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SEASONS SERIES TRUST
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ANNUAL REPORT
MARCH 31, 2000
[LOGO]
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DEAR INVESTOR:
We are pleased to present the annual report for the Seasons Series Trust, the
underlying investment for the SEASONS SELECT VARIABLE ANNUITY issued by Anchor
National Life Insurance Company. During the 12 months from April 1, 1999 to
March 31, 2000, equities took investors on a thrilling ride that included a
number of record highs. However, only a strong rally in the final month
prevented the stock market from ending the period with flat returns, with the
S&P 500 Index finally posting a 17.94% gain for the annual period.
To help you better understand the environment in which your SEASONS SELECT
investment performed, we have provided a recap of the U.S. equity, U.S. fixed
income, and global markets during the past twelve months. Market outlooks 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. -- have also been provided.
U.S. EQUITY MARKET OVERVIEW
Consumer spending powered the U.S. economy forward throughout the twelve-month
period. With job growth strong and unemployment hovering at historic lows, the
Federal Reserve raised key short-term lending rates five times during the period
in an effort to forestall inflationary pressures. The ensuing interest rate
uncertainty kept equity markets volatile throughout the period.
The market's enthusiasm for stocks of "New Economy" companies (new companies
primarily in the Internet and technology sectors) over "Old Economy" companies
(older, more established companies in cyclical industries such as
transportation, manufacturing and basic industries) became even more apparent in
the period's closing months. As the stocks of New Economy companies rallied,
stocks of Old Economy companies underperformed.
Outlook from SunAmerica Asset Management Corp.
"CURRENT MARKET FOCUS CONTINUES TO BE THE EXTRAORDINARY VALUATIONS ASSIGNED TO
GROWTH, ESPECIALLY TECHNOLOGY. HEADING INTO THE SECOND QUARTER, WE ARE
MAINTAINING OUR CONCENTRATION ON THOSE SECTORS OF THE MARKET THAT WE BELIEVE
WILL PRODUCE DOUBLE-DIGIT EARNINGS GROWTH. HIGH VALUATIONS AND FASTER ECONOMIC
GROWTH WILL BE THE FOCUS GOING FORWARD."
Outlook from Janus Capital Corporation
"ALTHOUGH THE RECENT PULLBACK (BEGINNING IN APRIL) IN MANY TECHNOLOGY AND NEW
ECONOMY NAMES IS DISAPPOINTING, IT ALSO REPRESENTS NORMAL STOCK MARKET
BEHAVIOR -- IT IS NOT UNUSUAL FOR STOCKS TO PAUSE FOLLOWING SUCH A LONG PERIOD
OF REMARKABLE PERFORMANCE. HOWEVER, WE ARE STAYING THE COURSE WHEREVER OUR
RESEARCH GIVES US REAL CONVICTION IN THE UNDERLYING FUNDAMENTALS. AND, AS
ALWAYS, WE ARE MONITORING DEVELOPMENTS CLOSELY AND ATTEMPTING TO USE THE
MARKET'S RECENT VOLATILITY TO OUR ADVANTAGE."
Outlook from T. Rowe Price Associates, Inc.
"STOCKS CONTINUE TO FACE CHALLENGES FROM RISING SHORT-TERM RATES AND HIGH
VALUATIONS AMONG MARKET LEADERS. WE BELIEVE THE WIDE VALUATION GAP BETWEEN
GROWTH STOCKS AND VALUE SHARES WILL NARROW IN THE NEAR TERM, BUT WE REMAIN
OPTIMISTIC ABOUT GROWTH STOCK PROSPECTS OVER THE NEXT FEW YEARS. OVERSEAS,
MARKET PROSPECTS APPEAR GENERALLY MORE FAVORABLE THAN IN THE U.S."
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Outlook from Lord, Abbett & Co.
"WE EXPECT CORPORATE PROFITS TO INCREASE IN 2000, AS FOREIGN ECONOMIES
CONTINUE TO IMPROVE (THUS EXPANDING MARGINS ON U.S. EXPORTS) EVEN AS THE U.S.
ECONOMY SLOWS TO A MORE SUSTAINABLE RATE OF GROWTH. ALTHOUGH THE FED MAY HAVE
TO RAISE SHORT-TERM INTEREST RATES ANOTHER 25 TO 50 BASIS POINTS DURING THE
NEXT 6 TO 12 MONTHS, WE BELIEVE LONG-TERM INTEREST RATES SHOULD STABILIZE IN
THE 6 TO 6.5% RANGE."
U.S. FIXED INCOME MARKET OVERVIEW
It was a volatile year for interest rates and credit spreads as the Federal
Reserve increased the Federal Funds rate a total of 1.25% over the year to 6%.
However, longer-term yields -- as measured by 10- and 30-year Treasury bonds --
peaked in January at over 6.5%. Since then they have fallen to just under 6%.
This anomaly of long-term rates being lower than short-term rates -- commonly
called an inverted yield curve -- is primarily attributable to the Treasury
Department's use of the budget surpluses to buy back long-term issues, reducing
their supply. The high yield market, which outperformed governments over the
first nine months of the period ended March 31, 2000, gave it all back in the
last three.
Outlook from Wellington Management Company
"THE STRENGTH OF THE U.S. ECONOMY CONTINUES TO CONFOUND THE FEDERAL RESERVE
AND INVESTORS ALIKE. WE BELIEVE THAT ADDITIONAL RATE HIKES WILL BE FORTHCOMING
TO REIN IN THE CURRENT PACE OF GROWTH. EVENTUALLY, A HIGHER INTEREST RATE
LEVEL SHOULD HELP TO PRODUCE SOME MODERATION IN ECONOMIC ACTIVITY, BUT THE
EXPECTED SLOWING IS PRESUMED TO BE MODEST IN NATURE. OVERALL, WE EXPECT TO
ENJOY CONTINUED STRONG GROWTH, DOUBLE-DIGIT EARNINGS GAINS AND SUSTAINED LOW
INFLATION -- A GENERALLY POSITIVE ENVIRONMENT FOR FINANCIAL MARKETS."
Outlook from Goldman Sachs Asset Management
"GOING FORWARD, WE BELIEVE THAT, AS LONG AS INFLATION REMAINS TAME, THE
FEDERAL RESERVE MAY MOVE A BIT MORE SLOWLY THAN MARKET PARTICIPANTS EXPECT
BETWEEN NOW AND YEAR-END. WE CONTINUE TO BELIEVE THAT SHORT-TERM RATES WILL
RISE ONLY 50 BASIS POINTS IN COMING MONTHS AND THEN REMAIN FLAT FOR THE REST
OF 2000 AS GROWTH MODERATES SLIGHTLY FROM ITS CURRENT HECTIC PACE."
GLOBAL MARKET OVERVIEW
In the international equity markets, returns were essentially flat during the
final three months of the reporting period as the strong performance witnessed
in 1999 failed to carry on into the new year. Volatility was a key feature of
the markets as positive sentiment, inspired by continued global growth and a
relatively benign inflationary environment, was continually offset by concerns
over the impact of rising interest rates.
Outlook from Putnam Investment Management
"WE ARE OPTIMISTIC ABOUT MARKETS IN CONTINENTAL EUROPE AS THE REGION'S
PROSPECTS CONTINUE TO BRIGHTEN. FRANCE REMAINS ONE OF OUR FAVORITES, BOLSTERED
BY A HEALTHY ECONOMY AND A BURGEONING TECHNOLOGY AND TELECOMMUNICATIONS
SECTOR. WHILE WE ARE BEGINNING TO LOOK MORE FAVORABLY ON GERMANY, WE REMAIN
CAUTIOUS ON STOCKS OF THE UNITED KINGDOM. DESPITE THE CHRONIC WEAKNESS OF THE
JAPANESE ECONOMY -- WHICH HAS SLIPPED INTO RECESSION ONCE AGAIN -- MANY
JAPANESE COMPANIES ARE SHOWING EXCELLENT TRENDS IN PROFITABILITY."
IN CONCLUSION
It was a thrilling ride indeed for equity investors during the reporting period
from April 1, 1999 to March 31, 2000 -- a period of increased volatility that's
likely to continue in the months ahead. With this in mind, it's good to know
that your SEASONS SELECT VARIABLE ANNUITY brings "big-league"
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institutional techniques to your retirement investing that can help you reduce
risk -- including world-class money managers and "multi, multi-managed"
investment choices.
We appreciate the confidence you have placed in your SEASONS SELECT investment
and, as always, look forward to our continued relationship with you.
Sincerely,
/s/ Eli Broad
Eli Broad
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
ANCHOR NATIONAL LIFE INSURANCE COMPANY
May 15, 2000
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. Past performance is no guarantee of future results.
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
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<CAPTION>
COMMON STOCK -- 62.8%
SHARES VALUE
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CONSUMER DISCRETIONARY -- 2.7%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ .......................... 4,700 $ 49,938
AUTOMOTIVE -- 0.4%
General Motors Corp., Class H+ ......... 2,800 348,600
SPX Corp.+ ............................. 1,000 113,937
HOUSING -- 0.2%
Lowe's Cos., Inc. ...................... 3,500 204,313
RETAIL -- 2.1%
Gap, Inc. .............................. 3,000 149,437
Home Depot, Inc. ....................... 14,525 936,862
Linens' N Things, Inc.+ ................ 1,700 58,225
Sunglass Hut International, Inc.+ ...... 14,200 110,938
Talbots, Inc. .......................... 5,000 294,375
Target Corp. ........................... 1,700 127,075
Wal-Mart Stores, Inc. .................. 7,400 410,700
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2,804,400
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CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Seagram Co., Ltd. ...................... 2,500 148,750
HOUSEHOLD PRODUCTS -- 0.1%
Yankee Candle Co., Inc.+ ............... 7,400 117,013
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265,763
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ENERGY -- 5.5%
ENERGY SERVICES -- 2.9%
Baker Hughes, Inc. ..................... 2,500 75,625
BJ Services Co.+ ....................... 9,500 701,812
Global Marine, Inc.+ ................... 6,200 157,325
Halliburton Co. ........................ 3,200 131,200
Nabors Industries, Inc.+ ............... 6,900 267,806
Precision Drilling Corp.+ .............. 9,400 313,725
R&B Falcon Corp.+ ...................... 4,900 96,469
Schlumberger Ltd. ...................... 3,100 237,150
Transocean Sedco Forex, Inc. ........... 8,000 410,500
Weatherford International, Inc.+ ....... 10,300 607,056
ENERGY SOURCES -- 2.6%
Chevron Corp. .......................... 1,200 110,925
Enron Corp. ............................ 29,600 2,216,300
Exxon Mobil Corp. ...................... 2,780 216,319
Noble Drilling Corp.+ .................. 2,000 82,875
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Royal Dutch Petroleum Co. GDR........... 2,000 $ 115,125
------------
5,740,212
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FINANCE -- 2.6%
BANKS -- 0.9%
Bank of New York Co., Inc. ............. 2,000 83,125
Chase Manhattan Corp. .................. 1,600 139,500
Fifth Third Bancorp..................... 7,535 474,705
Firstar Corp. .......................... 10,311 236,509
Summit Bancorp ......................... 1,350 35,437
FINANCIAL SERVICES -- 1.7%
American Express Co. ................... 4,120 613,622
Capital One Financial Corp. ............ 1,800 86,288
Citigroup, Inc. ........................ 2,250 133,453
E*TRADE Group, Inc.+ ................... 13,880 418,135
Mellon Financial Corp. ................. 1,500 44,250
Merrill Lynch & Co., Inc. .............. 1,500 157,500
Morgan Stanley, Dean Witter & Co. ...... 2,600 212,063
Paine Webber Group, Inc. ............... 900 39,600
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2,674,187
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HEALTHCARE -- 4.2%
DRUGS -- 1.0%
Alkermes, Inc.+ ........................ 2,900 268,250
Biogen, Inc.+ .......................... 2,000 139,750
Cephalon, Inc.+ ........................ 6,000 225,000
Immunex Corp.+ ......................... 1,000 63,437
Merck & Co., Inc. ...................... 600 37,275
Millennium Pharmaceuticals, Inc.+ ...... 1,450 188,319
Pfizer, Inc. ........................... 3,500 127,969
HEALTH SERVICES -- 0.2%
Bally Total Fitness Holding Corp.+ ..... 6,400 156,800
Healtheon/WebMD Corp.+ ................. 1,590 36,570
MEDICAL PRODUCTS -- 3.0%
Affymetrix, Inc.+ ...................... 1,700 252,344
Genome Therapeutics Corp.+ ............. 2,800 65,975
Lynx Therapeutics, Inc.+ ............... 1,900 56,525
MedImmune, Inc.+ ....................... 2,650 461,431
Medtronic, Inc. ........................ 15,584 801,602
MiniMed, Inc.+ ......................... 1,930 249,935
Myriad Genetics, Inc.+ ................. 4,300 259,075
PE Corp-PE Biosystems Group............. 5,735 553,427
QLT PhotoTherapeutics, Inc.+ ........... 4,300 237,575
Schering-Plough Corp. .................. 1,000 36,750
Visible Genetics, Inc.+ ................ 3,900 144,300
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4,362,309
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COMMON STOCK (CONTINUED)
SHARES VALUE
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INDUSTRIAL & COMMERCIAL -- 3.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
HEICO Corp., Class A.................... 8,200 $ 114,800
BUSINESS SERVICES -- 2.6%
Amdocs Ltd.+ ........................... 3,900 287,381
Corning, Inc. .......................... 1,200 232,800
Electronic Data Systems Corp. .......... 1,000 64,188
General Electric Co. ................... 4,500 698,344
Global Industries Ltd.+ ................ 1,400 20,475
Invitrogen Corp.+ ...................... 2,800 162,575
Mobile Mini, Inc.+ ..................... 7,000 136,500
Paychex, Inc. .......................... 2,000 104,750
Smith International, Inc.+ ............. 7,900 612,250
TMP Worldwide, Inc.+ ................... 5,115 397,691
MACHINERY -- 0.2%
Kulicke & Soffa Industries, Inc.+ ...... 3,200 205,000
MULTI-INDUSTRY -- 0.3%
Tyco International Ltd. ................ 6,500 324,187
TRANSPORTATION -- 0.4%
Offshore Logistics, Inc.+ .............. 8,700 120,712
Oshkosh Truck Corp. .................... 3,000 93,188
RailWorks Corp.+ ....................... 14,100 142,762
Pierce Leahy Corp. ..................... 5,000 4,688
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3,722,291
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INFORMATION & ENTERTAINMENT -- 8.8%
BROADCASTING & MEDIA -- 8.2%
AT&T Corp. -- Liberty Media Group,
Class A+ ............................. 34,523 2,045,488
Cablevision Systems Corp., Class A+ .... 5,060 307,395
CBS Corp.+ ............................. 1,500 84,938
Cinar Corp., Class B+# ................. 6,700 33,500
Comcast Corp., Class A+ ................ 16,580 719,157
Cox Communications, Inc., Class A+ ..... 5,940 288,090
DoubleClick, Inc.+ ..................... 4,395 411,482
EchoStar Communications Corp.,
Class A+ ............................. 3,600 284,400
Entercom Communications Corp.+ ......... 3,000 153,000
Infinity Broadcasting Corp.,
Class A+ ............................. 7,806 252,719
Lamar Advertising Co.+ ................. 1,840 83,720
Liberty Digital, Inc., Class A+ ........ 910 35,035
Netro Corp.+ ........................... 1,200 78,019
Pegasus Communications Corp.+ .......... 3,200 450,400
Powerwave Technologies, Inc.+ .......... 1,850 231,250
Proxim, Inc.+ .......................... 1,400 179,200
Spanish Broadcasting System, Inc.,
Class A+ ............................. 6,500 152,445
Time Warner, Inc. ...................... 19,018 1,901,800
UnitedGlobalCom, Inc., Class A+ ........ 4,965 372,685
VoiceStream Wireless Corp.+ ............ 3,325 428,302
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS -- 0.5%
SONY Corp. ............................. 2,000 $ 282,472
SONY Corp.+ ............................ 2,000 284,420
LEISURE & TOURISM -- 0.1%
McDonald's Corp. ....................... 1,600 60,100
------------
9,120,017
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INFORMATION TECHNOLOGY -- 32.9%
COMMUNICATION EQUIPMENT -- 2.9%
3Com Corp.+ ............................ 255 14,184
ANADIGICS, Inc.+ ....................... 1,900 125,400
Cisco Systems, Inc.+ ................... 23,905 1,848,155
Clarent Corp.+ ......................... 1,100 99,206
Digital Microwave Corp.+ ............... 4,800 162,600
E-Tek Dynamics, Inc.+ .................. 630 148,208
Extreme Networks, Inc.+ ................ 900 71,100
Lucent Technologies, Inc. .............. 3,200 194,400
Network Appliance, Inc.+ ............... 3,200 264,800
P-Com, Inc.+ ........................... 4,300 79,550
COMPUTER SERVICES -- 3.2%
CheckFree Holdings Corp.+ .............. 2,200 155,100
Documentum, Inc.+ ...................... 4,300 335,400
Entrust Technologies, Inc.+ ............ 2,600 221,203
i2 Technologies, Inc.+ ................. 9,880 1,206,595
iGate Capital Corp.+ ................... 2,130 96,116
MarchFirst, Inc.+ ...................... 7,447 265,765
Sapient Corp.+ ......................... 4,210 353,114
Sun Microsystems, Inc.+ ................ 2,000 187,406
VeriSign, Inc.+ ........................ 3,405 509,048
COMPUTERS & BUSINESS EQUIPMENT -- 1.8%
Dell Computer Corp.+ ................... 4,000 215,750
EMC Corp.+ ............................. 11,150 1,393,750
International Business Machines
Corp. ................................ 2,000 236,000
COMPUTER SOFTWARE -- 2.8%
Electronic Arts, Inc.+ ................. 9,540 679,129
Kana Communications, Inc.+ ............. 1,000 68,000
Micromuse, Inc.+ ....................... 1,400 194,338
Microsoft Corp.+ ....................... 11,260 1,196,375
Mission Critical Software, Inc.+ ....... 1,800 110,025
New Era of Networks, Inc.+ ............. 600 23,550
Siebel Systems, Inc.+@ ................. 2,300 274,706
VERITAS Software Corp.+ ................ 2,765 362,215
ELECTRONICS -- 3.7%
Applied Materials, Inc.+ ............... 8,275 779,919
ASM Lithography Holdings NV+ ........... 3,560 397,830
Broadcom Corp., Class A+@ .............. 2,000 485,750
Conexant Systems, Inc.+ ................ 4,000 284,000
Flextronics International Ltd.+ ........ 3,000 211,312
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Intel Corp. ............................ 4,000 $ 527,750
Maxim Integrated Products, Inc.+ ....... 2,395 170,195
PMC-Sierra, Inc.+ ...................... 900 183,319
Texas Instruments, Inc. ................ 5,040 806,400
INTERNET CONTENT -- 3.1%
Amazon.com, Inc.+ ...................... 16,925 1,133,975
Critical Path, Inc.+@ .................. 2,000 170,000
eBay, Inc.+ ............................ 2,390 420,640
GoTo.com, Inc.+ ........................ 105 4,311
InfoSpace.com, Inc.+ ................... 1,545 224,701
Internet Capital Group, Inc.+ .......... 1,085 97,989
Lycos, Inc.+ ........................... 3,555 249,739
Priceline.com, Inc.+ ................... 4,080 316,200
Stamps.com, Inc.+ ...................... 6,300 121,669
Ticketmaster Online-Citysearch, Inc.,
Class B............................... 1,500 37,594
Yahoo!, Inc.+ .......................... 2,800 479,850
INTERNET SOFTWARE -- 5.1%
Agile Software Corp.+ .................. 1,800 112,500
America Online, Inc.+ .................. 3,000 201,750
Ariba, Inc.+ ........................... 600 125,775
Art Technology Group, Inc.+ ............ 2,500 164,219
BroadVision, Inc.+ ..................... 5,400 242,325
Commerce One, Inc.+ .................... 400 59,700
E.piphany, Inc.+ ....................... 300 40,069
Engage Technologies, Inc.+ ............. 1,700 129,731
Exodus Communications, Inc.+ ........... 3,600 505,800
Harbinger Corp.+ ....................... 3,500 101,937
Inktomi Corp.+@ ........................ 2,655 517,725
Macromedia, Inc.+ ...................... 2,300 207,719
Netopia, Inc.+ ......................... 2,800 201,425
NetZero, Inc.+ ......................... 1,890 28,823
Phone.com, Inc.+ ....................... 3,045 496,716
Portal Software, Inc.+ ................. 2,400 136,650
RealNetworks, Inc.+ .................... 1,025 58,361
Rhythms NetConnections, Inc.+ .......... 1,800 66,262
Software.com, Inc.+ .................... 5,695 733,943
Verio, Inc.+ ........................... 4,525 203,908
Vignette Corp.+ ........................ 4,395 704,299
Vitria Technology, Inc.+ ............... 600 60,487
WatchGuard Technologies, Inc.+ ......... 3,000 270,000
TELECOMMUNICATIONS -- 10.3%
AirGate PCS, Inc.+ ..................... 1,200 126,600
China Telecom (Hong Kong) Ltd. ADR+ .... 2,000 354,500
Copper Mountain Networks, Inc.+ ........ 1,100 90,131
Covad Communications Group, Inc.+ ...... 2,300 166,750
JDS Uniphase Corp.+ .................... 4,375 527,461
Level 3 Communications, Inc.+ .......... 6,375 674,156
Motorola, Inc. ......................... 2,000 284,750
Nextel Communications, Inc.,
Class A+ ............................. 1,180 174,935
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Nokia Corp. ............................ 517 $ 109,407
Nokia Corp. ADR......................... 19,645 4,267,876
Nortel Networks Corp. .................. 2,000 252,000
NTL, Inc.+ ............................. 3,330 309,066
QUALCOMM, Inc.+ ........................ 6,080 907,820
Sprint Corp. (PCS Group)+ .............. 9,035 590,098
Telefonaktiebolaget LM
Ericsson AB ADR....................... 7,270 682,017
Telefonaktiebolaget LM Ericsson AB,
Series B.............................. 2,955 259,950
Vodafone AirTouch PLC+ ................. 165,253 920,847
------------
34,262,819
------------
MATERIALS -- 0.4%
CHEMICALS -- 0.1%
du Pont (E.I.) de Nemours & Co. ........ 1,000 52,875
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group................... 1,600 63,300
METALS & MINERALS -- 0.2%
Alcoa, Inc. ............................ 2,000 140,500
Maverick Tube Corp.+ ................... 3,700 120,019
------------
376,694
------------
UTILITIES -- 1.9%
ELECTRIC UTILITIES -- 0.1%
PECO Energy Co. ........................ 2,000 73,750
GAS & PIPELINE UTILITIES -- 0.2%
Coastal Corp. .......................... 4,000 184,000
TELEPHONE -- 1.6%
AT&T Corp. ............................. 3,500 196,875
GTE Corp. .............................. 600 42,600
MCI WorldCom, Inc.+ .................... 3,000 135,937
SBC Communications, Inc. ............... 1,200 50,400
Telefonica SA+ ......................... 15,200 384,246
Telefonos de Mexico SA ADR.............. 9,365 627,455
WinStar Communications, Inc.+ .......... 4,917 295,020
------------
1,990,283
------------
TOTAL COMMON STOCK (cost $44,471,536)... 65,318,975
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
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<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp., Series B
13.50% (1) (cost $3,674).............. 5 5,137
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</TABLE>
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<TABLE>
<CAPTION>
BONDS & NOTES -- 23.0% PRINCIPAL
AMOUNT VALUE
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<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.3%
APPAREL & TEXTILES -- 0.0%
Westpoint Stevens, Inc. 7.88% 2008...... $ 10,000 $ 7,675
AUTOMOTIVE -- 0.1%
Accuride Corp., Series B 9.25% 2008..... 5,000 4,337
Delco Remy International, Inc. 8.63%
2007.................................. 10,000 9,200
Delco Remy International, Inc. 10.63%
2006.................................. 5,000 4,950
Dura Operating Corp., Series B 9.00%
2009.................................. 10,000 8,900
Federal-Mogul Corp. 7.50% 2009.......... 20,000 15,393
Federal-Mogul Corp. 8.80% 2007.......... 10,000 8,688
LDM Technologies, Inc., Series B 10.75%
2007.................................. 5,000 3,750
Lear Corp., Series B 8.11% 2009......... 15,000 13,444
HOUSING -- 0.0%
Engle Homes, Inc., Series C 9.25%
2008.................................. 5,000 4,025
Henry Co., Series B 10.00% 2008......... 10,000 7,187
Nortek, Inc., Series B 9.25% 2007....... 10,000 9,275
Standard Pacific Corp. 8.50% 2007....... 10,000 8,775
Toll Corp. 8.13% 2009................... 5,000 4,288
Webb (Del E.) Corp. 10.25% 2010......... 5,000 4,138
RETAIL -- 0.2%
Disco SA 9.88% 2008..................... 5,000 4,388
Duane Reade, Inc. 9.25% 2008............ 25,000 23,375
Kroger Co. 7.38% 2005................... 25,000 24,524
Mattress Discounters Corp. 12.63%
2007(2)............................... 10,000 9,250
Sealy Mattress Co., Series B zero coupon
2007(3)............................... 5,000 3,556
Stater Brothers Holdings, Inc. 10.75%
2006.................................. 15,000 14,850
Vlasic Foods International, Inc.,
Series B 10.25% 2009.................. 15,000 9,412
Wal-Mart Stores, Inc. 7.55% 2030........ 110,000 112,222
------------
315,602
------------
CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.3%
Aurora Foods, Inc., Series B 8.75%
2008.................................. 10,000 3,775
B & G Foods, Inc. 9.63% 2007............ 10,000 8,025
Chiquita Brands International, Inc.
10.00% 2009........................... 10,000 7,725
CPC International, Inc., Series E 7.25%
2026.................................. 150,000 140,310
Del Monte Foods Co., Series B zero
coupon 2007(3)........................ 8,000 6,210
Nash Finch Co., Series B 8.50% 2008..... 10,000 7,875
Panamerican Beverages, Inc. 8.13%
2003.................................. 30,000 29,016
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018.................................. 35,000 32,580
Whitman Corp. 6.38% 2009................ 65,000 58,164
HOUSEHOLD PRODUCTS -- 0.0%
Royster-Clark, Inc. 10.25% 2009*........ 10,000 8,675
------------
302,355
------------
ENERGY -- 0.7%
ENERGY SERVICES -- 0.0%
ICO, Inc., Series B 10.38% 2007......... 5,000 4,687
Key Energy Services, Inc., Series B
14.00% 2009........................... 5,000 5,469
Pride International, Inc. 10.00% 2009... 5,000 4,900
</TABLE>
----------------
10
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Pride Petroleum Services, Inc. 9.38%
2007.................................. $ 10,000 $ 9,800
Tuboscope, Inc. 7.50% 2008.............. 10,000 8,581
ENERGY SOURCES -- 0.7%
Apache Finance Canada Corp. 7.75%
2029.................................. 150,000 143,634
Conoco, Inc. 5.90% 2004................. 40,000 38,095
Energy Corp. of America, Series A 9.50%
2007.................................. 15,000 10,500
Enron Corp. 6.75% 2004.................. 50,000 47,980
Enron Corp. 9.63% 2006.................. 65,000 70,309
Husky Oil Ltd. 7.55% 2016............... 70,000 64,543
Newfield Exploration Co., Series B 7.45%
2007.................................. 40,000 37,343
Petroleos Mexicanos 9.38% 2008.......... 35,000 35,962
Petroleos Mexicanos, Series P 9.50%
2027.................................. 30,000 30,975
Plains Resources, Inc., Series B 10.25%
2006.................................. 5,000 4,806
Plains Resources, Inc., Series D 10.25%
2006.................................. 10,000 9,775
Tosco Corp. 8.13% 2030.................. 110,000 109,924
YPF Sociedad Anonima, Series C 10.00%
2028.................................. 50,000 56,509
------------
693,792
------------
FINANCE -- 3.8%
BANKS -- 0.6%
Bank of America Corp. 9.38% 2009........ 32,000 35,941
Credit National 7.00% 2005.............. 80,000 76,648
First Republic Bancorp 7.75% 2012....... 25,000 21,601
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007............. 115,000 109,911
Korea Development Bank 7.13% 2001....... 15,000 14,811
National City Corp. 7.20% 2005.......... 80,000 78,406
NBD Bank NA 8.25% 2024.................. 25,000 27,943
Popular, Inc., Series C 6.75% 2001...... 35,000 34,699
Royal Bank Scotland Group PLC 6.40%
2009.................................. 110,000 101,796
U.S. Bancorp 7.50% 2026................. 100,000 98,884
Werner Holdings Co., Inc., Series A
10.00% 2007........................... 5,000 4,688
Western Financial Bank 8.88% 2007....... 10,000 8,650
FINANCIAL SERVICES -- 1.7%
Aesop Funding II LLC 6.14% 2006*........ 60,000 56,825
Aesop Funding II LLC 6.22% 2001*........ 50,000 49,951
Aesop Funding II LLC 6.40% 2003*........ 50,000 48,830
Allstate Financing II 7.83% 2045........ 24,000 21,096
American General Finance Corp.,
Series E 6.25% 2002................... 100,000 97,168
Arcadia Financial Ltd. 11.50% 2007(2)... 5,000 5,231
Arcadia Financial Ltd. 11.50% 2007*..... 5,000 5,300
Asset Securitization Corp. 6.75% 2041... 50,000 47,522
AXA Finanical, Inc. 7.00% 2028.......... 60,000 54,890
Chase Credit Card Master Trust 6.19%
2005.................................. 60,000 58,646
Crown Castle International Corp. zero
coupon 2007(3)(6)..................... 15,000 10,406
CS First Boston Mortgage Securities
Corp. 7.24% 2029...................... 70,000 69,330
Dime Capital Trust I, Series A 9.33%
2027.................................. 20,000 19,611
Finova Capital Corp. 6.63% 2001......... 50,000 49,350
Finova Capital Corp., Series C 6.39%
2002.................................. 40,000 38,579
Fleet Mortgage Group, Inc., Series A
6.84% 2003............................ 30,000 29,474
GE Capital Mortgage Services, Inc. 6.25%
2023.................................. 2,977 2,956
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
General Electric Capital Corp. 8.70%
2007.................................. $ 50,000 $ 54,183
General Motors Acceptance Corp. 7.63%
2003.................................. 60,000 60,170
Liberty Financial Cos., Inc. 6.75%
2008.................................. 65,000 60,685
PNC Funding Corp. 7.50% 2009............ 110,000 110,013
Popular North America, Inc., Series D
6.63% 2002............................ 35,000 33,935
Principal Financial Group 8.20% 2009*... 120,000 119,371
Private Export Funding Corp. 6.62%
2005.................................. 120,000 119,218
Private Export Funding Corp., Series C
6.31% 2004............................ 100,000 97,533
Private Export Funding Corp., Series NN
7.30% 2002............................ 125,000 125,566
Private Export Funding Corp., Series YY
7.03% 2003............................ 35,000 35,075
RBF Finance Co. 11.38% 2009............. 10,000 10,788
Sprint Capital Corp. 6.13% 2008......... 70,000 63,727
Sun Canada Financial Co. 6.63% 2007*.... 65,000 61,476
Tembec Finance Corp. 9.88% 2005......... 5,000 5,038
Tembec Industries, Inc. 8.63% 2009...... 5,000 4,763
Toyota Motor Credit Corp. 5.63% 2003.... 70,000 66,499
U.S. West Capital Funding, Inc. 6.25%
2005.................................. 90,000 85,147
INSURANCE -- 1.5%
AAG Holding Co., Inc. 6.88% 2008........ 100,000 91,787
Abbey National PLC, Series E 6.69%
2005.................................. 100,000 96,269
Ace Capital Trust II 9.70% 2030......... 150,000 151,238
American Financial Group, Inc. 7.13%
2009.................................. 25,000 22,741
Amerus Life Holdings, Inc. 6.95% 2005... 90,000 83,677
CIGNA Corp. 7.40% 2007.................. 45,000 44,498
CIGNA Corp. 7.88% 2027.................. 69,000 66,391
CIGNA Corp. 8.25% 2007.................. 30,000 31,024
Everest Reinsurance Holdings Co. 8.75%
2010.................................. 150,000 152,189
Farmers Insurance Exchange 8.50%
2004*................................. 140,000 145,460
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019*.......... 140,000 134,316
Jackson National Life Insurance Co.
8.15% 2027*........................... 22,000 22,418
Lumbermens Mutual Casualty Co. 8.30%
2037*................................. 40,000 35,469
Metropolitan Life Insurance Co. 7.70%
2015.................................. 60,000 59,335
Prudential Insurance Co. 6.88% 2003*.... 125,000 123,050
Reliastar Financial Corp. 8.00% 2006.... 85,000 84,606
Safeco Capital Trust I 8.07% 2037....... 110,000 95,648
Travelers Property Casualty Corp. 7.75%
2026.................................. 120,000 120,906
------------
3,953,352
------------
HEALTHCARE -- 0.3%
DRUGS -- 0.0%
Alaris Medical Systems, Inc. 9.75%
2006.................................. 5,000 4,163
Warner Chilcott, Inc. 12.63% 2008*...... 10,000 9,888
HEALTH SERVICES -- 0.1%
Beverly Enterprises, Inc. 9.00% 2006.... 10,000 8,462
Columbia/HCA Healthcare Corp. 7.25%
2008.................................. 10,000 8,875
HEALTHSOUTH Corp. 6.88% 2005............ 60,000 52,229
Lifepoint Hospitals Holdings, Inc.,
Series B 10.75% 2009.................. 5,000 5,025
Tenet Healthcare Corp. 7.88% 2003....... 20,000 19,150
Tenet Healthcare Corp., Series B 8.13%
2008.................................. 10,000 9,100
Triad Hospitals Holdings, Inc.,
Series B 11.00% 2009.................. 10,000 10,050
</TABLE>
----------------
12
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.2%
ALARIS Medical, Inc. zero coupon
2008(3)............................... $ 10,000 $ 3,288
Beckman Instruments, Inc. 7.10% 2003.... 40,000 38,360
Beckman Instruments, Inc. 7.45% 2008.... 5,000 4,531
Bio-Rad Labs, Inc.11.63% 2007*.......... 5,000 5,012
Cardinal Health 7.00% 2026.............. 120,000 115,579
Mediq PRN Life Support Services, Inc.
11.00% 2008........................... 10,000 975
------------
294,687
------------
INDUSTRIAL & COMMERCIAL -- 0.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009........................... 10,000 10,175
K & F Industries, Inc., Series B 9.25%
2007.................................. 10,000 9,300
Raytheon Co. 8.20% 2006*................ 110,000 111,196
SCL Term Aereo Santiago SA 6.95%
2012*................................. 100,000 92,514
BUSINESS SERVICES -- 0.4%
Allied Waste North America, Inc.,
Series B 7.63% 2006................... 10,000 8,425
Boise Cascade Office Products Corp.
7.05% 2005............................ 125,000 119,137
Federal Express Corp. 6.72% 2022........ 78,434 74,090
Fisher Scientific International, Inc.
9.00% 2008............................ 5,000 4,550
Iron Mountain, Inc. 8.13% 2008.......... 5,000 4,350
Iron Mountain, Inc. 8.75% 2009.......... 5,000 4,450
KMC Telecom Holdings, Inc. zero coupon
2008(3)............................... 15,000 8,044
Neenah Corp., Series F 11.13% 2007...... 5,000 4,450
Owens & Minor, Inc. 10.88% 2006......... 10,000 10,263
Waste Management, Inc. 7.00% 2006....... 60,000 52,401
Waste Management, Inc. 7.13% 2007....... 70,000 61,137
World Color Press, Inc. 8.38% 2008...... 5,000 4,781
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008.... 10,000 4,400
Numatics, Inc., Series B 9.63% 2008..... 5,000 4,056
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007................... 5,000 4,538
Westinghouse Air Brake Co., Series B2
9.38% 2005............................ 5,000 4,887
MULTI-INDUSTRY -- 0.1%
American Standard, Inc. 7.63% 2010...... 5,000 4,450
Eaton Corp. 7.65% 2029.................. 100,000 98,241
Prestolite Electric, Inc. 9.63% 2008.... 15,000 9,262
TRANSPORTATION -- 0.0%
AMR Corp. 9.88% 2020.................... 30,000 34,687
------------
743,784
------------
INFORMATION & ENTERTAINMENT -- 0.6%
BROADCASTING & MEDIA -- 0.5%
Adelphia Communications Corp. 9.38%
2009.................................. 10,000 9,350
Adelphia Communications Corp., Series B
8.38% 2008............................ 5,000 4,450
Allbritton Communications Co., Series B
8.88% 2008............................ 10,000 9,000
AMC Entertainment, Inc. 9.50% 2009...... 20,000 10,200
American Media Operations, Inc. 10.25%
2009*................................. 5,000 4,888
Benedek Communications Corp. zero coupon
2006(3)............................... 10,000 9,163
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Cablevision SA 13.75% 2009.............. $ 5,000 $ 5,038
Century Communications Corp., Series B
zero coupon 2008(3)................... 20,000 8,200
Charter Communication Holdings LLC 8.63%
2009.................................. 15,000 13,200
Classic Cable, Inc. 10.50% 2010*........ 15,000 14,887
Comcast Cable Communications Corp. 8.50%
2027.................................. 15,000 15,604
Echostar DBS Corp. 9.38% 2009........... 30,000 28,950
Emmis Communications Corp., Series B
8.13% 2009............................ 5,000 4,688
Frontiervision Holdings LP zero coupon
2007(3)............................... 10,000 8,800
Frontiervision Holdings LP, Series B
zero coupon 2007(3)................... 5,000 4,381
Granite Broadcasting Corp. 8.88% 2008... 10,000 8,600
LIN Holdings Corp. zero coupon
2008(3)............................... 25,000 15,437
News America Holdings, Inc. 8.00%
2016.................................. 135,000 131,633
RCN Corp. zero coupon 2008(3)........... 15,000 8,775
Scholastic Corp. 7.00% 2003............. 35,000 33,998
Sullivan Graphics, Inc. 12.75% 2005..... 10,000 10,350
Sun Media Corp. 9.50% 2007.............. 15,000 14,475
TCI Communications, Inc. 8.00% 2005..... 25,000 25,668
Tele-Communications, Inc. 7.25% 2005.... 25,000 24,851
Tele-Communications, Inc. 9.25% 2002.... 25,000 25,993
TV Guide, Inc. 8.13% 2009............... 10,000 9,900
Viacom, Inc. 7.75% 2005................. 40,000 40,303
Young Broadcasting, Inc., Series B 8.75%
2007.................................. 15,000 13,125
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc., Series B 11.00%
2008.................................. 15,000 14,869
True Temper Sports, Inc., Series B
10.88% 2008........................... 10,000 9,462
LEISURE & TOURISM -- 0.1%
Aztar Corp. 8.88% 2007.................. 10,000 9,050
Continental Airlines, Inc., Series A
6.65% 2017............................ 38,481 35,055
Continental Airlines, Inc., Series B
6.47% 2004............................ 37,753 35,953
Hollywood Casino Corp. 11.25% 2007...... 10,000 10,050
John Q. Hammons Hotels, Inc. 8.88%
2004.................................. 10,000 8,850
Loews Cineplex Entertainment Corp. 8.88%
2008.................................. 20,000 13,100
Station Casinos, Inc. 8.88% 2008........ 15,000 13,875
Tricon Global Restaurants, Inc. 7.65%
2008.................................. 5,000 4,726
------------
668,897
------------
INFORMATION TECHNOLOGY -- 0.4%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007.... 10,000 10,425
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00%
2003.................................. 5,000 4,950
Amphenol Corp. 9.88% 2007............... 3,000 3,105
Fairchild Semiconductor Corp. 10.13%
2007.................................. 15,000 14,550
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008................... 5,000 4,350
SCG Holdings & Semiconductor Co.,
Series B 12.00% 2009*................. 15,000 16,012
INTERNET SOFTWARE -- 0.0%
Covad Communications Group, Inc. 12.50%
2009.................................. 5,000 4,638
Covad Communications Group, Inc. 12.00%
2010*................................. 5,000 4,488
PSINet, Inc. 11.00% 2009................ 5,000 4,837
</TABLE>
----------------
14
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
PSINet, Inc. 11.50% 2008................ $ 5,000 $ 4,937
PSINet, Inc., Series B 10.00% 2005...... 10,000 9,450
Verio, Inc. 10.38% 2005................. 5,000 4,825
Verio, Inc. 11.25% 2008................. 5,000 4,950
TELECOMMUNICATIONS -- 0.4%
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004.................. 5,000 5,150
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(3).......... 5,000 4,600
Alaska Communications Holdings, Inc.
9.38% 2009............................ 10,000 9,050
AMSC Acquisition Co., Inc., Series B
12.25% 2008........................... 5,000 3,938
BTI Telecom Corp. 10.50% 2007........... 5,000 4,413
Clearnet Communications, Inc. zero
coupon 2009(3)........................ 10,000 5,713
Compania de Telecomunicaciones de Chile
7.63% 2006............................ 30,000 28,831
Compania de Telecomunicaciones de Chile
8.38% 2006............................ 25,000 24,769
e.Spire Communications, Inc. zero coupon
2008(3)............................... 15,000 6,000
GCI, Inc. 9.75% 2007.................... 30,000 28,125
Globalstar LP 10.75% 2004............... 5,000 1,800
GST Network Funding, Inc. zero coupon
2008(3)............................... 15,000 6,131
GT Group Telecom, Inc. zero coupon
2010*(2)(3)........................... 20,000 11,200
Insight Midwest LP 9.75% 2009*.......... 5,000 4,975
Iridium LLC, Series C 11.25% 2005(4)+... 5,000 50
Iridium LLC, Series D 10.88% 2005(4)+... 5,000 50
ITC DeltaCom, Inc. 9.75% 2008........... 10,000 9,825
Level 3 Communications, Inc. 9.13%
2008.................................. 5,000 4,300
Level 3 Communications, Inc.11.25%
2010*................................. 15,000 14,362
McLeodUSA, Inc. 8.38% 2008.............. 5,000 4,475
McLeodUSA, Inc. 9.25% 2007.............. 5,000 4,700
MJD Communications, Inc., Series B 9.50%
2008.................................. 5,000 4,756
Nextel Communications, Inc. 9.38%
2009.................................. 15,000 13,875
Nextel Communications, Inc. zero coupon
2007(3)............................... 30,000 20,550
NEXTLINK Communications, Inc. zero
coupon 2008(3)........................ 15,000 8,850
NEXTLINK Communications, Inc. zero
coupon 2009(3)........................ 10,000 5,650
NTL Communications Corp., Series B zero
coupon 2008(3)........................ 15,000 9,675
Rogers Cantel, Inc. 9.38% 2008.......... 5,000 5,075
RSL Communications PLC 12.00% 2008...... 10,000 9,512
Satelites Mexicanos SA de CV, Series B
10.13% 2004........................... 10,000 8,400
Telecommunications Techniques Co. LLC
9.75% 2008............................ 10,000 9,063
Time Warner Telecom, Inc. 9.75% 2008.... 10,000 9,800
------------
379,180
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.3%
Acetex Corp. 9.75% 2003................. 10,000 9,025
Avecia Group PLC 11.00% 2009............ 15,000 15,037
Georgia Gulf Corp. 10.38% 2007*......... 5,000 5,056
Huntsman Corp. 9.50% 2007*.............. 5,000 4,550
ICI Wilmington, Inc. 6.95% 2004......... 115,000 111,440
Lyondell Chemical Co. 9.80% 2020........ 5,000 4,400
Lyondell Chemical Co., Series B 9.88%
2007.................................. 30,000 28,500
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007................... 5,000 4,213
Praxair, Inc. 6.75% 2003................ 75,000 72,973
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Scotts Co. 8.63% 2009*.................. $ 5,000 $ 4,650
Sovereign Specialty Chemicals,
Inc.11.88% 2010*...................... 10,000 9,950
Texas Petrochemical Corp. 11.13% 2006... 5,000 4,100
Texas Petrochemical Corp., Series B
11.13% 2006........................... 10,000 8,175
FOREST PRODUCTS -- 0.1%
Boise Cascade Co., Series A 9.90%
2001.................................. 40,000 41,006
Doman Industries Ltd. 12.00% 2004....... 10,000 10,150
Gaylord Container Corp., Series B 9.38%
2007.................................. 10,000 9,150
Packaging Corp. of America 9.63% 2009... 5,000 4,862
Repap New Brunswick, Inc. 9.00% 2004.... 5,000 4,800
Sonoco Products Co. 7.00% 2004.......... 100,000 97,560
METALS & MINERALS -- 0.1%
AK Steel Corp. 7.88% 2009............... 10,000 9,050
Algoma Steel, Inc. 12.38% 2005.......... 15,000 14,625
BWay Corp., Series B 10.25% 2007........ 15,000 13,537
Consumers Packaging, Inc. 9.75% 2007.... 5,000 2,638
LTV Corp. 11.75% 2009*.................. 15,000 14,662
P & L Coal Holdings Corp., Series B
9.63% 2008............................ 10,000 8,975
Weirton Steel Corp. 11.38% 2004......... 10,000 10,200
------------
523,284
------------
MUNICIPAL BONDS -- 0.3%
MUNICIPAL BONDS -- 0.3%
Allentown Pennsylvania 6.20% 2005....... 120,000 114,998
Fresno County California Pension
Obligation 6.07% 2003................. 50,000 48,181
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002......... 45,000 44,398
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003.................. 50,000 48,216
Miami Florida Revenue 7.25% 2003........ 60,000 60,239
Southern California Public Power
Authority Project 6.93% 2017.......... 50,000 47,441
------------
363,473
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Lithuania 7.13% 2002*....... 19,000 18,145
Republic of Philippines 10.63% 2025..... 51,000 48,420
------------
66,565
------------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.4%
E.O.P. Operating LP 6.38% 2003.......... 60,000 57,735
E.O.P. Operating LP 8.38% 2006.......... 130,000 131,377
Post Apartment Homes LP 7.02% 2001...... 60,000 59,978
Regency Centers LP 7.75% 2009........... 110,000 103,490
Susa Partnership LP 6.95% 2006.......... 40,000 36,550
------------
389,130
------------
</TABLE>
----------------
16
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 14.2%
U.S. GOVERNMENT & AGENCIES -- 14.2%
Federal Home Loan Mortgage Corp. 6.00%
2006.................................. $ 8,119 $ 8,012
Federal Home Loan Mortgage Corp. 6.00%
2013.................................. 222,214 209,366
Federal Home Loan Mortgage Corp. 6.00%
2028.................................. 90,268 82,229
Federal Home Loan Mortgage Corp. 6.50%
2022.................................. 58,000 55,064
Federal Home Loan Mortgage Corp. 6.50%
2023.................................. 20,000 18,725
Federal Home Loan Mortgage Corp. 6.55%
2022.................................. 32,000 30,790
Federal Home Loan Mortgage Corp. 6.75%
2022.................................. 105,000 100,242
Federal Home Loan Mortgage Corp. 7.00%
2023.................................. 12,000 11,696
Federal Home Loan Mortgage Corp. 7.50%
2023.................................. 12,473 12,336
Federal Home Loan Mortgage Corp. 7.50%
2028.................................. 154,530 152,356
Federal Home Loan Mortgage Corp. 7.75%
2022.................................. 48,236 48,281
Federal Home Loan Mortgage Corp. 8.50%
2019.................................. 17,578 17,991
Federal National Mortgage Association
5.25% 2003............................ 590,000 562,712
Federal National Mortgage Association
5.65% 2005............................ 2,977 2,957
Federal National Mortgage Association
5.75% 2008............................ 955,000 873,825
Federal National Mortgage Association
6.00% 2013............................ 263,517 248,281
Federal National Mortgage Association
6.00% 2014............................ 190,806 179,774
Federal National Mortgage Association
6.00% 2028............................ 280,752 255,658
Federal National Mortgage Association
6.18% 2008............................ 19,640 18,321
Federal National Mortgage Association
6.30% 2008............................ 19,638 18,449
Federal National Mortgage Association
6.30% 2008............................ 19,550 18,390
Federal National Mortgage Association
6.34% 2008............................ 19,323 18,241
Federal National Mortgage Association
6.36% 2008............................ 39,221 37,142
Federal National Mortgage Association
6.43% 2008............................ 19,548 18,525
Federal National Mortgage Association
6.50% 2013............................ 170,121 163,899
Federal National Mortgage Association
6.98% 2007............................ 93,635 91,505
Federal National Mortgage Association
7.02% 2007............................ 18,624 18,234
Federal National Mortgage Association
7.04% 2007............................ 19,456 19,066
Federal National Mortgage Association
7.39% 2021............................ 23,532 23,522
Federal National Mortgage Association
7.50% TBA............................. 350,000 343,493
Federal National Mortgage Association
7.75% 2021............................ 50,000 50,188
Federal National Mortgage Association
8.00% 2006............................ 9,148 9,228
Government National Mortgage Association
6.50% 2029............................ 99,363 93,711
Government National Mortgage Association
7.00% 2022............................ 7,981 7,779
Government National Mortgage Association
7.25% 2027............................ 89,784 88,129
Government National Mortgage Association
7.50% 2023............................ 18,826 18,755
Government National Mortgage Association
7.50% 2029............................ 348,590 345,428
Government National Mortgage Association
7.50% 2029............................ 27,961 27,707
Government National Mortgage Association
8.50% 2017............................ 18,789 19,370
Government National Mortgage Association
9.00% 2021............................ 6,460 6,696
Overseas Private Investment Corp., 6.99%
2009.................................. 387,221 381,021
United States Treasury Bonds 5.25%
2028.................................. 425,000 380,375
United States Treasury Bonds 9.00%
2018.................................. 1,795,000 2,342,188
United States Treasury Bonds 9.25%
2016.................................. 915,000 1,190,644
United States Treasury Bonds 11.88%
2003.................................. 510,000 595,823
United States Treasury Bonds 12.00%
2013.................................. 1,840,000 2,484,570
United States Treasury Notes 4.75%
2008.................................. 300,000 270,843
United States Treasury Notes 5.50%
2009.................................. 600,000 571,404
United States Treasury Notes 5.75%
2001.................................. 163,000 161,574
United States Treasury Notes 5.88%
2004.................................. 2,000,000 1,963,740
</TABLE>
----------------
17
<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 Strip Bonds zero
coupon 2012........................... $ 275,000 $ 131,257
------------
14,799,512
------------
UTILITIES -- 0.4%
ELECTRIC UTILITIES -- 0.2%
Conectiv, Inc. 6.38% 2005............... 20,000 19,351
Public Service Electric & Gas Co.,
Series A 8.88% 2003................... 11,000 11,398
ScottishPower PLC, Series H 6.38%
2008.................................. 100,000 94,876
UtiliCorp United, Inc. 6.88% 2004....... 40,000 38,317
WESCO Distribution, Inc., Series B 9.13%
2008.................................. 10,000 8,675
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp. 10.75% 2010*............... 10,000 9,975
TELEPHONE -- 0.2%
Alestra SA DE RL DE CV 12.13% 2006...... 20,000 20,050
GTE Corp. 6.36% 2006.................... 95,000 89,489
Intermedia Communications, Inc.,
Series B 8.88% 2007................... 15,000 13,500
Intermedia Communications, Inc.,
Series B 9.50% 2009................... 5,000 4,625
Intermedia Communications, Inc.,
Series B zero coupon 2009(3).......... 15,000 8,663
MCI Communications Corp. 6.13%
2002(5)............................... 30,000 29,331
MCI WorldCom, Inc. 7.55% 2004........... 85,000 85,383
Viatel, Inc. 11.25% 2008................ 10,000 8,900
------------
442,533
------------
TOTAL BONDS & NOTES (cost
$24,650,952).......................... 23,936,146
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*#
(cost $28)............................ 10 25
------------
<CAPTION>
OPTIONS -- 0.1%+
CONTRACTS
----------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.1%
Broadvision, Inc. $65 expires 5/00...... 26 59,475
S & P 500 Index $1,400 expires 4/00..... 2 1,200
Vignette Corp. $210 expires 5/00........ 5 31,688
------------
TOTAL OPTIONS (cost $52,860)............ 92,363
------------
TOTAL INVESTMENT SECURITIES (cost
$69,179,050).......................... 89,352,646
------------
<CAPTION>
SHORT-TERM SECURITIES -- 8.5% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.9%
Associates Corp. of North America 6.21%
due 4/03/00........................... $ 1,900,000 1,899,345
Cincinnati Milacron, Inc. 7.88% due
5/15/00............................... 40,000 39,967
Cleveland Electric Illuminating Co.,
Series B 7.19% due 7/01/00............ 15,000 14,983
</TABLE>
----------------
18
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES (CONTINUED)
Ford Motor Credit Co. 7.02% due
10/10/00.............................. $ 50,000 $ 50,095
------------
2,004,390
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.3%
Government of France 4.00% due
7/12/00............................... 340,000 325,779
------------
U.S. GOVERNMENT & AGENCIES -- 6.3%
Federal Home Loan Bank Consolidated
Discount Notes 6.05% due 4/03/00...... 3,600,000 3,598,790
Federal National Mortgage Association
5.63% due 3/15/01..................... 410,000 405,900
United States Treasury Notes 4.88% due
3/31/01............................... 1,950,000 1,921,354
United States Treasury Notes 5.00% due
2/28/01............................... 620,000 612,442
------------
6,538,486
------------
TOTAL SHORT-TERM SECURITIES (cost
$8,912,412)........................... 8,868,655
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 3.6%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.6%
State Street Bank & Trust Co. Joint
Repurchase Agreement Account
(Note 3).............................. 3,359,000 3,359,000
Swiss Bank Corp. Joint Repurchase
Agreement Account (Note 3)............ 340,000 340,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$3,699,000)........................... 3,699,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $81,790,462) 98.0% 101,920,301
Total Written Call Options -- (0.1) (146,100)
Other assets less liabilities -- 2.1 2,201,653
---------- ------------
NET ASSETS -- 100.0% $103,975,854
========== ============
</TABLE>
-------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof represents collateral for the written call
options
(1) PIK -- ("Payment in Kind") payment made with additonal securities in lieu of
cash
(2) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Bond in default
(5) Variable rate security; rate as of March 31, 2000
(6) Security represents an investment in an affiliated company; See Note 7
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
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.
----------------
19
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
------------------------------------------------------------
<S> <C> <C> <C>
USD* 1,097,100 EUR 1,150,000 4/07/2000 $ 4,608
EUR* 300,000 USD 311,999 4/07/2000 24,487
EUR* 250,000 USD 254,450 4/07/2000 14,949
EUR* 700,000 USD 762,790 4/07/2000 92,185
EUR* 150,000 USD 162,608 4/07/2000 18,906
EUR* 100,000 USD 105,977 4/07/2000 10,176
EUR* 310,000 USD 325,702 4/07/2000 28,719
EUR* 50,000 USD 51,990 4/07/2000 4,089
EUR* 200,000 USD 203,604 4/07/2000 12,003
USD* 238,108 EUR 250,000 4/14/2000 1,509
EUR* 400,000 USD 407,360 4/14/2000 23,974
EUR 100,000 USD 101,889 4/14/2000 6,043
EUR 150,000 USD 148,737 4/20/2000 4,909
EUR* 200,000 USD 207,520 6/09/2000 15,091
EUR 350,000 USD 349,815 6/09/2000 13,065
EUR 100,000 USD 100,220 6/09/2000 4,006
EUR* 1,010,000 USD 1,056,460 6/09/2000 84,696
EUR* 190,000 USD 199,158 6/09/2000 16,351
EUR* 200,000 USD 207,194 6/09/2000 14,765
EUR* 200,000 USD 207,136 6/09/2000 14,707
EUR* 250,000 USD 243,838 9/08/2000 1,782
EUR 250,000 USD 243,080 9/08/2000 1,025
EUR 200,000 USD 195,324 9/08/2000 1,680
USD* 42,788 JPY 4,500,000 4/07/2000 1,102
USD* 28,483 JPY 3,000,000 4/20/2000 849
--------
415,676
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
--------------------------------------------------------------
USD* 414,168 EUR 400,000 4/07/2000 (30,965)
USD* 201,792 EUR 200,000 4/07/2000 (10,191)
USD* 176,210 EUR 160,000 4/07/2000 (22,929)
USD* 151,727 EUR 150,000 4/07/2000 (8,028)
USD* 866,691 EUR 900,000 6/09/2000 (763)
USD* 287,832 EUR 295,000 6/09/2000 (3,999)
USD* 612,500 EUR 600,000 6/09/2000 (35,214)
USD* 193,968 EUR 200,000 9/08/2000 (324)
EUR 1,150,000 USD 1,109,782 9/22/2000 (4,774)
JPY* 4,500,000 USD 43,459 4/07/2000 (431)
JPY* 17,000,000 USD 164,795 4/20/2000 (1,418)
JPY 2,000,000 USD 18,504 4/20/2000 (1,050)
JPY 3,000,000 USD 28,172 9/14/2000 (1,909)
JPY 3,500,000 USD 34,381 9/14/2000 (714)
JPY 4,500,000 USD 44,049 9/22/2000 (1,137)
JPY 2,000,000 USD 20,004 9/08/2000 (29)
---------
(123,875)
---------
Net Unrealized Appreciation................. $ 291,801
=========
</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
JPY -- Japenese Yen
USD -- United States Dollar
----------------
20
<PAGE>
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
-------------------------------------------------------------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Broadcom Corp. (Proceeds $52,000)........ 16 April 2000 $ 220 $ (72,400)
Critical Path, Inc. (Proceeds $10,880)... 8 May 2000 75 (15,400)
Inktomi Corp. (Proceeds $46,856)......... 14 May 2000 200 (36,050)
Siebel System, Inc. (Proceeds $15,470)... 10 May 2000 110 (22,250)
---------
Total Open Covered Written Call Options (Proceeds $125,206)............................... $(146,100)
=========
</TABLE>
See Notes to Financial Statements
----------------
21
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 51.0%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.5%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .................................... 4,200 $ 44,625
AUTOMOTIVE -- 0.4%
General Motors Corp., Class H+ ................... 2,700 336,150
SPX Corp.+ ....................................... 1,000 113,937
HOUSING -- 0.2%
Lowe's Cos., Inc. ................................ 3,400 198,475
RETAIL -- 1.8%
Gap, Inc. ........................................ 3,000 149,437
Home Depot, Inc. ................................. 12,270 791,415
Linens' N Things, Inc.+ .......................... 1,700 58,225
Sunglass Hut International, Inc.+ ................ 15,400 120,313
Talbots, Inc. .................................... 5,000 294,375
Target Corp. ..................................... 1,600 119,600
Wal-Mart Stores, Inc. ............................ 7,400 410,700
------------
2,637,252
------------
CONSUMER STAPLES -- 0.3%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Seagram Co., Ltd. ................................ 2,500 148,750
HOUSEHOLD PRODUCTS -- 0.1%
Yankee Candle Co., Inc.+ ......................... 7,100 112,269
------------
261,019
------------
ENERGY -- 4.7%
ENERGY SERVICES -- 2.7%
Baker Hughes, Inc. ............................... 2,500 75,625
BJ Services Co.+ ................................. 8,900 657,487
Global Marine, Inc.+ ............................. 5,900 149,713
Halliburton Co. .................................. 3,200 131,200
Nabors Industries, Inc.+ ......................... 6,600 256,162
Precision Drilling Corp.+ ........................ 9,000 300,375
R & B Falcon Corp.+ .............................. 4,600 90,563
Schlumberger Ltd. ................................ 3,200 244,800
Transocean Sedco Forex, Inc. ..................... 7,900 405,369
Weatherford International, Inc.+ ................. 9,700 571,694
ENERGY SOURCES -- 2.0%
Chevron Corp. .................................... 1,100 101,681
Enron Corp. ...................................... 21,920 1,641,260
Exxon Mobil Corp. ................................ 2,780 216,319
Noble Drilling Corp.+ ............................ 2,000 82,875
</TABLE>
----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Royal Dutch Petroleum Co. GDR .................... 2,000 $ 115,125
------------
5,040,248
------------
FINANCE -- 2.1%
BANKS -- 0.7%
Bank of New York Co., Inc. ....................... 2,000 83,125
Chase Manhattan Corp. ............................ 1,200 104,625
Fifth Third Bancorp .............................. 5,510 347,130
Firstar Corp. .................................... 7,441 170,678
Summit Bancorp ................................... 1,300 34,125
FINANCIAL SERVICES -- 1.4%
American Express Co. ............................. 3,420 509,366
Capital One Financial Corp. ...................... 1,800 86,288
Citigroup, Inc. .................................. 2,250 133,453
E*TRADE Group, Inc.+ ............................. 10,015 301,702
Mellon Financial Corp. ........................... 1,500 44,250
Merrill Lynch & Co., Inc. ........................ 1,500 157,500
Morgan Stanley, Dean Witter & Co. ................ 2,600 212,062
Paine Webber Group, Inc. ......................... 900 39,600
------------
2,223,904
------------
HEALTHCARE -- 3.5%
DRUGS -- 0.9%
Alkermes, Inc.+ .................................. 2,700 249,750
Biogen, Inc.+ .................................... 2,000 139,750
Cephalon, Inc.+ .................................. 6,000 225,000
Immunex Corp.+ ................................... 1,000 63,437
Merck & Co., Inc. ................................ 600 37,275
Millennium Pharmaceuticals, Inc.+ ................ 1,350 175,331
Pfizer, Inc. ..................................... 3,500 127,969
HEALTH SERVICES -- 0.2%
Bally Total Fitness Holding Corp.+ ............... 6,400 156,800
Healtheon/WebMD Corp.+ ........................... 1,175 27,025
MEDICAL PRODUCTS -- 2.4%
Affymetrix, Inc.+ ................................ 1,600 237,500
Genome Therapeutics Corp.+ ....................... 2,600 61,263
Lynx Therapeutics, Inc.+ ......................... 1,800 53,550
MedImmune, Inc.+ ................................. 2,650 461,431
Medtronic, Inc. .................................. 11,247 578,518
MiniMed, Inc.+ ................................... 1,395 180,652
Myriad Genetics, Inc.+ ........................... 3,600 216,900
PE Corp-PE Biosystems Group ...................... 4,140 399,510
QLT PhotoTherapeutics, Inc.+ ..................... 4,100 226,525
Schering-Plough Corp. ............................ 900 33,075
Visible Genetics, Inc.+ .......................... 3,700 136,900
------------
3,788,161
------------
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 3.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
HEICO Corp., Class A ............................. 8,000 $ 112,000
BUSINESS SERVICES -- 2.4%
Amdocs Ltd.+ ..................................... 3,700 272,644
Corning, Inc. .................................... 1,200 232,800
Electronic Data Systems Corp. .................... 1,000 64,188
General Electric Co. ............................. 4,500 698,344
Global Industries Ltd.+ .......................... 1,400 20,475
Invitrogen Corp.+ ................................ 2,600 150,962
Mobile Mini, Inc.+ ............................... 6,800 132,600
Paychex, Inc. .................................... 2,000 104,750
Smith International, Inc.+ ....................... 7,400 573,500
TMP Worldwide, Inc.+ ............................. 3,690 286,897
MACHINERY -- 0.2%
Kulicke & Soffa Industries, Inc.+ ................ 2,900 185,781
MULTI-INDUSTRY -- 0.3%
Tyco International Ltd. .......................... 6,500 324,188
TRANSPORTATION -- 0.3%
Offshore Logistics, Inc.+ ........................ 8,600 119,325
Oshkosh Truck Corp. .............................. 3,000 93,187
RailWorks Corp.+ ................................. 13,800 139,725
Pierce Leahy Corp. ............................... 5,000 4,688
------------
3,516,054
------------
INFORMATION & ENTERTAINMENT -- 6.7%
BROADCASTING & MEDIA -- 6.2%
AT&T Corp. - Liberty Media Group, Class A+ ....... 26,030 1,542,277
Cablevision Systems Corp., Class A+ .............. 3,655 222,041
CBS Corp.+ ....................................... 1,500 84,938
Cinar Corp., Class B+# ........................... 6,500 32,500
Comcast Corp., Class A+ .......................... 12,805 555,417
Cox Communications, Inc., Class A+ ............... 4,285 207,822
DoubleClick, Inc.+ ............................... 3,285 307,558
EchoStar Communications Corp., Class A+ .......... 3,400 268,600
Entercom Communications Corp.+ ................... 3,000 153,000
Infinity Broadcasting Corp., Class A+ ............ 5,635 182,433
Lamar Advertising Co.+ ........................... 1,327 60,379
Liberty Digital, Inc., Class A+ .................. 655 25,218
Netro Corp.+ ..................................... 1,200 78,019
Pegasus Communications Corp.+ .................... 3,100 436,325
Powerwave Technologies, Inc.+ .................... 1,750 218,750
Proxim, Inc.+ .................................... 1,300 166,400
Spanish Broadcasting System, Inc., Class A+ ...... 6,400 150,100
Time Warner, Inc. ................................ 14,424 1,442,400
UnitedGlobalCom, Inc., Class A+ .................. 3,585 269,099
VoiceStream Wireless Corp.+ ...................... 2,400 309,150
</TABLE>
----------------
24
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS -- 0.4%
SONY Corp. ....................................... 1,500 $ 211,854
SONY Corp.+ ...................................... 1,500 213,315
LEISURE & TOURISM -- 0.1%
McDonald's Corp. ................................. 1,400 52,587
------------
7,190,182
------------
INFORMATION TECHNOLOGY -- 26.1%
COMMUNICATION EQUIPMENT -- 2.5%
3Com Corp.+ ...................................... 185 10,291
ANADIGICS, Inc.+ ................................. 1,800 118,800
Cisco Systems, Inc.+ ............................. 20,590 1,591,864
Clarent Corp.+ ................................... 1,000 90,188
Digital Microwave Corp.+ ......................... 4,700 159,212
E-Tek Dynamics, Inc.+ ............................ 455 107,039
Extreme Networks, Inc.+ .......................... 900 71,100
Lucent Technologies, Inc. ........................ 3,000 182,250
Network Appliance, Inc.+ ......................... 3,000 248,250
P-Com, Inc.+ ..................................... 4,300 79,550
COMPUTER SERVICES -- 2.5%
CheckFree Holdings Corp.+ ........................ 2,000 141,000
Documentum, Inc.+ ................................ 4,200 327,600
Entrust Technologies, Inc.+ ...................... 2,400 204,188
i2 Technologies, Inc.+ ........................... 7,605 928,761
iGate Capital Corp.+ ............................. 1,545 69,718
MarchFirst, Inc.+ ................................ 5,375 191,820
Sapient Corp.+ ................................... 3,040 254,980
Sun Microsystems, Inc.+ .......................... 2,000 187,406
VeriSign, Inc.+ .................................. 2,710 405,145
COMPUTERS & BUSINESS EQUIPMENT -- 1.5%
Dell Computer Corp.+ ............................. 4,000 215,750
EMC Corp.+ ....................................... 9,435 1,179,375
International Business Machines Corp. ............ 2,000 236,000
COMPUTER SOFTWARE -- 2.3%
Electronic Arts, Inc.+ ........................... 6,885 490,126
Kana Communications, Inc.+ ....................... 1,000 68,000
Micromuse, Inc.+ ................................. 1,300 180,456
Microsoft Corp.+ ................................. 10,130 1,076,312
Mission Critical Software, Inc.+ ................. 1,700 103,913
New Era of Networks, Inc.+ ....................... 800 31,400
Siebel Systems, Inc.+@ ........................... 2,200 262,763
VERITAS Software Corp.+ .......................... 1,998 261,738
ELECTRONICS -- 3.1%
Applied Materials, Inc.+ ......................... 6,530 615,452
ASM Lithography Holdings NV+ ..................... 2,570 287,198
Broadcom Corp., Class A+@ ........................ 1,900 461,462
Conexant Systems, Inc.+ .......................... 4,000 284,000
Flextronics International Ltd.+ .................. 3,000 211,313
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Intel Corp. ...................................... 3,920 $ 517,195
Maxim Integrated Products, Inc.+ ................. 1,730 122,938
PMC-Sierra, Inc.+ ................................ 900 183,319
Texas Instruments, Inc. .......................... 4,000 640,000
INTERNET CONTENT -- 2.3%
Amazon.com, Inc.+ ................................ 12,215 818,405
Critical Path, Inc.+@ ............................ 1,900 161,500
eBay, Inc.+ ...................................... 1,725 303,600
GoTo.com, Inc.+ .................................. 75 3,080
InfoSpace.com, Inc.+ ............................. 1,115 162,163
Internet Capital Group, Inc.+ .................... 1,050 94,828
Lycos, Inc.+ ..................................... 2,565 180,191
Priceline.com, Inc.+ ............................. 2,945 228,238
Stamps.com, Inc.+ ................................ 6,100 117,806
Ticketmaster Online-Citysearch, Inc., Class B .... 1,085 27,193
Yahoo!, Inc.+ .................................... 2,600 445,575
INTERNET SOFTWARE -- 4.3%
Agile Software Corp.+ ............................ 1,800 112,500
America Online, Inc.+ ............................ 3,000 201,750
Ariba, Inc.+ ..................................... 600 125,775
Art Technology Group, Inc.+ ...................... 2,300 151,081
BroadVision, Inc.+ ............................... 5,100 228,863
Commerce One, Inc.+ .............................. 400 59,700
E.piphany, Inc.+ ................................. 300 40,069
Engage Technologies, Inc.+ ....................... 1,600 122,100
Exodus Communications, Inc.+ ..................... 2,595 364,597
Harbinger Corp.+ ................................. 3,500 101,938
Inktomi Corp.+@ .................................. 2,375 463,125
Macromedia, Inc.+ ................................ 2,300 207,719
Netopia, Inc.+ ................................... 2,700 194,231
NetZero, Inc.+ ................................... 1,365 20,816
Phone.com, Inc.+ ................................. 2,200 358,875
Portal Software, Inc.+ ........................... 2,300 130,956
RealNetworks, Inc.+ .............................. 835 47,543
Rhythms NetConnections, Inc.+ .................... 1,700 62,581
Software.com, Inc.+ .............................. 4,470 576,071
Verio, Inc.+ ..................................... 3,265 147,129
Vignette Corp.+ .................................. 3,765 603,341
Vitria Technology, Inc.+ ......................... 600 60,488
WatchGuard Technologies, Inc.+ ................... 2,800 252,000
TELECOMMUNICATIONS -- 7.6%
AirGate PCS, Inc.+ ............................... 1,200 126,600
China Telecom (Hong Kong) Ltd. ADR+ .............. 1,440 255,240
Copper Mountain Networks, Inc.+ .................. 1,000 81,938
Covad Communications Group, Inc.+ ................ 2,300 166,750
JDS Uniphase Corp.+ .............................. 3,935 474,413
Level 3 Communications, Inc.+ .................... 4,600 486,450
Motorola, Inc. ................................... 2,000 284,750
Nextel Communications, Inc., Class A+ ............ 850 126,013
</TABLE>
----------------
26
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Nokia Corp. ...................................... 110 $ 23,278
Nokia Corp. ADR .................................. 14,810 3,217,472
Nortel Networks Corp. ............................ 2,000 252,000
NTL, Inc.+ ....................................... 2,406 223,307
QUALCOMM, Inc.+ .................................. 4,390 655,482
Sprint Corp. (PCS Group)+ ........................ 6,520 425,837
Telefonaktiebolaget LM Ericsson AB ADR ........... 5,215 489,232
Telefonaktiebolaget LM Ericsson AB, Series B ..... 2,144 188,606
Vodafone AirTouch PLC+ ........................... 119,273 664,634
------------
28,115,701
------------
MATERIALS -- 0.3%
CHEMICALS -- 0.0%
du Pont (E.I.) de Nemours & Co. .................. 900 47,588
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ............................ 1,400 55,387
METALS & MINERALS -- 0.2%
Alcoa, Inc. ...................................... 2,000 140,500
Maverick Tube Corp.+ ............................. 3,600 116,775
------------
360,250
------------
UTILITIES -- 1.5%
ELECTRIC UTILITIES -- 0.0%
PECO Energy Co. .................................. 2,000 73,750
GAS & PIPELINE UTILITIES -- 0.2%
Coastal Corp. .................................... 4,000 184,000
TELEPHONE -- 1.3%
AT&T Corp. ....................................... 3,400 191,250
GTE Corp. ........................................ 600 42,600
MCI WorldCom, Inc.+ .............................. 3,000 135,938
SBC Communications, Inc. ......................... 1,200 50,400
Telefonica SA+ ................................... 10,971 277,339
Telefonos de Mexico SA ADR ....................... 6,835 457,945
WinStar Communications, Inc.+ .................... 3,550 213,000
------------
1,626,222
------------
TOTAL COMMON STOCK (cost $37,470,961) ............ 54,758,993
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp., Series B 13.50% (1)
(cost $7,595) ................................... 11 11,302
------------
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES -- 37.9% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.5%
APPAREL & TEXTILES -- 0.0%
Westpoint Stevens, Inc. 7.88% 2008 ............... $ 15,000 $ 11,513
AUTOMOTIVE -- 0.1%
Accuride Corp., Series B 9.25% 2008 .............. 10,000 8,675
Delco Remy International, Inc. 8.63% 2007 ........ 30,000 27,600
Delco Remy International, Inc. 10.63% 2006 ....... 10,000 9,900
Dura Operating Corp., Series B 9.00% 2009 ........ 20,000 17,800
Federal-Mogul Corp. 7.50% 2009 ................... 35,000 26,938
Federal-Mogul Corp. 8.80% 2007 ................... 20,000 17,376
LDM Technologies, Inc., Series B 10.75% 2007 ..... 10,000 7,500
Lear Corp., Series B 8.11% 2009 .................. 20,000 17,925
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008 ........... 10,000 8,050
Henry Co., Series B 10.00% 2008 .................. 20,000 14,375
Nortek, Inc., Series B 8.88% 2008 ................ 5,000 4,500
Nortek, Inc., Series B 9.25% 2007 ................ 10,000 9,275
Standard Pacific Corp. 8.50% 2007 ................ 15,000 13,162
Toll Corp. 8.13% 2009 ............................ 10,000 8,575
Webb (Del E.) Corp. 10.25% 2010 .................. 10,000 8,275
RETAIL -- 0.3%
Disco SA 9.88% 2008 .............................. 15,000 13,162
Duane Reade, Inc. 9.25% 2008 ..................... 50,000 46,750
Kroger Co. 7.38% 2005 ............................ 40,000 39,239
Mattress Discounters Corp. 12.63% 2007(2) ........ 15,000 13,875
Sealy Mattress Co., Series B zero coupon
2007(3) ......................................... 10,000 7,113
Stater Brothers Holdings, Inc. 10.75% 2006 ....... 25,000 24,750
Vlasic Foods International, Inc., Series B 10.25%
2009 ............................................ 30,000 18,825
Wal-Mart Stores, Inc. 7.55% 2030 ................. 210,000 214,241
------------
589,394
------------
CONSUMER STAPLES -- 0.6%
FOOD, BEVERAGE & TOBACCO -- 0.6%
Aurora Foods, Inc., Series B 8.75% 2008 .......... 15,000 5,663
Aurora Foods, Inc., Series D 9.88% 2007 .......... 5,000 1,888
B & G Foods, Inc. 9.63% 2007 ..................... 20,000 16,050
Chiquita Brands International, Inc. 10.00%
2009 ............................................ 15,000 11,587
CPC International, Inc., Series E 7.25% 2026 ..... 290,000 271,266
Del Monte Foods Co., Series B zero coupon
2007(3) ......................................... 15,000 11,644
Nash Finch Co., Series B 8.50% 2008 .............. 20,000 15,750
Panamerican Beverages, Inc. 8.13% 2003 ........... 60,000 58,032
Seagram (Joseph E.) & Sons, Inc. 7.50% 2018 ...... 130,000 121,010
Whitman Corp. 6.38% 2009 ......................... 130,000 116,329
HOUSEHOLD PRODUCTS -- 0.0%
Royster-Clark, Inc. 10.25% 2009* ................. 15,000 13,012
------------
642,231
------------
</TABLE>
----------------
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<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 1.2%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 .................. $ 15,000 $ 14,062
Key Energy Services, Inc., Series B 14.00%
2009 ............................................ 10,000 10,938
Pride International, Inc. 10.00% 2009 ............ 10,000 9,800
Pride Petroleum Services, Inc. 9.38% 2007 ........ 20,000 19,600
Tuboscope, Inc. 7.50% 2008 ....................... 20,000 17,161
ENERGY SOURCES -- 1.1%
Apache Finance Canada Corp. 7.75% 2029 ........... 290,000 277,692
Conoco, Inc. 5.90% 2004 .......................... 80,000 76,190
Energy Corp. of America, Series A 9.50% 2007 ..... 30,000 21,000
Enron Corp. 6.75% 2004 ........................... 100,000 95,960
Husky Oil Ltd. 7.55% 2016 ........................ 140,000 129,086
Newfield Exploration Co., Series B 7.45% 2007 .... 100,000 93,358
Petroleos Mexicanos 9.38% 2008 ................... 60,000 61,650
Petroleos Mexicanos, Series P 9.50% 2027 ......... 50,000 51,625
Plains Resources, Inc., Series B 10.25% 2006 ..... 10,000 9,612
Plains Resources, Inc., Series D 10.25% 2006 ..... 20,000 19,550
Tosco Corp. 8.13% 2030 ........................... 220,000 219,848
YPF Sociedad Anonima, Series C 10.00% 2028 ....... 100,000 113,018
------------
1,240,150
------------
FINANCE -- 6.6%
BANKS -- 1.1%
Bank of America Corp. 9.38% 2009 ................. 48,000 53,912
Credit National 7.00% 2005 ....................... 110,000 105,391
First Republic Bancorp 7.75% 2012 ................ 45,000 38,882
First Union-Lehman Brothers Commercial Mortgage
Corp. 6.60% 2007 ................................ 205,000 195,929
Korea Development Bank 7.13% 2001 ................ 20,000 19,747
National City Corp. 7.20% 2005 ................... 170,000 166,612
NBD Bank NA 8.25% 2024 ........................... 45,000 50,298
Popular, Inc., Series C 6.75% 2001 ............... 65,000 64,440
Royal Bank Scotland Group PLC 6.40% 2009 ......... 240,000 222,101
U.S. Bancorp. 7.50% 2026 ......................... 195,000 192,824
Werner Holdings Co., Inc., Series A 10.00%
2007 ............................................ 10,000 9,375
Western Financial Bank 8.88% 2007 ................ 20,000 17,300
FINANCIAL SERVICES -- 2.7%
Aesop Funding II LLC 6.14% 2006* ................. 100,000 94,708
Aesop Funding II LLC 6.22% 2001* ................. 100,000 99,903
Aesop Funding II LLC 6.40% 2003* ................. 50,000 48,830
Allstate Financing II 7.83% 2045 ................. 44,000 38,677
American General Finance Corp., Series E 6.25%
2002 ............................................ 100,000 97,168
Arcadia Financial Ltd. 11.50% 2007(2) ............ 10,000 10,462
Arcadia Financial Ltd. 11.50% 2007* .............. 5,000 5,300
Asset Securitization Corp. 6.75% 2041 ............ 75,000 71,283
AXA Finanical, Inc. 7.00% 2028 ................... 110,000 100,632
Chase Credit Card Master Trust 6.19% 2005 ........ 120,000 117,292
Crown Castle International Corp. zero coupon
2007(3)(6) ...................................... 20,000 13,875
CS First Boston Mortgage Securities Corp. 7.24%
2029 ............................................ 100,000 99,042
Dime Capital Trust I, Series A 9.33% 2027 ........ 35,000 34,319
Finova Capital Corp. 6.63% 2001 .................. 100,000 98,701
Finova Capital Corp., Series C 6.39% 2002 ........ 60,000 57,869
</TABLE>
----------------
29
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Fleet Mortgage Group, Inc., Series A 6.84%
2003 ............................................ $ 50,000 $ 49,123
GE Capital Mortgage Services, Inc. 6.25% 2000 .... 5,955 5,912
General Electric Capital Corp. 8.70% 2007 ........ 150,000 162,549
General Motors Acceptance Corp. 7.63% 2003 ....... 105,000 105,298
Liberty Financial Cos., Inc. 6.75% 2008 .......... 130,000 121,370
PNC Funding Corp. 7.50% 2009 ..................... 230,000 230,028
Popular North America, Inc., Series D 6.63%
2002 ............................................ 50,000 48,478
Principal Financial Group 8.20% 2009* ............ 240,000 238,742
Private Export Funding Corp. 6.62% 2005 .......... 220,000 218,566
Private Export Funding Corp., Series C 6.31%
2004 ............................................ 100,000 97,533
Private Export Funding Corp., Series NN 7.30%
2002 ............................................ 225,000 226,019
Private Export Funding Corp., Series YY 7.03%
2003 ............................................ 45,000 45,097
RBF Finance Co. 11.38% 2009 ...................... 25,000 26,969
Sun Canada Financial Co. 6.63% 2007* ............. 130,000 122,951
Tembec Finance Corp. 9.88% 2005 .................. 10,000 10,075
Tembec Industries, Inc. 8.63% 2009 ............... 5,000 4,762
Toyota Motor Credit Corp. 5.63% 2003 ............. 115,000 109,248
U.S. West Capital Funding, Inc. 6.25% 2005 ....... 130,000 122,990
INSURANCE -- 2.8%
AAG Holding Co., Inc. 6.88% 2008 ................. 110,000 100,966
Abbey National PLC, Series E 6.69% 2005 .......... 180,000 173,284
Ace Capital Trust II 9.70% 2030 .................. 290,000 292,394
American Financial Group, Inc. 7.13% 2009 ........ 55,000 50,031
Amerus Life Holdings, Inc. 6.95% 2005 ............ 190,000 176,652
CIGNA Corp. 7.40% 2007 ........................... 85,000 84,052
CIGNA Corp. 7.88% 2027 ........................... 134,000 128,934
CIGNA Corp. 8.25% 2007 ........................... 60,000 62,049
Everest Reinsurance Holdings Co. 8.75% 2010 ...... 280,000 284,085
Farmers Insurance Exchange 8.50% 2004* ........... 280,000 290,920
Florida Windstorm Underwriting Associates, Inc.
