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SEASONS SERIES TRUST
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SEMIANNUAL REPORT
SEPTEMBER 30, 1999
[LOGO]
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DEAR INVESTOR:
We are pleased to present the semiannual report for the Seasons Series Trust,
the underlying investment for your SEASONS SELECT VARIABLE ANNUITY issued by
Anchor National Life Insurance Company. The report covers the six months from
March 31, 1999 to September 30, 1999 -- a period that saw U.S. equities reach
record highs before declining for little gain.
In order to help you better understand the environment in which your SEASONS
SELECT investment performed, enclosed is a recap of the global, U.S. equity and
U.S. fixed income markets for the six-month period. Also included are six-month
outlooks provided by seven of SEASONS SELECT'S world-class money managers:
Putnam Investment Management, Inc., T. Rowe Price Associates, Inc., Janus
Capital Corporation, SunAmerica Asset Management Corp., Wellington Management
Company, LLP, Goldman Sachs Asset Management, and Lord, Abbett & Co.
GLOBAL MARKET OVERVIEW
The global economy saw general signs of growth acceleration during the six
months ended September 30, 1999, although investors were increasingly concerned
that central banks would raise interest rates to ward off inflation. Japan's
emerging economic recovery and a vigorous rebound in much of the rest of Asia
made these markets the star performers for the period. U.S. dollar weakness in
the latter half of the period enhanced the returns of dollar-based investors in
international equities.
Outlook from Putnam Investment Management
"WE EXPECT MODERATE, STEADY GROWTH FOR THE U.S. ECONOMY IN THE MONTHS AHEAD.
OVERSEAS, FASTER ECONOMIC GROWTH IN CONTINENTAL EUROPE AND EAST ASIA IS
IMPROVING THE EQUITY INVESTMENT CLIMATE IN THOSE REGIONS AND CREATING
ATTRACTIVE OPPORTUNITIES AMONG SELECT ISSUES. WE ARE NOT POSITIVE ON THE
UNITED KINGDOM IN THE SHORT TERM DUE TO THAT MARKET'S SHARPLY RISING INTEREST
RATES AND GENERALLY HIGH VALUATIONS."
Outlook from Lord, Abbett & Co.
"ONGOING CORPORATE RESTRUCTURING IN GERMANY AND FRANCE SHOULD BOLSTER
CONFIDENCE IN THE EUROPEAN ECONOMY AND HELP EXPAND PROFIT MARGINS. WE EXPECT A
MODERATE INCREASE IN THE EURO'S VALUE, WHICH SHOULD THEN FILTER THROUGH INTO
CORPORATE EARNINGS AND IMPROVED MARGINS ON EXPORTS. WE WILL CONTINUE TO
MONITOR ECONOMIC DEVELOPMENTS IN JAPAN, AS WE FEEL THAT COUNTRY'S FULL
ECONOMIC RECOVERY HINGES LARGELY ON GOVERNMENT SPENDING."
U.S. EQUITY MARKET OVERVIEW
During the semiannual period, the U.S. economy continued its longest peacetime
expansion in history. Although consumer-price inflation remained virtually
nonexistent, in two separate pre-emptive strikes against higher prices the
Federal Reserve increased short-term interest rates, nearly reversing last
year's cumulative 0.75% easing.
In the markets, robust corporate profits and signs of a recovery in Asia drove
U.S. equities to all-time highs in midsummer, but by the end of September they
had retreated in the face of rising interest rates, with the S&P 500 returning a
scant 0.3% for the entire six months. The stock market experienced a rotation
and broadening in leadership early in the period as value and smaller-
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capitalization issues bested large-cap growth stocks for the first time in
years. By the period's end, however, leadership had once again narrowed to the
best-known large-cap growth names.
Outlook from SunAmerica Asset Management Corp.
"WE CONTINUE TO BELIEVE THAT WE ARE IN A MODEST GROWTH, LOW INFLATION PERIOD.
AS WE ENTER THE NINTH YEAR OF THIS ECONOMIC EXPANSION INFLATION SHOULD REMAIN
BENIGN, AND THE TORRID PACE OF THE DOMESTIC ECONOMY WILL SLOW OVER THE COMING
MONTHS. VOLATILITY IN THE MARKETS WILL CONTINUE, HOWEVER, AS THE TUG OF WAR
BETWEEN INFLATIONARY FEARS AND SLOWER GROWTH PERSISTS."
Outlook from Janus Capital Corporation
"LOOKING FORWARD, WE ARE SOMEWHAT CONCERNED ABOUT THE CONTINUED PACE OF
ECONOMIC GROWTH IN THE U.S. AND THE RECENT INCREASES IN LONG-TERM INTEREST
RATES THAT HAVE ACCOMPANIED IT. WE CONTINUE TO SEE EXCITING OPPORTUNITIES IN
SUCH RAPIDLY GROWING AREAS OF THE ECONOMY AS CELLULAR COMMUNICATIONS, CABLE,
MEDIA AND MEDICAL TECHNOLOGY."
Outlook from T. Rowe Price Associates, Inc.
"U.S. ECONOMIC GROWTH REMAINS STRONG BUT COULD DECELERATE OVER THE NEXT SIX
MONTHS AS A RESULT OF HIGHER MORTGAGE AND LENDING RATES. NEVERTHELESS, RECENT
OIL AND GOLD PRICE INCREASES COULD CONTINUE TO SPARK INFLATION FEARS AND PUSH
INTEREST RATES MODESTLY HIGHER. AS YEAR-END APPROACHES, THERE MAY BE
ADDITIONAL VOLATILITY IN THE FINANCIAL MARKETS."
U.S. FIXED INCOME MARKET OVERVIEW
When interest rates rise, bond market prices decline. In addition to the June
30th increase in short-term interest rates, the Federal Reserve raised interest
rates by an additional 25 basis points on August 24th. This shift toward more
restrictive monetary conditions biased all interest rates upward. Thus, the past
six months provided a difficult environment for fixed income investments.
Outlook from Wellington Management Company
"WE BELIEVE THAT THE ECONOMIC BACKDROP WILL REMAIN FAVORABLE IN THE U.S.
ACCELERATING GLOBAL GROWTH WILL BENEFIT THE TOP LINE OF MANY U.S. COMPANIES.
CONTINUED LOW INFLATION WILL LIMIT THE EXTENT OF FUTURE FEDERAL RESERVE RATE
HIKES TO 50 BASIS POINTS--A GOOD PORTION OF WHICH HAS ALREADY BEEN DISCOUNTED
BY THE MARKET."
Outlook from Goldman Sachs Asset Management
"WE DO NOT BELIEVE THE GROWTH IN GLOBAL GDP IS IN DANGER OF ACCELERATING TOO
MUCH FOR THE SAFETY OF THE FINANCIAL MARKETS. A COMBINATION OF Y2K-RELATED
PROBLEMS IS LIKELY TO REDUCE GROWTH MOMENTUM IN DEVELOPED ECONOMIES NEXT YEAR,
AND THERE IS SUFFICIENT EXCESS CAPACITY IN THE WORLD TO PREVENT ANY RISE IN
UNDERLYING GLOBAL INFLATION. FOR THESE REASONS, WE DO NOT FORESEE A RISE IN
U.S. INFLATION SIGNIFICANT ENOUGH TO BRING THE PRESENT CYCLE TO AN END."
As a SEASONS SELECT VARIABLE ANNUITY investor, you have the opportunity to
take advantage of the combined experience of our highly regarded money managers.
With the ups-and-downs of the markets, it is reassuring to remember that the
SEASONS SELECT VARIABLE ANNUITY provides a layer of automatic money manager
diversification that can help reduce risk and potentially produce more
consistent returns.
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Finally, we want to thank you for choosing SEASONS SELECT to help build your
Personal Retirement Portfolio. We appreciate the confidence you have placed in
your money managers and in the SEASONS SELECT VARIABLE ANNUITY, and look forward
to our continuing relationship with you.
Sincerely,
[ELI BROAD SIGNATURE]
Eli Broad
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
ANCHOR NATIONAL LIFE INSURANCE COMPANY
November 18, 1999
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Investments in stocks and bonds are subject to risk, including stock market and
interest rate fluctuations. Investments in non-U.S. stocks and bonds are subject
to additional risks, including currency fluctuations, political and social
instability, differing securities regulations and accounting standards, and
limited public information. High-yield bonds tend to be subject to greater price
swings than higher-rated bonds and, of course, payment of interest and principal
is not assured. Investments in securities related to gold and other precious
metals and minerals are considered speculative and are impacted by a host of
worldwide economic, financial and political factors. Mortgage-backed securities
are subject to prepayment, which can result in reinvestment of principal at
lower yields. Money market instruments generally offer stability and income, but
an investment in these securities is not guaranteed by the U.S. government or
any other entity.
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 69.7%
SHARES VALUE
<S> <C> <C>
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CONSUMER DISCRETIONARY -- 7.0%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .............................................. 13,000 $ 80,438
AUTOMOTIVE -- 0.2%
Ford Motor Co. ............................................. 1,400 70,262
General Motors Corp. ....................................... 1,000 62,938
RETAIL -- 6.7%
Abercrombie & Fitch Co.+ ................................... 6,400 218,000
Amazon.com, Inc.+ .......................................... 23,650 1,886,087
Beyond.com Corp.+ .......................................... 3,600 44,100
Costco Wholesale Corp.+ .................................... 3,510 252,720
Dayton Hudson Corp. ........................................ 1,700 102,106
eBay, Inc.+ ................................................ 3,220 454,221
Gap, Inc. .................................................. 8,400 268,800
Home Depot, Inc. ........................................... 8,810 604,586
Sotheby's Holdings, Inc., Class A+ ......................... 3,400 87,763
Stamps.com, Inc. ........................................... 2,600 90,350
Staples, Inc.+ ............................................. 20,002 436,294
Sunglass Hut International, Inc.+ .......................... 14,200 149,987
Talbots, Inc. .............................................. 5,300 238,169
Ticketmaster Online-Citysearch, Inc., Class B+ ............. 4,500 108,844
Wal-Mart Stores, Inc. ...................................... 2,000 95,125
-----------
5,250,790
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CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.0%
Philip Morris Cos., Inc. ................................... 1,100 37,606
HOUSEHOLD PRODUCTS -- 0.2%
Yankee Candle Co., Inc.+ ................................... 6,200 119,738
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157,344
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ENERGY -- 5.0%
ENERGY SERVICES -- 2.1%
Baker Hughes, Inc. ......................................... 2,500 72,500
BJ Services Co.+ ........................................... 11,300 359,481
Global Marine, Inc.+ ....................................... 5,500 90,406
Halliburton Co. ............................................ 3,200 131,200
Offshore Logistics, Inc.+ .................................. 8,700 89,719
Precision Drilling Corp.+ .................................. 8,900 206,369
Schlumberger Ltd. .......................................... 3,100 193,169
Transocean Offshore, Inc. .................................. 5,000 153,125
Weatherford International, Inc.+ ........................... 7,800 249,600
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COMMON STOCK (CONTINUED)
SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SOURCES -- 2.9%
Chevron Corp. .............................................. 1,200 $ 106,500
Diamond Offshore Drilling, Inc. ............................ 4,500 150,188
Enron Corp. ................................................ 31,625 1,304,531
Exxon Corp. ................................................ 800 60,750
Mobil Corp. ................................................ 1,500 151,125
Royal Dutch Petroleum Co. GDR .............................. 2,000 118,125
Smith International, Inc.+ ................................. 6,400 259,200
-----------
3,695,988
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FINANCE -- 3.9%
BANKS -- 1.6%
Bank of America Corp. ...................................... 1,500 83,531
Bank of New York Co., Inc. ................................. 2,000 66,875
Chase Manhattan Corp. ...................................... 1,600 120,600
Fifth Third Bancorp ........................................ 4,020 244,592
First Union Corp. .......................................... 650 23,116
Firstar Corp. .............................................. 16,136 413,485
Hamilton Bancorp, Inc.+ .................................... 1,600 34,000
Mellon Bank Corp. .......................................... 3,000 101,250
Summit Bancorp. ............................................ 1,350 43,790
Telebanc Financial Corp.+ .................................. 2,160 49,680
FINANCIAL SERVICES -- 2.3%
American Express Co. ....................................... 6,195 834,002
Capital One Financial Corp. ................................ 3,600 140,400
Citigroup, Inc. ............................................ 2,250 99,000
E*TRADE Group, Inc.+ ....................................... 6,505 152,868
Fannie Mae ................................................. 1,000 62,688
Merrill Lynch & Co., Inc. .................................. 1,500 100,781
Morgan Stanley, Dean Witter & Co. .......................... 3,000 267,562
Paine Webber Group, Inc. ................................... 900 32,625
Raymond James Financial, Inc. .............................. 1,300 25,919
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2,896,764
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HEALTHCARE -- 6.4%
DRUGS -- 1.7%
Abbott Laboratories, Inc. .................................. 1,000 36,750
Alkermes, Inc.+ ............................................ 6,100 175,756
Amgen, Inc.+ ............................................... 1,000 81,500
Biogen, Inc.+ .............................................. 2,000 157,625
Centocor, Inc.+ ............................................ 2,600 152,262
Cephalon, Inc.+ ............................................ 9,800 176,094
Merck & Co., Inc. .......................................... 1,200 77,775
Millenium Pharmaceuticals, Inc.+ ........................... 2,200 143,000
Pfizer, Inc. ............................................... 3,000 107,813
Warner-Lambert Co. ......................................... 2,000 132,750
HEALTH SERVICES -- 0.3%
Bally Total Fitness Holding Corp.+ ......................... 6,400 195,600
Genzyme Corp.--Surgical Products+ .......................... 268 1,508
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Sunrise Assisted Living, Inc.+ ............................. 2,500 $ 66,406
MEDICAL PRODUCTS -- 4.4%
Affymetrix, Inc.+ .......................................... 1,700 167,344
Genzyme Corp.+ ............................................. 2,500 112,656
Johnson & Johnson Co. ...................................... 1,600 147,000
MedImmune, Inc.+ ........................................... 1,600 159,450
Medtronic, Inc. ............................................ 25,624 909,652
MiniMed, Inc.+ ............................................. 4,520 444,090
Myriad Genetics, Inc.+ ..................................... 5,400 91,800
Nanogen, Inc.+ ............................................. 4,500 32,625
PE Corp.-PE Biosystems Group ............................... 2,365 170,871
QLT PhotoTherapeutics, Inc.+ ............................... 2,000 152,875
Schering-Plough Corp. ...................................... 20,780 906,527
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4,799,729
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INDUSTRIAL & COMMERCIAL -- 4.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Heico Corp., Class A ....................................... 8,200 157,850
BUSINESS SERVICES -- 1.7%
Amdocs Ltd.+ ............................................... 2,900 60,900
DSET Corp.+ ................................................ 9,100 133,656
Exodus Communications, Inc.+ ............................... 5,065 364,997
Global Industries Ltd.+ .................................... 2,700 21,938
Invitrogen Corp.+ .......................................... 1,500 50,438
Kroll O'Gara Co. ........................................... 5,500 91,781
Mobile Mini, Inc.+ ......................................... 7,000 153,125
Paychex, Inc. .............................................. 2,400 81,900
PSInet, Inc.+ .............................................. 5,235 188,296
RCM Technologies, Inc.+ .................................... 3,100 33,325
Sylvan Learning Systems, Inc.+ ............................. 3,500 67,812
MACHINERY -- 0.1%
United Technologies Corp. .................................. 900 53,381
MULTI-INDUSTRY -- 2.6%
Mannesmann AG+ ............................................. 4,048 646,091
Tyco International Ltd. .................................... 12,495 1,290,109
TRANSPORTATION -- 0.1%
Oshkosh Truck Corp. ........................................ 3,000 79,875
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3,475,474
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INFORMATION & ENTERTAINMENT -- 7.6%
BROADCASTING & MEDIA -- 6.8%
Cablevision Systems Corp., Class A+ ........................ 8,705 633,289
CBS Corp.+ ................................................. 1,500 69,375
Cinar Corp., Class B+ ...................................... 4,400 133,100
Clear Channel Communications, Inc.+ ........................ 5,688 454,329
Cox Communications, Inc., Class A+ ......................... 10,520 439,210
DoubleClick, Inc.+@ ........................................ 5,900 702,837
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Infinity Broadcasting Corp., Class A+ ...................... 1,120 $ 32,830
Lamar Advertising Co.+ ..................................... 2,955 146,273
Liberty Digital, Inc., Class A+ ............................ 1,990 46,392
MediaOne Group, Inc.+ ...................................... 2,000 136,625
Outdoor Systems, Inc.+ ..................................... 6,425 229,694
Proxim, Inc.+ .............................................. 3,000 138,000
Time Warner, Inc. .......................................... 21,608 1,312,686
USA Networks, Inc.+ ........................................ 2,000 77,500
ValueVision International, Inc., Class A+ .................. 4,000 104,000
VoiceStream Wireless Corp. ................................. 4,415 272,488
Ziff-Davis, Inc.+ .......................................... 9,800 158,025
ENTERTAINMENT PRODUCTS -- 0.1% .............................
Mattel, Inc. ............................................... 2,660 50,540
LEISURE & TOURISM -- 0.7%
Carnival Corp., Class A .................................... 1,240 53,940
McDonald's Corp. ........................................... 1,600 68,800
Outback Steakhouse, Inc.+ .................................. 9,075 231,129
Royal Caribbean Cruises Ltd. ............................... 3,500 157,500
Steiner Leisure Ltd.+ ...................................... 600 15,000
-----------
5,663,562
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INFORMATION TECHNOLOGY -- 31.2%
COMMUNICATION EQUIPMENT -- 4.3%
Clarent Corp.+ ............................................. 1,900 96,781
IXnet, Inc.+ ............................................... 6,800 102,850
Lucent Technologies, Inc. .................................. 3,200 207,600
Nokia Corp., Class A ADR ................................... 24,800 2,227,350
Redback Networks, Inc.+ .................................... 900 97,200
Rhythms Netconnections, Inc.+ .............................. 2,600 89,700
UnitedGlobal.com, Class A+ ................................. 5,285 378,538
COMPUTERS & BUSINESS EQUIPMENT -- 4.5%
Cisco Systems, Inc.+ ....................................... 17,535 1,202,243
Dell Computer Corp.+ ....................................... 4,000 167,250
EMC Corp.+ ................................................. 16,565 1,183,362
Hewlett-Packard Co. ........................................ 300 27,600
Honeywell, Inc. ............................................ 400 44,525
International Business Machines Corp. ...................... 3,000 364,125
Micron Technology, Inc.+ ................................... 2,000 133,125
Network Appliance, Inc. + .................................. 2,900 207,713
ELECTRONICS -- 6.1%
Applied Materials, Inc.+ ................................... 8,245 642,079
ASM Lithography Holdings NV+ ............................... 6,465 433,559
Conexant Systems, Inc.+ .................................... 6,770 491,883
General Electric Co. ....................................... 3,500 414,969
Intel Corp. ................................................ 4,000 297,250
Kulicke & Soffa Industries, Inc.+ .......................... 4,700 114,269
Lattice Semiconductor Corp.+ ............................... 5,800 172,188
Linear Technology Corp. .................................... 2,500 146,953
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Maxim Integrated Products, Inc.+ ........................... 2,070 $ 130,604
Motorola, Inc. ............................................. 2,000 176,000
National Semiconductor Corp.+ .............................. 9,900 301,950
Pittway Corp., Class A ..................................... 5,140 161,910
Texas Instruments, Inc. .................................... 9,270 762,457
Vitesse Semiconductor Corp.+ ............................... 3,860 329,547
SOFTWARE -- 9.3%
Allaire Corp.+ ............................................. 1,000 56,000
America Online, Inc.+ ...................................... 4,125 429,000
AnswerThink Consulting Group, Inc.+ ........................ 4,100 39,463
At Home Corp., Series A+ ................................... 2,600 107,738
BrightStar Information Technology Group, Inc.+ ............. 1,600 5,300
BroadVision, Inc.+ ......................................... 2,000 266,125
CheckFree Holdings Corp.+ .................................. 4,100 168,612
Clarify, Inc.+ ............................................. 4,100 206,281
CMGI, Inc.+ ................................................ 1,400 143,500
Critical Path, Inc. ........................................ 1,400 56,481
Cybersource Corp.+ ......................................... 2,600 143,975
E.piphany, Inc. ............................................ 1,200 58,500
Engage Technologies, Inc.+ ................................. 3,400 128,138
Entrust Technologies, Inc.+ ................................ 6,000 134,625
Fundtech Ltd.+ ............................................. 1,600 35,700
Inktomi Corp.+ ............................................. 3,235 388,301
Internet Capital Group, Inc.+ .............................. 1,600 140,600
Legato Systems, Inc.+ ...................................... 4,400 191,812
Lycos, Inc.+ ............................................... 3,200 160,400
Macromedia, Inc.+ .......................................... 2,200 89,925
Micromuse, Inc.+ ........................................... 2,700 173,475
Microsoft Corp.+ ........................................... 13,320 1,206,292
Netgravity, Inc.+ .......................................... 1,800 59,513
Netopia, Inc.+ ............................................. 2,700 107,663
Portal Software, Inc.+ ..................................... 2,100 81,375
Real Networks, Inc.+ ....................................... 1,400 146,387
Sapient Corp.+ ............................................. 5,105 481,146
Sun Microsystems, Inc.+ .................................... 3,215 298,995
Vignette Corp.+ ............................................ 2,900 262,450
Yahoo!, Inc.+ .............................................. 6,280 1,127,260
TELECOMMUNICATIONS -- 7.0%
Carrier Access Corp.+ ...................................... 1,150 48,084
Comcast Corp., Class A ..................................... 32,385 1,291,352
Comverse Technology, Inc.+ ................................. 705 66,490
Copper Mountain Networks, Inc.+ ............................ 600 52,575
Covad Communications Group, Inc.+ .......................... 2,100 91,547
GST Telecommunications, Inc.+ .............................. 4,100 28,828
JDS Uniphase Corp.+ ........................................ 4,350 495,084
Level 3 Communications, Inc.+ .............................. 9,945 519,316
NEXTLINK Communications, Inc., Class A+ .................... 5,365 278,142
NTL, Inc.+ ................................................. 3,000 288,281
Powerwave Technologies, Inc.+ .............................. 5,000 241,094
Qwest Communications International, Inc.+ .................. 2,600 76,863
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Sprint Corp. (PCS Group) ................................... 5,835 $ 435,072
USWeb Corp.+ ............................................... 3,600 123,525
VeriSign, Inc.+ ............................................ 4,755 506,408
Vodafone AirTouch PLC ADR .................................. 2,415 574,166
Vodafone Group PLC ......................................... 5,581 131,710
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23,249,149
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MATERIALS -- 0.3%
CHEMICALS -- 0.1%
du Pont (E.I.) de Nemours & Co. ............................ 1,000 60,875
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ...................................... 1,600 64,800
METALS & MINERALS -- 0.1%
Alcoa, Inc. ................................................ 2,100 130,331
-----------
256,006
-----------
UTILITIES -- 3.4%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. .................................................. 1,000 32,625
PECO Energy Co. ............................................ 2,000 75,000
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .............................................. 2,000 81,875
TELEPHONE -- 3.2%
AT&T Corp. ................................................. 3,500 152,250
AT&T Corp. - Liberty Media Group, Class A+ ................. 52,538 1,950,473
GTE Corp. .................................................. 600 46,125
MCI WorldCom, Inc.+ ........................................ 2,000 143,750
SBC Communications, Inc. ................................... 1,200 61,275
-----------
2,543,373
-----------
TOTAL COMMON STOCK (cost $41,014,740)....................... 51,988,179
-----------
<CAPTION>
PREFERRED STOCK -- 0.0%
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<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp., Series B 13.50%(1) (cost
$3,926)................................................... 5 4,550
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<CAPTION>
BONDS & NOTES -- 24.4% PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.4%
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008 ........................ $ 5,000 4,600
Delco Remy International, Inc. 8.63% 2007 .................. 10,000 9,275
Dura Operating Corp. 9.00% 2009* ........................... 5,000 4,737
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
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CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
Federal-Mogul Corp. 8.80% 2007 ............................. $ 10,000 $ 9,787
LDM Technologies, Inc., Series B 10.75% 2007 ............... 5,000 4,300
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008 ..................... 5,000 4,350
Falcon Building Products, Inc., Series B zero coupon
2007(2) .................................................. 10,000 7,100
Henry Co., Series B 10.00% 2008 ............................ 10,000 6,675
Nortek, Inc., Series B 9.25% 2007 .......................... 10,000 9,750
Standard Pacific Corp. 8.50% 2007 .......................... 10,000 9,525
Toll Corp. 8.13% 2009 ...................................... 5,000 4,688
Webb (Del E.) Corp. 10.25% 2010 ............................ 5,000 4,687
RETAIL -- 0.3%
Amazon.com, Inc. zero coupon 2008(2) ....................... 199,000 133,330
Disco SA 9.88% 2008 ........................................ 5,000 4,400
Duane Reade, Inc. 9.25% 2008 ............................... 20,000 20,150
J.C. Penney Co., Inc. 7.40% 2037 ........................... 35,000 34,239
Kroger Co. 7.38% 2005 ...................................... 25,000 24,663
Mattress Discounters Corp. 12.63% 2007*(3) ................. 10,000 9,675
Stater Brothers Holdings, Inc. 10.75% 2006* ................ 15,000 15,319
-----------
321,250
-----------
CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.3%
Aurora Foods, Inc., Series B 8.75% 2008 .................... 5,000 4,750
B & G Foods Corp. 9.63% 2007 ............................... 10,000 9,250
Chiquita Brands International, Inc. 10.00% 2009 ............ 5,000 4,538
Del Monte Foods Co., Series B zero coupon 2007*(2) ......... 8,000 5,990
Nash Finch Co., Series B 8.50% 2008 ........................ 10,000 8,962
Panamerican Beverages, Inc. 8.13% 2003 ..................... 30,000 28,736
Seagram (Joseph E) & Sons, Inc. 7.50% 2018 ................. 35,000 33,512
Vlasic Foods International, Inc. 10.25% 2009* .............. 15,000 13,425
Whitman Corp. 6.38% 2009 ................................... 65,000 59,909
HOUSEHOLD PRODUCTS -- 0.0%
Purina Mills, Inc. 9.00% 2010 .............................. 10,000 1,975
Revlon Worldwide Corp. zero coupon 2001 .................... 10,000 5,600
Royster Clark, Inc. 10.25% 2009* ........................... 10,000 9,425
-----------
186,072
-----------
ENERGY -- 0.6%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ............................ 5,000 4,163
Pride Petroleum Services, Inc. 9.38% 2007 .................. 10,000 9,775
Tuboscope Vetco International, Inc. 7.50% 2008 ............. 10,000 8,686
ENERGY SOURCES -- 0.5%
Abraxas Petroleum Corp., Series D 11.50% 2004 .............. 10,000 6,950
Calpine Corp. 8.75% 2007 ................................... 10,000 10,042
Conoco, Inc. 5.90% 2004 .................................... 40,000 38,741
Conoco, Inc. 6.95% 2029 .................................... 45,000 41,760
Cross Timbers Oil Co., Series B 9.25% 2007 ................. 5,000 4,950
</TABLE>
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10
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Energy Corp. of America, Series A 9.50% 2007 ............... $ 15,000 $ 13,369
Enron Corp. 6.75% 2004 ..................................... 50,000 48,974
Kelley Oil & Gas Corp. 14.00% 2003* ........................ 7,000 6,983
Newfield Exploration Co., Series B 7.45% 2007 .............. 40,000 37,499
Petroleos Mexicanos 9.38% 2008* ............................ 35,000 35,656
Petroleos Mexicanos 9.50% 2027* ............................ 30,000 28,800
Sonat, Inc. 6.88% 2005 ..................................... 65,000 62,713
YPF Sociedad Anonima, Series C 10.00% 2028 ................. 50,000 53,576
-----------
412,637
-----------
FINANCE -- 4.5%
BANKS -- 1.0%
Banc One Corp. 8.00% 2027 .................................. 18,000 18,239
Bank One Corp. 7.25% 2004 .................................. 60,000 60,422
Bank One Corp. 7.38% 2002 .................................. 25,000 25,375
Banponce Financial Corp., Series C 6.75% 2001 .............. 35,000 34,867
Credit National 7.00% 2005 ................................. 80,000 78,236
First Republic Bancorp 7.75% 2012 .......................... 25,000 23,058
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60%
2007 ..................................................... 115,000 112,099
Korea Development Bank 7.13% 2001 .......................... 15,000 14,751
National City Corp. 7.20% 2005 ............................. 80,000 79,846
National Westminster Bank PLC 7.38% 2009 ................... 45,000 44,947
NBD Bank SA 8.25% 2024 ..................................... 25,000 27,003
NCNB Co. 9.38% 2009 ........................................ 32,000 36,413
Royal Bank Scotland Group PLC 6.40% 2009 ................... 110,000 101,598
United States Bancorp 7.50% 2026 ........................... 100,000 102,074
Werner Holdings Co., Inc., Series A 10.00% 2007 ............ 5,000 4,738
Western Financial Savings Bank 8.88% 2007 .................. 10,000 8,850
FINANCIAL SERVICES -- 2.6%
Aesop Funding Corp. 6.14% 2006* ............................ 60,000 57,197
Aesop Funding II LLC 6.22% 2001* ........................... 50,000 49,845
Aesop Funding II LLC 6.40% 2003* ........................... 50,000 49,852
Allstate Financing II 7.83% 2045 ........................... 24,000 21,926
American General Finance Corp., Series E 6.25% 2002 ........ 100,000 98,344
Arcadia Financial Ltd. 11.50% 2007 ......................... 5,000 3,813
Arcadia Financial Ltd. 11.50% 2007(3) ...................... 5,000 3,988
Asset Securitization Corp. 6.66% 2041 ...................... 50,000 48,872
Associates Corp. of North America, Series G 7.63% 2004 ..... 60,000 61,747
Chase Credit Card Master Trust 6.19% 2005* ................. 60,000 59,556
Citigroup, Inc. 6.63% 2028 ................................. 120,000 105,403
Crown Castle International Corp. zero coupon 2007(2) ....... 15,000 10,556
CS First Boston Mortgage Securities Corp. 7.24% 2029 ....... 70,000 69,917
Dime Capital Trust I, Series A 9.33% 2027 .................. 20,000 19,897
Equitable Cos., Inc. 7.00% 2028 ............................ 60,000 54,019
Finova Capital Corp. 6.63% 2001 ............................ 50,000 49,929
Finova Capital Corp., Series C 6.39% 2002 .................. 40,000 39,242
Fleet Mortgage Group, Inc., Series A 6.84% 2003 ............ 30,000 29,981
Ford Motor Credit Co. 7.02% 2000 ........................... 50,000 50,478
G E Capital Mortgage Services, Inc. 6.25% 2023 ............. 4,887 4,866
General Electric Capital Corp. 8.70% 2007 .................. 50,000 55,178
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
General Motors Acceptance Corp. 7.63% 2003 ................. $ 60,000 $ 61,618
Liberty Financial Cos., Inc. 6.75% 2008 .................... 65,000 60,638
Popular North America, Inc. 6.63% 2002 ..................... 35,000 34,375
Principal Financial Group 8.20% 2009* ...................... 120,000 120,971
Private Export Funding Corp. 6.31% 2004 .................... 100,000 99,733
Private Export Funding Corp. 6.62% 2005 .................... 120,000 121,003
Private Export Funding Corp. 7.03% 2003 .................... 35,000 35,812
Private Export Funding Corp. 7.30% 2002 .................... 125,000 127,930
RBF Finance Co. 11.38% 2009 ................................ 10,000 10,500
Sprint Capital Corp. 6.13% 2008 ............................ 70,000 65,085
Sun Canada Financial Co. 6.63% 2007* ....................... 65,000 61,812
Tembec Finance Corp. 9.88% 2005 ............................ 5,000 5,150
Tembec Industries, Inc. 8.63% 2009 ......................... 5,000 4,913
Toyota Motor Credit Corp. 5.63% 2003 ....................... 70,000 67,542
U.S. West Capital Funding, Inc. 6.25% 2005 ................. 90,000 85,828
INSURANCE -- 0.9%
AAG Holding Co., Inc. 6.88% 2008 ........................... 60,000 54,974
Abbey National PLC 6.69% 2005 .............................. 100,000 97,242
American Financial Group, Inc. 7.13% 2009 .................. 25,000 22,737
CIGNA Corp. 7.40% 2007 ..................................... 45,000 44,784
CIGNA Corp. 7.88% 2027 ..................................... 19,000 18,494
Florida Windstorm Underwriting Associates, Inc. 7.13%
2019* .................................................... 140,000 131,119
Jackson National Life Insurance Co. 8.15% 2027* ............ 22,000 22,041
Lumbermens Mutual Casualty Co. 8.30% 2037* ................. 40,000 36,376
Metropolitan Life Insurance Co. 7.70% 2015* ................ 60,000 60,174
Prudential Insurance Co. America 6.88% 2003* ............... 65,000 65,002
-----------
3,232,975
-----------
HEALTHCARE -- 0.4%
HEALTH SERVICES -- 0.2%
Beverly Enterprises, Inc. 9.00% 2006 ....................... 5,000 4,300
Columbia/HCA Healthcare Corp. 7.25% 2008 ................... 10,000 8,751
HEALTHSOUTH Corp. 6.88% 2005 ............................... 60,000 55,637
Lifepoint Hospitals Holdings, Inc. 10.75% 2009* ............ 5,000 4,975
Tenet Healthcare Corp. 7.88% 2003 .......................... 20,000 19,350
Tenet Healthcare Corp., Series B 8.13% 2008 ................ 10,000 9,122
Triad Hospitals Holdings, Inc. 11.00% 2009* ................ 10,000 9,975
MEDICAL PRODUCTS -- 0.2%
Alaris Med, Inc. zero coupon 2008(2) ....................... 10,000 5,288
Allegiance Corp. 7.00% 2026 ................................ 120,000 119,228
Beckman Instruments, Inc. 7.10% 2003 ....................... 40,000 38,797
Beckman Instruments, Inc. 7.45% 2008 ....................... 5,000 4,648
Mediq PRN Life Support Services, Inc. 11.00% 2008 .......... 10,000 7,625
Owens & Minor, Inc. 10.88% 2006 ............................ 10,000 10,200
-----------
297,896
-----------
</TABLE>
- ----------------
12
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
K & F Industries, Inc., Series B 9.25% 2007 ................ $ 10,000 $ 9,600
SCL Term Aereo Santiago SA 6.95% 2012* ..................... 100,000 91,217
BUSINESS SERVICES -- 0.4%
Allied Waste North America, Inc., Series B 7.63% 2006 ...... 10,000 9,000
Boise Cascade Office Products Corp. 7.05% 2005 ............. 105,000 97,615
Federal Express Corp. 6.72% 2022 ........................... 79,800 75,549
Fisher Scientific International, Inc. 9.00% 2008 ........... 5,000 4,625
Iron Mountain, Inc. 8.75% 2009 ............................. 5,000 4,700
Neenah Foundry Co., Series F 11.13% 2007 ................... 5,000 4,712
USA Waste Services, Inc. 7.13% 2007 ........................ 70,000 63,234
WMX Technologies, Inc. 7.00% 2006 .......................... 5,000 4,524
World Color Press, Inc. 8.38% 2008 ......................... 5,000 4,925
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008 ....................... 10,000 6,200
Johnstown America Industries, Inc., Series C 11.75% 2005 ... 5,000 5,125
Numatics, Inc., Series B 9.63% 2008 ........................ 5,000 4,275
Westinghouse Air Brake Co., Series B 9.38% 2005 ............ 5,000 5,056
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ......................... 5,000 4,500
TRANSPORTATION -- 0.0%
AMR Corp. 9.88% 2020 ....................................... 30,000 35,202
-----------
430,059
-----------
INFORMATION & ENTERTAINMENT -- 0.9%
BROADCASTING & MEDIA -- 0.6%
Adelphia Communications Corp., Series B 8.38% 2008 ......... 5,000 4,713
Allbritton Communications Co., Series B 8.88% 2008 ......... 10,000 9,550
AMC Entertainment, Inc. 9.50% 2009 ......................... 20,000 16,700
American Media Operations, Inc. 10.25% 2009* ............... 5,000 4,850
Benedek Communications Corp. zero coupon 2006(2) ........... 10,000 8,737
Cablevision SA 13.75% 2009* ................................ 5,000 4,625
Century Communications Corp., Series B zero coupon 2008 .... 20,000 8,400
Charter Communications Holdings 8.63% 2009* ................ 15,000 14,100
Comcast Cable Communications Corp. 8.50% 2027 .............. 15,000 15,857
Echostar DBS Corp. 9.38% 2009* ............................. 30,000 29,587
Emmis Communications Corp., Series B 8.13% 2009 ............ 5,000 4,738
Falcon Holding Group LP, Series B 8.38% 2010 ............... 10,000 9,825
Frontiervision Holdings LP zero coupon 2007(2) ............. 10,000 8,463
Frontiervision Holdings LP zero coupon 2007(2) ............. 5,000 4,281
Granite Broadcasting Corp. 8.88% 2008 ...................... 10,000 9,650
LIN Holdings Corp. zero coupon 2008(2) ..................... 25,000 16,937
Multicanal SA 13.13% 2009* ................................. 20,000 18,700
News America Holdings, Inc. 8.00% 2016 ..................... 135,000 132,756
Price Communications Wireless, Inc., Series B 9.13% 2006 ... 10,000 10,150
RCN Corp. zero coupon 2008(2) .............................. 15,000 9,000
Scholastic Corp. 7.00% 2003 ................................ 35,000 34,593
Sullivan Graphics, Inc. 12.75% 2005 ........................ 10,000 10,250
TV Guide, Inc. 8.13% 2009 .................................. 10,000 9,437
Viacom, Inc. 7.75% 2005 .................................... 40,000 40,560
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Young Broadcasting, Inc., Series B 8.75% 2007 .............. $ 5,000 $ 4,875
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc., Series B 11.00% 2008 .................... 15,000 15,056
True Temper Sports, Inc. 10.88% 2008 ....................... 15,000 13,913
LEISURE & TOURISM -- 0.3%
Aztar Corp. 8.88% 2007 ..................................... 10,000 9,400
Continental Airlines, Inc. 6.47% 2004 ...................... 38,219 37,015
Continental Airlines, Inc. 6.65% 2017 ...................... 39,139 35,657
Dunlop Standard Aerospace Holdings PLC 11.88% 2009* ........ 10,000 10,075
Hollywood Casino Corp. 11.25% 2007* ........................ 15,000 15,150
Loews Cineplex Entertainment Corp. 8.88% 2008 .............. 15,000 13,575
Station Casinos, Inc. 8.88% 2008 ........................... 10,000 9,725
Tricon Global Restaurants, Inc. 7.65% 2008 ................. 5,000 4,953
-----------
605,853
-----------
INFORMATION TECHNOLOGY -- 0.6%
COMMUNICATION EQUIPMENT -- 0.0%
L-3 Communications Corp., Series B 8.00% 2008 .............. 5,000 4,688
Verio, Inc. 11.25% 2008 .................................... 5,000 5,100
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00% 2003 ................... 10,000 9,000
Amphenol Corp. 9.88% 2007 .................................. 5,000 5,038
SCG Holdings & Semiconductor Co. 12.00% 2009* .............. 15,000 15,337
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007 ....................... 10,000 10,050
Exodus Communications, Inc. 11.25% 2008 .................... 10,000 10,150
PSInet, Inc. 10.00% 2005 ................................... 10,000 9,562
PSInet, Inc. 11.00% 2009 ................................... 5,000 4,938
PSInet, Inc. 11.50% 2008 ................................... 5,000 5,050
TELECOMMUNICATIONS -- 0.5%
Alaska Communications Systems 9.38% 2009* .................. 10,000 9,425
AMSC Acquisition, Inc., Series B 12.25% 2008 ............... 5,000 3,600
Bresnan Communications Group zero coupon 2009*(2) .......... 10,000 6,550
BTI Telecom Corp. 10.50% 2007 .............................. 5,000 4,200
Clearnet Communications, Inc. zero coupon 2009(2) .......... 10,000 5,987
Compania De Telecomunicaciones De Chile 7.63% 2006 ......... 30,000 28,177
Compania De Telecomunicaciones De Chile 8.38% 2006 ......... 25,000 24,766
Covad Communications Group, Inc. 12.50% 2009 ............... 5,000 4,725
e.Spire Communications, Inc. zero coupon 2008(2) ........... 15,000 5,400
Fairchild Semiconductor Corp. 10.13% 2007 .................. 15,000 14,700
GCI, Inc. 9.75% 2007 ....................................... 15,000 14,212
Globalstar LP 10.75% 2004 .................................. 5,000 3,150
GST Telecommunications, Inc. zero coupon 2008*(2) .......... 10,000 4,700
Hyperion Telecommunications, Inc., Series B 12.25% 2004 .... 5,000 5,250
Hyperion Telecommunications, Inc., Series B zero coupon
2003(2) .................................................. 5,000 4,200
Insight Midwest LP 9.75% 2009 .............................. 5,000 5,038
Intermedia Communications, Inc., Series B 8.88% 2007 ....... 15,000 13,275
Iridium LLC, Series C 11.25% 2005(4) ....................... 5,000 500
</TABLE>
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14
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Iridium LLC, Series D 10.88% 2005(4) ....................... $ 5,000 $ 500
ITC Deltacom, Inc. 9.75% 2008 .............................. 5,000 5,025
IXC Communications, Inc. 9.00% 2008 ........................ 10,000 9,850
KMC Telecom Holdings, Inc. zero coupon 2008(2) ............. 15,000 8,006
Level 3 Communications, Inc. 9.13% 2008 .................... 5,000 4,525
McleodUSA, Inc. 8.38% 2008 ................................. 5,000 4,650
McleodUSA, Inc. 9.25% 2007 ................................. 5,000 4,950
MGC Communications, Inc., Series B 13.00% 2004 ............. 5,000 4,450
MJD Communications, Inc., Series B 9.50% 2008 .............. 5,000 4,863
Nextel Communications, Inc. zero coupon 2007(2) ............ 30,000 21,225
Nextlink Communications, Inc. zero coupon 2009 ............. 10,000 5,762
Nextlink Communications, Inc. zero coupon 2008(2) .......... 15,000 8,775
NTL Communications Corp., Series B zero coupon 2008(2) ..... 15,000 9,994
Paging Network, Inc. 10.13% 2007 ........................... 10,000 2,750
Qwest Communications International, Inc., Series B 7.50%
2008 ..................................................... 5,000 4,859
Rogers Cantel, Inc. 9.38% 2008 ............................. 5,000 5,250
RSL Communications PLC 12.00% 2008 ......................... 10,000 10,025
Satelites Mexicanos SA 10.13% 2004 ......................... 10,000 7,475
Tele-Communications, Inc. 7.25% 2005 ....................... 25,000 25,350
Tele-Communications, Inc. 8.00% 2005 ....................... 25,000 26,164
Tele-Communications, Inc. 9.25% 2002 ....................... 25,000 26,584
Telecommunications Techniques Co. LLC 9.75% 2008 ........... 10,000 9,475
Time Warner Telecom, Inc. 9.75% 2008 ....................... 10,000 10,075
Verio, Inc. 10.38% 2005 .................................... 5,000 4,963
Viatel, Inc. 11.25% 2008 ................................... 10,000 9,400
-----------
471,713
-----------
MATERIALS -- 0.5%
CHEMICALS -- 0.3%
Acetex Corp. 9.75% 2003 .................................... 10,000 8,875
Arco Chemical Co. 9.80% 2020 ............................... 5,000 4,759
Huntsman Corp. 9.50% 2007* ................................. 5,000 4,675
ICI Wilmington, Inc. 6.95% 2004 ............................ 115,000 114,208
Lyondell Chemical Co., Series B 9.88% 2007 ................. 20,000 19,800
Pioneer Americas Acquisition Corp., Series B 9.25% 2007 .... 5,000 3,837
Praxair, Inc. 6.75% 2003 ................................... 35,000 34,711
Scotts Co. 8.63% 2009* ..................................... 5,000 4,775
Sovereign Specialty Chemicals Corp. 9.50% 2007 ............. 10,000 9,875
Texas Petrochemicals Corp. 11.13% 2006 ..................... 10,000 8,425
ZSC Specialty Chemical PLC 11.00% 2009* .................... 15,000 15,000
FOREST PRODUCTS -- 0.1%
Boise Cascade Corp., Series B 9.90% 2001 ................... 40,000 41,810
Doman Industries, Ltd. 12.00% 2004* ........................ 10,000 10,075
Gaylord Container Corp., Series B 9.38% 2007 ............... 10,000 9,275
Grupo Industrial Durango SA de CV 12.63% 2003 .............. 5,000 4,887
Packaging Corp. of America 9.63% 2009* ..................... 5,000 5,050
Repap New Brunswick, Inc. 9.00% 2004 ....................... 5,000 4,800
METALS & MINERALS -- 0.1%
Alaska Steel Corp. 7.88% 2009 .............................. 5,000 4,613
Armco, Inc. 8.88% 2008 ..................................... 10,000 9,825
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Bayou Steel Corp. 9.50% 2008 ............................... $ 5,000 $ 4,713
BWay Corp., Series B 10.25% 2007 ........................... 10,000 10,050
Consumers Packaging, Inc. 9.75% 2007 ....................... 5,000 4,737
P & L Coal Holdings Corp., Series B 9.63% 2008 ............. 10,000 9,575
-----------
348,350
-----------
MUNICIPAL BONDS -- 0.5%
MUNICIPAL BONDS -- 0.5%
Allentown Pennsylvania 6.20% 2005 .......................... 120,000 116,140
Fresno County California Pension Obligation 6.07% 2003 ..... 50,000 49,005
Hudson County New Jersey Improvement Authority Facility
6.55% 2002 ............................................... 45,000 45,320
Huntsville Alabama Solid Waste Disposal Authority 5.95%
2003 ..................................................... 50,000 48,668
Miami Florida Revenue 7.25% 2003 ........................... 60,000 61,350
Southern California Public Power Authority Project 6.93%
2017 ..................................................... 50,000 47,124
-----------
367,607
-----------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
FOREIGN GOVERNMENT -- 0.0%
Republic of Lithuania 7.13% 2002* .......................... 19,000 17,718
-----------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.2%
Equity Office Properties Operating LP 6.38% 2003 ........... 60,000 58,133
Post Apartment Homes LP 7.02% 2001 ......................... 60,000 60,692
-----------
118,825
-----------
U.S. GOVERNMENT & AGENCIES -- 14.5%
U.S. GOVERNMENT & AGENCIES -- 14.5%
Federal Home Loan Mortgage Corp. 6.00% 2006 ................ 10,284 10,255
Federal Home Loan Mortgage Corp. 6.00% 2013 ................ 235,796 227,027
Federal Home Loan Mortgage Corp. 6.00% 2028 ................ 93,683 87,446
Federal Home Loan Mortgage Corp. 6.50% 2022 ................ 58,000 55,661
Federal Home Loan Mortgage Corp. 6.50% 2023 ................ 20,000 18,319
Federal Home Loan Mortgage Corp. 6.55% 2022 ................ 32,000 31,210
Federal Home Loan Mortgage Corp. 6.75% 2022 ................ 105,000 101,707
Federal Home Loan Mortgage Corp. 7.00% 2023 ................ 12,000 11,775
Federal Home Loan Mortgage Corp. 7.50% 2023 ................ 13,346 13,454
Federal Home Loan Mortgage Corp. 7.50% 2028 ................ 166,118 166,844
Federal Home Loan Mortgage Corp. 7.75% 2022 ................ 46,408 46,539
Federal Home Loan Mortgage Corp. 8.50% 2019 ................ 18,966 19,701
Federal National Mortgage Association 5.25% 2003 ........... 590,000 572,666
Federal National Mortgage Association 5.63% 2001 ........... 410,000 408,204
Federal National Mortgage Association 5.65% 2005 ........... 6,826 6,794
Federal National Mortgage Association 5.75% 2008 ........... 955,000 901,577
Federal National Mortgage Association 6.00% 2013 ........... 278,031 267,605
Federal National Mortgage Association 6.00% 2014 ........... 196,266 188,782
Federal National Mortgage Association 6.00% 2028 ........... 282,693 263,611
Federal National Mortgage Association 6.18% 2008 ........... 19,752 19,001
Federal National Mortgage Association 6.30% 2008 ........... 19,746 19,136
Federal National Mortgage Association 6.30% 2008 ........... 19,660 19,088
</TABLE>
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16
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association 6.34% 2008 ........... $ 19,489 $ 18,983
Federal National Mortgage Association 6.36% 2008 ........... 39,454 38,590
Federal National Mortgage Association 6.43% 2008 ........... 19,659 19,234
Federal National Mortgage Association 6.50% 2013 ........... 179,091 175,733
Federal National Mortgage Association 6.98% 2007 ........... 94,241 95,258
Federal National Mortgage Association 7.02% 2007 ........... 18,748 18,984
Federal National Mortgage Association 7.04% 2007 ........... 19,556 19,792
Federal National Mortgage Association 7.39% 2021 ........... 23,862 24,274
Federal National Mortgage Association 7.75% 2021 ........... 50,000 50,593
Federal National Mortgage Association 8.00% 2006 ........... 10,739 10,940
Government National Mortgage Association 6.50% 2029 ........ 100,000 95,593
Government National Mortgage Association 7.00% 2022 ........ 8,083 7,977
Government National Mortgage Association 7.00% 2029 ........ 299,718 294,293
Government National Mortgage Association 7.25% 2027 ........ 90,300 89,609
Government National Mortgage Association 7.50% 2023 ........ 19,021 19,146
Government National Mortgage Association 8.50% 2017 ........ 20,922 21,854
Government National Mortgage Association 9.00% 2021 ........ 7,610 8,000
Overseas Private Investment Corp., Series 96-A 6.99%
2009 ..................................................... 410,000 414,317
United States Treasury Bonds 5.25% 2028 .................... 425,000 368,356
United States Treasury Bonds 7.50% 2016 .................... 340,000 376,336
United States Treasury Bonds 9.25% 2016 .................... 915,000 1,170,056
United States Treasury Bonds 11.88% 2003 ................... 510,000 618,615
United States Treasury Bonds 12.00% 2013 ................... 915,000 1,263,130
United States Treasury Notes 4.75% 2008 .................... 300,000 273,093
United States Treasury Notes 5.00% 2001 .................... 620,000 615,158
United States Treasury Notes 5.50% 2009 .................... 600,000 580,596
United States Treasury Notes 7.75% 2001 .................... 560,000 575,663
United States Treasury Strip Bonds zero coupon 2012 ........ 275,000 124,482
-----------
10,845,057
-----------
UTILITIES -- 0.7%
ELECTRIC UTILITIES -- 0.2%
Atlantic City Electric Co. 6.38% 2005 ...................... 20,000 19,691
Pacificorp 6.38% 2008 ...................................... 100,000 97,310
Public Service Electric & Gas Co. 8.88% 2003 ............... 11,000 11,527
UtiliCorp United, Inc. 6.88% 2004 .......................... 40,000 39,343
WESCO Distribution, Inc., Series B 9.13% 2008 .............. 10,000 9,400
GAS & PIPELINE UTILITIES -- 0.2%
HNG Internorth, Inc. 9.63% 2006 ............................ 65,000 71,640
KN Energy, Inc. 6.65% 2005 ................................. 50,000 47,947
TELEPHONE -- 0.3%
Alestra SA DE RL DE CV 12.13% 2006* ........................ 20,000 18,850
GTE Corp. 6.36% 2006 ....................................... 95,000 91,109
Intermedia Communications, Inc., Series B 9.50% 2009 ....... 5,000 4,550
Intermedia Communications, Inc., Series B zero coupon
2009(2) .................................................. 15,000 7,313
MCI Communications Corp. 6.13% 2002(5) ..................... 30,000 29,757
MCI WorldCom, Inc. 7.55% 2004 .............................. 85,000 86,828
-----------
535,265
-----------
TOTAL BONDS & NOTES (cost $18,993,920)...................... 18,191,277
-----------
</TABLE>
----------------
17
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $28) ............ 10 $ 25
-----------
<CAPTION>
OPTIONS -- 0.2%+
CONTRACTS
- --------------------------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.2%
DoubleClick, Inc. $115 expires 11/99........................ 6 5,250
Morgan Stanley High Tech Index $100 expires 10/99@.......... 13 44,850
S&P 500 Index $1,300 expires 10/99.......................... 14 38,675
S&P 500 Index $1,275 expires 11/99.......................... 14 54,425
-----------
TOTAL OPTIONS (cost $165,271)............................... 143,200
-----------
TOTAL INVESTMENT SECURITIES (cost $60,177,885).............. 70,327,231
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 1.3% PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.1%
Cincinnati Milacron, Inc. 7.88% due 5/15/00................. $ 40,000 40,089
Cleveland Electric Illuminating Co., Series B 7.19% due
7/01/00................................................... 15,000 15,018
Private Export Funding Corp. 7.90% due 3/31/00.............. 35,000 35,365
-----------
90,472
-----------
U.S. GOVERNMENT & AGENCIES -- 1.2%
Federal Home Loan Mortgage Discount Notes 5.18% due
10/01/99.................................................. 900,000 900,000
-----------
TOTAL SHORT-TERM SECURITIES (cost $990,471)................. 990,472
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 4.5%
- --------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.5%
ABN Amro Bank NA Joint Repurchase Agreement Account (Note
3)........................................................ 1,155,000 1,155,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3).......................................... 2,224,000 2,224,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $3,379,000) .............. 3,379,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $64,547,356) 100.1% 74,696,703
Total Written Options 0.0 (19,025)
Liabilities in excess of other
assets -- (0.1) (70,876)
----- -----------
NET ASSETS -- 100.0% $74,606,802
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof represents the underlying security for the
written options
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Bond in default
(5) Variable rate security; rate as of September 30, 1999
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
- ----------------
18
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 125,417 EUR 120,000 10/08/99 $ 2,348
*USD 78,144 EUR 75,000 10/08/99 1,710
EUR 700,000 USD 759,500 12/09/99 10,460
--------
$ 14,518
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 80,732 EUR 75,000 10/08/99 $ (877)
EUR 100,000 USD 103,100 10/08/99 (3,371)
*EUR 700,000 USD 732,200 10/08/99 (13,099)
EUR 95,000 USD 100,269 10/08/99 (879)
EUR 200,000 USD 209,990 10/08/99 (2,953)
--------
(21,179)
--------
Net Unrealized Depreciation......................... $ (6,661)
========
</TABLE>
- -------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
<TABLE>
<S> <C>
EUR -- Euro Dollar
USD -- United States Dollar
</TABLE>
OPEN COVERED WRITTEN OPTIONS
<TABLE>
- ------------------------------------------------------------------------------------------------------------
EXPIRATION STRIKE
OPTIONS CONTRACTS DATE PRICE VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MSH Index (put)........... 13 October 1999 $1,100 $ (9,425)
DoubleClick, Inc.
