Inc.+ ................................. 500 38,688
ENERGY SOURCES -- 3.8%
Amoco Corp. .......................................... 7,100 613,262
Atlantic Richfield Co. ............................... 7,700 605,412
British Petroleum Co. PLC ............................ 7,992 114,989
Burmah Castrol PLC ................................... 6,516 132,857
Elf Aquitaine SA ..................................... 977 128,007
ENI SpA .............................................. 7,570 51,574
Exxon Corp. .......................................... 1,500 101,438
Iberdrola SA ......................................... 3,022 45,931
Total SA, Class B .................................... 1,281 153,782
-------------
2,786,235
-------------
FINANCE -- 17.1%
BANKS -- 6.7%
ABN Amro Holdings NV ................................. 3,900 89,973
Allied Irish Banks ................................... 11,374 139,538
Asahi Bank Ltd. ...................................... 1,000 4,091
Banco Comercial Portugues SA+ ........................ 877 28,322
Banco Frances del Rio de la Plata+ ................... 2,022 20,223
Bank of Ireland ...................................... 7,795 154,095
Bank of Nova Scotia .................................. 4,991 135,444
BankAmerica Corp. .................................... 2,400 198,300
Bankers Trust New York Corp. ......................... 4,000 481,250
Banque Nationale de Paris+ ........................... 2,126 165,175
Charter One Financial, Inc. .......................... 200 13,388
Comerica, Inc. ....................................... 900 95,231
Commonwealth Bank of Australia ....................... 3,842 45,642
Credit Commerce France ............................... 610 50,099
Dao Heng Bank Group Ltd. ............................. 7,000 20,687
Deutsche Bank AG+ .................................... 1,543 116,087
Development Bank of Singapore Ltd. ................... 6,600 48,230
Fifth Third Bancorp .................................. 600 51,300
First Chicago NBD Corp. .............................. 1,400 123,375
</TABLE>
- ----------------
52
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Foreningsbanken AB+ .................................. 887 $ 29,232
Julius Baer Holdings AG .............................. 25 60,676
MBNA Corp. ........................................... 3,800 136,087
Nordbanken Holding+ .................................. 4,234 28,066
Overseas Chinese Banking Corp. Ltd. .................. 8,000 45,084
Overseas Union Bank Ltd. ............................. 13,000 50,720
Royal Bank of Canada ................................. 1,068 63,431
Schweizerische BankGesellschaft ...................... 110 179,665
Skandinaviska Enskilda Banken, Series A .............. 2,279 33,207
Societe Generale ..................................... 706 141,257
Southtrust Corp. ..................................... 550 23,031
Summit Bancorp. ...................................... 9,400 470,587
SunTrust Banks, Inc. ................................. 100 7,538
Svenska Handelsbank, Series A ........................ 640 29,617
United Overseas Bank Ltd. ............................ 12,000 66,512
Westpac Banking Corp. Ltd. ........................... 6,588 44,093
FINANCIAL SERVICES -- 8.3%
Acom Co. Ltd. ........................................ 1,000 49,916
American Express Co. ................................. 1,600 146,900
Associates First Capital Corp., Class A .............. 1,200 94,800
Assurance General de France+ ......................... 1,822 102,514
Federal Home Loan Mortgage Corp. ..................... 2,300 109,106
Guoco Group Ltd. ..................................... 4,000 9,808
HSBC Holdings PLC .................................... 5,200 159,044
Internatiionale Nedederlanden Groep NV ............... 2,602 147,637
KeyCorp.+ ............................................ 13,200 499,125
Lehman Brothers Holdings, Inc. ....................... 6,700 501,663
Morgan Stanley, Dean Witter, Discover & Co. .......... 1,200 87,450
Nikko Securities Co. Ltd. ............................ 18,000 58,097
P & O Finance BV ..................................... 3,979 59,148
Transamerica Corp. ................................... 3,900 454,350
Travelers Group, Inc. ................................ 3,000 180,000
Unidanmark A/S ....................................... 245 19,458
Union Planters Corp. ................................. 7,700 478,844
Washington Mutual, Inc. .............................. 7,470 535,739
Wells Fargo & Co. .................................... 1,500 496,875
INSURANCE -- 2.1%
Aetna, Inc. .......................................... 5,700 475,594
Allianz AG ........................................... 150 45,295
American International Group, Inc. ................... 1,000 125,937
Conseco, Inc. ........................................ 1,500 84,937
Munchener Ruckversicherungs........................... 94 40,658
Prudential Corp. PLC ................................. 7,054 103,737
QBE Insurance Group Ltd. ............................. 3,532 15,417
Royal & Sun Alliance Insurance Group PLC ............. 8,207 104,413
Zurich Versicherungs-Gesellschaft .................... 86 49,925
-------------
8,625,640
-------------
</TABLE>
----------------
53
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 5.9%
DRUGS -- 3.5%
Astra AB ............................................. 1,799 $ 37,125
Bristol-Myers Squibb Co. ............................. 1,500 156,469
Eli Lilly & Co. ...................................... 800 47,700
Glaxo Wellcome PLC ................................... 2,869 77,035
Merck & Co., Inc. .................................... 1,000 128,375
Novartis AG .......................................... 76 134,502
Pfizer, Inc. ......................................... 1,600 159,500
Pharmacia & Upjohn, Inc. ............................. 11,600 507,500
Pharmacia & Upjohn, Inc. (SEK)........................ 2,177 93,936
Sankyo Co. Ltd. ...................................... 3,000 83,318
Schering-Plough Corp. ................................ 1,800 147,037
Warner-Lambert Co. ................................... 1,100 187,344
HEALTH SERVICES -- 1.4%
HEALTHSOUTH Corp.+ ................................... 2,800 78,575
Wellpoint Health Networks, Inc. ...................... 9,100 614,250
MEDICAL PRODUCTS -- 1.0%
Cardinal Health, Inc. ................................ 800 70,550
U.S. Surgical Corp. .................................. 13,900 458,700
-------------
2,981,916
-------------
INDUSTRIAL & COMMERCIAL -- 9.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.0%
Boeing Co. ........................................... 9,200 479,550
Rolls Royce PLC ...................................... 8,258 38,430
BUSINESS SERVICES -- 1.0%
Cendant Corp.+ ....................................... 4,600 182,275
Dai Nippon Printing Co. Ltd. ......................... 4,000 66,054
Franklin Resources, Inc. ............................. 1,200 63,600
Interpublic Group of Cos., Inc. ...................... 1,300 80,762
USA Waste Services, Inc.+ ............................ 1,400 62,387
Yamato Transport Co. Ltd. ............................ 4,000 47,439
ELECTRICAL EQUIPMENT -- 0.3%
Emerson Electric Co. ................................. 500 32,594
Premier Farnell PLC .................................. 1,300 8,313
Siebe PLC ............................................ 3,427 74,808
MACHINERY -- 1.7%
Caterpillar, Inc. .................................... 8,000 440,500
Cooper Cameron Corp.+ ................................ 800 48,300
Illinois Tool Works, Inc. ............................ 100 6,475
Ingersoll-Rand Co. ................................... 1,900 91,081
Mannesmann AG ........................................ 274 200,587
Molins PLC ........................................... 1,520 7,176
Rieter Holdings Ltd. AG .............................. 83 46,876
Sandvik AB, Class B .................................. 1,070 30,445
MULTI-INDUSTRY -- 3.4%
BTR PLC .............................................. 28,898 95,178
Compagnie Generale des Eaux .......................... 964 156,480
</TABLE>
- ----------------
54
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY (CONTINUED)
Cookson Group PLC .................................... 8,496 $ 32,854
Ogden Corp. .......................................... 15,100 434,125
Securicor Group PLC .................................. 7,653 52,397
Smiths Industries .................................... 5,224 76,606
Tomkins PLC .......................................... 20,294 124,083
Tyco International Ltd. .............................. 4,300 234,888
Whitman Corp. ........................................ 25,800 509,550
TRANSPORTATION -- 1.6%
AMR Corp.+ ........................................... 500 71,594
Bombardier, Inc., Class B ............................ 2,769 68,499
British Airways PLC .................................. 6,898 70,092
Burlington Northern Santa Fe Corp. ................... 4,800 499,200
Deutsche Lufthansa AG ................................ 2,169 45,677
Quintiles Transnational Corp.+ ....................... 900 43,369
-------------
4,522,244
-------------
INFORMATION & ENTERTAINMENT -- 3.5%
BROADCASTING & MEDIA -- 2.5%
CBS Corp. ............................................ 3,600 122,175
Gannett Co., Inc. .................................... 2,800 201,250
Time Warner, Inc. .................................... 6,700 482,400
Times Mirror Co., Series A ........................... 7,500 475,313
ENTERTAINMENT PRODUCTS -- 0.1%
Fuji Photo Film Co. Ltd. ............................. 1,000 37,230
LEISURE & TOURISM -- 0.9%