7.13% 2019* ..................................... 270,000 259,038
Jackson National Life Insurance Co. 8.15%
2027* ........................................... 40,000 40,760
Lumbermens Mutual Casualty Co. 8.30% 2037* ....... 70,000 62,071
Metropolitan Life Insurance Co. 7.70% 2015 ....... 120,000 118,669
Prudential Insurance Co. 6.88% 2003* ............. 275,000 270,710
Reliastar Financial Corp. 8.00% 2006 ............. 180,000 179,165
Safeco Capital Trust I 8.07% 2037 ................ 230,000 199,992
Travelers Property Casualty Corp. 7.75% 2026 ..... 240,000 241,812
------------
7,086,166
------------
HEALTHCARE -- 0.5%
DRUGS -- 0.0%
Alaris Medical Systems, Inc. 9.75% 2006 .......... 10,000 8,325
Warner Chilcott, Inc. 12.63% 2008* ............... 20,000 19,775
HEALTH SERVICES -- 0.2%
Beverly Enterprises, Inc. 9.00% 2006 ............. 20,000 16,925
Columbia/HCA Healthcare Corp. 7.25% 2008 ......... 20,000 17,750
HEALTHSOUTH Corp. 6.88% 2005 ..................... 100,000 87,048
Lifepoint Hospitals Holdings, Inc., Series B
10.75% 2009 ..................................... 10,000 10,050
Tenet Healthcare Corp. 7.88% 2003 ................ 40,000 38,300
Tenet Healthcare Corp., Series B 8.13% 2008 ...... 15,000 13,650
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Triad Hospitals Holdings, Inc., Series B 11.00%
2009 ............................................ $ 20,000 $ 20,100
MEDICAL PRODUCTS -- 0.3%
ALARIS Medical, Inc. zero coupon 2008(3) ......... 20,000 6,575
Beckman Instruments, Inc. 7.10% 2003 ............. 70,000 67,130
Beckman Instruments, Inc. 7.45% 2008 ............. 10,000 9,062
Bio-Rad Labs, Inc. 11.63% 2007* .................. 10,000 10,025
Cardinal Health 7.00% 2026 ....................... 220,000 211,895
Mediq PRN Life Support Services, Inc. 11.00%
2008 ............................................ 15,000 1,462
------------
538,072
------------
INDUSTRIAL & COMMERCIAL -- 1.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.4%
Dunlop Standard Aerospace Holdings PLC 11.88%
2009 ............................................ 25,000 25,438
K & F Industries, Inc., Series B 9.25% 2007 ...... 20,000 18,600
Raytheon Co. 8.20% 2006* ......................... 214,000 216,326
SCL Term Aereo Santiago SA 6.95% 2012* ........... 200,000 185,028
BUSINESS SERVICES -- 0.6%
Allied Waste North America, Inc., Series B 7.63%
2006 ............................................ 25,000 21,063
Boise Cascade Office Products Corp. 7.05% 2005 ... 225,000 214,447
Federal Express Corp. 6.72% 2022 ................. 147,064 138,919
Fisher Scientific International, Inc. 9.00%
2008 ............................................ 15,000 13,650
Iron Mountain, Inc. 8.13% 2008 ................... 10,000 8,700
Iron Mountain, Inc. 8.75% 2009 ................... 20,000 17,800
Neenah Corp., Series F 11.13% 2007 ............... 5,000 4,450
Owens & Minor, Inc. 10.88% 2006 .................. 20,000 20,525
Waste Management, Inc. 7.00% 2006 ................ 120,000 104,801
Waste Management, Inc. 7.13% 2007 ................ 140,000 122,274
World Color Press, Inc. 8.38% 2008 ............... 20,000 19,125
MACHINERY -- 0.0%
Argo-Tech Corp. 8.63% 2007 ....................... 5,000 3,888
Grove Worldwide, Inc. LLC 9.25% 2008 ............. 15,000 6,600
Numatics, Inc., Series B 9.63% 2008 .............. 10,000 8,112
Roller Bearing Co. of America, Inc., Series B
9.63% 2007 ...................................... 5,000 4,538
Westinghouse Air Brake Co., Series B2 9.38%
2005 ............................................ 5,000 4,887
MULTI-INDUSTRY -- 0.2%
American Standard, Inc. 7.63% 2010 ............... 5,000 4,450
Eaton Corp. 7.65% 2029 ........................... 210,000 206,306
Prestolite Electric, Inc. 9.63% 2008 ............. 25,000 15,437
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020 ............................ 50,000 58,646
------------
1,444,010
------------
INFORMATION & ENTERTAINMENT -- 1.2%
BROADCASTING & MEDIA -- 1.0%
Adelphia Communications Corp. 9.38% 2009 ......... 15,000 14,025
Adelphia Communications Corp., Series B 8.38%
2008 ............................................ 10,000 8,900
Allbritton Communications Co., Series B 8.88%
2008 ............................................ 15,000 13,500
AMC Entertainment, Inc. 9.50% 2009 ............... 35,000 17,850
</TABLE>
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<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
American Media Operations, Inc. 10.25% 2009* ..... $ 15,000 $ 14,662
Benedek Communications Corp. zero coupon
2006(3) ......................................... 25,000 22,906
Cablevision SA 13.75% 2009 ....................... 10,000 10,075
Century Communications Corp., Series B zero coupon
2008(3) ......................................... 40,000 16,400
Charter Communication Holdings LLC 8.63% 2009 .... 35,000 30,800
Classic Cable, Inc. 10.50% 2010* ................. 25,000 24,812
Comcast Cable Communications Corp. 8.50% 2027 .... 35,000 36,409
Echostar DBS Corp. 9.38% 2009 .................... 60,000 57,900
Emmis Communications Corp., Series B 8.13%
2009 ............................................ 5,000 4,687
Frontiervision Holdings LP zero coupon 2007(3) ... 20,000 17,600
Frontiervision Holdings LP, Series B zero coupon
2007(3) ......................................... 10,000 8,762
Granite Broadcasting Corp. 8.88% 2008 ............ 20,000 17,200
LIN Holdings Corp. zero coupon 2008(3) ........... 40,000 24,700
News America Holdings, Inc. 8.00% 2016 ........... 260,000 253,516
RCN Corp. zero coupon 2008(3) .................... 35,000 20,475
Scholastic Corp. 7.00% 2003 ...................... 70,000 67,997
Sullivan Graphics, Inc. 12.75% 2005 .............. 15,000 15,525
Sun Media Corp. 9.50% 2007 ....................... 25,000 24,125
TCI Communications, Inc. 8.00% 2005 .............. 35,000 35,936
Tele-Communications, Inc. 7.25% 2005 ............. 50,000 49,701
Tele-Communications, Inc. 9.25% 2002 ............. 35,000 36,391
TV Guide, Inc. 8.13% 2009 ........................ 20,000 19,800
Viacom, Inc. 7.75% 2005 .......................... 65,000 65,493
Young Broadcasting, Inc., Series B 8.75% 2007 .... 30,000 26,250
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc., Series B 11.00% 2008 .......... 30,000 29,738
True Temper Sports, Inc., Series B 10.88% 2008 ... 20,000 18,925
LEISURE & TOURISM -- 0.2%
Aztar Corp. 8.88% 2007 ........................... 20,000 18,100
Continental Airlines, Inc., Series A 6.65%
2017 ............................................ 72,152 65,728
Continental Airlines, Inc., Series B 6.47%
2004 ............................................ 75,506 71,906
Hollywood Casino Corp. 11.25% 2007 ............... 20,000 20,100
John Q. Hammons Hotels, Inc. 8.88% 2004 .......... 15,000 13,275
Loews Cineplex Entertainment Corp. 8.88% 2008 .... 35,000 22,925
Station Casinos, Inc. 8.88% 2008 ................. 20,000 18,500
Tricon Global Restaurants, Inc. 7.65% 2008 ....... 15,000 14,178
------------
1,249,772
------------
INFORMATION TECHNOLOGY -- 0.7%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007 ............. 20,000 20,850
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003 ......... 10,000 9,900
Amphenol Corp. 9.88% 2007 ........................ 6,000 6,210
Fairchild Semiconductor Corp. 10.13% 2007 ........ 30,000 29,100
L-3 Communications Holdings, Inc., Series B 8.00%
2008 ............................................ 10,000 8,700
SCG Holdings & Semiconductor Co., Series B 12.00%
2009* ........................................... 25,000 26,687
</TABLE>
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<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.50% 2009 ..... $ 10,000 $ 9,275
Covad Communications Group, Inc. 12.00% 2010* .... 10,000 8,975
PSINet, Inc. 11.00% 2009 ......................... 10,000 9,675
PSINet, Inc. 11.50% 2008 ......................... 5,000 4,938
PSINet, Inc., Series B 10.00% 2005 ............... 20,000 18,900
Verio, Inc. 10.38% 2005 .......................... 10,000 9,650
Verio, Inc. 11.25% 2008 .......................... 10,000 9,900
TELECOMMUNICATIONS -- 0.5%
Adelphia Business Solutions, Inc., Series B 12.25%
2004 ............................................ 10,000 10,300
Adelphia Business Solutions, Inc., Series B zero
coupon 2003(3) .................................. 10,000 9,200
Alaska Communications Holdings, Inc. 9.38%
2009 ............................................ 15,000 13,575
AMSC Acquisition Co., Inc., Series B 12.25%
2008 ............................................ 5,000 3,938
BTI Telecom Corp. 10.50% 2007 .................... 10,000 8,825
Clearnet Communications, Inc. zero coupon
2009(3) ......................................... 20,000 11,425
Compania de Telecomunicaciones de Chile 7.63%
2006 ............................................ 40,000 38,441
Compania de Telecomunicaciones de Chile 8.38%
2006 ............................................ 45,000 44,585
e.Spire Communications, Inc. zero coupon
2008(3) ......................................... 30,000 12,000
GCI, Inc. 9.75% 2007 ............................. 60,000 56,250
Globalstar LP 10.75% 2004 ........................ 10,000 3,600
GST Network Funding, Inc. zero coupon 2008(3) .... 30,000 12,262
GT Group Telecom, Inc. zero coupon 2010*(2)(3) ... 25,000 14,000
Insight Midwest LP 9.75% 2009* ................... 5,000 4,975
Iridium LLC, Series C 11.25% 2005(4)+ ............ 15,000 150
Iridium LLC, Series D 10.88% 2005(4)+ ............ 10,000 100
ITC DeltaCom, Inc. 9.75% 2008 .................... 20,000 19,650
KMC Telecom Holdings, Inc. zero coupon 2008(3) ... 30,000 16,088
Level 3 Communications, Inc. 9.13% 2008 .......... 10,000 8,600
Level 3 Communications, Inc. 11.25% 2010* ........ 25,000 23,937
McLeodUSA, Inc. 8.38% 2008 ....................... 10,000 8,950
McLeodUSA, Inc. 9.25% 2007 ....................... 10,000 9,400
MJD Communications, Inc., Series B 9.50% 2008 .... 10,000 9,513
Nextel Communications, Inc. 9.38% 2009 ........... 20,000 18,500
Nextel Communications, Inc. zero coupon
2007(3) ......................................... 60,000 41,100
NEXTLINK Communications, Inc. zero coupon
2008(3) ......................................... 30,000 17,700
NEXTLINK Communications, Inc. zero coupon
2009(3) ......................................... 15,000 8,475
NTL Communications Corp., Series B zero coupon
2008(3) ......................................... 35,000 22,575
Rogers Cantel, Inc. 9.38% 2008 ................... 5,000 5,075
RSL Communications PLC 12.00% 2008 ............... 20,000 19,025
Satelites Mexicanos SA de CV, Series B 10.13%
2004 ............................................ 20,000 16,800
Telecommunications Techniques Co. LLC 9.75%
2008 ............................................ 20,000 18,125
Time Warner Telecom, Inc. 9.75% 2008 ............. 25,000 24,500
------------
704,399
------------
MATERIALS -- 1.0%
CHEMICALS -- 0.5%
Acetex Corp. 9.75% 2003 .......................... 20,000 18,050
Avecia Group PLC 11.00% 2009 ..................... 25,000 25,063
Georgia Gulf Corp. 10.38% 2007* .................. 5,000 5,056
Huntsman Corp. 9.50% 2007* ....................... 15,000 13,650
ICI Wilmington, Inc. 6.95% 2004 .................. 210,000 203,498
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Lyondell Chemical Co. 9.80% 2020 ................. $ 15,000 $ 13,200
Lyondell Chemical Co., Series B 9.88% 2007 ....... 50,000 47,500
Pioneer Americas Acquisition Corp., Series B 9.25%
2007 ............................................ 15,000 12,638
Praxair, Inc. 6.75% 2003 ......................... 130,000 126,486
Scotts Co. 8.63% 2009* ........................... 5,000 4,650
Sovereign Specialty Chemicals, Inc. 11.88%
2010* ........................................... 15,000 14,925
Texas Petrochemical Corp. 11.13% 2006 ............ 10,000 8,200
Texas Petrochemical Corp., Series B 11.13%
2006 ............................................ 20,000 16,350
FOREST PRODUCTS -- 0.4%
Boise Cascade Co., Series A 9.90% 2001 ........... 70,000 71,760
Doman Industries Ltd. 12.00% 2004 ................ 20,000 20,300
Gaylord Container Corp., Series B 9.38% 2007 ..... 20,000 18,300
International Paper Co. 8.10% 2009 ............... 100,000 103,402
Packaging Corp. of America 9.63% 2009 ............ 10,000 9,725
Repap New Brunswick, Inc. 9.00% 2004 ............. 10,000 9,600
Sonoco Products Co. 7.00% 2004 ................... 200,000 195,120
METALS & MINERALS -- 0.1%
AK Steel Corp. 7.88% 2009 ........................ 20,000 18,100
Algoma Steel, Inc. 12.38% 2005 ................... 25,000 24,375
BWay Corp., Series B 10.25% 2007 ................. 30,000 27,075
Consumers Packaging, Inc. 9.75% 2007 ............. 10,000 5,275
LTV Corp. 11.75% 2009* ........................... 30,000 29,325
Neenah Corp., Series B 11.13% 2007 ............... 5,000 4,450
P & L Coal Holdings Corp., Series B 9.63% 2008 ... 15,000 13,462
Weirton Steel Corp. 11.38% 2004 .................. 20,000 20,400
------------
1,079,935
------------
MUNICIPAL BONDS -- 0.6%
MUNICIPAL BONDS -- 0.6%
Allentown Pennsylvania 6.20% 2005 ................ 225,000 215,622
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002 ............................. 85,000 83,864
Huntsville Alabama Solid Waste Disposal Authority
5.95% 2003 ...................................... 85,000 81,966
Miami Florida Revenue 7.25% 2003 ................. 110,000 110,439
Phoenix Arizona Civic Improvement Corp. 6.30%
2008 ............................................ 100,000 93,987
Southern California Public Power Authority Project
6.93% 2017 ...................................... 100,000 94,881
------------
680,759
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Lithuania 7.13% 2002* ................ 35,000 33,425
Republic of Philippines 10.63% 2025 .............. 103,000 97,789
------------
131,214
------------
REAL ESTATE -- 0.7%
REAL ESTATE COMPANIES -- 0.7%
E.O.P. Operating LP 6.38% 2003 ................... 100,000 96,226
E.O.P. Operating LP 8.38% 2006 ................... 250,000 252,648
Post Apartment Homes LP 7.02% 2001 ............... 110,000 109,959
Regency Centers LP 7.75% 2009 .................... 210,000 197,572
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE COMPANIES (CONTINUED)
Susa Partnership LP 6.95% 2006 ................... $ 70,000 $ 63,962
------------
720,367
------------
U.S. GOVERNMENT & AGENCIES -- 22.0%
U.S. GOVERNMENT & AGENCIES -- 22.0%
Federal Home Loan Mortgage Corp. 6.00% 2006 ...... 14,208 14,022
Federal Home Loan Mortgage Corp. 6.00% 2013 ...... 436,071 410,857
Federal Home Loan Mortgage Corp. 6.00% 2028 ...... 180,536 164,458
Federal Home Loan Mortgage Corp. 6.50% 2022 ...... 122,000 115,823
Federal Home Loan Mortgage Corp. 6.50% 2023 ...... 40,000 37,450
Federal Home Loan Mortgage Corp. 6.55% 2022 ...... 32,000 30,790
Federal Home Loan Mortgage Corp. 6.75% 2022 ...... 130,000 124,110
Federal Home Loan Mortgage Corp. 7.00% 2023 ...... 25,000 24,367
Federal Home Loan Mortgage Corp. 7.50% 2023 ...... 12,473 12,336
Federal Home Loan Mortgage Corp. 7.50% 2025 ...... 250,028 247,293
Federal Home Loan Mortgage Corp. 7.75% 2022 ...... 64,933 64,993
Federal Home Loan Mortgage Corp. 8.50% 2019 ...... 32,645 33,412
Federal National Mortgage Association 5.25%
2003 ............................................ 825,000 786,844
Federal National Mortgage Association 5.65%
2005 ............................................ 5,953 5,914
Federal National Mortgage Association 5.75%
2008 ............................................ 760,000 695,400
Federal National Mortgage Association 6.00%
2014 ............................................ 368,359 347,061
Federal National Mortgage Association 6.00%
2014 ............................................ 167,421 157,741
Federal National Mortgage Association 6.00%
2014 ............................................ 288,013 271,181
Federal National Mortgage Association 6.00%
2028 ............................................ 471,323 429,196
Federal National Mortgage Association 6.18%
2008 ............................................ 19,640 18,321
Federal National Mortgage Association 6.27%
2007 ............................................ 53,877 50,636
Federal National Mortgage Association 6.30%
2008 ............................................ 19,638 18,449
Federal National Mortgage Association 6.30%
2008 ............................................ 19,550 18,390
Federal National Mortgage Association 6.34%
2008 ............................................ 19,323 18,241
Federal National Mortgage Association 6.36%
2008 ............................................ 127,467 120,710
Federal National Mortgage Association 6.39%
2006 ............................................ 19,127 18,222
Federal National Mortgage Association 6.43%
2008 ............................................ 19,548 18,525
Federal National Mortgage Association 6.50%
2013 ............................................ 248,773 239,521
Federal National Mortgage Association 6.90%
2007 ............................................ 236,903 230,621
Federal National Mortgage Association 6.98%
2007 ............................................ 18,727 18,301
Federal National Mortgage Association 7.04%
2007 ............................................ 53,503 52,430
Federal National Mortgage Association 7.28%
2006 ............................................ 33,968 33,658
Federal National Mortgage Association 7.39%
2021 ............................................ 39,220 39,203
Federal National Mortgage Association 7.50%
TBA ............................................. 690,000 677,173
Federal National Mortgage Association 7.75%
2021 ............................................ 184,000 184,690
Federal National Mortgage Association 8.00%
2006 ............................................ 36,594 36,914
Government National Mortgage Association 6.50%
2029 ............................................ 198,779 187,473
Government National Mortgage Association 7.00%
2022 ............................................ 14,827 14,452
Government National Mortgage Association 7.00%
2023 ............................................ 12,666 12,338
Government National Mortgage Association 7.25%
2027 ............................................ 177,039 173,774
Government National Mortgage Association 7.50%
2024 ............................................ 50,745 50,507
Government National Mortgage Association 7.50%
2028 ............................................ 185,336 184,005
Government National Mortgage Association 7.50%
2029 ............................................ 124,385 123,257
Government National Mortgage Association 7.50%
2030 ............................................ 614,939 609,362
Government National Mortgage Association 8.50%
2017 ............................................ 34,446 35,511
Government National Mortgage Association 9.00%
2021 ............................................ 9,561 9,910
</TABLE>
----------------
35
<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 ...................................... $ 358,888 $ 353,142
United States Treasury Bonds 5.25% 2028 .......... 350,000 313,250
United States Treasury Bonds 8.50% 2020 .......... 150,000 189,188
United States Treasury Bonds 9.00% 2018 .......... 2,842,000 3,708,355
United States Treasury Bonds 9.25% 2016 .......... 1,500,000 1,951,875
United States Treasury Bonds 11.88% 2003 ......... 1,180,000 1,378,570
United States Treasury Bonds 12.00% 2013 ......... 3,945,000 5,326,973
United States Treasury Notes 4.75% 2008 .......... 300,000 270,843
United States Treasury Notes 5.50% 2009 .......... 600,000 571,404
United States Treasury Notes 5.75% 2001 .......... 273,000 270,611
United States Treasury Notes 5.88% 2004 .......... 2,000,000 1,965,000
United States Treasury Strip Bonds zero coupon
2012 ............................................ 260,000 124,098
------------
23,591,151
------------
UTILITIES -- 0.9%
ELECTRIC UTILITIES -- 0.3%
Conectiv, Inc. 6.38% 2005 ........................ 45,000 43,540
Public Service Electric & Gas Co., Series A 8.88%
2003 ............................................ 21,000 21,759
Scottish Power PLC, Series H 6.38% 2008 .......... 150,000 142,314
UtiliCorp United, Inc. 6.88% 2004 ................ 70,000 67,055
WESCO Distribution, Inc., Series B 9.13% 2008 .... 15,000 13,012
GAS & PIPELINE UTILITIES -- 0.1%
Azurix Corp. 10.75% 2010* ........................ 15,000 14,962
Enron Corp. 9.63% 2006 ........................... 110,000 118,985
TELEPHONE -- 0.5%
Alestra SA DE RL DE CV 12.13% 2006 ............... 40,000 40,100
GTE Corp. 6.36% 2006 ............................. 175,000 164,848
Intermedia Communications, Inc., Series B 8.88%
2007 ............................................ 25,000 22,500
Intermedia Communications, Inc., Series B 9.50%
2009 ............................................ 10,000 9,250
Intermedia Communications, Inc., Series B zero
coupon 2009(3) .................................. 20,000 11,550
MCI Communications Corp. 6.13% 2002(5) ........... 45,000 43,999
MCI WorldCom, Inc. 7.55% 2004 .................... 165,000 165,744
Sprint Capital Corp. 6.13% 2008 .................. 135,000 122,903
Viatel, Inc. 11.25% 2008 ......................... 20,000 17,800
------------
1,020,321
------------
TOTAL BONDS & NOTES (cost $41,978,066) ........... 40,717,941
------------
<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
------------
<CAPTION>
OPTIONS -- 0.1%+
CONTRACTS
----------------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.1%
Broadvision, Inc. $65 expires 5/00 ............... 24 54,900
S & P 500 Index $1,400 expires 4/00 .............. 2 1,200
Vignette Corp. $210 expires 5/00 ................. 5 31,688
------------
TOTAL OPTIONS (cost $50,815) ..................... 87,788
------------
TOTAL INVESTMENT SECURITIES (cost $79,507,492) ... 95,576,074
------------
</TABLE>
----------------
36
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 7.8% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.2%
Cincinnati Milacron, Inc. 7.88% due 5/15/00 ...... $ 95,000 $ 94,922
Cleveland Electric Illuminating Co., Series B
7.19% due 7/01/00 ............................... 35,000 34,960
Ford Motor Credit Co. 7.02% due 10/10/00 ......... 100,000 100,189
------------
230,071
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.6%
Government of France 4.00% due 7/12/00 ........... 660,000 632,394
------------
U.S. GOVERNMENT & AGENCIES -- 7.0%
Federal Home Loan Bank Consolidated Discount Notes
6.05% due 4/03/00 ............................... 3,800,000 3,798,723
Federal National Mortgage Association 5.63% due
3/15/01 ......................................... 320,000 316,800
United States Treasury Notes 4.88% due 3/31/01 ... 2,700,000 2,660,338
United States Treasury Notes 5.00% due 2/28/01 ... 755,000 745,796
------------
7,521,657
------------
TOTAL SHORT-TERM SECURITIES (cost $8,448,154) .... 8,384,122
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 1.3%
----------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 1.3%
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3) ...................... 941,000 941,000
Swiss Bank Corp. Joint Repurchase Agreement
Account (Note 3) ................................ 455,000 455,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $1,396,000) .... 1,396,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $89,351,646) 98.1% 105,356,196
Total Written Call Options -- (0.1) (146,100)
Other assets less liabilities -- 2.0 2,210,794
-------- ------------
NET ASSETS -- 100.0% $107,420,890
======== ============
</TABLE>
-------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
@ The security or portion thereof represents collateral for the written call
options
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Bond in default
(5) Variable rate security; rate as of March 31, 2000
(6) Security represents an investment in an affiliated company; See Note 7
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
TBA -- Securities purchased on 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.
----------------
37
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
------------------------------------------------------------
USD* 973,080 EUR 1,020,000 4/07/00 $ 4,087
EUR* 200,000 USD 207,926 4/07/00 16,325
EUR* 180,000 USD 183,204 4/07/00 10,763
EUR* 570,000 USD 621,129 4/07/00 75,065
EUR* 150,000 USD 162,608 4/07/00 18,906
EUR* 100,000 USD 105,977 4/07/00 10,176
EUR* 230,000 USD 241,650 4/07/00 21,308
EUR* 100,000 USD 103,980 4/07/00 8,179
EUR* 190,000 USD 193,424 4/07/00 11,403
USD* 190,486 EUR 200,000 4/14/00 1,207
EUR* 300,000 USD 305,520 4/14/00 17,981
EUR 60,000 USD 61,133 4/14/00 3,626
EUR 250,000 USD 247,895 4/20/00 8,181
EUR* 100,000 USD 103,760 6/09/00 7,546
EUR* 75,000 USD 74,960 6/09/00 2,800
EUR* 120,000 USD 120,264 6/09/00 4,807
EUR* 730,000 USD 763,580 6/09/00 61,216
EUR* 70,000 USD 73,374 6/09/00 6,024
EUR* 200,000 USD 207,194 6/09/00 14,765
EUR* 150,000 USD 155,352 6/09/00 11,031
EUR* 200,000 USD 195,070 9/08/00 1,426
EUR 160,000 USD 155,571 9/08/00 656
EUR 100,000 USD 97,662 9/08/00 840
USD* 33,279 JPY 3,500,000 4/07/00 856
USD* 28,483 JPY 3,000,000 4/20/00 848
--------
320,022
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
-------------------------------------------------------------
USD* 258,855 EUR 250,000 4/07/00 (19,353)
USD* 151,344 EUR 150,000 4/07/00 (7,643)
USD* 165,197 EUR 150,000 4/07/00 (21,496)
USD* 151,727 EUR 150,000 4/07/00 (8,025)
USD* 674,093 EUR 700,000 6/09/00 (593)
USD* 180,505 EUR 185,000 6/09/00 (2,508)
USD* 510,417 EUR 500,000 6/09/00 (29,345)
USD* 58,190 EUR 60,000 9/08/00 (98)
EUR 1,020,000 USD 984,310 9/22/00 (4,234)
JPY* 3,500,000 USD 33,801 4/07/00 (335)
JPY* 13,000,000 USD 126,020 4/20/00 (1,084)
JPY 2,000,000 USD 18,504 4/20/00 (1,052)
JPY 2,000,000 USD 18,782 9/14/00 (1,273)
JPY 2,500,000 USD 24,558 9/14/00 (510)
JPY 3,500,000 USD 34,261 9/22/00 (885)
JPY 2,000,000 USD 20,004 9/08/00 (29)
--------
(98,463)
--------
Net Unrealized Appreciation................ $221,559
========
</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
JPY -- Japenese Yen
USD -- United States Dollar
----------------
38
<PAGE>
OPEN COVERED WRITTEN CALL OPTIONS
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRIKE
CALL OPTIONS CONTRACTS EXPIRATION DATE PRICE VALUE
<S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------
Broadcom Corp. (Proceeds $52,000)......... 16 April 2000 $220 $ (72,400)
Critical Path, Inc. (Proceeds $10,880).... 8 May 2000 75 (15,400)
Inktomi Corp. (Proceeds $46,856).......... 14 May 2000 200 (36,050)
Siebel System, Inc. (Proceeds $15,470).... 10 May 2000 110 (22,250)
---------
Total Open Covered Written Call Options (Proceeds $125,206).................................. $(146,100)
=========
</TABLE>
See Notes to Financial Statements
----------------
39
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME/EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 30.9%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.4%
APPAREL & TEXTILES -- 0.1%
Oakley, Inc.+ .......................... 3,800 $ 40,375
AUTOMOTIVE -- 0.2%
General Motors Corp., Class H+ ......... 1,000 124,500
SPX Corp.+ ............................. 500 56,969
RETAIL -- 1.1%
Gap, Inc. .............................. 3,000 149,438
Home Depot, Inc. ....................... 4,765 307,342
Target Corp. ........................... 1,500 112,125
Wal-Mart Stores, Inc. .................. 4,000 222,000
------------
1,012,749
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Seagram Co., Ltd. ...................... 2,000 119,000
------------
ENERGY -- 2.4%
ENERGY SERVICES -- 0.7%
Baker Hughes, Inc. ..................... 2,500 75,625
Halliburton Co. ........................ 2,400 98,400
Nabors Industries, Inc.+ ............... 1,500 58,219
Schlumberger Ltd. ...................... 2,500 191,250
Transocean Sedco Forex, Inc. ........... 2,000 102,625
ENERGY SOURCES -- 1.7%
Chevron Corp. .......................... 1,000 92,437
Enron Corp. ............................ 11,745 879,407
Exxon Mobil Corp. ...................... 2,480 192,975
Noble Drilling Corp.+ .................. 2,000 82,875
------------
1,773,813
------------
FINANCE -- 1.9%
BANKS -- 0.6%
Bank of New York Co., Inc. ............. 2,000 83,125
Chase Manhattan Corp. .................. 1,400 122,062
Fifth Third Bancorp .................... 2,510 158,130
Firstar Corp. .......................... 3,266 74,914
Summit Bancorp ......................... 1,200 31,500
FINANCIAL SERVICES -- 1.3%
American Express Co. ................... 2,100 312,769
Capital One Financial Corp. ............ 1,700 81,494
Citigroup, Inc. ........................ 2,100 124,556
E*TRADE Group, Inc.+ ................... 4,395 132,399
Merrill Lynch & Co., Inc. .............. 1,000 105,000
Morgan Stanley, Dean Witter & Co. ...... 2,000 163,125
Paine Webber Group, Inc. ............... 900 39,600
------------
1,428,674
------------
</TABLE>
----------------
40
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 1.5%
DRUGS -- 0.5%
Biogen, Inc.+ .......................... 2,000 $ 139,750
Immunex Corp.+ ......................... 1,000 63,437
Merck & Co., Inc. ...................... 500 31,063
Pfizer, Inc. ........................... 3,500 127,969
HEALTH SERVICES -- 0.0%
Healtheon/WebMD Corp.+ ................. 535 12,305
MEDICAL PRODUCTS -- 1.0%
MedImmune, Inc.+ ....................... 1,000 174,125
Medtronic, Inc. ........................ 4,937 253,947
MiniMed, Inc.+ ......................... 610 78,995
PE Corp-PE Biosystems Group ............ 1,815 175,147
Schering-Plough Corp. .................. 1,400 51,450
------------
1,108,188
------------
INDUSTRIAL & COMMERCIAL -- 2.0%
BUSINESS SERVICES -- 1.7%
Corning, Inc. .......................... 1,200 232,800
Electronic Data Systems Corp. .......... 500 32,094
General Electric Co. ................... 5,500 853,531
TMP Worldwide, Inc.+ ................... 1,620 125,955
MULTI-INDUSTRY -- 0.3%
Tyco International Ltd. ................ 5,000 249,375
------------
1,493,755
------------
INFORMATION & ENTERTAINMENT -- 4.0%
BROADCASTING & MEDIA -- 3.7%
AT&T Corp. - Liberty Media Group, Class
A+ ................................... 13,673 810,125
Cablevision Systems Corp., Class A+ .... 1,605 97,504
CBS Corp.+ ............................. 1,000 56,625
Comcast Corp., Class A+ ................ 6,305 273,479
Cox Communications, Inc., Class A+ ..... 1,880 91,180
DoubleClick, Inc.+ ..................... 1,265 118,436
Infinity Broadcasting Corp., Class
A+ ................................... 2,471 79,999
Lamar Advertising Co.+ ................. 581 26,436
Liberty Digital, Inc., Class A+ ........ 290 11,165
Pegasus Communications Corp.+ .......... 1,000 140,750
Time Warner, Inc. ...................... 7,834 783,400
UnitedGlobalCom, Inc., Class A+ ........ 1,575 118,223
VoiceStream Wireless Corp.+ ............ 1,055 135,897
ENTERTAINMENT PRODUCTS -- 0.3%
SONY Corp. ............................. 700 98,865
SONY Corp.+ ............................ 700 99,547
LEISURE & TOURISM -- 0.0%
McDonald's Corp. ....................... 1,000 37,563
------------
2,979,194
------------
INFORMATION TECHNOLOGY -- 16.0%
COMMUNICATION EQUIPMENT -- 1.9%
3Com Corp.+ ............................ 80 4,450
Cisco Systems, Inc.+ ................... 15,772 1,219,373
E-Tek Dynamics, Inc.+ .................. 200 47,050
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Lucent Technologies, Inc. .............. 2,800 $ 170,100
COMPUTER SERVICES -- 1.1%
i2 Technologies, Inc.+ ................. 2,590 316,304
iGate Capital Corp.+ ................... 700 31,588
MarchFirst, Inc.+ ...................... 2,360 84,222
Sapient Corp.+ ......................... 1,335 111,973
Sun Microsystems, Inc.+ ................ 2,000 187,406
VeriSign, Inc.+ ........................ 795 118,852
COMPUTERS & BUSINESS EQUIPMENT -- 1.6%
Dell Computer Corp.+ ................... 3,600 194,175
EMC Corp.+ ............................. 6,950 868,750
International Business Machines
Corp. ................................ 1,500 177,000
COMPUTER SOFTWARE -- 1.8%
Electronic Arts, Inc.+ ................. 3,025 215,342
Microsoft Corp.+ ....................... 9,285 986,531
VERITAS Software Corp.+ ................ 878 115,018
ELECTRONICS -- 2.4%
Applied Materials, Inc.+ ............... 3,990 376,057
ASM Lithography Holdings NV+ ........... 1,130 126,278
Conexant Systems, Inc.+ ................ 4,000 284,000
Flextronics International Ltd.+ ........ 2,000 140,875
Intel Corp. ............................ 3,000 395,812
Maxim Integrated Products, Inc.+ ....... 760 54,008
Texas Instruments, Inc. ................ 2,485 397,600
INTERNET CONTENT -- 1.0%
Amazon.com, Inc.+ ...................... 5,365 359,455
eBay, Inc.+ ............................ 760 133,760
GoTo.com, Inc.+ ........................ 35 1,437
InfoSpace.Com, Inc.+ ................... 490 71,264
Internet Capital Group, Inc.+ .......... 155 13,999
Lycos, Inc.+ ........................... 1,125 79,031
Priceline.com, Inc.+ ................... 1,290 99,975
Ticketmaster Online-Citysearch, Inc.,
Class B .............................. 475 11,905
INTERNET SOFTWARE -- 1.0%
Exodus Communications, Inc.+ ........... 1,140 160,170
Inktomi Corp.+ ......................... 205 39,975
NetZero, Inc.+ ......................... 600 9,150
Phone.com, Inc.+ ....................... 965 157,416
RealNetworks, Inc.+ .................... 95 5,409
Software.com, Inc.+ .................... 1,390 179,136
Verio, Inc.+ ........................... 1,435 64,665
Vignette Corp.+ ........................ 600 96,150
TELECOMMUNICATIONS -- 5.2%
China Telecom (Hong Kong) Ltd. ADR+ .... 640 113,440
JDS Uniphase Corp.+ .................... 3,700 446,081
Level 3 Communications, Inc.+ .......... 2,020 213,615
Motorola, Inc. ......................... 1,800 256,275
Nextel Communications, Inc., Class
A+ ................................... 375 55,594
Nokia Corp. ADR ........................ 6,875 1,493,594
Nortel Networks Corp. .................. 1,500 189,000
NTL, Inc.+ ............................. 1,053 97,732
QUALCOMM, Inc.+ ........................ 1,925 287,427
</TABLE>
----------------
42
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Sprint Corp. (PCS Group)+ .............. 2,865 $ 187,120
Telefonaktiebolaget LM Ericsson AB
ADR .................................. 2,265 212,485
Telefonaktiebolaget LM Ericsson AB,
Series B ............................. 972 85,506
Vodafone AirTouch PLC+ ................. 52,360 291,769
------------
12,035,299
------------
MATERIALS -- 0.2%
CHEMICALS -- 0.0%
du Pont (E.I.) de Nemours & Co. ........ 800 42,300
METALS & MINERALS -- 0.2%
Alcoa, Inc. ............................ 2,000 140,500
------------
182,800
------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.1%
PECO Energy Co. ........................ 1,000 36,875
GAS & PIPELINE UTILITIES -- 0.2%
Coastal Corp. .......................... 4,000 184,000
TELEPHONE -- 1.0%
AT&T Corp. ............................. 2,500 140,625
GTE Corp. .............................. 500 35,500
MCI WorldCom, Inc.+ .................... 2,700 122,344
SBC Communications, Inc. ............... 800 33,600
Telefonica SA+ ......................... 4,816 121,745
Telefonos de Mexico SA ADR ............. 3,065 205,355
Winstar Communications, Inc.+ .......... 1,560 93,600
------------
973,644
------------
TOTAL COMMON STOCK (cost $15,186,343)... 23,107,116
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp., Series B
13.50%(1) (cost $7,347) .............. 11 11,302
------------
<CAPTION>
BONDS & NOTES -- 57.7% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.8%
APPAREL & TEXTILES -- 0.0%
Westpoint Stevens, Inc. 7.88% 2008 ..... $ 5,000 3,837
AUTOMOTIVE -- 0.2%
Accuride Corp., Series B 9.25% 2008 .... 10,000 8,675
Delco Remy International, Inc. 8.63%
2007 ................................. 25,000 23,000
Delco Remy International, Inc. 10.63%
2006 ................................. 10,000 9,900
Dura Operating Corp., Series B 9.00%
2009 ................................. 20,000 17,800
Federal-Mogul Corp. 7.50% 2009 ......... 25,000 19,241
Federal-Mogul Corp. 8.80% 2007 ......... 30,000 26,064
LDM Technologies, Inc., Series B 10.75%
2007 ................................. 15,000 11,250
Lear Corp., Series B 8.11% 2009 ........ 20,000 17,925
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008 ................................. $ 10,000 $ 8,050
Henry Co., Series B 10.00% 2008 ........ 20,000 14,375
Nortek, Inc., Series B 8.88% 2008 ...... 5,000 4,500
Nortek, Inc., Series B 9.25% 2007 ...... 20,000 18,550
Standard Pacific Corp. 8.50% 2007 ...... 20,000 17,550
Toll Corp. 8.13% 2009 .................. 15,000 12,862
Webb (Del E.) Corp. 10.25% 2010 ........ 15,000 12,413
RETAIL -- 0.5%
Disco SA 9.88% 2008 .................... 20,000 17,550
Duane Reade, Inc. 9.25% 2008 ........... 50,000 46,750
Kroger Co. 7.38% 2005 .................. 55,000 53,954
Mattress Discounters Corp. 12.63%
2007(3) .............................. 15,000 13,875
Sealy Mattress Co., Series B zero coupon
2007(2) .............................. 5,000 3,556
Stater Brothers Holdings, Inc. 10.75%
2006 ................................. 25,000 24,750
Vlasic Foods International, Inc., Series
B 10.25% 2009 ........................ 25,000 15,688
Wal-Mart Stores, Inc. 7.55% 2030 ....... 220,000 224,443
------------
626,558
------------
CONSUMER STAPLES -- 1.1%
FOOD, BEVERAGE & TOBACCO -- 1.1%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 15,000 5,663
Aurora Foods, Inc., Series D 9.88%
2007 ................................. 10,000 3,775
B & G Foods, Inc. 9.63% 2007 ........... 25,000 20,062
Chiquita Brands International, Inc.
10.00% 2009 .......................... 15,000 11,588
CPC International, Inc., Series E 7.25%
2026 ................................. 300,000 280,620
Del Monte Foods Co., Series B zero
coupon 2007(2) ....................... 16,000 12,420
Nash Finch Co., Series B 8.50% 2008 .... 25,000 19,688
Panamerican Beverages, Inc. 8.13%
2003 ................................. 70,000 67,704
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018 ................................. 250,000 232,712
Whitman Corp. 6.38% 2009 ............... 160,000 143,174
HOUSEHOLD PRODUCTS -- 0.0%
Royster-Clark, Inc. 10.25% 2009* ....... 15,000 13,012
------------
810,418
------------
ENERGY -- 1.8%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ........ 15,000 14,062
Key Energy Services, Inc., Series B
14.00% 2009 .......................... 5,000 5,469
Pride Petroleum Services, Inc. 9.38%
2007 ................................. 25,000 24,500
Tuboscope, Inc. 7.50% 2008 ............. 25,000 21,451
ENERGY SOURCES -- 1.7%
Apache Finance Canada Corp. 7.75%
2029 ................................. 310,000 296,844
Conoco, Inc. 5.90% 2004 ................ 90,000 85,713
Energy Corp. of America, Series A 9.50%
2007 ................................. 40,000 28,000
Enron Corp. 6.75% 2004 ................. 125,000 119,950
Husky Oil Ltd. 7.55% 2016 .............. 160,000 147,526
Newfield Exploration Co., Series B 7.45%
2007 ................................. 80,000 74,686
Petroleos Mexicanos 9.38% 2008 ......... 75,000 77,063
Petroleos Mexicanos, Series P 9.50%
2027 ................................. 60,000 61,950
Plains Resources, Inc., Series B 10.25%
2006 ................................. 10,000 9,613
Plains Resources, Inc., Series D 10.25%
2006 ................................. 10,000 9,775
Tosco Corp. 8.13% 2030 ................. 230,000 229,841
</TABLE>
----------------
44
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
YPF Sociedad Anonima, Series C 10.00%
2028 ................................. $ 100,000 $ 113,018
------------
1,319,461
------------
FINANCE -- 10.8%
BANKS -- 1.8%
Bank of America Corp. 9.38% 2009 ....... 68,000 76,376
Credit National 7.00% 2005 ............. 130,000 124,553
First Republic Bancorp 7.75% 2012 ...... 50,000 43,202
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 250,000 238,938
Korea Development Bank 7.13% 2001 ...... 35,000 34,558
National City Corp. 7.20% 2005 ......... 200,000 196,014
NBD Bank NA 8.25% 2024 ................. 50,000 55,886
Popular, Inc., Series C 6.75% 2001 ..... 95,000 94,182
Royal Bank Scotland Group PLC 6.40%
2009 ................................. 300,000 277,626
U.S. Bancorp. 7.50% 2026................ 210,000 207,656
Werner Holdings Co., Inc., Series A
10.00% 2007........................... 10,000 9,375
Western Financial Bank 8.88% 2007 ...... 25,000 21,625
FINANCIAL SERVICES -- 4.6%
Aesop Funding II LLC 6.14% 2006* ....... 120,000 113,650
Aesop Funding II LLC 6.22% 2001* ....... 120,000 119,883
Aesop Funding II LLC 6.40% 2003* ....... 100,000 97,659
Allstate Financing II 7.83% 2045 ....... 49,000 43,072
American General Finance Corp., Series E
6.25% 2002 ........................... 100,000 97,168
Arcadia Financial Ltd. 11.50%
2007(3) .............................. 10,000 10,463
Arcadia Financial Ltd. 11.50% 2007* .... 5,000 5,300
Asset Securitization Corp. 6.75%
2041 ................................. 80,000 76,035
AXA Finanical, Inc. 7.00% 2028 ......... 130,000 118,929
Chase Credit Card Master Trust 6.19%
2005 ................................. 150,000 146,614
Crown Castle International Corp. zero
coupon 2007#(2) ...................... 35,000 24,281
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 110,000 108,947
Dime Capital Trust I, Series A 9.33%
2027 ................................. 40,000 39,221
Finova Capital Corp. 6.63% 2001 ........ 125,000 123,376
Finova Capital Corp., Series C 6.39%
2002 ................................. 80,000 77,158
Fleet Mortgage Group, Inc., Series A
6.84% 2003 ........................... 50,000 49,123
GE Capital Mortgage Services, Inc. 6.25%
2000 ................................. 5,955 5,912
General Electric Capital Corp. 8.70%
2007 ................................. 200,000 216,732
General Motors Acceptance Corp. 7.63%
2003 ................................. 135,000 135,383
Liberty Financial Cos., Inc. 6.75%
2008 ................................. 125,000 116,702
PNC Funding Corp. 7.50% 2009 ........... 270,000 270,032
Popular North America, Inc., Series D
6.63% 2002 ........................... 50,000 48,479
Principal Financial Group 8.20%
2009* ................................ 300,000 298,428
Private Export Funding Corp. 6.62%
2005 ................................. 160,000 158,957
Private Export Funding Corp., Series C
6.31% 2004 ........................... 100,000 97,533
Private Export Funding Corp., Series NN
7.30% 2002 ........................... 270,000 271,223
Private Export Funding Corp., Series YY
7.03% 2003 ........................... 60,000 60,129
RBF Finance Co. 11.38% 2009 ............ 30,000 32,363
Sun Canada Financial Co. 6.63% 2007* ... 160,000 151,325
Tembec Finance Corp. 9.88% 2005 ........ 15,000 15,113
Tembec Industries, Inc. 8.63% 2009 ..... 5,000 4,763
Toyota Motor Credit Corp. 5.63% 2003 ... 125,000 118,748
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. 165,000 156,103
INSURANCE -- 4.4%
AAG Holding Co., Inc. 6.88% 2008 ....... 100,000 91,787
Abbey National PLC, Series E 6.69%
2005 ................................. 250,000 240,673
Ace Capital Trust II 9.70% 2030 ........ 300,000 302,476
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
American Financial Group, Inc. 7.13%
2009 ................................. $ 60,000 $ 54,579
Amerus Life Holdings, Inc. 6.95%
2005 ................................. 230,000 213,842
CIGNA Corp. 7.40% 2007 ................. 95,000 93,941
CIGNA Corp. 7.88% 2027 ................. 37,000 35,601
CIGNA Corp. 8.25% 2007 ................. 65,000 67,220
Everest Reinsurance Holdings Co. 8.75%
2010 ................................. 290,000 294,231
Farmers Insurance Exchange 8.50%
2004* ................................ 290,000 301,310
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019* ......... 340,000 326,196
Jackson National Life Insurance Co.
8.15% 2027* .......................... 44,000 44,836
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 80,000 70,939
Metropolitan Life Insurance Co. 7.70%
2015 ................................. 140,000 138,447
Prudential Insurance Co. 6.88% 2003* ... 310,000 305,164
Reliastar Financial Corp. 8.00% 2006 ... 200,000 199,072
Safeco Capital Trust I 8.07% 2037 ...... 270,000 234,773
Travelers Property Casualty Corp. 7.75%
2026 ................................. 300,000 302,265
------------
8,106,147
------------
HEALTHCARE -- 0.8%
DRUGS -- 0.0%
Alaris Medical Systems, Inc. 9.75%
2006 ................................. 5,000 4,162
Warner Chilcott, Inc. 12.63% 2008* ..... 15,000 14,831
HEALTH SERVICES -- 0.3%
Beverly Enterprises, Inc. 9.00% 2006 ... 15,000 12,694
Columbia/HCA Healthcare Corp. 7.25%
2008 ................................. 25,000 22,187
HEALTHSOUTH Corp. 6.88% 2005 ........... 120,000 104,458
Lifepoint Hospitals Holdings, Inc.,
Series B 10.75% 2009 ................. 10,000 10,050
Tenet Healthcare Corp. 7.88% 2003 ...... 50,000 47,875
Tenet Healthcare Corp., Series B 8.13%
2008 ................................. 20,000 18,200
Triad Hospitals Holdings, Inc., Series B
11.00% 2009 .......................... 20,000 20,100
MEDICAL PRODUCTS -- 0.5%
ALARIS Medical, Inc. zero coupon
2008(2) .............................. 30,000 9,862
Beckman Instruments, Inc. 7.10% 2003 ... 75,000 71,925
Beckman Instruments, Inc. 7.45% 2008 ... 10,000 9,062
Bio-Rad Labs, Inc. 11.63% 2007* ........ 5,000 5,012
Cardinal Health 7.00% 2026 ............. 260,000 250,422
Mediq PRN Life Support Services, Inc.
11.00% 2008 .......................... 25,000 2,438
------------
603,278
------------
INDUSTRIAL & COMMERCIAL -- 2.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009 .......................... 35,000 35,613
K & F Industries, Inc., Series B 9.25%
2007 ................................. 30,000 27,900
Raytheon Co. 8.20% 2006* ............... 221,000 223,402
SCL Term Aereo Santiago SA 6.95%
2012* ................................ 200,000 185,028
BUSINESS SERVICES -- 1.1%
Allied Waste North America, Inc., Series
B 7.63% 2006 ......................... 35,000 29,488
Boise Cascade Office Products Corp.
7.05% 2005 ........................... 230,000 219,213
Federal Express Corp. 6.72% 2022 ....... 186,282 175,963
Fisher Scientific International, Inc.
9.00% 2008 ........................... 20,000 18,200
Iron Mountain, Inc. 8.13% 2008 ......... 10,000 8,700
Iron Mountain, Inc. 8.75% 2009 ......... 20,000 17,800
Neenah Corp., Series F 11.13% 2007 ..... 5,000 4,450
Owens & Minor, Inc. 10.88% 2006 ........ 10,000 10,263
Waste Management, Inc. 7.00% 2006 ...... 150,000 131,001
</TABLE>
----------------
46
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Waste Management, Inc. 7.13% 2007 ...... $ 170,000 $ 148,476
World Color Press, Inc. 8.38% 2008 ..... 15,000 14,344
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008
..................................... 15,000 6,600
Numatics, Inc., Series B 9.63% 2008 .... 10,000 8,112
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007 .................. 5,000 4,538
Westinghouse Air Brake Co., Series B2
9.38% 2005 ........................... 5,000 4,888
MULTI-INDUSTRY -- 0.4%
American Standard, Inc. 7.63% 2010 ..... 10,000 8,900
Eaton Corp. 7.65% 2029 ................. 250,000 245,602
Prestolite Electric, Inc. 9.63% 2008 ... 25,000 15,437
TRANSPORTATION -- 0.1%
AMR Corp. 9.88% 2020 ................... 70,000 80,936
------------
1,624,854
------------
INFORMATION & ENTERTAINMENT -- 1.9%
BROADCASTING & MEDIA -- 1.4%
Adelphia Communications Corp., Series B
8.38% 2008 ........................... 10,000 8,900
Allbritton Communications Co., Series B
8.88% 2008 ........................... 15,000 13,500
AMC Entertainment, Inc. 9.50% 2009 ..... 45,000 22,950
American Media Operations, Inc. 10.25%
2009* ................................ 15,000 14,663
Benedek Communications Corp. zero coupon
2006(2) .............................. 30,000 27,488
Cablevision SA 13.75% 2009 ............. 10,000 10,075
Century Communications Corp., Series B
zero coupon 2008(2) .................. 55,000 22,550
Charter Communication Holdings LLC 8.63%
2009 ................................. 40,000 35,200
Classic Cable, Inc. 10.50% 2010* ....... 20,000 19,850
Comcast Cable Communications Corp. 8.50%
2027 ................................. 50,000 52,013
Echostar DBS Corp. 9.38% 2009 .......... 55,000 53,075
Emmis Communications Corp., Series B
8.13% 2009 ........................... 5,000 4,688
Frontiervision Holdings LP zero coupon
2007(2) .............................. 25,000 22,000
Frontiervision Holdings LP, Series B
zero coupon 2007(2) .................. 15,000 13,144
Granite Broadcasting Corp. 8.88%
2008 ................................. 20,000 17,200
LIN Holdings Corp. zero coupon
2008(2) .............................. 65,000 40,138
News America Holdings, Inc. 8.00%
2016 ................................. 305,000 297,393
RCN Corp. zero coupon 2008(2) .......... 45,000 26,325
Scholastic Corp. 7.00% 2003 ............ 80,000 77,710
Sullivan Graphics, Inc. 12.75% 2005 .... 25,000 25,875
Sun Media Corp. 9.50% 2007 ............. 20,000 19,300
TCI Communications, Inc. 8.00% 2005 .... 50,000 51,336
Tele-Communications, Inc. 7.25% 2005 ... 50,000 49,701
Tele-Communications, Inc. 9.25% 2002 ... 50,000 51,986
TV Guide, Inc. 8.13% 2009 .............. 25,000 24,750
Viacom, Inc. 7.75% 2005 ................ 80,000 80,606
Young Broadcasting, Inc., Series B 8.75%
2007 ................................. 25,000 21,875
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00%
2008 ................................. 40,000 39,650
True Temper Sports, Inc., Series B
10.88% 2008 .......................... 20,000 18,925
LEISURE & TOURISM -- 0.4%
Aztar Corp. 8.88% 2007 ................. 25,000 22,625
Continental Airlines, Inc., Series A
6.65% 2017 ........................... 67,342 61,346
Continental Airlines, Inc., Series B
6.47% 2004 ........................... 89,663 85,389
Hollywood Casino Corp. 11.25% 2007 ..... 15,000 15,075
John Q. Hammons Hotels, Inc. 8.88%
2004 ................................. 15,000 13,275
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Loews Cineplex Entertainment Corp. 8.88%
2008 ................................. $ 40,000 $ 26,200
Station Casinos, Inc. 8.88% 2008 ....... 25,000 23,125
Tricon Global Restaurants, Inc. 7.65%
2008 ................................. 25,000 23,630
------------
1,433,531
------------
INFORMATION TECHNOLOGY -- 1.0%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007 ... 30,000 31,275
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00%
2003 ................................. 5,000 4,950
Amphenol Corp. 9.88% 2007 .............. 3,000 3,105
Fairchild Semiconductor Corp. 10.13%
2007 ................................. 30,000 29,100
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008 .................. 15,000 13,050
SCG Holdings & Semiconductor Co., Series
B 12.00% 2009* ....................... 25,000 26,688
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.50%
2009 ................................. 15,000 13,913
PSINet, Inc. 11.00% 2009 ............... 10,000 9,675
PSINet, Inc. 11.50% 2008 ............... 15,000 14,812
PSINet, Inc., Series B 10.00% 2005 ..... 20,000 18,900
Verio, Inc. 10.38% 2005 ................ 10,000 9,650
Verio, Inc. 11.25% 2008 ................ 10,000 9,900
TELECOMMUNICATIONS -- 0.8%
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004 ................. 15,000 15,450
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(2) ......... 10,000 9,200
Alaska Communications Holdings, Inc.
9.38% 2009 ........................... 25,000 22,625
AMSC Acquisition Co., Inc., Series B
12.25% 2008 .......................... 5,000 3,938
BTI Telecom Corp. 10.50% 2007 .......... 10,000 8,825
Clearnet Communications, Inc. zero
coupon 2009(2) ....................... 20,000 11,425
Compania de Telecomunicaciones de Chile
7.63% 2006 ........................... 50,000 48,051
Compania de Telecomunicaciones de Chile
8.38% 2006 ........................... 50,000 49,539
e.Spire Communications, Inc. zero coupon
2008(2) .............................. 35,000 14,000
GCI, Inc. 9.75% 2007 ................... 60,000 56,250
Globalstar LP 10.75% 2004 .............. 15,000 5,400
GST Network Funding, Inc. zero coupon
2008(2) .............................. 25,000 10,219
GT Group Telecom, Inc. zero coupon
2010*(2)(3) .......................... 20,000 11,200
Insight Midwest LP 9.75% 2009* ......... 5,000 4,975
Iridium LLC, Series C 11.25%
2005(4)+ ............................. 15,000 150
Iridium LLC, Series D 10.88%
2005(4)+ ............................. 10,000 100
ITC DeltaCom, Inc. 9.75% 2008 .......... 15,000 14,737
KMC Telecom Holdings, Inc. zero coupon
2008(2) .............................. 40,000 21,450
Level 3 Communications, Inc. 9.13%
2008 ................................. 15,000 12,900
Level 3 Communications, Inc. 11.25%
2010* ................................ 15,000 14,362
McLeodUSA, Inc. 8.38% 2008 ............. 5,000 4,475
McLeodUSA, Inc. 9.25% 2007 ............. 10,000 9,400
MJD Communications, Inc., Series B 9.50%
2008 ................................. 10,000 9,513
Nextel Communications, Inc. 9.38%
2009 ................................. 5,000 4,625
Nextel Communications, Inc. zero coupon
2007(2) .............................. 85,000 58,225
NEXTLINK Communications, Inc. zero
coupon 2008(2) ....................... 45,000 26,550
NEXTLINK Communications, Inc. zero
coupon 2009(2) ....................... 15,000 8,475
NTL Communications Corp., Series B zero
coupon 2008(2) ....................... 50,000 32,250
Rogers Cantel, Inc. 9.38% 2008 ......... 10,000 10,150
RSL Communications PLC 12.00% 2008 ..... 25,000 23,781
Satelites Mexicanos SA de CV, Series B
10.13% 2004 .......................... 20,000 16,800
Telecommunications Techniques Co. LLC
9.75% 2008 ........................... 25,000 22,656
</TABLE>
----------------
48
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Time Warner Telecom, Inc. 9.75% 2008 ... $ 15,000 $ 14,700
------------
761,414
------------
MATERIALS -- 1.6%
CHEMICALS -- 0.8%
Acetex Corp. 9.75% 2003 ................ 25,000 22,563
Avecia Group PLC 11.00% 2009 ........... 25,000 25,062
Georgia Gulf Corp. 10.38% 2007* ........ 5,000 5,056
Huntsman Corp. 9.50% 2007* ............. 15,000 13,650
ICI Wilmington, Inc. 6.95% 2004 ........ 270,000 261,641
Lyondell Chemical Co. 9.80% 2020 ....... 15,000 13,200
Lyondell Chemical Co., Series B 9.88%
2007 ................................. 45,000 42,750
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007 .................. 15,000 12,638
Praxair, Inc. 6.75% 2003 ............... 170,000 165,405
Scotts Co. 8.63% 2009* ................. 5,000 4,650
Sovereign Specialty Chemicals, Inc.
11.88% 2010* ......................... 15,000 14,925
Texas Petrochemical Corp., Series B
11.13% 2006 .......................... 30,000 24,525
FOREST PRODUCTS -- 0.7%
Boise Cascade Co., Series A 9.90%
2001 ................................. 90,000 92,263
Doman Industries Ltd. 12.00% 2004 ...... 25,000 25,375
Gaylord Container Corp., Series B 9.38%
2007 ................................. 20,000 18,300
International Paper Co. 8.10% 2009 ..... 100,000 103,402
Packaging Corp. of America 9.63%
2009 ................................. 15,000 14,587
Repap New Brunswick, Inc. 9.00% 2004 ... 10,000 9,600
Sonoco Products Co. 7.00% 2004 ......... 250,000 243,900
METALS & MINERALS -- 0.1%
AK Steel Corp. 7.88% 2009 .............. 10,000 9,050
Algoma Steel, Inc. 12.38% 2005 ......... 20,000 19,500
BWay Corp., Series B 10.25% 2007 ....... 20,000 18,050
Consumers Packaging, Inc. 9.75% 2007 ... 10,000 5,275
LTV Corp. 11.75% 2009* ................. 25,000 24,437
Neenah Corp., Series B 11.13% 2007 ..... 5,000 4,450
P & L Coal Holdings Corp., Series B
9.63% 2008 ........................... 25,000 22,438
Weirton Steel Corp. 11.38% 2004 ........ 5,000 5,100
------------
1,221,792
------------
MUNICIPAL BONDS -- 1.2%
MUNICIPAL BONDS -- 1.2%
Allentown Pennsylvania 6.20% 2005 ...... 280,000 268,330
Fresno County California Pension
Obligation 6.07% 2003 ................ 50,000 48,180
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 135,000 133,195
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 100,000 96,431
Miami Florida Revenue 7.25% 2003 ....... 135,000 135,539
Phoenix Arizona Civic Improvement Corp.
6.30% 2008 ........................... 100,000 93,987
Southern California Public Power
Authority Project 6.93% 2017 ......... 125,000 118,601
------------
894,263
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.2%
FOREIGN GOVERNMENT -- 0.2%
Republic of Lithuania 7.13% 2002* ...... 43,000 41,065
Republic of Philippines 10.63% 2025 .... 111,000 105,385
------------
146,450
------------
</TABLE>
----------------
49
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.8%
REAL ESTATE COMPANIES -- 0.8%
E.O.P. Operating LP 6.38% 2003 ......... $ 120,000 $ 115,471
E.O.P. Operating LP 8.38% 2006 ......... 230,000 232,436
Post Apartment Homes LP 7.02% 2001 ..... 130,000 129,952
Susa Partnership LP 6.95% 2006 ......... 90,000 82,236
------------
560,095
------------
U.S. GOVERNMENT & AGENCIES -- 31.7%
U.S. GOVERNMENT & AGENCIES -- 31.7%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 18,268 18,028
Federal Home Loan Mortgage Corp. 6.00%
2013 ................................. 444,428 418,731
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 472,565 430,478
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 451,341 411,145
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 160,000 151,899
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 60,000 56,175
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 45,000 42,961
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 32,000 31,190
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 14,967 14,804
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 92,761 92,848
Federal Home Loan Mortgage Corp. 8.50%
2008 ................................. 153,654 155,304
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 35,156 35,982
Federal National Mortgage Association
5.25% 2003 ........................... 1,635,000 1,559,381
Federal National Mortgage Association
5.65% 2005 ........................... 8,930 8,871
Federal National Mortgage Association
5.75% 2008 ........................... 1,715,000 1,569,225
Federal National Mortgage Association
6.00% 2014 ........................... 440,026 414,584
Federal National Mortgage Association
6.00% 2014 ........................... 279,808 263,255
Federal National Mortgage Association
6.00% 2028 ........................... 524,478 477,600
Federal National Mortgage Association
6.00% 2028 ........................... 38,616 35,164
Federal National Mortgage Association
6.18% 2008 ........................... 24,550 22,901
Federal National Mortgage Association
6.27% 2007 ........................... 83,264 78,256
Federal National Mortgage Association
6.30% 2008 ........................... 19,638 18,449
Federal National Mortgage Association
6.30% 2008 ........................... 24,437 22,987
Federal National Mortgage Association
6.34% 2008 ........................... 19,323 18,241
Federal National Mortgage Association
6.36% 2008 ........................... 127,467 120,711
Federal National Mortgage Association
6.39% 2006 ........................... 19,127 18,222
Federal National Mortgage Association
6.43% 2008 ........................... 24,435 23,156
Federal National Mortgage Association
6.50% 2013 ........................... 422,031 406,597
Federal National Mortgage Association
6.59% 2007 ........................... 97,579 93,362
Federal National Mortgage Association
6.90% 2007 ........................... 94,761 92,248
Federal National Mortgage Association
6.98% 2007 ........................... 140,453 137,258
Federal National Mortgage Association
7.02% 2007 ........................... 18,624 18,234
Federal National Mortgage Association
7.04% 2007 ........................... 63,230 61,963
Federal National Mortgage Association
7.28% 2006 ........................... 38,820 38,467
Federal National Mortgage Association
7.39% 2021 ........................... 47,064 47,043
Federal National Mortgage Association
7.50% TBA ............................ 745,000 731,151
Federal National Mortgage Association
7.75% 2021 ........................... 200,000 200,750
Federal National Mortgage Association
8.00% 2006 ........................... 76,237 76,904
Government National Mortgage Association
6.50% 2029 ........................... 341,900 322,453
Government National Mortgage Association
7.00% 2022 ........................... 16,769 16,346
Government National Mortgage Association
7.00% 2023 ........................... 11,566 11,266
Government National Mortgage Association
7.25% 2027 ........................... 263,752 258,889
Government National Mortgage Association
7.50% 2022 ........................... 28,469 28,382
Government National Mortgage Association
7.50% 2024 ........................... 9,681 9,636
Government National Mortgage Association
7.50% 2027 ........................... 279,995 277,982
Government National Mortgage Association
8.50% 2017 ........................... 31,314 32,282
Government National Mortgage Association
8.50% 2017 ........................... 12,913 13,312
Government National Mortgage Association
9.00% 2021 ........................... 10,336 10,714
</TABLE>
----------------
50
<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 ............... $ 439,165 $ 432,134
United States Treasury Bonds 5.25%
2028 ................................. 800,000 716,000
United States Treasury Bonds 5.50%
2028 ................................. 35,000 32,452
United States Treasury Bonds 8.50%
2020 ................................. 275,000 346,844
United States Treasury Bonds 9.00%
2018 ................................. 2,403,000 3,135,531
United States Treasury Bonds 9.25%
2016 ................................. 1,850,000 2,407,312
United States Treasury Bonds 11.88%
2003 ................................. 1,700,000 1,986,076
United States Treasury Bonds 12.00%
2013 ................................. 2,285,000 3,085,458
United States Treasury Notes 4.75%
2008 ................................. 800,000 722,248
United States Treasury Notes 5.50%
2009 ................................. 600,000 571,404
United States Treasury Notes 5.63%
2008 ................................. 200,000 192,156
United States Treasury Notes 5.75%
2001 ................................. 249,000 246,821
United States Treasury Notes 6.63%
2001 ................................. 225,000 225,387
United States Treasury Strip Bonds zero
coupon 2012 .......................... 475,000 226,717
------------
23,722,327
------------
UTILITIES -- 1.8%
ELECTRIC UTILITIES -- 0.6%
Conectiv, Inc. 6.38% 2005............... 60,000 58,053
Public Service Electric & Gas Co.,
Series A 8.88% 2003................... 35,000 36,265
Scottish Power PLC, Series H 6.38%
2008.................................. 250,000 237,190
UtiliCorp United, Inc. 6.88% 2004....... 80,000 76,634
WESCO Distribution, Inc., Series B 9.13%
2008.................................. 20,000 17,350
GAS & PIPELINE UTILITIES -- 0.2%
Azurix Corp. 10.75% 2010* .............. 10,000 9,975
Enron Corp. 9.63% 2006 ................. 140,000 151,435
TELEPHONE -- 1.0%
Alestra SA DE RL DE CV 12.13% 2006 ..... 50,000 50,125
GTE Corp. 6.36% 2006 ................... 210,000 197,818
Intermedia Communications, Inc., Series
B 8.88% 2007 ......................... 25,000 22,500
Intermedia Communications, Inc., Series
B 9.50% 2009 ......................... 10,000 9,250
Intermedia Communications, Inc., Series
B zero coupon 2009(2) ................ 25,000 14,438
MCI Communications Corp. 6.13%
2002(5) .............................. 60,000 58,664
MCI WorldCom, Inc. 7.55% 2004........... 200,000 200,902
Sprint Capital Corp. 6.13% 2008 ........ 155,000 141,110
Viatel, Inc. 11.25% 2008................ 25,000 22,250
------------
1,303,959
------------
TOTAL BONDS & NOTES (cost
$44,782,110).......................... 43,134,547
------------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
<S> <C> <C>
----------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc.
1/31/08*(6)(cost $55) ................ 20 50
------------
TOTAL INVESTMENT SECURITIES (cost
$59,975,855) ......................... 66,253,015
------------
</TABLE>
----------------
51
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 9.2% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.4%
Cincinnati Milacron, Inc. 7.88% due
5/15/00............................... $ 130,000 $ 129,894
Cleveland Electric Illuminating Co.,
Series B 7.19% due 7/01/00............ 50,000 49,943
Ford Motor Credit Co. 7.02% due
10/10/00.............................. 125,000 125,236
------------
305,073
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.9%
Government of France 4.00% due
7/12/00............................... 715,000 685,093
------------
U.S. GOVERNMENT & AGENCIES -- 7.9%
Federal Home Loan Bank Consolidated
Discount Notes 6.05% due 4/03/00...... 1,500,000 1,499,496
Federal National Mortgage Association
5.63% due 3/15/01..................... 710,000 702,900
United States Treasury Notes 4.63% due
11/30/00.............................. 200,000 197,782
United States Treasury Notes 4.88% due
3/31/01............................... 2,000,000 1,970,620
United States Treasury Notes 5.00% due
2/28/01............................... 1,400,000 1,382,934
United States Treasury Notes 5.75% due
10/31/00.............................. 150,000 149,484
------------
5,903,216
------------
TOTAL SHORT-TERM SECURITIES (cost
$6,984,813)........................... 6,893,382
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 0.7%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 0.7%
State Street Bank & Trust Co. Joint
Repurchase Agreement Account (Note
3).................................... 248,000 248,000
Swiss Bank Corp. Joint Repurchase
Agreement Account (Note 3)............ 280,000 280,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$528,000)............................. 528,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $67,488,668) 98.5% 73,674,397
Other assets less liabilities -- 1.5 1,103,817
----- -----------
NET ASSETS -- 100.0% $74,778,214
===== ===========
</TABLE>
-------------
+ Non-income producing securities
# Security represents an investment in an affiliated company; See Note 7
* 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 March 31, 2000
(6) Fair valued security; See Note 2
ADR -- American Depository Receipt
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.