(call)................... 6 November 1999 115 (9,600)
--------
Total Open Covered Written Options (proceeds $24,011)............. $(19,025)
========
</TABLE>
See Notes to Financial Statements
----------------
19
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 55.2%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 5.5%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .............................................. 12,200 $ 75,488
AUTOMOTIVE -- 0.2%
Ford Motor Co. ............................................. 1,400 70,262
General Motors Corp. ....................................... 1,300 81,819
RETAIL -- 5.2%
Abercrombie & Fitch Co.+ ................................... 6,200 211,187
Amazon.com, Inc.+ .......................................... 18,075 1,441,481
Beyond.com Corp.+ .......................................... 3,700 45,325
Costco Wholesale Corp.+ .................................... 2,665 191,880
Dayton Hudson Corp. ........................................ 1,600 96,100
eBay, Inc.+ ................................................ 2,445 344,898
Gap, Inc. .................................................. 7,725 247,200
Home Depot, Inc. ........................................... 7,730 530,471
Sotheby's Holdings, Inc., Class A+ ......................... 3,200 82,600
Stamps.com, Inc. ........................................... 2,400 83,400
Staples, Inc.+ ............................................. 15,210 331,768
Sunglass Hut International, Inc.+ .......................... 15,400 162,663
Talbots, Inc. .............................................. 5,300 238,169
Ticketmaster Online-Citysearch, Inc., Class B+ ............. 4,300 104,006
Wal-Mart Stores, Inc. ...................................... 2,000 95,125
-----------
4,433,842
-----------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos., Inc. ................................... 1,100 37,606
HOUSEHOLD PRODUCTS -- 0.1%
Yankee Candle Co., Inc.+ ................................... 5,900 113,944
-----------
151,550
-----------
ENERGY -- 4.2%
ENERGY SERVICES -- 1.9%
Baker Hughes, Inc. ......................................... 2,500 72,500
BJ Services Co.+ ........................................... 9,800 311,762
Global Marine, Inc.+ ....................................... 5,300 87,119
Halliburton Co. ............................................ 3,200 131,200
Offshore Logistics, Inc.+ .................................. 9,500 97,969
Precision Drilling Corp.+ .................................. 8,600 199,412
Schlumberger Ltd. .......................................... 3,200 199,400
Transocean Offshore, Inc. .................................. 5,400 165,375
Weatherford International, Inc.+ ........................... 8,400 268,800
</TABLE>
- ----------------
20
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 2.3%
Chevron Corp. .............................................. 1,100 $ 97,625
Diamond Offshore Drilling, Inc. ............................ 4,500 150,188
Enron Corp. ................................................ 24,525 1,011,656
Exxon Corp. ................................................ 800 60,750
Mobil Corp. ................................................ 1,500 151,125
Royal Dutch Petroleum Co. GDR .............................. 2,000 118,125
Smith International, Inc.+ ................................. 6,100 247,050
-----------
3,370,056
-----------
FINANCE -- 3.1%
BANKS -- 1.2%
Bank of America Corp. ...................................... 1,500 83,531
Bank of New York Co., Inc. ................................. 2,000 66,875
Chase Manhattan Corp. ...................................... 1,200 90,450
Fifth Third Bancorp ........................................ 3,055 185,878
First Union Corp. .......................................... 650 23,116
Firstar Corp. .............................................. 12,271 314,444
Hamilton Bancorp, Inc.+ .................................... 1,500 31,875
Mellon Bank Corp. .......................................... 3,000 101,250
Summit Bancorp. ............................................ 1,300 42,169
Telebanc Financial Corp.+ .................................. 1,640 37,720
FINANCIAL SERVICES -- 1.9%
American Express Co. ....................................... 5,105 687,261
Capital One Financial Corp. ................................ 3,600 140,400
Citigroup, Inc. ............................................ 2,250 99,000
E*TRADE Group, Inc.+ ....................................... 4,945 116,207
Fannie Mae ................................................. 1,000 62,687
Merrill Lynch & Co., Inc. .................................. 1,500 100,781
Morgan Stanley, Dean Witter & Co. .......................... 2,900 258,644
Paine Webber Group, Inc. ................................... 900 32,625
Raymond James Financial, Inc. .............................. 1,200 23,925
-----------
2,498,838
-----------
HEALTHCARE -- 5.1%
DRUGS -- 1.5%
Abbott Laboratories, Inc. .................................. 1,000 36,750
Alkermes, Inc.+ ............................................ 6,000 172,875
Amgen, Inc.+ ............................................... 1,000 81,500
Biogen, Inc.+ .............................................. 2,000 157,625
Centocor, Inc.+ ............................................ 2,600 152,262
Cephalon, Inc.+ ............................................ 9,300 167,109
Merck & Co., Inc. .......................................... 1,200 77,775
Millenium Pharmaceuticals, Inc.+ ........................... 2,100 136,500
Pfizer, Inc. ............................................... 3,000 107,813
Warner-Lambert Co. ......................................... 2,000 132,750
HEALTH SERVICES -- 0.3%
Bally Total Fitness Holding Corp.+ ......................... 6,400 195,600
Genzyme Corp.-Surgical Products+ ........................... 268 1,508
Sunrise Assisted Living, Inc.+ ............................. 2,400 63,750
</TABLE>
----------------
21
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 3.3%
Affymetrix, Inc.+ .......................................... 1,500 $ 147,656
Genzyme Corp. .............................................. 2,500 112,656
Johnson & Johnson Co. ...................................... 1,400 128,625
MedImmune, Inc.+ ........................................... 1,500 149,484
Medtronic, Inc. ............................................ 19,482 691,611
MiniMed, Inc.+ ............................................. 3,435 337,489
Myriad Genetics, Inc.+ ..................................... 5,300 90,100
Nanogen, Inc.+ ............................................. 4,200 30,450
PE Corp.-PE Biosystems Group ............................... 1,800 130,050
QLT PhotoTherapeutics, Inc.+ ............................... 2,000 152,875
Schering-Plough Corp. ...................................... 16,180 705,853
-----------
4,160,666
-----------
INDUSTRIAL & COMMERCIAL -- 3.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Heico Corp., Class A ....................................... 8,000 154,000
BUSINESS SERVICES -- 1.4%
Amdocs Ltd.+ ............................................... 2,800 58,800
DSET Corp.+ ................................................ 9,100 133,656
Exodus Communications, Inc.+ ............................... 3,850 277,441
Global Industries Ltd.+ .................................... 2,700 21,938
Invitrogen Corp.+ .......................................... 1,500 50,437
Kroll O'Gara Co. ........................................... 5,400 90,112
Mobile Mini, Inc.+ ......................................... 6,800 148,750
Paychex, Inc. .............................................. 2,400 81,900
PSInet, Inc.+ .............................................. 3,980 143,156
RCM Technologies, Inc.+ .................................... 3,000 32,250
Sylvan Learning Systems, Inc.+ ............................. 3,500 67,812
MACHINERY -- 0.0%
United Technologies Corp. .................................. 800 47,450
MULTI-INDUSTRY -- 1.9%
Mannesmann AG+ ............................................. 3,075 490,793
Tyco International Ltd. .................................... 9,979 1,030,332
TRANSPORTATION -- 0.1%
Oshkosh Truck Corp. ........................................ 3,000 79,875
-----------
2,908,702
-----------
INFORMATION & ENTERTAINMENT -- 5.9%
BROADCASTING & MEDIA -- 5.2%
Cablevision Systems Corp., Class A+ ........................ 7,215 524,891
CBS Corp.+ ................................................. 1,500 69,375
Cinar Corp., Class B+ ...................................... 4,200 127,050
Clear Channel Communications, Inc.+ ........................ 5,488 438,354
Cox Communications, Inc., Class A+ ......................... 8,000 334,000
DoubleClick, Inc.+@ ........................................ 4,630 551,549
Infinity Broadcasting Corp., Class A+ ...................... 850 24,916
Lamar Advertising Co.+ ..................................... 2,247 111,226
Liberty Digital, Inc., Class A+ ............................ 1,525 35,552
MediaOne Group, Inc.+ ...................................... 2,000 136,625
Outdoor Systems, Inc.+ ..................................... 4,884 174,603
Proxim, Inc.+ .............................................. 3,000 138,000
</TABLE>
- ----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Time Warner, Inc. .......................................... 17,029 $ 1,034,512
USA Networks, Inc.+ ........................................ 2,000 77,500
ValueVision International, Inc. Class A+ ................... 4,000 104,000
VoiceStream Wireless Corp. ................................. 3,355 207,066
Ziff-Davis, Inc.+ .......................................... 9,800 158,025
ENTERTAINMENT PRODUCTS -- 0.1%
Mattel, Inc. ............................................... 2,025 38,475
LEISURE & TOURISM -- 0.6%
Carnival Corp., Class A .................................... 1,120 48,720
McDonald's Corp. ........................................... 1,400 60,200
Outback Steakhouse, Inc.+ .................................. 8,430 214,702
Royal Caribbean Cruises Ltd. ............................... 3,500 157,500
Steiner Leisure Ltd.+ ...................................... 500 12,500
-----------
4,779,341
-----------
INFORMATION TECHNOLOGY -- 24.7%
COMMUNICATION EQUIPMENT -- 3.2%
Clarent Corp.+ ............................................. 1,800 91,687
IXnet, Inc.+ ............................................... 6,600 99,825
Lucent Technologies, Inc. .................................. 3,000 194,625
Nokia Corp., Class A ADR ................................... 19,170 1,721,706
Redback Networks, Inc.+ .................................... 900 97,200
Rhythms Netconnections, Inc.+ .............................. 2,400 82,800
UnitedGlobal.com, Class A+ ................................. 4,015 287,574
COMPUTERS & BUSINESS EQUIPMENT -- 3.6%
Cisco Systems, Inc.+ ....................................... 14,050 963,303
Dell Computer Corp.+ ....................................... 4,000 167,250
EMC Corp.+ ................................................. 13,780 984,409
Hewlett-Packard Co. ........................................ 200 18,400
Honeywell, Inc. ............................................ 400 44,525
International Business Machines Corp. ...................... 3,000 364,125
Micron Technology, Inc.+ ................................... 2,000 133,125
Network Appliance, Inc. + .................................. 2,900 207,712
ELECTRONICS -- 4.9%
Applied Materials, Inc.+ ................................... 6,270 488,276
ASM Lithography Holdings NV+ ............................... 4,915 329,612
Conexant Systems, Inc.+ .................................... 5,630 409,055
General Electric Co. ....................................... 4,000 474,250
Intel Corp. ................................................ 3,920 291,305
Kulicke & Soffa Industries, Inc.+ .......................... 4,700 114,269
Lattice Semiconductor Corp.+ ............................... 5,600 166,250
Linear Technology Corp. .................................... 2,500 146,953
Maxim Integrated Products, Inc.+ ........................... 1,575 99,373
Motorola, Inc. ............................................. 2,000 176,000
National Semiconductor Corp.+ .............................. 9,700 295,850
Pittway Corp., Class A ..................................... 3,910 123,165
Texas Instruments, Inc. .................................... 7,525 618,931
Vitesse Semiconductor Corp.+ ............................... 2,935 250,576
SOFTWARE -- 7.7%
Allaire Corp.+ ............................................. 1,000 56,000
America Online, Inc.+ ...................................... 3,740 388,960
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
AnswerThink Consulting Group, Inc.+ ........................ 4,000 $ 38,500
At Home Corp., Series A+ ................................... 2,276 94,312
BrightStar Information Technology Group, Inc.+ ............. 1,400 4,638
BroadVision, Inc.+ ......................................... 2,000 266,125
CheckFree Holdings Corp.+ .................................. 3,900 160,387
Clarify, Inc.+ ............................................. 4,000 201,250
CMGI, Inc.+ ................................................ 1,400 143,500
Critical Path, Inc. ........................................ 1,400 56,481
Cybersource Corp.+ ......................................... 2,300 127,363
E.piphany, Inc. ............................................ 1,100 53,625
Engage Technologies, Inc.+ ................................. 3,000 113,063
Entrust Technologies, Inc.+ ................................ 5,800 130,137
Fundtech Ltd.+ ............................................. 1,400 31,238
Inktomi Corp.+ ............................................. 2,820 338,488
Internet Capital Group, Inc.+ .............................. 1,600 140,600
Legato Systems, Inc.+ ...................................... 4,600 200,531
Lycos, Inc.+ ............................................... 3,000 150,375
Macromedia, Inc.+ .......................................... 2,100 85,838
Micromuse, Inc.+ ........................................... 2,700 173,475
Microsoft Corp.+ ........................................... 11,375 1,030,148
Netgravity, Inc.+ .......................................... 1,800 59,513
Netopia, Inc.+ ............................................. 2,600 103,675
Portal Software, Inc.+ ..................................... 2,100 81,375
Real Networks, Inc.+ ....................................... 1,400 146,387
Sapient Corp.+ ............................................. 3,880 365,690
Sun Microsystems, Inc.+ .................................... 2,445 227,385
Vignette Corp.+ ............................................ 2,800 253,400
Yahoo!, Inc.+ .............................................. 5,195 932,502
TELECOMMUNICATIONS -- 5.3%
Carrier Access Corp.+ ...................................... 1,050 43,903
Comcast Corp., Class A ..................................... 26,675 1,063,666
Comverse Technology, Inc.+ ................................. 540 50,929
Copper Mountain Networks, Inc.+ ............................ 600 52,575
Covad Communications Group, Inc.+ .......................... 2,100 91,547
GST Telecommunications, Inc.+ .............................. 4,000 28,125
JDS Uniphase Corp.+ ........................................ 2,560 405,172
Level 3 Communications, Inc.+ .............................. 7,565 395,035
NEXTLINK Communications, Inc., Class A+ .................... 4,080 211,522
NTL, Inc.+ ................................................. 2,280 219,094
Powerwave Technologies, Inc.+ .............................. 5,000 241,094
Qwest Communications International, Inc.+ .................. 2,600 76,862
Sprint Corp. (PCS Group) ................................... 4,435 330,685
USWeb Corp.+ ............................................... 3,600 123,525
VeriSign, Inc.+ ............................................ 3,910 416,415
Vodafone AirTouch PLC ADR .................................. 1,835 436,271
Vodafone Group PLC ......................................... 4,221 99,614
-----------
19,883,126
-----------
MATERIALS -- 0.3%
CHEMICALS -- 0.1%
du Pont (E.I.) de Nemours & Co. ............................ 900 54,788
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ...................................... 1,400 56,700
</TABLE>
- ----------------
24
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS -- 0.1%
Alcoa, Inc. ................................................ 2,100 $ 130,331
-----------
241,819
-----------
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. .................................................. 900 29,363
PECO Energy Co. ............................................ 2,000 75,000
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .............................................. 2,000 81,875
TELEPHONE -- 2.4%
AT&T Corp. ................................................. 3,400 147,900
AT&T Corp. - Liberty Media Group, Class A+ ................. 40,905 1,518,598
GTE Corp. .................................................. 600 46,125
MCI WorldCom, Inc.+ ........................................ 2,000 143,750
SBC Communications, Inc. ................................... 1,200 61,275
-----------
2,103,886
-----------
TOTAL COMMON STOCK (cost $35,206,474) ...................... 44,531,826
-----------
<CAPTION>
PREFERRED STOCK -- 0.0%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp., Series B 13.50% (1) (cost
$7,852) ................................................... 10 9,100
-----------
<CAPTION>
BONDS & NOTES -- 38.7% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.6%
AUTOMOTIVE -- 0.1%
Accuride Corp., Series B 9.25% 2008 ........................ $ 10,000 9,200
Delco Remy International, Inc. 8.63% 2007 .................. 20,000 18,550
Dura Operating Corp. 9.00% 2009* ........................... 10,000 9,475
Federal-Mogul Corp. 8.80% 2007 ............................. 20,000 19,574
LDM Technologies, Inc., Series B 10.75% 2007 ............... 10,000 8,600
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008 ..................... 10,000 8,700
Falcon Building Products, Inc., Series B zero coupon
2007(2) ................................................... 20,000 14,200
Henry Co., Series B 10.00% 2008 ............................ 20,000 13,350
Nortek, Inc., Series B 8.88% 2008 .......................... 5,000 4,737
Nortek, Inc., Series B 9.25% 2007 .......................... 10,000 9,750
Standard Pacific Corp. 8.50% 2007 .......................... 15,000 14,288
Toll Corp. 8.13% 2009 ...................................... 10,000 9,375
Webb (Del E.) Corp. 10.25% 2010 ............................ 10,000 9,375
RETAIL -- 0.4%
Amazon.com, Inc. zero coupon 2008(2) ....................... 145,000 97,150
Disco SA 9.88% 2008 ........................................ 15,000 13,200
Duane Reade, Inc. 9.25% 2008 ............................... 40,000 40,300
J.C. Penney Co., Inc. 7.40% 2037 ........................... 70,000 68,479
Kroger Co. 7.38% 2005 ...................................... 40,000 39,460
Mattress Discounters Corp. 12.63% 2007*(3) ................. 15,000 14,513
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Stater Brothers Holdings, Inc. 10.75% 2006* ................ $ 25,000 $ 25,531
-----------
447,807
-----------
CONSUMER STAPLES -- 0.5%
FOOD, BEVERAGE & TOBACCO -- 0.5%
Aurora Foods, Inc., Series B 8.75% 2008 .................... 5,000 4,750
Aurora Foods, Inc., Series D 9.88% 2007 .................... 5,000 5,038
B & G Foods Corp. 9.63% 2007 ............................... 20,000 18,500
Chiquita Brands International, Inc. 10.00% 2009 ............ 15,000 13,613
Del Monte Foods Co., Series B zero coupon 2007*(2) ......... 15,000 11,231
Nash Finch Co., Series B 8.50% 2008 ........................ 20,000 17,925
Panamerican Beverages, Inc. 8.13% 2003 ..................... 60,000 57,472
Seagram (Joseph E.) & Sons, Inc. 7.50% 2018 ................ 130,000 124,472
Vlasic Foods International, Inc. 10.25% 2009* .............. 30,000 26,850
Whitman Corp. 6.38% 2009 ................................... 130,000 119,818
HOUSEHOLD PRODUCTS -- 0.0%
Purina Mills, Inc. 9.00% 2010 .............................. 20,000 3,950
Revlon Consumer Products Corp. 9.00% 2006 .................. 5,000 4,525
Revlon Worldwide Corp. zero coupon 2001 .................... 10,000 5,600
Royster Clark, Inc. 10.25% 2009* ........................... 15,000 14,138
-----------
427,882
-----------
ENERGY -- 1.0%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ............................ 15,000 12,487
Key Energy Services, Inc., Series B 14.00% 2009 ............ 5,000 5,238
Pride Petroleum Services, Inc. 9.38% 2007 .................. 20,000 19,550
Tuboscope Vetco International, Inc. 7.50% 2008 ............. 20,000 17,372
ENERGY SOURCES -- 0.9%
Abraxas Petroleum Corp., Series D 11.50% 2004 .............. 20,000 13,900
Calpine Corp. 8.75% 2007 ................................... 20,000 20,083
Conoco, Inc. 5.90% 2004 .................................... 80,000 77,482
Conoco, Inc. 6.95% 2029 .................................... 85,000 78,881
Cross Timbers Oil Co., Series B 9.25% 2007 ................. 10,000 9,900
Energy Corp. of America, Series A 9.50% 2007 ............... 30,000 26,737
Enron Corp. 6.75% 2004 ..................................... 100,000 97,949
Kelley Oil & Gas Corp. 14.00% 2003* ........................ 15,000 14,963
Newfield Exploration Co., Series B 7.45% 2007 .............. 100,000 93,748
Petroleos Mexicanos 9.38% 2008* ............................ 60,000 61,125
Petroleos Mexicanos 9.50% 2027* ............................ 50,000 48,000
Sonat, Inc. 6.88% 2005 ..................................... 110,000 106,130
YPF Sociedad Anonima, Series C 10.00% 2028 ................. 100,000 107,152
-----------
810,697
-----------
FINANCE -- 7.2%
BANKS -- 1.8%
Banc One Corp. 8.00% 2027 .................................. 34,000 34,451
Bank One Corp. 7.25% 2004 .................................. 110,000 110,774
Bank One Corp. 7.38% 2002 .................................. 45,000 45,674
Banponce Financial Corp., Series C 6.75% 2001 .............. 65,000 64,752
Credit National 7.00% 2005 ................................. 110,000 107,574
First Republic Bancorp 7.75% 2012 .......................... 45,000 41,504
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60%
2007 ...................................................... 205,000 199,828
</TABLE>
- ----------------
26
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Korea Development Bank 7.13% 2001 .......................... $ 20,000 $ 19,669
National City Corp. 7.20% 2005 ............................. 170,000 169,674
National Westminster Bank PLC 7.38% 2009 ................... 95,000 94,889
NBD Bank SA 8.25% 2024 ..................................... 45,000 48,606
NCNB Co. 9.38% 2009 ........................................ 48,000 54,619
Royal Bank Scotland Group PLC 6.40% 2009 ................... 240,000 221,669
United States Bancorp 7.50% 2026 ........................... 195,000 199,044
Werner Holdings Co., Inc., Series A 10.00% 2007 ............ 10,000 9,475
Western Financial Savings Bank 8.88% 2007 .................. 20,000 17,700
FINANCIAL SERVICES -- 4.1%
Aesop Funding Corp. 6.14% 2006* ............................ 100,000 95,328
Aesop Funding II LLC 6.22% 2001* ........................... 100,000 99,690
Aesop Funding II LLC 6.40% 2003* ........................... 50,000 49,852
Allstate Financing II 7.83% 2045 ........................... 44,000 40,198
American General Finance Corp., Series E 6.25% 2002 ........ 100,000 98,344
Arcadia Financial Ltd. 11.50% 2007 ......................... 5,000 3,813
Arcadia Financial Ltd. 11.50% 2007(3) ...................... 10,000 7,975
Asset Securitization Corp. 6.66% 2041 ...................... 75,000 73,308
Associates Corp. of North America 5.75% 2003 ............... 45,000 43,444
Associates Corp. of North America, Series G 7.63% 2004 ..... 110,000 113,202
Chase Credit Card Master Trust 6.19% 2005* ................. 120,000 119,112
Citigroup, Inc. 6.63% 2028 ................................. 240,000 210,805
Crown Castle International Corp. zero coupon 2007(2) ....... 20,000 14,075
CS First Boston Mortgage Securities Corp. 7.24% 2029 ....... 100,000 99,882
Dime Capital Trust I, Series A 9.33% 2027 .................. 35,000 34,820
Equitable Cos., Inc. 7.00% 2028 ............................ 110,000 99,035
Finova Capital Corp. 6.63% 2001 ............................ 100,000 99,858
Finova Capital Corp., Series C 6.39% 2002 .................. 60,000 58,863
Fleet Mortgage Group, Inc., Series A 6.84% 2003 ............ 50,000 49,968
Ford Motor Credit Co. 7.02% 2000 ........................... 100,000 100,957
G E Capital Mortgage Services, Inc. 6.25% 2023 ............. 9,774 9,731
General Electric Capital Corp. 8.70% 2007 .................. 150,000 165,536
General Motors Acceptance Corp. 7.63% 2003 ................. 105,000 107,831
Liberty Financial Cos., Inc. 6.75% 2008 .................... 130,000 121,277
Popular North America, Inc. 6.63% 2002 ..................... 50,000 49,108
Principal Financial Group Australia 8.20% 2009* ............ 240,000 241,942
Private Export Funding Corp. 6.31% 2004 .................... 100,000 99,733
Private Export Funding Corp. 6.62% 2005 .................... 220,000 221,839
Private Export Funding Corp. 7.03% 2003 .................... 45,000 46,044
Private Export Funding Corp. 7.30% 2002 .................... 225,000 230,274
RBF Finance Co. 11.38% 2009 ................................ 25,000 26,250
Sprint Capital Corp. 6.13% 2008 ............................ 135,000 125,522
Sun Canada Financial Co. 6.63% 2007* ....................... 130,000 123,624
Tembec Finance Corp. 9.88% 2005 ............................ 10,000 10,300
Tembec Industries, Inc. 8.63% 2009 ......................... 5,000 4,913
Toyota Motor Credit Corp. 5.63% 2003 ....................... 115,000 110,962
U.S. West Capital Funding, Inc. 6.25% 2005 ................. 130,000 123,973
INSURANCE -- 1.3%
AAG Holding Co., Inc. 6.88% 2008 ........................... 110,000 100,785
Abbey National PLC 6.69% 2005 .............................. 180,000 175,036
American Financial Group, Inc. 7.13% 2009 .................. 55,000 50,022
CIGNA Corp. 7.40% 2007 ..................................... 85,000 84,593
CIGNA Corp. 7.88% 2027 ..................................... 34,000 33,094
Florida Windstorm Underwriting Associates, Inc. 7.13%
2019* ..................................................... 270,000 252,871
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Jackson National Life Insurance Co. 8.15% 2027* ............ $ 40,000 $ 40,075
Lumbermens Mutual Casualty Co. 8.30% 2037* ................. 70,000 63,658
Metropolitan Life Insurance Co. 7.70% 2015* ................ 120,000 120,348
Prudential Insurance Co. America 6.88% 2003* ............... 165,000 165,005
-----------
5,856,777
-----------
HEALTHCARE -- 0.7%
HEALTH SERVICES -- 0.3%
Beverly Enterprises, Inc. 9.00% 2006 ....................... 10,000 8,600
Columbia/HCA Healthcare Corp. 7.25% 2008 ................... 20,000 17,503
HEALTHSOUTH Corp. 6.88% 2005 ............................... 100,000 92,728
Lifepoint Hospitals Holdings, Inc. 10.75% 2009* ............ 10,000 9,950
Tenet Healthcare Corp. 7.88% 2003 .......................... 40,000 38,700
Tenet Healthcare Corp., Series B 8.13% 2008 ................ 15,000 13,683
Triad Hospitals Holdings, Inc. 11.00% 2009* ................ 20,000 19,950
MEDICAL PRODUCTS -- 0.4%
Alaris Med, Inc. zero coupon 2008(2) ....................... 20,000 10,575
Allegiance Corp. 7.00% 2026 ................................ 220,000 218,586
Beckman Instruments, Inc. 7.10% 2003 ....................... 70,000 67,894
Beckman Instruments, Inc. 7.45% 2008 ....................... 10,000 9,297
Mediq PRN Life Support Services, Inc. 11.00% 2008 .......... 20,000 15,250
Owens & Minor, Inc. 10.88% 2006 ............................ 20,000 20,400
-----------
543,116
-----------
INDUSTRIAL & COMMERCIAL -- 1.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
K & F Industries, Inc., Series B 9.25% 2007 ................ 20,000 19,200
SCL Term Aereo Santiago SA 6.95% 2012* ..................... 200,000 182,433
BUSINESS SERVICES -- 0.7%
Allied Waste North America, Inc., Series B 7.63% 2006 ...... 25,000 22,500
Boise Cascade Office Products Corp. 7.05% 2005 ............. 190,000 176,637
Federal Express Corp. 6.72% 2022 ........................... 149,625 141,655
Fisher Scientific International, Inc. 9.00% 2008 ........... 15,000 13,875
Iron Mountain, Inc. 8.75% 2009 ............................. 20,000 18,800
Neenah Foundry Co., Series F 11.13% 2007 ................... 5,000 4,713
USA Waste Services, Inc. 7.13% 2007 ........................ 140,000 126,468
WMX Technologies, Inc. 7.00% 2006 .......................... 15,000 13,570
World Color Press, Inc. 8.38% 2008 ......................... 20,000 19,700
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008 ....................... 15,000 9,300
Johnstown America Industries, Inc., Series C 11.75% 2005 ... 10,000 10,250
Numatics, Inc., Series B 9.63% 2008 ........................ 10,000 8,550
Westinghouse Air Brake Co., Series B2 9.38% 2005 ........... 5,000 5,056
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ......................... 5,000 4,500
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020 ...................................... 50,000 58,325
-----------
835,532
-----------
</TABLE>
- ----------------
28
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 1.4%
BROADCASTING & MEDIA -- 1.0%
Adelphia Communications Corp., Series B 8.38% 2008 ......... $ 10,000 $ 9,425
Allbritton Communications Co., Series B 8.88% 2008 ......... 15,000 14,325
AMC Entertainment, Inc. 9.50% 2009 ......................... 35,000 29,225
American Media Operations, Inc. 10.25% 2009* ............... 15,000 14,550
Benedek Communications Corp. zero coupon 2006(2) ........... 25,000 21,844
Cablevision SA 13.75% 2009* ................................ 10,000 9,250
Century Communications Corp., Series B zero coupon 2008 .... 40,000 16,800
Charter Communications Holdings 8.63% 2009* ................ 35,000 32,900
Classic Cable, Inc. 9.88% 2008* ............................ 5,000 5,037
Comcast Cable Communications Corp. 8.50% 2027 .............. 35,000 37,000
Echostar DBS Corp. 9.38% 2009* ............................. 60,000 59,175
Emmis Communications Corp., Series B 8.13% 2009 ............ 5,000 4,738
Falcon Holding Group LP, Series B 8.38% 2010 ............... 20,000 19,650
Frontiervision Holdings LP zero coupon 2007(2) ............. 20,000 16,925
Frontiervision Holdings LP zero coupon 2007(2) ............. 10,000 8,562
Granite Broadcasting Corp. 8.88% 2008 ...................... 20,000 19,300
LIN Holdings Corp. zero coupon 2008(2) ..................... 40,000 27,100
Multicanal SA 13.13% 2009* ................................. 35,000 32,725
News America Holdings, Inc. 8.00% 2016 ..................... 260,000 255,679
Price Communications Wireless, Inc., Series B 9.13% 2006 ... 20,000 20,300
RCN Corp. zero coupon 2008(2) .............................. 35,000 21,000
Scholastic Corp. 7.00% 2003 ................................ 70,000 69,185
Sullivan Graphics, Inc. 12.75% 2005 ........................ 15,000 15,375
TV Guide, Inc. 8.13% 2009 .................................. 20,000 18,875
Viacom, Inc. 7.75% 2005 .................................... 65,000 65,910
Young Broadcasting, Inc., Series B 8.75% 2007 .............. 10,000 9,750
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00% 2008 .................... 30,000 30,113
True Temper Sports, Inc. 10.88% 2008 ....................... 35,000 32,462
LEISURE & TOURISM -- 0.3%
Aztar Corp. 8.88% 2007 ..................................... 20,000 18,800
Continental Airlines, Inc. 6.47% 2004 ...................... 76,439 74,029
Continental Airlines, Inc. 6.65% 2017 ...................... 73,386 66,858
Dunlop Standard Aerospace Holdings PLC 11.88% 2009* ........ 25,000 25,188
Hollywood Casino Corp. 11.25% 2007* ........................ 30,000 30,300
Loews Cineplex Entertainment Corp. 8.88% 2008 .............. 30,000 27,150
Station Casinos, Inc. 8.88% 2008 ........................... 20,000 19,450
Tricon Global Restaurants, Inc. 7.65% 2008 ................. 15,000 14,858
-----------
1,193,813
-----------
INFORMATION TECHNOLOGY -- 1.1%
COMMUNICATION EQUIPMENT -- 0.0%
L-3 Communications Corp., Series B 8.00% 2008 .............. 10,000 9,375
Verio, Inc. 11.25% 2008 .................................... 10,000 10,200
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003 ................... 20,000 18,000
Amphenol Corp. 9.88% 2007 .................................. 10,000 10,075
SCG Holdings & Semiconductor Co. 12.00% 2009* .............. 25,000 25,562
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007 ....................... 20,000 20,100
Exodus Communications, Inc. 11.25% 2008 .................... 20,000 20,300
PSInet, Inc. 10.00% 2005 ................................... 20,000 19,125
PSInet, Inc. 11.00% 2009 ................................... 10,000 9,875
</TABLE>
----------------
29
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
PSInet, Inc. 11.50% 2008 ................................... $ 5,000 $ 5,050
TELECOMMUNICATIONS -- 0.9%
Alaska Communications Systems 9.38% 2009* .................. 15,000 14,138
AMSC Acquisition, Inc., Series B 12.25% 2008 ............... 5,000 3,600
Bresnan Communications Group zero coupon 2009*(2) .......... 20,000 13,100
BTI Telecom Corp. 10.50% 2007 .............................. 10,000 8,400
Clearnet Communications, Inc. zero coupon 2009(2) .......... 20,000 11,975
Compania De Telecomunicaciones De Chile 7.63% 2006 ......... 40,000 37,569
Compania De Telecomunicaciones De Chile 8.38% 2006 ......... 45,000 44,579
Covad Communications Group, Inc. 12.50% 2009 ............... 10,000 9,450
e.Spire Communications, Inc. zero coupon 2008(2) ........... 30,000 10,800
Fairchild Semiconductor Corp. 10.13% 2007 .................. 30,000 29,400
GCI, Inc. 9.75% 2007 ....................................... 30,000 28,425
Globalstar LP 10.75% 2004 .................................. 10,000 6,300
GST Telecommunications, Inc. zero coupon 2008*(2) .......... 20,000 9,400
Hyperion Telecommunications, Inc., Series B 12.25% 2004 .... 10,000 10,500
Hyperion Telecommunications, Inc., Series B zero coupon
2003(2) ................................................... 10,000 8,400
Insight Midwest LP 9.75% 2009 .............................. 5,000 5,038
Intermedia Communications, Inc., Series B 8.88% 2007 ....... 25,000 22,125
Iridium LLC, Series C 11.25% 2005(4) ....................... 15,000 1,500
Iridium LLC, Series D 10.88% 2005(4) ....................... 10,000 1,000
ITC Deltacom, Inc. 9.75% 2008 .............................. 5,000 5,025
IXC Communications, Inc. 9.00% 2008 ........................ 20,000 19,700
KMC Telecom Holdings, Inc. zero coupon 2008(2) ............. 30,000 16,012
Level 3 Communications, Inc. 9.13% 2008 .................... 10,000 9,050
McleodUSA, Inc. 8.38% 2008 ................................. 10,000 9,300
McleodUSA, Inc. 9.25% 2007 ................................. 10,000 9,900
MGC Communications, Inc., Series B 13.00% 2004 ............. 15,000 13,350
MJD Communications, Inc., Series B 9.50% 2008 .............. 10,000 9,725
Nextel Communications, Inc. zero coupon 2007(2) ............ 60,000 42,450
NEXTLINK Communications, Inc. zero coupon 2009 ............. 15,000 8,644
NEXTLINK Communications, Inc. zero coupon 2008(2) .......... 30,000 17,550
NTL Communications Corp., Series B zero coupon 2008(2) ..... 35,000 23,319
Paging Network, Inc. 10.13% 2007 ........................... 15,000 4,125
Qwest Communications International, Inc., Series B 7.50%
2008 ...................................................... 10,000 9,718
Rogers Cantel, Inc. 9.38% 2008 ............................. 5,000 5,250
RSL Communications PLC 12.00% 2008 ......................... 20,000 20,050
Satelites Mexicanos SA 10.13% 2004 ......................... 20,000 14,950
Tele-Communications, Inc. 7.25% 2005 ....................... 50,000 50,699
Tele-Communications, Inc. 8.00% 2005 ....................... 35,000 36,630
Tele-Communications, Inc. 9.25% 2002 ....................... 35,000 37,218
Telecommunications Techniques Co. LLC 9.75% 2008 ........... 20,000 18,950
Time Warner Telecom, Inc. 9.75% 2008 ....................... 25,000 25,187
Verio, Inc. 10.38% 2005 .................................... 10,000 9,925
Viatel, Inc. 11.25% 2008 ................................... 20,000 18,800
-----------
858,888
-----------
MATERIALS -- 0.8%
CHEMICALS -- 0.5%
Acetex Corp. 9.75% 2003 .................................... 20,000 17,750
Arco Chemical Co. 9.80% 2020 ............................... 15,000 14,277
Huntsman Corp. 9.50% 2007* ................................. 15,000 14,025
ICI Wilmington, Inc. 6.95% 2004 ............................ 210,000 208,553
Lyondell Chemical Co., Series B 9.88% 2007 ................. 35,000 34,650
</TABLE>
- ----------------
30
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Pioneer Americas Acquisition Corp., Series B 9.25% 2007 .... $ 15,000 $ 11,513
Praxair, Inc. 6.75% 2003 ................................... 50,000 49,587
Scotts Co. 8.63% 2009* ..................................... 5,000 4,775
Sovereign Specialty Chemicals Corp. 9.50% 2007 ............. 15,000 14,812
Texas Petrochemicals Corp. 11.13% 2006 ..................... 20,000 16,850
ZSC Specialty Chemical PLC 11.00% 2009* .................... 25,000 25,000
FOREST PRODUCTS -- 0.2%
Boise Cascade Corp., Series B 9.90% 2001 ................... 70,000 73,168
Doman Industries, Ltd. 12.00% 2004* ........................ 20,000 20,150
Gaylord Container Corp., Series B 9.38% 2007 ............... 20,000 18,550
Grupo Industrial Durango SA de CV 12.63% 2003 .............. 10,000 9,775
Packaging Corp. of America 9.63% 2009* ..................... 10,000 10,100
Repap New Brunswick, Inc. 9.00% 2004 ....................... 10,000 9,600
METALS & MINERALS -- 0.1%
Alaska Steel Corp. 7.88% 2009 .............................. 10,000 9,225
Armco, Inc. 8.88% 2008 ..................................... 15,000 14,737
Bayou Steel Corp. 9.50% 2008 ............................... 10,000 9,425
BWay Corp., Series B 10.25% 2007 ........................... 20,000 20,100
Consumers Packaging, Inc. 9.75% 2007 ....................... 10,000 9,475
Neenah Corp., Series B 11.13% 2007 ......................... 5,000 4,713
P & L Coal Holdings Corp., Series B 9.63% 2008 ............. 15,000 14,362
Weirton Steel Corp. 11.38% 2004 ............................ 5,000 4,963
-----------
640,135
-----------
MUNICIPAL BONDS -- 0.9%
MUNICIPAL BONDS -- 0.9%
Allentown Pennsylvania 6.20% 2005 .......................... 225,000 217,762
Hudson County New Jersey Improvement Authority Facility
6.55% 2002 ................................................ 85,000 85,604
Huntsville Alabama Solid Waste Disposal Authority 5.95%
2003 ...................................................... 85,000 82,736
Miami Florida Revenue 7.25% 2003 ........................... 110,000 112,475
Phoenix Arizona Civic Improvement Corp. 6.30% 2008 ......... 100,000 94,588
Southern California Public Power Authority Project 6.93%
2017 ...................................................... 100,000 94,249
-----------
687,414
-----------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
FOREIGN GOVERNMENT -- 0.0%
Republic of Lithuania 7.13% 2002* .......................... 35,000 32,637
-----------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.3%
Equity Office Properties Operating LP 6.38% 2003 ........... 100,000 96,888
Post Apartment Homes LP 7.02% 2001 ......................... 110,000 111,268
-----------
208,156
-----------
U.S. GOVERNMENT & AGENCIES -- 21.9%
U.S. GOVERNMENT & AGENCIES -- 21.9%
Federal Home Loan Mortgage Corp. 6.00% 2006 ................ 17,998 17,947
Federal Home Loan Mortgage Corp. 6.00% 2013 ................ 476,006 458,304
Federal Home Loan Mortgage Corp. 6.00% 2028 ................ 187,365 174,892
Federal Home Loan Mortgage Corp. 6.50% 2022 ................ 122,000 117,081
Federal Home Loan Mortgage Corp. 6.50% 2023 ................ 40,000 36,637
Federal Home Loan Mortgage Corp. 6.55% 2022 ................ 32,000 31,210
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 6.75% 2022 ................ $ 130,000 $ 125,923
Federal Home Loan Mortgage Corp. 7.00% 2023 ................ 25,000 24,531
Federal Home Loan Mortgage Corp. 7.50% 2023 ................ 13,346 13,455
Federal Home Loan Mortgage Corp. 7.50% 2025 ................ 278,120 280,117
Federal Home Loan Mortgage Corp. 7.75% 2022 ................ 62,473 62,648
Federal Home Loan Mortgage Corp. 8.50% 2019 ................ 35,222 36,588
Federal National Mortgage Association 5.25% 2003 ........... 825,000 800,761
Federal National Mortgage Association 5.63% 2001 ........... 320,000 318,598
Federal National Mortgage Association 5.65% 2005 ........... 13,652 13,588
Federal National Mortgage Association 5.75% 2008 ........... 760,000 717,486
Federal National Mortgage Association 6.00% 2014 ........... 865,853 832,839
Federal National Mortgage Association 6.00% 2028 ........... 475,408 443,318
Federal National Mortgage Association 6.18% 2008 ........... 19,752 19,001
Federal National Mortgage Association 6.27% 2007 ........... 54,184 52,547
Federal National Mortgage Association 6.30% 2008 ........... 19,746 19,136
Federal National Mortgage Association 6.30% 2008 ........... 19,660 19,088
Federal National Mortgage Association 6.34% 2008 ........... 19,489 18,983
Federal National Mortgage Association 6.36% 2008 ........... 128,225 125,417
Federal National Mortgage Association 6.39% 2006 ........... 19,246 18,901
Federal National Mortgage Association 6.43% 2008 ........... 19,659 19,234
Federal National Mortgage Association 6.50% 2013 ........... 254,839 250,061
Federal National Mortgage Association 6.91% 2007 ........... 244,986 246,719
Federal National Mortgage Association 6.98% 2007 ........... 18,848 19,052
Federal National Mortgage Association 7.04% 2007 ........... 53,778 54,429
Federal National Mortgage Association 7.28% 2006 ........... 34,138 34,960
Federal National Mortgage Association 7.39% 2021 ........... 39,770 40,456
Federal National Mortgage Association 7.75% 2021 ........... 184,000 186,184
Federal National Mortgage Association 8.00% 2006 ........... 42,956 43,761
Government National Mortgage Association 6.50% 2029 ........ 200,000 191,186
Government National Mortgage Association 7.00% 2022 ........ 16,862 16,641
Government National Mortgage Association 7.00% 2023 ........ 13,511 13,330
Government National Mortgage Association 7.00% 2029 ........ 499,623 490,579
Government National Mortgage Association 7.25% 2027 ........ 178,057 176,693
Government National Mortgage Association 7.50% 2024 ........ 55,141 55,468
Government National Mortgage Association 7.50% 2028 ........ 205,609 206,444
Government National Mortgage Association 8.50% 2017 ........ 38,358 40,066
Government National Mortgage Association 9.00% 2021 ........ 11,263 11,840
Overseas Private Investment Corp., Series 96-A 6.99%
2009 ...................................................... 380,000 384,001
United States Treasury Bonds 5.25% 2028 .................... 350,000 303,352
United States Treasury Bonds 7.50% 2016 .................... 675,000 747,137
United States Treasury Bonds 8.50% 2020 .................... 150,000 184,172
United States Treasury Bonds 9.25% 2016 .................... 1,500,000 1,918,125
United States Treasury Bonds 11.88% 2003 ................... 1,180,000 1,431,305
United States Treasury Bonds 12.00% 2013 ................... 2,145,000 2,961,108
United States Treasury Notes 4.75% 2008 .................... 300,000 273,093
United States Treasury Notes 5.00% 2001 .................... 755,000 749,103
United States Treasury Notes 5.50% 2009 .................... 600,000 580,596
United States Treasury Notes 7.75% 2001 .................... 1,100,000 1,130,767
United States Treasury Strip Bonds zero coupon 2012 ........ 260,000 117,692
-----------
17,656,550
-----------
UTILITIES -- 1.2%
ELECTRIC UTILITIES -- 0.4%
Atlantic City Electric Co. 6.38% 2005 ...................... 45,000 44,305
Pacificorp 6.38% 2008 ...................................... 150,000 145,965
</TABLE>
- ----------------
32
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Public Service Electric & Gas Co. 8.88% 2003 ............... $ 21,000 $ 22,007
UtiliCorp United, Inc. 6.88% 2004 .......................... 70,000 68,850
WESCO Distribution, Inc., Series B 9.13% 2008 .............. 15,000 14,100
GAS & PIPELINE UTILITIES -- 0.3%
HNG Internorth, Inc. 9.63% 2006 ............................ 110,000 121,236
KN Energy, Inc. 6.65% 2005 ................................. 125,000 119,868
TELEPHONE -- 0.5%
Alestra SA DE RL DE CV 12.13% 2006* ........................ 40,000 37,700
GTE Corp. 6.36% 2006 ....................................... 175,000 167,832
Intermedia Communications, Inc., Series B 9.50% 2009 ....... 10,000 9,100
Intermedia Communications, Inc., Series B zero coupon
2009(2) ................................................... 20,000 9,750
MCI Communications Corp. 6.13% 2002(5) ..................... 45,000 44,636
MCI WorldCom, Inc. 7.55% 2004 .............................. 165,000 168,549
-----------
973,898
-----------
TOTAL BONDS & NOTES (cost $32,506,367) ..................... 31,173,302
-----------
<CAPTION>
OPTIONS -- 0.2%+
CONTRACTS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.2%
DoubleClick, Inc. $115 expiring 11/99 ...................... 6 5,250
Morgan Stanley High Tech Index $100 expiring 10/99@ ........ 13 44,850
S&P 500 Index $1,275 expiring 11/99 ........................ 14 54,425
S&P 500 Index $1,300 expiring 10/99 ........................ 14 38,675
-----------
TOTAL OPTIONS (cost $165,272) .............................. 143,200
-----------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $56) ............ 20 50
-----------
TOTAL INVESTMENT SECURITIES (cost $67,886,021) ............. 75,857,478
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 1.0% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.2%
Cincinnati Milacron, Inc. 7.88% due 5/15/00 ................ $ 95,000 95,212
Cleveland Electric Illuminating Co., Series B 7.19% due
7/01/00 ................................................... 35,000 35,042
Private Export Funding Corp. 7.90% due 3/31/00 ............. 55,000 55,574
-----------
185,828
-----------
U.S. GOVERNMENT & AGENCIES -- 0.8%
Federal Home Loan Mortgage Discount Notes 5.18% due
10/01/99 .................................................. 600,000 600,000
-----------
TOTAL SHORT-TERM SECURITIES (cost $785,852) ................ 785,828
-----------
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 5.3% PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 5.3%
ABN Amro Bank NA Joint Repurchase Agreement Account (Note
3) ........................................................ $2,385,000 $ 2,385,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3) .......................................... 1,918,000 1,918,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $4,303,000) .............. 4,303,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $72,974,873) 100.4% 80,946,306
Total Written Options -- 0.0 (19,025)
Liabilities in excess of other
assets -- (0.4) (287,956)
----- -----------
NET ASSETS -- 100.0% $80,639,325
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof represents the underlying security for the
written options
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Bond in default
(5) Variable rate security; rate as of September 30, 1999
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
- ------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------------
<S> <C> <C> <C>
*USD 125,417 EUR 120,000 10/08/99 $ 2,349
*USD 52,096 EUR 50,000 10/08/99 1,140
EUR 480,000 USD 520,800 12/09/99 7,173
--------
$ 10,661
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------
<S> <C> <C> <C>
EUR 50,000 USD 51,550 10/08/99 $ (1,686)
*EUR 620,000 USD 648,520 10/08/99 (11,602)
EUR 90,000 USD 94,991 10/08/99 (833)
EUR 150,000 USD 157,493 10/08/99 (2,214)
*USD 75,350 EUR 70,000 10/08/99 (820)
--------
(17,154)
--------
Net Unrealized Depreciation...................... $ (6,493)
========
</TABLE>
- -------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
<TABLE>
<S> <C> <C>
USD -- United States Dollar
EUR -- Euro Dollar
</TABLE>
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN OPTIONS
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
STRIKE
OPTIONS CONTRACTS EXPIRATION DATE PRICE VALUE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MSH Index (put)................ 13 October 1999 $1,100 $ (9,425)
DoubleClick, Inc. (call)....... 6 November 1999 115 (9,600)
--------
Total Open Covered Written Options (proceeds $24,011)............ $(19,025)
========
</TABLE>
See Notes to Financial Statements
- ----------------
34
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME/EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 30.4%
SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.8%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .............................................. 3,800 $ 23,512
AUTOMOTIVE -- 0.1%
Ford Motor Co. ............................................. 1,000 50,187
General Motors Corp. ....................................... 500 31,469
RETAIL -- 2.6%
Amazon.com, Inc.+ .......................................... 9,450 753,638
Costco Wholesale Corp.+ .................................... 1,385 99,720
Dayton Hudson Corp. ........................................ 1,500 90,094
eBay, Inc.+ ................................................ 1,270 179,149
Gap, Inc. .................................................. 3,000 96,000
Home Depot, Inc. ........................................... 3,485 239,158
Staples, Inc.+ ............................................. 7,905 172,428
Wal-Mart Stores, Inc. ...................................... 2,000 95,125
-----------
1,830,480
-----------
CONSUMER STAPLES -- 0.0%
FOOD, BEVERAGE & TOBACCO -- 0.0%
Philip Morris Cos., Inc. ................................... 800 27,350
-----------
ENERGY -- 2.0%
ENERGY SERVICES -- 0.5%
Baker Hughes, Inc. ......................................... 2,500 72,500
Halliburton Co. ............................................ 2,400 98,400
Schlumberger Ltd. .......................................... 2,500 155,781
ENERGY SOURCES -- 1.5%
Chevron Corp. .............................................. 1,000 88,750
Enron Corp. ................................................ 14,705 606,581
Exxon Corp. ................................................ 500 37,969
Mobil Corp. ................................................ 1,500 151,125
Royal Dutch Petroleum Co. GDR .............................. 2,000 118,125
-----------
1,329,231
-----------
FINANCE -- 2.5%
BANKS -- 1.1%
Bank of America Corp. ...................................... 2,000 111,375
Bank of New York Co., Inc. ................................. 2,000 66,875
Chase Manhattan Corp. ...................................... 1,400 105,525
Fifth Third Bancorp ........................................ 1,590 96,742
First Union Corp. .......................................... 600 21,337
Firstar Corp. .............................................. 6,376 163,385
Mellon Bank Corp. .......................................... 3,000 101,250
Summit Bancorp. ............................................ 1,200 38,925
Telebanc Financial Corp.+ .................................. 850 19,550
</TABLE>
----------------
35
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES -- 1.4%
American Express Co. ....................................... 3,040 $ 409,260
Capital One Financial Corp. ................................ 3,300 128,700
Citigroup, Inc. ............................................ 2,100 92,400
E*TRADE Group, Inc.+ ....................................... 2,570 60,395
Fannie Mae ................................................. 800 50,150
Merrill Lynch & Co., Inc. .................................. 1,000 67,188
Morgan Stanley, Dean Witter & Co. .......................... 1,000 89,187
Paine Webber Group, Inc. ................................... 900 32,625
-----------
1,654,869
-----------
HEALTHCARE -- 2.5%
DRUGS -- 0.8%
Abbott Laboratories, Inc. .................................. 1,000 36,750
Amgen, Inc.+ ............................................... 1,000 81,500
Biogen, Inc.+ .............................................. 2,000 157,625
Merck & Co., Inc. .......................................... 600 38,888
Pfizer, Inc. ............................................... 3,000 107,812
Warner-Lambert Co. ......................................... 2,000 132,750
MEDICAL PRODUCTS -- 1.7%
Johnson & Johnson Co. ...................................... 1,200 110,250
Medtronic, Inc. ............................................ 10,132 359,686
MiniMed, Inc.+ ............................................. 1,785 175,376
PE Corp.-PE Biosystems Group ............................... 935 67,554
Schering-Plough Corp. ...................................... 9,220 402,223
-----------
1,670,414
-----------
INDUSTRIAL & COMMERCIAL -- 1.8%
BUSINESS SERVICES -- 0.3%
Exodus Communications, Inc.+ ............................... 2,000 144,125
PSInet, Inc.+ .............................................. 2,070 74,455
MACHINERY -- 0.1%
United Technologies Corp. .................................. 700 41,519
MULTI-INDUSTRY -- 1.4%
Mannesmann AG+ ............................................. 1,600 255,372
Tyco International Ltd. .................................... 6,149 634,884
-----------
1,150,355
-----------
INFORMATION & ENTERTAINMENT -- 2.9%
BROADCASTING & MEDIA -- 2.7%
Cablevision Systems Corp., Class A+ ........................ 2,295 166,961
CBS Corp.+ ................................................. 1,000 46,250
Clear Channel Communications, Inc.+ ........................ 1,700 135,787
Cox Communications, Inc., Class A+ ......................... 4,155 173,471
DoubleClick, Inc.+ ......................................... 2,095 249,567
Infinity Broadcasting Corp., Class A+ ...................... 440 12,898
Lamar Advertising Co.+ ..................................... 1,166 57,717
Liberty Digital, Inc., Class A+ ............................ 805 18,767
MediaOne Group, Inc.+ ...................................... 1,500 102,469
Outdoor Systems, Inc.+ ..................................... 2,537 90,698
Time Warner, Inc. .......................................... 10,149 616,552
</TABLE>
- ----------------
36
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
VoiceStream Wireless Corp. ................................. 1,745 $ 107,699
ENTERTAINMENT PRODUCTS -- 0.1%
Mattel, Inc. ............................................... 1,050 19,950
LEISURE & TOURISM -- 0.1%
Carnival Corp., Class A .................................... 960 41,760
McDonald's Corp. ........................................... 1,000 43,000
-----------
1,883,546
-----------
INFORMATION TECHNOLOGY -- 13.5%
COMMUNICATION EQUIPMENT -- 1.9%
Lucent Technologies, Inc. .................................. 2,800 181,650
Nokia Corp., Class A ADR ................................... 10,185 914,740
UnitedGlobal.com, Class A+ ................................. 2,085 149,338
COMPUTERS & BUSINESS EQUIPMENT -- 2.8%
Cisco Systems, Inc.+ ....................................... 8,746 599,647
Dell Computer Corp.+ ....................................... 3,600 150,525
EMC Corp.+ ................................................. 9,565 683,300
Hewlett-Packard Co. ........................................ 100 9,200
Honeywell, Inc. ............................................ 400 44,525
International Business Machines Corp. ...................... 2,000 242,750
Micron Technology, Inc.+ ................................... 2,000 133,125
ELECTRONICS -- 3.7%
Applied Materials, Inc.+ ................................... 3,260 253,872
ASM Lithography Holdings NV+ ............................... 2,555 171,345
Conexant Systems, Inc.+ .................................... 3,885 282,270
General Electric Co. ....................................... 5,000 592,812
Intel Corp. ................................................ 3,000 222,938
Maxim Integrated Products, Inc.+ ........................... 820 51,737
Motorola, Inc. ............................................. 1,800 158,400
National Semiconductor Corp.+ .............................. 3,500 106,750
Pittway Corp., Class A ..................................... 2,030 63,945
Texas Instruments, Inc. .................................... 4,470 367,657
Vitesse Semiconductor Corp.+ ............................... 1,525 130,197
SOFTWARE -- 2.4%
America Online, Inc.+ ...................................... 650 67,600
Inktomi Corp.+ ............................................. 685 82,221
Microsoft Corp.+ ........................................... 9,210 834,081
Sapient Corp.+ ............................................. 2,015 189,914
Sun Microsystems, Inc.+ .................................... 1,270 118,110
Yahoo!, Inc.+ .............................................. 1,450 260,275
TELECOMMUNICATIONS -- 2.7%
Comcast Corp., Class A ..................................... 11,080 441,815
Comverse Technology, Inc.+ ................................. 280 26,407
JDS Uniphase Corp.+ ........................................ 2,540 289,084
Level 3 Communications, Inc.+ .............................. 3,935 205,481
NEXTLINK Communications, Inc., Class A+ .................... 2,120 109,909
NTL, Inc.+ ................................................. 1,185 113,871
Sprint Corp. (PCS Group) ................................... 2,305 171,867
VeriSign, Inc.+ ............................................ 1,195 127,267
Vodafone AirTouch PLC ADR .................................. 955 227,051
</TABLE>
----------------
37
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Vodafone Group PLC ......................................... 2,172 $ 51,259
-----------
8,826,935
-----------
MATERIALS -- 0.4%
CHEMICALS -- 0.1%
du Pont (E.I.) de Nemours & Co. ............................ 800 48,700
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ...................................... 1,600 64,800
METALS & MINERALS -- 0.2%
Alcoa, Inc. ................................................ 2,000 124,125
-----------
237,625
-----------
UTILITIES -- 2.0%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. .................................................. 800 26,100
PECO Energy Co. ............................................ 1,000 37,500
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .............................................. 2,000 81,875
TELEPHONE -- 1.8%
AT&T Corp. ................................................. 2,500 108,750
AT&T Corp. - Liberty Media Group, Class A+ ................. 23,183 860,669
GTE Corp. .................................................. 500 38,437
MCI WorldCom, Inc.+ ........................................ 1,800 129,375
SBC Communications, Inc. ................................... 800 40,850
-----------
1,323,556
-----------
TOTAL COMMON STOCK (cost $15,610,759) ...................... 19,934,361
-----------
<CAPTION>
PREFERRED STOCK -- 0.0%
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp., Series B 13.50%(1)(cost
$7,852) .................................................. 10 9,100
-----------
<CAPTION>
BONDS & NOTES -- 64.2% PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
AUTOMOTIVE -- 0.1%
Accuride Corp., Series B 9.25% 2008 ........................ $ 10,000 9,200
Delco Remy International, Inc. 8.63% 2007 .................. 25,000 23,188
Dura Operating Corp. 9.00% 2009* ........................... 10,000 9,475
Federal-Mogul Corp. 8.80% 2007 ............................. 30,000 29,361
LDM Technologies, Inc., Series B 10.75% 2007 ............... 15,000 12,900
HOUSING -- 0.2%
Engle Homes, Inc., Series C 9.25% 2008 ..................... 10,000 8,700
Falcon Building Products, Inc., Series B zero coupon
2007(2) .................................................. 25,000 17,750
Henry Co., Series B 10.00% 2008 ............................ 20,000 13,350
Nortek, Inc., Series B 8.88% 2008 .......................... 5,000 4,737
</TABLE>
- ----------------
38
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING (CONTINUED)
Nortek, Inc., Series B 9.25% 2007 .......................... $ 20,000 $ 19,500
Standard Pacific Corp. 8.50% 2007 .......................... 20,000 19,050
Toll Corp. 8.13% 2009 ...................................... 15,000 14,063
Webb (Del E.) Corp. 10.25% 2010 ............................ 15,000 14,062
RETAIL -- 0.4%
Amazon.com, Inc. zero coupon 2008(2) ....................... 69,000 46,230
Disco SA 9.88% 2008 ........................................ 20,000 17,600
Duane Reade, Inc. 9.25% 2008 ............................... 50,000 50,375
J.C. Penney Co., Inc. 7.40% 2037 ........................... 90,000 88,044
Kroger Co. 7.38% 2005 ...................................... 55,000 54,258
Mattress Discounters Corp. 12.63% 2007*(3) ................. 15,000 14,513
Stater Brothers Holdings, Inc. 10.75% 2006* ................ 25,000 25,531
-----------
491,887
-----------
CONSUMER STAPLES -- 0.9%
FOOD, BEVERAGE & TOBACCO -- 0.9%
Aurora Foods, Inc., Series B 8.75% 2008 .................... 5,000 4,750
Aurora Foods, Inc., Series D 9.88% 2007 .................... 10,000 10,075
B & G Foods Corp. 9.63% 2007 ............................... 25,000 23,125
Chiquita Brands International, Inc. 10.00% 2009 ............ 15,000 13,612
Del Monte Foods Co., Series B zero coupon 2007*(2) ......... 16,000 11,980
Nash Finch Co., Series B 8.50% 2008 ........................ 25,000 22,406
Panamerican Beverages, Inc. 8.13% 2003 ..................... 70,000 67,051
Seagram (Joseph E.) & Sons, Inc. 7.50% 2018 ................ 250,000 239,370
Vlasic Foods International, Inc. 10.25% 2009* .............. 30,000 26,850
Whitman Corp. 6.38% 2009 ................................... 160,000 147,469
HOUSEHOLD PRODUCTS -- 0.0%
Purina Mills, Inc. 9.00% 2010 .............................. 25,000 4,938
Revlon Consumer Products Corp. 9.00% 2006 .................. 5,000 4,525
Revlon Worldwide Corp. zero coupon 2001 .................... 15,000 8,400
Royster Clark, Inc. 10.25% 2009* ........................... 15,000 14,137
-----------
598,688
-----------
ENERGY -- 1.4%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ............................ 15,000 12,488
Key Energy Services, Inc., Series B 14.00% 2009 ............ 5,000 5,238
Pride Petroleum Services, Inc. 9.38% 2007 .................. 25,000 24,437
Tuboscope Vetco International, Inc. 7.50% 2008 ............. 25,000 21,715
ENERGY SOURCES -- 1.3%
Abraxas Petroleum Corp., Series D 11.50% 2004 .............. 30,000 20,850
Calpine Corp. 8.75% 2007 ................................... 25,000 25,104
Conoco, Inc. 5.90% 2004 .................................... 90,000 87,167
Conoco, Inc. 6.95% 2029 .................................... 120,000 111,361
Cross Timbers Oil Co., Series B 9.25% 2007 ................. 15,000 14,850
Energy Corp. of America, Series A 9.50% 2007 ............... 40,000 35,650
Enron Corp. 6.75% 2004 ..................................... 125,000 122,436
Kelley Oil & Gas Corp. 14.00% 2003* ........................ 15,000 14,963
Newfield Exploration Co., Series B 7.45% 2007 .............. 80,000 74,998
Petroleos Mexicanos 9.38% 2008* ............................ 75,000 76,406
Petroleos Mexicanos 9.50% 2027* ............................ 60,000 57,600
</TABLE>
----------------
39
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Sonat, Inc. 6.88% 2005 ..................................... $ 140,000 $ 135,075
YPF Sociedad Anonima, Series C 10.00% 2028 ................. 100,000 107,152
-----------
947,490
-----------
FINANCE -- 10.6%
BANKS -- 2.7%
Banc One Corp. 8.00% 2027 .................................. 43,000 43,570
Bank One Corp. 7.25% 2004 .................................. 135,000 135,951
Bank One Corp. 7.38% 2002 .................................. 40,000 40,599
Banponce Financial Corp., Series C 6.75% 2001 .............. 95,000 94,638
Credit National 7.00% 2005 ................................. 130,000 127,134
First Republic Bancorp 7.75% 2012 .......................... 50,000 46,115
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60%
2007 ..................................................... 250,000 243,692
Korea Development Bank 7.13% 2001 .......................... 35,000 34,420
National City Corp. 7.20% 2005 ............................. 200,000 199,616
National Westminster Bank PLC 7.38% 2009 ................... 120,000 119,860
NBD Bank SA 8.25% 2024 ..................................... 50,000 54,007
NCNB Co. 9.38% 2009 ........................................ 68,000 77,377
Royal Bank Scotland Group PLC 6.40% 2009 ................... 300,000 277,086
United States Bancorp 7.50% 2026 ........................... 210,000 214,355
Werner Holdings Co., Inc., Series A 10.00% 2007 ............ 10,000 9,475
Western Financial Savings Bank 8.88% 2007 .................. 25,000 22,125
FINANCIAL SERVICES -- 5.9%
Aesop Funding Corp. 6.14% 2006* ............................ 120,000 114,394
Aesop Funding II LLC 6.22% 2001* ........................... 120,000 119,628
Aesop Funding II LLC 6.40% 2003* ........................... 100,000 99,704
Allstate Financing II 7.83% 2045 ........................... 49,000 44,766
American General Finance Corp., Series E 6.25% 2002 ........ 100,000 98,344
Arcadia Financial Ltd. 11.50% 2007 ......................... 5,000 3,813
Arcadia Financial Ltd. 11.50% 2007(3) ...................... 10,000 7,975
Asset Securitization Corp. 6.66% 2041 ...................... 80,000 78,195
Associates Corp. of North America 5.75% 2003 ............... 55,000 53,099
Associates Corp. of North America, Series G 7.63% 2004 ..... 130,000 133,784
Chase Credit Card Master Trust 6.19% 2005* ................. 150,000 148,890
Citigroup, Inc. 6.63% 2028 ................................. 300,000 263,507
Crown Castle International Corp. zero coupon 2007(2) ....... 35,000 24,631
CS First Boston Mortgage Securities Corp. 7.24% 2029 ....... 110,000 109,870
Dime Capital Trust I, Series A 9.33% 2027 .................. 40,000 39,795
Equitable Cos., Inc. 7.00% 2028 ............................ 130,000 117,042
Finova Capital Corp. 6.63% 2001 ............................ 125,000 124,822
Finova Capital Corp., Series C 6.39% 2002 .................. 80,000 78,485
Fleet Mortgage Group, Inc., Series A 6.84% 2003 ............ 50,000 49,968
Ford Motor Credit Co. 7.02% 2000 ........................... 125,000 126,196
G E Capital Mortgage Services, Inc. 6.25% 2023 ............. 9,774 9,731
General Electric Capital Corp. 8.70% 2007 .................. 200,000 220,714
General Motors Acceptance Corp. 7.63% 2003 ................. 135,000 138,640
Liberty Financial Cos., Inc. 6.75% 2008 .................... 125,000 116,612
Popular North America, Inc. 6.63% 2002 ..................... 50,000 49,107
Principal Financial Group Australia 8.20% 2009* ............ 300,000 302,428
Private Export Funding Corp. 6.31% 2004 .................... 100,000 99,733
Private Export Funding Corp. 6.62% 2005 .................... 160,000 161,337
Private Export Funding Corp. 7.03% 2003 .................... 60,000 61,392
Private Export Funding Corp. 7.30% 2002 .................... 270,000 276,329
</TABLE>
- ----------------
40
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
RBF Finance Co. 11.38% 2009 ................................ $ 30,000 $ 31,500
Sprint Capital Corp. 6.13% 2008 ............................ 155,000 144,117
Sun Canada Financial Co. 6.63% 2007* ....................... 160,000 152,153
Tembec Finance Corp. 9.88% 2005 ............................ 15,000 15,450
Tembec Industries, Inc. 8.63% 2009 ......................... 5,000 4,912
Toyota Motor Credit Corp. 5.63% 2003 ....................... 125,000 120,611
U.S. West Capital Funding, Inc. 6.25% 2005 ................. 165,000 157,351
INSURANCE -- 2.0%
AAG Holding, Inc. 6.88% 2008 ............................... 100,000 91,623
Abbey National PLC 6.69% 2005 .............................. 250,000 243,105
American Financial Group, Inc. 7.13% 2009 .................. 60,000 54,569
CIGNA Corp. 7.40% 2007 ..................................... 95,000 94,545
CIGNA Corp. 7.88% 2027 ..................................... 37,000 36,014
Florida Windstorm Underwriting Associates, Inc. 7.13%
2019* .................................................... 340,000 318,430
Jackson National Life Insurance Co. 8.15% 2027* ............ 44,000 44,083
Lumbermens Mutual Casualty Co. 8.30% 2037* ................. 80,000 72,753
Metropolitan Life Insurance Co. 7.70% 2015* ................ 140,000 140,406
Prudential Insurance Co. America 6.88% 2003* ............... 200,000 200,006
-----------
6,934,579
-----------
HEALTHCARE -- 1.0%
HEALTH SERVICES -- 0.4%
Beverly Enterprises, Inc. 9.00% 2006 ....................... 10,000 8,600
Columbia/HCA Healthcare Corp. 7.25% 2008 ................... 25,000 21,879
HEALTHSOUTH Corp. 6.88% 2005 ............................... 120,000 111,274
Lifepoint Hospitals Holdings, Inc. 10.75% 2009* ............ 10,000 9,950
Tenet Healthcare Corp. 7.88% 2003 .......................... 50,000 48,375
Tenet Healthcare Corp., Series B 8.13% 2008 ................ 20,000 18,243
Triad Hospitals Holdings, Inc. 11.00% 2009* ................ 20,000 19,950
MEDICAL PRODUCTS -- 0.6%
Alaris Med, Inc. zero coupon 2008(2) ....................... 30,000 15,863
Allegiance Corp. 7.00% 2026 ................................ 260,000 258,328
Beckman Instruments, Inc. 7.10% 2003 ....................... 75,000 72,744
Beckman Instruments, Inc. 7.45% 2008 ....................... 10,000 9,297
Mediq PRN Life Support Services, Inc. 11.00% 2008 .......... 30,000 22,875
Owens & Minor, Inc. 10.88% 2006 ............................ 20,000 20,400
-----------
637,778
-----------
INDUSTRIAL & COMMERCIAL -- 1.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
K & F Industries, Inc., Series B 9.25% 2007 ................ 30,000 28,800
SCL Term Aereo Santiago SA 6.95% 2012* ..................... 200,000 182,434
BUSINESS SERVICES -- 1.1%
Allied Waste North America, Inc., Series B 7.63% 2006 ...... 35,000 31,500
Boise Cascade Office Products Corp. 7.05% 2005 ............. 230,000 213,824
Federal Express Corp. 6.72% 2022 ........................... 189,527 179,431
Fisher Scientific International, Inc. 9.00% 2008 ........... 20,000 18,500
Iron Mountain, Inc. 8.75% 2009 ............................. 20,000 18,800
Neenah Foundry Co., Series F 11.13% 2007 ................... 5,000 4,713
True Temper Sports, Inc. 10.88% 2008 ....................... 45,000 41,737
USA Waste Services, Inc. 7.13% 2007 ........................ 170,000 153,568
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
WMX Technologies, Inc. 7.00% 2006 .......................... $ 15,000 $ 13,570
World Color Press, Inc. 8.38% 2008 ......................... 15,000 14,775
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008 ....................... 15,000 9,300
Johnstown America Industries, Inc., Series C 11.75% 2005 ... 10,000 10,250
Numatics, Inc., Series B 9.63% 2008 ........................ 10,000 8,550
Westinghouse Air Brake Co. Series B2 9.38% 2005 ............ 5,000 5,056
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ......................... 10,000 9,000
TRANSPORTATION -- 0.1%
AMR Corp. 9.88% 2020 ....................................... 70,000 82,138
-----------
1,025,946
-----------
INFORMATION & ENTERTAINMENT -- 2.3%
BROADCASTING & MEDIA -- 1.6%
Adelphia Communications Corp., Series B 8.38% 2008 ......... 10,000 9,425
Allbritton Communications Co., Series B 8.88% 2008 ......... 20,000 19,100
AMC Entertainment, Inc. 9.50% 2009 ......................... 45,000 37,575
American Media Operations, Inc. 10.25% 2009* ............... 15,000 14,550
Benedek Communications Corp. zero coupon 2006(2) ........... 30,000 26,213
Cablevision SA 13.75% 2009* ................................ 10,000 9,250
Century Communications Corp., Series B zero coupon 2008 .... 55,000 23,100
Charter Communications Holdings 8.63% 2009* ................ 40,000 37,600
Classic Cable, Inc. 9.88% 2008* ............................ 10,000 10,075
Comcast Cable Communications Corp. 8.50% 2027 .............. 50,000 52,857
Echostar DBS Corp. 9.38% 2009* ............................. 70,000 69,037
Emmis Communications Corp., Series B 8.13% 2009 ............ 10,000 9,475
Falcon Holding Group LP, Series B 8.38% 2010 ............... 20,000 19,650
Falcon Holding Group LP, Series B zero coupon 2010(2) ...... 10,000 6,925
Frontiervision Holdings LP zero coupon 2007(2) ............. 25,000 21,156
Frontiervision Holdings LP zero coupon 2007(2) ............. 15,000 12,844
Granite Broadcasting Corp. 8.88% 2008 ...................... 20,000 19,300
LIN Holdings Corp. zero coupon 2008(2) ..................... 65,000 44,037
Multicanal SA 13.13% 2009* ................................. 35,000 32,725
News America Holdings, Inc. 8.00% 2016 ..................... 305,000 299,931
Price Communications Wireless, Inc., Series B 9.13% 2006 ... 25,000 25,375
RCN Corp. zero coupon 2008(2) .............................. 45,000 27,000
Scholastic Corp. 7.00% 2003 ................................ 80,000 79,069
Sullivan Graphics, Inc. 12.75% 2005 ........................ 25,000 25,625
TV Guide, Inc. 8.13% 2009 .................................. 25,000 23,594
Viacom, Inc. 7.75% 2005 .................................... 80,000 81,120
Young Broadcasting, Inc., Series B 8.75% 2007 .............. 25,000 24,375
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00% 2008 .................... 40,000 40,150
LEISURE & TOURISM -- 0.6%
Aztar Corp. 8.88% 2007 ..................................... 25,000 23,500
Continental Airlines, Inc. 6.47% 2004 ...................... 90,771 87,910
Continental Airlines, Inc. 6.65% 2017 ...................... 68,494 62,400
Dunlop Standard Aerospace Holdings PLC 11.88% 2009* ........ 35,000 35,262
Hollywood Casino Corp. 11.25% 2007* ........................ 40,000 40,400
Loews Cineplex Entertainment Corp. 8.88% 2008 .............. 40,000 36,200
</TABLE>
- ----------------
42
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Station Casinos, Inc. 8.88% 2008 ........................... $ 25,000 $ 24,313
Tricon Global Restaurants, Inc. 7.65% 2008 ................. 25,000 24,764
-----------
1,435,882
-----------
INFORMATION TECHNOLOGY -- 1.6%
COMMUNICATION EQUIPMENT -- 0.0%
L-3 Communications Corp., Series B 8.00% 2008 .............. 15,000 14,063
Verio, Inc. 11.25% 2008 .................................... 10,000 10,200
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003 ................... 25,000 22,500
Amphenol Corp. 9.88% 2007 .................................. 5,000 5,038
SCG Holdings & Semiconductor Co. 12.00% 2009* .............. 25,000 25,562
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007 ....................... 30,000 30,150
Exodus Communications, Inc. 11.25% 2008 .................... 30,000 30,450
PSInet, Inc. 10.00% 2005 ................................... 20,000 19,125
PSInet, Inc. 11.00% 2009 ................................... 10,000 9,875
PSInet, Inc. 11.50% 2008 ................................... 15,000 15,150
TELECOMMUNICATIONS -- 1.4%
Alaska Communications Systems 9.38% 2009* .................. 25,000 23,563
AMSC Acquisition, Inc., Series B 12.25% 2008 ............... 5,000 3,600
Bresnan Communications Group zero coupon 2009*(2) .......... 20,000 13,100
BTI Telecom Corp. 10.50% 2007 .............................. 10,000 8,400
Clearnet Communications, Inc. zero coupon 2009(2) .......... 20,000 11,975
Compania De Telecomunicaciones De Chile 7.63% 2006 ......... 50,000 46,961
Compania De Telecomunicaciones De Chile 8.38% 2006 ......... 50,000 49,533
Covad Communications Group, Inc. 12.50% 2009 ............... 15,000 14,175
e.Spire Communications, Inc. zero coupon 2008(2) ........... 35,000 12,600
Fairchild Semiconductor Corp. 10.13% 2007 .................. 35,000 34,300
GCI, Inc. 9.75% 2007 ....................................... 35,000 33,162
Globalstar LP 10.75% 2004 .................................. 15,000 9,450
GST Telecommunications, Inc. zero coupon 2008*(2) .......... 20,000 9,400
Hyperion Telecommunications, Inc., Series B 12.25% 2004 .... 20,000 21,000
Hyperion Telecommunications, Inc., Series B zero coupon
2003(2) .................................................. 10,000 8,400
Insight Midwest LP 9.75% 2009 .............................. 5,000 5,038
Intermedia Communications, Inc., Series B 8.88% 2007 ....... 35,000 30,975
Iridium LLC, Series C 11.25% 2005(4) ....................... 15,000 1,500
Iridium LLC, Series D 10.88% 2005(4) ....................... 10,000 1,000
ITC Deltacom, Inc. 9.75% 2008 .............................. 5,000 5,025
IXC Communications, Inc. 9.00% 2008 ........................ 25,000 24,625
KMC Telecom Holdings, Inc. zero coupon 2008(2) ............. 40,000 21,350
Level 3 Communications, Inc. 9.13% 2008 .................... 15,000 13,575
McleodUSA, Inc. 8.38% 2008 ................................. 15,000 13,950
McleodUSA, Inc. 9.25% 2007 ................................. 10,000 9,900
MGC Communications, Inc., Series B 13.00% 2004 ............. 15,000 13,350
MJD Communications, Inc., Series B 9.50% 2008 .............. 10,000 9,725
Nextel Communications, Inc. zero coupon 2007(2) ............ 85,000 60,137
NEXTLINK Communications, Inc. zero coupon 2009 ............. 15,000 8,644
NEXTLINK Communications, Inc. zero coupon 2008(2) .......... 45,000 26,325
NTL Communications Corp., Series B zero coupon 2008(2) ..... 50,000 33,312
Paging Network, Inc. 10.13% 2007 ........................... 25,000 6,875
Qwest Communications International, Inc. 7.50% 2008 ........ 10,000 9,718
Rogers Cantel, Inc. 9.38% 2008 ............................. 10,000 10,500
RSL Communications PLC 12.00% 2008 ......................... 25,000 25,062
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Satelites Mexicanos SA 10.13% 2004 ......................... $ 20,000 $ 14,950
Tele-Communications, Inc. 7.25% 2005 ....................... 50,000 50,699
Tele-Communications, Inc. 8.00% 2005 ....................... 50,000 52,328
Tele-Communications, Inc. 9.25% 2002 ....................... 50,000 53,169
Telecommunications Techniques Co. LLC 9.75% 2008 ........... 25,000 23,688
Time Warner Telecom, Inc. 9.75% 2008 ....................... 30,000 30,225
Verio, Inc. 10.38% 2005 .................................... 20,000 19,850
Viatel, Inc. 11.25% 2008 ................................... 25,000 23,500
-----------
1,080,727
-----------
MATERIALS -- 1.2%
CHEMICALS -- 0.8%
Acetex Corp. 9.75% 2003 .................................... 25,000 22,187
Arco Chemical Co. 9.80% 2020 ............................... 15,000 14,277
Huntsman Corp. 9.50% 2007* ................................. 15,000 14,025
ICI Wilmington, Inc. 6.95% 2004 ............................ 270,000 268,140
Lyondell Chemical Co., Series B 9.88% 2007 ................. 45,000 44,550
Pioneer Americas Acquisition Corp., Series B 9.25% 2007 .... 15,000 11,513
Praxair, Inc. 6.75% 2003 ................................... 75,000 74,380
Scotts Co. 8.63% 2009* ..................................... 5,000 4,775
Sovereign Specialty Chemicals Corp. 9.50% 2007 ............. 15,000 14,813
Texas Petrochemicals Corp. 11.13% 2006 ..................... 30,000 25,275
ZSC Specialty Chemical PLC 11.00% 2009* .................... 25,000 25,000
FOREST PRODUCTS -- 0.2%
Boise Cascade Corp., Series B 9.90% 2001 ................... 90,000 94,072
Doman Industries, Ltd. 12.00% 2004* ........................ 25,000 25,188
Gaylord Container Corp., Series B 9.38% 2007 ............... 20,000 18,550
Grupo Industrial Durango SA de CV 12.63% 2003 .............. 10,000 9,775
Packaging Corp. of America 9.63% 2009* ..................... 15,000 15,150
Repap New Brunswick, Inc. 9.00% 2004 ....................... 10,000 9,600
METALS & MINERALS -- 0.2%
Alaska Steel Corp. 7.88% 2009 .............................. 10,000 9,225
Armco, Inc. 8.88% 2008 ..................................... 25,000 24,562
Bayou Steel Corp. 9.50% 2008 ............................... 15,000 14,137
BWay Corp., Series B 10.25% 2007 ........................... 20,000 20,100
Consumers Packaging, Inc. 9.75% 2007 ....................... 10,000 9,475
Neenah Corp., Series B 11.13% 2007 ......................... 5,000 4,713
P & L Coal Holdings Corp., Series B 9.63% 2008 ............. 30,000 28,725
Weirton Steel Corp. 11.38% 2004 ............................ 5,000 4,963
-----------
807,170
-----------
MUNICIPAL BONDS -- 1.4%
MUNICIPAL BONDS -- 1.4%
Allentown Pennsylvania 6.20% 2005 .......................... 280,000 270,992
Fresno County California Pension Obligation 6.07% 2003 ..... 50,000 49,005
Hudson County New Jersey Improvement Authority Facility
6.55% 2002 ............................................... 135,000 135,960
Huntsville Alabama Solid Waste Disposal Authority 5.95%
2003 ..................................................... 100,000 97,336
Miami Florida Revenue 7.25% 2003 ........................... 135,000 138,038
Phoenix Arizona Civic Improvement Corp. 6.30% 2008 ......... 100,000 94,588
Southern California Public Power Authority Project 6.93%
2017 ..................................................... 125,000 117,811
-----------
903,730
-----------
</TABLE>
- ----------------
44
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Lithuania 7.13% 2002* .......................... $ 43,000 $ 40,098
-----------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.4%
Equity Office Properties Operating LP 6.38% 2003 ........... 120,000 116,265
Post Apartment Homes LP 7.02% 2001 ......................... 130,000 131,499
-----------
247,764
-----------
U.S. GOVERNMENT & AGENCIES -- 39.1%
U.S. GOVERNMENT & AGENCIES -- 39.1%
Federal Home Loan Mortgage Corp. 6.00% 2006 ................ 23,140 23,075
Federal Home Loan Mortgage Corp. 6.00% 2013 ................ 471,592 454,054
Federal Home Loan Mortgage Corp. 6.00% 2028 ................ 954,996 891,421
Federal Home Loan Mortgage Corp. 6.50% 2022 ................ 160,000 153,549
Federal Home Loan Mortgage Corp. 6.50% 2023 ................ 60,000 54,956
Federal Home Loan Mortgage Corp. 6.75% 2022 ................ 45,000 43,589
Federal Home Loan Mortgage Corp. 7.00% 2023 ................ 32,000 31,400
Federal Home Loan Mortgage Corp. 7.50% 2023 ................ 16,015 16,145
Federal Home Loan Mortgage Corp. 7.75% 2022 ................ 89,247 89,497
Federal Home Loan Mortgage Corp. 8.50% 2008 ................ 165,111 169,486
Federal Home Loan Mortgage Corp. 8.50% 2019 ................ 37,932 39,402
Federal National Mortgage Association 5.25% 2003 ........... 1,635,000 1,586,964
Federal National Mortgage Association 5.63% 2001 ........... 710,000 706,890
Federal National Mortgage Association 5.65% 2005 ........... 20,479 20,382
Federal National Mortgage Association 5.75% 2008 ........... 1,715,000 1,619,063
Federal National Mortgage Association 6.00% 2014 ........... 757,953 728,985
Federal National Mortgage Association 6.00% 2028 ........... 545,845 509,000
Federal National Mortgage Association 6.00% 2028 ........... 38,888 36,263
Federal National Mortgage Association 6.18% 2008 ........... 24,690 23,751
Federal National Mortgage Association 6.27% 2007 ........... 83,740 81,209
Federal National Mortgage Association 6.30% 2008 ........... 19,746 19,136
Federal National Mortgage Association 6.30% 2008 ........... 24,575 23,859
Federal National Mortgage Association 6.34% 2008 ........... 19,489 18,983
Federal National Mortgage Association 6.36% 2008 ........... 128,225 125,417
Federal National Mortgage Association 6.39% 2006 ........... 19,246 18,901
Federal National Mortgage Association 6.43% 2008 ........... 24,573 24,042
Federal National Mortgage Association 6.50% 2013 ........... 451,708 443,239
Federal National Mortgage Association 6.59% 2007 ........... 98,132 96,949
Federal National Mortgage Association 6.91% 2007 ........... 97,994 98,688
Federal National Mortgage Association 6.98% 2007 ........... 141,362 142,888
Federal National Mortgage Association 7.02% 2007 ........... 18,748 18,984
Federal National Mortgage Association 7.04% 2007 ........... 63,556 64,325
Federal National Mortgage Association 7.28% 2006 ........... 39,014 39,954
Federal National Mortgage Association 7.39% 2021 ........... 47,724 48,547
Federal National Mortgage Association 7.75% 2021 ........... 200,000 202,374
Federal National Mortgage Association 8.00% 2006 ........... 89,492 91,170
Government National Mortgage Association 6.50% 2029 ........ 350,000 334,575
Government National Mortgage Association 7.00% 2022 ........ 16,957 16,734
Government National Mortgage Association 7.00% 2023 ........ 11,688 11,531
Government National Mortgage Association 7.00% 2029 ........ 499,652 490,609
Government National Mortgage Association 7.25% 2027 ........ 265,269 263,237
Government National Mortgage Association 7.50% 2022 ........ 28,702 28,899
Government National Mortgage Association 7.50% 2024 ........ 9,765 9,822
Government National Mortgage Association 7.50% 2027 ........ 292,787 293,700
Government National Mortgage Association 8.50% 2017 ........ 49,165 51,355
Government National Mortgage Association 9.00% 2021 ........ 12,176 12,800
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Overseas Private Investment Corp., Series 96-A 6.99%
2009 ..................................................... $ 465,000 $ 469,896
United States Treasury Bonds 5.25% 2028 .................... 800,000 693,376
United States Treasury Bonds 5.50% 2028 .................... 35,000 31,325
United States Treasury Bonds 7.50% 2016 .................... 700,000 774,809
United States Treasury Bonds 8.50% 2020 .................... 275,000 337,648
United States Treasury Bonds 9.25% 2016 .................... 1,850,000 2,365,687
United States Treasury Bonds 11.88% 2003 ................... 1,700,000 2,062,049
United States Treasury Bonds 12.00% 2013 ................... 2,360,000 3,257,909
United States Treasury Notes 4.63% 2000 .................... 200,000 198,032
United States Treasury Notes 4.75% 2008 .................... 800,000 728,248
United States Treasury Notes 5.00% 2001 .................... 1,400,000 1,389,066
United States Treasury Notes 5.50% 2009 .................... 900,000 870,894
United States Treasury Notes 5.63% 2008 .................... 200,000 194,124
United States Treasury Notes 5.75% 2000 .................... 150,000 150,399
United States Treasury Notes 6.63% 2001 .................... 225,000 228,726
United States Treasury Notes 7.75% 2001 .................... 1,350,000 1,387,760
United States Treasury Strip Bonds zero coupon 2012 ........ 475,000 215,014
-----------
25,624,761
-----------
UTILITIES -- 2.0%
ELECTRIC UTILITIES -- 0.7%
Atlantic City Electric Co. 6.38% 2005 ...................... 60,000 59,074
Pacificorp 6.38% 2008 ...................................... 250,000 243,275
Public Service Electric & Gas Co. 8.88% 2003 ............... 35,000 36,678
UtiliCorp United, Inc. 6.88% 2004 .......................... 80,000 78,686
WESCO Distribution, Inc., Series B 9.13% 2008 .............. 20,000 18,800
GAS & PIPELINE UTILITIES -- 0.5%
HNG Internorth, Inc. 9.63% 2006 ............................ 140,000 154,301
KN Energy, Inc. 6.65% 2005 ................................. 200,000 191,788
TELEPHONE -- 0.8%
Alestra SA DE RL DE CV 12.13% 2006* ........................ 50,000 47,125
GTE Corp. 6.36% 2006 ....................................... 210,000 201,398