Bass PLC, Class B .................................... 500 820
Bass PLC ............................................. 7,300 140,166
Carnival Corp., Class A .............................. 1,400 97,650
Hutchison Whampoa Ltd. ............................... 13,000 91,433
Marriott International, Inc.+ ........................ 1,500 55,781
Marriott International, Inc., Class A+ ............... 1,500 53,719
-------------
1,757,937
-------------
INFORMATION TECHNOLOGY -- 14.5%
COMMUNICATION EQUIPMENT -- 0.7%
Lucent Technologies, Inc. ............................ 1,200 153,450
Newbridge Networks Corp. ADR+ ........................ 1,000 26,644
Nokia Corp., Class A ................................. 943 101,196
Tellabs, Inc.+ ....................................... 1,300 87,262
COMPUTERS & BUSINESS EQUIPMENT -- 5.2%
Canon, Inc. .......................................... 2,000 45,187
Dell Computer Corp.+ ................................. 900 60,975
EMC Corp.+ ........................................... 2,400 90,750
HBO & Co. ............................................ 2,000 120,750
International Business Machines Corp. ................ 4,900 508,987
NCR Corp.+ ........................................... 13,900 459,569
Pitney Bowes, Inc. ................................... 1,600 80,300
</TABLE>
----------------
55
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Ricoh Co. Ltd. ....................................... 2,000 $ 20,116
Seagate Technology, Inc.+ ............................ 10,000 252,500
Texas Instruments, Inc. .............................. 8,800 476,300
Xerox Corp. .......................................... 4,600 489,613
ELECTRONICS -- 3.1%
Dixons Group PLC ..................................... 7,277 64,076
General Electric Co. ................................. 3,300 284,419
General Electric Co. PLC+ ............................ 15,083 119,238
Linear Technology Corp. .............................. 800 55,200
Omron Corp. .......................................... 5,000 75,812
Philips Electronics NV ............................... 1,828 134,144
SGS Thomson Microelectronics NV + .................... 1,774 137,596
Sony Corp. ........................................... 1,400 118,746
Tokyo Electron Ltd. .................................. 2,000 67,405
Vishay Intertechnology, Inc. + ....................... 20,055 471,292
SOFTWARE -- 1.5%
America Online, Inc.+ ................................ 700 47,819
BMC Software, Inc.+ .................................. 1,400 117,337
Computer Associates International, Inc. .............. 2,700 155,925
Compuware Corp.+ ..................................... 1,500 74,062
Microsoft Corp.+ ..................................... 2,400 214,800
Parametric Technology Corp.+ ......................... 2,100 69,956
PeopleSoft, Inc.+ .................................... 1,400 73,763
TELECOMMUNICATIONS -- 4.0%
3Com Corp.+ .......................................... 13,200 474,375
AirTouch Communications, Inc.+ ....................... 1,300 63,619
China Telecom+ ....................................... 18,000 36,470
Deutsche Telekom AG .................................. 2,305 50,037
Ericsson (LM) Telecommunications Co., Series B ....... 1,814 86,214
Northern Telecom Ltd. ................................ 1,990 128,865
SBC Communications, Inc. ............................. 1,800 78,525
Tele-Communications TCI Ventures Group, Series A+ .... 4,100 72,006
Tele-Communications, Inc., Series A+ ................. 2,700 83,953
Telecom Italia SpA ................................... 13,100 103,226
Telecomunicacoes de Brasileiras SA ADR+ .............. 400 51,925
Telefonica de Espana SA .............................. 2,366 104,338
U.S. West Communications Group ....................... 8,700 476,325
Vodafone Group PLC ................................... 21,085 219,013
-------------
7,284,080
-------------
MATERIALS -- 4.0%
CHEMICALS -- 0.5%
Akzo Nobel NV ........................................ 738 149,905
Bayer AG ............................................. 2,708 123,866
FOREST PRODUCTS -- 2.5%
Boise Cascade Corp. .................................. 13,300 479,631
Svenska Cellulosa AB, Class B ........................ 3,133 86,206
Unisource Worldwide, Inc. ............................ 15,300 189,338
</TABLE>
- ----------------
56
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Weyerhaeuser Co. ..................................... 8,800 $ 497,200
METALS & MINERALS -- 1.0%
Aluminum Co. of America .............................. 3,800 261,487
Cimpor-Cimentos de Portugal SA ....................... 648 22,840
Lafarge Corp. ........................................ 1,190 101,191
Rio Tinto PLC+ ....................................... 7,532 101,184
-------------
2,012,848
-------------
REAL ESTATE -- 2.1%
REAL ESTATE COMPANIES -- 0.1%
Henderson Land Development Co. Ltd. .................. 10,000 50,718
REAL ESTATE INVESTMENT TRUSTS -- 2.0%
Equity Residential Properties Trust .................. 9,700 487,425
Starwood Hotels & Resorts ............................ 9,800 523,687
-------------
1,061,830
-------------
UTILITIES -- 2.7%
ELECTRIC UTILITIES -- 1.9%
Electricidad de Portugal SA .......................... 4,612 107,049
Hong Kong Electric Holdings Ltd. ..................... 7,000 24,029
Potomac Electric Power Co. ........................... 18,300 458,644
Scottish Power PLC ................................... 21,808 205,532
VEBA AG .............................................. 1,840 130,523
TELEPHONE -- 0.8%
AT&T Corp. ........................................... 2,100 137,813
Ote Greek Telecom .................................... 2,100 52,566
Portugal Telecom SA .................................. 1,382 71,899
Sprint Corp. ......................................... 2,200 148,912
-------------
1,336,967
-------------
TOTAL COMMON STOCK (cost $35,379,179)................. 38,772,366
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 18.8% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.3%
RETAIL -- 0.3%
Federated Department Stores, Inc. 8.50% 2003.......... $ 40,000 43,655
Rite Aid Corp. 6.70% 2001............................. 100,000 101,532
-------------
145,187
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Philip Morris Cos, Inc. 6.80% 2003.................... 100,000 101,484
Philip Morris Cos, Inc. 7.50% 2004.................... 20,000 20,965
-------------
122,449
-------------
</TABLE>
----------------
57
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.4%
ENERGY SERVICES -- 0.2%
Petroleum Geo Services ASA 7.50% 2007................. $ 100,000 $ 105,918
ENERGY SOURCES -- 0.2%
KN Energy, Inc. 6.45% 2003............................ 40,000 40,032
Saga Petroleum ASA 7.25% 2027......................... 40,000 39,851
-------------
185,801
-------------
FINANCE -- 4.6%
BANKS -- 1.0%
ABN Amro Bank Nv Chicago Branch 7.25% 2005............ 40,000 41,821
First Union Lehman Brothers Mortgage Trust 6.65%
2007................................................. 25,000 25,310
Merita Bank Ltd. 6.50% 2006........................... 40,000 39,721
Nationsbank Corp. 6.88% 2005.......................... 45,000 46,253
Popular, Inc., 6.40% 2000............................. 100,000 100,379
Provident Cos., Inc. 7.41% 2038....................... 50,000 50,032
St. Paul Bancorp 7.13% 2004........................... 100,000 101,952
Svenska Handelsbank 8.13% 2007........................ 65,000 71,768
FINANCIAL SERVICES -- 3.1%
Advanta Mortgage Loan Trust 6.69% 2017................ 25,000 25,200
Advanta Mortgage Loan Trust 7.05% 2021................ 25,000 25,347
Amresco Residential Securities 6.60% 2018............. 20,000 20,061
Associates Corp. of North America 6.50% 2002.......... 60,000 60,574
Commercial Mortgage Acceptance Corp. 6.53% 2007#...... 15,000 15,183
Commercial Mortgage Acceptance Corp. 6.57% 2030#...... 40,000 40,462
Ford Motor Credit Co. 7.00% 2001...................... 60,000 61,618
Ford Motor Credit Co. 8.00% 2002...................... 40,000 42,551
General Motors Acceptance Corp. 6.63% 2002............ 40,000 40,628
Green Tree Financial Corp. 6.24% 2016#................ 90,000 89,747
Green Tree Financial Corp. 6.93% 2028................. 55,000 56,339
Green Tree Recreational Equipment 6.18% 2019#......... 290,000 289,819
Green Tree Recreational Equipment 6.55% 2028.......... 36,395 36,612
Harley Davidson Eagle Motorcycle Trust 6.20% 2003..... 150,000 151,000
Lehman Brothers Holdings, Inc. 6.50% 2002............. 105,000 105,101
Merrill Lynch Mortgage Investors, Inc. 6.22% 2030#.... 105,000 106,378
Merrill Lynch Mortgage Investors, Inc. 6.54% 2029#.... 80,000 80,225
Money Store, Inc. 8.05% 2002.......................... 20,000 21,163
Morgan Stanley Capital I, Inc. 7.22% 2028#............ 55,000 57,836
PaineWebber Group, Inc., 6.65% 2002................... 135,000 135,652
PNC Mortgage Securities Corp. 6.60% 2027 ............. 21,041 21,158
United States West Capital Funding, Inc. 6.85% 2002... 100,000 101,873
INSURANCE -- 0.5%
Hartford Life, Inc. 7.10% 2007........................ 100,000 103,700
TIG Holdings, Inc. 8.13% 2005......................... 40,000 42,891
Travelers Capital II 7.75% 2036....................... 100,000 102,844
-------------
2,311,198
-------------
INDUSTRIAL & COMMERCIAL -- 0.9%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Lockheed Martin Corp. 7.25% 2006...................... 115,000 120,628
Raytheon Co. 6.45% 2002............................... 35,000 35,253
</TABLE>
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58
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.1%
