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MFS -REG-/ SUN LIFE SERIES TRUST
SEMIANNUAL REPORT - JUNE 30, 1999
BOND SERIES
GLOBAL ASSET ALLOCATION SERIES
(FORMERLY WORLD ASSET ALLOCATION SERIES)
GLOBAL GOVERNMENTS SERIES
(FORMERLY WORLD GOVERNMENTS SERIES)
GLOBAL TOTAL RETURN SERIES
(FORMERLY WORLD TOTAL RETURN SERIES)
GOVERNMENT SECURITIES SERIES
HIGH YIELD SERIES
INTERNATIONAL GROWTH AND INCOME SERIES
MFS -REGISTERED TRADEMARK-/FOREIGN & COLONIAL EMERGING
MARKETS EQUITY SERIES
MONEY MARKET SERIES
STRATEGIC INCOME SERIES
ZERO COUPON SERIES, PORTFOLIO 2000
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MFS -Registered Trademark- Original Research-SM-
Research has been central to investment management
at MFS since 1932, when we created
one of the first in-house research
departments in the mutual fund industry.
Original Research-SM- at [LOGO]
MFS is more than just crunching
numbers and creating economic
models: it's getting to know each
security and each company personally.
- -----------------------------------------------------------
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
- -----------------------------------------------------------
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LETTER FROM THE CHAIRMAN
DEAR CONTRACT OWNERS,
It has been almost two years since financial turmoil began to rock markets in
Asia, Russia, and Latin America. Even developed markets such as Europe and the
United States were not immune. In the U.S. equity market, for example, investors
focused on a narrow group of 50 of the largest-company growth stocks because
they seemed to offer less volatility in uncertain times. Fixed-income investors
also became more concerned about risk, moving money into U.S. Treasury
securities and out of corporate and municipal bonds and mortgage-backed
securities.
The narrowness of the market was just one of three broad issues that dominated
the U.S. equity market until recently. The other two were a slowdown in
corporate earnings growth and high valuations, with stocks of many companies
selling at extremely high prices relative to their earnings.
Although these have been challenging issues, we now see signs that we feel
demonstrate each one is changing for the better. Today, we believe the markets
are presenting more opportunities for investors to diversify, for our portfolio
managers to find good values, and for us to show the benefits of staying with
our long-term objectives and strategies. Investors seem to be regaining
confidence in a wider range of companies. Stocks of some small and mid-sized
companies, as well as some large industrial companies, have begun to perform
better in the past few months than they had for the previous year or so. These
companies appear to have benefited from early signs of stability in emerging
markets and a continuation of economic growth in the United States.
U.S. companies also have produced better earnings. Corporate earnings were, on
average, relatively flat in 1998. However, we expect earnings to grow 12% to 14%
this year because more companies have benefited from the strong economy and from
aggressive consolidation and cost-cutting measures they have taken over the past
several years.
Based on their earnings projections, our analysts estimate that the U.S. stock
market is still about 30% overvalued. While there has been some shift to a wider
group of stocks, many investors are still focusing on the large-company stocks.
As a result, most of the overvaluation is in the 50 largest stocks in the
Standard & Poor's 500 Composite Index (the S&P 500), a popular, unmanaged index
of common stock total return performance. That means about 450 stocks are
selling at more attractive prices, particularly given what we see as the
improved earnings outlooks for these and many small and mid-sized companies not
in the S&P 500. These companies also benefit from consolidation, cost cutting,
and global growth. Because they are smaller, they may be able to respond to
these changes more quickly, and thus they have the potential to grow faster than
the big companies.
The fixed-income markets, meanwhile, seem to be approaching the level of
relative stability they enjoyed before the Asian turmoil. Some credit for this
stability goes to the Federal Reserve Board (the Fed), which has reassured
investors that it will act to prevent rapid economic growth from causing higher
inflation and reduced purchasing power. Also, once investors saw that the
overseas turmoil had little, if any, effect on the financial strength of most
domestic bond issuers, the major non-Treasury markets -- corporate, municipal,
and mortgage -- began to rebound. Our portfolio managers are now finding more
opportunities to buy bonds with relatively stable prices and attractive yields.
The past two years have challenged investors. However, we believe we are well
positioned for the current environment because our analysts and portfolio
managers continue to rely on MFS-Registered Trademark- Original Research-SM- to
help evaluate the long-term investment potential of each holding being
considered for our portfolios. Also, we believe our discipline of staying with
our clearly defined investment strategies can help us offer investment products
with the potential to sustain returns over a variety of market cycles.
We appreciate your confidence and welcome any questions or comments you may
have.
Respectfully,
/s/ John D. McNeil
John D. McNeil
Chairman
Board of Trustees
July 15, 1999
MANAGEMENT REVIEW AND OUTLOOK
BOND SERIES
For the six months ended June 30, 1999, the Series provided a total return of
- -1.69%, which compares to a -1.73% return for the average corporate debt "BBB"-
rated fund tracked by Lipper Analytical Services, Inc., an independent firm that
reports mutual fund performance. The Series' return also compares to a -2.28%
return for the Lehman Brothers Government/Corporate Bond Index (the Lehman
Index). The Lehman Index is an unmanaged, market-value-weighted index of U.S.
Treasury and government-agency securities (excluding mortgage-backed securities)
and investment-grade debt obligations of domestic corporations.
At the beginning of 1999, the Series' performance still was being impacted
negatively by ongoing turmoil in emerging markets and last summer's Russian bond
default. Because of these events, investors moved money into what they saw as
the safest securities -- U.S. Treasuries. As a result of the higher demand,
interest rates on Treasuries fell while rates on everything else, including
emerging market and corporate debt, increased. This
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MANAGEMENT REVIEW AND OUTLOOK -- continued
sequence of events hurt the Series because we had a relatively heavy position in
corporate bonds.
In recent months, however, emerging markets have begun to rebound, and the
continuing strength of the U.S. economy, along with low U.S. inflation, is
supporting corporate bonds. The Series' largest positions are in securities of
U.S. corporations with strong and improving credit fundamentals, and we have
added to those positions recently. We also have begun to re-enter emerging
markets, but we are investing only in countries that we think have made the most
progress toward economic reform, such as Mexico and South Korea.
The Series is at its maximum exposure of 20% to high-yield securities, and we
are maintaining this weighting. Many U.S. high-yield issuers have seen increased
sales as a result of the strong economy, which has helped them maintain healthy
balance sheets and meet their debt payments. We have decreased the Series'
weightings in mortgage-backed securities and U.S. government-agency securities
because we felt there were better opportunities in the corporate market.
At roughly 25% of the portfolio, our position in cyclical industries --
businesses that can benefit from strengthening economic cycles -- is its highest
in five years. We selectively are adding holdings in cyclical industries, such
as transportation and paper, that we think will perform well if the economy
remains strong. For example, we established a position in Union Pacific
Corporation. Not only is this company increasing shipments because of general
economic growth, but it is also a turnaround story. When Union Pacific acquired
Southern Pacific a few years ago, it had a lot of logistical problems
integrating the two railroad systems. But the company seems to have fixed most
of its operational problems and has regained any business it had lost to
truckers and other railroads. We added paper and packaging companies to the
portfolio because businesses need more boxes to ship their products to
customers.
The Series also has a relatively large position in entertainment and
telecommunications, a sector in which several companies' bond ratings have moved
up from the high-yield to the investment-grade category. These companies took on
a lot of debt in the early and mid-1990s to build networks and make some big
acquisitions. Now, their networks are providing revenue, and they have reaped
the benefits of their acquisitions by cutting costs, generating more cash flow,
and paying off debt. Examples include Time Warner, which bought Turner
Broadcasting, and MCI WorldCom, the result of the takeover of MCI by WorldCom.
Looking ahead, we think the fixed-income environment could become a little more
difficult as the year progresses. The economy grew very strongly in the fourth
quarter of 1998 and the first quarter of 1999, and it will be hard to sustain
such a rapid growth rate. If there is an economic slowdown, revenues could
decrease and some companies could have trouble meeting their debt payments.
Therefore, if we see any signs of slowing in the economy, we plan to reduce our
exposure to corporates and cyclicals and go back to more traditional holdings
such as utilities.
GLOBAL ASSET ALLOCATION SERIES
For the six months ended June 30, 1999, the Series provided a total return of
3.55%, which compares to returns over the same period for the following
unmanaged indices: 12.23% for Standard & Poor's 500 Composite Index (the S&P
500), a popular, unmanaged index of common stock total return performance, 4.11%
for the Morgan Stanley Capital International (MSCI) Europe, Asia, Far East
(EAFE) Index, an unmanaged index of international stocks; -1.07% for the Lehman
Brothers Aggregate Bond Index, an index of government and corporate bonds
including U.S. Treasury, agency, corporate bond, and mortgage-backed securities;
and -9.33% for the J.P. Morgan Non-Dollar Government Bond Index, an index of
international bonds.
The Series utilizes an investment process that combines elements of both
quantitative and fundamental research in our efforts to deliver high
risk-adjusted performance. A proprietary quantitative model assists us in
determining the top-level allocation to equity and fixed-income markets around
the world. Then, within each market, we base individual security selection on
MFS-Registered Trademark- Original Research-SM-.
Throughout the first half of 1999, we maintained what we considered a defensive
posture with respect to our
top-level equity weighting. This posture was based primarily on current high
valuations prevalent throughout global equity markets, which leave valuations
extremely vulnerable to negative news. In addition, the favorable interest-rate
environment which has supported the equity markets over the past several years
has become less favorable as rates increased. Global interest rates were
generally higher at the end of the period than at the start of the year, and the
Federal Reserve Board (the Fed) recently raised the federal funds rate by 25
basis points. We believe that any sign of unsustainable economic growth or
inflation would lead to further rate increases. While we did not benefit from
this defensive posture during the first half of the year, we feel that the
current risk-reward tradeoff at these valuation levels suggests that the risk is
greater to the downside and we will eventually be rewarded. We continue to
remain well diversified with almost half of our equity assets invested outside
the United States.
With respect to the fixed-income markets, we maintained an underweight position
in U.S. Treasury securities for the better part of this year, which contributed
positively to performance as interest rates have generally been on the rise. We
have been overweight in the European government bond markets because we believe
the slow growth expectations and anticipated convergence of interest
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MANAGEMENT REVIEW AND OUTLOOK -- continued
rates in non-euro countries (for example, Denmark and Sweden) to euro rates may
benefit the portfolio. We also have held a large position in the Japanese bond
market since February. The emphasis on international bonds has contributed
positively to performance because European bond markets delivered better
performance than the U.S. bond market and the Japanese bond market has been the
best-performing government bond market so far this year. As we begin to see
signs of stronger growth in Europe and Japan, we may reduce our allocation to
international government bonds.
We have opportunistically invested in both the U.S. high yield and emerging debt
markets, tactically allocating between the high yield and emerging debt markets
in response to changing patterns of relative available reward. We emphasized
high yield bonds early in the year because they compared favorably to U.S.
Treasuries. When equity markets rebounded strongly in the fourth quarter of 1998
from the sell-off in July and August, credit markets did not recover to the same
degree and thus were undervalued coming into the start of 1999. As a result, we
captured much of the emerging market debt rally over the last several months
while managing to avoid the significant widening of spreads in May. We will
continue to seek to improve performance through relative value trades of this
nature going forward.
GLOBAL GOVERNMENTS SERIES
For the six months ended June 30, 1999, the Series provided a total return of
- -7.19%, which compares to a -7.17% return for the Salomon Brothers World
Government Bond Index (the Salomon Index), an index made up of government bonds
with remaining maturities of at least five years.
Almost all global fixed-income markets (the notable exception being Japan's)
were weak throughout the first half of 1999. By the end of 1998, bond markets
feared the worst after the emerging market crisis, and yields dramatically fell
in anticipation of a global recession. However, so far in 1999, global consumer
demand has not decreased. On the contrary, in many countries consumption is on
the increase, particularly in the United States and now in Europe.
As a result of a vibrant U.S. economy and the pick-up in global growth, the Fed
raised overnight rates by 25 basis points at the end of June, thereby partially
reversing their easing bias caused by the credit crisis of 1998. At the same
time, most other developed countries experienced higher interest rates because
their markets anticipated similar increases by central bankers.
During the first half of 1999, absolute returns for the portfolio were
negatively impacted by weak bond markets and a strong U.S. dollar. Relative to
the Salomon Index, returns were helped by our having shortened the duration of
the portfolio in anticipation of higher rates. In addition, an overweighting in
the U.S. dollar versus the euro and yen added to relative outperformance.
Relative to the Salomon Index, performance was hurt by overweight positions in
Sweden, Denmark, and a small weighting in emerging markets.
As economic growth has begun to pick up outside the United States, central
bankers have grown increasingly worried about demand/pull inflation, even though
there still appears to be little or no ability for manufacturers to increase
prices. If inflation were to become a problem, it would probably first become
apparent through wages, especially in the United States, where unemployment is
at all-time lows. Central bankers have adopted either a neutral position or a
bias toward raising interest rates in order to preempt situational inflation.
Short term, such a scenario will most likely result in higher interest rates.
Consequently, the portfolio will maintain a bias toward short duration until the
markets become more comfortable with the fact that restrictive monetary policy
is ultimately positive for bond yields in an environment with minimal inflation
pressures. The specific bond markets we think we will continue to favor will be
the larger core markets such as the United States and Germany, as well as less
developed markets such as Greece and Denmark, which are favorable candidates for
inclusion in European monetary union.
GLOBAL TOTAL RETURN SERIES
For the six months ended June 30, 1999, the Series provided a total return of
- -0.50%, which compares to a 6.23% return for the average global flexible fund
tracked by Lipper Analytical Services, Inc. The Series' return also compares to
a 9.62% return for the Lipper Global Flexible Fund Index and to a 2.01% return
for a benchmark made up of 60% of the MSCI World Index and 40% of the J.P.
Morgan Global Government Bond Index (the Morgan Index). The MSCI World Index is
a broad, unmanaged index of global equities; the Morgan Index is an aggregate of
actively traded government bonds issued by 13 countries, including the United
States, with remaining maturities of at least one year. The Lipper mutual fund
indices are unmanaged, net-asset-value-weighted indicies of the largest
qualifying mutual funds within their respective investment objectives, adjusted
for the reinvestment of capital gains distributions and income dividends.
The Series invests for total return in stocks and bonds. Our stock portfolio
emphasizes large, financially strong companies, particularly in the United
States, Japan, and Europe. Using MFS-Registered Trademark- Original
Research-SM-, we look for companies that have histories of market leadership and
strong earnings growth. On the fixed-income side, our holdings are virtually all
government-issued bonds from major European countries, the United States, and
Japan. Our philosophy is, if we need bonds to help cushion declines in the
world's stock markets, we want to hold high-quality bonds.
The Series' positions in technology stocks are lower than those of the indices,
or in the portfolios of many of our
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MANAGEMENT REVIEW AND OUTLOOK -- continued
competitors, and this has detracted from performance. The technology sector has
been one of the most
powerful areas of the stock market but, because prices of technology stocks tend
to be quite volatile, we remain underweighted in them. In addition, we had fewer
Japanese and more European holdings than our competitors. While this
underweighting in Japan has served us well for several years, it hurt us in the
past few months because Japanese stocks have made big gains and European stocks
have underperformed.
The Series has benefited from good performance by Mannesmann, a German
telecommunications company, Tyco International, a U.S. conglomerate, and Takeda
Chemical, a Japanese pharmaceutical company that does a lot of export business.
Also, we've seen strong performance by Compass, a British food services company.
We believe these are four well-run businesses with steadily growing profits.
Until recently, our U.S. holdings focused on three major sectors:
pharmaceuticals, financial services, and energy. We have reduced our positions
in the first two sectors. Although our pharmaceutical and financial services
holdings performed well, we felt their prices were high, considering their
declining earnings growth. However, we have maintained our positions in energy,
including Exxon and Royal Dutch Petroleum. This sector has performed well lately
in response to rising oil and gas prices.
In other sectors, we have eliminated some underperforming stocks and
considerably reduced our position in others. For example, our position in
Tomkins (a British conglomerate involved in factory automation, energy, baking,
transportation, and other businesses) has been eliminated. At one point, Tomkins
was one of the 10 largest holdings in the portfolio, but the company's
management recently has had problems executing its strategy.
Meanwhile, we bought Cable & Wireless in the United Kingdom, Hellenic Telecom in
Greece, and Telecom Italia Mobile in Italy. The growth in telecommunications has
helped almost all of the major companies in this industry. We also bought Banco
Popular, a Spanish bank. We believe that it's a very well-run bank but, as
European banks continue to consolidate, Banco Popular could be bought out,
possibly at a premium.
Although the European economy has been relatively strong, it began to show some
weakness earlier this year. The portfolio's weighting in Europe has stayed about
the same over the past several months, but several of the holdings have been
changed. For example, we bought Castorama-Dubois, a rapidly growing French
retailer similar to Home Depot that has benefited from increasing consumer
spending in Europe.
Looking ahead, we expect to see gains in all three major areas of the world: the
United States, Europe, and perhaps Japan. Interest rates and inflation remain
low, and the U.S. economy has grown at a strong rate. The United States may pull
along all of the other major economies, with the possible exception of Japan,
which has to do more on its own to stimulate growth.
GOVERNMENT SECURITIES SERIES
For the six months ended June 30, 1999, the Series provided a total return of
- -2.03%, which compares to a -2.67% return for the average U.S. government fund
tracked by Lipper Analytical Services, Inc. The Series' return also compares to
a -1.14% return for the Lehman Brothers Government/Mortgage Index (the Lehman
Index), an unmanaged index of U.S. Treasury, government-agency, and
mortgage-backed securities.
The interest-rate sensitivity of the Series has been about the same as that of
the Lehman Brothers Intermediate Government Bond Index (an unmanaged index
comprised of issues of the U.S. government and its agencies with remaining
maturities of less than 10 years), which has helped limit its price volatility
in a period of rising interest rates. We reduced holdings of longer-maturity
bonds because their prices would decline the most sharply if interest rates
continued to rise. However, if interest rates do rise enough to slow the economy
over the next few months, we will consider slightly increasing the Series'
long-term bond position in an effort to gain additional yield.
The Series benefited from our response to the turmoil in investment markets
following last summer's Russian bond default. Because of that event, interest
rates on non-Treasury agency securities increased dramatically, and their yield
spreads to Treasuries widened. We were able to take advantage of this situation
by adding government-agency securities at what we felt were attractive yield
levels. This has benefited the Series because interest rates on these securities
have fallen, but their prices have risen less than interest rates on
comparable-maturity Treasuries.
In the near term, we think the bond markets will continue to look for signs that
could lead to an additional interest-rate increase by the Federal Reserve Board
(the Fed). Just as the bond markets have had to adjust to stronger economic
growth in the United States, they will now have to adjust to signs of economic
stability in Asia and Latin America and signs of renewed growth in Europe. While
we believe yields on two-year Treasury securities should stay in a relatively
narrow range, yields on Treasuries
with longer maturities should reflect investor perception about economic growth.
Interest rates may increase to rein in a surging economy and quell inflation
fears if investors believe growth is too strong. However, since we believe
inflation should remain in check, we think any rate increase will be limited and
will present us with an opportunity to buy select higher-yielding securities.
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MANAGEMENT REVIEW AND OUTLOOK -- continued
HIGH YIELD SERIES
For the six months ended June 30, 1999, the Series provided a total return of
5.02%, which compares to a return of 3.56% for the average high current yield
fund tracked by Lipper Analytical Services, Inc. The Series' return also
compares to a 2.20% return for the Lehman Brothers High Yield Bond Index, an
unmanaged index of noninvestment-grade corporate debt, and to a 3.85% return for
the Lipper High Yield Bond Fund Index.
The Series has benefited from a favorable economic environment for high-yield
securities -- specifically, moderate economic growth and low inflation in the
United States. The continued strength of the U.S. economy in 1999 has helped
strengthen investor confidence in the high-yield market as companies generally
have posted improved operating results.
However, the Series' slight underweighting in the energy sector, plus the fact
that we owned higher-quality bonds within that sector, detracted from
performance. As oil prices rose recently, we missed the bond price rally by
medium-quality energy companies. At the same time, however, our focus on
high-quality issuers meant that we avoided the numerous bankruptcies among the
low-rated, high-yield energy companies earlier in the year.
We believe the telecommunications sector still offers the best investment
opportunities in the high-yield market. Since the deregulation of this industry
in 1996, several companies have issued high-yield bonds to help fund the
development of their communications networks. These companies have benefited
from the tremendous increase in voice and data traffic, which was driven in part
by the growth in Internet usage. Examples include MetroNet, a dominant
competitive local exchange company in Canada. Bonds issued by MetroNet
appreciated when it was announced that the company would merge with AT&T Canada,
an investment-grade company with considerably better financial resources.
Finally, our position in Nextel Communication, a company that provides wireless
telecommunications services, rose in value after Microsoft announced that it
would invest $600 million in the company.
The Series' second-largest industry is media. We have been investing in cable
companies since the mid-1980s. On its own, we think cable is a good, defensive
industry that tends to have steady revenue streams through varying economic
conditions. Now, cable television systems are being recognized as efficient ways
to deliver high-speed Internet services to the home, which makes this industry
even more attractive to us. An example of our cable television holdings is
Charter Communications.
The Series' overseas holdings are primarily in Europe, where our focus is the
same as on our domestic holdings. We like telecommunications and media companies
such as Esprit Telecom, a U.K.-based telecommunications company. Europe was
slower to deregulate these industries than the United States, but we now are
seeing more bonds being issued by cable and telecommunications companies in
Germany, France, Spain, and the United Kingdom.
INTERNATIONAL GROWTH AND INCOME SERIES
For the six months ended June 30, 1999, the Series provided a total return of
- -0.49%, which compares to returns of 6.90% for the Lipper International Funds
Index and 4.11% for the MSCI EAFE Index.
The Series' underweighting in Japan and our holdings in Europe hurt performance.
We were underweighted in Japan because we did not find enough companies that we
thought had favorable earnings growth outlooks. However, for the past several
months the Japanese stock market has performed very well, thanks in large part
to the influx of foreign money.
We will continue to be cautious on Japan until we see concrete signs of its
recovery. Lower interest rates have helped, but fundamental reforms of the
financial system are still needed. We are, however, maintaining positions in
some Japanese companies, particularly those with global franchises, such as
Canon, an electronic and photographic equipment manufacturer, and Takeda
Chemical,
a pharmaceutical company. These companies have production and distribution
facilities around the world,
so they do not need a vibrant Japanese economy to
be profitable. We also have positions in companies
attempting "western-style" restructurings.
Meanwhile, although the benefits of European monetary union (EMU) are taking
longer to develop than expected, we believe the common currency will in time
make European companies more competitive and profitable because they will have
to cut costs and be more efficient if they want to gain market share across
borders. Some European companies in the portfolio already seem to
be well on their way to achieving this goal, including Compass, a British food
services company, Pinault-Printemps, a major French department store chain, and
Mannesmann, a German metal-fabricating company that has turned itself into one
of the leading cellular telephone companies in Europe.
The Series has a very small exposure to emerging markets because it emphasizes
high-quality companies producing steady earnings, and emerging market stocks
tend to be quite volatile. We do own Panamerican Beverages, a Mexican bottling
company with plants throughout Latin America. We think Panamerican should be
able to capitalize on the region's emergence from recession.
Among U.S. holdings, Tyco International continues to perform well. The company
has made several good acquisitions and, through consolidation and cost cutting,
has gotten excellent value out of those acquisitions. We also like American
International Group (AIG), a large
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MANAGEMENT REVIEW AND OUTLOOK -- continued
multiline insurance company that we expect to be one of the first U.S. financial
services firms to benefit from the rebound of Asian markets. Other American
financial services companies are just getting their feet wet in the Far East,
but AIG has been involved in that region for several decades.
Going forward, we think there will be some economic slowing in the second half
of the year. Because of continued economic growth in the United States and
renewed growth in emerging markets, bond investors have put upward pressure on
interest rates to help compensate for the potential effects of inflation. Higher
interest rates could mean slower economic growth as well as reduced revenues for
some companies in the portfolio. But, whatever happens, we will continue to
select stocks based on companies' individual merits and long-term business
outlooks; macroeconomic considerations will be secondary.
MFS-REGISTERED TRADEMARK-/FOREIGN & COLONIAL EMERGING MARKETS EQUITY SERIES
For the six months ended June 30, 1999, the Series provided a total return of
29.24%. This compares to a 38.41% return for the MSCI Emerging Markets Free
(EMF) Index, a broad, unmanaged, market-capitalization-weighted index of
equities in emerging markets, and to a 35.10% return for the Lipper Emerging
Markets Funds Index.