Intermedia Communications, Inc., Series B 9.50% 2009 ....... 10,000 9,100
Intermedia Communications, Inc., Series B zero coupon
2009(2) .................................................. 25,000 12,187
MCI Communications Corp. 6.13% 2002(5) ..................... 60,000 59,515
MCI WorldCom, Inc. 7.55% 2004 .............................. 200,000 204,302
-----------
1,316,229
-----------
TOTAL BONDS & NOTES (cost $43,856,118) ..................... 42,092,729
-----------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
<S> <C> <C>
- --------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $55) ............ 20 50
-----------
TOTAL INVESTMENT SECURITIES (cost $59,474,784) ............. 62,036,240
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 1.1% PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.4%
Cincinnati Milacron, Inc. 7.88% due 5/15/00 ................ $ 130,000 130,290
Cleveland Electric Illuminating Co., Series B 7.19% due
7/01/00 .................................................. 50,000 50,060
Private Export Funding Corp. 7.90% due 3/31/00 ............. 75,000 75,782
-----------
256,132
-----------
</TABLE>
- ------------------
46
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.7%
Federal Home Loan Mortgage Discount Notes 5.18% due
10/01/99 ................................................. $ 500,000 $ 500,000
-----------
TOTAL SHORT-TERM SECURITIES (cost $756,046) ................ 756,132
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.7%
- --------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 5.7%
ABN Amro Bank NA Joint Repurchase Agreement Account (Note
3) ....................................................... 2,605,000 2,605,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3) ......................................... 1,139,000 1,139,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $3,744,000) .............. 3,744,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $63,974,830) 101.4% 66,536,372
Liabilities in excess of other
assets -- (1.4) (948,123)
----- -----------
NET ASSETS -- 100.0% $65,588,249
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Bond in default
(5) Variable rate security; rate as of September 30, 1999
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 41,806 EUR 40,000 10/08/1999 $ 783
*USD 26,048 EUR 25,000 10/08/1999 570
EUR 250,000 USD 271,250 12/09/1999 3,736
-------
$ 5,089
-------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 43,057 EUR 40,000 10/08/1999 $ (469)
EUR 25,000 USD 25,775 10/08/1999 (843)
*EUR 325,000 USD 339,950 10/08/1999 (6,081)
EUR 30,000 USD 31,664 10/08/1999 (278)
EUR 75,000 USD 78,746 10/08/1999 (1,106)
-------
(8,777)
-------
Net Unrealized Depreciation.......................... $(3,688)
=======
</TABLE>
- -------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
<TABLE>
<S> <C>
EUR -- Euro Dollar
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
47
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 16.6%
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.5%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .............................................. 1,900 $ 11,756
AUTOMOTIVE -- 0.1%
Ford Motor Co. ............................................. 600 30,112
General Motors Corp. ....................................... 500 31,469
RETAIL -- 1.3%
Amazon.com, Inc.+ .......................................... 3,410 271,948
Costco Wholesale Corp.+ .................................... 495 35,640
Dayton Hudson Corp. ........................................ 480 28,830
eBay, Inc.+ ................................................ 455 64,184
Gap, Inc. .................................................. 1,500 48,000
Home Depot, Inc. ........................................... 1,640 112,545
Staples, Inc.+ ............................................. 2,830 61,729
Wal-Mart Stores, Inc. ...................................... 1,600 76,100
-----------
772,313
-----------
CONSUMER STAPLES -- 0.0%
FOOD, BEVERAGE & TOBACCO -- 0.0%
Philip Morris Cos., Inc. ................................... 700 23,931
-----------
ENERGY -- 1.2%
ENERGY SERVICES -- 0.3%
Baker Hughes, Inc. ......................................... 2,000 58,000
Halliburton Co. ............................................ 900 36,900
Schlumberger Ltd. .......................................... 1,000 62,312
ENERGY SOURCES -- 0.9%
Chevron Corp. .............................................. 500 44,375
Enron Corp. ................................................ 6,195 255,544
Exxon Corp. ................................................ 200 15,188
Mobil Corp. ................................................ 800 80,600
Royal Dutch Petroleum Co. GDR .............................. 1,000 59,062
-----------
611,981
-----------
FINANCE -- 1.7%
BANKS -- 0.6%
Bank of America Corp. ...................................... 1,000 55,687
Bank of New York Co., Inc. ................................. 1,000 33,437
Chase Manhattan Corp. ...................................... 600 45,225
Fifth Third Bancorp ........................................ 570 34,681
First Union Corp. .......................................... 350 12,447
Firstar Corp. .............................................. 2,285 58,553
Mellon Bank Corp. .......................................... 2,000 67,500
</TABLE>
- ----------------
48
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Summit Bancorp. ............................................ 600 $ 19,463
Telebanc Financial Corp.+ .................................. 305 7,015
FINANCIAL SERVICES -- 1.1%
American Express Co. ....................................... 1,420 191,167
Capital One Financial Corp. ................................ 1,800 70,200
Citigroup, Inc. ............................................ 900 39,600
E*TRADE Group, Inc.+ ....................................... 920 21,620
Fannie Mae ................................................. 600 37,613
Merrill Lynch & Co., Inc. .................................. 1,000 67,188
Morgan Stanley, Dean Witter & Co. .......................... 1,000 89,187
Paine Webber Group, Inc. ................................... 900 32,625
-----------
883,208
-----------
HEALTHCARE -- 1.5%
DRUGS -- 0.6%
Abbott Laboratories, Inc. .................................. 500 18,375
Amgen, Inc.+ ............................................... 500 40,750
Biogen, Inc.+ .............................................. 1,000 78,812
Merck & Co., Inc. .......................................... 600 38,888
Pfizer, Inc. ............................................... 1,800 64,688
Warner-Lambert Co. ......................................... 1,300 86,287
MEDICAL PRODUCTS -- 0.9%
Johnson & Johnson Co. ...................................... 800 73,500
Medtronic, Inc. ............................................ 3,624 128,652
MiniMed, Inc.+ ............................................. 640 62,880
PE Corp.-PE Biosystems Group ............................... 340 24,565
Schering-Plough Corp. ...................................... 3,860 168,392
-----------
785,789
-----------
INDUSTRIAL & COMMERCIAL -- 0.8%
BUSINESS SERVICES -- 0.1%
Exodus Communications, Inc.+ ............................... 715 51,525
PSInet, Inc.+ .............................................. 740 26,617
MACHINERY -- 0.0%
United Technologies Corp. .................................. 300 17,794
MULTI-INDUSTRY -- 0.7%
Mannesmann AG+ ............................................. 574 91,614
Tyco International Ltd. .................................... 2,487 256,783
-----------
444,333
-----------
INFORMATION & ENTERTAINMENT -- 1.6%
BROADCASTING & MEDIA -- 1.5%
Cablevision Systems Corp., Class A+ ........................ 820 59,655
CBS Corp.+ ................................................. 700 32,375
Clear Channel Communications, Inc.+ ........................ 1,100 87,862
Cox Communications, Inc., Class A+ ......................... 1,490 62,208
DoubleClick, Inc.+ ......................................... 750 89,344
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Infinity Broadcasting Corp., Class A+ ...................... 155 $ 4,543
Lamar Advertising Co.+ ..................................... 419 20,741
Liberty Digital, Inc., Class A+ ............................ 295 6,877
MediaOne Group, Inc.+ ...................................... 1,500 102,469
Outdoor Systems, Inc.+ ..................................... 911 32,568
Time Warner, Inc. .......................................... 4,304 261,468
VoiceStream Wireless Corp. ................................. 625 38,574
ENTERTAINMENT PRODUCTS -- 0.0%
Mattel, Inc. ............................................... 380 7,220
LEISURE & TOURISM -- 0.1%
Carnival Corp., Class A .................................... 460 20,010
McDonald's Corp. ........................................... 600 25,800
-----------
851,714
-----------
INFORMATION TECHNOLOGY -- 7.1%
COMMUNICATION EQUIPMENT -- 1.0%
Lucent Technologies, Inc. .................................. 1,200 77,850
Nokia Corp., Class A ADR ................................... 4,325 388,439
UnitedGlobal.com, Class A+ ................................. 745 53,361
COMPUTERS & BUSINESS EQUIPMENT -- 1.7%
Cisco Systems, Inc.+ ....................................... 3,659 250,870
Dell Computer Corp.+ ....................................... 1,800 75,262
EMC Corp.+ ................................................. 3,650 260,747
Hewlett-Packard Co. ........................................ 100 9,200
Honeywell, Inc. ............................................ 200 22,263
International Business Machines Corp. ...................... 1,500 182,062
Micron Technology, Inc.+ ................................... 1,000 66,563
ELECTRONICS -- 1.9%
Applied Materials, Inc.+ ................................... 1,165 90,724
ASM Lithography Holdings NV+ ............................... 915 61,362
Conexant Systems, Inc.+ .................................... 1,675 121,699
General Electric Co. ....................................... 2,000 237,125
Intel Corp. ................................................ 1,800 133,763
Maxim Integrated Products, Inc.+ ........................... 290 18,297
Motorola, Inc. ............................................. 1,000 88,000
National Semiconductor Corp.+ .............................. 1,600 48,800
Pittway Corp., Class A ..................................... 730 22,995
Texas Instruments, Inc. .................................... 1,830 150,518
Vitesse Semiconductor Corp.+ ............................... 545 46,529
SOFTWARE -- 1.2%
America Online, Inc.+ ...................................... 235 24,440
Inktomi Corp.+ ............................................. 245 29,408
Microsoft Corp.+ ........................................... 4,150 375,834
Sapient Corp.+ ............................................. 725 68,331
Sun Microsystems, Inc.+ .................................... 455 42,315
Yahoo!, Inc.+ .............................................. 520 93,340
</TABLE>
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50
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 1.3%
Comcast Corp., Class A ..................................... 5,255 $ 209,543
Comverse Technology, Inc.+ ................................. 100 9,431
JDS Uniphase Corp.+ ........................................ 1,085 123,487
Level 3 Communications, Inc.+ .............................. 1,415 73,890
NEXTLINK Communications, Inc., Class A+ .................... 760 39,401
NTL, Inc.+ ................................................. 425 40,840
Sprint Corp. (PCS Group) ................................... 825 61,514
VeriSign, Inc.+ ............................................ 435 46,328
Vodafone AirTouch PLC ADR .................................. 340 80,835
Vodafone Group PLC ......................................... 791 18,667
-----------
3,744,033
-----------
MATERIALS -- 0.2%
CHEMICALS -- 0.0%
du Pont (E.I.) de Nemours & Co. ............................ 300 18,263
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ...................................... 1,000 40,500
METALS & MINERALS -- 0.1%
Alcoa, Inc. ................................................ 1,000 62,062
-----------
120,825
-----------
UTILITIES -- 1.0%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. .................................................. 600 19,575
PECO Energy Co. ............................................ 700 26,250
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .............................................. 1,000 40,938
TELEPHONE -- 0.8%
AT&T Corp. ................................................. 1,700 73,950
AT&T Corp. - Liberty Media Group, Class A+ ................. 6,871 255,086
GTE Corp. .................................................. 300 23,062
MCI WorldCom, Inc.+ ........................................ 1,000 71,875
SBC Communications, Inc. ................................... 400 20,425
-----------
531,161
-----------
TOTAL COMMON STOCK (cost $7,005,336)........................ 8,769,288
-----------
<CAPTION>
PREFERRED STOCK -- 0.0%
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp., Series B 13.50%(1)
(cost $11,780)............................................. 15 13,650
-----------
</TABLE>
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51
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES -- 78.3% PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.0%
AUTOMOTIVE -- 0.2%
Accuride Corp., Series B 9.25% 2008 ........................ $ 10,000 $ 9,200
Delco Remy International, Inc. 8.63% 2007 .................. 25,000 23,188
Dura Operating Corp. 9.00% 2009* ........................... 10,000 9,475
Federal-Mogul Corp. 8.80% 2007 ............................. 30,000 29,361
LDM Technologies, Inc., Series B 10.75% 2007 ............... 25,000 21,500
HOUSING -- 0.2%
Engle Homes, Inc., Series C 9.25% 2008 ..................... 10,000 8,700
Falcon Building Products, Inc., Series B zero coupon
2007(2) ................................................... 25,000 17,750
Henry Co., Series B 10.00% 2008 ............................ 20,000 13,350
Nortek, Inc., Series B 8.88% 2008 .......................... 5,000 4,737
Nortek, Inc., Series B 9.25% 2007 .......................... 25,000 24,375
Standard Pacific Corp. 8.50% 2007 .......................... 20,000 19,050
Toll Corp. 8.13% 2009 ...................................... 15,000 14,063
Webb (Del E.) Corp. 10.25% 2010 ............................ 25,000 23,437
RETAIL -- 0.6%
Amazon.com, Inc. zero coupon 2008(2) ....................... 28,000 18,760
Disco SA 9.88% 2008 ........................................ 20,000 17,600
Duane Reade, Inc. 9.25% 2008 ............................... 55,000 55,412
J.C. Penney Co., Inc. 7.40% 2037 ........................... 105,000 102,718
Kroger Co. 7.38% 2005 ...................................... 55,000 54,258
Mattress Discounters Corp. 12.63% 2007*(3) ................. 20,000 19,350
Stater Brothers Holdings, Inc. 10.75% 2006* ................ 30,000 30,638
-----------
516,922
-----------
CONSUMER STAPLES -- 1.3%
FOOD, BEVERAGE & TOBACCO -- 1.2%
Aurora Foods, Inc., Series B 8.75% 2008 .................... 5,000 4,750
Aurora Foods, Inc., Series D 9.88% 2007 .................... 15,000 15,113
B & G Foods Corp. 9.63% 2007 ............................... 25,000 23,125
Chiquita Brands International, Inc. 10.00% 2009 ............ 20,000 18,150
Del Monte Foods Co., Series B zero coupon 2007*(2) ......... 26,000 19,467
Nash Finch Co., Series B 8.50% 2008 ........................ 35,000 31,369
Panamerican Beverages, Inc. 8.13% 2003 ..................... 80,000 76,630
Seagram (Joseph E.) & Sons, Inc. 7.50% 2018 ................ 300,000 287,244
Vlasic Foods International, Inc. 10.25% 2009* .............. 30,000 26,850
Whitman Corp. 6.38% 2009 ................................... 165,000 152,077
HOUSEHOLD PRODUCTS -- 0.1%
Purina Mills, Inc. 9.00% 2010 .............................. 30,000 5,925
Revlon Consumer Products Corp. 9.00% 2006 .................. 15,000 13,575
Revlon Worldwide Corp. zero coupon 2001 .................... 15,000 8,400
Royster Clark, Inc. 10.25% 2009* ........................... 15,000 14,137
-----------
696,812
-----------
ENERGY -- 2.1%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ............................ 15,000 12,487
Key Energy Services, Inc., Series B 14.00% 2009 ............ 5,000 5,238
Pride Petroleum Services, Inc. 9.38% 2007 .................. 25,000 24,437
Tuboscope Vetco International, Inc. 7.50% 2008 ............. 30,000 26,058
</TABLE>
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52
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 2.0%
Abraxas Petroleum Corp., Series D 11.50% 2004 .............. $ 30,000 $ 20,850
Calpine Corp. 8.75% 2007 ................................... 30,000 30,125
Conoco, Inc. 5.90% 2004 .................................... 120,000 116,222
Conoco, Inc. 6.95% 2029 .................................... 130,000 120,642
Cross Timbers Oil Co., Series B 9.25% 2007 ................. 15,000 14,850
Energy Corp. of America, Series A 9.50% 2007 ............... 45,000 40,106
Enron Corp. 6.75% 2004 ..................................... 125,000 122,436
Kelley Oil & Gas Corp. 14.00% 2003* ........................ 15,000 14,962
Newfield Exploration Co., Series B 7.45% 2007 .............. 120,000 112,498
Petroleos Mexicanos 9.38% 2008* ............................ 80,000 81,500
Petroleos Mexicanos 9.50% 2027* ............................ 60,000 57,600
Sonat, Inc. 6.88% 2005 ..................................... 135,000 130,251
YPF Sociedad Anonima, Series C 10.00% 2028 ................. 150,000 160,728
-----------
1,090,990
-----------
FINANCE -- 14.2%
BANKS -- 3.6%
Banc One Corp. 8.00% 2027 .................................. 55,000 55,729
Bank One Corp. 7.25% 2004 .................................. 135,000 135,950
Bank One Corp. 7.38% 2002 .................................. 40,000 40,599
Banponce Financial Corp., Series C 6.75% 2001 .............. 125,000 124,524
Credit National 7.00% 2005 ................................. 210,000 205,369
First Republic Bancorp 7.75% 2012 .......................... 55,000 50,727
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60%
2007 ...................................................... 245,000 238,819
Korea Development Bank 7.13% 2001 .......................... 30,000 29,503
National City Corp. 7.20% 2005 ............................. 200,000 199,616
National Westminster Bank PLC 7.38% 2009 ................... 135,000 134,842
NBD Bank SA 8.25% 2024 ..................................... 55,000 59,408
NCNB Co. 9.38% 2009 ........................................ 80,000 91,032
Royal Bank Scotland Group PLC 6.40% 2009 ................... 300,000 277,086
United States Bancorp 7.50% 2026 ........................... 210,000 214,355
Werner Holdings Co., Inc., Series A 10.00% 2007 ............ 10,000 9,475
Western Financial Savings Bank 8.88% 2007 .................. 30,000 26,550
FINANCIAL SERVICES -- 8.0%
Aesop Funding Corp. 6.14% 2006* ............................ 120,000 114,394
Aesop Funding II LLC 6.22% 2001* ........................... 130,000 129,597
Aesop Funding II LLC 6.40% 2003* ........................... 100,000 99,704
Allstate Financing II 7.83% 2045 ........................... 53,000 48,421
American General Finance Corp., Series E 6.25% 2002 ........ 300,000 295,031
Arcadia Financial Ltd. 11.50% 2007 ......................... 5,000 3,813
Arcadia Financial Ltd. 11.50% 2007(3) ...................... 10,000 7,975
Asset Securitization Corp. 6.66% 2041 ...................... 85,000 83,082
Associates Corp. of North America 5.75% 2003 ............... 75,000 72,407
Associates Corp. of North America, Series G 7.63% 2004 ..... 130,000 133,784
Chase Credit Card Master Trust 6.19% 2005* ................. 190,000 188,594
Citigroup, Inc. 6.63% 2028 ................................. 340,000 298,641
Crown Castle International Corp. zero coupon 2007(2) ....... 45,000 31,669
CS First Boston Mortgage Securities Corp. 7.24% 2029 ....... 110,000 109,870
Dime Capital Trust I, Series A 9.33% 2027 .................. 45,000 44,769
Equitable Cos., Inc. 7.00% 2028 ............................ 130,000 117,042
</TABLE>
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53
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Finova Capital Corp. 6.63% 2001 ............................ $ 125,000 $ 124,822
Finova Capital Corp., Series C 6.39% 2002 .................. 95,000 93,201
Fleet Mortgage Group, Inc., Series A 6.84% 2003 ............ 50,000 49,968
Ford Motor Credit Co. 7.02% 2000 ........................... 125,000 126,196
G E Capital Mortgage Services, Inc. 6.25% 2023 ............. 14,661 14,597
General Electric Capital Corp. 8.70% 2007 .................. 250,000 275,892
General Motors Acceptance Corp. 7.63% 2003 ................. 130,000 133,505
Liberty Financial Cos., Inc. 6.75% 2008 .................... 130,000 121,277
Popular North America, Inc. 6.63% 2002 ..................... 40,000 39,286
Principal Financial Group Australia 8.20% 2009* ............ 340,000 342,751
Private Export Funding Corp. 6.31% 2004 .................... 100,000 99,733
Private Export Funding Corp. 7.03% 2003 .................... 100,000 102,320
Private Export Funding Corp. 7.30% 2002 .................... 265,000 271,212
RBF Finance Co. 11.38% 2009 ................................ 35,000 36,750
Sprint Capital Corp. 6.13% 2008 ............................ 180,000 167,362
Sun Canada Financial Co. 6.63% 2007* ....................... 160,000 152,153
Tembec Finance Corp. 9.88% 2005 ............................ 15,000 15,450
Tembec Industries, Inc. 8.63% 2009 ......................... 5,000 4,912
Toyota Motor Credit Corp. 5.63% 2003 ....................... 150,000 144,733
U.S. West Capital Funding, Inc. 6.25% 2005 ................. 165,000 157,351
INSURANCE -- 2.6%
AAG Holding, Inc. 6.88% 2008 ............................... 120,000 109,948
Abbey National PLC 6.69% 2005 .............................. 270,000 262,553
American Financial Group, Inc. 7.13% 2009 .................. 70,000 63,664
CIGNA Corp. 7.40% 2007 ..................................... 95,000 94,545
CIGNA Corp. 7.88% 2027 ..................................... 40,000 38,934
Florida Windstorm Underwriting Associates, Inc. 7.13%
2019* ..................................................... 350,000 327,796
Jackson National Life Insurance Co. 8.15% 2027* ............ 49,000 49,092
Lumbermens Mutual Casualty Co. 8.30% 2037* ................. 85,000 77,300
Metropolitan Life Insurance Co. 7.70% 2015* ................ 140,000 140,406
Prudential Insurance Co. America 6.88% 2003* ............... 235,000 235,007
-----------
7,545,093
-----------
HEALTHCARE -- 1.3%
HEALTH SERVICES -- 0.5%
Beverly Enterprises, Inc. 9.00% 2006 ....................... 10,000 8,600
Columbia/HCA Healthcare Corp. 7.00% 2007 ................... 5,000 4,375
Columbia/HCA Healthcare Corp. 7.25% 2008 ................... 25,000 21,879
HEALTHSOUTH Corp. 6.88% 2005 ............................... 120,000 111,274
Lifepoint Hospitals Holdings, Inc. 10.75% 2009* ............ 15,000 14,925
Tenet Healthcare Corp. 7.88% 2003 .......................... 50,000 48,375
Tenet Healthcare Corp., Series B 8.13% 2008 ................ 20,000 18,243
Triad Hospitals Holdings, Inc. 11.00% 2009* ................ 25,000 24,938
MEDICAL PRODUCTS -- 0.8%
Alaris Med, Inc. zero coupon 2008(2) ....................... 35,000 18,506
Allegiance Corp. 7.00% 2026 ................................ 270,000 268,264
Beckman Instruments, Inc. 7.10% 2003 ....................... 75,000 72,744
Beckman Instruments, Inc. 7.45% 2008 ....................... 25,000 23,242
Mediq PRN Life Support Services, Inc. 11.00% 2008 .......... 30,000 22,875
</TABLE>
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54
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Owens & Minor, Inc. 10.88% 2006 ............................ $ 20,000 $ 20,400
-----------
678,640
-----------
INDUSTRIAL & COMMERCIAL -- 2.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.5%
K & F Industries, Inc., Series B 9.25% 2007 ................ 40,000 38,400
SCL Term Aereo Santiago SA 6.95% 2012* ..................... 250,000 228,042
BUSINESS SERVICES -- 1.3%
Allied Waste North America, Inc., Series B 7.63% 2006 ...... 40,000 36,000
Boise Cascade Office Products Corp. 7.05% 2005 ............. 225,000 209,176
Federal Express Corp. 6.72% 2022 ........................... 179,552 169,987
Fisher Scientific International, Inc. 9.00% 2008 ........... 20,000 18,500
Iron Mountain, Inc. 8.75% 2009 ............................. 25,000 23,500
Neenah Foundry Co., Series F 11.13% 2007 ................... 10,000 9,425
USA Waste Services, Inc. 7.13% 2007 ........................ 200,000 180,668
WMX Technologies, Inc. 7.00% 2006 .......................... 15,000 13,570
World Color Press, Inc. 8.38% 2008 ......................... 20,000 19,700
MACHINERY -- 0.1%
Grove Worldwide, Inc. LLC 9.25% 2008 ....................... 20,000 12,400
Johnstown America Industries, Inc., Series C 11.75% 2005 ... 10,000 10,250
Numatics, Inc., Series B 9.63% 2008 ........................ 10,000 8,550
Westinghouse Air Brake Co., Series B2 9.38% 2005 ........... 10,000 10,113
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ......................... 15,000 13,500
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020 ...................................... 50,000 58,324
-----------
1,060,105
-----------
INFORMATION & ENTERTAINMENT -- 3.1%
BROADCASTING & MEDIA -- 2.2%
Adelphia Communications Corp., Series B 8.38% 2008 ......... 15,000 14,138
Allbritton Communications Co., Series B 8.88% 2008 ......... 20,000 19,100
AMC Entertainment, Inc. 9.50% 2009 ......................... 50,000 41,750
American Media Operations, Inc. 10.25% 2009* ............... 20,000 19,400
Benedek Communications Corp. zero coupon 2006(2) ........... 35,000 30,581
Cablevision SA 13.75% 2009* ................................ 10,000 9,250
Century Communications Corp., Series B zero coupon 2008 .... 65,000 27,300
Charter Communications Holdings 8.63% 2009* ................ 45,000 42,300
Classic Cable, Inc. 9.88% 2008* ............................ 5,000 5,038
Comcast Cable Communications Corp. 8.50% 2027 .............. 80,000 84,571
Echostar DBS Corp. 9.38% 2009* ............................. 75,000 73,969
Emmis Communications Corp., Series B 8.13% 2009 ............ 10,000 9,475
Falcon Holding Group LP, Series B 8.38% 2010 ............... 20,000 19,650
Falcon Holding Group LP, Series B zero coupon 2010(2) ...... 10,000 6,925
Frontiervision Holdings LP zero coupon 2007(2) ............. 30,000 25,387
Frontiervision Holdings LP zero coupon 2007(2) ............. 20,000 17,125
Granite Broadcasting Corp. 8.88% 2008 ...................... 25,000 24,125
LIN Holdings Corp. zero coupon 2008(2) ..................... 65,000 44,037
</TABLE>
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55
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Multicanal SA 13.13% 2009 .................................. $ 35,000 $ 32,725
News America Holdings, Inc. 8.00% 2016 ..................... 330,000 324,515
Price Communications Wireless, Inc., Series B 9.13% 2006 ... 30,000 30,450
RCN Corp. zero coupon 2008(2) .............................. 50,000 30,000
Scholastic Corp. 7.00% 2003 ................................ 85,000 84,011
Sullivan Graphics, Inc. 12.75% 2005 ........................ 30,000 30,750
TV Guide, Inc. 8.13% 2009 .................................. 25,000 23,594
Viacom, Inc. 7.75% 2005 .................................... 80,000 81,120
Young Broadcasting, Inc., Series B 8.75% 2007 .............. 30,000 29,250
ENTERTAINMENT PRODUCTS -- 0.2%
Bell Sports, Inc., Series B 11.00% 2008 .................... 45,000 45,169
True Temper Sports, Inc. 10.88% 2008 ....................... 50,000 46,375
LEISURE & TOURISM -- 0.7%
Aztar Corp. 8.88% 2007 ..................................... 25,000 23,500
Continental Airlines, Inc. 6.47% 2004 ...................... 90,771 87,910
Continental Airlines, Inc. 6.65% 2017 ...................... 73,386 66,858
Dunlop Standard Aerospace Holdings PLC 11.88% 2009* ........ 35,000 35,262
Hollywood Casino Corp. 11.25% 2007* ........................ 45,000 45,450
Loews Cineplex Entertainment Corp. 8.88% 2008 .............. 45,000 40,725
Station Casinos, Inc. 8.88% 2008 ........................... 30,000 29,175
Tricon Global Restaurants, Inc. 7.65% 2008 ................. 30,000 29,717
-----------
1,630,677
-----------
INFORMATION TECHNOLOGY -- 2.2%
COMMUNICATION EQUIPMENT -- 0.1%
L-3 Communications Corp., Series B 8.00% 2008 .............. 20,000 18,750
Verio, Inc. 11.25% 2008 .................................... 10,000 10,200
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003 ................... 20,000 18,000
Amphenol Corp. 9.88% 2007 .................................. 5,000 5,038
SCG Holding & Semiconductor Co. 12.00% 2009* ............... 30,000 30,675
SOFTWARE -- 0.2%
Concentric Network Corp. 12.75% 2007 ....................... 35,000 35,175
Exodus Communications, Inc. 11.25% 2008 .................... 35,000 35,525
PSInet, Inc. 10.00% 2005 ................................... 25,000 23,906
PSInet, Inc. 11.00% 2009 ................................... 10,000 9,875
PSInet, Inc. 11.50% 2008 ................................... 15,000 15,150
TELECOMMUNICATIONS -- 1.8%
Alaska Communications Systems 9.38% 2009* .................. 25,000 23,562
AMSC Acquisition, Inc., Series B 12.25% 2008 ............... 5,000 3,600
Bresnan Communications Group zero coupon 2009(2)* .......... 25,000 16,375
BTI Telecom Corp. 10.50% 2007 .............................. 10,000 8,400
Clearnet Communications, Inc. zero coupon 2009(2) .......... 20,000 11,975
Compania De Telecomunicaciones De Chile 7.63% 2006 ......... 50,000 46,961
Compania De Telecomunicaciones De Chile 8.38% 2006 ......... 60,000 59,439
Covad Communications Group, Inc. 12.50% 2009 ............... 15,000 14,175
e.Spire Communications, Inc. zero coupon 2008(2) ........... 35,000 12,600
Fairchild Semiconductor Corp. 10.13% 2007 .................. 35,000 34,300
</TABLE>
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56
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
GCI, Inc. 9.75% 2007 ....................................... $ 40,000 $ 37,900
Globalstar LP 10.75% 2004 .................................. 15,000 9,450
GST Telecommunications, Inc. zero coupon 2008(2)* .......... 20,000 9,400
Hyperion Telecommunications, Inc., Series B 12.25% 2004 .... 25,000 26,250
Hyperion Telecommunications, Inc., Series B zero coupon
2003(2) ................................................... 10,000 8,400
Insight Midwest LP 9.75% 2009 .............................. 5,000 5,038
Intermedia Communications, Inc., Series B 8.88% 2007 ....... 45,000 39,825
Iridium LLC, Series C 11.25% 2005(4) ....................... 15,000 1,500
Iridium LLC, Series D 10.88% 2005(4) ....................... 10,000 1,000
ITC Deltacom, Inc. 9.75% 2008 .............................. 10,000 10,050
IXC Communications, Inc. 9.00% 2008 ........................ 30,000 29,550
KMC Telecom Holdings, Inc. zero coupon 2008(2) ............. 40,000 21,350
Level 3 Communications, Inc. 9.13% 2008 .................... 15,000 13,575
McleodUSA, Inc. 8.38% 2008 ................................. 15,000 13,950
McleodUSA, Inc. 9.25% 2007 ................................. 15,000 14,850
MGC Communications, Inc., Series B 13.00% 2004 ............. 15,000 13,350
MJD Communications, Inc., Series B 9.50% 2008 .............. 10,000 9,725
Nextel Communications, Inc. zero coupon 2007(2) ............ 90,000 63,675
NEXTLINK Communications, Inc. zero coupon 2009 ............. 15,000 8,644
NEXTLINK Communications, Inc. zero coupon 2008(2) .......... 55,000 32,175
NTL Communications Corp., Series B zero coupon 2008(2) ..... 55,000 36,644
Paging Network, Inc. 10.13% 2007 ........................... 25,000 6,875
Qwest Communications International, Inc., Series B 7.50%
2008 ...................................................... 10,000 9,718
Rogers Cantel, Inc. 9.38% 2008 ............................. 10,000 10,500
RSL Communications PLC 12.00% 2008 ......................... 30,000 30,075
Satelites Mexicanos SA 10.13% 2004 ......................... 20,000 14,950
Tele-Communications, Inc. 7.25% 2005 ....................... 40,000 40,559
Tele-Communications, Inc. 8.00% 2005 ....................... 50,000 52,328
Tele-Communications, Inc. 9.25% 2002 ....................... 60,000 63,803
Telecommunications Techniques Co. LLC 9.75% 2008 ........... 25,000 23,687
Time Warner Telecom, Inc. 9.75% 2008 ....................... 40,000 40,300
Verio, Inc. 10.38% 2005 .................................... 20,000 19,850
Viatel, Inc. 11.25% 2008 ................................... 25,000 23,500
-----------
1,176,127
-----------
MATERIALS -- 1.7%
CHEMICALS -- 1.2%
Acetex Corp. 9.75% 2003 .................................... 30,000 26,625
Arco Chemical Co. 9.80% 2020 ............................... 20,000 19,036
Huntsman Corp. 9.50% 2007* ................................. 15,000 14,025
ICI Wilmington, Inc. 6.95% 2004 ............................ 320,000 317,795
Lyondell Chemical Co., Series B 9.88% 2007 ................. 55,000 54,450
Pioneer Americas Acquisition Corp., Series B 9.25% 2007 .... 25,000 19,187
Praxair, Inc. 6.75% 2003 ................................... 90,000 89,257
Scotts Co., Series B 8.63% 2009* ........................... 10,000 9,550
Sovereign Specialty Chemicals Corp. 9.50% 2007 ............. 15,000 14,813
Texas Petrochemicals Corp. 11.13% 2006 ..................... 35,000 29,487
ZSC Specialty Chemical PLC 11.00% 2009* .................... 30,000 30,000
</TABLE>
----------------
57
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 0.3%
Boise Cascade Corp., Series B 9.90% 2001 ................... $ 80,000 $ 83,620
Doman Industries, Ltd. 12.00% 2004* ........................ 30,000 30,225
Gaylord Container Corp., Series B 9.38% 2007 ............... 25,000 23,188
Grupo Industrial Durango SA de CV 12.63% 2003 .............. 10,000 9,775
Packaging Corp. of America 9.63% 2009* ..................... 10,000 10,100
Repap New Brunswick, Inc. 9.00% 2004 ....................... 10,000 9,600
METALS & MINERALS -- 0.2%
Alaska Steel Corp. 7.88% 2009 .............................. 10,000 9,225
Armco, Inc. 8.88% 2008 ..................................... 30,000 29,475
Bayou Steel Corp. 9.50% 2008 ............................... 15,000 14,137
BWay Corp., Series B 10.25% 2007 ........................... 20,000 20,100
Consumers Packaging, Inc. 9.75% 2007 ....................... 10,000 9,475
Neenah Corp., Series B 11.13% 2007 ......................... 10,000 9,425
P & L Coal Holdings Corp., Series B 9.63% 2008 ............. 30,000 28,725
Weirton Steel Corp. 11.38% 2004 ............................ 5,000 4,963
-----------
916,258
-----------
MUNICIPAL BONDS -- 1.9%
MUNICIPAL BONDS -- 1.9%
Allentown Pennsylvania 6.20% 2005 .......................... 290,000 280,671
Fresno County California Pension Obligation 6.07% 2003 ..... 100,000 98,010
Hudson County New Jersey Improvement Authority Facility
6.55% 2002 ................................................ 200,000 201,422
Huntsville Alabama Solid Waste Disposal Authority 5.95%
2003 ...................................................... 105,000 102,203
Miami Florida Revenue 7.25% 2003 ........................... 130,000 132,925
Phoenix Arizona Civic Improvement Corp. 6.30% 2008 ......... 100,000 94,588
Southern California Public Power Authority Project 6.93%
2017 ...................................................... 125,000 117,811
-----------
1,027,630
-----------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Lithuania 7.13% 2002* .......................... 53,000 49,423
-----------
REAL ESTATE -- 0.5%
REAL ESTATE COMPANIES -- 0.5%
Equity Office Properties Operating LP 6.38% 2003 ........... 120,000 116,265
Post Apartment Homes LP 7.02% 2001 ......................... 130,000 131,499
-----------
247,764
-----------
U.S. GOVERNMENT & AGENCIES -- 44.3%
U.S. GOVERNMENT & AGENCIES -- 44.3%
Federal Home Loan Mortgage Corp. 6.00% 2013 ................ 376,348 362,352
Federal Home Loan Mortgage Corp. 6.00% 2028 ................ 486,582 454,190
Federal Home Loan Mortgage Corp. 6.50% 2022 ................ 160,000 153,549
Federal Home Loan Mortgage Corp. 6.50% 2023 ................ 96,000 87,929
Federal Home Loan Mortgage Corp. 7.00% 2023 ................ 45,000 44,156
Federal Home Loan Mortgage Corp. 7.50% 2023 ................ 26,692 26,909
Federal Home Loan Mortgage Corp. 7.50% 2027 ................ 323,955 325,370
Federal Home Loan Mortgage Corp. 7.50% 2028 ................ 265,788 266,950
Federal Home Loan Mortgage Corp. 7.75% 2022 ................ 124,945 125,296
</TABLE>
- ----------------
58
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 8.50% 2008 ................ $ 177,396 $ 182,097
Federal Home Loan Mortgage Corp. 8.50% 2019 ................ 43,351 45,031
Federal National Mortgage Association 5.25% 2003 ........... 510,000 495,016
Federal National Mortgage Association 5.63% 2001 ........... 515,000 512,744
Federal National Mortgage Association 5.65% 2005 ........... 27,305 27,177
Federal National Mortgage Association 5.75% 2008 ........... 740,000 698,604
Federal National Mortgage Association 6.00% 2014 ........... 676,567 650,770
Federal National Mortgage Association 6.00% 2028 ........... 993,304 926,256
Federal National Mortgage Association 6.18% 2008 ........... 24,690 23,751
Federal National Mortgage Association 6.27% 2007 ........... 83,740 81,209
Federal National Mortgage Association 6.30% 2008 ........... 19,746 19,136
Federal National Mortgage Association 6.30% 2008 ........... 24,575 23,860
Federal National Mortgage Association 6.34% 2008 ........... 19,489 18,983
Federal National Mortgage Association 6.36% 2008 ........... 128,225 125,417
Federal National Mortgage Association 6.39% 2006 ........... 19,246 18,901
Federal National Mortgage Association 6.43% 2008 ........... 24,573 24,042
Federal National Mortgage Association 6.50% 2013 ........... 454,441 445,920
Federal National Mortgage Association 6.59% 2007 ........... 98,132 96,949
Federal National Mortgage Association 6.91% 2007 ........... 308,682 310,867
Federal National Mortgage Association 6.98% 2007 ........... 23,560 23,815
Federal National Mortgage Association 7.04% 2007 ........... 78,222 79,169
Federal National Mortgage Association 7.28% 2006 ........... 43,891 44,948
Federal National Mortgage Association 7.39% 2021 ........... 47,724 48,547
Federal National Mortgage Association 7.75% 2021 ........... 200,000 202,374
Federal National Mortgage Association 8.00% 2006 ........... 35,797 36,468
Government National Mortgage Association 6.50% 2029 ........ 400,000 382,372
Government National Mortgage Association 7.00% 2023 ........ 51,618 50,925
Government National Mortgage Association 7.00% 2029 ........ 499,625 490,582
Government National Mortgage Association 7.25% 2027 ........ 403,354 400,264
Government National Mortgage Association 7.50% 2022 ........ 16,623 16,737
Government National Mortgage Association 7.50% 2023 ........ 61,056 61,457
Government National Mortgage Association 7.50% 2027 ........ 385,952 387,156
Government National Mortgage Association 8.50% 2017 ........ 35,742 37,335
Government National Mortgage Association 8.50% 2017 ........ 15,543 16,235
Government National Mortgage Association 9.00% 2021 ........ 13,698 14,400
Overseas Private Investment Corp., Series 96-A 6.99%
2009 ...................................................... 145,000 146,527
United States Treasury Bonds 5.25% 2028 .................... 335,000 290,351
United States Treasury Bonds 5.50% 2028 .................... 35,000 31,325
United States Treasury Bonds 7.50% 2016 .................... 1,100,000 1,217,557
United States Treasury Bonds 8.13% 2021 .................... 120,000 143,137
United States Treasury Bonds 8.50% 2020 .................... 180,000 221,006
United States Treasury Bonds 9.25% 2016 .................... 1,800,000 2,301,750
United States Treasury Bonds 11.88% 2003 ................... 1,480,000 1,795,196
United States Treasury Bonds 12.00% 2013 ................... 3,325,000 4,590,063
United States Treasury Notes 4.63% 2000 .................... 175,000 173,278
United States Treasury Notes 4.75% 2004 .................... 250,000 239,805
United States Treasury Notes 4.75% 2008 .................... 475,000 432,397
United States Treasury Notes 5.00% 2001 .................... 520,000 515,939
United States Treasury Notes 5.50% 2009 .................... 400,000 387,064
United States Treasury Notes 5.63% 2008 .................... 200,000 194,124
United States Treasury Notes 5.75% 2000 .................... 150,000 150,399
United States Treasury Notes 6.63% 2001 .................... 100,000 101,656
</TABLE>
----------------
59
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Notes 7.75% 2001 .................... $ 1,520,000 $ 1,562,514
United States Treasury Strip Bonds zero coupon 2012 ........ 325,000 147,114
-----------
23,507,417
-----------
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 0.9%
Atlantic City Electric Co. 6.38% 2005 ...................... 75,000 73,843
Pacificorp 6.38% 2008 ...................................... 250,000 243,275
Public Service Electric & Gas Co. 8.88% 2003 ............... 47,000 49,253
UtiliCorp United, Inc. 6.88% 2004 .......................... 90,000 88,521
WESCO Distribution, Inc., Series B 9.13% 2008 .............. 20,000 18,800
GAS & PIPELINE UTILITIES -- 0.6%
HNG Internorth, Inc. 9.63% 2006 ............................ 135,000 148,790
KN Energy, Inc. 6.65% 2005 ................................. 175,000 167,815
TELEPHONE -- 1.1%
Alestra SA DE RL DE CV 12.13% 2006* ........................ 55,000 51,837
GTE Corp. 6.36% 2006 ....................................... 220,000 210,989
Intermedia Communications, Inc., Series B 9.50% 2009 ....... 10,000 9,100
Intermedia Communications, Inc., Series B zero coupon
2009(2) ................................................... 25,000 12,188
MCI Communications Corp. 6.13% 2002(5) ..................... 55,000 54,555
MCI WorldCom, Inc. 7.55% 2004 .............................. 230,000 234,947
-----------
1,363,913
-----------
TOTAL BONDS & NOTES (cost $43,313,006)...................... 41,507,771
-----------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $55)............. 20 50
-----------
TOTAL INVESTMENT SECURITIES (cost $50,330,177).............. 50,290,759
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.9% PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.5%
Cincinnati Milacron, Inc. 7.88% due 5/15/00 ................ $ 135,000 135,301
Cleveland Electric Illuminating Co., Series B 7.19% due
7/01/00 ................................................... 65,000 65,078
Private Export Funding Corp. 7.90% due 3/31/00 ............. 100,000 101,044
-----------
301,423
-----------
U.S. GOVERNMENT & AGENCIES -- 0.4%
Federal Home Loan Mortgage Discount Notes 5.18% due
10/01/99................................................... 200,000 200,000
-----------
TOTAL SHORT-TERM SECURITIES (cost $501,242)................. 501,423
-----------
</TABLE>
- ----------------
60
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 6.3% PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.3%
ABN Amro Bank NA Joint Repurchase Agreement Account (Note
3) ........................................................ $ 3,260,000 $ 3,260,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3) .......................................... 51,000 51,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $3,311,000) .............. 3,311,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $54,142,419) 102.1% 54,103,182
Liabilities in excess of other
assets -- (2.1) (1,104,747)
----- -----------
NET ASSETS -- 100.0% $52,998,435
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date.
(3) Bond issued as part of a unit which includes an equity component.
(4) Bond in default
(5) Variable rate security; rate as of September 30, 1999
ADR-- American Depository Receipt
GDR-- Global Depository Receipt
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
- -------------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
*USD 20,903 EUR 20,000 10/08/99 $ 391
*USD 10,419 EUR 10,000 10/08/99 228
EUR 85,000 USD 92,225 12/09/99 1,270
-------
$ 1,889
-------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
*USD 16,146 EUR 15,000 10/08/99 $ (176)
EUR 10,000 USD 10,310 10/08/99 (337)
*EUR 125,000 USD 130,750 10/08/99 (2,339)
EUR 15,000 USD 15,832 10/08/99 (139)
EUR 30,000 USD 31,499 10/08/99 (442)
-------
(3,433)
-------
Net Unrealized Depreciation............................. $(1,544)
=======
</TABLE>
- -------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
EUR -- Euro Dollar
USD -- United States Dollar
See Notes to Financial Statements
----------------
61
<PAGE>
- ----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 67.9%
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 4.7%
APPAREL & TEXTILES -- 0.3%
Gucci Group NV ............................................. 3,641 $ 304,023
Teijin Ltd. ................................................ 7,000 33,630
AUTOMOTIVE -- 0.7%
Bayerische Motoren Werke AG................................. 2,288 64,516
Delphi Automotive Systems Corp. ............................ 1 16
Ford Motor Co. ............................................. 5,977 299,971
General Motors Corp. ....................................... 4,335 272,834
Volkswagen AG............................................... 3,809 212,375
HOUSING -- 0.2%
CRH PLC GDR................................................. 16,946 324,204
RETAIL -- 3.5%
Albertson's, Inc. .......................................... 1,270 50,244
Best Buy Co., Inc.+......................................... 3,500 217,219
Castorama Dubois............................................ 10 2,811
Circuit City Stores, Inc. .................................. 3,700 156,094
Coles Myer Ltd.+ ........................................... 33,000 172,498
Costco Wholesale Corp.+ .................................... 5,000 360,000
CVS Corp. .................................................. 9,500 387,719
Dayton Hudson Corp. ........................................ 655 39,341
Federated Department Stores, Inc.+ ......................... 4,505 196,812
Gap, Inc. .................................................. 150 4,800
Home Depot, Inc. ........................................... 6,600 452,925
Ito-Yokado Co. Ltd.+........................................ 2,000 164,825
Kmart Corp.+ ............................................... 12,132 141,793
Kojima Co, Ltd. ............................................ 1,400 75,520
Laurus NV................................................... 46 1,057
May Department Stores Co. .................................. 3,905 142,288
Penney (J.C.), Inc. ........................................ 1,245 42,797
Rite Aid Corp. ............................................. 10,925 150,902
Sears, Roebuck & Co. ....................................... 3,080 96,635
Tesco PLC................................................... 146,226 457,390
TJX Cos., Inc. ............................................. 11,300 317,106
Wal-Mart Stores, Inc. ...................................... 15,800 751,488
Walgreen Co. ............................................... 3,000 76,125
------------
5,969,958
------------
CONSUMER STAPLES -- 2.7%
FOOD, BEVERAGE & TOBACCO -- 1.8%
Anheuser-Busch Cos., Inc. .................................. 6,740 472,221
Bass PLC ................................................... 2,635 31,689
</TABLE>
- ----------------
62
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Coca-Cola Femsa SA ADR...................................... 3,115 $ 43,026
ConAgra, Inc. .............................................. 1,810 40,838
Danone Groupe .............................................. 438 106,493
Diageo PLC+ ................................................ 33,700 343,978
Heinz (H.J.) & Co. ......................................... 4,825 207,475
Kellogg Co. ................................................ 4,485 167,907
Nabisco Group Holdings Corp. ............................... 7,290 109,350
Nabisco Holdings Corp., Class A ............................ 1,311 45,312
PepsiCo, Inc. .............................................. 1,800 54,450
Philip Morris Cos., Inc. ................................... 6,476 221,398
Quaker Oats Co. ............................................ 2,321 143,612
Ralston-Ralston Purina Group ............................... 3,100 86,219
RJ Reynolds Tobacco Holdings, Inc.+ ........................ 800 21,600
Seagram Co., Ltd. .......................................... 3,200 145,600
HOUSEHOLD PRODUCTS -- 0.9%
Colgate-Palmolive Co. ...................................... 6,300 288,225
Estee Lauder Cos., Inc., Class A ........................... 7,100 277,344
Kimberly-Clark Corp. ....................................... 4,885 256,462
Newell Rubbermaid, Inc. .................................... 2,800 79,975
Shiseido Co. Ltd. .......................................... 18,000 268,028
------------
3,411,202
------------
ENERGY -- 5.2%
ENERGY SERVICES -- 0.5%
Bouygues SA................................................. 1,029 326,063
Halliburton Co. ............................................ 3,400 139,400
Schlumberger Ltd. .......................................... 2,085 129,922
Tosco Corp. ................................................ 2,705 68,301
ENERGY SOURCES -- 4.7%
Atlantic Richfield Co. ..................................... 1,560 138,255
BP Amoco PLC ADR............................................ 1,151 127,545
Burlington Resources, Inc. ................................. 2,900 106,575
Chevron Corp. .............................................. 1,935 171,731
Conoco, Inc. ............................................... 5,727 156,777
Conoco, Inc., Class A ...................................... 15,270 423,743
Elf Aquitaine SA ........................................... 3,674 641,128
ENI SpA+ ................................................... 108,554 680,335
Enron Corp. ................................................ 11,100 457,875
Exxon Corp. ................................................ 14,275 1,084,008
Mobil Corp. ................................................ 3,440 346,580
Occidental Petroleum Corp. ................................. 3,500 80,938
Royal Dutch Petroleum Co. GDR............................... 12,370 730,603
Shell Transport & Trading Co. PLC........................... 67,594 502,985
Sonat, Inc. ................................................ 4,465 177,205
Total Fina SA, Class B+ .................................... 800 100,446
------------
6,590,415
------------
</TABLE>
----------------
63
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 11.5%
BANKS -- 4.3%
Bank of America Corp. ...................................... 7,238 $ 403,066
Bank of Ireland+ ........................................... 11,616 94,554
Bank of Nova Scotia......................................... 5,040 108,053
Bank One Corp. ............................................. 8,241 286,890
BankBoston Corp. ........................................... 4,980 216,007
Banque Nationale de Paris+ ................................. 1,761 140,441
Barclays PLC+ .............................................. 9,052 265,261
Charter One Financial, Inc. ................................ 700 16,187
Chase Manhattan Corp. ...................................... 1,318 99,344
Comerica, Inc. ............................................. 4,055 205,284
Dai-Ichi Kangyo Bank Ltd. .................................. 1,000 12,437
DBS Group Holdings Ltd. .................................... 8,141 90,988
Fifth Third Bancorp......................................... 4,700 285,966
First American Corp. ....................................... 400 17,150
First Security Corp. ....................................... 4,100 97,503
First Union Corp. .......................................... 5,810 206,618
Firstar Corp. .............................................. 24,314 623,046
Fuji Bank Ltd.+ ............................................ 10,000 121,184
Huntington Bancshares, Inc. ................................ 1,100 29,219
Julius Baer Holdings AG..................................... 89 263,594
Keppel Tatlee Bank Ltd. .................................... 41,000 80,071
Lincoln National Corp. ..................................... 5,450 204,716
Mellon Bank Corp. .......................................... 2,700 91,125
Mitsubishi Trust & Banking Corp ............................ 1,000 12,175
National City Corp. ........................................ 2,710 72,323
National Westminster Bank PLC .............................. 589 13,721
Northern Trust Corp. ....................................... 1,000 83,500
Overseas Chinese Banking Corp. Ltd. ........................ 8,000 62,118
Overseas Union Bank Ltd. ................................... 15,074 66,946
PNC Bank Corp. ............................................. 4,660 245,524
Societe Generale ........................................... 884 182,010
St. Paul Cos., Inc. ........................................ 3,335 91,712
Summit Bancorp. ............................................ 670 21,733
SunTrust Banks, Inc. ....................................... 1,950 128,212
Synovus Financial Corp. .................................... 1,320 24,667
Toronto-Dominion Bank ...................................... 6,777 131,223
U.S. Bancorp ............................................... 7,655 231,085
United Overseas Bank Ltd. .................................. 7,000 53,118
Zions Bancorp .............................................. 600 33,075
FINANCIAL SERVICES -- 5.8%
American Express Co. ....................................... 3,200 430,800
American General Corp. ..................................... 8,935 564,580
Associates First Capital Corp., Class A .................... 1,655 59,580
AXA Financial, Inc. ........................................ 1,300 72,556
Capital One Financial Corp. ................................ 4,200 163,800
Charles Schwab Corp. ....................................... 5,100 171,806
Citigroup, Inc. ............................................ 29,320 1,290,080
Compagnie Financiere Richemont AG .......................... 256 517,623
Fannie Mae ................................................. 3,760 235,705
Fleet Financial Group, Inc. ................................ 2,720 99,620
</TABLE>
- ----------------
64
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Fortis NV+ ................................................. 1,686 $ 54,448
ING Groep NV ............................................... 8,899 482,918
Investor AB ................................................ 15,633 185,085
Lehman Brothers Holdings, Inc. ............................. 1,600 93,300
Merrill Lynch & Co., Inc. .................................. 3,210 215,672
Monte dei Paschi di Siena SpA+ ............................. 9,100 38,925
Morgan (J.P.) & Co., Inc. .................................. 1,008 115,164
Nikko Securities Co. Ltd. .................................. 83,000 699,569
P & O Finance BV+ .......................................... 8,627 130,380
Paine Webber Group, Inc. ................................... 1,130 40,963
Promise Co. ................................................ 5,800 465,499
Providian Financial Corp. .................................. 2,700 213,806
Svenska Handelsbanken, Series A ............................ 12,606 176,173
Washington Mutual, Inc. .................................... 9,765 285,626
Wells Fargo Co. ............................................ 13,540 536,523
INSURANCE -- 1.4%
Aetna, Inc. ................................................ 845 41,616
AFLAC, Inc. ................................................ 1,000 41,875
Allstate Corp. ............................................. 5,980 149,126
American International Group, Inc.(1) ...................... 5,812 505,281
Aon Corp. .................................................. 5,090 150,473
AXA SA de CV+ .............................................. 1,911 241,568
Chubb Corp. ................................................ 3,485 173,596
CIGNA Corp. ................................................ 4,145 322,274
Hartford Financial Services Group, Inc. .................... 1,230 50,276
UnumProvident Corp. ........................................ 800 23,550
------------
14,451,682
------------
HEALTHCARE -- 5.4%
DRUGS -- 3.6%
Abbott Laboratories, Inc. .................................. 6,590 242,183
Allergan, Inc. ............................................. 1,500 165,000
American Home Products Corp. ............................... 8,520 353,580
Amgen, Inc.+ ............................................... 3,000 244,500
Biogen, Inc.+ .............................................. 3,200 252,200
Bristol-Myers Squibb Co. ................................... 11,565 780,638
Eisai Co., Ltd.+ ........................................... 5,000 126,428
Elan Corp. ................................................. 4,900 165,904
Immunex Corp.+ ............................................. 1,600 69,400
Merck & Co., Inc. .......................................... 3,710 240,454
Novartis AG................................................. 138 204,451
Pharmacia & Upjohn, Inc. ................................... 7,890 391,541
Pharmacia & Upjohn, Inc. SDS ............................... 4,407 218,925
SmithKline Beecham Consumer Healthcare Ltd. ................ 10,135 116,254
Warner-Lambert Co. ......................................... 7,500 497,813
Yamanouchi Pharmaceutical Co., Ltd.+ ....................... 10,000 467,316
HEALTH SERVICES -- 0.1%
Tenet Healthcare Corp.+ .................................... 7,341 128,926
</TABLE>
----------------
65
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 1.7%
Akzo Nobel NV .............................................. 11,247 $ 476,301
Bausch & Lomb, Inc. ........................................ 2,200 145,063
Baxter International, Inc. ................................. 3,581 215,755
Johnson & Johnson Co. ...................................... 4,600 422,625
Sanofi-Synthelabo SA ....................................... 6,249 265,970
Schering-Plough Corp. ...................................... 13,900 606,387
------------
6,797,614
------------
INDUSTRIAL & COMMERCIAL -- 8.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.9%
AlliedSignal, Inc. ......................................... 5,120 306,880
Boeing Co. ................................................. 7,975 339,934
Lockheed Martin Corp. ...................................... 5,495 179,618
Raytheon Co., Class A ...................................... 1,500 72,750
Raytheon Co., Class B ...................................... 1,200 59,550
Rockwell International Corp. ............................... 3,200 168,000
BUSINESS SERVICES -- 1.5%
Benesse Corp.+ ............................................. 1,000 198,445
Electronic Data Systems Corp. .............................. 3,900 206,456
Interpublic Group of Cos., Inc. ............................ 9,300 382,463
Owens-Illinois, Inc.+ ...................................... 2,800 55,475
Randstad Holding N.V. ...................................... 2,560 130,750
Service Corp. International ................................ 4,400 46,475
Solectron Corp.+ ........................................... 4,800 344,700
SYSCO Corp. ................................................ 1,370 48,036
Waste Management, Inc. ..................................... 7,020 135,135
WPP Group PLC+.............................................. 29,576 277,295
ELECTRICAL EQUIPMENT -- 0.5%
Emerson Electric Co. ....................................... 4,290 271,075
Schneider SA+ .............................................. 1,610 117,691
Siebe PLC+ ................................................. 56,686 275,300
MACHINERY -- 1.0%
Caterpillar, Inc. .......................................... 1,472 80,684
Cooper Industries, Inc. .................................... 2,725 127,394
Deere & Co. ................................................ 1,845 71,378
Illinois Tool Works, Inc. .................................. 1,000 74,562
Sandvik AB, Class A ........................................ 2,050 55,673
Sandvik AB, Class B ........................................ 2,390 65,344
United Technologies Corp. .................................. 13,550 803,684
MULTI-INDUSTRY -- 3.9%
Acciona SA+ ................................................ 770 35,403
Avery Dennison Corp. ....................................... 1,300 68,575
Clariant AG................................................. 494 223,574
First Pacific Co., Ltd.+ ................................... 120,000 72,606
Fomento Economico Mexicano SA, Class B ADR ................. 2,356 73,772
Granada Group+ ............................................. 40,898 352,138
Mannesmann AG+ ............................................. 4,991 796,601
Minnesota Mining & Manufacturing Co. ....................... 3,170 304,518
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY (CONTINUED)
Monsanto Co. ............................................... 6,980 $ 249,099
Ogden Corp. ................................................ 150 1,500
Sara Lee Corp. ............................................. 10,050 235,547
Securicor Group PLC ........................................ 20,511 201,590
Smiths Industries PLC....................................... 18,646 263,379
Tyco International Ltd. .................................... 11,100 1,146,075
Viacom, Inc., Class B+ ..................................... 16,542 698,900
Vivendi SA+ ................................................ 1,928 135,296
TRANSPORTATION -- 0.4%
AMR Corp.+ ................................................. 700 38,150
Burlington Northern Santa Fe Corp. ......................... 8,350 229,625
Cathay Pacific Airways Ltd.+ ............................... 69,000 124,358
CSX Corp. .................................................. 500 21,187
Norfolk Southern Corp. ..................................... 2,400 58,800
UAL Corp.+ ................................................. 1,100 71,844
------------
10,297,284
------------
INFORMATION & ENTERTAINMENT -- 4.1%
BROADCASTING & MEDIA -- 3.3%
Cable & Wireless Optus Ltd.+ ............................... 29,200 62,899
CBS Corp.+ ................................................. 7,200 333,000
Clear Channel Communications, Inc.+ ........................ 1,900 151,763
Cox Communications, Inc., Class A+ ......................... 1,000 41,750
EMI Group PLC .............................................. 32,319 236,238
Grupo Televisa SA GDR+ ..................................... 4,245 169,535
Havas Advertising SA ....................................... 120 28,729
Libertel NV+ ............................................... 3,900 70,339
McGraw-Hill Cos., Inc. ..................................... 2,640 127,710
MediaOne Group, Inc.+ ...................................... 7,763 530,310
Mediaset SpA ............................................... 17,003 173,503
News Corp. Ltd. ADR ........................................ 12,758 362,806
Nippon Television Network Corp. ............................ 350 249,110
Omnicom Group, Inc. ........................................ 800 63,350
Publicis SA ................................................ 310 71,908
Societe Television Francaise ............................... 415 116,003
Sony Corp. ................................................. 4,200 625,791
Time Warner, Inc. .......................................... 7,500 455,625
Times Mirror Co., Class A .................................. 2,469 162,491
Tribune Co. ................................................ 1,800 89,550
ENTERTAINMENT PRODUCTS -- 0.5%
Canon, Inc. ................................................ 400 11,613
Eastman Kodak Co. .......................................... 3,328 251,056
Koninklijke Phillips Electronics NV ........................ 3,158 317,545
TDK Corp. .................................................. 1,000 115,471
LEISURE & TOURISM -- 0.3%
Carnival Corp., Class A .................................... 2,600 113,100
Delta Air Lines, Inc. ...................................... 2,500 121,250
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Walt Disney Co. ............................................ 5,835 $ 150,981
------------
5,203,426
------------
INFORMATION TECHNOLOGY -- 17.6%
COMMUNICATION EQUIPMENT -- 1.8%
Lucent Technologies, Inc. .................................. 14,500 940,687
Nokia Corp., Class A ADR ................................... 3,800 341,287
QUALCOMM, Inc.+ ............................................ 1,900 359,456
Tele Centro Sul Participacoes SA ADR ....................... 2,602 144,411
Tellabs, Inc.+ ............................................. 4,600 261,913
Unisys Corp.+ .............................................. 5,700 257,213
COMPUTERS & BUSINESS EQUIPMENT -- 3.4%
Apple Computer, Inc.+ ...................................... 3,400 215,262
ASM Lithography Holdings NV+ ............................... 660 44,665
Cisco Systems, Inc.+ ....................................... 10,000 685,625
Compaq Computer Corp. ...................................... 2,800 64,225
Dell Computer Corp.+ ....................................... 13,400 560,287
EMC Corp.+ ................................................. 4,700 335,756
Fujitsu Ltd.+ .............................................. 10,000 310,920
Hewlett-Packard Co. ........................................ 4,200 386,400
Honeywell, Inc. ............................................ 1,400 155,838
International Business Machines Corp. ...................... 8,552 1,037,999
Lexmark International Group, Inc., Class A+ ................ 1,400 112,700
NCR Corp.+ ................................................. 2,050 67,778
Seagate Technology, Inc.+ .................................. 2,245 69,174
Xerox Corp. ................................................ 4,760 199,623
ELECTRONICS -- 4.7%
Advantest Corp.+ ........................................... 1,300 187,488
Applied Materials, Inc.+ ................................... 3,800 295,925
General Electric Co. ....................................... 11,300 1,339,756
Hon Hai Precision Industry Co., Ltd. ....................... 5,300 79,288
Intel Corp. ................................................ 8,700 646,519
Motorola, Inc. ............................................. 11,390 1,002,320
Murata Manufacturing Co. Ltd. .............................. 1,000 100,206
Nokia Ab Oy ................................................ 6,512 582,737
Rohm Co. Ltd.+ ............................................. 1,000 208,372
Samsung Electronics Co., Ltd. GDR* ......................... 4,346 345,811
Sharp Corp. ................................................ 1,000 15,977
STMicroelectronics NV....................................... 3,535 261,590
Texas Instruments, Inc. .................................... 3,900 320,775
Toshiba Corp. .............................................. 44,000 326,765
Xilinx, Inc.+ .............................................. 2,300 150,722
SOFTWARE -- 2.5%
America Online, Inc.+ ...................................... 2,900 301,600
BMC Software, Inc.+ ........................................ 3,800 271,937
Computer Associates International, Inc. .................... 2,881 176,461
Microsoft Corp.+ ........................................... 17,500 1,584,844
Misys PLC .................................................. 5,400 52,762
Oracle Corp.+ .............................................. 3,800 172,900
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Sun Microsystems, Inc.+ .................................... 4,900 $ 455,700
VERITAS Software Corp.+ .................................... 200 15,188
Yahoo!, Inc.+ .............................................. 900 161,550
TELECOMMUNICATIONS -- 5.2%
Ameritech Corp. ............................................ 4,495 302,008
BCE, Inc. .................................................. 5,638 280,120
British Telecommunications PLC+ ............................ 37,662 570,427
Carso Global Telecom+ ...................................... 12,872 71,312
China Telecom Ltd.+ ........................................ 160,000 492,282
Comcast Corp., Class A ..................................... 6,525 260,185
Comverse Technology, Inc.+ ................................. 2,400 226,350
Ericsson (LM) Telecommunications Co., Series B ............. 9,168 284,227
France Telecom SA+ ......................................... 1,746 153,085
KDD Corp. .................................................. 1,137 117,235
Korea Telecom Corp.+ ....................................... 3,200 118,400
Nippon Telegraph & Telephone Corp. ......................... 38 466,192
Nippon Telegraph & Telephone Mobile Communications Corp. ... 2 39,333
Nortel Networks Corp. ...................................... 7,526 384,185
Orange PLC+ ................................................ 10,958 216,121
Sprint Corp. ............................................... 19,635 1,065,199
Sprint Corp. (PCS Group) ................................... 2,900 216,231
Swisscom AG ADR ............................................ 583 181,593
Telefonica SA+ ............................................. 9,879 157,992
Telesp Celular Participacoes SA ADR......................... 6,188 161,661
U.S. West, Inc. ............................................ 1,612 91,985
Vodafone AirTouch PLC ADR .................................. 1,500 356,625
Vodafone Group PLC ......................................... 12,900 304,436
------------
22,125,596
------------
MATERIALS -- 2.4%
CHEMICALS -- 1.2%
Burmah Castrol PLC+ ........................................ 4,559 85,563
Dow Chemical Co. ........................................... 2,605 295,993
du Pont (E.I.) de Nemours & Co. ............................ 2,849 173,433
Eastman Chemical Co. ....................................... 1,445 57,800
Hoechst AG ................................................. 13,751 598,438
PPG Industries, Inc. ....................................... 1,728 103,680
Praxair, Inc. .............................................. 4,500 207,000
Union Carbide Corp. ........................................ 505 28,690
FOREST PRODUCTS -- 0.6%
Abitibi Consolidated, Inc. ................................. 5,700 68,472
Champion International Corp. ............................... 1,000 51,375
International Paper Co. .................................... 2,595 124,722
Jefferson Smurfit Corp.+.................................... 17,100 50,476
Temple-Inland, Inc. ........................................ 510 30,855
Weyerhaeuser Co. ........................................... 7,255 418,069
METALS & MINERALS -- 0.6%
Alcoa, Inc. ................................................ 3,210 199,221
Freeport-McMoRan Copper & Gold, Inc., Class A+ ............. 2,525 35,035
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Freeport-McMoRan Copper & Gold, Inc., Class B .............. 1,675 $ 26,067
Lafarge Corp. .............................................. 2,532 279,655
Pohang Iron & Steel Co. Ltd................................. 900 103,086
Sealed Air Corp.+ .......................................... 2,100 107,756
------------
3,045,386
------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.1%
Cheung Kong (Holdings) Ltd.+ ............................... 2,000 16,671
Henderson Land Development Co., Ltd. ....................... 13,000 59,913
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Equity Residential Properties Trust ........................ 1,834 77,716
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 2,750 61,359
------------
215,659
------------
UTILITIES -- 5.9%
ELECTRIC UTILITIES -- 1.6%
Carolina Power & Light Co. ................................. 400 14,150
Companhia Energetica de Minas Gerais ADR ................... 5,700 86,125
Consolidated Edison, Inc. .................................. 3,760 156,040
Dominion Resources, Inc. ................................... 2,390 107,849
Duke Energy Corp. .......................................... 5,005 275,900
Edison International+ ...................................... 2,445 59,444
Entergy Corp. .............................................. 5,231 151,372
FirstEnergy Corp. .......................................... 1,800 45,900
FPL Group, Inc. ............................................ 400 20,150
Korea Electric Power Corp. ADR ............................. 6,645 106,735
Public Service Enterprise Group, Inc. ...................... 1,835 70,877
Scottish Power PLC ......................................... 24,482 222,079
Sempra Energy+ ............................................. 3,500 72,844
Southern Co. ............................................... 5,920 152,440
Texas Utilities Co. ........................................ 4,966 185,294
Tokyo Electric Power Co., Inc. ............................. 10,500 241,899
GAS & PIPELINE UTILITIES -- 0.2%
Hong Kong & China Gas Co. Ltd.+ ............................ 1,600 2,163
Reliant Energy, Inc. ....................................... 2,200 59,537
Williams Cos., Inc. ........................................ 5,865 219,571
TELEPHONE -- 4.1%
ALLTEL Corp. ............................................... 4,100 288,538
AT&T Corp. ................................................. 7,828 340,518
AT&T Corp. - Liberty Media Group, Class A+ ................. 16,200 601,425
Bell Atlantic Corp. ........................................ 6,660 448,301
BellSouth Corp. ............................................ 15,405 693,225
DDI Corp. .................................................. 48 359,618
GTE Corp. .................................................. 4,564 350,857
MCI WorldCom, Inc.+ ........................................ 6,200 445,625
Portugal Telecom SA ........................................ 4,518 187,872
SBC Communications, Inc. ................................... 16,585 846,872
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COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
Telecom Italia Mobile SpA .................................. 26,100 $ 162,187
Telefonos de Mexico SA ADR ................................. 4,135 294,619
Telesp Participacpoes SA ADR ............................... 7,295 114,896
------------
7,384,922
------------
TOTAL COMMON STOCK (cost $78,937,653)....................... 85,493,144
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
AUTOMOTIVE -- 0.0%
Volkswagen AG .............................................. 608 19,246
RETAIL -- 0.0%
Kmart Financing I Convertible 7.75% ........................ 790 37,624
------------
56,870
------------
MATERIALS -- 0.0%
METALS & MINERALS -- 0.0%
Pohang Iron & Steel Co. Ltd................................. 300 34,314
------------
TOTAL PREFERRED STOCK (cost $104,751)....................... 91,184
------------
<CAPTION>
BONDS & NOTES -- 17.9% PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.3%
AUTOMOTIVE -- 0.1%
Daimler Chrysler AG, Series B 7.45% 2097.................... $ 25,000 23,888
Daimler Chrysler North American Holding Co. 7.20% 2009 ..... 50,000 50,241
Delphi Automotive Systems Corp. 6.13% 2004 ................. 110,000 105,793
RETAIL -- 0.2%
Federated Department Stores, Inc. 6.30% 2009 ............... 40,000 37,247
Hertz Corp. 6.25% 2009 ..................................... 90,000 83,692
Lowes Cos., Inc. 6.50% 2029 ................................ 95,000 82,337
------------
383,198
------------
CONSUMER STAPLES -- 0.1%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Pepsi Bottling Group, Inc., Series B 7.00% 2029 ............ 70,000 64,471
Philip Morris Cos., Inc. 6.80% 2003 ........................ 100,000 99,285
Philip Morris Cos., Inc. 7.50% 2004 ........................ 20,000 20,325
------------
184,081
------------
ENERGY -- 0.3%
ENERGY SERVICES -- 0.1%
CMS Panhandle Holding Co. 6.13% 2004* ...................... 60,000 57,606
Petroleum Geo Services ASA 7.50% 2007 ...................... 100,000 98,758
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 0.2%
Amerada Hess Corp. 7.88% 2029 .............................. $ 90,000 $ 88,905
Conoco, Inc. 5.90% 2004 .................................... 95,000 92,009
------------
337,278
------------
FINANCE -- 3.2%
BANKS -- 0.6%
Chase Manhattan Corp. 6.00% 2009 ........................... 80,000 73,131
Countrywide Funding Corp., Series H 6.25% 2009 ............. 120,000 110,204
Merita Bank Ltd. 6.50% 2006 ................................ 40,000 38,212
National Westminster Bank PLC 7.38% 2009 ................... 135,000 134,842
Nationsbank Corp. 6.88% 2005 ............................... 45,000 44,683
Norwest Corp. 6.75% 2027 ................................... 25,000 22,195
Popular, Inc. 6.40% 2000 ................................... 100,000 99,697
St. Paul Bancorp 7.13% 2004 ................................ 100,000 97,376
Wilmington Trust Corp. 6.63% 2008 .......................... 105,000 98,084
FINANCIAL SERVICES -- 2.5%
Advanta Mortgage Loan Trust 6.69% 2017 ..................... 25,000 24,894
Advanta Mortgage Loan Trust 7.05% 2021 ..................... 11,469 11,534
AFC Capital Trust I, Series B 8.21% 2027 ................... 20,000 19,205
AMRESCO Residential Securities Corp. 6.60% 2018 ............ 6,452 6,430
Associates Corp. of North America 6.50% 2002 ............... 240,000 239,597
AT&T Capital Corp., Series F 6.25% 2001 .................... 50,000 49,510
Bank of America Corp. 5.88% 2009 ........................... 125,000 113,916
CIT Group, Inc. 6.50% 2002 ................................. 65,000 64,348
Commercial Mortgage Acceptance Corp. 6.53% 2007 ............ 15,000 14,720
Finova Capital Corp. 7.40% 2007 ............................ 50,000 49,439
Ford Motor Credit Co. 5.80% 2009 ........................... 65,000 59,054
Ford Motor Credit Co. 6.55% 2002 ........................... 60,000 59,775
Ford Motor Credit Co. 8.00% 2002 ........................... 40,000 41,319
GE Capital Mortgage Services, Inc. 7.65% 2012 .............. 25,000 25,221
General Motors Acceptance Corp. 5.75% 2003 ................. 30,000 28,679
General Motors Acceptance Corp. 6.63% 2002 ................. 40,000 39,886
Goldman Sachs Group, Inc. 7.35% 2009 ....................... 155,000 155,135
Green Tree Financial Corp. 6.24% 2016 ...................... 90,000 88,678
Green Tree Recreational Equipment 6.18% 2019 ............... 166,793 165,425
Green Tree Recreational Equipment 6.55% 2028 ............... 19,275 19,435
GS Mortgage Securities Corp. II 6.56% 2031 ................. 50,000 47,486
Harley-Davidson Eaglemark Motorcycle Trust 6.20% 2003 ...... 131,965 132,679
Heller Financial, Inc. 6.00% 2004 .......................... 90,000 85,980
Household Finance Corp. 5.88% 2009 ......................... 315,000 283,387
Household Finance Corp. 6.50% 2008 ......................... 65,000 61,160
LB Commercial Conduit Mortgage Trust 6.41% 2007 ............ 311,951 306,277
LB Commercial Conduit Mortgage Trust 7.42% 2026 ............ 380,000 381,901
Merrill Lynch Mortgage Investors, Inc. 6.22% 2030 .......... 93,057 91,250
Money Store, Inc. 8.05% 2002 ............................... 20,000 20,563
Morgan Stanley Capital I, Inc. 7.22% 2028 .................. 55,000 56,143
PaineWebber Group, Inc. 6.65% 2002 ......................... 135,000 133,438
PNC Mortgage Securities Corp. 6.60% 2027 ................... 9,716 9,668
PP&L Capital Funding, Inc. 5.90% 2000 ...................... 40,000 39,904
Sears Roebuck Acceptance Corp. 6.88% 2017 .................. 45,000 40,521
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Sprint Capital Corp. 5.70% 2003 ............................ $ 45,000 $ 42,971
Sprint Capital Corp. 6.13% 2008 ............................ 20,000 18,596
TMS Trust 6.85% 2019 ....................................... 27,782 27,904
Toyota Motor Credit Corp. 5.63% 2003 ....................... 45,000 43,420
INSURANCE -- 0.1%
Hartford Life, Inc. 7.10% 2007 ............................. 75,000 73,484
Hartford Life, Inc. 7.65% 2027 ............................. 20,000 19,417
Provident Cos., Inc. 7.41% 2038 ............................ 50,000 43,543
TIG Holdings, Inc. 8.13% 2005 .............................. 40,000 38,520
------------
3,992,836
------------
FOREIGN BONDS -- 0.2%
FOREIGN GOVERNMENT -- 0.2%
Province of Ontario 5.50% 2008 ............................. 160,000 146,245
Province of Quebec 7.00% 2007 .............................. 110,000 110,225
------------
256,470
------------
INDUSTRIAL & COMMERCIAL -- 0.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.4%
Boeing Co. 6.63% 2038 ...................................... 80,000 69,193
Lockheed Martin Corp. 7.25% 2006 ........................... 185,000 181,984
Raytheon Co. 6.15% 2008 .................................... 240,000 220,577
BUSINESS SERVICES -- 0.0%
Hertz Corp. 7.00% 2028 ..................................... 65,000 58,005
MULTI-INDUSTRY -- 0.0%
Tyco International Group SA 6.25% 2003(2) .................. 25,000 24,220
TRANSPORTATION -- 0.2%
CSX Corp. 7.95% 2027 ....................................... 195,000 195,807
Union Pacific Corp. 7.38% 2009 ............................. 75,000 74,627
------------
824,413
------------
INFORMATION & ENTERTAINMENT -- 0.2%
BROADCASTING & MEDIA -- 0.1%
News America Holdings, Inc. 7.70% 2025 ..................... 65,000 60,977
Time Warner, Inc. 6.63% 2029 ............................... 135,000 117,720
LEISURE & TOURISM -- 0.1%
Continental Airlines, Inc. 6.54% 2009 ...................... 55,024 53,054
Continental Airlines, Inc. 6.80% 2007 ...................... 26,549 25,664
------------
257,415
------------
INFORMATION TECHNOLOGY -- 0.2%
TELECOMMUNICATIONS -- 0.2%
TCI Communciations, Inc. 8.65% 2004 ........................ 215,000 231,405
------------
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.1%
CHEMICALS -- 0.1%
Nova Chemicals Corp. 7.40% 2009 ............................ $ 85,000 $ 82,315
Union Carbide Corp. 6.25% 2003 ............................. 45,000 44,093
------------
126,408
------------
REAL ESTATE -- 0.0%
REAL ESTATE COMPANIES -- 0.0%
Equity Office Properties Operating LP 6.76% 2007 ........... 55,000 51,445
------------
U.S. GOVERNMENT & AGENCIES -- 12.1%
U.S. GOVERNMENT & AGENCIES -- 12.1%
Federal Home Loan Mortgage Corp. 6.00% 2006 ................ 124,763 121,201
Federal Home Loan Mortgage Corp. 6.50% 2029 ................ 83,630 80,232
Federal Home Loan Mortgage Corp. 7.50% 2022 ................ 45,000 44,733
Federal Home Loan Mortgage Corp. 8.50% 2028 ................ 92,578 95,847
Federal Home Loan Mortgage Corp. 9.00% 2024 ................ 210,955 221,503
Federal National Mortgage Association 5.75% 2003 ........... 105,000 103,277
Federal National Mortgage Association 6.00% 2008 ........... 230,000 220,296
Federal National Mortgage Association 6.00% 2013 ........... 376,768 362,639
Federal National Mortgage Association 6.00% 2013 ........... 75,460 72,631
Federal National Mortgage Association 6.00% 2013 ........... 367,609 353,615
Federal National Mortgage Association 6.00% 2013 ........... 71,829 69,135
Federal National Mortgage Association 6.50% 2026 ........... 30,497 29,391
Federal National Mortgage Association 6.50% 2028 ........... 35,850 34,371
Federal National Mortgage Association 6.50% 2028 ........... 49,316 47,282
Federal National Mortgage Association 6.50% 2028 ........... 55,123 52,849
Federal National Mortgage Association 6.50% 2029 ........... 33,406 32,028
Federal National Mortgage Association 6.50% 2029 ........... 987,079 946,362
Federal National Mortgage Association 6.50% 2029 ........... 111,553 107,009
Federal National Mortgage Association 6.50% 2029 ........... 259,770 249,054
Federal National Mortgage Association 7.00% 2011 ........... 17,980 17,971
Federal National Mortgage Association 7.00% 2011 ........... 91,809 91,723
Federal National Mortgage Association 7.00% 2012 ........... 135,834 135,706
Federal National Mortgage Association 7.00% 2014 ........... 243,282 243,355
Federal National Mortgage Association 7.00% 2023 ........... 11,497 10,730
Federal National Mortgage Association 7.00% 2029 ........... 184,982 181,745
Federal National Mortgage Association 7.50% 2008 ........... 150,536 152,790
Federal National Mortgage Association 7.50% 2099 ........... 385,000 386,082
Federal National Mortgage Association 8.00% 2028 ........... 80,172 81,800
Federal National Mortgage Association 8.00% TBA ............ 100,000 102,031
Federal National Mortgage Association 8.50% 2016 ........... 13,152 13,690
Federal National Mortgage Association 8.50% 2025 ........... 142,075 147,535
Federal National Mortgage Association 9.00% 2026 ........... 13,356 13,961
Federal National Mortgage Association 9.00% 2026 ........... 19,967 20,872
Government National Mortgage Association 6.50% 2023 ........ 104,279 100,596
Government National Mortgage Association 6.50% 2028 ........ 66,899 63,950
Government National Mortgage Association 6.50% 2028 ........ 171,470 163,913
Government National Mortgage Association 6.50% 2029 ........ 87,582 83,722
Government National Mortgage Association 6.50% 2029 ........ 127,071 121,471
Government National Mortgage Association 6.50% 2029 ........ 39,039 37,319
Government National Mortgage Association 6.50% 2029 ........ 24,434 23,357
Government National Mortgage Association 7.00% 2023 ........ 60,858 60,040
</TABLE>
- ----------------
74
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Government National Mortgage Association 7.00% 2024 ........ $ 142,774 $ 140,767
Government National Mortgage Association 7.00% 2025 ........ 31,147 30,641
Government National Mortgage Association 7.00% 2026 ........ 148,684 146,129
Government National Mortgage Association 7.00% 2028 ........ 217,519 213,371
Government National Mortgage Association 7.00% 2028 ........ 95,936 94,107
Government National Mortgage Association 7.00% 2028 ........ 37,806 37,085
Government National Mortgage Association 7.00% 2028 ........ 117,598 115,429
Government National Mortgage Association 7.00% 2028 ........ 28,771 28,223
Government National Mortgage Association 7.50% 2023 ........ 41,383 41,655
Government National Mortgage Association 7.50% 2027 ........ 70,000 69,409
Government National Mortgage Association 8.00% 2026 ........ 1,759 1,798
Government National Mortgage Association 9.50% 2017 ........ 54,804 59,292
Government National Mortgage Association 10.00% 2025 ....... 76,071 82,926
United States Treasury Bonds 5.25% 2003 .................... 340,000 333,254
United States Treasury Bonds 5.25% 2029 .................... 1,650,000 1,444,014
United States Treasury Bonds 5.50% 2028 .................... 140,000 125,300
United States Treasury Bonds 6.13% 2027 .................... 290,000 281,616
United States Treasury Bonds 6.13% 2029 .................... 295,000 297,903
United States Treasury Notes 4.25% 2003 .................... 1,015,000 957,592
United States Treasury Notes 4.63% 2000 .................... 150,000 148,524
United States Treasury Notes 4.75% 2004 .................... 280,000 268,581
United States Treasury Notes 4.75% 2008 .................... 925,000 842,037
United States Treasury Notes 4.88% 2001 .................... 1,210,000 1,197,525
United States Treasury Notes 5.00% 2001 .................... 25,000 24,805
United States Treasury Notes 5.25% 2001 .................... 1,420,000 1,411,352
United States Treasury Notes 5.50% 2001 .................... 145,000 144,637
United States Treasury Notes 5.50% 2009 .................... 215,000 208,047
United States Treasury Notes 6.00% 2004 .................... 755,000 762,316