Williams Cos, Inc. 6.13% 2002......................... $ 40,000 $ 39,611
TRANSPORTATION -- 0.5%
Continental Airlines 6.54% 2009....................... 60,000 59,556
Continental Airlines 6.80% 2009....................... 30,000 30,117
CSX Corp. 7.95% 2027.................................. 100,000 111,853
Hertz Corp. 7.00% 2028................................ 65,000 63,478
-------------
460,496
-------------
INFORMATION & ENTERTAINMENT -- 0.2%
BROADCASTING & MEDIA -- 0.2%
News America Holdings, Inc. 7.70% 2025................ 70,000 73,283
Time Warner Entertainment Co LP 8.38% 2033............ 25,000 28,677
-------------
101,960
-------------
INFORMATION TECHNOLOGY -- 0.1%
TELECOMMUNICATIONS -- 0.1%
Compania de Telecomunicaciones 7.63% 2006............. 60,000 60,763
-------------
MATERIALS -- 0.1%
CHEMICALS -- 0.1%
Solutia, Inc. 6.72% 2037.............................. 45,000 45,645
-------------
MUNICIPAL BONDS -- 0.1%
MUNICIPAL BONDS -- 0.1%
New Jersey Economic Development Authority, Series A
7.43% 2029........................................... 40,000 43,813
-------------
U.S. GOVERNMENT & AGENCIES -- 11.3%
Federal Home Loan Mortgage Corp. 6.00% 2008........... 75,000 73,265
Federal National Mortgage Association 5.50% 2011...... 78,234 75,887
Federal National Mortgage Association 6.00% 2009...... 60,000 58,631
Federal National Mortgage Association 7.00% 2023...... 10,415 10,256
Federal National Mortgage Association 8.50% 2019...... 35,000 37,756
Federal National Mortgage Association 9.00% 2026...... 64,123 67,980
Government National Mortgage Association 5.50% TBA.... 60,000 60,319
Government National Mortgage Association 6.50% TBA.... 225,000 222,678
Government National Mortgage Association 7.00% 2023... 19,249 19,721
Government National Mortgage Association 7.00% 2025... 33,155 33,948
Government National Mortgage Association 7.00% 2012... 130,930 133,870
Government National Mortgage Association 7.00% 2024... 224,248 227,456
Government National Mortgage Association 7.00% 2025... 45,606 46,077
Government National Mortgage Association 7.00% 2026... 81,938 82,782
Government National Mortgage Association 7.00% 2025... 15,445 15,814
Government National Mortgage Association 7.00% 2028... 1,573,969 1,590,196
Government National Mortgage Association 7.38% 2026... 18,197 18,657
Government National Mortgage Association 7.50% 2023... 140,362 144,221
Government National Mortgage Association 7.50% 2026... 337,857 346,408
Government National Mortgage Association 7.50% 2027... 318,620 328,731
Government National Mortgage Association 8.00% 2026... 85,000 88,001
Government National Mortgage Association 8.00% 2027... 151,499 156,849
</TABLE>
----------------
59
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Bonds 6.13% 2027............... $ 340,000 $ 348,660
United States Treasury Bonds 6.38% 2027............... 105,000 110,906
United States Treasury Notes 5.50% 2000............... 690,000 688,703
United States Treasury Notes 5.50% 2003............... 260,000 258,456
United States Treasury Notes 5.63% 1999............... 460,000 460,216
-------------
5,706,444
-------------
UTILITIES -- 0.6%
ELECTRIC UTILITIES -- 0.5%
Arizona Public Services Co. 6.75% 2006................ 160,000 162,950
Southern California Edison Co. 5.88% 2001............. 100,000 99,695
TELEPHONE -- 0.1%
WorldCom, Inc. 7.75% 2007............................. 50,000 53,902
-------------
316,547
-------------
TOTAL BONDS & NOTES (cost $9,441,170)................. 9,500,303
-------------
<CAPTION>
RIGHTS -- 0.0%+
<S> <C> <C>
- -------------------------------------------------------------------------------------
FINANCE -- 0.0%
BANKS -- 0.0%
Banco Comercial Portugues SA 4/20/98.................. 877 3,104
Development Bank of Singapore Ltd. 4/28/98 ........... 1,200 2,452
INSURANCE -- 0.0%
Allianz AG 4/1/98 .................................... 150 742
-------------
6,298
-------------
MATERIALS -- 0.0%
METALS & MINERAL -- 0.0%
LaFarge Corp. 4/8/98.................................. 1,190 1,555
-------------
TOTAL RIGHTS (cost $0)................................ 7,853
-------------
TOTAL INVESTMENT SECURITIES (cost $44,820,349)........ 48,280,522
-------------
</TABLE>
- ----------------
60
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 5.8% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 5.8%
Agreement with Swiss Bank Corp.- Warburg, bearing
interest of 5.92% dated 3/31/98, to be repurchased
4/01/98 in the amount of $2,911,479 and
collateralized by $2,655,000 U.S. Treasury Notes
6.88% due 8/15/25, approximate aggregate value
$2,973,059
(cost $2,911,000).................................... $ 2,911,000 $ 2,911,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $47,731,349) 101.6% 51,191,522
Liabilities in excess of other assets -- (1.6) (807,118)
------ -------------
NET ASSETS -- 100.0% $ 50,384,404
------ -------------
------ -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
ADR -- American Depository Receipt
SEK -- Swedish Kroner
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 upon settlement date.
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ----------------------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
JPY 24,716,600 USD 195,386 06/12/98 $ 7,976
JPY 21,983,400 USD 174,868 06/12/98 8,182
-------
Net Unrealized Appreciation.......................................... $ 16,158
-------
-------
</TABLE>
- -------------
JPY -- Japanese Yen
USD -- United States Dollar
See Notes to Financial Statements
----------------
61
<PAGE>
- ------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1998
<TABLE>
<CAPTION>
COMMON STOCK -- 94.4% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 5.1%
HOUSING -- 0.9%
Masco Corp. .......................................... 6,600 $ 392,700
RETAIL -- 4.2%
AutoZone, Inc.+ ...................................... 4,800 162,600
Circuit City Stores, Inc. ............................ 1,500 64,125
CVS Corp. ............................................ 3,107 234,579
Home Depot, Inc. ..................................... 4,300 289,981
Safeway, Inc.+ ....................................... 12,700 469,106
Tag Heuer International SA ADR+ ...................... 17,400 202,275
Wal-Mart Stores, Inc. ................................ 6,500 330,281
-------------
2,145,647
-------------
CONSUMER STAPLES -- 4.8%
FOOD, BEVERAGE & TOBACCO -- 2.7%
PepsiCo, Inc. ........................................ 10,700 456,756
Philip Morris Cos., Inc. ............................. 16,000 667,000
HOUSEHOLD PRODUCTS -- 2.1%
Gillette Co. ......................................... 1,800 213,637
Kimberly-Clark Corp. ................................. 6,200 310,775
Kimberly-Clark de Mexico SA de CV, Class A ........... 24,400 126,069
Procter & Gamble Co. ................................. 2,800 236,250
-------------
2,010,487
-------------
ENERGY -- 3.3%
ENERGY SERVICES -- 0.8%
Halliburton Co. ...................................... 4,200 210,788
Schlumberger Ltd. .................................... 1,700 128,775
ENERGY SOURCES -- 2.5%
Mobil Corp. .......................................... 5,000 383,125
Petroleo Brasileiro SA ADR ........................... 5,600 132,976
Royal Dutch Petroleum Co. ............................ 9,000 511,312
-------------
1,366,976
-------------
FINANCE -- 20.2%
BANKS -- 7.5%
BCA Fideuram SpA ..................................... 35,500 247,117
Citicorp ............................................. 3,000 426,000
First Union Corp. .................................... 6,700 380,225
Mellon Bank Corp. .................................... 3,500 222,250
NationsBank Corp. .................................... 5,705 416,109
Northern Trust Corp. ................................. 2,100 156,975
Norwest Corp. ........................................ 14,400 598,500
Toronto Dominion Bank ................................ 7,000 303,625
Wells Fargo & Co. .................................... 1,200 397,500
</TABLE>
- ----------------
62
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES -- 7.5%
Federal Home Loan Mortgage Corp. ..................... 25,000 $ 1,185,937
Federal National Mortgage Association ................ 10,300 651,475
First Data Corp. ..................................... 12,300 399,750
H&R Block, Inc. ...................................... 6,100 290,131
SLM Holding .......................................... 5,300 231,213
Travelers Group, Inc. ................................ 6,800 408,000
INSURANCE -- 5.2%
Ace Co., Ltd. ........................................ 14,300 538,931
Aetna, Inc. .......................................... 1,200 100,125
Fairfax Financial Holdings Ltd.+ ..................... 815 280,132
Mutual Risk Management Ltd. .......................... 9,400 318,425
Partner Re Ltd. ...................................... 4,100 201,413
Travelers Property Casualty Corp., Class A ........... 5,900 259,600
UNUM Corp. ........................................... 8,900 491,169
-------------
8,504,602
-------------
HEALTHCARE -- 12.2%
DRUGS -- 8.3%
American Home Products Corp. ......................... 2,500 238,438
Amgen, Inc.+ ......................................... 1,900 115,663
Astra AB ............................................. 8,866 176,311
Biogen, Inc.+ ........................................ 5,900 284,306
Bristol-Myers Squibb Co. ............................. 4,400 458,975
Eli Lilly & Co. ...................................... 2,700 160,988
Genentech, Inc.+ ..................................... 5,000 352,187
Merck & Co., Inc. .................................... 4,100 526,337