------------------
52
<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* 500,850 EUR 525,000 4/07/2000 $ 2,104
EUR* 100,000 USD 103,963 4/07/2000 8,162
EUR* 80,000 USD 81,424 4/07/2000 4,783
EUR* 300,000 USD 326,910 4/07/2000 39,508
EUR* 75,000 USD 81,304 4/07/2000 9,453
EUR* 50,000 USD 52,989 4/07/2000 5,088
EUR* 100,000 USD 105,065 4/07/2000 9,264
EUR* 100,000 USD 103,980 4/07/2000 8,179
EUR* 80,000 USD 81,442 4/07/2000 4,801
USD* 114,292 EUR 120,000 4/14/2000 724
EUR* 100,000 USD 101,840 4/14/2000 5,994
EUR 20,000 USD 20,378 4/14/2000 1,209
EUR 125,000 USD 123,948 4/20/2000 4,090
EUR* 50,000 USD 51,880 6/09/2000 3,773
EUR* 75,000 USD 75,165 6/09/2000 3,004
EUR* 350,000 USD 366,100 6/09/2000 29,350
EUR* 50,000 USD 52,410 6/09/2000 4,303
EUR* 100,000 USD 103,597 6/09/2000 7,383
EUR* 100,000 USD 103,568 6/09/2000 7,354
EUR* 75,000 USD 73,151 9/08/2000 535
EUR 100,000 USD 97,232 9/08/2000 410
EUR 50,000 USD 48,831 9/08/2000 420
USD* 10,459 JPY 1,100,000 4/07/2000 269
USD* 9,494 JPY 1,000,000 4/20/2000 283
--------
160,443
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
USD* 124,250 EUR 120,000 4/07/2000 (9,290)
USD* 65,582 EUR 65,000 4/07/2000 (3,312)
USD* 82,599 EUR 75,000 4/07/2000 (10,748)
USD* 101,151 EUR 100,000 4/07/2000 (5,350)
USD* 385,196 EUR 400,000 6/09/2000 (339)
USD* 24,393 EUR 25,000 6/09/2000 (339)
USD* 306,250 EUR 300,000 6/09/2000 (17,607)
USD* 58,190 EUR 60,000 9/08/2000 (97)
EUR 525,000 USD 506,630 9/22/2000 (2,179)
JPY* 1,100,000 USD 10,623 4/07/2000 (106)
JPY* 6,400,000 USD 62,040 4/20/2000 (534)
JPY 1,000,000 USD 9,252 4/20/2000 (525)
JPY 1,000,000 USD 10,002 9/08/2000 (15)
JPY 1,000,000 USD 9,391 9/14/2000 (636)
JPY 500,000 USD 4,912 9/14/2000 (102)
JPY 1,100,000 USD 10,768 9/22/2000 (278)
--------
(51,457)
--------
Net Unrealized Appreciation.................... $108,986
========
</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>
EUR -- Euro Dollar
JPY -- Japenese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
53
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 15.9%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.8%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ .......................... 1,900 $ 20,187
AUTOMOTIVE -- 0.2%
General Motors Corp., Class H+ ......... 500 62,250
SPX Corp.+ ............................. 500 56,969
RETAIL -- 0.6%
Gap, Inc. .............................. 1,500 74,719
Home Depot, Inc. ....................... 2,270 146,415
Wal-Mart Stores, Inc. .................. 2,000 111,000
------------
471,540
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Seagram Co., Ltd. ...................... 1,800 107,100
------------
ENERGY -- 1.3%
ENERGY SERVICES -- 0.5%
Baker Hughes, Inc. ..................... 2,000 60,500
Halliburton Co. ........................ 900 36,900
Nabors Industries, Inc.+ ............... 500 19,406
Schlumberger Ltd. ...................... 1,000 76,500
Transocean Sedco Forex, Inc. ........... 800 41,050
ENERGY SOURCES -- 0.8%
Chevron Corp. .......................... 500 46,219
Enron Corp. ............................ 3,780 283,027
Exxon Mobil Corp. ...................... 1,056 82,170
Noble Drilling Corp.+ .................. 800 33,150
------------
678,922
------------
FINANCE -- 1.1%
BANKS -- 0.2%
Chase Manhattan Corp. .................. 600 52,313
Fifth Third Bancorp..................... 820 51,660
Firstar Corp. .......................... 1,040 23,855
FINANCIAL SERVICES -- 0.9%
American Express Co. ................... 855 127,342
Capital One Financial Corp. ............ 400 19,175
Citigroup, Inc. ........................ 900 53,381
E*TRADE Group, Inc.+ ................... 1,395 42,024
Merrill Lynch & Co., Inc. .............. 800 84,000
Morgan Stanley, Dean Witter & Co. ...... 1,200 97,875
</TABLE>
----------------
54
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Paine Webber Group, Inc. ............... 900 $ 39,600
------------
591,225
------------
HEALTHCARE -- 0.8%
DRUGS -- 0.3%
Biogen, Inc.+ .......................... 800 55,900
Immunex Corp.+ ......................... 500 31,719
Merck & Co., Inc. ...................... 500 31,062
Pfizer, Inc. ........................... 1,500 54,844
HEALTH SERVICES -- 0.0%
Healtheon/WebMD Corp.+ ................. 180 4,140
MEDICAL PRODUCTS -- 0.5%
MedImmune, Inc.+ ....................... 500 87,062
Medtronic, Inc. ........................ 1,569 80,705
MiniMed, Inc.+ ......................... 195 25,253
PE Corp-PE Biosystems Group............. 575 55,488
Schering-Plough Corp. .................. 600 22,050
------------
448,223
------------
INDUSTRIAL & COMMERCIAL -- 1.2%
BUSINESS SERVICES -- 1.0%
Corning, Inc. .......................... 1,000 194,000
Electronic Data Systems Corp. .......... 500 32,094
General Electric Co. ................... 1,800 279,338
TMP Worldwide, Inc.+ ................... 515 40,041
MULTI-INDUSTRY -- 0.2%
Tyco International Ltd. ................ 2,000 99,750
------------
645,223
------------
INFORMATION & ENTERTAINMENT -- 1.7%
BROADCASTING & MEDIA -- 1.6%
AT&T Corp. -- Liberty Media Group,
Class A+ ............................. 3,071 181,957
Cablevision Systems Corp., Class A+ .... 510 30,983
CBS Corp.+ ............................. 700 39,637
Comcast Corp., Class A+ ................ 2,365 102,582
Cox Communications, Inc., Class A+ ..... 600 29,100
DoubleClick, Inc.+ ..................... 400 37,450
Infinity Broadcasting Corp.,
Class A+ ............................. 787 25,479
Lamar Advertising Co.+ ................. 184 8,372
Liberty Digital, Inc., Class A+ ........ 90 3,465
Pegasus Communications Corp.+ .......... 700 98,525
Time Warner, Inc. ...................... 1,964 196,400
UnitedGlobalCom, Inc., Class A+ ........ 500 37,531
VoiceStream Wireless Corp.+ ............ 335 43,152
ENTERTAINMENT PRODUCTS -- 0.1%
SONY Corp............................... 200 28,247
SONY Corp.+ ............................ 200 28,442
</TABLE>
----------------
55
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM -- 0.0%
McDonald's Corp. ....................... 600 $ 22,538
------------
913,860
------------
INFORMATION TECHNOLOGY -- 8.0%
COMMUNICATION EQUIPMENT -- 0.5%
3Com Corp.+ ............................ 25 1,391
Cisco Systems, Inc.+ ................... 2,998 231,783
E-Tek Dynamics, Inc.+ .................. 65 15,291
COMPUTER SERVICES -- 0.6%
i2 Technologies, Inc.+ ................. 825 100,753
iGate Capital Corp.+ ................... 220 9,928
MarchFirst, Inc.+ ...................... 749 26,730
Sapient Corp.+ ......................... 425 35,647
Sun Microsystems, Inc.+ ................ 1,000 93,703
VeriSign, Inc.+ ........................ 250 37,375
COMPUTERS & BUSINESS EQUIPMENT -- 0.9%
Dell Computer Corp.+ ................... 1,800 97,088
EMC Corp.+ ............................. 2,420 302,500
International Business Machines
Corp. ................................ 1,000 118,000
COMPUTER SOFTWARE -- 1.0%
Electronic Arts, Inc.+ ................. 960 68,340
Microsoft Corp.+ ....................... 3,910 415,437
VERITAS Software Corp.+ ................ 277 36,287
ELECTRONICS -- 1.5%
Applied Materials, Inc.+ ............... 1,830 172,478
ASM Lithography Holdings NV+ ........... 360 40,230
Conexant Systems, Inc.+ ................ 1,500 106,500
Flextronics International Ltd.+ ........ 1,500 105,656
Intel Corp. ............................ 1,800 237,487
Maxim Integrated Products, Inc.+ ....... 240 17,055
Texas Instruments, Inc. ................ 975 156,000
INTERNET CONTENT -- 0.5%
Amazon.com, Inc.+ ...................... 1,705 114,235
eBay, Inc.+ ............................ 240 42,240
GoTo.com, Inc.+ ........................ 10 411
InfoSpace.com, Inc.+ ................... 155 22,543
Internet Capital Group, Inc.+ .......... 50 4,515
Lycos, Inc.+ ........................... 360 25,290
Priceline.com, Inc.+ ................... 410 31,775
Ticketmaster Online-Citysearch, Inc.,
Class B............................... 150 3,759
INTERNET SOFTWARE -- 0.4%
Exodus Communications, Inc.+ ........... 360 50,580
Inktomi Corp.+ ......................... 65 12,675
NetZero, Inc.+ ......................... 190 2,898
Phone.com, Inc.+ ....................... 305 49,753
RealNetworks, Inc.+ .................... 30 1,708
Software.com, Inc.+ .................... 440 56,705
</TABLE>
----------------
56
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
Verio, Inc.+ ........................... 455 $ 20,503
Vignette Corp.+ ........................ 190 30,447
TELECOMMUNICATIONS -- 2.6%
China Telecom (Hong Kong) Ltd. ADR+ .... 200 35,450
JDS Uniphase Corp.+ .................... 960 115,740
Level 3 Communications, Inc.+ .......... 640 67,680
Motorola, Inc. ......................... 800 113,900
Nextel Communications, Inc.,
Class A+ ............................. 120 17,790
Nokia Corp. ADR......................... 2,695 585,489
Nortel Networks Corp. .................. 800 100,800
NTL, Inc.+ ............................. 335 31,092
QUALCOMM, Inc.+ ........................ 610 91,081
Sprint Corp. (PCS Group)+ .............. 910 59,434
Telefonaktiebolaget LM
Ericsson AB ADR....................... 710 66,607
Telefonaktiebolaget LM Ericsson AB,
Series B.............................. 319 28,062
Vodafone AirTouch PLC+ ................. 16,632 92,682
------------
4,301,503
------------
MATERIALS -- 0.1%
METALS & MINERALS -- 0.1%
Alcoa, Inc. ............................ 900 63,225
------------
UTILITIES -- 0.7%
ELECTRIC UTILITIES -- 0.0%
PECO Energy Co. ........................ 700 25,812
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .......................... 1,600 73,600
TELEPHONE -- 0.6%
AT&T Corp. ............................. 1,700 95,625
MCI WorldCom, Inc.+ .................... 1,500 67,969
Telefonica SA+ ......................... 1,530 38,677
Telefonos de Mexico SA ADR.............. 995 66,665
WinStar Communications, Inc.+ .......... 495 29,700
------------
398,048
------------
TOTAL COMMON STOCK (cost $5,834,593).... 8,618,869
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp., Series B
13.50% (1) (cost $11,023)............. 17 17,468
------------
</TABLE>
----------------
57
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES -- 72.7% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.2%
APPAREL & TEXTILES -- 0.0%
Westpoint Stevens, Inc. 7.88% 2008...... $ 5,000 $ 3,838
AUTOMOTIVE -- 0.2%
Accuride Corp., Series B 9.25% 2008..... 10,000 8,675
Delco Remy International, Inc. 8.63%
2007.................................. 25,000 23,000
Delco Remy International, Inc. 10.63%
2006.................................. 5,000 4,950
Dura Operating Corp., Series B 9.00%
2009.................................. 20,000 17,800
Federal-Mogul Corp. 7.50% 2009.......... 20,000 15,393
Federal-Mogul Corp. 8.80% 2007.......... 30,000 26,064
LDM Technologies, Inc., Series B 10.75%
2007.................................. 25,000 18,750
Lear Corp., Series B 8.11% 2009......... 15,000 13,444
HOUSING -- 0.2%
Engle Homes, Inc., Series C 9.25%
2008.................................. 10,000 8,050
Henry Co., Series B 10.00% 2008......... 20,000 14,375
Nortek, Inc., Series B 8.88% 2008....... 5,000 4,500
Nortek, Inc., Series B 9.25% 2007....... 25,000 23,187
Standard Pacific Corp. 8.50% 2007....... 20,000 17,550
Toll Corp. 8.13% 2009................... 15,000 12,863
Webb (Del E.) Corp. 10.25% 2010......... 25,000 20,687
RETAIL -- 0.8%
Disco SA 9.88% 2008..................... 20,000 17,550
Duane Reade, Inc. 9.25% 2008............ 50,000 46,750
Kroger Co. 7.38% 2005................... 55,000 53,954
Mattress Discounters Corp. 12.63%
2007(2)............................... 20,000 18,500
Sealy Mattress Co., Series B zero coupon
2007(3)............................... 5,000 3,556
Stater Brothers Holdings, Inc. 10.75%
2006.................................. 30,000 29,700
Vlasic Foods International, Inc.,
Series B 10.25% 2009.................. 20,000 12,550
Wal-Mart Stores, Inc. 7.55% 2030........ 230,000 234,645
------------
650,331
------------
CONSUMER STAPLES -- 1.7%
FOOD, BEVERAGE & TOBACCO -- 1.7%
Aurora Foods, Inc., Series B 8.75%
2008.................................. 10,000 3,775
Aurora Foods, Inc., Series D 9.88%
2007.................................. 15,000 5,663
B & G Foods, Inc. 9.63% 2007............ 25,000 20,063
Chiquita Brands International, Inc.
10.00% 2009........................... 20,000 15,450
CPC International, Inc., Series E 7.25%
2026.................................. 310,000 289,974
Del Monte Foods Co., Series B zero
coupon 2007(3)........................ 26,000 20,182
Nash Finch Co., Series B 8.50% 2008..... 35,000 27,562
Panamerican Beverages, Inc. 8.13%
2003.................................. 80,000 77,376
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018.................................. 300,000 279,255
Whitman Corp. 6.38% 2009................ 165,000 147,649
HOUSEHOLD PRODUCTS -- 0.0%
Royster-Clark, Inc. 10.25% 2009*........ 15,000 13,012
------------
899,961
------------
</TABLE>
----------------
58
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 2.8%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007......... $ 15,000 $ 14,062
Key Energy Services, Inc., Series B
14.00% 2009........................... 5,000 5,469
Pride Petroleum Services, Inc. 9.38%
2007.................................. 25,000 24,500
Tuboscope, Inc. 7.50% 2008.............. 30,000 25,742
ENERGY SOURCES -- 2.7%
Apache Finance Canada Corp. 7.75%
2029.................................. 330,000 315,995
Conoco, Inc. 5.90% 2004................. 120,000 114,284
Energy Corp. of America, Series A 9.50%
2007.................................. 45,000 31,500
Enron Corp. 6.75% 2004.................. 125,000 119,950
Husky Oil Ltd. 7.55% 2016............... 180,000 165,967
Newfield Exploration Co., Series B 7.45%
2007.................................. 120,000 112,030
Petroleos Mexicanos 9.38% 2008.......... 80,000 82,200
Petroleos Mexicanos, Series P 9.50%
2027.................................. 60,000 61,950
Plains Resources, Inc., Series B 10.25%
2006.................................. 10,000 9,612
Plains Resources, Inc., Series D 10.25%
2006.................................. 10,000 9,775
Tosco Corp. 8.13% 2030.................. 245,000 244,831
YPF Sociedad Anonima, Series C 10.00%
2028.................................. 150,000 169,527
------------
1,507,394
------------
FINANCE -- 16.2%
BANKS -- 2.8%
Bank of America Corp. 9.38% 2009........ 80,000 89,853
Credit National 7.00% 2005.............. 210,000 201,201
First Republic Bancorp 7.75% 2012....... 55,000 47,523
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007............. 245,000 234,159
Korea Development Bank 7.13% 2001....... 30,000 29,621
National City Corp. 7.20% 2005.......... 200,000 196,014
NBD Bank NA 8.25% 2024.................. 55,000 61,475
Popular, Inc., Series C 6.75% 2001...... 125,000 123,924
Royal Bank Scotland Group PLC 6.40%
2009.................................. 300,000 277,626
U.S. Bancorp 7.50% 2026................. 210,000 207,656
Werner Holdings Co., Inc., Series A
10.00% 2007........................... 10,000 9,375
Western Financial Bank 8.88% 2007....... 30,000 25,950
FINANCIAL SERVICES -- 6.9%
Aesop Funding II LLC 6.14% 2006*........ 120,000 113,650
Aesop Funding II LLC 6.22% 2001*........ 130,000 129,874
Aesop Funding II LLC 6.40% 2003*........ 100,000 97,659
Allstate Financing II 7.83% 2045........ 53,000 46,588
American General Finance Corp.,
Series E 6.25% 2002................... 300,000 291,504
Arcadia Financial Ltd. 11.50% 2007(2)... 10,000 10,462
Arcadia Financial Ltd. 11.50% 2007*..... 5,000 5,300
Asset Securitization Corp. 6.75% 2041... 85,000 80,788
AXA Finanical, Inc. 7.00% 2028.......... 130,000 118,929
Chase Credit Card Master Trust 6.19%
2005.................................. 190,000 185,712
Crown Castle International Corp. zero
coupon 2007#(3)....................... 45,000 31,219
CS First Boston Mortgage Securities
Corp. 7.24% 2029...................... 110,000 108,947
Dime Capital Trust I, Series A 9.33%
2027.................................. 45,000 44,124
Finova Capital Corp. 6.63% 2001......... 125,000 123,376
Finova Capital Corp., Series C 6.39%
2002.................................. 95,000 91,626
Fleet Mortgage Group, Inc., Series A
6.84% 2003............................ 50,000 49,123
</TABLE>
----------------
59
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
GE Capital Mortgage Services, Inc. 6.25%
2023.................................. $ 8,932 $ 8,868
General Electric Capital Corp. 8.70%
2007.................................. 250,000 270,915
General Motors Acceptance Corp. 7.63%
2003.................................. 130,000 130,369
Liberty Financial Cos., Inc. 6.75%
2008.................................. 130,000 121,370
PNC Funding Corp. 7.50% 2009............ 300,000 300,036
Popular North America, Inc., Series D
6.63% 2002............................ 40,000 38,783
Principal Financial Group 8.20% 2009*... 340,000 338,218
Private Export Funding Corp., Series C
6.31% 2004............................ 100,000 97,533
Private Export Funding Corp., Series NN
7.30% 2002............................ 265,000 266,200
Private Export Funding Corp., Series YY
7.03% 2003............................ 100,000 100,215
RBF Finance Co. 11.38% 2009............. 35,000 37,756
Sun Canada Financial Co. 6.63% 2007*.... 160,000 151,325
Tembec Finance Corp. 9.88% 2005......... 15,000 15,112
Tembec Industries, Inc. 8.63% 2009...... 5,000 4,762
Toyota Motor Credit Corp. 5.63% 2003.... 150,000 142,497
U.S. West Capital Funding, Inc. 6.25%
2005.................................. 165,000 156,103
INSURANCE -- 6.5%
AAG Holding Co., Inc. 6.88% 2008........ 120,000 110,144
Abbey National PLC, Series E 6.69%
2005.................................. 270,000 259,926
Ace Capital Trust II 9.70% 2030......... 310,000 312,559
American Financial Group, Inc. 7.13%
2009.................................. 70,000 63,676
Amerus Life Holdings, Inc. 6.95% 2005... 250,000 232,437
CIGNA Corp. 7.40% 2007.................. 95,000 93,941
CIGNA Corp. 7.88% 2027.................. 40,000 38,487
CIGNA Corp. 8.25% 2007.................. 75,000 77,561
Everest Reinsurance Holdings Co. 8.75%
2010.................................. 300,000 304,377
Farmers Insurance Exchange 8.50%
2004*................................. 290,000 301,310
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019*.......... 350,000 335,790
Jackson National Life Insurance Co.
8.15% 2027*........................... 49,000 49,931
Lumbermens Mutual Casualty Co. 8.30%
2037*................................. 85,000 75,372
Metropolitan Life Insurance Co. 7.70%
2015.................................. 140,000 138,448
Prudential Insurance Co. 6.88% 2003*.... 355,000 349,462
Reliastar Financial Corp. 8.00% 2006.... 225,000 223,956
Safeco Capital Trust I 8.07% 2037....... 290,000 252,164
Travelers Property Casualty Corp. 7.75%
2026.................................. 340,000 342,567
------------
8,775,428
------------
HEALTHCARE -- 1.2%
DRUGS -- 0.0%
Warner Chilcott, Inc. 12.63% 2008*...... 10,000 9,888
HEALTH SERVICES -- 0.5%
Beverly Enterprises, Inc. 9.00% 2006.... 15,000 12,694
Columbia/HCA Healthcare Corp. 7.00%
2007.................................. 5,000 4,400
Columbia/HCA Healthcare Corp. 7.25%
2008.................................. 25,000 22,187
HEALTHSOUTH Corp. 6.88% 2005............ 120,000 104,458
Lifepoint Hospitals Holdings, Inc.,
Series B 10.75% 2009.................. 15,000 15,075
Tenet Healthcare Corp. 7.88% 2003....... 50,000 47,875
Tenet Healthcare Corp., Series B 8.13%
2008.................................. 20,000 18,200
Triad Hospitals Holdings, Inc.,
Series B 11.00% 2009.................. 25,000 25,125
</TABLE>
----------------
60
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.7%
ALARIS Medical, Inc. zero coupon
2008(3)............................... $ 35,000 $ 11,506
Beckman Instruments, Inc. 7.10% 2003.... 75,000 71,925
Beckman Instruments, Inc. 7.45% 2008.... 25,000 22,654
Bio-Rad Labs, Inc. 11.63% 2007*......... 5,000 5,012
Cardinal Health 7.00% 2026.............. 270,000 260,053
Mediq PRN Life Support Services, Inc.
11.00% 2008........................... 25,000 2,438
------------
633,490
------------
INDUSTRIAL & COMMERCIAL -- 3.2%
AEROSPACE & MILITARY TECHNOLOGY -- 1.0%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009........................... 35,000 35,612
K & F Industries, Inc., Series B 9.25%
2007.................................. 40,000 37,200
Raytheon Co. 8.20% 2006*................ 234,000 236,544
SCL Term Aereo Santiago SA 6.95%
2012*................................. 250,000 231,286
BUSINESS SERVICES -- 1.4%
Allied Waste North America, Inc.,
Series B 7.63% 2006................... 40,000 33,700
Boise Cascade Office Products Corp.
7.05% 2005............................ 225,000 214,447
Federal Express Corp. 6.72% 2022........ 176,477 166,702
Fisher Scientific International, Inc.
9.00% 2008............................ 20,000 18,200
Iron Mountain, Inc. 8.13% 2008.......... 5,000 4,350
Iron Mountain, Inc. 8.75% 2009.......... 15,000 13,350
Neenah Corp., Series F 11.13% 2007...... 10,000 8,900
Owens & Minor, Inc. 10.88% 2006......... 10,000 10,263
Waste Management, Inc. 7.00% 2006....... 170,000 148,468
Waste Management, Inc. 7.13% 2007....... 200,000 174,678
World Color Press, Inc. 8.38% 2008...... 20,000 19,125
MACHINERY -- 0.1%
Grove Worldwide, Inc. LLC 9.25% 2008.... 20,000 8,800
Numatics, Inc., Series B 9.63% 2008..... 10,000 8,112
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007................... 5,000 4,538
Westinghouse Air Brake Co., Series B2
9.38% 2005............................ 10,000 9,775
MULTI-INDUSTRY -- 0.6%
American Standard, Inc. 7.63% 2010...... 15,000 13,350
Eaton Corp. 7.65% 2029.................. 280,000 275,074
Prestolite Electric, Inc. 9.63% 2008.... 20,000 12,350
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020................... 50,000 58,646
------------
1,743,470
------------
INFORMATION & ENTERTAINMENT -- 2.9%
BROADCASTING & MEDIA -- 2.3%
Adelphia Communications Corp., Series B
8.38% 2008............................ 15,000 13,350
Allbritton Communications Co., Series B
8.88% 2008............................ 20,000 18,000
AMC Entertainment, Inc. 9.50% 2009...... 50,000 25,500
American Media Operations, Inc. 10.25%
2009*................................. 20,000 19,550
Benedek Communications Corp. zero coupon
2006(3)............................... 35,000 32,069
Cablevision SA 13.75% 2009.............. 10,000 10,075
Century Communications Corp., Series B
zero coupon 2008(3)................... 65,000 26,650
</TABLE>
----------------
61
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Charter Communication Holdings LLC 8.63%
2009.................................. $ 45,000 $ 39,600
Classic Cable, Inc. 10.50% 2010*........ 15,000 14,888
Comcast Cable Communications Corp. 8.50%
2027.................................. 80,000 83,221
Echostar DBS Corp. 9.38% 2009........... 55,000 53,075
Emmis Communications Corp., Series B
8.13% 2009............................ 5,000 4,688
Frontiervision Holdings LP zero coupon
2007(3)............................... 30,000 26,400
Frontiervision Holdings LP, Series B
zero coupon 2007(3)................... 20,000 17,525
Granite Broadcasting Corp. 8.88% 2008... 25,000 21,500
LIN Holdings Corp. zero coupon
2008(3)............................... 65,000 40,137
News America Holdings, Inc. 8.00%
2016.................................. 330,000 321,770
RCN Corp. zero coupon 2008(3)........... 50,000 29,250
Scholastic Corp. 7.00% 2003............. 85,000 82,567
Sullivan Graphics, Inc. 12.75% 2005..... 30,000 31,050
Sun Media Corp. 9.50% 2007.............. 15,000 14,475
TCI Communications, Inc. 8.00% 2005..... 50,000 51,336
Tele-Communications, Inc. 7.25% 2005.... 40,000 39,761
Tele-Communications, Inc. 9.25% 2002.... 60,000 62,384
TV Guide, Inc. 8.13% 2009............... 25,000 24,750
Viacom, Inc. 7.75% 2005................. 80,000 80,606
Young Broadcasting, Inc., Series B 8.75%
2007.................................. 30,000 26,250
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00%
2008.................................. 45,000 44,606
True Temper Sports, Inc., Series B
10.88% 2008........................... 25,000 23,656
LEISURE & TOURISM -- 0.5%
Aztar Corp. 8.88% 2007.................. 20,000 18,100
Continental Airlines, Inc., Series A
6.65% 2017............................ 72,152 65,728
Continental Airlines, Inc., Series B
6.47% 2004............................ 89,663 85,389
Hollywood Casino Corp. 11.25% 2007...... 10,000 10,050
John Q. Hammons Hotels, Inc. 8.88%
2004.................................. 10,000 8,850
Loews Cineplex Entertainment Corp. 8.88%
2008.................................. 45,000 29,475
Station Casinos, Inc. 8.88% 2008........ 30,000 27,750
Tricon Global Restaurants, Inc. 7.65%
2008.................................. 30,000 28,356
------------
1,552,387
------------
INFORMATION TECHNOLOGY -- 1.5%
COMMUNICATION EQUIPMENT -- 0.1%
Concentric Network Corp. 12.75% 2007.... 35,000 36,487
ELECTRONICS -- 0.2%
Advanced Micro Devices, Inc. 11.00%
2003.................................. 5,000 4,950
Amphenol Corp. 9.88% 2007............... 3,000 3,105
Fairchild Semiconductor Corp. 10.13%
2007.................................. 25,000 24,250
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008................... 20,000 17,400
SCG Holdings & Semiconductor Co.,
Series B 12.00% 2009*................. 30,000 32,025
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.50%
2009.................................. 15,000 13,913
PSINet, Inc. 11.00% 2009................ 10,000 9,675
PSINet, Inc. 11.50% 2008................ 15,000 14,812
PSINet, Inc., Series B 10.00% 2005...... 25,000 23,625
Verio, Inc. 10.38% 2005................. 10,000 9,650
</TABLE>
----------------
62
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
Verio, Inc. 11.25% 2008................. $ 10,000 $ 9,900
TELECOMMUNICATIONS -- 1.1%
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004.................. 15,000 15,450
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(3).......... 10,000 9,200
Alaska Communications Holdings, Inc.
9.38% 2009............................ 25,000 22,625
AMSC Acquisition Co., Inc., Series B
12.25% 2008........................... 5,000 3,938
BTI Telecom Corp. 10.50% 2007........... 10,000 8,825
Clearnet Communications, Inc. zero
coupon 2009(3)........................ 20,000 11,425
Compania de Telecomunicaciones de Chile
7.63% 2006............................ 50,000 48,051
Compania de Telecomunicaciones de Chile
8.38% 2006............................ 60,000 59,447
e.Spire Communications, Inc. zero coupon
2008(3)............................... 35,000 14,000
GCI, Inc. 9.75% 2007.................... 60,000 56,250
Globalstar LP 10.75% 2004............... 15,000 5,400
GST Network Funding, Inc. zero coupon
2008(3)............................... 25,000 10,219
GT Group Telecom, Inc. zero coupon
2010*(2)(3)........................... 15,000 8,400
Insight Midwest LP 9.75% 2009*.......... 5,000 4,975
Iridium LLC, Series C 11.25% 2005(4)+... 15,000 150
Iridium LLC, Series D 10.88% 2005(4)+... 10,000 100
ITC DeltaCom, Inc. 9.75% 2008........... 15,000 14,737
KMC Telecom Holdings, Inc. zero coupon
2008(3)............................... 40,000 21,450
Level 3 Communications, Inc. 9.13%
2008.................................. 15,000 12,900
Level 3 Communications, Inc. 11.25%
2010*................................. 10,000 9,575
McLeodUSA, Inc. 9.25% 2007.............. 15,000 14,100
MJD Communications, Inc., Series B 9.50%
2008.................................. 10,000 9,513
Nextel Communications, Inc. 9.38%
2009.................................. 5,000 4,625
Nextel Communications, Inc. zero coupon
2007(3)............................... 90,000 61,650
NEXTLINK Communications, Inc. zero
coupon 2008(3)........................ 55,000 32,450
NEXTLINK Communications, Inc. zero
coupon 2009(3)........................ 15,000 8,475
NTL Communications Corp., Series B zero
coupon 2008(3)........................ 55,000 35,475
Rogers Cantel, Inc. 9.38% 2008.......... 10,000 10,150
RSL Communications PLC 12.00% 2008...... 30,000 28,537
Satelites Mexicanos SA de CV, Series B
10.13% 2004........................... 20,000 16,800
Telecommunications Techniques Co. LLC
9.75% 2008............................ 25,000 22,656
Time Warner Telecom, Inc. 9.75% 2008.... 15,000 14,700
------------
796,040
------------
MATERIALS -- 2.4%
CHEMICALS -- 1.3%
Acetex Corp. 9.75% 2003................. 30,000 27,075
Avecia Group PLC 11.00% 2009............ 30,000 30,075
Georgia Gulf Corp. 10.38% 2007*......... 5,000 5,056
Huntsman Corp. 9.50% 2007*.............. 15,000 13,650
ICI Wilmington, Inc. 6.95% 2004......... 320,000 310,093
Lyondell Chemical Co. 9.80% 2020........ 20,000 17,600
Lyondell Chemical Co., Series B 9.88%
2007.................................. 55,000 52,250
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007................... 15,000 12,638
Praxair, Inc. 6.75% 2003................ 195,000 189,729
Scotts Co. 8.63% 2009*.................. 10,000 9,300
Sovereign Specialty Chemicals, Inc.
11.88% 2010*.......................... 10,000 9,950
Texas Petrochemical Corp., Series B
11.13% 2006........................... 35,000 28,612
</TABLE>
----------------
63
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 0.9%
Boise Cascade Co., Series A 9.90%
2001.................................. $ 80,000 $ 82,011
Doman Industries Ltd. 12.00% 2004....... 30,000 30,450
Gaylord Container Corp., Series B 9.38%
2007.................................. 15,000 13,725
International Paper Co. 8.10% 2009...... 100,000 103,402
Packaging Corp. of America 9.63% 2009... 10,000 9,725
Repap New Brunswick, Inc. 9.00% 2004.... 10,000 9,600
Sonoco Products Co. 7.00% 2004.......... 270,000 263,412
METALS & MINERALS -- 0.2%
AK Steel Corp. 7.88% 2009............... 10,000 9,050
Algoma Steel, Inc. 12.38% 2005.......... 20,000 19,500
BWay Corp., Series B 10.25% 2007........ 20,000 18,050
Consumers Packaging, Inc. 9.75% 2007.... 10,000 5,275
LTV Corp. 11.75% 2009*.................. 15,000 14,663
Neenah Corp., Series B 11.13% 2007...... 10,000 8,900
P & L Coal Holdings Corp., Series B
9.63% 2008............................ 20,000 17,950
Weirton Steel Corp. 11.38% 2004......... 5,000 5,100
------------
1,316,841
------------
MUNICIPAL BONDS -- 1.9%
MUNICIPAL BONDS -- 1.9%
Allentown Pennsylvania 6.20% 2005....... 290,000 277,913
Fresno County California Pension
Obligation 6.07% 2003................. 100,000 96,361
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002......... 200,000 197,326
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003.................. 105,000 101,252
Miami Florida Revenue 7.25% 2003........ 130,000 130,519
Phoenix Arizona Civic Improvement Corp.
6.30% 2008............................ 100,000 93,987
Southern California Public Power
Authority Project 6.93% 2017.......... 125,000 118,601
------------
1,015,959
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.3%
FOREIGN GOVERNMENT -- 0.3%
Republic of Lithuania 7.13% 2002*....... 53,000 50,615
Republic of Philippines 10.63% 2025..... 111,000 105,385
------------
156,000
------------
REAL ESTATE -- 1.0%
REAL ESTATE COMPANIES -- 1.0%
E.O.P. Operating LP 6.38% 2003.......... 120,000 115,471
E.O.P. Operating LP 8.38% 2006.......... 230,000 232,436
Post Apartment Homes LP 7.02% 2001...... 130,000 129,952
Susa Partnership LP 6.95% 2006.......... 95,000 86,805
------------
564,664
------------
U.S. GOVERNMENT & AGENCIES -- 33.7%
U.S. GOVERNMENT & AGENCIES -- 33.7%
Federal Home Loan Mortgage Corp. 6.00%
2013.................................. 362,829 341,850
Federal Home Loan Mortgage Corp. 6.00%
2028.................................. 472,565 430,478
Federal Home Loan Mortgage Corp. 6.50%
2022.................................. 160,000 151,899
</TABLE>
----------------
64
<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. 6.50%
2023.................................. $ 96,000 $ 89,880
Federal Home Loan Mortgage Corp. 7.00%
2023.................................. 45,000 43,861
Federal Home Loan Mortgage Corp. 7.50%
2023.................................. 24,946 24,673
Federal Home Loan Mortgage Corp. 7.50%
2027.................................. 302,017 297,768
Federal Home Loan Mortgage Corp. 7.50%
2028.................................. 247,248 243,768
Federal Home Loan Mortgage Corp. 7.75%
2022.................................. 129,866 129,987
Federal Home Loan Mortgage Corp. 8.50%
2008.................................. 165,087 166,860
Federal Home Loan Mortgage Corp. 8.50%
2019.................................. 40,178 41,123
Federal National Mortgage Association
5.25% 2003............................ 510,000 486,412
Federal National Mortgage Association
5.65% 2005............................ 11,907 11,829
Federal National Mortgage Association
5.75% 2008............................ 740,000 677,100
Federal National Mortgage Association
6.00% 2014............................ 446,801 420,967
Federal National Mortgage Association
6.00% 2014............................ 189,747 178,776
Federal National Mortgage Association
6.00% 2028............................ 221,396 201,608
Federal National Mortgage Association
6.00% 2028............................ 732,266 666,816
Federal National Mortgage Association
6.18% 2008............................ 24,550 22,901
Federal National Mortgage Association
6.27% 2007............................ 83,264 78,256
Federal National Mortgage Association
6.30% 2008............................ 19,638 18,449
Federal National Mortgage Association
6.30% 2008............................ 24,437 22,987
Federal National Mortgage Association
6.34% 2008............................ 19,323 18,241
Federal National Mortgage Association
6.36% 2008............................ 127,467 120,710
Federal National Mortgage Association
6.39% 2006............................ 19,127 18,222
Federal National Mortgage Association
6.43% 2008............................ 24,435 23,156
Federal National Mortgage Association
6.50% 2013............................ 408,031 393,110
Federal National Mortgage Association
6.59% 2007............................ 97,579 93,362
Federal National Mortgage Association
6.90% 2007............................ 298,498 290,582
Federal National Mortgage Association
6.98% 2007............................ 23,409 22,876
Federal National Mortgage Association
7.04% 2007............................ 77,822 76,263
Federal National Mortgage Association
7.28% 2006............................ 43,673 43,275
Federal National Mortgage Association
7.39% 2021............................ 47,064 47,043
Federal National Mortgage Association
7.50% TBA............................. 200,000 196,282
Federal National Mortgage Association
7.75% 2021............................ 200,000 200,750
Federal National Mortgage Association
8.00% 2006............................ 30,495 30,761
Government National Mortgage Association
6.50% 2029............................ 397,892 375,260
Government National Mortgage Association
7.00% 2023............................ 13,671 13,316
Government National Mortgage Association
7.00% 2023............................ 18,510 18,030
Government National Mortgage Association
7.00% 2023............................ 16,257 15,835
Government National Mortgage Association
7.25% 2027............................ 401,048 393,653
Government National Mortgage Association
7.50% 2022............................ 15,586 15,538
Government National Mortgage Association
7.50% 2023............................ 57,152 56,937
Government National Mortgage Association
7.50% 2027............................ 373,100 370,417
Government National Mortgage Association
8.50% 2017............................ 32,097 33,090
Government National Mortgage Association
8.50% 2017............................ 14,040 14,474
Government National Mortgage Association
9.00% 2021............................ 11,628 12,053
Overseas Private Investment Corp.,
Series 96-A 6.99% 2009................ 136,944 134,752
United States Treasury Bonds 5.25%
2028.................................. 335,000 299,825
United States Treasury Bonds 5.50%
2028.................................. 35,000 32,452
United States Treasury Bonds 8.13%
2021.................................. 120,000 147,356
United States Treasury Bonds 9.00%
2018.................................. 2,642,000 3,447,387
United States Treasury Bonds 9.25%
2016.................................. 1,800,000 2,342,250
United States Treasury Bonds 11.88%
2003.................................. 580,000 677,602
United States Treasury Bonds 12.00%
2013.................................. 1,625,000 2,194,254
</TABLE>
----------------
65
<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 4.75%
2008.................................. $ 475,000 $ 428,835
United States Treasury Notes 5.50%
2009.................................. 150,000 142,851
United States Treasury Notes 5.63%
2008.................................. 200,000 192,156
United States Treasury Notes 5.75%
2001.................................. 273,000 270,611
United States Treasury Notes 6.63%
2001.................................. 100,000 100,172
United States Treasury Strip Bonds zero
coupon 2012........................... 325,000 155,122
------------
18,207,109
------------
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 0.9%
Conectiv, Inc. 6.38% 2005............... 75,000 72,566
Public Service Electric & Gas Co.,
Series A 8.88% 2003................... 47,000 48,698
ScottishPower PLC, Series H 6.38%
2008.................................. 250,000 237,190
UtiliCorp United, Inc. 6.88% 2004....... 90,000 86,214
WESCO Distribution, Inc., Series B 9.13%
2008.................................. 20,000 17,350
GAS & PIPELINE UTILITIES -- 0.3%
Azurix Corp. 10.75% 2010*............... 10,000 9,975
Enron Corp. 9.63% 2006.................. 135,000 146,027
TELEPHONE -- 1.4%
Alestra SA DE RL DE CV 12.13% 2006...... 55,000 55,137
GTE Corp. 6.36% 2006.................... 220,000 207,238
Intermedia Communications, Inc.,
Series B 8.88% 2007................... 30,000 27,000
Intermedia Communications, Inc.,
Series B 9.50% 2009................... 10,000 9,250
Intermedia Communications, Inc.,
Series B zero coupon 2009(3).......... 25,000 14,438
MCI Communications Corp. 6.13%
2002(5)............................... 55,000 53,776
MCI WorldCom, Inc. 7.55% 2004........... 230,000 231,037
Sprint Capital Corp. 6.13% 2008......... 180,000 163,870
Viatel, Inc. 11.25% 2008................ 25,000 22,250
------------
1,402,016
------------
TOTAL BONDS & NOTES (cost
$40,874,066).......................... 39,221,090
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*(6)
(cost $55)............................ 20 50
------------
TOTAL INVESTMENT SECURITIES (cost
$46,719,737).......................... 47,857,477
------------
<CAPTION>
SHORT-TERM SECURITIES -- 8.6% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.6%
Cincinnati Milacron, Inc. 7.88% due
5/15/00............................... $ 135,000 134,890
Cleveland Electric Illuminating Co.,
Series B 7.19% due 7/01/00............ 65,000 64,926
Ford Motor Credit Co. 7.02% due
10/10/00.............................. 125,000 125,236
------------
325,052
------------
</TABLE>
----------------
66
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.3%
Government of France 4.00% due
7/12/00............................... $ 745,000 $ 713,838
------------
U.S. GOVERNMENT & AGENCIES -- 6.7%
Federal Home Loan Bank Consolidated
Discount Notes 6.05% due 4/03/00...... 500,000 499,832
Federal National Mortgage Association
5.63% due 3/15/01..................... 515,000 509,850
United States Treasury Notes 4.63% due
11/30/00.............................. 175,000 173,059
United States Treasury Notes 4.88% due
3/31/01............................... 1,800,000 1,773,558
United States Treasury Notes 5.00% due
2/28/01............................... 520,000 513,661
United States Treasury Notes 5.75% due
10/31/00.............................. 150,000 149,484
------------
3,619,444
------------
TOTAL SHORT-TERM SECURITIES (cost
$4,733,800)........................... 4,658,334
------------
<CAPTION>
REPURCHASE AGREEMENT -- 1.4%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.4%
Swiss Bank Corp. Joint Repurchase
Agreement Account (Note 3) (cost
$770,000)............................. 770,000 770,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $52,223,537) 98.6% 53,285,811
Other assets less liabilities -- 1.4 751,684
---------- ------------
NET ASSETS -- 100.0% $ 54,037,495
========== ============
</TABLE>
-------------
+ Non-income producing securities
# Security represents an investment in an affiliated company; See Note 7
* Resale restricted to qualified institutional buyers
(1) PIK -- ("Payment in Kind") payment made with additonal securities in lieu of
cash
(2) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Bond in default
(5) Variable rate security; rate as of March 31, 2000
(6) Fair valued security; see Note 2
ADR -- American Depository Receipt
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity will be determined upon settlement date.
----------------
67
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
--------------------------------------------------------
IN GROSS
CONTRACT EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE APPRECIATION
--------------------------------------------------------
<S> <C> <C> <C>
USD* 171,720 EUR 180,000 4/07/00 $ 721
EUR* 25,000 USD 25,991 4/07/00 2,041
EUR* 55,000 USD 55,979 4/07/00 3,289
EUR* 115,000 USD 125,316 4/07/00 15,145
EUR* 25,000 USD 27,101 4/07/00 3,151
EUR* 15,000 USD 15,897 4/07/00 1,526
EUR* 20,000 USD 21,013 4/07/00 1,853
EUR* 30,000 USD 30,541 4/07/00 1,800
USD* 42,859 EUR 45,000 4/14/00 272
EUR* 50,000 USD 50,920 4/14/00 2,997
EUR 15,000 USD 15,283 4/14/00 906
EUR 20,000 USD 19,832 4/20/00 654
EUR* 20,000 USD 20,752 6/09/00 1,509
EUR* 25,000 USD 24,987 6/09/00 933
EUR* 10,000 USD 10,022 6/09/00 401
EUR* 135,000 USD 141,210 6/09/00 11,321
EUR* 35,000 USD 36,687 6/09/00 3,012
EUR* 30,000 USD 31,079 6/09/00 2,215
EUR* 25,000 USD 25,892 6/09/00 1,838
EUR* 25,000 USD 24,384 9/08/00 178
EUR 30,000 USD 29,170 9/08/00 123
USD* 3,803 JPY 400,000 4/07/00 98
-------
55,983
-------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
-----------------------------------------------------------
USD* 41,417 EUR 40,000 4/07/00 (3,097)
USD* 20,179 EUR 20,000 4/07/00 (1,019)
USD* 27,533 EUR 25,000 4/07/00 (3,583)
USD* 20,230 EUR 20,000 4/07/00 (1,070)
USD* 96,299 EUR 100,000 6/09/00 (85)
USD* 29,271 EUR 30,000 6/09/00 (407)
USD* 127,604 EUR 125,000 6/09/00 (7,336)
USD* 25,418 EUR 25,000 6/09/00 (1,365)
USD* 19,397 EUR 20,000 9/08/00 (32)
EUR 180,000 USD 173,702 9/22/00 (747)
JPY* 400,000 USD 3,863 4/07/00 (38)
JPY 1,700,000 USD 16,480 4/20/00 (142)
JPY 200,000 USD 1,850 4/20/00 (105)
JPY 400,000 USD 3,756 9/14/00 (255)
JPY 100,000 USD 982 9/14/00 (20)
JPY 400,000 USD 3,916 9/22/00 (101)
--------
(19,402)
--------
Net Unrealized Appreciation.............. $ 36,581
========
</TABLE>
-------------
* Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counderparty settlement risk.
<TABLE>
<S> <C> <C>
EUR -- Euro Dollar
JPY -- Japenese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
68
<PAGE>
----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 65.8%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 4.1%
APPAREL & TEXTILES -- 0.3%
Gucci Group NV.......................... 3,090 $ 274,817
Swatch Group AG+ ....................... 170 40,139
Swatch Group AG, Class B................ 170 198,292
AUTOMOTIVE -- 0.6%
Bayerische Motoren Werke AG............. 9,702 307,969
Delphi Automotive Systems Corp. ........ 1 16
Ford Motor Co. ......................... 6,137 281,918
General Motors Corp.@................... 4,735 392,117
HOUSING -- 0.3%
CRH PLC GDR............................. 12,769 229,255
Lowe's Cos., Inc. ...................... 2,525 147,397
RETAIL -- 2.9%
Albertson's, Inc. ...................... 2,515 77,965
Bulgari SpA............................. 5,900 65,309
CVS Corp. .............................. 7,320 274,957
Federated Department Stores, Inc.+ ..... 6,505 271,584
Home Depot, Inc. ....................... 16,400 1,057,800
J.C. Penny Co., Inc. ................... 1,500 22,313
Kmart Corp. + .......................... 17,332 167,904
Kohl's Corp.+ .......................... 1,500 153,750
Kojima Co, Ltd. ........................ 500 14,391
Kroger Co.+ ............................ 2,200 38,638
May Department Stores Co. .............. 2,988 85,158
Rite Aid Corp. ......................... 6,370 35,035
Sears, Roebuck & Co. ................... 1,000 30,875
Staples, Inc.+ ......................... 2,800 56,000
Tandy Corp. ............................ 7,200 365,400
Target Corp. ........................... 6,645 496,714
Tesco PLC+ ............................. 58,284 194,867
TJX Cos., Inc. ......................... 16,925 375,523
Wal-Mart Stores, Inc. .................. 15,800 876,900
------------
6,533,003
------------
CONSUMER STAPLES -- 2.2%
FOOD, BEVERAGE & TOBACCO -- 1.2%
Anheuser-Busch Cos., Inc. .............. 6,090 379,102
ConAgra, Inc. .......................... 2,410 43,681
Danone.................................. 324 71,667
Diageo PLC+ ............................ 20,447 154,060
General Mills, Inc. .................... 1,400 50,663
Heinz (H.J.) & Co. ..................... 4,530 157,984
</TABLE>
----------------
69
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Kellogg Co. ............................ 5,185 $ 132,866
Nabisco Group Holdings Corp. ........... 1,100 13,200
Nabisco Holdings Corp., Class A......... 1,311 42,198
PepsiCo, Inc. .......................... 9,175 317,111
Philip Morris Cos., Inc. ............... 7,776 164,268
Quaker Oats Co. ........................ 2,821 171,023
Seagram Co., Ltd. ...................... 3,400 202,300
HOUSEHOLD PRODUCTS -- 1.0%
Avon Products, Inc. .................... 900 26,156
Clorox Co. ............................. 1,100 35,750
Colgate-Palmolive Co. .................. 6,000 338,250
Estee Lauder Cos., Inc., Class A........ 6,700 335,419
Kimberly-Clark Corp. ................... 11,460 641,760
Newell Rubbermaid, Inc. ................ 4,200 104,213
Shiseido Co., Ltd. ..................... 13,000 176,642
------------
3,558,313
------------
ENERGY -- 5.0%
ENERGY SERVICES -- 0.4%
Halliburton Co. ........................ 5,075 208,075
Schlumberger Ltd. ...................... 3,090 236,385
Tosco Corp. ............................ 3,285 99,987
Transocean Sedco Forex, Inc. ........... 693 35,560
ENERGY SOURCES -- 4.6%
Atlantic Richfield Co. ................. 400 34,000
BP Amoco PLC............................ 35,520 329,553
BP Amoco PLC ADR........................ 5,437 288,501
Burlington Resources, Inc. ............. 2,060 76,220
Chevron Corp. .......................... 2,735 252,817
Conoco, Inc., Class A................... 17,970 442,511
Conoco, Inc., Class B................... 7,592 194,545
Enron Corp. ............................ 9,700 726,288
Exxon Mobil Corp. ...................... 22,692 1,765,721
Occidental Petroleum Corp. ............. 4,300 89,225
Royal Dutch Petroleum Co. GDR........... 17,000 978,562
Shell Transport & Trading Co. PLC....... 108,837 904,519
Suncor Energy, Inc. .................... 1,200 51,906
Texaco, Inc. ........................... 2,745 147,201
Total Fina SA, Class B+................. 7,689 1,152,247
------------
8,013,823
------------
FINANCE -- 9.5%
BANKS -- 3.0%
AmSouth Bancorp......................... 948 14,161
Banca Popolare di Brescia+ ............. 1,233 129,754
Bank of America Corp. .................. 11,823 619,969
Bank of New York Co., Inc. ............. 5,240 217,787
Bank One Corp. ......................... 8,919 306,591
</TABLE>
----------------
70
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Barclays PLC............................ 6,419 $ 171,691
Charter One Financial, Inc. ............ 2,020 42,420
Chase Manhattan Corp. .................. 2,618 228,257
Comerica, Inc. ......................... 3,195 133,791
DBS Group Holdings Ltd. ADR............. 6,141 81,076
Fifth Third Bancorp..................... 5,000 315,000
First Union Corp. ...................... 8,235 306,754
Firstar Corp. .......................... 24,994 573,300
Huntington Bancshares, Inc. ............ 1,500 33,563
Julius Baer Holdings Ltd., Class B...... 73 274,900
Keppel TatLee Bank Ltd. ................ 32,000 61,689
Lincoln National Corp. ................. 4,620 154,770
MBNA Corp. ............................. 950 24,225
National City Corp. .................... 7,010 144,581
Northern Trust Corp. ................... 1,600 108,100
Overseas Chinese Bank Corp. Ltd. ....... 6,400 39,631
Overseas Union Bank..................... 12,074 54,311
PNC Bank Corp. ......................... 5,495 247,618
St. Paul Cos., Inc. .................... 1,600 54,600
Summit Bancorp.......................... 870 22,838
SunTrust Banks, Inc. ................... 1,460 84,315
Synovus Financial Corp. ................ 2,150 40,581
U.S. Bancorp............................ 8,750 191,406
Zions Bancorp........................... 1,800 74,925
FINANCIAL SERVICES -- 5.1%
American Express Co. ................... 4,200 625,537
American General Corp. ................. 5,736 321,933
Associates First Capital Corp.,
Class A................................ 1,200 25,725
Charles Schwab Corp. ................... 5,500 312,469
Citigroup, Inc.@........................ 32,370 1,919,946
Compagnie Financiere Richemont AG....... 178 452,402
Credit Suisse Group..................... 824 164,071
Fannie Mae@............................. 6,760 381,518
Fleet Boston Financial Corp. ........... 9,618 351,057
Freddie Mac@............................ 2,275 100,527
Household International, Inc. .......... 3,620 135,071
HPY Holding SA.......................... 546 22,873
ING Groep NV+ .......................... 6,330 343,069
Investor AB+ ........................... 24,129 377,540
Lehman Brothers Holdings, Inc. ......... 1,300 126,100
Mellon Financial Corp. ................. 3,400 100,300
Merrill Lynch & Co., Inc. .............. 2,890 303,450
Morgan (J.P.) & Co., Inc. .............. 708 93,279
Morgan Stanley, Dean Witter & Co. ...... 2,500 203,906
Nikko Securities Co., Ltd. ............. 52,000 787,104
Nomura Securities Co., Ltd. ............ 12,000 391,565
Paine Webber Group, Inc. ............... 1,530 67,320
Washington Mutual, Inc. ................ 7,572 200,658
Wells Fargo & Co. ...................... 11,000 450,312
</TABLE>
----------------
71
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE -- 1.4%
Aetna, Inc. ............................ 600 $ 33,412
AFLAC, Inc. ............................ 800 36,450
Allstate Corp. ......................... 6,980 166,211
American International Group, Inc.(1)... 5,812 636,414
Aon Corp. .............................. 5,655 182,374
AXA SA de CV............................ 2,580 365,878
Chubb Corp. ............................ 3,105 209,782
CIGNA Corp. ............................ 6,235 472,301
Hartford Financial Services Group,
Inc. .................................. 3,680 194,120
------------
15,307,278
------------
HEALTHCARE -- 5.2%
DRUGS -- 3.9%
Abbott Laboratories, Inc. .............. 11,830 416,268
Allergan, Inc. ......................... 2,900 145,000
American Home Products Corp. ........... 10,260 550,193
Amgen, Inc.+ ........................... 8,200 503,275
Ares-Serono Group....................... 111 417,999
AstraZeneca Group PLC+ ................. 4,700 188,568
Aventis SA+ ............................ 5,685 310,289
Bristol-Myers Squibb Co.@............... 17,320 1,000,230
Eisai Co., Ltd.+ ....................... 3,000 79,043
Elan Corp. PLC+ ........................ 4,427 215,091
Genentech, Inc.+ ....................... 1,600 243,200
Immunex Corp.+ ......................... 5,100 323,531
Merck & Co., Inc. ...................... 10,160 631,190
Pharmacia & Upjohn, Inc. ............... 8,275 490,294
Warner-Lambert Co. ..................... 7,600 741,000
HEALTH SERVICES -- 0.1%
Columbia/HCA Healthcare Corp. .......... 2,340 59,231
Tenet Healthcare Corp.+ ................ 7,601 174,823
MEDICAL PRODUCTS -- 1.2%
Akzo Nobel NV........................... 5,724 244,453
Baxter International, Inc. ............. 5,181 324,784
Johnson & Johnson Co. .................. 3,100 217,194
PE Corp-PE Biosystems Group............. 1,600 154,400
Sanofi-Synthelabo SA+ .................. 7,258 276,953
Schering-Plough Corp. .................. 18,350 674,363
------------
8,381,372
------------
INDUSTRIAL & COMMERCIAL -- 8.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Boeing Co. ............................. 12,295 466,442
Lockheed Martin Corp. .................. 9,340 190,886
Raytheon Co., Class A................... 1,600 30,100
Raytheon Co., Class B................... 635 11,271
Rockwell International Corp. ........... 6,435 269,063
</TABLE>
----------------
72
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 3.0%
Bouygues SA+............................ 24 $ 18,546
Bouygues SA ............................ 374 296,526
Corning, Inc. .......................... 1,800 349,200
Electronic Data Systems Corp. .......... 10,915 700,607
General Electric Co. ................... 10,700 1,660,506
Hutchison Whampoa Ltd. ................. 4,000 72,176
Interpublic Group of Cos., Inc. ........ 8,800 415,800
Olivetti SpA............................ 55,870 200,619
Owens-Illinois, Inc. + ................. 3,100 52,312
Service Corp. International+ ........... 6,100 18,300
Solectron Corp.+ ....................... 3,600 144,225
Sumitomo Corp. ......................... 11,000 133,288
SYSCO Corp. ............................ 6,270 223,761
Waste Management, Inc. ................. 13,910 190,393
WPP Group PLC........................... 16,277 282,469
ELECTRICAL EQUIPMENT -- 0.6%
Emerson Electric Co. ................... 6,155 325,446
NEC Corp.+ ............................. 19,283 569,108
Siebe PLC+ ............................. 25,973 115,681
MACHINERY -- 0.4%
Cooper Industries, Inc. ................ 3,725 130,375
Fuji Machine Manufacturing Co., Ltd. ... 400 29,728
Illinois Tool Works, Inc. .............. 1,500 82,875
Sandvik AB, Class A+ ................... 1,879 48,347
Sandvik AB, Class B+ ................... 2,480 64,386
United Technologies Corp. .............. 4,700 296,981
MULTI-INDUSTRY -- 3.1%
Avery Dennison Corp. ................... 4,900 299,206
Clariant AG+ ........................... 391 147,241
Granada Group PLC+ ..................... 40,348 432,322
Honeywell International, Inc. .......... 2,270 119,601
Minnesota Mining & Manufacturing Co. ... 3,320 294,028
Monsanto Co. ........................... 10,675 549,763
Sara Lee Corp. ......................... 12,050 216,900
Smiths Industries PLC+ ................. 12,010 145,129
Tyco International Ltd. ................ 33,700 1,680,787
Viacom, Inc., Class B+ ................. 14,842 782,915
Vivendi SA.............................. 3,332 384,462
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp. ..... 12,000 265,500
Li & Fung Ltd.+ ........................ 4,000 18,648
UAL Corp.+ ............................. 500 29,938
Union Pacific Corp. .................... 2,100 82,162
------------
12,838,019
------------
</TABLE>
----------------
73
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 6.0%
BROADCASTING & MEDIA -- 4.4%
Aegis Group PLC+ ....................... 35,101 $ 108,416
ASATSU-DK, Inc.+ ....................... 500 25,374
AT&T Corp. -- Liberty Media Group,
Class A+ .............................. 16,000 948,000
Cable & Wireless Optus Ltd.+ ........... 36,500 146,118
Carlton Communications PLC.............. 28,920 349,010
CBS Corp.+ ............................. 6,900 390,712
Clear Channel Communications, Inc.+ .... 6,600 455,812
Comcast Corp., Class A+ ................ 8,240 357,410
EchoStar Communications Corp.,
Class A+ .............................. 2,400 189,600
EMAP PLC................................ 5,500 97,198
EMI Group PLC........................... 20,043 216,991
Fuji Television Network, Inc. .......... 2 34,676
Grupo Televisa SA GDR + ................ 1,604 109,072
Havas Advertising SA.................... 447 241,834
Kadokawa Shoten Publishing Co., Ltd. ... 100 23,718
McGraw-Hill Cos., Inc. ................. 3,325 151,288
MediaOne Group, Inc.+ .................. 1,563 126,603
Mediaset SpA+ .......................... 19,079 379,266
News Corp., Ltd. ADR.................... 9,961 560,306
Nippon Television Network Corp. ........ 160 113,612
Nippon Television Network Corp. ........ 160 112,210
Omnicom Group, Inc. .................... 2,100 196,219
Publicis SA+ ........................... 298 159,796
Singapore Press Holdings Ltd. .......... 1,000 15,948
Societe Television Francaise............ 344 253,636
Telefonica Publicidad e
Informacion SA+ ....................... 1,350 59,076
Time Warner, Inc. ...................... 7,100 710,000
Times Mirror Co., Class A............... 1,476 137,176
Tribune Co. ............................ 2,000 73,125
VoiceStream Wireless Corp.+ ............ 2,355 303,405
Wolters Kluwer NV....................... 1,800 41,366
ENTERTAINMENT PRODUCTS -- 1.2%
Eastman Kodak Co. ...................... 4,728 256,790
Koninklijke Philips Electronics NV...... 4,611 775,320
SONY Corp. ............................. 3,300 466,079
SONY Corp.+ ............................ 3,300 469,293
LEISURE & TOURISM -- 0.4%
Delta Air Lines, Inc. .................. 1,300 69,225
Walt Disney Co. ........................ 13,175 545,115
------------
9,668,795
------------
INFORMATION TECHNOLOGY -- 18.9%
COMMUNICATION EQUIPMENT -- 1.2%
Alcatel+ ............................... 785 172,359
Cisco Systems, Inc.+@................... 22,400 1,731,800
COMPUTER SERVICES -- 0.7%
Computer Associates International,
Inc. .................................. 3,060 181,114
i2 Technologies, Inc.+ ................. 1,200 146,550
Misys PLC+ ............................. 200 2,812
</TABLE>
----------------
74
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
Sun Microsystems, Inc.+ ................ 7,800 $ 730,884
VeriSign, Inc.+ ........................ 900 134,550
COMPUTERS & BUSINESS EQUIPMENT -- 2.8%
Apple Computer, Inc.+ .................. 3,700 502,506
Brocade Communications Systems, Inc. ... 1,100 197,244
Compaq Computer Corp. .................. 7,620 202,882
Dell Computer Corp.+ ................... 9,100 490,831
EMC Corp.+ ............................. 4,500 562,500
Fujitsu Ltd. ........................... 10,600 325,233
Gateway, Inc.+ ......................... 1,200 63,600
Hewlett-Packard Co. .................... 5,665 750,967
International Business Machines
Corp. ................................. 8,277 976,686
Lexmark International Group, Inc.,
Class A+ .............................. 2,385 252,214
NCR Corp. + ............................ 2,050 82,256
Seagate Technology, Inc.+ .............. 1,520 91,580
Xerox Corp. ............................ 2,260 58,760
COMPUTER SOFTWARE -- 1.9%
BMC Software, Inc.+ .................... 1,715 84,678
Microsoft Corp.+ ....................... 17,000 1,806,250
Oracle Corp.+ .......................... 8,400 655,725
VERITAS Software Corp.+ ................ 3,300 432,300
ELECTRONICS -- 3.5%
Advantest Corp.+ ....................... 1,100 233,468
Applied Materials, Inc.+ ............... 6,200 584,350
Chartered Semiconductors Manufacturing
Ltd.+ ................................. 20,000 189,274
Hon Hai Precision Industry Co.,
Ltd. GDR+ ............................. 1,300 44,590
Intel Corp. ............................ 10,400 1,372,150
KYOCERA Corp. ADR....................... 3,800 635,153
Linear Technology Corp. ................ 4,000 220,000
LSI Logic Corp.+ ....................... 2,500 181,563
Nintendo Co., Ltd. ..................... 800 140,652
Samsung Electronics Ltd. GDR*........... 2,946 524,388
SCI Systems, Inc.+ ..................... 4,000 215,250
Sharp Corp. ............................ 300 6,414
Texas Instruments, Inc. ................ 2,800 448,000
Toshiba Corp.+ ......................... 35,000 356,597
Winbond Electronics Corp. GDR+*......... 2,800 82,250
Xilinx, Inc.+ .......................... 5,800 480,312
INTERNET CONTENT -- 0.2%
Yahoo!, Inc.+ .......................... 1,700 291,338
INTERNET SOFTWARE -- 0.3%
America Online, Inc.+ .................. 5,900 396,775
Ariba, Inc.+ ........................... 300 62,888
TELECOMMUNICATIONS -- 8.3%
BCE, Inc. .............................. 5,935 739,332
Cable & Wireless
Communications PLC+ ................... 12,947 217,466
Cable & Wireless PLC.................... 18,447 346,266
Carso Global Telecom+ .................. 34,452 105,929
</TABLE>
----------------
75
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
China Telecom (Hong Kong) Ltd. ADR+ .... 89,000 $ 782,953
Comverse Technology, Inc.+ ............. 1,400 264,600
Deutsche Lufthansa AG................... 4,195 96,406
France Telecom SA....................... 1,492 257,160
Global Crossing Ltd.+ .................. 3,500 143,281
JDS Uniphase Corp.+ .................... 4,800 578,700
KDD Corp. .............................. 637 53,608
Korea Telecom Corp. .................... 1,640 71,750
Motorola, Inc. ......................... 11,120 1,583,210
Nextel Communications, Inc.,
Class A+ .............................. 3,800 563,350
Nippon Telegraph & Telephone Corp.+ .... 60 952,613
Nokia Corp. ............................ 5,898 1,248,126
Nokia Corp. ADR......................... 3,800 825,550
Nortel Networks Corp. .................. 1 125
Nortel Networks Corp. .................. 5,500 693,000
QUALCOMM, Inc.+ ........................ 4,300 642,044
Sprint Corp. (PCS Group)+ .............. 4,700 306,969
Telefonaktiebolaget LM Ericsson AB,
Series B............................... 10,788 949,014
Telesp Celular Participacoes SA ADR..... 3,666 207,816
Vodafone AirTouch PLC ADR............... 6,000 333,375
Vodafone AirTouch PLC................... 248,814 1,386,479
------------
30,450,815
------------
MATERIALS -- 1.4%
CHEMICALS -- 0.6%
Air Products & Chemicals, Inc. ......... 890 25,309
Dow Chemical Co. ....................... 2,705 308,370
du Pont (E.I.) de Nemours & Co. ........ 6,349 335,703
Eastman Chemical Co. ................... 1,795 81,673
PPG Industries, Inc. ................... 1,995 104,364
Praxair, Inc. .......................... 5,000 208,125
FOREST PRODUCTS -- 0.5%
International Paper Co. ................ 2,495 106,661
Sealed Air Corp.+ ...................... 4,100 222,681
Stora Enso Oyj+ ........................ 6,579 70,557
Stora Enso Oyj, Class A................. 1,400 15,350
Temple-Inland, Inc. .................... 710 35,367
Weyerhaeuser Co. ....................... 6,200 353,400
METALS & MINERALS -- 0.3%
Alcoa, Inc. ............................ 1,810 127,152
Freeport-McMoRan Copper & Gold, Inc.,
Class A+ .............................. 2,945 32,763
Freeport-McMoRan Copper & Gold, Inc.,
Class B+ .............................. 2,275 27,442
Lafarge SA.............................. 1,850 157,838
Pohang Iron & Steel Co., Ltd............ 300 29,511
Pohang Iron & Steel Co., Ltd. ADR....... 1,700 46,750
SKF AB Series A+ ....................... 2,356 51,063
------------
2,340,079
------------
</TABLE>
----------------
76
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.2%
Cheung Kong (Holdings) Ltd. ............ 17,000 $ 254,349
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Equity Residential Properties Trust..... 2,534 101,835
Starwood Hotels & Resorts Worldwide,
Inc., Class B.......................... 3,550 93,187
------------
449,371
------------
UTILITIES -- 5.2%
ELECTRIC UTILITIES -- 0.9%
Carolina Power & Light Co. ............. 2,800 90,825
Consolidated Edison, Inc. .............. 6,235 180,815
Dominion Resources Inc. ................ 2,091 80,373
Duke Energy Corp. ...................... 5,440 285,600
Edison International.................... 3,350 55,484
Entergy Corp. .......................... 8,011 161,722
Pacific Gas & Electric Corp. ........... 2,630 55,230
Public Service Enterprise Group,
Inc. .................................. 2,435 72,137
ScottishPower PLC....................... 21,519 173,700
Sempra Energy........................... 3,214 53,835
Texas Utilities Co. .................... 7,586 225,209
GAS & PIPELINE UTILITIES -- 0.4%
El Paso Energy Corp. ................... 4,800 193,800
Reliant Energy, Inc. ................... 3,800 89,063
Williams Cos., Inc. .................... 7,840 344,470
TELEPHONE -- 3.9%
ALLTEL Corp. ........................... 7,400 466,663
AT&T Corp. ............................. 14,458 813,262
Bell Atlantic Corp. .................... 9,360 572,130
BellSouth Corp. ........................ 9,465 444,855
DDI Corp.+ ............................. 35 286,027
GTE Corp. .............................. 7,234 513,614
Helsingin Puhelin Oyj+ ................. 400 38,685
NetCom AB, Series B+ ................... 220 18,996
SBC Communications, Inc. ............... 22,465 943,530
Sonera Oyj.............................. 2,893 197,515
Sprint Corp. ........................... 13,865 873,495
Telecom Italia Mobile SpA............... 20,268 248,806
Telecomunicacoes de Sao
Paulo SA ADR........................... 2,900 86,094
Telefonica SA+ ......................... 12,994 328,479
Telefonos de Mexico SA ADR.............. 7,022 470,474
------------
8,364,888
------------
TOTAL COMMON STOCK (cost $88,699,304)... 105,905,756
------------
</TABLE>
----------------
77
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.1%
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
RETAIL -- 0.0%
Kmart Financing I Convertible 7.75%..... 1,380 $ 59,426
INFORMATION TECHNOLOGY -- 0.1%
COMPUTER SERVICES -- 0.1%
SAP AG.................................. 194 138,209
------------
TOTAL PREFERRED STOCK (cost $226,107)... 197,635
------------
<CAPTION>
BONDS & NOTES -- 16.9% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.2%
AUTOMOTIVE -- 0.2%
DaimlerChrysler AG, Series B 7.45%
2097................................... $ 25,000 23,339
DaimlerChrysler North American Holding
Co. 7.20% 2009......................... 140,000 138,392
Delphi Automotive Systems Corp. 6.13%
2004................................... 110,000 103,642
------------
265,373
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Fortune Brands, Inc. 7.13% 2004*........ 80,000 78,741
HOUSEHOLD PRODUCTS -- 0.1%
Procter & Gamble Co. 6.88% 2009......... 210,000 204,557
------------
283,298
------------
ENERGY -- 0.2%
ENERGY SERVICES -- 0.1%
CMS Panhandle Holding Co. 6.13% 2004.... 60,000 56,795
Petroleum Geo-Services 7.50% 2007....... 100,000 97,216
ENERGY SOURCES -- 0.1%
Amerada Hess Corp. 7.88% 2029........... 115,000 111,498
Conoco, Inc. 5.90% 2004................. 35,000 33,333
------------
298,842
------------
FINANCE -- 3.6%
BANKS -- 1.0%
Bank of America Corp. 5.88% 2009........ 205,000 182,741
Bank of America Corp. 6.88% 2005........ 45,000 44,050
Chase Manhattan Corp. 6.00% 2009........ 80,000 72,364
Citicorp, Series F 6.38% 2008........... 150,000 138,722
CS First Boston Mortgage Securities
Corp. 7.29% 2009....................... 563,000 552,246
First Union National Bank 7.88% 2010.... 75,000 76,215
First Union National Bank 8.05% 2002.... 20,000 20,253
Fleet Boston Corp. 7.38% 2009........... 150,000 146,422
Merita Bank Ltd. 6.50% 2006............. 10,000 9,370
National Westminster Bank PLC 7.38%
2009................................... 135,000 131,659
Norwest Corp., Series J 6.75% 2027...... 25,000 21,710
St. Paul Bancorp 7.13% 2004............. 100,000 96,904
</TABLE>
----------------
78
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Wilmington Trust Corp. 6.63% 2008....... $ 105,000 $ 97,591
FINANCIAL SERVICES -- 2.5%
Advanta Mortgage Loan Trust 6.69%
2017................................... 7,879 7,672
Advanta Mortgage Loan Trust 7.05%
2021................................... 5,296 5,235
Associates Corp. of North America 6.50%
2002................................... 240,000 236,383
Chase Manhattan Bank-First Union
National Bank 7.13% 2007............... 62,952 62,101
Citigroup, Inc. 6.63% 2028.............. 5,000 4,321
Commercial Mortgage Acceptance Corp.
6.03% 2008............................. 90,000 82,097
Commercial Mortgage Asset Trust 6.64%
2010................................... 125,000 117,391
DLJ Commercial Mortgage Corp. 6.11%
2007................................... 268,164 254,954
DLJ Commercial Mortgage Corp. 7.34%
2009................................... 40,000 39,508
FINOVA Capital Corp. 7.25% 2004......... 70,000 67,924
FINOVA Capital Corp. 7.40% 2007......... 50,000 47,528
First Union Institute Capital I 8.04%
2026................................... 125,000 116,122
Ford Motor Credit Co. 5.80% 2009........ 65,000 57,584
Ford Motor Credit Co. 6.55% 2002........ 60,000 58,823
Ford Motor Credit Co. 7.38% 2009........ 125,000 122,458
Ford Motor Credit Co. 8.00% 2002........ 40,000 40,450
GE Capital Mortgage Services, Inc. 7.65%
2000................................... 25,000 24,959
General Motors Acceptance Corp. 5.75%
2003................................... 250,000 236,932
General Motors Acceptance Corp. 6.63%
2002................................... 40,000 39,239
GMAC Commercial Mortgage Security Inc.
6.18% 2033............................. 605,000 551,309
Goldman Sachs Group, Inc., Series B
7.35% 2009............................. 155,000 150,906
Green Tree Financial Corp. 6.24% 2016... 90,000 87,862
Harley-Davidson Eaglemark Motorcycle
Trust 6.20% 2003....................... 94,030 92,423
Heller Financial, Inc. 6.00% 2004....... 90,000 85,243
Household Finance Corp. 5.88% 2009...... 380,000 333,853
LB Commercial Conduit Mortgage Trust
6.41% 2007............................. 247,055 236,912
Merrill Lynch & Co., Inc. 6.00% 2009.... 60,000 53,548
Merrill Lynch Mortgage Investors, Inc.
6.22% 2030............................. 474,679 457,714
Morgan Stanley Capital I, Inc. 6.19%
2007*.................................. 30,504 29,304
Mortgage Capital Funding, Inc. 6.33%
2007................................... 44,405 42,585
Mortgage Capital Funding, Inc. 6.42%
2007................................... 43,618 42,075
Newcourt Credit Group, Inc., Series B
6.88% 2005............................. 65,000 62,985
PaineWebber Group, Inc., Series C 6.65%
2002................................... 135,000 131,855
PNC Mortgage Securities Corp. 6.60%
2027................................... 8,550 8,447
Sears Roebuck Acceptance Corp. 6.88%
2017................................... 65,000 57,060
INSURANCE -- 0.1%
Hartford Life 7.10% 2007................ 75,000 72,425
Hartford Life 7.65% 2027................ 20,000 19,270
------------
5,727,704
------------
INDUSTRIAL & COMMERCIAL -- 0.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Boeing Co. 6.63% 2038................... 80,000 69,640
Lockheed Martin Corp. 7.25% 2006........ 185,000 177,291
Lockheed Martin Corp. 8.50% 2029........ 65,000 65,177
Raytheon Co. 8.30% 2010*................ 140,000 142,703
</TABLE>
----------------
79
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 0.0%
Hertz Corp. 7.00% 2028.................. $ 65,000 $ 58,391
MULTI-INDUSTRY -- 0.0%
Tyco International Group SA 6.25%
2003(2)................................ 25,000 23,846
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp. 6.13%
2009................................... 150,000 135,117
Continental Airlines, Inc. 6.54% 2009... 53,957 51,291
Continental Airlines, Inc. 6.80% 2007... 25,941 24,672
Union Pacific Corp. 7.38% 2009.......... 150,000 145,998
------------
894,126
------------
INFORMATION & ENTERTAINMENT -- 0.1%
BROADCASTING & MEDIA -- 0.1%
News America Holdings, Inc. 7.70%
2025................................... 65,000 60,454
Time Warner, Inc. 6.63% 2029............ 135,000 115,042
------------
175,496
------------
INFORMATION TECHNOLOGY -- 0.2%
COMPUTERS & BUSINESS EQUIPMENT -- 0.1%
International Business Machines Corp.