United States Treasury Notes 6.00% 2009 .................... 200,000 201,624
------------
15,207,773
------------
UTILITIES -- 0.6%
ELECTRIC UTILITIES -- 0.3%
Arizona Public Services Co. 6.75% 2006 ..................... 160,000 154,410
Cinergy Corp. 6.13% 2004* .................................. 115,000 110,431
Nevada Power Co., Series B 6.20% 2004 ...................... 75,000 72,235
Southern California Edison Co. 5.88% 2001 .................. 100,000 99,339
GAS & PIPELINE UTILITIES -- 0.1%
El Paso Energy Corp. 6.75% 2009 ............................ 50,000 47,304
KN Energy, Inc. 6.45% 2003 ................................. 25,000 24,251
TELEPHONE -- 0.2%
GTE Corp. 6.46% 2008 ....................................... 50,000 48,131
MCI Worldcom, Inc. 6.40% 2005 .............................. 70,000 68,164
Sprint Capital Corp. 6.90% 2019 ............................ 110,000 102,254
------------
726,519
------------
TOTAL BONDS & NOTES (cost $23,148,823) ..................... 22,579,241
------------
</TABLE>
----------------
75
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 0.0%
INSURANCE -- 0.0%
Allianz AG 1/15/00 ......................................... 1 $ 6
------------
REAL ESTATE -- 0.0%
REAL ESTATE COMPANIES -- 0.0%
Equity Office Properties Operating LP 6/15/08#.............. 55 6
------------
TOTAL WARRANTS (cost $440).................................. 12
------------
TOTAL INVESTMENT SECURITIES (cost $102,191,667)............. 108,163,581
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.9% PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.9%
United States Treasury Notes 4.50% due 9/30/00 (cost
$1,119,023)................................................ $1,120,000 1,109,326
------------
<CAPTION>
REPURCHASE AGREEMENT -- 14.4%
- -------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 14.4%
Agreement with Morgan Stanley & Co., bearing interest at
5.20%, dated 9/30/99, to be repurchased 10/01/99 in the
amount of $18,112,616 and collateralized by $14,975,000 of
U.S. Treasury Bonds, bearing interest at 8.50%, due 2/15/20
and having an approximate value of $18,521,618 (cost
$18,110,000)@.............................................. 18,110,000 18,110,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $121,420,690) 101.1% 127,382,907
Liabilities in excess of other
assets -- (1.1) (1,399,251)
----- ------------
NET ASSETS -- 100.0% $125,983,656
===== ============
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
(1) Security represents an investment in an affiliated company; see Note 9
(2) Variable rate security; rate as of September 30, 1999
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
SDS -- Swedish Depository Share
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
- ----------------
76
<PAGE>
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- ------------------------------------------------------------------------------------------------------
VALUE AS OF UNREALIZED
NUMBER OF EXPIRATION VALUE AT SEPTEMBER 30, APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
22 Short CAC-40 Index October 1999 $ 1,072,026 $ 1,078,483 $ (6,457)
6 Short Australian All Ordinaries
Index December 1999 284,484 282,217 2,267
39 Short CAC-40 Index December 1999 1,898,461 1,911,856 (13,395)
3 Short Milan MIB 30 Index December 1999 554,880 542,591 12,289
11 Short German Stock Index December 1999 1,602,650 1,597,926 4,724
45 Short FTSE 100 Index December 1999 4,603,364 4,508,883 94,481
43 Long Standard & Poors 500 Index December 1999 14,624,043 13,963,175 (660,868)
16 Short Nikkei-225 Index December 1999 1,281,502 1,319,433 (37,931)
96 Long U.S. 10 Year Note December 1999 10,584,741 10,572,000 (12,741)
---------
Net Unrealized Depreciation................................................ $(617,631)
=========
</TABLE>
See Notes to Financial Statements
----------------
77
<PAGE>
- ------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.7%
SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.2%
APPAREL & TEXTILES -- 0.5%
Nike, Inc., Class B ........................................ 8,800 $ 500,500
HOUSING -- 0.7%
Masco Corp. ................................................ 23,100 716,100
RETAIL -- 7.0%
Amazon.com, Inc.+ .......................................... 2,400 191,400
Cifra SA de CV ADR+ ........................................ 6,600 103,125
CVS Corp. .................................................. 16,214 661,734
Dayton Hudson Corp. ........................................ 11,300 678,706
Home Depot, Inc. ........................................... 17,400 1,194,075
Koninklijke Ahold NV+ ...................................... 10,100 332,079
Kroger Co.+ ................................................ 36,600 807,488
Safeway, Inc.+ ............................................. 36,000 1,370,250
Staples, Inc.+ ............................................. 14,800 322,825
Wal-Mart Stores, Inc. ...................................... 31,900 1,517,244
------------
8,395,526
------------
CONSUMER STAPLES -- 3.4%
FOOD, BEVERAGE & TOBACCO -- 2.3%
Coca-Cola Co. .............................................. 7,800 374,887
Compass Group PLC .......................................... 43,800 431,926
PepsiCo, Inc. .............................................. 23,000 695,750
Philip Morris Cos., Inc. ................................... 24,500 837,594
HOUSEHOLD PRODUCTS -- 1.1%
Colgate-Palmolive Co. ...................................... 8,800 402,600
Gillette Co. ............................................... 8,100 274,894
Kimberly-Clark Corp. ....................................... 9,500 498,750
------------
3,516,401
------------
ENERGY -- 3.8%
ENERGY SERVICES -- 0.9%
Halliburton Co. ............................................ 22,500 922,500
ENERGY SOURCES -- 2.9%
Chevron Corp. .............................................. 6,900 612,375
Mobil Corp. ................................................ 11,300 1,138,475
Royal Dutch Petroleum Co. GDR .............................. 21,000 1,240,313
------------
3,913,663
------------
FINANCE -- 15.6%
BANKS -- 3.1%
Bank of America Corp. ...................................... 15,905 857,866
Bank of New York Co., Inc. ................................. 28,800 963,000
</TABLE>
- ----------------
78
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Firstar Corp. .............................................. 28,200 $ 722,625
Mellon Bank Corp. .......................................... 16,900 570,375
FINANCIAL SERVICES -- 10.5%
Ambac Financial Group, Inc. ................................ 4,400 208,450
American Express Co. ....................................... 2,000 269,250
Associates First Capital Corp., Class A .................... 33,700 1,213,200
Capital One Financial Corp. ................................ 15,000 585,000
Citigroup, Inc. ............................................ 50,475 2,220,900
Concord EFS, Inc.+ ......................................... 5,150 106,219
Fannie Mae ................................................. 19,000 1,191,063
Freddie Mac ................................................ 53,600 2,787,200
Goldman Sachs Group, Inc ................................... 1,900 115,900
HSBC Holdings PLC .......................................... 30,200 345,042
Morgan Stanley, Dean Witter & Co. .......................... 5,100 454,856
Wells Fargo Co. ............................................ 32,900 1,303,662
INSURANCE -- 2.0%
Ace Ltd. ................................................... 49,900 845,181
Fairfax Financial Holdings Ltd.+ ........................... 1,965 294,222
Mutual Risk Management Ltd. ................................ 21,400 262,150
PartnerRe Ltd. ............................................. 9,600 333,600
UNUM Corp. ................................................. 11,100 326,756
------------
15,976,517
------------
HEALTHCARE -- 12.7%
DRUGS -- 7.4%
American Home Products Corp. ............................... 16,200 672,300
Amgen, Inc.+ ............................................... 6,100 497,150
Bristol-Myers Squibb Co. ................................... 26,300 1,775,250
Eli Lilly & Co. ............................................ 12,000 768,000
Genentech, Inc.+ ........................................... 1,600 234,100
Merck & Co., Inc. .......................................... 15,100 978,669
Pfizer, Inc. ............................................... 41,400 1,487,812
Warner-Lambert Co. ......................................... 18,600 1,234,575
HEALTH SERVICES -- 2.4%
IMS Health, Inc. ........................................... 19,800 451,688
United HealthCare Corp. .................................... 24,000 1,168,500
Wellpoint Health Networks, Inc., Class A+ .................. 14,300 815,100
MEDICAL PRODUCTS -- 2.9%
Baxter International, Inc. ................................. 8,400 506,100
Boston Scientific Corp.+ ................................... 6,800 167,875
Cardinal Health, Inc. ...................................... 12,900 703,050
Johnson & Johnson Co. ...................................... 8,300 762,562
PE Corp.-PE Biosystems Group ............................... 1,000 72,250
Schering-Plough Corp. ...................................... 16,400 715,450
------------
13,010,431
------------
</TABLE>
----------------
79
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 10.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.8%
AlliedSignal, Inc. ......................................... 14,600 $ 875,087
BUSINESS SERVICES -- 2.6%
First Data Corp. ........................................... 13,700 601,087
Gartner Group, Inc., Class B ............................... 1,289 21,510
Gartner Group, Inc., Class A+ .............................. 14,000 223,125
Rentokil Initial PLC+ ...................................... 94,900 335,903
Solectron Corp.+ ........................................... 12,400 890,475
Waste Management, Inc. ..................................... 31,300 602,525
ELECTRICAL EQUIPMENT -- 0.2%
Waters Corp.+ .............................................. 2,900 175,631
MACHINERY -- 0.6%
Danaher Corp. .............................................. 12,200 642,788
MULTI-INDUSTRY -- 6.2%
Berkshire Hathaway, Inc., Class A+ ......................... 12 660,000
Hutchison Whampoa Ltd. ..................................... 101,700 942,649
Teleflex, Inc. ............................................. 13,500 533,250
Tomkins PLC ................................................ 148,340 620,299
Tyco International Ltd. .................................... 34,846 3,597,849
------------
10,722,178
------------
INFORMATION & ENTERTAINMENT -- 7.8%
BROADCASTING & MEDIA -- 6.0%
CBS Corp.+ ................................................. 19,400 897,250
Clear Channel Communications, Inc.+ ........................ 9,600 766,800
Fox Entertainment Group, Inc., Class A+ .................... 15,300 323,213
Infinity Broadcasting Corp., Class A+ ...................... 25,100 735,744
MediaOne Group, Inc.+ ...................................... 7,700 526,006
Omnicom Group, Inc. ........................................ 14,200 1,124,462
Time Warner, Inc. .......................................... 10,400 631,800
Tribune Co. ................................................ 8,200 407,950
VNU NV ..................................................... 12,200 423,194
Wolters Kluwer NV+ ......................................... 8,200 280,952
ENTERTAINMENT PRODUCTS -- 1.0%
Koninklijke Phillips Electronics NV ........................ 8,700 874,808
Mattel, Inc. ............................................... 8,760 166,440
LEISURE & TOURISM -- 0.8%
McDonald's Corp. ........................................... 10,500 451,500
Mirage Resorts, Inc.+ ...................................... 18,800 264,375
Walt Disney Co. ............................................ 4,000 103,500
------------
7,977,994
------------
INFORMATION TECHNOLOGY -- 29.3%
COMMUNICATION EQUIPMENT -- 1.9%
General Instrument Corp.+ .................................. 8,200 394,625
Lucent Technologies, Inc. .................................. 17,400 1,128,825
Nokia Corp., Class A ADR ................................... 4,700 422,119
</TABLE>
- ----------------
80
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 5.2%
Automatic Data Processing, Inc. ............................ 19,700 $ 879,112
Cisco Systems, Inc.+ ....................................... 22,300 1,528,944
Dell Computer Corp.+ ....................................... 24,400 1,020,225
EMC Corp.+ ................................................. 8,100 578,644
Fujitsu Ltd.+ .............................................. 12,000 373,104
Hewlett-Packard Co. ........................................ 10,900 1,002,800
ELECTRONICS -- 7.5%
Altera Corp.+ .............................................. 14,900 646,288
Applied Materials, Inc.+ ................................... 8,500 661,938
General Electric Co. ....................................... 19,800 2,347,537
Getronics NV+ .............................................. 9,819 529,186
Intel Corp. ................................................ 19,800 1,471,387
Maxim Integrated Products, Inc.+ ........................... 17,600 1,110,450
Texas Instruments, Inc. .................................... 12,000 987,000
SOFTWARE -- 10.1%
America Online, Inc.+ ...................................... 8,900 925,600
BMC Software, Inc.+ ........................................ 17,800 1,273,812
Ceridian Corp.+ ............................................ 22,300 554,713
Citrix Systems, Inc.+ ...................................... 9,300 576,019
Computer Associates International, Inc. .................... 16,700 1,022,875
Compuware Corp.+ ........................................... 10,000 260,625
Microsoft Corp.+ ........................................... 33,200 3,006,675
Oracle Corp.+ .............................................. 18,500 841,750
Parametric Technology Corp.+ ............................... 36,000 486,000
Sun Microsystems, Inc.+ .................................... 6,600 613,800
VERITAS Software Corp.+ .................................... 7,800 592,312
Yahoo!, Inc.+ .............................................. 1,100 197,450
TELECOMMUNICATIONS -- 4.6%
Comcast Corp., Class A ..................................... 18,300 729,712
Corning, Inc. .............................................. 13,900 953,019
Nextel Communications, Inc., Class A+ ...................... 11,200 759,500
Nippon Telegraph & Telephone Corp. ......................... 17 208,560
Sprint Corp. ............................................... 19,600 1,063,300
Vodafone AirTouch PLC ADR .................................. 4,200 998,550
------------
30,146,456
------------
REAL ESTATE -- 0.9%
REAL ESTATE COMPANIES -- 0.2%
Security Capital U.S. Realty ADR+ .......................... 13,600 249,050
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Crescent Real Estate Equities Co. .......................... 20,000 360,000
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 15,300 341,381
------------
950,431
------------
</TABLE>
----------------
81
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- -------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 4.6%
TELEPHONE -- 4.6%
AT&T Corp. - Liberty Media Group, Class A+ ................. 7,200 $ 267,300
MCI Worldcom, Inc.+ ........................................ 28,407 2,041,753
SBC Communications, Inc. ................................... 6,600 337,012
Telecom Italia Mobile SpA .................................. 226,100 832,412
Telecom Italia SpA ......................................... 50,900 441,947
Telecomunicacoes Brasileiras SA ADR ........................ 10,300 771,856
------------
4,692,280
------------
TOTAL INVESTMENT SECURITIES (cost $88,500,390) ............. 99,301,877
------------
<CAPTION>
SHORT-TERM SECURITIES -- 3.1% PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 2.6%
Duke University 5.17% due 10/06/99.......................... $1,555,000 1,553,883
France Telecom 5.32% due 10/13/99........................... 325,000 324,424
Golden Funding Corp. 5.40% due 11/04/99..................... 355,000 353,189
Yale University 5.16% due 10/20/99.......................... 465,000 463,734
------------
2,695,230
------------
MUNICIPAL BONDS -- 0.5%
Power Authority of New York Series 4 5.75% due 10/01/99..... 546,000 546,000
------------
TOTAL SHORT-TERM SECURITIES (cost $3,241,230)............... 3,241,230
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $91,741,620) 99.8% 102,543,107
Other assets less liabilities -- 0.2 177,922
----- ------------
NET ASSETS -- 100.0% $102,721,029
===== ============
</TABLE>
- -------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
- ----------------
82
<PAGE>
- ------------------
SEASONS SERIES TRUST
LARGE CAP
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 92.2%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.6%
AUTOMOTIVE -- 0.2%
Federal-Mogul Corp. ........................................ 1,305 $ 35,969
General Motors Corp. ....................................... 200 12,588
HOUSING -- 0.0%
Black & Decker Corp. ....................................... 100 4,569
Maytag Corp. ............................................... 100 3,331
RETAIL -- 7.4%
Amazon.com, Inc.+ .......................................... 5,620 448,195
Best Buy Co., Inc.+ ........................................ 200 12,412
Costco Wholesale Corp.+ .................................... 885 63,720
CVS Corp. .................................................. 500 20,406
Dollar General Corp. ....................................... 250 7,719
eBay, Inc.+ ................................................ 750 105,797
Gap, Inc. .................................................. 750 24,000
Home Depot, Inc. ........................................... 3,150 216,169
Kohl's Corp.+ .............................................. 200 13,225
Kroger Co.+ ................................................ 800 17,650
Safeway, Inc.+ ............................................. 500 19,031
Staples, Inc.+ ............................................. 5,165 112,662
TJX Cos., Inc. ............................................. 300 8,419
Wal-Mart Stores, Inc. ...................................... 6,800 323,425
Walgreen Co. ............................................... 3,500 88,812
-----------
1,538,099
-----------
CONSUMER STAPLES -- 5.7%
FOOD, BEVERAGE & TOBACCO -- 3.2%
Anheuser-Busch Cos., Inc. .................................. 500 35,031
Bestfoods................................................... 300 14,550
Campbell Soup Co. .......................................... 400 15,650
Coca-Cola Co. .............................................. 4,300 206,669
General Mills, Inc. ........................................ 100 8,112
Heinz (H.J.) & Co. ......................................... 300 12,900
Hershey Foods Corp. ........................................ 100 4,869
Kellogg Co. ................................................ 400 14,975
Nabisco Group Holdings Corp. ............................... 2,800 42,000
PepsiCo, Inc. .............................................. 3,400 102,850
Philip Morris Cos., Inc. ................................... 1,100 37,606
Pioneer Hi-Bred International, Inc. ........................ 200 7,962
Quaker Oats Co. ............................................ 100 6,188
Ralston-Ralston Purina Group ............................... 2,800 77,875
UST, Inc. .................................................. 200 6,038
Wrigley (Wm) Jr. Co. ....................................... 600 41,287
</TABLE>
----------------
83
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS -- 2.5%
Avon Products, Inc. ........................................ 2,100 $ 52,106
Clorox Co. ................................................. 800 30,600
Colgate-Palmolive Co. ...................................... 2,900 132,675
Fort James Corp. ........................................... 200 5,338
Gillette Co. ............................................... 1,100 37,331
Kimberly-Clark Corp. ....................................... 500 26,250
Newell Rubbermaid, Inc. .................................... 300 8,569
Procter & Gamble Co. ....................................... 1,900 178,125
Unilever NV................................................. 546 37,196
-----------
1,142,752
-----------
ENERGY -- 3.2%
ENERGY SERVICES -- 0.5%
Schlumberger Ltd. .......................................... 1,700 105,931
ENERGY SOURCES -- 2.7%
Atlantic Richfield Co. ..................................... 100 8,863
Enron Corp. ................................................ 6,910 285,037
Exxon Corp. ................................................ 900 68,344
Mobil Corp. ................................................ 600 60,450
Royal Dutch Petroleum Co. GDR .............................. 1,000 59,062
Texaco, Inc. ............................................... 700 44,188
Unocal Corp. ............................................... 300 11,119
-----------
642,994
-----------
FINANCE -- 5.0%
BANKS -- 2.0%
Bank of America Corp. ...................................... 800 44,550
Fifth Third Bancorp......................................... 935 56,889
Firstar Corp. .............................................. 3,765 96,478
MBNA Corp. ................................................. 3,300 75,281
State Street Corp. ......................................... 1,700 109,863
Telebanc Financial Corp.+ .................................. 505 11,615
FINANCIAL SERVICES -- 2.9%
Ambac Financial Group, Inc. ................................ 400 18,950
American Express Co. ....................................... 1,025 137,991
Capital One Financial Corp. ................................ 200 7,800
Charles Schwab Corp. ....................................... 800 26,950
Citigroup, Inc. ............................................ 1,850 81,400
Dow Jones & Co., Inc. ...................................... 100 5,338
Dun & Bradstreet Corp. ..................................... 200 5,975
E*TRADE Group, Inc.+ ....................................... 1,515 35,602
Fannie Mae.................................................. 1,600 100,300
Freddie Mac................................................. 2,000 104,000
Nationwide Financial Services, Inc., Class A ............... 600 21,225
Providian Financial Corp. .................................. 100 7,919
SLM Holding Corp. .......................................... 100 4,300
Wells Fargo Co. ............................................ 700 27,737
</TABLE>
- ----------------
84
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE -- 0.1%
Equifax, Inc. .............................................. 100 $ 2,812
Hartford Life, Inc., Class A ............................... 400 19,700
-----------
1,002,675
-----------
HEALTHCARE -- 10.9%
DRUGS -- 6.3%
Abbott Laboratories, Inc. .................................. 1,400 51,450
Allergan, Inc. ............................................. 100 11,000
American Home Products Corp. ............................... 3,100 128,650
Amgen, Inc.+ ............................................... 500 40,750
Bristol-Myers Squibb Co. ................................... 4,300 290,250
Eli Lilly & Co. ............................................ 1,700 108,800
Merck & Co., Inc. .......................................... 3,000 194,438
Pfizer, Inc. ............................................... 7,800 280,312
Warner-Lambert Co. ......................................... 2,400 159,300
HEALTH SERVICES -- 0.0%
IMS Health, Inc. ........................................... 300 6,844
MEDICAL PRODUCTS -- 4.6%
Baxter International, Inc. ................................. 300 18,075
Boston Scientific Corp.+ ................................... 400 9,875
Guidant Corp. .............................................. 300 16,088
Johnson & Johnson Co. ...................................... 1,800 165,375
McKesson HBOC, Inc. ........................................ 300 8,700
Medtronic, Inc. ............................................ 7,180 254,890
MiniMed, Inc.+ ............................................. 1,070 105,127
PE Corp.-PE Biosystems Group................................ 545 39,376
Schering-Plough Corp. ...................................... 6,985 304,721
-----------
2,194,021
-----------
INDUSTRIAL & COMMERCIAL -- 5.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
AlliedSignal, Inc. ......................................... 600 35,962
BUSINESS SERVICES -- 2.3%
Cendant Corp.+ ............................................. 1,800 31,950
Ecolab, Inc. ............................................... 1,100 37,537
Exodus Communications, Inc.+ ............................... 1,180 85,034
First Data Corp. ........................................... 2,200 96,525
Gartner Group, Inc., Class B ............................... 39 651
Interpublic Group of Cos., Inc. ............................ 200 8,225
Paychex, Inc. .............................................. 200 6,825
PSInet, Inc.+ .............................................. 1,220 43,882
Service Corp. International................................. 4,200 44,362
Solectron Corp.+ ........................................... 200 14,363
SYSCO Corp. ................................................ 300 10,519
Verio, Inc.+ ............................................... 1,070 33,170
Waste Management, Inc. ..................................... 2,200 42,350
</TABLE>
----------------
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 2.6%
Avery Dennison Corp. ....................................... 100 $ 5,275
Mannesmann AG+ ............................................. 877 139,976
Minnesota Mining & Manufacturing Co. ....................... 300 28,819
Sara Lee Corp. ............................................. 900 21,094
Tyco International Ltd. .................................... 3,250 335,562
TRANSPORTATION -- 0.0%
Kansas City Southern Industries, Inc. ...................... 100 4,644
-----------
1,026,725
-----------
INFORMATION & ENTERTAINMENT -- 9.8%
BROADCASTING & MEDIA -- 9.0%
A.H. Belo Corp. ............................................ 2,500 47,812
AMFM, Inc.+ ................................................ 800 48,700
Cablevision Systems Corp., Class A+ ........................ 2,155 156,776
CBS Corp.+ ................................................. 2,300 106,375
Central Newspapers, Inc., Class A .......................... 1,300 57,850
Clear Channel Communications, Inc.+ ........................ 578 46,168
Cox Communications, Inc., Class A+ ......................... 2,415 100,826
Crown Castle International Corp.+ .......................... 1,800 33,694
DoubleClick, Inc.+ ......................................... 1,235 147,119
EchoStar Communications Corp., Class A+ .................... 400 36,325
Infinity Broadcasting Corp., Class A+ ...................... 2,160 63,315
Lamar Advertising Co.+ ..................................... 665 32,918
Liberty Digital, Inc., Class A+ ............................ 410 9,558
McGraw-Hill Cos., Inc. ..................................... 200 9,675
MediaOne Group, Inc.+ ...................................... 1,700 116,131
New York Times Co., Class A ................................ 1,000 37,500
Omnicom Group, Inc. ........................................ 200 15,838
Outdoor Systems, Inc.+ ..................................... 1,500 53,625
Time Warner, Inc. .......................................... 7,955 483,266
Tribune Co. ................................................ 400 19,900
Valassis Communications, Inc.+ ............................. 2,100 92,269
VoiceStream Wireless Corp. ................................. 1,030 63,570
Ziff-Davis, Inc.+ .......................................... 1,900 30,638
ENTERTAINMENT PRODUCTS -- 0.1%
Hasbro, Inc. ............................................... 750 16,078
Mattel, Inc. ............................................... 620 11,780
LEISURE & TOURISM -- 0.7%
Galileo International, Inc. ................................ 700 28,175
Hilton Hotels Corp. ........................................ 200 1,975
Marriott International, Inc., Class A ...................... 1,500 49,031
McDonald's Corp. ........................................... 600 25,800
Southwest Airlines Co. ..................................... 150 2,278
Tricon Global Restaurants, Inc.+ ........................... 200 8,188
USAirways Group, Inc.+ ..................................... 100 2,625
Walt Disney Co. ............................................ 700 18,112
-----------
1,973,890
-----------
</TABLE>
- ----------------
86
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 37.6%
COMMUNICATION EQUIPMENT -- 5.1%
General Instrument Corp.+ .................................. 400 $ 19,250
Lucent Technologies, Inc. .................................. 4,130 267,934
Nokia Corp., Class A ADR ................................... 5,480 492,172
QUALCOMM, Inc.+ ............................................ 600 113,513
Tellabs, Inc.+ ............................................. 400 22,775
Unisys Corp.+ .............................................. 300 13,538
UnitedGlobal.com, Class A+ ................................. 1,215 87,024
COMPUTERS & BUSINESS EQUIPMENT -- 7.9%
Automatic Data Processing, Inc. ............................ 1,200 53,550
Cisco Systems, Inc.+ ....................................... 8,790 602,664
Dell Computer Corp.+ ....................................... 2,700 112,894
EMC Corp.+ ................................................. 4,645 331,827
Gateway, Inc.+ ............................................. 400 17,775
International Business Machines Corp. ...................... 2,700 327,712
Network Appliance, Inc.+ ................................... 100 7,163
Pitney Bowes, Inc. ......................................... 300 18,281
Tandy Corp. ................................................ 1,900 98,206
Xerox Corp. ................................................ 600 25,163
ELECTRONICS -- 8.7%
Applied Materials, Inc.+ ................................... 2,225 173,272
ASM Lithography Holdings NV+ ............................... 1,505 100,929
Conexant Systems, Inc.+ .................................... 1,115 81,012
General Electric Co. ....................................... 5,300 628,381
Intel Corp. ................................................ 5,400 401,287
Maxim Integrated Products, Inc.+ ........................... 485 30,600
Pittway Corp., Class A ..................................... 1,200 37,800
Texas Instruments, Inc. .................................... 2,695 221,664
Vitesse Semiconductor Corp.+ ............................... 900 76,838
SOFTWARE -- 10.0%
Adobe Systems, Inc. ........................................ 100 11,350
America Online, Inc.+ ...................................... 2,355 244,920
At Home Corp., Series A+ ................................... 708 29,338
BMC Software, Inc.+ ........................................ 200 14,312
Ceridian Corp.+ ............................................ 100 2,488
CheckFree Holdings Corp.+ .................................. 600 24,675
CIBER, Inc.+ ............................................... 360 5,513
Computer Associates International, Inc. .................... 500 30,625
Compuware Corp.+ ........................................... 300 7,819
Inktomi Corp.+ ............................................. 405 48,613
Microsoft Corp.+ ........................................... 9,995 905,172
Network Solutions, Inc+. ................................... 100 9,187
Oracle Corp.+ .............................................. 2,550 116,025
Parametric Technology Corp.+ ............................... 300 4,050
PeopleSoft, Inc.+ .......................................... 300 5,081
Sapient Corp.+ ............................................. 1,190 112,157
Sun Microsystems, Inc.+ .................................... 2,850 265,050
Yahoo!, Inc.+ .............................................. 960 172,320
</TABLE>
----------------
87
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 5.9%
Ameritech Corp. ............................................ 1,000 $ 67,187
Comcast Corp., Class A ..................................... 7,060 281,517
Comverse Technology, Inc.+ ................................. 165 15,562
Corning, Inc. .............................................. 200 13,713
Gannett Co., Inc. .......................................... 600 41,512
JDS Uniphase Corp.+ ........................................ 775 88,205
Level 3 Communications, Inc.+ .............................. 2,315 120,886
Nextel Communications, Inc., Class A+ ...................... 300 20,344
NEXTLINK Communications, Inc., Class A+ .................... 1,250 64,805
NTL, Inc.+ ................................................. 700 67,266
Sprint Corp. (PCS Group).................................... 1,860 138,686
U.S. West, Inc. ............................................ 400 22,825
VeriSign, Inc.+ ............................................ 860 91,590
Vodafone AirTouch PLC ADR................................... 555 131,951
Vodafone Group PLC.......................................... 1,295 30,562
-----------
7,568,530
-----------
MATERIALS -- 0.2%
CHEMICALS -- 0.2%
du Pont (E.I.) de Nemours & Co. ............................ 409 24,898
Hercules, Inc. ............................................. 100 2,863
METALS & MINERALS -- 0.0%
Freeport-McMoRan Copper & Gold, Inc., Class B .............. 100 1,556
-----------
29,317
-----------
REAL ESTATE -- 0.1%
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 800 17,850
-----------
UTILITIES -- 7.0%
ELECTRIC UTILITIES -- 0.6%
AES Corp.+ ................................................. 2,200 129,800
TELEPHONE -- 6.4%
AT&T Corp. ................................................. 3,000 130,500
AT&T Corp. - Liberty Media Group, Class A+ ................. 17,038 632,536
Bell Atlantic Corp. ........................................ 1,500 100,969
BellSouth Corp. ............................................ 1,800 81,000
GTE Corp. .................................................. 1,500 115,312
MCI WorldCom, Inc.+ ........................................ 1,700 122,187
SBC Communications, Inc. ................................... 1,900 97,019
-----------
1,409,323
-----------
TOTAL INVESTMENT SECURITIES (cost $17,386,716).............. 18,546,176
-----------
</TABLE>
- ----------------
88
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 1.7% PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 1.7%
Federal Home Loan Mortgage Discount Notes 5.18% due
10/01/99................................................... $ 300,000 $ 300,000
United States Treasury Bills 4.55% due 12/02/99............. 40,000 39,683
-----------
TOTAL SHORT-TERM SECURITIES (cost $339,687)................. 339,683
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.7%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 5.7%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $1,047,124 and collateralized by
$1,070,000 of U.S. Treasury Notes, bearing interest at
5.50%, due 3/31/00 and having an approximate value of
$1,071,338@................................................ 1,047,000 1,047,000
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $107,016, and collateralized by
$75,000 of U.S. Treasury Bonds, bearing interest at 11.25%,
due 2/15/15 and having an approximate value of $110,426.... 107,000 107,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $1,154,000)............... 1,154,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $18,880,403) 99.6% 20,039,859
Other assets less liabilities -- 0.4 85,718
----- -----------
NET ASSETS -- 100.0% $20,125,577
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT SEPTEMBER 30, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
8 Long Standard & Poors 500 Index December 1999 $538,660 $519,280 $(19,380)
========
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
- ------------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C>
*USD 57,483 EUR 55,000 10/08/99 $ 1,076
*USD 20,838 EUR 20,000 10/08/99 456
EUR 35,000 USD 37,675 10/08/99 410
EUR 260,000 USD 282,100 12/09/99 3,885
--------
$ 5,827
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C>
*EUR 40,000 USD 41,240 10/08/99 $ (1,348)
EUR 15,000 USD 15,690 10/08/99 (281)
EUR 25,000 USD 26,387 10/08/99 (231)
*EUR 40,000 USD 41,998 10/08/99 (591)
--------
(2,451)
--------
Net Unrealized Appreciation............................ $ 3,376
========
</TABLE>
- ------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
EUR -- Euro Dollar
USD -- United States Dollar
See Notes to Financial Statements
----------------
89
<PAGE>
- ------------------
SEASONS SERIES TRUST
LARGE CAP
COMPOSITE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 94.1%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.3%
APPAREL & TEXTILES -- 0.2%
Nike, Inc., Class B ........................................ 400 $ 22,750
AUTOMOTIVE -- 0.8%
B.F. Goodrich Co. .......................................... 100 2,900
Dana Corp. ................................................. 100 3,713
Delphi Automotive Systems Corp. ............................ 309 4,963
Ford Motor Co. ............................................. 500 25,094
General Motors Corp. ....................................... 800 50,350
Goodyear Tire & Rubber Co. ................................. 100 4,813
PACCAR, Inc. ............................................... 100 5,087
Tenneco, Inc. .............................................. 100 1,700
TRW, Inc. .................................................. 100 4,975
HOUSING -- 0.4%
Black & Decker Corp. ....................................... 100 4,569
Fortune Brands, Inc. ....................................... 100 3,225
Grainger (W. W.), Inc. ..................................... 100 4,806
Masco Corp. ................................................ 1,100 34,100
Maytag Corp. ............................................... 100 3,331
RETAIL -- 5.9%
Albertson's, Inc. .......................................... 263 10,405
Amazon.com, Inc.+ .......................................... 100 7,975
Best Buy Co., Inc.+ ........................................ 600 37,237
Cifra SA de CV ADR+ ........................................ 300 4,687
Circuit City Stores, Inc. .................................. 200 8,437
Costco Wholesale Corp.+ .................................... 100 7,200
CVS Corp. .................................................. 700 28,569
Dayton Hudson Corp. ........................................ 1,600 96,100
Dollar General Corp. ....................................... 125 3,859
Federated Department Stores, Inc. + ........................ 100 4,369
Gap, Inc. .................................................. 1,450 46,400
Home Depot, Inc. ........................................... 2,000 137,250
Kmart Corp. + .............................................. 300 3,506
Kohl's Corp.+ .............................................. 100 6,612
Koninklijke Ahold NV+ ...................................... 500 16,440
Kroger Co.+ ................................................ 1,900 41,919
Limited, Inc. .............................................. 96 3,672
May Department Stores Co. .................................. 150 5,466
Nordstrom, Inc. ............................................ 100 2,700
Office Depot, Inc. + ....................................... 200 2,038
Penney (J.C.), Inc. ........................................ 100 3,438
Rite Aid Corp. ............................................. 100 1,381
Safeway, Inc.+ ............................................. 1,600 60,900
Sears, Roebuck & Co. ....................................... 100 3,138
Staples, Inc.+ ............................................. 800 17,450
</TABLE>
- ----------------
90
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
TJX Cos., Inc. ............................................. 200 $ 5,612
Too, Inc. .................................................. 13 233
Toys "R" Us, Inc.+ ......................................... 200 3,000
Wal-Mart Stores, Inc. ...................................... 4,100 195,006
Walgreen Co. ............................................... 600 15,225
Winn-Dixie Stores, Inc. .................................... 100 2,969
-----------
959,569
-----------
CONSUMER STAPLES -- 4.3%
FOOD, BEVERAGE & TOBACCO -- 3.0%
Anheuser-Busch Cos., Inc. .................................. 1,200 84,075
Archer-Daniels-Midland Co. ................................. 210 2,559
Bestfoods................................................... 200 9,700
Campbell Soup Co. .......................................... 200 7,825
Coca-Cola Co. .............................................. 1,400 67,287
Coca-Cola Enterprises, Inc. ................................ 200 4,513
Compass Group PLC .......................................... 1,900 18,737
ConAgra, Inc. .............................................. 200 4,513
General Mills, Inc. ........................................ 100 8,112
Heinz (H.J.) & Co. ......................................... 200 8,600
Hershey Foods Corp. ........................................ 100 4,869
Kellogg Co. ................................................ 200 7,488
Nabisco Group Holdings Corp. ............................... 200 3,000
PepsiCo, Inc. .............................................. 1,500 45,375
Philip Morris Cos., Inc. ................................... 2,700 92,306
Pioneer Hi-Bred International, Inc. ........................ 100 3,981
Ralston-Ralston Purina Group ............................... 100 2,781
RJ Reynolds Tobacco Holdings, Inc.+ ........................ 66 1,782
Seagram Co., Ltd. .......................................... 200 9,100
UST, Inc. .................................................. 100 3,019
HOUSEHOLD PRODUCTS -- 1.3%
Alberto-Culver Co., Class B ................................ 200 4,625
Avon Products, Inc. ........................................ 200 4,963
Colgate-Palmolive Co. ...................................... 600 27,450
Fort James Corp. ........................................... 100 2,669
Gillette Co. ............................................... 700 23,756
Kimberly-Clark Corp. ....................................... 600 31,500
Newell Rubbermaid, Inc. .................................... 178 5,084
Procter & Gamble Co. ....................................... 600 56,250
Unilever NV................................................. 267 18,189
-----------
564,108
-----------
ENERGY -- 6.4%
ENERGY SERVICES -- 1.9%
Baker Hughes, Inc. ......................................... 1,500 43,500
Halliburton Co. ............................................ 2,000 82,000
Schlumberger Ltd. .......................................... 1,800 112,163
Tosco Corp. ................................................ 100 2,525
USX-Marathon Group, Inc. ................................... 200 5,850
</TABLE>
----------------
91
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 4.5%
Atlantic Richfield Co. ..................................... 100 $ 8,862
Burlington Resources, Inc. ................................. 100 3,675
Chevron Corp. .............................................. 600 53,250
Conoco, Inc. ............................................... 365 9,992
Enron Corp. ................................................ 1,200 49,500
Exxon Corp. ................................................ 1,200 91,125
Mobil Corp. ................................................ 1,450 146,087
Occidental Petroleum Corp. ................................. 200 4,625
Phillips Petroleum Co. ..................................... 200 9,750
Royal Dutch Petroleum Co. GDR .............................. 3,250 191,953
Texaco, Inc. ............................................... 300 18,937
Union Pacific Resources Group, Inc. ........................ 200 3,213
Unocal Corp. ............................................... 200 7,413
-----------
844,420
-----------
FINANCE -- 14.3%
BANKS -- 4.6%
AmSouth Bancorp. ........................................... 150 3,516
Bank of America Corp. ...................................... 1,800 100,237
Bank of New York Co., Inc. ................................. 2,000 66,875
Bank One Corp. ............................................. 600 20,887
BankBoston Corp. ........................................... 100 4,338
BB&T Corp. ................................................. 100 3,238
Chase Manhattan Corp. ...................................... 1,200 90,450
Comerica, Inc. ............................................. 100 5,062
Fifth Third Bancorp......................................... 100 6,084
First Union Corp. .......................................... 750 26,672
Firstar Corp. .............................................. 1,609 41,231
Huntington Bancshares, Inc. ................................ 110 2,922
MBNA Corp. ................................................. 400 9,125
Mellon Bank Corp. .......................................... 2,400 81,000
National City Corp. ........................................ 400 10,675
Northern Trust Corp. ....................................... 100 8,350
PNC Bank Corp. ............................................. 200 10,537
Regions Financial Corp. .................................... 100 3,000
Republic New York Corp. .................................... 100 6,144
SouthTrust Corp. ........................................... 100 3,588
St. Paul Cos., Inc. ........................................ 200 5,500
SunTrust Banks, Inc. ....................................... 200 13,150
Synovus Financial Corp. .................................... 100 1,869
U.S. Bancorp................................................ 2,350 70,941
Union Planters Corp. ....................................... 100 4,075
Wachovia Corp. ............................................. 100 7,862
FINANCIAL SERVICES -- 8.0%
Ambac Financial Group, Inc. ................................ 200 9,475
American Express Co. ....................................... 880 118,470
American General Corp. ..................................... 100 6,319
Associates First Capital Corp., Class A .................... 1,600 57,600
Bear Stearns Cos., Inc. .................................... 105 4,036
Capital One Financial Corp. ................................ 2,100 81,900
Case Corp. ................................................. 100 4,981
</TABLE>
- ----------------
92
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Charles Schwab Corp. ....................................... 400 $ 13,475
Citigroup, Inc. ............................................ 4,450 195,800
Concord EFS, Inc.+ ......................................... 200 4,125
Countrywide Credit Industries, Inc. ........................ 100 3,225
Dun & Bradstreet Corp. ..................................... 100 2,988
Fannie Mae.................................................. 2,100 131,644
Fleet Financial Group, Inc. ................................ 200 7,325
Freddie Mac................................................. 2,300 119,600
Goldman Sachs Group, Inc.................................... 100 6,100
Household International, Inc. .............................. 300 12,037
HSBC Holdings PLC........................................... 900 10,283
KeyCorp. ................................................... 300 7,744
Lehman Brothers Holdings, Inc. ............................. 100 5,831
Merrill Lynch & Co., Inc. .................................. 700 47,031
Morgan (J.P.) & Co., Inc. .................................. 100 11,425
Morgan Stanley, Dean Witter & Co. .......................... 1,000 89,187
Paine Webber Group, Inc. ................................... 100 3,625
Providian Financial Corp. .................................. 100 7,919
SLM Holding Corp. .......................................... 100 4,300
Washington Mutual, Inc. .................................... 300 8,775
Wells Fargo Co. ............................................ 1,900 75,287
INSURANCE -- 1.7%
Ace Ltd. ................................................... 1,600 27,100
Aetna, Inc. ................................................ 100 4,925
AFLAC, Inc. ................................................ 100 4,187
Allstate Corp. ............................................. 400 9,975
American International Group, Inc.# ........................ 750 65,203
Aon Corp. .................................................. 150 4,434
Chubb Corp. ................................................ 100 4,981
CIGNA Corp. ................................................ 100 7,775
Cinergy Corp. .............................................. 100 2,831
Conseco, Inc. .............................................. 200 3,863
Equifax, Inc. .............................................. 100 2,813
Fairfax Financial Holdings Ltd.+ ........................... 100 14,973
Franklin Resources, Inc. ................................... 100 3,075
Hartford Financial Services Group, Inc. .................... 100 4,087
Jefferson-Pilot Corp. ...................................... 100 6,319
Marsh & McLennan Cos., Inc. ................................ 100 6,850
MGIC Investment Corp. ...................................... 100 4,775
Mutual Risk Management Ltd. ................................ 900 11,025
PartnerRe Ltd. ............................................. 400 13,900
SAFECO Corp. ............................................... 100 2,800
Torchmark Corp. ............................................ 100 2,588
UnumProvident Corp. ........................................ 573 16,868
-----------
1,883,182
-----------
HEALTHCARE -- 9.9%
DRUGS -- 6.3%
Abbott Laboratories, Inc. .................................. 700 25,725
ALZA Corp.+ ................................................ 100 4,281
American Home Products Corp. ............................... 1,100 45,650
</TABLE>
----------------
93
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Amgen, Inc.+ ............................................... 960 $ 78,240
Biogen, Inc.+ .............................................. 700 55,169
Bristol-Myers Squibb Co. ................................... 2,000 135,000
Eli Lilly & Co. ............................................ 1,000 64,000
Genentech , Inc.+ .......................................... 100 14,631
Merck & Co., Inc. .......................................... 2,250 145,828
Pfizer, Inc. ............................................... 3,900 140,156
Pharmacia & Upjohn, Inc. ................................... 300 14,888
Warner-Lambert Co. ......................................... 1,600 106,200
HEALTH SERVICES -- 0.8%
Columbia/HCA Healthcare Corp. .............................. 400 8,475
HEALTHSOUTH Corp.+ ......................................... 200 1,213
IMS Health, Inc. ........................................... 800 18,250
Tenet Healthcare Corp.+ .................................... 200 3,513
United HealthCare Corp. .................................... 1,000 48,687
Wellpoint Health Networks, Inc., Class A+ .................. 500 28,500
MEDICAL PRODUCTS -- 2.8%
Bausch & Lomb, Inc. ........................................ 100 6,594
Baxter International, Inc. ................................. 400 24,100
Becton Dickinson & Co. ..................................... 100 2,806
Biomet, Inc. ............................................... 100 2,631
Boston Scientific Corp.+ ................................... 500 12,344
Cardinal Health, Inc. ...................................... 660 35,970
Guidant Corp.+ ............................................. 100 5,362
Johnson & Johnson Co. ...................................... 1,800 165,375
McKesson HBOC, Inc. ........................................ 200 5,800
Medtronic, Inc. ............................................ 600 21,300
PE Corp.-PE Biosystems Group................................ 50 3,613
Schering-Plough Corp. ...................................... 1,800 78,525
-----------
1,302,826
-----------
INDUSTRIAL & COMMERCIAL -- 6.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.7%
AlliedSignal, Inc. ......................................... 800 47,950
Boeing Co. ................................................. 500 21,312
General Dynamics Corp. ..................................... 100 6,244
Lockheed Martin Corp. ...................................... 200 6,538
Raytheon Co., Class B ...................................... 200 9,925
Rockwell International Corp. ............................... 100 5,250
BUSINESS SERVICES -- 1.4%
Allied Waste Industries, Inc.+ ............................. 100 1,169
Cendant Corp.+ ............................................. 364 6,461
Ecolab, Inc. ............................................... 100 3,412
Electronic Data Systems Corp. .............................. 200 10,587
FDX Corp.+ ................................................. 200 7,750
First Data Corp. ........................................... 700 30,712
Gartner Group, Inc., Class A+ .............................. 500 7,969
Gartner Group, Inc., Class B ............................... 46 768
IKON Office Solutions, Inc. ................................ 100 1,069
Interpublic Group of Cos., Inc. ............................ 200 8,225
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Owens-Illinois, Inc.+ ...................................... 100 $ 1,981
Paychex, Inc. .............................................. 150 5,119
R.R. Donnelley & Sons Co. .................................. 100 2,888
Rentokil Initial PLC+....................................... 4,400 15,574
Service Corp. International................................. 200 2,113
Solectron Corp.+ ........................................... 560 40,215
SYSCO Corp. ................................................ 200 7,012
Waste Management, Inc. ..................................... 1,500 28,875
ELECTRICAL EQUIPMENT -- 0.2%
Dover Corp. ................................................ 100 4,088
Emerson Electric Co. ....................................... 200 12,637
Waters Corp.+ .............................................. 100 6,056
MACHINERY -- 0.6%
Caterpillar, Inc. .......................................... 200 10,963
Cooper Industries, Inc. .................................... 100 4,675
Danaher Corp. .............................................. 600 31,612
Deere & Co. ................................................ 200 7,738
Illinois Tool Works, Inc. .................................. 100 7,456
Ingersoll-Rand Co. ......................................... 100 5,494
United Technologies Corp. .................................. 200 11,862
MULTI-INDUSTRY -- 3.0%
Avery Dennison Corp. ....................................... 100 5,275
Hutchison Whampoa Ltd. ..................................... 4,000 37,076
Minnesota Mining & Manufacturing Co. ....................... 200 19,213
Monsanto Co. ............................................... 300 10,706
Sara Lee Corp. ............................................. 500 11,719
Teleflex, Inc. ............................................. 500 19,750
Textron, Inc. .............................................. 100 7,738
Tomkins PLC................................................. 5,448 22,781
Tyco International Ltd. .................................... 2,414 249,245
Viacom, Inc., Class B+ ..................................... 200 8,450
TRANSPORTATION -- 0.3%
AMR Corp.+ ................................................. 100 5,450
Burlington Northern Santa Fe Corp. ......................... 300 8,250
CSX Corp. .................................................. 100 4,237
Kansas City Southern Industries, Inc. ...................... 100 4,644
Norfolk Southern Corp.+ .................................... 100 2,450
Union Pacific Corp. ........................................ 100 4,806
-----------
803,489
-----------
INFORMATION & ENTERTAINMENT -- 6.8%
BROADCASTING & MEDIA -- 5.0%
ADC Telecommunications, Inc.+ .............................. 100 4,194
CBS Corp.+ ................................................. 2,750 127,187
Clear Channel Communications, Inc.+ ........................ 1,550 123,806
Fox Entertainment Group, Inc., Class A+ .................... 600 12,675
Infinity Broadcasting Corp., Class A+ ...................... 800 23,450
Knight-Ridder, Inc. ........................................ 100 5,488
Loews Corp. ................................................ 100 7,019
Lowe's Cos., Inc. .......................................... 200 9,750
</TABLE>
----------------
95
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
MediaOne Group, Inc.+ ...................................... 1,600 $ 109,300
New York Times Co., Class A ................................ 100 3,750
Omnicom Group, Inc. ........................................ 660 52,264
Placer Dome, Inc. .......................................... 200 2,975
Time Warner, Inc. .......................................... 1,850 112,387
Tribune Co. ................................................ 600 29,850
VNU NV ..................................................... 600 20,813
Wolters Kluwer NV+ ......................................... 400 13,705
ENTERTAINMENT PRODUCTS -- 0.4%
Eastman Kodak Co. .......................................... 100 7,544
Hasbro, Inc. ............................................... 150 3,215
Koninklijke Phillips Electronics NV......................... 300 30,166
Mattel, Inc. ............................................... 460 8,740
Polaroid Corp. ............................................. 100 2,600
LEISURE & TOURISM -- 1.4%
Carnival Corp., Class A .................................... 300 13,050
Delta Air Lines, Inc. ...................................... 100 4,850
Marriott International, Inc., Class A ...................... 200 6,538
McDonald's Corp. ........................................... 2,500 107,500
Mirage Resorts, Inc.+ ...................................... 900 12,656
Southwest Airlines Co. ..................................... 300 4,556
Tricon Global Restaurants, Inc.+ ........................... 100 4,094
Walt Disney Co. ............................................ 1,100 28,462
Wendy's International, Inc. ................................ 100 2,638
-----------
895,222
-----------
INFORMATION TECHNOLOGY -- 29.4%
COMMUNICATION EQUIPMENT -- 2.7%
3Com Corp.+ ................................................ 200 5,750
Andrew Corp.+ .............................................. 100 1,738
Cabletron Systems, Inc.+ ................................... 100 1,569
General Instrument Corp.+ .................................. 400 19,250
Lucent Technologies, Inc. .................................. 2,860 185,542
Nokia Corp., Class A ADR ................................... 700 62,869
QUALCOMM, Inc.+ ............................................ 300 56,756
Tellabs, Inc.+ ............................................. 200 11,387
Unisys Corp.+ .............................................. 100 4,513
COMPUTERS & BUSINESS EQUIPMENT -- 8.5%
Apple Computer, Inc.+ ...................................... 100 6,331
Automatic Data Processing, Inc. ............................ 1,000 44,625
Cisco Systems, Inc.+ ....................................... 3,600 246,825
Compaq Computer Corp. ...................................... 800 18,350
Computer Sciences Corp.+ ................................... 100 7,031
Dell Computer Corp.+ ....................................... 3,100 129,619
EMC Corp.+ ................................................. 2,200 157,162
Gateway, Inc.+ ............................................. 200 8,888
Hewlett-Packard Co. ........................................ 900 82,800
Honeywell, Inc. ............................................ 600 66,788
International Business Machines Corp. ...................... 1,900 230,612
Lexmark International Group, Inc., Class A+ ................ 100 8,050
</TABLE>
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96
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Micron Technology, Inc.+ ................................... 700 $ 46,594
Pitney Bowes, Inc. ......................................... 100 6,094
Seagate Technology, Inc.+ .................................. 100 3,081
Silicon Graphics, Inc.+ .................................... 100 1,094
Tandy Corp. ................................................ 900 46,519
Xerox Corp. ................................................ 300 12,581
ELECTRONICS -- 8.4%
Altera Corp.+ .............................................. 600 26,025
Applied Materials, Inc.+ ................................... 550 42,831
Conexant Systems, Inc.+ .................................... 500 36,328
Eaton Corp. ................................................ 100 8,631
General Electric Co. ....................................... 3,350 397,185
Getronics NV+ .............................................. 300 16,168
Intel Corp. ................................................ 3,600 267,525
LSI Logic Corp.+ ........................................... 100 5,150
Maxim Integrated Products, Inc.+ ........................... 600 37,856
Motorola, Inc. ............................................. 1,000 88,000
National Semiconductor Corp.+ .............................. 1,100 33,550
Scientific-Atlanta, Inc. ................................... 100 4,956
Texas Instruments, Inc. .................................... 1,650 135,713
SOFTWARE -- 6.8%
America Online, Inc.+ ...................................... 750 78,000
BMC Software, Inc.+ ........................................ 800 57,250
Ceridian Corp.+ ............................................ 1,000 24,875
Citrix Systems, Inc. + ..................................... 400 24,775
Computer Associates International, Inc. .................... 900 55,125
Compuware Corp. + .......................................... 600 15,637
Microsoft Corp.+ ........................................... 4,950 448,284
Novell, Inc.+ .............................................. 200 4,138
Oracle Corp.+ .............................................. 1,400 63,700
Parametric Technology Corp.+ ............................... 1,500 20,250
PeopleSoft, Inc. + ......................................... 200 3,388
Sun Microsystems, Inc.+ .................................... 650 60,450
VERITAS Software Corp.+ .................................... 360 27,337
Yahoo!, Inc.+ .............................................. 50 8,975
TELECOMMUNICATIONS -- 3.0%
Ameritech Corp. ............................................ 500 33,594
Comcast Corp., Class A ..................................... 1,000 39,875
Corning, Inc. .............................................. 600 41,137
Gannett Co., Inc. .......................................... 200 13,838
Global Crossing Ltd.+ ...................................... 405 10,733
JDS Uniphase Corp.+ ........................................ 400 45,525
Nextel Communications, Inc., Class A+ ...................... 600 40,687
Nippon Telegraph & Telephone Corp. ......................... 1 12,268
Nortel Networks Corp. ...................................... 600 30,600
Sprint Corp. ............................................... 1,200 65,100
Sprint Corp. (PCS Group).................................... 200 14,912
U.S. West, Inc. ............................................ 200 11,413
Vodafone AirTouch PLC ADR................................... 150 35,662
-----------
3,859,864
-----------
</TABLE>
----------------
97
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 1.7%
CHEMICALS -- 0.5%
Air Products & Chemicals, Inc. ............................. 100 $ 2,906
Dow Chemical Co. ........................................... 100 11,362
du Pont (E.I.) de Nemours & Co. ............................ 427 25,994
Eastman Chemical Co. ....................................... 100 4,000
PPG Industries, Inc. ....................................... 100 6,000
Rohm & Haas Co. ............................................ 136 4,913
Sherwin-Williams Co. ....................................... 100 2,094
Sigma-Aldrich Corp. ........................................ 100 3,175
Union Carbide Corp. ........................................ 100 5,681
FOREST PRODUCTS -- 0.4%
Champion International Corp. ............................... 100 5,138
Georgia-Pacific Group....................................... 700 28,350
International Paper Co. .................................... 200 9,612
Louisiana-Pacific Corp. .................................... 100 1,563
Mead Corp. ................................................. 100 3,438
Weyerhaeuser Co. ........................................... 100 5,762
METALS & MINERALS -- 0.8%
Alcan Aluminium Ltd. ....................................... 100 3,125
Alcoa, Inc. ................................................ 1,200 74,475
Allegheny Teledyne, Inc. ................................... 100 1,688
Barrick Gold Corp. ......................................... 200 4,350
Bethlehem Steel Corp.+ ..................................... 100 738
Crown, Cork & Seal Co., Inc. ............................... 100 2,425
Cyprus Amax Minerals Co. ................................... 100 1,963
Inco Ltd. .................................................. 100 2,137
Newmont Mining Corp. ....................................... 100 2,587
Phelps Dodge Corp. ......................................... 100 5,506
USX-US Steel Group, Inc. ................................... 100 2,575
Vulcan Materials Co. ....................................... 100 3,662
-----------
225,219
-----------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.1%
Security Capital U.S. Realty ADR+ .......................... 500 9,156
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Crescent Real Estate Equities Co. .......................... 600 10,800
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 600 13,388
-----------
33,344
-----------
UTILITIES -- 7.5%
ELECTRIC UTILITIES -- 1.1%
AES Corp.+ ................................................. 100 5,900
Ameren Corp. ............................................... 100 3,781
American Electric Power Co., Inc. .......................... 100 3,413
Carolina Power & Light Co. ................................. 100 3,538
Central & South West Corp. ................................. 100 2,113
CMS Energy Corp. ........................................... 100 3,394
Consolidated Edison, Inc. .................................. 100 4,150
Dominion Resources, Inc. ................................... 100 4,512
DTE Energy Co. ............................................. 100 3,613
</TABLE>
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98
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Duke Energy Corp. .......................................... 200 $ 11,025
Edison International+ ...................................... 100 2,431
Entergy Corp. .............................................. 100 2,894
FirstEnergy Corp. .......................................... 200 5,100
Florida Progress Corp. ..................................... 100 4,625
FPL Group, Inc. ............................................ 100 5,037
GPU, Inc. .................................................. 100 3,263
Pacific Gas & Electric Corp. ............................... 200 5,175
PacifiCorp.................................................. 200 4,025
PECO Energy Co. ............................................ 900 33,750
Public Service Enterprise Group, Inc. ...................... 100 3,862
Sempra Energy+ ............................................. 100 2,081
Southern Co. ............................................... 400 10,300
Texas Utilities Co. ........................................ 100 3,731
Unicom Corp. ............................................... 200 7,387
GAS & PIPELINE UTILITIES -- 0.4%
Coastal Corp. .............................................. 1,000 40,937
Consolidated Natural Gas Co. ............................... 100 6,238
Reliant Energy, Inc. ....................................... 100 2,706
Williams Cos., Inc. ........................................ 200 7,488
TELEPHONE -- 6.0%
ALLTEL Corp. ............................................... 200 14,075
AT&T Corp. ................................................. 2,582 112,317
AT&T Corp. - Liberty Media Group, Class A+.................. 1,500 55,687
Bell Atlantic Corp. ........................................ 1,750 117,797
BellSouth Corp. ............................................ 900 40,500
CenturyTel, Inc. ........................................... 150 6,094
GTE Corp. .................................................. 500 38,438
MCI WorldCom, Inc.+ ........................................ 2,950 212,031
SBC Communications, Inc. ................................... 2,200 112,337
Telecom Italia Mobile SpA................................... 8,400 30,926
Telecom Italia SpA.......................................... 2,000 17,365
Telecomunicacoes Brasileiras SA ADR......................... 400 29,975
-----------
984,011
-----------
TOTAL COMMON STOCK (cost $11,862,224)....................... 12,355,254
-----------
<CAPTION>
BONDS & NOTES -- 0.4% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.4%
U.S. GOVERNMENT & AGENCIES -- 0.4%
United States Treasury Bonds 5.25% 2029@ (cost $57,218)..... $ 60,000 52,509
-----------
TOTAL INVESTMENT SECURITIES (cost $11,919,442).............. 12,407,763
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 1.1%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.9%
Kellogg Co. 5.26% due 10/18/99.............................. 116,000 115,712
-----------
</TABLE>
----------------
99
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 4.55% due 12/02/99@............ $ 20,000 $ 19,849
-----------
TOTAL SHORT-TERM SECURITIES (cost $135,555)................. 135,561
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 4.5%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.5%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $105,012 and collateralized by
$95,000 of U.S. Treasury Bonds, bearing interest at 7.50%,
due 11/15/24 and having an approximate value of
$109,903@.................................................. 105,000 105,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3)........................................... 490,000 490,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $595,000)................. 595,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $12,649,997) 100.1% 13,138,324
Liabilities in excess of other
assets -- (0.1) (10,842)
----- -----------
NET ASSETS -- 100.0% $13,127,482
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
# Security represents an investment in an affiliated company; see Note 9
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT SEPTEMBER 30, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Standard & Poors 500 Index December 1999 $134,665 $129,820 $(4,845)
2 Long
=======
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
- -----------------------------------------------------------------
<CAPTION>
CONTRACT TO IN EXCHANGE DELIVERY GROSS UNREALIZED
DELIVER FOR DATE DEPRECIATION
- -------------------------------------------------------------------
<S> <C> <C> <C>
CHF 17,298 USD 11,494 10/06/1999 $ (27)
=======
</TABLE>
- -------------
CHF -- Swiss Franc
USD -- United States Dollar
See Notes to Financial Statements
- ----------------
100
<PAGE>
- ----------------
SEASONS SERIES TRUST
LARGE CAP
VALUE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.3%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 5.6%
APPAREL & TEXTILES -- 0.1%
Nike, Inc., Class B ........................................ 200 $ 11,375
V.F. Corp. ................................................. 200 6,200
AUTOMOTIVE -- 2.6%
AutoZone, Inc.+ ............................................ 200 5,613
B.F. Goodrich Co. .......................................... 100 2,900
Dana Corp. ................................................. 200 7,425
Delphi Automotive Systems Corp. ............................ 519 8,336
Ford Motor Co. ............................................. 2,600 130,487
General Motors Corp. ....................................... 2,300 144,756
Genuine Parts Co. .......................................... 1,400 37,187
Goodyear Tire & Rubber Co. ................................. 200 9,625
PACCAR, Inc. ............................................... 100 5,088
Pep Boys-Manny, Moe & Jack.................................. 100 1,488
Ryder System, Inc. ......................................... 100 2,038
Tenneco, Inc. .............................................. 200 3,400
TRW, Inc. .................................................. 700 34,825
HOUSING -- 0.7%
Fortune Brands, Inc. ....................................... 900 29,025
Grainger (W. W.), Inc. ..................................... 100 4,806
Masco Corp. ................................................ 400 12,400
Stanley Works............................................... 1,100 27,706
Whirlpool Corp. ............................................ 550 35,922
RETAIL -- 2.2%
Albertson's, Inc. .......................................... 389 15,390
Circuit City Stores, Inc. .................................. 200 8,438
Consolidated Stores Corp.+ ................................. 100 2,206
Costco Wholesale Corp.+ .................................... 200 14,400
CVS Corp. .................................................. 400 16,325
Dayton Hudson Corp. ........................................ 400 24,025
Dillards, Inc. ............................................. 100 2,031
Federated Department Stores, Inc.+ ......................... 200 8,737
Kmart Corp.+ ............................................... 500 5,844
Limited, Inc. .............................................. 288 11,016
May Department Stores Co. .................................. 3,300 120,244
Nordstrom, Inc. ............................................ 200 5,400
Office Depot, Inc.+ ........................................ 400 4,075
Penney (J.C.), Inc. ........................................ 1,000 34,375
Rite Aid Corp. ............................................. 1,500 20,719
Sears, Roebuck & Co. ....................................... 400 12,550
Too, Inc. .................................................. 41 735
Toys "R" Us, Inc.+ ......................................... 2,400 36,000
Winn-Dixie Stores, Inc. .................................... 100 2,969
-----------
866,081
-----------
</TABLE>
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101
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 7.4%
FOOD, BEVERAGE & TOBACCO -- 5.7%
Anheuser-Busch Cos., Inc. .................................. 800 $ 56,050
Archer-Daniels-Midland Co. ................................. 630 7,678
Brown-Forman Corp., Class B ................................ 700 43,662
Campbell Soup Co. .......................................... 800 31,300
Coca-Cola Enterprises, Inc. ................................ 400 9,025
ConAgra, Inc. .............................................. 500 11,281
Corn Products International, Inc. .......................... 1,600 48,700
Flowers Industries, Inc. ................................... 2,000 27,125
General Mills, Inc. ........................................ 1,000 81,125
Heinz (H.J.) & Co. ......................................... 1,200 51,600
Hershey Foods Corp. ........................................ 900 43,819
Kellogg Co. ................................................ 900 33,694
McCormick & Co., Inc. ...................................... 1,200 39,675
Nabisco Group Holdings Corp. ............................... 1,100 16,500
Philip Morris Cos., Inc. ................................... 5,500 188,031
Quaker Oats Co. ............................................ 700 43,313
RJ Reynolds Tobacco Holdings, Inc.+......................... 1 27
Seagram Co., Ltd. .......................................... 500 22,750
SUPERVALU, Inc. ............................................ 200 4,363
Universal Corp. ............................................ 2,800 73,150
UST, Inc. .................................................. 1,600 48,300
HOUSEHOLD PRODUCTS -- 1.7%
Clorox Co. ................................................. 100 3,825
Fort James Corp. ........................................... 1,600 42,700
International Flavors & Fragrances, Inc. ................... 1,600 55,200
Kimberly-Clark Corp. ....................................... 3,000 157,500
Tupperware Corp. ........................................... 700 14,175
-----------
1,154,568
-----------
ENERGY -- 13.8%
ENERGY SERVICES -- 1.3%
Baker Hughes, Inc. ......................................... 2,000 58,000
Halliburton Co. ............................................ 400 16,400
Schlumberger Ltd. .......................................... 600 37,388
USX-Marathon Group, Inc. ................................... 3,200 93,600
ENERGY SOURCES -- 12.5%
Amerada Hess Corp. ......................................... 1,000 61,250
Anadarko Petroleum Corp. ................................... 100 3,056
Apache Corp. ............................................... 200 8,638
Atlantic Richfield Co. ..................................... 1,600 141,800
BP Amoco PLC ADR............................................ 700 77,569
Burlington Resources, Inc. ................................. 1,200 44,100
Chevron Corp. .............................................. 1,500 133,125
Conoco, Inc. ............................................... 516 14,126
Enron Corp. ................................................ 800 33,000
Equitable Resources, Inc. .................................. 4,200 158,812
Exxon Corp. ................................................ 4,700 356,906
Mobil Corp. ................................................ 1,600 161,200
Noble Drilling Corp.+ ...................................... 1,300 28,437
Occidental Petroleum Corp. ................................. 400 9,250
Phillips Petroleum Co. ..................................... 800 39,000
</TABLE>
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102
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Royal Dutch Petroleum Co. GDR .............................. 3,200 $ 189,000
Shell Transport & Trading Co. ADR .......................... 3,700 168,350
Sonat, Inc. ................................................ 100 3,969
Sunoco, Inc. ............................................... 100 2,738
Texaco, Inc. ............................................... 1,700 107,312
Union Pacific Resources Group, Inc. ........................ 6,600 106,012
Unocal Corp. ............................................... 2,400 88,950
-----------
2,141,988
-----------
FINANCE -- 21.7%
BANKS -- 7.4%
AmSouth Bancorp. ........................................... 150 3,516
Bank of America Corp. ...................................... 2,400 133,650
Bank of New York Co., Inc. ................................. 800 26,750
Bank One Corp. ............................................. 2,400 83,550
BankBoston Corp. ........................................... 900 39,037
BB&T Corp. ................................................. 300 9,712
Chase Manhattan Corp. ...................................... 2,100 158,287
Comerica, Inc. ............................................. 200 10,125
Fifth Third Bancorp......................................... 300 18,253
First Union Corp. .......................................... 1,000 35,562
Firstar Corp. .............................................. 1,118 28,649
Huntington Bancshares, Inc. ................................ 330 8,766
Lincoln National Corp. ..................................... 900 33,806
MBNA Corp. ................................................. 1,200 27,375
Mellon Bank Corp. .......................................... 3,300 111,375
Mercantile Bankshares Corp. ................................ 800 24,750
National City Corp. ........................................ 8,000 213,500
Northern Trust Corp. ....................................... 100 8,350
PNC Bank Corp. ............................................. 300 15,806
Regions Financial Corp. .................................... 200 6,000
Republic New York Corp. .................................... 100 6,144
SouthTrust Corp. ........................................... 100 3,588
St. Paul Cos., Inc. ........................................ 1,900 52,250
State Street Corp. ......................................... 200 12,925
Summit Bancorp. ............................................ 200 6,488
SunTrust Banks, Inc. ....................................... 300 19,725
Synovus Financial Corp. .................................... 200 3,738
U.S. Bancorp................................................ 700 21,131
Union Planters Corp. ....................................... 200 8,150
Wachovia Corp. ............................................. 200 15,725
FINANCIAL SERVICES -- 9.6%
American Express Co. ....................................... 500 67,312
American General Corp. ..................................... 2,400 151,650
Associates First Capital Corp., Class A .................... 3,700 133,200
Bear Stearns Cos., Inc. .................................... 105 4,036
Citigroup, Inc. ............................................ 8,000 352,000
Countrywide Credit Industries, Inc. ........................ 200 6,450
Dow Jones & Co., Inc. ...................................... 600 32,025
Dun & Bradstreet Corp. ..................................... 1,000 29,875
Fannie Mae.................................................. 2,000 125,375
</TABLE>
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103
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Fleet Financial Group, Inc. ................................ 1,600 $ 58,600
Freddie Mac................................................. 700 36,400
H&R Block, Inc. ............................................ 800 34,750
Heller Financial, Inc. ..................................... 1,200 27,000
Household International, Inc. .............................. 1,900 76,237
KeyCorp. ................................................... 1,000 25,813
Lehman Brothers Holdings, Inc. ............................. 100 5,831
Merrill Lynch & Co., Inc. .................................. 400 26,875
Morgan (J.P.) & Co., Inc. .................................. 700 79,975
Morgan Stanley, Dean Witter & Co. .......................... 600 53,513
Paine Webber Group, Inc. ................................... 200 7,250
StanCorp Financial Group, Inc. ............................. 1,600 35,800
Washington Mutual, Inc. .................................... 600 17,550
Wells Fargo Co. ............................................ 2,600 103,025
INSURANCE -- 4.7%
Ace Ltd. ................................................... 3,200 54,200
Aetna, Inc. ................................................ 500 24,625
AFLAC, Inc. ................................................ 300 12,562
Allstate Corp. ............................................. 800 19,950
American International Group, Inc.# ........................ 1,500 130,406
Aon Corp. .................................................. 250 7,391
Chubb Corp. ................................................ 700 34,869
CIGNA Corp. ................................................ 1,600 124,400
Cincinnati Financial Corp. ................................. 200 7,506
Cinergy Corp. .............................................. 100 2,831
Conseco, Inc. .............................................. 300 5,794
Franklin Resources, Inc. ................................... 300 9,225
Hartford Financial Services Group, Inc. .................... 200 8,175
Jefferson-Pilot Corp. ...................................... 100 6,319
Marsh & McLennan Cos., Inc. ................................ 1,500 102,750
MBIA, Inc. ................................................. 1,900 88,587
MGIC Investment Corp. ...................................... 100 4,775
SAFECO Corp. ............................................... 1,300 36,400
Torchmark Corp. ............................................ 100 2,588
UNUM Corp. ................................................. 1,273 37,474
XL Capital Ltd., Class A ................................... 400 18,000
-----------
3,376,052
-----------
HEALTHCARE -- 6.1%
DRUGS -- 2.7%
Abbott Laboratories, Inc. .................................. 900 33,075
ALZA Corp.+ ................................................ 100 4,281
American Home Products Corp. ............................... 3,800 157,700
Mallinckrodt, Inc. ......................................... 100 3,019
Merck & Co., Inc. .......................................... 300 19,444
Pharmacia & Upjohn, Inc. ................................... 3,900 193,538
Watson Pharmaceuticals, Inc.+ .............................. 100 3,056
HEALTH SERVICES -- 2.3%
Columbia/HCA Healthcare Corp. .............................. 5,400 114,413
HEALTHSOUTH Corp.+ ......................................... 500 3,031
Humana, Inc.+ .............................................. 200 1,375
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Lifepoint Hospitals, Inc.+ ................................. 936 $ 8,131
Manor Care, Inc. ........................................... 100 1,719
Tenet Healthcare Corp.+ .................................... 2,400 42,150
Triad Hospitals, Inc. ...................................... 936 9,477
United HealthCare Corp. .................................... 400 19,475
Wellpoint Health Networks, Inc., Class A+ .................. 2,700 153,900
MEDICAL PRODUCTS -- 1.1%
Baxter International, Inc. ................................. 2,000 120,500
Becton Dickinson & Co. ..................................... 600 16,837
Biomet, Inc. ............................................... 100 2,631
Cardinal Health, Inc. ...................................... 300 16,350
Smith & Nephew PLC ......................................... 6,400 20,230
St. Jude Medical, Inc.+ .................................... 100 3,150
-----------
947,482
-----------
INDUSTRIAL & COMMERCIAL -- 9.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.3%
AlliedSignal, Inc. ......................................... 600 35,962
Boeing Co. ................................................. 1,800 76,725
General Dynamics Corp. ..................................... 100 6,244
ITT Industries, Inc. ....................................... 100 3,181
Lockheed Martin Corp. ...................................... 1,700 55,569
Raytheon Co., Class B ...................................... 300 14,888
Rockwell International Corp. ............................... 200 10,500
BUSINESS SERVICES -- 2.6%
Armstrong World Industries, Inc. ........................... 700 31,456
Coast Federal Litigation Trust ............................. 200 206
Cendant Corp.+ ............................................. 610 10,828
DeLuxe Corp. ............................................... 100 3,400
Electronic Data Systems Corp. .............................. 500 26,469
FDX Corp.+ ................................................. 300 11,625
First Data Corp. ........................................... 3,700 162,337
IKON Office Solutions, Inc. ................................ 200 2,138
Laidlaw, Inc. .............................................. 300 2,025
Owens-Illinois, Inc.+ ...................................... 200 3,963
Pall Corp. ................................................. 1,800 41,737
R.R. Donnelley & Sons Co. .................................. 1,100 31,762
Rowan Cos., Inc.+ .......................................... 100 1,625
Service Corp. International ................................ 300 3,169
Waste Management, Inc. ..................................... 4,000 77,000
ELECTRICAL EQUIPMENT -- 0.5%
Dover Corp. ................................................ 300 12,263
Emerson Electric Co. ....................................... 500 31,594