Novartis AG .......................................... 199 352,182
Pfizer, Inc. ......................................... 5,200 518,375
Warner-Lambert Co. ................................... 1,800 306,562
HEALTH SERVICES -- 3.0%
HEALTHSOUTH Corp.+ ................................... 15,400 432,162
Pacificare Health Systems, Inc., Class B+ ............ 1,400 105,350
Tenet Healthcare Corp.+ .............................. 8,200 297,763
United Healthcare Corp. .............................. 6,300 407,925
MEDICAL PRODUCTS -- 0.9%
Baxter International, Inc. ........................... 1,800 99,225
Guidant Corp. ........................................ 1,000 73,375
Johnson & Johnson .................................... 3,100 227,269
-------------
5,133,393
-------------
INDUSTRIAL & COMMERCIAL -- 14.2%
AEROSPACE & MILITARY TECHNOLOGY -- 1.9%
AlliedSignal, Inc. ................................... 14,400 604,800
Raytheon Co. ......................................... 3,100 180,963
BUSINESS SERVICES -- 4.8%
Cendant Corp.+ ....................................... 13,600 538,900
Ikon Office Solutions, Inc. .......................... 7,700 266,131
</TABLE>
----------------
63
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Newmont Mining Corp. ................................. 9,400 $ 287,288
Rentokil Initial PLC+ ................................ 55,900 337,811
Service Corp. International .......................... 4,100 173,994
USA Waste Services+ .................................. 9,200 409,975
ELECTRICAL EQUIPMENT -- 0.2%
Teradyne, Inc.+....................................... 2,400 96,150
MACHINERY -- 2.6%
Danaher Corp. ........................................ 10,200 774,562
Teleflex, Inc. ....................................... 7,800 327,600
MULTI-INDUSTRY -- 4.7%
Berkshire Hathaway, Inc. ............................. 6 403,200
Sara Lee Corp. ....................................... 5,200 320,450
Swire Pacific Ltd., Class A .......................... 11,000 58,203
Tomkins PLC .......................................... 68,100 416,382
Tyco International Ltd. .............................. 12,046 658,013
Unilever NV .......................................... 2,100 144,112
-------------
5,998,534
-------------
INFORMATION & ENTERTAINMENT -- 10.5%
BROADCASTING & MEDIA -- 5.0%
CBS Corp. ............................................ 9,700 329,194
Elsevier NV .......................................... 5,700 93,772
Omnicom Group, Inc. .................................. 8,300 390,619
Reuters Group PLC .................................... 1,326 85,610
Tribune Co. .......................................... 7,100 500,550
Vereenigde Ned Uitgevers ............................. 15,100 516,382
Vodafone Group PLC ................................... 18,900 196,317
COMMUNICATION EQUIPMENT -- 0.4%
Cox Communications, Inc., Class A+ ................... 4,300 180,600
ENTERTAINMENT PRODUCTS -- 1.0%
Hasbro, Inc. ......................................... 7,500 264,844
Mattel, Inc. ......................................... 3,700 146,612
LEISURE & TOURISM -- 4.1%
Carnival Corp., Class A .............................. 4,300 299,925
Disney (Walt) Co. .................................... 4,100 437,675
Granada Group PLC .................................... 14,100 253,500
Hilton Hotels Corp. .................................. 4,700 149,813
Hutchison Whampoa Ltd. ............................... 47,000 330,567
McDonald's Corp. ..................................... 2,500 150,000
Mirage Resorts, Inc.+ ................................ 3,100 75,369
-------------
4,401,349
-------------
INFORMATION TECHNOLOGY -- 18.0%
COMMUNICATION EQUIPMENT -- 3.2%
AirTouch Communications, Inc.+ ....................... 6,000 293,625
CIENA Corp.+ ......................................... 3,400 144,925
</TABLE>
- ----------------
64
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Nokia Corp., Class A ADR ............................. 3,900 $ 420,956
Telecomunicacoes de Brasileiras SA ADR+ .............. 1,600 207,700
Tellabs, Inc.+ ....................................... 4,300 288,638
COMPUTERS & BUSINESS EQUIPMENT -- 2.6%
Automatic Data Processing, Inc. ...................... 4,100 279,056
Compaq Computer Corp. ................................ 5,800 150,075
EMC Corp.+ ........................................... 5,600 211,750
Hewlett-Packard Co. .................................. 3,200 202,800
Honeywell, Inc. ...................................... 2,900 239,794
ELECTRONICS -- 6.0%
Analog Devices, Inc.+ ................................ 9,600 319,200
General Electric Co. ................................. 13,300 1,146,294
Getronics NV+ ........................................ 4,300 184,585
Intel Corp. .......................................... 1,900 148,319
Linear Technology Corp. .............................. 2,000 138,000
Maxim Integrated Products, Inc.+ ..................... 8,300 302,431
Molex, Inc., Class A ................................. 2,931 78,587
Philips Electronics NV ............................... 2,600 190,796
SOFTWARE -- 6.2%
Adobe Systems, Inc. .................................. 2,900 131,044
BMC Software, Inc.+ .................................. 5,700 477,731
Cadence Design Systems, Inc.+ ........................ 5,800 200,825
Cisco Systems, Inc.+ ................................. 3,400 232,475
Microsoft Corp.+ ..................................... 6,000 537,000
Networks Associates Inc.+ ............................ 3,500 231,875
Oracle Corp.+ ........................................ 10,050 317,203
Parametric Technology Corp.+ ......................... 15,100 503,019
-------------
7,578,703
-------------
MATERIALS -- 0.3%
CHEMICALS -- 0.3%
Rhone-Poulenc Ltd.+ .................................. 2,700 137,189
-------------
REAL ESTATE -- 2.3%
REAL ESTATE COMPANIES -- 0.6%
Security Capital U.S. Realty+ ........................ 19,600 258,720
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
Crescent Real Estate Equities Co. .................... 7,300 262,800
Starwood Lodging Trust ............................... 8,300 443,531
-------------
965,051
-------------
UTILITIES -- 3.5%
TELEPHONE -- 3.5%
AT&T Corp. ........................................... 4,500 295,312
MCI Communications Corp. ............................. 7,900 391,050
Telecel-Comunicacaoes Pessoais, SA+ .................. 2,200 341,590
Telecom Italia SpA+ .................................. 18,239 111,755
</TABLE>
----------------
65
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
WorldCom, Inc.+ ...................................... 8,000 $ 344,500
-------------
1,484,207
-------------
TOTAL COMMON STOCK (cost $32,490,772) ................ 39,726,138
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 5.4% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CORPORATE SHORT-TERM NOTES -- 3.2%
Northern Illinois Gas Company 5.53% due 4/13/98 ...... $ 426,000 425,215
Reed Elsevier 6.05% due 4/1/98 ....................... 939,000 939,000
-------------
1,364,215
-------------
FEDERAL AGENCY OBLIGATIONS -- 2.2%
Federal National Mortgage Association Discount Notes
5.50% due 4/13/98 ................................... 929,000 927,297
-------------
TOTAL SHORT-TERM SECURITIES (cost $2,291,512) ........ 2,291,512
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $34,782,284) 99.8 % 42,017,650
Other assets less liabilities -- 0.2 67,040
------ -----------
NET ASSETS -- 100.0 % $42,084,690
------ -----------
------ -----------
</TABLE>
- ------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
- ----------------
66
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
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>
ASSETS:
Investment securities, at value*................. $30,631,533 $30,800,823 $23,759,918 $17,123,049 $ 48,280,522 $39,726,138
Short-term securities*........................... 108,761 191,678 227,932 217,523 -- 2,291,512
Repurchase agreements (cost equals market)....... 2,503,000 2,241,000 1,871,000 1,001,000 2,911,000 --
Cash............................................. 30,336 -- 24,536 5,947 94,520 1,012
Foreign currency................................. -- -- -- 10 12,372 3,650
Receivables for --
Dividends and accrued interest................. 133,340 212,385 252,721 228,417 164,076 40,668
Fund shares sold............................... 78,087 48,629 59,807 17,077 95,448 82,744
Foreign currency contracts..................... 78,034 140,462 166,473 156,068 146,055 37,171
Sales of investments........................... 74,354 59,187 22,168 8,157 758,887 96,221
Unrealized appreciation on forward foreign
currency
contracts...................................... 14,517 13,992 11,045 8,983 16,158 --
Deferred organizational expenses................. 12,994 12.994 12,994 12,994 12,994 12,994
Prepaid expenses................................. 218 229 171 138 338 284
-------------------------------------------------------------------------------
33,665,174 33,721,379 26,408,765 18,779,363 52,492,370 42,292,394
-------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of investments....................... 1,037,833 807,844 228,876 198,454 1,860,383 99,238
Foreign currency contracts..................... 79,603 143,285 169,819 159,205 145,751 37,221
Management fees................................ 22,865 21,719 16,455 11,107 33,587 29,565
Fund shares redeemed........................... 5,504 2,071 1,333 1,000 4,716 4,239
Due to custodian bank............................ -- 84,620 -- -- -- --
Unrealized depreciation on forward foreign
currency
contracts...................................... 4,431 4,962 4,545 4,223 -- --