The crisis in Russia in August of 1998, which triggered a widespread decline in
global financial markets, was the most significant factor in the Series' recent
underperformance. Although our weighting in Russia at the time made up less than
5% of the Series' total assets, the Russian government's decision to default on
its domestic debt and devalue the ruble had a broad negative impact on emerging
market investments.
However, once the immediate impact of the Russian crisis passed, investors
noticed that economic reforms were contributing to a gradual recovery in Asia.
Markets in the region began to rebound in the fourth quarter of 1998 following
their decline over the previous 18 months. This rebound triggered a wider
recovery in emerging markets, particularly in Asia and Latin America. The
rebound also was aided by central bankers around the world, who aggressively cut
interest rates last year in an effort to keep credit available. The excess
liquidity created by cheaper credit is now finding its way into emerging stock
markets. Also, commodity prices, led by oil, have recovered significantly in the
past few months, and emerging markets that depend on commodity exports have
benefited. Finally, we think there are now signs that U.S. economic growth is
accelerating and that the Japanese economy is beginning to recover thanks to
government spending that has boosted consumer and business demand.
The most recent catalyst for the improvement in emerging markets was the
devaluation of the Brazilian currency in January, which led to additional flows
of capital. We also have seen further evidence of an Asian recovery, especially
in South Korea and Thailand, where governments have taken aggressive measures to
reform their financial markets and curtail speculative development.
Because of what we see as an improved Asian investment climate, we have shifted
away from Europe, the Middle East, and Africa and toward Asia. We did this
because the former markets have not shown the signs of recovery we have seen in
Asia and because we believe there are more investment opportunities in Asia.
Specifically, we have added to our positions in South Korea, the Philippines,
Thailand, and Singapore. In South Korea, Pohang Iron and Steel is a major
holding that we believe will benefit from its strong global position in the
steel sector.
In Latin America, we have major positions in Brazil and Mexico. In Brazil, we
believe the utilities sector remains attractive due to steady earnings and cheap
prices relative to cash flow. A major Brazilian holding continues to be Telesp
Participacoes, a telecommunications company.
Looking ahead, we believe emerging market economies are beginning to benefit
from the aggressive fiscal and economic reforms most of them undertook in the
past year or so. However, we believe the near-term potential for corporate
earnings growth is greater in some of these markets than in others. Our outlook
is reflected in the portfolio's allocation to South Korea, Thailand, and Brazil.
We believe they should benefit from global investors' renewed interest in the
asset class.
MONEY MARKET SERIES
Interest rates on short-term (90-day) securities increased approximately 35
basis points between December 31, 1998, and June 30, 1999. The federal funds
rate began 1999 at 4.75%. On June 30 1999, the Federal Reserve Board (the Fed)
raised that rate by 25 basis points. Because of this, we targeted 35 days for
the average maturity.
We continue to limit the Series' investments to securities issued or guaranteed
by the U.S. Treasury, agencies, or instrumentalities of the U.S. government, as
well as to the highest-quality corporate and bank issues, in order to provide
maximum security against credit risk. On June 30, 1999, approximately 48% of the
portfolio was invested in commercial paper, with the balance invested in U.S.
government or government-guaranteed issues.
We expect short-term interest rates to remain flat to slightly higher over the
next few months.
Investments in the Series are not insured or guaranteed by the Federal Deposit
Insurance Corp. or any other government agency. Although the Series seeks to
6
<PAGE>
MANAGEMENT REVIEW AND OUTLOOK -- continued
preserve the value of your investment at $1.00 per share, it is possible to lose
money by investing in the Series.
STRATEGIC INCOME SERIES
For the six months ended June 30, 1999, the Series provided a total return of
2.06%, which compares to a 0.82% return for the average multisector income fund
tracked by Lipper Analytical Services, Inc. The Series' return also compares to
the following unmanaged indices: -2.28% for the Lehman Brothers
Government/Corporate Bond Index (the Lehman Index), -7.17% for the Salomon
Index, and 2.82% for the Credit Suisse First Boston High Yield Index (the Credit
Suisse Index). The Lehman Index is weighted by market value and consists of all
U.S. Treasury and U.S. government-agency debt and of all publicly issued
fixed-rate, nonconvertible, investment-grade domestic corporate debt. The Credit
Suisse Index is a portfolio priced by traders to mirror the performance of the
high-yield debt market.
The Series seeks to provide a competitive yield and to capitalize on what we
believe are the most favorable opportunities among a diversified range of
government and corporate fixed-income markets in the United States and overseas.
Over the past few months, we have increased our percentage of assets dedicated
to corporate bonds, reflecting our confidence in the momentum of the U.S.
economy. Also, we have increased our cash position because concerns about
interest-rate increases by the Fed have rattled the bond markets.
The Series' emerging market debt holdings and high-yield corporate bonds have
contributed to performance. Toward the end of last year, we began to see signs
of recovery in emerging markets and selectively bought bonds from these markets
at attractive prices. Since then, bond prices have increased steadily as
countries such as Thailand have taken meaningful steps toward economic reform.
Also, the Latin American recession was not as bad as people feared. There had
been concern that Brazil was going to default on its debt. That didn't happen,
primarily because the Brazilian government undertook important economic reforms
while keeping inflation in check. Also, the continued strength of the U.S.
economy in 1999 has helped the high-yield market rebound. Investor confidence in
this market is once again high as companies issuing high-yield bonds can
generate revenue and meet their debt payments.
The Series' corporate bonds also have helped performance. After last summer's
liquidity crisis in certain bond markets, investor concern about risk increased,
leading to an aggressive sell-off of high-yield and high-grade corporate bonds.
One sector that was hurt was convertible bonds, which can be exchanged into
stock of the companies that issue them. Because of the sell-off, many
convertible bonds fell to prices that were less than stock values. We took this
opportunity to buy select convertible bonds at what we viewed as attractive
prices, including Colt Telecom Systems in the United Kingdom, Singapore
Telecommunications, and Silicon Graphics in the United States, a company that
makes systems to produce 3-D computer images. All of these companies have strong
businesses, and their bonds performed very well after we bought them. We have
since sold all three positions because we felt their prices were at a point that
reflected the companies' full values.
At this time, we think the environment is still very favorable for bonds. The
European Central Bank recently lowered short-term interest rates by half a
percentage point. That pressured the rest of the world to lower -- or at least
not raise -- rates. In the United States, high productivity and steady economic
growth suggest that inflation is well contained. Inflation-adjusted interest
rates in the United States are high compared to other countries, which
means there is still room for U.S. rates to come down. We think bond prices in
the corporate and emerging market sectors could advance further because their
prices declined excessively as the result of last year's crisis.
ZERO COUPON SERIES, PORTFOLIO 2000
For the six months ended June 30, 1999, the Series provided a total return of
0.97%. Intermediate-term U.S. Treasury notes moved higher during the period,
with yields on two-year Treasuries ranging from 4.40% to 5.75%. The portfolio
consists of discounted coupon or principal payments that are stripped from U.S.
Treasury securities in order to provide a predictable and compounded rate of
return. With no interest payments prior to maturity, these portfolios are more
sensitive to interest-rate changes than comparable bond funds with similar
maturities. While there will be fluctuations within the portfolio subject to
interest-rate moves, all portfolio holdings are guaranteed by the U.S. Treasury
at maturity. (While the guarantees do not apply to the individual units of the
Series, they assure a specified return to contract owners who hold their units
to the maturity of the Series.)
------------------------
The opinions expressed in this report are those of the portfolio managers and
are current only through the end of the period of the report as stated on the
cover. The managers' views are subject to change at any time based on market and
other conditions, and no forecasts can be guaranteed.
It is not possible to invest directly in an index.
Except for the Zero Coupon Series, Portfolio 2000, all of the portfolios are
actively managed, and current holdings may be different.
7
<PAGE>
PERFORMANCE SUMMARY
Because MFS-Registered Trademark-/Sun Life Series Trust is designed for
investors with long-term goals, we have provided cumulative results as well as
the average annual total returns for the applicable time periods. (See Notes to
Performance Summary for more information.)
AVERAGE ANNUAL AND CUMULATIVE TOTAL RATES OF RETURN THROUGH JUNE 30, 1999
BOND SERIES
<TABLE>
<S> <C> <C> <C>
6 Months 1 Year Life*
- ---------------------------------------------------------------
Cumulative Total Return -1.69% +3.03% +5.09%
- ---------------------------------------------------------------
Average Annual Total Return -- +3.03% +4.41%
- ---------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 6, 1998, through June 30, 1999.
GLOBAL ASSET ALLOCATION SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------
Cumulative Total Return +3.55% +0.49% +29.04% +68.26%
- -------------------------------------------------------------------
Average Annual Total Return -- +0.49% + 8.87% +12.62%
- -------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1999.
GLOBAL GOVERNMENTS SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------
Cumulative Total Return -7.19% +5.49% +11.90% +32.38% +106.29%
- ------------------------------------------------------------------------
Average Annual Total
Return -- +5.49% + 3.82% + 5.77% + 7.51%
- ------------------------------------------------------------------------
</TABLE>
GLOBAL TOTAL RETURN SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------
Cumulative Total Return -0.50% +6.08% +45.21% +81.15%
- -------------------------------------------------------------------
Average Annual Total Return -- +6.08% +13.24% +13.64%
- -------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
November 7, 1994, through June 30, 1999.
GOVERNMENT SECURITIES SERIES(1)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------
Cumulative Total Return -2.03% +2.48% +20.65% +40.08% +106.59%
- ------------------------------------------------------------------------
Average Annual Total
Return -- +2.48% + 6.46% + 6.97% + 7.53%
- ------------------------------------------------------------------------
</TABLE>
HIGH YIELD SERIES(2)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------
Cumulative Total Return +5.02% +0.31% +30.22% +58.17% +143.56%
- ------------------------------------------------------------------------
Average Annual Total
Return -- +0.31% +9.20% +9.60% +9.31%
- ------------------------------------------------------------------------
</TABLE>
INTERNATIONAL GROWTH AND INCOME SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------
Cumulative Total Return -0.49% +1.19% +29.61% +37.00%
- -------------------------------------------------------------------
Average Annual Total Return -- +1.19% + 9.03% + 8.77%
- -------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
October 2, 1995, through June 30, 1999.
MFS-REGISTERED TRADEMARK-/FOREIGN & COLONIAL EMERGING MARKETS EQUITY SERIES(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------
Cumulative Total Return +29.24% +9.75% -0.12% -0.03%
- -------------------------------------------------------------------
Average Annual Total Return -- +9.75% -0.04% -0.01%
- -------------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
June 5, 1996, through June 30, 1999.
STRATEGIC INCOME SERIES(2)
<TABLE>
<CAPTION>
6 Months 1 Year Life*
<S> <C> <C> <C>
- ---------------------------------------------------------------
Cumulative Total Return +2.06% +1.36% +2.47%
- ---------------------------------------------------------------
Average Annual Total Return -- +1.36% +2.14%
- ---------------------------------------------------------------
</TABLE>
*For the period from the commencement of the Series' investment operations,
May 6, 1998, through June 30, 1999.
ZERO COUPON SERIES, PORTFOLIO 2000
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------
Cumulative Total Return +0.97% +5.19% +20.77% +41.20% +118.63%
- ------------------------------------------------------------------------
Average Annual Total
Return -- +5.19% + 6.49% + 7.14% + 8.14%
- ------------------------------------------------------------------------
</TABLE>
NOTES TO PERFORMANCE SUMMARY
All results are historical and assume the reinvestment of dividends and capital
gains. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, AND UNITS, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NO GUARANTEE OF FUTURE RESULTS. Performance results reflect any applicable
expense subsidies and waivers, without which the results would have been less
favorable. Subsidies and waivers may be rescinded at any time. See the
prospectus for details.
RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF THE MORTALITY AND EXPENSE RISK
CHARGES AND ADMINISTRATION FEES. PLEASE REFER TO THE ANNUITY PRODUCT'S ANNUAL
REPORT FOR PERFORMANCE THAT REFLECTS THE DEDUCTION OF THE FEES AND CHARGES
IMPOSED BY INSURANCE COMPANY SEPARATE ACCOUNTS.
(1) Government guarantees apply to individual securities only and not to prices
and yields of units in a managed portfolio. See the prospectus for details.
(2) Lower-rated securities may provide greater returns, but they are also
associated with greater-than-average risk. These risks may increase unit
price volatility. See the prospectus for details.
(3) Investments in foreign and emerging market securities may provide superior
returns but also involve greater risk than U.S. investments. Investments in
foreign and emerging market securities may be favorably or unfavorably
affected by changes in interest rates and currency exchange rates, market
conditions, and the economic and political conditions of the countries where
investments are made. These risks may increase unit price volatility. See
the prospectus for details.
8
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 1999
Bond Series
Bonds -- 90.9%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- 88.7%
AIRLINES -- 3.0%
Atlas Air, Inc., 7.2s, 2019 ............ $ 95 $ 84,883
Continental Airlines Pass Through Trust,
6.545s, 2019 ......................... 200 188,568
Delta Airlines, Inc., 6.65s, 2004 ...... 639 626,610
Northwest Airlines Pass Through Trust,
7.575s, 2019 ......................... 107 104,973
Northwest Airlines, Inc., 7.625s,
2005 ................................. 10 9,149
Northwest Airlines, Inc., 8.52s,
2004 ................................. 110 105,765
Northwest Airlines, Inc., 8.7s, 2007 ... 2 1,908
----------------
$ 1,121,856
----------------
APPAREL AND TEXTILES -- 0.5%
Jones Apparel Group, Inc., 6.25s,
2001 ................................. $ 5 $ 4,981
Jones Apparel Group, Inc., 7.875s,
2006## ............................... 188 187,739
----------------
$ 192,720
----------------
AUTOMOTIVE -- 4.1%
Federal Mogul Corp., 7.5s, 2004 ........ $ 290 $ 281,097
Federal Mogul Corp., 7.75s, 2006 ....... 200 191,502
Ford Motor Credit Co., 5.75s, 2004 ..... 250 241,263
Lear Corp., 7.96s, 2005## .............. 595 577,138
TRW, Inc., 6.625s, 2004## .............. 262 256,372
----------------
$ 1,547,372
----------------
BANKS AND CREDIT COMPANIES -- 7.7%
Aristar, Inc., 5.85s, 2004 ............. $1,000 $ 966,670
Bank United Corp., 8s, 2009 ............ 468 453,810
Bayerische Landesbank NY, 5.875s,
2008 ................................. 71 65,882
Capital One Financial Corp., 7.25s,
2003 ................................. 699 686,426
Colonial Bank Corp., 8s, 2009 .......... 178 168,908
Providian Capital I, 9.525s, 2027## .... 71 67,346
Providian National Bank, 6.65s, 2004 ... 250 241,683
Riggs National Corp., 9.65s, 2009 ...... 250 266,467
----------------
$ 2,917,192
----------------
BROADCASTING -- 0.5%
Liberty Media Corp., 7.875s, 2009## .... $ 190 $ 188,868
----------------
BUILDING -- 1.3%
Building Materials Corp., 8s, 2008 ..... $ 510 $ 475,575
----------------
CHEMICALS -- 2.1%
Dow Capital B V, 9s, 2010 .............. $ 135 $ 153,101
Lyondell Chemical Co., 9.625s,
2007## ............................... 570 583,537
Lyondell Chemical Co., 9.875s,
2007## ............................... 62 63,163
----------------
$ 799,801
----------------
CONSUMER GOODS AND SERVICES -- 0.9%
Protection One Alarm Monitoring, Inc.,
7.375s, 2005 ......................... $ 35 $ 33,927
RJR Nabisco, Inc., 7.75s, 2006## ....... 290 287,373
----------------
$ 321,300
----------------
CORPORATE ASSET BACKED -- 0.6%
Amresco Residential Securities Mortgage
Loan, 5.94s, 2015 .................... $ 91 $ 90,488
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
CORPORATE ASSET BACKED -- continued
Contimortgage Home Equity Loan Trust,
6.19s, 2014 .......................... $ 125 $ 123,241
----------------
$ 213,729
----------------
ENTERTAINMENT -- 3.0%
Time Warner, Inc., 8.375s, 2033 ........ $ 469 $ 509,953
Time Warner, Inc., 10.15s, 2012 ........ 515 633,337
----------------
$ 1,143,290
----------------
FINANCE -- 0.4%
Green Tree Financial Corp., 10.25s,
2002 ................................. $ 132 $ 138,699
----------------
FINANCIAL INSTITUTIONS -- 6.5%
Associates Corp., 5.75s, 2003 .......... $ 500 $ 486,340
Donaldson Lufkin & Jenrette, 6.15s,
2004 ................................. 121 117,975
General Motors Acceptance Corp., 6.85s,
2004 ................................. 402 401,313
Goldman Sachs Group, Inc., 6.625s,
2004## ............................... 90 89,364
Goldman Sachs Group, Inc., 6.65s,
2009 ................................. 185 178,390
GS Escrow Corp., 6.75s, 2001 ........... 49 48,401
GS Escrow Corp., 7.125s, 2005 .......... 409 393,921
Lehman Brothers Holdings, Inc., 6.375s,
2001 ................................. 115 114,513
Lehman Brothers Holdings, Inc., 7s,
2003 ................................. 421 418,369
Natexis AMBS Co. LLC, 8.44s, 2049## .... 197 190,105
----------------
$ 2,438,691
----------------
FOOD AND BEVERAGE PRODUCTS -- 0.5%
Coca Cola Bottling Co., 6.375s, 2009 ... $ 206 $ 193,862
----------------
FOREST AND PAPER PRODUCTS -- 1.8%
Georgia Pacific Corp., 7.25s, 2028 ..... $ 130 $ 121,758
Georgia Pacific Corp., 9.95s, 2002 ..... 455 495,227
Riverwood International Corp., 10.25s,
2006 ................................. 60 60,600
----------------
$ 677,585
----------------
GAMING AND HOTELS -- 0.6%
Harrahs Operating, Inc., 7.5s, 2009 .... $ 211 $ 204,489
----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 5.7%
GNMA TBA, 7s, 2028 ..................... $1,041 $ 1,027,049
GNMA TBA, 7.5s, 2027 ................... 1,092 1,102,020
----------------
$ 2,129,069
----------------
GAS -- 1.9%
Northern Natural Gas Co., 7s, 2011## ... $ 741 $ 721,741
----------------
INSURANCE -- 0.5%
Aflac, Inc., 6.5s, 2009 ................ $ 209 $ 200,638
Conseco, Inc., 6.4s, 2001 .............. 3 2,931
----------------
$ 203,569
----------------
MEDICAL AND HEALTH PRODUCTS
Bausch & Lomb, Inc., 6.5s, 2005 ........ $ 10 $ 9,468
----------------
</TABLE>
9-BDS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
OIL SERVICES -- 1.4%
McDermott, Inc., 9.375s, 2002 .......... $ 319 $ 332,210
Petroleum Geo Services ASA, 6.25s,
2003 ................................. 195 189,013
----------------
$ 521,223
----------------
OILS -- 2.4%
Husky Oil Ltd., 8.9s, 2028 ............. $ 14 $ 13,201
Occidental Petroleum Corp., 6.5s,
2005 ................................. 149 143,809
Occidental Petroleum Corp., 6.75s,
2002 ................................. 176 174,483
Oryx Energy Corp., 8.375s, 2004 ........ 155 162,521
Phillips Petroleum Co., 7s, 2029 ....... 452 426,236
----------------
$ 920,250
----------------
RAILROADS -- 0.6%
Union Pacific Corp., 6.34s, 2003 ....... $ 231 $ 227,466
----------------
STORES -- 4.2%
Ahold Finance, Inc., 6.25s, 2009 ....... $ 59 $ 55,571
Dillards, Inc., 7.13s, 2018 ............ 10 9,262
Kohls Corp., 7.25s, 2029## ............. 209 202,782
Rite Aid Corp., 6s, 2003## ............. 136 129,400
Rite Aid Corp., 7.125s, 2007 ........... 225 219,168
Saks, Inc., 7.25s, 2004 ................ 402 402,845
Saks, Inc., 8.25s, 2008 ................ 553 581,391
----------------
$ 1,600,419
----------------
SUPERMARKETS -- 1.8%
Safeway, Inc., 5.875s, 2001 ............ $ 700 $ 692,531
----------------
TELECOMMUNICATIONS -- 6.9%
Cable & Wireless Communications, 6.75s,
2008 ................................. $ 146 $ 140,541
Cable & Wireless Optus, 8.125s,
2009## ............................... 145 146,725
Charter Communications Holdings, 8.25s,
2007## ............................... 500 476,250
Comcast Cable Communications, 8.375s,
2007 ................................. 174 186,351
Comcast Cable Communications I, 6.2s,
2008 ................................. 123 114,405
Global Crossings Holdings Ltd., 9.625s,
2008 ................................. 649 700,920
Hyperion Telecommunications, 12s,
2007## ............................... 35 35,350
MCI WorldCom, Inc., 6.95s, 2028 ........ 59 55,929
Qwest Communications International,
Inc., 7.5s, 2008 ..................... 50 49,994
Sprint Capital Corp., 6.9s, 2019 ....... 171 158,343
TCI Communications Financing III, 9.65s,
2027 ................................. 425 480,938
Telecomunicaciones De Puerto Rico,
6.65s, 2006## ........................ 72 69,504
----------------
$ 2,615,250
----------------
U.S. FEDERAL AGENCIES -- 4.8%
Federal Home Loan Bank, 5.7s, 2009 ..... $1,340 $ 1,257,506
Federal Home Loan PC, 6.5s, 2029 ....... 560 540,193
----------------
$ 1,797,699
----------------
U.S. TREASURY OBLIGATIONS -- 15.3%
U.S. Treasury Bonds , 5.25s,
2028-2029 ............................ $2,550 $ 2,275,731
U.S. Treasury Bonds, 6.125s, 2027 ...... 114 113,234
U.S. Treasury Bonds, 9.875s, 2015 ...... 1,397 1,906,472
U.S. Treasury Notes, 5.25s, 2004 ....... 813 798,903
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
U.S. TREASURY OBLIGATIONS -- continued
U.S. Treasury Notes, 5.5s, 2009 ........ $ 345 $ 337,020
U.S. Treasury Notes, 6.5s, 2005 ........ 25 25,770
U.S. Treasury Notes, 7.25s, 2004 ....... 310 329,527
----------------
$ 5,786,657
----------------
UTILITIES -- ELECTRIC -- 8.0%
Beaver Valley Funding Corp. II, 9s,
2017 ................................. $ 500 $ 548,650
CalEnergy Co., Inc., 7.52s, 2008 ....... 10 10,047
CalEnergy Co., Inc., 8.48s, 2028 ....... 59 62,964
Cleveland Electric Illuminating Co., 9s,
2023 ................................. 281 303,809
CMS Energy Corp., 7.5s, 2009 ........... 450 427,460
CMS Energy Corp., 8s, 2001 ............. 102 101,604
Connecticut Light & Power Co., 7.875s,
2001 ................................. 195 199,072
Entergy Mississippi, Inc., 6.2s, 2004 .. 124 120,492
GGIB Funding Corp., 7.43s, 2011 ........ 22 21,855
Gulf States Utilities Co., 8.21s,
2002 ................................. 87 89,279
Niagara Mohawk Power Corp., 0s to 2003,
8.5s to 2010 ......................... 300 222,126
Northeast Utilities, 8.58s, 2006 ....... 8 7,788
RGS Aegco Funding Corp., 9.81s, 2022 ... 400 477,496
Salton Sea Funding Corp., 7.84s,
2010 ................................. 40 41,768