6.50% 2028............................. 205,000 185,187
TELECOMMUNICATIONS -- 0.1%
TCI Communciations, Inc. 8.65% 2004..... 215,000 225,889
------------
411,076
------------
MATERIALS -- 0.2%
CHEMICALS -- 0.2%
Du Pont E.I. De Nemours & Co. 6.88%
2009................................... 205,000 198,983
Nova Chemicals Corp. 7.40% 2009......... 50,000 48,070
Union Carbide Corp. 6.25% 2003.......... 45,000 43,524
------------
290,577
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Province of Ontario 5.50% 2008.......... 160,000 143,118
------------
U.S. GOVERNMENT & AGENCIES -- 11.2%
U.S. GOVERNMENT & AGENCIES -- 11.2%
Federal Home Loan Mortgage Corp. 6.00%
2006@.................................. 123,734 118,638
Federal Home Loan Mortgage Corp. 6.00%
2029@.................................. 299,467 272,701
Federal Home Loan Mortgage Corp. 6.00%
2029@.................................. 998,777 910,133
Federal Home Loan Mortgage Corp. 6.63%
2009@.................................. 1,517,000 1,458,686
Federal Home Loan Mortgage Corp. 8.50%
2028@.................................. 82,150 83,767
Federal Home Loan Mortgage Corp. 9.00%
2024@.................................. 196,967 205,338
Federal National Mortgage Association
5.75% 2003@............................ 105,000 101,358
Federal National Mortgage Association
6.00% 2008@............................ 930,000 863,300
Federal National Mortgage Association
6.00% 2014@............................ 228,680 215,458
Federal National Mortgage Association
6.00% 2014............................. 26,318 24,780
Federal National Mortgage Association
6.00% 2014@............................ 463,039 435,917
</TABLE>
----------------
80
<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
6.00% 2029@............................ $ 44,701 $ 40,705
Federal National Mortgage Association
6.00% 2029@............................ 82,542 75,165
Federal National Mortgage Association
6.00% 2029............................. 299 273
Federal National Mortgage Association
6.00% 2029............................. 696,926 635,158
Federal National Mortgage Association
6.00% 2029@............................ 618,060 562,817
Federal National Mortgage Association
6.00% 2029@............................ 51,676 47,041
Federal National Mortgage Association
6.00% 2029@............................ 1,579,941 1,438,726
Federal National Mortgage Association
6.00% 2030@............................ 527,623 480,300
Federal National Mortgage Association
6.63% 2009@............................ 70,000 67,320
Federal National Mortgage Association
7.00% 2011@............................ 16,346 16,062
Federal National Mortgage Association
7.00% 2011@............................ 83,869 82,374
Federal National Mortgage Association
7.00% 2012@............................ 125,907 123,663
Federal National Mortgage Association
7.00% 2028@............................ 369,227 356,647
Federal National Mortgage Association
7.00% 2029@............................ 182,287 175,224
Federal National Mortgage Association
7.00% 2030@............................ 464,640 446,635
Federal National Mortgage Association
7.50% 2008@............................ 135,047 135,475
Federal National Mortgage Association
7.50% TBA.............................. 172,871 169,927
Federal National Mortgage Association
8.00% 2027@............................ 94,639 95,081
Federal National Mortgage Association
8.00% 2028@............................ 60,334 60,504
Federal National Mortgage Association
9.00% 2026@............................ 11,540 11,882
Federal National Mortgage Association
9.00% 2026@............................ 19,638 20,221
Government National Mortgage Association
5.50% 2014............................. 404,288 372,365
Government National Mortgage Association
6.50% 2028............................. 66,507 62,766
Government National Mortgage Association
7.00% 2023............................. 58,244 56,734
Government National Mortgage Association
7.00% 2024............................. 130,256 126,795
Government National Mortgage Association
7.00% 2025............................. 30,869 30,000
Government National Mortgage Association
7.00% 2026............................. 141,443 137,377
Government National Mortgage Association
7.00% 2028............................. 200,188 193,994
Government National Mortgage Association
7.00% 2028............................. 93,397 90,507
Government National Mortgage Association
7.00% 2028............................. 37,579 36,416
Government National Mortgage Association
7.00% 2028............................. 112,553 109,211
Government National Mortgage Association
7.00% 2028............................. 27,894 27,031
Government National Mortgage Association
7.00% 2028............................. 265,705 257,484
Government National Mortgage Association
7.50% 2013............................. 397,329 398,867
Government National Mortgage Association
7.50% 2023............................. 41,033 40,879
Government National Mortgage Association
8.00% 2017............................. 445,000 453,620
Government National Mortgage Association
8.00% 2022............................. 109,041 110,779
Government National Mortgage Association
8.00% 2026............................. 120,263 121,559
Government National Mortgage Association
9.50% 2017............................. 48,626 51,171
Government National Mortgage Association
10.00% 2025............................ 66,052 70,338
United States Treasury Bonds 6.13%
2029@.................................. 1,855,000 1,890,653
United States Treasury Bonds 6.25%
2030@.................................. 570,000 602,598
United States Treasury Notes 6.00%
2009@.................................. 488,000 481,822
United States Treasury Notes 6.13%
2001@.................................. 2,590,000 2,573,010
------------
18,027,252
------------
UTILITIES -- 0.4%
ELECTRIC UTILITIES -- 0.2%
Arizona Public Services Co. 6.75%
2006................................... 160,000 151,560
NRG Northeast Generating LLC, Series A
8.07% 2004*............................ 120,000 119,700
</TABLE>
----------------
81
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES -- 0.1%
Kinder Morgan, Inc. 6.45% 2003.......... $ 150,000 $ 145,764
TELEPHONE -- 0.1%
GTE Corp. 6.46% 2008.................... 50,000 46,894
MCI WorldCom, Inc. 6.40% 2005........... 70,000 67,029
Sprint Capital Corp. 5.70% 2003......... 45,000 42,587
Sprint Capital Corp. 6.13% 2008......... 20,000 18,208
Sprint Capital Corp. 6.90% 2019......... 110,000 100,890
------------
692,632
------------
TOTAL BONDS & NOTES (cost
$27,262,297)........................... 27,209,494
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.0%
BROADCASTING & MEDIA -- 0.0%
Tokyo Broadcasting Corp. 11/17/00 (cost
$48,272)............................... 1,600 61,792
------------
TOTAL INVESTMENT SECURITIES (cost
$116,235,980).......................... 133,374,677
------------
<CAPTION>
SHORT-TERM SECURITIES -- 7.8% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.8%
Ciesco LP 6.10% due 4/14/00@............ $ 2,500,000 2,494,493
Popular, Inc. 6.40% due 8/25/00......... 100,000 99,741
PP&L Capital Funding, Inc., Series A
5.90% due 10/16/00..................... 40,000 39,815
Southern California Edison Co. 5.88% due
1/15/01................................ 100,000 99,100
Tokyo Broadcasting Corp. 3.15% due
10/30/00............................... 2,700 107,373
------------
2,840,522
------------
U.S. GOVERNMENT & AGENCIES -- 6.0%
Federal Home Loan Mortgage Discount
Notes 5.69% due 4/20/00................ 7,000,000 6,978,979
Federal Home Loan Mortgage Discount
Notes 5.90% due 4/07/00@............... 2,753,000 2,750,279
------------
9,729,258
------------
TOTAL SHORT-TERM SECURITIES (cost
$12,538,419)........................... 12,569,780
------------
</TABLE>
----------------
82
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENT -- 8.4% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 8.4%
Agreement with J.P. Morgan & Co., Inc,
bearing interest at 6.09% dated 3/31/00
to be repurchased 4/01/00 in the amount
of $13,505,851 and collateralized by
$13,499,000 of U.S. Treasury Notes,
bearing interest at 7.88% due 8/15/01
and having an approximate value of
$13,771,238 (cost $13,499,000)@........ $ 13,499,000 $ 13,499,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $142,273,399) 99.0% 159,443,457
Other assets less liabilities -- 1.0 1,614,694
-------- ------------
NET ASSETS -- 100.0% $161,058,151
======== ============
</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 7
(2) Variable rate security; rate as of March 31, 2000
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
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:
OPEN FUTURES CONTRACTS
<TABLE>
-----------------------------------------------------------------------------------------------------------------------
VALUE AS OF UNREALIZED
NUMBER OF EXPIRATION VALUE AT MARCH 31, APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE 2000 DEPRECIATION
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
62 Short CAC-40 Index April 2000 $ 3,877,208 $ 3,722,022 $ 155,186
Australian All Ordinaries
9 Short Index June 2000 448,676 433,729 14,947
5 Short Milan MIB 30 Index June 2000 1,135,898 1,106,818 29,080
54 Short FTSE 100 Index June 2000 5,595,339 5,681,446 (86,107)
7 Long German Stock Index June 2000 1,304,889 1,273,647 (31,242)
35 Long Standard & Poors 500 Index June 2000 12,202,202 13,258,875 1,056,873
16 Long Standard & Poors 500 Index June 2000 5,573,298 6,061,200 487,902
40 Long Nikkei-225 Index June 2000 3,837,582 3,899,610 62,028
30 Long U.S. 10 Year Note June 2000 2,866,415 2,942,343 75,928
----------
Net Unrealized Appreciation.................................................... $1,764,595
==========
</TABLE>
See Notes to Financial Statements
----------------
83
<PAGE>
------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 96.9%
SHARES VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.2%
HOUSING -- 0.8%
Lowe's Cos., Inc. .......................................... 7,800 $ 455,325
Masco Corp. ................................................ 29,800 610,900
RETAIL -- 6.4%
Circuit City Stores, Inc. .................................. 13,200 803,550
CVS Corp. .................................................. 24,614 924,563
Home Depot, Inc. ........................................... 22,600 1,457,700
Kroger Co.+ ................................................ 38,600 677,913
Safeway, Inc.+ ............................................. 37,800 1,710,450
Staples, Inc.+ ............................................. 17,900 358,000
Target Corp. ............................................... 10,700 799,825
Wal-Mart de Mexico SA de CV ADR+ ........................... 11,200 279,970
Wal-Mart Stores, Inc. ...................................... 26,600 1,476,300
------------
9,554,496
------------
CONSUMER STAPLES -- 1.9%
FOOD, BEVERAGE & TOBACCO -- 1.5%
Compass Group PLC ADR ...................................... 52,000 675,560
PepsiCo, Inc. .............................................. 25,300 874,431
Philip Morris Cos., Inc. ................................... 23,600 498,550
HOUSEHOLD PRODUCTS -- 0.4%
Gillette Co. ............................................... 4,400 165,825
Kimberly-Clark Corp. ....................................... 6,700 375,200
------------
2,589,566
------------
ENERGY -- 4.1%
ENERGY SERVICES -- 1.0%
Baker Hughes, Inc. ......................................... 45,400 1,373,350
ENERGY SOURCES -- 3.1%
Chevron Corp. .............................................. 13,300 1,229,419
Exxon Mobil Corp. .......................................... 17,317 1,347,479
Royal Dutch Petroleum Co. GDR .............................. 25,600 1,473,600
------------
5,423,848
------------
FINANCE -- 14.5%
BANKS -- 3.0%
Bank of New York Co., Inc. ................................. 29,000 1,205,312
Chase Manhattan Corp. ...................................... 6,700 584,156
Firstar Corp. .............................................. 67,300 1,543,694
State Street Corp. ......................................... 6,400 620,000
FINANCIAL SERVICES -- 9.1%
Ambac Financial Group, Inc. ................................ 4,400 221,650
Associates First Capital Corp., Class A .................... 24,200 518,788
</TABLE>
----------------
84
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Capital One Financial Corp. ................................ 31,800 $ 1,524,412
Citigroup, Inc. ............................................ 50,475 2,993,798
Concord EFS, Inc.+ ......................................... 17,600 403,700
Fannie Mae ................................................. 23,000 1,298,062
Freddie Mac ................................................ 60,900 2,691,019
Mellon Financial Corp. ..................................... 20,900 616,550
Morgan Stanley, Dean Witter & Co. .......................... 11,800 962,438
Wells Fargo & Co. .......................................... 22,300 912,906
INSURANCE -- 2.4%
ACE Ltd. ................................................... 54,900 1,255,838
Fairfax Financial Holdings Ltd.+ ........................... 2,265 277,474
Hartford Financial Services Group, Inc. .................... 18,700 986,425
Mutual Risk Management Ltd. ................................ 14,300 286,000
PartnerRe Ltd. ............................................. 8,400 309,225
------------
19,211,447
------------
HEALTHCARE -- 10.8%
DRUGS -- 7.0%
American Home Products Corp. ............................... 18,000 965,250
Amgen, Inc.+ ............................................... 7,600 466,450
Bristol-Myers Squibb Co. ................................... 15,300 883,575
Eli Lilly & Co. ............................................ 10,600 667,800
Genentech, Inc.+ ........................................... 5,500 836,000
Merck & Co., Inc. .......................................... 10,700 664,738
Pfizer, Inc. ............................................... 33,000 1,206,562
Pharmacia & Upjohn, Inc. ................................... 24,100 1,427,925
Warner-Lambert Co. ......................................... 22,900 2,232,750
HEALTH SERVICES -- 2.0%
IMS Health, Inc. ........................................... 17,500 296,406
United HealthCare Corp. .................................... 15,900 948,038
Wellpoint Health Networks, Inc., + ......................... 20,000 1,397,500
MEDICAL PRODUCTS -- 1.8%
Baxter International, Inc. ................................. 16,600 1,027,050
MedImmune, Inc.+ ........................................... 2,600 452,725
PE Corp-PE Biosystems Group ................................ 4,500 434,250
Schering-Plough Corp. ...................................... 13,300 488,775
------------
14,395,794
------------
INDUSTRIAL & COMMERCIAL -- 11.8%
BUSINESS SERVICES -- 8.2%
Corning, Inc. .............................................. 10,600 2,056,400
First Data Corp. ........................................... 21,200 938,100
General Electric Co. ....................................... 16,000 2,483,000
Hutchison Whampoa Ltd. ..................................... 105,700 1,907,244
PSINet, Inc.+ .............................................. 11,100 377,574
Randstad Holding N.V.+ ..................................... 24,500 912,593
Rentokil Initial PLC ....................................... 63,500 165,043
Solectron Corp.+ ........................................... 30,100 1,205,881
</TABLE>
----------------
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Waters Corp.+ .............................................. 8,500 $ 809,625
MACHINERY -- 0.7%
Danaher Corp. .............................................. 10,700 545,700
United Technologies Corp. .................................. 6,100 385,444
MULTI-INDUSTRY -- 2.9%
Teleflex, Inc. ............................................. 8,100 287,550
Tomkins PLC ................................................ 108,240 344,658
Tyco International Ltd. .................................... 66,292 3,306,313
------------
15,725,125
------------
INFORMATION & ENTERTAINMENT -- 7.2%
BROADCASTING & MEDIA -- 4.9%
AT&T Corp. - Liberty Media Group, Class A+ ................. 19,600 1,161,300
CBS Corp.+ ................................................. 16,600 939,975
Charter Communications, Inc. ............................... 9,100 130,386
Clear Channel Communications, Inc.+ ........................ 11,100 766,594
Comcast Corp., Class A+ .................................... 14,700 637,613
Infinity Broadcasting Corp., Class A+ ...................... 20,800 673,400
Omnicom Group, Inc. ........................................ 9,400 878,312
Time Warner, Inc. .......................................... 9,200 920,000
VNU N.V. ................................................... 7,400 436,135
ENTERTAINMENT PRODUCTS -- 1.7%
Koninklijke Philips Electronics NV ......................... 7,600 1,277,908
SONY Corp. ................................................. 3,400 480,203
SONY Corp.+ ................................................ 3,400 483,514
LEISURE & TOURISM -- 0.6%
McDonald's Corp. ........................................... 5,600 210,350
Mirage Resorts, Inc.+ ...................................... 31,600 612,250
------------
9,607,940
------------
INFORMATION TECHNOLOGY -- 34.7%
COMMUNICATION EQUIPMENT -- 3.5%
Cisco Systems, Inc.+ ....................................... 51,000 3,942,937
Lucent Technologies, Inc. .................................. 11,000 668,250
COMPUTER SERVICES -- 3.0%
Automatic Data Processing, Inc. ............................ 21,300 1,027,725
Ceridian Corp.+ ............................................ 18,600 356,888
Computer Associates International, Inc. .................... 17,600 1,041,700
Getronics NV+ .............................................. 3,819 292,185
Softbank Corp. ............................................. 500 445,624
Sun Microsystems, Inc.+ .................................... 8,400 787,106
COMPUTERS & BUSINESS EQUIPMENT -- 3.0%
Dell Computer Corp.+ ....................................... 35,400 1,909,388
Fujitsu Ltd. ............................................... 20,000 613,646
Hewlett-Packard Co. ........................................ 9,100 1,206,319
Lexmark International Group, Inc., Class A+ ................ 2,700 285,525
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SOFTWARE -- 7.8%
BMC Software, Inc.+ ........................................ 22,000 $ 1,086,250
Electronic Arts, Inc.+ ..................................... 8,000 569,500
Microsoft Corp.+ ........................................... 38,500 4,090,625
Oracle Corp.+ .............................................. 25,700 2,006,206
Parametric Technology Corp.+ ............................... 22,000 463,375
Peregrine Systems, Inc.+ ................................... 8,700 583,444
Siebel Systems, Inc.+ ...................................... 6,700 800,231
VERITAS Software Corp.+ .................................... 5,375 704,125
ELECTRONICS -- 8.9%
Altera Corp.+ .............................................. 16,800 1,499,400
Applied Materials, Inc.+ ................................... 16,400 1,545,700
Atmel Corp.+ ............................................... 4,500 232,313
Flextronics International Ltd.+ ............................ 21,200 1,493,275
Intel Corp. ................................................ 19,300 2,546,394
KYOCERA Corp. ADR .......................................... 4,500 752,155
Maxim Integrated Products, Inc.+ ........................... 23,700 1,684,181
PMC-Sierra, Inc.+ .......................................... 1,100 224,056
Texas Instruments, Inc. .................................... 11,600 1,856,000
INTERNET CONTENT -- 0.0%
World Online International NV+ ............................. 600 13,415
INTERNET SOFTWARE -- 2.2%
America Online, Inc.+ ...................................... 25,700 1,728,325
Ariba, Inc.+ ............................................... 900 188,663
E.piphany, Inc.+ ........................................... 2,500 333,906
Liberate Technologies ...................................... 5,700 357,675
Vitria Technology, Inc.+ ................................... 2,800 282,275
TELECOMMUNICATIONS -- 6.3%
JDS Uniphase Corp.+ ........................................ 7,000 843,938
Nextel Communications, Inc., Class A+ ...................... 11,000 1,630,750
NEXTLINK Communications, Inc., Class A+ .................... 7,500 927,656
Nokia Corp. ADR ............................................ 3,400 738,650
Nortel Networks Corp. ...................................... 10,400 1,310,400
Telefonaktiebolaget LM Ericsson AB, Series B ............... 4,600 404,659
Vodafone AirTouch PLC ADR .................................. 7,200 400,050
Vodafone AirTouch PLC ...................................... 389,166 2,168,572
------------
46,043,457
------------
REAL ESTATE -- 0.6%
REAL ESTATE COMPANIES -- 0.2%
Security Capital U.S. Realty ADR+ .......................... 13,600 224,400
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Starwood Hotels & Resorts Worldwide, Inc., Class B ......... 19,600 514,500
------------
738,900
------------
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 4.1%
TELEPHONE -- 4.1%
AT&T Corp. ................................................. 22,100 $ 1,243,125
MCI Worldcom, Inc.+ ........................................ 40,560 1,837,875
Sprint Corp. ............................................... 7,600 478,800
Telecom Italia Mobile SpA .................................. 139,900 669,806
Telecom Italia SpA+ ........................................ 13,200 197,178
Telecomunicacoes Brasileiras SA ADR ........................ 6,900 1,032,844
------------
5,459,628
------------
TOTAL INVESTMENT SECURITIES (cost $97,970,858).............. 128,750,201
------------
<CAPTION>
SHORT-TERM SECURITIES -- 1.6%
-------------------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.6%
T. Rowe Price Reserve Investment Fund (cost $2,127,822)..... 2,127,822 2,127,822
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $100,098,680) 98.5% 130,878,023
Other assets less liabilities -- 1.5 1,953,334
----- ------------
NET ASSETS -- 100.0% $132,831,357
===== ============
</TABLE>
-------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
----------------
88
<PAGE>
------------------
SEASONS SERIES TRUST
LARGE CAP
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 94.8%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 4.5%
AUTOMOTIVE -- 0.6%
Ford Motor Co. ....................................... 800 $ 36,750
General Motors Corp. ................................. 600 49,687
General Motors Corp., Class H+ ....................... 400 49,800
Harley-Davidson, Inc. ................................ 183 14,526
HOUSING -- 0.0%
Maytag Corp. ......................................... 112 3,710
RETAIL -- 3.9%
Bed Bath & Beyond, Inc.+ ............................. 169 6,654
Best Buy Co., Inc.+ .................................. 231 19,866
CVS Corp. ............................................ 500 18,781
Gap, Inc. ............................................ 1,006 50,111
Home Depot, Inc. ..................................... 6,088 392,676
Kohl's Corp.+ ........................................ 186 19,065
Kroger Co.+ .......................................... 965 16,948
Tandy Corp. .......................................... 726 36,845
Wal-Mart Stores, Inc. ................................ 7,970 442,335
Walgreen Co. ......................................... 3,627 93,395
------------
1,251,149
------------
CONSUMER STAPLES -- 3.9%
FOOD, BEVERAGE & TOBACCO -- 2.3%
Anheuser-Busch Cos., Inc. ............................ 545 33,926
Bestfoods ............................................ 300 14,044
Campbell Soup Co. .................................... 500 15,375
Coca-Cola Co. ........................................ 4,729 221,967
General Mills, Inc. .................................. 335 12,123
Heinz (H.J.) & Co. ................................... 429 14,961
Kellogg Co. .......................................... 424 10,865
Nabisco Group Holdings Corp. ......................... 2,800 33,600
PepsiCo, Inc. ........................................ 3,681 127,225
Philip Morris Cos., Inc. ............................. 1,500 31,688
Quaker Oats Co. ...................................... 168 10,185
Ralston-Ralston Purina Group ......................... 2,520 68,985
UST, Inc. ............................................ 200 3,125
Wrigley (WM.) Jr. Co. ................................ 614 47,163
HOUSEHOLD PRODUCTS -- 1.6%
Avon Products, Inc. .................................. 1,077 31,300
Colgate-Palmolive Co. ................................ 2,564 144,545
Gillette Co. ......................................... 1,823 68,704
Kimberly-Clark Corp. ................................. 945 52,920
Procter & Gamble Co. ................................. 2,198 123,638
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
Unilever NV .......................................... 668 $ 32,148
------------
1,098,487
------------
ENERGY -- 3.9%
ENERGY SERVICES -- 0.4%
Schlumberger Ltd. .................................... 1,300 99,450
Transocean Sedco Forex, Inc. ......................... 251 12,879
ENERGY SOURCES -- 3.5%
Atlantic Richfield Co. ............................... 200 17,000
Chevron Corp. ........................................ 400 36,975
Enron Corp. .......................................... 8,725 653,284
Exxon Mobil Corp. .................................... 2,192 170,565
Royal Dutch Petroleum Co. GDR ........................ 1,400 80,588
Texaco, Inc. ......................................... 400 21,450
Unocal Corp. ......................................... 300 8,925
------------
1,101,116
------------
FINANCE -- 5.1%
BANKS -- 1.9%
Bank of America Corp. ................................ 1,100 57,681
Bank of New York Co., Inc. ........................... 600 24,938
Chase Manhattan Corp. ................................ 200 17,438
Fifth Third Bancorp .................................. 2,065 130,095
Firstar Corp. ........................................ 3,155 72,368
MBNA Corp. ........................................... 3,623 92,386
State Street Corp. ................................... 1,500 145,312
FINANCIAL SERVICES -- 3.0%
Ambac Financial Group, Inc. .......................... 900 45,337
American Express Co. ................................. 760 113,192
Charles Schwab Corp. ................................. 2,056 116,806
Citigroup, Inc. ...................................... 2,250 133,453
Dow Jones & Co., Inc. ................................ 122 8,761
Dun & Bradstreet Corp. ............................... 200 5,725
E*TRADE Group, Inc.+ ................................. 4,180 125,922
Fannie Mae ........................................... 1,700 95,944
Freddie Mac .......................................... 2,100 92,794
Merrill Lynch & Co., Inc. ............................ 300 31,500
Providian Financial Corp. ............................ 172 14,900
SLM Holding Corp. .................................... 200 6,663
Wells Fargo & Co. .................................... 1,000 40,938
INSURANCE -- 0.2%
Equifax, Inc. ........................................ 100 2,525
Hartford Life, Inc., Class A ......................... 400 18,750
Nationwide Financial Services, Inc., Class A ......... 600 17,550
------------
1,410,978
------------
</TABLE>
----------------
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 8.1%
DRUGS -- 4.9%
Abbott Laboratories, Inc.@............................ 1,788 $ 62,915
Allergan, Inc.@ ...................................... 142 7,100
American Home Products Corp. ......................... 1,500 80,438
Amgen, Inc.+ ......................................... 1,764 108,265
Biogen, Inc.+ ........................................ 172 12,019
Bristol-Myers Squibb Co. ............................. 4,460 257,565
Eli Lilly & Co. ...................................... 1,843 116,109
Merck & Co., Inc. .................................... 3,863 239,989
Pfizer, Inc. ......................................... 7,211 263,652
Warner-Lambert Co. ................................... 2,279 222,202
HEALTH SERVICES -- 0.1%
Healtheon/WebMD Corp.+ ............................... 440 10,120
IMS Health, Inc. ..................................... 325 5,505
MEDICAL PRODUCTS -- 3.1%
Guidant Corp.+ ....................................... 334 19,643
Johnson & Johnson Co. ................................ 2,200 154,138
Medtronic, Inc. ...................................... 6,385 328,428
MiniMed, Inc.+ ....................................... 585 75,758
PE Corp-PE Biosystems Group .......................... 1,965 189,622
Schering-Plough Corp. ................................ 2,974 109,295
------------
2,262,763
------------
INDUSTRIAL & COMMERCIAL -- 5.8%
BUSINESS SERVICES -- 4.9%
Cendant Corp.+ ....................................... 2,100 38,850
Corning, Inc. ........................................ 713 138,322
First Data Corp. ..................................... 1,900 84,075
General Electric Co. ................................. 5,863 909,864
Interpublic Group of Cos., Inc. ...................... 335 15,829
Paychex, Inc. ........................................ 293 15,346
Solectron Corp.+ ..................................... 672 26,922
SYSCO Corp. .......................................... 399 14,239
TMP Worldwide, Inc.+ ................................. 1,545 120,124
Waste Management, Inc. ............................... 500 6,844
ELECTRICAL EQUIPMENT -- 0.0%
Emerson Electric Co. ................................. 100 5,287
MACHINERY -- 0.1%
Owens Corning Co. .................................... 42 814
United Technologies Corp. ............................ 300 18,956
MULTI-INDUSTRY -- 0.8%
Avery Dennison Corp. ................................. 122 7,450
Honeywell International, Inc. ........................ 200 10,537
Minnesota Mining & Manufacturing Co. ................. 700 61,994
Sara Lee Corp. ....................................... 1,007 18,126
Tyco International Ltd. .............................. 2,665 132,917
------------
1,626,496
------------
</TABLE>
----------------
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 12.0%
BROADCASTING & MEDIA -- 10.8%
A.H. Belo Corp. ...................................... 2,500 $ 44,687
ADC Telecommunications, Inc.+ ........................ 350 18,856
AMFM, Inc.+ .......................................... 800 49,700
AT&T Corp. - Liberty Media Group, Class A+ ........... 11,208 664,074
Cablevision Systems Corp., Class A+ .................. 1,925 116,944
CBS Corp.+ ........................................... 1,300 73,612
Central Newspapers, Inc., Class A .................... 700 23,538
Comcast Corp., Class A+ .............................. 5,720 248,105
Cox Communications, Inc., Class A+ ................... 1,795 87,057
Crown Castle International Corp.+# ................... 800 30,300
DoubleClick, Inc.+ ................................... 1,505 140,906
EchoStar Communications Corp., Class A+ .............. 400 31,600
Gannett Co., Inc. .................................... 500 35,188
Infinity Broadcasting Corp., Class A+ ................ 3,288 106,449
Lamar Advertising Co.+ ............................... 585 26,618
Liberty Digital, Inc., Class A+ ...................... 265 10,203
MediaOne Group, Inc.+ ................................ 1,700 137,700
New York Times Co., Class A .......................... 900 38,644
Omnicom Group, Inc. .................................. 209 19,528
Time Warner, Inc. .................................... 8,054 805,400
Tribune Co. .......................................... 400 14,625
UnitedGlobalCom, Inc., Class A+ ...................... 1,500 112,594
Valassis Communications, Inc.+ ....................... 1,300 43,306
VoiceStream Wireless Corp.+ .......................... 1,000 128,812
Young & Rubicam, Inc. ................................ 62 2,914
ENTERTAINMENT PRODUCTS -- 0.5%
SONY Corp. ........................................... 500 70,618
SONY Corp.+ .......................................... 500 71,105
LEISURE & TOURISM -- 0.7%
Harrah's Entertainment, Inc.+ ........................ 2,400 44,550
Hilton Hotels Corp. .................................. 400 3,100
Marriott International, Inc., Class A ................ 1,500 47,250
McDonald's Corp. ..................................... 1,300 48,831
Tricon Global Restaurants, Inc.+ ..................... 184 5,716
US Airways Group, Inc.+ .............................. 72 2,003
Walt Disney Co. ...................................... 700 28,962
------------
3,333,495
------------
INFORMATION TECHNOLOGY -- 46.9%
COMMUNICATION EQUIPMENT -- 5.7%
3Com Corp.+ .......................................... 85 4,728
Cisco Systems, Inc.+ ................................. 15,496 1,198,034
E-Tek Dynamics, Inc.+ ................................ 240 56,460
Lucent Technologies, Inc. ............................ 5,078 308,488
Network Appliance, Inc.+ ............................. 342 28,301
COMPUTER SERVICES -- 4.1%
Adobe Systems, Inc. .................................. 131 14,582
Automatic Data Processing, Inc. ...................... 1,300 62,725
CheckFree Holdings Corp.+ ............................ 300 21,150
</TABLE>
----------------
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
Computer Associates International, Inc. .............. 615 $ 36,400
Compuware Corp. + .................................... 408 8,594
i2 Technologies, Inc.+ ............................... 2,465 301,038
iGate Capital Corp.+ ................................. 600 27,075
MarchFirst, Inc.+ .................................... 2,240 79,940
Sapient Corp.+ ....................................... 1,260 105,682
Sun Microsystems, Inc.+ .............................. 2,880 269,865
Verio, Inc.+ ......................................... 1,375 61,961
VeriSign, Inc.+ ...................................... 850 127,075
COMPUTERS & BUSINESS EQUIPMENT -- 4.2%
Compaq Computer Corp. ................................ 400 10,650
Dell Computer Corp.+ ................................. 4,095 220,874
EMC Corp.+ ........................................... 3,715 464,375
Gateway, Inc.+ ....................................... 361 19,133
Hewlett-Packard Co. .................................. 400 53,025
International Business Machines Corp. ................ 3,154 372,172
Lexmark International Group, Inc., Class A+ .......... 146 15,440
Millipore Corp. ...................................... 43 2,427
Pitney Bowes, Inc. ................................... 303 13,540
Xerox Corp. .......................................... 300 7,800
COMPUTER SOFTWARE -- 6.8%
BMC Software, Inc.+ .................................. 277 13,677
Citrix Systems, Inc. + ............................... 205 13,581
Electronic Arts, Inc.+ ............................... 2,880 205,020
Microsoft Corp.+ ..................................... 10,600 1,126,250
Oracle Corp.+ ........................................ 5,344 417,166
Parametric Technology Corp.+ ......................... 307 6,466
PeopleSoft, Inc. + ................................... 306 6,120
VERITAS Software Corp.+ .............................. 837 109,647
ELECTRONICS -- 6.1%
Applied Materials, Inc.+ ............................. 2,764 260,507
ASM Lithography Holdings NV+ ......................... 1,070 119,572
Conexant Systems, Inc.+ .............................. 225 15,975
Intel Corp. .......................................... 5,908 779,487
Linear Technology Corp. .............................. 350 19,250
Maxim Integrated Products, Inc.+ ..................... 720 51,165
Texas Instruments, Inc. .............................. 2,645 423,200
Xilinx, Inc.+ ........................................ 365 30,227
INTERNET CONTENT -- 3.4%
Amazon.com, Inc.+ .................................... 5,115 342,705
eBay, Inc.+ .......................................... 720 126,720
GoTo.com, Inc.+ ...................................... 30 1,232
InfoSpace.com, Inc.+ ................................. 465 67,629
Internet Capital Group, Inc.+ ........................ 155 13,998
Lycos, Inc.+ ......................................... 1,070 75,167
Network Solutions, Inc., Class A+ .................... 200 30,741
Priceline.com, Inc.+ ................................. 1,240 96,100
S1 Corp.+ ............................................ 200 17,138
Ticketmaster Online-Citysearch, Inc., Class B ........ 465 11,654
</TABLE>
----------------
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT (CONTINUED)
Yahoo!, Inc.+ ........................................ 1,003 $ 171,889
INTERNET SOFTWARE -- 3.1%
America Online, Inc.+ ................................ 3,557 239,208
Exodus Communications, Inc.+ ......................... 1,085 152,443
Inktomi Corp.+ ....................................... 195 38,025
NetZero, Inc.+ ....................................... 600 9,150
Phone.com, Inc.+ ..................................... 915 149,260
RealNetworks, Inc.+ .................................. 90 5,124
Software.com, Inc.+ .................................. 1,320 170,115
Vignette Corp.+ ...................................... 565 90,541
TELECOMMUNICATIONS -- 13.5%
China Telecom (Hong Kong) Ltd.+ ...................... 14,000 123,161
China Telecom (Hong Kong) Ltd. ADR+ .................. 700 124,075
Comverse Technology, Inc.+ ........................... 89 16,821
JDS Uniphase Corp.+ .................................. 680 81,983
Level 3 Communications, Inc.+ ........................ 1,910 201,982
Motorola, Inc. ....................................... 330 46,984
Nextel Communications, Inc., Class A+ ................ 770 114,152
Nokia Corp. ADR ...................................... 5,740 1,247,015
Nortel Networks Corp. ................................ 2,627 331,002
NTL, Inc.+ ........................................... 993 92,163
QUALCOMM, Inc.+ ...................................... 3,246 484,668
Sprint Corp. (PCS Group)+ ............................ 4,532 295,996
Telefonaktiebolaget LM Ericsson AB ADR ............... 2,255 211,547
Telefonaktiebolaget LM Ericsson AB, Series B ......... 799 70,288
Tellabs, Inc.+ ....................................... 468 29,477
Vodafone AirTouch PLC ADR ............................ 400 22,225
Vodafone AirTouch PLC ................................ 49,832 277,684
------------
13,068,906
------------
MATERIALS -- 0.6%
CHEMICALS -- 0.3%
Dow Chemical Co. ..................................... 300 34,200
du Pont (E.I.) de Nemours & Co. ...................... 1,109 58,638
FOREST PRODUCTS -- 0.2%
International Paper Co. .............................. 600 25,650
Sealed Air Corp.+ .................................... 119 6,463
Weyerhaeuser Co. ..................................... 400 22,800
METALS & MINERALS -- 0.1%
Alcoa, Inc. .......................................... 300 21,075
Freeport-McMoRan Copper & Gold, Inc., Class B+ ....... 200 2,413
------------
171,239
------------
REAL ESTATE -- 0.2%
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Starwood Hotels & Resorts Worldwide, Inc., Class B
.................................................... 1,700 44,625
------------
</TABLE>
----------------
94
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 3.7%
ELECTRIC UTILITIES -- 0.4%
AES Corp.+ ........................................... 1,100 $ 86,625
Duke Energy Corp. .................................... 200 10,500
Southern Co. ......................................... 500 10,875
TELEPHONE -- 3.3%
GTE Corp. ............................................ 1,400 99,400
MCI WorldCom, Inc.+ .................................. 1,850 83,828
SBC Communications, Inc. ............................. 6,197 260,274
Sprint Corp. ......................................... 900 56,700
Telefonica SA+ ....................................... 4,556 115,173
Telefonos de Mexico SA ADR ........................... 2,615 175,205
U.S. West, Inc. ...................................... 582 42,268
WinStar Communications, Inc.+ ........................ 1,482 88,920
------------
1,029,768
------------
TOTAL INVESTMENT SECURITIES (cost $20,176,665)........ 26,399,022
------------
<CAPTION>
SHORT-TERM SECURITIES -- 4.0% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 4.0%
Federal Home Loan Bank Consolidated Discount Notes
6.05% due 4/03/00.................................... $ 1,100,000 1,099,630
United States Treasury Bills 5.21% due 4/06/00@....... 10,000 9,993
------------
TOTAL SHORT-TERM SECURITIES (cost $1,109,623)......... 1,109,623
------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.0%
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.0%
Agreement with State Street Bank & Trust Co., bearing
interest at 6.05%, dated 3/31/00, to be repurchased
4/03/00 in the amount of $12,006 and collateralized
by $15,000 of U.S. Treasury Notes, bearing interest
at 6.50%, due 5/31/01 and having an approximate value
of $15,325 (cost $12,000)............................ 12,000 12,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $21,298,288) 98.8% 27,520,645
Other assets less liabilities -- 1.2 339,615
----- ------------
NET ASSETS -- 100.0% $ 27,860,260
===== ============
</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:
----------------
95
<PAGE>
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 2000 APPRECIATION
-------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long S & P 500 Index June 2000 $ 70,067 $ 75,765 $5,698
======
</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* 176,490 EUR 185,000 4/07/00 $ 741
EUR* 75,000 USD 77,972 4/07/00 6,122
EUR* 55,000 USD 55,979 4/07/00 3,289
EUR* 50,000 USD 54,485 4/07/00 6,585
EUR* 50,000 USD 54,203 4/07/00 6,302
EUR* 35,000 USD 37,092 4/07/00 3,562
EUR* 55,000 USD 57,786 4/07/00 5,095
EUR* 50,000 USD 51,990 4/07/00 4,089
EUR* 50,000 USD 50,901 4/07/00 3,001
EUR 100,000 USD 101,840 4/14/00 5,994
EUR 20,000 USD 20,378 4/14/00 1,209
EUR 50,000 USD 49,579 4/20/00 1,636
EUR 50,000 USD 51,880 6/09/00 3,773
EUR 70,000 USD 69,963 6/09/00 2,613
EUR 20,000 USD 20,044 6/09/00 801
EUR* 340,000 USD 355,640 6/09/00 28,512
EUR* 30,000 USD 31,446 6/09/00 2,582
EUR 20,000 USD 20,719 6/09/00 1,477
EUR 85,000 USD 88,033 6/09/00 6,251
EUR 80,000 USD 78,026 9/08/00 570
EUR 70,000 USD 68,062 9/08/00 286
EUR 50,000 USD 48,831 9/08/00 420
USD* 15,213 JPY 1,600,000 4/07/00 391
USD* 9,494 JPY 1,000,000 4/20/00 283
--------
95,584
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
--------------------------------------------------------------------------
<S> <C> <C> <C>
USD* 93,188 EUR 90,000 4/07/00 (6,967)
USD* 50,448 EUR 50,000 4/07/00 (2,548)
USD* 44,053 EUR 40,000 4/07/00 (5,732)
USD* 55,633 EUR 55,000 4/07/00 (2,943)
USD* 288,897 EUR 300,000 6/09/00 (254)
USD* 68,299 EUR 70,000 6/09/00 (949)
EUR 185,000 USD 178,527 9/22/00 (768)
JPY* 1,600,000 USD 15,452 4/07/00 (153)
JPY* 4,400,000 USD 42,653 4/20/00 (367)
JPY 300,000 USD 2,776 4/20/00 (158)
JPY 1,000,000 USD 9,391 9/14/00 (636)
JPY 1,300,000 USD 12,770 9/14/00 (265)
JPY 1,600,000 USD 15,662 9/22/00 (405)
--------
(22,145)
--------
Net Unrealized Appreciation............................ $ 73,439
========
</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>
EUR -- Euro Dollar
JPY -- Japenese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
96
<PAGE>
------------------
SEASONS SERIES TRUST
LARGE CAP
COMPOSITE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 96.6%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.2%
APPAREL & TEXTILES -- 0.0%
Nike Inc, Class B .................................... 100 $ 3,963
AUTOMOTIVE -- 1.7%
B.F. Goodrich Co. .................................... 100 2,869
Dana Corp. ........................................... 100 2,819
Delphi Automotive Systems Corp. ...................... 309 4,944
Ford Motor Co. ....................................... 500 22,969
General Motors Corp. ................................. 300 24,844
General Motors Corp., Class H+ ....................... 1,000 124,500
Goodyear Tire & Rubber Co. ........................... 100 2,331
Harley-Davidson, Inc. ................................ 73 5,794
PACCAR, Inc. ......................................... 39 1,950
SPX Corp.+ ........................................... 1,000 113,937
Tenneco Automotive Inc. .............................. 20 159
TRW, Inc. ............................................ 58 3,393
HOUSING -- 0.4%
Black & Decker Corp. ................................. 85 3,193
Fortune Brands, Inc. ................................. 100 2,500
Grainger (W. W.), Inc. ............................... 45 2,441
Leggett & Platt, Inc. ................................ 100 2,150
Lowe's Cos., Inc. .................................... 600 35,025
Masco Corp. .......................................... 1,600 32,800
Maytag Corp. ......................................... 88 2,915
RETAIL -- 6.1%
Albertson's, Inc. .................................... 263 8,153
Bed Bath & Beyond, Inc.+ ............................. 100 3,938
Best Buy Co., Inc.+ .................................. 600 51,600
Circuit City Stores, Inc. ............................ 731 44,500
Costco Wholesale Corp.+ .............................. 200 10,512
CVS Corp. ............................................ 1,200 45,075
Dollar General Corp. ................................. 125 3,359
Federated Department Stores, Inc.+ ................... 100 4,175
Gap, Inc. ............................................ 1,950 97,134
Home Depot, Inc. ..................................... 3,500 225,750
J.C. Penny Co., Inc. ................................. 100 1,488
Kmart Corp. + ........................................ 300 2,906
Kohl's Corp.+ ........................................ 100 10,250
Kroger Co.+ .......................................... 2,005 35,213
Limited, Inc. ........................................ 96 4,044
May Department Stores Co. ............................ 150 4,275
Nordstrom, Inc. ...................................... 100 2,950
Office Depot, Inc.+ .................................. 200 2,313
Rite Aid Corp. ....................................... 100 550
Safeway, Inc. ........................................ 1,900 85,975
</TABLE>
----------------
97
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Sears, Roebuck & Co. ................................. 100 $ 3,088
Staples, Inc.+ ....................................... 1,100 22,000
Tandy Corp. .......................................... 114 5,785
Target Corp. ......................................... 1,700 127,075
TJX Cos., Inc. ....................................... 200 4,437
Too, Inc.+ ........................................... 13 410
Toys "R" Us, Inc.+ ................................... 200 2,963
Wal Mart de Mexico SA de C V ADR+ .................... 600 14,998
Wal-Mart Stores, Inc. ................................ 5,438 301,809
Walgreen Co. ......................................... 534 13,750
Winn-Dixie Stores, Inc. .............................. 100 1,944
------------
1,537,915
------------
CONSUMER STAPLES -- 2.9%
FOOD, BEVERAGE & TOBACCO -- 2.2%
Anheuser-Busch Cos., Inc. ............................ 1,130 70,342
Archer-Daniels-Midland Co. ........................... 210 2,179
Bestfoods ............................................ 137 6,413
Campbell Soup Co. .................................... 200 6,150
Coca-Cola Co. ........................................ 1,200 56,325
Coca-Cola Enterprises, Inc. .......................... 200 4,312
Compass Group PLC ADR ................................ 2,300 29,881
ConAgra, Inc. ........................................ 200 3,625
General Mills, Inc. .................................. 200 7,237
Heinz (H.J.) & Co. ................................... 200 6,975
Hershey Foods Corp. .................................. 100 4,875
Kellogg Co. .......................................... 200 5,125
Nabisco Group Holdings Corp. ......................... 200 2,400
PepsiCo, Inc. ........................................ 1,900 65,669
Philip Morris Cos., Inc. ............................. 2,500 52,812
Ralston-Ralston Purina Group ......................... 100 2,738
RJ Reynolds Tobacco Holdings, Inc.+ .................. 66 1,122
Seagram Co., Ltd. .................................... 1,200 71,400
UST, Inc. ............................................ 100 1,563
Wrigley (WM.) Jr. Co. ................................ 56 4,302
HOUSEHOLD PRODUCTS -- 0.7%
Alberto-Culver Co., Class B .......................... 38 905
Avon Products, Inc. .................................. 200 5,813
Clorox Co. ........................................... 114 3,705
Colgate-Palmolive Co. ................................ 278 15,672
Fort James Corp. ..................................... 100 2,200
Gillette Co. ......................................... 700 26,381
Kimberly-Clark Corp. ................................. 586 32,816
Newell Rubbermaid, Inc. .............................. 178 4,417
Procter & Gamble Co. ................................. 600 33,750
Unilever NV .......................................... 267 12,849
------------
543,953
------------
</TABLE>
----------------
98
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 6.8%
ENERGY SERVICES -- 2.1%
Baker Hughes, Inc. ................................... 3,500 $ 105,875
Halliburton Co. ...................................... 1,400 57,400
Nabors Industries, Inc.+ ............................. 800 31,050
Schlumberger Ltd. .................................... 1,766 135,099
Tosco Corp. .......................................... 100 3,044
Transocean Sedco Forex, Inc. ......................... 1,107 56,803
USX-Marathon Group, Inc. ............................. 200 5,212
ENERGY SOURCES -- 4.7%
Atlantic Richfield Co. ............................... 156 13,260
Burlington Resources, Inc. ........................... 100 3,700
Chevron Corp. ........................................ 900 83,194
Conoco, Inc., Class B ................................ 365 9,353
Enron Corp. .......................................... 1,544 115,607
Exxon Mobil Corp. .................................... 3,930 305,803
Kerr-McGee Corp. ..................................... 1,000 57,750
Noble Drilling Corp.+ ................................ 1,000 41,437
Occidental Petroleum Corp. ........................... 200 4,150
Phillips Petroleum Co. ............................... 170 7,863
Royal Dutch Petroleum Co. GDR ........................ 3,623 208,549
Texaco, Inc. ......................................... 300 16,088
Union Pacific Resources Group, Inc. .................. 200 2,900
Unocal Corp. ......................................... 184 5,474
------------
1,269,611
------------
FINANCE -- 11.6%
BANKS -- 2.8%
AmSouth Bancorp ...................................... 250 3,734
Bank of America Corp. ................................ 800 41,950
Bank of New York Co., Inc. ........................... 2,189 90,980
Bank One Corp. ....................................... 600 20,625
BB&T Corp. ........................................... 100 2,806
Chase Manhattan Corp. ................................ 1,500 130,781
Comerica, Inc. ....................................... 100 4,188
Fifth Third Bancorp .................................. 100 6,300
First Union Corp. .................................... 500 18,625
Firstar Corp. ........................................ 3,509 80,488
Huntington Bancshares, Inc. .......................... 110 2,461
MBNA Corp. ........................................... 400 10,200
National City Corp. .................................. 345 7,116
Northern Trust Corp. ................................. 136 9,189
Old Kent Financial Corp. ............................. 100 3,231
PNC Bank Corp. ....................................... 170 7,661
Regions Financial Corp. .............................. 100 2,281
SouthTrust Corp. ..................................... 100 2,544
St. Paul Cos., Inc. .................................. 187 6,381
State Street Corp. ................................... 380 36,813
SunTrust Banks, Inc. ................................. 175 10,106
Synovus Financial Corp. .............................. 100 1,888
U.S. Bancorp ......................................... 400 8,750
Union Planters Corp. ................................. 100 3,081
</TABLE>
----------------
99
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Wachovia Corp. ....................................... 100 $ 6,756
FINANCIAL SERVICES -- 7.1%
Ambac Financial Group, Inc. .......................... 300 15,112
American Express Co. ................................. 700 104,256
American General Corp. ............................... 100 5,613
Associates First Capital Corp., Class A .............. 1,600 34,300
Bear Stearns Cos., Inc. .............................. 70 3,194
Capital One Financial Corp. .......................... 2,293 109,921
Charles Schwab Corp. ................................. 400 22,725
Citigroup, Inc. ...................................... 5,680 336,895
Concord EFS, Inc.+ ................................... 800 18,350
Countrywide Credit Industries, Inc. .................. 100 2,725
Dun & Bradstreet Corp. ............................... 100 2,863
Fannie Mae ........................................... 1,600 90,300
Fleet Boston Financial Corp. ......................... 439 16,023
Freddie Mac .......................................... 3,100 136,981
Household International, Inc. ........................ 225 8,395
KeyCorp. ............................................. 266 5,054
Lehman Brothers Holdings, Inc. ....................... 63 6,111
Mellon Financial Corp. ............................... 1,886 55,637
Merrill Lynch & Co., Inc. ............................ 683 71,715
Morgan (J.P.) & Co., Inc. ............................ 100 13,175
Morgan Stanley, Dean Witter & Co. .................... 2,158 176,012
Paine Webber Group, Inc. ............................. 79 3,476
Providian Financial Corp. ............................ 68 5,890
SLM Holding Corp. .................................... 100 3,331
T.Rowe Price Associates, Inc. ........................ 68 2,686
Washington Mutual, Inc. .............................. 300 7,950
Wells Fargo & Co. .................................... 1,700 69,594
INSURANCE -- 1.7%
ACE Ltd. ............................................. 2,600 59,475
Aetna, Inc. .......................................... 100 5,569
AFLAC, Inc. .......................................... 100 4,556
Allstate Corp. ....................................... 400 9,525
American International Group, Inc.(1) ................ 750 82,125
Aon Corp. ............................................ 150 4,837
Chubb Corp. .......................................... 100 6,756
CIGNA Corp. .......................................... 100 7,575
Cinergy Corp. ........................................ 100 2,150
Conseco, Inc. ........................................ 200 2,288
Equifax, Inc. ........................................ 100 2,525
Fairfax Financial Holdings Ltd.+ ..................... 100 12,251
Franklin Resources, Inc. ............................. 100 3,344
Hartford Financial Services Group, Inc. .............. 1,000 52,750
Jefferson-Pilot Corp. ................................ 87 5,791
Marsh & McLennan Cos., Inc. .......................... 100 11,031
MGIC Investment Corp. ................................ 100 4,362
Mutual Risk Management Ltd. .......................... 900 18,000
PartnerRe Ltd. ....................................... 300 11,044
SAFECO Corp. ......................................... 100 2,656
</TABLE>
----------------
100
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Torchmark Corp. ...................................... 100 $ 2,313
UnumProvident Corp. .................................. 173 2,941
------------
2,161,083
------------
HEALTHCARE -- 7.5%
DRUGS -- 5.0%
Abbott Laboratories, Inc. ............................ 700 24,631
ALZA Corp.+ .......................................... 100 3,756
American Home Products Corp. ......................... 1,400 75,075
Amgen, Inc.+ ......................................... 890 54,624
Biogen, Inc.+ ........................................ 772 53,944
Bristol-Myers Squibb Co. ............................. 1,655 95,576
Eli Lilly & Co. ...................................... 1,000 63,000
Genentech, Inc.+ ..................................... 300 45,600
Immunex Corp.+ ....................................... 300 19,031
Merck & Co., Inc. .................................... 1,786 110,955
Pfizer, Inc. ......................................... 4,900 179,156
Pharmacia & Upjohn, Inc. ............................. 1,351 80,047
Warner-Lambert Co. ................................... 1,400 136,500
HEALTH SERVICES -- 0.8%
Columbia/HCA Healthcare Corp. ........................ 271 6,860
HEALTHSOUTH Corp.+ ................................... 200 1,113
IMS Health, Inc. ..................................... 900 15,244
Quintiles Transnational Corp.+ ....................... 100 1,706
Tenet Healthcare Corp.+ .............................. 200 4,600
United HealthCare Corp. .............................. 800 47,700
Wellpoint Health Networks, Inc., + ................... 900 62,887
MEDICAL PRODUCTS -- 1.7%
Bausch & Lomb, Inc. .................................. 33 1,722
Baxter International, Inc. ........................... 1,000 61,331
Becton, Dickinson & Co. .............................. 100 2,631
Biomet, Inc. ......................................... 100 3,638
Boston Scientific Corp.+ ............................. 200 4,263
Cardinal Health, Inc. ................................ 100 4,588
Guidant Corp.+ ....................................... 100 5,881
Johnson & Johnson Co. ................................ 700 49,044
McKesson HBOC, Inc. .................................. 200 4,200
MedImmune, Inc.+ ..................................... 400 69,650
Medtronic, Inc. ...................................... 600 30,862
PE Corp-PE Biosystems Group .......................... 298 28,757
Schering-Plough Corp. ................................ 1,600 58,800
------------
1,407,372
------------
INDUSTRIAL & COMMERCIAL -- 10.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Boeing Co. ........................................... 470 17,831
General Dynamics Corp. ............................... 100 4,975
Lockheed Martin Corp. ................................ 200 4,087
</TABLE>
----------------
101
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
AEROSPACE & MILITARY TECHNOLOGY (CONTINUED)
Raytheon Co., Class B ................................ 200 $ 3,550
Rockwell International Corp. ......................... 100 4,181
BUSINESS SERVICES -- 6.9%
Allied Waste Industries, Inc.+ ....................... 100 656
Cendant Corp.+ ....................................... 364 6,734
Corning, Inc. ........................................ 1,434 278,196
Donnelley (R.R.) & Sons Co. .......................... 100 2,094
Ecolab, Inc. ......................................... 100 3,669
Electronic Data Systems Corp. ........................ 1,200 77,025
First Data Corp. ..................................... 1,200 53,100
General Electric Co. ................................. 3,780 586,609
Hutchison Whampoa Ltd. ............................... 5,000 90,220
IKON Office Solutions, Inc. .......................... 100 619
Interpublic Group of Cos., Inc. ...................... 147 6,946
Owens-Illinois, Inc. + ............................... 100 1,688
Paychex, Inc. ........................................ 129 6,756
PSINet, Inc.+ ........................................ 500 17,008
Randstad Holding N.V.+ ............................... 1,100 40,974
Rentokil Initial PLC ................................. 2,800 7,277
Sabre Holdings Corp. ................................. 72 2,659
Solectron Corp.+ ..................................... 1,600 64,100
SYSCO Corp. .......................................... 200 7,137
Waste Management, Inc. ............................... 300 4,106
Waters Corp.+ ........................................ 400 38,100
ELECTRICAL EQUIPMENT -- 0.1%
Dover Corp. .......................................... 100 4,788
Emerson Electric Co. ................................. 200 10,575
MACHINERY -- 0.5%
Caterpillar, Inc. .................................... 200 7,887
Cooper Industries, Inc. .............................. 100 3,500
Danaher Corp. ........................................ 600 30,600
Deere & Co. .......................................... 165 6,270
Illinois Tool Works, Inc. ............................ 100 5,525
Ingersoll-Rand Co. ................................... 100 4,425
United Technologies Corp. ............................ 500 31,594
MULTI-INDUSTRY -- 2.5%
Avery Dennison Corp. ................................. 55 3,358
Honeywell International, Inc. ........................ 387 20,390
Minnesota Mining & Manufacturing Co. ................. 200 17,713
Monsanto Co. ......................................... 300 15,450
Sara Lee Corp. ....................................... 500 9,000
Teleflex, Inc. ....................................... 400 14,200
Textron, Inc. ........................................ 100 6,088
Tomkins PLC .......................................... 5,948 18,940
Tyco International Ltd. .............................. 6,828 340,546
Viacom, Inc., Class B+ ............................... 340 17,935
</TABLE>
----------------
102
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.4%
AMR Corp.+ ........................................... 100 $ 3,188
Burlington Northern Santa Fe Corp. ................... 300 6,637
CSX Corp. ............................................ 100 2,350
Fedex Corp. .......................................... 200 7,800
Kansas City Southern Industries, Inc. ................ 553 47,523
Norfolk Southern Corp. ............................... 100 1,438
Union Pacific Corp. .................................. 100 3,912
------------
1,971,929
------------
INFORMATION & ENTERTAINMENT -- 6.6%
BROADCASTING & MEDIA -- 4.9%
ADC Telecommunications, Inc.+ ........................ 143 7,704
AT&T Corp. - Liberty Media Group, Class A+ ........... 2,100 124,425
CBS Corp.+ ........................................... 2,799 158,493
Charter Communications, Inc. ......................... 500 7,164
Clear Channel Communications, Inc.+ .................. 663 45,788
Comcast Corp., Class A+ .............................. 2,329 101,020
Emmis Communications Corp., Class A+ ................. 1,000 46,500
Gannett Co., Inc. .................................... 138 9,712
Infinity Broadcasting Corp., Class A+ ................ 1,000 32,375
Knight-Ridder, Inc. .................................. 41 2,088
Loews Corp. .......................................... 100 5,000
McGraw-Hill Cos., Inc. ............................... 100 4,550
MediaOne Group, Inc.+ ................................ 300 24,300
New York Times Co., Class A .......................... 100 4,294
Omnicom Group, Inc. .................................. 600 56,063
Pegasus Communications Corp.+ ........................ 300 42,225
Placer Dome, Inc. .................................... 200 1,625
Time Warner, Inc. .................................... 1,980 198,000
Tribune Co. .......................................... 122 4,461
USA Networks, Inc.+ .................................. 1,000 22,563
VNU N.V. ............................................. 400 23,575
Young & Rubicam, Inc. ................................ 35 1,645
ENTERTAINMENT PRODUCTS -- 0.7%
Eastman Kodak Co. .................................... 100 5,431
Hasbro, Inc. ......................................... 136 2,244
Koninklijke Philips Electronics NV ................... 400 67,259
Mattel, Inc. ......................................... 100 1,044
Polaroid Corp. ....................................... 100 2,375
SONY Corp. ........................................... 200 28,247
SONY Corp.+ .......................................... 100 14,221
LEISURE & TOURISM -- 1.0%
Carnival Corp. ....................................... 300 7,444
Delta Air Lines, Inc. ................................ 100 5,325
Marriott International, Inc., Class A ................ 121 3,811
McDonald's Corp. ..................................... 2,400 90,150
Mirage Resorts, Inc.+ ................................ 1,600 31,000
Southwest Airlines Co. ............................... 300 6,244
Tricon Global Restaurants, Inc.+ ..................... 100 3,106
</TABLE>
----------------
103
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Walt Disney Co. ...................................... 900 $ 37,237
Wendy's International, Inc. .......................... 100 2,019
------------
1,230,727
------------
INFORMATION TECHNOLOGY -- 35.3%
COMMUNICATION EQUIPMENT -- 5.3%
3Com Corp.+ .......................................... 200 11,125
Cabletron Systems, Inc.+ ............................. 100 2,931
Cisco Systems, Inc.+ ................................. 9,304 719,315
Juniper Networks, Inc. ............................... 300 79,069
Lucent Technologies, Inc. ............................ 2,790 169,493
Network Appliance, Inc.+ ............................. 140 11,585
COMPUTER SERVICES -- 2.2%
Adobe Systems, Inc. .................................. 67 7,458
Automatic Data Processing, Inc. ...................... 1,300 62,725
Ceridian Corp.+ ...................................... 991 19,015
Computer Associates International, Inc. .............. 1,059 62,679
Compuware Corp. + .................................... 200 4,212
Getronics NV+ ........................................ 200 15,302
Novell, Inc.+ ........................................ 200 5,725
Sun Microsystems, Inc.+ .............................. 1,864 174,663
Sycamore Networks, Inc. .............................. 400 51,600
Unisys Corp.+ ........................................ 100 2,550
COMPUTERS & BUSINESS EQUIPMENT -- 4.9%
Apple Computer, Inc.+ ................................ 88 11,952
Compaq Computer Corp. ................................ 800 21,300
Computer Sciences Corp.+ ............................. 84 6,647
Dell Computer Corp.+ ................................. 3,800 204,962
EMC Corp.+ ........................................... 1,990 248,750
Fujitsu Ltd. ......................................... 1,000 30,682
Gateway, Inc.+ ....................................... 164 8,692
Hewlett-Packard Co. .................................. 890 117,981
International Business Machines Corp. ................ 1,872 220,896
Lexmark International Group, Inc., Class A+ .......... 174 18,400
NCR Corp. + .......................................... 48 1,926
Pitney Bowes, Inc. ................................... 100 4,469
Seagate Technology, Inc.+ ............................ 100 6,025
Silicon Graphics, Inc.+ .............................. 100 1,056
Xerox Corp. .......................................... 300 7,800
COMPUTER SOFTWARE -- 6.2%
BMC Software, Inc.+ .................................. 1,100 54,313
Citrix Systems, Inc. + ............................... 86 5,698
Electronic Arts, Inc.+ ............................... 400 28,475
Microsoft Corp.+ ..................................... 6,790 721,437
Oracle Corp.+ ........................................ 2,580 201,401
Parametric Technology Corp.+ ......................... 1,200 25,275
PeopleSoft, Inc. + ................................... 200 4,000
Peregrine Systems, Inc.+ ............................. 400 26,825
Siebel Systems, Inc.+ ................................ 300 35,831
</TABLE>
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
VERITAS Software Corp.+ .............................. 485 $ 63,535
ELECTRONICS -- 7.9%
Altera Corp.+ ........................................ 800 71,400
Analog Devices, Inc.+ ................................ 170 13,696
Applied Materials, Inc.+ ............................. 1,866 175,870
Atmel Corp.+ ......................................... 200 10,325
Conexant Systems, Inc.+ .............................. 1,094 77,674
Eaton Corp. .......................................... 39 3,042
Flextronics International Ltd.+ ...................... 3,400 239,487
Intel Corp. .......................................... 3,700 488,169
KLA-Tencor Corp.+ .................................... 86 7,245
KYOCERA Corp. ADR .................................... 200 33,429
Linear Technology Corp. .............................. 149 8,195
LSI Logic Corp.+ ..................................... 137 9,950
Maxim Integrated Products, Inc.+ ..................... 1,100 78,169
Micron Technology, Inc.+ ............................. 100 12,600
Molex, Inc. .......................................... 125 7,344
National Semiconductor Corp.+ ........................ 100 6,063
PMC-Sierra, Inc.+ .................................... 50 10,184
Teradyne, Inc.+ ...................................... 100 8,225
Texas Instruments, Inc. .............................. 1,300 208,000
Xilinx, Inc.+ ........................................ 180 14,906
INTERNET CONTENT -- 0.9%
Internet Capital Group, Inc.+ ........................ 200 18,062
Yahoo!, Inc.+ ........................................ 850 145,669
INTERNET SOFTWARE -- 1.1%
America Online, Inc.+ ................................ 2,300 154,675
Ariba, Inc.+ ......................................... 40 8,385
E.piphany, Inc.+ ..................................... 100 13,357
Liberate Technologies ................................ 300 18,825
Vitria Technology, Inc.+ ............................. 100 10,081
TELECOMMUNICATIONS -- 6.8%
Andrew Corp.+ ........................................ 100 2,287
Comverse Technology, Inc.+ ........................... 34 6,426
Global Crossing Ltd.+ ................................ 405 16,580
JDS Uniphase Corp.+ .................................. 1,720 207,367
Motorola, Inc. ....................................... 1,039 147,928
Nextel Communications, Inc., Class A+ ................ 675 100,069
NEXTLINK Communications, Inc., Class A+ .............. 300 37,106
Nokia Corp. ADR ...................................... 700 152,075
Nortel Networks Corp. ................................ 1,791 225,666
PanAmSat Corp.+ ...................................... 300 14,719
QUALCOMM, Inc.+ ...................................... 1,146 171,112
Scientific-Atlanta, Inc. ............................. 76 4,821
Sprint Corp. (PCS Group)+ ............................ 400 26,125
Telefonaktiebolaget LM Ericsson AB, Series B ......... 200 17,594
Tellabs, Inc.+ ....................................... 200 12,597
Vodafone AirTouch PLC ADR ............................ 350 19,447
</TABLE>
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Vodafone AirTouch PLC ................................ 17,689 $ 98,571
------------
6,591,292
------------
MATERIALS -- 1.0%
CHEMICALS -- 0.3%
Air Products & Chemicals, Inc. ....................... 100 2,844
Dow Chemical Co. ..................................... 100 11,400
du Pont (E.I.) de Nemours & Co. ...................... 501 26,490
Eastman Chemical Co. ................................. 38 1,729
PPG Industries, Inc. ................................. 100 5,231
Rohm & Haas Co. ...................................... 136 6,069
Sherwin-Williams Co. ................................. 100 2,194
Sigma-Aldrich Corp. .................................. 100 2,688
Union Carbide Corp. .................................. 100 5,831
FOREST PRODUCTS -- 0.3%
Champion International Corp. ......................... 78 4,153
Georgia-Pacific Group ................................ 630 24,924
International Paper Co. .............................. 200 8,550
Louisiana-Pacific Corp. .............................. 100 1,388
Mead Corp. ........................................... 100 3,494
Pactiv Corp. ......................................... 100 875
Weyerhaeuser Co. ..................................... 100 5,700
METALS & MINERALS -- 0.4%
Alcan Aluminium Ltd. ................................. 100 3,387
Alcoa, Inc. .......................................... 800 56,200
Allegheny Technologies, Inc. ......................... 50 1,003
Barrick Gold Corp. ................................... 200 3,138
Bethlehem Steel Corp.+ ............................... 100 600
Crown, Cork & Seal Co., Inc. ......................... 100 1,600
Inco Ltd.+ ........................................... 100 1,831
Newmont Mining Corp. ................................. 100 2,244
Phelps Dodge Corp. ................................... 44 2,090
USX-US Steel Group, Inc. ............................. 100 2,500
Vulcan Materials Co. ................................. 100 4,581
------------
192,734
------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.1%
Security Capital U.S. Realty ADR+..................... 700 11,550
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Starwood Hotels & Resorts Worldwide, Inc., Class B ... 800 21,000
------------
32,550
------------
UTILITIES -- 5.9%
ELECTRIC UTILITIES -- 0.6%
AES Corp.+ ........................................... 100 7,875
Ameren Corp. ......................................... 100 3,094
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
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UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
American Electric Power Co., Inc. .................... 100 $ 2,981
Carolina Power & Light Co. ........................... 100 3,244
Central & South West Corp. ........................... 100 1,706
CMS Energy Corp. ..................................... 100 1,813
Consolidated Edison, Inc. ............................ 100 2,900
Dominion Resources Inc. .............................. 115 4,420
DTE Energy Co. ....................................... 100 2,900
Duke Energy Corp. .................................... 200 10,500
Edison International ................................. 100 1,656
Entergy Corp. ........................................ 100 2,019
FirstEnergy Corp. .................................... 182 3,754
Florida Progress Corp. ............................... 86 3,945
FPL Group, Inc. ...................................... 100 4,606
GPU, Inc. ............................................ 100 2,738
Pacific Gas & Electric Corp. ......................... 200 4,200
PECO Energy Co. ...................................... 900 33,187
Public Service Enterprise Group, Inc. ................ 100 2,963
Sempra Energy ........................................ 85 1,424
Southern Co. ......................................... 400 8,700
Texas Utilities Co. .................................. 100 2,969
Unicom Corp. ......................................... 151 5,511
GAS & PIPELINE UTILITIES -- 0.7%
Coastal Corp. ........................................ 2,300 105,800
El Paso Energy Corp. ................................. 100 4,038
Reliant Energy, Inc. ................................. 100 2,344
Williams Cos., Inc. .................................. 200 8,787
TELEPHONE -- 4.6%
ALLTEL Corp. ......................................... 182 11,477
AT&T Corp. ........................................... 3,535 198,844
Bell Atlantic Corp. .................................. 1,750 106,969
BellSouth Corp. ...................................... 900 42,300
CenturyTel, Inc. ..................................... 67 2,487
GTE Corp. ............................................ 500 35,500
MCI WorldCom, Inc.+ .................................. 4,325 195,976
SBC Communications, Inc. ............................. 2,558 107,436
Sprint Corp. ......................................... 800 50,400
Telecom Italia Mobile SpA ............................ 6,400 30,642
Telecom Italia SpA+ .................................. 600 8,963
Telecomunicacoes Brasileiras SA ADR .................. 360 53,887
U.S. West, Inc. ...................................... 200 14,525
------------
1,099,480
------------
TOTAL COMMON STOCK (cost $14,509,115)................. 18,038,646
------------
<CAPTION>
BONDS & NOTES -- 0.3% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.3%
U.S. GOVERNMENT & AGENCIES -- 0.3%
United States Treasury Bonds 5.25% 2029 (cost
$57,237)............................................. $ 60,000 53,803
------------
TOTAL INVESTMENT SECURITIES (cost $14,566,352)........ 18,092,449
------------
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SHARE/
SHORT-TERM SECURITIES -- 1.1% PRINCIPAL
AMOUNT VALUE
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SHORT-TERM INVESTMENTS -- 1.0%
T. Rowe Price Reserve Investment Fund................. 189,116 $ 189,116
------------
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 5.10% due 4/06/00........ $ 20,000 19,986
------------
TOTAL SHORT-TERM SECURITIES (cost $209,102)........... 209,102
------------
<CAPTION>
REPURCHASE AGREEMENT -- 1.5%
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<S> <C> <C>
REPURCHASE AGREEMENT -- 1.5%
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3)
(cost $285,000)...................................... 285,000 285,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,060,454) 99.5% 18,586,551
Other assets less liabilities -- 0.5 85,312
---------- ------------
NET ASSETS -- 100.0% $ 18,671,863
========== ============
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; See Note 7
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
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SEASONS SERIES TRUST
LARGE CAP
VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 97.5%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 5.0%
APPAREL & TEXTILES -- 0.1%
Liz Claiborne, Inc. .................................. 100 $ 4,581
Nike, Inc., Class B .................................. 274 10,858
V.F. Corp. ........................................... 147 3,537
AUTOMOTIVE -- 1.8%
AutoZone, Inc.+ ...................................... 170 4,717
B.F. Goodrich Co. .................................... 100 2,869
Cummins Engine Co., Inc. ............................. 50 1,878
Dana Corp. ........................................... 777 21,902
Delphi Automotive Systems Corp. ...................... 557 8,912
Ford Motor Co. ....................................... 2,582 118,611
General Motors Corp. ................................. 617 51,095
Genuine Parts Co. .................................... 1,700 40,587
Goodyear Tire & Rubber Co. ........................... 153 3,567
Navistar International Corp.+ ........................ 100 4,013
PACCAR, Inc. ......................................... 100 5,000
Ryder System, Inc. ................................... 135 3,063
TRW, Inc. ............................................ 719 42,061
HOUSING -- 0.7%
Black & Decker Corp. ................................. 63 2,366
Fortune Brands, Inc. ................................. 1,100 27,500
Grainger (W. W.), Inc. ............................... 100 5,425
Kaufman & Broad Home Corp. ........................... 16 343
Leggett & Platt, Inc. ................................ 200 4,300
Lowe's Cos., Inc. .................................... 374 21,832
Masco Corp. .......................................... 500 10,250
Stanley Works ........................................ 1,500 39,563
Whirlpool Corp. ...................................... 58 3,400
RETAIL -- 2.4%
Albertson's, Inc. .................................... 448 13,888
Circuit City Stores, Inc. ............................ 200 12,175
Consolidated Stores Corp.+ ........................... 100 1,138
Costco Wholesale Corp.+ .............................. 420 22,076
CVS Corp. ............................................ 384 14,424
Dillard's, Inc., Class A ............................. 100 1,644
Dollar General Corp. ................................. 287 7,713
Federated Department Stores, Inc.+ ................... 200 8,350
Harcourt General, Inc. ............................... 100 3,725
J.C. Penny Co., Inc. ................................. 1,055 15,693
Kmart Corp. + ........................................ 500 4,844
Limited, Inc. ........................................ 188 7,919
May Department Stores Co. ............................ 4,458 127,053
Nordstrom, Inc. ...................................... 164 4,838
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SHARES VALUE
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CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Office Depot, Inc. + ................................. 323 $ 3,735
Rite Aid Corp. ....................................... 254 1,397
Safeway, Inc. ........................................ 482 21,810
Sears, Roebuck & Co. ................................. 370 11,424
Staples, Inc.+ ....................................... 432 8,640
Target Corp. ......................................... 432 32,292
TJX Cos., Inc. ....................................... 265 5,880
Toys "R" Us, Inc.+ ................................... 4,040 59,842
Winn-Dixie Stores, Inc. .............................. 200 3,888
------------
836,618
------------
CONSUMER STAPLES -- 6.9%
FOOD, BEVERAGE & TOBACCO -- 4.5%
Adolph Coors Co., Class B ............................ 100 4,781
Anheuser-Busch Cos., Inc. ............................ 800 49,800
Archer-Daniels-Midland Co. ........................... 598 6,204
Brown-Forman Corp., Class B .......................... 847 46,109
Campbell Soup Co. .................................... 1,200 36,900
Coca-Cola Enterprises, Inc. .......................... 417 8,992
ConAgra, Inc. ........................................ 500 9,062
Corn Products International, Inc. .................... 1,600 38,500
Flowers Industries, Inc. ............................. 1,300 19,744
General Mills, Inc. .................................. 2,500 90,469
Heinz (H.J.) & Co. ................................... 1,600 55,800
Hershey Foods Corp. .................................. 1,527 74,441
Kellogg Co. .......................................... 1,100 28,187
McCormick & Co., Inc. ................................ 1,500 48,375
Nabisco Group Holdings Corp. ......................... 300 3,600
Philip Morris Cos., Inc. ............................. 5,922 125,102
Seagram Co., Ltd. .................................... 408 24,276
SUPERVALU, Inc. ...................................... 100 1,894
Universal Corp. ...................................... 2,800 42,175
UST, Inc. ............................................ 2,000 31,250
HOUSEHOLD PRODUCTS -- 2.4%
Clorox Co. ........................................... 248 8,060
Fort James Corp. ..................................... 2,580 56,760
International Flavors & Fragrances, Inc. ............. 1,842 64,585
Kimberly-Clark Corp. ................................. 3,700 207,200
Newell Rubbermaid, Inc. .............................. 260 6,452
Procter & Gamble Co. ................................. 300 16,875
Tupperware Corp. ..................................... 800 12,650
Unilever NV .......................................... 700 34,553
------------
1,152,796
------------
ENERGY -- 14.9%
ENERGY SERVICES -- 1.8%
Baker Hughes, Inc. ................................... 2,848 86,152
Halliburton Co. ...................................... 433 17,753
Schlumberger Ltd. .................................... 538 41,157
</TABLE>
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SHARES VALUE
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ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Tosco Corp. .......................................... 186 $ 5,661
Transocean Sedco Forex, Inc. ......................... 204 10,468
USX-Marathon Group, Inc. ............................. 5,600 145,950
ENERGY SOURCES -- 13.1%
Amerada Hess Corp. ................................... 1,166 75,353
Anadarko Petroleum Corp. ............................. 1,246 48,205
Apache Corp. ......................................... 100 4,975
Arch Coal, Inc. ...................................... 714 4,996
Atlantic Richfield Co. ............................... 2,100 178,500
BP Amoco PLC ADR ..................................... 1,800 95,512
Burlington Resources, Inc. ........................... 3,500 129,500
Chevron Corp. ........................................ 1,529 141,337
Conoco, Inc., Class B ................................ 616 15,785
Enron Corp. .......................................... 701 52,487
Equitable Resources, Inc. ............................ 2,400 107,550
Exxon Mobil Corp. .................................... 6,668 518,854
Kerr-McGee Corp. ..................................... 100 5,775
Occidental Petroleum Corp. ........................... 400 8,300
Phillips Petroleum Co. ............................... 348 16,095
Royal Dutch Petroleum Co. GDR ........................ 3,298 189,841
Shell Transport & Trading Co. ADR .................... 2,400 117,750
Sunoco, Inc. ......................................... 100 2,738
Texaco, Inc. ......................................... 3,147 168,758
Union Pacific Resources Group, Inc. .................. 6,900 100,050
Unocal Corp. ......................................... 7,086 210,808
------------
2,500,310
------------
FINANCE -- 22.4%
BANKS -- 6.6%
AmSouth Bancorp....................................... 350 5,228
Bank of America Corp.@ ............................... 2,422 127,004
Bank of New York Co., Inc. ........................... 700 29,094
Bank One Corp. ....................................... 2,522 86,694
BB&T Corp. ........................................... 300 8,419
Chase Manhattan Corp. ................................ 1,500 130,781
Comerica, Inc. ....................................... 170 7,119
Fifth Third Bancorp .................................. 300 18,900
First Union Corp. .................................... 967 36,021
Firstar Corp. ........................................ 2,059 47,228
Golden West Financial Corp. .......................... 159 4,959
Huntington Bancshares, Inc. .......................... 230 5,146
Lincoln National Corp. ............................... 1,000 33,500
Mercantile Bankshares Corp. .......................... 1,100 33,619
National City Corp. .................................. 8,404 173,332
Northern Trust Corp. ................................. 200 13,512
Old Kent Financial Corp. ............................. 100 3,231
PNC Bank Corp. ....................................... 288 12,978
Regions Financial Corp. .............................. 200 4,563
SouthTrust Corp. ..................................... 200 5,088
St. Paul Cos., Inc. .................................. 1,823 62,210
</TABLE>
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SHARES VALUE
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FINANCE (CONTINUED)
BANKS (CONTINUED)
State Street Corp. ................................... 157 $ 15,209
Summit Bancorp........................................ 200 5,250
SunTrust Banks, Inc. ................................. 400 23,100
Synovus Financial Corp. .............................. 300 5,663
U.S. Bancorp ......................................... 8,312 181,825
Union Planters Corp. ................................. 184 5,669
Wachovia Corp. ....................................... 200 13,512
FINANCIAL SERVICES -- 10.6%
American Express Co. ................................. 431 64,192
American General Corp. ............................... 2,967 166,523
Associates First Capital Corp., Class A .............. 6,100 130,769
Bear Stearns Cos., Inc. .............................. 110 5,019
Capital One Financial Corp. .......................... 177 8,485
Citigroup, Inc. ...................................... 7,381 437,786
Countrywide Credit Industries, Inc. .................. 100 2,725
Dow Jones & Co., Inc. ................................ 500 35,906
Dun & Bradstreet Corp. ............................... 1,300 37,212
Fannie Mae ........................................... 2,203 124,332
Fleet Boston Financial Corp. ......................... 3,106 113,369
Freddie Mac .......................................... 681 30,092
H&R Block, Inc. ...................................... 800 35,800
Heller Financial, Inc. ............................... 1,200 27,750
Household International, Inc. ........................ 460 17,164
KeyCorp. ............................................. 1,038 19,722
Lehman Brothers Holdings, Inc. ....................... 122 11,834
Mellon Financial Corp. ............................... 3,800 112,100
Merrill Lynch & Co., Inc. ............................ 363 38,115
Morgan (J.P.) & Co., Inc. ............................ 670 88,272
Morgan Stanley, Dean Witter & Co. .................... 1,112 90,697
Paine Webber Group, Inc. ............................. 116 5,104
StanCorp. Financial Group, Inc. ...................... 1,600 43,800
T.Rowe Price Associates, Inc. ........................ 123 4,858
Washington Mutual, Inc. .............................. 565 14,972
Wells Fargo & Co. .................................... 2,807 114,912
INSURANCE -- 5.2%
ACE Ltd. ............................................. 3,200 73,200
Aetna, Inc. .......................................... 130 7,239
AFLAC, Inc. .......................................... 300 13,669
Allstate Corp. ....................................... 788 18,764
American International Group, Inc.(1) ................ 1,500 164,250
Aon Corp. ............................................ 250 8,063
Chubb Corp. .......................................... 973 65,738
CIGNA Corp. .......................................... 1,582 119,836
Cincinnati Financial Corp. ........................... 200 7,525
Cinergy Corp. ........................................ 100 2,150
Conseco, Inc. ........................................ 300 3,431
Franklin Resources, Inc. ............................. 281 9,396
Hartford Financial Services Group, Inc. .............. 200 10,550
Jefferson-Pilot Corp. ................................ 100 6,656
Marsh & McLennan Cos., Inc. .......................... 1,479 163,152
</TABLE>
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SHARES VALUE
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<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
MBIA, Inc. ........................................... 1,900 $ 98,919
MGIC Investment Corp. ................................ 107 4,668
Progressive Corp. .................................... 100 7,606
SAFECO Corp. ......................................... 1,528 40,588
Torchmark Corp. ...................................... 100 2,313
UnumProvident Corp. .................................. 2,335 39,695
------------
3,747,772
------------
HEALTHCARE -- 7.0%
DRUGS -- 3.3%
Abbott Laboratories, Inc. ............................ 1,200 42,225
ALZA Corp.+ .......................................... 116 4,357
American Home Products Corp. ......................... 4,370 234,341
Mallinckrodt, Inc. ................................... 100 2,875
Merck & Co., Inc. .................................... 400 24,850
Pharmacia & Upjohn, Inc. ............................. 4,000 237,000
Watson Pharmaceuticals, Inc.+ ........................ 100 3,969
HEALTH SERVICES -- 2.5%
Columbia/HCA Healthcare Corp. ........................ 4,752 120,285
HEALTHSOUTH Corp.+ ................................... 400 2,225
Humana, Inc.+ ........................................ 200 1,463
Manor Care, Inc.+ .................................... 100 1,350
Quintiles Transnational Corp.+ ....................... 100 1,706
Shared Medical Systems Corp. ......................... 34 1,764
Tenet Healthcare Corp.+ .............................. 2,400 55,200
United HealthCare Corp. .............................. 167 9,957
Wellpoint Health Networks, Inc.+ ..................... 3,250 227,094
MEDICAL PRODUCTS -- 1.2%
Bausch & Lomb, Inc. .................................. 65 3,392
Baxter International, Inc. ........................... 2,265 141,987
Becton, Dickinson & Co. .............................. 824 21,681
Biomet, Inc. ......................................... 100 3,638
Boston Scientific Corp.+ ............................. 443 9,441
Cardinal Health, Inc. ................................ 275 12,616
McKesson HBOC, Inc. .................................. 280 5,880
Smith & Nephew PLC ................................... 2,000 5,732
St. Jude Medical, Inc.+ .............................. 100 2,581
------------
1,177,609
------------
INDUSTRIAL & COMMERCIAL -- 8.3%
AEROSPACE & MILITARY TECHNOLOGY -- 1.0%
Boeing Co. ........................................... 1,913 72,574
General Dynamics Corp. ............................... 200 9,950
ITT Industries, Inc. ................................. 100 3,106
Lockheed Martin Corp. ................................ 3,200 65,400
Northrop Grumman Corp. ............................... 50 2,647
Raytheon Co., Class B ................................ 332 5,893
Rockwell International Corp. ......................... 200 8,363
</TABLE>
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 2.1%
Allied Waste Industries, Inc.+ ....................... 200 $ 1,312
Armstrong World Industries, Inc. ..................... 1,000 17,875
Cendant Corp.+ ....................................... 696 12,876
Deluxe Corp. ......................................... 100 2,650
Donnelley (R.R.) & Sons Co. .......................... 1,300 27,219
Ecolab, Inc. ......................................... 97 3,559
Electronic Data Systems Corp. ........................ 1,161 74,522
First Data Corp. ..................................... 2,200 97,350
IKON Office Solutions, Inc. .......................... 200 1,237
Owens-Illinois, Inc. + ............................... 185 3,122
Pall Corp. ........................................... 2,300 51,606
Rowan Cos., Inc.+ .................................... 114 3,356
Sabre Holdings Corp. ................................. 104 3,841
Waste Management, Inc. ............................... 3,012 41,227
ELECTRICAL EQUIPMENT -- 0.9%
Dover Corp. .......................................... 200 9,575
Emerson Electric Co. ................................. 1,926 101,838
Hubbell, Inc., Class B ............................... 1,400 38,325
Johnson Controls, Inc. ............................... 100 5,406
MACHINERY -- 1.1%
Caterpillar, Inc.@ ................................... 368 14,513
Cooper Industries, Inc. .............................. 1,000 35,000
Danaher Corp. ........................................ 162 8,262
Deere & Co. .......................................... 300 11,400
Illinois Tool Works, Inc. ............................ 294 16,243
Ingersoll-Rand Co. ................................... 184 8,142
Parker-Hannifin Corp. ................................ 100 4,131
Precision Castparts Corp. ............................ 1,400 51,100
Snap-on, Inc. ........................................ 100 2,619
United Technologies Corp. ............................ 469 29,635
MULTI-INDUSTRY -- 1.7%
Crane Co. ............................................ 100 2,356
Honeywell International, Inc. ........................ 773 40,727
Minnesota Mining & Manufacturing Co. ................. 1,193 105,655
Monsanto Co. ......................................... 621 31,982
PerkinElmer, Inc. .................................... 100 6,650
Sara Lee Corp. ....................................... 3,000 54,000
Textron, Inc. ........................................ 152 9,253
Thermo Electron Corp.+ ............................... 200 4,075
Viacom, Inc., Class B+ ............................... 682 35,976
TRANSPORTATION -- 1.5%
AMR Corp.+ ........................................... 145 4,622
Burlington Northern Santa Fe Corp. ................... 474 10,487
Canadian National Railway Co. ........................ 1,000 26,688
CSX Corp. ............................................ 1,800 42,300
Fedex Corp. .......................................... 300 11,700
Kansas City Southern Industries, Inc. ................ 120 10,313
Norfolk Southern Corp. ............................... 5,100 73,312
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Union Pacific Corp. .................................. 1,715 $ 67,099
------------
1,383,069
------------
INFORMATION & ENTERTAINMENT -- 4.4%
BROADCASTING & MEDIA -- 1.8%
CBS Corp.+ ........................................... 746 42,242
Clear Channel Communications, Inc.+ .................. 332 22,929
Gannett Co., Inc. .................................... 900 63,337
Knight-Ridder, Inc. .................................. 1,068 54,401
Loews Corp. .......................................... 100 5,000
McGraw-Hill Cos., Inc. ............................... 172 7,826
MediaOne Group, Inc.+ ................................ 614 49,734
New York Times Co., Class A .......................... 200 8,588
Placer Dome, Inc. .................................... 319 2,592
Reader's Digest Association, Inc., Class A ........... 800 28,300
Times Mirror Co., Class A ............................ 63 5,855