Other accrued expenses........................... 34,377 34,714 30,995 27,591 63,529 37,441
-------------------------------------------------------------------------------
1,184,613 1,099,215 452,023 401,580 2,107,966 207,704
-------------------------------------------------------------------------------
NET ASSETS....................................... $32,480,561 $32,622,164 $25,956,742 $18,377,783 $ 50,384,404 $42,084,690
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 2,528,174 2,636,697 2,202,350 1,627,196 4,301,676 2,871,299
Net asset value per share........................ $12.85 $12.37 $11.79 $11.29 $11.71 $14.66
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS:
Capital paid in.................................. $28,862,140 $29,576,002 $24,017,960 $17,301,664 $ 46,818,807 $33,890,379
Accumulated undistributed (distributions in
excess of) net investment income............... 103,862 152,216 181,493 170,487 169,315 (7,952)
Accumulated undistributed net realized gain
(loss) on investments.......................... 97,251 50,829 143,205 89,341 (80,064) 967,017
Unrealized appreciation on investments........... 3,407,218 2,834,086 1,607,601 811,550 3,460,173 7,235,366
Unrealized foreign exchange gain (loss) on other
assets and liabilities......................... 10,090 9,031 6,483 4,741 16,173 (120)
-------------------------------------------------------------------------------
$32,480,561 $32,622,164 $25,956,742 $18,377,783 $ 50,384,404 $42,084,690
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
- ---------------
* Cost
Investment securities.......................... $27,222,816 $27,964,034 $22,149,115 $16,308,502 $ 44,820,349 $32,490,772
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
Short-term securities.......................... $ 110,260 $ 194,381 $ 231,134 $ 220,520 $ -- $ 2,291,512
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
----------------
67
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
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>
INCOME:
Interest............................................ $ 365,941 $ 510,705 $ 576,100 $ 555,748 $ 453,579 $ 84,456
Dividends........................................... 67,242 57,559 34,338 16,104 347,227 220,527
--------------------------------------------------------------------------
Total income*..................................... 433,183 568,264 610,438 571,852 800,806 304,983
--------------------------------------------------------------------------
EXPENSES:
Management fees..................................... 137,424 135,378 101,740 76,624 208,284 178,227
Custodian fees...................................... 52,639 54,445 48,027 45,115 129,107 50,617
Auditing fees....................................... 14,255 14,355 14,250 14,195 11,335 11,230
Reports to investors................................ 11,380 11,320 9,000 6,527 17,530 15,405
Legal fees.......................................... 2,415 2,403 2,289 2,251 2,491 3,384
Amortization of organizational expenses............. 2,241 2,241 2,241 2,241 2,241 2,241
Trustees' fees...................................... 1,183 1,199 957 763 1,881 1,606
Other expenses...................................... 1,296 1,300 1,276 1,257 1,352 1,327
--------------------------------------------------------------------------
Total expenses before reimbursement............... 222,833 222,641 179,780 148,973 374,221 264,037
Expenses reimbursed by the investment adviser..... (23,646) (29,927) (36,590) (43,490) (77,724) (10,325)
--------------------------------------------------------------------------
Net investment income................................. 233,996 375,550 467,248 466,369 504,309 51,271
--------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
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 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 realized and unrealized gain on investments and
foreign exchange.................................. 3,887,184 3,223,371 1,919,293 1,032,509 3,904,047 8,525,799
--------------------------------------------------------------------------
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
--------------------------------------------------------------------------
--------------------------------------------------------------------------
- ---------------
* Net of foreign withholding taxes on interest and
dividends of........................................ $ 1,723 $ 1,792 $ 1,539 $ 1,284 $ 7,912 $ 5,646
--------------------------------------------------------------------------
--------------------------------------------------------------------------
</TABLE>
# Commenced operations April 15, 1997
See Notes to Financial Statements
- ----------------
68
<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
----------------
69
<PAGE>
- ----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
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 statements
contain all normal and recurring adjustments necessary for the fair presentation
of the financial position of
- ----------------
70
<PAGE>
the Trust at March 31, 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.
----------------
71
<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 March 31, 1998, the Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/ Equity and Multi-Managed Income Portfolios had a 2.2%,
1.6%, 1.0% and 0.3%, respectively, undivided interest, representing $2,153,000,
$1,566,000, $1,011,000 and $256,000, respectively, in principal amount, in a
joint repo with PaineWebber, Inc., which is dated March 31, 1998, bears interest
at the rate of 5.75% per annum, has a principal amount of $97,641,000 and a
repurchase price of $97,656,595, matures April 1, 1998 and is collateralized by
$50,000,000 of U.S. Treasury Bonds (bearing interest at the rate of 6.375% per
annum and maturing January 15, 1999) and $47,885,000 of U.S. Treasury Notes
(bearing interest at the rate of 6.25% per annum and maturing June 30, 1998),
which together have an approximate value of $99,682,597.
In addition, at March 31, 1998, the above-mentioned Portfolios had a 0.4%, 0.7%,
0.9% and 0.8%, respectively, undivided interest, representing $350,000,
$675,000, $860,000 and $745,000, respectively, in principal amount, in a joint
repo with Swiss Bank Corp., which is dated March 31, 1998, bears interest at a
rate of 5.90% per annum, has a principal amount of $99,645,000 and a repurchase
price of $99,661,331, matures April 1, 1998 and is collateralized by $99,160,000
of U.S. Treasury Bonds, which bear interest at a rate of 5.875% per annum,
mature November 15, 1999 and have an approximate value of $101,705,597.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
foreign currency contracts ("forward contracts") to attempt to protect
securities and related receivables and payables against changes in future
foreign exchange rates or to enhance return. A forward contract is an agreement
between two parties to buy or sell currency at a set price on a future date. The
market value of the contract will fluctuate with changes in currency exchange
rates. The contract is marked to market daily using the forward rate and the
change in market value is recorded by the Portfolio as unrealized gain or loss.
On settlement date, the Portfolio records either realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Risks may
arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
Forward contracts involve elements of risk in excess of the amounts reflected in
the Statement of Assets and Liabilities. The Trust bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
4. PORTFOLIO SECURITIES: The Trust intends to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable income, including any net realized gains on
investments, to its shareholders. Therefore, no federal tax provision is
required.
- ----------------
72
<PAGE>
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities, including short-term securities at March 31, 1998, were as follows:
<TABLE>
<CAPTION>
MULTI- MULTI-
MULTI- MANAGED MANAGED
MANAGED MODERATE INCOME/
GROWTH GROWTH EQUITY
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 29,856,314 $ 30,426,930 $ 24,256,123
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 3,554,293 $ 2,960,459 $ 1,667,071
Aggregate unrealized
(loss)........................... (167,313) (153,888) (64,344)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 3,386,980 $ 2,806,571 $ 1,602,727
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK*
------------- ------------- -------------
<S> <C> <C> <C>
Cost............................... $ 17,531,121 $ 47,831,779 $ 34,831,336
------------- ------------- -------------
------------- ------------- -------------
Aggregate unrealized
gain............................. $ 863,083 $ 3,872,944 $ 7,443,311
Aggregate unrealized
(loss)........................... (52,632) (513,201) (256,997)
------------- ------------- -------------
Unrealized gain (loss), net........ $ 810,451 $ 3,359,743 $ 7,186,314
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
*Post 10/31/97 Currency Loss Deferrals: Stock Portfolio $7,952
5. MANAGEMENT OF THE TRUST: The Trust, on behalf of each Portfolio, entered
into an Investment Advisory and Management Agreement (the "Management
Agreement") with SunAmerica to handle the Trust's day-to-day affairs, to provide
investment advisory services, office space, and other facilities for the
management of the affairs of the Trust, and to pay the compensation of certain
officers of the Trust who are affiliated persons of SunAmerica.