Toledo Edison Co., 7.875s, 2004 ........ 160 162,696
TXU Eastern Funding Co., 6.45s,
2005## ............................... 74 71,485
Waterford 3 Funding Entergy Corp.,
8.09s, 2017 .......................... 162 163,465
----------------
$ 3,032,056
----------------
UTILITIES -- GAS -- 1.7%
CE Generation LLC, 7.416s, 2018## ...... $ 360 $ 344,052
Marlin Water Trust & Capital, 7.09s,
2001## ............................... 302 303,253
----------------
$ 647,305
----------------
Total U.S. Bonds ...................................... $ 33,479,732
----------------
FOREIGN BONDS -- 2.2%
BRAZIL -- 0.4%
Federal Republic of Brazil, 8s, 2014 ... $ 116 $ 74,783
Federal Republic of Brazil, 11.625s,
2004 ................................. 85 79,160
----------------
$ 153,943
----------------
COSTA RICA -- 0.3%
Republic of Costa Rica, 9.335s,
2009## ............................... $ 111 $ 108,225
----------------
FINLAND -- 0.3%
UPM Kymmene Corp., 7.45s, 2027 (Forest
and Paper Products)## ................ $ 140 $ 131,967
----------------
MEXICO -- 0.3%
United Mexican States, 9.75s, 2005 ..... $ 35 $ 35,525
United Mexican States, 10.375s, 2009 ... 85 86,700
----------------
$ 122,225
----------------
PANAMA -- 0.1%
Republic of Panama, 4s, 2014 ........... $ 45 $ 32,963
----------------
PHILIPPINES -- 0.3%
Republic of Philippines, 9.875s,
2019 ................................. $ 111 $ 108,780
----------------
</TABLE>
10-BDS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
FOREIGN BONDS -- continued
<S> <C> <C>
SOUTH KOREA -- 0.5%
Export-Import Bank Korea, 7.1s, 2007
(Banks and Credit Cos.) .............. $ 136 $ 134,436
Republic of South Korea, 8.875s,
2008 ................................. 35 36,540
----------------
$ 170,976
----------------
Total Foreign Bonds ................................... $ 829,079
----------------
Total Bonds
(Identified Cost, $35,180,686) ...................... $ 34,308,811
----------------
SHORT-TERM OBLIGATIONS -- 10.3%
Federal Home Loan Bank, due 7/01/99 .... $1,900 $ 1,900,000
Federal Home Loan Bank, due 7/07/99 .... 2,000 1,998,326
----------------
Total Short-Term Obligations, at Amortized Cost ....... $ 3,898,326
----------------
Total Investments
(Identified Cost, $39,079,012) ...................... $ 38,207,137
----------------
OTHER ASSETS,
LESS LIABILITIES -- (1.2)% (461,711)
----------------
Net Assets -- 100.0% .................................. $ 37,745,426
----------------
----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
GLOBAL ASSET ALLOCATION SERIES
STOCKS -- 57.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- 29.2%
ADVERTISING -- 0.2%
Young & Rubicam, Inc. .................. 5,200 $ 236,275
---------------
AEROSPACE -- 0.6%
General Dynamics Corp. ................. 2,700 $ 184,950
United Technologies Corp. .............. 7,400 530,488
---------------
$ 715,438
---------------
BANKS AND CREDIT COMPANIES -- 0.1%
Northern Trust Corp. ................... 1,600 $ 155,200
---------------
BIOTECHNOLOGY -- 0.4%
Guidant Corp. .......................... 9,100 $ 468,081
---------------
BUSINESS MACHINES -- 0.2%
Sun Microsystems, Inc.* ................ 3,600 $ 247,950
---------------
BUSINESS SERVICES -- 1.9%
Affiliated Computer Services, Inc.,
"A"* ................................. 13,300 $ 673,312
Ask Jeeves, Inc. ....................... 50 700
Ceridian Corp.* ........................ 12,000 392,250
Computer Sciences Corp.* ............... 4,100 283,669
Concord EFS, Inc.* ..................... 1,100 46,544
DST Systems, Inc.* ..................... 3,500 220,062
First Data Corp. ....................... 8,100 396,394
Policy Management Systems Corp.* ....... 1,900 57,000
SunGard Data Systems, Inc.* ............ 4,800 165,600
---------------
$ 2,235,531
---------------
CELLULAR TELEPHONES -- 0.2%
Sprint Corp. (PCS Group)* .............. 4,900 $ 279,913
---------------
COMPUTER SOFTWARE -- PERSONAL
COMPUTERS -- 1.3%
Microsoft Corp.* ....................... 16,800 $ 1,515,150
---------------
COMPUTER SOFTWARE -- SERVICES -- 0.5%
Compuware Corp.* ....................... 10,000 $ 318,125
EMC Corp.* ............................. 5,600 308,000
Worldgate Communications, Inc.* ........ 100 5,125
---------------
$ 631,250
---------------
COMPUTER SOFTWARE -- SYSTEMS -- 1.8%
Ariba, Inc.* ........................... 50 $ 4,863
BMC Software, Inc.* .................... 6,920 373,680
Cadence Design Systems, Inc.* .......... 8,900 113,475
Computer Associates International,
Inc. ................................. 7,900 434,500
Informatica Corp.* ..................... 50 1,781
Oracle Corp.* .......................... 27,875 1,034,859
Redback Networks, Inc.* ................ 50 6,278
Synopsys, Inc.* ........................ 4,000 220,750
USinternetworking, Inc.* ............... 100 4,200
---------------
$ 2,194,386
---------------
CONSUMER GOODS AND SERVICES -- 3.5%
Clorox Co. ............................. 1,500 $ 160,219
Colgate-Palmolive Co. .................. 4,200 414,750
Galileo International, Inc. ............ 8,200 438,188
Gillette Co. ........................... 10,700 438,700
Newell Rubbermaid, Inc. ................ 9,100 423,150
Tyco International Ltd. ................ 24,258 2,298,445
---------------
$ 4,173,452
---------------
ELECTRICAL EQUIPMENT -- 0.2%
Thomas & Betts Corp. ................... 4,100 $ 193,725
---------------
</TABLE>
11-GAA
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
ELECTRONICS -- 1.7%
Altera Corp.* .......................... 3,000 $ 110,437
Analog Devices, Inc.* .................. 15,300 767,869
GlobeSpan, Inc.* ....................... 50 1,988
Kulicke & Soffa Industries, Inc.* ...... 7,400 198,412
LSI Logic Corp.* ....................... 9,800 452,025
Motorola, Inc. ......................... 2,600 246,350
Teradyne, Inc.* ........................ 3,100 222,425
---------------
$ 1,999,506
---------------
ENTERTAINMENT -- 2.9%
CBS Corp.* ............................. 7,000 $ 304,063
Clear Channel Communications, Inc.* .... 6,365 438,787
Comcast Corp., "A" ..................... 10,800 415,125
Infinity Broadcasting Corp.* ........... 14,800 440,300
MediaOne Group, Inc.* .................. 7,100 528,062
Time Warner, Inc. ...................... 12,200 896,700
Univision Communications, Inc.* ........ 1,800 118,800
Walt Disney Co. ........................ 10,100 311,206
---------------
$ 3,453,043
---------------
FINANCIAL INSTITUTIONS -- 1.7%
American Express Co. ................... 1,700 $ 221,212
Associates First Capital Corp., "A" .... 16,000 709,000
CIT Group, Inc., "A" ................... 3,700 106,838
Citigroup Inc. ......................... 14,550 691,125
Goldman Sachs Group, Inc.* ............. 400 28,900
Merrill Lynch & Co., Inc. .............. 1,700 135,894
Morgan Stanley Dean Witter & Co. ....... 1,800 184,500
---------------
$ 2,077,469
---------------
FOOD AND BEVERAGE PRODUCTS -- 0.4%
Anheuser-Busch Cos., Inc. .............. 4,100 $ 290,844
Quaker Oats Co. ........................ 2,100 139,388
Ralston-Ralston Purina Co. ............. 3,100 94,356
---------------
$ 524,588
---------------
INSURANCE -- 1.2%
American International Group, Inc. ..... 4,000 $ 468,250
Equitable Cos., Inc. ................... 5,900 395,300
Lincoln National Corp. ................. 5,000 261,562
Progressive Corp. ...................... 1,900 275,500
---------------
$ 1,400,612
---------------
MACHINERY -- 0.1%
Danaher Corp. .......................... 1,400 $ 81,375
---------------
MEDICAL AND HEALTH PRODUCTS -- 1.5%
American Home Products Corp. ........... 8,700 $ 500,250
Becton, Dickinson & Co. ................ 4,500 135,000
Bristol-Myers Squibb Co. ............... 6,800 478,975
Pfizer, Inc. ........................... 3,400 373,150
Pharmacia & Upjohn, Inc. ............... 3,500 198,844
Schering Plough Corp. .................. 2,200 116,600
---------------
$ 1,802,819
---------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 1.2%
Cardinal Health, Inc. .................. 4,550 $ 291,769
HealthSouth Corp.* ..................... 18,200 271,862
United HealthCare Corp. ................ 13,200 826,650
---------------
$ 1,390,281
---------------
RAILROADS -- 0.1%
Kansas City Southern Industries,
Inc. ................................. 1,800 $ 114,863
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
RESTAURANTS AND LODGING -- 0.2%
Wendy's International, Inc. ............ 6,400 $ 181,200
---------------
SPECIAL PRODUCTS AND SERVICES -- 0.4%
McDonald's Corp. ....................... 8,200 $ 338,763
Sodexho Marriott Services, Inc.* ....... 9,100 174,606
---------------
$ 513,369
---------------
STORES -- 2.5%
CVS Corp. .............................. 9,800 $ 497,350
Dayton Hudson Corp. .................... 4,500 292,500
Linens 'n Things, Inc.* ................ 2,100 91,875
Lowe's Cos., Inc. ...................... 6,900 391,144
Office Depot, Inc.* .................... 17,850 393,816
Rite Aid Corp. ......................... 18,600 458,025
TJX Cos., Inc. ......................... 10,100 336,456
Wal-Mart Stores, Inc. .................. 11,600 559,700
---------------
$ 3,020,866
---------------
SUPERMARKETS -- 0.8%
Kroger Co.* ............................ 25,000 $ 698,437
Safeway, Inc.* ......................... 3,900 193,050
---------------
$ 891,487
---------------
TELECOMMUNICATIONS -- 3.6%
Adelphia Communications Corp. "A"*,
## ................................... 200 $ 12,725
American Tower Corp., "A"* ............. 5,900 141,600
AT&T Corp.* ............................ 2,600 95,550
CenturyTel, Inc. ....................... 7,625 303,094
Cisco Systems, Inc.* ................... 19,600 1,262,975
Frontier Corp. ......................... 3,300 194,700
Lucent Technologies, Inc. .............. 4,600 310,212
MCI WorldCom, Inc.* .................... 10,800 929,475
Nortel Networks Corp. .................. 4,400 381,975
Qwest Communications International,
Inc.* ................................ 5,000 165,312
Rhythms NetConnections, Inc.* .......... 900 52,538
Tellabs, Inc.* ......................... 6,800 459,425
---------------
$ 4,309,581
---------------
Total U.S. Stocks ..................................... $ 34,807,410
---------------
FOREIGN STOCKS -- 28.5%
AUSTRALIA -- 0.8%
QBE Insurance Group Ltd.
(Insurance)* ......................... 245,846 $ 934,117
Seven Network Ltd. (Entertainment) ..... 1,688 4,941
---------------
$ 939,058
---------------
CANADA -- 0.9%
Canadian National Railway Co.
(Railroads) .......................... 15,100 $ 1,011,700
---------------
FINLAND -- 1.4%
Helsingin Puhelin Oyj
(Telecommunications) ................. 14,400 $ 682,603
Nokia Corp., ADR
(Telecommunications) ................. 1,000 91,562
Perlos Corp. (Electronics)* ............ 3,400 49,753
Pohjola Group Insurance Corp.
(Insurance) .......................... 8,960 459,356
Tieto Corp. (Computer Software --
Systems) ............................. 8,300 345,547
---------------
$ 1,628,821
---------------
</TABLE>
12-GAA
<PAGE>
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
FRANCE -- 3.3%
Castorama Dubois Investisse
(Stores -- Building Products) ........ 2,300 $ 545,134
Pernod Ricard Co. (Beverages) .......... 8,200 549,256
Renault Regie Nationale
(Automobiles) ........................ 3,900 169,600
Television Francaise (Entertainment) ... 2,800 652,100
Total S.A., "B" (Oils)* ................ 9,000 1,160,240
Union des Assurances Federales S.A.
(Insurance) .......................... 6,300 746,597
Wavecom S.A. (Electronics)* ............ 12,600 165,375
---------------
$ 3,988,302
---------------
GERMANY -- 2.8%
Henkel KGaA, Preferred (Chemicals) ..... 10,500 $ 716,300
HypoVereinsbank (Banks and Credit
Cos.) ................................ 8,100 525,864
Mannesmann AG (Conglomerate) ........... 11,800 1,763,185
Wella AG (Cosmetics) ................... 526 382,140
---------------
$ 3,387,489
---------------
GREECE -- 0.5%
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 25,088 $ 537,208
---------------
IRELAND -- 0.4%
Allied Irish Bank PLC (Banks and Credit
Cos.) ................................ 38,000 $ 503,059
---------------
ITALY -- 1.6%
ERG S.p.A. (Oils) ...................... 103,100 $ 308,109
Mediaset S.p.A. (Entertainment) ........ 60,500 537,416
Telecom Italia Mobile S.p.A.
(Telecommunications) ................. 29,800 177,804
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications) .......... 245,900 904,638
---------------
$ 1,927,967
---------------
JAPAN -- 3.8%
Canon, Inc. (Special Products and
Services) ............................ 27,000 $ 777,043
Fujitsu Ltd. (Computer Hardware --
Systems) ............................. 29,000 583,981
Hitachi (Electronics) .................. 68,000 638,273
NTT Mobile Communications Network, Inc.
(Telecommunications) ................. 22 298,379
NTT Mobile Communications Network, Inc.
(Telecommunications)* ................ 88 1,178,961
Olympus Optical Co. (Conglomerate) ..... 38,000 562,207
Takeda Chemical Industries Co.
(Pharmaceuticals) .................... 12,000 556,732
---------------
$ 4,595,576
---------------
NETHERLANDS -- 2.7%
Akzo Nobel N.V. (Chemicals) ............ 14,000 $ 588,621
Benckiser N.V., "B" (Consumer Goods and
Services) ............................ 28,183 1,502,953
IHC Caland N.V. (Marine Equipment)* .... 4,472 175,119
ING Groep N.V. (Financial Services)* ... 16,912 914,960
---------------
$ 3,181,653
---------------
NORWAY -- 0.4%
Storebrand ASA (Insurance) ............. 77,000 $ 518,025
---------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
PORTUGAL -- 0.7%
Banco Pinto & Sotto Mayor S.A. (Banks
and Credit Cos.) ..................... 35,004 $ 621,153
Telecel -- Comunicacoes Pessoais S.A.
(Telecommunications) ................. 2,000 257,625
---------------
$ 878,778
---------------
SINGAPORE -- 0.2%
Development Bank of Singapore Ltd.
(Banks and Credit Cos.) .............. 19,000 $ 232,266
---------------
SWEDEN -- 2.2%
Ericsson LM, "B"
(Telecommunications) ................. 39,600 $ 1,271,924
Ericsson LM, ADR
(Telecommunications) ................. 7,900 260,206
Saab AB, "B" (Aerospace) ............... 135,300 1,052,546
---------------
$ 2,584,676
---------------
SWITZERLAND -- 1.6%
Barry Callebaut AG, (Food Products)* ... 2,520 $ 385,797
Novartis AG (Medical and Health
Products) ............................ 210 306,638
UBS AG (Banks and Credit Cos.) ......... 4,150 1,238,647
---------------
$ 1,931,082
---------------
UNITED KINGDOM -- 5.2%
AstraZeneca Group PLC (Medical and
Health Products) ..................... 22,458 $ 876,190
BP Amoco PLC (Oils)* ................... 30,111 539,088
BP Amoco PLC, ADR (Oils) ............... 3,400 368,900
British Aerospace PLC (Aerospace and
Defense)* ............................ 177,273 1,153,848
Cable & Wireless Communications PLC
(Telecommunications) ................. 137,100 1,318,024
Next PLC (Stores) ...................... 80,500 976,883
Orange PLC (Telecommunications) ........ 20,200 296,386
Reuters Group PLC (Business
Services) ............................ 10,700 140,723
Tomkins PLC (Conglomerate) ............. 128,000 554,752
---------------
$ 6,224,794
---------------
Total Foreign Stocks .................................. $ 34,070,454
---------------
Total Stocks (Identified Cost, $60,280,621) ........... $ 68,877,864
---------------
</TABLE>
<TABLE>
<S> <C> <C>
BONDS -- 30.4%
Principal Amount
(000 Omitted)
U.S. BONDS -- 12.5%
CONSUMER GOODS AND SERVICES -- 0.1%
Kindercare Learning Centers, Inc., 9.5s,
2009 ................................. $ 100 $ 94,750
---------------
CONTAINERS -- 0.3%
Ball Corp., 8.25s, 2008 ................ $ 250 $ 243,750
Gaylord Container Corp., 9.75s, 2007 ... 125 119,687
---------------
$ 363,437
---------------
ELECTRICAL EQUIPMENT -- 0.2%
Williams Scotsman, Inc., 9.875s,
2007 ................................. $ 200 $ 193,750
---------------
FOOD AND BEVERAGE PRODUCTS -- 0.4%
Borden, Inc., 9.25s, 2019 .............. $ 530 $ 498,258
---------------
FOREST AND PAPER PRODUCTS -- 0.4%
Silgan Holdings, Inc., 9s, 2009 ........ $ 500 $ 495,000
---------------
INDUSTRIAL -- 0.2%
IMO Industries, Inc., 11.75s, 2006 ..... $ 250 $ 255,000
---------------
</TABLE>
13-GAA
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<S> <C> <C>
Principal Amount
(000 Omitted) Value
U.S. BONDS -- continued
MEDIA -- 0.3%
Hollinger International Publishing,
Inc., 9.25s, 2007 .................... $ 350 $ 357,875
---------------
TELECOMMUNICATIONS -- 0.6%
CSC Holdings, Inc., 9.25s, 2005 ........ $ 250 $ 261,250
Nextel Communications, Inc., 0s to 2002,
9.75s to 2007 ........................ 75 52,313
Pagemart Wireless, Inc., 0s to 2003,
11.25s to 2008 ....................... 300 123,000
Western Wireless Corp., 10.5s, 2007 .... 250 269,687
---------------
$ 706,250
---------------
U.S. TREASURY OBLIGATIONS -- 9.7%
U.S. Treasury Notes, 5.625s, 2008 ...... $ 11,884 $ 11,640,735
---------------
UTILITIES -- ELECTRIC -- 0.3%
Esi Tractebel Acquisition Corp., 7.99s,
2011 ................................. $ 300 $ 294,375
---------------
Total U.S. Bonds ...................................... $ 14,899,430
---------------
FOREIGN BONDS -- 17.9%
BRAZIL -- 0.3%
Federal Republic of Brazil, 5s, 2014 ... $ 185 $ 119,498
Federal Republic of Brazil, 11.625s,
2004 ................................. 245 228,169
---------------
$ 347,667
---------------
BULGARIA -- 0.3%
National Republic of Bulgaria, 5.875s,
2024 ................................. $ 500 $ 338,750
---------------
DENMARK -- 2.7%
Kingdom of Denmark, 7s, 2007 ........... DKK 20,448 $ 3,263,648
---------------
MEXICO -- 0.6%
United Mexican States, 10.375s, 2009 ... $ 345 $ 351,900
United Mexican States, 11.5s, 2026 ..... 315 348,484
---------------
$ 700,384
---------------
PANAMA -- 0.3%
Republic of Panama, 4s, 2016 ........... $ 481 $ 351,265
---------------
PHILIPPINES -- 0.4%
Republic of Philippines, 9.875s,
2019 ................................. $ 490 $ 480,200
---------------
SPAIN -- 3.7%
Government of Spain, 6s, 2008 .......... EUR 3,890 $ 4,375,435
---------------
SWEDEN -- 2.8%
Kingdom of Sweden, 6s, 2005 ............ SEK 26,800 $ 3,359,793
---------------
UNITED KINGDOM -- 6.8%
Colt Telecom Group PLC, 8.875s, 2007
(Telecommunications) ................. EUR 300 $ 165,574
Polestar Corporation, 10.5s, 2008
(Industrial) ......................... GBP 250 390,060
U.K. Treasury, 6.75s, 2004 ............. 4,556 7,629,019
---------------
$ 8,184,653
---------------
Total Foreign Bonds ................................... $ 21,401,795
---------------
Total Bonds (Identified Cost, $38,661,249) ............ $ 36,301,225
---------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
PREFERRED STOCK -- 0.6%
Primedia, Inc. (Printing & Publishing)*
(Identified Cost, $742,500) .......... 7,500 $ 720,007
-------------
CALL OPTIONS PURCHASED -- 0.1%
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Description/Expiration Month/Strike of Contracts
Price (000 Omitted) Value
<S> <C> <C>
Euro/July/1.0515 ....................... EUR 6,161 $ 124,911
Euro/July/1.0325 ....................... 8,272 13,376
Euro/August/1.025 ...................... 5,445 26,206
Japanese Yen/July/118.5 ................ JPY 708,714 13,466
-------------
Total Call Options Purchased (Premiums Paid,
$136,873) .......................................... $ 177,959
-------------
PUT OPTIONS PURCHASED -- 0.1%
Japanese Yen/July/121.7 ................ JPY 1,207,231 $ 50,703
Japanese Yen/September/125 ............. 743,976 37,943
Japanese Yen/Euro/July/125 ............. 744,111 31,253
-------------
Total Put Options Purchased (Premiums Paid,
$218,629) .......................................... $ 119,899
-------------
SHORT-TERM OBLIGATIONS -- 10.0%
Principal
Amount
Issuer (000 Omitted)
Federal Home Loan Bank, due 7/01/99 --
7/07/99, at Amortized Cost ........... $ 11,900 $ 11,896,235
-------------
OTHER SHORT-TERM
OBLIGATIONS -- 6.7%
Shares
Navigator Securities Lending Prime
Portfolio, at cost ................... 8,115,726 $ 8,115,726
-------------
Total Investments (Identified Cost, $120,051,833) .... $ 126,208,915
-------------
CALL OPTIONS WRITTEN -- (0.2)%
Principal
Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
Australian Dollar/April/0.625 .......... AUD (6,385) $ (44,063)
Euro/July/1.0515 ....................... EUR (6,161) (124,905)
Japanese Yen/July/112.75 ............... JPY (1,118,449) --
Japanese Yen/August/117 ................ (616,101) (20,331)
Japanese Yen/September/118 ............. (702,313) (84,980)
-------------
Total Call Options Written
(Premiums Paid, $(346,497)) ........................ $ (274,279)
-------------
OTHER ASSETS,
LESS LIABILITIES -- (5.4)% (6,459,636)
-------------
Net Assets -- 100.0% ................................. $ 119,475,000
-------------
-------------
See portfolio footnotes and notes to financial statements
</TABLE>
14-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 1999
Global Governments Series
Bonds -- 83.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN BONDS -- 42.5%
BRAZIL -- 0.3%
Federal Republic of Brazil, 11.625s,
2004 ................................. $ 290 $ 270,077
-------------
DENMARK -- 1.9%
Kingdom of Denmark, 7s, 2007 ........... DKK 10,436 $ 1,665,661
-------------
GERMANY -- 13.9%
Federal Republic of Germany, 6s,
2007 ................................. EUR 8,266 $ 9,356,830
Federal Republic of Germany, 3.75s,
2009 ................................. 2,607 2,533,381
-------------
$ 11,890,211
-------------
GREECE -- 2.0%
Hellenic Republic, 8.9s, 2003 .......... GRD 376,000 $ 1,281,642
Hellenic Republic, 8.6s, 2008 .......... 120,000 437,585
-------------
$ 1,719,227
-------------
ITALY -- 6.9%
Republic of Italy, 6.75s, 2007 ......... EUR 4,992 $ 5,858,774
-------------
NEW ZEALAND -- 2.5%
Government of New Zealand, 8s, 2004 .... NZD 3,710 $ 2,115,850
-------------
SWEDEN -- 6.0%
Kingdom of Sweden, 6s, 2005 ............ SEK 23,900 $ 2,996,233
Kingdom of Sweden, 9s, 2009 ............ 13,600 2,081,518
-------------
$ 5,077,751
-------------
UNITED KINGDOM -- 9.0%
UK Treasury, 6.5s, 2003 ................ GBP 4,651 $ 7,641,497
-------------
Total Foreign Bonds ................................... $ 36,239,048
-------------
U.S. BONDS -- 40.6%
U.S. Treasury Notes, 5.25s, 2004 ....... $ 3,500 $ 3,439,310
U.S. Treasury Notes, 5.875s, 2005 ...... 27,300 27,300,000
U.S. Treasury Notes, 5.625s, 2008 ...... 3,950 3,869,144
-------------
Total U.S. Bonds ...................................... $ 34,608,454
-------------
Total Bonds
(Identified Cost, $74,168,768) ...................... $ 70,847,502
-------------
<CAPTION>
Principal Amount
of Contracts
(000 Omitted) Value
<S> <C> <C>
CALL OPTIONS PURCHASED
<CAPTION>
Issuer/Expiration Month/Strike Price
<S> <C> <C>
Japanese Government Bonds/ August/135.31
(Premiums Paid, $154,115) ............ JPY 1,190,000 $ 7,282
-------------
PUT OPTIONS PURCHASED -- 0.1%
Euro/July/1.0325 ....................... EUR 5,958 $ 9,635
Euro/August/1.025 ...................... 3,982 19,167
Japanese Yen/July/121.7 ................ JPY 1,018,624 42,782
-------------
Total Put Options Purchased (Premiums Paid,
$145,412) ........................................... $ 71,584
-------------
SHORT-TERM OBLIGATIONS -- 18.8%
Principal Amount
Issuer (000 Omitted)
Federal National Mortgage Assn., due
7/15/99 .............................. $ 750 $ 748,545
Federal Home Loan Bank, due 7/01/99 .... 15,275 15,275,000
-------------
Total Short-Term Obligations, at Amortized Cost ....... $ 16,023,545
-------------
Total Investments
(Identified Cost, $90,491,840 ) ..................... $ 86,949,913
-------------
CALL OPTIONS WRITTEN -- (0.1)%
Principal Amount
Description/Expiration Month/Strike of Contracts
Price (000 Omitted)
Australian Dollars/April/0.625 ......... AUD 4,979 $ (34,360)
Japanese Yen/July/112.75 ............... JPY 943,713 -
Japanese Yen/August/117 ................ 460,761 (15,205)
-------------
Total Call Options Written
(Premiums Received $202,316) ........................ $ (49,565)
-------------
PUT OPTIONS WRITTEN -- (0.7)%
Japanese Government Bonds/ August/135.31
(Premiums Received $154,115) ......... JPY 1,190,000 $ (603,464)
-------------
OTHER ASSETS, LESS
LIABILITIES -- (1.2)% (1,031,625)
-------------
Net Assets -- 100.0% .................................. $ 85,265,259
-------------
-------------
See portfolio footnotes and notes to financial statements
</TABLE>
15-WGS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 1999
Global Total Return Series
Stocks -- 59.1%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 38.7%
AUSTRALIA -- 1.4%
Australia & New Zealand Banking Group
Ltd. (Banks and Credit Cos.)* ........ 47,600 $ 349,424
QBE Insurance Group Ltd.