Tribune Co. .......................................... 255 9,323
ENTERTAINMENT PRODUCTS -- 0.9%
Brunswick Corp. ...................................... 2,000 37,875
Eastman Kodak Co. .................................... 1,400 76,037
Hasbro, Inc. ......................................... 1,727 28,496
Mattel, Inc. ......................................... 400 4,175
Polaroid Corp. ....................................... 100 2,375
LEISURE & TOURISM -- 1.7%
Carnival Corp. ....................................... 615 15,260
Darden Restaurants, Inc. ............................. 100 1,781
Delta Air Lines, Inc. ................................ 130 6,923
Harrah's Entertainment, Inc.+ ........................ 100 1,856
Hilton Hotels Corp. .................................. 2,500 19,375
Marriott International, Inc., Class A ................ 271 8,536
McDonald's Corp. ..................................... 1,338 50,259
Mirage Resorts, Inc.+ ................................ 200 3,875
Southwest Airlines Co. ............................... 500 10,406
Walt Disney Co. ...................................... 4,018 166,245
Wendy's International, Inc. .......................... 200 4,038
------------
737,639
------------
INFORMATION TECHNOLOGY -- 6.6%
COMMUNICATION EQUIPMENT -- 0.4%
3Com Corp.+ .......................................... 338 18,801
Cabletron Systems, Inc.+ ............................. 177 5,189
Newbridge Networks Corp.+ ............................ 1,500 48,656
COMPUTER SERVICES -- 1.2%
Autodesk, Inc. ....................................... 55 2,503
Ceridian Corp.+ ...................................... 5,110 98,048
Novell, Inc.+ ........................................ 347 9,933
Unisys Corp.+ ........................................ 3,284 83,742
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 2.3%
Adaptec, Inc.+ ....................................... 110 $ 4,249
Apple Computer, Inc.+ ................................ 158 21,458
Compaq Computer Corp. ................................ 2,663 70,902
Computer Sciences Corp.+ ............................. 177 14,005
Hewlett-Packard Co. .................................. 1,515 200,832
NCR Corp. + .......................................... 81 3,250
Seagate Technology, Inc.+ ............................ 200 12,050
Silicon Graphics, Inc.+ .............................. 200 2,113
Xerox Corp. .......................................... 2,517 65,442
COMPUTER SOFTWARE -- 0.7%
BMC Software, Inc.+ .................................. 2,500 123,438
ELECTRONICS -- 1.1%
Advanced Micro Devices, Inc.+ ........................ 145 8,274
Analog Devices, Inc.+ ................................ 342 27,552
Eaton Corp. .......................................... 459 35,802
KLA-Tencor Corp.+ .................................... 200 16,850
LSI Logic Corp.+ ..................................... 314 22,804
Micron Technology, Inc.+ ............................. 264 33,264
Molex, Inc. .......................................... 197 11,574
National Semiconductor Corp.+ ........................ 168 10,185
Tektronix, Inc. ...................................... 36 2,016
Teradyne, Inc.+ ...................................... 168 13,818
TELECOMMUNICATIONS -- 0.9%
Andrew Corp.+ ........................................ 100 2,288
Global Crossing Ltd.+ ................................ 739 30,253
Motorola, Inc. ....................................... 700 99,662
Scientific-Atlanta, Inc. ............................. 200 12,687
------------
1,111,640
------------
MATERIALS -- 7.5%
CHEMICALS -- 3.3%
Air Products & Chemicals, Inc. ....................... 2,200 62,562
Ashland, Inc. ........................................ 2,900 96,969
CK Witco Corp. ....................................... 616 6,276
Dow Chemical Co. ..................................... 505 57,570
du Pont (E.I.) de Nemours & Co. ...................... 2,239 118,387
Eastman Chemical Co. ................................. 100 4,550
Engelhard Corp. ...................................... 3,500 52,937
Great Lakes Chemical Corp. ........................... 1,100 37,400
Hercules, Inc. ....................................... 1,871 30,170
Imperial Chemical Industries PLC ADR ................. 700 22,575
PPG Industries, Inc. ................................. 690 36,096
Praxair, Inc. ........................................ 156 6,493
Rohm & Haas Co. ...................................... 215 9,594
Sherwin-Williams Co. ................................. 200 4,388
Sigma-Aldrich Corp. .................................. 135 3,628
Union Carbide Corp. .................................. 116 6,764
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 2.3%
Boise Cascade Corp. .................................. 25 $ 869
Champion International Corp. ......................... 800 42,600
Consolidated Papers, Inc. ............................ 1,200 46,125
Georgia-Pacific Corp. (Timber Group) ................. 1,800 46,125
Georgia-Pacific Group ................................ 2,492 98,590
International Paper Co. .............................. 2,094 89,518
Louisiana-Pacific Corp. .............................. 174 2,414
Mead Corp. ........................................... 100 3,494
Pactiv Corp. ......................................... 200 1,750
Temple-Inland, Inc. .................................. 60 2,989
Westvaco Corp. ....................................... 100 3,338
Weyerhaeuser Co. ..................................... 647 36,879
Willamette Industries, Inc. .......................... 100 4,012
METALS & MINERALS -- 1.9%
Alcan Aluminium Ltd. ................................. 200 6,775
Alcoa, Inc. .......................................... 3,159 221,920
Allegheny Technologies, Inc. ......................... 100 2,006
Barrick Gold Corp. ................................... 400 6,275
Bethlehem Steel Corp.+ ............................... 200 1,200
Crown, Cork & Seal Co., Inc. ......................... 173 2,768
Fluor Corp. .......................................... 100 3,100
Homestake Mining Co. ................................. 200 1,200
Inco Ltd.+ ........................................... 200 3,663
Newmont Mining Corp. ................................. 1,264 28,361
Nucor Corp. .......................................... 67 3,350
Phelps Dodge Corp. ................................... 561 26,648
Reynolds Metals Co. .................................. 69 4,614
USX-US Steel Group, Inc. ............................. 100 2,500
Vulcan Materials Co. ................................. 100 4,581
------------
1,254,023
------------
REAL ESTATE -- 0.7%
REAL ESTATE INVESTMENT TRUSTS -- 0.7%
Rouse Co. ............................................ 1,400 29,575
Simon Property Group, Inc. ........................... 1,800 43,200
Starwood Hotels & Resorts Worldwide, Inc., Class B ... 2,000 52,500
------------
125,275
------------
UTILITIES -- 13.8%
ELECTRIC UTILITIES -- 3.7%
AES Corp.+ ........................................... 200 15,750
Ameren Corp. ......................................... 100 3,094
American Electric Power Co., Inc. .................... 200 5,962
Carolina Power & Light Co. ........................... 112 3,633
Central & South West Corp. ........................... 200 3,413
CMS Energy Corp. ..................................... 135 2,447
Consolidated Edison, Inc. ............................ 200 5,800
Constellation Energy Group ........................... 100 3,188
Dominion Resources, Inc. ............................. 308 11,839
</TABLE>
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<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
DQE, Inc. ............................................ 900 $ 40,950
DTE Energy Co. ....................................... 200 5,800
Duke Energy Corp. .................................... 1,358 71,295
Edison International ................................. 300 4,969
Entergy Corp. ........................................ 1,042 21,035
FirstEnergy Corp. .................................... 1,800 37,125
Florida Progress Corp. ............................... 100 4,587
FPL Group, Inc. ...................................... 176 8,107
GPU, Inc. ............................................ 181 4,955
New Century Energies, Inc. ........................... 100 3,006
Niagara Mohawk Holdings, Inc.+ ....................... 1,500 20,250
Northern States Power Co. ............................ 100 1,988
Pacific Gas & Electric Corp. ......................... 376 7,896
PECO Energy Co. ...................................... 1,182 43,586
Pinnacle West Capital Corp. .......................... 2,300 64,831
PPL Corp. ............................................ 200 4,188
Public Service Enterprise Group, Inc. ................ 259 7,673
ScottishPower PLC ADR ................................ 912 28,899
Sempra Energy ........................................ 255 4,271
Southern Co. ......................................... 4,459 96,983
TECO Energy, Inc. .................................... 700 13,606
Texas Utilities Co. .................................. 271 8,045
Unicom Corp. ......................................... 1,400 51,100
GAS & PIPELINE UTILITIES -- 1.0%
Coastal Corp. ........................................ 200 9,200
Columbia Energy Group ................................ 100 5,925
Eastern Enterprises .................................. 100 5,988
El Paso Energy Corp. ................................. 263 10,619
National Fuel Gas Co. ................................ 800 35,650
Reliant Energy, Inc. ................................. 1,400 32,812
SCANA Corp. .......................................... 2,000 49,125
Williams Cos., Inc. .................................. 400 17,575
TELEPHONE -- 9.1%
ALLTEL Corp. ......................................... 1,506 94,972
AT&T Corp. ........................................... 7,686 432,337
Bell Atlantic Corp. .................................. 4,444 271,639
BellSouth Corp. ...................................... 2,622 123,234
CenturyTel, Inc. ..................................... 150 5,569
GTE Corp. ............................................ 2,361 167,631
MCI WorldCom, Inc.+ .................................. 4,927 223,255
SBC Communications, Inc. ............................. 2,500 105,000
Sprint Corp. ......................................... 870 54,810
U.S. West, Inc. ...................................... 700 50,838
------------
2,306,450
------------
TOTAL INVESTMENT SECURITIES (cost $16,523,931)........ 16,333,201
------------
</TABLE>
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<PAGE>
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<CAPTION>
SHARES/
SHORT-TERM SECURITIES -- 1.4% PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.2%
T. Rowe Price Reserve Investment Fund................. 202,399 $ 202,399
------------
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 5.07% due 4/06/00@....... $ 10,000 9,993
United States Treasury Bills 5.10% due 4/06/00@....... 20,000 19,986
------------
29,979
------------
TOTAL SHORT-TERM SECURITIES (cost $232,378)........... 232,378
------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.7%
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.7%
Swiss Bank Corp. Joint Repurchase Agreement Account
(Note 3)
(cost $125,000)...................................... 125,000 125,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $16,881,309) 99.6% 16,690,579
Other assets less liabilities -- 0.4 60,709
------- ------------
NET ASSETS -- 100.0% $ 16,751,288
======= ============
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; see Note 7
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 MARCH 31, 2000 APPRECIATION
-----------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500 Index June 2000 $148,611 $151,530 $2,919
======
</TABLE>
See Notes to Financial Statements
----------------
119
<PAGE>
----------------
SEASONS SERIES TRUST
MID CAP GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 96.9%
SHARES VALUE
<S> <C> <C>
---------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.6%
APPAREL & TEXTILES -- 0.4%
Cintas Corp. ..................................... 2,200 $ 86,213
Jones Apparel Group, Inc.+ ....................... 686 21,866
Quiksilver, Inc.+ ................................ 750 13,172
AUTOMOTIVE -- 0.8%
AutoNation, Inc.+ ................................ 1,146 9,096
AutoZone, Inc.+ .................................. 300 8,325
Donaldson Co., Inc. .............................. 700 15,794
General Motors Corp., Class H+ ................... 395 49,177
Harley-Davidson, Inc. ............................ 1,533 121,682
SPX Corp.+ ....................................... 166 18,914
HOUSING -- 0.4%
Black & Decker Corp. ............................. 468 17,579
Centex Corp. ..................................... 137 3,263
HON INDUSTRIES, Inc. ............................. 700 18,025
Leggett & Platt, Inc. ............................ 800 17,200
Lennar Corp. ..................................... 700 15,181
Maytag Corp. ..................................... 422 13,979
Mohawk Industries, Inc.+ ......................... 32 716
Williams-Sonoma, Inc.+ ........................... 929 28,799
RETAIL -- 5.0%
Abercrombie & Fitch Co., Class A+ ................ 561 8,976
American Eagle Outfitters, Inc.+ ................. 145 5,501
Barnes & Noble, Inc.+ ............................ 194 4,462
Bed Bath & Beyond, Inc.+ ......................... 5,393 212,349
Best Buy Co., Inc.+ .............................. 985 84,710
BJ's Wholesale Club, Inc.+ ....................... 900 34,763
Circuit City Stores, Inc. ........................ 1,481 90,156
Claire's Stores, Inc. ............................ 247 4,955
Consolidated Stores Corp.+ ....................... 300 3,413
CVS Corp. ........................................ 500 18,781
Dollar General Corp. ............................. 2,486 66,811
Dollar Tree Stores, Inc.+ ........................ 1,033 53,845
Duane Reade, Inc.+ ............................... 600 13,950
Family Dollars Stores, Inc. ...................... 2,362 49,159
Harcourt General, Inc. ........................... 400 14,900
InfoSpace.Com, Inc.+ ............................. 279 40,577
Kohl's Corp.+ .................................... 1,074 110,085
Lands' End, Inc.+ ................................ 1,000 61,500
Limited, Inc. .................................... 133 5,603
Linens' N Things, Inc.+ .......................... 762 26,099
Men's Wearhouse, Inc.+ ........................... 600 17,775
Neiman Marcus Group, Inc., Class A ............... 113 3,143
Nordstrom, Inc. .................................. 100 2,950
Office Depot, Inc. + ............................. 1,473 17,032
Ross Stores, Inc. ................................ 2,145 51,614
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Saks, Inc.+ ...................................... 274 $ 3,973
Sotheby's Holdings, Inc., Class A ................ 295 5,439
Staples, Inc.+ ................................... 800 16,000
Starbucks Corp.+ ................................. 2,217 99,349
Tandy Corp. ...................................... 1,150 58,362
Tiffany & Co. .................................... 1,305 109,131
TJX Cos., Inc. ................................... 3,516 78,011
Too Inc.+ ........................................ 38 1,199
Zale Corp.+ ...................................... 600 28,313
-----------
1,861,867
-----------
CONSUMER STAPLES -- 1.7%
FOOD, BEVERAGE & TOBACCO -- 1.4%
Hershey Foods Corp. .............................. 71 3,461
Keebler Foods Co.+ ............................... 100 2,869
McCormick & Co., Inc. ............................ 3,200 103,200
Pepsi Bottling Group , Inc. ...................... 713 14,260
Quaker Oats Co. .................................. 378 22,916
Ralston-Ralston Purina Group ..................... 416 11,388
RF Micro Devices, Inc.+ .......................... 918 123,356
RJ Reynolds Tobacco Holdings, Inc.+ .............. 200 3,400
Sodexho Marriott Services, Inc. .................. 100 1,500
Tootsie Roll Industries, Inc. .................... 840 26,448
U.S. Foodservice+ ................................ 1,400 36,050
UST, Inc. ........................................ 405 6,328
Whitman Corp. .................................... 105 1,464
Wrigley (WM.) Jr. Co. ............................ 300 23,044
HOUSEHOLD PRODUCTS -- 0.3%
Blyth Industries, Inc.+ .......................... 200 5,463
Dial Corp. ....................................... 564 7,755
Estee Lauder Cos., Inc., Class A ................. 500 25,031
Fort James Corp. ................................. 996 21,912
Nu Skin Enterprises, Inc., Class A+ .............. 206 1,635
Rayovac Corp.+ ................................... 1,200 27,900
-----------
469,380
-----------
ENERGY -- 0.9%
ENERGY SERVICES -- 0.5%
Baker Hughes, Inc. ............................... 122 3,690
BJ Services Co.+ ................................. 1,000 73,875
ENSCO International, Inc. ........................ 200 7,225
Global Marine, Inc.+ ............................. 215 5,456
Nabors Industries, Inc.+ ......................... 307 11,915
R&B Falcon Corp.+ ................................ 400 7,875
USX-Marathon Group, Inc. ......................... 136 3,545
Weatherford International, Inc.+ ................. 645 38,015
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 0.4%
Anadarko Petroleum Corp. ......................... 157 $ 6,074
Apache Corp. ..................................... 600 29,850
Devon Energy Corp. ............................... 600 29,138
Diamond Offshore Drilling, Inc. .................. 100 3,994
Noble Affiliates, Inc. ........................... 174 5,709
Noble Drilling Corp.+ ............................ 343 14,213
Vastar Resources, Inc. ........................... 100 7,431
-----------
248,005
-----------
FINANCE -- 6.0%
BANKS -- 0.8%
City National Corp. .............................. 700 23,581
Community First Bankshares, Inc. ................. 1,000 16,000
First Tennessee National Corp.@ .................. 5 102
National Commerce Bancorp. ....................... 500 9,250
North Fork Bancorp, Inc. ......................... 2,100 37,537
Northern Trust Corp. ............................. 1,180 79,724
State Street Corp. ............................... 400 38,750
Synovus Financial Corp. .......................... 600 11,325
Zions Bancorp .................................... 233 9,699
FINANCIAL SERVICES -- 4.3%
Ambac Financial Group, Inc. ...................... 800 40,300
Ameritrade Holding Corp., Class A+ ............... 436 9,108
Amvescap PLC ADR ................................. 500 35,500
Associates First Capital Corp., Class A .......... 6,500 139,344
Capital One Financial Corp. ...................... 1,492 71,523
Concord EFS, Inc.+ ............................... 2,332 53,490
Dow Jones & Co., Inc. ............................ 186 13,357
E*TRADE Group, Inc.+ ............................. 1,106 33,318
Eaton Vance Corp. ................................ 700 30,056
Federated Investors, Inc., Class B ............... 1,300 35,506
H&R Block, Inc. .................................. 200 8,950
Heller Financial, Inc. ........................... 7,700 178,062
Investment Technology Group, Inc. ................ 638 22,490
Investors Financial Services Corp. ............... 300 17,663
Legg Mason, Inc. ................................. 800 34,600
NCO Group, Inc.+ ................................. 4,700 150,106
NOVA Corp.+ ...................................... 206 6,000
Providian Financial Corp. ........................ 300 25,987
Raymond James Financial, Inc. .................... 900 18,675
Security Capital Group, Inc., Class B+ ........... 1,500 21,656
SEI Investments Co. .............................. 358 40,611
SLM Holding Corp. ................................ 900 29,981
T.Rowe Price Associates, Inc. .................... 623 24,609
U.S. Trust Corp. ................................. 602 113,778
Waddell & Reed Financial, Inc., Class A .......... 1,200 50,775
INSURANCE -- 0.9%
ChoicePoint, Inc.+ ............................... 600 22,425
Equifax, Inc. .................................... 1,600 40,400
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Franklin Resources, Inc. ......................... 1,625 $ 54,336
Hartford Life, Inc., Class A ..................... 33 1,547
Medical Assurance, Inc.+ ......................... 840 16,012
Mutual Risk Management Ltd. ...................... 1,500 30,000
Progressive Corp. ................................ 72 5,477
Protective Life Corp. ............................ 700 22,225
Radian Group, Inc. ............................... 600 28,575
XL Capital Ltd., Class A ......................... 300 16,612
-----------
1,669,022
-----------
HEALTHCARE -- 9.2%
DRUGS -- 4.8%
Allergan, Inc. ................................... 1,166 58,300
ALZA Corp.+ ...................................... 500 18,781
Amgen, Inc.+ ..................................... 300 18,413
Andrx Corp.+ ..................................... 118 13,629
Bergen Brunswig Corp., Class A ................... 500 3,375
BioChem Pharma, Inc.+ ............................ 700 15,488
Biogen, Inc.+ .................................... 1,201 83,920
Elan Corp. PLC ADR+ .............................. 600 28,500
Forest Laboratories, Inc.+ ....................... 1,558 131,651
Gilead Sciences, Inc.+ ........................... 1,900 120,412
Human Genome Sciences, Inc.+ ..................... 2,100 174,431
ICN Pharmaceuticals, Inc. ........................ 400 10,900
ICOS Corp.+ ...................................... 284 10,260
IDEC Pharmaceuticals Corp.+ ...................... 400 39,300
Immunex Corp.+ ................................... 4,932 312,874
Incyte Pharmaceuticals, Inc.+ .................... 400 34,800
IVAX Corp.+ ...................................... 598 16,296
Millennium Pharmaceuticals, Inc.+ ................ 400 51,950
Mylan Laboratories, Inc. ......................... 600 16,500
Protein Design Labs, Inc.+ ....................... 400 31,800
ResMed, Inc.+ .................................... 700 49,962
Sepracor, Inc.+ .................................. 400 29,125
Shire Pharmaceuticals Group PLC ADR+ ............. 600 30,750
Watson Pharmaceuticals, Inc.+ .................... 1,000 39,687
HEALTH SERVICES -- 1.4%
Chiron Corp.+ .................................... 283 14,115
Express Scripts, Inc., Class A+ .................. 1,104 46,368
Health Management Associates, Inc., Class A+ ..... 1,443 20,563
Healtheon/WebMD Corp.+ ........................... 160 3,680
HEALTHSOUTH Corp.+ ............................... 270 1,502
IMS Health, Inc. ................................. 3,700 62,669
Lincare Holdings, Inc.+ .......................... 500 14,187
Manor Care, Inc.+ ................................ 100 1,350
Medical Manager Corp.+ ........................... 399 13,990
Omnicare, Inc. ................................... 200 2,412
Oxford Health Plans, Inc.+ ....................... 587 8,952
PacifiCare Health Systems, Inc.+ ................. 37 1,845
Quest Diagnostics, Inc.+ ......................... 600 23,850
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Quintiles Transnational Corp.+ ................... 1,522 $ 25,969
Renal Care Group, Inc.+ .......................... 500 10,844
ServiceMaster Co. ................................ 1,600 18,000
Shared Medical Systems Corp. ..................... 403 20,906
Stryker Corp. .................................... 700 48,825
Sybron International Corp.+ ...................... 1,900 55,100
United HealthCare Corp. .......................... 11 656
Ventiv Health, Inc.+ ............................. 134 1,348
Wellpoint Health Networks, Inc., + ............... 100 6,987
MEDICAL PRODUCTS -- 3.0%
ArthroCare Corp. + ............................... 400 36,800
Bausch & Lomb, Inc. .............................. 208 10,855
Beckman Coulter, Inc. ............................ 122 7,831
Becton, Dickinson & Co. .......................... 1,000 26,312
Biomatrix, Inc.+ ................................. 900 22,950
Biomet, Inc. ..................................... 1,100 40,012
Boston Scientific Corp.+ ......................... 600 12,788
Cardinal Health, Inc. ............................ 400 18,350
Dionex Corp.+ .................................... 400 13,175
Genzyme Corp.+ ................................... 3,495 175,187
Guidant Corp.+ ................................... 500 29,406
McKesson HBOC, Inc. .............................. 725 15,225
MedImmune, Inc.+ ................................. 636 110,743
Medtronic, Inc. .................................. 524 26,953
MiniMed, Inc.+ ................................... 127 16,446
PE Corp-PE Biosystems Group ...................... 1,800 173,700
PE Corp.-Celera Genomics Group+ .................. 400 36,625
QLT PhotoTherapeutics, Inc.+ ..................... 400 22,100
St. Jude Medical, Inc.+ .......................... 200 5,163
VISX, Inc.+ ...................................... 390 7,118
Wesley Jessen VisionCare, Inc.+ .................. 900 32,344
-----------
2,585,305
-----------
INDUSTRIAL & COMMERCIAL -- 12.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.7%
Cordant Technologies, Inc. ....................... 16 905
General Dynamics Corp. ........................... 355 17,661
Gilat Satellite Networks Ltd.+ ................... 1,400 164,150
BUSINESS SERVICES -- 7.8%
Allied Waste Industries, Inc.+ ................... 842 5,526
Apollo Group, Inc., Class A+ ..................... 1,362 38,391
Comdisco, Inc. ................................... 140 6,178
Corning, Inc. .................................... 1,200 232,800
CSG Systems International, Inc. + ................ 302 14,741
DeVry, Inc.+ ..................................... 2,000 61,000
Ecolab, Inc. ..................................... 1,693 62,112
Electronics for Imaging, Inc.+ ................... 300 18,000
F.Y.I., Inc. + ................................... 900 24,413
First Data Corp. ................................. 2,100 92,925
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Fiserv, Inc.+ .................................... 790 $ 29,378
Gartner Group, Inc., Class A+@ ................... 633 9,970
Gartner Group, Inc., Class B+ .................... 8 107
Hertz Corp., Class A ............................. 39 1,328
Ikon Office Solutions, Inc. ...................... 90 557
Insituform Technologies, Inc., Class A+ .......... 1,000 30,625
Interpublic Group of Cos., Inc. .................. 2,290 108,202
Iron Mountain, Inc.+ ............................. 9,190 313,034
ITT Educational Services, Inc.+ .................. 600 9,600
Manpower, Inc. ................................... 6,300 223,650
Modis Professional Services, Inc.+ ............... 300 3,713
National Data Corp. .............................. 585 15,210
Paychex, Inc. .................................... 2,240 117,320
PSINet, Inc.+ .................................... 1,526 51,908
Republic Services, Inc., Class A+ ................ 800 8,750
Robert Half International, Inc.+ ................. 1,100 52,181
Sabre Holdings Corp. ............................. 1,990 73,506
SFX Entertainment, Inc.,+ ........................ 4,442 181,289
Smith International, Inc.+ ....................... 935 72,462
Stewart Enterprises, Inc., Class A ............... 200 988
Sylvan Learning Systems, Inc.+ ................... 206 3,283
SYSCO Corp. ...................................... 1,621 57,849
TMP Worldwide, Inc.+ ............................. 296 23,014
Total System Services, Inc. ...................... 200 3,188
United Rentals, Inc.+ ............................ 100 1,725
Valspar Corp. .................................... 1,200 45,975
Veritas DGC, Inc.+ ............................... 600 16,875
Viad Corp. ....................................... 1,294 29,600
Waters Corp.+ .................................... 1,190 113,347
WestPoint Stevens, Inc. .......................... 200 3,800
ELECTRICAL EQUIPMENT -- 0.6%
Gentex Corp.+ .................................... 481 17,827
Jabil Circuit, Inc.+ ............................. 1,400 60,550
Littelfuse, Inc.+ ................................ 900 33,019
Roper Industries, Inc. ........................... 600 20,362
Technitrol, Inc. ................................. 700 40,775
MACHINERY -- 0.6%
Cognex Corp.+ .................................... 500 28,843
Cooper Cameron Corp.+ ............................ 600 40,125
Danaher Corp. .................................... 948 48,348
Howmet International, Inc.+ ...................... 116 2,342
IDEX Corp. ....................................... 600 16,350
Lincoln Electric Holdings, Inc. .................. 900 21,769
Parker-Hannifin Corp. ............................ 400 16,525
MULTI-INDUSTRY -- 0.2%
Avery Dennison Corp. ............................. 929 56,727
TRANSPORTATION -- 2.6%
AMR Corp.+ ....................................... 2,600 82,875
Atlas Air, Inc.+ ................................. 7,200 197,100
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
C.H. Robinson Worldwide, Inc. .................... 600 $ 22,350
Expeditors International of Washington, Inc. ..... 1,276 50,721
Kansas City Southern Industries, Inc. ............ 1,048 90,063
Ryanair Holdings PLC ADR+ ........................ 6,200 284,425
-----------
3,472,332
-----------
INFORMATION & ENTERTAINMENT -- 11.8%
BROADCASTING & MEDIA -- 11.2%
ACNielson Corp.+@ ................................ 1,400 31,500
Acxiom Corp.+ .................................... 387 12,868
ADC Telecommunications, Inc.+ .................... 2,746 147,941
Adelphia Communications Corp., Class A+ .......... 255 12,495
AMFM, Inc.+ ...................................... 500 31,062
AT&T Corp. - Liberty Media Group, Class A+ ....... 2,900 171,825
Centennial Communications Corp.+ ................. 300 7,294
Central Newspapers, Inc., Class A ................ 100 3,363
Clear Channel Communications, Inc.+ .............. 377 26,037
Comcast Corp., Class A+ .......................... 161 6,983
Cox Communications, Inc., Class A+ ............... 669 32,446
Cox Radio, Inc., Class A+ ........................ 31 2,604
Crown Castle International Corp.+(1) ............. 7,200 272,700
Cumulus Media, Inc., Class A+ .................... 500 7,188
DoubleClick, Inc.+ ............................... 499 46,719
E.W. Scripps Co., Class A ........................ 2,100 101,850
EchoStar Communications Corp., Class A+ .......... 2,522 199,238
Emmis Communications Corp., Class A+ ............. 1,000 46,500
Entercom Communications Corp.+ ................... 700 35,700
Harmonic, Inc.+ .................................. 200 16,650
Harte-Hanks, Inc. ................................ 800 18,150
Hearst-Argyle Television, Inc.+ .................. 100 2,338
Hispanic Broadcasting Corp.+ ..................... 651 73,726
Houghton Mifflin Co. ............................. 100 4,244
Infinity Broadcasting Corp., Class A+ ............ 1,625 52,609
John Wiley & Sons, Inc., Class A ................. 200 3,600
Lamar Advertising Co.+ ........................... 900 40,950
Liberty Digital, Inc., Class A+ .................. 285 10,972
McGraw-Hill Cos., Inc. ........................... 166 7,553
Meredith Corp. ................................... 900 24,919
Omnicom Group, Inc. .............................. 300 28,031
Pinnacle Holdings, Inc.+ ......................... 700 38,675
PrimaCom AG ADR+ ................................. 3,300 152,831
PRIMEDIA, Inc.+ .................................. 300 9,600
Radio One, Inc.+ ................................. 400 26,650
RCN Corp.+ ....................................... 242 13,038
Reader's Digest Association, Inc., Class A ....... 251 8,879
Regent Communications, Inc. ...................... 2,900 35,887
Revlon, Inc., Class A+ ........................... 166 1,463
Snyder Communications, Inc.+ ..................... 300 6,750
TeleCorp PCS, Inc.+ .............................. 4,000 207,000
Times Mirror Co., Class A ........................ 206 19,145
</TABLE>
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SHARES VALUE
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<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Tritel, Inc.+ .................................... 4,700 $ 179,775
TV Guide, Inc., Class A+ ......................... 6,567 315,626
United States Cellular Corp.+ .................... 329 23,359
UnitedGlobalCom, Inc., Class A+ .................. 3,820 286,739
Univision Communications, Inc., Class A+ ......... 1,063 120,119
USA Networks, Inc.+ .............................. 800 18,050
Valassis Communications, Inc.+ ................... 1,262 42,040
VoiceStream Wireless Corp.+ ...................... 297 38,257
Western Wireless Corp., Class A+ ................. 866 39,674
Westwood One, Inc.+ .............................. 800 29,000
Young & Rubicam, Inc. ............................ 800 37,600
ENTERTAINMENT PRODUCTS -- 0.2%
Citadel Communications Corp.+ .................... 900 37,969
International Speedway Corp., Class A ............ 130 5,842
Mattel, Inc. ..................................... 2,058 21,480
LEISURE & TOURISM -- 0.4%
Carnival Corp. ................................... 700 17,369
Galileo International, Inc. ...................... 300 7,219
Hilton Hotels Corp. .............................. 1,174 9,098
Marriott International, Inc., Class A ............ 500 15,750
Mirage Resorts, Inc.+ ............................ 9 174
Outback Steakhouse, Inc.+ ........................ 400 12,825
Premier Parks, Inc.+ ............................. 1,093 22,953
Speedway Motorsports, Inc.+ ...................... 100 2,494
Tricon Global Restaurants, Inc.+ ................. 494 15,345
-----------
3,298,730
-----------
INFORMATION TECHNOLOGY -- 45.2%
COMMUNICATION EQUIPMENT -- 5.5%
3Com Corp.+ ...................................... 3,600 200,250
American Tower Corp., Class A+ ................... 8,600 424,625
Cabletron Systems, Inc.+ ......................... 3,154 92,452
CIENA Corp.+ ..................................... 808 101,909
COMSAT Corp. ..................................... 66 1,361
Digital Microwave Corp.+ ......................... 3,200 108,400
E-Tek Dynamics, Inc.+ ............................ 490 115,273
Extreme Networks, Inc.+ .......................... 139 10,981
Global TeleSystems Group, Inc.+ .................. 1,065 21,833
Marimba, Inc.+ ................................... 91 4,015
Metromedia Fiber Network, Inc., Class A+ ......... 623 60,236
Network Appliance, Inc.+ ......................... 2,738 226,569
NorthPoint Communications Group, Inc.+ ........... 100 2,306
Redback Networks, Inc.+ .......................... 31 9,298
Symbol Technologies, Inc. ........................ 1,747 143,800
Visual Networks, Inc.+ ........................... 400 22,700
COMPUTER SERVICES -- 6.8%
Adobe Systems, Inc. .............................. 1,237 137,694
Affiliated Computer Services, Inc., Class A+ ..... 800 30,400
Autodesk, Inc. ................................... 151 6,871
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
BARRA, Inc.+ ..................................... 700 $ 23,712
BEA Systems, Inc.+ ............................... 1,328 97,442
BISYS Group, Inc.+ ............................... 690 45,885
CDW Computer Centers, Inc.+ ...................... 523 44,161
Ceridian Corp.+ .................................. 700 13,431
Check Point Software Technologies Ltd.+ .......... 500 85,531
CheckFree Holdings Corp.+ ........................ 202 14,241
Computer Associates International, Inc. .......... 1,472 116,712
Compuware Corp. + ................................ 1,600 33,700
CyberSource Corp.+ ............................... 800 29,800
DST Systems, Inc.+ ............................... 490 31,819
EarthLink, Inc.+ ................................. 444 8,630
Entrust Technologies, Inc.+ ...................... 500 42,539
FactSet Research Systems, Inc. ................... 800 21,650
i2 Technologies, Inc.+ ........................... 392 47,873
Informix Corp.+ .................................. 11,300 191,394
Intuit, Inc.+ .................................... 1,636 88,957
J.D. Edwards & Co.+ .............................. 174 5,666
Keane, Inc.+ ..................................... 1,000 25,250
Legato Systems, Inc.+ ............................ 477 21,286
MarchFirst, Inc.+ ................................ 1,386 49,463
Network Associates, Inc.+ ........................ 1,100 35,475
Novell, Inc.+ .................................... 1,951 55,847
Perot Systems Corp., Class A+ .................... 300 6,038
Rational Software Corp.+ ......................... 3,402 260,253
Safeguard Scientifics, Inc.+ ..................... 39 2,742
Sapient Corp.+ ................................... 172 14,427
SunGard Data Systems, Inc.+ ...................... 1,300 49,075
Symantec Corp.+ .................................. 938 70,467
Synopsys, Inc.+ .................................. 736 35,880
Unisys Corp.+ .................................... 1,788 45,594
VeriSign, Inc.+ .................................. 450 67,275
Wind River Systems, Inc.+ ........................ 1,100 39,875
COMPUTERS & BUSINESS EQUIPMENT -- 1.5%
Adaptec, Inc.+ ................................... 435 16,802
Apple Computer, Inc.+ ............................ 70 9,507
Brocade Communications Systems, Inc. ............. 58 10,400
Cadence Design Systems, Inc.+ .................... 1,600 33,200
Computer Sciences Corp.+ ......................... 754 59,660
Diebold, Inc. .................................... 700 19,250
EMC Corp.+ ....................................... 200 25,000
Gateway, Inc.+ ................................... 1,263 66,939
Herman Miller, Inc. .............................. 500 14,000
Ingram Micro, Inc., Class A+ ..................... 176 2,706
Lanier Worldwide, Inc.+ .......................... 500 1,031
Lexmark International Group, Inc., Class A+ ...... 754 79,735
Millipore Corp. .................................. 236 13,319
National Computer Systems, Inc. .................. 500 25,375
NCR Corp. + ...................................... 153 6,139
Quantum Corp.-DLT & Storage Systems+ ............. 200 2,388
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Quantum Corp.-Hard Disk Drive+ ................... 260 $ 2,925
Seagate Technology, Inc.+ ........................ 358 21,570
Tech Data Corp.+ ................................. 136 4,471
COMPUTER SOFTWARE -- 4.5%
BMC Software, Inc.+ .............................. 3,000 148,125
Citrix Systems, Inc. + ........................... 1,902 126,007
Concord Communications, Inc.+ .................... 300 10,669
Electronic Arts, Inc.+ ........................... 871 62,004
Great Plains Software, Inc.+ ..................... 300 16,013
ISS Group, Inc.+ ................................. 400 46,600
Mercury Interactive Corp.+ ....................... 900 71,325
Micromuse, Inc.+ ................................. 400 55,525
National Instruments Corp.+ ...................... 700 32,856
New Era of Networks, Inc.+ ....................... 158 6,202
Oracle Corp.+ .................................... 400 31,225
Parametric Technology Corp.+ ..................... 1,600 33,700
PeopleSoft, Inc. + ............................... 1,105 22,100
Peregrine Systems, Inc.+ ......................... 600 40,237
Progress Software Corp.+ ......................... 1,400 32,813
Siebel Systems, Inc.+ ............................ 817 97,580
Transaction Systems Architects, Inc., Class A+ ... 500 14,438
VERITAS Software Corp.+ .......................... 2,945 385,795
WebTrends Corp.+ ................................. 600 43,200
ELECTRONICS -- 14.7%
Altera Corp.+ .................................... 1,942 173,323
American Power Conversion Corp.+ ................. 1,128 48,363
Analog Devices, Inc.+@ ........................... 6,034 486,114
Applied Materials, Inc.+ ......................... 600 56,550
Applied Micro Circuits Corp.+ .................... 1,386 207,987
Atmel Corp.+ ..................................... 583 30,097
Broadcom Corp., Class A+ ......................... 831 201,829
Brooks Automation, Inc.+ ......................... 800 50,000
Burr-Brown Corp.+ ................................ 700 38,063
Catalina Marketing Corp.+ ........................ 400 40,500
Conexant Systems, Inc.+ .......................... 984 69,864
Dallas Semiconductor Corp. ....................... 1,000 35,125
Flextronics International Ltd.+ .................. 2,100 147,919
International Rectifier Corp.+ ................... 1,600 61,000
KLA-Tencor Corp.+ ................................ 1,254 105,649
Lam Research Corp.+ .............................. 600 27,038
Lattice Semiconductor Corp.+ ..................... 800 54,150
LHS Group, Inc.+ ................................. 110 4,950
Linear Technology Corp. .......................... 3,050 167,750
LSI Logic Corp.+ ................................. 896 65,072
Maxim Integrated Products, Inc.+ ................. 2,854 202,812
Methode Electronics, Inc., Class A ............... 2,000 101,000
Micrel, Inc.+ .................................... 400 38,400
Microchip Technology, Inc.+ ...................... 1,065 70,024
Micron Technology, Inc.+ ......................... 198 24,948
Molex, Inc. ...................................... 250 14,688
</TABLE>
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SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Molex, Inc., Class A ............................. 875 $ 38,828
National Semiconductor Corp.+ .................... 600 36,375
Newport Corp. .................................... 700 94,500
Novellus Systems, Inc.+ .......................... 617 34,629
Pegasus Systems, Inc.+ ........................... 5,700 90,131
PMC-Sierra, Inc.+ ................................ 1,394 283,940
QLogic Corp.+ .................................... 821 111,245
Rambus, Inc.+ .................................... 124 36,518
Sanmina Corp.+ ................................... 1,520 102,695
Sawtek, Inc.+ .................................... 400 21,025
SCI Systems, Inc.+ ............................... 1,512 81,365
SDL, Inc.+ ....................................... 474 100,903
Semtech Corp.+ ................................... 300 19,219
Teradyne, Inc.+ .................................. 1,469 120,825
Thermo Instrument Systems, Inc.+ ................. 100 2,106
Vitesse Semiconductor Corp.+ ..................... 1,929 185,666
Xilinx, Inc.+ .................................... 3,053 252,827
INTERNET CONTENT -- 1.7%
CMGI, Inc.+ ...................................... 1,526 172,915
CNET Networks, Inc.+ ............................. 873 44,250
Critical Path, Inc.+ ............................. 97 8,245
eToys, Inc.+ ..................................... 49 433
Go.com+ .......................................... 354 7,390
Lycos, Inc.+ ..................................... 943 66,246
Network Solutions, Inc., Class A+ ................ 1,200 184,443
StarMedia Network, Inc.+ ......................... 29 872
Ticketmaster Online-Citysearch, Inc., Class B .... 71 1,779
INTERNET SOFTWARE -- 2.5%
E.piphany, Inc.+ ................................. 200 26,713
Exodus Communications, Inc.+ ..................... 970 136,285
Inktomi Corp.+ ................................... 424 82,680
Macromedia, Inc.+ ................................ 3,035 274,098
Phone.com, Inc.+ ................................. 700 114,188
Portal Software, Inc.+ ........................... 54 3,075
RealNetworks, Inc.+ .............................. 382 21,750
Rhythms NetConnections, Inc.+ .................... 336 12,369
Verio, Inc.+ ..................................... 785 35,374
Vignette Corp.+ .................................. 140 22,435
Vitria Technology, Inc.+ ......................... 100 10,081
TELECOMMUNICATIONS -- 8.0%
Allegiance Telecom, Inc.+ ........................ 1,038 83,689
Broadwing, Inc.+ ................................. 3,955 147,077
Comverse Technology, Inc.+ ....................... 822 155,358
Copper Mountain Networks, Inc.+ .................. 61 4,998
Covad Communications Group, Inc.+ ................ 479 34,727
Dycom Industries, Inc.+ .......................... 800 39,000
Intermedia Communications, Inc.+ ................. 3,700 178,756
JDS Uniphase Corp.+ .............................. 3,274 394,722
L-3 Communications Holding, Inc.+ ................ 200 10,400
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
---------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
McLeodUSA, Inc., Class A+ ........................ 4,533 $ 384,455
Nextel Communications, Inc., Class A+ ............ 1,152 170,784
NEXTLINK Communications, Inc., Class A+ .......... 1,022 126,409
NTL, Inc.+ ....................................... 910 84,459
PanAmSat Corp.+ .................................. 100 4,906
Rural Celluar Corp., Class A+ .................... 1,900 128,369
Scientific-Atlanta, Inc. ......................... 826 52,399
Teligent, Inc., Class A+ ......................... 148 9,888
Tellabs, Inc.+ ................................... 200 12,597
Time Warner Telecom, Inc., Class A+ .............. 41 3,260
True North Communications, Inc. .................. 700 27,519
Viatel, Inc.+ .................................... 500 25,094
Westell Technologies, Inc., Class A+ ............. 4,800 153,000
-----------
12,727,393
-----------
MATERIALS -- 1.2%
CHEMICALS -- 0.1%
Sigma-Aldrich Corp. .............................. 600 16,125
FOREST PRODUCTS -- 0.6%
Pactiv Corp. ..................................... 180 1,575
Sealed Air Corp.+ ................................ 1,095 59,472
Smurfit-Stone Container Corp.+ ................... 7,000 118,563
METALS & MINERALS -- 0.5%
Fastenal Co. ..................................... 188 9,000
Freeport-McMoRan Copper & Gold, Inc., Class B+ ... 800 9,650
Stillwater Mining Co.+ ........................... 2,700 108,000
-----------
322,385
-----------
REAL ESTATE -- 0.6%
REAL ESTATE COMPANIES -- 0.5%
Catellus Development Corp.+ ...................... 490 6,799
HomeStore.com, Inc.+ ............................. 2,400 117,000
Jones Lang Lasalle, Inc.+ ........................ 800 12,400
St. Joe Co. ...................................... 90 2,604
Trammell Crow Co.+ ............................... 1,500 16,594
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Boston Properties, Inc. .......................... 300 9,544
Meditrust Cos.+ .................................. 992 1,798
Starwood Financial, Inc. ......................... 468 8,248
Starwood Hotels & Resorts Worldwide, Inc., Class
B ............................................... 206 5,408
-----------
180,395
-----------
UTILITIES -- 1.2%
ELECTRIC UTILITIES -- 1.0%
AES Corp.+ ....................................... 1,375 108,281
Calpine Corp.+ ................................... 248 23,312
Kansas City Power & Light Co. .................... 4,800 139,200
</TABLE>
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SHARES VALUE
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<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp.+ .................................... 1,900 $ 14,250
TELEPHONE -- 0.2%
WinStar Communications, Inc.+ .................... 1,006 60,360
-----------
345,403
-----------
TOTAL INVESTMENT SECURITIES (cost $17,746,483).... 27,180,217
-----------
<CAPTION>
SHARES/
SHORT-TERM SECURITIES -- 0.6% PRINCIPAL
AMOUNT
---------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.5%
T. Rowe Price Reserve Investment Fund............. 147,435 147,435
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 5.10% due 4/06/00@... $ 30,000 29,978
-----------
TOTAL SHORT-TERM SECURITIES (cost $177,413)....... 177,413
-----------
<CAPTION>
REPURCHASE AGREEMENT -- 2.0%
---------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 2.0%
Swiss Bank Corp. Joint Repurchase Agreement
Account (Note 3)
(cost $550,000).................................. 550,000 550,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $18,473,896) 99.5% 27,907,630
Other assets less liabilities -- 0.5 151,608
------ ------------
NET ASSETS -- 100.0% $ 28,059,238
====== ============
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; See Note 7
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 MARCH 31, 2000 APPRECIATION
--------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index June 2000 $69,983 $75,765 $5,782
======
</TABLE>
See Notes to Financial Statements
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<PAGE>
----------------
SEASONS SERIES TRUST
MID CAP VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 95.3%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 5.9%
APPAREL & TEXTILES -- 0.5%
Liz Claiborne, Inc. .................................. 195 $ 8,934
Nike Inc, Class B .................................... 1,600 63,400
Polo Ralph Lauren Corp., Class A+ .................... 197 3,681
V .F. Corp. .......................................... 386 9,288
Warnaco Group, Inc. .................................. 116 1,370
AUTOMOTIVE -- 1.6%
Autoliv, Inc. ........................................ 300 9,000
AutoNation, Inc.+ .................................... 653 5,183
AutoZone, Inc.+ ...................................... 1,497 41,542
B.F. Goodrich Co. .................................... 300 8,606
Borg-Warner Automotive, Inc. ......................... 56 2,205
Cooper Tire & Rubber Co. ............................. 275 3,455
Cummins Engine Co., Inc. ............................. 115 4,320
Dana Corp. ........................................... 600 16,912
Delphi Automotive Systems Corp. ...................... 1,948 31,168
Federal-Mogul Corp. .................................. 200 3,337
General Motors Corp., Class H+ ....................... 230 28,635
Genuine Parts Co. .................................... 685 16,354
Goodyear Tire & Rubber Co. ........................... 487 11,353
Lear Corp.+ .......................................... 200 5,625
Meritor Automotive, Inc. ............................. 200 3,163
Navistar International Corp.+ ........................ 221 8,868
PACCAR, Inc. ......................................... 244 12,200
Ryder System, Inc. ................................... 1,600 36,300
SPX Corp.+ ........................................... 30 3,418
Tenneco Automotive Inc. .............................. 100 794
TRW, Inc. ............................................ 369 21,586
HOUSING -- 0.8%
American Standard Cos., Inc.+ ........................ 246 9,102
Black & Decker Corp. ................................. 31 1,164
Briggs & Stratton Corp. .............................. 100 4,113
Centex Corp. ......................................... 100 2,381
Clayton Homes, Inc. .................................. 300 3,038
Fortune Brands, Inc. ................................. 550 13,750
Grainger (W. W.), Inc. ............................... 254 13,779
HON INDUSTRIES, Inc. ................................. 200 5,150
Johns Manville Corp. ................................. 100 1,100
Leggett & Platt, Inc. ................................ 700 15,050
Masco Corp. .......................................... 1,510 30,955
Mohawk Industries, Inc.+ ............................. 100 2,238
Shaw Industries, Inc. ................................ 400 6,075
Stanley Works ........................................ 200 5,275
Tecumseh Products Co., Class A ....................... 38 1,672
Whirlpool Corp. ...................................... 229 13,425
</TABLE>
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SHARES VALUE
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<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL -- 3.0%
Barnes & Noble, Inc.+ ................................ 135 $ 3,105
BJ's Wholesale Club, Inc.+ ........................... 208 8,034
Circuit City Stores, Inc. ............................ 152 9,253
Consolidated Stores Corp.+ ........................... 7,900 89,862
Delhaize America, Inc. ............................... 376 7,473
Dillard's, Inc., Class A ............................. 400 6,575
Federated Department Stores, Inc.+ ................... 1,200 50,100
Hannaford Brothers Co. ............................... 110 8,112
Harcourt General, Inc. ............................... 214 7,972
Kmart Corp. + ........................................ 1,600 15,500
Limited, Inc. ........................................ 547 23,042
Longs Drug Stores Corp. .............................. 100 2,275
Nordstrom, Inc. ...................................... 278 8,201
Office Depot, Inc. + ................................. 231 2,671
Payless ShoeSource, Inc.+ ............................ 100 5,194
Rite Aid Corp. ....................................... 800 4,400
Ross Stores, Inc. .................................... 8,591 206,721
Saks, Inc.+ .......................................... 338 4,901
Too, Inc.+ ........................................... 51 1,610
Toys "R" Us, Inc.+ ................................... 771 11,420
Venator Group, Inc.+ ................................. 500 4,469
Winn-Dixie Stores, Inc. .............................. 311 6,045
Zale Corp.+ .......................................... 110 5,191
------------
981,090
------------
CONSUMER STAPLES -- 5.9%
FOOD, BEVERAGE & TOBACCO -- 5.7%
Adolph Coors Co., Class B ............................ 142 6,789
American National Can Group, Inc. .................... 6,300 82,687
Archer-Daniels-Midland Co. ........................... 9,030 93,686
Brown-Forman Corp., Class B .......................... 136 7,404
Corn Products International, Inc. .................... 3,400 81,813
Dean Foods Co. ....................................... 2,802 74,954
Del Monte Foods Co.+ ................................. 5,300 56,644
Dole Food Co., Inc. .................................. 195 3,790
Fleming Cos., Inc. ................................... 2,500 37,656
Flowers Industries, Inc. ............................. 349 5,300
Hershey Foods Corp. .................................. 290 14,138
Hormel Foods Corp. ................................... 204 3,353
IBP, Inc. ............................................ 4,969 78,262
International Home Foods, Inc.+ ...................... 2,200 35,200
Interstate Bakeries Corp. ............................ 100 1,425
McCormick & Co., Inc. ................................ 200 6,450
Nabisco Group Holdings Corp. ......................... 4,600 55,200
Nabisco Holdings Corp., Class A ...................... 159 5,118
Quaker Oats Co. ...................................... 200 12,125
Ralston-Ralston Purina Group ......................... 843 23,077
RJ Reynolds Tobacco Holdings, Inc.+ .................. 1,118 19,006
Smithfield Foods, Inc.+ .............................. 2,100 42,000
SUPERVALU, Inc. ...................................... 425 8,048
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CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Tootsie Roll Industries, Inc. ........................ 103 $ 3,245
Tyson Foods, Inc., Class A ........................... 400 4,450
U.S. Foodservice+ .................................... 180 4,635
Universal Foods Corp. ................................ 6,300 134,662
UST, Inc. ............................................ 1,900 29,688
Whitman Corp. ........................................ 375 5,227
Wrigley (WM.) Jr. Co. ................................ 100 7,681
HOUSEHOLD PRODUCTS -- 0.2%
Alberto-Culver Co., Class B .......................... 100 2,381
Fort James Corp. ..................................... 1,228 27,016
International Flavors & Fragrances, Inc. ............. 400 14,025
------------
987,135
------------
ENERGY -- 9.6%
ENERGY SERVICES -- 2.1%
Baker Hughes, Inc. ................................... 909 27,497
BJ Services Co.+ ..................................... 195 14,406
Cal Dive International, Inc.+ ........................ 100 5,075
ENSCO International, Inc. ............................ 375 13,547
Global Marine, Inc.+ ................................. 406 10,302
Nabors Industries, Inc.+ ............................. 259 10,052
R&B Falcon Corp.+ .................................... 6,667 131,257
Tidewater, Inc. ...................................... 200 6,362
Tosco Corp. .......................................... 2,775 84,464
USX-Marathon Group, Inc. ............................. 889 23,170
Weatherford International, Inc.+ ..................... 338 19,921
ENERGY SOURCES -- 7.5%
Amerada Hess Corp. ................................... 1,746 112,835
Anadarko Petroleum Corp. ............................. 325 12,573
Apache Corp. ......................................... 191 9,502
Arch Coal, Inc. ...................................... 49 345
Burlington Resources, Inc. ........................... 2,253 83,361
Devon Energy Corp. ................................... 70 3,399
Diamond Offshore Drilling, Inc. ...................... 206 8,227
EOG Resources, Inc. .................................. 9,667 204,820
Helmerich & Payne, Inc. .............................. 500 15,500
Kerr-McGee Corp. ..................................... 2,594 149,803
Murphy Oil Corp. ..................................... 120 6,915
Noble Affiliates, Inc. ............................... 184 6,038
Noble Drilling Corp.+ ................................ 224 9,282
Occidental Petroleum Corp. ........................... 1,285 26,664
Ocean Energy, Inc.+ .................................. 500 7,188
Santa Fe Snyder Corp.+ ............................... 15,600 150,150
Stolt Comex Seaway SA+ ............................... 1,400 19,600
Sunoco, Inc. ......................................... 282 7,720
Ultramar Diamond Shamrock Corp.+ ..................... 3,890 98,709
Union Pacific Resources Group, Inc. .................. 5,200 75,400
Unocal Corp. ......................................... 854 25,406
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ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Valero Energy Corp. .................................. 7,200 $ 220,500
------------
1,599,990
------------
FINANCE -- 16.6%
BANKS -- 4.3%
AmSouth Bancorp....................................... 1,370 20,464
Associated Banc-Corp. ................................ 237 7,080
Astoria Financial Corp. .............................. 200 5,675
BB&T Corp. ........................................... 1,139 31,963
CCB Financial Corp. .................................. 100 4,425
Centura Banks, Inc. .................................. 100 4,581
Charter One Financial, Inc. .......................... 525 11,025
City National Corp. .................................. 100 3,369
Colonial BancGroup, Inc. ............................. 216 2,322
Comerica, Inc. ....................................... 2,300 96,312
Commerce Bancshares, Inc. ............................ 210 6,549
Commercial Federal Corp. ............................. 200 3,325
Cullen/Frost Bankers, Inc. ........................... 200 5,288
Dime Bancorp, Inc. ................................... 300 5,550
First Security Corp. ................................. 664 7,968
First Tennessee National Corp. ....................... 400 8,125
First Virginia Banks, Inc. ........................... 124 4,658
FirstMerit Corp. ..................................... 200 3,688
Golden State Bancorp, Inc.+ .......................... 285 4,257
Golden West Financial Corp. .......................... 492 15,344
GreenPoint Financial Corp. ........................... 2,679 52,575
Hibernia Corp., Class A .............................. 500 5,250
Huntington Bancshares, Inc. .......................... 760 17,005
Lincoln National Corp. ............................... 700 23,450
M&T Bank Corp. ....................................... 27 12,055
Marshall & Ilsley Corp. .............................. 358 20,674
Mercantile Bankshares Corp. .......................... 200 6,113
National Commerce Bancorp. ........................... 58 1,073
North Fork Bancorp, Inc. ............................. 492 8,795
Northern Trust Corp. ................................. 547 36,957
Old Kent Financial Corp. ............................. 315 10,178
Old National Bancorp.................................. 105 3,472
Popular, Inc. ........................................ 400 8,875
Regions Financial Corp. .............................. 800 18,250
Roslyn Bancorp Inc. .................................. 300 5,344
SouthTrust Corp. ..................................... 600 15,262
Sovereign Bancorp, Inc. .............................. 9,100 68,819
St. Paul Cos., Inc. .................................. 800 27,300
Summit Bancorp........................................ 600 15,750
Synovus Financial Corp. .............................. 300 5,663
TCF Financial Corp. .................................. 300 7,144
Trustmark Corp. ...................................... 200 4,038
Union Planters Corp. ................................. 488 15,036
UnionBanCal Corp. .................................... 2,100 57,881
Valley National Bancorp............................... 139 3,736
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FINANCE (CONTINUED)
BANKS (CONTINUED)
Westamerica Bancorp................................... 79 $ 2,192
Wilmington Trust Corp. ............................... 100 4,863
Zions Bancorp......................................... 151 6,285
FINANCIAL SERVICES -- 5.5%
A.G. Edwards, Inc. ................................... 300 12,000
Allmerica Financial Corp. ............................ 200 10,200
Ambac Financial Group, Inc. .......................... 2,353 118,532
Bear Stearns Cos., Inc. .............................. 2,751 125,514
CIT Group, Inc., Class A ............................. 8,000 156,000
Compass Bancshares, Inc. ............................. 450 8,972
Countrywide Credit Industries, Inc. .................. 335 9,129
Donaldson, Lufkin & Jenrette, Inc.-DLJdirect+ ........ 115 1,531
Donaldson, Lufkin & Jenrette, Inc. ................... 100 5,175
Dow Jones & Co., Inc. ................................ 25 1,795
Dun & Bradstreet Corp. ............................... 1,930 55,246
FINOVA Group, Inc. ................................... 190 3,194
Fulton Financial Corp. ............................... 220 4,634
H&R Block, Inc. ...................................... 256 11,456
Heller Financial, Inc. ............................... 200 4,625
Keystone Financial, Inc. ............................. 200 3,675
Legg Mason, Inc. ..................................... 200 8,650
Lehman Brothers Holdings, Inc. ....................... 384 37,248
Pacific Century Financial Corp. ...................... 8,200 166,563
Paine Webber Group, Inc. ............................. 511 22,484
Peoples Heritage Financial Group, Inc. ............... 400 6,000
Provident Financial Group, Inc. ...................... 32 1,090
ReliaStar Financial Corp. ............................ 280 9,485
S&P Mid-Cap 400 Depository Receipts .................. 930 84,863
Waddell & Reed Financial, Inc., Class B .............. 1,300 50,700
INSURANCE -- 6.8%
ACE Ltd. ............................................. 9,200 210,450
Aetna, Inc. .......................................... 1,100 61,256
American Financial Group, Inc. ....................... 100 2,863
American National Insurance Co. ...................... 10 575
Aon Corp. ............................................ 832 26,832
Cincinnati Financial Corp. ........................... 590 22,199
Cinergy Corp. ........................................ 466 10,019
CNA Financial Corp.+ ................................. 20 646
Conseco, Inc. ........................................ 1,028 11,758
Erie Indemnity Co., Class A .......................... 200 6,487
Everest Reinsurance Holding, Inc. .................... 3,300 107,662
Financial Security Assurance Holdings Ltd. ........... 41 3,011
Franklin Resources, Inc. ............................. 268 8,961
Fremont General Corp. ................................ 300 1,781
Hartford Life, Inc., Class A ......................... 100 4,688
Jefferson-Pilot Corp. ................................ 355 23,630
MBIA, Inc. ........................................... 1,200 62,475
Mercury General Corp. ................................ 100 2,950
MGIC Investment Corp. ................................ 366 15,967
Nationwide Financial Services, Inc., Class A ......... 100 2,925
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FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Old Republic International Corp. ..................... 4,700 $ 64,625
PartnerRe Ltd. ....................................... 3,200 117,800
PMI Group, Inc. ...................................... 139 6,594
Progressive Corp. .................................... 137 10,421
Protective Life Corp. ................................ 195 6,191
Radian Group, Inc. ................................... 1,000 47,625
SAFECO Corp. ......................................... 410 10,891
Torchmark Corp. ...................................... 512 11,840
Unitrin, Inc. ........................................ 200 7,950
UnumProvident Corp. .................................. 619 10,523
XL Capital Ltd., Class A ............................. 4,500 249,187
------------
2,765,546
------------
HEALTHCARE -- 10.5%
DRUGS -- 2.2%
Bergen Brunswig Corp., Class A ....................... 4,900 33,075
Caremark Rx, Inc.+ ................................... 34,100 142,794
IVAX Corp.+ .......................................... 185 5,041
Mallinckrodt, Inc. ................................... 286 8,222
Mylan Laboratories, Inc. ............................. 6,600 181,500
Watson Pharmaceuticals, Inc.+ ........................ 29 1,151
HEALTH SERVICES -- 4.2%
Chiron Corp.+ ........................................ 198 9,875
Foundation Health Systems, Inc.+ ..................... 350 2,800
Health Management Associates, Inc., Class A+ ......... 5,000 71,250
HEALTHSOUTH Corp.+ ................................... 1,100 6,119
Humana, Inc.+ ........................................ 500 3,656
Lincare Holdings, Inc.+ .............................. 100 2,838
Manor Care, Inc.+ .................................... 16,545 223,357
Omnicare, Inc. ....................................... 105 1,267
Oxford Health Plans, Inc.+ ........................... 7,700 117,425
PacifiCare Health Systems, Inc.+ ..................... 100 4,987
ServiceMaster Co. .................................... 100 1,125
Tenet Healthcare Corp.+ .............................. 4,993 114,839
Trigon Healthcare, Inc.+ ............................. 2,668 95,381
United HealthCare Corp. .............................. 449 26,772
Universal Health Services, Inc., Class B+ ............ 34 1,666
Wellpoint Health Networks, Inc.+ ..................... 168 11,739
MEDICAL PRODUCTS -- 4.1%
Acuson Corp.+ ........................................ 8,500 125,906
Bausch & Lomb, Inc. .................................. 64 3,340
Becton, Dickinson & Co. .............................. 231 6,078
Boston Scientific Corp.+ ............................. 2,000 42,625
C.R. Bard, Inc. ...................................... 172 6,654
DENTSPLY International, Inc. ......................... 170 4,824
Genzyme Corp.+ ....................................... 174 8,722
Hillenbrand Industries, Inc. ......................... 202 6,868
McKesson HBOC, Inc. .................................. 485 10,185
Polymer Group, Inc. .................................. 11,500 146,625
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HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
St. Jude Medical, Inc.+ .............................. 4,900 $ 126,482
Varian Medical Systems, Inc.+ ........................ 4,200 191,625
------------
1,746,813
------------
INDUSTRIAL & COMMERCIAL -- 7.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.9%
Cordant Technologies, Inc. ........................... 129 7,296
General Dynamics Corp. ............................... 372 18,507
ITT Industries, Inc. ................................. 300 9,319
Litton Industries, Inc.+ ............................. 140 6,186
Northrop Grumman Corp. ............................... 1,706 90,311
Rockwell International Corp. ......................... 482 20,154
Teledyne Technologies, Inc. .......................... 114 1,981
BUSINESS SERVICES -- 3.3%
Allied Waste Industries, Inc.+ ....................... 273 1,792
Armstrong World Industries, Inc. ..................... 100 1,788
Ball Corp. ........................................... 3,800 131,337
Circle.com+ .......................................... 44 363
Comdisco, Inc. ....................................... 346 15,267
Convergys Corp.+ ..................................... 1,400 54,075
Deluxe Corp. ......................................... 281 7,447
Donnelley (R.R.) & Sons Co. .......................... 2,000 41,875
Hertz Corp., Class A ................................. 37 1,260
IKON Office Solutions, Inc. .......................... 500 3,094
Manpower, Inc. ....................................... 200 7,100
Modis Professional Services, Inc.+ ................... 3,600 44,550
National Data Corp. .................................. 16 416
National Service Industries, Inc. .................... 100 2,106
Owens-Illinois, Inc. + ............................... 500 8,437
Pall Corp. ........................................... 490 10,994
Potash Corp. of Saskatchewan, Inc. ................... 1,400 70,000
ProLogis Trust ....................................... 300 5,775
Republic Services, Inc., Class A+ .................... 4,618 50,509
Rowan Cos., Inc.+ .................................... 280 8,242
Safety-Kleen Corp.+ .................................. 134 176
Service Corp. International+ ......................... 800 2,400
SFX Entertainment, Inc.,+ ............................ 56 2,286
Smith International, Inc.+ ........................... 100 7,750
Stewart Enterprises, Inc., Class A ................... 300 1,481
Sylvan Learning Systems, Inc.+ ....................... 100 1,594
SYSCO Corp. .......................................... 231 8,244
U.S. Industries, Inc.+ ............................... 300 3,319
United Rentals, Inc.+ ................................ 27 466
UNOVA, Inc.+ ......................................... 3,800 51,300
Valspar Corp. ........................................ 110 4,214
Viad Corp. ........................................... 100 2,288
York International Corp. ............................. 125 2,922
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INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.6%
Dover Corp. .......................................... 678 $ 32,459
Hubbell Inc., Class B ................................ 175 4,791
Johnson Controls, Inc. ............................... 286 15,462
Thomas & Betts Corp. ................................. 178 5,028
UCAR International, Inc.+ ............................ 2,500 32,969
MACHINERY -- 2.1%
Coflexip SA ADR ...................................... 400 21,900
Cooper Cameron Corp.+ ................................ 144 9,630
Cooper Industries, Inc. .............................. 256 8,960
Deere & Co. .......................................... 2,341 88,958
Ingersoll-Rand Co. ................................... 512 22,656
Owens Corning Co. .................................... 214 4,146
Parker-Hannifin Corp. ................................ 1,639 67,711
Pentair, Inc. ........................................ 183 6,783
Snap-on, Inc. ........................................ 4,800 125,700
MULTI-INDUSTRY -- 0.4%
Avery Dennison Corp. ................................. 7 427
Canadian Pacific Ltd. ................................ 1,900 42,512
Carlisle Cos., Inc. .................................. 100 4,000
Crane Co. ............................................ 200 4,713
Lancaster Colony Corp. ............................... 115 3,515
Teleflex, Inc. ....................................... 100 3,550
Thermo Electron Corp.+ ............................... 500 10,188
TRANSPORTATION -- 0.4%
CNF Transportation, Inc. ............................. 1,258 34,909
CSX Corp. ............................................ 678 15,933
GATX Corp. ........................................... 192 7,296
UAL Corp.+ ........................................... 100 5,988
------------
1,288,805
------------
INFORMATION & ENTERTAINMENT -- 6.5%
BROADCASTING & MEDIA -- 2.1%
A.H. Belo Corp. ...................................... 3,631 64,904
ACNielson Corp.+ ..................................... 120 2,700
Adelphia Communications Corp., Class A+ .............. 64 3,136
AMFM, Inc.+ .......................................... 449 27,894
BHC Communications, Inc., Class A+ ................... 7 1,092
Central Newspapers, Inc., Class A .................... 53 1,782
Chris-Craft Industries, Inc. ......................... 75 4,789
Cox Radio, Inc., Class A+ ............................ 12 1,008
Crown Castle International Corp.+# ................... 200 7,575
E.W. Scripps Co., Class A ............................ 100 4,850
EchoStar Communications Corp., Class A+ .............. 224 17,696
Harte-Hanks, Inc. .................................... 100 2,269
Houghton Mifflin Co. ................................. 50 2,122
Knight-Ridder, Inc. .................................. 272 13,855
Lamar Advertising Co.+ ............................... 1 46
Loews Corp. .......................................... 1,205 60,250
McGraw-Hill Cos., Inc. ............................... 582 26,481
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INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Meredith Corp. ....................................... 109 $ 3,018
Metro-Goldwyn-Mayer, Inc.+ ........................... 100 2,544
New York Times Co., Class A .......................... 577 24,775
PRIMEDIA, Inc.+ ...................................... 236 7,552
Reader's Digest Association, Inc., Class A ........... 186 6,580
Times Mirror Co., Class A ............................ 58 5,390
Tribune Co. .......................................... 600 21,937
UnitedGlobalCom, Inc., Class A+ ...................... 98 7,356
USA Networks, Inc.+ .................................. 292 6,588
VoiceStream Wireless Corp.+ .......................... 159 20,481
Washington Post Co., Class B ......................... 9 4,869
ENTERTAINMENT PRODUCTS -- 0.2%
Brunswick Corp. ...................................... 376 7,121
Hasbro, Inc. ......................................... 637 10,510
International Game Technology+ ....................... 259 5,617
Mattel, Inc. ......................................... 800 8,350
LEISURE & TOURISM -- 4.2%
Brinker International, Inc.+ ......................... 200 5,938
CBRL Group, Inc. ..................................... 20,200 202,000
Continental Airlines, Inc., Class B+ ................. 135 5,518
Darden Restaurants, Inc. ............................. 400 7,125
Delta Air Lines, Inc. ................................ 1,537 81,845
FelCor Lodging Trust Inc. ............................ 194 3,431
Harrah's Entertainment, Inc.+ ........................ 400 7,425
Hilton Hotels Corp. .................................. 360 2,790
Interstate Hotels Corp.+ ............................. 10 31
Mandalay Resort Group+ ............................... 261 4,404
Marriott International, Inc., Class A ................ 420 13,230
MGM Grand, Inc. ...................................... 196 4,704
Mirage Resorts, Inc.+ ................................ 4,975 96,391
Northwest Airlines Corp.+ ............................ 108 2,444
Outback Steakhouse, Inc.+ ............................ 36 1,154
Park Place Entertainment Corp.+ ...................... 910 10,522
SkyWest, Inc. ........................................ 2,600 101,725
Southwest Airlines Co. ............................... 1,716 35,714
Tricon Global Restaurants, Inc.+ ..................... 253 7,859
US Airways Group, Inc.+ .............................. 212 5,896
Wendy's International, Inc. .......................... 4,283 86,463
------------
1,071,746
------------
INFORMATION TECHNOLOGY -- 7.8%
COMMUNICATION EQUIPMENT -- 0.3%
3Com Corp.+ .......................................... 399 22,194
American Tower Corp., Class A+ ....................... 212 10,468
Cabletron Systems, Inc.+ ............................. 425 12,458
COMSAT Corp. ......................................... 70 1,444
Marimba, Inc.+ ....................................... 15 662
NorthPoint Communications Group, Inc.+ ............... 23 530
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES -- 0.8%
Autodesk, Inc. ....................................... 121 $ 5,505
Computer Associates International, Inc. .............. 131 7,770
DST Systems, Inc.+ ................................... 100 6,494
Intuit, Inc.+ ........................................ 56 3,045
Mentor Graphics Corp.+ ............................... 2,700 40,837
Network Associates, Inc.+ ............................ 196 6,321
Safeguard Scientifics, Inc.+ ......................... 303 21,305
Symantec Corp.+ ...................................... 35 2,629
Synopsys, Inc.+ ...................................... 800 39,000
COMPUTERS & BUSINESS EQUIPMENT -- 3.3%
Adaptec, Inc.+ ....................................... 75 2,897
Apple Computer, Inc.+ ................................ 499 67,770
Arrow Electronics, Inc.+ ............................. 300 10,575
Avnet, Inc. .......................................... 1,625 102,375
Cadence Design Systems, Inc.+ ........................ 340 7,055
Computer Sciences Corp.+ ............................. 44 3,482
Diebold, Inc. ........................................ 1,279 35,172
Herman Miller, Inc. .................................. 1,700 47,600
Ingram Micro, Inc., Class A+ ......................... 5,500 84,562
Lanier Worldwide, Inc.+ .............................. 300 619
NCR Corp. + .......................................... 220 8,827
Quantum Corp.-DLT & Storage Systems+ ................. 508 6,064
Quantum Corp.-Hard Disk Drive+ ....................... 191 2,149
Seagate Technology, Inc.+ ............................ 500 30,125
Silicon Graphics, Inc.+ .............................. 600 6,338
Steelcase, Inc., Class A ............................. 300 3,600
Storage Technology Corp.+ ............................ 368 5,865
Tech Data Corp.+ ..................................... 3,515 115,556
ELECTRONICS -- 2.6%
Advanced Micro Devices, Inc.+ ........................ 479 27,333
American Power Conversion Corp.+ ..................... 290 12,434
Atmel Corp.+ ......................................... 321 16,572
Conectiv, Inc. ....................................... 225 3,938
Eaton Corp. .......................................... 228 17,784
KLA-Tencor Corp.+ .................................... 205 17,271
LSI Logic Corp.+ ..................................... 497 36,095
Micron Technology, Inc.+ ............................. 599 75,474
Molex, Inc. .......................................... 208 12,220
National Semiconductor Corp.+ ........................ 583 35,344
Novellus Systems, Inc.+ .............................. 37 2,077
SCI Systems, Inc.+ ................................... 200 10,763
SDL, Inc.+ ........................................... 52 11,069
Siliconix, Inc. ...................................... 200 19,012
Teradyne, Inc.+ ...................................... 67 5,511
Varian Semiconductor Equipment Associates, Inc.+ ..... 1,100 69,987
Vishay Intertechnology, Inc. + ....................... 1,159 64,469
INTERNET CONTENT -- 0.0%
eMerge Interactive, Inc., Class A+ ................... 10 301
eToys, Inc.+ ......................................... 28 248
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INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT (CONTINUED)
Go.com+ .............................................. 39 $ 814
StarMedia Network, Inc.+ ............................. 23 692
TELECOMMUNICATIONS -- 0.8%
Copper Mountain Networks, Inc.+ ...................... 12 983
Covad Communications Group, Inc.+ .................... 36 2,610
Harris Corp. ......................................... 284 9,816
McClatchy Co., Class A ............................... 38 1,245
Media General Inc., Class A .......................... 1,737 90,975
NEXTLINK Communications, Inc., Class A+ .............. 200 24,737
PanAmSat Corp.+ ...................................... 100 4,906
Scientific-Atlanta, Inc. ............................. 58 3,679
Time Warner Telecom, Inc., Class A+ .................. 21 1,670
------------
1,301,322
------------
MATERIALS -- 6.9%
CHEMICALS -- 3.2%
Air Products & Chemicals, Inc. ....................... 600 17,062
Ashland, Inc. ........................................ 200 6,687
Cabot Corp. .......................................... 241 7,350
CK Witco Corp. ....................................... 9,200 93,725
Eastman Chemical Co. ................................. 278 12,649
Engelhard Corp. ...................................... 300 4,538
FMC Corp.+ ........................................... 107 6,045
Great Lakes Chemical Corp. ........................... 206 7,004
Hercules, Inc. ....................................... 306 4,934
IMC Global, Inc. ..................................... 9,400 138,062
Lubrizol Corp. ....................................... 200 5,763
Lyondell Chemical Co. ................................ 278 4,101
Millennium Chemicals, Inc. ........................... 5,265 105,300
PPG Industries, Inc. ................................. 617 32,277
Praxair, Inc. ........................................ 499 20,771
Rohm & Haas Co. ...................................... 333 14,860
RPM, Inc. ............................................ 500 5,500
Sherwin-Williams Co. ................................. 500 10,969
Sigma-Aldrich Corp. .................................. 346 9,299
Solutia, Inc. ........................................ 434 5,805
Union Carbide Corp. .................................. 375 21,867
FOREST PRODUCTS -- 2.2%
American Greetings Corp., Class A .................... 243 4,435
Bemis Co., Inc. ...................................... 118 4,351
Boise Cascade Corp. .................................. 193 6,707
Bowater, Inc. ........................................ 180 9,608
Champion International Corp. ......................... 316 16,827
Consolidated Papers, Inc. ............................ 200 7,688
Georgia-Pacific Corp. (Timber Group) ................. 2,500 64,062
Georgia-Pacific Group ................................ 537 21,245
Louisiana-Pacific Corp. .............................. 300 4,163
Mead Corp. ........................................... 300 10,481
Pactiv Corp. ......................................... 14,200 124,250
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Reynolds & Reynolds Co., Class A ..................... 209 $ 5,643
Smurfit-Stone Container Corp.+ ....................... 1,952 33,062
Sonoco Products Co. .................................. 400 9,400
Temple-Inland, Inc. .................................. 173 8,618
Westvaco Corp. ....................................... 300 10,012
Willamette Industries, Inc. .......................... 340 13,642
METALS & MINERALS -- 1.5%
AK Steel Holding Corp. ............................... 112 1,162
Allegheny Technologies, Inc. ......................... 350 7,022
Crown, Cork & Seal Co., Inc. ......................... 481 7,696
Fluor Corp. .......................................... 267 8,277
Homestake Mining Co. ................................. 894 5,364
Ispat International+ ................................. 4,100 60,987
Lafarge Corp. ........................................ 100 2,375
Martin Marietta Materials, Inc. ...................... 126 5,985
Newmont Mining Corp. ................................. 600 13,462
Nucor Corp. .......................................... 994 49,700
Phelps Dodge Corp. ................................... 884 41,990
Reynolds Metals Co. .................................. 183 12,238
Southdown, Inc. ...................................... 115 6,785
USG Corp. ............................................ 199 8,346
USX-US Steel Group, Inc. ............................. 275 6,875
Vulcan Materials Co. ................................. 300 13,744
------------
1,140,770
------------
REAL ESTATE -- 4.5%
REAL ESTATE COMPANIES -- 0.5%
AMB Property Corp. ................................... 200 4,300
Catellus Development Corp.+ .......................... 226 3,135
St. Joe Co. .......................................... 100 2,894
Trizec Hahn Corp. .................................... 5,100 76,500
REAL ESTATE INVESTMENT TRUSTS -- 4.0%
Apartment Investment & Management Co., Class A ....... 200 7,638
Archstone Communities Trust .......................... 300 5,981
Arden Realty, Inc. ................................... 200 4,175
Avalonbay Communities, Inc. .......................... 900 32,962
CarrAmerica Realty Corp. ............................. 200 4,225
Cornerstone Properties, Inc. ......................... 300 5,231
Crescent Real Estate Equities Co. .................... 400 7,000
Duke-Weeks Realty Corp. .............................. 400 7,650
Equity Office Properties Trust ....................... 2,800 70,350
Equity Residential Properties Trust .................. 1,780 71,534
Franchise Finance Corp. of America ................... 119 2,767
General Growth Properties, Inc. ...................... 122 3,713
Healthcare Realty Trust, Inc. ........................ 7,500 125,625
Highwoods Properties, Inc. ........................... 200 4,250
Host Marriott Corp. .................................. 722 6,408
HRPT Properties Trust ................................ 500 4,344
Kimco Realty Corp. ................................... 200 7,500
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Liberty Property Trust ............................... 200 $ 4,788
Mack-Cali Realty Corp. ............................... 200 5,100
New Plan Excel Realty Trust .......................... 266 3,658
Post Properties, Inc. ................................ 100 4,031
Prison Realty Trust, Inc.+ ........................... 311 894
Public Storage, Inc. ................................. 2,422 50,862
Rouse Co. ............................................ 200 4,225
Senior Housing Properties Trust ...................... 50 513
Simon Property Group, Inc. ........................... 521 12,504
Spieker Properties, Inc. ............................. 1,609 71,600
Starwood Hotels & Resorts Worldwide, Inc., Class B ... 4,710 123,637
Vornado Realty Trust ................................. 232 7,772
------------
747,766
------------
UTILITIES -- 13.4%
ELECTRIC UTILITIES -- 8.8%
Allegheny Energy, Inc. ............................... 400 11,025
Alliant Energy Corp. ................................. 200 6,088
Ameren Corp. ......................................... 500 15,469
American Electric Power Co., Inc. .................... 700 20,869
Calpine Corp.+ ....................................... 50 4,700
Carolina Power & Light Co. ........................... 497 16,121
Central & South West Corp. ........................... 755 12,882
Citizens Utilities Co., Class B+ ..................... 838 13,722
CMP Group, Inc. ...................................... 3,000 87,375
CMS Energy Corp. ..................................... 300 5,438
Constellation Energy Group ........................... 500 15,938
Dominion Resources, Inc. ............................. 878 33,748
DPL, Inc. ............................................ 431 9,563
DQE, Inc. ............................................ 282 12,831
DTE Energy Co. ....................................... 2,352 68,208
Edison International ................................. 1,224 20,272
Energy East Corp. .................................... 1,700 33,681
Entergy Corp. ........................................ 3,068 61,935
FirstEnergy Corp. .................................... 4,000 82,500
Florida Progress Corp. ............................... 300 13,763
FPL Group, Inc. ...................................... 1,147 52,834
GPU, Inc. ............................................ 391 10,704
IPALCO Enterprises, Inc. ............................. 5,400 105,300
Kansas City Power & Light Co. ........................ 200 5,800
LG & E Energy Corp. .................................. 2,900 66,337
Minnesota Power, Inc. ................................ 200 3,325
Montana Power Co. .................................... 392 25,088
New Century Energies, Inc. ........................... 400 12,025
Niagara Mohawk Holdings, Inc.+ ....................... 8,490 114,615
NiSource, Inc. ....................................... 400 6,750
Northeast Utilities .................................. 10,400 223,600
Northern States Power Co. ............................ 600 11,925
NSTAR ................................................ 181 7,588
OGE Energy Corp. ..................................... 200 3,838
PECO Energy Co. ...................................... 581 21,424
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Pinnacle West Capital Corp. .......................... 222 $ 6,258
Potomac Electric Power Co. ........................... 400 9,050
Public Service Co. of New Mexico ..................... 5,300 83,475
Public Service Enterprise Group, Inc. ................ 800 23,700
Puget Sound Energy, Inc. ............................. 300 6,656
Sempra Energy ........................................ 680 11,390
TECO Energy, Inc. .................................... 497 9,660
Unicom Corp. ......................................... 2,077 75,810
UtiliCorp United, Inc. ............................... 350 6,322
Western Resources, Inc. .............................. 227 3,589
Wisconsin Energy Corp. ............................... 400 7,975
GAS & PIPELINE UTILITIES -- 4.4%
American Water Works Co., Inc. ....................... 247 5,866
Coastal Corp. ........................................ 623 28,658
Columbia Energy Group ................................ 279 16,531
Dynegy, Inc., Class A ................................ 3,725 233,744
Eastern Enterprises .................................. 1,900 113,762
El Paso Energy Corp. ................................. 653 26,365
KeySpan Corp. ........................................ 484 13,370
Kinder Morgan, Inc. .................................. 337 11,627
MCN Energy Group, Inc. ............................... 286 7,150
National Fuel Gas Co. ................................ 100 4,456
NICOR, Inc. .......................................... 207 6,818
Peoples Energy Corp. ................................. 100 2,744
Questar Corp. ........................................ 200 3,713
Reliant Energy, Inc. ................................. 861 20,180
SCANA Corp. .......................................... 5,444 133,718
Southwest Gas Corp. .................................. 5,000 95,312
TELEPHONE -- 0.2%
CenturyTel, Inc. ..................................... 550 20,419
Telephone & Data Systems, Inc. ....................... 171 18,981
------------
2,224,580
------------
TOTAL COMMON STOCK (cost $15,614,949)................. 15,855,563
------------
<CAPTION>
RIGHTS -- 0.0%+
RIGHTS
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
INTERNET SOFTWARE -- 0.0%
Opus360 Corp. 4/20/00 (cost $0)....................... 6 0
------------
TOTAL INVESTMENT SECURITIES (cost $15,614,949)........ 15,855,563
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.2% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 5.10% due 4/06/00@....... $ 20,000 19,986
United States Treasury Bills 5.30% due 4/06/00@....... 10,000 9,992
------------
TOTAL SHORT-TERM SECURITIES (cost $29,978)............ 29,978
------------
</TABLE>
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146
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 4.4% PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.4%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.75% dated 3/31/00 to be repurchased
4/01/00 in the amount of $494,196 and collateralized
by $125,000 of U.S. Treasury Bonds, bearing interest
at 8.13% due 8/15/21 and $355,000 of U.S. Treasury
Notes, bearing interest at 3.63% due 7/15/02 and
having an approximate value of $510,242@............. $ 494,000 $ 494,000
Agreement with State Street Bank & Trust Co., bearing
interst at 6.05% dated 3/31/00 to be repurchased
4/01/00 in the amount of $242,112 and collateralized
by $245,000 of U.S. Treasury Notes, bearing interest
at 6.50% due 5/31/01 and having an approximate value
of $250,308.......................................... 242,000 242,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $736,000)........... 736,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $16,380,927) 99.9% 16,621,541
Other assets less liabilities -- 0.1 18,706
---- -----------
NET ASSETS -- 100.0% $16,640,247
==== ===========
</TABLE>
-------------
+ Non-income producing securities
# Security represents an investment in an affilliated company; See Note 7
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>
NUMBEEXPIRATION VALUE AT VALUE AS OF UNREALIZED
DESCRIPTION CONTRACTDATE TRADE DATE MARCH 31, 2000 APPRECIATION
--------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500 Index June 2000 $140,824 $151,530 $10,706
=======
</TABLE>
See Notes to Financial Statements
----------------
147
<PAGE>
------------------
SEASONS SERIES TRUST
SMALL CAP PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 96.1%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.8%
APPAREL & TEXTILES -- 1.5%
Burlington Industries, Inc.+ ......................... 511 $ 2,236
Cutter & Buck, Inc.+ ................................. 1,000 13,437
Donna Karan International, Inc.+ ..................... 176 1,353
Fossil, Inc.+ ........................................ 61 1,430
G & K Services, Inc., Class A ........................ 1,300 25,411
Genesco, Inc.+ ....................................... 200 2,625
Goody's Family Clothing, Inc.+ ....................... 200 1,213
Guess?, Inc.+ ........................................ 23 736
Gymboree Corp.+ ...................................... 200 825
Kellwood Co. ......................................... 232 4,074
Kenneth Cole Productions, Inc.+ ...................... 900 35,325
Nautica Enterprises, Inc.+ ........................... 270 3,172
Oakley, Inc.+ ........................................ 100 1,063
Oshkosh B' Gosh, Inc., Class A ....................... 70 1,260
Phillips Van Heusen Corp. ............................ 200 1,538
Quiksilver, Inc.+ .................................... 3,100 54,444
Reebok International Ltd.+ ........................... 373 3,450
Russell Corp. ........................................ 237 3,392
Stride Rite Corp. .................................... 375 3,023
Tarrant Apparel Group, Inc.+ ......................... 2,319 17,392
Timberland Co., Class A+ ............................. 1,447 73,797
Tropical Sportswear International Corp.+ ............. 1,500 18,375
Unifi, Inc.+ ......................................... 312 2,789
Vans, Inc.+ .......................................... 2,700 43,537
Wolverine World Wide, Inc. ........................... 300 3,300
AUTOMOTIVE -- 1.0%
Aftermarket Technology Corp.+ ........................ 184 2,300
Arvin Industries, Inc. ............................... 218 4,932
Bandag, Inc. ......................................... 100 2,300
Coachmen Industries, Inc. ............................ 100 1,381
Collins & Aikman Corp.+ .............................. 400 2,275
CSK Auto Corp.+ ...................................... 100 1,394
Delco Remy International, Inc.+ ...................... 200 1,488
Detroit Diesel Corp. ................................. 100 1,912
Discount Auto Parts, Inc.+ ........................... 100 894
Donaldson Co., Inc. .................................. 266 6,002
Dura Automotive Systems, Inc.+ ....................... 134 2,303
Fleetwood Enterprises, Inc. .......................... 200 2,950
General Motors Corp., Class H+ ....................... 1,100 136,950
Group 1 Automotive, Inc.+ ............................ 100 1,163
Hayes Lemmerz International, Inc.+ ................... 100 1,912
Keystone Automotive Industries, Inc.+ ................ 205 1,204
Mark IV Industries, Inc. ............................. 259 5,714
MascoTech, Inc. ...................................... 400 4,700
Midas, Inc. .......................................... 100 2,400
Modine Manufacturing Co. ............................. 106 2,663
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
O'Reilly Automotive, Inc. ............................ 210 $ 2,979
Pennzoil-Quaker State Co. ............................ 409 4,269
Pep Boys-Manny, Moe & Jack ........................... 300 1,781
Polaris Industries, Inc. ............................. 198 5,965
Skyline Corp. ........................................ 100 2,169
Superior Industries International, Inc.+ ............. 100 3,169
Titan International, Inc. ............................ 200 1,438
Tower Automotive, Inc.+ .............................. 264 4,323
United Auto Group, Inc.+ ............................. 88 776 .......