Pursuant to the Management Agreement entered into between the Adviser and the
Trust, on behalf of each Portfolio, each Portfolio pays the Adviser a fee,
payable monthly, computed daily at the annual rates of .89% of average daily net
assets ("Assets") for the Multi-Managed Growth Portfolio, .85% of Assets for the
Multi-Managed Moderate Growth Portfolio, .81% of Assets for the Multi-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.
As of March 31, 1998 the Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/ Equity, Multi-Managed Income, Asset Allocation:
Diversified Growth and Stock Portfolios had $23,646, $29,927, $36,590, $43,490,
$77,724 and $10,325, respectively of expenses previously waived or reimbursed by
SunAmerica that are subject to recoupment.
----------------
73
<PAGE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the period ended March 31, 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....................... $ 35,894,408 $ 33,135,912 $ 14,168,748
Sales of portfolio
securities....................... 13,873,382 12,617,018 4,454,319
U.S. government securities excluded
above were as follows:
Purchases of U.S. government
securities....................... 5,960,693 8,680,405 10,726,571
Sales of U.S. government
securities....................... 1,161,775 1,345,525 623,050
</TABLE>
<TABLE>
<CAPTION>
ASSET
MULTI- ALLOCATION:
MANAGED DIVERSIFIED
INCOME GROWTH STOCK
------------- ------------- -------------
<S> <C> <C> <C>
Purchases of portfolio
securities....................... $ 12,987,914 $ 57,436,026 $ 40,350,278
Sales of portfolio securities...... 2,802,873 18,795,159 9,163,643
U.S. government securities excluded
above were as follows:
Purchases of U.S. government
securities....................... 7,730,456 24,929,084 --
Sales of U.S. government
securities....................... 1,450,852 18,958,186 --
</TABLE>
- ----------------
74
<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
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
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
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
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
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
<CAPTION>
- ----------
----------------------------------------------------
RATIO OF NET
RATIO OF INVESTMENT AVERAGE
EXPENSES TO INCOME TO COMMISSION
PERIOD AVERAGE NET AVERAGE NET PORTFOLIO PER
ENDED ASSETS(5)(6) ASSETS(5)(6) TURNOVER SHARE(4)
- ----------
----------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
3/31/98 1.29% 1.52% 114% $.0493
Multi-Managed Moderate Growth Portfolio
4/15/97-
3/31/98 1.21 2.36 101 .0502
Multi-Managed Income/Equity Portfolio
4/15/97-
3/31/98 1.14 3.72 46 .0474
Multi-Managed Income Portfolio
4/15/97-
3/31/98 1.06 4.69 47 .0520
Asset Allocation: Diversified Growth Portfolio
4/15/97-
3/31/98 1.21 2.06 166 .0358
Stock Portfolio
4/15/97-
3/31/98 1.21 0.24 46 .0339
</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) The average commission per share is derived by dividing the agency
commissions paid on equity securities trades by the number of shares
purchased or sold.
(5) Annualized
(6) During the period April 15, 1997 (commencement of operations) through March
31, 1998, the investment adviser waived a portion of or all fees and assumed
a portion of or all expenses for the Portfolios. If all fees and expenses
had been incurred by the Portfolios, the ratio of expenses to average net
assets and the ratio of net investment income to average net assets would
have been as follows:
<TABLE>
<CAPTION>
EXPENSES (5) NET INVESTMENT INCOME (5)
------------ -------------------------
<S> <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 4.25
Asset Allocation: Diversified Growth Portfolio.... 1.53 1.74
Stock Portfolio................................... 1.26 0.19
</TABLE>
See Notes to Financial Statements
----------------
75
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of Seasons Series Trust
In our opinion, the accompanying statement of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Multi-Managed Growth Portfolio,
Multi-Managed Moderate Growth Portfolio, Multi-Managed Income/Equity Portfolio,
Multi-Managed Income Portfolio, Asset Allocation: Diversified Growth Portfolio,
and Stock Portfolio (constituting the six portfolios of Seasons Series Trust,
hereafter referred to as the "Trust") at March 31, 1998, and the results of each
of their operations, the changes in each of their net assets and the financial
highlights for the period April 15, 1997 (commencement of operations) through
March 31, 1998, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audit. We conducted our audit of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of securities at March
31, 1998 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provides a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York
May 12, 1998
- ----------------
76
<PAGE>
- ----------------
SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Seasons Series Trust is required to be
provided to the shareholders based upon each Portfolio's income and
distributions for the year ended March 31, 1998.
During the year ended March 31, 1998 the Portfolios paid the following dividends
per share along with the percentage of ordinary income dividends that qualified
for the 70% dividends received deduction for corporations:
<TABLE>
<CAPTION>
QUALIFYING %
NET FOR THE
NET SHORT-TERM 70% DIVIDENDS
TOTAL INVESTMENT CAPITAL RECEIVED
DIVIDENDS INCOME GAINS DEDUCTION
---------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Multi-Managed Growth Portfolio............................. $ .28 $ .08 $ .20 7.08%
Multi-Managed Moderate Growth Portfolio.................... .30 .13 .17 5.70
Multi-Managed Income/Equity Portfolio...................... .30 .20 .10 3.75
Multi-Managed Income Portfolio............................. .37 .27 .10 2.07
Asset Allocation: Diversified Growth Portfolio............. .28 .12 .16 22.96
Stock Portfolio............................................ .17 .02 .15 10.14
</TABLE>
----------------
77
<PAGE>
INDIVIDUAL PORTFOLIO REVIEWS
To help you better understand the investment management of your
SEASONS VARIABLE ANNUITY, we have included on the following pages
investment comments regarding the six investment portfolios of the
Seasons Series Trust, the underlying investments of your SEASONS
VARIABLE ANNUITY. Each SEASONS STRATEGY invests in a different
allocation of these underlying portfolios (not all portfolios are
included in each STRATEGY):
1. Multi-Managed Growth Portfolio
2. Multi-Managed Moderate Growth Portfolio
3. Multi-Managed Income/Equity Portfolio
4. Multi-Managed Income Portfolio
5. Asset Allocation: Diversified Growth Portfolio
6. Stock Portfolio
Asset allocations for each STRATEGY, as shown in your SEASONS
prospectus, represent a "neutral asset allocation mix"; actual
allocations may vary based on performance and the money managers'
evaluation of market conditions. For more information on the
composition of the SEASONS STRATEGIES as well as their underlying
portfolios, please refer to your SEASONS prospectus.
In the following pages, we have also included graphs that compare
the portfolio's performance with certain market indices. These
graphs show the hypothetical growth of a $10,000 investment in the
Seasons Series Trust portfolio versus the same $10,000 investment
in comparable market indices, from the portfolio's inception date
through March 31, 1998. Descriptions of these market indices are
provided next to the individual graphs.
PLEASE NOTE THAT THE GRAPHS AND TABLES THAT ACCOMPANY THE
FOLLOWING INVESTMENT COMMENTS SHOW THE PERFORMANCE OF THE
PORTFOLIOS AT THE SEASONS SERIES TRUST LEVEL AND INCLUDE ALL TRUST
EXPENSES, BUT NO INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE
VARIABLE ANNUITY AND NO CONTINGENT DEFERRED SALES CHARGE. ALL
DIVIDENDS ARE ASSUMED TO BE REINVESTED. NO EXPENSES ARE DEDUCTED
FROM THE PERFORMANCE OF THE INDICES.
- ----------------
78
<PAGE>
MULTI-MANAGED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BLENDED BENCHMARK INDEX S&P 500 INDEX LEHMAN BROTHERS AGGREGATE INDEX MULTI-MANAGED GROWTH PORTFOLIO
<S> <C> <C> <C> <C>
4/15/97 $10,000 $10,000 $ 10,000 $ 10,000
4/97 $10,357 $10,618 $ 10,106 $ 10,180
5/97 $10,937 $11,265 $ 10,203 $ 10,800
6/97 $11,317 $11,769 $ 10,324 $ 10,990
7/97 $11,965 $12,706 $ 10,603 $ 11,880
8/97 $11,650 $11,995 $ 10,513 $ 11,530
9/97 $12,193 $12,652 $ 10,667 $ 12,100
10/97 $11,927 $12,229 $ 10,821 $ 11,830
11/97 $12,209 $12,796 $ 10,871 $ 11,870
12/97 $12,393 $13,016 $ 10,981 $ 11,947
1/98 $12,468 $13,160 $ 11,121 $ 12,059
2/98 $13,109 $14,109 $ 11,112 $ 12,684
3/98 $13,573 $14,837 $ 11,150 $ 13,155
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Multi-Managed Growth Portfolio 31.55%
- ------------------------------------
</TABLE>
*Not annualized
The Blended Benchmark Index consists of 51% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 27% Lehman Brothers Aggregate Index, 20% Russell
2000 Index, and 2% Treasury Bills. The S&P 500 Index tracks the performance of
500 stocks representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. The Lehman Brothers Aggregate Index
provides a broad view of the performance of the U.S. fixed income market. The
Russell 2000 Index comprises the smallest 2000 companies in the Russell 3000
Index and is widely recognized as representative of small-cap growth stocks.