Hubbell Inc., Class B ...................................... 700 22,312
Johnson Controls, Inc. ..................................... 100 6,631
MACHINERY -- 1.4%
Caterpillar, Inc. .......................................... 400 21,925
Cooper Industries, Inc. .................................... 1,400 65,450
Danaher Corp. .............................................. 100 5,269
Deere & Co. ................................................ 300 11,606
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Illinois Tool Works, Inc. .................................. 200 $ 14,912
Ingersoll-Rand Co. ......................................... 200 10,988
Milacron, Inc. ............................................. 400 7,100
Parker Hannifin Corp. ...................................... 100 4,481
Precision Castparts Corp. .................................. 1,400 42,700
Snap-On, Inc. .............................................. 100 3,250
United Technologies Corp. .................................. 500 29,656
MULTI-INDUSTRY -- 1.1%
Crane Co. .................................................. 100 2,244
Minnesota Mining & Manufacturing Co. ....................... 1,200 115,275
Monsanto Co. ............................................... 600 21,412
Textron, Inc. .............................................. 100 7,737
Thermo Electron Corp.+ ..................................... 200 2,688
Viacom, Inc., Class B+ ..................................... 600 25,350
TRANSPORTATION -- 2.1%
Alexander & Baldwin, Inc. .................................. 300 7,163
AMR Corp.+ ................................................. 200 10,900
Burlington Northern Santa Fe Corp. ......................... 1,400 38,500
Canadian National Railway Co. .............................. 1,000 30,312
CSX Corp. .................................................. 1,800 76,275
GATX Corp. ................................................. 400 12,425
Norfolk Southern Corp.+ .................................... 3,100 75,950
Union Pacific Corp. ........................................ 1,500 72,094
-----------
1,401,271
-----------
INFORMATION & ENTERTAINMENT -- 5.1%
BROADCASTING & MEDIA -- 2.1%
CBS Corp.+ ................................................. 700 32,375
Clear Channel Communications, Inc.+ ........................ 300 23,963
King World Productions, Inc.+ .............................. 100 3,750
Knight-Ridder, Inc. ........................................ 900 49,387
Loews Corp. ................................................ 100 7,019
Lowe's Cos., Inc. .......................................... 400 19,500
MediaOne Group, Inc.+ ...................................... 2,200 150,287
New York Times Co., Class A ................................ 200 7,500
Placer Dome, Inc. .......................................... 300 4,463
Readers Digest Association, Inc., Class A .................. 800 23,400
Tribune Co. ................................................ 200 9,950
ENTERTAINMENT PRODUCTS -- 1.3%
Brunswick Corp. ............................................ 2,000 49,750
Eastman Kodak Co. .......................................... 1,900 143,331
Hasbro, Inc. ............................................... 250 5,360
Mattel, Inc. ............................................... 400 7,600
LEISURE & TOURISM -- 1.7%
Carnival Corp., Class A .................................... 600 26,100
Darden Restaurants, Inc. ................................... 100 1,956
Delta Air Lines, Inc. ...................................... 200 9,700
Harrah's Entertainment, Inc.+ .............................. 100 2,775
Hilton Hotels Corp. ........................................ 1,900 18,763
Marriott International, Inc., Class A ...................... 300 9,806
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
McDonald's Corp. ........................................... 1,400 $ 60,200
Mirage Resorts, Inc.+ ...................................... 300 4,219
Southwest Airlines Co. ..................................... 300 4,556
Walt Disney Co. ............................................ 4,300 111,262
Wendy's International, Inc. ................................ 200 5,275
-----------
792,247
-----------
INFORMATION TECHNOLOGY -- 8.4%
COMMUNICATION EQUIPMENT -- 0.1%
3Com Corp.+ ................................................ 400 11,500
Andrew Corp.+ .............................................. 100 1,738
Cabletron Systems, Inc.+ ................................... 200 3,138
General Instrument Corp.+ .................................. 100 4,812
COMPUTERS & BUSINESS EQUIPMENT -- 3.3%
Apple Computer, Inc.+ ...................................... 100 6,331
Compaq Computer Corp. ...................................... 2,500 57,344
Computer Sciences Corp.+ ................................... 1,700 119,531
Hewlett-Packard Co. ........................................ 2,200 202,400
Honeywell, Inc. ............................................ 330 36,733
Micron Technology, Inc.+ ................................... 300 19,969
Quantum Corp.--DLT & Storage+ .............................. 4,000 56,250
Seagate Technology, Inc.+ .................................. 200 6,162
Silicon Graphics, Inc.+ .................................... 200 2,188
ELECTRONICS -- 1.1%
Advanced Micro Devices, Inc.+ .............................. 100 1,719
General Electric Co. ....................................... 400 47,425
Intel Corp. ................................................ 800 59,450
LSI Logic Corp.+ ........................................... 200 10,300
Motorola, Inc. ............................................. 600 52,800
National Semiconductor Corp.+ .............................. 200 6,100
SOFTWARE -- 0.1%
Novell, Inc.+ .............................................. 400 8,275
TELECOMMUNICATIONS -- 3.8%
Alcatel SA ADR ............................................. 2,200 61,050
BCE, Inc. .................................................. 800 39,850
Comcast Corp., Class A ..................................... 800 31,900
Gannett Co., Inc. .......................................... 900 62,269
Harris Corp. ............................................... 100 2,762
Nortel Networks Corp. ...................................... 1,400 71,400
Sprint Corp. ............................................... 1,000 54,250
Sprint Corp. (PCS Group).................................... 400 29,825
U.S. West, Inc. ............................................ 4,100 233,956
-----------
1,301,427
-----------
MATERIALS -- 8.7%
CHEMICALS -- 4.2%
Air Products & Chemicals, Inc. ............................. 2,000 58,125
Ashland, Inc. .............................................. 2,900 97,512
CK Witco Corp. ............................................. 1,016 14,796
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Dow Chemical Co. ........................................... 760 $ 86,355
du Pont (E.I.) de Nemours & Co. ............................ 2,025 123,272
Eastman Chemical Co. ....................................... 100 4,000
Engelhard Corp. ............................................ 3,000 54,562
Great Lakes Chemical Corp. ................................. 900 34,256
Hercules, Inc. ............................................. 1,400 40,075
Imperial Chemical Industries PLC ........................... 600 25,912
Nalco Chemical Co. ......................................... 800 40,400
PPG Industries, Inc. ....................................... 700 42,000
Praxair, Inc. .............................................. 200 9,200
Rohm & Haas Co. ............................................ 273 9,862
Sherwin-Williams Co. ....................................... 200 4,188
Sigma-Aldrich Corp. ........................................ 100 3,175
Union Carbide Corp. ........................................ 200 11,363
FOREST PRODUCTS -- 2.2%
Boise Cascade Corp. ........................................ 100 3,644
Champion International Corp. ............................... 800 41,100
Consolidated Papers, Inc. .................................. 1,000 26,875
Georgia-Pacific Corp. (Timber Group) ....................... 1,800 41,175
Georgia-Pacific Group ...................................... 2,300 93,150
International Paper Co. .................................... 2,136 102,661
Louisiana-Pacific Corp. .................................... 200 3,125
Mead Corp. ................................................. 100 3,438
Temple-Inland, Inc. ........................................ 100 6,050
Westvaco Corp. ............................................. 100 2,563
Weyerhaeuser Co. ........................................... 200 11,525
Willamette Industries, Inc. ................................ 100 4,312
METALS & MINERALS -- 2.3%
Alcan Aluminium Ltd. ....................................... 300 9,375
Alcoa, Inc. ................................................ 2,900 179,981
Allegheny Teledyne, Inc. ................................... 300 5,062
Barrick Gold Corp. ......................................... 500 10,875
Bethlehem Steel Corp.+ ..................................... 200 1,475
Crown, Cork & Seal Co., Inc. ............................... 200 4,850
Cyprus Amax Minerals Co. ................................... 100 1,963
Homestake Mining Co. ....................................... 200 1,838
Inco Ltd. .................................................. 1,300 27,787
Newmont Mining Corp. ....................................... 1,300 33,637
Nucor Corp. ................................................ 100 4,763
Olin Corp. ................................................. 500 6,812
Phelps Dodge Corp. ......................................... 400 22,025
Reynolds Metals Co. ........................................ 600 36,225
USX-US Steel Group, Inc. ................................... 100 2,575
Vulcan Materials Co. ....................................... 100 3,663
-----------
1,351,577
-----------
REAL ESTATE -- 0.7%
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Crescent Real Estate Equities Co. .......................... 800 14,400
Rouse Co. .................................................. 1,000 23,000
Simon Property Group, Inc. ................................. 1,400 31,412
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 1,500 $ 33,469
Vornado Realty Trust ....................................... 100 3,250
-----------
105,531
-----------
UTILITIES -- 9.8%
ELECTRIC UTILITIES -- 4.3%
AES Corp.+ ................................................. 200 11,800
Ameren Corp. ............................................... 100 3,781
American Electric Power Co., Inc. .......................... 200 6,825
Carolina Power & Light Co. ................................. 100 3,538
Central & South West Corp. ................................. 1,400 29,575
CMS Energy Corp. ........................................... 200 6,787
Consolidated Edison, Inc. .................................. 400 16,600
Constellation Energy Group ................................. 100 2,813
Dominion Resources, Inc. ................................... 200 9,025
DQE, Inc. .................................................. 700 27,387
DTE Energy Co. ............................................. 200 7,225
Duke Energy Corp. .......................................... 1,200 66,150
Edison International ....................................... 300 7,294
Entergy Corp. .............................................. 900 26,044
FirstEnergy Corp. .......................................... 1,600 40,800
Florida Progress Corp. ..................................... 100 4,625
FPL Group, Inc. ............................................ 200 10,075
GPU, Inc. .................................................. 200 6,525
New Century Energies, Inc. ................................. 100 3,344
Niagara Mohawk Holdings, Inc. .............................. 900 13,894
Northern States Power Co. .................................. 100 2,156
Pacific Gas & Electric Corp. ............................... 400 10,350
PacifiCorp. ................................................ 1,600 32,200
PECO Energy Co. ............................................ 200 7,500
Pinnacle West Capital Corp. ................................ 1,900 69,112
PP& L Resources, Inc. ...................................... 200 5,412
Public Service Enterprise Group, Inc. ...................... 200 7,725
SCANA Corp. ................................................ 2,000 48,375
Sempra Energy .............................................. 300 6,244
Southern Co. ............................................... 4,100 105,575
TECO Energy, Inc. .......................................... 600 12,675
Texas Utilities Co. ........................................ 300 11,194
Unicom Corp. ............................................... 1,200 44,325
GAS & PIPELINE UTILITIES -- 1.2%
Coastal Corp. .............................................. 200 8,187
Columbia Energy Group, Inc. ................................ 100 5,538
Consolidated Natural Gas Co. ............................... 100 6,238
National Fuel Gas Co. ...................................... 2,600 122,687
Reliant Energy, Inc. ....................................... 1,200 32,475
Williams Cos., Inc. ........................................ 500 18,719
TELEPHONE -- 4.3%
ALLTEL Corp. ............................................... 1,500 105,562
AT&T Corp. ................................................. 2,500 108,750
Bell Atlantic Corp. ........................................ 1,000 67,313
BellSouth Corp. ............................................ 400 18,000
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
CenturyTel, Inc. ........................................... 150 $ 6,094
GTE Corp. .................................................. 1,200 92,250
MCI WorldCom, Inc.+ ........................................ 1,900 136,562
SBC Communications, Inc. ................................... 2,000 102,125
Telecomunicacoes Brasileiras SA ADR ........................ 400 29,975
-----------
1,527,425
-----------
TOTAL INVESTMENT SECURITIES (cost $15,130,813).............. 14,965,649
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 1.8% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.7%
CBA Delaware Finance, Inc. 5.26% due 11/24/99............... $ 100,000 99,211
-----------
MUNICIPAL BONDS -- 1.0%
New York State Power Authority 5.75% due 10/01/99........... 156,000 156,000
-----------
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.55% due 12/02/99............. 20,000 19,842
-----------
TOTAL SHORT-TERM SECURITIES (cost $275,054)................. 275,053
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 2.4%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.4%
ABN Amro Bank NA Joint Repurchase Agreement Account
(Note 3)................................................... 140,000 140,000
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $238,028 and collateralized by
$245,000 of U.S. Treasury Notes, bearing interest at 5.50%,
due 3/31/00 and having an approximate value of $245,306@... 238,000 238,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $378,000)................. 378,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,783,867) 100.5% 15,618,702
Liabilities in excess of other
assets -- (0.5) (74,679)
----- -----------
NET ASSETS -- 100.0% $15,544,023
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
# Security represents an investment in an affiliated company; see Note 9
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE SEPTEMBER 30, 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
3 Long Standard & Poors 500 Index December 1999 $201,998 $194,730 $(7,268)
=======
</TABLE>
See Notes to Financial Statements
- ----------------
110
<PAGE>
- ----------------
SEASONS SERIES TRUST
MID CAP GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 97.3%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.2%
APPAREL & TEXTILES -- 0.4%
Cintas Corp. ............................................... 800 $ 46,250
Jones Apparel Group, Inc.+ ................................. 600 17,250
Quiksilver, Inc.+ .......................................... 750 13,688
AUTOMOTIVE -- 0.9%
AutoNation, Inc. ........................................... 1,100 13,819
AutoZone, Inc.+ ............................................ 300 8,419
Donaldson Co., Inc. ........................................ 700 16,231
General Motors Corp., Class H+ ............................. 300 17,175
Harley-Davidson, Inc. ...................................... 1,500 75,093
SPX Corp.+ ................................................. 200 18,150
HOUSING -- 1.1%
Black & Decker Corp. ....................................... 500 22,844
Centex Corp. ............................................... 100 2,956
Comfort Systems USA, Inc.+ ................................. 3,800 44,650
Ethan Allen Interiors, Inc. ................................ 50 1,591
HON INDUSTRIES, Inc. ....................................... 700 13,475
Leggett & Platt, Inc. ...................................... 800 15,750
Lennar Corp. ............................................... 700 11,156
Maytag Corp. ............................................... 400 13,325
Rayovac Corp.+ ............................................. 800 17,300
Williams-Sonoma, Inc.+ ..................................... 900 43,706
RETAIL -- 5.8%
Abercrombie & Fitch Co.+ ................................... 600 20,438
American Eagle Outfitters, Inc.+ ........................... 200 9,688
Barnes & Noble, Inc.+ ...................................... 200 5,200
Bed Bath & Beyond, Inc.+ ................................... 5,400 188,662
Best Buy Co., Inc.+ ........................................ 400 24,825
BJ's Wholesale Club, Inc.+ ................................. 900 26,606
Circuit City Stores, Inc. .................................. 1,400 59,062
Claire's Stores, Inc. ...................................... 200 3,313
Consolidated Stores Corp.+ ................................. 300 6,619
CVS Corp. .................................................. 500 20,406
Dollar General Corp. ....................................... 2,525 77,959
Dollar Tree Stores, Inc.+ .................................. 700 27,956
Duane Reade, Inc.+ ......................................... 600 18,075
Family Dollars Stores, Inc. ................................ 900 19,013
Gap, Inc. .................................................. 100 3,200
Harcourt General, Inc. ..................................... 400 16,650
Infospace.com, Inc.+ ....................................... 100 4,113
Kohl's Corp.+ .............................................. 1,200 79,350
Lands' End, Inc.+ .......................................... 600 39,600
Limited, Inc. .............................................. 83 3,175
Linens' N Things, Inc.+ .................................... 800 27,000
Men's Wearhouse, Inc. ...................................... 600 12,900
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Nordstrom, Inc. ............................................ 100 $ 2,700
Office Depot, Inc.+ ........................................ 1,500 15,281
Ross Stores, Inc. .......................................... 200 4,025
Saks, Inc.+ ................................................ 300 4,556
Sotheby's Holdings, Inc., Class A+ ......................... 300 7,744
Staples, Inc.+ ............................................. 800 17,450
Starbucks Corp.+ ........................................... 2,200 54,519
Ticketmaster Online-Citysearch, Inc., Class B .............. 100 2,419
Tiffany & Co. .............................................. 1,200 71,925
TJX Cos., Inc. ............................................. 2,900 81,381
Too, Inc. .................................................. 11 197
Zale Corp.+ ................................................ 600 22,987
-----------
1,391,822
-----------
CONSUMER STAPLES -- 2.0%
FOOD, BEVERAGE & TOBACCO -- 1.6%
Keebler Foods Co.+ ......................................... 100 2,988
McCormick & Co., Inc. ...................................... 1,900 62,819
Pepsi Bottling Group, Inc. ................................. 600 10,237
Pioneer Hi-Bred International, Inc. ........................ 1,200 47,775
Quaker Oats Co. ............................................ 400 24,750
Ralston-Ralston Purina Group ............................... 300 8,344
RF Micro Devices, Inc.+ .................................... 400 18,300
RJ Reynolds Tobacco Holdings, Inc.+ ........................ 200 5,400
Sodexho Marriott Services, Inc.+ ........................... 100 1,700
Tootsie Roll Industries, Inc. .............................. 621 20,415
US Foodservice, Inc.+ ...................................... 1,400 25,200
UST, Inc. .................................................. 400 12,075
Whitman Corp. .............................................. 100 1,425
Whole Foods Market, Inc.+ .................................. 500 16,359
Wrigley (WM) Jr. Co. ....................................... 300 20,644
HOUSEHOLD PRODUCTS -- 0.4%
Blyth Industries, Inc.+ .................................... 200 5,613
Dial Corp. ................................................. 500 12,750
Estee Lauder Cos., Inc., Class A ........................... 500 19,531
Fort James Corp. ........................................... 1,000 26,687
Newell Rubbermaid, Inc. .................................... 36 1,028
Nu Skin Asia Pacific, Inc.+ ................................ 200 2,700
-----------
346,740
-----------
ENERGY -- 1.5%
ENERGY SERVICES -- 0.9%
Baker Hughes, Inc. ......................................... 100 2,900
BJ Services Co.+ ........................................... 800 25,450
ENSCO International, Inc. .................................. 200 3,612
Global Marine, Inc.+ ....................................... 100 1,644
Jones Lang Lasalle, Inc.+ .................................. 800 12,900
Nabors Industries, Inc.+ ................................... 200 5,000
R & B Falcon Corp.+ ........................................ 400 5,250
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Santa Fe International Corp. ............................... 3,300 $ 71,156
USX-Marathon Group, Inc. ................................... 100 2,925
Weatherford International, Inc.+ ........................... 400 12,800
ENERGY SOURCES -- 0.6%
Anadarko Petroleum Corp. ................................... 200 6,113
Apache Corp. ............................................... 600 25,912
Devon Energy Corp. ......................................... 400 16,575
Diamond Offshore Drilling, Inc. ............................ 100 3,338
Kerr-McGee Corp. ........................................... 84 4,625
Noble Affiliates, Inc. ..................................... 100 2,900
Noble Drilling Corp.+ ...................................... 300 6,563
Smith International, Inc.+ ................................. 800 32,400
Vastar Resources, Inc. ..................................... 100 6,256
-----------
248,319
-----------
FINANCE -- 8.9%
BANKS -- 1.4%
Bank of New York Co., Inc. ................................. 600 20,062
Charter One Financial, Inc. ................................ 630 14,569
City National Corp. ........................................ 700 23,494
Community First Bankshares, Inc. ........................... 1,000 16,875
First American Corp. ....................................... 500 21,437
National Commerce Bancorp .................................. 500 10,984
North Fork Bancorp., Inc. .................................. 900 17,550
Northern Trust Corp. ....................................... 600 50,100
State Street Corp. ......................................... 400 25,850
Synovus Financial Corp. .................................... 600 11,213
Zions Bancorp .............................................. 600 33,075
FINANCIAL SERVICES -- 6.4%
Ambac Financial Group, Inc. ................................ 400 18,950
American General Corp. ..................................... 2,100 132,694
Ameritrade Holding Corp.+ .................................. 300 5,513
Associates First Capital Corp., Class A .................... 2,800 100,800
Capital One Financial Corp. ................................ 1,500 58,500
Charles Schwab Corp. ....................................... 500 16,844
Concord EFS, Inc.+ ......................................... 1,650 34,031
Digital Insight Corp.+ ..................................... 100 3,213
Dow Jones & Co., Inc. ...................................... 200 10,675
E*TRADE Group, Inc.+ ....................................... 1,000 23,500
Eaton Vance Corp. .......................................... 500 16,000
Federated Investors, Inc., Class B ......................... 1,000 17,250
FINOVA Group, Inc. ......................................... 600 21,900
H&R Block, Inc. ............................................ 100 4,344
Heller Financial, Inc. ..................................... 5,500 123,750
Investment Technology Group, Inc. .......................... 638 14,674
JSB Financial, Inc. ........................................ 400 22,900
Legg Mason, Inc. ........................................... 800 30,650
NCO Group, Inc.+ ........................................... 4,100 192,700
NOVA Corp.+ ................................................ 200 5,000
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
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FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Providian Financial Corp. .................................. 300 $ 23,756
Raymond James Financial, Inc. .............................. 900 17,944
Security Capital Group, Inc., Class B+ ..................... 1,500 22,031
SEI Investment Co. ......................................... 300 26,784
SLM Holding Corp. .......................................... 900 38,700
Starwood Financial Trust, Class A .......................... 400 11,175
T.Rowe Price Associates, Inc. .............................. 700 19,206
United States Trust Corp. .................................. 500 40,187
Waddell & Reed Financial, Inc., Class A .................... 1,200 26,625
INSURANCE -- 1.1%
Ace Ltd. ................................................... 800 13,550
E.W. Blanch Holdings, Inc. ................................. 200 13,025
Equifax, Inc. .............................................. 1,300 36,562
Franklin Resources, Inc. ................................... 1,400 43,050
Mercury General Corp. ...................................... 400 11,025
Mutual Risk Management Ltd. ................................ 900 11,025
Progressive Corp. .......................................... 200 16,338
Protective Life Corp. ...................................... 700 20,300
Radian Group, Inc. ......................................... 300 12,881
XL Capital Ltd., Class A ................................... 300 13,500
-----------
1,516,761
-----------
HEALTHCARE -- 12.1%
DRUGS -- 5.2%
Allergan, Inc. ............................................. 600 66,000
ALZA Corp.+ ................................................ 500 21,406
AmeriSource Health Corp., Class A+ ......................... 500 11,844
Amgen, Inc.+ ............................................... 400 32,600
Andrx Corp.+ ............................................... 100 5,853
AstraZeneca PLC ADR......................................... 2,700 114,075
Bergen Brunswig Corp., Class A ............................. 500 5,188
BioChem Pharma, Inc.+ ...................................... 700 16,756
Biogen, Inc.+ .............................................. 1,400 110,337
Centocor, Inc.+ ............................................ 900 52,706
Elan Corp. PLC ADR+ ........................................ 600 20,138
Forest Labs, Inc.+ ......................................... 400 16,850
Gilead Sciences, Inc.+ ..................................... 400 25,675
Human Genome Sciences, Inc.+ ............................... 1,800 132,750
ICN Pharmaceuticals, Inc. .................................. 400 6,875
ICOS Corp.+ ................................................ 200 5,900
IDEC Pharmaceuticals Corp.+ ................................ 100 9,403
Immunex Corp.+ ............................................. 1,900 82,412
Incyte Pharmacuticals, Inc.+ ............................... 500 11,563
IVAX Corp.+ ................................................ 300 4,950
Millenium Pharmaceuticals, Inc.+ ........................... 800 52,000
Mylan Laboratories, Inc. ................................... 600 11,025
ResMed, Inc.+ .............................................. 500 16,563
Sepracor, Inc. ............................................. 200 15,100
Shire Pharmaceuticals Group PLC ADR......................... 400 11,525
Watson Pharmaceuticals, Inc.+ .............................. 1,000 30,562
</TABLE>
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SHARES VALUE
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HEALTHCARE (CONTINUED)
HEALTH SERVICES -- 2.0%
Chiron Corp.+ .............................................. 300 $ 8,306
Covance, Inc.+ ............................................. 2,500 24,219
Express Scripts, Inc.+ ..................................... 300 23,475
Genzyme Corp.--Surgical Products+ .......................... 35 197
Health Management Associates, Inc., Class A+ ............... 1,400 10,325
Healtheon Corp.+ ........................................... 100 3,700
HEALTHSOUTH Corp.+ ......................................... 200 1,213
IDX Systems Corp.+ ......................................... 400 7,250
IMS Health, Inc. ........................................... 2,500 57,031
Lincare Holdings, Inc.+ .................................... 500 13,328
Manor Care, Inc. ........................................... 100 1,719
Medical Manager Corp........................................ 100 4,975
Nielsen Media Research, Inc.+ .............................. 200 7,438
Omnicare, Inc. ............................................. 200 1,925
Oxford Health Plans, Inc.+ ................................. 500 6,250
Quintiles Transnational Corp.+ ............................. 1,200 22,837
Renal Care Group, Inc.+ .................................... 500 10,953
ServiceMaster Co. .......................................... 1,600 25,700
Shared Medical Systems Corp. ............................... 400 18,700
Stryker Corp. .............................................. 400 20,450
Sybron International Corp.+ ................................ 1,600 43,000
United HealthCare Corp. .................................... 300 14,606
Ventiv Health, Inc. ........................................ 100 987
Wellpoint Health Networks, Inc., Class A+ .................. 100 5,700
MEDICAL PRODUCTS -- 4.9%
Bausch & Lomb, Inc. ........................................ 200 13,188
Beckman Coulter, Inc. ...................................... 100 4,513
Becton Dickinson & Co. ..................................... 1,000 28,062
Biomatrix, Inc.+ ........................................... 400 8,975
Biomet, Inc. ............................................... 1,100 28,944
Boston Scientific Corp.+ ................................... 4,500 111,094
Cardinal Health, Inc. ...................................... 400 21,800
Dionex Corp.+ .............................................. 400 17,100
Genzyme Corp.+ ............................................. 3,700 166,731
Guidant Corp. .............................................. 500 26,812
McKesson HBOC, Inc. ........................................ 800 23,200
MedImmune, Inc.+ ........................................... 600 59,794
Medtronic, Inc. ............................................ 800 28,400
MiniMed, Inc.+ ............................................. 100 9,825
PE Corp.-Celera Genomics Group.............................. 800 32,200
PE Corp.-PE Biosystems Group ............................... 2,200 158,950
Perclose, Inc.+ ............................................ 300 13,969
St. Jude Medical, Inc.+ .................................... 200 6,300
STERIS Corp. ............................................... 600 8,250
VISX, Inc.+ ................................................ 600 47,456
Xomed Surgical Products, Inc.+ ............................. 300 17,100
-----------
2,057,003
-----------
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
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INDUSTRIAL & COMMERCIAL -- 14.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.9%
General Dynamics Corp. ..................................... 300 $ 18,731
Gilat Satellite Networks Ltd.+ ............................. 2,500 134,063
BUSINESS SERVICES -- 8.0%
Allied Waste Industries, Inc.+ ............................. 1,500 17,531
Apollo Group, Inc., Class A+ ............................... 1,000 21,125
Consolidated Graphics, Inc.+ ............................... 300 12,637
Convergys Corp.+ ........................................... 100 1,981
CSG Systems International, Inc.+ ........................... 300 8,222
DeVry, Inc.+ ............................................... 1,300 26,000
Ecolab, Inc. ............................................... 1,300 44,362
Electronics for Imaging, Inc.+ ............................. 300 15,422
Exodus Communications, Inc.+ ............................... 400 28,825
First Data Corp. ........................................... 2,800 122,850
Fiserv, Inc.+ .............................................. 700 22,750
Gartner Group, Inc., Class A+ .............................. 300 4,781
Gartner Group, Inc., Class B ............................... 234 3,905
Interpublic Group of Cos., Inc. ............................ 2,200 90,475
Iron Mountain, Inc.+ ....................................... 4,900 165,987
ITT Educational Services, Inc.+ ............................ 600 11,700
Manpower, Inc. ............................................. 5,500 160,187
MindSpring Enterprises, Inc.+ .............................. 200 5,538
Modis Professional Services, Inc.+ ......................... 300 3,975
National Data Corp.+ ....................................... 500 13,000
Paychex, Inc. .............................................. 2,150 73,369
Pegasus Systems, Inc.+ ..................................... 2,800 105,000
Pierce Leahy Corp.+ ........................................ 3,900 92,625
PSInet, Inc.+ .............................................. 300 10,791
Republic Services, Inc. Class A+ ........................... 800 8,700
Robert Half International, Inc.+ ........................... 1,100 26,400
Sabre Holdings Corp. ....................................... 100 4,300
SFX Entertainment, Inc., Class A+ .......................... 3,250 99,125
Stewart Enterprises, Inc., Class A ......................... 200 1,213
Sylvan Learning Systems, Inc.+ ............................. 100 1,938
SYSCO Corp. ................................................ 1,600 56,100
TMP Worldwide, Inc.+ ....................................... 100 6,088
Total Systems Services, Inc. ............................... 200 3,200
United Rentals, Inc. ....................................... 100 2,175
Valspar Corp. .............................................. 800 26,150
Verio, Inc.+ ............................................... 400 12,400
Veritas DGC, Inc.+ ......................................... 600 11,550
Viad Corp. ................................................. 1,000 29,500
WestPoint Stevens, Inc. .................................... 200 4,725
ELECTRICAL EQUIPMENT -- 1.7%
C-Cube Microsystems, Inc.+ ................................. 3,000 130,500
Gentex Corp.+ .............................................. 400 8,262
Jabil Circuit, Inc.+ ....................................... 700 34,650
Littelfuse, Inc.+ .......................................... 900 20,025
Roper Industries, Inc. ..................................... 600 22,950
Waters Corp.+ .............................................. 1,200 72,675
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY -- 0.9%
Cognex Corp.+ .............................................. 500 $ 15,094
Cooper Cameron Corp.+ ...................................... 600 22,650
Danaher Corp. .............................................. 1,000 52,687
Howmet International, Inc.+ ................................ 100 1,400
Idex Corp. ................................................. 600 16,988
Lincoln Electric Holdings, Inc. ............................ 900 18,787
Parker Hannifin Corp. ...................................... 400 17,925
United Technologies Corp. .................................. 111 6,584
MULTI-INDUSTRY -- 0.4%
Avery Dennison Corp. ....................................... 900 47,475
Teleflex, Inc. ............................................. 400 15,800
TRANSPORTATION -- 2.2%
Air Express International Corp. ............................ 500 11,344
Atlas Air, Inc.+ ........................................... 7,000 153,125
C.H. Robinson Worldwide, Inc. .............................. 600 20,213
Expeditors International of Washington, Inc. ............... 1,300 41,722
Kansas City Southern Industries, Inc. ...................... 1,000 46,437
Ryanair Holdings PLC ADR+ .................................. 2,300 105,512
-----------
2,392,201
-----------
INFORMATION & ENTERTAINMENT -- 10.4%
BROADCASTING & MEDIA -- 9.2%
ACNielson Corp.+ ........................................... 900 20,419
Acxiom Corp.+ .............................................. 1,000 19,656
ADC Telecommunications, Inc.+ .............................. 1,300 54,519
Adelphia Communications Corp., Class A+ .................... 100 5,881
AMFM, Inc.+ ................................................ 500 30,437
Centennial Cellular Corp.+ ................................. 100 4,544
Central Newspapers, Inc., Class A .......................... 500 22,250
Century Communications Corp.+ .............................. 100 4,563
Clear Channel Communications, Inc.+ ........................ 377 30,113
CNET, Inc.+ ................................................ 200 11,200
Cox Communications, Inc., Class A+ ......................... 961 40,122
Crown Castle International Corp.+ .......................... 7,800 146,006
DoubleClick, Inc.+ ......................................... 200 23,825
EchoStar Communications Corp., Class A+ .................... 1,000 90,812
Emmis Communication Corp., Class A+ ........................ 400 26,425
Entercom Communications Corp.+ ............................. 400 14,400
Harte-Hanks, Inc. .......................................... 800 20,150
Hearst-Argyle Television, Inc.+ ............................ 100 2,150
Hispanic Broadcasting Corp.+ ............................... 600 45,675
Houghton Mifflin Co. ....................................... 100 4,063
Lamar Advertising Co.+ ..................................... 600 29,700
McGraw-Hill Cos., Inc. ..................................... 200 9,675
Meredith Corp. ............................................. 900 32,681
Omnicom Group, Inc. ........................................ 400 31,675
Outdoor Systems, Inc.+ ..................................... 3,700 132,275
Pinnacle Holdings, Inc.+ ................................... 700 18,288
Primacom AG ................................................ 3,600 99,000
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
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INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Primedia, Inc.+ ............................................ 300 $ 4,200
Prodigy Communication Corp.+ ............................... 100 1,775
RCN Corp.+ ................................................. 300 12,300
Readers Digest Association, Inc., Class A................... 300 8,775
Revlon, Inc., Class A+ ..................................... 100 1,825
Scripps (E.W.) Co., Class A................................. 1,100 54,037
Snyder Communications, Inc. ................................ 300 4,556
Times Mirror Co., Class A................................... 300 19,744
TV Guide, Inc., Class A+ ................................... 3,900 152,587
United States Cellular Corp.+ .............................. 300 20,400
Univision Communications, Inc., Class A+ ................... 1,200 97,650
USA Networks, Inc.+ ........................................ 400 15,500
Valassis Communications, Inc.+ ............................. 1,200 52,725
VoiceStream Wireless Corp. ................................. 400 24,687
Western Wireless Corp., Class A+ ........................... 1,000 44,844
Westwood One, Inc.+ ........................................ 400 18,050
Wiley (John) & Sons, Inc., Class A ......................... 200 3,138
Young & Rubicam, Inc. ...................................... 600 26,400
Young Broadcasting, Inc., Class A+ ......................... 300 15,713
ENTERTAINMENT PRODUCTS -- 0.2%
International Game Technology, Inc.+ ....................... 200 3,600
International Speedway Corp. ............................... 100 5,256
Mattel, Inc. ............................................... 1,580 30,020
LEISURE & TOURISM -- 1.0%
Carnival Corp., Class A..................................... 700 30,450
COMAIR Holdings, Inc. ...................................... 1,350 22,528
Galileo International, Inc. ................................ 300 12,075
Hilton Hotels Corp. ........................................ 1,100 10,863
Marriott International, Inc., Class A....................... 500 16,344
Outback Steakhouse, Inc.+ .................................. 850 21,648
Premier Parks, Inc.+ ....................................... 1,100 31,900
Speedway Motorsports, Inc.+ ................................ 100 4,331
Tricon Global Restaurants, Inc.+ ........................... 400 16,375
-----------
1,754,800
-----------
INFORMATION TECHNOLOGY -- 37.6%
COMMUNICATION EQUIPMENT -- 5.5%
3Com Corp.+ ................................................ 1,300 37,375
American Tower Corp., Class A+ ............................. 10,100 197,581
Cabletron Systems, Inc.+ ................................... 200 3,138
CIENA Corp.+ ............................................... 600 21,900
COMSAT Corp. ............................................... 45 1,333
E-Tek Dynamics, Inc.+ ...................................... 200 10,850
Extreme Networks, Inc.+ .................................... 200 12,663
General Instrument Corp.+ .................................. 1,200 57,750
Global TeleSystems Group, Inc.+ ............................ 1,000 19,719
Lucent Technologies, Inc. .................................. 1,650 107,044
Marimba, Inc.+ ............................................. 100 2,988
Metromedia Fiber Network, Inc., Class A+ ................... 500 12,250
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
QUALCOMM, Inc.+ ............................................ 400 $ 75,675
Rhythms Netconnections, Inc.+ .............................. 300 10,350
Symbol Technologies, Inc. .................................. 1,700 57,162
Tellabs, Inc.+ ............................................. 300 17,081
Unisys Corp.+ .............................................. 1,500 67,687
UnitedGlobal.com, Class A+ ................................. 2,300 164,737
Visual Networks, Inc. ...................................... 400 16,975
Whittman-Hart, Inc.+ ....................................... 900 34,903
COMPUTERS & BUSINESS EQUIPMENT -- 3.5%
Adaptec, Inc.+ ............................................. 500 19,844
Apple Computer, Inc.+ ...................................... 100 6,331
Cadence Design Systems, Inc.+ .............................. 1,600 21,200
Cisco Systems, Inc.+ ....................................... 402 27,562
Computer Sciences Corp.+ ................................... 700 49,219
Diebold, Inc. .............................................. 700 16,187
EMC Corp.+ ................................................. 300 21,431
Gateway, Inc.+ ............................................. 1,600 71,100
Ingram Micro, Inc.+ ........................................ 200 2,575
Lexmark International Group, Inc., Class A+ ................ 800 64,400
Micron Technology, Inc.+ ................................... 1,500 99,844
Miller (Herman), Inc. ...................................... 500 11,953
Millipore Corp. ............................................ 200 7,513
NCR Corp.+ ................................................. 200 6,613
Network Appliance, Inc.+ ................................... 1,300 93,112
Quantum Corp.--DLT & Storage Systems+ ...................... 200 2,812
Quantum Corp.--Hard Disk Drive+ ............................ 100 744
Seagate Technology, Inc.+ .................................. 400 12,325
Tandy Corp. ................................................ 1,200 62,025
Tech Data Corp.+ ........................................... 100 2,328
ELECTRONICS -- 9.8%
Advanced Micro Devices, Inc.+ .............................. 200 3,438
Altera Corp.+ .............................................. 2,000 86,750
American Power Conversion Corp.+ ........................... 400 7,600
Analog Devices, Inc.+ ...................................... 4,700 240,875
Applied Materials, Inc.+ ................................... 500 38,937
Applied Micro Circuits Corp.+ .............................. 800 45,600
Broadcom Corp., Class A+ ................................... 300 32,700
Catalina Marketing Corp.+ .................................. 400 33,925
Conexant Systems, Inc.+ .................................... 500 36,328
Dallas Semiconductor Corp. ................................. 500 26,719
DII Group, Inc.+ ........................................... 2,100 73,894
Flextronics International Ltd.+ ............................ 1,200 69,825
Intel Corp. ................................................ 172 12,782
KLA-Tencor Corp.+ .......................................... 600 39,000
Lattice Semiconductor Corp.+ ............................... 800 23,750
LHS Group, Inc.+ ........................................... 100 2,944
Linear Technology Corp. .................................... 1,500 88,172
LSI Logic Corp.+ ........................................... 500 25,750
Maxim Integrated Products, Inc.+ ........................... 1,400 88,331
Micrel, Inc.+ .............................................. 400 17,350
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Microchip Technology, Inc.+ ................................ 700 $ 35,962
Molex, Inc. ................................................ 200 7,275
Molex, Inc., Class A........................................ 700 22,662
Motorola, Inc. ............................................. 2,100 184,800
Novellus Systems, Inc.+ .................................... 200 13,488
PMC-Sierra, Inc.+ .......................................... 800 74,000
QLogic Corp.+ .............................................. 200 13,975
Rambus, Inc.+ .............................................. 100 6,625
Sanmina Corp.+ ............................................. 700 54,162
SCI Systems, Inc.+ ......................................... 700 31,106
Scientific-Atlanta, Inc. ................................... 500 24,781
SDL, Inc.+ ................................................. 200 15,263
Thermo Instrument Systems, Inc.+ ........................... 100 1,069
Vitesse Semiconductor Corp.+ ............................... 1,000 85,375
Xilinx, Inc.+ .............................................. 1,500 98,297
SOFTWARE -- 11.7%
Adobe Systems, Inc. ........................................ 800 90,800
Affiliated Computer Services Inc., Class A+ ................ 800 32,500
America Online, Inc.+ ...................................... 870 90,480
Atmel Corp.+ ............................................... 300 10,144
Autodesk, Inc. ............................................. 100 2,188
Avant! Corp.+ .............................................. 5,700 101,709
BARRA, Inc.+ ............................................... 700 14,700
BEA Systems, Inc.+ ......................................... 500 17,656
BISYS Group, Inc. .......................................... 2,700 126,647
BMC Software, Inc.+ ........................................ 800 57,250
CDW Computer Centers, Inc.+ ................................ 500 24,437
Ceridian Corp.+ ............................................ 700 17,413
Check Point Software Technologies, Ltd.+ ................... 300 25,331
CheckFree Holdings Corp.+ .................................. 200 8,225
Citrix Systems, Inc.+ ...................................... 1,300 80,519
CMGI, Inc.+ ................................................ 600 61,500
Compuware Corp.+ ........................................... 1,600 41,700
Concord Communications, Inc.+ .............................. 200 7,950
DST Systems, Inc.+ ......................................... 500 28,437
Earthlink Network, Inc.+ ................................... 100 4,294
Electronic Arts, Inc.+ ..................................... 900 65,137
Factset Research Systems, Inc. ............................. 300 17,063
I2 Technologies, Inc.+ ..................................... 200 7,763
Infoseek Corp. ............................................. 300 9,263
Inktomi Corp.+ ............................................. 200 24,006
International Network Services+ ............................ 200 10,875
Intuit, Inc.+ .............................................. 600 52,594
J.D. Edwards & Co.+ ........................................ 200 4,144
Keane, Inc.+ ............................................... 700 15,969
Legato Systems, Inc.+ ...................................... 1,000 43,594
Lycos, Inc.+ ............................................... 700 35,087
Macromedia, Inc.+ .......................................... 600 24,525
Mercury Interactive Corp.+ ................................. 400 25,825
Network Solutions, Inc+. ................................... 100 9,188
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Networks Associates, Inc.+ ................................. 1,000 $ 19,125
New Era of Networks, Inc.+ ................................. 200 4,325
Novell, Inc.+ .............................................. 2,000 41,375
Oracle Corp.+ .............................................. 750 34,125
Parametric Technology Corp.+ ............................... 1,500 20,250
PeopleSoft, Inc.+ .......................................... 1,100 18,631
Perot Systems Corp.+ ....................................... 300 5,606
Progress Software Corp.+ ................................... 700 21,962
Rational Software Corp.+ ................................... 4,800 140,550
Real Networks, Inc.+ ....................................... 100 10,456
Siebel Systems, Inc.+ ...................................... 400 26,650
Sterling Commerce, Inc.+ ................................... 500 9,281
Sterling Software, Inc.+ ................................... 5,300 106,000
Sun Microsystems, Inc.+ .................................... 200 18,600
SunGard Data Systems, Inc.+ ................................ 1,300 34,206
Symantec Corp.+ ............................................ 900 32,372
Synopsys, Inc.+ ............................................ 700 39,309
Teradyne, Inc.+ ............................................ 1,400 49,350
Transaction Systems Architects, Inc., Class A+ ............. 300 8,081
VERITAS Software Corp.+ .................................... 1,200 91,125
Vignette Corp. ............................................. 100 9,050
Visio Corp.+ ............................................... 600 23,550
Wind River Systems, Inc.+ .................................. 800 15,200
Yahoo!, Inc.+ .............................................. 77 13,822
TELECOMMUNICATIONS -- 7.1%
Allegiance Telecom, Inc.+ .................................. 600 31,575
Comverse Technology, Inc.+ ................................. 1,000 94,312
Copper Mountain Networks, Inc.+ ............................ 100 8,763
Corning, Inc. .............................................. 1,800 123,412
Covad Communications Group, Inc.+ .......................... 300 13,078
Dycom Industries, Inc.+ .................................... 400 16,875
Global Crossing Ltd.+ ...................................... 5,330 141,245
Intermedia Communications, Inc.+ ........................... 7,100 154,425
JDS Uniphase Corp.+ ........................................ 400 45,525
Jones Intercable, Inc., Class A+ ........................... 100 5,406
L-3 Communications Holding Corp.+ .......................... 200 7,550
McLeodUSA, Inc., Class A+ .................................. 5,600 238,350
Nextel Communications, Inc., Class A+ ...................... 1,600 108,500
NEXTLINK Communications, Inc., Class A+ .................... 1,000 51,844
NTL, Inc.+ ................................................. 500 48,047
PanAmSat Corp.+ ............................................ 100 3,613
Teligent, Inc., Class A..................................... 200 9,938
Time Warner Telecom, Inc., Class A.......................... 100 2,088
USWeb Corp. ................................................ 500 17,156
VeriSign, Inc.+ ............................................ 200 21,300
Viatel, Inc. ............................................... 500 14,781
Vodafone AirTouch PLC ADR................................... 150 35,662
-----------
6,367,148
-----------
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.8%
CHEMICALS -- 0.5%
General Cable Corp.+ ....................................... 3,500 $ 42,000
Lilly Industrial, Inc. ..................................... 700 9,537
Macdermid, Inc. ............................................ 300 10,219
Sigma-Aldrich Corp. ........................................ 600 19,050
FOREST PRODUCTS -- 0.0%
Smurfit-Stone Container Corp. .............................. 200 4,325
METALS & MINERALS -- 0.3%
Fastenal Co. ............................................... 100 4,713
Freeport-McMoRan Copper & Gold, Inc. Class B ............... 800 12,450
Sealed Air Corp.+ .......................................... 800 41,050
-----------
143,344
-----------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.1%
Catellus Development Corp.+ ................................ 400 4,700
Trammell Crow Co. .......................................... 800 10,600
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Boston Properties, Inc. .................................... 300 9,206
Meditrust Co. .............................................. 800 6,800
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 200 4,463
-----------
35,769
-----------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 0.5%
AES Corp.+ ................................................. 1,200 70,800
Calpine Corp.+ ............................................. 200 17,013
GAS & PIPELINE UTILITIES -- 0.0%
Dynegy, Inc. ............................................... 100 2,069
TELEPHONE -- 1.0%
AT&T Corp. - Liberty Media Group, Class A+ ................. 3,140 116,572
Cincinnati Bell, Inc. ...................................... 800 15,550
WinStar Communications, Inc.+ .............................. 700 27,344
-----------
249,348
-----------
TOTAL INVESTMENT SECURITIES (cost $15,299,262).............. 16,503,255
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.55% due 12/02/99 (cost
$19,843)................................................... $ 20,000 19,842
-----------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 2.8% PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.8%
ABN Amro Bank NA Joint Repurchase Agreement Account
(Note 3)................................................... $ 350,000 $ 350,000
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $117,014 and collateralized by
$120,000 of U.S. Treasury Notes, bearing interest at 5.75%,
due 11/15/00 and having an approximate value of
$122,850@.................................................. 117,000 117,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $467,000)................. 467,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,786,105) 100.2% 16,990,097
Liabilities in excess of other
assets -- (0.2) (31,591)
----- -----------
NET ASSETS -- 100.0% $16,958,506
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
ADR -- American Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE SEPTEMBER 30, 1999 DEPRECIATION
- -------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index December 1999 $67,333 $64,925 $(2,408)
=======
</TABLE>
See Notes to Financial Statements
----------------
123
<PAGE>
- ----------------
SEASONS SERIES TRUST
MID CAP VALUE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.7%
SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 10.2%
APPAREL & TEXTILES -- 0.6%
Liz Claiborne, Inc. ........................................ 200 $ 6,200
Polo Ralph Lauren Corp., Class A+ .......................... 200 3,588
Reebok International Ltd.+ ................................. 6,800 72,675
V. F. Corp. ................................................ 300 9,300
Warnaco Group, Inc., Class A ............................... 100 1,825
AUTOMOTIVE -- 4.1%
Autoliv, Inc. AB ........................................... 300 11,288
AutoNation, Inc.+ .......................................... 700 8,794
AutoZone, Inc.+ ............................................ 2,600 72,962
B.F. Goodrich Co. .......................................... 2,988 86,652
Cooper Tire & Rubber Co. ................................... 300 5,288
Cummins Engine Co., Inc. ................................... 100 4,981
Dana Corp. ................................................. 800 29,700
Delphi Automotive Systems Corp. ............................ 1,700 27,306
Federal-Mogul Corp. ........................................ 2,800 77,175
General Motors Corp., Class H+ ............................. 200 11,450
Genuine Parts Co. .......................................... 600 15,938
Goodyear Tire & Rubber Co. ................................. 500 24,062
Lear Corp.+ ................................................ 2,200 77,412
Meritor Automotive, Inc. ................................... 200 4,175
Navistar International Corp., Inc.+ ........................ 200 9,300
PACCAR, Inc. ............................................... 200 10,175
Ryder System, Inc. ......................................... 2,800 57,050
Tenneco, Inc. .............................................. 500 8,500
TRW, Inc. .................................................. 1,200 59,700
HOUSING -- 1.0%
American Standard Cos., Inc.+ .............................. 200 7,675
Briggs & Stratton Corp. .................................... 100 5,838
Centex Corp. ............................................... 100 2,956
Clayton Homes, Inc. ........................................ 300 2,606
Fortune Brands, Inc. ....................................... 600 19,350
Grainger (W. W.), Inc. ..................................... 200 9,613
HON INDUSTRIES, Inc. ....................................... 200 3,850
Johns Manville Corp. ....................................... 100 1,325
Leggett & Platt, Inc. ...................................... 600 11,812
Masco Corp. ................................................ 1,000 31,000
Mohawk Industries, Inc.+ ................................... 100 1,994
Shaw Industries, Inc. ...................................... 400 6,350
Stanley Works .............................................. 1,300 32,744
Whirlpool Corp. ............................................ 200 13,062
RETAIL -- 4.5%
Albertson's, Inc. .......................................... 567 22,432
Barnes & Noble, Inc.+ ...................................... 100 2,600
Best Buy Co., Inc.+ ........................................ 200 12,412
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
BJ's Wholesale Club, Inc.+ ................................. 200 $ 5,913
Consolidated Stores Corp.+ ................................. 6,000 132,375
Delhaize America, Inc. ..................................... 366 8,281
Dillards, Inc. ............................................. 3,300 67,031
Federated Department Stores, Inc.+ ......................... 2,000 87,375
Hannaford Brothers Co. ..................................... 100 7,044
Harcourt General, Inc. ..................................... 100 4,163
Kmart Corp.+ ............................................... 1,500 17,531
Limited, Inc. .............................................. 488 18,666
Longs Drug Stores Corp. .................................... 100 2,988
Nordstrom, Inc. ............................................ 300 8,100
Office Depot, Inc.+ ........................................ 2,550 25,978
OfficeMax, Inc.+ ........................................... 9,400 54,637
Payless ShoeSource, Inc.+ .................................. 100 5,050
Rite Aid Corp. ............................................. 800 11,050
Ross Stores, Inc. .......................................... 1,700 34,212
Saks, Inc.+ ................................................ 300 4,556
Ticketmaster Online-Citysearch, Inc., Class B .............. 100 2,419
Too, Inc. .................................................. 69 1,238
Toys "R" Us, Inc.+ ......................................... 6,600 99,000
Venator Group, Inc.+ ....................................... 500 4,281
Winn-Dixie Stores, Inc. .................................... 300 8,906
Zale Corp.+ ................................................ 100 3,831
-----------
1,497,740
-----------
CONSUMER STAPLES -- 7.8%
FOOD, BEVERAGE & TOBACCO -- 7.7%
Adolph Coors Co. ........................................... 100 5,413
American National Can Group, Inc. .......................... 2,900 45,856
Archer-Daniels-Midland Co. ................................. 7,430 90,553
Brown-Forman Corp., Class B ................................ 100 6,238
Corn Products International, Inc. .......................... 3,300 100,444
Dean Foods Co. ............................................. 2,700 117,619
Del Monte Foods Co.+ ....................................... 6,400 90,400
Dole Food, Inc. ............................................ 200 3,800
Fleming Cos., Inc. ......................................... 8,400 82,425
Flowers Industries, Inc. ................................... 400 5,425
Hershey Foods Corp. ........................................ 300 14,606
Hormel Foods Corp. ......................................... 100 4,131
IBP, Inc. .................................................. 2,600 64,187
Interstate Bakeries Corp. .................................. 100 2,300
McCormick & Co., Inc. ...................................... 200 6,613
Nabisco Group Holdings Corp. ............................... 4,100 61,500
Nabisco Holdings Corp., Class A ............................ 200 6,912
Premark International, Inc. ................................ 200 10,100
Quaker Oats Co. ............................................ 200 12,375
Ralston-Ralston Purina Group ............................... 900 25,031
RJ Reynolds Tobacco Holdings, Inc.+ ........................ 3,999 107,973
SUPERVALU, Inc. ............................................ 400 8,725
Tootsie Roll Industries, Inc. .............................. 100 3,288
</TABLE>
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125
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Tyson Foods, Inc., Class A ................................. 1,600 $ 26,300
Universal Foods Corp. ...................................... 4,800 110,100
UST, Inc. .................................................. 3,300 99,619
Whitman Corp. .............................................. 300 4,275
Wrigley (WM) Jr. Co. ....................................... 100 6,881
HOUSEHOLD PRODUCTS -- 0.1%
Alberto-Culver Co., Class B ................................ 100 2,312
Fort James Corp. ........................................... 100 2,669
International Flavors & Fragrances, Inc. ................... 300 10,350
Newell Rubbermaid, Inc. .................................... 36 1,028
-----------
1,139,448
-----------
ENERGY -- 6.7%
ENERGY SERVICES -- 1.2%
Baker Hughes, Inc. ......................................... 800 23,200
BJ Services Co.+ ........................................... 200 6,362
ENSCO International, Inc. .................................. 300 5,419
Global Marine, Inc.+ ....................................... 500 8,219
Nabors Industries, Inc.+ ................................... 200 5,000
R & B Falcon Corp.+ ........................................ 400 5,250
Tidewater, Inc. ............................................ 200 5,100
Tosco Corp. ................................................ 2,600 65,650
USX-Marathon Group, Inc. ................................... 1,800 52,650
Weatherford International, Inc.+ ........................... 300 9,600
ENERGY SOURCES -- 5.5%
Amerada Hess Corp. ......................................... 1,500 91,875
Anadarko Petroleum Corp. ................................... 200 6,113
Apache Corp. ............................................... 200 8,637
Burlington Resources, Inc. ................................. 600 22,050
Diamond Offshore Drilling, Inc. ............................ 100 3,338
EOG Resources, Inc. ........................................ 4,400 93,500
Kerr-McGee Corp. ........................................... 2,500 137,656
Midamerica Energy Holdings Co. ............................. 200 5,900
Murphy Oil Corp. ........................................... 100 5,406
Noble Affiliates, Inc. ..................................... 200 5,800
Noble Drilling Corp.+ ...................................... 200 4,375
Occidental Petroleum Corp. ................................. 3,700 85,562
Ocean Energy, Inc.+ ........................................ 500 5,094
Santa Fe Snyder Corp.+ ..................................... 5,800 52,200
Smith International, Inc.+ ................................. 100 4,050
Sonat, Inc. ................................................ 300 11,906
Sunoco, Inc. ............................................... 300 8,213
Ultramar Diamond Shamrock Corp.+ ........................... 3,600 91,800
Union Pacific Resources Group, Inc. ........................ 800 12,850
Unocal Corp. ............................................... 800 29,650
Valero Energy Corp. ........................................ 6,100 117,425
-----------
989,850
-----------
</TABLE>
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126
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 16.2%
BANKS -- 5.4%
AmSouth Bancorp. ........................................... 600 $ 14,063
Associated Banc-Corp. ...................................... 300 10,856
Astoria Financial Corp. .................................... 200 6,150
BB&T Corp. ................................................. 900 29,137
CCB Financial Corp. ........................................ 100 4,163
Centura Banks, Inc. ........................................ 100 4,138
Charter One Financial, Inc. ................................ 525 12,141
City National Corp. ........................................ 100 3,356
CNB Bancshares, Inc. ....................................... 100 5,300
Colonial BancGroup, Inc. ................................... 200 2,238
Comerica, Inc. ............................................. 500 25,312
Commerce Bancshares, Inc. .................................. 200 7,075
Commercial Federal Corp. ................................... 200 3,925
Cullen/Frost Bankers, Inc. ................................. 2,500 62,500
Dime Bancorp, Inc. ......................................... 300 5,250
First American Corp. ....................................... 300 12,863
First Security Corp. ....................................... 700 16,647
First Tennessee National Corp. ............................. 400 11,250
First Virginia Banks, Inc. ................................. 100 4,356
Firstar Corp. .............................................. 1,045 26,778
FirstMerit Corp. ........................................... 200 5,075
Golden State Bancorp, Inc.+ ................................ 300 5,381
Golden West Financial Corp. ................................ 200 19,650
GreenPoint Financial Corp., Class A ........................ 300 7,969
Hibernia Corp., Class A .................................... 500 5,813
Huntington Bancshares, Inc. ................................ 660 17,531
Lincoln National Corp. ..................................... 600 22,537
Marshall & Ilsley Corp. .................................... 300 17,119
Mercantile Bankshares Corp. ................................ 200 6,188
North Fork Bancorp., Inc. .................................. 500 9,750
Northern Trust Corp. ....................................... 200 16,700
Old Kent Financial Corp. ................................... 315 11,694
Old National Bancorp ....................................... 100 2,888
Popular, Inc. .............................................. 400 11,100
Regions Financial Corp. .................................... 700 21,000
Republic New York Corp. .................................... 2,300 141,306
Roslyn Bancorp, Inc. ....................................... 200 3,575
SouthTrust Corp. ........................................... 500 17,937
Sovereign Bancorp, Inc. .................................... 8,400 76,387
St. Paul Cos., Inc. ........................................ 700 19,250
Summit Bancorp. ............................................ 600 19,462
Synovus Financial Corp. .................................... 300 5,606
TCF Financial Corp. ........................................ 300 8,569
Trustmark Corp. ............................................ 200 4,500
Union Planters Corp. ....................................... 500 20,375
UnionBanCal Corp. .......................................... 100 3,625
Valley National Bancorp .................................... 105 2,612
Washington Federal, Inc. ................................... 10 232
Wilmington Trust Corp. ..................................... 100 4,856
Zions Bancorp .............................................. 200 11,025
</TABLE>
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127
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES -- 4.9%
Allmerica Financial Corp. .................................. 200 $ 9,525
Ambac Financial Group, Inc. ................................ 300 14,212
Bear Stearns Cos., Inc. .................................... 2,115 81,295
Case Corp. ................................................. 200 9,963
CIT Group, Inc., Class A ................................... 100 2,056
Compass Bancshares, Inc. ................................... 350 8,750
Countrywide Credit Industries, Inc. ........................ 300 9,675
Donaldson, Lufkin & Jenrette, Inc. ......................... 100 3,956
Dun & Bradstreet Corp. ..................................... 2,000 59,750
Edwards (A.G.), Inc. ....................................... 300 7,913
FINOVA Group, Inc. ......................................... 100 3,650
Fulton Financial Corp. ..................................... 220 4,125
H&R Block, Inc. ............................................ 300 13,031
Heller Financial, Inc. ..................................... 100 2,250
Keystone Financial, Inc. ................................... 200 4,750
Legg Mason, Inc. ........................................... 200 7,663
Lehman Brothers Holdings, Inc. ............................. 400 23,325
Nationwide Financial Services, Inc., Class A ............... 100 3,538
NOVA Corp.+ ................................................ 100 2,500
Pacific Century Financial Corp. ............................ 7,700 157,369
Paine Webber Group, Inc. ................................... 400 14,500
Peoples Heritage Financial Group, Inc. ..................... 400 6,650
ReliaStar Financial Corp. .................................. 300 9,975
S&P Mid-Cap Depository Receipts ............................ 2,089 150,016
Waddell & Reed Financial, Inc., Class B .................... 5,100 109,012
INSURANCE -- 5.9%
20th Century Industries .................................... 200 3,875
Aetna, Inc. ................................................ 1,700 83,725
American Financial Group, Inc. ............................. 100 2,806
Aon Corp. .................................................. 700 20,694
Chubb Corp. ................................................ 500 24,906
Cincinnati Financial Corp. ................................. 500 18,766
Cinergy Corp. .............................................. 500 14,156
CNA Financial Corp.+ ....................................... 1,500 52,500
Conseco, Inc. .............................................. 1,000 19,312
Erie Indemnity Co. ......................................... 200 6,588
Everest Reinsurance Holdings, Inc. ......................... 3,000 71,437
Franklin Resources, Inc. ................................... 200 6,150
Fremont General Corp. ...................................... 200 1,900
Hartford Life, Inc., Class A ............................... 100 4,925
Jefferson-Pilot Corp. ...................................... 300 18,956
MBIA, Inc. ................................................. 300 13,988
Mercury General Corp. ...................................... 100 2,756
MGIC Investment Corp. ...................................... 300 14,325
MONY Group, Inc. ........................................... 3,000 86,625
Old Republic International Corp. ........................... 4,500 64,969
Progressive Corp. .......................................... 100 8,169
Protective Life Corp. ...................................... 200 5,800
Radian Group, Inc. ......................................... 1,500 64,406
SAFECO Corp. ............................................... 500 14,000
</TABLE>
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128
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Torchmark Corp. ............................................ 400 $ 10,350
Transatlantic Holdings, Inc. ............................... 1,100 77,275
Unitrin, Inc. .............................................. 200 6,950
UnumProvident Corp. ........................................ 619 18,222
XL Capital Ltd., Class A ................................... 2,900 130,500
-----------
2,375,690
-----------
HEALTHCARE -- 9.5%
DRUGS -- 1.8%
Bergen Brunswig Corp., Class A ............................. 6,000 62,250
Caremark Rx, Inc.+ ......................................... 19,900 111,937
Mallinckrodt, Inc. ......................................... 200 6,038
Mylan Laboratories, Inc. ................................... 4,600 84,525
HEALTH SERVICES -- 4.3%
Chiron Corp.+ .............................................. 100 2,769
Foundation Health Systems, Inc.+ ........................... 300 2,831
Genzyme Corp.--Surgical Products+ .......................... 35 197
Health Management Associates, Inc., Class A+ ............... 12,900 95,137
HEALTHSOUTH Corp.+ ......................................... 9,100 55,169
Humana, Inc.+ .............................................. 500 3,438
Lincare Holdings, Inc.+ .................................... 100 2,666
Manor Care, Inc. ........................................... 4,700 80,781
Omnicare, Inc. ............................................. 100 963
Pacificare Health Systems, Inc., Class A+ .................. 100 4,325
Quest Diagnostics, Inc.+ ................................... 3,100 80,600
Sierra Health Services, Inc.+ .............................. 3,100 31,387
Tenet Healthcare Corp.+ .................................... 7,200 126,450
Total Renal Care Holdings, Inc.+ ........................... 6,800 50,575
Trigon Healthcare, Inc.+ ................................... 2,100 60,637
United HealthCare Corp. .................................... 500 24,344
Wellpoint Health Networks, Inc., Class A+ .................. 100 5,700
MEDICAL PRODUCTS -- 3.4%
Acuson Corp.+ .............................................. 5,900 75,225
Becton Dickinson & Co. ..................................... 200 5,612
C.R. Bard, Inc. ............................................ 200 9,412
Dentsply International, Inc. ............................... 200 4,550
Genzyme Corp.+ ............................................. 200 9,012
Hillenbrand Industries, Inc. ............................... 100 2,638
McKesson HBOC, Inc. ........................................ 500 14,500
Owens Corning Co. .......................................... 200 4,338
Polymer Group, Inc. ........................................ 9,400 138,650
St. Jude Medical, Inc.+ .................................... 3,400 107,100
Varian Medical Systems, Inc. ............................... 5,600 122,500
-----------
1,386,256
-----------
</TABLE>
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129
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 10.1%
AEROSPACE & MILITARY TECHNOLOGY -- 1.2%
Cordant Technologies, Inc. ................................. 100 $ 3,044
General Dynamics Corp. ..................................... 400 24,975
ITT Industries, Inc. ....................................... 300 9,544
Litton Industries, Inc.+ ................................... 100 5,475
Northrop Grumman Corp. ..................................... 1,800 114,412
Rockwell International Corp. ............................... 500 26,250
BUSINESS SERVICES -- 4.8%
Allied Waste Industries, Inc.+ ............................. 4,200 49,088
Armstrong World Industries, Inc. ........................... 100 4,494
Ball Corp. ................................................. 2,500 110,156
Comdisco, Inc. ............................................. 300 5,794
DeLuxe Corp. ............................................... 300 10,200
Fiserv, Inc.+ .............................................. 50 1,625
IKON Office Solutions, Inc. ................................ 400 4,275
InaCom Corp.+ .............................................. 6,400 58,800
Manpower, Inc. ............................................. 200 5,825
Modis Professional Services, Inc.+ ......................... 2,900 38,425
National Service Industries, Inc. .......................... 100 3,150
Owens-Illinois, Inc.+ ...................................... 500 9,906
Pall Corp. ................................................. 400 9,275
Potash Corp. of Saskatchewan, Inc. ......................... 800 41,300
ProLogis Trust ............................................. 300 5,663
R.R. Donnelley & Sons Co. .................................. 1,600 46,200
Republic Services, Inc. Class A+ ........................... 10,700 116,362
Rowan Cos., Inc.+ .......................................... 300 4,875
Safety Kleen Corp.+ ........................................ 6,600 79,612
Service Corp. International ................................ 800 8,450
Stewart Enterprises, Inc., Class A ......................... 300 1,819
Sylvan Learning Systems, Inc.+ ............................. 100 1,938
SYSCO Corp. ................................................ 100 3,506
United States Industries, Inc.+ ............................ 300 4,725
UNOVA, Inc. ................................................ 4,900 65,537
Valspar Corp. .............................................. 100 3,269
Viad Corp. ................................................. 100 2,950
York International Corp. ................................... 200 7,188
ELECTRICAL EQUIPMENT -- 2.0%
AGCO Corp. ................................................. 6,900 89,700
Dover Corp. ................................................ 700 28,613
Hubbell Inc., Class B ...................................... 200 6,375
Johnson Controls, Inc. ..................................... 300 19,894
Thomas & Betts Corp. ....................................... 200 10,200
UCAR International, Inc.+ .................................. 6,100 139,156
MACHINERY -- 0.9%
Cooper Cameron Corp.+ ...................................... 100 3,775
Cooper Industries, Inc. .................................... 300 14,025
Deere & Co. ................................................ 700 27,081
Ingersoll-Rand Co. ......................................... 500 27,469
Parker Hannifin Corp. ...................................... 300 13,444
Pentair, Inc. .............................................. 100 4,012
</TABLE>
- ----------------
130
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Snap-On, Inc. .............................................. 1,500 $ 48,750
MULTI-INDUSTRY -- 0.6%
Canadian Pacific Ltd. ...................................... 2,800 63,875
Carlisle Cos., Inc. ........................................ 100 3,950
Crane Co. .................................................. 200 4,487
Lancaster Colony Corp. ..................................... 100 3,200
Teleflex, Inc. ............................................. 100 3,950
Thermo Electron Corp.+ ..................................... 500 6,719
TRANSPORTATION -- 0.6%
CNF Transportation, Inc. ................................... 1,200 44,700
CSX Corp. .................................................. 700 29,662
GATX Corp. ................................................. 200 6,213
UAL Corp.+ ................................................. 100 6,531
-----------
1,493,888
-----------
INFORMATION & ENTERTAINMENT -- 6.0%
BROADCASTING & MEDIA -- 2.8%
A.H. Belo Corp. ............................................ 3,200 61,200
ACNielson Corp.+ ........................................... 100 2,269
AMFM, Inc.+ ................................................ 449 27,333
Crown Castle International Corp.+ .......................... 200 3,744
Harte-Hanks, Inc. .......................................... 100 2,519
King World Productions, Inc.+ .............................. 200 7,500
Knight-Ridder, Inc. ........................................ 300 16,462
Loews Corp. ................................................ 1,700 119,319
McGraw-Hill Cos., Inc. ..................................... 600 29,025
Meredith Corp. ............................................. 100 3,631
New York Times Co., Class A ................................ 600 22,500
Primedia, Inc.+ ............................................ 200 2,800
Readers Digest Association, Inc., Class A .................. 200 5,850
Scripps (E.W.) Co., Class A ................................ 100 4,912
Times Mirror Co., Class A .................................. 800 52,650
Tribune Co. ................................................ 600 29,850
USA Networks, Inc.+ ........................................ 200 7,750
VoiceStream Wireless Corp. ................................. 100 6,172
ENTERTAINMENT PRODUCTS -- 0.7%
Brunswick Corp. ............................................ 300 7,462
Hasbro, Inc. ............................................... 3,600 77,175
International Game Technology, Inc.+ ....................... 300 5,400
Mattel, Inc. ............................................... 800 15,200
LEISURE & TOURISM -- 2.5%
Brinker International, Inc.+ ............................... 200 5,425
CBRL Group, Inc. ........................................... 11,900 184,450
COMAIR Holdings, Inc. ...................................... 100 1,669
Continental Airlines, Inc., Class B+ ....................... 200 6,550
Darden Restaurants, Inc. ................................... 400 7,825
Delta Air Lines, Inc. ...................................... 500 24,250
FelCor Lodging Trust, Inc. ................................. 100 1,750
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Harrah's Entertainment, Inc.+ .............................. 400 $ 11,100
Interstate Hotels Corp.+ ................................... 10 32
Mandalay Resort Group+ ..................................... 300 5,925
Marriott International, Inc., Class A ...................... 300 9,806
Mirage Resorts, Inc.+ ...................................... 600 8,437
Park Place Entertainment Corp.+ ............................ 900 11,250
Premier Parks, Inc.+ ....................................... 100 2,900
Promus Hotel Corp.+ ........................................ 300 9,769
SkyWest, Inc. .............................................. 1,200 26,325
Southwest Airlines Co. ..................................... 1,500 22,781
Tricon Global Restaurants, Inc.+ ........................... 200 8,188
USAirways Group, Inc.+ ..................................... 300 7,875
Wendy's International, Inc. ................................ 400 10,550
-----------
877,580
-----------
INFORMATION TECHNOLOGY -- 7.7%
COMMUNICATION EQUIPMENT -- 0.8%
3Com Corp.+ ................................................ 400 11,500
American Tower Corp., Class A+ ............................. 200 3,913
Associated Group, Inc., Class A+ ........................... 100 6,050
Cabletron Systems, Inc.+ ................................... 6,000 94,125
COMSAT Corp. ............................................... 45 1,333
General Instrument Corp.+ .................................. 100 4,812
Rhythms Netconnections, Inc.+ .............................. 100 3,450
COMPUTERS & BUSINESS EQUIPMENT -- 3.0%
Apple Computer, Inc.+ ...................................... 400 25,325
Arrow Electronics, Inc.+ ................................... 300 5,288
Avnet, Inc. ................................................ 3,400 142,800
Cadence Design Systems, Inc.+ .............................. 300 3,975
Diebold, Inc. .............................................. 200 4,625
Ingram Micro, Inc.+ ........................................ 2,700 34,762
Micron Technology, Inc.+ ................................... 500 33,281
Miller (Herman), Inc. ...................................... 3,200 76,500
NCR Corp.+ ................................................. 500 16,531
Quantum Corp.--DLT & Storage Systems+ ...................... 1,700 23,906
Quantum Corp.--Hard Disk Drive+ ............................ 200 1,488
Seagate Technology, Inc.+ .................................. 500 15,406
Silicon Graphics, Inc.+ .................................... 600 6,563
Steelcase, Inc. ............................................ 200 2,788
Storage Technology Corp.+ .................................. 300 5,775
Tech Data Corp.+ ........................................... 1,600 37,250
ELECTRONICS -- 1.9%
Advanced Micro Devices, Inc.+ .............................. 400 6,875
American Power Conversion Corp.+ ........................... 300 5,700
AVX Corp. .................................................. 100 3,513
Conectiv, Inc. ............................................. 225 4,416
Eaton Corp. ................................................ 200 17,262
Fairchild Semiconductor International+ ..................... 2,400 56,400
LSI Logic Corp.+ ........................................... 200 10,300
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Molex, Inc. ................................................ 100 $ 3,637
National Semiconductor Corp.+ .............................. 500 15,250
SCI Systems, Inc.+ ......................................... 100 4,444
Varian Semiconductor Equipment Associates, Inc. ............ 3,900 82,144
Vishay Intertechnology, Inc.+ .............................. 2,750 65,312
SOFTWARE -- 1.3%
Adobe Systems, Inc. ........................................ 300 34,050
Atmel Corp.+ ............................................... 2,800 94,675
Autodesk, Inc. ............................................. 100 2,188
DST Systems, Inc.+ ......................................... 100 5,687
J.D. Edwards & Co.+ ........................................ 100 2,072
Mentor Graphics Corp.+ ..................................... 4,500 38,531
Networks Associates, Inc.+ ................................. 200 3,825
Safeguard Scientifics, Inc.+ ............................... 100 6,800
Sterling Software, Inc.+ ................................... 200 4,000
SunGard Data Systems, Inc.+ ................................ 100 2,631
Symantec Corp.+ ............................................ 100 3,597
TELECOMMUNICATIONS -- 0.7%
Harris Corp. ............................................... 300 8,287