Winnebago Industries, Inc............................. 147 2,655
HOUSING -- 1.4%
Bassett Furniture Industries, Inc. ................... 100 1,400
Champion Enterprises, Inc.+ .......................... 300 1,725
Cost Plus, Inc.+ ..................................... 785 26,543
Crossmann Communities, Inc.+ ......................... 1,400 22,181
D.R. Horton, Inc. .................................... 300 3,919
Dal-Tile International, Inc.+ ........................ 300 2,381
Ethan Allen Interiors, Inc. .......................... 233 5,825
Fedders Corp. ........................................ 372 2,069
Furniture Brands International, Inc.+ ................ 300 5,644
Genlyte Group, Inc.+ ................................. 100 1,950
Haverty Furniture Cos., Inc. ......................... 184 1,955
Heilig-Meyers Co. .................................... 400 1,575
HomeBase, Inc.+ ...................................... 400 800
Kaufman & Broad Home Corp. ........................... 300 6,431
Kimball International, Inc., Class B ................. 152 1,672
La-Z-Boy, Inc. ....................................... 343 5,274
Lennar Corp. ......................................... 364 7,894
Libbey, Inc. ......................................... 100 2,737
Lowe's Cos., Inc. .................................... 1,400 81,725
M.D.C. Holdings, Inc. ................................ 197 3,534
Metromedia International Group, Inc.+ ................ 262 1,474
Mikasa, Inc. ......................................... 100 744
NCI Building Systems, Inc.+ .......................... 100 1,881
Oakwood Homes Corp. .................................. 287 1,094
Oneida Ltd. .......................................... 100 1,937
Palm Harbor Homes, Inc.+ ............................. 100 1,538
Pier 1 Imports, Inc. ................................. 564 5,781
Pulte Corp. .......................................... 200 4,175
Rent-Way, Inc.+ ...................................... 100 1,950
Ryland Group, Inc. ................................... 134 2,512
Select Comfort Corp.+ ................................ 100 550
SLI, Inc. ............................................ 2,800 47,600
Springs Industries, Inc., Class A .................... 100 3,800
Standard Pacific Corp. ............................... 200 2,000
Sunbeam Corp.+ ....................................... 457 1,914
Toll Brothers, Inc.+ ................................. 200 4,000
Toro Co. ............................................. 100 2,994
U.S. Home Corp.+ ..................................... 116 4,408
Webb (Del E.) Corp. .................................. 152 2,251
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING (CONTINUED)
Windmere-Durable Holdings, Inc.+ ..................... 149 $ 2,198
RETAIL -- 3.9%
7-Eleven, Inc.+ ...................................... 736 2,760
99 Cents Only Stores+ ................................ 52 2,041
Action Performance Cos., Inc.+ ....................... 100 1,331
Ames Department Stores, Inc.+ ........................ 1,400 34,387
AnnTaylor Stores Corp.+ .............................. 2,313 53,199
Apogee Enterprises, Inc. ............................. 300 1,191
Bombay Co., Inc.+ .................................... 400 1,325
Borders Group, Inc.+ ................................. 461 7,923
Boyds Collection Ltd.+ ............................... 400 2,425
Brown Shoe Co., Inc. ................................. 183 2,196
Burlington Coat Factory Warehouse Corp. .............. 187 3,214
Casey's General Stores, Inc. ......................... 400 4,350
Charming Shoppes, Inc.+ .............................. 600 3,412
Chico's FAS, Inc.+ ................................... 200 3,391
Children's Place Retail Stores, Inc.+ ................ 2,000 28,500
Department 56, Inc.+ ................................. 142 2,103
Dress Barn, Inc.+ .................................... 60 1,155
Duane Reade, Inc.+ ................................... 200 4,650
Electronics Boutique Holdings Corp.+ ................. 100 1,913
Finish Line, Inc. Class A+ ........................... 300 2,925
Footstar, Inc.+ ...................................... 100 2,825
Grand Union Co.+ ..................................... 105 308
Guitar Center, Inc.+ ................................. 100 1,144
Hanover Direct, Inc.+ ................................ 622 1,477
Hollywood Entertainment Corp.+ ....................... 200 1,613
Home Depot, Inc. ..................................... 1,400 90,300
Ingles Markets, Inc., Class A ........................ 100 1,044
InterTAN, Inc.+ ...................................... 319 4,386
Jostens, Inc. ........................................ 200 4,875
Just For Feet, Inc.+ ................................. 300 19
Lands' End, Inc.+ .................................... 66 4,059
Linens' N Things, Inc.+ .............................. 700 23,975
Mannatech, Inc.+ ..................................... 100 375
Men's Wearhouse, Inc.+ ............................... 243 7,199
Michaels Stores, Inc.+ ............................... 183 7,457
Movado Group, Inc. ................................... 100 1,006
MSC Industrial Direct Co., Inc., Class A+ ............ 2,041 36,738
Musicland Stores Corp.+ .............................. 200 1,275
OfficeMax, Inc.+ ..................................... 654 4,251
Pacific Sunwear of California+ ....................... 1,806 69,531
PC Connection, Inc.+ ................................. 100 2,825
PETCO Animal Supplies, Inc.+ ......................... 139 1,651
PETsMART, Inc.+ ...................................... 733 2,199
Racing Champions Corp.+ .............................. 199 759
Regis Corp. .......................................... 150 2,222
Ruddick Corp. ........................................ 286 3,128
School Specialty, Inc.+ .............................. 87 1,871
Shoe Carnival, Inc.+ ................................. 1,600 14,800
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Shop At Home, Inc.+ .................................. 172 $ 1,484
ShopKo Stores, Inc.+ ................................. 200 3,550
Smart & Final, Inc.+ ................................. 163 1,212
Spiegel, Inc., Class A+ .............................. 165 1,320
Stein Mart, Inc.+ .................................... 300 2,475
Sunglass Hut International, Inc.+ .................... 3,669 28,664
Talbots, Inc. ........................................ 2,053 120,870
The Topps Co., Inc.+ ................................. 287 2,386
Trans World Entertainment Corp.+ ..................... 211 2,110
Tuesday Morning Corp.+ ............................... 900 12,937
Tweeter Home Entertainment Group, Inc.+ .............. 54 2,390
Value City Department Stores, Inc.+ .................. 100 1,388
Wal-Mart Stores, Inc. ................................ 1,400 77,700
West Marine, Inc.+ ................................... 100 994
Wet Seal, Inc., Class A+ ............................. 100 1,575
Whitehall Jewellers, Inc.+ ........................... 219 5,146
Whole Foods Market, Inc.+ ............................ 1,653 68,496
Wild Oats Markets, Inc.+ ............................. 1,500 30,750
------------
1,640,743
------------
CONSUMER STAPLES -- 1.1%
FOOD, BEVERAGE & TOBACCO -- 0.7%
American Italian Pasta Co., Class A+ ................. 100 2,462
American States Water Co. ............................ 23 684
Beringer Wine Estates Holdings, Inc., Class B+ ....... 200 7,175
Canandaigua Brands, Inc., Class A+ ................... 100 5,100
Chiquita Brands International, Inc. .................. 254 1,207
Corn Products International, Inc. .................... 208 5,005
Del Monte Foods Co.+ ................................. 400 4,275
Dreyer's Grand Ice Cream, Inc. ....................... 152 3,914
Earthgrains Co. ...................................... 220 3,272
Fleming Cos., Inc. ................................... 310 4,669
General Cigar Holdings, Inc.+ ........................ 189 2,859
Great Atlantic & Pacific Tea Co., Inc. ............... 115 2,243
Hain Food Group, Inc.+ ............................... 100 2,831
Horizon Organic Holding Corp.+ ....................... 1,800 19,462
International Home Foods, Inc.+ ...................... 112 1,792
International Multifoods Corp. ....................... 100 1,338
Ionics, Inc.+ ........................................ 800 20,450
Lance, Inc. .......................................... 271 2,879
Michael Foods, Inc. .................................. 136 2,856
Performance Food Group Co.+ .......................... 100 2,188
Pilgrim's Pride Corp., Class B ....................... 100 631
Ralcorp Holdings, Inc.+ .............................. 234 3,393
Riviana Foods, Inc. .................................. 100 1,588
Robert Mondavi Corp., Class A+ ....................... 34 1,186
Russ Berrie & Co., Inc. .............................. 34 629
Smithfield Foods, Inc.+ .............................. 1,000 20,000
Smucker (J.M.) Co., Class A .......................... 200 3,675
Suiza Foods Corp.+ ................................... 200 8,050
</TABLE>
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151
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Triarc Companies, Inc. ............................... 158 $ 3,160
United Natural Foods, Inc.+ .......................... 100 1,500
Universal Corp. ...................................... 275 4,142
Universal Foods Corp. ................................ 308 6,583
Vlasic Foods International, Inc.+ .................... 300 713
HOUSEHOLD PRODUCTS -- 0.4%
Carter-Wallace, Inc. ................................. 141 2,644
Central Garden & Pet Co.+ ............................ 100 988
Chattem, Inc.+ ....................................... 100 1,413
Church & Dwight Co., Inc. ............................ 200 3,438
Herbalife International, Inc., Class A................ 100 1,413
Nature's Sunshine Products, Inc. ..................... 100 800
NBTY, Inc.+ .......................................... 318 4,353
Playtex Products, Inc.+ .............................. 131 1,703
Rayovac Corp.+ ....................................... 181 4,208
Rexall Sundown, Inc.+ ................................ 223 3,150
Salton, Inc.+ ........................................ 49 2,125
Tupperware Corp. ..................................... 323 5,107
Twinlab Corp.+ ....................................... 1,500 10,687
WD-40 Co. ............................................ 100 2,100
Yankee Candle Co., Inc.+ ............................. 2,100 33,206
------------
229,246
------------
ENERGY -- 7.2%
ENERGY SERVICES -- 4.9%
BJ Services Co.+ ..................................... 3,600 265,950
Cal Dive International, Inc.+ ........................ 121 6,141
Friede Goldman Halter, Inc.+ ......................... 100 688
Global Marine, Inc.+ ................................. 2,400 60,900
Grey Wolf, Inc.+ ..................................... 1,083 4,264
Hanover Compressor Co.+ .............................. 189 10,749
Key Energy Services, Inc.+ ........................... 543 6,312
Marine Drilling Cos., Inc. + ......................... 400 10,975
Nabors Industries, Inc.+ ............................. 2,300 89,269
Parker Drilling Co.+ ................................. 275 1,375
Patterson Energy, Inc.+ .............................. 215 6,826
Precision Drilling Corp.+ ............................ 3,700 123,487
Pride International, Inc.+ ........................... 400 9,125
R&B Falcon Corp.+ .................................... 2,200 43,313
RPC, Inc. ............................................ 100 944
Syntroleum Corp.+ .................................... 157 3,670
Transocean Sedco Forex, Inc. ......................... 2,500 128,281
Tuboscope, Inc.+ ..................................... 192 3,264
Varco International, Inc.+ ........................... 321 4,053
Weatherford International, Inc.+ ..................... 4,200 247,537
ENERGY SOURCES -- 2.3%
Arch Coal, Inc. ...................................... 200 1,400
Barrett Resources Corp.+ ............................. 188 5,605
Basin Exploration, Inc.+ ............................. 200 2,988
</TABLE>
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152
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Belco Oil & Gas Corp.+ ............................... 100 $ 1,038
Berry Petroleum Co., Class A ......................... 200 3,437
Cabot Oil & Gas Corp., Class A ....................... 100 1,806
Calgon Carbon Corp. .................................. 123 807
Chesapeake Energy Corp.+ ............................. 345 1,121
CONSOL Energy, Inc. .................................. 82 866
Core Laboratories N.V.+ .............................. 2,600 75,562
Cross Timbers Oil Co. ................................ 300 3,919
Diamond Offshore Drilling, Inc. ...................... 4,000 159,750
EEX Corp.+ ........................................... 400 1,350
Equitable Resources, Inc. ............................ 200 8,962
Evergreen Resources, Inc.+ ........................... 1,843 44,578
Forest Oil Corp.+ .................................... 214 2,274
Harken Energy Corp.+ ................................. 880 880
Helmerich & Payne, Inc. .............................. 300 9,300
Houston Exploration Co.+ ............................. 100 1,800
HS Resources, Inc.+ .................................. 71 1,500
McMoRan Exploration Co.+ ............................. 133 2,519
Meridian Resource Corp.+ ............................. 300 1,163
Mitchell Energy & Development Corp., Class A ......... 179 3,916
National-Oilwell, Inc.+ .............................. 287 8,861
Newfield Exploration Co.+ ............................ 214 7,543
Nuevo Energy Co.+ .................................... 71 1,527
Pioneer Natural Resources Co.+ ....................... 600 6,375
Plains Resources, Inc.+ .............................. 160 2,000
Pogo Producing Co. ................................... 264 7,540
St. Mary Land & Exploration Co. ...................... 44 1,315
Stone Energy Corp.+ .................................. 900 44,325
Swift Energy Co.+ .................................... 74 1,323
Tesoro Petroleum Corp.+ .............................. 292 3,358
Tom Brown, Inc.+ ..................................... 178 3,271
Valero Energy Corp. .................................. 324 9,922
Vintage Petroleum, Inc. .............................. 2,940 59,167
------------
1,520,191
------------
FINANCE -- 3.1%
BANKS -- 1.4%
1st Source Corp. ..................................... 100 1,956
AMCORE Financial, Inc. ............................... 200 3,575
Anchor Bancorp, Inc. ................................. 100 1,588
Anchor Financial Corp. ............................... 31 884
Andover Bancorp, Inc. ................................ 9 257
Area Bancshares Corp. ................................ 100 1,987
BancorpSouth, Inc. ................................... 400 6,550
BancWest Corp. ....................................... 247 4,878
Bank United Corp., Class A ........................... 213 6,723
BankAtlantic Bancorp, Inc., Class B .................. 200 1,188
Banknorth Group, Inc. ................................ 103 2,762
Bay View Capital Corp. ............................... 252 1,890
Brookline Bancorp, Inc. .............................. 100 950
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FINANCE (CONTINUED)
BANKS (CONTINUED)
BT Financial Corp. ................................... 105 $ 1,641
Capitol Federal Financial ............................ 500 4,719
Carolina First Corp. ................................. 108 1,418
Centennial Bancorp+ .................................. 231 2,223
Centura Banks, Inc. .................................. 99 4,535
Century South Banks, Inc. ............................ 100 2,100
CFS Bancorp, Inc. .................................... 272 2,448
Chemical Financial Corp. ............................. 105 2,323
Citizens Banking Corp. ............................... 203 3,958
City Holding Co. ..................................... 100 1,200
Commerce Bancorp, Inc. ............................... 310 11,470
Commonwealth Bancorp, Inc. ........................... 100 1,269
Community First Bankshares, Inc. ..................... 230 3,680
Community Trust Bancorp, Inc. ........................ 110 1,980
CORUS Bankshares, Inc. ............................... 20 473
CVB Financial Corp. .................................. 125 1,766
Dime Community Bancshares, Inc. ...................... 100 1,581
Downey Financial Corp. ............................... 65 1,381
East West Bancorp, Inc. .............................. 82 907
F & M National Corp. ................................. 206 4,532
First BanCorp ........................................ 100 1,762
First Busey Corp. .................................... 19 366
First Charter Corp. .................................. 188 2,444
First Citizens BancShares, Inc., Class A ............. 14 791
First Commonwealth Financial Corp. ................... 374 3,226
First Financial Bancorp .............................. 220 3,960
First Financial Bankshares, Inc. ..................... 27 709
First Financial Corp. ................................ 13 451
First Indiana Corp. .................................. 100 1,850
First Merchants Corp. ................................ 39 785
First Midwest Bancorp, Inc. .......................... 234 5,674
First Republic Bank+ ................................. 100 1,981
First United Bancshares, Inc. ........................ 200 2,050
First Washington Bancorp, Inc. ....................... 147 2,683
FirstFed Financial Corp.+ ............................ 200 2,650
Frontier Financial Corp. ............................. 152 2,812
GBC Bancorp .......................................... 85 1,971
Hamilton Bancorp, Inc.+ .............................. 100 1,563
Hancock Holding Co. .................................. 100 3,087
Harleysville National Corp. .......................... 15 407
Imperial Bancorp+ .................................... 224 6,944
Independence Community Bank Corp. .................... 657 7,309
Independent Bank Corp. ............................... 100 1,194
International Bancshares Corp. ....................... 123 4,981
InterWest Bancorp, Inc. .............................. 100 1,375
MAF Bancorp, Inc. .................................... 200 3,237
Merchants New York Bancorp, Inc. ..................... 57 937
Mid-State Bancshares ................................. 100 2,500
MidAmerica Bancorp ................................... 16 416
Midwest Banc Holdings, Inc. .......................... 100 1,350
National Bancorp of Alaska, Inc. ..................... 100 3,777
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FINANCE (CONTINUED)
BANKS (CONTINUED)
National City Bancshares, Inc. ....................... 105 $ 1,995
National Penn Bancshares, Inc. ....................... 176 3,564
NBT Bancorp, Inc. .................................... 105 1,523
North Fork Bancorporation, Inc. ...................... 133 2,377
Northwest Bancorp, Inc. .............................. 249 1,665
OceanFirst Financial Corp. ........................... 24 377
Omega Financial Corp. ................................ 12 310
One Valley Bancorp, Inc. ............................. 239 8,275
Oriental Financial Group, Inc. ....................... 100 1,900
Pacific Capital Bancorp .............................. 118 2,861
Park National Corp. .................................. 42 3,696
PFF Bancorp, Inc. .................................... 142 2,201
Premier National Bancorp, Inc. ....................... 41 620
Provident Bankshares Corp. ........................... 234 3,685
Queens County Bancorp, Inc. .......................... 181 3,269
Republic Bancorp, Inc. ............................... 220 2,056
Republic Bancshares, Inc.+ ........................... 100 1,263
Republic Security Financial Corp. .................... 332 2,179
Richmond County Financial Corp. ...................... 140 2,257
Riggs National Corp. ................................. 201 2,450
S&T Bancorp, Inc. .................................... 115 1,969
Second Bancorp, Inc. ................................. 25 438
Silicon Valley Bancshares, Inc.+ ..................... 200 14,375
Sky Financial Group, Inc. ............................ 513 8,336
Southwest Bancorp of Texas, Inc.+ .................... 184 3,576
Staten Island Bancorp, Inc. .......................... 356 6,096
Susquehanna Bancshares, Inc. ......................... 200 2,762
Texas Regional Bancshares, Inc., Class A ............. 100 2,544
The Trust Co. of New Jersey .......................... 170 3,294
TrustCo Bank Corp. NY ................................ 400 4,675
U.S. Bancorp ......................................... 1 22
U.S.B. Holding Co., Inc. ............................. 100 1,494
United Bankshares, Inc. .............................. 300 6,600
W Holding Company, Inc. .............................. 300 2,878
Washington Federal, Inc. ............................. 377 7,187
WesBanco, Inc. ....................................... 192 3,708
West Coast Bancorp ................................... 188 1,845
Westcorp ............................................. 156 2,184
Whitney Holding Corp. ................................ 111 3,621
FINANCIAL SERVICES -- 1.0%
Advanta Corp., Class A ............................... 176 3,575
Affiliated Managers Group, Inc.+ ..................... 132 6,270
Alfa Corp. ........................................... 200 3,550
Allied Capital Corp. ................................. 410 7,149
AmeriCredit Corp.+ ................................... 426 6,949
Arcadia Financial Ltd.+ .............................. 300 1,500
Bank of Granite Corp. ................................ 34 678
Cash America International, Inc. ..................... 242 3,010
Century Business Services, Inc.+ ..................... 400 1,163
Charles River Associates, Inc.+ ...................... 27 525
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FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Charter Municipal Mortgage Acceptance Co. ............ 100 $ 1,213
Chittenden Corp. ..................................... 207 6,145
CompuCredit Corp.+ ................................... 27 977
Conning Corp. ........................................ 100 1,244
CPB, Inc. ............................................ 15 368
Credit Acceptance Corp.+ ............................. 284 1,544
Creditrust Corp.+ .................................... 100 300
Dain Rauscher Corp. .................................. 60 3,956
Doral Financial Corp. ................................ 126 1,425
Duff & Phelps Credit Rating Co. ...................... 42 4,187
Eaton Vance Corp. .................................... 198 8,502
Enhance Financial Services Group, Inc. ............... 112 1,582
F.N.B. Corp. ......................................... 76 1,397
Federal Agricultural Mortgage Corp., Class C+ ........ 1,300 20,150
Financial Federal Corp.+ ............................. 100 1,819
First Financial Holdings, Inc. ....................... 180 2,543
First Sentinel Bancorp, Inc. ......................... 400 3,075
Freedom Securities Corp. ............................. 162 2,531
Friedman, Billings, Ramsey Group, Inc., Class A+ ..... 152 1,653
Grand Premier Financial, Inc. ........................ 100 1,375
Hudson United Bancorp ................................ 331 7,179
Imperial Credit Industries, Inc.+ .................... 200 900
IndyMac Mortgage Holdings, Inc. ...................... 456 6,811
Insignia Financial Group, Inc.+ ...................... 100 1,400
Investors Financial Services Corp. ................... 100 5,887
Jeffries Group, Inc. ................................. 140 3,202
John Nuveen Co., Class A ............................. 16 612
Medallion Financial Corp. ............................ 100 1,681
Metris Cos., Inc. .................................... 232 9,019
Morgan Keegan, Inc. .................................. 130 2,275
National Discount Brokers Group, Inc.+ ............... 52 2,568
NCO Group, Inc.+ ..................................... 554 17,693
New Century Financial Corp.+ ......................... 100 994
Ocwen Financial Corp.+ ............................... 141 1,093
Phoenix Investment Partners Ltd. ..................... 400 3,100
Pioneer Group, Inc.+ ................................. 200 4,650
Raymond James Financial, Inc. ........................ 208 4,316
Resource America, Inc., Class A ...................... 218 1,581
Resource Bancshares Mortgage Group, Inc. ............. 285 1,122
Seacoast Financial Services Corp. .................... 317 3,130
Security Capital Group, Inc., Class B+ ............... 350 5,053
Shoreline Financial Corp. ............................ 125 1,875
Southwest Securities Group, Inc. ..................... 100 4,344
StanCorp. Financial Group, Inc. ...................... 100 2,738
Sterling Bancshares, Inc. ............................ 283 2,706
UMB Financial Corp. .................................. 110 4,042
UniCapital Corp.+ .................................... 322 765
United Asset Management Corp. ........................ 266 4,605
United Community Financial Corp. ..................... 400 2,787
United National Bancorp .............................. 173 3,730
Webster Financial Corp. .............................. 250 5,750
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FINANCE (CONTINUED)
INSURANCE -- 0.7%
Acceptance Insurance Cos., Inc.+ ..................... 100 $ 544
Alleghany Corp.+ ..................................... 24 4,602
AmerUs Life Holdings, Inc., Class A .................. 100 1,813
Argonaut Group, Inc. ................................. 100 2,006
Baldwin & Lyons, Inc., Class B ....................... 43 833
Berkley (W.R.) Corp. ................................. 187 4,313
Brown & Brown, Inc. .................................. 100 3,869
ChoicePoint, Inc.+ ................................... 194 7,251
CNA Surety Corp. ..................................... 200 2,787
Commerce Group, Inc. ................................. 119 3,510
Crawford & Co., Class B .............................. 300 3,862
Delphi Financial Group, Inc.+ ........................ 102 3,098
E.W. Blanch Holdings, Inc. ........................... 77 1,540
FBL Financial Group, Inc., Class A ................... 148 2,220
Fidelity National Financial, Inc. .................... 213 2,942
First American Financial Corp. ....................... 300 4,256
FPIC Insurance Group, Inc.+ .......................... 100 1,750
Frontier Insurance Group, Inc. ....................... 399 399
Gallagher (Arthur J.) & Co. .......................... 200 6,500
HCC Insurance Holdings, Inc. ......................... 300 3,975
HealthAxis, Inc.+ .................................... 100 1,438
Hilb, Rogal & Hamilton Co. ........................... 132 3,605
Horace Mann Educators Corp. .......................... 213 3,927
HSB Group, Inc. ...................................... 200 5,787
Irwin Financial Corp. ................................ 100 1,500
Kansas City Life Insurance Co. ....................... 14 338
LandAmerica Financial Group, Inc. .................... 130 2,519
Leucadia National Corp. .............................. 200 4,750
Liberty Corp. ........................................ 100 3,750
Liberty Financial Cos., Inc. ......................... 169 3,348
Markel Corp.+ ........................................ 21 3,055
Medical Assurance, Inc.+ ............................. 210 4,003
MMI Cos., Inc. ....................................... 180 1,778
MONY Group, Inc. ..................................... 300 9,694
Ohio Casualty Corp. .................................. 500 8,937
Philadelphia Consolidated Holding Corp.+ ............. 100 1,475
PICO Holdings, Inc.+ ................................. 100 1,113
PMA Capital Corp., Class A ........................... 181 3,167
Presidential Life Corp. .............................. 200 2,750
Professionals Group, Inc.+ ........................... 104 2,009
Radian Group, Inc. ................................... 208 9,906
Reliance Group Holdings, Inc. ........................ 389 1,362
RLI Corp. ............................................ 21 704
SCPIE Holdings, Inc. ................................. 100 3,062
Selective Insurance Group, Inc. ...................... 271 4,624
Superior National Insurance Group, Inc.+# ............ 183 292
Triad Guaranty, Inc.+ ................................ 51 1,036
UICI+ ................................................ 200 1,325
------------
663,448
------------
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HEALTHCARE -- 9.8%
DRUGS -- 3.4%
Alkermes, Inc.+ ...................................... 1,448 $ 133,940
Alpharma, Inc., Class A .............................. 100 3,675
AmeriSource Health Corp., Class A+ ................... 281 4,215
Barr Laboratories, Inc.+ ............................. 100 4,200
Bindley Western Industries, Inc. ..................... 178 2,414
Bio-Rad Laboratories, Inc., Class A+ ................. 32 872
Bio-Technology General Corp.+ ........................ 308 4,774
Caremark Rx, Inc.+ ................................... 1,173 4,912
Cephalon, Inc.+ ...................................... 2,900 108,750
Columbia Laboratories, Inc.+ ......................... 100 1,175
COR Therapeutics, Inc.+ .............................. 183 12,064
Corixa Corp.+ ........................................ 980 40,425
Coulter Pharmaceutical, Inc.+ ........................ 144 4,392
Dura Pharmaceuticals, Inc.+ .......................... 291 3,583
Duramed Pharmaceuticals, Inc.+ ....................... 143 956
Enzo Biochem, Inc.+ .................................. 172 12,126
Gilead Sciences, Inc.+ ............................... 277 17,555
Guilford Pharmaceuticals, Inc.+ ...................... 152 3,534
Hemispherx Biopharma, Inc.+ .......................... 112 1,211
Human Genome Sciences, Inc.+ ......................... 305 25,334
ICOS Corp.+ .......................................... 1,300 46,962
IDEC Pharmaceuticals Corp.+ .......................... 272 26,724
ImClone Systems, Inc.+ ............................... 187 14,376
Incyte Pharmaceuticals, Inc.+ ........................ 157 13,659
Isis Pharmaceuticals, Inc.+ .......................... 200 2,813
Jones Pharma, Inc. ................................... 342 10,388
K-V Pharmaceutical Co. ............................... 57 1,674
King Pharmaceuticals, Inc.+ .......................... 135 4,252
Ligand Pharmaceuticals, Inc., Class B+ ............... 296 5,254
Liposome, Inc.+ ...................................... 219 3,826
MacroChem Corp.+ ..................................... 139 973
Medicis Pharmaceutical Corp., Class A+ ............... 174 6,960
Millennium Pharmaceuticals, Inc.+ .................... 640 83,120
Neurogen Corp.+ ...................................... 100 3,088
Organogenesis, Inc.+ ................................. 200 2,413
PAREXEL International Corp.+ ......................... 166 1,567
PathoGenesis Corp.+ .................................. 1,759 40,017
Perrigo Co.+ ......................................... 300 2,278
Pharmaceutical Product Development, Inc.+ ............ 100 1,694
Pharmacyclics, Inc.+ ................................. 94 5,235
Protein Design Labs, Inc.+ ........................... 141 11,209
Regeneron Pharmaceuticals, Inc.+ ..................... 100 2,956
ResMed, Inc.+ ........................................ 86 6,138
SangStat Medical Corp.+ .............................. 100 2,769
SICOR, Inc.+ ......................................... 582 6,038
SuperGen, Inc.+ ...................................... 107 5,136
Transkaryotic Therapies, Inc.+ ....................... 100 5,562
Triangle Pharmaceuticals, Inc.+ ...................... 200 3,150
Vertex Pharmaceuticals, Inc.+ ........................ 155 7,256
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HEALTHCARE (CONTINUED)
HEALTH SERVICES -- 1.7%
Accredo Health, Inc.+ ................................ 150 $ 4,969
Advance Paradigm, Inc.+ .............................. 1,700 20,187
Alterra Healthcare Corp.+ ............................ 241 964
AmeriPath, Inc.+ ..................................... 100 813
Apria Healthcare Group, Inc.+ ........................ 2,500 36,094
Bally Total Fitness Holding Corp.+ ................... 3,257 79,796
Beverly Enterprises, Inc.+ ........................... 500 1,844
Capital Senior Living Corp.+ ......................... 100 313
Cerner Corp.+ ........................................ 173 4,671
ChiRex, Inc.+ ........................................ 212 4,081
Covance, Inc.+ ....................................... 344 3,698
Coventry Health Care, Inc.+ .......................... 389 3,307
Dendrite International, Inc.+ ........................ 1,077 22,550
Diagnostic Products Corp. ............................ 100 2,444
Eclipsys Corp.+ ...................................... 211 4,088
Express Scripts, Inc., Class A+ ...................... 500 21,000
First Health Group Corp.+ ............................ 300 9,487
Hanger Orthopedic Group, Inc.+ ....................... 2,889 15,348
Healthcare Services Group, Inc.+ ..................... 2,800 15,225
Henry Schein, Inc.+ .................................. 108 1,748
IDEXX Laboratories, Inc.+ ............................ 205 4,779
InfoCure Corp.+ ...................................... 1,202 20,885
Invacare Corp. ....................................... 200 5,487
LifePoint Hospitals, Inc.+ ........................... 205 3,408
Magellan Health Services, Inc.+ ...................... 300 1,444
Matria Healthcare, Inc.+ ............................. 5,300 28,156
Mid Atlantic Medical Services, Inc.+ ................. 299 2,766
Orthodontic Centers of America, Inc.+ ................ 266 4,987
Pediatrix Medical Group, Inc.+ ....................... 155 1,124
PhyCor, Inc.+ ........................................ 300 309
Province Healthcare Co.+ ............................. 61 1,746
ProxyMed Pharmacy, Inc.+ ............................. 120 1,020
Quest Diagnostics, Inc.+ ............................. 235 9,341
Quorum Health Group, Inc.+ ........................... 400 4,025
Renal Care Group, Inc.+ .............................. 294 6,376
Res-Care, Inc.+ ...................................... 128 1,200
Serologicals Corp.+ .................................. 126 685
Sierra Health Services, Inc.+ ........................ 268 1,323
Sunrise Assisted Living, Inc.+ ....................... 122 1,617
Total Renal Care Holdings, Inc.+ ..................... 400 1,250
Triad Hospitals, Inc.+ ............................... 223 3,735
US Oncology, Inc.+ ................................... 300 1,350
Veterinary Centers of America, Inc.+ ................. 100 1,375
MEDICAL PRODUCTS -- 4.7%
Abgenix, Inc.@ ....................................... 60 8,288
Acuson Corp.+ ........................................ 195 2,888
Affymetrix, Inc.+ .................................... 810 120,234
ALARIS Medical, Inc.+ ................................ 100 213
Arrow International, Inc. ............................ 1,500 47,062
ATS Medical, Inc.+ ................................... 2,600 28,925
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HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Aviron+ .............................................. 100 $ 2,781
Biomatrix, Inc.+ ..................................... 100 2,550
Block Drug Co., Inc., Class A ........................ 103 2,839
Celgene Corp.+ ....................................... 124 12,346
Cell Pathways, Inc.+ ................................. 122 4,194
Coherent, Inc.+ ...................................... 1,351 70,252
CONMED Corp.+ ........................................ 100 2,506
Cooper Cos., Inc. .................................... 100 3,219
Cyberonics, Inc.+ .................................... 100 1,869
Cygnus, Inc.+ ........................................ 200 2,900
Cytyc Corp.+ ......................................... 258 12,448
Datascope Corp. ...................................... 100 3,175
Dionex Corp.+ ........................................ 125 4,117
Eclipse Surgical Technologies, Inc.+ ................. 125 930
EntreMed, Inc.+ ...................................... 100 5,925
Enzon, Inc.+ ......................................... 229 8,630
Genome Therapeutics Corp.+ ........................... 1,100 25,919
Genzyme Corp.+ ....................................... 1,700 85,212
Gliatech, Inc.+ ...................................... 100 1,731
Haemonetics Corp.+ ................................... 170 3,825
IGEN International, Inc.+ ............................ 47 1,175
Inhale Therapeutic Systems, Inc.+ .................... 113 8,418
Laboratory Corp. of America Holdings+ ................ 272 1,173
Landauer, Inc. ....................................... 100 1,825
Laser Vision Centers, Inc.+ .......................... 131 909
LaserSight, Inc.+ .................................... 117 768
Lynx Therapeutics, Inc.+ ............................. 800 23,800
Maxim Pharmaceuticals, Inc.+ ......................... 400 18,775
MedImmune, Inc.+ ..................................... 300 52,237
Mentor Corp. ......................................... 137 3,699
Molecular Devices Corp.+ ............................. 100 7,675
Myriad Genetics, Inc.+ ............................... 1,700 102,425
Novoste Corp.+ ....................................... 100 4,000
Ocular Sciences, Inc.+ ............................... 104 1,636
Orthofix International N.V.+ ......................... 1,200 21,000
Patterson Dental Co.+ ................................ 159 6,082
PE Corp.-Celera Genomics Group+ ...................... 326 29,849
Polymer Group, Inc. .................................. 98 1,250
PSS World Medical, Inc.+ ............................. 432 2,930
QLT PhotoTherapeutics, Inc.+ ......................... 1,700 93,925
Respironics, Inc.+ ................................... 200 2,875
SCM Microsystems, Inc.+ .............................. 100 9,700
Scott Technologies, Inc.+ ............................ 143 2,699
Sola International, Inc.+ ............................ 239 1,464
STERIS Corp.+ ........................................ 400 4,100
Summit Technology, Inc.+ ............................. 281 2,564
Sunrise Technologies International, Inc.+ ............ 300 2,114
Techne Corp.+ ........................................ 120 8,280
Theragenics Corp.+ ................................... 2,072 27,713
Thermedics, Inc.+ .................................... 200 1,638
Thermo Cardiosystems, Inc.+ .......................... 100 1,400
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HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
ThermoQuest Corp.+ ................................... 100 $ 1,675
Trex Medical Corp.+ .................................. 200 600
Varian Medical Systems, Inc.+ ........................ 200 9,125
Ventana Medical Systems, Inc.+ ....................... 100 4,319
Vical, Inc.+ ......................................... 100 3,350
Visible Genetics, Inc.+ .............................. 1,700 62,900
Wesley Jessen VisionCare, Inc.+ ...................... 100 3,594
West Pharmaceutical Services, Inc. ................... 53 1,342
------------
2,078,590
------------
INDUSTRIAL & COMMERCIAL -- 13.4%
AEROSPACE & MILITARY TECHNOLOGY -- 0.8%
AAR Corp. ............................................ 137 2,286
Alliant Techsystems, Inc.+ ........................... 149 8,772
Armor Holdings, Inc.+ ................................ 3,200 35,200
BE Aerospace, Inc.+ .................................. 300 1,763
GenCorp, Inc. ........................................ 200 1,550
HEICO Corp., Class A ................................. 2,400 33,600
Kaman Corp., Class A ................................. 200 1,950
Kellstrom Industries, Inc.+ .......................... 163 932
Orbital Sciences Corp.+ .............................. 4,107 61,605
REMEC, Inc.+ ......................................... 200 10,100
Sequa Corp., Class A+ ................................ 48 1,902
Sturm, Ruger & Co., Inc. ............................. 250 2,188
Titan Corp.+ ......................................... 286 14,586
Triumph Group, Inc.+ ................................. 100 2,912
BUSINESS SERVICES -- 8.3%
Aaron Rents, Inc. .................................... 173 2,606
ABM Industries, Inc. ................................. 106 2,491
Administaff, Inc.+ ................................... 37 1,452
Aegis Communications Group, Inc.+ .................... 23,800 34,212
AgriBioTech, Inc.+ ................................... 300 35
Albany Molecular Research, Inc.+ ..................... 627 36,601
Amdocs Ltd.+ ......................................... 1,800 132,637
AMERCO+ .............................................. 100 1,838
Aviall, Inc.+ ........................................ 200 1,688
Avis Group Holding, Inc.+ ............................ 177 3,120
Banta Corp. .......................................... 121 2,223
Billing Concepts Corp.+ .............................. 253 1,779
Bowne & Co., Inc. .................................... 243 3,129
Brady Corp., Class A ................................. 104 3,243
Bright Horizons Family Solutions, Inc.+ .............. 123 2,660
Brightpoint, Inc.+ ................................... 315 3,859
Budget Group, Inc., Class A+ ......................... 159 785
Burns International Services Corp.+ .................. 100 1,050
Butler International, Inc.+ .......................... 1,500 18,562
Career Education Corp.+ .............................. 100 3,500
Catalytica, Inc.+ .................................... 379 5,519
CDI Corp.+ ........................................... 700 13,300
Central Parking Corp. ................................ 200 4,000
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
CLARCOR, Inc. ........................................ 200 $ 3,550
Coinstar, Inc.+ ...................................... 100 1,261
Comfort Systems USA, Inc.+ ........................... 300 1,913
Consolidated Graphics, Inc.+ ......................... 58 743
Copart, Inc.+ ........................................ 211 3,692
Cornell Corrections, Inc.+ ........................... 4,100 43,562
Corporate Executive Board Co. ........................ 1,100 55,825
CoStar Group, Inc.+ .................................. 66 2,434
Delta & Pine Land Co. ................................ 215 4,246
Diamond Technology Partners, Inc.+ ................... 937 61,608
Dollar Thrifty Automotive Group, Inc.+ ............... 200 3,437
DSET Corp.+ .......................................... 900 16,594
Education Management Corp.+ .......................... 177 2,555
Electro Rent Corp.+ .................................. 100 1,163
Encompass Services Corp.+ ............................ 248 1,426
F.Y.I., Inc. + ....................................... 100 2,712
First Consulting Group, Inc.+ ........................ 1,000 16,250
Forrester Research, Inc.+ ............................ 23 1,248
Foster Wheeler Corp. ................................. 376 2,538
Franklin Covey Co.+ .................................. 215 1,559
Getty Images, Inc.+ .................................. 189 6,792
Global Industries Ltd.+ .............................. 813 11,890
Granite Construction, Inc. ........................... 172 4,644
HA-LO Industries, Inc.+ .............................. 272 2,142
Handleman Co.+ ....................................... 242 2,148
Harland (John H.) Co. ................................ 148 1,998
Harsco Corp. ......................................... 215 6,222
Heidrick & Struggles International, Inc.+ ............ 79 3,170
Hooper Holmes, Inc. .................................. 2,090 71,713
Hughes Supply, Inc. .................................. 115 1,783
Hussmann International, Inc. ......................... 300 3,806
IMCO Recycling, Inc. ................................. 177 1,958
Input/Output, Inc.+ .................................. 297 1,819
Insituform Technologies, Inc., Class A+ .............. 132 4,042
INSpire Insurance Solutions, Inc.+ ................... 200 650
Intergraph Corp.+ .................................... 284 2,520
Interim Services, Inc.+ .............................. 359 6,664
Invitrogen Corp.+ .................................... 1,335 77,513
Iron Mountain, Inc.+ ................................. 2,408 82,022
IT Group, Inc.+ ...................................... 200 1,513
ITT Educational Services, Inc.+ ...................... 146 2,336
Jacobs Engineering Group, Inc.+ ...................... 107 3,451
Jupiter Communications, Inc.+ ........................ 600 13,800
Kelly Services, Inc., Class A ........................ 100 2,394
Korn/Ferry International+ ............................ 145 4,314
Kroll-O'Gara Co.+ .................................... 6,300 68,906
Labor Ready, Inc.+ ................................... 1,584 15,642
Lason, Inc.+ ......................................... 89 587
McGrath Rentcorp. .................................... 900 14,287
MedQuist, Inc.+ ...................................... 712 19,357
MemberWorks, Inc.+ ................................... 760 30,495
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Merisel, Inc.+ ....................................... 380 $ 641
Miami Computer Supply Corp.+ ......................... 100 3,137
Mobile Mini, Inc.+ ................................... 1,700 33,150
Modis Professional Services, Inc.+ ................... 2,400 29,700
Morrison Management Specialists, Inc. ................ 44 1,221
NationsRent, Inc.+ ................................... 159 835
Navigant Consulting Co.+ ............................. 244 2,684
New England Business Service, Inc. ................... 130 2,243
Newpark Resources, Inc.+ ............................. 400 3,200
NFO Worldwide, Inc.+ ................................. 193 4,246
Nortek, Inc.+ ........................................ 37 819
Oceaneering International, Inc.+ ..................... 138 2,587
OEA, Inc.+ ........................................... 200 1,925
On Assignment, Inc.+ ................................. 651 29,295
Owens & Minor, Inc. .................................. 300 3,187
Paxar Corp.+ ......................................... 345 3,321
Paychex, Inc. ........................................ 1,800 94,275
Personnel Group of America, Inc.+ .................... 246 1,507
Pre-Paid Legal Services, Inc.+ ....................... 107 3,177
Profit Recovery Group International, Inc.+ ........... 212 3,922
Quanta Services, Inc.+ ............................... 221 13,412
R.H. Donnelley Corp.+ ................................ 292 4,964
Renaissance Worldwide, Inc.+ ......................... 3,500 18,266
Rent-A-Center, Inc.+ ................................. 100 1,500
Rollins, Inc. ........................................ 48 714
Romac International, Inc.+ ........................... 267 2,420
SCP Pool Corp.+ ...................................... 40 1,225
Seitel, Inc.+ ........................................ 2,300 18,256
SITEL Corp.+ ......................................... 230 1,581
Smith International, Inc.+ ........................... 3,700 286,750
Specialty Equipment Cos., Inc.+ ...................... 100 2,075
Staff Leasing, Inc.+ ................................. 100 581
StaffMark, Inc.+ ..................................... 269 2,135
StarTek Inc.+ ........................................ 33 2,434
Stone & Webster, Inc. ................................ 100 1,450
Technology Solutions Co.+ ............................ 1,175 10,722
TeleTech Holdings, Inc.+ ............................. 3,900 134,550
Tetra Tech, Inc.+ .................................... 224 5,320
UniFirst Corp. ....................................... 100 1,125
UNOVA, Inc.+ ......................................... 212 2,862
URS Corp.+ ........................................... 100 1,313
USEC, Inc. ........................................... 500 2,312
Veritas DGC, Inc.+ ................................... 168 4,725
Wackenhut Corp., Class A+ ............................ 100 1,394
Wackenhut Corrections Corp.+ ......................... 100 963
Waste Connections, Inc.+ ............................. 200 2,425
Watsco, Inc. ......................................... 105 1,096
Watts Industries, Inc., Class A ...................... 103 1,275
WESCO International, Inc.+ ........................... 134 1,039
Westinghouse Air Brake Co. ........................... 1,830 19,444
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INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.8%
C-Cube Microsystems, Inc.+ ........................... 259 $ 18,858
Credence Systems Corp.+ .............................. 141 17,643
GenRad, Inc.+ ........................................ 176 2,178
Hadco Corp.+ ......................................... 78 5,041
ITI Technologies, Inc.+ .............................. 36 1,071
KEMET Corp.+ ......................................... 251 15,876
LeCroy Corp.+ ........................................ 1,400 22,050
Littelfuse, Inc.+ .................................... 103 3,779
Otter Tail Power Co. ................................. 92 1,834
Power-One, Inc.+ ..................................... 95 5,736
Roper Industries, Inc. ............................... 200 6,787
Smith (A.O.) Corp. ................................... 188 3,384
Technitrol, Inc. ..................................... 1,000 58,250
UCAR International, Inc.+ ............................ 296 3,903
MACHINERY -- 1.8%
Advanced Energy Industries, Inc.+ .................... 100 5,100
AGCO Corp. ........................................... 325 3,697
Albany International Corp., Class A+ ................. 195 2,888
Applied Power, Inc., Class A ......................... 288 8,208
AptarGroup, Inc. ..................................... 200 5,337
Astec Industries, Inc.+ .............................. 100 2,656
Baldor Electric Co. .................................. 200 3,613
Blount International, Inc.+ .......................... 153 1,970
Chart Industries, Inc. ............................... 100 319
CMI Corp., Class A ................................... 200 913
Cognex Corp.+ ........................................ 209 12,057
Columbus McKinnon Corp. .............................. 100 1,313
Commercial Intertech Corp. ........................... 178 3,504
CUNO, Inc.+ .......................................... 107 2,902
Dril-Quip, Inc.+ ..................................... 39 1,838
Federal Signal Corp. ................................. 300 5,419
Flow International Corp.+ ............................ 2,100 24,675
Flowserve Corp. ...................................... 200 2,575
Franklin Electric Co., Inc. .......................... 16 1,022
FSI International, Inc.+ ............................. 163 3,342
Gardner Denver, Inc.+ ................................ 165 3,104
Gerber Scientific, Inc. .............................. 219 4,229
Helix Technology Corp. ............................... 336 20,181
IDEX Corp. ........................................... 181 4,932
JLG Industries, Inc. ................................. 290 2,646
Kaydon Corp. ......................................... 194 5,299
Kulicke & Soffa Industries, Inc.+ .................... 1,777 113,839
Lincoln Electric Holdings, Inc. ...................... 300 7,256
Lindsay Manufacturing Co. ............................ 39 668
MagneTek, Inc.+ ...................................... 289 2,637
Manitowoc, Inc. ...................................... 150 4,059
Matthews International Corp., Class A ................ 1,000 22,625
Mettler-Toledo International, Inc.+(1) ............... 253 10,357
Milacron, Inc. ....................................... 200 2,888
Miller Industries, Inc.+ ............................. 400 1,525
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INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Moog, Inc., Class A+ ................................. 400 $ 7,350
Morrison Knudsen Corp.+ .............................. 300 2,213
NACCO Industries, Inc., Class A ...................... 58 2,780
Nordson Corp. ........................................ 100 4,606
Precision Castparts Corp. ............................ 161 5,876
Presstek, Inc.+ ...................................... 288 6,840
Regal-Beloit Corp. ................................... 192 3,360
Sauer, Inc. .......................................... 168 1,628
Semitool, Inc+ ....................................... 1,400 25,462
SpeedFam-IPEC, Inc.+ ................................. 142 2,822
SPS Technologies, Inc.+ .............................. 100 3,050
Standex International Corp. .......................... 100 1,550
Stewart & Stevenson Services, Inc. ................... 200 2,250
Tennant Co. .......................................... 100 3,100
Terex Corp.+ ......................................... 163 2,343
Thomas Industries, Inc. .............................. 100 1,875
Valence Technology, Inc.+ ............................ 200 4,713
Vicor Corp.+ ......................................... 100 1,800
MULTI-INDUSTRY -- 0.4%
Applied Industrial Technologies, Inc. ................ 100 1,600
Asyst Technologies, Inc.+ ............................ 197 11,525
Chemed Corp. ......................................... 100 3,000
Dexter Corp. ......................................... 124 6,572
Gentek, Inc. ......................................... 120 1,680
Justin Industries, Inc. .............................. 100 1,800
Mechanical Technology, Inc.+ ......................... 100 7,100
Ogden Corp. .......................................... 324 3,868
PerkinElmer, Inc. .................................... 285 18,952
Pittston Brink's Group ............................... 264 4,488
Plexus Corp.+ ........................................ 105 6,996
Tredegar Corp. ....................................... 181 4,876
Trinity Industries, Inc. ............................. 245 5,803
Volt Information Sciences, Inc.+ ..................... 27 970
Walter Industries, Inc. .............................. 300 2,325
TRANSPORTATION -- 1.3%
ABC-NACO, Inc.+ ...................................... 200 1,750
Airborne Freight Corp. ............................... 297 7,128
Alexander & Baldwin, Inc. ............................ 329 6,786
American Freightways Corp.+ .......................... 200 2,988
Arnold Industries, Inc. .............................. 100 1,281
C.H. Robinson Worldwide, Inc. ........................ 300 11,175
Circle International Group, Inc. ..................... 129 3,354
Consolidated Freightways Corp.+ ...................... 126 744
Covenant Transport, Inc., Class A+ ................... 100 1,588
EGL, Inc.+ ........................................... 130 3,039
Florida East Coast Industries, Inc. .................. 200 9,700
Forward Air Corp.+ ................................... 70 1,658
Fritz Companies, Inc.+ ............................... 67 678
Heartland Express, Inc.+ ............................. 200 2,809
Hunt (J.B.) Transportation Services, Inc. ............ 130 1,779
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INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Interpool, Inc. ...................................... 100 $ 656
Kirby Corp.+ ......................................... 113 2,232
Landstar System, Inc.+ ............................... 48 2,628
M.S. Carriers, Inc.+ ................................. 100 2,350
Newport News Shipbuilding, Inc. ...................... 204 6,171
Offshore Logistics, Inc.+ ............................ 2,327 32,287
Oshkosh Truck Corp. .................................. 2,200 68,337
Overseas Shipholding Group, Inc. ..................... 165 3,785
RailWorks Corp.+ ..................................... 6,500 65,812
Rollins Truck Leasing Corp. .......................... 400 3,375
Swift Transportation Co., Inc.+ ...................... 188 3,854
USFreightways Corp. .................................. 200 7,488
Wabash National Corp. ................................ 200 2,788
Werner Enterprises, Inc. ............................. 200 3,400
Wisconsin Central Transportation Corp.+ .............. 400 4,900
XTRA Corp.+ .......................................... 108 4,104
Yellow Corp.+ ........................................ 300 5,531
------------
2,839,240
------------
INFORMATION & ENTERTAINMENT -- 7.6%
BROADCASTING & MEDIA -- 6.0%
Ackerley Group, Inc. ................................. 100 1,513
ACTV, Inc.+ .......................................... 223 7,819
Acxiom Corp.+ ........................................ 2,700 89,775
Adaptive Broadband Corp.+ ............................ 252 13,482
ADVO, Inc.+ .......................................... 183 4,575
Aerial Communications, Inc.+ ......................... 154 8,749
AMC Entertainment, Inc.+ ............................. 188 952
American Mobile Satellite Corp.+ ..................... 100 2,400
Applied Graphics Technologies, Inc.+ ................. 200 1,200
Belden, Inc. ......................................... 200 5,500
Carmike Cinemas, Inc., Class A+ ...................... 100 544
CellNet Data Systems, Inc.+ .......................... 400 113
Cinar Corp., Class B+# ............................... 3,000 15,000
Cumulus Media, Inc., Class A+ ........................ 119 1,711
Data Broadcasting Corp.+ ............................. 198 1,510
e4L, Inc.+ ........................................... 101 215
EchoStar Communications Corp., Class A+ .............. 1,800 142,200
Emmis Communications Corp., Class A+ ................. 240 11,160
EMS Technologies, Inc.+ .............................. 1,800 36,000
Entercom Communications Corp.+ ....................... 1,241 63,291
Gaylord Entertainment Co. ............................ 100 2,712
Glenayre Technologies, Inc.+ ......................... 377 6,621
Gray Communications Systems, Inc. .................... 42 499
Grey Advertising, Inc. ............................... 1 409
Harmonic, Inc.+ ...................................... 169 14,069
Imation Corp.+ ....................................... 240 6,405
Journal Register Co.+ ................................ 300 4,425
Launch Media, Inc.+ .................................. 103 1,609
Lee Enterprises, Inc. ................................ 242 6,322
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INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Macrovision Corp.+ ................................... 164 $ 14,124
Mail-Well, Inc.+ ..................................... 200 1,738
Marketing Services Group, Inc.+ ...................... 118 2,094
Modem Media Poppe Tyson, Inc.+ ....................... 28 907
Netro Corp.+ ......................................... 700 45,511
On Command Corp.+ .................................... 100 1,500
Paging Network, Inc.+ ................................ 516 1,338
ParkerVision, Inc.+ .................................. 100 2,950
Paxson Communications Corp.+ ......................... 140 1,085
Pegasus Communications Corp.+ ........................ 1,000 140,750
Penton Media, Inc. ................................... 111 2,886
Pinnacle Holdings, Inc.+ ............................. 224 12,376
Playboy Enterprises, Inc., Class B+ .................. 100 1,988
Polycom, Inc.+ ....................................... 132 10,453
Powerwave Technologies, Inc.+ ........................ 1,100 137,500
Proxim, Inc.+ ........................................ 574 73,472
Pulitzer, Inc. ....................................... 100 4,087
Radio One, Inc.+ ..................................... 52 3,464
Regent Communications, Inc. .......................... 600 7,425
Salem Communications Corp., Class A+ ................. 1,300 15,519
Scholastic Corp.+ .................................... 157 8,468
Sinclair Broadcast Group, Inc., Class A+ ............. 117 1,046
Sirius Satellite Radio, Inc.+ ........................ 116 6,612
Spanish Broadcasting System, Inc., Class A+ .......... 2,700 63,323
United Television, Inc. .............................. 16 2,118
ValueVision International, Inc. Class A+ ............. 1,432 59,249
VoiceStream Wireless Corp.+ .......................... 176 22,658
Wavo Corp.+ .......................................... 141 630
WebLink Wireless, Inc.+ .............................. 300 4,012
Westwood One, Inc.+ .................................. 538 19,502
Xircom, Inc.+ ........................................ 1,032 38,184
Youthstream Media Networks, Inc.+ .................... 60 788
Ziff-Davis, Inc. - ZD+ ............................... 6,138 95,906
Ziff-Davis, Inc. - ZDNet+ ............................ 100 2,125 ......