Treasury bills are short-term securities with maturities of one year or less
issued by the U.S. government.
PERFORMANCE REVIEW
The portfolio returned 31.55% from its inception date of April 15, 1997 through
March 31, 1998, versus a return of 35.73% for its blended benchmark index and a
return of 48.37% for the broad-based S&P 500 Index.
With large-cap growth stocks leading the market, the Growth component made the
most significant contribution to portfolio performance. Growth stocks in the
high-technology and pharmaceutical sectors, including MICROSOFT, DELL COMPUTER,
PARAMETRIC TECHNOLOGY, AOL, WARNER-LAMBERT, PFIZER, and MONSANTO were some of
the big winners. Stocks that disappointed included ELI LILLY, which had a
slower-than-expected start with a new hormone-replacement drug, and several oil
services companies, an industry that was hurt by low demand in Asia and
conflicts over production at the Organization of Petroleum Exporting Countries
(OPEC).
Like the Growth component, the Aggressive Growth component benefited from the
strong performance of technology stocks. Over the last several months,
SunAmerica Asset Management, which manages the Aggressive Growth component,
increased its exposure to the technology and telecommunications sectors. This
move boosted performance and took advantage of such positive trends as
deregulation in the telecommunications area and the explosive growth in Internet
usage.
As U.S. equities broke new highs, the bond market also surged. Benign inflation,
slow economic growth, and low unemployment all helped to support bond prices. In
this environment, SunAmerica Asset Management and Wellington Management, the
Balanced and Fixed Income component managers respectively, focused on corporate
and mortgage-backed bonds of longer maturity and DURATION (a measure of a bond's
price sensitivity to interest rate changes). With declining interest rates,
these longer-term bonds made significant gains in price.
----------------
79
<PAGE>
MULTI-MANAGED MODERATE GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth, with capital preservation as a secondary objective
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BLENDED BENCHMARK INDEX S&P 500 INDEX LEHMAN BROTHERS AGGREGATE INDEX
<S> <C> <C> <C>
4/15/97 $ 10,000 $10,000 $ 10,000
4/97 $ 10,291 $10,618 $ 10,106
5/97 $ 10,777 $11,265 $ 10,203
6/97 $ 11,099 $11,769 $ 10,324
7/97 $ 11,654 $12,706 $ 10,603
8/97 $ 11,412 $11,995 $ 10,513
9/97 $ 11,871 $12,652 $ 10,667
10/97 $ 11,701 $12,229 $ 10,821
11/97 $ 11,916 $12,796 $ 10,871
12/97 $ 12,083 $13,016 $ 10,981
1/98 $ 12,166 $13,160 $ 11,121
2/98 $ 12,657 $14,109 $ 11,112
3/98 $ 13,016 $14,837 $ 11,150
<CAPTION>
MULTI-MANAGED MODERATE GROWTH PORTFOLIO
<S> <C>
4/15/97 $ 10,000
4/97 $ 10,160
5/97 $ 10,700
6/97 $ 10,890
7/97 $ 11,620
8/97 $ 11,330
9/97 $ 11,830
10/97 $ 11,610
11/97 $ 11,650
12/97 $ 11,753
1/98 $ 11,845
2/98 $ 12,317
3/98 $ 12,686
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Multi-Managed Moderate Growth
Portfolio 26.86%
- ------------------------------------
</TABLE>
*Not annualized
The Blended Benchmark Index consists of 37.9% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 42.3% Lehman Brothers Aggregate Index, 18.0%
Russell 2000 Index, and 1.8% Treasury Bills. The S&P 500 Index tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States. The Lehman Brothers
Aggregate Index provides a broad view of the performance of the U.S. fixed
income market. The Russell 2000 Index comprises the smallest 2000 companies in
the Russell 3000 Index and is widely recognized as representative of small-cap
growth stocks. Treasury bills are short-term securities with maturities of one
year or less issued by the U.S. government.
PERFORMANCE REVIEW
The portfolio gained 26.86% from April 15, 1997 through March 31, 1998, while
its blended benchmark index generated a return of 30.16% and the broad-based S&P
500 Index returned 48.37%. With the majority of the portfolio's assets in the
Growth, Balanced and Fixed Income components, the portfolio benefited from the
strong performance of these sectors.
In both the Aggressive Growth and Growth components, technology stocks helped to
drive performance. Some of the big high-tech names that contributed to the
portfolio's solid returns included MICROSOFT, DELL COMPUTER and AOL, all of
which topped analysts' estimates and continued to dominate their industries.
Other sectors that performed well included the pharmaceutical and financial
industries. One factor that weakened performance was the Aggressive Growth
component's defensive positioning in late 1997, a move made in response to
concerns regarding the Asian financial crisis. When equities rebounded strongly
in early 1998, the component was not able to take full advantage of the market
rally.
Among Balanced and Fixed Income issues, the focus was on corporate profits and
interest rates. SunAmerica Asset Management, the Balanced component manager,
looked for companies with consistent double-digit earnings growth. The component
remained overweight in the financial, pharmaceutical, and technology sectors,
where corporate profits and earnings growth were strong. Meanwhile, in the Fixed
Income component, manager Wellington Management took an optimistic interest rate
stance and favored bonds of longer maturities. This strategy rewarded investors
as interest rates fell throughout the period.
- ----------------
80
<PAGE>
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital preservation, while maintaining some potential for long- term growth
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BLENDED BENCHMARK INDEX S&P 500 INDEX LEHMAN BROTHERS AGGREGATE INDEX
<S> <C> <C> <C>
4/15/97 $ 10,000 $10,000 $ 10,000
4/97 $ 10,275 $10,618 $ 10,106
5/97 $ 10,548 $11,265 $ 10,203
6/97 $ 10,787 $11,769 $ 10,324
7/97 $ 11,261 $12,706 $ 10,603
8/97 $ 10,991 $11,995 $ 10,513
9/97 $ 11,295 $12,652 $ 10,667
10/97 $ 11,275 $12,229 $ 10,821
11/97 $ 11,484 $12,796 $ 10,871
12/97 $ 11,625 $13,016 $ 10,981
1/98 $ 11,765 $13,160 $ 11,121
2/98 $ 12,044 $14,109 $ 11,112
3/98 $ 12,277 $14,837 $ 11,150
<CAPTION>
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
<S> <C>
4/15/97 $ 10,000
4/97 $ 10,180
5/97 $ 10,410
6/97 $ 10,590
7/97 $ 11,170
8/97 $ 10,920
9/97 $ 11,200
10/97 $ 11,220
11/97 $ 11,300
12/97 $ 11,411
1/98 $ 11,606
2/98 $ 11,884
3/98 $ 12,110
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Multi-Managed Income/Equity
Portfolio 21.10%
- ------------------------------------
</TABLE>
*Not annualized
The Blended Benchmark Index consists of 33.4% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 63.8% Lehman Brothers Aggregate Index, and 2.8%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
The portfolio achieved competitive results from April 15, 1997 through March 31,
1998, with a return of 21.10%. In comparison, the blended benchmark index
returned 22.77%, the S&P 500 Index returned 48.37%, and the Lehman Brothers
Aggregate Index gained 11.50%.
With an emphasis on bonds over equities, the portfolio benefited from declining
interest rates, benign inflation, and a slowing economy. In the Balanced
component, portfolio manager SunAmerica Asset Management increased its exposure
to the pharmaceutical and technology sectors, a move that contributed positively
to performance. Other sectors that performed competitively were the housing,
airline and financial industries. Looking forward, SunAmerica plans to increase
its holdings of cyclical companies, particularly those in the energy and oil
service sectors. The manager believes that these companies represent good value,
especially since their stock prices have already been discounted to reflect a
worst-case scenario.
In both the Balanced and Fixed Income components, the portfolio management team
favored long-term bonds over those of shorter maturity. Based on the inverse
relationship between bond prices and interest rates, these longer-term bonds
benefited greatly when interest rates fell. On the down side, both components
had a relatively small exposure to high-yield bonds, one of the best performing
sectors in the bond market.