(Insurance)* ......................... 292,754 1,112,348
Seven Network Ltd. (Entertainment) ..... 7,211 21,109
-------------
$ 1,482,881
-------------
AUSTRIA -- 0.4%
Austria Tabak AG (Tobacco) ............. 6,720 $ 391,260
-------------
CANADA -- 1.6%
Canadian National Railway Co.
(Railroads) .......................... 19,857 $ 1,330,419
Toronto Dominion Bank (Banks and Credit
Cos.) ................................ 5,800 263,900
-------------
$ 1,594,319
-------------
FINLAND -- 0.3%
Helsingin Puhelin Oyj
(Telecommunications) ................. 6,900 $ 327,081
-------------
FRANCE -- 6.1%
Axa (Insurance) ........................ 2,600 $ 316,961
Castorama Dubois Investisse (Stores --
Building Products) ................... 2,800 663,642
Pernod Ricard (Beverages) .............. 5,500 368,404
Pinault-Printemps-Redoute S.A.
(Retail) ............................. 8,615 1,477,258
Sanofi-Synthelabo S.A. (Medical and
Health Products)* .................... 16,080 681,873
SEITA (Tobacco) ........................ 21,000 1,211,868
Television Francaise (Entertainment) ... 4,896 1,140,244
Total S.A., ADR (Oils)* ................ 5,892 379,666
-------------
$ 6,239,916
-------------
GERMANY -- 3.1%
Bayerische HypoVereinsbank (Banks and
Credit Cos.) ......................... 10,400 $ 675,184
Henkel KGaA (Chemicals) ................ 10,732 732,127
Mannesmann AG (Telecommunications) ..... 11,590 1,731,806
-------------
$ 3,139,117
-------------
GREECE -- 0.4%
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 18,862 $ 403,891
-------------
HONG KONG -- 0.3%
Dairy Farm International Holdings Ltd.
(Supermarkets) ....................... 277,000 $ 332,400
-------------
IRELAND -- 0.3%
Allied Irish Bank PLC (Banks and Credit
Cos.) ................................ 21,835 $ 289,060
-------------
ITALY -- 1.0%
San Paolo Imi S.p.A. (Banks and Credit
Cos.) ................................ 41,830 $ 568,997
Telecom Italia Mobile S.p.A.
(Telecommunications) ................. 118,340 435,359
Unione Immobiliare S.p.A. (Real
Estate) .............................. 99,271 43,988
-------------
$ 1,048,344
-------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
JAPAN -- 6.9%
Canon, Inc. (Office Equipment) ......... 45,000 $ 1,295,071
Fujitsu Ltd. (Computer Hardware --
Systems) ............................. 28,000 563,844
Hitachi (Electronics) .................. 88,000 826,001
NTT Mobile Communication Network, Inc.
(Telecommunications)* ................ 24 321,535
NTT Mobile Communications Network, Inc.
(Telecommunications) ................. 6 81,376
Olympus Optical Co. Ltd. (Photo
Equipment & Supplies) ................ 38,000 562,206
Rohm Co. (Electronics) ................. 5,000 783,576
Secom Co. (Security Services) .......... 5,000 521,005
Takeda Chemical Industries Co.
(Pharmaceuticals) .................... 31,000 1,438,224
Terumo Corp. (Medical Supplies) ........ 19,000 423,462
Ushio, Inc. (Electronics) .............. 15,000 192,276
-------------
$ 7,008,576
-------------
MEXICO -- 0.2%
Panamerican Beverages, Inc. "A"
(Beverages) .......................... 8,900 $ 211,931
-------------
NETHERLANDS -- 5.1%
Akzo Nobel N.V. (Chemicals) ............ 16,976 $ 713,746
Benckiser N.V., "B" (Consumer Goods and
Services) ............................ 14,590 778,061
Hunter Douglas N.V., ADR
(Consumer Goods and
Services)* ........................... 15,900 545,619
IHC Caland N.V. (Marine Equipment)* .... 10,980 429,966
ING Groep N.V. (Financial Services)* ... 5,654 305,888
Koninklijke Ahold N.V., ADR
(Supermarkets) ....................... 21,927 759,222
Royal Dutch Petroleum Co., ADR
(Oils) ............................... 7,429 447,597
Unilever N.V. (Food)* .................. 4,039 281,720
Wolters Kluwer (Publishing)* ........... 22,684 902,308
-------------
$ 5,164,127
-------------
PORTUGAL -- 0.3%
Electricidade de Portugal S.A.
(Utilities -- Electric) .............. 16,940 $ 304,793
-------------
SOUTH KOREA -- 0.2%
Korea Electric Power Corp., ADR
(Utilities -- Electric) .............. 7,652 $ 156,866
-------------
SPAIN -- 1.6%
Banco Popular Espanol S.A. (Banks and
Credit Cos.) ......................... 4,700 $ 337,823
Repsol S.A. (Oils)* .................... 17,000 346,866
Telefonica de Espana (Utilities --
Telephone)* .......................... 19,300 928,999
Telefonica Publicidad e Informacion,
S.A. (Telephone Directory)* .......... 3,400 67,797
-------------
$ 1,681,485
-------------
SWEDEN -- 1.4%
Ericsson LM, "B" (Telecommunication
Equipment) ........................... 13,500 $ 433,610
Saab AB, "B" (Aerospace and Defense) ... 71,015 552,451
Skandia Forsakrings AB (Insurance) ..... 24,300 455,410
-------------
$ 1,441,471
-------------
</TABLE>
16-WTS
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
SWITZERLAND -- 1.8%
Clariant AG (Chemicals) ................ 530 $ 218,191
Nestle S.A. (Food and Beverage
Products) ............................ 530 954,927
UBS AG (Banks and Credit Cos.) ......... 2,300 686,479
-------------
$ 1,859,597
-------------
UNITED KINGDOM -- 6.3%
Allied Zurich PLC (Insurance) .......... 20,735 $ 260,610
AstraZeneca Group PLC
(Pharmaceuticals) .................... 8,066 314,692
Avis Europe PLC (Auto Rental)## ........ 143,005 607,388
British Aerospace PLC (Aerospace and
Defense)* ............................ 94,514 615,180
British Petroleum Amoco PLC, ADR
(Oils) ............................... 11,612 1,259,902
Cable & Wireless Communications PLC
(Telecommunications) ................. 30,100 289,369
Compass Group PLC (Food -- Catering) ... 107,192 1,063,443
Lloyds TSB Group PLC (Banks and Credit
Cos.) ................................ 44,358 602,259
Rentokil Initial PLC (Conglomerate) .... 43,900 170,198
Reuters Group PLC (Business
Services) ............................ 38,000 499,765
Williams PLC (Conglomerate) ............ 118,840 784,753
-------------
$ 6,467,559
-------------
Total Foreign Stocks ................................. $ 39,544,674
-------------
U.S. STOCKS -- 20.4%
ADVERTISING -- 0.3%
Young & Rubicam, Inc. .................. 6,700 $ 304,431
-------------
AUTO PARTS -- 0.2%
Delphi Automotive Systems Corp. ........ 8,300 $ 154,069
-------------
BANKS AND CREDIT COMPANIES -- 0.9%
Wells Fargo Co. ........................ 22,688 $ 969,912
-------------
BEVERAGES -- 0.8%
Anheuser-Busch Cos., Inc. .............. 11,300 $ 801,594
-------------
BUSINESS MACHINES -- 1.6%
International Business Machines
Corp. ................................ 5,490 $ 709,582
Xerox Corp. ............................ 15,020 887,119
-------------
$ 1,596,701
-------------
COMPUTER SOFTWARE -- PERSONAL
COMPUTERS -- 0.8%
Hewlett-Packard Co. .................... 8,300 $ 834,150
-------------
CONGLOMERATES -- 1.8%
Tyco International Ltd. ................ 19,007 $ 1,800,913
-------------
CONSTRUCTION SERVICES -- 0.5%
Martin Marietta Materials, Inc. ........ 8,298 $ 489,582
-------------
CONSUMER GOODS AND SERVICES -- 1.5%
Galileo International, Inc. ............ 6,900 $ 368,719
Newell Rubbermaid, Inc. ................ 8,500 395,250
Philip Morris Cos., Inc. ............... 18,876 758,579
-------------
$ 1,522,548
-------------
DEFENSE ELECTRONICS -- 0.6%
Raytheon Co., "A" ...................... 9,600 $ 661,200
-------------
ELECTRICAL EQUIPMENT -- 0.9%
Cooper Industries, Inc. ................ 8,400 $ 436,800
General Electric Co. ................... 4,400 497,200
-------------
$ 934,000
-------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. STOCKS -- continued
FINANCIAL INSTITUTIONS -- 1.4%
American Express Co. ................... 5,239 $ 681,725
Associates First Capital Corp., "A" .... 16,100 713,431
Goldman Sachs Group, Inc.* ............. 600 43,350
-------------
$ 1,438,506
-------------
FOREST AND PAPER PRODUCTS -- 0.4%
Jefferson Smurfit Corp. ................ 175,100 $ 413,936
-------------
INSURANCE -- 2.2%
Allstate Corp. ......................... 17,836 $ 639,867
American International Group, Inc. ..... 7,800 913,087
ReliaStar Financial Corp. .............. 16,798 734,912
-------------
$ 2,287,866
-------------
INTERNET
Ask Jeeves, Inc. ....................... 50 $ 700
-------------
OIL SERVICES -- 0.4%
Exxon Corp. ............................ 4,861 $ 374,905
-------------
PHARMACEUTICALS -- 1.6%
Bristol-Myers Squibb Co. ............... 18,212 $ 1,282,808
Pharmacia & Upjohn, Inc. ............... 6,500 369,281
-------------
$ 1,652,089
-------------
PRINTING AND PUBLISHING -- 0.3%
Gannett Co., Inc. ...................... 4,666 $ 333,036
-------------
RESTAURANTS AND LODGING -- 1.0%
McDonald's Corp. ....................... 23,560 $ 973,322
-------------
SUPERMARKETS -- 0.7%
Albertson's, Inc. ...................... 14,190 $ 731,672
-------------
TELECOMMUNICATIONS -- 0.8%
Bell Atlantic Corp. .................... 12,500 $ 817,188
-------------
U.S. FEDERAL AGENCIES -- 1.0%
Federal Home Loan Mortgage Corp. ....... 16,843 $ 976,894
-------------
UTILITIES -- ELECTRIC -- 0.7%
Sierra Pacific Resources ............... 20,890 $ 759,874
-------------
Total U.S. Stocks .................................... $ 20,829,088
-------------
Total Stocks
(Identified Cost, $50,975,380) ..................... $ 60,373,762
-------------
BONDS -- 35.7%
Principal Amount
(000 Omitted)
U.S. BONDS -- 19.5%
U.S. TREASURY OBLIGATIONS -- 19.5%
U.S. Treasury Notes, 5.25s, 2004 ....... $ 2,800 $ 2,751,448
U.S. Treasury Notes, 5.625s, 2008 ...... 8,215 8,046,839
U.S. Treasury Notes, 5.875s, 2005 ...... 9,120 9,120,000
-------------
Total U.S. Bonds ..................................... $ 19,918,287
-------------
FOREIGN BONDS -- 16.2%
AUSTRALIA -- 2.6%
Commonwealth of Australia, 6.75s,
2006 ................................. AUD 3,805 $ 2,599,832
-------------
DENMARK -- 1.6%
Kingdom of Denmark, 7s, 2007 ........... DKK 10,526 $ 1,680,026
-------------
GERMANY -- 3.2%
Federal Republic of Germany, 3.75s,
2009 ................................. EUR 965 $ 937,749
Federal Republic of Germany, 6s,
2007 ................................. 2,084 2,358,946
-------------
$ 3,296,695
-------------
</TABLE>
17-WTS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN BONDS -- continued
GREECE -- 0.8%
Hellenic Republic, 8.01s, 2003 ......... GRD 174,000 $ 593,100
Hellenic Republic, 8.6s, 2008 .......... 52,000 189,621
-------------
$ 782,721
-------------
ITALY -- 1.6%
Republic of Italy, 6.75s, 2007 ......... EUR 1,415 $ 1,660,945
-------------
NEW ZEALAND -- 1.0%
Government of New Zealand, 8s, 2004 .... NZD 610 $ 345,505
Government of New Zealand, 8s, 2006 .... 1,150 660,184
-------------
$ 1,005,689
-------------
SWEDEN -- 2.1%
Kingdom of Sweden, 6s, 2005 ............ SEK 7,200 $ 902,631
Kingdom of Sweden, 9s, 2009 ............ 7,900 1,209,117
-------------
$ 2,111,748
-------------
UNITED KINGDOM -- 3.3%
United Kingdom Treasury, 6.5s, 2003 .... GBP 1,500 $ 2,464,469
United Kingdom Treasury, 6.75s, 2004 ... 560 937,720
-------------
$ 3,402,189
-------------
Total Foreign Bonds .................................. $ 16,539,845
-------------
Total Bonds
(Identified Cost, $38,520,383) ..................... $ 36,458,132
-------------
CALL OPTIONS PURCHASED
Principal Amount
Description/Expiration Month/Strike of Contracts
Price (000 Omitted)
Japanese Government Bond
Futures/August/135.31 (Premiums Paid,
$32,377) ............................. JPY 250 $ 1
-------------
SHORT-TERM OBLIGATIONS -- 5.1%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/01/99 at
Amortized Cost ....................... $ 5,200 $ 5,200,000
-------------
OTHER SHORT-TERM
OBLIGATIONS -- 6.7%
<CAPTION>
Shares
<S> <C> <C>
Navigator Securities Lending Prime
Portfolio, at cost ................... 6,787,096 $ 6,787,096
-------------
Total Investments
(Identified Cost, $101,515,236 ) ................... $ 108,818,991
-------------
PUT OPTIONS WRITTEN
Principal Amount
of Contracts
(000 Omitted)
Japanese Government Bond
Futures/August/135.31 (Premiums
Received, (32,377)) .................. JPY 250 $ (127)
-------------
OTHER ASSETS,
LESS LIABILITIES -- (6.6)% (6,721,007)
-------------
Net Assets -- 100.0% ................................. $ 102,097,857
-------------
-------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS
(Unaudited) -- June 30, 1999
GOVERNMENT SECURITIES SERIES
BONDS -- 97.5%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. GOVERNMENT GUARANTEED -- 62.7%
U.S. TREASURY OBLIGATIONS -- 39.1%
U.S. Treasury Bonds, 10.375s, 2012 ..... $11,300 $ 14,398,687
U.S. Treasury Bonds, 9.875s, 2015 ...... 39,395 53,761,963
U.S. Treasury Bonds, 3.625s, 2028 ...... 10,221 9,644,417
U.S. Treasury Bonds, 3.875s, 2029 ...... 6,983 6,887,112
U.S. Treasury Bonds, 5.25s, 2029 ....... 8,000 7,187,520
U.S. Treasury Notes, 8.5s, 2000 ........ 18,000 18,368,460
U.S. Treasury Notes, 8s, 2001 .......... 17,600 18,364,544
U.S. Treasury Notes, 6.5s, 2002 ........ 14,750 15,084,235
U.S. Treasury Notes, 4.25s, 2003 ....... 5,000 4,721,100
U.S. Treasury Notes, 5.5s, 2003 ........ 13,600 13,516,866
U.S. Treasury Notes, 6.5s, 2006 ........ 28,700 29,632,750
-----------------
$ 191,567,654
-----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 18.8%
GNMA, 6.5s, 2003 - 2029 ................ $15,524 $ 14,927,400
GNMA, 7s, 2008 - 2029 .................. 41,715 41,280,116
GNMA, 7.5s, 2023 - 2027 ................ 28,387 28,657,225
GNMA, 8s, 2026 - 2027 .................. 7,271 7,477,491
GNMA, 12.25s, 2015 ..................... 8 8,970
-----------------
$ 92,351,202
-----------------
SMALL BUSINESS
ADMINISTRATION -- 2.6%
SBA, 8.2s, 2005 ........................ $ 520 $ 532,069
SBA, 8.4s, 2007 ........................ 327 337,449
SBA, 9.65s, 2007 ....................... 120 126,210
SBA, 6.24s, 2009 ....................... 8,500 8,478,750
SBA, 8.7s, 2009 ........................ 2,529 2,673,899
SBA, 9.05s, 2009 ....................... 342 362,003
SBA, 10.05s, 2009 ...................... 306 329,564
-----------------
$ 12,839,944
-----------------
MARITIME ADMINISTRATION -- 2.2%
Empresa Energetica Cornito Ltd., 6.07s,
2010 (Shipbuilding) .................. $11,500 $ 10,888,200
-----------------
Total U.S. Government Guaranteed ...................... $ 307,647,000
-----------------
U.S. FEDERAL AGENCIES -- 34.8%
Aid to Israel, 5.625s, 2003 ............ $ 2,000 $ 1,956,340
Aid to Lebanon, 7.62s, 2009 ............ 8,430 8,704,063
Aid to Peru, 9.98s, 2008 ............... 5,185 5,807,666
Federal Home Loan Mortgage Corp., 7.5s,
2001 ................................. 1,808 1,832,656
Federal Home Loan Mortgage Corp., 7.5s,
2027 ................................. 2,889 2,920,257
Federal Home Loan Mortgage Corp., 6.5s,
2029 ................................. 21,558 20,810,237
Federal National Mortgage Assn., 8.25s,
2001 ................................. 3,860 3,896,676
Federal National Mortgage Assn., 6.75s,
2003 ................................. 5,293 5,405,301
Federal National Mortgage Assn., 5.625s,
2004 ................................. 5,500 5,329,830
Federal National Mortgage Assn., 5.875s,
2004 ................................. 4,250 4,159,687
Federal National Mortgage Assn., 7.27s,
2005 ................................. 5,975 6,023,589
Federal National Mortgage Assn., 8s,
2005 ................................. 8,417 8,480,121
Federal National Mortgage Assn., 6.13s,
2011 ................................. 2,980 2,935,870
Federal National Mortgage Assn., 6.89s,
2011 ................................. 8,085 8,143,111
</TABLE>
18-GSS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Issuer Principal Amount
Federal National Mortgage Assn., 7.836s, (000 Omitted) $ Value
2020 ................................. $ 33 32,828
<S> <C> <C>
Federal National Mortgage Assn., 6.5s,
2027 ................................. 20,383 19,662,977
Federal National Mortgage Assn., 7s,
2029 ................................. 4,999 4,941,529
Financing Corp., 9.4s, 2018 ............ 4,845 6,277,279
Financing Corp., 9.8s, 2018 ............ 5,600 7,495,264
Financing Corp., 10.35s, 2018 .......... 5,100 7,143,162
Resolution Funding Corp., 8.875s,
2020 ................................. 6,000 7,603,140
Tennessee Valley Authority, 0s, 2042 ... 12,500 5,575,500
U.S. Department of Housing & Urban
Development, 6.83s, 2003 ............. 8,025 8,155,727
U.S. Department of Housing & Urban
Development, 6.92s, 2004 ............. 4,525 4,631,609
U.S. Department of Housing & Urban
Development, 6.59s, 2016 ............. 5,744 5,481,930
U.S. Department of Veterans Affairs,
7.5s, 2009 ........................... 6,812 6,946,060
U.S. Department of Veterans Affairs,
7.75s, 2014 .......................... 236 236,263
-------------
Total U.S. Federal Agencies .......................... $ 170,588,672
-------------
Total Bonds
(Identified Cost, $483,175,988) .................... $ 478,235,672
-------------
REPURCHASE AGREEMENT -- 1.3%
Goldman Sachs, dated 6/30/99, due
7/1/99, total to be received
$6,552,883 (secured by various U.S.