ENTERTAINMENT PRODUCTS -- 0.5%
Arctic Cat, Inc. ..................................... 100 1,025
Callaway Golf Co. .................................... 451 6,991
Championship Auto Racing Teams, Inc.+ ................ 900 19,800
Citadel Communications Corp.+ ........................ 136 5,738
Direct Focus, Inc.+ .................................. 36 1,001
Enesco Group, Inc. ................................... 167 1,179
Harman International Industries, Inc. ................ 100 6,000
JAAKS Pacific, Inc.+ ................................. 171 3,687
Meade Instruments Corp.+ ............................. 500 34,500
National R.V. Holdings, Inc.+ ........................ 91 1,439
Polaroid Corp. ....................................... 293 6,959
Steinway Musical Instruments, Inc.+ .................. 100 1,881
Universal Electronics, Inc.+ ......................... 400 9,700
Zany Brainy, Inc.+ ................................... 2,800 13,650
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM -- 1.1%
Advantica Restaurant Group, Inc.+ .................... 300 $ 450
AirTran Holdings, Inc.+ .............................. 370 1,630
Alaska Air Group, Inc.+ .............................. 174 5,231
America West Holdings Corp., Class B+ ................ 200 3,100
American Classic Voyages Co.+ ........................ 1,135 28,588
AMF Bowling, Inc.+ ................................... 500 1,063
Amtran, Inc.+ ........................................ 58 1,037
Anchor Gaming+ ....................................... 100 3,794
Applebee's International, Inc. ....................... 123 3,459
Argosy Gaming Co.+ ................................... 127 1,810
Avado Brands, Inc. ................................... 260 731
Aztar Corp.+ ......................................... 358 3,401
Bob Evans Farms, Inc. ................................ 277 3,462
Boca Resorts, Inc., Class A+ ......................... 200 1,713
Buffets, Inc.+ ....................................... 379 3,423
CBRL Group, Inc. ..................................... 314 3,140
CEC Entertainment, Inc.+ ............................. 179 4,855
Choice Hotels International, Inc.+ ................... 300 4,331
Churchill Downs, Inc. ................................ 30 791
CKE Restaurants, Inc. ................................ 300 1,913
Consolidated Products, Inc.+ ......................... 220 2,076
Crestline Capital Corp.+ ............................. 169 2,947
Dave & Buster's, Inc.+ ............................... 133 1,189
Dover Downs Entertainment, Inc. ...................... 48 612
Extended Stay America, Inc. + ........................ 500 3,750
Fairfield Communities, Inc.+ ......................... 292 2,318
Family Golf Centers, Inc.+ ........................... 129 129
Frontier Airlines, Inc.+ ............................. 2,016 23,940
IHOP Corp.+ .......................................... 194 2,716
Jack in the Box, Inc.+ ............................... 270 5,754
Landry's Seafood Restaurants, Inc.+ .................. 265 1,689
Lone Star Steakhouse & Saloon, Inc.+ ................. 218 2,221
Luby's, Inc. ......................................... 253 2,388
Marcus Corp. ......................................... 200 2,587
Mesaba Holdings, Inc.+ ............................... 139 1,590
Midwest Express Holdings, Inc.+ ...................... 100 2,563
Monaco Coach Corp.+ .................................. 82 1,558
O'Charleys, Inc. ..................................... 100 1,300
P.F. Chang's China Bistro, Inc.+ ..................... 600 19,875
Papa John's International, Inc.+ ..................... 113 3,729
Pinnacle Entertainment, Inc.+ ........................ 155 3,148
Prime Hospitality Corp.+ ............................. 300 2,175
Ruby Tuesday, Inc. ................................... 200 3,500
Ryan's Family Steak Houses, Inc.+ .................... 320 3,060
SkyWest, Inc. ........................................ 509 19,915
Sonic Corp.+ ......................................... 100 2,725
Station Casinos, Inc.+ ............................... 157 3,425
Steiner Leisure Ltd.+ ................................ 1,400 26,950
Sunterra Corp.+ ...................................... 200 400
The Cheesecake Factory, Inc.+ ........................ 114 4,745
Trans World Airlines, Inc.+ .......................... 400 925
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
United States Franchise Systems, Inc., Class A+ ...... 182 $ 910
Vail Resorts, Inc.+ .................................. 196 3,160
WMS Industries, Inc.+ ................................ 150 1,481
Wyndham International, Inc., Class A+ ................ 887 1,663
------------
1,611,153
------------
INFORMATION TECHNOLOGY -- 40.3%
COMMUNICATION EQUIPMENT -- 3.6%
ACT Networks, Inc.+ .................................. 200 2,025
ANADIGICS, Inc.+ ..................................... 668 44,088
Ancor Communications, Inc.+ .......................... 180 7,403
Anicom, Inc.+ ........................................ 165 1,000
Anixter International, Inc.+ ......................... 189 5,268
Apex, Inc.+ .......................................... 155 5,754
Auspex Systems, Inc. ................................. 181 1,991
Banyan Systems, Inc.+ ................................ 200 3,513
Cable Design Technologies Corp.+ ..................... 1,285 43,610
CellStar Corp.+ ...................................... 6,325 50,600
Clarent Corp.+ ....................................... 400 36,075
Computer Network Technology Corp.+ ................... 136 2,380
Digital Microwave Corp.+ ............................. 4,331 146,713
Emulex Corp.+ ........................................ 212 23,134
Extreme Networks, Inc.+ .............................. 400 31,600
International FiberCom, Inc.+ ........................ 128 3,040
Network Appliance, Inc.+ ............................. 3,200 264,800
Network Equipment Technologies, Inc.+ ................ 141 1,410
Network Peripherals, Inc.+ ........................... 76 2,698
P-Com, Inc.+ ......................................... 2,001 37,018
PairGain Technologies, Inc.+ ......................... 1,110 20,743
PictureTel Corp.+ .................................... 266 2,328
Tekelec, Inc.+ ....................................... 200 7,425
Visual Networks, Inc.+ ............................... 125 7,094
COMPUTER SERVICES -- 5.7%
Advent Software, Inc.+ ............................... 200 9,175
American Management Systems, Inc.+ ................... 276 12,092
Analysts International Corp. ......................... 140 1,383
AnswerThink Consulting Group, Inc.+ .................. 3,162 77,271
Aspect Development, Inc.+ ............................ 892 57,422
Aspen Technology, Inc.+ .............................. 155 6,258
AXENT Technologies, Inc.+ ............................ 200 3,763
Bell & Howell Co.+ ................................... 100 3,125
Black Box Corp.+ ..................................... 113 7,823
Bottomline Technologies, Inc.+ ....................... 100 3,644
Brio Technology, Inc.+ ............................... 106 4,001
Cambridge Technology Partners, Inc.+ ................. 6,304 85,498
CCC Information Services Group, Inc.+ ................ 200 4,300
CheckFree Holdings Corp.+ ............................ 1,200 84,600
CHS Electronics, Inc.+ ............................... 310 213
CIBER, Inc.+ ......................................... 1,460 29,930
Cognizant Technology Solutions Corp.+ ................ 60 3,750
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
Complete Business Solutions, Inc.+ ................... 726 $ 16,244
CompuCom Systems, Inc.+ .............................. 352 1,848
Computer Horizons Corp.+ ............................. 205 3,511
Computer Task Group, Inc. ............................ 66 726
Concurrent Computer Corp.+ ........................... 341 4,326
Cotelligent, Inc.+ ................................... 200 1,163
Documentum, Inc.+ .................................... 1,700 132,600
eLoyalty Corp. ....................................... 1,175 28,053
Entrust Technologies, Inc.+ .......................... 1,800 153,141
FactSet Research Systems, Inc. ....................... 103 2,787
Fair, Isaac & Co., Inc. .............................. 100 3,887
FileNET Corp.+ ....................................... 255 7,586
i2 Technologies, Inc.+ ............................... 800 97,700
iGate Capital Corp.+ ................................. 2,608 117,686
InaCom Corp.+ ........................................ 262 721
Information Resources, Inc.+ ......................... 281 2,248
Informix Corp.+ ...................................... 1,631 27,625
InfoUSA, Inc.+ ....................................... 112 1,022
Manhattan Associates, Inc.+ .......................... 900 30,825
Manugistics Group, Inc.+ ............................. 777 39,044
MAPICS, Inc.+ ........................................ 200 3,188
MarchFirst, Inc.+ .................................... 1,224 43,681
Maxtor Corp.+ ........................................ 378 4,890
Mentor Graphics Corp.+ ............................... 400 6,050
Metamor Worldwide, Inc.+ ............................. 200 5,662
Per-Se Technologies, Inc.+ ........................... 184 1,081
ProBusiness Services, Inc.+ .......................... 72 1,859
Procurenet, Inc.# .................................... 200 0
QRS Corp.+ ........................................... 88 6,622
QuadraMed Corp.+ ..................................... 165 949
Schawk, Inc. ......................................... 100 788
Standard Register Co. ................................ 151 1,944
Sybase, Inc.+ ........................................ 581 11,802
Sykes Enterprises, Inc.+ ............................. 2,010 38,316
Tyler Technologies, Inc.+ ............................ 300 1,781
Wallace Computer Services, Inc. ...................... 200 2,363
Wind River Systems, Inc.+ ............................ 329 11,926
Zomax, Inc.+ ......................................... 100 6,025
COMPUTERS & BUSINESS EQUIPMENT -- 3.4%
Advanced Digital Information Corp.+ .................. 3,048 104,394
Anacomp, Inc.+ ....................................... 100 1,556
AVT Corp.+ ........................................... 163 1,925
Brooktrout, Inc.+ .................................... 100 2,900
Cybex Computer Products Corp.+ ....................... 150 5,644
Daisytek International Corp.+ ........................ 161 2,546
Echelon Corp.+ ....................................... 112 7,336
Henry (Jack) & Associates, Inc. ...................... 160 5,900
Hutchinson Technology, Inc.+ ......................... 135 2,379
Identix, Inc.+ ....................................... 1,650 45,994
In Focus Systems, Inc.+ .............................. 1,127 40,361
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Insight Enterprises, Inc.+ ........................... 1,350 $ 49,191
Interface, Inc. ...................................... 254 1,080
Iomega Corp.+ ........................................ 1,641 6,256
Komag, Inc.+ ......................................... 300 1,139
Kronos, Inc.+ ........................................ 103 3,051
Mercury Computer Systems, Inc.+ ...................... 122 5,963
MICROS Systems, Inc.+ ................................ 1,500 94,406
Microtouch Systems, Inc.+ ............................ 1,400 17,937
MMC Networks, Inc.+ .................................. 200 6,600
MTI Technology Corp.+ ................................ 200 5,275
National Computer Systems, Inc. ...................... 1,800 91,350
PubliCARD, Inc.+ ..................................... 143 1,394
Radiant Systems, Inc.+ ............................... 100 6,288
RadiSys Corp.+ ....................................... 1,905 114,538
RSA Security, Inc.+ .................................. 248 12,849
S3, Inc.+ ............................................ 463 9,723
SanDisk Corp.+ ....................................... 314 38,465
Systemax, Inc.+ ...................................... 300 2,738
Systems & Computer Technology Corp.+ ................. 200 4,675
U.S. Office Products Co.+ ............................ 400 1,000
United Stationers, Inc.+ ............................. 200 7,137
Virco Manufacturing Corp. ............................ 104 1,079
Wave Systems Corp., Class A+ ......................... 244 9,745
Western Digital Corp.+ ............................... 648 4,820
Zebra Technologies Corp., Class A+ ................... 149 7,450
COMPUTER SOFTWARE -- 4.8%
3Dfx Interactive, Inc.+ .............................. 100 1,194
Acclaim Entertainment, Inc.+ ......................... 270 894
Activision, Inc.+ .................................... 2,265 27,322
Actuate Corp.+ ....................................... 162 8,718
Avant! Corp.+ ........................................ 253 3,163
Avid Technology, Inc.+ ............................... 146 2,610
BindView Development Corp.+ .......................... 200 6,212
Concord Communications, Inc.+ ........................ 82 2,916
Daleen Technologies, Inc.+ ........................... 700 14,394
Datastream Systems, Inc.+ ............................ 161 4,669
Epicor Software Corp.+ ............................... 268 2,278
Exchange Applications, Inc.+ ......................... 1,200 63,506
Great Plains Software, Inc.+ ......................... 59 3,149
HNC Software, Inc.+ .................................. 175 12,611
Hyperion Solutions Corp.+ ............................ 200 6,500
IMRglobal Corp.+ ..................................... 1,600 23,000
Informatica Corp.+ ................................... 100 7,681
ISS Group, Inc.+ ..................................... 173 20,154
JDA Software Group, Inc.+ ............................ 115 1,682
Kana Communications, Inc.+ ........................... 300 20,400
Landmark Systems Corp.+ .............................. 1,900 9,500
Mercator Software, Inc.+ ............................. 106 8,805
Mercury Interactive Corp.+ ........................... 466 36,930
Micromuse, Inc.+ ..................................... 832 115,492
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
MicroStrategy, Inc.+ ................................. 503 $ 43,792
Midway Games, Inc.+ .................................. 194 2,571
Mission Critical Software, Inc.+ ..................... 800 48,900
National Instruments Corp.+ .......................... 1,107 51,960
NEON Systems, Inc.+ .................................. 32 1,056
New Era of Networks, Inc.+ ........................... 300 11,775
NVIDIA Corp.+ ........................................ 936 79,077
ONYX Software Corp.+ ................................. 128 4,080
Optio Software, Inc.+ ................................ 1,100 13,887
Pegasystems, Inc.+ ................................... 163 1,956
Peregrine Systems, Inc.+ ............................. 340 22,801
Pervasive Software, Inc.+ ............................ 100 1,288
Pinnacle Systems, Inc.+ .............................. 232 7,714
Policy Management Systems Corp.+ ..................... 200 2,400
Private Business, Inc.+ .............................. 100 300
Progress Software Corp.+ ............................. 200 4,687
Project Software & Development, Inc.+ ................ 500 28,250
Razorfish, Inc.+ ..................................... 81 2,228
Remedy Corp.+ ........................................ 166 6,993
SAGA SYSTEMS, Inc.+ .................................. 245 8,759
Sanchez Computer Associates, Inc.+ ................... 100 3,512
Santa Cruz Operation, Inc.+ .......................... 97 909
ScanSoft, Inc.+ ...................................... 2,271 11,499
Serena Software, Inc. ................................ 60 1,913
Siebel Systems, Inc.+(2) ............................. 1,100 131,381
SPSS, Inc.+ .......................................... 33 1,048
SS&C Technologies, Inc.+ ............................. 200 1,163
Structural Dynamics Research Corp.+ .................. 200 2,700
SVI Holdings, Inc.+ .................................. 161 1,590
TenFold Corp.+ ....................................... 21 1,271
THQ, Inc.+ ........................................... 1,150 20,556
Transaction Systems Architects, Inc., Class A+ ....... 1,400 40,425
Verity, Inc.+ ........................................ 882 35,941
WebTrends Corp.+ ..................................... 76 5,472
ELECTRONICS -- 6.2%
Actel Corp.+ ......................................... 112 3,997
Aeroflex, Inc.+ ...................................... 106 5,247
Alliance Semiconductor Corp.+ ........................ 161 3,451
Alpha Industries, Inc.+ .............................. 103 9,785
American Superconductor Corp.+ ....................... 100 4,450
American Xtal Technology, Inc.+ ...................... 106 3,432
AMETEK, Inc. ......................................... 200 3,850
Amkor Technology, Inc.+ .............................. 500 26,531
Ampex Corp., Class A+ ................................ 3,794 11,856
Amphenol Corp., Class A+ ............................. 99 10,123
Analogic Corp. ....................................... 917 33,814
Applied Materials, Inc.+ ............................. 175 16,515
Artesyn Technologies, Inc.+ .......................... 1,900 35,981
ATMI, Inc.+@ ......................................... 118 5,635
Benchmark Electronics, Inc.+ ......................... 100 3,700
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
BMC Industries, Inc. ................................. 200 $ 1,138
Broadcom Corp., Class A+(2) .......................... 900 218,587
Brooks Automation, Inc.+ ............................. 100 6,250
Burr-Brown Corp.+ .................................... 253 13,757
Checkpoint Systems, Inc.+ ............................ 189 1,583
Cirrus Logic, Inc.+ .................................. 397 7,245
Cohu, Inc. ........................................... 168 7,004
Cree Research, Inc.+ ................................. 175 19,753
CTS Corp. ............................................ 181 10,317
Cymer, Inc.+ ......................................... 186 9,300
Cypress Semiconductor Corp.+@ ........................ 689 33,976
Dallas Semiconductor Corp. ........................... 386 13,558
DII Group, Inc.+ ..................................... 233 26,344
DSP Group, Inc.+ ..................................... 152 10,032
DuPont Photomasks, Inc.+ ............................. 20 1,159
Electro Scientific Industries, Inc.+ ................. 200 11,600
Electroglas, Inc.+ ................................... 115 3,939
EMCORE Corp.+ ........................................ 100 11,506
ESS Technology, Inc. + ............................... 172 3,010
Exar Corp.+ .......................................... 150 10,734
Fisher Scientific International, Inc.+ ............... 246 10,947
General Semiconductor, Inc.+ ......................... 200 3,450
Harmon Industries, Inc. .............................. 100 1,813
hi/fn, Inc. .......................................... 37 2,407
Innovex, Inc. ........................................ 183 1,790
Integrated Device Technology, Inc.+ .................. 537 21,279
International Rectifier Corp.+ ....................... 311 11,857
InterVoice-Brite, Inc.+ .............................. 194 5,602
Kent Electronics Corp.+ .............................. 185 5,400
Kopin Corp.+ ......................................... 190 13,062
Lam Research Corp.+ .................................. 759 34,202
Lattice Semiconductor Corp.+ ......................... 299 20,239
Linear Technology Corp. .............................. 1,600 88,000
LTX Corp.+ ........................................... 265 11,975
MEMC Electronic Materials, Inc.+ ..................... 200 4,025
Methode Electronics, Inc., Class A ................... 222 11,211
Micrel, Inc.+ ........................................ 189 18,144
Micron Electronics, Inc.+ ............................ 230 3,220
MIPS Technologies, Inc., Class A+ .................... 67 3,727
MKS Instruments, Inc.+ ............................... 29 1,465
NeoMagic Corp.+ ...................................... 118 586
Park Electrochemical Corp. ........................... 40 980
Pegasus Systems, Inc.+ ............................... 2,224 35,167
Phoenix Technologies Ltd.+ ........................... 1,200 25,350
Photronics, Inc.+ .................................... 122 4,308
Pioneer-Standard Electronics, Inc. ................... 151 2,378
PMC-Sierra, Inc.+ .................................... 300 61,106
Power Integrations, Inc.+ ............................ 135 3,375
PRI Automation, Inc.+ ................................ 121 7,396
Read-Rite Corp.+ ..................................... 302 1,416
Rogers Corp.+ ........................................ 36 2,259
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Rudolph Technologies, Inc.+ .......................... 200 $ 9,000
Sawtek, Inc.+ ........................................ 1,652 86,833
Semtech Corp.+ ....................................... 200 12,812
Sensormatic Electronics Corp.+ ....................... 417 9,356
Silicon Valley Group, Inc.+ .......................... 278 7,645
Siliconix, Inc. ...................................... 27 2,567
SIPEX Corp.+ ......................................... 181 6,392
SonoSite, Inc.+ ...................................... 900 29,925
Stoneridge, Inc.+ .................................... 100 1,150
Tektronix, Inc. ...................................... 270 15,120
Therma-Wave, Inc.+ ................................... 200 6,800
Three-Five Systems, Inc.+ ............................ 600 36,000
TranSwitch Corp.+ .................................... 264 25,377
Trimble Navigation Ltd.+ ............................. 140 3,605
TriQuint Semiconductor, Inc.+ ........................ 200 14,700
Ultratech Stepper, Inc.+ ............................. 141 2,009
Varian Semiconductor Equipment Associates, Inc.+ ..... 186 11,834
Varian, Inc.+ ........................................ 239 9,172
Veeco Instruments, Inc.+ ............................. 48 3,552
INTERNET CONTENT -- 4.3%
24/7 Media, Inc.+ .................................... 100 3,950
About.com, Inc.+ ..................................... 19 1,674
Alloy Online, Inc.+ .................................. 1,000 16,688
Ashton Technology Group, Inc.+ ....................... 163 1,375
barnesandnoble.com, Inc.+ ............................ 192 1,812
Beyond.com Corp.+ .................................... 100 428
CDnow, Inc.+ ......................................... 100 378
Critical Path, Inc.+(2) .............................. 600 51,000
Cyberian Outpost, Inc.+ .............................. 700 5,950
EarthWeb, Inc.+ ...................................... 28 690
Egghead.com, Inc.+ ................................... 120 844
eLOT, Inc.+ .......................................... 600 3,525
eMerge Interactive, Inc., Class A+ ................... 1,300 39,162
Fatbrain.com, Inc.+ .................................. 100 1,081
FiNet.com, Inc.+ ..................................... 400 513
FVC.COM, Inc.+ ....................................... 1,800 32,175
Go2Net, Inc.+ ........................................ 144 11,601
GTECH Holdings Corp.+ ................................ 200 3,713
iGo Corp.+ ........................................... 1,600 11,500
Internet Capital Group, Inc.+ ........................ 100 9,031
iVillage, Inc.+ ...................................... 87 1,363
Learn2.com, Inc.+ .................................... 300 1,238
MessageMedia, Inc.+ .................................. 167 2,119
Multex.com, Inc.+ .................................... 900 33,412
NBC Internet, Inc., Class A+ ......................... 1,500 64,594
Net.Bank, Inc.+ ...................................... 133 1,729
OnHealth Network Co.+ ................................ 102 427
Rare Medium Group, Inc.+ ............................. 206 9,090
S1 Corp.+ ............................................ 2,342 200,680
SierraCities.com, Inc.+ .............................. 100 1,338
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INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT (CONTINUED)
SportsLine.com, Inc.+ ................................ 107 $ 3,150
Stamps.com, Inc.+ .................................... 2,500 48,281
Student Advantage, Inc.+ ............................. 3,900 39,000
Switchboard, Inc.+ ................................... 1,100 37,812
Travelocity.com, Inc. ................................ 100 2,938
VerticalNet, Inc.+ ................................... 219 29,784
Vicinity Corp.+ ...................................... 400 13,900
Yahoo!, Inc.+ ........................................ 1,300 222,787
INTERNET SOFTWARE -- 7.4%
Agile Software Corp.+ ................................ 400 25,000
Allaire Corp.+ ....................................... 80 6,050
America Online, Inc.+ ................................ 1,200 80,700
Ariba, Inc.+ ......................................... 200 41,925
Art Technology Group, Inc.+ .......................... 1,100 72,256
BroadVision, Inc.+ ................................... 1,086 48,734
CAIS Internet, Inc.+ ................................. 100 2,419
Commerce One, Inc.+ .................................. 200 29,850
Concentric Network Corp.+ ............................ 274 15,070
CyberCash, Inc. + .................................... 116 1,566
Digital River, Inc.+ ................................. 100 2,150
E.piphany, Inc.+ ..................................... 100 13,356
eCollege.com, Inc.+ .................................. 1,400 9,800
Engage Technologies, Inc.+ ........................... 700 53,419
Etinuum, Inc.+ ....................................... 700 6,650
Globix Corp.+ ........................................ 101 3,851
Harbinger Corp.+ ..................................... 4,654 135,548
HearMe, Inc.+ ........................................ 51 1,288
Inktomi Corp.+(2) .................................... 1,000 195,000
InterVU, Inc. ........................................ 56 5,040
Intraware, Inc.+ ..................................... 100 4,131
Lionbridge Technologies, Inc.+ ....................... 1,300 19,825
Macromedia, Inc.+ .................................... 800 72,250
Net Perceptions, Inc.+ ............................... 100 3,694
Netopia, Inc.+ ....................................... 1,844 132,653
OneMain.com, Inc.+ ................................... 126 1,425
Open Market, Inc.+ ................................... 213 5,485
Portal Software, Inc.+ ............................... 1,100 62,631
Primus Knowledge Solutions, Inc.+ .................... 400 34,400
Proxicom, Inc.+ ...................................... 200 8,862
RAVISENT Technologies, Inc.+ ......................... 1,000 13,875
RealNetworks, Inc.+ .................................. 500 28,469
Rhythms NetConnections, Inc.+ ........................ 800 29,450
Silknet Software, Inc.+ .............................. 18 1,872
SoftNet Systems, Inc.+ ............................... 111 3,247
Software.com, Inc.+ .................................. 500 64,437
Spyglass, Inc.+ ...................................... 100 7,755
USinternetworking, Inc.+ ............................. 125 4,824
Vignette Corp.+ ...................................... 1,000 160,250
Vitria Technology, Inc.+ ............................. 300 30,244
WatchGuard Technologies, Inc.+ ....................... 1,200 108,000
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INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
WorldGate Communications, Inc.+ ...................... 100 $ 3,006
ZixIt Corp.+ ......................................... 100 7,281
TELECOMMUNICATIONS -- 4.9%
Adelphia Business Solutions, Inc.+ ................... 85 5,238
ADTRAN, Inc.+ ........................................ 119 7,073
Advanced Fibre Communications, Inc.+ ................. 474 29,714
Advanced Radio Telecom Corp.+ ........................ 139 4,604
AirGate PCS, Inc.+ ................................... 800 84,400
Allen Telecom, Inc.+ ................................. 270 4,303
Andrew Corp.+ ........................................ 539 12,330
ANTEC Corp.+ ......................................... 158 7,080
Arguss Holdings, Inc.+ ............................... 100 2,238
Aspect Communications Corp.+ ......................... 312 11,563
Aware, Inc.+ ......................................... 100 4,013
Boston Communications Group, Inc.+ ................... 1,300 9,425
C-COR.net Corp. ...................................... 146 7,154
CapRock Communications Corp.+ ........................ 300 14,700
Carrier Access Corp.+ ................................ 100 5,325
Clearnet Communications, Inc., Class A+ .............. 1,800 74,137
Com21, Inc.+ ......................................... 100 4,700
CommScope, Inc.+ ..................................... 300 13,687
Comtech Telecommunications Corp.+ .................... 1,100 20,281
Copper Mountain Networks, Inc.+ ...................... 500 40,969
Covad Communications Group, Inc.+ .................... 850 61,625
CT Communications, Inc. .............................. 50 3,000
CTC Communications Group, Inc.+ ...................... 150 6,394
Dycom Industries, Inc.+ .............................. 273 13,309
e.spire Communications, Inc.+ ........................ 336 2,363
Electric Lightwave, Inc., Class A+ ................... 100 2,388
General Communication, Inc., Class A+ ................ 248 1,333
GST Telecommunications, Inc.+ ........................ 1,400 8,575
ICG Communications, Inc.+ ............................ 300 10,837
IDT Corp.+ ........................................... 161 6,681
Inet Technologies, Inc.+ ............................. 27 1,429
Inter-Tel, Inc. ...................................... 180 4,928
InterDigital Communications Corp.+ ................... 309 7,802
Intermedia Communications, Inc.+ ..................... 304 14,687
IPC Communications, Inc.+ ............................ 50 10,300
ITC DeltaCom, Inc.+ .................................. 400 14,250
Leap Wireless International, Inc.+ ................... 127 12,533
Lightbridge, Inc.+ ................................... 1,000 23,375
MasTec, Inc.+ ........................................ 118 10,502
Metricom, Inc.+ ...................................... 100 4,638
MGC Communications, Inc.+ ............................ 906 64,779
MRV Communications, Inc.+ ............................ 186 17,042
Nortel Networks Corp. ................................ 184 23,184
North Pittsburgh Systems, Inc. ....................... 100 1,313
NorthEast Optic Network, Inc.+ ....................... 30 2,537
Pacific Gateway Exchange, Inc.+ ...................... 75 1,102
Plantronics, Inc.+ ................................... 2,200 205,012
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Powertel, Inc.+ ...................................... 155 $ 10,724
Price Communications Corp.+ .......................... 285 6,555
Primus Telecommunications Group, Inc.+ ............... 176 9,097
PTEK Holdings, Inc.+ ................................. 285 1,888
STAR Telecommunications, Inc.+ ....................... 148 888
TALK.com, Inc.+ ...................................... 3,600 57,600
Terayon Communication Systems, Inc.+ ................. 100 20,500
True North Communications, Inc. ...................... 259 10,182
Tut Systems, Inc.+ ................................... 100 5,956
Viatel, Inc.+ ........................................ 100 5,019
West TeleServices Corp.+ ............................. 145 3,734
Westell Technologies, Inc., Class A+ ................. 183 5,833
World Access, Inc.+ .................................. 217 4,150
------------
8,520,938
------------
MATERIALS -- 2.4%
CHEMICALS -- 1.0%
A. Schulman, Inc. .................................... 200 2,650
A.M. Castle & Co. .................................... 100 1,250
Airgas, Inc.+ ........................................ 500 4,156
Albemarle Corp. ...................................... 200 4,150
AMCOL International Corp. ............................ 240 3,690
Arch Chemicals, Inc. ................................. 113 2,260
Cambrex Corp. ........................................ 128 5,568
ChemFirst, Inc. ...................................... 173 3,363
CK Witco Corp. ....................................... 758 7,722
Cytec Industries, Inc.+ .............................. 281 8,606
Ethyl Corp. .......................................... 600 1,838
Ferro Corp. .......................................... 200 3,562
General Cable Corp. .................................. 200 1,563
Geon Co. ............................................. 100 2,150
Georgia Gulf Corp. ................................... 204 5,304
H.B. Fuller Co. ...................................... 400 15,975
Hanna (M.A.) Co. ..................................... 300 3,394
Lilly Industries, Inc., Class A ...................... 200 2,475
MacDermid, Inc. ...................................... 76 2,014
Mississippi Chemical Corp. ........................... 100 681
NL Industries, Inc. .................................. 200 2,600
Olin Corp. ........................................... 247 4,384
OM Group, Inc. ....................................... 2,227 101,328
Omnova Solutions, Inc. ............................... 200 1,125
Scotts Co., Class A+ ................................. 200 8,400
Spartech Corp. ....................................... 140 4,812
Terra Industries, Inc. ............................... 200 463
U.S. Plastic Lumber Corp.+ ........................... 185 1,711
W.R. Grace & Co.+ .................................... 400 5,075
Wellman, Inc. ........................................ 192 3,804
FOREST PRODUCTS -- 0.2%
Buckeye Technologies, Inc.+ .......................... 111 1,956
Caraustar Industries, Inc. ........................... 200 2,825
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MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Chesapeake Corp. ..................................... 105 $ 3,104
Deltic Timber Corp. .................................. 100 2,369
EarthShell Corp.+ .................................... 300 1,238
Gaylord Container Corp., Class A+ .................... 351 2,238
Glatfelter (P.H.) Co. ................................ 200 2,125
Greif Brothers Corp., Class A+ ....................... 128 4,080
Ivex Packaging Corp.+ ................................ 200 1,512
Longview Fibre Co. ................................... 300 4,425
Potlatch Corp. ....................................... 159 6,837
Rayonier, Inc. ....................................... 170 8,287
Republic Group, Inc. ................................. 100 1,075
Rock-Tenn Co., Class A ............................... 100 975
Schweitzer-Mauduit International, Inc. ............... 169 2,186
Silgan Holdings, Inc.+ ............................... 100 1,213
Wausau-Mosinee Paper Corp. ........................... 338 4,373
METALS & MINERALS -- 1.2%
Alltrista Corp.+ ..................................... 74 1,674
Barnes Group, Inc. ................................... 100 1,450
Battle Mountain Gold Co.+ ............................ 800 1,550
Bethlehem Steel Corp.+ ............................... 800 4,800
Brush Wellman, Inc. .................................. 100 1,763
Carpenter Technology Corp. ........................... 163 3,392
Centex Construction Products, Inc. ................... 18 473
Cleveland-Cliffs, Inc. ............................... 100 2,381
Commercial Metals Co. ................................ 100 2,763
Elcor Corp. .......................................... 129 4,450
Florida Rock Industries, Inc. ........................ 100 2,800
Griffon Corp.+ ....................................... 300 2,344
Hexcel Corp.+ ........................................ 200 1,000
Intermet Corp. ....................................... 138 1,259
Kennametal, Inc. ..................................... 151 4,539
Lone Star Technologies, Inc.+ ........................ 149 6,947
LTV Corp.+ ........................................... 600 2,138
Maverick Tube Corp.+ ................................. 1,317 42,720
Metals USA, Inc. ..................................... 300 1,988
Minerals Technologies, Inc. .......................... 100 4,456
Mueller Industries, Inc. + ........................... 230 6,986
Myers Industries, Inc. ............................... 168 2,016
National Steel Corp., Class B ........................ 123 907
Oregon Steel Mills, Inc. ............................. 157 608
Quanex Corp. ......................................... 100 1,800
Reliance Steel & Aluminum Co. ........................ 150 3,356
Rouge Industries, Inc., Class A ...................... 100 631
Ryerson Tull, Inc. ................................... 129 2,000
Simpson Manufacturing Co., Inc.+ ..................... 32 1,264
Southern Peru Copper Corp. ........................... 154 2,002
Steel Dynamics, Inc.+ ................................ 400 4,625
Stillwater Mining Co.+ ............................... 2,530 101,200
Texas Industries, Inc. ............................... 110 3,424
Timken Co. ........................................... 300 4,875
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MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Universal Forest Products, Inc. ...................... 100 $ 1,238
Valmont Industries, Inc. ............................. 174 3,001
Wolverine Tube, Inc.+ ................................ 152 1,948
Worthington Industries, Inc. ......................... 490 6,064
------------
509,723
------------
REAL ESTATE -- 1.5%
REAL ESTATE COMPANIES -- 0.1%
Catellus Development Corp.+ .......................... 1,000 13,875
CB Richard Ellis Services, Inc.+ ..................... 100 1,088
Forest City Enterprises, Inc., Class A ............... 100 2,937
Jones Lang Lasalle, Inc.+ ............................ 200 3,100
LNR Property Corp. ................................... 200 3,812
Trammell Crow Co.+ ................................... 200 2,213
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
Alexander's, Inc.+ ................................... 9 572
Alexandria Real Estate Equities, Inc. ................ 100 3,000
Amli Residential Properties Trust .................... 100 2,050
Associated Estates Realty Corp. ...................... 200 1,613
Bedford Property Investors, Inc. ..................... 100 1,606
Boykin Lodging Co. ................................... 200 2,350
Bradley Real Estate, Inc. ............................ 200 3,412
Brandywine Realty Trust .............................. 200 3,425
BRE Properties, Inc. ................................. 294 7,589
Burnham Pacific Properties, Inc. ..................... 108 763
Cabot Industrial Trust ............................... 251 4,675
Camden Property Trust ................................ 213 5,764
Capital Automotive REIT .............................. 274 3,288
Capstead Mortgage Corp. .............................. 328 1,271
CBL & Associates Properties, Inc. .................... 100 2,044
Center Trust, Inc. ................................... 42 268
CenterPoint Properties Corp. ......................... 100 3,644
Charles E. Smith Residential Realty, Inc. ............ 100 3,612
Chateau Communities, Inc. ............................ 100 2,550
Chelsea GCA Realty, Inc. ............................. 100 2,900
Colonial Properties Trust ............................ 116 2,755
Commercial Net Lease Realty, Inc. .................... 345 3,601
Cornerstone Realty Income Trust, Inc. ................ 200 2,163
Cousins Properties, Inc. ............................. 160 5,890
Developers Diversified Realty Corp. .................. 393 5,453
EastGroup Properties, Inc. ........................... 47 1,011
Entertainment Properties Trust ....................... 200 2,637
Equity Inns, Inc. .................................... 460 3,134
Essex Property Trust, Inc. ........................... 100 3,600
Federal Realty Investment Trust ...................... 200 3,862
First Industrial Realty Trust, Inc. .................. 232 6,322
Gables Residential Trust ............................. 108 2,430
Glenborough Realty Trust, Inc. ....................... 391 5,669
Glimcher Realty Trust ................................ 200 2,700
Golf Trust of America, Inc. .......................... 102 1,683
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REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Great Lakes REIT, Inc. ............................... 200 $ 3,025
Health Care Property Investors, Inc. ................. 456 11,599
Health Care REIT, Inc. ............................... 153 2,142
Healthcare Realty Trust, Inc. ........................ 843 14,120
Home Properties of New York, Inc. .................... 100 2,675
Hospitality Properties Trust ......................... 265 5,366
Innkeepers USA Trust ................................. 400 3,250
IRT Property Co. ..................................... 200 1,600
JDN Realty Corp. ..................................... 200 2,075
JP Realty, Inc. ...................................... 17 303
Kilroy Realty Corp. .................................. 125 2,633
Koger Equity, Inc. ................................... 200 3,450
LaSalle Hotel Properties ............................. 100 1,250
LTC Properties, Inc. ................................. 300 1,613
Macerich Co. ......................................... 275 5,672
Manufactured Home Communities, Inc. .................. 200 4,625
Meristar Hospitality Corp. ........................... 291 5,074
MGI Properties, Inc. ................................. 100 519
Mid-America Apartment Communities, Inc. .............. 62 1,395
Mills Corp. .......................................... 187 3,366
National Golf Properties, Inc. ....................... 140 2,949
National Health Investors, Inc. ...................... 149 1,779
Nationwide Health Properties, Inc. ................... 200 2,088
OMEGA Healthcare Investors, Inc. ..................... 241 1,521
Pacific Gulf Properties, Inc. ........................ 56 1,099
Parkway Properties, Inc. ............................. 100 2,944
Pennsylvania Real Estate Investment Trust ............ 162 2,633
Prentiss Properties Trust ............................ 300 6,694
Prime Group Realty Trust ............................. 36 515
Prime Retail, Inc. ................................... 264 578
PS Business Parks, Inc. .............................. 100 2,038
Realty Income Corp. .................................. 200 3,850
Reckson Associates Realty Corp. ...................... 265 4,969
Redwood Trust, Inc. .................................. 100 1,481
Regency Realty Corp. ................................. 232 4,582
RFS Hotel Investors, Inc. ............................ 200 2,150
Shurgard Storage Centers, Inc., Class A .............. 133 3,475
SL Green Realty Corp. ................................ 142 3,372
Sovran Self Storage, Inc. ............................ 162 3,280
Storage USA, Inc. .................................... 200 6,125
Summit Properties, Inc. .............................. 300 5,737
Sun Communities, Inc. ................................ 100 2,887
Tanger Factory Outlet Centers, Inc. .................. 89 1,708
Taubman Centers, Inc. ................................ 300 3,337
Town & Country Trust ................................. 31 519
U.S. Restaurant Properties, Inc. ..................... 100 1,306
United Dominion Realty Trust, Inc. ................... 676 6,802
Urban Shopping Centers, Inc. ......................... 100 2,906
Ventas, Inc.+ ........................................ 300 994
Washington Real Estate Investment Trust .............. 300 4,500
Weingarten Realty Investors, Inc. .................... 138 5,071
</TABLE>
----------------
180
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Westfield America, Inc. .............................. 200 $ 2,712
------------
308,684
------------
UTILITIES -- 1.9%
ELECTRIC UTILITIES -- 0.9%
Avista Corp. ......................................... 300 12,225
Black Hills Corp. .................................... 100 2,206
CH Energy Group, Inc. ................................ 160 4,860
Cleco Corp. .......................................... 198 6,583
CMP Group, Inc. ...................................... 200 5,825
Eastern Utilities Associates ......................... 188 5,898
El Paso Electric Co.+ ................................ 300 3,113
Empire District Electric Co. ......................... 192 3,768
Energy East Corp. .................................... 20 396
Hawaiian Electric Industries, Inc. ................... 300 9,544
IDACORP, Inc. ........................................ 205 7,124
Independent Energy Holdings PLC+ ..................... 1,800 80,775
Integrated Electrical Services, Inc.+ ................ 112 588
Madison Gas & Electric Co. ........................... 200 3,575
Public Service Co. of New Mexico ..................... 317 4,993
RGS Energy Group, Inc. ............................... 302 6,417
Sierra Pacific Resources Co. ......................... 441 5,512
SIGCORP, Inc. ........................................ 100 2,500
TNP Enterprises, Inc. ................................ 100 4,381
UniSource Energy Corp. ............................... 200 2,938
United Illuminating Co. .............................. 100 3,925
WPS Resources Corp. .................................. 165 4,280
GAS & PIPELINE UTILITIES -- 1.0%
AGL Resources, Inc. .................................. 400 7,350
Atmos Energy Corp. ................................... 200 3,275
Cadiz, Inc.+ ......................................... 200 1,700
California Water Service Group ....................... 100 2,281
CTG Resources, Inc. .................................. 24 893
E'Town Corp. ......................................... 100 6,325
Eastern Enterprises .................................. 178 10,658
Energen Corp. ........................................ 200 3,187
Indiana Energy, Inc. ................................. 200 3,900
Laclede Gas Co. ...................................... 200 4,000
Louis Dreyfus Natural Gas Corp.+ ..................... 2,175 73,950
MDU Resources Group, Inc. ............................ 308 6,391
New Jersey Resources Corp. ........................... 100 4,275
Northwest Natural Gas Co. ............................ 200 3,900
NorthWestern Corp. ................................... 100 2,063
NUI Corp. ............................................ 37 957
ONEOK, Inc. .......................................... 200 5,000
Philadelphia Suburban Corp. .......................... 200 3,625
Piedmont Natural Gas, Inc. ........................... 300 7,819
SCANA Corp. .......................................... 242 5,944
SEMCO Energy, Inc. ................................... 200 2,375
SJW Corp. ............................................ 3 351
</TABLE>
----------------
181
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES (CONTINUED)
South Jersey Industries, Inc. ........................ 8 $ 226
Southern Union Co.+ .................................. 226 4,082
Southwest Gas Corp. .................................. 141 2,688
Southwestern Energy Co. .............................. 200 1,325
TransMontaigne, Inc.+ ................................ 1,600 10,900
UGI Corp. ............................................ 207 4,476
United Water Resources, Inc. ......................... 144 5,004
Washington Gas Light Co. ............................. 373 10,141
Western Gas Resources, Inc. .......................... 164 2,603
WICOR, Inc. .......................................... 247 7,657
TELEPHONE -- 0.0%
US LEC Corp., Class A+ ............................... 53 2,107
------------
392,854
------------
TOTAL COMMON STOCK (cost $16,813,999)................. 20,314,810
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
O'Sullivan Industries Holdings, Inc. 12.00% (cost
$275)................................................ 183 103
------------
<CAPTION>
OPTIONS -- 0.1%+
CONTRACTS
------------------------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.1%
S & P 500 Index $1,400 expires 4/00................... 1 600
Vignette Corp. $210 expires 5/00...................... 3 19,012
------------
TOTAL OPTIONS (cost $14,599) ......................... 19,612
------------
TOTAL INVESTMENT SECURITIES (cost $16,828,873) ....... 20,334,525
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 5.07% due 4/06/00@....... $ 10,000 9,993
United States Treasury Bills 5.10% due 4/06/00@....... 20,000 19,986
------------
TOTAL SHORT-TERM SECURITIES (cost $29,979)............ 29,979
------------
</TABLE>
----------------
182
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 3.2% PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.2%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.75%, dated 3/31/00, to be repurchased
4/03/00 in the amount of $215,085 and collateralized
by $165,000 of U.S. Treasury Bonds, bearing interest
at 12.00%, due 8/15/13 and having an approximate
value of $224,837.................................... $ 215,000 $ 215,000
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3)........................... 467,000 467,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $682,000)........... 682,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,540,852) 99.5% 21,046,504
Total Written Call Options -- (0.3) (63,650)
Other assets less liabilities -- 0.8 161,200
---- ------------
NET ASSETS -- 100.0% $ 21,144,054
==== ============
</TABLE>
-------------
+ Non-income producing securities
# Fair valued security; See Note 2
(1) Security represents an investment in an affiliated company; See Note 7
(2) The security or a portion thereof represents collateral for the written call
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 VALUE AT VALUE AS OF UNREALIZED
DESCRIPTION CONTREXPIRATION DATE TRADE DATE MARCH 31, 2000 DEPRECIATION
--------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index June 2000 $78,619 $75,765 $(2,854)
=======
</TABLE>
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN CALL OPTIONS
<S> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------
<CAPTION>
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Broadcom Corp. (Proceeds $19,500).................. 6 May 2000 $220 $(27,150)
Critical Path, Inc. (Proceeds $5,440).............. 4 May 2000 75 (7,700)
Inktomi Corp. (Proceeds $20,081)................... 6 May 2000 200 (15,450)
Siebel Systems, Inc. (Proceeds $9,282)............. 6 May 2000 110 (13,350)
--------
Total Open Covered Written Call Options (Proceeds $54,303)........... $(63,650)
========
</TABLE>
See Notes to Financial Statements
----------------
183
<PAGE>
----------------
SEASONS SERIES TRUST
INTERNATIONAL
EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
COMMON STOCK -- 95.4%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------
AUSTRALIA -- 3.0%
Amcor Ltd. (Finance)+....................................... 646 $ 2,236
AMP Ltd. (Finance)+......................................... 844 7,965
Australia & New Zealand Banking Group Ltd. (Finance)........ 80 505
Australian Gas Light Co., Ltd. (Utilities)+................. 345 1,664
Brambles Industries Ltd. (Industrial & Commercial).......... 188 4,778
Broken Hill Proprietary Co., Ltd. (Materials)............... 1,371 14,837
Coca-Cola Amatil Ltd. (Consumer Staples).................... 1,037 2,579
Coles Myer Ltd. (Consumer Discretionary).................... 1,024 4,037
CSR Ltd. (Materials)........................................ 1,274 2,674
Foster's Brewing Group Ltd. (Consumer Staples).............. 1,278 3,170
General Property Trust (Real Estate)........................ 1,780 2,753
Lend Lease Corp., Ltd. (Finance)............................ 1,259 16,259
National Australia Bank Ltd. (Finance)...................... 2,914 37,435
News Corp., Ltd. (Information & Entertainment).............. 5,521 77,088
Novogen Ltd. (Healthcare)+.................................. 105,000 318,439
Pacific Dunlop Ltd. (Consumer Discretionary)................ 1,412 1,349
Pioneer International Ltd. (Materials)+..................... 400 1,089
Rio Tintro, Ltd. (Materials)................................ 879 12,484
TABCORP Holdings Ltd. (Information & Entertainment)......... 2,479 13,909
Telstra Corp., Ltd. (Information Technology)................ 14,695 67,741
Westpac Banking Corp., Ltd. (Finance)....................... 1,536 9,608
WMC, Ltd. (Materials)....................................... 1,073 4,193
-----------
606,792
-----------
AUSTRIA -- 0.1%
Bank Austria AG (Finance)................................... 90 4,386
Generali Holding Vienna AG (Finance)........................ 10 1,489
Oesterreichische ElektrizitIrtschafts AG, Class A
(Utilities)................................................ 20 2,145
-----------
8,020
-----------
BELGIUM -- 0.3%
Delhaize "Le-Lion" SA (Consumer Discretionary)+............. 43 2,322
Dexia Ex Dexia Bel (Finance)................................ 277 13
Electrabel SA (Utilities)................................... 38 10,061
Fortis (B) (Finance)........................................ 498 12,780
Groupe Bruxelles Lambert SA (Industrial & Commercial)....... 16 3,409
Kredietbank NV (Finance).................................... 208 7,469
Petrofina SA (Energy)....................................... 1 462
Solvay SA (Materials)....................................... 67 4,812
Suez Lyonn Eaux (Industrial & Commercial)................... 57 9,797
Suez Lyonnaise des Eaux SA (Industrial & Commercial)+....... 57 0
Total Fina ELF SA (Energy)+................................. 72 1
UCB SA (Healthcare)......................................... 110 4,003
-----------
55,129
-----------
</TABLE>
----------------
184
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
CANADA -- 3.6%
Ballard Power Systems, Inc. (Energy)+....................... 6,000 $ 458,362
Burntsand Inc. (Information Technology)+.................... 22,000 127,185
EcomPark Inc. (Information Technology)+..................... 72,000 147,172
-----------
732,719
-----------
DENMARK -- 0.3%
D/S 1912 (Industrial & Commercial).......................... 1 11,404
D/S Svendborg (Industrial & Commercial)..................... 1 16,200
Danisco A/S (Consumer Staples).............................. 48 1,536
Novo Nordisk A/S, Class B (Healthcare)...................... 54 7,290
Tele Danmark A/S (Utilities)................................ 152 13,680
-----------
50,110
-----------
FINLAND -- 2.0%
Nokia Corp. (Information Technology)........................ 1,738 367,793
Sampo Insurance Co., Ltd., Class A (Finance)................ 100 3,830
Sonera Oyj (Utilities)...................................... 400 27,310
Tietoenator Oyj (Information Technology).................... 100 6,004
UPM-Kymmene Oyj (Materials)................................. 300 8,474
-----------
413,411
-----------
FRANCE -- 11.3%
Accor SA (Information & Entertainment)...................... 631 24,773
Alcatel (Information Technology)+........................... 1,191 261,503
Alstom (Industrial & Commercial)............................ 932 25,881
AXA SA de CV (Finance)...................................... 417 59,136
Banque Nation de Paris (Finance)............................ 65 457
Banque Nationale de Paris (Finance)......................... 757 59,801
Bouygues SA (Industrial & Commercial)+...................... 25 19,821
Bouygues SA (Industrial & Commercial)+...................... 1 773
Canal Plus (Information & Entertainment).................... 100 22,024
Cap Gemini SA (Industrial & Commercial)..................... 918 248,766
Carrefour SA (Consumer Discretionary)....................... 485 62,185
Compagnie de Saint-Gobain (Finance)......................... 69 8,820
Danone (Consumer Staples)................................... 54 11,944
Establissements Economiques du Casino Guichard-Perrachon SA
(Real Estate).............................................. 56 5,067
France Telecom SA (Information Technology).................. 1,191 205,280
Guillemot (Information Technology).......................... 3,600 220,619
L'Air Liquide SA (Industrial & Commercial)+................. 347 48,212
L'Oreal SA (Consumer Staples)............................... 47 30,378
Lafarge SA (Materials)...................................... 309 26,363
Michelin, Class B (Consumer Discretionary).................. 913 29,322
Moet Henessy Louis Vuitton (Consumer Staples)............... 71 29,724
Pernod-Ricard SA (Consumer Staples)......................... 51 2,454
Peugeot SA (Consumer Discretionary)......................... 41 8,873
Pinault-Printemps-Redoute SA (Consumer Discretionary)....... 85 15,757
Renault SA (Consumer Discretionary)......................... 879 37,876
Rhodia SA (Materials)....................................... 1,485 26,591
Rhone-Poulenc SA (Materials)+............................... 1,553 85,061
Sanofi-Synthelabo SA (Healthcare)+.......................... 324 12,363
Schneider Electric SA (Industrial & Commercial)............. 112 7,153
</TABLE>
----------------
185
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (CONTINUED)
Societe Generale, Class A (Finance)......................... 75 $ 14,967
Sodexho Alliance SA (Information & Entertainment)........... 24 3,737
Suez Lyonnaise des Eaux SA (Industrial & Commercial)+....... 105 18,057
Thomson CSF (Industrial & Commercial)+...................... 143 5,820
Total Fina (Energy)......................................... 72 10,859
Total Fina SA, Class B (Energy)............................. 1,114 166,940
UBI Soft Entertainment SA (Information Technology)+......... 5,000 298,277
Valeo SA (Consumer Discretionary)........................... 580 28,574
Vivendi SA (Industrial & Commercial)........................ 1,438 165,923
-----------
2,310,131
-----------
GERMANY -- 11.6%
Allianz AG (Finance)........................................ 384 157,191
BASF AG (Materials)......................................... 1,290 61,206
Bayer AG (Materials)........................................ 500 22,397
CeWe Color Holdings AG (Information & Entertainment)........ 7,200 155,123
DaimlerChrysler AG (Consumer Discretionary)................. 958 62,397
Deutsche Bank AG (Finance)+................................. 444 29,421
Deutsche Lufthansa AG (Information Technology).............. 1,624 37,321
Deutsche Telekom AG (Utilities)............................. 3,455 277,900
Dresdner Bank AG (Finance).................................. 300 12,350
Epcos AG (Information Technology)+.......................... 132 17,380
HypoVereinsbank (Finance)................................... 604 37,449
Lhs Group (Information Technology).......................... 4,000 180,019
Merck KGAA (Healthcare)..................................... 150 4,797
Metro AG (Consumer Discretionary)........................... 200 7,929
MobilCom AG (Information Technology)+....................... 1,500 214,012
Muenchener Rueckversicherungs AG (Finance).................. 195 60,685
Preussag AG (Industrial & Commercial)+...................... 556 25,550
RWE AG (Materials).......................................... 300 10,715
SAP AG (Information Technology)............................. 550 308,618
Schering AG (Healthcare).................................... 50 6,607
Siemens AG (Industrial & Commercial)........................ 878 126,101
SKW Trostberg AG (Materials)................................ 15,600 106,208
Thyssen Krupp AG (Industrial & Commercial)+................. 1,881 46,380
VEBA AG (Utilities)......................................... 350 17,846
Vectron Systems AG (Information Technology)+................ 3,000 146,505
Viag AG (Industrial & Commercial)........................... 3,119 62,898
Volkswagen AG (Consumer Discretionary)...................... 250 10,976
Vossloh AG (Consumer Staples)............................... 5,000 69,422
W.E.T Automotive Systems, AG (Consumer Discretionary)+...... 2,500 87,855
-----------
2,363,258
-----------
HONG KONG -- 1.6%
Cheung Kong (Holdings) Ltd. (Real Estate)................... 5,000 74,809
China Telecom (Hong Kong) Ltd. ADR (Information
Technology)+............................................... 2,000 17,594
CLP Holdings Ltd. (Utilities)+.............................. 2,000 8,939
Giordano International Ltd. (Consumer Discretionary)........ 13,000 15,777
Hang Seng Bank Ltd. (Finance)............................... 1,400 12,226
Hong Kong & China Gas Co., Ltd. (Utilities)+................ 3,300 4,132
Hong Kong Telecommunications Ltd. (Information
Technology)................................................ 18,545 48,586
Hutchison Whampoa Ltd. (Industrial & Commercial)............ 7,000 126,308
</TABLE>
----------------
186
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (CONTINUED)
New World Development Co., Ltd. (Finance)................... 2,035 $ 2,836
Sun Hung Kai Properties Ltd. (Finance)...................... 2,000 17,530
Sunevision Holdings (Information Technology)................ 18 30
Swire Pacific Ltd., Class A (Industrial & Commercial)....... 1,000 5,150
-----------
333,917
-----------
IRELAND -- 0.2%
Allied Irish Banks PLC (Finance)+........................... 623 6,055
Bank of Ireland (Finance)+.................................. 2,584 18,310
CRH PLC GDR (Consumer Discretionary)........................ 298 5,350
Irish Life & Permanent PLC (Finance)........................ 168 1,528
Kerry Group, Class A (Consumer Staples)+.................... 159 2,071
-----------
33,314
-----------
ITALY -- 2.1%
Alitalia SpA (Industrial & Commercial)...................... 1,565 3,417
Assicurazione Generali SpA (Finance)+....................... 1,005 27,889
Banca Commerciale Italiana (Finance)........................ 332 1,516
Banca Intesa SpA (Finance).................................. 3,337 11,535
Banca Nazionale del Lavoro (Finance)+....................... 6,342 21,619
Beni Stabili SpA (Real Estate)+............................. 1,093 471
ENI SpA (Energy)............................................ 10,596 53,065
Fiat SpA (Consumer Discretionary)........................... 326 8,600
Italgas SpA (Utilities)+.................................... 848 3,890
Mediaset SpA (Information & Entertainment)+................. 1,036 20,594
Olivetti SpA (Industrial & Commercial)...................... 3,759 13,498
Pirelli SpA (Industrial & Commercial)....................... 2,215 5,759
San Paolo-IMI SpA (Finance)................................. 4,897 67,101
Seat Pagine Gialle SpA (Information & Entertainment)+....... 5,596 18,540
Telecom Italia Mobile SpA (Utilities)....................... 4,832 59,317
Telecom Italia SpA (Utilities)+............................. 6,761 100,994
Unicredito Italiano SpA (Finance)........................... 3,594 14,316
-----------
432,121
-----------
JAPAN -- 25.2%
Aderans Co., Ltd. (Consumer Discretionary)+................. 900 31,910
Advantest Corp. (Information Technology)+................... 300 63,673
Ajinomoto Co., Inc. (Consumer Staples)...................... 1,000 12,176
Asahi Bank, Ltd. (Finance).................................. 3,000 16,802
Asahi Breweries Ltd. (Consumer Staples)..................... 1,000 10,033
Asahi Chemical Industry Co., Inc. (Materials)............... 31,000 197,779
Asahi Glass Co., Ltd. (Materials)........................... 5,000 42,663
Bank of Tokyo-Mitsubishi, Ltd. (Finance).................... 7,000 100,024
Bridgestone Corp. (Consumer Discretionary).................. 3,000 66,186
Canon, Inc. (Information & Entertainment)................... 3,000 130,035
Chiba Bank Ltd. (Finance)................................... 9,000 38,046
Circle K Japan Co., Ltd. (Consumer Discretionary)+.......... 900 37,432
Colin Corp. (Healthcare).................................... 900 92,924
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)..... 1,000 16,228
Daiwa House Industry Co., Ltd. (Consumer Discretionary)+.... 1,000 6,847
Daiwa Securities Co., Ltd. (Finance)........................ 2,000 37,598
</TABLE>
----------------
187
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Denso Corp. (Consumer Discretionary)........................ 1,000 $ 23,815
East Japan Railway Co. (Industrial & Commercial)............ 3 15,546
Fanuc Ltd. (Information Technology)......................... 1,000 104,807
Fuji Bank, Ltd. (Finance)................................... 8,000 75,196
Fuji Photo Film Co., Ltd. (Information & Entertainment)..... 2,000 88,053
Fujitsu Ltd. (Information Technology)....................... 2,000 61,365
Hitachi Ltd. (Industrial & Commercial)...................... 3,000 35,621
Honda Motor Co., Ltd. (Consumer Discretionary).............. 2,000 82,599
HONDA TSUSHIN KOGYO Co., Ltd. (Information Technology)...... 2,200 95,359
Industrial Bank of Japan Ltd. (Finance)..................... 3,000 27,410
Japan Asia Investment Co., Ltd. (Finance)................... 14,000 112,502
Jusco Co., Ltd. (Consumer Discretionary).................... 1,000 14,961
Kansai Electric Power Co., Inc. (Utilities)................. 900 13,448
KAO Corp. (Consumer Staples)................................ 3,000 91,755
Katokichi Co., Ltd. (Consumer Staples)...................... 7,000 149,661
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).... 2,000 8,162
Kirin Brewery Co., Ltd. (Consumer Staples).................. 5,000 61,170
Marui Co., Ltd. (Consumer Discretionary).................... 1,000 18,088
Matsushita Electric Industrial Co., Ltd. (Information
Technology)................................................ 2,000 59,806
Mitsubishi Corp. (Industrial & Commercial).................. 2,000 18,137
Mitsubishi Estate Co., Ltd. (Real Estate)................... 1,000 10,841
Mitsubishi Heavy Industries, Ltd. (Industrial &
Commercial)+............................................... 3,000 9,438
Mitsubishi Trust & Banking Corp. (Finance).................. 2,000 18,546
Mitsui Marine & Fire Insurance Co., Ltd. (Finance).......... 9,000 40,501
NEC Corp. (Industrial & Commercial)+........................ 4,000 118,054
NGK Insulators, Ltd. (Industrial & Commercial).............. 1,000 8,669
Nintendo Co., Ltd. (Information Technology)................. 100 17,581
Nippon Express Co., Ltd. (Industrial & Commercial).......... 2,000 14,864
Nippon Steel Corp. (Materials).............................. 7,000 16,705
Nippon Telegraph & Telephone Corp. (Information
Technology)................................................ 1 41,007
Nippon Telegraph & Telephone Corp. (Information
Technology)+............................................... 18 285,784
Nissan Motor Co., Ltd. (Consumer Discretionary)+............ 5,000 20,455
Nomura Securities Co., Ltd. (Finance)....................... 12,000 391,565
Omron Corp. (Information Technology)........................ 6,500 184,873
Park24 Co., Ltd. (Industrial & Commercial).................. 1,800 232,309
Ricoh Co., Ltd. (Information Technology).................... 3,000 64,287
Rohm Co., Ltd. (Information Technology)..................... 500 173,866
Sankyo Co., Ltd. (Healthcare)............................... 1,000 25,179
Sekisui House Ltd. (Consumer Discretionary)................. 1,000 9,166
Sharp Corp. (Information Technology)........................ 3,000 64,141
Shin-Etsu Chemical Co., Ltd. (Materials).................... 2,000 121,366
Shiseido Co., Ltd. (Consumer Staples)....................... 1,000 13,588
Skylark Co., Ltd. (Information & Entertainment)............. 1,000 27,176
SMC Corp. (Consumer Discretionary).......................... 100 20,942
SONY Corp. (Information & Entertainment)+................... 500 71,105
SONY Corp. (Information & Entertainment)+................... 500 70,618
Sumitomo Bank, Ltd. (Finance)............................... 4,000 59,611
Sumitomo Corp. (Industrial & Commercial).................... 6,000 72,702
Sumitomo Electric Industries, Ltd. (Industrial &
Commercial)................................................ 1,000 14,094
Takeda Chemical Industries, Ltd. (Healthcare)............... 2,000 142,210
Takefuji Corp. (Finance).................................... 600 64,287
Terumo Corp. (Healthcare)................................... 1,000 30,000
Tohoku Electric Power Co., Inc. (Utilities)................. 600 7,685
</TABLE>
----------------
188
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Tokai Bank Ltd. (Finance)................................... 2,000 $ 12,078
Tokio Marine & Fire Insurance Co., Ltd. (Finance)........... 2,000 20,552
Tokyo Electric Power Co., Inc. (Utilities).................. 3,100 67,939
Toppan Forms Co., Ltd (Industrial & Commercial)............. 1,800 38,397
Toppan Printing Co., Ltd. (Industrial & Commercial)......... 1,000 11,201
Toray Industries, Inc. (Materials).......................... 2,000 7,714
Toyoda Gosei Co., Ltd. (Consumer Discretionary)............. 2,750 200,896
Toyota Motor Corp. (Consumer Discretionary)................. 4,000 209,224
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)............ 1,000 54,741
-----------
5,143,774
-----------
KOREA -- 0.0%
Electrolux AB (Consumer Discretionary) 300 5,685
-----------
NETHERLANDS -- 3.7%
ABN Amro Holdings NV (Finance).............................. 1,040 23,193
Aegon NV (Finance)+......................................... 696 55,649
Akzo Nobel NV (Healthcare).................................. 215 9,182
Elsevier NV (Information & Entertainment)................... 486 4,933
Equant NV (Industrial & Commercial)+........................ 140 11,623
Fortis NV. (Finance)+....................................... 1,013 25,948
Getronics NV (Information Technology)+...................... 606 46,364
Heineken NV (Consumer Staples).............................. 227 12,140
ING Groep NV (Finance)+..................................... 1,583 85,794
Koninklijke Ahold NV (Consumer Discretionary)............... 429 11,169
Koninklijke Philips Electronics NV (Information &
Entertainment)............................................. 596 100,215
KPN NV (Utilities).......................................... 1,124 128,778
Norsk Hydro ASA (Materials)................................. 200 7,570
Orkla ASA (Consumer Staples)................................ 171 2,613
Royal Dutch Petroleum Co. (Energy).......................... 1,462 85,410
ST Microelectronics NV (Information Technology)............. 258 47,433
Storebrand ASA (Finance)+................................... 300 1,830
TNT Post Group NV (Industrial & Commercial)................. 367 8,248
Unilever NV (Consumer Staples).............................. 393 19,399
VNU NV (Information & Entertainment)........................ 717 42,258
Wolters Kluwer NV (Information & Entertainment)............. 945 21,717
-----------
751,466
-----------
NEW ZEALAND -- 0.0%
Telecom Corp. of New Zealand Ltd. ADR (Information
Technology)+............................................... 1,248 5,640
-----------
PORTUGAL -- 0.2%
Banco Comercial Portugues SA (Finance)...................... 1,000 5,391
Banco Espirito Santo SA (Finance)........................... 100 2,394
Brisa-Auto Estradas (Industrial & Commercial)............... 500 3,682
Electricidad de Portugal SA (Utilities)..................... 400 7,488
Jeronimo Martins SGPS SA (Consumer Discretionary)+.......... 100 1,815
Portugal Telecom AG (Utilities)............................. 1,100 14,114
-----------
34,884
-----------
</TABLE>
----------------
189
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE -- 1.2%
Banco Bilbao Vizcaya SA (Finance)+.......................... 1,972 $ 29,004
Chartered Semiconductors Manufacturing Ltd. (Information
Technology)+............................................... 1,000 9,464
City Developments Ltd. (Real Estate)........................ 1,000 4,527
DBS Group Holdings Ltd. ADR (Finance)....................... 3,326 43,911
Endesa SA (Utilities)....................................... 2,226 51,092
Iberdrola SA (Energy)....................................... 653 8,523
Keppel Corp., Ltd. (Industrial & Commercial)................ 1,000 2,348
Natsteel Electronics Ltd. (Information Technology).......... 2,000 13,086
Overseas Chinese Bank Corp., Ltd. (Finance)................. 1,050 6,502
Sembcorp Industries Ltd. (Industrial & Commercial).......... 2,000 2,033
Singapore Airlines Ltd. (Industrial & Commercial)........... 1,000 9,347
Singapore Press Holdings Ltd. (Information &
Entertainment)............................................. 1,000 15,948
Singapore Technologies Engineering Ltd. (Industrial &
Commercial)................................................ 3,000 3,593
Singapore Telecommunications Ltd. (Information
Technology)................................................ 5,000 7,127
Tabacalera SA (Consumer Staples)+........................... 2,838 38,045
-----------
244,550
-----------
SPAIN -- 1.2%
Acerinox SA (Materials)..................................... 859 33,724
Aguas De Barcelona (Consumer Staples)....................... 1 15
Aguas De Barcelona (Consumer Staples)+...................... 132 2,086
Autopistas, Concesionaria Espanda SA (Industrial &
Commercial)................................................ 205 1,932
Banco Santander Central Hispano, SA (Finance)............... 2,464 26,496
Fomento de Construcciones y Contratas AS (Industrial &
Commercial)................................................ 106 2,263
Gas Natural SDG SA (Utilities).............................. 300 5,774
Grupo Dragados SA (Industrial & Commercial)................. 183 1,577
Repsol-YPF, SA (Energy)..................................... 651 14,281
Telefonica SA (Utilities)+.................................. 6,124 154,810
TelePizza SA (Information & Entertainment)+................. 227 1,978
Union Electrica Fenosa SA (Utilities)....................... 157 3,219
-----------
248,155
-----------
SWEDEN -- 2.9%
AstraZeneca Group PLC (Industrial & Commercial)............. 604 24,432
ForeningsSparbanken AB, Class A (Finance)................... 450 6,128
Hennes & Mauritz AB (Consumer Discretionary)................ 800 22,253
Investor AB (Finance)+...................................... 3,110 48,661
NetCom AB, Series B (Utilities)+............................ 100 8,635
Nordbanken AB (Finance)+.................................... 7,977 42,529
Securitas AB, Class B (Industrial & Commercial)............. 2,339 56,659
Skandia Forsakrings AB (Finance)............................ 1,459 69,162
Skandinaviska Enskilda Banken, Class A (Finance)............ 600 6,467
Svenska Cellulosa AB (Materials)............................ 233 5,509
Svenska Handelsbanken AB (Finance).......................... 300 3,703
Telefonaktiebolaget LM Ericsson AB, Series B (Information
Technology)................................................ 3,168 278,687
Volvo AB, Class B (Consumer Discretionary)+................. 300 8,102
-----------
580,927
-----------
SWITZERLAND -- 2.7%
Credit Suisse Group (Finance)............................... 249 49,580
Nestle SA (Consumer Staples)................................ 30 53,779
</TABLE>
----------------
190
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Novartis AG (Healthcare).................................... 89 $ 121,747
Roche Holdings AG-Bearer (Healthcare)....................... 1 12,332
Roche Holdings AG-Genusss (Healthcare)...................... 11 119,506
Schweizerische Rueckversicherungs-Gesellschaft (Finance).... 30 51,993
Swatch Group AG, Class B (Consumer Discretionary)........... 20 23,328
Swisscom AG (Information Technology)........................ 50 19,190
UBS AG (Finance)............................................ 342 89,905
Zurich Allied AG (Finance).................................. 30 15,123
-----------
556,483
-----------
UNITED KINGDOM -- 22.2%
Abbey National PLC (Finance)................................ 1,141 14,914
Allied Zurich PLC (Finance)+................................ 5,908 64,338
Amvescap PLC (Finance)+..................................... 2,147 29,158
Ashtead Group PLC (Finance)................................. 45,000 70,570
Associated British Foods PLC (Consumer Staples)............. 921 6,115
AstraZeneca Group PLC (Healthcare)+......................... 1,350 54,163
BAA PLC (Information & Entertainment)+@..................... 1,067 6,455
Bank of Scotland (Finance).................................. 2,198 25,178
Barclays PLC (Finance)@..................................... 1,773 47,423
Bass PLC (Consumer Staples)................................. 807 9,964
BG Group PLC (Utilities).................................... 2,911 16,314
Blue Circle Industries PLC (Materials)+@.................... 1,370 9,139
BOC Group PLC (Materials)@.................................. 622 12,260
Boots Co. PLC (Consumer Discretionary)+..................... 874 7,504
BP Amoco PLC (Energy)....................................... 24,363 226,039
British Aerospace PLC (Industrial & Commercial)............. 6,498 36,209
British American Tobacco PLC (Consumer Staples)............. 6,436 35,351
British Sky Broadcasting Group PLC (Information &
Entertainment)+............................................ 1,662 46,862
British Telecommunications PLC (Information Technology)..... 9,488 177,494
Cable & Wireless Communications PLC (Information
Technology)+............................................... 1,956 32,854
Cable & Wireless PLC (Information Technology)............... 1,910 35,852
Cadbury Schweppes PLC (Consumer Staples).................... 1,875 12,269
Carlton Communications PLC (Information & Entertainment).... 548 6,613
Centrica PLC (Utilities)+................................... 2,680 10,240
CGU PLC (Finance)........................................... 1,184 16,419
Colt Telecom Group PLC (Information Technology)+............ 216 10,317
Compass Group PLC ADR (Consumer Staples).................... 752 9,770
Dbs Management (Finance).................................... 32,360 87,585
Diageo PLC (Consumer Staples)+.............................. 7,144 53,827
EMAP PLC (Information & Entertainment)...................... 1,150 20,323
First Technology PLC (Consumer Discretionary)............... 20,000 171,947
Gameplay.com PLC (Information Technology)+.................. 30,000 190,097
GKN PLC (Information Technology)............................ 794 9,860
Glaxo Wellcome PLC (Healthcare)............................. 5,686 162,043
Granada Group PLC (Industrial & Commercial)+................ 1,652 17,701
Great Universal Stores PLC (Consumer Discretionary)......... 379 2,299
Halifax Group PLC (Finance)+................................ 1,267 13,475
Hays PLC (Industrial & Commercial).......................... 20,000 129,915
HSBC Holdings PLC (Finance)................................. 11,237 132,389
Imperial Chemical Industries PLC (Materials)................ 526 4,397
Jarvis PLC (Industrial & Commercial)+....................... 30,000 115,348
</TABLE>
----------------
191
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Kingfisher PLC (Consumer Discretionary)..................... 1,287 $ 10,614
Land Securities PLC (Real Estate)........................... 664 7,929
Legal & General Group PLC (Finance)......................... 3,348 8,688
Lloyds TSB Group PLC (Finance).............................. 6,760 71,464
London Bridge Software Holdings PLC (Information
Technology)+............................................... 2,000 188,664
Marconi PLC (Information Technology)........................ 2,238 26,688
Marks & Spencer PLC (Consumer Discretionary)+............... 2,567 10,289
Mayflower Corp. PLC (Consumer Discretionary)................ 50,000 145,677
National Grid Group PLC (Utilities)......................... 1,460 13,296
NXT PLC (Industrial & Commercial)+.......................... 12,000 348,670
Pearson PLC (Information & Entertainment)................... 573 19,906
Pilkington PLC (Materials).................................. 112,243 130,452
Prudential PLC (Finance).................................... 1,550 23,518
Railtrack Group PLC (Industrial & Commercial)............... 193 2,243
Reckitt & Colman PLC (Consumer Staples)..................... 3,970 37,608
Rentokil Initial PLC (Industrial & Commercial).............. 2,443 6,350
Reuters Group PLC (Information & Entertainment)+............ 4,701 95,053
Rio Tinto PLC (Materials)+.................................. 1,072 18,091
Rolls Royce PLC (Consumer Discretionary).................... 1,262 4,099
Royal Bank of Scotland Group (Finance)...................... 1,400 20,618
Sainsbury (J.) PLC (Consumer Discretionary)................. 733 3,303
ScottishPower PLC (Utilities)............................... 6,337 51,152
Shell Transport & Trading Co. PLC (Energy).................. 13,132 109,137
Siebe PLC (Industrial & Commercial)+........................ 2,591 11,540
SmithKline Beecham PLC (Healthcare)@........................ 10,731 140,779
Stagecoach Holdings PLC (Industrial & Commercial)........... 15,426 29,717
Tesco PLC (Consumer Discretionary)+......................... 5,778 19,318
Thus PLC (Information Technology)........................... 1,565 11,960
Trifast PLC (Industrial & Commercial)....................... 10,000 179,907
Unilever PLC (Consumer Staples)+............................ 12,876 83,434
United News & Media PLC (Information & Entertainment)....... 1,662 21,804
Vodafone AirTouch PLC (Information Technology).............. 91,264 508,554
WPP Group PLC (Industrial & Commercial)..................... 1,872 32,486
-----------
4,533,998
-----------
TOTAL COMMON STOCK (cost $15,775,019)....................... 19,444,484
-----------
<CAPTION>
PREFERRED STOCK -- 2.4%
----------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 0.1%
News Corp., Ltd. (Information & Entertainment).............. 1,417 16,760
-----------
GERMANY -- 2.3%
Marschollek, Lautenschlaeger und Partner AG (Finance)....... 600 359,081
SAP AG (Information Technology)............................. 156 111,137
-----------
470,218
-----------
NETHERLANDS -- 0.0%
Unilever NV (Consumer Staples).............................. 441 2,170
-----------
TOTAL PREFERRED STOCK (cost $197,910)....................... 489,148
-----------
</TABLE>
----------------
192
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 0.0%
UBI Soft Entertainment (Information & Entertainment)........ 125 $ 10,593
-----------
ITALY -- 0.0%
Bca Intesa SpA (Finance).................................... 332 745
-----------
TOTAL WARRANTS (cost $619).................................. 11,338
-----------
TOTAL INVESTMENT SECURITIES (cost $15,973,548).............. 19,944,970
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 5.10% due 4/06/00 (cost
$19,986)@.................................................. $ 20,000 19,986
-----------
<CAPTION>
REPURCHASE AGREEMENT -- 0.7%
-----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.7%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.75%, dated 3/31/00 to be repurchased 4/03/00
in the amount of $131,052 and collateralized by $110,000 of
U.S. Treasury Bonds, bearing interest at 10.38%, due
11/15/12 and having an approximate value of $139,114 (cost
$131,000)@................................................. 131,000 131,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $16,124,534) 98.6% 20,095,956
Other assets less liabilities -- 1.4 293,996
----- -----------
NET ASSETS -- 100.0% $20,389,952
===== ===========
</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>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE MARCH 31, 2000 DEPRECIATION
--------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Dax Index Future June 2000 $192,878 $181,930 $ (10,948)
Nikkei 300
2 Long Future IX June 2000 60,644 63,179 2,535
----------
Net Unrealized Depreciation............................................................. $ (8,413)
==========
</TABLE>
----------------
193
<PAGE>
<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>
CHF 147,751 EUR 93,000 5/19/00 $ 47
EUR* 166,383 USD 162,000 4/28/00 2,376
EUR* 169,451 USD 168,000 4/28/00 5,433
EUR* 171,053 USD 171,000 4/28/00 6,895
HKD* 1,597,000 USD 205,220 6/08/00 66
USD* 81,000 JPY 8,408,691 4/17/00 1,167
USD* 81,000 JPY 8,426,025 4/17/00 1,337
USD* 170,729 JPY 18,379,000 4/17/00 8,865
USD* 84,000 JPY 9,156,546 4/17/00 5,475
USD* 85,000 JPY 9,295,557 4/17/00 5,833
USD* 84,500 JPY 9,044,711 4/17/00 3,882
USD* 42,250 JPY 4,481,584 4/17/00 1,543
USD* 84,500 JPY 8,932,326 4/17/00 2,784
--------
45,703
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
------------------------------------------------------------------------------
<S> <C> <C> <C>
USD* 162,000 EUR 165,313 4/28/00 (3,402)
USD* 169,905 EUR 172,000 4/28/00 (4,892)
USD* 168,000 EUR 167,212 4/28/00 (7,580)
GBP 54,856 EUR 89,000 6/15/00 (1,698)
GBP 27,837 EUR 45,000 6/15/00 (1,019)
EUR 95,000 USD 90,607 6/15/00 (834)
GBP 28,000 EUR 45,227 6/15/00 (1,011)
GBP 28,000 USD 44,279 6/15/00 (314)
GBP 27,374 USD 43,000 6/15/00 (596)
GBP 54,013 USD 85,000 6/15/00 (1,022)
GBP* 55,781 USD 88,000 6/15/00 (838)
GBP* 55,052 USD 88,000 6/15/00 (324)
USD* 92,011 HKD 716,000 6/08/00 (32)
JPY* 16,663,482 USD 162,000 4/17/00 (831)
JPY* 171,234 USD 1,655 4/17/00 (18)
JPY* 36,336,484 USD 336,000 4/17/00 (19,069)
JPY* 18,465,278 USD 169,000 4/17/00 (11,437)
JPY* 4,506,701 USD 42,250 4/17/00 (1,789)
--------
(56,706)
--------
Net Unrealized Depreciation................................ $(11,003)
========
</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>
CHF -- Swiss Franc
EUR -- Euro Dollar
GBP -- British Pound
HKD -- Hong Kong Dollar
JPY -- Japanese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
194
<PAGE>
----------------
SEASONS SERIES TRUST
DIVERSIFIED FIXED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
BONDS & NOTES -- 93.7% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.0%
RETAIL -- 2.0%
CVS Corp. 5.50% 2004.................................. $ 200,000 $ 189,660
Shop At Home, Inc. 11.00% 2005........................ 50,000 50,125
Wal-Mart Stores, Inc. 6.88% 2009...................... 100,000 97,288
------------
337,073
------------
CONSUMER STAPLES -- 1.7%
FOOD, BEVERAGE & TOBACCO -- 1.7%
Coca Cola Enterprises, Inc. 7.13% 2009................ 100,000 98,294
Diageo Capital PLC 6.13% 2005......................... 200,000 188,894
------------
287,188
------------
ENERGY -- 1.4%
ENERGY SERVICES -- 1.0%
Key Energy Services, Inc., Series B 14.00% 2009....... 50,000 54,687
Parker Drilling Co. 5.50% 2004........................ 75,000 56,531
R&B Falcon Corp. 12.25% 2006.......................... 50,000 53,563
ENERGY SOURCES -- 0.4%
P & L Coal Holdings Corp. 8.88% 2008.................. 80,000 72,600
------------
237,381
------------
FINANCE -- 4.6%
BANKS -- 0.6%
Chase Manhattan Corp. 7.00% 2009...................... 100,000 96,759
FINANCIAL SERVICES -- 3.4%
Ford Motor Credit Co. 5.75% 2004...................... 200,000 188,057
Morgan (J.P.) & Co., Inc. 5.75% 2004.................. 200,000 189,133
Toyota Motor Credit Corp. 5.63% 2003.................. 200,000 189,996
INSURANCE -- 0.6%
Ace Capital Trust II 9.70% 2030....................... 100,000 100,825
------------
764,770
------------
HEALTHCARE -- 0.7%
HEALTH SERVICES -- 0.3%
Tenet Healthcare Corp. 8.00% 2005..................... 50,000 47,125
MEDICAL PRODUCTS -- 0.4%
Fresenius Medical Care Capital Trust 9.00% 2006....... 75,000 71,250
------------
118,375
------------
</TABLE>
----------------
195
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 5.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.4%
United Technologies Corp. 6.63% 2004.................. $ 75,000 $ 73,425
BUSINESS SERVICES -- 2.0%
Browning Ferris Industries, Inc. 7.88% 2005........... 50,000 46,891
Evenflo Co., Inc., Series B 11.75% 2006............... 75,000 73,500
Mediacom LLC 7.88% 2011............................... 50,000 43,125
Pentacon, Inc., Series B 12.25% 2009.................. 50,000 39,000
Polymer Group, Inc., Series B 9.00% 2007.............. 150,000 132,000
SFC, Inc. zero coupon 2009(2)+#....................... 2,395 0
ELECTRICAL EQUIPMENT -- 0.6%
Virginia Electric & Power Co., Series B 7.20% 2004.... 100,000 99,857
MACHINERY -- 1.0%
Cummins Engine, Inc. 6.45% 2005....................... 75,000 70,276
Tyco International Group SA 6.38% 2005................ 100,000 93,797
MULTI-INDUSTRY -- 0.5%
Diamond Holdings PLC 9.13% 2008....................... 50,000 47,875
Schuff Steel Co. 10.50% 2008.......................... 40,000 30,300
TRANSPORTATION -- 0.7%
Gulfmark Offshore, Inc. 8.75% 2008.................... 50,000 45,375
Statia Terminals International NV, Series B 11.75%
2003................................................. 75,000 74,250
------------
869,671
------------
INFORMATION & ENTERTAINMENT -- 6.5%
BROADCASTING & MEDIA -- 4.1%
Adelphia Communications Corp., Series B 8.13% 2003.... 50,000 47,875
Airgate PCS, Inc. zero coupon 2009(2)................. 50,000 27,250
Big City Radio, Inc. zero coupon 2005(2).............. 150,000 93,375
Centennial Cellular Operating Co. 10.75% 2008......... 65,000 63,700
Chancellor Media Corp. 8.00% 2008..................... 75,000 73,875
Comcast UK Cable Partners Ltd. zero coupon 2007(2).... 40,000 38,000
Echostar DBS Corp. 9.25% 2006......................... 50,000 48,500
Echostar DBS Corp. 9.38% 2009......................... 50,000 48,250
Radio One, Inc., Series B 7.00% 2004(3)............... 50,000 53,250
United International Holdings, Inc., Series B zero
coupon 2008(2)....................................... 200,000 135,000
US Unwired, Inc. zero coupon 2009(2)*................. 100,000 53,500
LEISURE & TOURISM -- 2.4%
American Airlines, Inc. 7.02% 2009.................... 130,000 125,596
Continental Airlines, Inc. 6.32% 2008................. 200,000 188,096
Disney Walt Co. 7.30% 2005............................ 100,000 99,897
------------
1,096,164
------------
INFORMATION TECHNOLOGY -- 3.1%
COMMUNICATION EQUIPMENT -- 0.3%
Spectrasite Holdings, Inc. 12.88% 2010*............... 100,000 49,250
COMPUTER SERVICES -- 0.3%
Globix Corp. 12.50% 2010*............................. 50,000 45,500
</TABLE>
----------------
196
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 0.3%
Wavetek Corp. 10.13% 2007............................. $ 50,000 $ 54,625
INTERNET SOFTWARE -- 0.6%
PSInet, Inc. 11.50% 2008.............................. 100,000 99,500
TELECOMMUNICATIONS -- 1.6%
Mcleodusa, Inc. zero coupon 2007(2)................... 100,000 78,500
NTL, Inc., Series B zero coupon 2008(2)............... 100,000 63,500
Williams Communications Group, Inc. 10.88% 2009....... 59,000 58,115
Worldwide Fiber, Inc. 12.50% 2005..................... 70,000 69,125
------------
518,115
------------
MATERIALS -- 1.2%
CHEMICALS -- 0.3%
Georgia Gulf Corp. 10.38% 2007*....................... 50,000 50,562
FOREST PRODUCTS -- 0.3%
Ainsworth Lumber Ltd. 12.50% 2007(1).................. 50,000 53,000
METALS & MINERALS -- 0.6%
Armco, Inc. 8.88% 2008................................ 100,000 97,625
------------
201,187
------------
U.S. GOVERNMENT & AGENCIES -- 66.0%
U.S. GOVERNMENT & AGENCIES -- 66.0%
Federal Home Loan Banks 5.13% 2002.................... 750,000 725,978
Federal Home Loan Banks 5.25% 2002.................... 100,000 96,807
Federal Home Loan Banks 5.38% 2001.................... 550,000 543,728
Federal Home Loan Mortgage Corp. 5.75% 2009........... 50,000 45,273
Federal Home Loan Mortgage Corp. 7.50% 2026........... 267,125 263,367
Federal Home Loan Mortgage Corp. 7.50% 2028........... 224,221 221,066
Federal Home Loan Mortgage Corp. 6.25% 2002........... 50,000 49,164
Federal National Mortgage Association 5.13% 2004...... 1,500,000 1,402,260
Federal National Mortgage Association 5.38% 2002...... 200,000 194,227
Federal National Mortgage Association 6.00% 2028...... 1,346,014 1,225,978
Government National Mortgage Association 6.50% 2028... 242,888 229,226
Government National Mortgage Association 7.50% 2007... 163,173 164,732
United States Treasury Bonds 6.25% 2023............... 1,000,000 1,014,220
United States Treasury Bonds 7.13% 2023............... 60,000 67,144
United States Treasury Bonds 7.50% 2001............... 200,000 202,938
United States Treasury Bonds 8.13% 2021............... 30,000 36,839
United States Treasury Bonds 8.75% 2020............... 150,000 194,086
United States Treasury Bonds 9.00% 2018............... 700,000 913,388
United States Treasury Notes 4.75% 2008............... 500,000 451,405
United States Treasury Notes 5.50% 2003............... 200,000 194,624
United States Treasury Notes 5.88% 2004............... 500,000 490,935
United States Treasury Notes 6.00% 2009............... 1,000,000 987,340
United States Treasury Notes 6.25% 2002............... 450,000 447,889
United States Treasury Notes 6.50% 2002............... 250,000 250,000
United States Treasury Notes 6.63% 2007............... 80,000 81,450
United States Treasury Notes 6.88% 2006............... 300,000 307,875
</TABLE>
----------------
197
<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 7.00% 2006............... $ 265,000 $ 273,862
------------
11,075,801
------------
UTILITIES -- 1.3%
TELEPHONE -- 1.3%
MGC Communications, Inc. 13.00% 2010.................. 50,000 47,875
Primus Telecommunications, Inc. 12.75% 2009........... 75,000 72,937
Sprint Capital Corp. 6.38% 2009....................... 100,000 92,202
------------
213,014
------------
TOTAL BONDS & NOTES (cost $16,344,221)................ 15,718,739
------------
<CAPTION>
PREFERRED STOCK -- 1.3%
SHARES
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.2%
BUSINESS SERVICES -- 0.2%
CSC Holdings, Inc., Series M 11.13%(1)................ 305 32,739
------------
INFORMATION TECHNOLOGY -- 1.1%
TELECOMMUNICATIONS -- 1.1%
Global Crossing Ltd. 7.0%*............................ 150 36,413
IXC Communications, Inc., Series B 12.50%(1).......... 75 78,000
Nextel Communications, Inc., Series E 11.13%(1)....... 79 77,617
------------
192,030
------------
TOTAL PREFERRED STOCK (cost $226,550)................. 224,769
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.0%
ENERGY SERVICES -- 0.0%
Key Energy Services, Inc. 1/15/09 (cost $6,798)....... 100 9,000
------------
TOTAL INVESTMENT SECURITIES (cost $16,577,569)........ 15,952,508
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.3% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.3%
ITT Corp. 6.25% due 11/15/00 (cost $49,477)........... $ 50,000 49,225
------------
</TABLE>
----------------
198
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 3.5% PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.5%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.75%, dated 3/31/00, to be repurchased
4/03/00 in the amount of $356,141 and collateralized
by $285,000 of U.S. Treasury Bonds, bearing interest
at 8.88%, due 2/15/19 and having an approximate value
of $369,352.......................................... $ 356,000 $ 356,000
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3)........................... 142,000 142,000
Swiss Bank Corp. Joint Repurchase Agreement Account
(Note 3)............................................. 85,000 85,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $583,000)........... 583,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,210,046) 98.8% 16,584,733
Other assets less liabilities -- 1.2 199,142
----- -----------
NET ASSETS -- 100.0% $16,783,875
===== ===========
</TABLE>
-------------
* Resale restricted to qualified institutional buyers
+ Non-income producing securities
# 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) Variable rate security; rate as of March 31, 2000
See Notes to Financial Statements
----------------
199
<PAGE>
------------------
SEASONS SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 2000
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 73.8% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 50.6%
American Honda Finance Corp. 5.82% due 4/10/00.............. $ 100,000 $ 99,854
Becton Dickinson Co. 6.05% due 5/11/00...................... 100,000 99,328
Bell South Telecommunications, Inc. 5.82% due 4/06/00....... 100,000 99,919
Campbell Soup Co. 6.05% due 4/18/00......................... 200,000 199,429
Caterpillar Financial Services NV 6.05% due 5/25/00......... 100,000 99,092
Coca-Cola Co. 5.86% due 5/12/00............................. 100,000 99,333
du Pont (E.I.) de Nemours & Co. 6.15% due 5/18/00........... 100,000 99,197
Eleven, Inc. 5.88% due 4/26/00.............................. 100,000 99,592
General Electric Capital Corp. 6.16% due 9/22/00............ 100,000 97,043
Goldman Sachs Group L.P. 6.02% due 7/24/00.................. 100,000 98,102
Honeywell International, Inc. 5.85% due 4/12/00............. 100,000 99,821
Metlife Funding, Inc. 6.04% due 4/14/00..................... 200,000 199,564
Mid States Corp. Federal Credit Union 6.09% due 4/27/00..... 200,000 199,120
Minnesota Mining & Manufacturing Co. 5.81% due 4/19/00...... 100,000 99,709
Nike, Inc. 5.83% due 4/03/00................................ 100,000 99,968
Procter & Gamble Co. 5.80% due 4/03/00...................... 100,000 99,968
USAA Capital Corp. 6.05% due 5/31/00........................ 200,000 197,983
----------
2,087,022
----------
FEDERAL AGENCY OBLIGATIONS -- 23.2%
Federal Farm Credit Bank Discount Notes 5.97% due 5/05/00... 570,000 566,786
Federal National Mortgage Association Discount Notes 5.92%
due 8/18/00................................................ 400,000 390,715
----------
957,501
----------
TOTAL SHORT-TERM SECURITIES (cost $3,044,637)............... 3,044,523
----------
REPURCHASE AGREEMENTS -- 26.7%
-----------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 26.7%
PaineWebber Group, Inc. Joint Repurchase Agreement Account
(Note 3)................................................... 500,000 500,000
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3)........................................... 599,000 599,000
----------
TOTAL REPURCHASE AGREEMENTS (cost $1,099,000)............... 1,099,000
----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $4,143,637) 100.5% 4,143,523
Liabilities in excess of other
assets -- (0.5) (20,206)
----- ----------
NET ASSETS -- 100.0% $4,123,317
===== ==========
</TABLE>
-------------
See Notes to Financial Statements
----------------
200
<PAGE>
(This page has been left blank intentionally.)