Media General Inc. ......................................... 1,400 71,750
NEXTLINK Communications, Inc., Class A+ .................... 200 10,369
PanAmSat Corp.+ ............................................ 100 3,612
Time Warner Telecom, Inc., Class A ......................... 100 2,088
-----------
1,130,861
-----------
MATERIALS -- 5.9%
CHEMICALS -- 2.7%
Air Products & Chemicals, Inc. ............................. 600 17,437
Arch Chemicals, Inc. ....................................... 50 809
Ashland, Inc. .............................................. 200 6,725
Cabot Corp. ................................................ 100 2,375
CK Witco Corp. ............................................. 4,600 66,987
Eastman Chemical Co. ....................................... 300 12,000
Engelhard Corp. ............................................ 300 5,456
Great Lakes Chemical Corp. ................................. 200 7,613
Hercules, Inc. ............................................. 300 8,587
IMC Global, Inc. ........................................... 4,000 58,250
Lubrizol Corp. ............................................. 200 5,138
Lyondell Chemical Co. ...................................... 200 2,675
Millenium Chemicals, Inc. .................................. 3,300 67,444
Nalco Chemical Co. ......................................... 200 10,100
PPG Industries, Inc. ....................................... 500 30,000
Praxair, Inc. .............................................. 500 23,000
R.P.M., Inc. ............................................... 300 3,656
Rohm & Haas Co. ............................................ 547 19,760
Sherwin-Williams Co. ....................................... 500 10,469
Sigma-Aldrich Corp. ........................................ 300 9,525
Solutia, Inc. .............................................. 300 5,363
Union Carbide Corp. ........................................ 300 17,044
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 1.6%
American Greetings Corp., Class A .......................... 300 $ 7,725
Bemis Co., Inc. ............................................ 100 3,388
Boise Cascade Corp. ........................................ 200 7,288
Bowater, Inc. .............................................. 200 10,500
Buckeye Technologies, Inc.+ ................................ 3,500 54,906
Champion International Corp. ............................... 300 15,412
Consolidated Papers, Inc. .................................. 200 5,375
Georgia-Pacific Corp. (Timber Group) ....................... 2,100 48,037
Georgia-Pacific Group ...................................... 500 20,250
International Paper Co. .................................... 97 4,662
Louisiana-Pacific Corp. .................................... 300 4,688
Mead Corp. ................................................. 300 10,312
Reynolds & Reynolds Co., Class A ........................... 200 4,075
Smurfit-Stone Container Corp. .............................. 300 6,488
Sonoco Products Co. ........................................ 300 6,844
Temple-Inland, Inc. ........................................ 200 12,100
Westvaco Corp. ............................................. 300 7,687
Willamette Industries, Inc. ................................ 300 12,937
METALS & MINERALS -- 1.6%
AK Steel Holding Corp. ..................................... 1,100 20,075
Allegheny Teledyne, Inc. ................................... 500 8,438
Armco, Inc.+ ............................................... 4,500 31,500
Crown, Cork & Seal Co., Inc. ............................... 400 9,700
Fluor Corp. ................................................ 300 12,075
Homestake Mining Co. ....................................... 700 6,431
Ispat International NV+ .................................... 5,100 53,231
Lafarge Corp. .............................................. 100 3,213
Martin Marietta Materials, Inc. ............................ 100 3,994
Newmont Mining Corp. ....................................... 500 12,937
Nucor Corp. ................................................ 300 14,287
Phelps Dodge Corp. ......................................... 200 11,013
Reynolds Metals Co. ........................................ 200 12,075
Southdown, Inc. ............................................ 100 5,350
USG Corp.+ ................................................. 200 9,500
USX-US Steel Group, Inc. ................................... 300 7,725
Vulcan Materials Co. ....................................... 300 10,988
-----------
865,619
-----------
REAL ESTATE -- 2.3%
REAL ESTATE COMPANIES -- 0.1%
AMB Property Corp. ......................................... 200 4,238
Catellus Development Corp.+ ................................ 100 1,175
St. Joe Co. ................................................ 100 2,156
REAL ESTATE INVESTMENT TRUSTS -- 2.2%
Apartment Investment & Management Co., Class A ............. 200 7,650
Archstone Communities Trust ................................ 300 5,794
Arden Realty Group, Inc. ................................... 200 4,350
Avalonbay Communities, Inc. ................................ 200 6,775
CarrAmerica Realty Corp. ................................... 200 4,388
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Cornerstone Properties, Inc. ............................... 300 $ 4,575
Crescent Real Estate Equities Co. .......................... 400 7,200
Duke Realty Investments, Inc. .............................. 300 5,850
Equity Office Properties Trust ............................. 800 18,600
Equity Residential Properties Trust ........................ 400 16,950
Franchise Finance Corp. of America ......................... 100 2,338
General Growth Properties, Inc. ............................ 100 3,150
Healthcare Realty Trust .................................... 4,900 91,569
Highwoods Properties Inc. .................................. 200 5,175
Host Marriott Corp. ........................................ 600 5,700
HRPT Properties Trust ...................................... 500 5,812
Kimco Realty Corp. ......................................... 200 7,150
Liberty Property Trust ..................................... 200 4,537
Mack-Cali Realty Corp. ..................................... 200 5,362
New Plan Excel Realty Trust, Inc. .......................... 200 3,563
Post Properties, Inc. ...................................... 100 3,931
Prison Realty Corp. ........................................ 300 3,225
Public Storage, Inc. ....................................... 200 5,037
Rouse Co. .................................................. 200 4,600
Simon Property Group, Inc. ................................. 200 4,488
Spieker Properties, Inc. ................................... 200 6,937
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 3,500 78,094
Vornado Realty Trust ....................................... 200 6,500
-----------
336,869
-----------
UTILITIES -- 13.3%
ELECTRIC UTILITIES -- 9.7%
Allegheny Energy, Inc. ..................................... 400 12,725
Alliant Energy Corp. ....................................... 200 5,538
Ameren Corp. ............................................... 400 15,125
American Electric Power Co., Inc. .......................... 600 20,475
Carolina Power & Light Co. ................................. 500 17,687
Central & South West Corp. ................................. 700 14,787
Citizens Utilities Co., Class B+ ........................... 700 7,919
CMP Group, Inc. ............................................ 3,000 79,125
CMS Energy Corp. ........................................... 300 10,181
Consolidated Edison, Inc. .................................. 700 29,050
Constellation Energy Group ................................. 500 14,062
Dominion Resources, Inc. ................................... 600 27,075
DPL, Inc. .................................................. 500 8,813
DQE, Inc. .................................................. 300 11,738
DTE Energy Co. ............................................. 500 18,062
Edison International+ ...................................... 1,000 24,312
Energy East Corp. .......................................... 400 9,500
Entergy Corp. .............................................. 800 23,150
FirstEnergy Corp. .......................................... 3,300 84,150
Florida Progress Corp. ..................................... 300 13,875
FPL Group, Inc. ............................................ 500 25,187
GPU, Inc. .................................................. 400 13,050
Illinova Corp. ............................................. 4,300 120,669
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
IPALCO Enterprises, Inc. ................................... 3,700 $ 71,919
Kansas City Power & Light Co. .............................. 200 4,838
LG & E Energy Corp. ........................................ 400 8,500
Minnesota Power & Light Co. ................................ 200 3,513
Montana Power Co. .......................................... 400 12,175
New Century Energies, Inc. ................................. 400 13,375
New England Electric Systems ............................... 200 10,375
Niagara Mohawk Holdings, Inc.+ ............................. 6,900 106,519
NiSource, Inc. ............................................. 400 8,850
Northeast Utilities+ ....................................... 11,300 207,637
Northern States Power Co. .................................. 500 10,781
NSTAR+ ..................................................... 148 5,722
Oge Energy Corp. ........................................... 200 4,450
PacifiCorp ................................................. 900 18,112
PECO Energy Co. ............................................ 600 22,500
Pinnacle West Capital Corp. ................................ 200 7,275
Potomac Electric Power Co. ................................. 400 10,175
PP&L Resources, Inc. ....................................... 500 13,531
Public Service Co. of New Mexico ........................... 2,800 51,100
Public Service Enterprise Group, Inc. ...................... 700 27,037
Puget Sound Energy, Inc. ................................... 200 4,488
SCANA Corp. ................................................ 3,300 79,819
Sempra Energy+ ............................................. 700 14,569
Sierra Pacific Resources Co. ............................... 2,072 46,102
TECO Energy, Inc. .......................................... 500 10,563
Unicom Corp. ............................................... 700 25,856
UtiliCorp United, Inc. ..................................... 350 7,372
Western Resources, Inc. .................................... 300 6,413
Wisconsin Energy Corp. ..................................... 400 9,375
GAS & PIPELINE UTILITIES -- 3.3%
American Water Works, Inc. ................................. 200 5,788
Coastal Corp. .............................................. 500 20,469
Columbia Energy Group ...................................... 300 16,612
Consolidated Natural Gas Co. ............................... 300 18,712
Dynegy, Inc. ............................................... 7,600 157,225
Eastern Enterprises ........................................ 1,800 83,587
El Paso Energy Corp. ....................................... 400 15,925
KN Energy, Inc.+ ........................................... 300 6,731
Keyspan Corp. .............................................. 400 11,450
MCN Corp. .................................................. 200 3,438
MDU Resources Group, Inc. .................................. 2,000 45,000
National Fuel Gas Co. ...................................... 100 4,719
Nicor, Inc. ................................................ 100 3,719
Peoples Energy Corp. ....................................... 100 3,519
Questar Corp. .............................................. 200 3,625
Reliant Energy, Inc. ....................................... 800 21,650
Southwest Gas Corp. ........................................ 2,300 61,956
TELEPHONE -- 0.3%
ALLTEL Corp. ............................................... 67 4,715
AT&T Corp. - Liberty Media Group, Class A+ ................. 24 891
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
CenturyTel, Inc. ........................................... 450 $ 18,282
Telephone & Data Systems, Inc. ............................. 100 8,881
WinStar Communications, Inc.+ .............................. 100 3,906
-----------
1,949,996
-----------
TOTAL INVESTMENT SECURITIES (cost $14,586,573).............. 14,043,797
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.55% due 12/02/99 (cost
$19,843)................................................... $ 20,000 19,842
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.3%
- -----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.3%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $717,085 and collateralized by
$525,000 of U.S. Treasury Bonds, bearing interest at
11.75%, due 2/15/01 and $135,000 of U.S. Treasury Bonds,
bearing interest at 10.75%, due 5/15/03 and having an
approximate value of $735,333.............................. 717,000 717,000
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $207,030 and collateralized by
$145,000 of U.S. Treasury Bonds, bearing interest at
11.25%, due 2/15/15 and having an approximate value of
$213,490@ ................................................. 207,000 207,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $924,000)................. 924,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,530,416) 102.1% 14,987,639
Liabilities in excess of other
assets -- (2.1) (306,637)
----- -----------
NET ASSETS -- 100.0% $14,681,002
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBEEXPIRATION VALUE AT VALUE AS OF UNREALIZED
DESCRIPTION CONTRACTDATE TRADE DATE SEPTEMBER 30, 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500 Index December 1999 $134,665 $129,850 $(4,815)
=======
</TABLE>
See Notes to Financial Statements
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<PAGE>
- ------------------
SEASONS SERIES TRUST
SMALL CAP PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 90.7%
SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 9.3%
APPAREL & TEXTILES -- 2.1%
Albany International Corp., Class A+ ....................... 200 $ 3,025
Authentic Fitness Corp. .................................... 200 3,512
Burlington Industries, Inc.+ ............................... 500 2,219
Collins & Aikman Corp.+ .................................... 400 2,800
Delta & Pine Land Co. ...................................... 200 5,175
Donna Karan International, Inc.+ ........................... 200 1,700
G & K Services, Inc., Class A .............................. 500 20,250
Goody's Family Clothing, Inc.+ ............................. 200 1,613
Kellwood Co. ............................................... 200 4,400
Kenneth Cole Productions, Inc.+ ............................ 1,200 44,850
Nautica Enterprises, Inc.+ ................................. 300 4,837
North Face, Inc.+ .......................................... 100 594
Oakley, Inc.+ .............................................. 100 619
Oshkosh B Gosh, Inc. ....................................... 100 1,597
Phillips Van Heusen Corp. .................................. 200 1,775
Quiksilver, Inc.+ .......................................... 2,300 41,975
Reebok International Ltd.+ ................................. 200 2,138
Russell Corp. .............................................. 200 2,838
Skechers U.S.A., Inc., Class A ............................. 1,700 8,075
Stride Rite Corp. .......................................... 400 2,800
Tarrant Apparel Group, Inc.+ ............................... 1,500 16,875
Texas Industries, Inc. ..................................... 100 3,700
Timberland Co., Class A+ ................................... 1,800 70,312
Tropical Sportswear International Corp. .................... 800 14,900
Unifi, Inc.+ ............................................... 300 3,300
Vans, Inc. ................................................. 1,800 21,600
Wolverine World Wide, Inc. ................................. 300 3,412
AUTOMOTIVE -- 0.8%
Aftermarket Technology Corp.+ .............................. 200 2,100
Apogee Enterprises, Inc. ................................... 300 2,109
Arvin Industries, Inc. ..................................... 200 6,187
B.F. Goodrich Co. .......................................... 224 6,496
Bandag, Inc. ............................................... 100 3,200
Coachmen Industries, Inc. .................................. 100 1,538
CSK Auto Corp.+ ............................................ 100 2,181
Delco Remy International, Inc.+ ............................ 200 1,800
Detroit Diesel Corp. ....................................... 100 1,850
Discount Auto Parts, Inc.+ ................................. 100 1,613
Dollar Thrifty Automotive Group, Inc.+ ..................... 200 4,137
Donaldson Co., Inc. ........................................ 300 6,956
Dura Automotive Systems, Inc.+ ............................. 134 3,224
Federal Signal Corp. ....................................... 300 5,962
Fleetwood Enterprises, Inc. ................................ 200 4,038
Group 1 Automotive, Inc.+ .................................. 100 1,831
Hayes Lemmerz International, Inc.+ ......................... 100 2,325
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
Keystone Automotive Industries, Inc.+ ...................... 100 $ 1,094
Lithia Motors, Inc.+ ....................................... 100 2,294
Mark IV Industries, Inc. ................................... 200 3,950
Mascotech, Inc. ............................................ 300 4,856
Midas, Inc. ................................................ 100 2,063
Modine Manufacturing Co. ................................... 100 2,331
O'Reilly Automotive, Inc.+ ................................. 100 4,766
OEA, Inc. .................................................. 200 1,525
Pep Boys-Manny, Moe & Jack ................................. 300 4,462
Polaris Industries, Inc. ................................... 200 6,925
Skyline Corp. .............................................. 100 2,569
Stoneridge, Inc.+ .......................................... 100 1,738
Superior Industries International, Inc. .................... 100 2,800
Titan International, Inc. .................................. 200 2,050
Tower Automotive, Inc.+ .................................... 300 5,944
Winnebago Industries, Inc. ................................. 200 4,787
HOUSING -- 1.9%
Bassett Furniture Industries, Inc. ......................... 100 1,900
Champion Enterprises, Inc.+ ................................ 300 2,700
Comfort Systems USA, Inc.+ ................................. 300 3,525
Cost Plus, Inc.+ ........................................... 950 46,075
Crossmann Communities, Inc.+ ............................... 1,600 26,100
Ethan Allen Interiors, Inc. ................................ 200 6,362
Fairfield Communities, Inc.+ ............................... 300 3,281
Fedders USA, Inc. .......................................... 400 2,400
Foster Wheeler Corp. ....................................... 300 3,619
Furniture Brands International, Inc.+ ...................... 300 5,906
Genlyte Group, Inc.+ ....................................... 100 2,375
Griffon Corp.+ ............................................. 300 2,400
Group Maintenance America Corp.+ ........................... 100 1,250
Hughes Supply, Inc. ........................................ 100 2,175
Kaufman & Broad Home Corp. ................................. 300 6,187
La-Z-Boy, Inc. ............................................. 400 7,625
Lennar Corp. ............................................... 300 4,781
Libbey, Inc. ............................................... 100 2,956
Mikasa, Inc. ............................................... 100 1,175
National Presto Industries, Inc. ........................... 100 3,863
NCI Building Systems, Inc.+ ................................ 100 1,656
NVR, Inc.+ ................................................. 100 5,050
O'Sullivan Industries Holdings, Inc.+ ...................... 200 3,000
Oakwood Homes Corp. ........................................ 400 1,800
Oneida Ltd. ................................................ 100 2,381
Palm Harbor Homes, Inc.+ ................................... 100 1,375
Pittston Brink's Group ..................................... 200 4,638
Rayovac Corp.+ ............................................. 200 4,325
Regal-Beloit Corp. ......................................... 200 4,150
Regis Corp. ................................................ 150 2,888
Ryland Group, Inc. ......................................... 100 2,275
SLI, Inc.+ ................................................. 2,800 59,675
Springs Industries, Inc., Class A .......................... 100 3,394
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING (CONTINUED)
Standard Pacific Corp. ..................................... 200 $ 2,050
Toll Brothers, Inc.+ ....................................... 200 3,813
Toro Co. ................................................... 100 3,738
United States Home Corp.+ .................................. 100 2,781
Virco Manufacturing Co. .................................... 110 1,746
Webb (Del E.) Corp. ........................................ 200 4,400
RETAIL -- 4.5%
Abercrombie & Fitch Co.+ ................................... 1,600 54,500
Action Performance Cos., Inc.+ ............................. 100 2,106
American Business Products, Inc. ........................... 100 1,575
Ames Department Stores, Inc.+ .............................. 1,300 41,437
AnnTaylor Stores Corp.+ .................................... 100 4,087
Arctic Cat, Inc. ........................................... 100 956
barnesandnoble.com, Inc.+ .................................. 100 1,931
Beyond.com Corp.+ .......................................... 1,500 18,375
Bombay Co., Inc.+ .......................................... 400 2,025
Borders Group, Inc.+ ....................................... 400 5,875
Boyds Collection Ltd.+ ..................................... 400 4,900
Brown Shoe Co., Inc. ....................................... 200 3,662
Burlington Coat Factory Warehouse Corp. .................... 200 3,950
Casey's General Stores, Inc. ............................... 400 5,362
CDnow, Inc. ................................................ 100 1,244
Children's Place Retail Stores, Inc.+ ...................... 100 2,663
Duane Reade, Inc.+ ......................................... 100 3,013
Egghead.com, Inc.+ ......................................... 200 1,400
Enesco Group, Inc. ......................................... 200 3,075
Factory 2-U Stores, Inc.+ .................................. 100 2,988
Fair, Isaac & Co., Inc. .................................... 100 2,806
Footstar, Inc.+ ............................................ 100 3,525
Guitar Center, Inc.+ ....................................... 100 944
Gymboree Corp.+ ............................................ 200 1,375
Handleman Co.+ ............................................. 300 3,975
Haverty Furniture Co., Inc. ................................ 200 2,900
Heilig-Meyers Co. .......................................... 400 1,900
Hollywood Entertainment Corp.+ ............................. 200 3,000
Homebase, Inc.+ ............................................ 400 1,575
Ingles Markets, Inc. ....................................... 100 1,319
Jostens, Inc. .............................................. 200 3,825
Just For Feet, Inc.+ ....................................... 300 619
Mannatech, Inc.+ ........................................... 100 656
Men's Wearhouse, Inc.+ ..................................... 143 3,075
Michaels Stores, Inc.+ ..................................... 200 5,900
Movado Group, Inc. ......................................... 100 2,300
Musicland Stores, Inc.+ .................................... 300 2,625
OfficeMax, Inc.+ ........................................... 600 3,488
Pacific Sunwear of California+ ............................. 4,300 120,534
Petco Animal Supplies, Inc.+ ............................... 200 2,375
PetSmart, Inc.+ ............................................ 800 2,975
Pier 1 Imports, Inc. ....................................... 500 3,375
Racing Champions Corp.+ .................................... 100 569
</TABLE>
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<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Ruddick Corp. .............................................. 300 $ 4,762
Shoe Carnival, Inc.+ ....................................... 1,900 21,019
ShopKo Stores, Inc.+ ....................................... 200 5,800
Smart & Final, Inc. ........................................ 200 2,000
Spiegel, Inc., Class A+ .................................... 200 2,025
Stage Stores, Inc.+ ........................................ 4,000 24,750
Stamps.com, Inc. ........................................... 500 17,375
Stein Mart, Inc.+ .......................................... 300 2,138
Sunglass Hut International, Inc.+ .......................... 3,700 39,081
Talbots, Inc. .............................................. 1,300 58,419
Ticketmaster Online-Citysearch, Inc., Class B .............. 2,000 48,375
Topps Co., Inc.+ ........................................... 400 3,000
Tuesday Morning Corp. ...................................... 100 2,525
Value City Department Stores, Inc.+ ........................ 100 1,500
West Marine, Inc.+ ......................................... 100 800
Wet Seal, Inc., Class A+ ................................... 100 1,656
Wild Oats Markets, Inc.+ ................................... 1,000 39,500
-----------
1,269,866
-----------
CONSUMER STAPLES -- 1.8%
FOOD, BEVERAGE & TOBACCO -- 1.3%
Agribrands International, Inc.+ ............................ 100 4,962
American Italian Pasta Co., Class A+ ....................... 100 2,863
Beringer Wine Estates Holdings, Inc., Class B+ ............. 100 4,106
Canandaigua Brands, Inc., Class A+ ......................... 100 5,975
Chiquita Brands International, Inc. ........................ 400 2,375
Corn Products International, Inc. .......................... 200 6,087
Del Monte Foods Co.+ ....................................... 400 5,650
Dreyer's Grand Ice Cream, Inc. ............................. 200 3,475
EarthShell Corp.+ .......................................... 300 1,163
Fleming Cos., Inc. ......................................... 300 2,944
General Cigar Holdings, Inc., Class A+ ..................... 200 1,350
Great Atlantic & Pacific Tea Co., Inc. ..................... 200 6,062
Hain Food Group, Inc.+ ..................................... 100 2,475
Horizon Organic Holding Corp.+ ............................. 1,200 13,350
International Home Foods, Inc.+ ............................ 100 1,750
International Multifoods Corp. ............................. 100 2,300
Ionics, Inc.+ .............................................. 100 3,238
Lance, Inc. ................................................ 300 3,919
Michael Foods, Inc.+ ....................................... 200 5,256
Northland Cranberries, Inc. ................................ 1,600 10,450
Performance Food Group Co.+ ................................ 100 2,563
Pilgrim's Pride Corp., Class A ............................. 50 256
Pilgrim's Pride Corp., Class B ............................. 100 869
Ralcorp Holdings, Inc.+ .................................... 200 3,537
Riviana Foods, Inc. ........................................ 100 1,925
Schweitzer Mauduit International, Inc. ..................... 200 2,588
Smithfield Foods, Inc.+ .................................... 1,300 34,775
Smucker (J.M.) Co., Class A ................................ 200 4,225
Suiza Foods Corp. .......................................... 200 7,500
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COMMON STOCK (CONTINUED)
SHARES VALUE
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CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
SUPERVALU, Inc. ............................................ 2 $ 44
Triarc Companies, Inc., Class A+ ........................... 200 4,287
United Natural Foods, Inc.+ ................................ 900 7,903
United Water Resources, Inc. ............................... 100 3,262
Universal Corp. ............................................ 200 5,225
Universal Foods Corp. ...................................... 300 6,881
Vlasic Foods International, Inc.+ .......................... 200 1,388
Whole Foods Market, Inc.+ .................................. 100 3,272
HOUSEHOLD PRODUCTS -- 0.5%
Carter-Wallace, Inc. ....................................... 200 3,575
Central Garden & Pet Co.+ .................................. 100 763
Church & Dwight, Co., Inc. ................................. 200 5,000
CLARCOR, Inc. .............................................. 200 3,362
CSS Industries, Inc.+ ...................................... 100 2,300
Kimberly-Clark Corp. ....................................... 89 4,661
Nature's Sunshine Products, Inc. ........................... 100 947
Playtex Products, Inc.+ .................................... 100 1,475
Scott Technologies, Inc.+ .................................. 200 3,950
Tupperware Corp. ........................................... 300 6,075
Windmere-Durable Holdings, Inc.+ ........................... 200 2,412
Yankee Candle Co., Inc.+ ................................... 1,700 32,831
-----------
247,601
-----------
ENERGY -- 6.0%
ENERGY SERVICES -- 3.3%
Avista Corp. ............................................... 200 3,512
BJ Services Co.+ ........................................... 2,400 76,350
Friede Goldman International, Inc.+ ........................ 100 1,013
Global Marine, Inc.+ ....................................... 1,500 24,656
Grey Wolf, Inc.+ ........................................... 1,200 3,600
Hanover Compressor Co.+ .................................... 200 6,362
Jones Lang Lasalle, Inc.+ .................................. 200 3,225
Key Energy Services, Inc.+ ................................. 400 1,975
Marine Drilling Co., Inc. + ................................ 400 6,325
Maverick Tube Corp.+ ....................................... 200 3,325
Navigant Consulting Co.+ ................................... 1,400 64,925
Offshore Logistics, Inc.+ .................................. 2,300 23,719
Patterson Energy, Inc.+ .................................... 300 4,556
Pool Energy Services Co.+ .................................. 100 2,463
Precision Drilling Corp.+ .................................. 2,500 57,969
Pride International, Inc.+ ................................. 400 5,675
RPC, Inc. .................................................. 100 694
SEACOR SMIT, Inc. .......................................... 100 5,125
Transocean Offshore, Inc. .................................. 1,200 36,750
Tuboscope, Inc.+ ........................................... 200 2,488
Varco International, Inc.+ ................................. 300 3,656
Vintage Petroleum, Inc. .................................... 3,800 51,300
Weatherford International, Inc.+ ........................... 1,900 60,800
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SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SOURCES -- 2.7%
Arch Coal, Inc. ............................................ 200 $ 2,463
Atmos Energy Corp. ......................................... 200 4,825
Barrett Resources Corp.+ ................................... 200 7,387
Belco Oil & Gas Corp.+ ..................................... 100 675
Berry Petroleum Co. ........................................ 200 2,713
Cabot Oil & Gas Corp., Class A ............................. 100 1,725
Core Laboratories NV+ ...................................... 3,300 62,081
Cross Timbers Oil Co. ...................................... 300 4,050
Devon Energy Corp. ......................................... 89 3,688
Diamond Offshore Drilling, Inc. ............................ 1,000 33,375
EEX Corp.+ ................................................. 400 1,175
Equitable Resources, Inc. .................................. 200 7,562
Ethyl Corp. ................................................ 600 2,325
Evergreen Resources, Inc.+ ................................. 1,300 31,281
Forest Oil Corp.+ .......................................... 300 5,119
Harken Energy Corp.+ ....................................... 6,900 7,762
Helmerich & Payne, Inc. .................................... 300 7,594
Lone Star Technologies, Inc.+ .............................. 100 2,000
McMoran Exploration Co.+ ................................... 200 4,300
Meridian Resource Corp.+ ................................... 300 1,425
National-Oilwell, Inc.+ .................................... 200 3,288
Newfield Exploration Co.+ .................................. 200 6,587
Pennzoil Quaker State Co. .................................. 400 5,050
Plains Resources, Inc.+ .................................... 200 3,575
Pogo Producing Co. ......................................... 300 6,225
Semco Energy, Inc. ......................................... 200 2,788
Smith International, Inc.+ ................................. 1,700 68,850
Stone Energy Corp.+ ........................................ 1,300 66,137
Tesoro Petroleum Corp.+ .................................... 300 4,950
Tom Brown, Inc.+ ........................................... 200 2,950
Valero Energy Corp. ........................................ 200 3,850
-----------
818,238
-----------
FINANCE -- 6.1%
BANKS -- 2.8%
1St Source Corp. ........................................... 100 2,400
AMCORE Financial, Inc. ..................................... 200 4,125
Anchor Bancorp Wisconsin, Inc. ............................. 100 1,625
Area Bancshares Corp. ...................................... 100 2,881
BancFirst Ohio Corp. ....................................... 100 2,150
BancorpSouth, Inc. ......................................... 400 6,775
BancWest Corp. ............................................. 100 4,062
Bank United Corp., Class A ................................. 100 3,237
BankAtlantic Bancorp, Inc., Class A ........................ 30 167
BankAtlantic Bancorp, Inc., Class B ........................ 200 1,269
Banknorth Group, Inc. ...................................... 100 2,988
Bay View Capital Corp. ..................................... 200 2,650
Brookline Bancorp, Inc. .................................... 100 1,019
BT Financial Corp. ......................................... 100 2,413
Capitol Federal Financial .................................. 500 4,984
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SHARES VALUE
- ------------------------------------------------------------------------------------------
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FINANCE (CONTINUED)
BANKS (CONTINUED)
Centennial Bancorp+ ........................................ 210 $ 2,441
Century South Banks, Inc. .................................. 100 2,300
CFS Bancorp, Inc. .......................................... 300 3,131
Chemical Financial Corp. ................................... 100 3,394
Citizens Banking Corp. ..................................... 200 5,225
City Holding Co. ........................................... 100 1,925
Commerce Bancorp, Inc. ..................................... 200 8,300
Commonwealth Bancorp, Inc. ................................. 100 1,706
Community First Bankshares, Inc. ........................... 200 3,375
Community Trust Bancorp, Inc. .............................. 110 2,386
CVB Financial Corp. ........................................ 100 2,650
Dime Community Bancorp, Inc.+ .............................. 100 2,075
F & M Bancorp, Inc. ........................................ 100 3,475
F & M National Corp. ....................................... 206 5,356
First Bancorp Puerto Rico .................................. 100 1,975
First Charter Corp. ........................................ 200 3,500
First Commonwealth Financial Corp. ......................... 200 5,100
First Financial Bancorp .................................... 200 4,700
First Indiana Corp. ........................................ 100 2,100
First Liberty Financial Corp. .............................. 100 2,825
First Midwest Bancorp, Inc. ................................ 200 7,637
First Republic Bank+ ....................................... 100 2,650
First United Bancshares, Inc. .............................. 200 3,550
First Washington Bancorp, Inc. ............................. 200 3,500
FirstFed Financial Corp.+ .................................. 200 3,475
Frontier Financial Corp.+ .................................. 200 5,050
GBC Bancorp ................................................ 85 1,647
Greater Bay Bancorp ........................................ 100 3,387
Hamilton Bancorp, Inc.+ .................................... 100 2,125
Hancock Holding Co. ........................................ 100 4,000
Imperial Bancorp+ .......................................... 208 4,420
Independence Community Bank Corp. .......................... 500 5,969
Independent Bank Corp. ..................................... 100 1,306
Independent Energy Holdings PLC+ ........................... 1,400 26,862
International Bancshares Corp. ............................. 125 5,594
Interwest Bancorp, Inc. .................................... 100 2,075
Long Beach Financial Corp.+ ................................ 200 3,175
MAF Bancorp, Inc. .......................................... 200 3,975
Midwest Banc Holdings, Inc. ................................ 100 1,638
Mississippi Valley Bankshares, Inc. ........................ 100 3,156
National Bancorp of Alaska, Inc. ........................... 100 2,563
National City Bancshares, Inc. ............................. 100 3,050
National Penn Bancshares, Inc. ............................. 200 5,500
NBT Bancorp, Inc. .......................................... 100 1,731
Netbank, Inc.+ ............................................. 1,000 22,125
Northwest Bancorp, Inc. .................................... 300 2,588
One Valley Bancorp West Virginia, Inc. ..................... 300 10,350
Oriental Financial Group, Inc. ............................. 100 2,300
PFF Bancorp, Inc. .......................................... 200 4,125
Premier Bancshares, Inc. ................................... 200 3,500
Provident Bankshares Corp. ................................. 210 4,469
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SHARES VALUE
- ------------------------------------------------------------------------------------------
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FINANCE (CONTINUED)
BANKS (CONTINUED)
Queens County Bancorp, Inc. ................................ 200 $ 5,525
Republic Bancorp, Inc. ..................................... 200 2,313
Republic Bancshares, Inc.+ ................................. 100 1,450
Republic Security Financial Corp. .......................... 400 3,475
Resource Bancshares Mortgage Group, Inc. ................... 300 1,491
Riggs National Corp. ....................................... 100 1,688
S & T Bancorp, Inc. ........................................ 100 2,275
Silicon Valley Bancshares, Inc.+ ........................... 100 2,413
Sky Financial Group, Inc. .................................. 421 9,893
Southwest Bancorp of Texas, Inc.+ .......................... 200 3,487
St. Paul Bancorp, Inc. ..................................... 200 4,575
Staten Island Bancorp, Inc. ................................ 400 7,525
Susquehanna Bancshares, Inc. ............................... 200 3,450
Telebanc Financial Corp.+ .................................. 200 4,600
Texas Regional Bancshares, Inc., Class A ................... 100 2,475
The Trust Co. of New Jersey ................................ 200 4,600
Triangle Bancorp, Inc. ..................................... 300 5,550
TrustCo. Bank Corp. ........................................ 200 5,906
U.S.B. Holding Co., Inc. ................................... 100 1,675
United Bankshares, Inc. .................................... 300 7,294
Washington Federal, Inc. ................................... 300 6,956
WesBanco, Inc. ............................................. 200 5,100
West Coast Bancorp ......................................... 200 2,950
Westcorp, Inc. ............................................. 200 2,988
Western Bancorp ............................................ 200 7,725
Westernbank Puerto Rico .................................... 300 3,637
Whitney Holding Corp. ...................................... 100 3,437
FINANCIAL SERVICES -- 2.0%
Advanta Corp. .............................................. 200 2,925
Advest Group, Inc. ......................................... 100 1,825
Affiliated Managers Group, Inc.+ ........................... 100 2,725
Alfa Corp. ................................................. 200 3,250
Allied Capital Corp. ....................................... 300 6,731
AmeriCredit Corp.+ ......................................... 400 5,975
Arcadia Financial Ltd.+ .................................... 300 1,294
Carolina First Corp. ....................................... 100 1,981
Cash America International, Inc. ........................... 300 2,831
Cathay Bancorp, Inc. ....................................... 100 3,569
Century Business Services, Inc.+ ........................... 400 4,650
Charles River Associates, Inc.+ ............................ 100 2,787
Charter Municipal Mortgage Acceptance Co. .................. 100 1,306
Chicago Title Corp. ........................................ 100 3,994
Chittenden Corp. ........................................... 207 5,899
Conning Corp. .............................................. 100 1,150
ContiFinancial Corp.+ ...................................... 200 213
Credit Acceptance Corp.+ ................................... 300 1,800
Dain Rauscher Corp. ........................................ 100 4,900
Doral Financial Corp. ...................................... 100 1,338
Eaton Vance Corp. .......................................... 200 6,400
Enhance Financial Services Group, Inc. ..................... 100 1,769
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
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FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
EVEREN Capital Corp. ....................................... 100 $ 2,950
Federal Agricultural Mortgage Corp.+ ....................... 400 7,975
Financial Federal Corp.+ ................................... 100 1,888
FiNet.com, Inc.+ ........................................... 400 1,213
First Financial Holdings, Inc. ............................. 200 3,462
First Sentinel Bancorp, Inc. ............................... 400 3,125
First Sierra Financial, Inc.+ .............................. 100 1,069
Franchise Mortgage Acceptance Co.+ ......................... 200 1,425
Franklin Covey Co.+ ........................................ 300 2,306
Freedom Securities Corp.+ .................................. 200 2,700
Friedman, Billings, Ramsey Group, Inc.+ .................... 200 1,388
Grand Premier Financial, Inc. .............................. 100 1,538
Hambrecht & Quist Group+ ................................... 200 9,787
Heller Financial, Inc. ..................................... 18 405
Hudson United Bancorp ...................................... 300 9,244
Imperial Credit Industries, Inc.+ .......................... 200 875
IndyMac Mortgage Holdings, Inc. ............................ 500 7,500
Insignia Financial Group, Inc.+ ............................ 100 875
Investors Financial Services Corp. ......................... 100 3,437
Jeffries Group, Inc. ....................................... 200 4,175
LandAmerica Financial Group, Inc. .......................... 100 1,975
Leucadia National Corp. .................................... 200 4,200
M.D.C. Holdings, Inc. ...................................... 100 1,619
Medallion Financial Corp. .................................. 100 2,025
Metris Cos., Inc. .......................................... 200 5,887
Mid-State Bancshares ....................................... 100 3,062
Morgan Keegan, Inc. ........................................ 100 1,706
Morgan Stanley, Dean Witter & Co. .......................... 400 35,675
National Discount Brokers Group+ ........................... 100 2,644
New Century Financial Corp.+ ............................... 100 1,763
Pacific Capital Bancorp .................................... 100 3,444
Phoenix Investment Partners Ltd. ........................... 400 3,350
Pioneer Group, Inc. ........................................ 200 3,000
PMA Capital Corp. .......................................... 200 4,000
Pulte Corp. ................................................ 200 4,350
Raymond James Financial, Inc. .............................. 200 3,987
Resource America, Inc. ..................................... 200 1,488
Richmond County Financial Corp. ............................ 100 1,881
Seacoast Financial Services Corp. .......................... 400 4,000
Security Capital Group, Inc., Class B+ ..................... 300 4,406
Shoreline Financial Corp. .................................. 125 2,586
StanCorp. Financial Group, Inc. ............................ 100 2,238
Sterling Bancshares, Inc. .................................. 300 3,431
UMB Financial Corp. ........................................ 100 4,175
UniCapital Corp.+ .......................................... 400 1,275
Unistar Financial Service Corp.+ ........................... 100 2,763
United Asset Management Corp. .............................. 200 3,850
United Community Financial Corp. ........................... 100 1,381
United National Bancorp .................................... 200 4,650
UST Corp. .................................................. 300 9,225
Webster Financial Corp. .................................... 300 7,650
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SHARES VALUE
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FINANCE (CONTINUED)
INSURANCE -- 1.3%
Acceptance Insurance Cos., Inc.+ ........................... 100 $ 1,275
American Heritage Life Investment Corp. .................... 100 3,175
AmerUs Life Holdings, Inc., Class A ........................ 100 2,119
Argonaut Group, Inc. ....................................... 100 2,513
ARM Financial Group, Inc. .................................. 200 19
Arthur J. Gallagher & Co. .................................. 100 5,325
Brown & Brown, Inc. ........................................ 100 3,325
Capital Re Corp. ........................................... 200 2,000
ChoicePoint, Inc.+ ......................................... 100 6,737
Chubb Corp. ................................................ 123 6,127
CNA Surety Corp. ........................................... 200 2,625
Commerce Group, Inc. ....................................... 100 2,300
Crawford & Co., Class B .................................... 300 4,294
Delphi Financial Group, Inc.+ .............................. 100 3,019
E.W. Blanch Holdings, Inc. ................................. 100 6,512
FBL Financial Group, Inc. .................................. 200 4,125
Fidelity National Financial, Inc. .......................... 200 3,038
First American Financial Corp. ............................. 300 4,013
Foremost Corp. of America .................................. 100 2,400
FPIC Insurance Group, Inc.+ ................................ 100 1,506
Frontier Insurance Group, Inc. ............................. 200 1,750
Guarantee Life Cos., Inc. .................................. 100 3,056
HCC Insurance Holdings, Inc. ............................... 300 5,044
Hilb, Rogal & Hamilton Co. ................................. 200 5,012
Horace Mann Educators Corp. ................................ 200 5,162
Irwin Financial Corp. ...................................... 100 2,006
Liberty Corp. .............................................. 100 4,638
Liberty Financial Cos., Inc. ............................... 200 4,388
Life USA Holdings, Inc. .................................... 200 4,125
Medical Assurance, Inc.+ ................................... 200 5,012
MMI Cos., Inc. ............................................. 200 2,188
MONY Group, Inc. ........................................... 300 8,662
Ohio Casualty Corp. ........................................ 400 6,750
Orion Capital Corp. ........................................ 100 4,737
PICO Holdings, Inc.+ ....................................... 100 2,144
Presidential Life Corp. .................................... 200 3,425
Professionals Group, Inc.+ ................................. 100 2,500
PXRE Group Ltd. ............................................ 100 1,456
Radian Group, Inc. ......................................... 206 8,845
Reliance Group Holdings, Inc. .............................. 600 2,663
SCPIE Holdings, Inc. ....................................... 100 3,150
Selective Insurance Group, Inc. ............................ 300 5,662
Superior National Insurance Group, Inc.+ ................... 200 2,813
UICI+ ...................................................... 200 5,112
W.R. Berkley Corp. ......................................... 200 4,600
-----------
828,311
-----------
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SHARES VALUE
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HEALTHCARE -- 9.7%
DRUGS -- 2.9%
ALARIS Medical, Inc.+ ...................................... 100 $ 300
Algos Pharmaceutical Corp.+ ................................ 100 850
Alkermes, Inc.+ ............................................ 2,100 60,506
Alpharma, Inc., Class A .................................... 100 3,531
AmeriSource Health Corp., Class A+ ......................... 200 4,737
Barr Laboratories, Inc.+ ................................... 100 3,175
Bindley Western Industries, Inc. ........................... 266 3,807
Bio-Technology General Corp.+ .............................. 300 2,878
Caremark Rx, Inc.+ ......................................... 1,100 6,187
Centocor, Inc.+ ............................................ 500 29,281
Cephalon, Inc.+ ............................................ 2,700 48,516
COR Therapeutics, Inc.+ .................................... 200 3,800
Coulter Pharmaceutical, Inc.+ .............................. 200 2,788
Dura Pharmaceuticals, Inc.+ ................................ 300 4,181
Enzo Biochem, Inc.+ ........................................ 200 5,675
GelTex Pharmaceuticals, Inc.+ .............................. 100 1,113
Gilead Sciences, Inc.+ ..................................... 275 17,652
Human Genome Sciences, Inc.+ ............................... 200 14,750
ICOS Corp.+ ................................................ 700 20,650
IDEC Pharmaceuticals Corp.+ ................................ 100 9,403
Imclone Systems, Inc.+ ..................................... 200 6,650
Incyte Pharmacuticals, Inc.+ ............................... 100 2,313
Isis Pharmaceuticals, Inc.+ ................................ 200 2,238
Jones Pharma, Inc. ......................................... 150 4,945
King Pharmaceuticals, Inc.+ ................................ 100 3,500
Ligand Pharmaceuticals, Inc.+ .............................. 300 2,288
Liposome, Inc.+ ............................................ 200 1,522
Macrochem Corp.+ ........................................... 200 1,200
Medicis Pharmaceutical Corp., Class A+ ..................... 150 4,275
Millenium Pharmaceuticals, Inc.+ ........................... 800 52,000
NBTY, Inc.+ ................................................ 300 2,288
Neurogen Corp.+ ............................................ 100 1,663
Organogenesis, Inc.+ ....................................... 200 1,488
Owens & Minor, Inc. ........................................ 300 2,887
PAREXEL International Corp. + .............................. 200 1,825
PathoGenesis Corp.+ ........................................ 200 3,075
Perrigo Co.+ ............................................... 300 2,363
Pharmaceutical Product Development, Inc.+ .................. 100 1,356
Protein Design Labs, Inc.+ ................................. 200 7,225
Regeneron Pharmaceuticals, Inc.+ ........................... 100 813
ResMed, Inc.+ .............................................. 100 3,312
Roberts Pharmaceutical Corp.+ .............................. 200 6,050
Serologicals Corp.+ ........................................ 200 850
SICOR, Inc.+ ............................................... 700 2,778
SuperGen, Inc. ............................................. 200 4,587
Syncor International Corp. ................................. 100 3,750
Transkaryotic Therapies, Inc.+ ............................. 100 5,137
Triangle Pharmaceuticals, Inc. ............................. 200 3,850
Twinlab Corp.+ ............................................. 1,500 13,312
US Bioscience, Inc.+ ....................................... 300 4,275
Vertex Pharmaceuticals, Inc.+ .............................. 100 3,106
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COMMON STOCK (CONTINUED)
SHARES VALUE
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HEALTHCARE (CONTINUED)
HEALTH SERVICES -- 3.8%
Advance Paradigm, Inc.+ .................................... 100 $ 5,475
Alterra Healthcare Corp.+ .................................. 100 888
AmeriPath, Inc.+ ........................................... 100 838
Anesta Corp.+ .............................................. 100 919
Apria Healthcare Group, Inc.+ .............................. 500 8,375
Bally Total Fitness Holding Corp.+ ......................... 2,300 70,294
Beverly Enterprises, Inc.+ ................................. 500 2,125
Capital Senior Living Corp.+ ............................... 100 756
CareMatrix Corp.+ .......................................... 2,400 12,450
Cerner Corp.+ .............................................. 200 3,050
ChiRex, Inc.+ .............................................. 100 2,581
Covance, Inc.+ ............................................. 300 2,906
Coventry Health Care, Inc.+ ................................ 400 3,800
Dendrite International, Inc.+ .............................. 700 33,075
Diagnostic Products Corp. .................................. 100 2,681
Eclipsys Corp. ............................................. 100 1,438
Express Scripts, Inc., Class A+ ............................ 500 39,125
First Health Group Corp.+ .................................. 300 6,731
Hanger Orthopedic Group, Inc.+ ............................. 2,900 42,050
Healthcare Services Group, Inc.+ ........................... 2,000 16,312
Henry Schein, Inc.+ ........................................ 100 1,425
IDEXX Laboratories, Inc.+ .................................. 200 3,444
IDX Systems Corp.+ ......................................... 100 1,813
Integrated Health Services, Inc.+ .......................... 400 625
Invacare Corp. ............................................. 200 3,912
Lifepoint Hospitals, Inc.+ ................................. 300 2,606
Magellan Health Services, Inc.+ ............................ 300 2,194
Matria Healthcare, Inc.+ ................................... 3,500 20,562
Mid Atlantic Medical Services, Inc.+ ....................... 400 3,575
Nielsen Media Research, Inc.+ .............................. 2,400 89,250
Orthodontic Centers of America, Inc.+ ...................... 300 5,250
Patterson Dental Co.+ ...................................... 200 9,912
Pediatrix Medical Group, Inc.+ ............................. 100 1,388
PhyCor, Inc.+ .............................................. 300 1,313
Priority Healthcare Corp., Class B+ ........................ 50 1,544
Proxymed Pharmacy, Inc.+ ................................... 200 2,513
Quest Diagnostics, Inc.+ ................................... 200 5,200
Quorum Health Group, Inc.+ ................................. 400 2,812
Renal Care Group, Inc.+ .................................... 300 6,572
Res-Care, Inc.+ ............................................ 200 3,400
Sierra Health Services, Inc.+ .............................. 300 3,037
Sun Healthcare Group, Inc.+ ................................ 700 168
Sunrise Assisted Living, Inc. .............................. 2,100 55,781
Total Renal Care Holdings, Inc.+ ........................... 400 2,975
Triad Hospitals, Inc. ...................................... 300 3,037
United Payors & United Providers, Inc.+ .................... 200 3,525
US Oncology, Inc.+ ......................................... 2,400 21,750
Veterinary Centers of America, Inc.+ ....................... 100 1,144
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COMMON STOCK (CONTINUED)
SHARES VALUE
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HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 3.0%
Acuson Corp.+ .............................................. 200 $ 2,550
Affymetrix, Inc.+ .......................................... 500 49,219
Airgas, Inc.+ .............................................. 500 5,812
Arrow International, Inc. .................................. 800 20,450
ATS Medical, Inc.+ ......................................... 2,600 25,837
Biomatrix, Inc.+ ........................................... 100 2,244
Block Drug Co., Inc. ....................................... 100 3,594
BriteSmile, Inc.+ .......................................... 100 969
Coherent, Inc.+ ............................................ 500 11,156
CONMED Corp.+ .............................................. 100 2,450
Cooper Cos., Inc. .......................................... 100 3,087
Cyberonics, Inc.+ .......................................... 100 1,788
Cytyc Corp.+ ............................................... 200 7,737
Datascope Corp.+ ........................................... 100 3,512
Dionex Corp.+ .............................................. 400 17,100
Eclipse Surgical Technologies, Inc.+ ....................... 200 3,300
EG & G, Inc. ............................................... 200 7,962
EntreMed, Inc.+ ............................................ 100 2,163
Enzon, Inc.+ ............................................... 200 6,100
Genzyme Corp.+ ............................................. 500 22,531
Gliatech, Inc.+ ............................................ 100 1,713
Haemonetics Corp. + ........................................ 200 3,937
Herbalife International, Inc., Class A ..................... 100 1,525
Inhale Therapeutic Systems, Inc.+ .......................... 100 3,037
Lam Research Corp.+ ........................................ 200 12,200
Landauer, Inc. ............................................. 100 2,512
LaserSight, Inc.+ .......................................... 200 2,725
Mentor Corp. ............................................... 200 5,700
Molecular Devices Corp.+ ................................... 100 2,750
Myriad Genetics, Inc.+ ..................................... 1,500 25,500
Novoste Corp.+ ............................................. 100 1,784
Ocular Sciences, Inc.+ ..................................... 200 3,875
OnHealth Network Co.+ ...................................... 200 1,250
Orthofix International NV+ ................................. 800 10,900
Osteotech, Inc.+ ........................................... 100 1,363
PE Corp.-Celera Genomics Group ............................. 100 4,025
Perclose, Inc.+ ............................................ 100 4,656
PSS World Med, Inc.+ ....................................... 500 4,469
QLT PhotoTherapeutics, Inc.+ ............................... 600 45,862
Respironics, Inc.+ ......................................... 200 1,650
Rexall Sundown, Inc.+ ...................................... 300 3,694
Sabratek Corp.+ ............................................ 100 281
Safeskin Corp.+ ............................................ 200 1,644
SangStat Medical Corp.+ .................................... 100 2,138
Sola International, Inc.+ .................................. 200 3,100
STERIS Corp. ............................................... 400 5,500
Summit Technology, Inc.+ ................................... 300 5,494
Sunrise Technologies International, Inc. ................... 300 1,416
Techne Corp.+ .............................................. 100 3,137
Theragenics Corp.+ ......................................... 2,200 28,050
Thermo Cardiosystems, Inc.+ ................................ 100 713
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COMMON STOCK (CONTINUED)
SHARES VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Thermo Optek Corp.+ ........................................ 100 $ 844
Trex Medical Corp.+ ........................................ 200 825
Varian Medical Systems, Inc. ............................... 200 4,375
Vital Signs, Inc. .......................................... 100 2,038
Wesley Jessen VisionCare, Inc.+ ............................ 100 3,119
-----------
1,324,659
-----------
INDUSTRIAL & COMMERCIAL -- 13.5%
AEROSPACE & MILITARY TECHNOLOGY -- 1.1%
AAR Corp. .................................................. 100 1,800
BE Aerospace, Inc.+ ........................................ 200 2,388
Fairchild Corp., Class A + ................................. 157 1,609
GenCorp, Inc. .............................................. 200 3,663
Harsco Corp. ............................................... 200 5,525
Heico Corp., Class A ....................................... 2,400 46,200
Kaman Corp. ................................................ 200 2,550
Kellstrom Industries, Inc.+ ................................ 100 978
Orbital Sciences Corp.+ .................................... 3,800 66,500
REMEC, Inc.+ ............................................... 200 2,750
Sturm, Ruger & Co., Inc. ................................... 300 2,700
Sunbeam Corp.+ ............................................. 400 2,275
Titan Corp. ................................................ 300 4,312
BUSINESS SERVICES -- 7.6%
Aaron Rents, Inc. .......................................... 200 3,450
Abacus Direct Corp.+ ....................................... 100 12,187
ABM Industries, Inc. ....................................... 100 2,538
ADVO, Inc.+ ................................................ 200 3,987
Aegis Communications Group, Inc.+ .......................... 5,500 2,805
AHL Services, Inc.+ ........................................ 100 2,606
Albany Molecular Research, Inc.+ ........................... 600 15,075
Amdocs Ltd.+ ............................................... 700 14,700
AMERCO+ .................................................... 100 2,856
Analysts International Corp. ............................... 200 2,075
Armor Holdings, Inc.+ ...................................... 3,200 34,800
Aviall, Inc.+ .............................................. 200 2,050
Aviation Sales Co.+ ........................................ 100 1,900
Aviron+ .................................................... 100 2,425
Avis Rent A Car, Inc.+ ..................................... 100 2,088
Banta Corp. ................................................ 100 2,231
Billing Concepts Corp.+ .................................... 300 1,500
Bowne & Co., Inc. .......................................... 300 3,619
Brady Corp., Class A ....................................... 100 3,200
Budget Group, Inc., Class A+ ............................... 200 1,413
Building One Services Corp.+ ............................... 81 987
Burns International Services Corp.+ ........................ 100 1,613
Butler International, Inc.+ ................................ 1,300 11,375
Catalytica, Inc.+ .......................................... 300 4,500
CDI Corp.+ ................................................. 100 2,731
Central Parking Corp. ...................................... 100 2,925
Coinstar, Inc.+ ............................................ 100 994
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Complete Business Solutions, Inc.+ ......................... 100 $ 1,369
Copart, Inc.+ .............................................. 100 1,844
Cornell Corrections, Inc.+ ................................. 1,600 26,200
Corporate Express, Inc.+ ................................... 700 6,584
D.R. Horton, Inc. .......................................... 300 3,881
Dal-Tile International, Inc.+ .............................. 300 2,381
Diamond Technology Partners, Inc., Class A+ ................ 500 22,437
DSET Corp.+ ................................................ 2,100 30,844
Education Management Corp.+ ................................ 200 2,475
Electro Rent Corp.+ ........................................ 100 1,250
F.Y.I., Inc. + ............................................. 100 3,369
First Consulting Group, Inc.+ .............................. 100 1,000
Fisher Scientific International, Inc.+ ..................... 200 4,300
Getty Images, Inc.+ ........................................ 200 4,825
Giant Cement Holding, Inc.+ ................................ 100 2,294
Global Industries Ltd.+ .................................... 1,100 8,937
HA-LO Industries, Inc.+ .................................... 350 2,188
Hooper Holmes, Inc. ........................................ 2,700 69,187
HSB Group, Inc. ............................................ 200 7,037
Hypercom Corp.+ ............................................ 100 800
IMCO Recycling, Inc. ....................................... 200 3,000
InaCom Corp.+ .............................................. 328 3,014
Insituform Technologies, Inc.+ ............................. 200 5,000
Intergraph Corp.+ .......................................... 300 1,688
Interim Services, Inc.+ .................................... 390 6,386
Invitrogen Corp.+ .......................................... 300 10,087
Iron Mountain, Inc.+ ....................................... 1,500 50,812
IT Group, Inc.+ ............................................ 200 1,913
ITT Educational Services, Inc.+ ............................ 200 3,900
Jacobs Engineering Group, Inc.+ ............................ 100 3,250
Kelly Services, Inc. ....................................... 100 3,013
Korn/Ferry International+ .................................. 200 4,612
Kroll O'Gara Co. ........................................... 6,300 105,131
Labor Ready, Inc.+ ......................................... 1,650 16,603
Learning Tree International, Inc.+ ......................... 100 1,656
M A R C, Inc. .............................................. 1,100 15,537
Maximus, Inc.+ ............................................. 100 2,994
Maxxim Medical, Inc.+ ...................................... 1,500 35,906
McGrath Rent Corp. ......................................... 1,300 23,400
Medquist, Inc.+ ............................................ 200 6,687
Memberworks, Inc.+ ......................................... 100 3,338
Merrill Corp. .............................................. 200 3,987
Metamor Worldwide, Inc.+ ................................... 200 3,550
Mobile Mini, Inc.+ ......................................... 1,700 37,187
Navarre Corp.+ ............................................. 100 969
New England Business Service, Inc. ......................... 200 5,712
Newpark Resources, Inc.+ ................................... 400 3,100
NFO Worldwide, Inc.+ ....................................... 2,000 25,500
Nichols Research Corp.+ .................................... 100 2,663
Oceaneering International, Inc.+ ........................... 200 3,363
Olsten Corp. ............................................... 400 4,175
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Open Market, Inc.+ ......................................... 200 $ 2,625
Paxar Corp.+ ............................................... 400 3,850
Pegasus Systems, Inc.+ ..................................... 1,200 45,000
Personnel Group of America, Inc.+ .......................... 300 1,875
Pierce Leahy Corp.+ ........................................ 100 2,375
Pre-Paid Legal Services, Inc.+ ............................. 100 3,938
Profit Recovery Group International, Inc.+ ................. 150 6,694
Quanta Services, Inc.+ ..................................... 100 2,931
R. H. Donnelley Corp. ...................................... 100 1,863
RCM Technologies, Inc.+ .................................... 2,200 23,650
Rent-A-Center, Inc.+ ....................................... 100 1,863
Rent-Way, Inc.+ ............................................ 100 1,900
Romac International, Inc.+ ................................. 300 2,484
Seitel, Inc.+ .............................................. 2,100 20,475
Sensormatic Electronics Corp.+ ............................. 400 5,075
Service Experts, Inc.+ ..................................... 200 2,075
Source Information Management Co. .......................... 100 1,419
Specialty Equipment Cos., Inc.+ ............................ 100 2,525
Staff Leasing, Inc. ........................................ 100 1,000
StaffMark, Inc.+ ........................................... 300 2,381
Stericycle, Inc. ........................................... 200 2,938
Technology Solutions Co.+ .................................. 400 5,650
TeleTech Holdings, Inc.+ ................................... 3,900 55,575
Tetra Tech, Inc.+ .......................................... 250 4,172
Timken Co. ................................................. 300 4,837
Tredegar Corp. ............................................. 200 4,275
Trinity Industries, Inc. ................................... 300 9,262
Triumph Group, Inc.+ ....................................... 100 2,656
Ultratech Stepper, Inc.+ ................................... 200 2,550
UniFirst Corp. ............................................. 100 1,375
United States Office Products Co.+ ......................... 400 1,400
UNOVA, Inc.+ ............................................... 200 2,675
URS Corp.+ ................................................. 100 2,450
US Liquids, Inc. ........................................... 900 6,300
USEC, Inc. ................................................. 500 5,125
UTI Energy Corp.+ .......................................... 100 1,944
Varian, Inc. ............................................... 100 1,775
Veritas DGC, Inc.+ ......................................... 200 3,850
VerticalNet, Inc.+ ......................................... 200 7,400
Wabash National Corp. ...................................... 200 4,062
Wackenhut Corp., Class A ................................... 100 1,975
Waste Connections, Inc.+ ................................... 100 2,056
Watts Industries, Inc., Class A ............................ 200 4,350
WD-40 Co. .................................................. 100 2,341
Wellman, Inc. .............................................. 200 3,613
WESCO International, Inc.+ ................................. 100 1,413
World Access, Inc.+ ........................................ 200 2,238
World Color Press, Inc.+ ................................... 200 7,450
CONSUMER PRODUCTS -- 0.0%
Forest City Enterprises, Inc., Class A ..................... 100 2,231
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SHARES VALUE
- ------------------------------------------------------------------------------------------
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INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 1.5%
AGCO Corp. ................................................. 300 $ 3,900
C&D Technologies, Inc. ..................................... 100 3,631
C-Cube Microsystems, Inc.+ ................................. 200 8,700
Cohu, Inc. ................................................. 200 4,225
Credence Systems Corp.+ .................................... 200 8,975
Etec Systems, Inc.+ ........................................ 100 3,762
GenRad, Inc.+ .............................................. 200 3,825
Hadco Corp.+ ............................................... 100 4,325
Harnischfeger Industries, Inc. ............................. 600 600
Hussmann International, Inc. ............................... 300 5,100
In Focus Systems, Inc.+ .................................... 1,300 21,775
Integrated Device Technology, Inc.+ ........................ 500 9,250
Juno Lighting, Inc.+ ....................................... 11 131
Kemet Corp.+ ............................................... 300 9,591
LeCroy Corp.+ .............................................. 1,400 25,200
Littelfuse, Inc.+ .......................................... 100 2,225
Oak Industries, Inc.+ ...................................... 100 3,400
Roper Industries, Inc. ..................................... 200 7,650
Smith A O Corp. ............................................ 200 6,050
Technitrol, Inc. ........................................... 1,400 49,350
Tennant Co. ................................................ 100 3,387
Thermedics, Inc.+ .......................................... 200 1,488
ThermoQuest Corp. .......................................... 100 1,013
Trimble Navigation Ltd.+ ................................... 200 2,138
UCAR International, Inc.+ .................................. 300 6,844
Watsco, Inc. ............................................... 200 2,275
Westinghouse Air Brake Co. ................................. 200 3,637
MACHINERY -- 1.6%
Advanced Energy Industries, Inc.+ .......................... 100 3,087
Applied Power, Inc., Class A ............................... 300 9,112
AptarGroup, Inc. ........................................... 200 5,350
Astec Industries, Inc.+ .................................... 100 2,413
Blount International, Inc.+ ................................ 7 95
Chart Industries, Inc. ..................................... 100 494
CMI Corp., Class A ......................................... 200 1,400
Cognex Corp.+ .............................................. 200 6,037
Columbus McKinnon Corp. .................................... 100 1,725
Commercial Intertech Corp. ................................. 200 2,413
CUNO, Inc.+ ................................................ 200 3,975
Flow International Corp.+ .................................. 1,600 16,600
Flowserve Corp. ............................................ 200 3,325
FSI International, Inc.+ ................................... 200 1,650
Furon Co. .................................................. 200 4,987
Gardner Denver, Inc.+ ...................................... 200 3,025
Gerber Scientific, Inc. .................................... 100 2,238
Graco, Inc. ................................................ 100 3,281
Helix Technology Corp. ..................................... 200 6,650
Idex Corp. ................................................. 200 5,662
JLG Industries, Inc. ....................................... 1,100 16,706
Kaydon Corp. ............................................... 200 4,975
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
L.S. Starrett Co., Class A ................................. 100 $ 2,487
Lawson Products, Inc. ...................................... 100 2,163
Lincoln Electric Holdings, Inc. ............................ 300 6,262
Manitowoc, Inc. ............................................ 150 5,119
Matthews International Corp., Class A ...................... 1,400 42,175
Mettler Toledo International, Inc.+ ........................ 200 5,925
Milacron, Inc. ............................................. 200 3,550
Miller Industries, Inc.+ ................................... 400 1,125
Morrison Knudsen Corp.+ .................................... 300 3,094
Nordson Corp. .............................................. 100 4,900
Precision Castparts Corp. .................................. 100 3,050
Presstek, Inc.+ ............................................ 300 2,175
Sauer, Inc. ................................................ 200 2,437
Simpson Manufacturing Co., Inc. ............................ 100 4,687
SpeedFam-IPEC, Inc.+ ....................................... 142 1,704
SPS Technologies, Inc.+ .................................... 100 3,794
Standex International Corp. ................................ 100 2,700
Stewart & Stevenson Services, Inc. ......................... 200 2,625
Terex Corp.+ ............................................... 200 6,300
Thomas Industries, Inc. .................................... 100 1,869
Valence Technology, Inc. ................................... 200 938
Vicor Corp.+ ............................................... 100 2,269
MULTI-INDUSTRY -- 0.2%
Applied Industrial Technologies, Inc. ...................... 100 1,800
Asyst Technologies, Inc.+ .................................. 100 3,300
Chemed Corp. ............................................... 100 3,025
CTS Corp. .................................................. 200 11,500
Gentek, Inc. ............................................... 100 1,138
Justin Industries, Inc. .................................... 100 1,419
Ogden Corp. ................................................ 200 2,000
Plexus Corp.+ .............................................. 100 3,062
Walter Industries, Inc.+ ................................... 300 4,050
TRANSPORTATION -- 1.5%
ABC-NACO, Inc.+ ............................................ 200 2,825
Air Express International Corp. ............................ 300 6,806
Airborne Freight Corp. ..................................... 300 6,319
Alexander & Baldwin, Inc. .................................. 400 9,550
American Freightways Corp.+ ................................ 200 3,637
Arnold Industries, Inc. .................................... 100 1,263
Atlas Air, Inc.+ ........................................... 100 2,188
C.H. Robinson Worldwide, Inc. .............................. 300 10,106
Circle International Group, Inc. ........................... 200 4,087
Consolidated Freightways Corp.+ ............................ 200 1,975
Covenant Transport, Inc., Class A+ ......................... 100 1,525
Eagle USA Airfreight, Inc.+ ................................ 150 4,491
Florida East Coast Industries, Inc. ........................ 200 6,262
Greif Brothers Corp., Class A .............................. 200 5,650
Heartland Express, Inc.+ ................................... 200 2,825
Hun (J.B.) Transportation Services, Inc. ................... 200 2,775
Interpool, Inc. ............................................ 100 763
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Kirby Corp.+ ............................................... 100 $ 1,963
M.S. Carriers, Inc.+ ....................................... 100 2,400
Motivepower Industries, Inc.+ .............................. 2,500 27,500
Newport News Shipbuilding, Inc. ............................ 300 9,694
Oshkosh Truck Corp. ........................................ 2,100 55,912
Overseas Shipholding Group, Inc. ........................... 300 4,631
Pittston BAX Group ......................................... 200 1,613
Roadway Express, Inc. ...................................... 100 2,019
Rollins Truck Leasing Corp. ................................ 400 4,050
Standard Products Co. ...................................... 100 3,537
Swift Transportation Co., Inc.+ ............................ 150 2,953
USFreightways Corp. ........................................ 200 9,475
Werner Enterprises, Inc. ................................... 200 3,525
Wisconsin Central Transportation Corp.+ .................... 400 5,475
Yellow Corp.+ .............................................. 100 1,656
-----------
1,840,890
-----------
INFORMATION & ENTERTAINMENT -- 6.2%
BROADCASTING & MEDIA -- 3.4%
24/7 Media, Inc.+ .......................................... 100 3,787
Ackerley Group, Inc. ....................................... 100 1,231
Actel Corp.+ ............................................... 100 1,900
ACTV, Inc. ................................................. 200 2,788
Adaptive Broadband Corp.+ .................................. 200 6,700
Aeroflex, Inc.+ ............................................ 100 1,219
AMC Entertainment, Inc.+ ................................... 200 2,788
Ascent Entertainment Group, Inc.+ .......................... 300 4,125
Big Flower Holdings, Inc.+ ................................. 100 2,831
Brightpoint, Inc.+ ......................................... 300 2,184
Caribiner International, Inc.+ ............................. 2,600 22,587
Carmike Cinemas, Inc., Class A+ ............................ 100 1,313
CellNet Data Systems, Inc.+ ................................ 400 1,575
Cinar Corp., Class B+ ...................................... 1,600 48,400
Clearnet Communications, Inc., Class A+ .................... 1,000 18,062
Cumulus Media, Inc.+ ....................................... 200 6,537
Data Broadcasting Corp.+ ................................... 300 2,269
Direct Focus, Inc.+ ........................................ 100 1,888
e4L, Inc.+ ................................................. 200 763
Emmis Communications Corp., Class A+ ....................... 100 6,606
Entercom Communications Corp.+ ............................. 100 3,600
Gaylord Entertainment Co. .................................. 100 2,950
Houston Exploration Co.+ ................................... 100 2,169
Journal Register Co.+ ...................................... 300 4,125
Marketing Services Group, Inc.+ ............................ 100 1,188
Mastech Corp.+ ............................................. 1,200 16,200
Metromedia International Group, Inc.+ ...................... 200 825
Netro Corp.+ ............................................... 800 21,900
Network Event Theater, Inc.+ ............................... 100 2,238
On Command Corp.+ .......................................... 100 1,900
Paxson Communications Corp.+ ............................... 100 1,225
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SHARES VALUE
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INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Penton Media, Inc. ......................................... 100 $ 1,625
Pinnacle Holdings, Inc.+ ................................... 100 2,613
Playboy Enterprises, Inc., Class B+ ........................ 100 2,669
Polycom, Inc.+ ............................................. 100 4,766
Proxim, Inc.+ .............................................. 900 41,400
Sinclair Broadcast Group, Inc., Class A+ ................... 100 906
Source Media, Inc.+ ........................................ 100 900
ValueVision International, Inc. Class A+ ................... 1,100 28,600
Wavo Corp.+ ................................................ 200 888
Westwood One, Inc.+ ........................................ 100 4,512
Xceed, Inc.+ ............................................... 100 2,144
Xircom, Inc.+ .............................................. 1,400 59,762
Young Broadcasting, Inc., Class A+ ......................... 100 5,237
Ziff-Davis, Inc. - ZDNet+ .................................. 100 2,131
Ziff-Davis, Inc.+ .......................................... 6,100 98,362
ENTERTAINMENT PRODUCTS -- 0.9%
Activision, Inc.+ .......................................... 2,200 38,775
Alpha Industries, Inc.+ .................................... 100 5,641
Arguss Holdings, Inc.+ ..................................... 100 1,475
Benchmark Electronics, Inc.+ ............................... 100 3,531
Callaway Golf Co. .......................................... 400 4,875
CD Radio, Inc.+ ............................................ 100 2,550
Championship Auto Racing Teams, Inc.+ ...................... 1,300 33,800
Charming Shoppes, Inc.+ .................................... 600 3,075
Citadel Communications Corp.+ .............................. 100 3,413
Cymer, Inc.+ ............................................... 200 6,937
Department 56, Inc.+ ....................................... 100 2,394
Harman International Industries, Inc.+ ..................... 100 4,206
Kimball International, Inc., Class B ....................... 100 1,925
Midway Games, Inc.+ ........................................ 300 4,725
Photronics, Inc.+ .......................................... 100 2,244
Polaroid Corp. ............................................. 300 7,800
Zany Brainy, Inc.+ ......................................... 200 1,775
LEISURE & TOURISM -- 1.9%
Advantica Restaurant Group, Inc.+ .......................... 300 909
AirTran Holdings, Inc.+ .................................... 500 2,516
Alaska Air Group, Inc.+ .................................... 100 4,069
America West Holdings Corp., Class B+ ...................... 200 3,462
American Classic Voyages Co.+ .............................. 800 18,350
AMF Bowling, Inc.+ ......................................... 500 2,063
Anchor Gaming+ ............................................. 100 5,950
Applebee's International, Inc. ............................. 100 3,369
Argosy Gaming Co.+ ......................................... 200 2,650
Atlantic Coast Airlines Holdings, Inc.+ .................... 100 1,775
Avado Brands, Inc. ......................................... 300 1,688
Aztar Corp.+ ............................................... 400 4,100
Bob Evans Farms, Inc. ...................................... 300 6,112
Boca Resorts, Inc., Class A ................................ 200 2,100
Buffets, Inc.+ ............................................. 400 4,650
CBRL Group, Inc. ........................................... 300 4,650
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SHARES VALUE
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
CEC Entertainment, Inc.+ ................................... 300 $ 10,762
Choice Hotels International, Inc.+ ......................... 300 5,137
CKE Restaurants, Inc. ...................................... 300 2,175
Consolidated Products, Inc.+ ............................... 200 1,950
Crestline Capital Corp.+ ................................... 200 4,112
Dave & Buster's, Inc.+ ..................................... 100 1,194
Extended Stay America, Inc. + .............................. 500 4,500
Family Golf Centers, Inc.+ ................................. 200 506
Foodmaker, Inc.+ ........................................... 300 7,481
Frontier Airlines, Inc.+ ................................... 1,500 14,250
Hollywood Park, Inc.+ ...................................... 100 1,538
IHOP Corp.+ ................................................ 200 4,050
Landry's Seafood Restaurants, Inc.+ ........................ 300 2,400
Lone Star Steakhouse & Saloon, Inc.+ ....................... 300 2,306
Luby's, Inc. ............................................... 300 3,450
Marcus Corp. ............................................... 200 2,413
Midwest Express Holdings, Inc.+ ............................ 100 2,619
O'Charleys, Inc. ........................................... 100 1,475
Papa John's International, Inc.+ ........................... 100 4,125
Preview Travel, Inc.+ ...................................... 100 1,625
Prime Hospitality Corp.+ ................................... 300 2,400
Royal Caribbean Cruises Ltd. ............................... 1,000 45,000
Ruby Tuesday, Inc. ......................................... 200 3,900
Ryan's Family Steak Houses, Inc.+ .......................... 200 1,800
SkyWest, Inc. .............................................. 100 2,194
Sonic Corp.+ ............................................... 100 3,044
Station Casinos, Inc.+ ..................................... 200 4,650