Treasury and Federal Agency
obligations in a jointly traded
account), at cost .................... $ 6,552 $ 6,552,000
-------------
Total Investments
(Identified Cost, $489,727,988 ) ................... $ 484,787,672
OTHER ASSETS,
LESS LIABILITIES -- 1.2% 5,839,003
-------------
Net Assets -- 100.0% ................................. $ 490,626,675
-------------
-------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS
(Unaudited) -- June 30, 1999
HIGH YIELD SERIES
BONDS -- 92.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- 80.3%
<S> <C> <C>
AEROSPACE -- 3.6%
Airplane Pass-Through Trust, 10.875s,
2019+ ................................ $ 700 $ 699,510
Argo Tech Corp., 8.625s, 2007 .......... 1,835 1,753,625
BE Aerospace, Inc., 9.875s, 2006 ....... 1,150 1,173,000
BE Aerospace, Inc., 8s, 2008 ........... 150 140,250
BE Aerospace, Inc., 9.5s, 2008 ......... 425 431,375
K & F Industries, Inc., 9.25s, 2007 .... 2,480 2,442,800
L-3 Communications Corp., 10.375s,
2007 ................................. 925 978,188
L-3 Communications Corp., 8s, 2008 ..... 800 762,000
L-3 Communications Corp., 8.5s, 2008 ... 975 953,062
MOOG, Inc., 10s, 2006 .................. 1,575 1,638,000
Stellex Industries, Inc., 9.5s, 2007 ... 700 634,375
United Defense Industries, Inc., 8.75s,
2007 ................................. 690 677,925
-----------------
$ 12,284,110
-----------------
BUILDING -- 3.5%
AAF - McQuay, Inc., 8.875s, 2003 ....... $ 1,125 $ 1,077,188
American Standard, Inc., 7.625s,
2010 ................................. 200 188,000
Building Materials Corp., 8.625s,
2006 ................................. 1,425 1,396,500
Building Materials Corp., 8s, 2007 ..... 1,750 1,662,500
Formica Corp., 10.875s, 2009## ......... 1,550 1,503,500
MMI Products, Inc., 11.25s, 2007## ..... 800 820,000
Nortek, Inc., 9.25s, 2007 .............. 2,370 2,375,925
Schuff Steel Co., 10.5s, 2008 .......... 1,205 1,117,637
UDC Homes, Inc., 0s, 2000 .............. 7 3,644
Williams Scotsman, Inc., 9.875s,
2007 ................................. 1,650 1,598,437
-----------------
$ 11,743,331
-----------------
BUSINESS SERVICES -- 2.0%
Anacomp, Inc., 10.875s, 2004 ........... $ 1,700 $ 1,772,250
Iron Mountain, Inc., 10.125s, 2006 ..... 2,400 2,544,000
Pierce Leahy Corp., 11.125s, 2006 ...... 943 1,046,730
Pierce Leahy Corp., 9.125s, 2007 ....... 675 685,125
Unisystem Corp., 7.875s, 2008 .......... 500 507,500
-----------------
$ 6,555,605
-----------------
CHEMICALS -- 2.0%
Huntsman ICI Chemicals, Inc., 10.125s,
2009## ............................... $ 2,625 $ 2,634,844
Lyondell Chemical Co., 9.625s,
2007## ............................... 1,475 1,510,031
Lyondell Chemical Co., 9.875s,
2007## ............................... 1,250 1,273,438
Sterling Chemicals Holdings, Inc., 0s to
2001, 13.5s to 2008 .................. 575 172,500
Sterling Chemicals, Inc., 11.75s,
2006 ................................. 350 267,750
Sterling Chemicals, Inc., 11.25s,
2007 ................................. 1,100 814,000
-----------------
$ 6,672,563
-----------------
CONSUMER GOODS AND SERVICES -- 4.9%
American Safety Razor Co., 9.875s,
2005 ................................. $ 1,000 $ 1,010,000
General Binding Corp., 9.375s, 2008 .... 1,425 1,348,406
</TABLE>
19-HYS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- continued
<S> <C> <C>
CONSUMER GOODS AND SERVICES -- continued
Kindercare Learning Centers, Inc., 9.5s,
2009 ................................. $ 1,775 $ 1,681,813
Polymer Group, Inc., 9s, 2007 .......... 2,250 2,199,375
Polymer Group, Inc., 8.75s, 2008 ....... 500 483,750
Remington Products Co. LLC, 11s,
2006 ................................. 1,065 870,638
Revlon Consumer Products Corp., 8.125s,
2006 ................................. 2,625 2,559,375
Samsonite Corp., 10.75s, 2008 .......... 1,600 1,288,000
Simmons Co., 10.25s, 2009## ............ 1,975 2,009,562
Synthetic Industries, Inc., 9.25s,
2007 ................................. 3,100 3,193,000
-----------------
$ 16,643,919
-----------------
CONTAINER, FOREST AND PAPER PRODUCTS -- 6.4%
Applied Extrusion Technologies, Inc.,
11.5s, 2002 .......................... $ 1,200 $ 1,224,000
Atlantis Plastics, Inc., 11s, 2003 ..... 525 530,250
Ball Corp., 8.25s, 2008 ................ 360 351,000
Buckeye Cellulose Corp., 8.5s, 2005 .... 1,525 1,494,500
Buckeye Technologies, Inc., 8s, 2010 ... 900 859,500
Consolidated Contaniner Co. LLC,
10.125s, 2009## ...................... 375 380,625
Gaylord Container Corp., 9.75s, 2007 ... 2,250 2,154,375
Gaylord Container Corp., 9.875s,
2008 ................................. 3,060 2,723,400
Graham Packaging/GPC Capital Co., 8.75s,
2008 ................................. 920 866,525
Packaging Corp. of America, 9.625s,
2009## ............................... 875 888,125
Riverwood International Corp., 10.25s,
2006 ................................. 1,200 1,212,000
Riverwood International Corp., 10.875s,
2008 ................................. 1,100 1,067,000
Silgan Holdings, Inc., 9s, 2009 ........ 3,000 2,970,000
Speciality Paperboard, Inc., 9.375s,
2006 ................................. 1,800 1,829,250
U.S. Can Corp., 10.125s, 2006 .......... 1,000 1,052,500
U.S. Timberlands, 9.625s, 2007 ......... 1,790 1,803,425
-----------------
$ 21,406,475
-----------------
CORPORATE ASSET BACKED -- 0.1%
Merrill Lynch Mortgage Investors, Inc.,
8.372s, 2022+ ........................ $ 500 $ 465,781
-----------------
ENERGY -- 5.3%
AmeriGas Partners LP, 10.125s, 2007 .... $ 1,600 $ 1,664,000
Cheasapeake Energy Corp., 9.625s,
2005 ................................. 2,035 1,872,200
Clark Refining & Marketing, Inc.,
8.625s, 2008 ......................... 1,300 1,230,125
Clark USA, Inc., 10.875s, 2005 ......... 1,740 1,500,750
Continental Resources, Inc., 10.25s,
2008 ................................. 1,625 1,190,313
Forest Oil Corp., 10.5s, 2006 .......... 1,925 1,997,188
Giant Industries, Inc., 9s, 2007 ....... 1,005 959,775
HS Resources, Inc., 9.25s, 2006 ........ 2,325 2,292,625
Ocean Energy, Inc., 8.875s, 2007 ....... 350 344,750
P&L Coal Holdings Corp., 8.875s,
2008 ................................. 550 551,375
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
ENERGY -- continued
P&L Coal Holdings Corp., 9.625s,
2008 ................................. $ 2,085 $ 2,100,637
Pool Energy Services Co., 8.625s,
2008 ................................. 1,175 1,216,125
Pride International, Inc., 10s, 2009 ... 985 999,775
-----------------
$ 17,919,638
-----------------
ENTERTAINMENT -- 1.1%
AMC Entertainment, Inc., 9.5s, 2009 .... $ 185 $ 177,600
Cinemark USA, Inc., 9.625s, 2008 ....... 1,900 1,871,500
Regal Cinemas Inc., 9.5s, 2008 ......... 1,825 1,715,500
-----------------
$ 3,764,600
-----------------
FINANCIAL INSTITUTIONS -- 0.9%
Willis Corroon Corp., 9s, 2009## ....... $ 3,075 $ 2,963,531
-----------------
FOOD AND BEVERAGE PRODUCTS -- 0.3%
Vlasic Foods International Inc., 10.25s,
2009## ............................... $ 1,100 $ 1,087,625
-----------------
GAMING AND HOTELS -- 4.9%
Boyd Gaming Corp., 9.5s, 2007 .......... $ 3,500 $ 3,465,000
Coast Hotels & Casinos, Inc., 9.5s,
2009## ............................... 1,925 1,852,812
Eldorado Resorts LLC, 10.5s, 2006 ...... 1,700 1,808,375
Hollywood Park, Inc., 9.25s, 2007 ...... 1,175 1,154,438
Isle of Capri Casinos, Inc., 8.75s,
2009## ............................... 1,200 1,128,000
Park Place Entertainment Corp., 7.875s,
2005 ................................. 1,600 1,520,000
Prime Hospitality Corp., 9.75s, 2007 ... 1,600 1,584,000
Red Roof Inns, Inc., 9.625s, 2003 ...... 1,125 1,139,063
Santa Fe Hotel, Inc., 11s, 2000 ........ 1,045 992,750
Station Casinos, Inc., 8.875s, 2008 .... 1,875 1,828,125
-----------------
$ 16,472,563
-----------------
INDUSTRIAL -- 6.8%
Columbus McKinnon Corp., 8.5s, 2008 .... $ 1,635 $ 1,622,737
Day International Group, Inc., 11.125s,
2005 ................................. 1,200 1,272,000
Dura Operating Corp., 9s, 2009## ....... 1,100 1,058,750
Envirosource, Inc., 9.75s, 2003 ........ 1,107 694,643
Fairfield Manufacturing Co., Inc.,
9.625s, 2008## ....................... 1,650 1,625,250
Furon Co., 8.125s, 2008 ................ 1,150 1,081,000
Hayes Wheels International, Inc., 11s,
2006 ................................. 1,050 1,134,000
Hayes Wheels International, Inc.,
9.125s, 2007 ......................... 1,375 1,381,875
Haynes International, Inc., 11.625s,
2004 ................................. 1,625 1,543,750
IMO Industries, Inc., 11.75s, 2006 ..... 1,585 1,616,700
International Knife & Saw, Inc.,
11.375s, 2006 ........................ 1,325 1,305,125
Johnstown America Industries, 11.75s,
2005 ................................. 830 883,950
Newcor, Inc., 9.875s, 2008 ............. 1,525 1,364,875
Numatics, Inc., 9.625s, 2008 ........... 330 299,063
Oxford Automotive, Inc., 10.125s,
2007 ................................. 950 931,000
Simonds Industries, Inc., 10.25s,
2008 ................................. 1,550 1,519,000
Talon Automotive Group, Inc., 9.625s,
2008 ................................. 300 258,000
</TABLE>
20-HYS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- continued
<S> <C> <C>
INDUSTRIAL -- continued
Thermadyne Holdings Corp., 0s to 2003,
12.5s to 2008 ........................ $ 2,900 $ 1,377,500
Thermadyne Manufacturing / Capital
Corp., 9.875s, 2008 .................. 1,950 1,820,812
-----------------
$ 22,790,030
-----------------
MEDIA -- 15.8%
Acme Television LLC, 0s to 2000, 10.875s
to 2004 .............................. $ 675 $ 554,344
Adelphia Communications Corp., 8.375s,
2008## ............................... 2,400 2,309,634
Allbritton Communications Co., 9.75s,
2007 ................................. 1,300 1,306,500
Avalon Cable Holdings LLC, 0s to 2003,
11.875s to 2008## .................... 1,950 1,291,875
Avalon Cable of Michigan, 9.375s,
2008## ............................... 525 533,532
Big Flower Press Holdings, Inc., 8.875s,
2007 ................................. 875 829,062
Big Flower Press Holdings, Inc., 8.625s,
2008 ................................. 1,125 1,035,000
Bresnan Communications Group, 0s to
2004, 9.25s to 2009## ................ 1,000 650,000
Bresnan Communications Group, 8s,
2009## ............................... 1,215 1,218,037
Chancellor Media Corp., 8.75s, 2007 .... 650 646,750
Chancellor Media Corp., 8s, 2008 ....... 2,100 2,058,000
Charter Commerce Holdings LLC, 0s to
2004, 9.92s to 2011## ................ 3,150 1,953,000
Charter Communications Holdings, 8.25s,
2007## ............................... 3,250 3,095,625
Classic Cable, Inc., 9.875s, 2008## .... 1,050 1,086,750
Classic Communications, Inc., 0s to
2003, 13.25s to 2009## ............... 775 511,500
CSC Holdings, Inc., 8.125s, 2009 ....... 1,000 1,005,310
Cumulus Media, Inc., 10.375s, 2008 ..... 675 715,500
Digital Television Services, Inc.,
12.5s, 2007 .......................... 1,450 1,618,562
Echostar DBS Corp., 9.375s, 2009## ..... 2,425 2,473,500
Fox/Liberty Networks LLC, Inc., 8.875s,
2007 ................................. 2,350 2,444,000
Frontiervision Holding LP, 0s to 2001,
11.87s to 2007 ....................... 300 259,500
Frontiervision Operating Partnership LP,
11s, 2006 ............................ 1,350 1,485,000
Golden Books Publishing, Inc., 7.65s,
2002** ............................... 625 254,688
Granite Broadcasting Corp., 10.375s,
2005 ................................. 1,650 1,674,750
Granite Broadcasting Corp., 8.875s,
2008 ................................. 940 911,800
Hollinger International Publishing,
Inc., 9.25s, 2007 .................... 1,300 1,329,250
Intermedia Capital Partners IV, LP,
11.25s, 2006 ......................... 1,375 1,560,625
Lenfest Communications, Inc., 10.5s,
2006 ................................. 1,345 1,546,750
Liberty Group Operating, Inc., 9.375s,
2008 ................................. 1,145 1,099,200
LIN Holdings Corp., 0s to 2003, 10s to
2008 ................................. 300 198,000
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
MEDIA -- continued
LIN Televison Corp., 8.375s, 2008 ...... $ 1,450 $ 1,392,000
Mail-Well I Corp., 8.75s, 2008## ....... 1,000 975,000
Marvel Holdings, Inc., 0s, 1998** ...... 1,165 0
NTL Communications Corp., 0s to 2003,
12.375s to 2008 ...................... 5,500 3,698,750
NTL, Inc., 0s to 2004, 9.75s to
2009+ ................................ 1,400 1,334,872
Telemundo Holdings, Inc., 0s to 2003,
11.5s to 2008 ........................ 2,825 1,497,250
Transwestern Publishing, 9.625s,
2007 ................................. 700 686,000
United International Holdings, Inc.,
10.75s, 2008 ......................... 4,575 3,019,500
World Color Press, Inc., 8.375s,
2008 ................................. 1,105 1,099,475
World Color Press, Inc., 7.75s, 2009 ... 850 790,500
Young Broadcasting, Inc., 8.75s,
2007 ................................. 1,000 970,000
-----------------
$ 53,119,391
-----------------
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 2.3%
Alaris Medical Systems, Inc., 9.75s,
2006 ................................. $ 1,500 $ 1,485,000
Alaris Medical, Inc., 0s to 2003,
11.125s to 2008 ...................... 1,400 759,500
Fresenius Medical Care Capital Trust,
7.875s, 2008 ......................... 2,550 2,371,500
Prime Medical Services, Inc., 8.75s,
2008 ................................. 2,425 2,364,375
Tenet Healthcare Corp., 7.625s, 2008 ... 740 691,900
-----------------
$ 7,672,275
-----------------
METALS AND MINERALS -- 3.6%
Alaska Steel Holdings Corp., 9.125s,
2006 ................................. $ 1,280 $ 1,312,000
Alaska Steel Holdings Corp., 7.875s,
2009## ............................... 325 312,000
Algoma Steel, Inc., 12.375s, 2005 ...... 1,150 1,115,500
Commonwealth Aluminum Corp., 10.75s,
2006 ................................. 1,650 1,683,000
Doe Run Resources Corp., 11.25s,
2005 ................................. 1,000 905,000
Jorgensen (Earle M.) Co., 9.5s, 2005 ... 960 909,600
Kaiser Aluminum & Chemical Corp.,
9.875s, 2002 ......................... 1,400 1,410,500
Keystone Consolidated Industries, Inc.,
9.625s, 2007 ......................... 960 936,000
Metal Management, Inc., 10s, 2008 ...... 1,875 1,509,375
WCI Steel, Inc., 10s, 2004 ............. 1,600 1,628,000
Weirton Steel Corp., 10.75s, 2005 ...... 350 332,500
Wheeling Pittsburgh Corp., 9.25s,
2007 ................................. 25 24,000
-----------------
$ 12,077,475
-----------------
RETAIL -- 2.2%
Affinity Group Holding, Inc., 11s,
2007 ................................. $ 750 $ 750,938
Cole National Group, Inc., 8.625s,
2007 ................................. 625 537,500
Finlay Enterprises, Inc., 9s, 2008 ..... 450 428,625
</TABLE>
21-HYS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- continued
<S> <C> <C>
RETAIL -- continued
Finlay Fine Jewelry Corp., 8.375s,
2008 ................................. $ 1,325 $ 1,298,500
J.Crew Operating Corp., 10.375s,
2007 ................................. 2,525 2,531,312
Musicland Group, Inc., 9s, 2003 ........ 500 475,000
Musicland Group, Inc., 9.875s, 2008 .... 1,550 1,511,250
-----------------
$ 7,533,125
-----------------
SUPERMARKETS -- 1.0%
Jitney-Jungle Stores of America, Inc.,
12s, 2006 ............................ $ 2,410 $ 1,976,200
Jitney-Jungle Stores of America, Inc.,
10.375s, 2007 ........................ 250 87,500
Pathmark Stores, Inc., 11.625s, 2002 ... 775 786,625
Pathmark Stores Inc., 0s to 1999, 10.75s
to 2003 .............................. 200 197,000
Penn Traffic Co., 8.625s, 2003** ....... 1,200 444,000
-----------------
$ 3,491,325
-----------------
TELECOMMUNICATIONS -- 13.2%
Allegiance Telecommunications, Inc., 0s
to 2003, 11.75s to 2008 .............. $ 1,100 $ 679,250
Allegiance Telecommunications, Inc.,
12.875s, 2008 ........................ 1,225 1,298,500
American Celluar Corp., 10.5s, 2008 .... 1,125 1,147,500
AMSC Acquisition Co., Inc., 12.25s,
2008 ................................. 950 726,750
Centennial Cellular Operating Co.,
10.75s, 2008## ....................... 1,725 1,785,375
Crown Castle International Corp., 9s,
2011 ................................. 300 288,000
DTI Holdings, Inc., 0s to 2003, 12.5s to
2008 ................................. 2,400 876,000
Exodus Communications, Inc., 11.25s,
2008 ................................. 1,725 1,815,562
GCI, Inc., 9.75s, 2007 ................. 795 795,000
Global Crossings Holdings Ltd., 9.625s,
2008 ................................. 1,300 1,404,000
ICG Holdings, Inc., 0s to 2001, 12.5s to
2006 ................................. 2,525 2,020,000
Intermedia Communications, Inc., 8.875s,
2007 ................................. 1,150 1,075,250
ITC Deltacom, Inc., 11s, 2007 .......... 682 733,150
ITC Deltacom, Inc., 8.875s, 2008 ....... 700 696,500
ITC Deltacom, Inc., 9.75s, 2008 ........ 1,500 1,537,500
Level 3 Communications, Inc., 9.125s,
2008 ................................. 3,425 3,369,344
Metromedia Fiber Network, Inc., 10s,
2008 ................................. 1,575 1,618,312
MJD Communications, Inc., 9.5s, 2008 ... 1,000 997,500
Mobile Telecommunication Technologies
Corp., 13.5s, 2002 ................... 175 197,750
Nextel Communications, Inc., 0s to 1999,
9.75s to 2004 ........................ 210 213,150
Nextel Communications, Inc., 0s to 2002,
9.75s to 2007 ........................ 785 547,537
Nextel Communications, Inc., 0s to 2003,
9.95s to 2008 ........................ 3,275 2,259,750
Nextel International, Inc., 0s to 2003,
12.125s to 2008 ...................... 1,775 923,000
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
TELECOMMUNICATIONS -- continued
Nextlink Communications, Inc., 9.625s,
2007 ................................. $ 350 $ 337,750
Nextlink Communications, Inc., 10.75s,
2009 ................................. 3,100 3,177,500
Nextlink Communications, Inc., 0s to
2004, 12.25s to 2009 ................. 775 449,500
Northeast Optic Network, 12.75s,
2008 ................................. 850 879,750
Pagemart Wireless, Inc., 0s to 2003,
11.25s to 2008 ....................... 1,025 420,250
Psinet, Inc., 10s, 2005 ................ 200 199,000
Psinet, Inc., 11.5s, 2008 .............. 550 577,500
Qwest Communications International,
Inc., 7.25s, 2008 .................... 300 294,018
Qwest Communications International,
Inc., 7.5s, 2008 ..................... 450 449,946
Rural Cellular Corp., 9.625s, 2008 ..... 800 830,000
Spectrasite Holdings, Inc., 0s to 2003,
12s to 2008## ........................ 1,300 819,000
Spectrasite Holdings, Inc., 0s to 2004,
11.25s to 2009## ..................... 3,025 1,720,469
Telesystem International Wireless, Inc.,
0s to 2002, 13.25s to 2007 ........... 1,350 713,813
Time Warner Telecommunications LLC,
9.75s, 2008 .......................... 2,000 2,050,000
Triton PCS, Inc., 0s to 2003, 11s to
2008 ................................. 1,975 1,264,000
Verio, Inc., 10.375s, 2005 ............. 175 176,750
Viatel, Inc., 0s to 2003, 12.5s to
2008 ................................. 425 272,000
Viatel, Inc., 11.25s, 2008 ............. 950 964,250
Western Wireless Corp., 10.5s, 2007 .... 1,665 1,796,119
-----------------
$ 44,396,295
-----------------
TRANSPORTATION -- 0.1%
Moran Transportation Co., 11.75s,
2004 ................................. $ 300 $ 323,250
-----------------
UTILITIES -- ELECTRIC -- 0.3%
El Paso Electric Co., 8.9s, 2006 ....... $ 500 $ 542,855
Esi Tractebel Acquisition Corp., 7.99s,
2011 ................................. 525 515,156
-----------------
$ 1,058,011
-----------------
Total U.S. Bonds ...................................... $ 270,440,918
-----------------
FOREIGN BONDS -- 11.9%
BELGIUM -- 1.0%
Completel Europe NV, 14s, 2009
(Telecommunications)## ............... $ 2,325 $ 1,232,250
Hermes Europe Railtel BV, 10.375s, 2009
(Telecommunications) ................. 825 835,313
Tele1 Europe BV, 13s, 2009
(Telecommunications)## ............... 1,350 1,404,000
-----------------
$ 3,471,563
-----------------
CANADA -- 2.5%
Clearnet Communications, Inc., 0s to
2000, 14.75s to 2005
(Telecommunications) ................. $ 825 $ 750,750
International Utility Structures,
10.75s, 2008 (Utilities-Electric) .... 1,000 1,005,000
MetroNet Communications Corp., 0s to
2002, 10.75s to 2007
(Telecommunications)## ............... 1,510 1,177,400
</TABLE>
22-HYS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
FOREIGN BONDS -- continued
<S> <C> <C>
CANADA -- continued
Metronet Communications Corp., 12s, 2007
(Telecommunications) ................. $ 650 $ 741,000
PCI Chemicals Canada, Inc., 9.25s, 2007
(Chemicals) .......................... 1,635 1,389,750
Repap New Brunswick, Inc., 9s, 2004
(Container, Forest and Paper
Products) ............................ 2,035 1,887,462
Rogers Cablesystems, Inc., 9.625s, 2002
(Media) .............................. 250 261,875
Russel Metals Inc, 10s, 2009 (Metals and
Minerals) ............................ 1,200 1,200,600
-----------------
$ 8,413,837
-----------------
GREECE -- 0.2%
Fage Dairy Industries S.A., 9s, 2007
(Food and Beverage Products) ......... $ 675 $ 607,500
-----------------
LUXEMBOURG -- 0.5%
Millicom International Cellular
Communications Corp., 0s to 2001,
13.5s to 2006 (Telecommunications) ... $ 2,360 $ 1,758,200
-----------------
MEXICO -- 0.3%
Satelites Mexicanos SA de CV, 10.125s,
2004 (Telecommunications) ............ $ 1,250 $ 996,875
-----------------
NETHERLANDS -- 0.7%
Versatel Telecom BV, 13.25s, 2008
(Telecommunications) ................. $ 2,250 $ 2,351,250
-----------------
THAILAND -- 0.2%
Jasmine Submarine Telecom Ltd., 8.483s,
2011 (Industrial)## .................. $ 779 $ 615,029
-----------------
UNITED KINGDOM -- 6.5%
Colt Telecommunications Group PLC, 0s to
2001, 12s to 2006
(Telecommunications) ................. $ 3,800 $ 3,135,000
Dialog Corp. PLC, 11s, 2007
(Telecommunications) ................. 950 881,125
Diamond Cable Communications Corp. PLC,
0s to 2000, 11.75s to 2005 (Media) ... 150 133,875
Dolphin Telecom PLC, 11.5s, 2008
(Telecommunications) ................. 2,750 1,371,562
Dolphin Telecom PLC, 0s to 2004, 14s to
2009 (Telecommunications)## .......... 1,325 636,000
Energis PLC, 9.75s, 2009
(Telecommunications)## ............... 1,800 1,836,000
Esat Telecom Group PLC, 0s to 2002,
12.5s to 2007 (Telecommunications) ... 1,250 887,500
Esat Telecom Group PLC, 11.875s, 2008
(Telecommunications) ................. 2,550 2,626,500
Esprit Telecom Group PLC, 11.5s,
2007(Telecommunications)## ........... 700 721,000
Espirit Telecom Group PLC, 10.875s, 2008
(Telecommunications) ................. 1,700 1,751,000
Jazztel PLC, 14s, 2009
(Telecommunications)## ............... 1,700 1,674,500
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN BONDS -- continued
UNITED KINGDOM -- continued
ONO Finance PLC, 13s, 2009 (Media)## ... 2,585 2,662,550
Telewest Communications PLC, 11.25s,
2008 (Media) ......................... $ 500 $ 585,000
Telewest Communications PLC, 0s to 2004,
9.25s to 2009 (Media)## .............. 850 561,000
Telewest PLC, 9.625s, 2006 (Media) ..... 1,475 1,519,250
ZSC Specialty, 11s, 2009
(Chemical)## ......................... 1,025 1,032,688
-----------------
$ 22,014,550
-----------------
Total Foreign Bonds ................................... $ 40,228,804
-----------------
Total Bonds
(Identified Cost, $319,476,782) ..................... $ 310,669,722
-----------------
PREFERRED STOCK -- 2.9%
Shares
CONSUMER GOODS AND SERVICES
Renaissance Cosmetics, Inc., 14s* ...... 850 $ --
-----------------
ENERGY -- 0.1%
Clark USA, Inc., 11.5s ................. 767 $ 498,550
-----------------
MEDIA -- 1.3%
CSC Holdings, Inc., 11.125s* ........... 16,572 $ 1,839,492
Primedia, Inc., 8.625s* ................ 23,750 2,280,024
Primedia, Inc., 10s .................... 4,000 416,000
-----------------
$ 4,535,516
-----------------
TELECOMMUNICATIONS -- 1.5%
Crown Castle International Corp.,
12.75s## ............................. 1,623 $ 1,704,150
E Spire Communications, Inc., 12.75s ... 557 222,800
Global Crossing Holdings Ltd., 10.5s ... 12,250 1,300,031
Nextel Communications, Inc., 13s* ...... 143 153,010
Rural Cellular Corp., 11.375s .......... 1,499 1,513,990
-----------------
$ 4,893,981
-----------------
Total Preferred Stock
(Identified Cost, $9,876,131) ....................... $ 9,928,047
-----------------
CONVERTIBLE PREFERRED
STOCK -- 0.1%
ICG Funding LLC, 6.75s * (Identified
Cost, $386,750) ...................... 5,250 $ 271,687
-----------------
STOCKS -- 0.1%
U.S. STOCKS -- 0.1%
CONSUMER GOODS AND SERVICES
Ranger Industries, Inc. * .............. 8,952 $ 3,357
-----------------
MEDIA
Classic Communications Inc.* ........... 2,325 $ 46,500
-----------------
REAL ESTATE
Atlantic Gulf Communities Corp.+* ...... 30 $ 19
-----------------
TELECOMMUNICATIONS -- 0.1%
Viatel, Inc.* .......................... 6,681 $ 374,971
-----------------
Total U.S. Stocks ..................................... $ 424,847
-----------------
Total Stocks
(Identified Cost, $396,964) ......................... $ 424,847
-----------------
</TABLE>
23-HYS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
CONVERTIBLE BOND -- 0.1%
U.S. BONDS -- 0.1%
MEDICAL AND HEALTH TECHNOLOGY AND SERVICES -- 0.1%
Total Renal Care Holdings, Inc.,
7s,2009## (Identified Cost
$128,400) ............................ $ 195 $ 157,950
-----------------
WARRANTS* -- 0.4%
Shares
Allegiance Telecommunications, Inc.