----------------
201
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
<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*................. $ 89,352,646 $ 95,576,074 $66,253,015 $47,857,477 $133,374,677 $128,750,201
Short-term securities*... 8,868,655 8,384,122 6,893,382 4,658,334 12,569,780 2,127,822
Repurchase agreements
(cost equals market)... 3,699,000 1,396,000 528,000 770,000 13,499,000 --
Cash..................... 119,669 50,247 54,240 17,876 2,445,640 801
Foreign currency*........ 51 35 21 7 45 10,660
Receivables for --
Fund shares sold....... 170,871 44,192 158,725 31,178 147,713 132,659
Dividends and accrued
interest............. 464,272 772,329 811,472 739,108 475,928 122,341
Sales of investments... 2,064,878 2,396,807 927,176 364,750 3,868,820 2,979,809
Foreign currency
contracts............ 101,131 83,893 49,745 19,203 854,671 167,335
Variation margin on
futures contracts.... -- -- -- -- 70,862 --
Prepaid expenses......... 408 443 356 288 683 554
Due from Adviser......... -- -- -- 5,742 -- --
Deferred organizational
expenses............... 6,561 6,561 6,561 6,561 6,561 6,561
Unrealized appreciation
on forward foreign
currency contracts..... 415,676 320,022 160,443 55,983 -- --
----------------------------------------------------------------------------------
105,263,818 109,030,725 75,843,136 54,526,507 167,314,380 134,298,743
----------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 22,740 32,373 -- 45,238 1,985 93
Purchases of
investments.......... 746,698 1,102,069 856,478 321,350 5,174,625 1,145,348
Management fees........ 81,913 80,023 50,871 34,950 107,351 93,657
Foreign currency
contracts............ 101,438 84,148 49,896 19,261 846,937 166,715
Variation margin on
futures contracts.... -- -- -- -- -- --
Other accrued expenses... 65,200 66,659 55,245 48,811 92,233 61,573
Unrealized depreciation
on forward foreign
currency contracts..... 123,875 98,463 51,457 19,402 -- --
Written call options at
value#................. 146,100 146,100 -- -- -- --
Due to custodian......... -- -- -- -- -- --
Due to Adviser........... -- -- 975 -- 33,098 --
----------------------------------------------------------------------------------
1,287,964 1,609,835 1,064,922 489,012 6,256,229 1,467,386
----------------------------------------------------------------------------------
NET ASSETS............... $103,975,854 $107,420,890 $74,778,214 $54,037,495 $161,058,151 $132,831,357
==================================================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 4,839,709 5,774,563 5,234,108 4,431,821 11,544,061 6,775,948
Net asset value per
share.................. $21.48 $18.60 $14.29 $12.19 $13.95 $19.60
==================================================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $ 63,632,610 $ 73,342,297 $62,137,745 $50,174,179 $135,845,807 $ 92,922,828
Accumulated undistributed
net investment income
(loss)................. 84,102 431,603 822,698 606,354 313,322 (28,556)
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 19,859,003 17,442,964 5,524,348 2,159,456 5,967,562 9,157,663
Unrealized appreciation
(depreciation) on
investments............ 20,129,839 16,004,550 6,185,729 1,062,274 17,170,058 30,779,343
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 291,194 220,370 107,694 35,232 (3,193) 79
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (20,894) (20,894) -- -- 1,764,595 --
----------------------------------------------------------------------------------
$103,975,854 $107,420,890 $74,778,214 $54,037,495 $161,058,151 $132,831,357
==================================================================================
---------------
* Cost
Investment securities... $ 69,179,050 $ 79,507,492 $59,975,855 $46,719,737 $116,235,980 $ 97,970,858
==================================================================================
Short-term securities... $ 8,912,412 $ 8,448,154 $ 6,984,813 $ 4,733,800 $ 12,538,419 $ 2,127,822
==================================================================================
Foreign currency........ $ 51 $ 35 $ 21 $ 7 $ 45 $ 10,660
==================================================================================
# Proceeds from written
call options........... $ 125,206 $ 125,206 $ -- $ -- $ -- $ --
==================================================================================
</TABLE>
See Notes to Financial Statements
----------------
202
<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*................. $26,399,022 $18,092,449 $16,333,201 $27,180,217 $15,855,563
Short-term securities*... 1,109,623 209,102 232,378 177,413 29,978
Repurchase agreements
(cost equals market)... 12,000 285,000 125,000 550,000 736,000
Cash..................... 149,917 10,444 95,675 53,705 1,462
Foreign currency*........ 8 -- -- -- --
Receivables for --
Fund shares sold....... 29,513 -- -- 100 --
Dividends and accrued
interest............. 15,513 13,450 26,825 4,225 27,217
Sales of investments... 218,487 259,141 65,504 182,932 200,000
Foreign currency
contracts............ 17,948 27,588 872 -- --
Variation margin on
futures contracts.... 550 -- 1,100 550 1,100
Prepaid expenses......... 84 56 65 71 62
Due from Adviser......... 9,930 12,179 9,652 6,879 9,706
Deferred organizational
expenses............... -- -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... 95,584 -- -- -- --
---------------------------------------------------------------
28,058,179 18,909,409 16,890,272 28,156,092 16,861,088
---------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 21,912 165 232 640 383
Purchases of
investments.......... 76,376 159,330 89,274 36,128 171,584
Management fees........ 18,865 12,173 10,647 20,727 11,076
Foreign currency
contracts............ 17,948 27,545 877 -- --
Variation margin on
futures contracts.... -- -- -- -- --
Other accrued expenses... 40,673 38,333 37,954 39,359 37,798
Unrealized depreciation
on forward foreign
currency contracts..... 22,145 -- -- -- --
Written call options at
value#................. -- -- -- -- --
Due to custodian......... -- -- -- -- --
Due to Adviser........... -- -- -- -- --
---------------------------------------------------------------
197,919 237,546 138,984 96,854 220,841
---------------------------------------------------------------
NET ASSETS............... $27,860,260 $18,671,863 $16,751,288 $28,059,238 $16,640,247
===============================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,863,691 1,430,430 1,608,659 1,563,426 1,581,723
Net asset value per
share.................. $14.95 $13.05 $10.41 $17.95 $10.52
===============================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $19,266,039 $14,718,982 $16,324,644 $16,103,209 $15,907,721
Accumulated undistributed
net investment income
(loss)................. (56,467) (637) 56,949 -- 58,303
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 2,349,191 427,768 557,509 2,516,513 422,901
Unrealized appreciation
(depreciation) on
investments............ 6,222,357 3,526,097 (190,730) 9,433,734 240,614
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 73,442 (347) (3) -- 2
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... 5,698 -- 2,919 5,782 10,706
---------------------------------------------------------------
$27,860,260 $18,671,863 $16,751,288 $28,059,238 $16,640,247
===============================================================
---------------
* Cost
Investment securities... $20,176,665 $14,566,352 $16,523,931 $17,746,483 $15,614,949
===============================================================
Short-term securities... $ 1,109,623 $ 209,102 $ 232,378 $ 177,413 $ 29,978
===============================================================
Foreign currency........ $ 8 $ -- $ -- $ -- $ --
===============================================================
# 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*................. $20,334,525 $19,944,970 $15,952,508 $ --
Short-term securities*... 29,979 19,986 49,225 3,044,523
Repurchase agreements
(cost equals market)... 682,000 131,000 583,000 1,099,000
Cash..................... 122,761 80,152 10,738 757
Foreign currency*........ -- 243,126 -- --
Receivables for --
Fund shares sold....... -- 100 -- --
Dividends and accrued
interest............. 6,260 51,731 212,185 188
Sales of investments... 753,479 26,639 54,236 --
Foreign currency
contracts............ -- 11,660 -- --
Variation margin on
futures contracts.... 550 -- -- --
Prepaid expenses......... 58 65 67 9
Due from Adviser......... 8,685 17,928 10,058 7,672
Deferred organizational
expenses............... -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... -- 45,703 -- --
----------------------------------------------------
21,938,297 20,573,060 16,872,017 4,152,149
----------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 522 423 198 159
Purchases of
investments.......... 675,302 32,277 38,475 --
Management fees........ 16,495 17,634 9,885 1,225
Foreign currency
contracts............ -- 11,574 -- --
Variation margin on
futures contracts.... -- 1,775 -- --
Other accrued expenses... 38,274 62,719 39,584 27,448
Unrealized depreciation
on forward foreign
currency contracts..... -- 56,706 -- --
Written call options at
value#................. 63,650 -- -- --
Due to custodian......... -- -- -- --
Due to Adviser........... -- -- -- --
----------------------------------------------------
794,243 183,108 88,142 28,832
----------------------------------------------------
NET ASSETS............... $21,144,054 $20,389,952 $16,783,875 $4,123,317
====================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,501,699 1,544,959 1,742,616 402,530
Net asset value per
share.................. $14.08 $13.20 $9.63 $10.24
====================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $15,600,513 $15,759,939 $17,361,548 $4,083,045
Accumulated undistributed
net investment income
(loss)................. -- (36,947) 273,680 40,459
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 2,050,090 721,673 (226,040) (73)
Unrealized appreciation
(depreciation) on
investments............ 3,505,652 3,971,422 (625,313) (114)
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ -- (17,722) -- --
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (12,201) (8,413) -- --
----------------------------------------------------
$21,144,054 $20,389,952 $16,783,875 $4,123,317
====================================================
---------------
* Cost
Investment securities... $16,828,873 $15,973,548 $16,577,569 $ --
====================================================
Short-term securities... $ 29,979 $ 19,986 $ 49,477 $3,044,637
====================================================
Foreign currency........ $ -- $ 246,984 $ -- $ --
====================================================
# Proceeds from written
call options........... $ 54,303 $ -- $ -- $ --
====================================================
</TABLE>
See Notes to Financial Statements
----------------
203
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2000
<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............... $ 1,604,168 $ 2,568,479 $ 3,078,060 $2,995,102 $2,480,395 $ 228,907
Dividends.............. 161,901 143,902 95,891 49,370 1,202,139 886,305
-----------------------------------------------------------------------------
Total income*........ 1,766,069 2,712,381 3,173,951 3,044,472 3,682,534 1,115,212
-----------------------------------------------------------------------------
EXPENSES:
Management fees........ 737,883 749,965 557,436 405,602 1,183,926 932,899
Custodian fees......... 142,045 150,512 124,095 108,968 318,388 152,458
Auditing fees.......... 25,807 25,807 25,785 25,805 25,833 25,862
Reports to investors... 38,164 39,833 28,906 21,711 56,195 47,460
Legal fees............. 5,338 5,670 4,497 3,651 6,871 5,803
Trustees' fees......... 714 773 617 495 1,160 936
Interest expense....... -- -- -- -- -- --
Amortization of
organizational
expenses............. 3,221 3,221 3,221 3,221 3,221 3,221
Other expenses......... 902 939 838 740 1,317 1,128
-----------------------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 954,074 976,720 745,395 570,193 1,596,911 1,169,767
Expenses reimbursed
by the investment
adviser............ -- -- -- (10,468) -- --
Custody credits
earned on cash
balances........... (2,334) (2,779) (2,741) (1,364) (1,662) (1,130)
-----------------------------------------------------------------------------
Net investment income
(loss)................. 814,329 1,738,440 2,431,297 2,486,111 2,087,285 (53,425)
-----------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 26,439,228 22,057,038 7,340,224 2,774,697 11,896,069 13,400,365
Net realized gain
(loss) on futures and
options contracts.... (381,346) -- -- -- (1,973,076) --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... 158,036 120,837 60,820 22,861 (2,989) (59,892)
Change in unrealized
appreciation/depreciation
on investments....... 7,553,424 5,652,704 1,716,369 (731,267) 8,654,061 15,890,765
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... 186,658 138,732 64,575 19,701 (11,548) (389)
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... (14,356) (14,700) -- -- 1,783,339 --
-----------------------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 33,941,644 27,954,611 9,181,988 2,085,992 20,345,856 29,230,849
-----------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $34,755,973 $29,693,051 $11,613,285 $4,572,103 $22,433,141 $29,177,424
=============================================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 4,106 $ 3,756 $ 2,655 $ 1,832 $ 54,985 $ 21,431
=============================================================================
** Net of foreign
withholding taxes on
capital gains of....... $ -- $ -- $ -- $ -- $ -- $ --
=============================================================================
</TABLE>
See Notes to Financial Statements
----------------
204
<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............... $ 51,627 $ 32,524 $ 27,779 $ 34,052 $ 44,139
Dividends.............. 113,981 136,134 340,920 56,509 287,509
----------------------------------------------------------
Total income*........ 165,608 168,658 368,699 90,561 331,648
----------------------------------------------------------
EXPENSES:
Management fees........ 168,718 114,627 127,574 165,289 129,830
Custodian fees......... 70,320 64,581 62,563 64,011 61,181
Auditing fees.......... 25,678 25,678 25,678 25,678 25,678
Reports to investors... 8,019 5,810 5,950 7,168 5,894
Legal fees............. 2,283 1,882 1,950 2,244 1,921
Trustees' fees......... 378 378 378 378 378
Interest expense....... -- -- -- -- --
Amortization of
organizational
expenses............. -- -- -- -- --
Other expenses......... 832 814 821 825 818
----------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 276,228 213,770 224,914 265,593 225,700
Expenses reimbursed
by the investment
adviser............ (42,322) (53,940) (46,787) (38,651) (49,262)
Custody credits
earned on cash
balances........... (1,919) (2,218) (2,712) (3,316) (786)
----------------------------------------------------------
Net investment income
(loss)................. (66,379) 11,046 193,284 (133,065) 155,996
----------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 2,814,305 442,115 936,020 3,208,067 882,175
Net realized gain
(loss) on futures and
options contracts.... 55,195 326 7,047 16,901 (2,058)
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... 11,393 (1,383) (41) -- 2
Change in unrealized
appreciation/depreciation
on investments....... 5,237,861 3,054,777 (427,319) 8,800,550 309,971
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... 73,442 (347) (4) -- 3
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... 8,358 2,658 4,249 7,295 12,219
----------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 8,200,554 3,498,146 519,952 12,032,813 1,202,312
----------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $8,134,175 $3,509,192 $713,236 $11,899,748 $1,358,308
==========================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 929 $ 1,140 $ 1,596 $ 153 $ 766
==========================================================
** 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............... $ 58,958 $ 24,073 $1,033,937 $128,625
Dividends.............. 83,924 213,428 6,008 --
---------------------------------------------------
Total income*........ 142,882 237,501 1,039,945 128,625
---------------------------------------------------
EXPENSES:
Management fees........ 133,169 167,310 112,280 12,907
Custodian fees......... 59,926 113,416 60,888 24,513
Auditing fees.......... 25,678 33,297 28,234 28,229
Reports to investors... 5,810 5,929 5,950 1,102
Legal fees............. 2,025 1,869 2,035 1,380
Trustees' fees......... 378 415 415 320
Interest expense....... -- -- -- --
Amortization of
organizational
expenses............. -- -- -- --
Other expenses......... 815 821 822 786
---------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 227,801 323,057 210,624 69,237
Expenses reimbursed
by the investment
adviser............ (47,108) (102,616) (49,582) (49,192)
Custody credits
earned on cash
balances........... (524) (2,939) (642) (98)
---------------------------------------------------
Net investment income
(loss)................. (37,287) 19,999 879,545 108,678
---------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments**........ 2,693,339 1,098,140 (212,731) (35)
Net realized gain
(loss) on futures and
options contracts.... 18,727 89,770 -- --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (19) (15,627) -- --
Change in unrealized
appreciation/depreciation
on investments....... 3,588,487 3,542,876 (456,699) (159)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... -- (15,028) -- --
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... (10,691) (12,781) -- --
---------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 6,289,843 4,687,350 (669,430) (194)
---------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $6,252,556 $4,707,349 $ 210,115 $108,484
===================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 232 $ 27,622 $ -- $ --
===================================================
** Net of foreign
withholding taxes on
capital gains of....... $ -- $ -- $ -- $ --
===================================================
</TABLE>
See Notes to Financial Statements
----------------
205
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the year ended March 31, 2000
<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)............ $ 814,329 $ 1,738,440 $ 2,431,297 $ 2,486,111 $ 2,087,285 $ (53,425)
Net realized gain (loss) on
investments........................... 26,439,228 22,057,038 7,340,224 2,774,697 11,896,069 13,400,365
Net realized gain (loss) on futures and
options contracts..................... (381,346) -- -- -- (1,973,076) --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 158,036 120,837 60,820 22,861 (2,989) (59,892)
Change in unrealized
appreciation/depreciation on
investments........................... 7,553,424 5,652,704 1,716,369 (731,267) 8,654,061 15,890,765
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... 186,658 138,732 64,575 19,701 (11,548) (389)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (14,356) (14,700) -- -- 1,783,339 --
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 34,755,973 29,693,051 11,613,285 4,572,103 22,433,141 29,177,424
----------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (820,000) (1,605,000) (2,012,000) (2,281,000) (2,202,000) --
Distributions from net realized gain on
investments........................... (14,345,000) (11,165,000) (4,689,000) (1,659,000) (6,947,000) (6,781,000)
----------------------------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... (15,165,000) (12,770,000) (6,701,000) (3,940,000) (9,149,000) (6,781,000)
----------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 32,763,994 30,158,616 21,214,752 18,076,587 58,935,026 41,407,708
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 15,165,000 12,770,000 6,701,000 3,940,000 9,149,000 6,781,000
Cost of shares repurchased.............. (33,256,405) (28,124,784) (20,170,897) (18,861,153) (37,972,942) (34,800,524)
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 14,672,589 14,803,832 7,744,855 3,155,434 30,111,084 13,388,184
----------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 34,263,562 31,726,883 12,657,140 3,787,537 43,395,225 35,784,608
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........................... $103,975,854 $107,420,890 $74,778,214 $54,037,495 $161,058,151 $132,831,357
==================================================================================
---------------
Undistributed net investment income
(loss)................................ $ 84,102 $ 431,603 $ 822,698 $ 606,354 $ 313,322 $ (28,556)
==================================================================================
Shares issued and repurchased:
Sold.................................... 1,712,782 1,802,685 1,552,450 1,494,584 4,422,800 2,403,922
Issued in reinvestment of dividends and
distributions......................... 775,470 743,857 491,388 331,586 678,569 382,563
Repurchased............................. (1,700,356) (1,654,036) (1,468,768) (1,557,621) (2,869,977) (1,996,632)
----------------------------------------------------------------------------------
Net increase (decrease)................. 787,896 892,506 575,070 268,549 2,231,392 789,853
==================================================================================
</TABLE>
See Notes to Financial Statements
----------------
206
<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)............ $ (66,379) $ 11,046 $ 193,284 $ (133,065) $ 155,996
Net realized gain (loss) on
investments........................... 2,814,305 442,115 936,020 3,208,067 882,175
Net realized gain (loss) on futures and
options contracts..................... 55,195 326 7,047 16,901 (2,058)
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 11,393 (1,383) (41) -- 2
Change in unrealized
appreciation/depreciation on
investments........................... 5,237,861 3,054,777 (427,319) 8,800,550 309,971
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... 73,442 (347) (4) -- 3
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 8,358 2,658 4,249 7,295 12,219
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 8,134,175 3,509,192 713,236 11,899,748 1,358,308
----------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (12,000) (30,000) (172,000) (5,000) (134,000)
Distributions from net realized gain on
investments........................... (552,000) (22,500) (394,000) (552,000) (473,000)
----------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... (564,000) (52,500) (566,000) (557,000) (607,000)
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 13,682,203 3,798,451 5,818,186 7,683,895 3,407,560
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 564,000 52,500 566,000 557,000 607,000
Cost of shares repurchased.............. (8,872,277) (469,579) (3,405,281) (5,411,219) (1,213,344)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 5,373,926 3,381,372 2,978,905 2,829,676 2,801,216
----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 12,944,101 6,838,064 3,126,141 14,172,424 3,552,524
NET ASSETS:
Beginning of period..................... 14,916,159 11,833,799 13,625,147 13,886,814 13,087,723
----------------------------------------------------------------
End of period........................... $27,860,260 $18,671,863 $ 16,751,288 $28,059,238 $16,640,247
================================================================
---------------
Undistributed net investment income
(loss)................................ $ (56,467) $ (637) $ 56,949 $ -- $ 58,303
================================================================
Shares issued and repurchased:
Sold.................................... 1,096,048 333,272 549,153 566,594 331,021
Issued in reinvestment of dividends and
distributions......................... 41,400 4,438 53,871 37,934 61,727
Repurchased............................. (658,656) (40,534) (328,750) (368,617) (122,442)
----------------------------------------------------------------
Net increase (decrease)................. 478,792 297,176 274,274 235,911 270,306
================================================================
<CAPTION>
DIVERSIFIED
INTERNATIONAL FIXED CASH
SMALL CAP EQUITY INCOME MANAGEMENT
<S> <C> <C> <C> <C>
----------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (37,287) $ 19,999 $ 879,545 $ 108,678
Net realized gain (loss) on
investments........................... 2,693,339 1,098,140 (212,731) (35)
Net realized gain (loss) on futures and
options contracts..................... 18,727 89,770 -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... (19) (15,627) -- --
Change in unrealized
appreciation/depreciation on
investments........................... 3,588,487 3,542,876 (456,699) (159)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... -- (15,028) -- --
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (10,691) (12,781) -- --
----------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 6,252,556 4,707,349 210,115 108,484
----------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (13,000) (85,000) (705,000) (82,000)
Distributions from net realized gain on
investments........................... (610,000) (446,000) -- --
----------------------------------------------------
Total dividends and distributions to
shareholders.......................... (623,000) (531,000) (705,000) (82,000)
----------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 5,989,925 3,956,858 4,957,675 6,659,343
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 623,000 531,000 705,000 82,000
Cost of shares repurchased.............. (2,238,054) (1,967,689) (3,612,833) (4,665,570)
----------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 4,374,871 2,520,169 2,049,842 2,075,773
----------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 10,004,427 6,696,518 1,554,957 2,102,257
NET ASSETS:
Beginning of period..................... 11,139,627 13,693,434 15,228,918 2,021,060
----------------------------------------------------
End of period........................... $21,144,054 $20,389,952 $16,783,875 $4,123,317
====================================================
---------------
Undistributed net investment income
(loss)................................ $ -- $ (36,947) $ 273,680 $ 40,459
====================================================
Shares issued and repurchased:
Sold.................................... 485,494 329,571 510,170 649,698
Issued in reinvestment of dividends and
distributions......................... 48,357 43,179 74,150 8,079
Repurchased............................. (155,967) (152,148) (373,720) (456,212)
----------------------------------------------------
Net increase (decrease)................. 377,884 220,602 210,600 201,565
====================================================
</TABLE>
See Notes to Financial Statements
----------------
207
<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
----------------
208
<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
----------------
209
<PAGE>
----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
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
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<PAGE>
the Multi-Managed Seasons Portfolios are SunAmerica Asset Management Corp.
("SAAMCo"), an indirect wholly-owned subsidiary of American International Group,
Inc. ("AIG"), 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-Managed 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 March 31, 2000, 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.
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<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. Interest earned on cash balances held at the custodian are
shown as custody credits on the statement of operations.
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 fiscal year ended March 31, 2000, 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..................................... $156,290 $(153,069) $(3,221)
Multi-Managed Moderate Growth............................ 116,610 (113,389) (3,221)
Multi-Managed Income/Equity.............................. 60,793 (57,572) (3,221)
Multi-Managed Income..................................... (15,553) 18,774 (3,221)
Asset Allocation: Diversified Growth..................... 320,132 (316,911) (3,221)
Stock.................................................... 58,254 (55,033) (3,221)
Large Cap Growth......................................... 11,393 (11,393) --
Large Cap Composite...................................... 3,813 (3,813) --
Large Cap Value.......................................... (41) 41 --
Mid Cap Growth........................................... 134,341 (134,341) --
Mid Cap Value............................................ 2 (2) --
Small Cap................................................ 38,981 (38,981) --
International Equity..................................... 11,281 (11,281) --
Diversified Fixed Income................................. (4,101) 4,101 --
Cash Management.......................................... (4,190) -- 4,190
</TABLE>
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<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. Such organizational expenses are being 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 March 31, 2000 the Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity, Multi-Managed Income, Large Cap Value, Mid Cap
Growth and Diversified Fixed Income Portfolios had a 0.1%, 0.2%, 0.1%, 0.3%,
0.1%, 0.2% and 0.0%, respectively, undivided interest, representing $340,000,
$455,000, $280,000, $770,000, $125,000, $550,000 and $85,000, respectively, in
principal amount, in a joint repo with Swiss Bank Corp., which is dated
March 31, 2000, bears interest at a rate of 6.10% per annum, has a principal
amount of $256,750,000, and a repurchase price of $256,880,515, matures on
April 3, 2000 and is collateralized by $199,724,000 U.S. Treasury Bonds (bearing
interest at the rate of 9.25% per annum and maturing February 15, 2016), which
have an approximate value of $261,987,046.
In addition, at March 31, 2000 the Multi-Managed Growth, Multi-Managed
Moderate Growth, Multi-Managed Income/ Equity, Large Cap Composite, Small Cap,
Diversified Fixed Income and Cash Management Portfolios had a 1.1%, 0.3%, 0.1%,
0.1%, 0.2%, 0.0% and 0.2%, respectively, undivided interest, representing
$3,359,000, $941,000, $248,000, $285,000, $467,000, $142,000 and $599,000,
respectively, in principal amount in a joint repo with State Street Bank & Trust
Co., which is dated March 31, 2000, bears interest at the rate of 6.10% per
annum, has a principal amount of $297,045,000 and a repurchase price of
$297,195,998, matures on April 3, 2000 and is collateralized by $48,355,000 U.S.
Treasury Notes (bearing interest at the rate of 5.00% per annum and maturing
February 28, 2001), $25,565,000 U.S. Treasury Notes (bearing interest at the
rate of 5.38% per annum and maturing February 15, 2001), $25,420,000 U.S.
Treasury Notes (bearing interest at the rate of 5.25% per annum and maturing
May 31, 2001), $25,315,000 U.S. Treasury Notes (bearing interest at the rate of
5.75% per annum and maturing October 31, 2002), $98,575,000 U.S. Treasury Bonds
(bearing interest at the rate of 8.75% per annum and maturing May 15, 2017),
$25,405,000 U.S. Treasury Notes (bearing interest at the rate of 4.00% per annum
and maturing October 31, 2000) and $25,330,000 U.S. Treasury Notes (bearing
interest at the rate of 5.50% per annum and maturing December 31, 2000), which
together have an approximate value of $303,036,721.
In addition, at March 31, 2000 the Cash Management Portfolio had a 2.5%
undivided interest, representing $500,000 in principal amount in a joint repo
with Paine Webber, Inc., which is dated March 31, 2000, bears interest at a rate
of 6.20% per annum, has a principal amount of $20,000,000 and a repurchase price
of $20,010,333, matures on April 3, 2000 and is collateralized by $19,465,000
U.S. Treasury Notes (bearing interest at the rate of 7.00% per annum and
maturing July 16, 2007) which have an approximate value of $20,411,972.
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
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<PAGE>
futures contracts and movements in the price of the securities hedged or used
for cover. The Trust's activities in the futures 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 fiscal year ended March 31, 2000, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
MULTI-MANAGED MODERATE
MULTI-MANAGED GROWTH 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.... (545) (1,148,992) (535) (1,128,004) (108) (221,827)
Written options assigned during the
year............................. -- -- -- -- -- --
Written options closed during the
year............................. 516 908,754 505 885,509 86 150,112
Net realized gain on written
options closed................... -- 146,731 -- 147,320 -- 17,412
----- ------------ ----- ------------ ----- ----------
Written option contracts as of
3/31/00.......................... (48) $ (125,206) (48) $ (125,206) (22) $ (54,303)
===== ============ ===== ============ ===== ==========
</TABLE>
4. FEDERAL INCOME TAXES: 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 tax purposes, including short-term securities and repurchase
agreements at March 31, 2000, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
UNREALIZED UNREALIZED GAIN/(LOSS) COST OF CAPITAL LOSS CAPITAL LOSS
GAIN LOSS NET INVESTMENTS CARRYOVER*+ UTILIZED
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth............ $22,531,917 $2,661,303 $19,870,614 $ 82,049,687 $ -- $ --
Multi-Managed Moderate Growth... 18,946,176 3,100,490 15,845,686 89,510,510 -- --
Multi-Managed Income/Equity..... 8,519,560 2,384,604 6,134,956 67,539,441 -- --
Multi-Managed Income............ 3,139,907 2,105,974 1,033,933 52,251,878 -- --
Asset Allocation: Diversified
Growth........................ 20,863,756 5,327,684 15,536,072 143,907,385 -- --
Stock@.......................... 34,540,023 4,236,704 30,303,319 100,574,704 -- --
Large Cap Growth................ 7,181,732 1,053,037 6,128,695 21,391,950 -- --
Large Cap Composite@............ 4,335,842 863,379 3,472,463 15,114,088 -- --
Large Cap Value@................ 1,513,836 1,756,075 (242,239) 16,932,818 -- --
Mid Cap Growth.................. 10,708,502 1,285,755 9,422,747 18,484,833 -- --
Mid Cap Value................... 1,911,586 1,724,013 187,573 16,433,968 -- --
Small Cap....................... 5,573,255 2,123,613 3,449,642 17,596,862 -- --
International Equity@........... 5,296,790 1,353,495 3,943,295 16,152,660 -- --
Diversified Fixed Income#....... 41,576 667,045 (625,469) 17,210,202 111,266 --
Cash Management#................ 28 142 (114) 4,143,637 69 --
</TABLE>
-------------
* Expires 2008.
# Post 10/31/99 Capital Loss Deferrals: Diversified Fixed Income $114,618; Cash
Management $4.
@ Post 10/31/99 Currency Loss Deferrals; Stock $28,556; Large Cap Composite
$637; Large Cap Value $60; International Equity $25,122.
+ Net capital loss carryovers reported as of March 31, 2000, which are
available to the extent provided in regulations to offset future capital
gains. To the extent that these carryovers are used to offset future capital
gains, it is probable that these gains so offset will not be distributed.
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<PAGE>
5. MANAGEMENT OF THE TRUST: The Trust, on behalf of each Portfolio, entered
into an Investment Advisory and Management Agreement (the "Agreement") with
SAAMCo 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 SAAMCo. Pursuant to the Agreement entered into between
SAAMCo (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 Agreement authorizes SAAMCo 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 described below act as
Subadvisers (with the exception of SAAMCo, which acts as Adviser,) to the Trust
and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo.
Each of the Subadvisers is independent of SAAMCo and discharges its
responsibilities subject to the policies of the Trustees and the oversight and
supervision of SAAMCo, 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>
<CAPTION>
PORTFOLIO SUBADVISER
------------------------------------------------------------------------------------------
<S> <C>
Multi-Managed Growth Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Moderate Growth Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Income/Equity Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Income Janus Capital Corporation
SunAmerica Asset Management Corp.
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>
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<PAGE>
<TABLE>
<CAPTION>
PORTFOLIO SUBADVISER
------------------------------------------------------------------------------------------
<S> <C>
Large Cap Composite Bankers Trust Company
SunAmerica Asset Management Corp.
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 Asset Management Corp.
International Equity Bankers Trust Company
Goldman Sachs Asset Management International
Lord, Abbett & Co.
Diversified Fixed Income Bankers Trust Company
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Cash Management SunAmerica Asset Management Corp.
</TABLE>
The Adviser 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%. The Adviser also may voluntarily
waive or reimburse additional amounts to increase the investment return to a
Portfolio's investors. The Adviser may terminate all such waivers and/or
reimbursements at any time. Further, any waivers or reimbursements made by the
Adviser with respect to a Portfolio are subject to recoupment from that
Portfolio within the following two years, provided that the Portfolio is able to
effect such payments to the Adviser and remain in compliance with the foregoing
expense limitations.
At March 31, 2000, 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................................. $12,117 $ 457
Multi-Managed Income........................................ 10,100 31,849
Asset Allocation: Diversified Growth........................ 41,677 8,313
Large Cap Growth............................................ -- 62,303
Large Cap Composite......................................... -- 73,921
Large Cap Value............................................. -- 66,769
Mid Cap Growth.............................................. -- 58,633
Mid Cap Value............................................... -- 69,243
Small Cap................................................... -- 67,090
International Equity........................................ -- 145,262
Diversified Fixed Income.................................... -- 68,924
Cash Management............................................. -- 70,835
</TABLE>
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<PAGE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the fiscal year ended March 31, 2000, were as
follows:
<TABLE>
<CAPTION>
PURCHASES 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....... $ 77,222,559 $ 90,609,245 $11,983,854 $ 3,908,515
Multi-Managed Moderate
Growth................... 73,818,137 79,080,022 18,574,580 9,435,673
Multi-Managed
Income/Equity............ 31,689,344 31,104,173 16,308,263 11,751,161
Multi-Managed Income....... 23,886,841 16,165,709 8,954,660 14,294,321
Asset Allocation:
Diversified Growth....... 112,414,983 100,896,833 86,340,669 77,331,454
Stock...................... 85,521,102 78,910,462 1,505,917 490,948
Large Cap Growth........... 19,057,257 14,812,480 45,715 48,596
Large Cap Composite........ 8,393,575 5,129,244 118,289 127,934
Large Cap Value............ 10,700,360 7,930,528 -- --
Mid Cap Growth............. 14,630,667 12,784,641 -- --
Mid Cap Value.............. 13,573,977 10,262,410 -- --
Small Cap.................. 18,875,317 14,815,747 -- --
International Equity....... 11,209,536 8,671,729 -- --
Diversified Fixed Income... 7,097,372 4,394,828 3,403,667 2,354,984
Cash Management............ -- -- -- --
</TABLE>
7. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred brokerage
commissions with affiliated brokers:
<TABLE>
<CAPTION>
B.T. ALEX GOLDMAN ROYAL ALLIANCE DEUTSCHE
BROWN, INC. SACHS ASSOCIATES, INC. BANK AG
----------------------------------------------------
<S> <C> <C> <C> <C>
Large Cap Growth...................................... $1,396 $1,053 $-- $ --
Large Cap Value....................................... 24 -- -- --
Mid Cap Growth........................................ 30 -- -- --
Mid Cap Value......................................... 1,721 1,332 62 --
Small Cap............................................. 382 -- -- --
International Equity.................................. 21 68 -- 1,577
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own securities
issued by AIG or an affiliate thereof. Effective January 1, 1999, SAAMCo, the
investment adviser, became a wholly owned subsidiary of AIG. During the fiscal
year ended March 31, 2000, transactions in securities of AIG and subsidiaries of
AIG were as follows:
<TABLE>
<CAPTION>
REALIZED
SECURITY GAIN/LOSS INCOME
---------------------------------------------------------
<S> <C> <C> <C>
Multi-Managed Growth...................... Crown Castle International Corp. $ -- $1,045
Multi-Managed Moderate Growth............. Crown Castle International Corp. -- 3,370
Multi-Managed Income/Equity............... Crown Castle International Corp. -- 1,804
Multi-Managed Income...................... Crown Castle International Corp. -- 3,135
Asset Allocation: Diversified Growth...... American International Group, Inc. 13 1,132
Large Cap Growth.......................... American International Group, Inc. 20,777 67
Crown Castle International Corp. 12,782 --
Large Cap Composite....................... American International Group, Inc. -- 146
Large Cap Value........................... American International Group, Inc. -- 225
Mid Cap Growth............................ Crown Castle International Corp. 9,374 --
Mid Cap Value............................. Crown Castle International Corp. -- --
Small Cap................................. Mettler-Toledo International, Inc. 576 --
</TABLE>
----------------
217
<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
3/31/00 17.21 0.18 7.72 7.90 (0.19) (3.44) 21.48 49.03
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
3/31/00 15.50 0.33 5.24 5.57 (0.30) (2.17) 18.60 37.90
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
3/31/00 13.33 0.49 1.87 2.36 (0.41) (0.99) 14.29 18.52
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
3/31/00 12.07 0.57 0.49 1.06 (0.54) (0.40) 12.19 9.16
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
3/31/00 12.63 0.21 2.04 2.25 (0.22) (0.71) 13.95 18.14
<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
4/15/97-
3/31/98 $ 32,481 1.29%# 1.52%# 114%
3/31/99 69,712 1.19 1.11 124
3/31/00 103,976 1.15 0.98 117
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
3/31/00 107,421 1.10 1.97 108
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
3/31/00 74,778 1.10 3.61 68
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
3/31/00 54,037 1.06 4.72 61
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
3/31/00 161,058 1.21 1.58 156
</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.
# Annualized
+ 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 3/31/00 3/31/98# 3/31/99 3/31/00
--------- ---------- -------- --------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio............................ 1.44% 1.19% 1.15% 1.37% 1.11% 0.98%
Multi-Managed Moderate Growth Portfolio................... 1.40 1.16 1.10 2.17 2.08 1.97
Multi-Managed Income/Equity Portfolio..................... 1.43 1.14 1.10 3.43 3.51 3.61
Multi-Managed Income Portfolio............................ 1.50 1.07 1.08 4.25 4.49 4.70
Asset Allocation: Diversified Growth Portfolio............ 1.53 1.22 1.21 1.74 1.20 1.58
</TABLE>
See Notes to Financial Statements
----------------
218
<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
3/31/00 16.21 (0.01) 4.47 4.46 -- (1.07) 19.60 28.35 132,831
Large Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.77 0.77 -- -- 10.77 7.70 14,916
3/31/00 10.77 (0.04) 4.53 4.49 (0.01) (0.30) 14.95 41.95 27,860
Large Cap Composite Portfolio
2/8/99-
3/31/99 10.00 0.01 0.43 0.44 -- -- 10.44 4.40 11,834
3/31/00 10.44 0.01 2.64 2.65 (0.02) (0.02) 13.05 25.42 18,672
Large Cap Value Portfolio
2/8/99-
3/31/99 10.00 0.02 0.19 0.21 -- -- 10.21 2.10 13,625
3/31/00 10.21 0.13 0.44 0.57 (0.11) (0.26) 10.41 5.59 16,751
Mid Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.46 0.46 -- -- 10.46 4.60 13,887
3/31/00 10.46 (0.09) 7.94 7.85 (0.00) (0.36) 17.95 75.89 28,059
<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
3/31/00 1.06 (0.05) 75
Large Cap Growth Portfolio
2/8/99-
3/31/99 1.10# 0.20# 6
3/31/00 1.10++ (0.31) 74
Large Cap Composite Portfolio
2/8/99-
3/31/99 1.10# 0.55# 8
3/31/00 1.10++ 0.08 38
Large Cap Value Portfolio
2/8/99-
3/31/99 1.10# 1.53# 5
3/31/00 1.10++ 1.21 52
Mid Cap Growth Portfolio
2/8/99-
3/31/99 1.15# (0.15)# 5
3/31/00 1.15++ (0.68) 68
</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.
# Annualized
++ Net of custody credits of 0.1%, 0.02%, 0.02% and 0.02%, respectively, for
the Large Cap Growth, 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 3/31/00 3/31/98# 3/31/99 3/31/00
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Stock Portfolio............................................. 1.26% 1.10% 1.06 % 0.19% 0.20% (0.05)%
Large Cap Growth Portfolio.................................. -- 2.12# 1.30 -- (0.82)# (0.51)
Large Cap Composite Portfolio............................... -- 2.33# 1.48 -- (0.68)# (0.30)
Large Cap Value Portfolio................................... -- 2.16# 1.39 -- 0.47# 0.92
Mid Cap Growth Portfolio.................................... -- 2.22# 1.35 -- (1.22)# (0.88)
</TABLE>
See Notes to Financial Statements
----------------
219
<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
3/31/00 9.98 0.11 0.84 0.95 (0.09) (0.32) 10.52 9.76 16,640
Small Cap Portfolio
2/8/99-
3/31/99 10.00 -- (0.09) (0.09) -- -- 9.91 (0.90) 11,140
3/31/00 9.91 (0.03) 4.65 4.62 (0.01) (0.44) 14.08 46.99 21,144
International Equity Portfolio
2/8/99-
3/31/99 10.00 0.02 0.32 0.34 -- -- 10.34 3.40 13,693
3/31/00 10.34 0.01 3.21 3.22 (0.06) (0.30) 13.20 31.36 20,390
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 10.00 0.06 (0.12) (0.06) -- -- 9.94 (0.60) 15,229
3/31/00 9.94 0.53 (0.42) 0.11 (0.42) -- 9.63 1.22 16,784
Cash Management Portfolio
2/8/99-
3/31/99 10.00 0.06 -- 0.06 -- -- 10.06 0.60 2,021
3/31/00 10.06 0.45 0.01 0.46 (0.28) -- 10.24 4.59 4,123
<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%
3/31/00 1.15 1.02 72
Small Cap Portfolio
2/8/99-
3/31/99 1.15# 0.31# 3
3/31/00 1.15 (0.24) 103
International Equity Portfolio
2/8/99-
3/31/99 1.30# 1.43# 7
3/31/00 1.30++ 0.12 54
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 1.00# 4.53# 30
3/31/00 1.00 5.48 46
Cash Management Portfolio
2/8/99-
3/31/99 0.85# 3.97# --
3/31/00 0.85 4.63 --
</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.
# Annualized
++ Net of custody credits of 0.02%
+ 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# 3/31/00 3/31/99# 3/31/00
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Mid Cap Value Portfolio..................................... 2.23% 1.47% 0.52% 0.70%
Small Cap Portfolio......................................... 2.46 1.45 (1.00) (0.54)
International Equity Portfolio.............................. 3.59 1.91 (0.86) (0.49)
Diversified Fixed Income Portfolio.......................... 1.91 1.31 3.62 5.17
Cash Management Portfolio................................... 8.41 2.95 (3.59) 2.53
</TABLE>
See Notes to Financial Statements
----------------
220
<PAGE>
SEASONS SERIES TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of Seasons Series Trust
In our opinion, the accompanying statement of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Multi-Managed Growth Portfolio,
Multi-Managed Moderate Growth Portfolio, Multi-Managed Income/ Equity Portfolio,
Multi-Managed Income Portfolio, Asset Allocation: Diversified Growth Portfolio,
Stock Portfolio, Large Cap Growth Portfolio, Large Cap Composite Portfolio,
Large Cap Value Portfolio, Mid Cap Growth Portfolio, Mid Cap Value Portfolio,
Small Cap Portfolio, International Equity Portfolio, Diversified Fixed Income
Portfolio and Cash Management Portfolio (constituting the fifteen portfolios of
Seasons Series Trust, hereafter referred to as the "Trust") at March 31, 2000,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods presented, in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at March 31, 2000 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
May 15, 2000
----------------
221
<PAGE>
----------------
SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Seasons Series Trust is required to be
provided to the shareholders based upon each Portfolio's income and
distributions for the fiscal year ended March 31, 2000.
During the fiscal year ended March 31, 2000 the Portfolios paid the following
dividends per share along with the percentage of ordinary income dividends that
qualified for the 70% dividends received deduction for corporations:
<TABLE>
<CAPTION>
NET NET NET QUALIFYING % FOR THE
TOTAL INVESTMENT SHORT-TERM LONG-TERM 70% DIVIDENDS
DIVIDENDS INCOME CAPITAL GAINS* CAPITAL GAINS RECEIVED DEDUCTION
--------- ---------- -------------- ------------- --------------------
<S> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio....... $3.63 $0.19 $2.60 $0.84 1.42%
Multi-Managed Moderate Growth
Portfolio.......................... 2.47 0.30 1.67 0.50 1.39
Multi-Managed Income/Equity
Portfolio.......................... 1.40 0.41 0.72 0.27 1.52
Multi-Managed Income Portfolio....... 0.94 0.54 0.30 0.10 1.17
Asset Allocation: Diversified Growth
Portfolio.......................... 0.93 0.22 0.60 0.11 11.56
Stock Portfolio...................... 1.07 -- 0.23 0.84 31.15
Large Cap Growth Portfolio........... 0.31 0.01 0.29 0.01 4.02
Large Cap Composite Portfolio........ 0.04 0.02 0.02 0.00 24.46
Large Cap Value Portfolio............ 0.37 0.11 0.25 0.01 26.73
Mid Cap Growth Portfolio............. 0.36 0.00 0.35 0.01 2.24
Mid Cap Value Portfolio.............. 0.41 0.09 0.31 0.01 25.89
Small Cap Portfolio.................. 0.45 0.01 0.43 0.01 2.08
International Equity Portfolio....... 0.36 0.06 0.30 -- --
Diversified Fixed Income Portfolio... 0.42 0.42 -- -- --
Cash Management Portfolio............ 0.28 0.28 -- -- --
</TABLE>
------------
* Short-term gains are treated as ordinary income dividends for tax purposes.
The International Equity Portfolio makes an election under Internal Revenue
Code Section 853 to pass through foreign taxes paid by the Portfolio to its
shareholders. The total amount of foreign taxes passed through to the
shareholders for the fiscal year ended March 31, 2000 was $22,539. The gross
foreign source income for information reporting is $241,050.
----------------
222
<PAGE>
MULTI-MANAGED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Growth Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,180 $10,357 $10,618 $10,106
9/97 $12,100 $12,193 $12,652 $10,667
3/98 $13,155 $13,573 $14,831 $11,150
9/98 $12,950 $12,675 $13,797 $11,893
3/99 $17,887 $14,640 $17,569 $11,874
9/99 $18,648 $14,917 $17,633 $11,850
3/00 $26,658 $17,190 $20,722 $12,097
</TABLE>
<TABLE>
----------------------------------
MULTI-MANAGED GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 49.03%
Since Inception (4/15/97) 39.24%
----------------------------------
</TABLE>
The Blended Benchmark Index consists of 51% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 27% Lehman Brothers Aggregate Index, 20% Russell
2000 Index, and 2% Treasury Bills. The S&P 500 Index tracks the performance of
500 stocks representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. The Lehman Brothers Aggregate Index
provides a broad view of the performance of the U.S. fixed income market. The
Russell 2000 Index comprises the smallest 2000 companies in the Russell 3000
Index and is widely recognized as representative of small-cap growth stocks.
Treasury bills are short-term securities with maturities of one year or less
issued by the U.S. government.
PERFORMANCE REVIEW
The Portfolio returned 49.03% over the 12-month period ended March 31, 2000,
significantly outpacing the blended benchmark return of 17.42% and the S&P 500
Index return of 17.94%.
In the Growth component of the Portfolio, wireless positions such as SPRINT PCS
were particularly buoyant as usage and subscriber growth rates accelerated
worldwide. Semiconductor stocks were also an area of strength. Companies like
TEXAS INSTRUMENTS and MAXIM INTEGRATED PRODUCTS are providing the electronic
brains for an entirely new generation of electronic devices, driving sales and
earnings higher in the process. Exposure to the technology, media and telecom
sectors of the market enabled the Balanced component to contribute to the
Portfolio's overall strong performance as well.
The performance of the Aggressive Growth component, which focuses on small
company stocks, pushed the Portfolio further ahead, the beneficiary of yearlong
investment themes within the technology, communications and energy sectors. Top
performers included BROADVISION INC., VIGNETTE CORP. and YAHOO! INC. within
Technology and PROXIM INC., AMDOCS LTD. and POWERWAVE TECHNOLOGIES within the
Telecommunications sector.
The Fixed Income component slightly outperformed the general bond market, led by
positions in high yield and corporate issues. Strengthening overseas economies,
resurgent commodity prices, continued robust U.S. consumption growth, and a
distinctly hawkish Federal Reserve all point in the direction of somewhat higher
U.S. interest rates over the coming months. The component's interest rate
exposure, therefore, will remain close to that of the benchmark.
The Multi-Managed Growth Portfolio comprises 50% of the Growth Strategy -- one
of the four Seasons Strategies.
----------------
224
<PAGE>
MULTI-MANAGED MODERATE GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth, with capital preservation as a secondary objective
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED MODERATE BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Growth Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,160 $10,291 $10,618 $10,106
9/97 $11,830 $11,871 $12,652 $10,667
3/98 $12,686 $13,016 $14,831 $11,150
9/98 $12,645 $12,469 $13,797 $11,893
3/99 $16,204 $13,925 $17,569 $11,874
9/99 $16,675 $14,156 $17,633 $11,850
3/00 $22,346 $15,938 $20,722 $12,097
</TABLE>
<TABLE>
----------------------------------
MULTI-MANAGED MODERATE GROWTH PORTFOLIO AVERAGE
ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 37.90%
Since Inception (4/15/97) 31.19%
----------------------------------
</TABLE>
The Blended Benchmark Index consists of 37.9% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 42.3% Lehman Brothers Aggregate Index, 18.0%
Russell 2000 Index, and 1.8% Treasury Bills. The S&P 500 Index tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States. The Lehman Brothers
Aggregate Index provides a broad view of the performance of the U.S. fixed
income market. The Russell 2000 Index comprises the smallest 2000 companies in
the Russell 3000 Index and is widely recognized as representative of small-cap
growth stocks. Treasury bills are short-term securities with maturities of one
year or less issued by the U.S. government.
PERFORMANCE REVIEW
For the 12-month period ended March 31, 2000, the Portfolio gained 37.90%, well
ahead of the blended benchmark return of 14.46% and the S&P 500 Index's 17.94%.
Strong performances by a wide range of stocks allowed the Growth component to
contribute to the Portfolio's strong return. With usage and subscriber growth
rates accelerating, the component's wireless positions -- such as SPRINT PCS --
flourished. Meanwhile, the arrival of wireless Internet access promises to
provide growth for cellular providers well into the future and the Growth
component is positioned to take full advantage. The Balanced component's focus
on the fastest growing sectors of the economy that represent double-digit growth
year over year was again successful during the annual period, especially in the
technology, media and telecom sectors of the market.
While the technology and telecommunications sectors were at the center of the
Aggressive Growth component's strong performance, the turnaround group for the
annual period was the energy sector. The component's overweight position in this
sector was primarily concentrated in oil services companies. Top performers
included BJ SERVICES CO., SMITH INTERNATIONAL INC. and WEATHERFORD INTERNATIONAL
INC.
The performance of the Fixed Income component was in line with general bond
market, with positions in high yield and corporates giving the Portfolio a
slight edge. As of March 31, 2000, the Fixed Income component of the Portfolio
was invested as follows: 33% in U.S. Treasuries and Agencies, 33% in investment
grade corporates, 15% in mortgage-backed securities, 8% in high yield, 2% in
non-US$ denominated securities, and 9% in cash and cash equivalents.
The Multi-Managed Moderate Growth Portfolio comprises 55% of the Moderate Growth
Strategy -- one of the four Seasons Strategies.
----------------
225
<PAGE>
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Conservation of principal, while maintaining some potential for long- term
growth
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Income Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,160 $10,193 $10,618 $10,106
9/97 $10,980 $10,989 $12,652 $10,667
3/98 $11,681 $11,724 $14,831 $11,150
9/98 $12,260 $12,232 $13,797 $11,893
3/99 $12,988 $12,758 $17,569 $11,874
9/99 $12,967 $12,757 $17,633 $11,850
3/00 $14,178 $13,363 $20,722 $12,097
</TABLE>
<TABLE>
----------------------------------
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 18.52%
Since Inception (4/15/97) 19.22%
----------------------------------
</TABLE>
The Blended Benchmark Index consists of 33.4% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 63.8% Lehman Brothers Aggregate Index, and 2.8%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
Over the 12 months ended March 31, 2000, the Portfolio returned 18.52%,
outperforming the 7.37% gain for the blended benchmark and 1.88% for the Lehman
Brothers Government/Corporate Bond Index. Despite its heavy fixed income
weighting, the Portfolio was able to edge out the S&P 500 Index's 17.94% return
for the annual period.
The strong outperformance by the Portfolio's Growth component was fueled by
wireless positions -- such as SPRINT PCS -- the beneficiaries of accelerating
usage and subscriber growth rates worldwide. Semiconductor stocks were also an
area of strength. Companies like TEXAS INSTRUMENTS and MAXIM INTEGRATED PRODUCTS
are providing the electronic brains for an entirely new generation of electronic
devices, driving sales and earnings higher in the process. Exposure to the
technology, media and telecom sectors of the market enabled the Balanced
component to contribute to the Portfolio's overall strong performance as well.
With an interest rate risk exposure close to that of the general bond market,
the Fixed Income component finished the period essentially in line with its
benchmark. Performance was helped by positions in the high yield and corporate
sectors. As of March 31, 2000, the Fixed Income component was invested as
follows: 30% in U.S. Treasuries and Agencies, 37% in investment grade
corporates, 16% in mortgage-backed securities, 8% in high yield, 2% in non-US$
denominated securities, and 7% in cash and cash equivalents.
The Multi-Managed Income/Equity Portfolio comprises 55% of the Balanced Growth
Strategy -- one of the four Seasons Strategies.
----------------
226
<PAGE>
MULTI-MANAGED INCOME PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital preservation
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Income/Equity Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,180 $10,275 $10,618 $10,106
9/97 $11,200 $11,295 $12,652 $10,667
3/98 $12,110 $12,277 $14,831 $11,150
9/98 $12,592 $12,542 $13,797 $11,893
3/99 $14,201 $13,614 $17,569 $11,874
9/99 $14,393 $13,632 $17,633 $11,850
3/00 $16,831 $14,617 $20,722 $12,097
</TABLE>
<TABLE>
----------------------------------
MULTI-MANAGED INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 9.16%
Since Inception (4/15/97) 12.51%
----------------------------------
</TABLE>
The Blended Benchmark Index consists of 17.35% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 80.95% Lehman Brothers Aggregate Index, and 1.70%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
The Portfolio returned 9.16% over the 12-month period ended March 31, 2000,
outperforming the blended benchmark return of 4.74% and 1.88% for the Lehman
Brothers Government/ Corporate Bond Index.
Led by positions in high yield and corporate issues, the Fixed Income component
-- the Portfolio's largest component at 45% -- slightly outperformed the general
bond market. Strengthening overseas economies, resurgent commodity prices,
continued robust U.S. consumption growth, and a distinctly hawkish Fed all point
in the direction of somewhat higher U.S. interest rates over the coming months.
The component's interest rate exposure, therefore, will remain close to that of
the benchmark.
In the Growth component, wireless positions such as SPRINT PCS were particularly
buoyant as usage and subscriber growth rates accelerated worldwide.
Semiconductor stocks were also an area of strength. Companies like TEXAS
INSTRUMENTS AND MAXIM INTEGRATED PRODUCTS are providing the electronic brains
for an entirely new generation of electronic devices, driving sales and earnings
higher in the process.
During the annual period, the Balanced component benefited from exposure to the
technology, media and telecom sectors of the market. The component's focus on
the fastest growing sectors of the economy -- those that represent double-digit
growth year over year -- was again successful during the annual period.
The Multi-Managed Income Portfolio comprises 60% of the Conservative Growth
Strategy -- one of the four Seasons Strategies.
----------------
227
<PAGE>
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital appreciation
PORTFOLIO MANAGER: Putnam Investment Management, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ASSET ALLOCATION:
<S> <C> <C> <C> <C>
Diversified Growth Blended S&P 500 Lehman Brothers
Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,190 $10,470 $10,618 $10,106
9/97 $11,610 $12,033 $12,652 $10,667
3/98 $12,009 $13,527 $14,831 $11,150
9/98 $11,035 $12,796 $13,797 $11,893
3/99 $13,092 $15,422 $17,569 $11,874
9/99 $13,205 $15,680 $17,633 $11,850
3/00 $15,467 $17,931 $20,722 $12,097
</TABLE>
<TABLE>
----------------------------------
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 18.14%
Since Inception (4/15/97) 15.86%
----------------------------------
</TABLE>
The Blended Benchmark Index consists of 60% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 20% Lehman Brothers Aggregate Index, and 20% Morgan
Stanley Capital International Europe, Australia and Far East (MSCI EAFE) Index.
The S&P 500 Index tracks the performance of 500 stocks representing a sampling
of the largest foreign and domestic stocks traded publicly in the United States.
The Lehman Brothers Aggregate Index provides a broad view of the performance of
the U.S. fixed income market. The MSCI EAFE Index represents the foreign stocks
of 19 countries in Europe, Australia and the Far East.
PERFORMANCE REVIEW
For the 12-month period ended March 31, 2000, the Asset Allocation: Diversified
Growth Portfolio returned 18.14%, outperforming its custom index return of
16.27%.
For the first six months of the period, underperformance in value-oriented, "old
economy" sectors offset the strong return of the Portfolio's large-cap growth
component and the superior performance of the international equity component.
Investment-grade U.S. fixed-income holdings lagged the benchmark due to a long
duration stance early in the period and a modest emphasis on spread sectors,
notably mortgage-backed securities and investment-grade corporates. In the
second half of the period, however, the Portfolio benefited significantly from
its U.S. large-cap growth and international equity components. U.S. large-cap
growth equity holdings outperformed the S&P 500 due to strong stock selection in
the technology sector as well as in long-distance and wireless communications
and consumer cyclicals. The international equity component sharply outpaced the
MSCI EAFE Index due to strong stock and sector selection and a strategic
emphasis on telecom and technology stocks. Weak results from the U.S. value
equity component during this growth-oriented period and an emphasis on
non-Treasury sectors within the U.S. investment-grade fixed-income component
were a drag on performance, as was active currency exposure in favor of the
Euro.
Putnam's Global Asset Allocation team continues to seek equity opportunities
around the globe, but does not view valuation extremes in global equity markets
as sufficient to warrant an asset mix that deviates from the Portfolio's
long-term, strategic asset allocation. Therefore a neutral stock versus bond
allocation is likely to be maintained.
----------------
228
<PAGE>
STOCK PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term capital appreciation, with a secondary objective of increasing
dividend income.
PORTFOLIO MANAGER: T. Rowe Price Associates, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
STOCK PORTFOLIO S&P 500 INDEX
<S> <C> <C>
4/15/97 10,000 10,000
4/97 10,440 10,618
9/97 12,540 12,652
3/98 14,859 14,831
9/98 13,359 13,797
3/99 16,798 17,569
9/99 16,726 17,633
3/00 21,561 20,722
</TABLE>
<TABLE>
----------------------------------
STOCK PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 28.35%
Since Inception (4/15/97) 29.62%
----------------------------------
</TABLE>
The Standard & Poor's Composite Index of 500 Stocks (S&P 500 Index) tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States.
PERFORMANCE REVIEW
For the 12 months ended March 31, 2000, the Stock Portfolio's 28.35% gain
exceeded the 17.94% return of the S&P 500 Index. Performance throughout the year
was driven by the strength of technology stocks, which constituted more than 40%
of the Portfolio's assets at the end of the period. ORACLE, CISCO SYSTEMS, and
INTEL appreciated strongly, while other stocks such as LIBERATE TECHNOLOGIES,
FAIRFAX FINANCIAL, ASSOCIATES FIRST CAPITAL, and SCHERING-PLOUGH were
disappointing. Some of the Portfolio's foreign stocks posted good returns,
including TELECOM ITALIA MOBILE, NOKIA, and HUTCHISON WHAMPOA.
The Portfolio continues to focus on companies with consistent earnings growth.
The manager remains committed to the technology sector but is aware of rich
valuations and will trim holdings when it is prudent. During the most recent
quarter, the Portfolio sold 3COM, CITRIX, and JOHNSON & JOHNSON and purchased
NEXTLINK COMMUNICATIONS, NORTEL NETWORKS, PHARMACIA & UPJOHN (now PHARMACIA
CORP.) and AT&T.
As stocks continue to face challenges from rising short-term rates and high
valuations among market leaders, T. Rowe Price believes the wide valuation gap
between growth stocks and value shares will narrow in the near term, but remains
optimistic about growth-stock prospects over the next few years. Overseas, it
views market prospects as generally more favorable than in the U.S.
----------------
229
<PAGE>
LARGE CAP GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: Janus Capital Corporation
Goldman Sachs Asset Management
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LARGE CAP S&P 500/BARRA
<S> <C> <C>
Growth Portfolio Growth Index
2/8/99 $10,000 $10,000
2/99 $10,080 $9,608
3/99 $10,770 $10,073
6/99 $11,380 $10,459
9/99 $11,140 $10,094
12/99 $14,204 $12,087
3/00 $15,288 $12,583
</TABLE>
<TABLE>
----------------------------------
LARGE CAP GROWTH PORTFOLIO AVERAGE ANNUAL TOTAL
RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 41.95%
Since Inception (2/8/99) 44.89%
----------------------------------
</TABLE>
The S&P/BARRA Growth and Value Indexes are constructed by dividing the stocks in
an index according to a single attribute: book-to-price ratio. This splits the
index into two mutually exclusive groups designed to track two of the
predominant investment styles in the U.S. equity market. The value index
contains firms with higher book-to-price ratios; conversely, the growth index
has firms with lower book-to-price ratios. Each company in the index is assigned
to either the value or growth index so that the two style indices "add up" to
the full index. Like the full S&P indexes, the value and growth indexes are
capitalization-weighted, meaning that each stock is weighted in proportion to
its market value.
PERFORMANCE REVIEW
The Portfolio posted a net total return of 41.95% for the 12-month period ended
March 31, 2000, significantly outperforming the S&P 500/BARRA Growth Index,
which returned 24.92%.
The Portfolio benefited from good stock selection in the technology, telecom and
cable industries. Its Internet investments -- many of which have strong brands
and dominant market share in their on-line markets -- benefited from investor
excitement over the explosive growth of the Internet. In addition, several
companies in the technology sector which provide Internet infrastructure
performed strongly and media holdings, particularly in broadcasting, were up
significantly for the period. Many of these media companies not only have direct
investments in Internet companies but should have higher advertising revenues as
dot.coms struggle to establish brand name recognition through traditional
communications media. Semiconductor stocks were also an area of strength, with
companies like TEXAS INSTRUMENTS and MAXIM INTEGRATED PRODUCTS experiencing
significant increases in sales and earnings. In the final three months of the
period, the U.S. market, especially the technology sector, experienced
significant volatility. However, the Portfolio's holdings in these areas
experienced less volatility than the market.
Fundamentally, the Portfolio continues to focus on the core business
characteristics that provide a foundation for long-term growth, such as strength
of franchise, quality of management, and free cash flow, along with favorable
demographic trends.
----------------
230
<PAGE>
LARGE CAP COMPOSITE PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital and growth of dividend income
PORTFOLIO MANAGERS: T. Rowe Price Associates, Inc.
SunAmerica Asset Management Corp.
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LARGE CAP S&P 500
<S> <C> <C>
Composite Portfolio Index
2/8/99 $10,000 $10,000
2/99 $10,020 $9,689
3/99 $10,440 $10,077
6/99 $11,100 $10,787
9/99 $10,490 $10,114
12/99 $12,411 $11,616
3/00 $13,094 $11,884
</TABLE>
<TABLE>
----------------------------------
LARGE CAP COMPOSITE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 25.42%
Since Inception (2/8/99) 26.55%
----------------------------------
</TABLE>
The Standard & Poor's Composite Index of 500 Stocks (S&P 500 Index) tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States.
PERFORMANCE REVIEW
For the 12-month period ended March 31, 2000, the Portfolio's 25.42% gain
outperformed the 17.94% return of the S&P 500 Index.
Technology and telecommunications continued to be a major focus of the Portfolio
and fueled performance throughout the year. At the beginning of 2000, profits
were taken in many technology stocks such as QUALCOMM and YAHOO! and weighting
was increased on the optical side of that market, focusing on component and
infrastructure plays like JDS UNIPHASE and CISCO SYSTEMS. The Portfolio also
increased its weighting in the energy service sector with the view that
fundamentals are strong, particularly in the deepwater and international
drilling sectors. It continues to underweight basic materials and consumer
staples.
Looking forward, the management team maintains that we are in a moderate-growth,
low-inflationary period. The team feels that volatility and sector rotation will
continue to be major factors, as investors' concerns over higher valuations and
faster economic growth affect the market.
----------------
231
<PAGE>
LARGE CAP VALUE PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: Lord, Abbett & Company
Goldman Sachs Asset Management
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LARGE CAP S&P 500/BARRA
<S> <C> <C>
Value Portfolio Value Index
2/8/99 $10,000 $10,000
2/99 $9,890 $9,785
3/99 $10,210 $10,081
6/99 $11,460 $11,170
9/99 $10,360 $10,139
12/99 $10,905 $11,049
3/00 $10,781 $11,075
</TABLE>
<TABLE>
----------------------------------
LARGE CAP VALUE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 5.59%
Since Inception (2/8/99) 6.79%
----------------------------------
</TABLE>
The S&P/BARRA Growth and Value Indexes are constructed by dividing the stocks in
an index according to a single attribute: book-to-price ratio. This splits the
index into two mutually exclusive groups designed to track two of the
predominant investment styles in the U.S. equity market. The value index
contains firms with higher book-to-price ratios; conversely, the growth index
has firms with lower book-to-price ratios. Each company in the index is assigned
to either the value or growth index so that the two style indices "add up" to
the full index. Like the full S&P indexes, the value and growth indexes are
capitalization-weighted, meaning that each stock is weighted in proportion to
its market value.
PERFORMANCE REVIEW
The Portfolio returned 5.59%, compared to the S&P 500/BARRA Value Index's return
of 9.86% for the twelve months ended March 31, 2000.
Some of the Portfolio's best performing stocks included CONSOLIDATED PAPERS,
DISNEY, CITIGROUP, HEWLETT-PACKARD, ALCOA, and MARSH & MCLENNAN. Its weakest
stocks during the period included ASSOCIATES FIRST, FORD MOTOR COMPANY, UNION
PACIFIC and HEINZ. The Portfolio is focused on financial stocks and also has
meaningful positions in energy, utilities, consumer nondurables and process
industries.
The management team predicts another strong year for the domestic economy due to
insatiable consumer appetite and high capital spending levels. Despite higher
short-term interest rates and higher energy prices, it feels consumer spending
will be supported by better employment levels, an upward trajectory of wages
and, despite recent volatility, a higher equity market level. The composition of
growth appears more balanced than a year ago, with the manufacturing sector
benefiting from a vigorous rebound. Demand for housing and autos could soften
given the higher borrowing rates, but the managers expect only a moderate
fall-off.
During the past few weeks, there has been some movement away from the highflying
technology sectors into more conservative stocks with relatively low P/E ratios
and reasonable dividend yields, which has benefited the Portfolio's relative
performance. Given the continuing disparity in relative valuations between
growth and value stocks, it would not be surprising to see a more supportive
environment for value investing over the next several quarters.
----------------
232
<PAGE>
MID CAP GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: Wellington Management Company, LLP
T. Rowe Price Associates, Inc.
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MID CAP RUSSELL MIDCAP
<S> <C> <C>
Growth Portfolio Growth Index
2.08.1999 $10,000 $10,000
2.99 $9,790 $9,511
3.99 $10,460 $10,041
6.99 $10,610 $11,087
9.99 $11,320 $10,532
12.99 $15,498 $14,690
3.00 $18,399 $17,792
</TABLE>
<TABLE>
----------------------------------
MID CAP GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 75.89%
Since Inception (2/8/99) 70.33%
----------------------------------
</TABLE>
Russell Midcap-TM- Growth Index measures the performance of those Russell Midcap
companies with higher price-to-book ratios and higher forecasted growth values.
The stocks are also members of the Russell 1000-Registered Trademark- Growth
index.
PERFORMANCE REVIEW
The Mid Cap Growth Portfolio posted a buoyant 75.89% return over the 12 months
ended March 31, 2000, keeping pace with the Russell Midcap Growth Index return
of 77.20%.
As in the overall market, performance was driven by white-hot gains in the
technology sector, particularly among semiconductor stocks such as PMC-SIERRA,
APPLIED MICRO CIRCUITS, and XILINX. Other solid gainers included US TRUST,
ECHOSTAR COMMUNICATION, ANALOG DEVICES, HUMAN GENOME SCIENCE, and AT&T- LIBERTY
MEDIA. Some of the weaker names for the period were BED BATH & BEYOND, GENZYME
CORP, FIRST DATA, EXPRESS SCRIPTS, and ITT EDUCATIONAL SERVICES.
As a group, mid-cap growth stocks are posting solid earnings growth. Though
valuations remain high on a historical basis, they are quite reasonable compared
to the overall market. The management team expects the Federal Reserve to
succeed in slowing the pace of the economy and keeping inflation in check. This
should provide a positive fundamental backdrop for mid-cap growth stocks. In
addition, the managers are looking for relatively low inflation for the
foreseeable future, especially now that oil prices may be close to peaking.
Strong productivity trends are expected to persist, reinforcing this generally
benign inflation outlook. However, the disparity in valuations among market
sectors remains a challenge.
----------------
233
<PAGE>
MID CAP VALUE PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: Lord, Abbett & Company
Goldman Sachs Asset Management
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MID CAP VALUE PORTFOLIO RUSSELL MIDCAP VALUE INDEX
<S> <C> <C>
2.08.1999 $10,000 $10,000
2.99 $9,610 $9,780
3.99 $9,980 $9,920
6.99 $11,550 $11,029
9.99 $10,210 $9,856
12.99 $10,465 $10,228
3.00 $10,955 $10,331
</TABLE>
<TABLE>
----------------------------------
MID CAP VALUE PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 9.76%
Since Inception (2/8/99) 8.29%
----------------------------------
</TABLE>
Russell Midcap-TM- Value Index measures the performance of those Russell Midcap
companies with lower price-to-book ratios and lower forecasted growth values.
The stocks are also members of the Russell 1000-Registered Trademark- Value
index.
PERFORMANCE REVIEW
The Portfolio posted a 9.76% gain during the annual reporting period, compared
to the Russell Midcap Value Index, which returned 4.15%.
In an extraordinary period for the overall economy, many companies posted solid
operating results. However, without the badges of a) high-visibility growth or
b) an obvious role in the "new economy," these same solid operators lagged the
stock market. Investors' gravitation to very few leaders has driven remarkable
stock performance. Since year-end, however, a rising interest rate environment
has sparked investor impatience toward those stocks which have not yet delivered
earnings results to match their valuations and tremendous price volatility among
expensive stocks. Out of this environment, there have been solid returns among
those stocks which previously went unrecognized despite strong business
performance. The Portfolio benefited by owning well-positioned businesses
selling at conservative valuations.
The Portfolio owns a number of technology and energy stocks whose gains helped
drive performance throughout the period. Investments in electric utilities
companies also performed well as a result of a trend toward deregulation in the
industry. Apart from a few select insurance companies, financial stocks were
among the Portfolio's weaker performers. The Portfolio continues to benefit from
a reduced exposure to banks and other financial companies.
On the downside, holdings in the basic industry, capital goods and consumer
non-cyclical sectors hampered overall Portfolio performance due to rising
interest rates, souring consumer confidence and a reduction in profit margins.
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<PAGE>
SMALL CAP PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Lord, Abbett & Company
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SMALL CAP PORTFOLIO RUSSELL 2000 INDEX
<S> <C> <C>
2/8/99 $10,000 $10,000
2/99 $9,510 $9,190
3/99 $9,910 $9,333
6/99 $11,120 $10,784
9/99 $10,550 $10,103
12/99 $13,677 $11,967
3/00 $14,567 $12,614
</TABLE>
<TABLE>
----------------------------------
SMALL CAP PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 46.99%
Since Inception (2/8/99) 38.90%
----------------------------------
</TABLE>
Russell 2000-Registered Trademark- Index measures the performance of the 2,000
smallest companies in the Russell 3000-Registered Trademark- Index, and
generally represents less than 20% of the total market capitalization of the
Russell 3000-Registered Trademark- Index. The
Russell 3000-Registered Trademark- Index is comprised of the 3000 largest
U.S. companies as determined by market capitalization.
PERFORMANCE REVIEW
During the 12 months ending March 31, 2000, the Small Cap Portfolio's 46.99%
return handily outpaced the 37.29% return of the benchmark Russell 2000 Index.
Careful bottom-up stock selection contributed to the Portfolio's positive
return. The Portfolio maintained larger weightings in the technology and
healthcare sectors than in the past, but still carried less exposure to these
sectors than the Russell 2000 Index. Underweighting continued in financial
services companies, since this area did not seem to offer the long-term earnings
growth potential that was sought. The Portfolio was overweighted in the consumer
discretionary sector, including companies in the retail and leisure industries,
where several opportunities were uncovered as a result of ongoing, proprietary
research.
As expected, the technology sector performed well for the period, with strong
showings from NETWORK APPLIANCE CORP., ART TECHNOLOGY GROUP INC., ENGAGE
TECHNOLOGIES INC., PROXIM INC., and POWERWAVE TECHNOLOGIES INC. However, the
real turnaround group for the year was the energy sector. Top performers in this
group included MAVERICK TUBE CORP., PRECISION DRILLING CORP. and BJ SERVICES CO.
The management team believes that these sectors will continue to outperform but
is wary of overvaluation and expects increased volatility during the remainder
of the year 2000.
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<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: Lord, Abbett & Company
Goldman Sachs Asset Management
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO MSCI EAFE INDEX
<S> <C> <C>
2/8/99 $10,000 $10,000
2/99 $9,930 $9,764
3/99 $10,340 $10,174
6/99 $10,630 $10,439
9/99 $10,900 $10,905
12/99 $12,924 $12,765
3/00 $13,583 $12,758
</TABLE>
<TABLE>
----------------------------------
INTERNATIONAL EQUITY PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<S> <C>
----------------------------------
1-Year 31.36%
Since Inception (2/8/99) 30.61%
----------------------------------
</TABLE>
The Morgan Stanley Capital International (MSCI) EAFE Index is an unmanaged index
that includes over 1,000 companies representing the stock markets of Europe,
Australia, New Zealand and the Far East. The Index is weighted by market
capitalization and therefore has a heavy representation in countries with large
stock markets, such as Japan.
PERFORMANCE REVIEW
The Portfolio posted a return of 31.36% during the year ended March 31, 2000,
significantly outperforming its benchmark, the MSCI EAFE Index which returned
25.40%.
During the reporting period, many Japanese companies began to display improving
fundamentals. Consequently, exposure to Japan was increased by investing in
companies offering relative value in a market that had seen considerable price
appreciation. The Portfolio's stocks of UK and European technology companies
performed well. Towards the end of the period, stocks of European auto component
companies struggled, following government-induced price pressure in the UK and
the rest of Europe.
While regional asset allocation contributed positively to overall returns,
currency weakness and overweighted European exposure hindered the Portfolio more
than once during the period. Stock and sector selection continued to be primary
drivers of performance. The Portfolio's positive returns were closely aligned to
"new economy" companies, particularly technology, Internet and software
companies. In addition, industrial components companies and telecommunication
companies performed well. Conversely, the abrupt rally of the consumer and
industrial sectors in the closing weeks of the period detracted from
performance, although the extent of this was limited by a partial re-allocation
to these sectors.
The managers continued to reposition the Portfolio to include more
growth-oriented information technology services companies as well as additional
software companies. They intend to maintain an overweight position in media,
telecom services, pharmaceuticals and consumer goods, and an underweight
position in capital goods and retailers.
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<PAGE>
DIVERSIFIED FIXED INCOME PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Relatively high current income and secondarily capital appreciation
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Bankers Trust Company
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROTHERS GOVERNMENT/
<S> <C> <C>
Diversified Fixed Income Portfolio Corporate Bond Index
2.08.1999 $10,000 $10,000
2.99 $9,660 $9,762
3.99 $9,940 $9,811
6.99 $9,820 $9,704
9.99 $9,850 $9,756
12.99 $9,863 $9,716
3.00 $10,061 $9,976
</TABLE>
<TABLE>
----------------------------------
DIVERSIFIED FIXED INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
<S> <C>
----------------------------------
1-Year 1.22%
Since Inception (2/8/99) 0.54%
----------------------------------
</TABLE>
The Lehman Brothers Government/Corporate Bond Index is a measure of the market
value of approximately 5,300 bonds, each with a face value currently in excess
of $1 million, which have at least one year to maturity and are rated "Baa" or
higher by a nationally recognized statistical rating organization.
PERFORMANCE REVIEW
The Portfolio returned 1.22%, just below the Lehman Brothers
Government/Corporate Bond Index return of 1.68% for the twelve months ended
March 31, 2000.
The Portfolio maintained a shorter-than-average maturity in its government
portion throughout the year. This strategy helped over the first three quarters,
but not over the last quarter as long-term rates fell, while short and
intermediate rates continued to rise. Likewise, the Portfolio's high-yield
portion also performed well over the first three quarters but weakened with the
overall high-yield market in the last fiscal quarter.
Although exposure to the spread sectors detracted from relative returns during
the reporting period, the management team still views valuations as attractive
and plans to continue to add to these sectors. However, the available supply of
corporate issues is not abundant. The managers have taken advantage of new
issuance when pricing is attractive and continue to scour dealer inventories for
securities as well. With the Federal Reserve's bias toward raising interest
rates, the managers expect to maintain their shorter maturity bias in the
government portion.
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<PAGE>
CASH MANAGEMENT PORTFOLIO
PERFORMANCE REVIEW
During the 12-month period ended March 31, 2000, three major factors combined to
push yields on short-term money market securities significantly higher:
- THE EXTRAORDINARY PERFORMANCE OF THE U.S. ECONOMY. Rapid U.S. economic growth,
record equity returns, benign inflation and the lowest unemployment rate in
nearly 30 years fueled strong consumer confidence and consumption.
- LIQUIDITY CONCERNS SURROUNDING Y2K. Driven by Y2K-related uncertainties, money
market investors and issuers believed liquidity would be scarce over year-end
1999. Consequently, more money market securities were issued, driving yields
higher. As with most other Year 2000 fears, however, these liquidity concerns
turned out to be unfounded.
- THE ACTIONS OF THE FEDERAL RESERVE BOARD. The Federal Reserve raised interest
rates in order to combat inflationary pressures. Policymakers believed that
productivity increases could not continue to counteract the potential
increases in labor costs that tight labor markets might cause. Thus, the
Federal Reserve raised the Federal funds rate five times in 25-basis-point
increments since June 1999, bringing the rate to 6.0% by the close of the
annual period -- its highest level in five years.
Although the economy continues to fire on all cylinders, signs of
commodity-induced inflation and wage pressures have not begun to show. In this
strong-growth, low-inflationary environment, policymakers appear content with a
gradualist approach for now. In expectation of further tightenings, the
Portfolio's average days to maturity should remain equal to -- or slightly
shorter than -- the Donahue average.
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<PAGE>
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<PAGE>
INDIVIDUAL PORTFOLIO REVIEWS
To help you better understand the investment management of your
SEASONS SELECT VARIABLE ANNUITY, we have included on the following
pages investment comments regarding the 15 investment portfolios of
the Seasons Series Trust, the underlying investments of your
SEASONS SELECT VARIABLE ANNUITY. Each SEASONS STRATEGY invests in a
different allocation of these underlying portfolios (not all
portfolios are included in each STRATEGY):
1. Multi-Managed Growth Portfolio
2. Multi-Managed Moderate Growth Portfolio
3. Multi-Managed Income/Equity Portfolio
4. Multi-Managed Income Portfolio
5. Asset Allocation: Diversified Growth Portfolio
6. Stock Portfolio
SEASONS SELECT PORTFOLIOS
7. Large Cap Growth Portfolio
8. Large Cap Composite Portfolio
9. Large Cap Value Portfolio
10. Mid Cap Growth Portfolio
11. Mid Cap Value Portfolio
12. Small Cap Portfolio
13. International Equity Portfolio
14. Diversified Fixed Income Portfolio
15. Cash Management Portfolio
Asset allocations for each STRATEGY, as shown in your SEASONS
SELECT prospectus, represent a "neutral asset allocation mix";
actual allocations may vary based on performance and the money
managers' evaluation of market conditions. For more information on
the composition of the SEASONS STRATEGIES as well as their
underlying portfolios, please refer to your SEASONS SELECT
prospectus.
Seasons Select Portfolios are two-thirds actively managed,
one-third passively managed. The one-third passive management is
designed to replicate the performance of the appropriate index.
Each of the remaining thirds is actively managed by experts who
bring their knowledge and experience to the security selection and
asset allocation processes.
In the following pages, we have also included graphs that compare
the portfolio's performance with certain market indices. These
graphs show the hypothetical growth of a $10,000 investment in the
Seasons Series Trust portfolio versus the same $10,000 investment
in comparable market indices, from the portfolio's inception date
through March 31, 2000. Descriptions of these market indices are
provided next to the individual graphs.
PLEASE NOTE THAT THE GRAPHS AND TABLES THAT ACCOMPANY THE FOLLOWING
INVESTMENT COMMENTS SHOW THE PERFORMANCE OF THE PORTFOLIOS AT THE
SEASONS SERIES TRUST LEVEL AND INCLUDE ALL TRUST EXPENSES, BUT NO
INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE VARIABLE ANNUITY AND
NO CONTINGENT DEFERRED SALES CHARGE. ALL DIVIDENDS ARE ASSUMED TO
BE REINVESTED. NO EXPENSES ARE DEDUCTED FROM THE PERFORMANCE OF THE
INDICES.
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<PAGE>
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