----------------
81
<PAGE>
MULTI-MANAGED INCOME PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital preservation
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BLENDED BENCHMARK INDEX S&P 500 INDEX LEHMAN BROTHERS AGGREGATE INDEX MULTI-MANAGED INCOME PORTFOLIO
<S> <C> <C> <C> <C>
4/15/97 $ 10,000 $10,000 $ 10,000 $ 10,000
4/97 $ 10,193 $10,618 $ 10,106 $ 10,160
5/97 $ 10,381 $11,265 $ 10,203 $ 10,340
6/97 $ 10,563 $11,769 $ 10,324 $ 10,510
7/97 $ 10,940 $12,706 $ 10,603 $ 10,940
8/97 $ 10,759 $11,995 $ 10,513 $ 10,760
9/97 $ 10,989 $12,652 $ 10,667 $ 10,980
10/97 $ 11,056 $12,229 $ 10,821 $ 11,060
11/97 $ 11,186 $12,796 $ 10,871 $ 11,120
12/97 $ 11,312 $13,016 $ 10,981 $ 11,236
1/98 $ 11,452 $13,160 $ 11,121 $ 11,422
2/98 $ 11,589 $14,109 $ 11,112 $ 11,557
3/98 $ 11,724 $14,837 $ 11,150 $ 11,681
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Multi-Managed Income Portfolio 16.81%
- ------------------------------------
</TABLE>
*Not annualized
The Blended Benchmark Index consists of 17.35% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 80.95% Lehman Brothers Aggregate Index, and 1.70%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
From April 15, 1997 through March 31, 1998, the portfolio returned 16.81%,
versus 17.24% for its blended benchmark index. In comparison, the Lehman
Brothers Aggregate Index gained 11.50% for the period. With over 75% of the
portfolio's assets in bonds, the Fixed Income component was the driving force
behind portfolio performance.
Since inception, the Fixed Income component has produced above-average returns.
The component has been aided by its optimistic interest rate stance, as rates
have fallen, and by a careful use of corporate and mortgage-backed bonds. As of
March 31, 1998, corporate bonds represented approximately 23% of the component,
while mortgages represented 16%. Wellington Management, the manager of the Fixed
Income component, added to both bond sectors, concentrating on issuers that have
fallen out of favor with Wall Street but still retain strong balance sheets. The
manager also focused on investment-grade issues, with high-yield bonds making up
only 5% of the component. Wellington Management maintained a modest position in
non-U.S. dollar denominated bonds. Although they only account for approximately
4% of the component, these holdings were very beneficial.
Likewise, while the Balanced and Growth components represent only about 25% of
the portfolio's assets, they contributed significantly to the positive,
double-digit performance of the portfolio.
- ----------------
82
<PAGE>
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital appreciation
PORTFOLIO MANAGER: Putnam Investment Management, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BLENDED BENCHMARK INDEX S&P 500 INDEX LEHMAN BROTHERS AGGREGATE INDEX
<S> <C> <C> <C>
4/15/97 $ 10,000 $10,000 $ 10,000
4/97 $ 10,470 $10,618 $ 10,106
5/97 $ 11,009 $11,265 $ 10,203
6/97 $ 11,453 $11,769 $ 10,324
7/97 $ 12,100 $12,706 $ 10,603
8/97 $ 11,492 $11,995 $ 10,513
9/97 $ 12,033 $12,652 $ 10,667
10/97 $ 11,642 $12,229 $ 10,821
11/97 $ 11,953 $12,796 $ 10,871
12/97 $ 12,122 $13,016 $ 10,981
1/98 $ 12,346 $13,160 $ 11,121
2/98 $ 13,037 $14,109 $ 11,112
3/98 $ 13,527 $14,837 $ 11,150
<CAPTION>
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
<S> <C>
4/15/97 $ 10,000
4/97 $ 10,180
5/97 $ 10,620
6/97 $ 10,900
7/97 $ 11,400
8/97 $ 11,030
9/97 $ 11,610
10/97 $ 11,100
11/97 $ 11,240
12/97 $ 11,240
1/98 $ 11,065
2/98 $ 11,609
3/98 $ 12,009
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Asset Allocation:
Diversifed Growth Portfolio 20.09%
- ------------------------------------
</TABLE>
*Not annualized
The Blended Benchmark Index consists of 60% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 20% Lehman Brothers Aggregate Index, and 20% Morgan
Stanley Capital International Europe, Australia and Far East (MSCI EAFE) Index.
The S&P 500 Index tracks the performance of 500 stocks representing a sampling
of the largest foreign and domestic stocks traded publicly in the United States.
The Lehman Brothers Aggregate Index provides a broad view of the performance of
the U.S. fixed income market. The MSCI EAFE Index represents the foreign stocks
of 19 countries in Europe, Australia and the Far East.
PERFORMANCE REVIEW
The portfolio returned 20.09% from April 15, 1997 through March 31, 1998, versus
the 35.27% return of its blended benchmark index. The portfolio lagged its
benchmark primarily because of the performance of its U.S. stock component. Over
the period, Putnam focused on large-cap VALUE stocks, which did not perform as
well as large-cap GROWTH stocks. The portfolio's U.S. stock market component
returned a solid 25.27%, while the broad-based S&P 500 Index returned 48.37% for
the period.
The rest of the portfolio's components met or exceeded expectations. The U.S.
fixed-income component returned 11.01%, performing in line with the broad U.S.
bond market. The international equity component returned 24.24%, outperforming
the MSCI EAFE Index of international stocks. Putnam's decision to favor European
stocks over the Japanese equity market contributed significantly to the strong
performance of the international component. Currency hedging during this period
of weakening foreign currencies also boosted performance.
With the U.S. stock market's exceptional performance in recent months,
valuations have grown increasingly expensive. Looking forward, Putnam
anticipates reducing U.S. equity levels in favor of more attractive European
stocks, such as those in France, Italy, and Spain. Meanwhile, Putnam will
continue to underweight Japanese equities which remain troubled by a stagnant
economy.
In terms of fixed income, the 1997 bond rally moderated during the first quarter
of 1998. The Lehman Brothers Aggregate Index rose 1.56% during the period and
the 30-Year U.S. Treasury Bond has been range-bound with interest rates around
5.9%. However, with benign inflation rates, slow economic growth, and low
unemployment, Putnam believes interest rates will remain stable to declining, a
positive trend for bonds in general.
----------------
83
<PAGE>
STOCK PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term capital appreciation with secondary goal to increase dividend income
through investments in growth-oriented companies
PORTFOLIO MANAGER: T. Rowe Price Associates, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P 500 INDEX STOCK PORTFOLIO
<S> <C> <C>
4/15/97 $10,000 $ 10,000
4/97 $10,618 $ 10,440
5/97 $11,265 $ 11,160
6/97 $11,769 $ 11,700
7/97 $12,706 $ 12,510
8/97 $11,995 $ 11,870
9/97 $12,652 $ 12,540
10/97 $12,229 $ 12,170
11/97 $12,796 $ 12,620
12/97 $13,016 $ 12,893
1/98 $13,160 $ 13,126
2/98 $14,109 $ 14,190
3/98 $14,837 $ 14,859
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------
TOTAL RETURN -- SINCE INCEPTION (4/15/97)
THROUGH 3/31/98*
- ------------------------------------
<S> <C>
Stock Portfolio 48.59%
- ------------------------------------
</TABLE>
*Not annualized
The Standard & Poor's Composite Index of 500 Stocks (S&P 500 Index) tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States.
PERFORMANCE REVIEW
The portfolio achieved a strong 48.59% gain from April 15, 1997 through March
31, 1998, slightly exceeding the performance of the benchmark S&P 500 Index,
which returned 48.37%.
Although the large majority of its assets are in U.S. equities, the portfolio
generally maintains some exposure to international stocks. Over the period ended
March 31, 1998, the portfolio's performance benefited from the strong showing of
its European holdings, its overweighting in healthcare services and hospital
management companies, an underweighting in oil and utilities, and from exposure
to several large industrial shares. Among the European stocks that drove
performance were VODAFONE GROUP, BANCA FIDEURAM, and RENTOKIL INITIAL. Capital
goods stocks GE, DANAHER, and TYCO INTERNATIONAL also made positive
contributions. In the fourth quarter of 1997, T. Rowe Price added NOKIA, a stock
that rewarded investors during the first quarter of this year. There were also
some disappointments in the portfolio. COMPAQ COMPUTER was plagued by inventory
problems, PHILIP MORRIS slipped due to unresolved tobacco settlement discussions
in Washington, and SECURITY CAPITAL U.S., a real estate investment trust, was
negatively impacted by proposed tax law changes.
During the most recent quarter, T. Rowe Price shifted some assets out of
computer stocks into the telecommunications sector, where it feels there is more
potential. In addition, the manager took advantage of the opportunity to take
profits in select European holdings and redeploy the assets to Latin America.
- ----------------
84