(Telecommunications) ................. 1,550 $ 8,913
American Mobile Satellite Corp.
(Telecommunications)## ............... 950 38,000
Colt Telecommunications Group PLC
(Telecommunications)## ............... 1,588 994,167
DTI Holdings, Inc.
(Telecommunications) ................. 12,000 120
Esat Holdings Ltd.
(Telecommunications)## ............... 550 38,500
ICO, Inc. (Energy) ..................... 25,000 15,250
Jazztel PLC (Telecommunications)## ..... 8,500 153,000
Knology Holdings, Inc.
(Telecommunications)## ............... 525 1,054
Loral Orion Network Systems, Inc.
(Telecommunications) ................. 2,100 27,800
McCaw International Ltd.
(Telecommunications)## ............... 850 1,063
Metronet Communications Corp.
(Telecommunications)## ............... 650 48,750
Renaissance Cosmetics, Inc. (Consumer
Goods and Services) .................. 689 --
Versatel Telecom BV
(Telecommunications) ................. 2,250 112,500
-----------------
Total Warrants
(Identified Cost, $566,885) ......................... $ 1,439,117
-----------------
COMMERCIAL PAPER -- 1.8%
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
General Electric Capital Corp., due
7/01/99, at Amortized Cost ........... $ 5,995 $ 5,995,000
-----------------
Total Investments
(Identified Cost, $336,826,912 ) .................... $ 328,886,370
-----------------
OTHER ASSETS,
LESS LIABILITIES -- 2.4% 8,125,467
-----------------
Net Assets -- 100.0% .................................. $ 337,011,837
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS
(Unaudited) -- June 30, 1999
INTERNATIONAL GROWTH & INCOME SERIES
STOCKS -- 87.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- 69.4%
AUSTRALIA -- 2.7%
Australia & New Zealand Banking Group
Ltd. (Banks and Credit Cos.)* ........ 66,400 $ 487,431
QBE Insurance Group Ltd.
(Insurance)* ......................... 426,530 1,620,644
Seven Network Ltd. (Entertainment) ..... 22,459 65,745
--------------
$ 2,173,820
--------------
AUSTRIA -- 0.7%
Austria Tabak AG (Tobacco) ............. 8,790 $ 511,782
--------------
CANADA -- 2.2%
Canadian National Railway Co.
(Railroads) .......................... 21,680 $ 1,452,560
Toronto-Dominion Bank (Banks and Credit
Cos.) ................................ 6,700 304,850
--------------
$ 1,757,410
--------------
FINLAND -- 0.8%
Helsingin Puhelin Oyj
(Telecommunications) ................. 13,230 $ 627,141
--------------
FRANCE -- 10.9%
Axa (Insurance) ........................ 3,000 $ 365,724
Castorama Dubois Investisse (Stores --
Building Products) ................... 3,600 853,254
Pernod-Ricard (Beverages) .............. 6,600 442,084
Pinault-Printemps-Redoute S.A.
(Retail) ............................. 13,350 2,289,193
Sanofi-Synthelabo S.A. (Medical and
Health Products)* .................... 21,640 917,646
SEITA (Tobacco) ........................ 28,800 1,661,990
Television Francaise (Entertainment) ... 6,750 1,572,027
TOTAL S.A., ADR (Oils)* ................ 8,010 516,145
--------------
$ 8,618,063
--------------
GERMANY -- 4.9%
Bayerische HypoVereinsbank (Banks and
Credit Cos.) ......................... 13,000 $ 843,979
Henkel KGaA (Chemicals) ................ 10,260 699,928
Mannesmann AG (Conglomerate) ........... 15,940 2,381,794
--------------
$ 3,925,701
--------------
GREECE -- 1.1%
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 41,548 $ 889,665
--------------
HONG KONG -- 0.6%
Dairy Farm International Holdings Ltd.
(Supermarkets) ....................... 394,000 $ 472,800
--------------
IRELAND -- 0.5%
Allied Irish Bank PLC (Banks and Credit
Cos.) ................................ 32,296 $ 427,547
--------------
ITALY -- 1.6%
San Paolo Imi S.p.A (Banks and Credit
Cos.) ................................ 48,965 $ 666,051
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications) .......... 121,580 447,279
Unione Immobiliare S.p.A. (Real
Estate) .............................. 419,790 186,015
--------------
$ 1,299,345
--------------
</TABLE>
24-IGI
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
FOREIGN STOCKS -- continued
<S> <C> <C>
JAPAN -- 13.3%
Canon, Inc. (Special Products and
Services) ............................ 95,000 $ 2,734,039
Fujitsu Ltd. (Computer Hardware --
Systems) ............................. 39,000 785,354
Hitachi Ltd. (Electronics) ............. 100,000 938,637
NTT Mobile Communications Network, Inc.
(Telecommunications) ................. 7 94,939
NTT Mobile Communications Network, Inc.
(Telecommunications)* ................ 28 375,124
Olympus Optical Co. (Optical Goods) .... 43,000 636,181
Rohm Co. (Electronics) ................. 8,000 1,253,722
Secom Co. (Consumer Goods and
Services) ............................ 8,000 833,609
Takeda Chemical Industries Co.
(Pharmaceuticals) .................... 36,000 1,670,195
Terumo Corp. (Medical Products) ........ 42,000 936,073
Ushio, Inc. (Electronics) .............. 22,000 282,005
--------------
$ 10,539,878
--------------
MEXICO -- 0.3%
Panamerican Beverages, Inc. "A"
(Beverages) .......................... 11,100 $ 264,319
--------------
NETHERLANDS -- 9.3%
Akzo Nobel N.V. (Chemicals) ............ 24,110 $ 1,013,690
Benckiser N.V., "B" (Consumer Goods and
Services) ............................ 21,378 1,140,054
Equant N.V. (Computer Software --
Services)* ........................... 3,300 310,613
Hunter Douglas N.V., ADR (Consumer Goods
and Services)* ....................... 23,300 799,554
IHC Caland N.V. (Marine Equipment)* .... 14,921 584,291
ING Groep N.V. (Financial Services)* ... 7,750 419,285
Koninklijke Ahold N.V., ADR (Food/
Retail) .............................. 22,474 778,162
Royal Dutch Petroleum Co., ADR
(Oils) ............................... 10,250 617,562
Unilever N.V. (Food)* .................. 4,642 323,780
Wolters Kluwer N.V. (Publishing)* ...... 34,972 1,391,091
--------------
$ 7,378,082
--------------
PORTUGAL -- 0.5%
Electricidade de Portugal S.A.
(Utilities -- Electric) .............. 23,520 $ 423,184
--------------
SOUTH KOREA -- 0.6%
Korea Electric Power Corp. (Utilities --
Electric) ............................ 10,320 $ 428,848
--------------
SPAIN -- 3.2%
Banco Popular Espanol S.A. (Banks and
Credit Cos.) ......................... 6,800 $ 488,766
Repsol S.A. (Oils) ..................... 18,500 377,472
Telefonica de Espana (Utilities --
Telephone)* .......................... 33,382 1,606,830
Telefonica Publicidad e Informacion,
S.A. (Telephone)* .................... 4,800 95,713
--------------
$ 2,568,781
--------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
FOREIGN STOCKS -- continued
SWEDEN -- 2.5%
Ericsson LM, "B" (Telecommunication
Equipment) ........................... 18,900 $ 607,055
Saab AB, "B" (Aerospace) ............... 97,190 756,075
Skandia Forsakrings AB (Insurance) ..... 32,300 605,339
--------------
$ 1,968,469
--------------
SWITZERLAND -- 2.9%
Clariant AG (Chemicals) ................ 874 $ 359,810
Nestle S.A. (Food and Beverage
Products) ............................ 575 1,036,006
UBS AG (Banks and Credit Cos.) ......... 3,100 925,254
--------------
$ 2,321,070
--------------
UNITED KINGDOM -- 10.8%
Allied Zurich PLC (Insurance) .......... 31,175 $ 391,826
AstraZeneca Group PLC (Medical and
Health Products) ..................... 10,234 399,276
Avis Europe PLC (Auto Rental)## ........ 167,140 709,897
British Aerospace PLC (Aerospace and
Defense)* ............................ 103,326 672,536
British Petroleum Amoco PLC, ADR
(Oils) ............................... 14,530 1,576,505
Cable & Wireless Communications PLC
(Telecommunications) ................. 35,900 345,128
Compass Group PLC (Food Services) ...... 145,960 1,448,057
Lloyds TSB Group PLC (Banks and Credit
Cos.) ................................ 57,880 785,850
Rentokil Initial PLC (Business
Services) ............................ 63,300 245,412
Reuters Group PLC (Business
Services) ............................ 64,300 845,655
Williams PLC (Conglomerate) ............ 178,350 1,177,723
--------------
$ 8,597,865
--------------
Total Foreign Stocks ................................. $ 55,193,770
--------------
U.S. STOCKS -- 17.9%
ADVERTISING -- 0.5%
Young & Rubicam, Inc. .................. 7,900 $ 358,956
--------------
AEROSPACE -- 1.0%
Raytheon Co., "A" ...................... 11,900 $ 819,612
--------------
AUTOMOTIVE -- 0.3%
Delphi Automotive Systems Corp. ........ 11,600 $ 215,325
--------------
BUSINESS MACHINES -- 1.5%
Xerox Corp. ............................ 19,840 $ 1,171,800
--------------
COMPUTER HARDWARE -- SYSTEMS -- 1.1%
Hewlett-Packard Co. .................... 9,100 $ 914,550
--------------
CONSUMER GOODS AND SERVICES -- 4.1%
Galileo International, Inc. ............ 7,900 $ 422,156
Newell Rubbermaid, Inc. ................ 12,000 558,000
Philip Morris Cos., Inc. ............... 20,510 824,246
Tyco International Ltd. ................ 15,458 1,464,645
--------------
$ 3,269,047
--------------
ELECTRICAL EQUIPMENT -- 0.7%
Cooper Industries, Inc. ................ 10,400 $ 540,800
--------------
FINANCIAL INSTITUTIONS -- 0.8%
Associates First Capital Corp., "A" .... 12,600 $ 558,338
Goldman Sachs Group, Inc.* ............. 700 50,575
--------------
$ 608,913
--------------
</TABLE>
25-IGI
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
U.S. STOCKS -- continued
<S> <C> <C>
FOOD AND BEVERAGE PRODUCTS -- 1.5%
Anheuser-Busch Cos., Inc. .............. 16,300 $ 1,156,281
--------------
FOREST AND PAPER PRODUCTS -- 0.6%
Jefferson Smurfit Corp. ................ 218,200 $ 515,825
--------------
INSURANCE -- 3.7%
Allstate Corp. ......................... 23,300 $ 835,888
American International Group, Inc. ..... 9,700 1,135,506
ReliaStar Financial Corp. .............. 22,920 1,002,750
--------------
2,974,144
--------------
INTERNET
Ask Jeeves, Inc. ....................... 50 $ 700
--------------
MEDICAL AND HEALTH PRODUCTS -- 0.6%
Pharmacia & Upjohn, Inc. ............... 9,100 $ 516,994
--------------
RESTAURANTS AND LODGING -- 1.5%
McDonald's Corp. ....................... 28,300 $ 1,169,144
--------------
Total U.S. Stocks .................................... $ 14,232,091
--------------
Total Stocks
(Identified Cost, $62,891,046) ..................... $ 69,425,861
--------------
WARRANTS*
<CAPTION>
Issuer
<S> <C> <C>
Vivendi (Utilities -- Water) (Identified
Cost, $910) .......................... 2,560 $ 6,859
--------------
SHORT-TERM OBLIGATIONS -- 4.2%
<CAPTION>
Principal Amount
Issuer (000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/01/99 at
Amortized Cost ....................... $ 3,300 $ 3,300,000
--------------
Total Investments
(Identified Cost, $66,191,956 ) .................... $ 72,732,720
--------------
OTHER ASSETS,
LESS LIABILITIES -- 8.5% 6,750,394
--------------
Net Assets -- 100.0% ................................. $ 79,483,114
--------------
--------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS
(Unaudited) -- June 30, 1999
MFS/FOREIGN & COLONIAL
EMERGING MARKETS EQUITY SERIES
STOCKS -- 90.5%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
ARGENTINA -- 0.6%
Banco de Galicia y Buenos Aires S.A. de
C.V., ADR (Banks and Credit Cos.) .... 2,016 $ 40,824
Perez Companc S.A. (Oils) .............. 9,687 55,708
Siderca S.A. (Steel) ................... 10,492 13,747
Telecom Argentina S.A., ADR
(Telecommunications) ................. 420 11,235
Telefonica de Argentina, ADR (Utilities
-- Telephone) ........................ 1,075 33,728
--------------
$ 155,242
--------------
BRAZIL -- 11.0%
Banco Bradesco S.A., Preferred (Banks
and Credit Cos.) ..................... 28,810,000 $ 146,491
CEMIG, Preferred (Utilities --
Electric) ............................ 7,504 138,033
Centrais Eletricas Brasileiras S.A.,
Preferred, B (Utilities --
Electric) ............................ 17,563,000 354,237
Companhia Cervejaria Brahma, Preferred
(Beverages) .......................... 216,000 121,912
Companhia Paranaense de Energia,
Preferred B (Utilities --
Electric) ............................ 11,408 91,586
Embratel Participacoes S.A.
(Telecommunications)* ................ 8,944,283 66,703
Embratel Participacoes S.A., Preferred
(Telecommunications) ................. 7,838,046 108,936
Itausa Investimentos Itau S.A.,
Preferred (Conglomerate) ............. 223,000 118,429
Petroleo Brasileiro S.A., Preferred
(Oils) ............................... 2,316,000 359,830
Tele Centro Sul Participacoes S.A.
(Telecommunications)* ................ 12,235,283 64,633
Tele Centro Sul Participacoes S.A.,
Preferred (Telecommunications) ....... 6,515,000 71,739
Tele Norte Leste Participacoes S.A.
(Telecommunications) ................. 9,222,183 84,406
Tele Norte Leste Participacoes S.A.,
Preferred (Telecommunications)* ...... 6,914,000 125,780
Tele Sudeste Celular Participacoes S.A.,
Preferred (Telecommunications) ....... 16,832,000 95,572
Telebras Telecomunicacoes Brasileiras
(Telecommunications) ................. 1,515,000 134,467
Telebras, ADR (Telecommunications)* .... 1,228,000 49
Telesp Celular Participacoes S.A.
(Telecommunications) ................. 12,079,283 64,832
Telesp Celular Participacoes S.A.,
Preferred (Telecommunications) ....... 6,261 65,794
Telesp Participacoes S.A.
(Telecommunications) ................. 10,735,285 138,224
Telesp Participacoes S.A., Preferred
(Telecommunications) ................. 8,060 188,977
Unibanco S.A. (Banks and Credit
Cos.) ................................ 2,152,000 97,266
Vale do Rio Doce, Preferred (Mining) ... 12,350 242,814
--------------
$ 2,880,710
--------------
CHILE -- 2.1%
Compania Cervecerias Unidas S.A., ADR
(Brewery) ............................ 2,340 $ 66,983
Compania de Telecom de Chile, ADR
(Utilities -- Telephone) ............. 9,630 238,342
</TABLE>
26-FCE
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
CHILE -- continued
<S> <C> <C>
Distribucion y Servicio D&S S.A., ADR
(Supermarkets) ....................... 5,750 $ 107,813
Empresa Nacional de Electricidad, ADR
(Utilities -- Electric) .............. 5,147 62,407
Enersis S.A., ADR (Utilities --
Electric) ............................ 3,730 85,324
--------------
$ 560,869
--------------
EGYPT -- 2.8%
Ahram Beverage Co., GDR
(Beverages)*## ....................... 700 $ 19,670
Arab International Construction
(Construction Services)* ............. 2,900 19,164
Commercial International Investment Co.
(Finance) ............................ 3,500 31,478
Eastern Tobacco Co. (Consumer Goods and
Services) ............................ 2,800 68,301
Egypt Mobile Phone (Utilities --
Telephone)* .......................... 11,600 261,859
Egypt Trust (Real Estate Investment
Trust)* .............................. 9,500 90,250
Egyptian International Pharmaceutical
Industries Co. (Pharmaceuticals) ..... 1,500 66,023
Madinet Nasar City (Housing) ........... 1,700 19,056
Misr International Bank (Banks and
Credit Cos.) ......................... 2,415 48,195
National Societe Generale Bank (Banks
and Credit Cos.) ..................... 2,705 41,259
Suez Cement Co., GDR
(Construction)## ..................... 4,900 69,825
--------------
$ 735,080
--------------
ESTONIA -- 0.5%
AS Eesti Telekom
(Telecommunications) ................. 6,215 $ 121,814
--------------
FINLAND -- 0.3%
AO Mosenergo, ADR (Conglomerate) ....... 17,360 $ 77,252
--------------
GREECE -- 2.9%
Alpha Credit Bank (Banks and Credit
Cos.) ................................ 1,740 $ 112,051
Attica Enterprises S.A., GDR
(Transportation) ..................... 2,750 31,406
Commercial Bank of Greece (Banks and
Credit Cos.) ......................... 1,100 78,601
Hellenic Bottling (Beverages) .......... 1,060 25,590
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ....... 8,560 183,295
Intracom S.A. (Telecommunications) ..... 1,200 77,277
National Bank of Greece (Banks and
Credit Cos.)* ........................ 240 15,684
National Bank of Greece, GDR (Banks and
Credit Cos.) ......................... 2,400 156,838
Panafon Hellenic Telecom S.A.
(Telecommunications) ................. 760 18,311
Titan Cement Co., GDR (Building
Materials) ........................... 670 61,637
--------------
$ 760,690
--------------
HUNGARY -- 2.4%
Magyar Tavkozlesi Rt., ADR
(Telecommunications) ................. 12,655 $ 348,012
<CAPTION>
Issuer Shares Value
<S> <C> <C>
HUNGARY -- continued
Mol Magyar Olaj Es Gazipari KT, GDR
(Oils)## ............................. 6,610 $ 156,988
OTP Bank Rt. (Banks and Credit Cos.) ... 1,665 69,427
Richter Gedeon Rt. (Pharmaceuticals) ... 610 26,532
Richter Gedeon Rt. GDR
(Pharmaceuticals) .................... 610 26,535
Synergon Information Systems Co.
(Computers -- Integrated)*## ......... 1,128 13,085
--------------
$ 640,579
--------------
INDIA -- 4.4%
Bajaj Auto Ltd., GDR (Automotive) ...... 700 $ 11,270
Bajaj Auto Ltd., GDR (Automotive)## .... 1,150 18,515
Infosys Technologies Ltd. (Computer
Software) ............................ 4,200 243,600
ITC Ltd., ADR (Conglomerate)## ......... 3,200 89,280
ITC Ltd., GDR (Conglomerate)* .......... 6,000 167,400
Larsen & Toubro Ltd., GDR
(Conglomerate) ....................... 7,300 110,595
Mahanagar Telephone Nigam Ltd., GDR
(Telecommunications)## ............... 13,500 137,025
Reliance Industries Ltd., GDR
(Conglomerate)* ...................... 14,250 142,500
State Bank of India, GDR (Banks and
Credit Cos.)## ....................... 13,550 164,632
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## ............... 5,580 70,448
--------------
$ 1,155,265
--------------
ISRAEL -- 3.7%
Bank Hapoalim (Banks and Credit
Cos.) ................................ 50,956 $ 130,948
Bezek Israeli Telecommunications Corp.
Ltd. (Telecommunications)* ........... 30,017 121,081
Clal Industries (Conglomerate) ......... 6,057 48,271
Discount Investment Corp. (Finance) .... 3,940 154,195
ECI Telecom Ltd.
(Telecommunications) ................. 4,308 142,972
Elbit Systems Ltd. (Aerospace) ......... 4,019 70,562
ICL Israel Chemical (Chemicals) ........ 76,978 94,002
Koors Industries Ltd., ADR
(Conglomerate) ....................... 3,050 71,294
Teva Pharmaceutical Industries Ltd., ADR
(Pharmaceuticals) .................... 2,612 127,988
--------------
$ 961,313
--------------
JAPAN -- 0.1%
Softbank Corp., GDR (Computer --
Software) ............................ 950 $ 34,912
--------------
JORDAN -- 0.7%
Arab Bank Corp. (Banks and Credit
Cos.) ................................ 600 $ 170,522
--------------
MALAYSIA -- 2.6%
Malayan Banking Berhad (Banks and Credit
Cos.)+ ............................... 29,000 $ 82,650
Malaysia International Shipping Corp.
Berhad (Transportation -- Marine)+ ... 45,000 78,187
Public Bank Berhad (Banks and Credit
Cos.)+ ............................... 65,000 64,675
</TABLE>
27-FCE
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- continued
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
MALAYSIA -- continued
<S> <C> <C>
Resorts World Berhad
(Entertainment)+ ..................... 34,000 $ 76,075
RHB Capital Berhad (Finance)+ .......... 28,000 34,300
Rothmans of Pall Mall (Consumer Goods
and Services)+ ....................... 7,000 50,313
Sime Darby Berhad (Holding Company)+ ... 55,000 68,475
Telekom Malaysia Berhad
(Telecommunications)+ ................ 40,000 142,000
Tenaga Nasional Berhad (Utilities --
Electric)+ ........................... 36,000 78,750
--------------
$ 675,425
--------------
MAURITIUS -- 0.8%
Mauritius Commercial Bank Ltd. (Banks
and Credit Cos.) ..................... 18,140 $ 72,127
New Mauritius Hotels Ltd. (Restaurants
and Lodging) ......................... 52,360 97,225
Rogers & Co. Ltd. (Conglomerate) ....... 11,000 29,086
--------------
$ 198,438
--------------
MEXICO -- 10.4%
Alfa S.A. (Conglomerate) ............... 18,000 $ 74,761
Cemex S.A. (Construction) .............. 31,840 156,903
Cifra S.A. de C.V. (Retail)* ........... 121,180 241,691
Controladora Commercial Mexicana S.A.
(Retail) ............................. 32,000 33,405
Corporacion GEO S.A. de C.V.
(Housing)*## ......................... 3,100 51,615
Desc S.A. de C.V., B (Conglomerate) .... 64,000 69,934
Embotelladoras (Beverages) ............. 2,250 45,000
Fomento Economico Mexicano
(Beverages) .......................... 3,000 119,625
Grupo Carso, S.A. (Conglomerate)* ...... 22,700 105,240
Grupo Financiero Banamex (Finance)* .... 42,000 106,938
Grupo Financiero Bancomer (Finance)* ... 190,000 68,735
Grupo Mexico, S.A. (Metals) ............ 19,000 80,830
Grupo Modelo S.A. de C.V. (Brewery) .... 76,000 216,889
Grupo Television S.A. de C.V., GDR
(Entertainment)* ..................... 5,800 259,913
Kimberly-Clark de Mexico S.A. de C.V.