Steiner Leisure Ltd.+ ...................................... 600 15,000
Steinway Musical Instruments, Inc.+ ........................ 100 2,094
Sunterra Corp.+ ............................................ 200 2,375
The Cheesecake Factory, Inc.+ .............................. 200 5,550
Trans World Airlines, Inc.+ ................................ 400 1,425
Trans World Entertainment Corp.+ ........................... 300 3,806
United States Franchise Systems, Inc., Class A ............. 100 1,731
United States Restaurant Properties, Inc. .................. 100 1,900
Vail Resorts, Inc.+ ........................................ 200 4,637
Vistana, Inc.+ ............................................. 100 1,500
WMS Industries, Inc.+ ...................................... 200 2,325
Wyndham International, Inc., Class A+ ...................... 1,000 2,625
-----------
837,966
-----------
INFORMATION TECHNOLOGY -- 30.6%
COMMUNICATION EQUIPMENT -- 2.5%
ADTRAN, Inc.+ .............................................. 100 3,831
American Mobile Satellite Corp.+ ........................... 100 1,750
ANADIGICS, Inc.+ ........................................... 100 2,813
Ancor Communications, Inc.+ ................................ 200 4,850
Andrew Corp.+ .............................................. 600 10,425
Anicom, Inc.+ .............................................. 200 1,063
Anixter International, Inc.+ ............................... 200 4,650
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
ANTEC Corp.+ ............................................... 200 $ 10,625
Apex, Inc.+ ................................................ 300 5,606
Auspex Systems, Inc.+ ...................................... 200 1,775
Banyan Systems, Inc.+ ...................................... 200 1,925
Belden, Inc. ............................................... 200 4,100
Cable Design Technologies Corp.+ ........................... 600 13,687
CellStar Corp.+ ............................................ 5,600 42,000
Clarent Corp.+ ............................................. 600 30,562
CommScope, Inc.+ ........................................... 300 9,750
Computer Network Technology Corp.+ ......................... 100 931
Digital Microwave Corp.+ ................................... 300 4,706
EMS Technologies, Inc.+ .................................... 200 2,400
Emulex Corp.+ .............................................. 200 17,175
International Telecommunication Data Systems, Inc.+ ........ 200 1,688
IXnet, Inc.+ ............................................... 1,800 27,225
Metromedia Fiber Network, Inc., Class A+ ................... 235 5,757
Network Equipment Technologies, Inc.+ ...................... 200 1,838
P-COM, Inc.+ ............................................... 200 1,400
PairGain Technologies, Inc.+ ............................... 3,600 45,900
PictureTel Corp.+ .......................................... 300 1,275
Premier Technologies, Inc.+ ................................ 300 1,781
Premisys Communications, Inc.+ ............................. 200 1,663
Redback Networks, Inc.+ .................................... 300 32,400
Renaissance Worldwide, Inc.+ ............................... 1,200 4,650
Rhythms Netconnections, Inc.+ .............................. 700 24,150
Tekelec, Inc.+ ............................................. 200 2,763
Transaction Network Services, Inc.+ ........................ 100 3,925
Visual Networks, Inc.+ ..................................... 100 4,244
West TeleServices Corp.+ ................................... 200 2,075
COMPUTERS & BUSINESS EQUIPMENT -- 5.0%
Advanced Digital Information Corp.+ ........................ 1,400 38,937
Anacomp, Inc.+ ............................................. 100 1,647
Artesyn Technologies, Inc.+ ................................ 1,900 36,041
AVT Corp.+ ................................................. 100 3,062
Boise Cascade Office Products Corp.+ ....................... 100 1,088
CACI International, Inc.+ .................................. 100 2,131
CompUSA, Inc.+ ............................................. 600 3,675
Cotelligent, Inc.+ ......................................... 200 713
Creative Computers, Inc.+ .................................. 100 638
Cybex Computer Products Corp.+ ............................. 100 3,337
Daisytek International Corp.+ .............................. 200 2,812
Data General Corp.+ ........................................ 300 6,319
Digital River, Inc.+ ....................................... 100 2,175
Go2Net, Inc.+ .............................................. 100 6,475
GTECH Holdings Corp.+ ...................................... 200 4,287
Henry (Jack) & Associates, Inc. ............................ 100 3,694
Hutchinson Technology, Inc.+ ............................... 100 2,700
Identix, Inc.+ ............................................. 2,400 20,100
Interface, Inc. ............................................ 400 2,050
Intraware, Inc.+ ........................................... 100 2,609
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Iomega Corp.+ .............................................. 1,800 $ 6,075
Knoll, Inc.+ ............................................... 100 2,688
Komag, Inc.+ ............................................... 300 900
Mail-Well, Inc.+ ........................................... 200 2,775
Maxtor Corp.+ .............................................. 600 3,956
Maxwell Technologies, Inc.+ ................................ 100 1,313
Micro Warehouse, Inc.+ ..................................... 200 2,413
Micros Systems, Inc.+ ...................................... 2,600 105,300
Microtouch Systems, Inc.+ .................................. 1,400 23,625
MMC Networks, Inc.+ ........................................ 200 6,237
MTI Technology Corp.+ ...................................... 200 4,612
National Computer Systems, Inc. ............................ 800 30,675
Network Appliance, Inc.+ ................................... 2,500 179,062
Plantronics, Inc.+ ......................................... 2,200 109,450
PubliCARD, Inc.+ ........................................... 200 1,700
Radiant Systems, Inc.+ ..................................... 100 1,619
Rare Medium Group, Inc.+ ................................... 200 2,113
RSA Security, Inc.+ ........................................ 300 7,969
Sandisk Corp.+ ............................................. 200 13,037
SCB Computer Technology, Inc.+ ............................. 2,300 11,859
SMART Modular Technologies, Inc.+ .......................... 200 6,812
Standard Register Co. ...................................... 200 4,700
Systemax, Inc. ............................................. 300 2,513
Systems & Computer Technology Corp.+ ....................... 200 2,513
Tyler Technologies, Inc.+ .................................. 300 1,331
Wave Systems Corp., Class A+ ............................... 200 2,150
Western Digital Corp.+ ..................................... 400 1,500
Zebra Technologies Corp., Class A+ ......................... 100 4,547
ELECTRONICS -- 4.1%
Alliance Semiconductor Corp.+ .............................. 200 2,125
American Xtal Technology, Inc.+ ............................ 1,200 25,650
AMETEK, Inc. ............................................... 200 3,962
Amkor Technology, Inc.+ .................................... 500 8,062
Ampex Corp., Class A+ ...................................... 3,900 11,456
Analogic Corp. ............................................. 900 28,406
ATMI, Inc.+ ................................................ 100 3,731
Avid Technology, Inc.+ ..................................... 200 2,625
Baldor Electric Co. ........................................ 200 3,787
BMC Industries, Inc. ....................................... 200 2,463
Burr-Brown Corp.+ .......................................... 200 7,900
Checkpoint Systems, Inc.+ .................................. 200 1,863
Cirrus Logic, Inc.+ ........................................ 300 3,300
Cree Research, Inc.+ ....................................... 200 6,787
Cypress Semiconductor Corp.+ ............................... 600 12,900
Dallas Semiconductor Corp. ................................. 200 10,687
DII Group, Inc.+ ........................................... 200 7,037
Electro Scientific Industries, Inc.+ ....................... 100 5,328
Electroglas, Inc.+ ......................................... 100 2,338
ESS Technology, Inc. + ..................................... 200 2,650
Exar Corp.+ ................................................ 100 3,744
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COMMON STOCK (CONTINUED)
SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
General Semiconductor, Inc.+ ............................... 200 $ 2,063
Harmon Industries, Inc. .................................... 100 1,256
Innovex, Inc. .............................................. 200 1,800
International Rectifier Corp.+ ............................. 300 4,575
InterVoice-Brite, Inc.+ .................................... 100 1,106
Kent Electronics Corp.+ .................................... 200 3,700
Kulicke & Soffa Industries, Inc.+ .......................... 1,500 36,469
Lattice Semiconductor Corp.+ ............................... 2,000 59,375
Linear Technology Corp. .................................... 800 47,025
LTX Corp.+ ................................................. 200 2,738
Marshall Industries+ ....................................... 100 3,650
MEDE America Corp.+ ........................................ 100 2,300
MEMC Electronic Materials, Inc.+ ........................... 200 2,750
Methode Electronics, Inc., Class A ......................... 200 3,775
Micrel, Inc.+ .............................................. 200 8,675
Micron Electronics, Inc.+ .................................. 300 3,150
National Semiconductor Corp.+ .............................. 1,900 57,950
Park Electrochemical Corp. ................................. 100 3,288
Pioneer Standard Electronics, Inc. ......................... 300 4,331
Pittway Corp., Class A ..................................... 200 6,300
PLX Technology, Inc.+ ...................................... 100 2,413
PRI Automation, Inc.+ ...................................... 100 3,613
Read-Rite Corp.+ ........................................... 400 1,763
Sawtek, Inc.+ .............................................. 1,800 63,000
Semtech Corp.+ ............................................. 200 7,325
Silicon Valley Group, Inc.+ ................................ 300 3,544
SIPEX Corp.+ ............................................... 200 2,863
SonoSite, Inc. ............................................. 900 23,512
Tektronix, Inc. ............................................ 200 6,700
TranSwitch Corp.+ .......................................... 200 11,400
TriQuint Semiconductor, Inc.+ .............................. 100 5,719
Unitrode Corp.+ ............................................ 200 8,400
Varian Semiconductor Equipment Associates, Inc. ............ 100 2,106
SOFTWARE -- 14.7%
3Dfx Interactive, Inc.+ .................................... 100 825
Acclaim Entertainment, Inc.+ ............................... 400 3,038
Advent Software, Inc.+ ..................................... 150 9,337
Allaire Corp.+ ............................................. 500 28,000
America Online, Inc.+ ...................................... 800 83,200
American Management Systems, Inc.+ ......................... 300 7,697
AnswerThink Consulting Group, Inc.+ ........................ 4,100 39,462
Applied Graphics Technologies, Inc.+ ....................... 200 1,725
Ardent Software, Inc.+ ..................................... 100 2,694
Aspect Development, Inc.+ .................................. 100 2,531
Aspen Technology, Inc.+ .................................... 100 975
Avant! Corp.+ .............................................. 200 3,569
AXENT Technologies, Inc.+ .................................. 200 2,588
BARRA, Inc.+ ............................................... 100 2,100
Bell & Howell Co.+ ......................................... 100 3,669
Best Software, Inc.+ ....................................... 1,400 27,650
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COMMON STOCK (CONTINUED)
SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
BindView Development Corp.+ ................................ 100 $ 1,969
Black Box Corp.+ ........................................... 100 5,250
BrightStar Information Technology Group, Inc.+ ............. 2,000 6,625
BroadVision, Inc.+ ......................................... 100 13,306
Caere Corp.+ ............................................... 2,100 16,275
CAIS Internet, Inc.+ ....................................... 100 1,206
Cambridge Technology Partners, Inc.+ ....................... 2,200 31,900
Catapult Communications Corp.+ ............................. 100 1,550
CCC Information Services Group, Inc.+ ...................... 200 2,638
CheckFree Holdings Corp.+ .................................. 2,100 86,362
CHS Electronics, Inc.+ ..................................... 400 575
CIBER, Inc.+ ............................................... 1,800 27,562
Clarify, Inc.+ ............................................. 1,300 65,406
CMGI, Inc.+ ................................................ 300 30,750
Cognicase, Inc.+ ........................................... 800 10,400
CompuCom Systems, Inc.+ .................................... 500 1,867
Computer Horizons Corp.+ ................................... 1,400 16,275
Concentric Network Corp.+ .................................. 200 4,063
Concur Technologies, Inc.+ ................................. 100 2,850
Concurrent Computer Corp.+ ................................. 400 2,725
Critical Path, Inc.+ ....................................... 400 16,137
CustomTracks Corp.+ ........................................ 100 2,963
CyberCash, Inc. + .......................................... 200 1,463
Cybersource Corp.+ ......................................... 1,100 60,912
Data Transmission Network Corp.+ ........................... 100 2,494
Datastream Systems, Inc.+ .................................. 200 2,625
Documentum, Inc.+ .......................................... 100 2,163
E.piphany, Inc. ............................................ 400 19,500
Edify Corp.+ ............................................... 200 2,506
Engage Technologies, Inc.+ ................................. 1,400 52,762
Engineering Animation, Inc.+ ............................... 100 1,581
Entrust Technologies, Inc.+ ................................ 2,100 47,119
Epicor Software Corp.+ ..................................... 300 1,725
Exchange Applications, Inc.+ ............................... 200 5,812
FileNET Corp.+ ............................................. 300 3,206
Genesys Telecommunications Laboratories, Inc.+ ............. 700 31,981
Harbinger Corp.+ ........................................... 300 5,062
HNC Software, Inc.+ ........................................ 200 7,937
Hyperion Solutions Corp.+ .................................. 200 4,400
Imation Corp.+ ............................................. 300 9,300
IMRGlobal Corp.+ ........................................... 4,500 37,125
Information Resources, Inc.+ ............................... 300 3,319
Informix Corp.+ ............................................ 1,100 8,731
Input/Output, Inc.+ ........................................ 400 2,650
Insight Enterprises, Inc.+ ................................. 750 24,375
Integrated Systems, Inc.+ .................................. 200 2,038
Internet Capital Group, Inc.+ .............................. 710 62,391
ISS Group, Inc.+ ........................................... 200 5,450
Kronos, Inc.+ .............................................. 450 16,509
Landmark Systems Corp.+ .................................... 2,600 21,125
Learn2.com, Inc.+ .......................................... 300 872
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Legato Systems, Inc.+ ...................................... 1,000 $ 43,594
Lycos, Inc.+ ............................................... 800 40,100
Macromedia, Inc.+ .......................................... 500 20,437
Manhattan Associates, Inc.+ ................................ 100 550
Manugistics Group, Inc.+ ................................... 200 2,100
MAPICS, Inc.+ .............................................. 200 1,738
Mentor Graphics Corp.+ ..................................... 400 3,425
Mercury Interactive Corp.+ ................................. 600 38,737
MessageMedia, Inc.+ ........................................ 100 1,075
Metro Information Services, Inc.+ .......................... 100 1,281
Micromuse, Inc.+ ........................................... 800 51,400
MicroStrategy, Inc.+ ....................................... 200 11,212
Mpath Interactive, Inc.+ ................................... 100 1,150
National Instruments Corp.+ ................................ 900 31,809
Netgravity, Inc.+ .......................................... 100 3,306
Netopia, Inc.+ ............................................. 800 31,900
Nvidia Corp.+ .............................................. 200 3,850
Onemain.com, Inc.+ ......................................... 100 1,644
Pegasystems, Inc.+ ......................................... 100 778
Pegrine Systems, Inc.+ ..................................... 100 4,075
Per-Se Technologies, Inc. .................................. 600 2,063
Pervasive Software, Inc.+ .................................. 100 3,450
Phoenix Technology Ltd.+ ................................... 1,200 13,425
Pinnacle Systems, Inc.+ .................................... 100 4,238
Policy Management Systems Corp.+ ........................... 200 6,325
Portal Software, Inc.+ ..................................... 600 23,250
Primus Knowledge Solutions, Inc.+ .......................... 600 16,537
Private Business, Inc.+ .................................... 100 475
Prociurenet, Inc. .......................................... 200 30
Progress Software Corp.+ ................................... 100 3,138
Proxicom, Inc.+ ............................................ 600 35,100
QuadraMed Corp.+ ........................................... 200 1,500
Radisys Corp.+ ............................................. 1,700 66,725
Real Networks, Inc.+ ....................................... 400 41,825
Remedy Corp.+ .............................................. 200 5,675
S3, Inc.+ .................................................. 300 3,131
Saga Systems, Inc.+ ........................................ 300 4,331
Sanchez Computer Associates, Inc.+ ......................... 100 3,513
Schawk, Inc., Class A ...................................... 100 975
SCM Microsystems, Inc. ..................................... 100 4,544
Security First Technologies Corp. .......................... 2,500 97,187
Spyglass, Inc.+ ............................................ 100 1,250
SS&C Technologies, Inc.+ ................................... 200 1,100
Structural Dynamics Research Corp.+ ........................ 200 3,006
SVI Holdings, Inc.+ ........................................ 200 1,788
Sybase, Inc.+ .............................................. 600 7,087
Sykes Enterprises, Inc.+ ................................... 100 2,469
Telescan, Inc. ............................................. 100 1,644
THQ, Inc.+ ................................................. 800 34,500
Transaction Systems Architects, Inc., Class A+ ............. 1,300 35,019
TSI International Software Ltd.+ ........................... 100 2,713
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COMMON STOCK (CONTINUED)
SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Vantive Corp.+ ............................................. 200 $ 1,738
Vignette Corp.+ ............................................ 1,100 99,550
Visio Corp.+ ............................................... 800 31,400
Wackenhut Corrections Corp.+ ............................... 100 1,338
Wallace Computer Services, Inc. ............................ 200 4,050
Wind River Systems, Inc.+ .................................. 200 3,800
Yahoo!, Inc.+ .............................................. 700 125,650
TELECOMMUNICATIONS -- 4.3%
Advanced Fibre Communications, Inc.+ ....................... 500 11,125
AirGate PCS, Inc. .......................................... 800 19,900
Allen Telecom, Inc.+ ....................................... 300 2,925
Aspect Telecommunications Corp.+ ........................... 400 6,787
Aware, Inc. + .............................................. 100 2,869
Boston Communications Group, Inc.+ ......................... 1,200 6,900
CapRock Communications Corp.+ .............................. 200 4,650
Carrier Access Corp.+ ...................................... 300 12,544
CommNet Cellular, Inc.+ .................................... 200 6,262
Copper Mountain Networks, Inc.+ ............................ 500 43,812
Covad Communications Group, Inc.+ .......................... 650 28,336
Destia Communications, Inc.+ ............................... 100 1,250
DSP Communications, Inc.+ .................................. 200 3,800
Dycom Industries, Inc.+ .................................... 200 8,437
e.Spire Communications, Inc.+ .............................. 400 2,900
Electric Lightwave, Inc.+ .................................. 100 1,325
FVC.com, Inc.+ ............................................. 1,800 25,312
General Communication, Inc., Class A+ ...................... 300 1,566
GST Telecommunications, Inc.+ .............................. 2,100 14,766
ICG Communications, Inc.+ .................................. 300 4,669
IDT Corp.+ ................................................. 200 4,188
Inter-Tel, Inc. ............................................ 200 3,550
InterDigital Communications Corp.+ ......................... 300 1,650
Intermedia Communications, Inc.+ ........................... 300 6,525
IPC Communications, Inc.+ .................................. 100 6,150
ITC DeltaCom, Inc.+ ........................................ 300 8,250
IXC Communications, Inc.+ .................................. 200 7,887
Leap Wireless International, Inc.+ ......................... 200 4,700
Lee Enterprises, Inc. ...................................... 200 5,475
MasTec, Inc.+ .............................................. 100 2,944
Metricom, Inc.+ ............................................ 100 2,275
MGC Communications, Inc.+ .................................. 600 12,450
MRV Communications, Inc.+ .................................. 200 4,737
Pacific Gateway Exchange, Inc.+ ............................ 100 1,638
PageMart Wireless, Inc., Class A+ .......................... 300 1,800
Paging Network, Inc.+ ...................................... 400 413
Powertel, Inc.+ ............................................ 100 5,506
Powerwave Technologies, Inc.+ .............................. 2,700 130,191
Price Communications Corp.+ ................................ 105 2,632
Primus Telecommunications Group, Inc.+ ..................... 200 4,200
Qwest Communications International, Inc.+ .................. 700 20,694
SkyTel Communications, Inc.+ ............................... 400 7,325
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COMMON STOCK (CONTINUED)
SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
SportsLine USA, Inc.+ ...................................... 100 $ 2,956
STAR Telecommunications, Inc.+ ............................. 100 541
TALK.com, Inc.+ ............................................ 3,000 38,719
Terayon Communication Systems, Inc. ........................ 100 4,887
True North Communications, Inc. ............................ 200 7,275
Tut Systems, Inc. .......................................... 100 2,581
USWeb Corp.+ ............................................... 2,100 72,056
Viatel, Inc. ............................................... 100 2,956
-----------
4,172,560 ..
-----------
MATERIALS -- 3.1%
CHEMICALS -- 1.1%
A.M. Castle & Co. .......................................... 100 1,263
Albemarle Corp. ............................................ 200 4,025
AMCOL International Corp. .................................. 300 4,425
Arch Chemicals, Inc. ....................................... 100 1,619
Cambrex Corp. .............................................. 100 2,644
ChemFirst, Inc. ............................................ 200 5,462
CK Witco Corp. ............................................. 869 12,655
Cytec Industries, Inc.+ .................................... 300 7,200
Dexter Corp. ............................................... 100 3,731
Elcor Corp. ................................................ 150 3,750
Ferro Corp. ................................................ 200 4,262
General Cable Corp.+ ....................................... 200 2,400
Geon Co. ................................................... 100 2,575
Georgia Gulf Corp. ......................................... 100 1,763
H.B. Fuller Co. ............................................ 100 6,087
Hexcel Corp.+ .............................................. 200 1,163
Lilly Industrial, Inc., Class A ............................ 200 2,725
M.A. Hanna Co. ............................................. 300 3,413
NL Industries, Inc. ........................................ 200 2,525
OM Group, Inc. ............................................. 1,400 53,725
Scotts Co., Class A+ ....................................... 100 3,462
Silgan Holdings, Inc.+ ..................................... 100 2,000
Spartech Corp. ............................................. 200 5,862
Terra Industries, Inc. ..................................... 200 338
W.R. Grace & Co.+ .......................................... 400 6,425
FOREST PRODUCTS -- 0.4%
Buckeye Technologies, Inc.+ ................................ 100 1,569
Caraustar Industries, Inc. ................................. 200 5,100
Chesapeake Corp. ........................................... 100 3,025
Deltic Timber Corp. ........................................ 100 2,275
Gaylord Container Corp., Class A+ .......................... 400 2,850
Glatfelter (P.H.) Co. ...................................... 200 3,288
Harland (John H.) Co. ...................................... 100 1,944
Ivex Packaging Corp.+ ...................................... 200 2,000
Longview Fibre Co. ......................................... 300 3,731
Potlatch Corp. ............................................. 200 8,237
Rayonier, Inc. ............................................. 200 8,400
Republic Group, Inc. ....................................... 100 1,394
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SHARES VALUE
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MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Rock-Tenn Co., Class A ..................................... 100 $ 1,444
Shorewood Packaging Corp.+ ................................. 200 2,713
United Stationers, Inc.+ ................................... 200 4,262
Universal Forest Products, Inc. ............................ 100 1,306
Wausau-Mosinee Paper Corp. ................................. 400 4,850
METALS & MINERALS -- 1.6%
A. Schulman, Inc. .......................................... 200 3,462
AgriBioTech, Inc. + ........................................ 300 1,219
Aquarion Co. ............................................... 150 5,381
Armco, Inc.+ ............................................... 600 4,200
ASARCO, Inc. ............................................... 300 8,044
Barnes Group, Inc. ......................................... 100 2,006
Battle Mountain Gold Co.+ .................................. 800 2,600
Bethlehem Steel Corp.+ ..................................... 800 5,900
Brush Wellman, Inc. ........................................ 100 1,469
Carpenter Technology Corp. ................................. 200 4,900
Cleveland-Cliffs, Inc. ..................................... 100 3,113
Commercial Metals Co. ...................................... 100 2,875
Cyprus Amax Minerals Co. ................................... 600 11,775
Earthgrains Co. ............................................ 200 4,425
Florida Rock Industries, Inc. .............................. 100 3,475
Global Industrial Technologies, Inc.+ ...................... 200 2,438
Granite Construction, Inc. ................................. 200 5,212
Intermet Corp. ............................................. 200 1,694
Kennametal, Inc. ........................................... 100 2,588
Lone Star Industries, Inc. ................................. 100 4,987
LTV Corp.+ ................................................. 600 3,262
Metals USA, Inc.+ .......................................... 300 3,056
Minerals Technologies, Inc. ................................ 100 4,856
Mueller Industries, Inc. + ................................. 300 8,906
Myers Industries, Inc. ..................................... 220 3,905
National Steel Corp., Class B+ ............................. 200 1,388
Olin Corp. ................................................. 400 5,450
Oregon Steel Mills, Inc. ................................... 300 3,356
Quanex Corp.+ .............................................. 100 2,563
Reliance Steel & Aluminum Co. .............................. 150 3,150
Rouge Industries, Inc., Class A ............................ 100 738
RTI International Metals, Inc.+ ............................ 100 1,000
Ryerson Tull, Inc. ........................................ 161 3,723
Southern Peru Copper Corp. ................................. 200 3,375
Steel Dynamics, Inc.+ ...................................... 300 4,706
Stillwater Mining Co.+ ..................................... 2,300 61,812
TJ International, Inc. ..................................... 100 2,513
Valmont Industries, Inc. ................................... 200 3,375
Wolverine Tube, Inc.+ ...................................... 200 3,100
Worthington Industries, Inc. ............................... 400 6,800
Wyman-Gordon Co.+ .......................................... 200 3,737
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420,421
-----------
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SHARES VALUE
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REAL ESTATE -- 2.3%
REAL ESTATE COMPANIES -- 0.2%
Alexandria Real Estate Equities, Inc. ...................... 100 $ 2,944
Bedford Property Investors, Inc. ........................... 100 1,687
Cadiz, Inc.+ ............................................... 200 1,912
Capstead Mortgage Corp. .................................... 600 2,400
Catellus Development Corp.+ ................................ 800 9,400
CB Richard Ellis Services, Inc.+ ........................... 100 1,513
Trammell Crow Co.+ ......................................... 200 2,650
REAL ESTATE INVESTMENT TRUSTS -- 2.1%
American Health Properties, Inc. ........................... 200 4,025
Amli Residential Properties Trust .......................... 100 2,100
Associated Estates Realty Corp. ............................ 200 1,838
Berkshire Realty Co., Inc. ................................. 100 1,200
Boykin Lodging Co. ......................................... 200 2,650
Bradley Real Estate, Inc. .................................. 200 3,675
Brandywine Realty Trust .................................... 200 3,250
BRE Properties, Inc. ....................................... 200 4,787
Burnham Pacific Properties, Inc. ........................... 100 1,056
Cabot Industrial Trust ..................................... 100 1,925
Camden Property Trust ...................................... 200 5,375
Capital Automotive REIT .................................... 300 3,712
CBL & Associates Properties, Inc. .......................... 100 2,444
CenterPoint Properties Corp. ............................... 100 3,306
Charles E. Smith Residential Realty, Inc. .................. 100 3,419
Chateau Communities, Inc. .................................. 100 2,600
Chelsea GCA Realty, Inc. ................................... 100 3,163
Colonial Properties Trust .................................. 100 2,675
Commercial Net Lease Realty, Inc. .......................... 400 4,250
Cornerstone Realty Income Trust, Inc. ...................... 200 1,800
Cousins Properties, Inc. ................................... 200 6,787
Developers Diversified Realty Corp. ........................ 400 5,600
Duke Realty Investments, Inc. .............................. 38 741
Entertainment Properties Trust ............................. 200 2,925
Equity Inns, Inc. .......................................... 500 4,250
Essex Property Trust, Inc. ................................. 100 3,494
Federal Realty Investment Trust ............................ 200 4,187
First Industrial Realty Trust, Inc. ........................ 300 7,425
Gables Residential Trust ................................... 100 2,400
Genesco, Inc.+ ............................................. 200 2,500
Glenborough Realty Trust, Inc. ............................. 200 3,300
Glimcher Realty Trust ...................................... 200 2,938
Great Lakes REIT, Inc. ..................................... 200 3,013
Health Care Property Investors, Inc. ....................... 200 5,250
Health Care REIT, Inc. ..................................... 100 2,000
Healthcare Realty Trust .................................... 700 13,081
Home Properties of New York, Inc. .......................... 100 2,669
Hospitality Properties Trust ............................... 200 4,412
Innkeepers USA Trust ....................................... 400 3,325
IRT Property Co. ........................................... 200 1,800
JDN Realty Corp. ........................................... 200 4,100
Kilroy Realty Corp. ........................................ 100 2,113
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SHARES VALUE
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REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Koger Equity, Inc. ......................................... 200 $ 3,200
LaSalle Hotel Properties ................................... 100 1,294
LNR Property Corp. ......................................... 200 4,075
LTC Properties, Inc. ....................................... 300 3,188
Macerich Co. ............................................... 100 2,313
Manufactured Home Communities, Inc. ........................ 200 4,675
Meristar Hospitality Corp. ................................. 400 6,100
MGI Properties, Inc. ....................................... 100 900
Mills Corp. ................................................ 100 1,781
National Golf Properties, Inc. ............................. 200 4,500
National Health Investors, Inc. ............................ 200 3,288
Nationwide Health Properties, Inc. ......................... 200 3,325
OMEGA Healthcare Investors, Inc. ........................... 200 4,200
Parkway Properties, Inc. ................................... 100 3,225
Pennsylvania Real Estate Investment Trust .................. 200 3,775
Prentiss Properties Trust .................................. 300 6,656
Prime Retail, Inc. ......................................... 500 3,688
PS Business Parks, Inc. .................................... 100 2,600
Realty Income Corp. ........................................ 200 4,625
Reckson Associates Realty Corp. ............................ 300 6,244
Redwood Trust, Inc. ........................................ 100 1,294
Regency Realty Corp. ....................................... 300 6,300
RFS Hotel Investors, Inc. .................................. 200 2,300
Shurgard Storage Centers, Inc., Class A .................... 100 2,475
SL Green Realty Corp. ...................................... 200 3,975
Sovran Self Storage, Inc. .................................. 200 4,550
Storage USA, Inc. .......................................... 200 5,500
Summit Properties, Inc. .................................... 200 3,987
Sun Communities, Inc. ...................................... 100 3,306
Sunstone Hotel Investors, Inc. ............................. 400 3,500
Taubman Centers, Inc. ...................................... 300 3,450
TriNet Corporate Realty Trust, Inc. ........................ 200 4,762
United Dominion Realty Trust, Inc. ......................... 800 8,950
Urban Shopping Centers, Inc. ............................... 100 2,900
Ventas, Inc. ............................................... 300 1,425
Walden Residential Properties, Inc. ........................ 100 2,181
Washington Real Estate Investment Trust .................... 300 4,725
Weingarten Realty Investors, Inc. .......................... 100 3,737
Westfield America, Inc. .................................... 200 2,775
-----------
315,810
-----------
UTILITIES -- 2.0%
ELECTRIC UTILITIES -- 0.8%
Black Hills Corp. .......................................... 100 2,331
Carolina Power & Light Co. ................................. 80 2,830
Central Hudson Gas & Electric Corp. ........................ 100 3,938
CILCORP, Inc. .............................................. 100 6,481
Cleco Corp. ................................................ 200 6,487
CMP Group, Inc. ............................................ 200 5,275
Eastern Utilities Associates ............................... 200 5,975
El Paso Electric Co.+ ...................................... 300 2,700
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SHARES VALUE
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UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Empire District Electric Co. ............................... 200 $ 5,113
Hawaiian Electric Industries, Inc. ......................... 200 7,037
IDACORP, Inc. .............................................. 200 6,025
Indiana Energy, Inc. ....................................... 200 4,013
Integrated Electrical Services, Inc.+ ...................... 100 1,581
Madison Gas & Electric Co. ................................. 200 3,975
MagneTek, Inc.+ ............................................ 300 2,681
NSTAR+ ..................................................... 210 8,137
Public Service Company of New Mexico ....................... 200 3,650
Public Service Company of North Carolina, Inc. ............. 200 6,200
RGS Energy Group, Inc. ..................................... 200 4,900
Sierra Pacific Resources Co. ............................... 288 6,408
SIGCORP, Inc. .............................................. 100 2,550
TNP Enterprises, Inc. ...................................... 100 3,894
UniSource Energy Corp.+ .................................... 200 2,363
United Illuminating Co. .................................... 100 4,838
GAS & PIPELINE UTILITIES -- 1.0%
AGL Resources, Inc. ........................................ 400 6,500
California Water Service Group ............................. 100 2,738
Connecticut Energy Corp. ................................... 100 3,869
E'Town Corp. ............................................... 100 4,962
Eastern Enterprises ........................................ 200 9,287
Energen Corp. .............................................. 200 4,050
Laclede Gas Co. ............................................ 200 4,550
Louis Dreyfus Natural Gas Corp.+ ........................... 200 4,288
MDU Resources Group, Inc. .................................. 300 6,750
Mitchell Energy & Development Corp., Class A ............... 200 4,887
New Jersey Resources Corp. ................................. 100 4,000
Northwest Natural Gas Co. .................................. 200 5,162
Northwestern Corp. ......................................... 100 2,275
Oneok, Inc. ................................................ 200 6,062
Philadelphia Suburban Corp. ................................ 200 4,713
Piedmont Natural Gas, Inc. ................................. 200 6,062
Pioneer Natural Resources Co.+ ............................. 600 6,375
Southern Union Co.+ ........................................ 210 3,990
Southwest Gas Corp. ........................................ 100 2,694
Southwestern Energy Co. .................................... 200 1,813
TransMontaigne, Inc.+ ...................................... 1,600 24,000
UGI Corp. .................................................. 100 2,325
Washington Gas Light Co. ................................... 200 5,425
Western Gas Resources, Inc. ................................ 200 3,738
WICOR, Inc. ................................................ 300 8,719
WPS Resources Corp. ........................................ 100 2,806
TELEPHONE -- 0.2%
Advanced Communications Group, Inc.+ ....................... 100 800
Commonwealth Telephone Enterprises, Inc.+ .................. 100 4,400
North Pittsburgh Systems, Inc.+ ............................ 100 1,825
Omnipoint Corp.+ ........................................... 200 11,175
US LEC Corp., Class A+ ..................................... 100 2,462
-----------
272,084
-----------
TOTAL COMMON STOCK (cost $12,314,624)....................... 12,348,406
-----------
</TABLE>
----------------
169
<PAGE>
<TABLE>
<S> <C> <C>
OPTIONS -- 0.3%+ CONTRACTS VALUE
- ------------------------------------------------------------------------------------------
PUT OPTIONS -- 0.3%
Morgan Stanley High Tech Index $100 expiring 10/99# ........ 4 $ 13,800
S&P 500 Index $1,275 expiring 11/99 ........................ 4 15,550
S&P 500 Index $1,300 expiring 10/99 ........................ 4 11,050
-----------
TOTAL OPTIONS (cost $46,686) ............................... 40,400
-----------
TOTAL INVESTMENT SECURITIES (cost $12,361,310) ............. 12,388,806
-----------
PRINCIPAL
SHORT-TERM SECURITIES -- 0.2% AMOUNT
- ------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 4.55% due 12/02/99 (cost
$19,843) .................................................. $ 20,000 19,843
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 7.6%
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 7.6%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $277,033 and collateralized by
$95,000 of U.S. Treasury Bonds, bearing interest at 8.75%,
due 8/15/20 and by $140,000 of U.S. Treasury Bonds, bearing
interest at 8.125%, due 5/15/21 and having an approximate
value of $289,978@ ........................................ 277,000 277,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3) .......................................... 763,000 763,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $1,040,000) .............. 1,040,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $13,421,153) 98.8% 13,448,649
Other assets less liabilities -- 1.2 167,621
----- -----------
NET ASSETS -- 100.0% $13,616,270
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# The security or a portion thereof represents the underlying security for the
written options
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE SEPTEMBER 30, 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index October 1999 $67,333 $64,650 $(2,683)
=======
</TABLE>
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN OPTIONS
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
EXPIRATION STRIKE
OPTIONS CONTRACTS DATE PRICE VALUE
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MSH Index (put) (proceeds $4,988).......... 4 October 1999 $1,100 $(2,950)
=======
</TABLE>
See Notes to Financial Statements
- ----------------
170
<PAGE>
- ----------------
SEASONS SERIES TRUST
INTERNATIONAL
EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.6%
SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------------
AUSTRALIA -- 4.1%
Amcor Ltd. (Finance)........................................ 646 $ 3,099
AMP Ltd. (Finance)+......................................... 833 7,760
Australia & New Zealand Banking Group Ltd. (Finance)........ 80 535
Australian Gas Light Co., Ltd. (Utilities)+................. 336 1,987
Brambles Industries Ltd. (Industrial & Commercial).......... 688 19,926
Broken Hill Proprietary Co., Ltd. (Materials)+.............. 2,950 33,987
Coca-Cola Amatil Ltd. (Consumer Staples).................... 1,007 3,537
Coles Myer Ltd. (Consumer Discretionary).................... 1,008 5,269
CSR Ltd. (Materials)........................................ 1,274 3,219
Fosters Brewing Group Ltd. (Consumer Staples)............... 5,578 15,729
General Property Trust (Real Estate)........................ 1,712 2,895
Lend Lease Corp., Ltd. (Finance)............................ 1,252 15,283
National Australia Bank Ltd. (Finance)...................... 2,373 34,745
News Corp., Ltd. (Information & Entertainment).............. 2,507 17,595
Novogen Ltd. (Healthcare)+.................................. 120,000 221,674
Pacific Dunlop Ltd. (Consumer Discretionary)................ 1,412 2,120
Pioneer International Ltd. (Materials)+..................... 3,200 7,913
Polartechnics Ltd. (Healthcare)+............................ 70,000 138,448
Rio Tintro, Ltd. (Materials)................................ 1,412 23,951
TABCORP Holdings Ltd. (Information & Entertainment)......... 921 6,252
Telstra Corp. (Information Technology)...................... 6,042 31,323
Western Mining Corp., Ltd. (Materials)...................... 1,073 5,463
Westpac Banking Corp., Ltd. (Finance)....................... 3,303 20,381
Woolworths Ltd. (Consumer Discretionary).................... 3,900 13,620
-----------
636,711
-----------
AUSTRIA -- 0.7%
Bank Austria AG (Finance)................................... 90 4,477
Biota Holdings Ltd. (Healthcare)+........................... 30,000 104,767
Generali Holding Vienna AG (Finance)........................ 10 1,598
Oesterreichische Elektrizit Irtschafts AG (Utilities)....... 20 2,948
-----------
113,790
-----------
BELGIUM -- 0.4%
Delhaize Le-Lion SA (Consumer Discretionary)+............... 43 3,432
Electrabel SA (Utilities)................................... 38 13,157
Fortis (B) (Finance)........................................ 498 16,215
Groupe Bruxelles Lambert SA (Industrial & Commercial)....... 16 3,048
Kredietbank NV (Finance).................................... 208 10,568
Petrofina SA (Energy)....................................... 1 385
Solvay SA (Materials)....................................... 67 4,769
Tractebel Invest International BV (Finance)................. 57 10,092
UCB SA (Healthcare)......................................... 110 4,442
-----------
66,108
-----------
</TABLE>
----------------
171
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
CANADA -- 1.1%
Ballard Power Systems, Inc. (Energy)+....................... 6,000 $ 173,144
-----------
DENMARK -- 0.5%
D/S 1912 (Industrial & Commercial).......................... 1 10,279
D/S Svendborg (Industrial & Commercial)..................... 1 14,316
Danisco A/S (Consumer Staples).............................. 48 2,006
ISS International Service Systems A/S, Class B (Industrial &
Commercial)................................................ 605 33,867
Novo-Nordisk A/S, Class B (Healthcare)...................... 54 6,417
Tele Danmark A/S (Utilities)................................ 152 9,053
-----------
75,938
-----------
FINLAND -- 1.3%
Merita Ltd. (Finance)+...................................... 800 4,495
Nokia Oyj (Information Technology).......................... 1,939 173,514
Sampo Corp. (Industrial & Commercial)+...................... 100 3,320
Sonera Group Oyj (Utilities)................................ 400 11,577
Tieto Corp., Class B (Information Technology)............... 100 3,160
UPM-Kymmene Oyj (Materials)................................. 300 10,215
-----------
206,281
-----------
FRANCE -- 11.0%
Accor SA (Information & Entertainment)...................... 116 27,019
Alcatel (Information Technology)............................ 1,144 157,515
Alstom (Industrial & Commercial)............................ 1,113 37,163
AXA SA de CV (Finance)+..................................... 759 95,945
Banque Nationale de Paris (Finance)+........................ 305 24,324
Bouygues SA (Energy)........................................ 25 7,922
Canal Plus (Information & Entertainment).................... 100 5,969
Cap Gemini SA (Industrial & Commercial)..................... 903 142,204
Carrefour SA (Consumer Discretionary)....................... 348 55,655
Compagnie de Saint-Gobain (Finance)......................... 69 12,848
Credit Local de France (Finance)+........................... 271 40,370
Danone Groupe (Consumer Staples)............................ 54 13,129
Elf Aquitaine SA (Energy)................................... 622 108,542
Establissements Economiques du Casino Guichard-Perrachon SA
(Real Estate).............................................. 56 6,435
France Telecom SA (Information Technology).................. 702 61,550
L'Oreal (Consumer Staples).................................. 47 29,981
L'Air Liquide SA (Industrial & Commercial).................. 63 9,988
Lafarge Corp. (Materials)................................... 70 7,731
Legrand SA (Industrial & Commercial)........................ 24 5,388
Michelin SA, Class B (Consumer Discretionary)............... 124 5,848
Moet Henessy Louis Vuitton (Consumer Staples)............... 71 21,267
Pernod-Ricard (Consumer Staples)............................ 51 3,424
Peugeot SA (Consumer Discretionary)......................... 41 8,210
Pinault-Printemps-Redoute SA (Consumer Discretionary)....... 85 16,099
Promodes (Consumer Discretionary)........................... 11 9,721
Rhone-Poulenc SA (Healthcare)............................... 2,250 116,114
Sanofi-Synthelabo SA (Healthcare)........................... 3,824 162,757
Schneider SA (Industrial & Commercial)+..................... 112 8,187
SEITA (Consumer Staples).................................... 981 58,455
Societe Generale (Finance).................................. 368 75,769
</TABLE>
- ----------------
172
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (CONTINUED)
Sodexho Alliance SA (Information & Entertainment)........... 24 $ 4,060
Suez Lyonnaise des Eaux (Industrial & Commercial)........... 105 16,982
Thomson CSF (Industrial & Commercial)....................... 143 4,854
Total Fina SA, Class B (Energy)+............................ 709 89,021
Total Fina SA (Energy)+..................................... 72 1
UBI Soft Entertainment (Information Technology)............. 1,250 174,238
Valeo SA (Consumer Discretionary)........................... 60 4,338
Vivendi (Industrial & Commercial)........................... 1,231 86,384
-----------
1,715,407
-----------
GERMANY -- 13.4%
Allianz AG (Finance)........................................ 150 43,190
AMB Aachener & Muenchener Beteiligungs AG (Finance)......... 50 4,623
BASF AG (Materials)......................................... 450 19,153
Bayer AG (Materials)........................................ 500 19,924
Commerzbank AG (Finance).................................... 1,489 57,037
DaimlerChrysler AG (Consumer Discretionary)+................ 650 44,749
DePfa Deutsche Pfandbriefbank AG (Finance).................. 1,500 123,696
Deutsche Bank AG (Finance)+................................. 444 29,693
Deutsche Lufthansa AG (Information Technology).............. 300 5,484
Deutsche Telekom AG (Information Technology)................ 1,653 67,717
Dresdner Bank AG (Finance).................................. 300 14,109
Drillisch AG (Information Technology)....................... 12,000 97,041
Gehe AG (Healthcare)........................................ 4,000 147,265
HypoVereinsbank AG (Finance)................................ 604 35,219
LHS Group AG (Information Technology)....................... 4,000 120,025
Mannesmann AG (Industrial & Commercial)+.................... 842 134,390
Merck KGAA (Healthcare)..................................... 150 5,427
Metro AG (Consumer Discretionary)........................... 200 10,406
Mobilcom AG (Information Technology)........................ 1,500 73,579
Munchener Ruckversicherungs AG (Finance)+................... 100 20,185
Preussag AG (Industrial & Commercial)....................... 1,494 75,192
RWE AG (Materials).......................................... 300 12,433
SAP AG (Information Technology)............................. 550 211,852
Schering AG (Healthcare).................................... 50 5,453
Siemens AG (Multi-industry)................................. 747 61,640
SKW Trostberg AG (Materials)................................ 6,000 130,240
Takkt AG (Consumer Discretionary)........................... 4,000 24,686
Thyssen Krupp AG (Industrial & Commercial).................. 1,000 20,057
VEBA AG (Utilities)......................................... 4,100 224,456
Viag AG (Industrial & Commercial)........................... 1,300 24,622
Volkswagen AG (Consumer Discretionary)...................... 250 13,939
Vossloh AG (Consumer Staples)............................... 5,000 106,671
W.E.T. Automotive Systems, AG (Consumer Discretionary)+..... 2,500 95,765
-----------
2,079,918
-----------
HONG KONG -- 2.0%
Cheung Kong (Holdings) Ltd. (Real Estate)................... 7,000 58,349
CLP Holdings Ltd. (Utilities)............................... 2,000 9,398
Giordano International Ltd. (Consumer Discretionary)........ 19,000 15,043
Hang Seng Bank Ltd. (Finance)............................... 3,500 37,060
</TABLE>
----------------
173
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (CONTINUED)
Hong Kong & China Gas Co. Ltd. (Utilities)+................. 15,300 $ 20,681
Hong Kong Telecommunications Ltd. (Information
Technology)................................................ 18,390 40,128
Hutchison Whampoa Ltd. (Industrial & Commercial)............ 8,000 74,151
New World China Land, Ltd. (Real Estate).................... 10,000 5,793
New World Development Co., Ltd. (Finance)................... 10,016 21,920
Sun Hung Kai Properties Ltd. (Finance)...................... 2,000 15,255
Swire Pacific Ltd., Class A (Industrial & Commercial)....... 1,000 4,737
-----------
302,515
-----------
IRELAND -- 0.3%
Allied Irish Banks PLC (Finance)............................ 617 7,399
Bank of Ireland (Finance)+.................................. 3,345 27,228
CRH PLC (Consumer Discretionary)............................ 298 5,701
Irish Life & Permanent PLC (Finance)........................ 168 1,886
Kerry Group, Class A (Consumer Staples)+.................... 159 2,014
-----------
44,228
-----------
ITALY -- 2.5%
Alitalia SpA (Industrial & Commercial)...................... 1,565 4,413
Assicurazione Generali SpA (Finance)........................ 746 24,766
Banca Commerciale Italiana (Finance)........................ 1,597 11,011
Banca di Roma (Finance)..................................... 13,203 20,019
Banca Intesa SpA (Finance).................................. 1,250 5,227
Edison SpA (Utilities)...................................... 370 3,252
ENI SpA (Energy)............................................ 5,690 35,661
Fiat SpA (Consumer Discretionary)........................... 326 10,857
Istituto Mobiliare Italiano SpA (Finance)................... 3,397 44,098
Istituto Nazionale delle Assicurazioni SpA (Finance)........ 3,704 12,060
Italgas SpA (Utilities)..................................... 848 3,663
Mediaset SpA (Information & Entertainment).................. 1,036 10,572
Montedison SpA (Materials).................................. 2,184 4,276
Olivetti SpA (Industrial & Commercial)...................... 3,759 8,100
Pirelli SpA (Industrial & Commercial)....................... 2,215 5,386
Seat Pagine Gialle SpA (Information & Entertainment)........ 37,050 36,939
Telecom Italia Mobile SpA (Utilities)....................... 4,832 30,026
Telecom Italia SpA (Utilities).............................. 6,261 54,362
UniCredito Italiano SpA (Finance)........................... 12,223 59,697
-----------
384,385
-----------
JAPAN -- 18.2%
Aderans Co. Ltd. (Consumer Discretionary)................... 600 27,477
Advantest Corp. (Information Technology)+................... 100 14,422
Ajinomoto Co., Inc. (Consumer Staples)...................... 1,000 11,659
Asahi Bank Ltd. (Finance)................................... 3,000 21,493
Asahi Breweries Ltd. (Consumer Staples)..................... 1,000 15,256
Asahi Glass Co., Ltd. (Materials)........................... 2,000 13,804
Bank of Tokyo-Mitsubishi Ltd. (Finance)..................... 8,000 122,495
Bridgestone Corp. (Consumer Discretionary).................. 2,000 55,816
Canon, Inc. (Information & Entertainment)................... 2,000 58,063
Chiba Bank Ltd. (Finance)................................... 3,000 12,025
</TABLE>
- ----------------
174
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Circle K Japan Co., Ltd. (Consumer Discretionary)........... 1,000 $ 42,424
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)..... 1,000 18,533
Daiwa House Industry Co., Ltd. (Consumer Discretionary)..... 1,000 9,861
Denso Corp. (Consumer Discretionary)........................ 1,000 21,118
East Japan Railway Co. (Industrial & Commercial)............ 3 19,049
Fanuc Ltd. (Information Technology)......................... 300 20,341
Fuji Bank Ltd. (Finance).................................... 5,000 60,592
Fuji Photo Film Co., Ltd. (Information & Entertainment)..... 2,000 68,365
Fujitsu Ltd. (Information Technology)....................... 1,000 31,092
Hitachi Ltd. (Industrial & Commercial)+..................... 3,000 33,152
Honda Motor Co., Ltd. (Consumer Discretionary).............. 2,000 83,536
Industrial Bank of Japan Ltd. (Finance)..................... 3,000 36,777
Jusco Co., Ltd. (Consumer Discretionary).................... 1,000 18,777
Kansai Electric Power Co., Inc. (Utilities)................. 900 17,363
KAO Corp. (Consumer Staples)................................ 2,000 56,378
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).... 2,000 10,639
Kirin Brewery Co., Ltd. (Consumer Staples).................. 3,000 35,821
Konami Co. (Information Technology)+........................ 300 28,938
Marui Co., Ltd. (Consumer Discretionary).................... 1,000 18,618
Matsushita Electric Industrial Co., Ltd. (Information
Technology)+............................................... 2,000 42,424
Mitsubishi Corp. (Industrial & Commercial).................. 2,000 16,482
Mitsubishi Estate Co., Ltd. (Real Estate)................... 1,000 10,124
Mitsubishi Heavy Industries Ltd. (Industrial &
Commercial)................................................ 3,000 11,519
Mitsubishi Trust & Banking Corp (Finance)................... 2,000 24,349
Mitsui Marine & Fire Co., Ltd. (Finance).................... 8,000 42,330
NEC Corp. (Industrial & Commercial)......................... 2,000 40,176
NGK Insulators Ltd. (Industrial & Commercial)............... 1,000 9,674
Nintendo Co., Ltd. (Information Technology)................. 300 47,706
Nippon Express Co., Ltd. (Industrial & Commercial).......... 2,000 13,373
Nippon Steel Corp. (Materials).............................. 7,000 18,945
Nippon Telegraph & Telephone Corp. (Information
Technology)................................................ 12 147,219
Nippon Telegraph & Telephone Mobile Communications Corp.
(Information Technology)................................... 4 78,666
Nissan Motor Co., Ltd. (Consumer Discretionary)+............ 3,000 18,121
Nomura Securities Co., Ltd. (Finance)....................... 2,000 30,905
Ricoh Co., Ltd. (Information Technology).................... 3,000 51,976
Rohm Co., Ltd. (Information Technology)..................... 1,000 208,372
Sankyo Co., Ltd. (Healthcare)+.............................. 1,000 29,968
Sekisui House Ltd. (Consumer Discretionary)................. 1,000 11,257
Sharp Corp. (Information Technology)........................ 1,000 15,977
Shin-Etsu Chemical Co., Ltd. (Materials).................... 3,000 124,742
Shiseido Co., Ltd. (Consumer Staples)....................... 1,000 14,890
SMC Corp. (Consumer Discretionary)+......................... 300 42,143
Sony Corp. (Information & Entertainment).................... 300 44,699
Sumitomo Bank Ltd. (Finance)................................ 3,000 44,952
Sumitomo Corp. (Industrial & Commercial).................... 2,000 14,666
Sumitomo Electric Industries Ltd. (Industrial &
Commercial)................................................ 1,000 13,673
Taisho Pharmaceutical Co., Ltd. (Healthcare)................ 1,000 41,955
Takeda Chemical Industries Ltd. (Healthcare)................ 1,000 53,849
Takefuji Corp. (Finance).................................... 400 66,417
TDK Corp. (Information & Entertainment)..................... 1,000 115,471
Terumo Corp. (Healthcare)................................... 1,000 30,811
</TABLE>
----------------
175
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Tohoku Electric Power Co., Inc. (Utilities)................. 600 $ 9,328
Tokai Bank Ltd. (Finance)................................... 2,000 14,403
Tokio Marine & Fire Insurance Co., Ltd. (Finance)........... 2,000 23,600
Tokyo Electric Power Co., Inc. (Utilities).................. 2,200 50,684
Toppan Forms Co., Ltd. (Industrial & Commercial)............ 1,900 47,954
Toppan Printing Co., Ltd. (Industrial & Commercial)......... 1,000 12,549
Toray Industries, Inc. (Materials).......................... 2,000 10,302
Toyoda Automatic Loom Works Ltd. (Industrial &
Commercial)................................................ 1,000 18,318
Toyota Motor Corp. (Consumer Discretionary)................. 2,000 63,495
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)............ 2,000 93,463
Yoshinoya D&C Co., Ltd. (Consumer Discretionary)............ 1 23,881
-----------
2,829,692
-----------
NETHERLANDS -- 7.5%
ABN Amro Holdings NV (Finance).............................. 1,040 23,350
Aegon NV (Finance)+......................................... 762 65,513
Akzo Nobel NV (Healthcare).................................. 215 9,105
Elsevier NV (Information & Entertainment)................... 486 4,990
Equant NV (Industrial & Commercial)+........................ 418 33,981
Fortis NV (Finance)......................................... 1,171 37,816
Getronics NV (Information Technology)+...................... 2,150 115,872
Heineken NV (Consumer Staples).............................. 227 11,280
ING Groep NV (Finance)...................................... 1,847 100,230
Koninklijke Ahold NV (Consumer Discretionary)............... 429 14,105
Koninklijke Numico NV (Consumer Staples).................... 3,500 144,870
Koninklijke Phillips Electronics NV (Information &
Entertainment)............................................. 737 74,107
KPN NV (Utilities).......................................... 1,796 78,639
Libertel NV (Information & Entertainment)+.................. 1,482 26,729
Royal Dutch Petroleum Co. (Energy).......................... 1,462 84,783
ST Microelectronics (Information Technology)................ 970 75,552
Stork NV (Industrial & Commercial)+......................... 5,000 103,745
TNT Post Group NV (Industrial & Commercial)................. 1,829 46,513
Unilever NV (Consumer Staples).............................. 393 26,721
VNU NV (Information & Entertainment)........................ 2,204 76,452
Wolters Kluwer NV (Information & Entertainment)+............ 156 5,345
-----------
1,159,698
-----------
NEW ZEALAND -- 0.1%
Telecommunications Corp. of New Zealand Ltd. ADR
(Information Technology)................................... 2,548 10,056
-----------
NORWAY -- 0.1%
Christiania Bank Og Kreditkasse (Finance)................... 550 2,954
Norsk Hydro ASA, Class B (Materials)........................ 200 8,468
Orkla SA (Consumer Staples)................................. 150 2,275
Storebrand ASA (Finance)+................................... 300 2,246
-----------
15,943
-----------
PORTUGAL -- 0.2%
Banco Comercial Portugues SA (Finance)...................... 200 5,384
Banco Espirito Santo SA (Finance)........................... 100 2,508
</TABLE>
- ----------------
176
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
PORTUGAL (CONTINUED)
Brisa-Auto Estradas de Portugal SA (Industrial &
Commercial)................................................ 100 $ 3,817
Electricidad de Portugal SA (Utilities)..................... 400 6,308
Jeronimo Martins SGPS SA (Consumer Discretionary)........... 100 2,830
Portugal Telecom SA (Utilities)............................. 220 9,148
-----------
29,995
-----------
SINGAPORE -- 0.7%
City Developments Ltd. (Real Estate)........................ 2,000 10,176
DBS Group Holdings Ltd. (Finance)........................... 2,326 25,997
First Capital Corp., Ltd. (Real Estate)..................... 8,000 9,035
Keppel Corp., Ltd. (Industrial & Commercial)................ 1,000 2,918
Natsteel Electronics Ltd. (Information Technology).......... 2,000 7,471
Overseas Chinese Banking Corp., Ltd. (Finance).............. 1,000 7,765
Sembcorp Industries Ltd. (Industrial & Commercial)+......... 2,000 2,306
Singapore Airlines Ltd. (Industrial & Commercial)........... 2,000 19,529
Singapore Press Holdings Ltd. (Information &
Entertainment)............................................. 1,000 15,765
Singapore Technologies Engineering Ltd. (Industrial &
Commercial)................................................ 3,000 3,829
Singapore Telecommunications Ltd. (Information
Technology)................................................ 5,000 9,117
-----------
113,908
-----------
SPAIN -- 1.9%
Acerinox SA (Materials)+.................................... 940 29,106
Aguas De Barcelona (Consumer Staples)+...................... 132 2,209
Autopistas Concesionaria Espana SA (Industrial &
Commercial)+............................................... 205 2,260
Banco Bilbao Vizcaya SA (Finance)........................... 1,371 18,060
Banco Santander Central Hispano, SA (Finance)............... 2,464 25,458
Corporation Bancaria de Espana SA (Finance)................. 361 7,936
Endesa SA (Utilities)....................................... 2,594 49,241
Fomento de Construcciones y Contratas AS (Industrial &
Commercial)................................................ 106 2,891
Gas Natural SDG, SA (Utilities)............................. 300 6,410
Grupo Dragados SA (Industrial & Commercial)................. 183 2,103
Iberdrola SA (Energy)....................................... 653 9,672
Repsol SA (Energy).......................................... 651 12,739
Tabacalera SA (Consumer Staples)............................ 159 3,008
Telefonica SA (Information Technology)+..................... 7,308 116,874
TelePizza SA (Information & Entertainment)+................. 227 1,051
Union Electrica-Fenosa SA (Utilities)....................... 157 2,354
-----------
291,372
-----------
SWEDEN -- 2.6%
ABB, Series A (Industrial & Commercial)..................... 600 8,507
AstraZeneca Group PLC (Industrial & Commercial)............. 604 25,176
Electrolux AB (Consumer Discretionary)...................... 300 5,602
Ericsson (LM) Telecommunications Co., Series B (Information
Technology)................................................ 3,363 104,260
ForeningsSparbanken AB, Class A (Finance)................... 450 7,305
Hennes & Mauritz AB (Consumer Discretionary)................ 800 20,164
NetCom Systems AB, Series B (Utilities)+.................... 100 3,710
Securitas AB, Series B (Industrial & Commercial)............ 6,229 93,515
Skandia Forsakrings AB (Finance)............................ 5,622 117,339
Skandinaviska Enskilda Banken, Class A (Finance)............ 500 5,096
</TABLE>
----------------
177
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
SWEDEN (CONTINUED)
Svenska Cellulosa AB (Materials)............................ 200 $ 5,334
Svenska Handelsbanken, Series A (Finance)................... 300 4,193
Volvo AB, Class B (Consumer Discretionary)+................. 300 8,477
-----------
408,678
-----------
SWITZERLAND -- 4.0%
Credit Suisse Group (Finance)............................... 200 36,606
Nestle SA (Consumer Staples)................................ 53 99,474
Novartis AG (Healthcare).................................... 85 125,930
Roche Holdings AG (Healthcare).............................. 1 18,506
Roche Holdings AG Genusschein (Healthcare).................. 10 115,574
Saurer AG (Industrial & Commercial)+........................ 150 64,592
Schweizerische Rueckversicherungs-Gesellschaft (Finance).... 10 19,933
Swisscom AG (Information Technology)........................ 50 15,574
UBS AG (Finance)+........................................... 378 106,419
Zurich Allied AG (Finance)+................................. 30 16,712
-----------
619,320
-----------
UNITED KINGDOM -- 22.4%
Abbey National PLC (Finance)@............................... 1,141 20,156
Allied Zurich PLC (Finance)+................................ 6,987 81,957
Ashtead Group PLC (Finance)................................. 45,000 125,201
Associated British Foods PLC (Consumer Staples)............. 921 6,004
BAA PLC (Information & Entertainment)@...................... 1,054 10,593
Barclays PLC (Finance)@..................................... 3,185 93,334
Bass PLC (Consumer Staples)+................................ 807 9,705
BG PLC (Utilities).......................................... 3,275 18,817
Blue Circle Industries PLC (Materials)@..................... 1,349 8,106
BOC Group PLC (Materials)@.................................. 622 12,984
Boots Co. PLC (Consumer Discretionary)@..................... 874 9,748
BP Amoco PLC (Energy)@...................................... 10,707 195,659
British Aerospace PLC (Industrial & Commercial)............. 1,734 11,419
British American Tobacco PLC (Consumer Staples)+............ 676 5,798
British Sky Broadcasting Group PLC (Information &
Entertainment)............................................. 1,662 16,006
British Telecommunications PLC (Information Technology)..... 10,278 155,670
Cable & Wireless PLC (Information Technology)............... 1,904 20,704
Cadbury Schweppes PLC (Consumer Staples).................... 1,859 12,915
Carlton Communications PLC (Information & Entertainment).... 5,540 41,954
Centrica PLC (Utilities)+................................... 2,680 7,346
CGU PLC (Finance)+.......................................... 1,166 17,929
Compass Group PLC (Consumer Staples)........................ 752 7,416
Diageo PLC (Consumer Staples)............................... 6,688 68,265
General Electric Co. PLC (Information Technology)+.......... 5,719 54,891
GKN PLC (Information Technology)............................ 794 12,640
Glaxo Wellcome PLC (Healthcare)............................. 6,316 163,769
Granada Group PLC (Information & Entertainment)............. 1,644 14,155
Great Universal Stores PLC (Consumer Discretionary)......... 3,301 25,026
Halifax Group PLC (Finance)................................. 3,538 44,471
Hays PLC (Industrial & Commercial).......................... 12,000 129,597
HSBC Holdings PLC (Finance)................................. 11,165 127,839
Imperial Chemical Industries PLC (Materials)................ 526 5,789
</TABLE>
- ----------------
178
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Jarvis PLC (Industrial & Commercial)........................ 30,000 $ 135,820
Kingfisher PLC (Consumer Discretionary)..................... 1,279 13,771
Land Securities PLC (Real Estate)........................... 664 9,029
Legal & General Group Ltd. PLC (Finance).................... 3,348 9,480
Lloyds TSB Group PLC (Finance).............................. 6,726 82,272
Marks & Spencer PLC (Consumer Discretionary)................ 2,567 13,291
Mayflower Corp. PLC (Consumer Discretionary)................ 50,000 184,797
Misys PLC (Information Technology).......................... 4,801 46,910
National Grid Co. (Utilities)............................... 1,460 10,191
National Westminster Bank PLC (Finance)..................... 1,149 26,766
NXT PLC (Industrial & Commercial)........................... 18,000 133,350
Pearson PLC (Information & Entertainment)................... 573 12,236
Pilkington PLC (Materials).................................. 110,000 184,715
Prudential PLC (Finance).................................... 1,550 23,859
Railtrack Group PLC (Industrial & Commercial)+.............. 189 3,989
Reckitt & Colman PLC (Consumer Staples)..................... 5,680 70,506
Rentokil Initial PLC (Industrial & Commercial).............. 2,443 8,647
Reuters Group PLC (Information & Entertainment)............. 1,243 14,038
Rio Tinto PLC (Materials)+.................................. 1,072 18,619
Rolls Royce PLC (Consumer Discretionary).................... 1,245 4,309
Royal Bank of Scotland Group PLC (Finance).................. 373 7,983
Sainsbury (J.) PLC (Consumer Discretionary)+................ 733 4,574
Scottish Power PLC (Utilities).............................. 1,165 10,568
Shell Transport & Trading Co. PLC (Energy).................. 6,073 45,191
Siebe PLC (Industrial & Commercial)......................... 2,551 12,389
SmithKline Beecham Consumer Healthcare Ltd. PLC
(Healthcare)@.............................................. 4,030 46,226
Stagecoach Holdings PLC (Industrial & Commercial)........... 7,783 24,313
Tesco PLC (Consumer Discretionary).......................... 5,778 18,073
Trifast PLC (Industrial & Commercial)....................... 15,000 254,353
Unilever PLC (Consumer Staples)............................. 6,426 60,407
Vodafone AirTouch PLC ADR (Information Technology).......... 187 44,459
Vodafone Group PLC (Information Technology)................. 13,343 314,891
Zeneca Group PLC (Healthcare)............................... 2,160 90,678
-----------
3,476,563
-----------
UNITED STATES -- 0.6%
Netbank, Inc. (Finance)+.................................... 4,500 99,000
-----------
TOTAL COMMON STOCK (cost $14,031,779)....................... 14,852,650
-----------
<CAPTION>
PREFERRED STOCK -- 1.3%
- ----------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 0.1%
News Corp., Ltd. 5.00% (Information & Entertainment)........ 1,412 9,309
-----------
GERMANY -- 1.2%
Henkel KGaA 1.22% (Finance)................................. 386 24,233
Marschollek Lautenschlaeger und Partner AG (Finance)........ 600 103,936
SAP AG (Information Technology)............................. 138 61,819
-----------
189,988
-----------
</TABLE>
----------------
179
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK (CONTINUED)
SHARES VALUE
- ----------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS -- 0.0%
Unilever NV (Consumer Staples).............................. 441 $ 2,370
-----------
TOTAL PREFERRED STOCK (cost $214,488)....................... 201,667
-----------
<CAPTION>
RIGHTS -- 0.0%+
RIGHTS
- ----------------------------------------------------------------------------------------
<S> <C> <C>
SWEDEN -- 0.0%
Svenska Cellulosa 10/22/99 (cost $247)...................... 200 319
-----------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
- ----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 0.0%
Banque Nation de Paris 7/15/02 (cost $0).................... 65 540
-----------
TOTAL INVESTMENT SECURITIES (cost $14,246,514).............. 15,055,176
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
- -----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.55% due 12/02/99@ (cost
$19,843)................................................... $ 20,000 19,842
-----------
<CAPTION>
REPURCHASE AGREEMENT -- 0.8%
- -----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.8%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $115,014 and collateralized by
$95,000 of U.S. Treasury Bonds, bearing interest at 8.75%,
due 8/15/20 and having an approximate value of $119,878
(cost $115,000)............................................ 115,000 115,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $14,381,357) 97.8% 15,190,018
Other assets less liabilities -- 2.2 347,432
----- -----------
NET ASSETS -- 100.0% $15,537,450
===== ===========
</TABLE>
- -------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE SEPTEMBER 30, 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Dax Index December 1999 $146,507 $137,240 $(9,268)
2 Long Nikkei 300 Index December 1999 55,629 55,084 (545)
-------
Net Unrealized Depreciation................................................................ $(9,813)
=======
</TABLE>
- ----------------
180
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
- ---------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C>
HKD 222,487 USD 28,251 12/08/99 $ (375)
HKD 270,139 USD 34,682 12/08/99 (74)
HKD 141,380 USD 18,165 12/08/99 (25)
HKD 573,359 USD 72,757 12/08/99 (1,013)
-------
Net Unrealized Depreciation......................... $(1,487)
=======
</TABLE>
- -------------
HKD -- Hong Kong Dollar
USD -- United States Dollar
See Notes to Financial Statements
----------------
181
<PAGE>
- ----------------
SEASONS SERIES TRUST
DIVERSIFIED FIXED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
BONDS & NOTES -- 93.6% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.8%
RETAIL -- 1.8%
CVS Corp. 5.50% 2004* ...................................... $ 200,000 $ 192,726
Shop At Home, Inc. 11.00% 2005.............................. 50,000 49,438
Travelcenters of America, Inc. 10.25% 2007.................. 50,000 49,375
-----------
291,539
-----------
CONSUMER STAPLES -- 1.5%
FOOD, BEVERAGE & TOBACCO -- 1.2%
Diageo Capital PLC 6.13% 2005............................... 200,000 191,166
HOUSEHOLD PRODUCTS -- 0.3%
Revlon Consumer Products Corp. 9.00% 2006................... 50,000 45,250
-----------
236,416
-----------
ENERGY -- 1.1%
ENERGY SERVICES -- 0.6%
Key Energy Services, Inc., Series B 14.00% 2009............. 50,000 52,375
R&B Falcon Corp. 12.25% 2006................................ 50,000 52,500
ENERGY SOURCES -- 0.5%
Eott Energy Partners LP 11.00% 2009......................... 75,000 76,313
-----------
181,188
-----------
FINANCE -- 3.6%
FINANCIAL SERVICES -- 3.6%
Ford Motor Credit Co. 5.75% 2004............................ 200,000 191,491
J. P. Morgan & Co., Inc. 5.75% 2004......................... 200,000 191,118
Toyota Motor Credit Corp. 5.63% 2003........................ 200,000 192,978
-----------
575,587
-----------
HEALTHCARE -- 0.8%
HEALTH SERVICES -- 0.8%
Tenet Healthcare Corp. 8.00% 2005........................... 50,000 47,500
Fresenius Medical Care Capital Trust 7.88% 2008............. 75,000 70,125
-----------
117,625
-----------
INDUSTRIAL & COMMERCIAL -- 4.0%
BUSINESS SERVICES -- 2.4%
Allied Waste North America, Inc., Series B 7.63% 2006....... 75,000 67,500
Allied Waste North America, Inc., Series B 7.88% 2009....... 50,000 44,062
Evenflo Co., Inc., Series B 11.75% 2006..................... 75,000 73,688
Pentacon, Inc., Series B 12.25% 2009........................ 50,000 48,500
</TABLE>
- ----------------
182
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Polymer Group, Inc., Series B 9.00% 2007.................... $ 100,000 $ 94,500
SFC New Holdings, Inc. 12.13% 2002.......................... 50,000 48,500
MULTI-INDUSTRY -- 0.5%
Diamond Holdings PLC 9.13% 2008............................. 50,000 49,625
Schuff Steel Co. 10.50% 2008................................ 40,000 34,700
TRANSPORTATION -- 1.1%
Gulfmark Offshore, Inc. 8.75% 2008.......................... 100,000 94,375
Statia Terminals International NV 11.75% 2003............... 75,000 80,063
-----------
635,513
-----------
INFORMATION & ENTERTAINMENT -- 5.2%
BROADCASTING & MEDIA -- 2.5%
Airgate PCS, Inc. zero coupon 2009.......................... 50,000 27,250
Chancellor Media Corp. 8.00% 2008........................... 100,000 97,000
Chancellor Media Corp. 9.38% 2004........................... 40,000 40,050
Cumulus Media, Inc. 10.38% 2008............................. 50,000 51,500
Echostar DBS Corp. 9.25% 2006* ............................. 50,000 49,250
Echostar DBS Corp. 9.38% 2009* ............................. 50,000 49,312
Mediacom LLC/Capital Corp. 7.88% 2011*...................... 100,000 87,250
LEISURE & TOURISM -- 2.7%
American Airlines, Inc. 7.02% 2009.......................... 130,000 130,000
Continental Airlines, Inc. 6.32% 2008....................... 200,000 186,688
ITT Corp. 6.25% 2000........................................ 50,000 49,050
ITT Corp. New 7.38% 2015.................................... 25,000 20,782
Mohegan Tribal Gaming Authority 8.13% 2006.................. 50,000 48,875
-----------
837,007
-----------
INFORMATION TECHNOLOGY -- 3.6%
COMMUNICATION EQUIPMENT -- 0.2%
Wavetek Corp. 10.13% 2007................................... 50,000 42,375
SOFTWARE -- 0.3%
Globix Corp. 13.00% 2005.................................... 50,000 44,125
TELECOMMUNICATIONS -- 3.1%
e.Spire Communications, Inc. zero coupon 2005(2)............ 50,000 30,500
Flag Ltd. 8.25% 2008........................................ 50,000 43,625
L-3 Communications Corp., Series B 10.38% 2007.............. 50,000 51,875
Nextel Communications, Inc. 9.75% 2004...................... 100,000 100,750
Pac-West Telecommuncations, Inc. 13.50% 2009*............... 50,000 50,812
Primus Telecommunications Group 11.25% 2009................. 75,000 71,812
RSL Communications PLC 10.50% 2008.......................... 50,000 46,250
Williams Communications Group, Inc. 7.88% 2009.............. 50,000 49,625
Worldwide Fiber, Inc. 12.50% 2005........................... 50,000 50,188
-----------
581,937
-----------
</TABLE>
----------------
183
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 1.2%
METALS & MINERALS -- 1.2%
Armco, Inc. 8.88% 2008...................................... $ 100,000 $ 98,250
California Steel Industries, Inc. 8.50% 2009*............... 50,000 47,250
MMI Products, Inc., Series B 11.25% 2007.................... 50,000 50,625
-----------
196,125
-----------
REAL ESTATE -- 0.5%
REAL ESTATE COMPANIES -- 0.5%
HMH Properties, Inc., Series B 7.88% 2008................... 100,000 89,250
-----------
U.S. GOVERNMENT & AGENCIES -- 70.3%
U.S. GOVERNMENT & AGENCIES -- 70.3%
Federal Home Loan Banks 5.13% 2002.......................... 750,000 733,478
Federal Home Loan Banks 5.25% 2002.......................... 100,000 97,935
Federal Home Loan Banks 5.38% 2001.......................... 550,000 545,726
Federal Home Loan Mortgage Corp. 5.75% 2009................. 50,000 46,773
Federal Home Loan Mortgage Corp. 7.50% 2026................. 296,154 297,448
Federal Home Loan Mortgage Corp. 7.50% 2028................. 240,940 241,993
Federal National Mortgage Association 5.13% 2004............ 1,500,000 1,429,215
Federal National Mortgage Association 5.38% 2002............ 200,000 196,599
Federal National Mortgage Association 6.00% 2028............ 373,697 348,625
Federal National Mortgage Association 6.00% 2028............ 383,220 357,353
Federal National Mortgage Association 6.00% 2028............ 608,750 567,659
Government National Mortgage Association 6.50% 2028......... 247,952 237,024
Government National Mortgage Association 7.50% 2007......... 176,061 179,211
United States Treasury Bonds 6.25% 2023..................... 1,000,000 983,280
United States Treasury Bonds 7.13% 2023..................... 60,000 65,082
United States Treasury Bonds 7.50% 2001..................... 200,000 207,156
United States Treasury Bonds 8.13% 2021..................... 30,000 35,784
United States Treasury Bonds 8.75% 2020..................... 100,000 125,922
United States Treasury Bonds 9.00% 2018..................... 700,000 892,612
United States Treasury Bonds 12.00% 2013.................... 300,000 414,141
United States Treasury Notes 4.75% 2008..................... 500,000 455,155
United States Treasury Notes 5.50% 2003..................... 200,000 197,906
United States Treasury Notes 6.25% 2002..................... 450,000 455,553
United States Treasury Notes 6.50% 2005..................... 1,550,000 1,586,813
United States Treasury Notes 6.88% 2006..................... 300,000 313,032
United States Treasury Notes 7.00% 2006..................... 265,000 278,332
-----------
11,289,807
-----------
TOTAL BONDS & NOTES (cost $15,713,238)...................... 15,031,994
-----------
<CAPTION>
PREFERRED STOCK -- 0.4%
SHARES
- ------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.2%
BUSINESS SERVICES -- 0.2%
CSC Holdings, Inc. 11.13% Series M (1)...................... 289 30,938
-----------
INFORMATION TECHNOLOGY -- 0.2%
TELECOMMUNICATIONS -- 0.2%
Global Crossing Holdings Ltd. 10.50% (1).................... 350 37,100
-----------
TOTAL PREFERRED STOCK (cost $70,380)........................ 68,038
-----------
</TABLE>
- ----------------
184
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS VALUE
- ------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.0%
ENERGY SERVICES -- 0.0%
Key Energy Services, Inc. 1/15/09 (cost $2,548)............. 50 $ 125
-----------
TOTAL INVESTMENT SECURITIES (cost $15,786,166).............. 15,100,157
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.9% PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.9%
ABN Amro Bank NA Joint Repurchase Agreement Account
(Note 3)................................................... $ 400,000 400,000
Agreement with State Street Bank & Trust Co., bearing
interest at 4.25%, dated 9/30/99, to be repurchased
10/01/99 in the amount of $301,036 and collaterlized by
$270,000 of U.S. Treasury Bonds, bearing interest at 7.50%,
due 11/15/24 and having an approximate value of $312,356... 301,000 301,000
State Street Bank & Trust Co. Joint Repurchase Agreement
(Note 3)................................................... 401,000 401,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $1,102,000)............... 1,102,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $16,888,166) 100.9% 16,202,157
Liabilities in excess of other
assets -- (0.9) (137,434)
----- -----------
NET ASSETS -- 100.0% $16,064,723
===== ===========
</TABLE>
- -------------
* Resale restricted to qualified institutional buyers
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
See Notes to Financial Statements
----------------
185
<PAGE>
- ------------------
SEASONS SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 101.3% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 30.1%
Bell South Telecommunications 5.35% due 2/16/00 ............ $ 100,000 $ 97,819
Bemis Co., Inc. 5.45% due 2/24/00 .......................... 100,000 97,680
CSC Enterprises 5.30% due 11/18/99 ......................... 100,000 99,293
Golden Peanut Co. 5.12% due 10/12/99 ....................... 100,000 99,844
Monsanto Co. Series B 5.43% due 1/24/00 .................... 100,000 98,160
USAA Capital Corp. 5.12% due 10/04/99 ...................... 100,000 99,957
-----------
TOTAL COMMERCIAL PAPER (cost $593,098) ..................... 592,753
-----------
FEDERAL AGENCY OBLIGATIONS -- 35.4%
Federal Farm Credit Bank Discount Notes 5.14% due
10/12/99 .................................................. 100,000 99,842
Federal Home Loan Mortgage Discount Notes 5.20% due
10/22/99 .................................................. 200,000 199,391
Federal Home Loan Mortgage Discount Notes 5.22% due
10/22/99 .................................................. 400,000 398,782
-----------
TOTAL FEDERAL AGENCY OBLIGATIONS (cost $698,015) ........... 698,015
-----------
TIME DEPOSIT -- 35.8%
Cayman Island Time Deposit 5.00% due 10/01/99 (cost
$704,000).................................................. 704,000 704,000
-----------
TOTAL SHORT-TERM SECURITIES (cost $1,995,113) .............. 1,994,768
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $1,995,113) 101.3% 1,994,768
Liabilities in excess of other
assets -- (1.3) (25,549)
----- -----------
NET ASSETS -- 100.0% $ 1,969,219
===== ===========
</TABLE>
- -------------
See Notes to Financial Statements
- ----------------
186
<PAGE>
(This page has been left blank intentionally.)