(Forest and Paper Products) .......... 32,000 131,721
Organiz Soriana S.A., "B" (Real
Estate) .............................. 19,000 89,296
Telefonos de Mexico S.A. (Utilities --
Telephone) ........................... 215,000 866,752
--------------
$ 2,719,248
--------------
PERU -- 2.2%
Compania de Minas Buenaventura, ADR
(Mining) ............................. 7,100 $ 108,719
Credicorp Ltd. Holdings Co. (Banks and
Credit Cos.) ......................... 11,182 123,002
Telefonica del Peru S.A., ADR
(Telecommunications) ................. 23,050 348,631
--------------
$ 580,352
--------------
PHILIPPINES -- 3.7%
Ayala Land, Inc. (Real Estate) ......... 768,000 $ 242,846
Manila Electric Co., "B" (Utilities --
Electric) ............................ 67,000 241,871
<CAPTION>
Issuer Shares Value
<S> <C> <C>
PHILIPPINES -- continued
Philippine Long Distance Telephone Co.,
ADR (Utilities -- Telephone) ......... 11,300 $ 345,402
San Miguel Corp., "B" (Brewery) ........ 66,550 145,550
--------------
$ 975,669
--------------
POLAND -- 3.7%
Agora S.A. (Entertainment)*## .......... 4,411 $ 51,388
Bank Handlowy w Warszawie S.A., GDR
(Banks and Credit Cos.)*## ........... 7,280 115,388
Bank Rozwoju Eksportu S.A. (Banks and
Credit Cos.) ......................... 2,320 73,017
Elektrim Spolka Akcyjna S.A. (Electrical
Equipment) ........................... 11,356 160,616
Orbis S.A. (Restaurants and Lodging) ... 9,119 78,548
Telekomunikacja Polska S.A., GDR
(Telecomunications)*## ............... 58,200 407,400
WBK Wielkopolski S.A. (Consumer Goods
and Services) ........................ 12,250 71,802
--------------
$ 958,159
--------------
RUSSIA -- 3.0%
Lukoil Oil Co., ADR (Oils) ............. 10,528 $ 416,909
Surgutneftegaz, ADR (Oil and Gas) ...... 33,952 271,616
Unified Energy Systems, GDR (Utilities
-- Electric) ......................... 5,896 51,590
Vimpel-Communications, ADR
(Telecommunications)* ................ 2,261 52,427
--------------
$ 792,542
--------------
SINGAPORE -- 3.9%
City Developments Ltd. (Real Estate) ... 9,000 $ 57,655
DBS Land Ltd. (Real Estate) ............ 53,000 105,906
Development Bank of Singapore Ltd.
(Banks and Credit Cos.) .............. 11,000 134,470
Keppel Corp. Ltd. (Transportation --
Marine) .............................. 16,000 54,540
Natsteel Electronics Ltd.
(Electronics) ........................ 25,000 109,462
Overseas Union Bank Ltd. (Banks and
Credit Cos.) ......................... 23,600 113,735
Sembcorp Industries, Ltd.
(Engineering) ........................ 25,000 39,671
Singapore Press Holdings Ltd.
(Publishing) ......................... 12,200 207,934
Singapore Telecommunications, Ltd.
(Telecommunications) ................. 59,000 101,252
United Overseas Bank (Banks and Credit
Cos.) ................................ 13,000 90,920
--------------
$ 1,015,545
--------------
SOUTH AFRICA -- 7.5%
ABSA Group Ltd (Banks and Credit
Cos.) ................................ 15,900 $ 90,025
Anglo American Corp. (Finance)* ........ 1,893 88,506
Anglo American Platnum Corp. Ltd.
(Metals) ............................. 11,200 261,454
AngloGold Ltd. (Mining) ................ 2,200 94,835
De Beers Centenary AG
(Diamonds -- Precious Stones) ........ 9,924 237,919
Dimension Data Holdings Ltd.
(Finance) ............................ 32,793 145,167
Firstrand Ltd. (Financial Services) .... 122,400 140,025
</TABLE>
28-FCE
<PAGE>
STOCKS -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
SOUTH AFRICA -- continued
<S> <C> <C>
Imperial Holdings Ltd.
(Conglomerate) ....................... 11,233 $ 111,743
JD Group Ltd. (Retail)* ................ 13,808 84,476
Liberty Life Association of Africa Ltd.
(Insurance) .......................... 8,353 107,053
Nedcor Ltd. (Banks and Credit Cos.) .... 7,366 166,823
Real Africa Holdings Ltd.
(Conglomerate) ....................... 21,019 41,818
Rembrandt Controlling Investments Ltd.
(Financial Services) ................. 11,800 98,407
Sanlam Ltd. (Finance) .................. 44,820 53,132
Sasol Ltd. (Oils) ...................... 14,740 105,207
South African Breweries Ltd.
(Brewery) ............................ 16,886 146,701
--------------
$ 1,973,291
--------------
SOUTH KOREA -- 13.3%
Daewoo Heavy Industries (Machinery) .... 14,500 $ 50,358
Honam Petrochemical Corp.
(Chemicals) .......................... 4,000 93,305
Housing & Commercial Bank of Korea
(Banks and Credit Cos.) .............. 11,650 367,365
Hyundai Merchant Marine (Transportation
-- Marine) ........................... 4,800 62,618
Kookmin Bank (Banks and Credit Cos.) ... 11,100 225,356
Korea Electric Power Corp.
(Utilities-Electric) ................. 17,750 737,603
Korea Telecom Corp.
(Telecommunications)* ................ 4,050 162,000
L.G. Chemicals (Chemicals) ............. 4,500 122,462
Medison Co. (Medical and Health
Products) ............................ 10,000 158,963
Pohang Iron & Steel Co. Ltd.
(Construction) ....................... 1,950 233,107
Pohang Iron & Steel Co. Ltd., ADR
(Construction) ....................... 11,350 381,644
Samsung Electronics (Electronics) ...... 4,520 495,931
Samsung Electronics, GDR
(Electronics)## ...................... 4,472 238,358
Samsung Fire & Marine Insurance
(Insurance) .......................... 90 63,369
SK Telecom Ltd. (Telecommunications) ... 40 53,564
SK Telecom Ltd., ADR
(Telecommunications) ................. 1,617 27,489
--------------
$ 3,473,492
--------------
TAIWAN -- 2.3%
Taipei Fund (Finance)* ................. 59 $ 590,000
--------------
<CAPTION>
Issuer Shares Value
<S> <C> <C>
THAILAND -- 3.5%
Bangkok Expressway (Public Through
Fares) ............................... 76,000 $ 56,716
BEC World Public Co. Ltd.
(Television) ......................... 7,000 43,691
Electricity Generating Public Co. Ltd.
(Utilties -- Electric) ............... 26,000 49,742
PTT Exploration and Production Public
Co. Ltd., ADR (Oils) ................. 22,400 171,419
Siam Cement Public Co. Ltd. (Building
Materials) ........................... 3,800 115,495
Siam Commercial Bank (Banks and Credit
Cos.)* ............................... 76,000 108,277
TelecomAsia Corp. Ltd (Utilities --
Telephone) ........................... 93,000 94,010
Thai Farmers Bank (Banks and Credit
Cos.) ................................ 87,000 269,145
--------------
$ 908,495
--------------
TURKEY -- 2.1%
Akbank (Banks and Credit Cos.) ......... 6,613,472 $ 97,208
Haci Omer Sabanci Holdings A.S., ADR
(Conglomerate)## ..................... 4,413 23,941
Migros Turk T.A.S. (Retail) ............ 34,100 42,442
Tupras Turkiye Petrol Rafinerileri A.S.
(Oils) ............................... 397,900 26,413
Turkiye Is Bankasi A.S. (Banks and
Credit Cos.) ......................... 6,972,620 123,977
Yapi ve Kredi Bankasi (Banks and Credit
Cos.) ................................ 6,207,900 89,775
Yapi ve Kredi Bankasi Receipts (Banks
and Credit Cos.)* .................... 9,961,440 144,057
--------------
$ 547,813
--------------
Total Stocks
(Identified Cost, $21,517,699) ..................... $ 23,662,717
--------------
SHORT-TERM OBLIGATIONS -- 7.1%
Principal Amount
(000 Omitted)
Federal Home Loan Bank, due 7/01/99, at
Amortized Cost ....................... $ 1,870 $ 1,870,000
--------------
Total Investments
(Identified Cost, $23,387,699) ..................... $ 25,532,717
--------------
OTHER ASSETS,
LESS LIABILITIES -- 2.4% 625,780
--------------
Net Assets -- 100.0% ................................. $ 26,158,497
--------------
--------------
See portfolio footnotes and notes to financial statements
</TABLE>
29-FCE
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
MONEY MARKET SERIES
COMMERCIAL PAPER -- 47.8%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
American General Finance Corp., due
7/02/99 .............................. $14,000 $ 13,998,129
Ameritech Corp., due 7/27/99 ........... 7,000 6,974,773
Archer Daniels Midland Co., due
8/19/99 .............................. 5,000 4,966,993
Associates Corp. of North America, due
7/28/99 - 8/30/99 .................... 14,500 14,408,031
Banc One Corp., due 9/13/99 -
9/14/99 .............................. 17,000 16,821,886
Bank of America, FSB, due 8/03/99 ...... 10,000 9,955,817
Bellsouth Telecomm, Inc., due 7/13/99 -
8/04/99 .............................. 17,000 16,939,528
Campbell Soup Co., due 7/12/99 ......... 8,100 8,088,169
Caterpillar Financial Services N V, due
7/16/99 - 8/02/99 .................... 17,000 16,949,910
Ford Motor Credit Corp., due 8/16/99 ... 10,000 9,935,856
Formosa Plastics Corp. (Bank of
America), due 10/08/99 ............... 6,000 5,917,335
General Electric Capital Corp., due
7/06/99 - 7/30/99 .................... 17,000 16,955,590
General Motors Acceptance Corp., due
9/01/99 .............................. 7,000 6,940,445
GTE Funding, Inc., due 7/19/99 ......... 2,000 1,994,850
Heinz (H.J.) Co., due 7/14/99 .......... 9,700 9,683,257
IBM Credit Corp., due 8/09/99 .......... 9,700 9,648,299
Minnesota Mining & Manufacturing Co.,
due 7/19/99 .......................... 10,000 9,975,350
Morgan (J.P.) & Co., Inc., due 8/20/99 -
9/15/99 .............................. 17,000 16,860,376
Motorola, Inc., due 7/29/99 ............ 10,000 9,962,822
National Rural Utilities Cooperative
Finance Corp., due 7/09/99 ........... 5,000 4,994,700
Sara Lee Corp., due 7/01/99 ............ 10,000 10,000,000
Shell Oil Co., due 7/07/99 ............. 10,000 9,992,067
-----------------
Total Commercial Paper, at Amortized Cost ............. $ 231,964,183
-----------------
U.S. GOVERNMENT AND
AGENCY OBLIGATIONS -- 51.2%
Federal Farm Credit Bank, due
7/01/99 .............................. $50,000 $ 50,000,000
Federal Home Loan Bank, due 7/01/99 .... 24,900 24,900,000
Federal Home Loan Mortgage, due 7/15/99
- 9/02/99 ............................ 57,650 57,373,841
Federal National Mortgage Assn., due
8/13/99 - 11/04/99 ................... 67,000 66,317,478
Student Loan Marketing Assn., due
7/01/99 .............................. 50,000 50,000,000
-----------------
Total U.S. Government and Agency Obligations,
at Amortized Cost ................................... $ 248,591,319
-----------------
Total Investments, at Amortized Cost .................. $ 480,555,502
OTHER ASSETS, LESS
LIABILITIES -- 1.0% 4,626,072
-----------------
Net Assets -- 100.0% .................................. $ 485,181,574
-----------------
-----------------
See portfolio footnotes and notes to financial statements
</TABLE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
STRATEGIC INCOME SERIES
BONDS -- 67.2%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
U.S. BONDS -- 43.3%
<S> <C> <C>
BANKS AND CREDIT COMPANIES -- 2.6%
Natexis AMBS Co. LLC, 8.44s, 2049 ...... $ 100 $ 96,500
Residential Accredit Loans, Inc., 7.75s,
2027 ................................. 246 245,459
-------------
$ 341,959
-------------
BUILDING MATERIALS -- 1.1%
Building Materials Corp., 8.625s,
2006 ................................. $ 150 $ 147,000
-------------
BUSINESS SERVICES -- 1.5%
Pierce Leahy Corp., 9.125s, 2007 ....... $ 150 $ 152,250
Unisystem Corp., 7.875s, 2008 .......... 50 50,750
-------------
$ 203,000
-------------
CHEMICALS -- 1.2%
NL Industries, Inc., 11.75s, 2003 ...... $ 150 $ 159,000
-------------
CONSUMER GOODS AND SERVICES -- 0.2%
Hayes Wheels International, Inc.,
9.125s, 2007 ......................... $ 25 $ 25,125
-------------
CONTAINERS -- 0.4%
Gaylord Container Corp. "B", 9.75s,
2007 ................................. $ 50 $ 47,875
-------------
ENERGY -- 0.7%
Cheasapeake Energy Corp., 9.625s,
2005 ................................. $ 100 $ 92,000
-------------
ENTERTAINMENT -- 2.1%
Circus Circus Enterprises, Inc., 6.7s,
2096 ................................. $ 100 $ 95,014
Time Warner Entertainment Co. LP,
8.375s, 2033 ......................... 168 182,670
-------------
$ 277,684
-------------
INFORMATION, PAGING AND
TECHNOLOGY -- 1.3%
NEXTEL Communications, Inc., 0s to 2003,
9.95s to 2008 ........................ $ 250 $ 172,500
-------------
MEDIA -- 2.7%
Frontiervision Operating Partnership LP,
11s, 2006 ............................ $ 100 $ 110,000
Hollinger International Publishing,
Inc., 9.25s, 2007 .................... 100 102,250
Lenfest Communications, Inc., 10.5s,
2006 ................................. 125 143,750
-------------
$ 356,000
-------------
METALS AND MINERALS -- 1.7%
P&L Coal Holdings Corp., 9.625s,
2008 ................................. $ 225 $ 226,688
-------------
RETAIL -- 0.4%
Revlon Consumer Products Corp., 8.125s,
2006 ................................. $ 50 $ 48,750
-------------
SUPERMARKETS -- 0.7%
Marsh Supermarkets, Inc., 8.875s,
2007 ................................. $ 100 $ 100,000
-------------
TELECOMMUNICATIONS -- 3.6%
Centennial Cellular Operating Co.,
10.75s, 2008## ....................... $ 200 $ 207,000
Century Communications Corp., 9.5s,
2005 ................................. 100 103,250
Mobile Telecommunication Technologies
Corp., 13.5s, 2002 ................... 150 169,500
-------------
$ 479,750
-------------
U.S. GOVERNMENT GUARANTEED
BONDS -- 20.3%
U.S. Treasury Bonds, 9.875s, 2015 ...... $ 214 $ 292,044
U.S. Treasury Bonds, 10.375s, 2012 ..... 750 955,665
U.S. Treasury Notes, 4.75s, 2008 ....... 400 367,312
U.S. Treasury Notes, 8.5s, 2000 ........ 1,050 1,071,493
-------------
$ 2,686,514
-------------
</TABLE>
30-MMS
<PAGE>
BONDS -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. BONDS -- continued
UTILITIES -- ELECTRIC -- 2.8%
CMS Energy Corp., 6.75s, 2004 .......... $ 150 $ 143,500
CSC Holdings, Inc., 9.25s, 2005 ........ 125 130,625
Niagara Mohawk Power Corp. "D", 7.25s,
2002 ................................. 100 100,576
-------------
$ 374,701
-------------
Total U.S. Bonds ..................................... $ 5,738,546
-------------
FOREIGN BONDS -- 23.9%
ARGENTINA -- 2.6%
Argentina Global, 11s, 2006 (Banks and
Credit Companies) .................... $ 100 $ 92,450
Republic of Argentina, 10.75s,
2004## ............................... 250 246,250
-------------
$ 338,700
-------------
BERMUDA -- 0.4%
Flag Ltd., 8.25s, 2008
(Telecommunications) ................. $ 50 $ 46,625
-------------
BRAZIL -- 3.9%
Federal Republic of Brazil, 5.875s,
2006 ................................. $ 238 $ 186,746
Federal Republic of Brazil, 6.063s,
2001 ................................. 246 235,250
Federal Republic of Brazil, 11.625s,
2004 ................................. 100 93,130
-------------
$ 515,126
-------------
CANADA -- 0.6%
Metronet Communications Corp., 0s to
2003, 9.95s to 2008
(Telecommunications) ................. $ 75 $ 55,500
Repap New Brunswick, Inc., 9s, 2004
(Forest and Paper Products) .......... 20 18,550
-------------
$ 74,050
-------------
GREECE -- 1.8%
Hellenic Republic, 8.6s, 2008 .......... GRD 33,000 $ 120,336
Hellenic Republic, 8.9s, 2003 .......... 35,000 119,302
-------------
$ 239,638
-------------
INDONESIA -- 1.5%
App Intl Finance Co, 8.077s, 1999 ...... $ 200 $ 196,000
-------------
MEXICO -- 5.3%
Groupo Minero Mexico SA De Cv, 8.25s,
2008 ................................. $ 250 $ 205,000
TV Azteca "B", 10.5s, 2007 ............. 250 191,375
United Mexican States, 8.625s, 2008 .... 100 92,000
United Mexican States, 11.375s, 2016 ... 200 212,000
-------------
$ 700,375
-------------
NEW ZEALAND -- 2.7%
Government of New Zealand, 8s, 2004 .... NZD 640 $ 362,497
-------------
PANAMA -- 0.6%
Republic of Panama, 8.875s, 2027 ....... $ 100 $ 82,750
-------------
POLAND -- 1.2%
Republic of Poland, 4s, 2024 ........... $ 250 $ 160,000
-------------
RUSSIA -- 0.9%
Russia Principal Loans, 3.438s,
2020+** .............................. $ 1,000 $ 121,300
-------------
THAILAND -- 0.7%
Siam City Bank Public Co., 7.375s, 2001
(Banks and Credit Companies) ......... $ 100 $ 90,500
-------------
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
FOREIGN BONDS -- continued
UNITED KINGDOM -- 1.7%
Telewest PLC, 9.625s, 2006 (Media) ..... $ 100 $ 103,000
U.K. Treasury Bonds, 6.75s, 2004 ....... GBP 76 127,262
-------------
$ 230,262
-------------
Total Foreign Bonds .................................. $ 3,157,823
-------------
Total Bonds
(Identified Cost, $9,118,950) ...................... $ 8,896,369
-------------
PREFERRED STOCK -- 1.2%
<CAPTION>
Shares
<S> <C> <C>
CSC Holdings, Inc., 11.125%, (Media)*
(Identified Cost, $136,250) .......... 1,392 $ 154,512
-------------
CONVERTIBLE BOND -- 0.9%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Interim Services, Inc., 4.5s, 2005
(Business Services) (Identified Cost
$116,250) ............................ $ 150 $ 126,938
-------------
WARRANTS*
<CAPTION>
Shares
<S> <C> <C>
Republic of Argentina, Expire
9/19/27, (Identified Cost, $2,400) ... 100 $ 750
-------------
CALL OPTIONS PURCHASED -- 0.1%
Principal Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
Euro/July/1.0515 ....................... EUR 594 $ 12,042
Japanese Yen/July/118.5 ................ JPY 77,214 1,467
-------------
Total Call Options Purchased
(Premiums Paid, $9,560) ............................ $ 13,509
-------------
PUT OPTIONS PURCHASED -- 0.1%
Euro/July/1.0325 ....................... EUR 920 $ 1,487
Euro/August/1.025 ...................... 596 2,870
Japanese Yen/July/121.7 ................ JPY 105,740 4,441
Japanese Yen/September/125 ............. 82,229 4,194
Japanese Yen/ Euro/July/125 ............ 77,375 3,250
-------------
Total Put Options Purchased
(Premiums Paid, $25,623) ........................... $ 16,242
-------------
SHORT-TERM OBLIGATIONS -- 28.7%
Principal Amount
Issuer (000 Omitted)
Federal Home Loan Bank, due 7/01/99 -
7/07/99, at Amortized Cost ........... $ 3,800 $ 3,799,163
-------------
Total Investments
(Identified Cost, $13,208,196) ..................... $ 13,007,483
-------------
CALL OPTIONS WRITTEN -- (0.2%)
Principal Amount
of Contracts
Issuer/Expiration Month/Price (000 Omitted)
Australian Dollars/April/0.625 ......... AUD (603) $ (4,159)
Euro/July/1.0515 ....................... EUR (594) (12,041)
Japanese Yen/August/117 ................ JPY (63,351) (2,091)
Japanese Yen/September/118 ............. (77,625) (9,392)
Japanese Yen/July/112.75 ............... (97,964) --
-------------
Total Call Options Written
(Premiums Paid, $(33,174)) ......................... $ (27,683)
-------------
OTHER ASSETS, LESS LIABILITIES -- 2.0% 263,949
-------------
Net Assets -- 100.0% ................................. $ 13,243,749
-------------
-------------
See portfolio footnotes and notes to financial statements
</TABLE>
31-SIS
<PAGE>
PORTFOLIO OF INVESTMENTS (Unaudited) -- June 30, 1999
ZERO COUPON SERIES, PORTFOLIO 2000
U.S. GOVERNMENT GUARANTEED -- 100.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
TREASURY INVESTMENTS
GROWTH RECEIPTS -- 6.0%
Series 18, due 2/15/01 ................. $ 97 $ 88,474
Series 12, due 5/15/01 ................. 22 19,764
Series 15, due 8/15/01 ................. 88 77,829
----------------
Total Treasury Investment Growth Receipts
(Identified Cost, $167,258) ......................... $ 186,067
----------------
U.S. TREASURY SECURITIES STRIPPED
INTEREST PAYMENTS -- 94.1%
Generic Coupons, due 5/15/00 ........... $ 617 $ 589,827
Generic Coupons, due 8/15/00 ........... 93 87,698
Generic Coupons, due 11/15/00 .......... 2,327 2,163,505
Generic Coupons, due 5/15/01 ........... 81 73,136
----------------
Total U.S. Treasury Securities Stripped Interest
Payments (Identified Cost, $2,861,823) .............. $ 2,914,166
----------------
Total Investments
(Identified Cost, $3,029,081) ....................... $ 3,100,233
----------------
OTHER ASSETS,
LESS LIABILITES -- (0.1)% (1,941)
----------------
Net Assets -- 100.0% .................................. $ 3,098,292
----------------
----------------
See portfolio footnotes and notes to financial statements
Portfolio Footnotes:
</TABLE>
* Non-income producing security.
** Non-income producing security-in default.
# Payment-in-kind security.
## SEC Rule 144A restriction.
### Security segregated as collateral for an open futures contract.
+ Restricted security.
++ Security valued by or at the direction of the Trustees.
++++ Inverse floating rate security.
<TABLE>
<S> <C> <C>
Abbreviations have been used throughout this report to indicate amounts shown
in currencies other than the U.S. dollar. A list of abbreviations is shown
below.