----------------
187
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $70,327,231 $75,857,478 $62,036,240 $50,290,759 $108,163,581 $ 99,301,877
Short-term securities*... 990,472 785,828 756,132 501,423 1,109,326 3,241,230
Repurchase agreements
(cost equals market)... 3,379,000 4,303,000 3,744,000 3,311,000 18,110,000 --
Cash..................... 11,197 90,223 7,721 3,738 465 41,019
Foreign currency*........ 17 12 6 2 6,619 12,251
Receivables for --
Fund shares sold....... 111,798 410,052 118,313 59,585 320,892 262,928
Dividends and accrued
interest............. 300,308 528,989 696,301 696,048 401,878 107,275
Sales of investments... 1,086,130 1,076,298 193,635 87,475 1,219,946 1,135,603
Foreign currency
contracts............ 80,795 61,117 31,393 11,235 538,604 273,803
Variation margin on
futures contracts.... -- -- -- -- 88,106 --
Prepaid expenses......... 173 187 149 119 283 231
Due from Adviser......... -- -- -- -- -- --
Deferred organizational
expenses............... 8,172 8,172 8,172 8,172 8,172 8,172
Unrealized appreciation
on forward foreign
currency contracts..... 14,518 10,661 5,089 1,889 -- --
--------------------------------------------------------------------------------
76,309,811 83,132,017 67,597,151 54,971,445 129,967,872 104,384,389
--------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 110,219 406,666 115,195 54,449 315,006 258,489
Purchases of
investments.......... 1,370,227 1,885,754 1,762,174 1,828,528 2,945,557 987,233
Management fees........ 55,511 57,029 44,323 33,923 87,300 71,668
Foreign currency
contracts............ 80,667 61,020 31,344 11,217 540,271 272,128
Variation margin on
futures contracts.... -- -- -- -- -- --
Other accrued expenses... 46,181 46,044 47,089 41,033 95,453 73,842
Unrealized depreciation
on forward foreign
currency contracts..... 21,179 17,154 8,777 3,433 -- --
Written call options at
value#................. 19,025 19,025 -- -- -- --
Due to custodian......... -- -- -- -- -- --
Due to Adviser........... -- -- -- 427 629 --
--------------------------------------------------------------------------------
1,703,009 2,492,692 2,008,902 1,973,010 3,984,216 1,663,360
--------------------------------------------------------------------------------
NET ASSETS............... $74,606,802 $80,639,325 $65,588,249 $52,998,435 $125,983,656 $102,721,029
================================================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 4,158,281 5,055,726 4,854,319 4,398,082 9,889,807 6,363,572
Net asset value per
share.................. $17.94 $15.95 $13.51 $12.05 $12.74 $16.14
================================================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $50,747,962 $61,234,535 $56,980,147 $49,857,194 $113,130,624 $ 85,700,145
Accumulated undistributed
net investment income
(loss)................. 325,332 1,010,543 1,532,632 1,659,349 1,131,581 5,882
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 13,385,836 10,424,321 4,517,616 1,522,673 6,370,954 6,213,786
Unrealized appreciation
(depreciation) on
investments............ 10,149,347 7,971,433 2,561,542 (39,237) 5,962,217 10,801,487
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ (6,661) (6,493) (3,688) (1,544) 5,911 (271)
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... 4,986 4,986 -- -- (617,631) --
--------------------------------------------------------------------------------
$74,606,802 $80,639,325 $65,588,249 $52,998,435 $125,983,656 $102,721,029
================================================================================
- ---------------
* Cost
Investment securities... $60,177,885 $67,886,021 $59,474,784 $50,330,177 $102,191,667 $ 88,500,390
================================================================================
Short-term securities... $ 990,471 $ 785,852 $ 756,046 $ 501,242 $ 1,119,023 $ 3,241,230
================================================================================
Foreign currency........ $ 17 $ 12 $ 6 $ 2 $ 6,619 $ 11,987
================================================================================
# Proceeds from written
call options........... $ 24,011 $ 24,011 $ -- $ -- $ -- $ --
================================================================================
</TABLE>
See Notes to Financial Statements
- ----------------
188
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $18,546,176 $12,407,763 $14,965,649 $16,503,255 $14,043,797
Short-term securities*... 339,683 135,561 275,053 19,842 19,842
Repurchase agreements
(cost equals market)... 1,154,000 595,000 378,000 467,000 924,000
Cash..................... 9,728 9,327 550 87,071 868
Foreign currency*........ -- 86 26 -- --
Receivables for --
Fund shares sold....... 94,864 40,890 29,343 82,792 5,765
Dividends and accrued
interest............. 10,866 12,316 28,877 5,007 21,428
Sales of investments... 72,739 75,490 65,572 107,487 2,503
Foreign currency
contracts............ 19,335 -- -- -- --
Variation margin on
futures contracts.... 7,320 1,830 2,745 930 1,860
Prepaid expenses......... -- -- -- -- --
Due from Adviser......... -- 870 -- -- 291
Deferred organizational
expenses............... -- -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... 5,827 -- -- -- --
---------------------------------------------------------------
20,260,538 13,279,133 15,745,815 17,273,384 15,020,354
---------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 470 59 20,098 80,217 --
Purchases of
investments.......... 63,267 109,372 135,245 186,731 294,106
Management fees........ 12,934 8,714 10,493 11,942 10,575
Foreign currency
contracts............ 19,304 -- -- -- --
Variation margin on
futures contracts.... -- -- -- -- --
Other accrued expenses... 35,694 33,479 35,521 35,122 34,671
Unrealized depreciation
on forward foreign
currency contracts..... 2,451 27 -- -- --
Written call options at
value#................. -- -- -- -- --
Due to custodian......... -- -- -- -- --
Due to Adviser........... 841 -- 435 866 --
---------------------------------------------------------------
134,961 151,651 201,792 314,878 339,352
---------------------------------------------------------------
NET ASSETS............... $20,125,577 $13,127,482 $15,544,023 $16,958,506 $14,681,002
===============================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,807,036 1,250,834 1,499,910 1,498,194 1,437,917
Net asset value per
share.................. $11.14 $10.49 $10.36 $11.32 $10.21
===============================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $18,564,870 $12,607,752 $15,200,678 $15,181,635 $14,474,598
Accumulated undistributed
net investment income
(loss)................. (11,835) 30,364 128,904 (45,721) 97,736
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 429,089 5,848 386,874 621,008 656,261
Unrealized appreciation
(depreciation) on
investments............ 1,159,456 488,327 (165,165) 1,203,992 (542,777)
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 3,377 36 -- -- (1)
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (19,380) (4,845) (7,268) (2,408) (4,815)
---------------------------------------------------------------
$20,125,577 $13,127,482 $15,544,023 $16,958,506 $14,681,002
===============================================================
- ---------------
* Cost
Investment securities... $17,386,716 $11,919,442 $15,130,813 $15,299,262 $14,586,573
===============================================================
Short-term securities... $ 339,687 $ 135,555 $ 275,054 $ 19,843 $ 19,843
===============================================================
Foreign currency........ $ -- $ 86 $ 26 $ -- $ --
===============================================================
# Proceeds from written
call options........... $ -- $ -- $ -- $ -- $ --
===============================================================
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH
SMALL CAP EQUITY FIXED INCOME MANAGEMENT
<S> <C> <C> <C> <C>
- -------------------------
ASSETS:
Investment securities, at
value*................. $12,388,806 $15,055,176 $15,100,157 $ --
Short-term securities*... 19,843 19,842 -- 1,994,768
Repurchase agreements
(cost equals market)... 1,040,000 115,000 1,102,000 --
Cash..................... 4,099 11,109 629 351
Foreign currency*........ -- 299,511 -- --
Receivables for --
Fund shares sold....... 36,733 1,136 6,487 621
Dividends and accrued
interest............. 5,980 34,661 224,064 98
Sales of investments... 272,022 98,575 52,841 --
Foreign currency
contracts............ -- 126,081 -- --
Variation margin on
futures contracts.... 655 1,949 -- --
Prepaid expenses......... -- -- -- --
Due from Adviser......... 607 4,504 309 1,816
Deferred organizational
expenses............... -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... -- -- -- --
----------------------------------------------------
13,768,745 15,767,544 16,486,487 1,997,654
----------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 76 53 65 220
Purchases of
investments.......... 106,429 42,108 377,786 --
Management fees........ 9,456 12,827 9,163 745
Foreign currency
contracts............ -- 125,885 -- --
Variation margin on
futures contracts.... -- -- -- --
Other accrued expenses... 33,564 47,734 34,750 27,470
Unrealized depreciation
on forward foreign
currency contracts..... -- 1,487 -- --
Written call options at
value#................. 2,950 -- -- --
Due to custodian......... -- -- -- --
Due to Adviser........... -- -- -- --
----------------------------------------------------
152,475 230,094 421,764 28,435
----------------------------------------------------
NET ASSETS............... $13,616,270 $15,537,450 $16,064,723 $1,969,219
====================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,290,339 1,425,937 1,630,731 191,770
Net asset value per
share.................. $10.55 $10.90 $9.85 $10.27
====================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $12,998,522 $14,338,862 $16,289,229 $1,908,578
Accumulated undistributed
net investment income
(loss)................. 4,538 73,760 515,559 61,055
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 586,359 321,688 (54,056) (69)
Unrealized appreciation
(depreciation) on
investments............ 27,496 808,661 (686,009) (345)
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ -- 4,292 -- --
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (645) (9,813) -- --
----------------------------------------------------
$13,616,270 $15,537,450 $16,064,723 $1,969,219
====================================================
- ---------------
* Cost
Investment securities... $12,361,310 $14,246,514 $15,786,166 $ --
====================================================
Short-term securities... $ 19,843 $ 19,843 $ -- $1,995,113
====================================================
Foreign currency........ $ -- $ 295,379 $ -- $ --
====================================================
# Proceeds from written
call options........... $ 4,988 $ -- $ -- $ --
====================================================
</TABLE>
See Notes to Financial Statements
----------------
189
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
INCOME:
Interest............... $ 727,103 $ 1,184,528 $1,494,079 $1,495,211 $1,134,024 $ 117,103
Dividends.............. 78,900 72,508 50,760 28,695 648,026 476,905
------------------------------------------------------------------------------
Total income*........ 806,003 1,257,036 1,544,839 1,523,906 1,782,050 594,008
------------------------------------------------------------------------------
EXPENSES:
Management fees........ 330,378 340,680 277,179 214,320 567,002 437,960
Custodian fees......... 65,376 68,088 60,987 51,292 168,216 96,280
Auditing fees.......... 8,843 8,808 8,709 8,687 8,946 8,940
Reports to investors... 6,362 7,079 5,538 4,273 10,095 7,864
Legal fees............. 2,140 2,281 1,874 1,479 2,573 1,675
Trustees' fees......... 221 280 214 214 428 321
Interest expense....... -- -- -- -- -- --
Amortization of
organizational
expenses............. 1,610 1,610 1,610 1,610 1,610 1,610
Other expenses......... 456 473 424 372 663 580
------------------------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 415,386 429,299 356,535 282,247 759,533 555,230
Expenses reimbursed
by the investment
adviser............ -- -- -- -- -- --
Custody credits
earned on cash
balances........... (1,232) (1,253) (1,720) (894) (1,159) (489)
------------------------------------------------------------------------------
Net investment income
(loss)................. 391,849 828,990 1,190,024 1,242,553 1,023,676 39,267
------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 5,280,481 3,774,218 1,592,085 499,680 2,814,947 3,588,651
Net realized gain
(loss) on futures and
options contracts.... (170,804) -- -- -- 252,457 --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... 135,005 106,625 55,655 20,869 (7,919) (28,088)
Change in unrealized
appreciation/depreciation
on investments....... (2,427,068) (2,380,413) (1,907,818) (1,832,778) (2,553,780) (4,087,091)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... (111,197) (88,131) (46,807) (17,075) (2,444) (739)
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... 11,524 11,180 -- -- (598,887) --
------------------------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 2,717,941 1,423,479 (306,885) (1,329,304) (95,626) (527,267)
------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 3,109,790 $ 2,252,469 $ 883,139 $ (86,751) $ 928,050 $ (488,000)
==============================================================================
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 955 $ 1,094 $ 1,116 $ 796 $ 36,040 $ 16,045
==============================================================================
** Net of foreign
withholding taxes on
capital gains of....... $ -- $ -- $ -- $ -- $ -- $ --
==============================================================================
</TABLE>
See Notes to Financial Statements
- ----------------
190
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------
INCOME:
Interest............... $ 21,579 $ 14,565 $ 13,540 $ 14,520 $ 23,931
Dividends.............. 52,731 71,896 167,122 28,773 126,152
--------------------------------------------------------
Total income*........ 74,310 86,461 180,662 43,293 150,083
--------------------------------------------------------
EXPENSES:
Management fees........ 70,301 51,346 63,610 68,546 65,525
Custodian fees......... 21,154 19,246 19,614 20,830 19,437
Auditing fees.......... 15,077 15,077 15,077 15,077 15,077
Reports to investors... 5,789 5,691 5,726 5,747 5,712
Legal fees............. 1,408 1,394 1,401 1,401 1,401
Trustees' fees......... 259 259 259 259 259
Interest expense....... -- -- -- -- --
Amortization of
organizational
expenses............. -- -- -- -- --
Other expenses......... 599 599 599 599 599
--------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 114,587 93,612 106,286 112,459 108,010
Expenses reimbursed
by the investment
adviser............ (17,488) (22,439) (17,840) (17,925) (18,990)
Custody credits
earned on cash
balances........... (435) (572) (982) (1,796) (368)
--------------------------------------------------------
Net investment income
(loss)................. (22,354) 15,860 93,198 (49,445) 61,431
--------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 422,554 (6,259) 383,577 638,065 639,544
Net realized gain
(loss) on futures and
options contracts.... (20,985) (208) (5,160) 5,057 937
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (4,171) (708) 15 -- (4)
Change in unrealized
appreciation/depreciation
on investments....... 174,960 17,007 (401,754) 570,808 (473,420)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... 3,377 36 (1) -- --
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... (16,720) (2,187) (5,938) (895) (3,302)
--------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 559,015 7,681 (29,261) 1,213,035 163,755
--------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 536,661 $ 23,541 $ 63,937 $1,163,590 $ 225,186
========================================================
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 142 $ 764 $ 1,531 $ 153 $ 343
========================================================
** Net of foreign
withholding taxes on
capital gains of....... $ -- $ -- $ -- $ -- $ --
========================================================
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH
SMALL CAP EQUITY FIXED INCOME MANAGEMENT
<S> <C> <C> <C> <C>
- -------------------------
INCOME:
Interest............... $ 26,561 $ 11,202 $ 489,149 $ 51,798
Dividends.............. 41,550 143,089 1,827 --
---------------------------------------------------
Total income*........ 68,111 154,291 490,976 51,798
---------------------------------------------------
EXPENSES:
Management fees........ 55,345 74,850 55,057 5,638
Custodian fees......... 17,902 39,187 19,779 6,047
Auditing fees.......... 15,077 15,336 15,161 17,084
Reports to investors... 5,691 5,712 5,726 1,102
Legal fees............. 1,394 1,400 1,401 1,380
Trustees' fees......... 259 259 259 259
Interest expense....... -- -- -- --
Amortization of
organizational
expenses............. -- -- -- --
Other expenses......... 599 599 599 599
---------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 96,267 137,343 97,982 32,109
Expenses reimbursed
by the investment
adviser............ (21,029) (38,333) (19,151) (23,327)
Custody credits
earned on cash
balances........... (359) (1,706) (178) (68)
---------------------------------------------------
Net investment income
(loss)................. (6,768) 56,987 412,323 43,084
---------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 594,294 293,675 (36,646) (31)
Net realized gain
(loss) on futures and
options contracts.... 5,060 27,105 -- --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (19) (5,763) -- --
Change in unrealized
appreciation/depreciation
on investments....... 110,331 380,115 (517,395) (390)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... -- 6,986 -- --
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... 865 (14,181) -- --
---------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 710,531 687,937 (554,041) (421)
---------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $703,763 $744,924 $(141,718) $ 42,663
===================================================
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 222 $ 18,265 $ -- $ --
===================================================
** Net of foreign
withholding taxes on
capital gains of....... $ -- $ -- $ -- $ --
===================================================
</TABLE>
See Notes to Financial Statements
----------------
191
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the six months ended September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ 391,849 $ 828,990 $ 1,190,024 $ 1,242,553 $ 1,023,676 $ 39,267
Net realized gain (loss) on
investments........................... 5,280,481 3,774,218 1,592,085 499,680 2,814,947 3,588,651
Net realized gain (loss) on futures and
options contracts..................... (170,804) -- -- -- 252,457 --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 135,005 106,625 55,655 20,869 (7,919) (28,088)
Change in unrealized
appreciation/depreciation on
investments........................... (2,427,068) (2,380,413) (1,907,818) (1,832,778) (2,553,780) (4,087,091)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... (111,197) (88,131) (46,807) (17,075) (2,444) (739)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 11,524 11,180 -- -- (598,887) --
--------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 3,109,790 2,252,469 883,139 (86,751) 928,050 (488,000)
--------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... -- -- -- -- -- --
Distributions from net realized gain on
investments........................... -- -- -- -- -- --
--------------------------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... -- -- -- -- -- --
--------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 12,985,211 13,797,191 9,750,735 9,677,560 22,553,464 19,701,766
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- -- -- --
Cost of shares repurchased.............. (11,200,491) (11,104,342) (7,166,699) (6,842,332) (15,160,784) (13,539,486)
--------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 1,784,720 2,692,849 2,584,036 2,835,228 7,392,680 6,162,280
--------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 4,894,510 4,945,318 3,467,175 2,748,477 8,320,730 5,674,280
NET ASSETS:
Beginning of period..................... 69,712,292 75,694,007 62,121,074 50,249,958 117,662,926 97,046,749
--------------------------------------------------------------------------------
End of period........................... $74,606,802 $80,639,325 $65,588,249 $52,998,435 $125,983,656 $102,721,029
================================================================================
- ---------------
Undistributed net investment income
(loss)................................ $ 325,332 $ 1,010,543 $ 1,532,632 $ 1,659,349 $ 1,131,581 $ 5,882
================================================================================
Shares issued and repurchased:
Sold.................................... 739,676 876,599 729,376 803,197 1,743,465 1,187,716
Issued in reinvestment of dividends and
distributions......................... -- -- -- -- -- --
Repurchased............................. (633,208) (702,930) (534,095) (568,387) (1,166,327) (810,239)
--------------------------------------------------------------------------------
Net increase (decrease)................. 106,468 173,669 195,281 234,810 577,138 377,477
================================================================================
</TABLE>
See Notes to Financial Statements
- ----------------
192
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (22,354) $ 15,860 $ 93,198 $ (49,445) $ 61,431
Net realized gain (loss) on
investments........................... 422,554 (6,259) 383,577 638,065 639,544
Net realized gain (loss) on futures and
options contracts..................... (20,985) (208) (5,160) 5,057 937
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... (4,171) (708) 15 -- (4)
Change in unrealized
appreciation/depreciation on
investments........................... 174,960 17,007 (401,754) 570,808 (473,420)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... 3,377 36 (1) -- --
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (16,720) (2,187) (5,938) (895) (3,302)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 536,661 23,541 63,937 1,163,590 225,186
----------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... -- -- -- -- --
Distributions from net realized gain on
investments........................... -- -- -- -- --
----------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... -- -- -- -- --
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 4,842,627 1,432,298 2,502,539 2,830,222 1,470,266
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- -- --
Cost of shares repurchased.............. (169,870) (162,156) (647,600) (922,120) (102,173)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 4,672,757 1,270,142 1,854,939 1,908,102 1,368,093
----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 5,209,418 1,293,683 1,918,876 3,071,692 1,593,279
NET ASSETS:
Beginning of period..................... 14,916,159 11,833,799 13,625,147 13,886,814 13,087,723
----------------------------------------------------------------
End of period........................... $20,125,577 $13,127,482 $ 15,544,023 $16,958,506 $14,681,002
================================================================
- ---------------
Undistributed net investment income
(loss)................................ $ (11,835) $ 30,364 $ 128,904 $ (45,721) $ 97,736
================================================================
Shares issued and repurchased:
Sold.................................... 437,538 132,611 224,638 252,608 135,526
Issued in reinvestment of dividends and
distributions......................... -- -- -- -- --
Repurchased............................. (15,401) (15,031) (59,113) (81,929) (9,026)
----------------------------------------------------------------
Net increase (decrease)................. 422,137 117,580 165,525 170,679 126,500
================================================================
<CAPTION>
DIVERSIFIED
INTERNATIONAL FIXED CASH
SMALL CAP EQUITY INCOME MANAGEMENT
<S> <C> <C> <C> <C>
- ----------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (6,768) $ 56,987 $ 412,323 $ 43,084
Net realized gain (loss) on
investments........................... 594,294 293,675 (36,646) (31)
Net realized gain (loss) on futures and
options contracts..................... 5,060 27,105 -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... (19) (5,763) -- --
Change in unrealized
appreciation/depreciation on
investments........................... 110,331 380,115 (517,395) (45)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... -- 6,986 -- (345)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 865 (14,181) -- --
----------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 703,763 744,924 (141,718) 42,663
----------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... -- -- -- --
Distributions from net realized gain on
investments........................... -- -- -- --
----------------------------------------------------
Total dividends and distributions to
shareholders.......................... -- -- -- --
----------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 1,886,574 1,131,023 1,471,077 2,539,233
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- --
Cost of shares repurchased.............. (113,694) (31,931) (493,554) (2,633,737)
----------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 1,772,880 1,099,092 977,523 (94,504)
----------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 2,476,643 1,844,016 835,805 (51,841)
NET ASSETS:
Beginning of period..................... 11,139,627 13,693,434 15,228,918 2,021,060
----------------------------------------------------
End of period........................... $13,616,270 $15,537,450 $16,064,723 $1,969,219
====================================================
- ---------------
Undistributed net investment income
(loss)................................ $ 4,538 $ 73,760 $ 515,559 $ 61,055
====================================================
Shares issued and repurchased:
Sold.................................... 177,243 104,488 149,108 248,962
Issued in reinvestment of dividends and
distributions......................... -- -- -- --
Repurchased............................. (10,719) (2,908) (50,393) (258,157)
----------------------------------------------------
Net increase (decrease)................. 166,524 101,580 98,715 (9,195)
====================================================
</TABLE>
See Notes to Financial Statements
----------------
193
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the period ended March 31, 1999
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income
(loss)................. $ 551,927 $ 1,087,381 $ 1,491,688 $ 1,498,609 $ 974,790 $ 133,284
Net realized gain (loss)
on investments......... 8,073,088 6,446,394 3,106,513 1,151,510 3,420,641 3,246,206
Net realized gain (loss)
on futures and options
contracts.............. 74,019 82,903 -- -- -- --
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ (13,722) 12,096 31,373 40,761 (83,520) (26,929)
Change in unrealized
appreciation/depreciation
on investments......... 9,169,197 7,517,760 2,861,759 981,991 5,055,824 7,653,212
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ 94,446 72,607 36,636 10,790 (7,818) 588
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... (6,538) (6,194) -- -- (18,744) --
-------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ 17,942,417 15,212,947 7,527,969 3,683,661 9,341,173 11,006,361
-------------------------------------------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... (690,000) (1,030,000) (1,350,000) (1,300,000) (960,000) (135,000)
Distributions from net
realized gain on
investments.......... (125,000) (80,000) (395,000) (235,000) (25,000) (1,560,000)
-------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders........... (815,000) (1,110,000) (1,745,000) (1,535,000) (985,000) (1,695,000)
-------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 29,841,859 36,479,107 34,877,027 32,657,535 66,314,211 53,243,989
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... 815,000 1,110,000 1,745,000 1,535,000 985,000 1,695,000
Cost of shares
repurchased............ (10,552,545) (8,620,211) (6,240,664) (4,469,021) (8,376,862) (9,288,291)
-------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from capital share
transactions........... 20,104,314 28,968,896 30,381,363 29,723,514 58,922,349 45,650,698
-------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.......... 37,231,731 43,071,843 36,164,332 31,872,175 67,278,522 54,962,059
NET ASSETS:
Beginning of period...... 32,480,561 32,622,164 25,956,742 18,377,783 50,384,404 42,084,690
-------------------------------------------------------------------------------
End of period............ $69,712,292 $75,694,007 $62,121,074 $50,249,958 $117,662,926 $97,046,749
===============================================================================
- ---------------
Undistributed net
investment income
(loss)................. $ (66,517) $ 181,553 $ 342,608 $ 416,796 $ 107,905 $ (33,385)
===============================================================================
Shares issued and
repurchased:
Sold..................... 2,192,641 2,797,970 2,814,915 2,783,026 5,638,376 3,621,737
Issued in reinvestment of
dividends and
distributions.......... 59,600 85,233 142,064 131,749 85,106 117,352
Repurchased.............. (728,602) (637,843) (500,292) (378,699) (712,489) (624,293)
-------------------------------------------------------------------------------
Net increase
(decrease)............. 1,523,639 2,245,360 2,456,687 2,536,076 5,010,993 3,114,796
===============================================================================
</TABLE>
- ---------------
+ Commenced operations February 8, 1999
See Notes to Financial Statements
- ----------------
194
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH+ COMPOSITE+ VALUE+ GROWTH+ VALUE+
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income
(loss)................. $ 3,883 $ 8,612 $ 28,763 $ (2,894) $ 29,687
Net realized gain (loss)
on investments......... 17,328 (1,338) (5,921) (35,075) 5,683
Net realized gain (loss)
on futures and options
contracts.............. 14,363 14,361 14,363 12,961 10,101
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ 18 (726) 325 -- --
Change in unrealized
appreciation/depreciation
on investments......... 984,496 471,320 236,589 633,184 (69,357)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ -- -- 1 -- (1)
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... (2,660) (2,658) (1,330) (1,513) (1,513)
----------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ 1,017,428 489,571 272,790 606,663 (25,400)
----------------------------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... -- -- -- -- --
Distributions from net
realized gain on
investments.......... -- -- -- -- --
----------------------------------------------------------------
Total dividends and
distributions to
shareholders........... -- -- -- -- --
----------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 13,899,428 11,344,468 13,352,560 13,280,414 13,113,224
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... -- -- -- -- --
Cost of shares
repurchased............ (697) (240) (203) (263) (101)
----------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from capital share
transactions........... 13,898,731 11,344,228 13,352,357 13,280,151 13,113,123
----------------------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.......... 14,916,159 11,833,799 13,625,147 13,886,814 13,087,723
NET ASSETS:
Beginning of period...... -- -- -- -- --
----------------------------------------------------------------
End of period............ $14,916,159 $11,833,799 $ 13,625,147 $13,886,814 $13,087,723
================================================================
- ---------------
Undistributed net
investment income
(loss)................. $ 10,519 $ 14,504 $ 35,706 $ 3,724 $ 36,305
================================================================
Shares issued and
repurchased:
Sold..................... 1,384,964 1,133,277 1,334,405 1,327,541 1,311,427
Issued in reinvestment of
dividends and
distributions.......... -- -- -- -- --
Repurchased.............. (65) (23) (20) (26) (10)
----------------------------------------------------------------
Net increase
(decrease)............. 1,384,899 1,133,254 1,334,385 1,327,515 1,311,417
================================================================
<CAPTION>
DIVERSIFIED
INTERNATIONAL FIXED CASH
SMALL CAP+ EQUITY+ INCOME+ MANAGEMENT+
<S> <C> <C> <C> <C>
- -------------------------
OPERATIONS:
Net investment income
(loss)................. $ 4,688 $ 26,720 $ 96,618 $ 11,353
Net realized gain (loss)
on investments......... (23,074) 10,335 (17,410) (38)
Net realized gain (loss)
on futures and options
contracts.............. 10,098 (3,664) -- --
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ -- (16,565) -- --
Change in unrealized
appreciation/depreciation
on investments......... (82,835) 428,546 (168,614) 45
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ -- (2,694) -- --
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... (1,510) 4,368 -- --
----------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ (92,633) 447,046 (89,406) 11,360
----------------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... -- -- -- --
Distributions from net
realized gain on
investments.......... -- -- -- --
----------------------------------------------------
Total dividends and
distributions to
shareholders........... -- -- -- --
----------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 11,232,399 13,246,545 15,318,454 2,009,850
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... -- -- -- --
Cost of shares
repurchased............ (139) (157) (130) (150)
----------------------------------------------------
Net increase (decrease)
in net assets resulting
from capital share
transactions........... 11,232,260 13,246,388 15,318,324 2,009,700
----------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS.......... 11,139,627 13,693,434 15,228,918 2,021,060
NET ASSETS:
Beginning of period...... -- -- -- --
----------------------------------------------------
End of period............ $11,139,627 $13,693,434 $15,228,918 $2,021,060
====================================================
- ---------------
Undistributed net
investment income
(loss)................. $ 11,306 $ 16,773 $ 103,236 $ 17,971
====================================================
Shares issued and
repurchased:
Sold..................... 1,123,829 1,324,372 1,532,029 200,980
Issued in reinvestment of
dividends and
distributions.......... -- -- -- --
Repurchased.............. (14) (15) (13) (15)
----------------------------------------------------
Net increase
(decrease)............. 1,123,815 1,324,357 1,532,016 200,965
====================================================
</TABLE>
- ---------------
+ Commenced operations February 8, 1999
See Notes to Financial Statements
----------------
195
<PAGE>
- ----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF BUSINESS AND BASIS OF PRESENTATION: Seasons Series Trust
("the Trust"), organized as a Massachusetts business trust on October 10, 1995,
is an open-end, management investment company. Shares of the Trust are issued
and redeemed only in connection with investments in and payments under variable
annuity contracts. Shares of the Portfolios are held 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 consists of fifteen separate series or portfolios (each, a
"Portfolio" and collectively, the "Portfolios"), each of which represents a
separate managed portfolio of securities with its own investment objective. The
Board of Trustees may establish additional Portfolios in the future. Six of the
Portfolios, which we call the "Seasons Portfolios," are available through the
Seasons Variable Annuity Contract. The other nine Portfolios, which we call the
"Seasons Select Portfolios," are available in addition to the Seasons
Portfolios, through the Seasons Select Variable Annuity Contract. 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:
SEASONS PORTFOLIOS
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 with a secondary
objective of increasing dividend income.
SEASONS SELECT PORTFOLIOS
The LARGE CAP GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of large companies selected through a growth
strategy.
The LARGE CAP COMPOSITE PORTFOLIO seeks long-term growth of capital and growth
of dividend income by investing primarily in equity securities of large
companies that offer the potential for long-term growth of capital or dividends.
The LARGE CAP VALUE PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of large companies selected through a value
strategy.
The MID CAP GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of medium-sized companies selected through a
growth strategy.
The MID CAP VALUE PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of medium-sized companies selected through a
value strategy.
The SMALL CAP PORTFOLIO seeks long-term growth of capital by investing primarily
in equity securities of small companies.
The INTERNATIONAL EQUITY PORTFOLIO seeks long-term growth of capital by
investing primarily in equity securities of issuers in at least three countries
other than the U.S.
The DIVERSIFIED FIXED INCOME PORTFOLIO seeks relatively high current income and
secondarily capital appreciation by investing primarily in fixed income
securities.
The CASH MANAGEMENT PORTFOLIO seek high current yield while preserving capital
by investing in a diversified selection of money market instruments.
Each Portfolio, except for the Asset Allocation: Diversified Growth, Stock,
Diversified Fixed Income and Cash Management Portfolios, 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.
Each of the Seasons Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity and Multi-Managed Income Portfolios ("Multi-Managed
Seasons Portfolio(s)") allocates all of its assets among three or four distinct
Managed Components, each managed by a separate Manager ("Manager" or
collectively "Managers"). The three Managers of
- ----------------
196
<PAGE>
the Multi-Managed Seasons Portfolios are SunAmerica Asset Management Corp.
("SunAmerica"), Janus Capital Corporation ("Janus"), and Wellington Management
Company, LLP ("WMC"). New share purchase and redemption requests in each
Multi-Managed Seasons Portfolio will be allocated among the Managed Components
of such portfolio as described in the chart below.
<TABLE>
<CAPTION>
SUNAMERICA WMC/
AGGRESSIVE JANUS SUNAMERICA FIXED
GROWTH GROWTH BALANCED INCOME
PORTFOLIO COMPONENT COMPONENT COMPONENT COMPONENT
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth........................... 20% 40% 20% 20%
Multi-Managed Moderate Growth.................. 18% 28% 18% 36%
Multi-Manage Income/Equity..................... 0% 18% 28% 54%
Multi-Managed Income........................... 0% 8% 17% 75%
</TABLE>
Differences in investment returns among the Managed Components may cause the
actual percentages to vary over the course of a calendar quarter from the
targets listed in the chart. Accordingly, the assets of each Seasons
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.
Each Seasons Select Portfolio except the Cash Management Portfolio (referred
to hereinafter as the "Multi-Managed Seasons Select Portfolio(s)" is managed by
several separate managers each of which advises a separate portion of the
Portfolio. Each Multi-Managed Seasons Select Portfolio will allocate one portion
of its portfolio to a passively-managed strategy that seeks to replicate a
relevant index, or the relevant subset of an index. New share purchase and
redemption requests in each Multi-Managed Seasons Select Portfolio will be
allocated equally among the Managers, unless SunAmerica determines, subject to
the review of the Trustees, that a different allocation of assets would be in
the best interest of the Portfolio and its shareholders.
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 the Trust at September 30, 1999, and the results of
its operations, the changes in its net assets and its financial highlights for
the periods 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. Developing markets securities involve risks not typically
associated with investing in securities of issuers in more developed markets.
These investments are subject to various risk factors including market, credit,
exchange rate and sovereign risk. The markets in which these securities trade
can be volatile and at times illiquid. Options traded on national securities
exchanges are valued as of the close of the exchange on which they are traded.
Options traded on commodities exchanges are valued at their last sale price as
of the close of such exchange. 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.
----------------
197
<PAGE>
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 gain and losses on other assets and liabilities and
change in unrealized foreign exchange gain 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 and distributions to shareholders are 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.
For the period ended March 31, 1999, 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.................................... $(32,306) $ 35,518 $(3,212)
Multi-Managed Moderate Growth........................... (28,044) 31,256 (3,212)
Multi-Managed Income/Equity............................. 19,427 (16,215) (3,212)
Multi-Managed Income.................................... 47,700 (44,488) (3,212)
Asset Allocation: Diversified Growth.................... (76,200) 79,412 (3,212)
Stock................................................... (23,717) 26,929 (3,212)
Large Cap Growth........................................ 6,636 (18) (6,618)
Large Cap Composite..................................... 5,892 726 (6,618)
Large Cap Value......................................... 6,943 (325) (6,618)
Mid Cap Growth.......................................... 6,618 -- (6,618)
Mid Cap Value........................................... 6,618 -- (6,618)
Small Cap............................................... 6,618 -- (6,618)
International Equity.................................... (9,947) 16,565 (6,618)
Diversified Fixed Income................................ 6,618 -- (6,618)
Cash Management......................................... 6,618 -- (6,618)
</TABLE>
- ----------------
198
<PAGE>
ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with the
organization and registration of the Seasons Portfolios of the Trust amounted to
$91,410. These organizational expenses are amortized on a straight line basis by
each applicable Seasons Portfolio over the period of benefit not to exceed 60
months from the date the respective Portfolio commenced operations. Organization
expenses incurred by the Seasons Select Portfolios were expensed as incurred.
3. OPERATING POLICIES
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the
collateral pledged for investments in repurchase agreements ("repo" or
collectively "repos"). The underlying collateral is valued daily on a
mark-to-market basis to assure that the value, including accrued interest, is at
least equal to the repurchase price. In the event of default of the obligation
to repurchase, the Trust has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. If the seller defaults and the value
of the collateral declines or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Trust may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange
Commission, the Portfolios are permitted to participate in joint repo
transactions with other affiliated investment companies.
At September 30, 1999, the Multi-Managed Growth, Multi-Managed Moderate
Growth, Multi-Managed Income/Equity, Multi-Managed Income, Large Cap Composite,
Small Cap and Diversified Fixed Income Portfolios had a 15.3%, 13.3%, 6.1%,
0.6%, 12.3%, 18.1% and 7.4%, respectively, undivided interest, representing
$2,224,000, $1,918,000, $1,139,000, $51,000, $490,000, $763,000 and $401,000,
respectively, in principal amount, in a joint repo with State Street Bank &
Trust Co., which is dated September 30, 1999, bears interest at the rate of
5.05% per annum, has a principal amount of $289,688,000, and a repurchase price
of $289,728,637, matures on October 1, 1999, and is collateralized by
$51,510,000 U.S. Treasury Notes (bearing interest at a rate of 4.50% per annum
and maturing September 30, 2000), $50,500,000 U.S. Treasury Notes (bearing
interest at a rate of 6.375% per annum and maturing March 31, 2001), $25,510,000
U.S. Treasury Notes (bearing interest at a rate of 4.625% per annum and maturing
December 31, 2000), $49,710,000 U.S. Treasury Notes (bearing interest at a rate
of 5.75% per annum and maturing October 31, 2000), $75,015,000 U.S. Treasury
Notes (bearing interest at a rate of 6.125% per annum and maturing July 31,
2000), $40,090,000 U.S. Treasury Bonds (bearing interest at a rate of $3.875%
per annum and maturing January 15, 2009) and 845,000 U.S. Treasury Bonds
(bearing interest at a rate of 7.25% per annum and maturing May 15, 2016), which
together have an approximate value of $295,547,691.
At September 30, 1999, the Multi-Managed Growth, Multi-Managed Moderate
Growth, Multi-Managed Income/Equity, Multi-Managed Income, Large Cap Value,
Small Cap and Diversified Fixed Income Portfolios had a 0.6%, 1.1%, 0.2%, 1.6%,
0.1%, 0.2% and 0.2%, respectively, undivided interest, representing $1,155,000,
$2,385,000, $2,805,000, $3,260,000, $140,000, $350,000 and $400,000,
respectively, in principal amount, in a joint repo with ABN Amro Bank NA, which
is dated September 30, 1999, bears interest at a rate of 5.30% per annum, has a
principal amount of $200,345,000, and a repurchase price of $209,375,620,
matures on October 1, 1999, and is collateralized by $190,000,000 U.S. Treasury
Bonds (bearing interest at a rate of 5.25% per annum and maturing November 16,
2029) and $62,110,000 U.S. Treasury Bonds (bearing interest at a rate of 7.125%
per annum and maturing February 15, 2023), which together have an approximate
value of $215,850,658.
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.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy and sell a financial instrument at a set price on a future date. Upon
entering into such a contract the Trust is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The contract amount reflects the extent of a Portfolio's exposure in these
financial instruments. A Portfolio's participation in the futures markets
involves certain risks, including imperfect correlation between movements in the
price of futures contracts and movements in the price of the securities hedged
or used for cover. The Trust's activities in the futures
----------------
199
<PAGE>
contracts are conducted through regulated exchanges which do not result in
counterparty credit risks. Pursuant to a contract, the Portfolios agree to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known as
'variation margin" and are recorded by the Portfolios as unrealized appreciation
or depreciation. When a contract is closed, the Portfolios record a realized
gain or loss 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.
OPTIONS: An option is a contract conveying a right to buy or sell a financial
instrument at a specified price during a stipulated period. The premium paid by
a Portfolio for the purchase of a call or a put option is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current market value of the option.
When a Portfolio writes a call or put option, an amount equal to the premium
received by the portfolio is included in the portfolio's Statement of Assets and
liabilities as a liability and is subsequently marked to market to reflect the
current market value of the option written. If an option which the Portfolio has
written either expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of a closing purchase transaction exceeds the premium received
when the option was written) without regard to any unrealized gain or loss on
the underlying security, and the liability related to such options is
extinguished. If a call option, which the Portfolio has written, is exercised,
the portfolio realizes a capital gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a put option which the portfolio has written is exercised, the
amount of the premium originally received reduces the cost of the security which
the Portfolio purchased upon exercise of the option.
During the six months ended September 30, 1999, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
MULTI-MANAGED MULTI-MANAGED
GROWTH MODERATE GROWTH SMALL CAP
--------------------- --------------------- ---------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT CONTRACTS AMOUNT
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Written option contracts as of 3/31/99... (19) $ (31,699) (18) $ (30,031) -- $ --
Options written during the year.......... (329) (601,288) (324) (596,342) (25) (26,899)
Written options assigned during the
year................................... -- -- -- -- -- --
Written options closed during the year... 329 591,564 323 579,239 21 37,055
Net realized gain on written options
closed................................. -- 17,412 -- 23,123 -- (15,144)
-------- --------- -------- --------- -------- ---------
Written option contracts as of 9/30/99... (19) $ (24,011) (19) $ (24,011) (4) $ (4,988)
======== ========= ======== ========= ======== =========
</TABLE>
4. PORTFOLIO SECURITIES: The Trust intends to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable income, including any net realized gains on
investments, to its shareholders. Therefore, no federal tax provision is
required.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for book purposes, including short-term securities and repurchase
agreements at September 30, 1999, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
UNREALIZED UNREALIZED COST OF
GAIN LOSS GAIN/(LOSS) NET INVESTMENTS
---------------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth................................ $12,428,475 $2,279,128 $10,149,347 $ 64,547,356
Multi-Managed Moderate Growth....................... 10,638,446 2,667,013 7,971,433 72,974,873
Multi-Managed Income/Equity......................... 4,818,213 2,256,671 2,561,542 63,974,830
Multi-Managed Income................................ 2,071,302 2,110,539 (39,237) 54,142,419
Asset Allocation: Diversified Growth................ 10,944,021 4,981,804 5,962,217 121,420,690
Stock**............................................. 16,618,247 5,816,760 10,801,487 91,741,620
Large Cap Growth.................................... 2,224,746 1,065,290 1,159,456 18,880,403
Large Cap Composite................................. 1,315,314 826,987 488,327 12,649,997
Large Cap Value..................................... 1,034,957 1,200,122 (165,165) 15,783,867
Mid Cap Growth*..................................... 2,542,222 1,338,230 1,203,992 15,786,105
Mid Cap Value....................................... 941,465 1,484,242 (542,777) 15,530,416
Small Cap*.......................................... 1,766,321 1,738,825 27,496 13,421,153
International Equity**.............................. 1,796,924 988,263 808,661 14,381,357
Diversified Fixed Income*........................... 11,498 697,507 (686,009) 16,888,166
Cash Management*.................................... -- 345 (345) 1,995,113
</TABLE>
- -------------
* Post 10/31/98 Capital Loss Deferrals: Mid Cap Growth $16,039; Small Cap
$4,898; Diversified Fixed Income $17,410; Cash Management $38.
** Post 10/31/98 Currency Loss Deferrals; Stock $17,947; International Equity
$16,570.
- ----------------
200
<PAGE>
4. 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 SunAmerica (the "Adviser") and the
Trust, on behalf of each Portfolio, each Portfolio pays the Adviser a fee equal
to the following percentage of average daily net assets:
<TABLE>
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
- -------------------------------------------------------------------------------------------------
<S> <C> <C>
Multi-Managed Growth >0 0.89%
Multi-Managed Moderate Growth >0 0.85%
Multi-Managed Income/Equity >0 0.81%
Multi-Managed Income >0 0.77%
Asset Allocation: Diversified Growth >0 0.85%
Stock >0 0.85%
Large Cap Growth, Large Cap Composite, 0-$250 million 0.80%
Large Cap Value >$250 million 0.75%
>$500 million 0.70%
Mid Cap Growth, Mid Cap Value, 0-$250 million 0.85%
Small Cap >$250 million 0.80%
>$500 million 0.75%
International Equity > 0 1.00%
Diversified Fixed Income 0-$200 million 0.70%
>$200 million 0.65%
>$400 million 0.60%
Cash Management 0-$100 million 0.55%
>$100 million 0.50%
>$300 million 0.45%
</TABLE>
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 (with the exception of SunAmerica, which acts as Adviser,)
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. Portfolio management is allocated among the following managers:
<TABLE>
<S> <C>
Multi-Managed Growth Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Moderate Growth Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Income/Equity Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Income Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Asset Allocation: Diversified Growth Putnam Investment Management, Inc.
Stock T. Rowe Price Associates, Inc.
Large Cap Growth Bankers Trust Company
Goldman Sachs Asset Management
Janus Capital Corporation
</TABLE>
----------------
201
<PAGE>
<TABLE>
<S> <C>
Large Cap Composite Bankers Trust Company
SunAmerica
T. Rowe Price Associates, Inc.
Large Cap Value Bankers Trust Company
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Mid Cap Growth Bankers Trust Company
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Mid Cap Value Bankers Trust Company
Goldman Sachs Asset Management
Lord, Abbett & Co.
Small Cap Bankers Trust Company
Lord, Abbett & Co.
SunAmerica
International Equity Bankers Trust Company
Goldman Sachs Asset Management International
Lord, Abbett & Co.
Diversified Fixed Income Bankers Trust Company
SunAmerica
Wellington Management Company, LLP
Cash Management SunAmerica
</TABLE>
SunAmerica has 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 average net assets: Multi-Managed Growth 1.29%, Multi-Managed
Moderate Growth 1.21%, Multi-Managed Income/Equity 1.14%, Multi-Managed Income
1.06%, Asset Allocation: Diversified Growth 1.21%, Stock 1.21%, Large Cap Growth
1.10%, Large Cap Composite 1.10%, Large Cap Value 1.10%, Mid Cap Growth 1.15%,
Mid Cap Value 1.15%, Small Cap 1.15%, International Equity 1.30%, Diversified
Fixed Income 1.00% and Cash Management 0.85%. SunAmerica also may voluntarily
waive or reimburse additional amounts to increase the investment return to a
Portfolio's investors. SunAmerica may terminate all such waivers and/or
reimbursements at any time. Further, any waivers or reimbursements made by
SunAmerica 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 payments to SunAmerica and remain in compliance with the foregoing
expense limitations.
At September 30, 1999, the amounts repaid to the Adviser which are included in
the management fee along with the remaining balance subject to recoupment are as
follows:
<TABLE>
<CAPTION>
BALANCE
AMOUNT SUBJECT TO
RECOUPED RECOUPMENT
---------------------
<S> <C> <C>
Multi-Managed Income/Equity................................. $12,574 $ --
Multi-Managed Income........................................ 9,940 35,829
Asset Allocation: Diversified Growth........................ 34,258 50,397
Large Cap Growth............................................ -- 37,470
Large Cap Composite......................................... -- 42,421
Large Cap Value............................................. -- 37,822
Mid Cap Growth.............................................. -- 37,907
Mid Cap Value............................................... -- 38,972
Small Cap................................................... -- 41,011
International Equity........................................ -- 80,980
Diversified Fixed Income.................................... -- 38,493
Cash Management............................................. -- 44,969
</TABLE>
- ----------------
202
<PAGE>
8. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the six months ended September 30, 1999, were
as follows:
<TABLE>
<CAPTION>
PURCHASE OF PORTFOLIO SALES OF PORTFOLIO
SECURITIES (EXCLUDING U.S. SECURITIES (EXCLUDING U.S. PURCHASES OF U.S. SALES OF U.S.
GOVERNMENT SECURITIES) GOVERNMENT SECURITIES GOVERNMENT SECURITIES GOVERNMENT SECURITIES
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth....... $32,612,152 $30,492,600 $ 2,608,198 $ 1,371,555
Multi-Managed Moderate
Growth................... 32,538,131 26,692,479 -- --
Multi-Managed
Income/Equity............ 13,358,418 10,035,712 4,697,474 3,170,625
Multi-Managed Income....... 8,231,015 5,022,175 4,620,769 3,757,105
Asset Allocation:
Diversified Growth....... 48,095,962 39,381,788 21,589,124 15,984,112
Stock...................... 38,709,361 30,278,524 -- --
Large Cap Growth........... 8,628,520 4,948,404 -- --
Large Cap Composite........ 2,704,146 1,667,436 -- --
Large Cap Value............ 5,119,911 3,199,148 -- --
Mid Cap Growth............. 7,692,070 5,774,343 -- --
Mid Cap Value.............. 6,820,838 4,540,977 -- --
Small Cap.................. 7,193,956 5,416,198 -- --
International Equity....... 4,626,827 3,043,260 -- --
Diversified Fixed Income... 4,506,708 2,144,185 -- --
Cash Management............ -- -- -- --
</TABLE>
9. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred brokerage
commissions with an affiliated broker:
<TABLE>
<CAPTION>
B.T. ALEX GOLDMAN ROYAL ALLIANCE
BROWN INC. SACHS ASSOCIATES, INC.
----------------------------------------
<S> <C> <C> <C>
Large Cap Growth............................................ $1,306 $669 $--
Large Cap Value............................................. 24 -- --
Mid Cap Growth.............................................. 30 -- --
Mid Cap Value............................................... 581 694 14
International Equity........................................ 21 68 --
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own common stock
issued by American International Group ("AIG"). Effective January 1, 1999,
SAAMCo, the investment adviser, became a wholly owned subsidiary of AIG. During
the six months ended September 30, 1999, transactions in shares of common stock
of AIG were as follows:
<TABLE>
<CAPTION>
MARKET VALUE COST OF COST OF MARKET VALUE REALIZED INCOME
3/31/99 PURCHASES SALES 9/30/99 GAIN/(LOSS) EARNED
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Asset Allocation: Diversified
Growth............................. $560,906 $ -- $ -- $505,281 $ -- $551
Large Cap Growth..................... 144,750 -- 121,948 -- 20,777 62
Large Cap Composite.................. 72,375 -- -- 65,203 -- 71
Large Cap Value...................... -- 143,233 -- 130,406 -- 75
</TABLE>
----------------
203
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***)
- -------------------------------------------------------------------------------------------------------------
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%
3/31/99 12.85 0.16 4.41 4.57 (0.18) (0.03) 17.21 35.98
9/30/99@ 17.21 0.09 0.64 0.73 -- -- 17.94 4.24
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
3/31/99 12.37 0.28 3.10 3.38 (0.23) (0.02) 15.50 27.73
9/30/99@ 15.50 0.16 0.29 0.45 -- -- 15.95 2.90
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
3/31/99 11.79 0.43 1.57 2.00 (0.36) (0.10) 13.33 17.27
9/30/99@ 13.33 0.25 (0.07) 0.18 -- -- 13.51 1.35
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
3/31/99 11.29 0.53 0.72 1.25 (0.40) (0.07) 12.07 11.19
9/30/99@ 12.07 0.28 (0.30) (0.02) -- -- 12.05 (0.17)
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
3/31/99 11.71 0.14 0.90 1.04 (0.12) -- 12.63 9.02
9/30/99@ 12.63 0.11 -- 0.11 -- -- 12.74 0.87
<CAPTION>
- -------- ---------------------------------------------
<S> <C> <C> <C> <C>
RATIO OF
NET
NET RATIO OF INVESTMENT
ASSETS EXPENSES INCOME TO
END OF TO AVERAGE AVERAGE
PERIOD PERIOD NET NET PORTFOLIO
ENDED (000'S) ASSETS(+) ASSETS(+) TURNOVER
- --------
---------------------------------------------
Multi-Managed
Growth
Portfolio
Multi-Managed Growth Portfolio
4/15/97-
3/31/98 $ 32,481 1.29%# 1.52%# 114%
3/31/99 69,712 1.19 1.11 124
9/30/99@ 74,607 1.12# 1.06# 46
Multi-Managed
Moderate
Growth
Portfolio
Multi-Managed Moderate Growth
Portfolio
4/15/97-
3/31/98 32,622 1.21# 2.36# 101
3/31/99 75,694 1.16 2.08 105
9/30/99@ 80,639 1.07# 2.06# 36
Multi-Managed
Income/Equity
Portfolio
Multi-Managed Income/Equity
Portfolio
4/15/97-
3/31/98 25,957 1.14# 3.72# 46
3/31/99 62,121 1.14 3.51 65
9/30/99@ 65,588 1.09#++ 3.64#++ 19
Multi-Managed
Income
Portfolio
Multi-Managed Income Portfolio
4/15/97-
3/31/98 18,378 1.06# 4.69# 47
3/31/99 50,250 1.06 4.50 43
9/30/99@ 52,998 1.06# 4.67# 17
Asset
Allocation:
Diversified
Growth
Portfolio
Asset Allocation: Diversified
Growth Portfolio
4/15/97-
3/31/98 50,384 1.21# 2.06# 166
3/31/99 117,663 1.21 1.21 149
9/30/99@ 125,984 1.21# 1.63# 52
</TABLE>
- ----------------------------------
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** 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.
@ Unaudited
# Annualized
++ Net of custody credits of 0.01%
+ The investment adviser waived a portion of or all fees and assumed a portion
of or all expenses for the Portfolios. If all fees and expenses had been
incurred by the Portfolios, the ratio of expenses to average net assets and
the ratio of net investment income to average net assets would have been as
follows:
<TABLE>
<CAPTION>
NET INVESTMENT
EXPENSES INCOME (LOSS)
--------------------------------- ---------------------------------
3/31/98# 3/31/99 9/30/99# 3/31/98# 3/31/99 9/30/99#
--------- ---------- -------- --------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio............................ 1.44% 1.19% 1.12% 1.37% 1.11% 1.06%
Multi-Managed Moderate Growth Portfolio................... 1.40 1.16 1.07 2.17 2.08 2.06
Multi-Managed Income/Equity Portfolio..................... 1.43 1.14 1.09 3.43 3.51 3.64
Multi-Managed Income Portfolio............................ 1.50 1.07 1.06 4.25 4.49 4.67
Asset Allocation: Diversified Growth Portfolio............ 1.53 1.22 1.21 1.74 1.20 1.63
</TABLE>
See Notes to Financial Statements
- ----------------
204
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET ASSETS
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE END OF
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***) (000'S)
<CAPTION>
- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
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
3/31/99 14.66 0.03 1.84 1.87 (0.02) (0.30) 16.21 13.05 97,047
9/30/99@ 16.21 0.01 (0.08) (0.07) -- -- 16.14 (0.43) 102,721
Large Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.77 0.77 -- -- 10.77 7.70 14,916
9/30/99@ 10.77 (0.01) 0.38 0.37 -- -- 11.14 3.44 20,126
Large Cap Composite Portfolio
2/8/99-
3/31/99 10.00 0.01 0.43 0.44 -- -- 10.44 4.40 11,834
9/30/99@ 10.44 0.01 0.04 0.05 -- -- 10.49 0.48 13,127
Large Cap Value Portfolio
2/8/99-
3/31/99 10.00 0.02 0.19 0.21 -- -- 10.21 2.10 13,625
9/30/99@ 10.21 0.07 0.08 0.15 -- -- 10.36 1.47 15,544
Mid Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.46 0.46 -- -- 10.46 4.60 13,887
9/30/99@ 10.46 (0.03) 0.89 0.86 -- -- 11.32 8.22 16,959
<CAPTION>
- -------- --------------------------------------------------------------------------------------------------------------
----------------------------------
<S>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME TO
TO AVERAGE AVERAGE
PERIOD NET NET PORTFOLIO
ENDED ASSETS(+) ASSETS(+) TURNOVER
Stock Portfolio
4/15/97-
3/31/98 1.21%# 0.24%# 46%
3/31/99 1.10 0.20 52
9/30/99@ 1.08# 0.08# 31
Large Cap Growth Portfolio
2/8/99-
3/31/99 1.10# 0.20# 6
9/30/99@ 1.10# (0.25)# 30
Large Cap Composite Portfolio
2/8/99-
3/31/99 1.10# 0.55# 8
9/30/99@ 1.10#++ 0.25#++ 14
Large Cap Value Portfolio
2/8/99-
3/31/99 1.10# 1.53# 5
9/30/99@ 1.10#++ 1.17#++ 21
Mid Cap Growth Portfolio
2/8/99-
3/31/99 1.15# (0.15)# 5
9/30/99@ 1.15#++ (0.61)#++ 38
</TABLE>
- ----------------------------------
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** 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.
@ Unaudited
# Annualized
++ Net of custody credits of 0.01%, 0.01% and 0.02%, respectively, for the
Large Cap Composite, Large Cap Value and Mid Cap Growth Portfolios
+ During the periods stated below, the investment adviser waived a portion of
or all fees and assumed a portion of or all expenses for the Portfolios. If
all fees and expenses had been incurred by the Portfolios, the ratio of
expenses to average net assets and the ratio of net investment income to
average net assets would have been as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
EXPENSES INCOME (LOSS)
---------------------------------- ----------------------------------
3/31/98# 3/31/99 9/30/99# 3/31/98# 3/31/99 9/30/99#
--------- -------- ----------- --------- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
Stock Portfolio......................................... 1.26% 1.10% 1.08 % 0.19% 0.20% 0.08 %
Large Cap Growth Portfolio.............................. -- 2.12# 1.30 -- (0.82)# (0.45)
Large Cap Composite Portfolio........................... -- 2.33# 1.45 -- (0.68)# (0.10)
Large Cap Value Portfolio............................... -- 2.16# 1.32 -- 0.47# 0.95
Mid Cap Growth Portfolio................................ -- 2.22# 1.37 -- (1.22)# (0.83)
</TABLE>
See Notes to Financial Statements
----------------
205
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET ASSETS
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE END OF
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***) (000'S)
<CAPTION>
- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mid Cap Value Portfolio
2/8/99-
3/31/99 $10.00 $0.02 $ (0.04) $ (0.02) $-- $-- $ 9.98 (0.20)% $ 13,088
9/30/99@ 9.98 0.04 0.19 0.23 -- -- 10.21 2.30 14,681
Small Cap Portfolio
2/8/99-
3/31/99 10.00 -- (0.09) (0.09) -- -- 9.91 (0.90) 11,140
9/30/99@ 9.91 (0.01) 0.65 0.64 -- -- 10.55 6.46 13,616
International Equity Portfolio
2/8/99-
3/31/99 10.00 0.02 0.32 0.34 -- -- 10.34 3.40 13,693
9/30/99@ 10.34 0.04 0.52 0.56 -- -- 10.90 5.42 15,537
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 10.00 0.06 (0.12) (0.06) -- -- 9.94 (0.60) 15,229
9/30/99@ 9.94 0.26 (0.35) (0.09) -- -- 9.85 (0.91) 16,065
Cash Management Portfolio
2/8/99-
3/31/99 10.00 0.06 -- 0.06 -- -- 10.06 0.60 2,021
9/30/99@ 10.06 0.22 (0.01) 0.21 -- -- 10.27 2.09 1,969
<CAPTION>
- -------- --------------------------------------------------------------------------------------------------------------
----------------------------------
<S>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME TO
TO AVERAGE AVERAGE
PERIOD NET NET PORTFOLIO
ENDED ASSETS(+) ASSETS(+) TURNOVER
Mid Cap Value Portfolio
2/8/99-
3/31/99 1.15%# 1.60%# 6%
9/30/99@ 1.15# 0.80# 32
Small Cap Portfolio
2/8/99-
3/31/99 1.15# 0.31# 3
9/30/99@ 1.15#++ (0.10)#++ 46
International Equity Portfolio
2/8/99-
3/31/99 1.30# 1.43# 7
9/30/99@ 1.30#++ 0.76#++ 21
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 1.00# 4.53# 30
9/30/99@ 1.00# 5.23# 15
Cash Management Portfolio
2/8/99-
3/31/99 0.85# 3.97# --
9/30/99@ 0.85#++ 4.20#++ --
</TABLE>
- ----------------------------------
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** 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.
@ Unaudited
# Annualized
++ Net of custody credits of 0.01%, 0.02% and 0.01%, respectively, for the
Small Cap, International Equity and Cash Management Portfolios
+ During the periods stated below, the investment adviser waived a portion of
or all fees and assumed a portion of or all expenses for the Portfolios. If
all fees and expenses had been incurred by the Portfolios, the ratio of
expenses to average net assets and the ratio of net investment income to
average net assets would have been as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
EXPENSES INCOME (LOSS)
--------------------- ---------------------
3/31/99# 9/30/99# 3/31/99# 9/30/99#
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Mid Cap Value Portfolio..................................... 2.23% 1.40 0.52% 0.55
Small Cap Portfolio......................................... 2.46 1.47 (1.00) (0.42)
International Equity Portfolio.............................. 3.59 1.81 (0.86) 0.25
Diversified Fixed Income Portfolio.......................... 1.91 1.24 3.62 4.99
Cash Management Portfolio................................... 8.41 3.13 (3.59) 1.92
</TABLE>
See Notes to Financial Statements
- ----------------
206
<PAGE>
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<PAGE>
J-2309-SAR (11/99)