AUD =Australian Dollars GRD=Greek Drachma
CAD=Canadian Dollars JPY =Japanese Yen
DKK =Danish Kroner NZD =New Zealand Dollars
EUR =Euro SEK =Swedish Krone
GBP =British Pounds
</TABLE>
32-ZOO
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 1999
<TABLE>
<CAPTION>
Global Global Global Government High
Assets: Bond Asset Governments Total Return Securities Yield
Investments -- Series Allocation Series Series Series Series Series
----------- ------------------ -------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Unaffiliated issuers,
at identified
cost............... $39,079,012 $ 120,051,833 $ 90,491,840 $ 101,515,236 $ 489,727,988 $ 336,826,912
Unrealized
appreciation
(depreciation)..... (871,875) 6,157,082 (3,541,927) 7,303,755 (4,940,316) (7,940,542)
----------- ------------------ -------------- --------------- --------------- ---------------
Total
investments, at
value.......... $38,207,137 $ 126,208,915 $ 86,949,913 $ 108,818,991 $ 484,787,672 $ 328,886,370
Cash................... 85,340 53,380 6,564 37,009 82 8,379
Foreign currency, at
value (identified
cost, $0, $219,186,
$0, $38,109, $0, and
$0, respectively).... -- 218,097 -- 37,919 -- --
Net receivable for
forward foreign
currency exchange
contracts to
purchase............. -- 164,299 -- -- -- --
Net receivable for
forward foreign
currency exchange
contracts to sell.... -- -- 87,015 61,677 -- --
Net receivable for
forward foreign
currency exchange
contracts subject to
master netting
agreements........... -- 218,377 -- 33,810 -- --
Receivable for
investments sold..... 908,998 982,745 177,843 55,509 -- 5,043,979
Receivable for Series
shares sold.......... 80,893 4,871 62,637 48,424 299,944 292,634
Interest and dividends
receivable........... 474,874 714,922 984,826 617,961 5,698,898 6,266,308
Other assets........... 74 1,593 1,384 1,037 5,536 3,765
----------- ------------------ -------------- --------------- --------------- ---------------
Total assets..... $39,757,316 $ 128,567,199 $ 88,270,182 $ 109,712,337 $ 490,792,132 $ 340,501,435
----------- ------------------ -------------- --------------- --------------- ---------------
----------- ------------------ -------------- --------------- --------------- ---------------
Liabilities:
Payable for investment
purchased............ $ 1,967,343 $ 402,534 $ 1,688,410 $ 790,514 $ -- $ 3,224,671
Payable for Series
shares reacquired.... 30,367 30,999 105,371 421 105,260 225,033
Collateral for
securities loaned, at
value................ -- 8,115,726 -- 6,787,096 -- --
Payable for daily
variation margin on
open futures
contracts............ -- 183,070 -- -- -- --
Net payable for forward
foreign currency
exchange contracts to
sell................. -- 35,110 21,878 255 -- --
Net payable for forward
foreign currency
exchange contracts
subject to master
netting agreements... -- -- 495,894 -- -- --
Written options
outstanding, at value
(premiums received
$0, $346,497,
$356,431, $32,377,
$0, and $0,
respectively)........ -- 274,279 653,029 127 -- --
Payable to affiliates
--
Management fee....... 617 2,454 1,749 2,087 7,361 6,922
Administrative fee... 15 49 34 42 201 138
Accrued expenses and
other liabilities.... 13,548 47,978 38,558 33,938 52,635 32,834
----------- ------------------ -------------- --------------- --------------- ---------------
Total
liabilities.... $ 2,011,890 $ 9,092,199 $ 3,004,923 $ 7,614,480 $ 165,457 $ 3,489,598
----------- ------------------ -------------- --------------- --------------- ---------------
Net assets............... $37,745,426 $ 119,475,000 $ 85,265,259 $ 102,097,857 $ 490,626,675 $ 337,011,837
----------- ------------------ -------------- --------------- --------------- ---------------
----------- ------------------ -------------- --------------- --------------- ---------------
Net assets consist of:
Paid-in capital........ $38,225,134 $ 110,410,789 $ 88,820,836 $ 89,026,778 $ 490,429,826 $ 341,568,652
Unrealized appreciation
(depreciation) on
investments and
translation of assets
and liabilities in
foreign currencies... (871,875) 6,228,807 (4,300,144) 7,415,573 (4,940,316) (7,940,542)
Accumulated
undistributed net
realized gain (loss)
on investments and
foreign currency
transactions......... (459,053) 1,805,419 129,561 5,049,592 (9,842,232) (11,657,474)
Accumulated
undistributed net
investment income.... 851,220 1,029,985 615,006 605,914 14,979,397 15,041,201
----------- ------------------ -------------- --------------- --------------- ---------------
Total............ $37,745,426 $ 119,475,000 $ 85,265,259 $ 102,097,857 $ 490,626,675 $ 337,011,837
----------- ------------------ -------------- --------------- --------------- ---------------
----------- ------------------ -------------- --------------- --------------- ---------------
Shares of beneficial
interest
outstanding.......... 3,641,081 8,447,092 8,388,984 6,680,217 39,384,643 38,026,282
----------- ------------------ -------------- --------------- --------------- ---------------
----------- ------------------ -------------- --------------- --------------- ---------------
Net asset value,
offering price and
redemption price
per share (net assets
DIVIDED BY shares of
beneficial interest
outstanding)......... $10.37 $14.14 $10.16 $15.28 $12.46 $8.86
----------- ------------------ -------------- --------------- --------------- ---------------
----------- ------------------ -------------- --------------- --------------- ---------------
</TABLE>
See notes to financial statements
33
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) -- June 30, 1999 -- continued
<TABLE>
<CAPTION>
International MFS/Foreign
Growth and & Colonial Money Strategic Zero Coupon
Assets: Income Emerging Markets Market Income Series,
Investments -- Series Equities Series Series Series Portfolio 2000
-------------- ----------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Unaffiliated issuers,
at identified
cost............... $ 66,191,956 $23,387,699 $ 480,555,502 $ 13,208,196 $3,029,081
Unrealized
appreciation
(depreciation)..... 6,540,764 2,145,018 -- (200,713) 71,152
-------------- ----------------- --------------- -------------- ---------------
Total
investments, at
value.......... $ 72,732,720 $25,532,717 $ 480,555,502 $ 13,007,483 $3,100,233
Cash................... 47,600 6,564 82,896 59,909 212
Foreign currency, at
value (identified
cost $187,004,
$282,865, $0, $0, and
$0, respectively).... 186,222 280,508 -- -- --
Net receivable for
forward foreign
currency exchange
contracts to sell.... -- -- -- 10,890 --
Receivable for
investments sold..... 66,251 448,564 -- 157,287 --
Receivable for Series
shares sold.......... 6,351,988 16,093 5,762,409 45,194 --
Interest and dividends
receivable........... 136,986 99,896 -- 170,200 --
Other assets........... 734 262 6,143 36 46
-------------- ----------------- --------------- -------------- ---------------
Total assets..... $ 79,522,501 $26,384,604 $ 486,406,950 $ 13,450,999 $3,100,491
-------------- ----------------- --------------- -------------- ---------------
-------------- ----------------- --------------- -------------- ---------------
Liabilities:
Payable for investments
purchased............ 1,400 203,925 -- 119,283 --
Payable for Series
shares reacquired.... 2,882 2,597 1,188,518 2,653 72
Net payable for forward
foreign currency
exchange contracts to
purchase............. -- -- -- 4,018 --
Net payable for forward
foreign currency
exchange contracts
subject to master
netting agreements... -- -- -- 40,072 --
Written options
outstanding, at value
(premiums received
$0, $0, $0, $33,174,
and $0,
respectively)........ -- -- -- 27,683 --
Payable to affiliates
--
Management fee....... 1,949 889 6,585 270 21
Administrative fee... 30 11 198 5 --
Accrued expenses and
other liabilities.... 33,126 18,685 30,075 13,266 2,106
-------------- ----------------- --------------- -------------- ---------------
Total
liabilities.... $ 39,387 $ 226,107 $ 1,225,376 $ 207,250 $ 2,199
-------------- ----------------- --------------- -------------- ---------------
Net assets............... $ 79,483,114 $26,158,497 $ 485,181,574 $ 13,243,749 $3,098,292
-------------- ----------------- --------------- -------------- ---------------
-------------- ----------------- --------------- -------------- ---------------
Net assets consist of:
Paid-in capital........ $ 68,636,864 $29,962,047 $ 485,181,574 $ 13,200,334 $2,934,803
Unrealized appreciation
(depreciation) on
investments and
translation of assets
and liabilities in
foreign currencies... 6,538,420 2,134,017 -- (228,564) 71,152
Accumulated
undistributed net
realized gain (loss)
on investments and
foreign currency
transactions......... 3,844,024 (6,059,158) -- (59,761) (9,682)
Accumulated
undistributed net
investment income.... 463,806 121,591 -- 331,740 102,019
-------------- ----------------- --------------- -------------- ---------------
Total............ $ 79,483,114 $26,158,497 $ 485,181,574 $ 13,243,749 $3,098,292
-------------- ----------------- --------------- -------------- ---------------
-------------- ----------------- --------------- -------------- ---------------
Shares of beneficial
interest
outstanding.......... 6,252,199 2,704,175 485,181,574 1,323,081 366,232
-------------- ----------------- --------------- -------------- ---------------
-------------- ----------------- --------------- -------------- ---------------
Net asset value,
offering price and
redemption price per
share (net assets
DIVIDED BY shares of
beneficial interest
outstanding)......... $12.71 $9.67 $1.00 $10.01 $8.46
-------------- ----------------- --------------- -------------- ---------------
-------------- ----------------- --------------- -------------- ---------------
</TABLE>
See notes to financial statements
34
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS (Unaudited) -- Six Months Ended June 30, 1999
<TABLE>
<CAPTION>
Global Asset Global Global Government High
Net investment income: Bond Allocation Governments Total Return Securities Yield
Income -- Series Series Series Series Series Series
----------- ------------- ------------ ------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Interest............. $ 961,807 $ 1,620,077 $ 2,468,205 $ 1,133,300 $ 16,450,891 $ 16,515,654
Dividends............ -- 576,459 -- 697,250 -- 195,224
Foreign taxes
withheld........... -- (57,969) -- (65,879) -- --
----------- ------------- ------------ ------------- ------------- ------------
Total investment
income........... $ 961,807 $ 2,138,567 $ 2,468,205 $ 1,764,671 $ 16,450,891 $ 16,710,878
----------- ------------- ------------ ------------- ------------- ------------
Expenses --
Management fee....... $ 85,125 $ 451,683 $ 347,574 $ 371,707 $ 1,319,875 $ 1,286,703
Trustees'
compensation....... 246 1,610 998 492 5,807 4,395
Administrative
fees............... 2,128 9,034 6,951 7,434 35,997 25,715
Custodian fees....... 4,478 46,267 32,795 36,002 73,080 68,538
Printing............. 1,070 6,494 8,757 5,866 24,491 20,473
Auditing fees........ 12,329 20,591 19,129 18,904 3,529 3,530
Legal fees........... 693 2,581 829 768 689 892
Miscellaneous........ 2,031 5,253 813 978 13,572 11,011
----------- ------------- ------------ ------------- ------------- ------------
Total expenses..... $ 108,100 $ 543,513 $ 417,846 $ 442,151 $ 1,477,040 $ 1,421,257
Fees paid
indirectly......... (2,155) (3,187) (1,274) (2,113) (5,943) (9,091)
----------- ------------- ------------ ------------- ------------- ------------
Net expenses....... $ 105,945 $ 540,326 $ 416,572 $ 440,038 $ 1,471,097 $ 1,412,166
----------- ------------- ------------ ------------- ------------- ------------
Net investment
income......... $ 855,862 $ 1,598,241 $ 2,051,633 $ 1,324,633 $ 14,979,794 $ 15,298,712
----------- ------------- ------------ ------------- ------------- ------------
Realized and unrealized
gain (loss) on
investments and foreign
currency transactions:
Realized gain (loss)
(identified cost
basis) --
Investment
transactions....... $ (458,000) $ 1,565,755 $ (291,909) $ 4,251,475 $ (2,841,618) $ (3,014,257)
Foreign currency
transactions....... (839) 2,026,552 (234,813) 688,215 -- (1,322)
Futures contracts.... -- (474,154) -- -- -- --
Written options
transactions....... -- 938,541 656,760 112,407 -- --
----------- ------------- ------------ ------------- ------------- ------------
Net realized gain
(loss) on
investments and
foreign currency
transactions..... $ (458,839) $ 4,056,694 $ 130,038 $ 5,052,097 $ (2,841,618) $ (3,015,579)
----------- ------------- ------------ ------------- ------------- ------------
Change in unrealized
appreciation
(depreciation) --
Investments.......... $ (923,068) $ (1,765,514) $ (7,726,713) $ (6,856,954) $ (22,528,898) $ 4,452,378
Translation of assets
and liabilities in
foreign
currencies......... 102 226,760 (952,419) 27,868 -- --
Futures contracts.... -- 98,727 -- -- -- --
Written options...... -- (74,364) (254,621) 32,250 -- --
----------- ------------- ------------ ------------- ------------- ------------
Net unrealized gain
(loss) on
investments and
foreign currency
translation...... $ (922,966) $ (1,514,391) $ (8,933,753) $ (6,796,836) $ (22,528,898) $ 4,452,378
----------- ------------- ------------ ------------- ------------- ------------
Net realized and
unrealized gain
(loss) on
investments and
foreign
currency....... $(1,381,805) $ 2,542,303 $ (8,803,715) $ (1,744,739) $ (25,370,516) $ 1,436,799
----------- ------------- ------------ ------------- ------------- ------------
Increase
(decrease) in
net assets
from
operations... $ (525,943) $ 4,140,544 $ (6,752,082) $ (420,106) $ (10,390,722) $ 16,735,511
----------- ------------- ------------ ------------- ------------- ------------
----------- ------------- ------------ ------------- ------------- ------------
</TABLE>
See notes to financial statements
35
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF OPERATIONS (Unaudited) -- Six Months Ended June 30,
1999 -- continued
<TABLE>
<CAPTION>
International MFS / Foreign
Growth and & Colonial Money Strategic Zero
Net investment income: Income Emerging Markets Market Income Coupon Series
Income -- Series Equity Series Series Series Portfolio 2000
-------------- ----------------- -------------- ------------ --------------
<S> <C> <C> <C> <C> <C>
Interest............. $ 108,265 $ 29,512 $ 11,427,167 $ 425,008 $110,799
Dividends............ 878,053 274,209 -- -- --
Foreign taxes
withheld........... (95,620) (19,204) -- -- --
-------------- ----------------- -------------- ------------ -------
Total investment
income........... $ 890,698 $ 284,517 $ 11,427,167 $ 425,008 $110,799
-------------- ----------------- -------------- ------------ -------
Expenses --
Management fee....... $ 350,652 $ 122,133 $ 1,168,694 $ 38,648 $ 4,140
Trustees'
compensation....... 384 217 6,935 96 44
Administrative
fees............... 5,395 1,466 35,061 773 247
Custodian fees....... 40,356 17,424 81,837 4,178 1,569
Printing............. 4,922 3,154 3,565 1,531 104
Auditing fees........ 15,404 13,543 2,029 19,579 4,279
Legal fees........... 464 658 592 984 1,260
Miscellaneous........ 2,024 202 29,553 1,487 216
-------------- ----------------- -------------- ------------ -------
Total expenses..... $ 419,601 $ 158,797 $ 1,328,266 $ 67,276 $ 11,859
Reduction of expenses
by investment
adviser............ -- -- -- -- (3,078)
Fees paid
indirectly......... (965) -- (1,370) (2,862) (500)
-------------- ----------------- -------------- ------------ -------
Net expenses....... $ 418,636 $ 158,797 $ 1,326,896 $ 64,414 $ 8,281
-------------- ----------------- -------------- ------------ -------
Net investment
income......... $ 472,062 $ 125,720 $ 10,100,271 $ 360,594 $102,518
-------------- ----------------- -------------- ------------ -------
Realized and unrealized
gain (loss) on
investments and foreign
currency transactions:
Realized gain (loss)
(identified cost
basis) --
Investment
transactions....... $ 3,875,252 $(1,209,585) $ -- $ 9,708 $ 17,364
Foreign currency
transactions....... (6,040) (104,559) -- (72,970) --
Written options
transactions....... -- -- -- 66,013 --
-------------- ----------------- -------------- ------------ -------
Net realized gain
(loss) on
investments and
foreign currency
transactions..... $ 3,869,212 $(1,314,144) $ -- $ 2,751 $ 17,364
-------------- ----------------- -------------- ------------ -------
Change in unrealized
appreciation
(depreciation) --
Investments.......... $ (4,645,989) $ 6,297,406 $ -- $ (121,153) $(87,592)
Translation of assets
and liabilities in
foreign
currencies......... (7,537) (8,384) -- (63,061) --
Written options...... -- -- -- 8,528 --
-------------- ----------------- -------------- ------------ -------
Net unrealized gain
(loss) on
investments and
foreign currency
translation...... $ (4,653,526) $ 6,289,022 $ -- $ (175,686) $(87,592)
-------------- ----------------- -------------- ------------ -------
Net realized and
unrealized gain
(loss) on
investments and
foreign
currency....... $ (784,314) $ 4,974,878 $ -- $ (172,935) $(70,228)
-------------- ----------------- -------------- ------------ -------
Increase
(decrease) in
net assets
from
operations... $ (312,252) $ 5,100,598 $ 10,100,271 $ 187,659 $ 32,290
-------------- ----------------- -------------- ------------ -------
-------------- ----------------- -------------- ------------ -------
</TABLE>
See notes to financial statements
36
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Unaudited) -- Six Months Ended June 30,
1999
<TABLE>
<CAPTION>
Global Global
Increase (decrease) in Asset Global Total Government High
net assets: Bond Allocation Governments Return Securities Yield
From operations -- Series Series Series Series Series Series
----------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net investment
income............... $ 855,862 $ 1,598,241 $ 2,051,633 $ 1,324,633 $ 14,979,794 $ 15,298,712
Net realized gain
(loss) on investments
and foreign currency
transactions......... (458,839) 4,056,694 130,038 5,052,097 (2,841,618) (3,015,579)
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... (922,966) (1,514,391) (8,933,753) (6,796,836) (22,528,898) 4,452,378
----------- ------------ ------------ ------------ ------------ ------------
Increase (decrease)
in net assets from
operations......... $ (525,943) $ 4,140,544 $ (6,752,082) $ (420,106) $(10,390,722) $ 16,735,511
----------- ------------ ------------ ------------ ------------ ------------
Distributions declared to
shareholders --
From net investment
income............... $ (290,409) $ (6,365,955) $ (7,038,965) $ (3,142,302) $(24,646,039) $(28,064,079)
From net realized gain
on investments and
foreign currency
transactions......... (165,561) (224,969) (2,593,019) (4,453,264) -- --
In excess of net
realized gain on
investments and
foreign currency
transactions......... (214) -- -- -- -- --
----------- ------------ ------------ ------------ ------------ ------------
Total distributions
declared to
shareholders....... $ (456,184) $ (6,590,924) $ (9,631,984) $ (7,595,566) $(24,646,039) $(28,064,079)
----------- ------------ ------------ ------------ ------------ ------------
Net increase (decrease)
in net assets from
series share
transactions........... $19,132,790 $ (4,715,231) $ 2,429,318 $ 10,158,147 $ 68,189,448 $ 22,108,048
----------- ------------ ------------ ------------ ------------ ------------
Total increase
(decrease) in
net assets..... $18,150,663 $ (7,165,611) $(13,954,748) $ 2,142,475 $ 33,152,687 $ 10,779,480
----------- ------------ ------------ ------------ ------------ ------------
Net assets --
At beginning of
period............... 19,594,763 126,640,611 99,220,007 99,955,382 457,473,988 326,232,357
----------- ------------ ------------ ------------ ------------ ------------
At end of period....... $37,745,426 $119,475,000 $ 85,265,259 $102,097,857 $490,626,675 $337,011,837
----------- ------------ ------------ ------------ ------------ ------------
----------- ------------ ------------ ------------ ------------ ------------
Accumulated undistributed
net investment income
included in net assets
at end of period....... $ 851,220 $ 1,029,985 $ 615,006 $ 605,914 $ 14,979,397 $ 15,041,201
----------- ------------ ------------ ------------ ------------ ------------
----------- ------------ ------------ ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign & Zero
Increase (decrease) in International Colonial Money Strategic Coupon
net assets: Growth and Emerging Markets Market Income Series,
From operations -- Income Series Equity Series Series Series Portfolio 2000
-------------- ----------------- --------------- -------------- ----------------
<S> <C> <C> <C> <C> <C>
Net investment
income............... $ 472,062 $ 125,720 $ 10,100,271 $ 360,594 $ 102,518
Net realized gain
(loss) on investments
and foreign currency
transactions......... 3,869,212 (1,314,144) -- 2,751 17,364
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... (4,653,526) 6,289,022 -- (175,686) (87,592)
-------------- ----------------- --------------- -------------- --------
Increase (decrease)
in net assets from
operations......... $ (312,252) $ 5,100,598 $ 10,100,271 $ 187,659 $ 32,290
-------------- ----------------- --------------- -------------- --------
Distributions declared to
shareholders --
From net investment
income............... $ (524,003) $ -- $ (10,100,271) $ (163,606) $ (207,141)
From net realized gain
on investments and
foreign currency
transactions......... (1,761,981) -- -- (108,318) --
-------------- ----------------- --------------- -------------- --------
Total distributions
declared to
shareholders....... $ (2,285,984) $ -- $ (10,100,271) $ (271,924) $ (207,141)
-------------- ----------------- --------------- -------------- --------
Net increase (decrease)
in net assets from
series share
transactions........... $ 6,670,942 $ 3,939,051 $ 19,636,648 $ 5,547,585 $ (200,336)
-------------- ----------------- --------------- -------------- --------
Total increase
(decrease) in
net assets..... $ 4,072,706 $ 9,039,649 $ 19,636,648 $ 5,463,320 $ (375,187)
-------------- ----------------- --------------- -------------- --------
Net assets --
At beginning of
period............... 75,410,408 17,118,848 465,544,926 7,780,429 3,473,479
-------------- ----------------- --------------- -------------- --------
At end of period....... $ 79,483,114 $26,158,497 $ 485,181,574 $ 13,243,749 $3,098,292
-------------- ----------------- --------------- -------------- --------
-------------- ----------------- --------------- -------------- --------
Accumulated undistributed
net investment income
included in net assets
at end of period....... $ 463,806 $ 121,591 $ -- $ 331,740 $ 102,019
-------------- ----------------- --------------- -------------- --------
-------------- ----------------- --------------- -------------- --------
</TABLE>
See notes to financial statements
37
<PAGE>
MFS/SUN LIFE SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS -- Year Ended December 31, 1998
<TABLE>
<CAPTION>
MFS/Foreign &
Increase (decrease) in Government High International Colonial Money
net assets: Bond Securities Yield Growth and Emerging Markets Market
From operations -- Series* Series Series Income Series Equity Series Series
----------- ------------ ------------ -------------- ----------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Net investment
income............... $ 286,503 $ 24,731,974 $ 27,879,724 $ 518,238 $ 215,874 $ 19,399,147
Net realized gain
(loss) on investments
and foreign currency
transactions......... 164,825 4,256,193 (5,522,275) 2,053,594 (4,849,172) --
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... 51,091 6,630,534 (20,305,241) 9,549,247 (2,880,714) --
----------- ------------ ------------ -------------- ----------------- ---------------
Increase (decrease)
in net assets from
operations......... $ 502,419 $ 35,618,701 $ 2,052,208 $ 12,121,079 $(7,514,012) $ 19,399,147
----------- ------------ ------------ -------------- ----------------- ---------------
Distributions declared to
shareholders --
From net investment
income............... $ -- $(23,191,736) $(20,130,545) $ (586,185) $ (302,910) $ (19,399,147)
From net realized gain
on investments and
foreign currency
transactions......... -- -- -- (1,412,404) (215,066) --
In excess of net
realized gain on
investments and
foreign currency
transactions......... -- -- -- -- (115,045) --
From paid-in capital... -- -- -- -- (126,919) --
----------- ------------ ------------ -------------- ----------------- ---------------
Total distributions
declared to
shareholders....... $ -- $(23,191,736) $(20,130,545) $ (1,998,589) $ (759,940) $ (19,399,147)
----------- ------------ ------------ -------------- ----------------- ---------------
Net increase in net
assets from series
share transactions..... $19,092,344 $ 57,315,137 $ 69,103,703 $ 13,919,815 $ 1,211,349 $ 125,484,692
----------- ------------ ------------ -------------- ----------------- ---------------
Total increase
(decrease) in
net assets..... $19,594,763 $ 69,742,102 $ 51,025,366 $ 24,042,305 $(7,062,603) $ 125,484,692
----------- ------------ ------------ -------------- ----------------- ---------------
Net assets --
At beginning of period
..................... -- 387,731,886 275,206,991 51,368,103 24,181,451 340,060,234
----------- ------------ ------------ -------------- ----------------- ---------------
At end of period....... $19,594,763 $457,473,988 $326,232,357 $ 75,410,408 $17,118,848 $ 465,544,926
----------- ------------ ------------ -------------- ----------------- ---------------
----------- ------------ ------------ -------------- ----------------- ---------------
Accumulated undistributed
net investment income
(loss) included in net
assets at end of
period................. $ 285,767 $ 24,645,642 $ 27,806,568 $ 515,747 $ (4,129) $ --
----------- ------------ ------------ -------------- ----------------- ---------------
----------- ------------ ------------ -------------- ----------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
Global Global Zero
Increase (decrease) in Strategic Asset Global Total Coupon
net assets: Income Allocation Governments Return Series,
From operations -- Series* Series Series Series Portfolio 2000
---------- ------------ ------------ ----------- ---------------
<S> <C> <C> <C> <C> <C>
Net investment
income............... $ 173,162 $ 4,188,880 $ 4,822,969 $ 2,124,421 $ 206,642
Net realized gain on
investments and
foreign currency
transactions......... 7,396 657,197 5,130,598 5,296,675 19,426
Net unrealized gain
(loss) on investments
and foreign currency
translation.......... (52,878) 2,216,838 4,371,169 7,137,922 18,507
---------- ------------ ------------ ----------- ---------------
Increase in net
assets from
operations......... $ 127,680 $ 7,062,915 $ 14,324,736 $14,559,018 $ 244,575
---------- ------------ ------------ ----------- ---------------
Distributions declared to
shareholders --
From net investment
income............... $ -- $ (4,297,027) $ (1,288,659) $(1,714,056) $ (212,590)
From net realized gain
on investments and
foreign currency
transactions......... -- (5,162,478) -- (2,223,292) --
---------- ------------ ------------ ----------- ---------------
Total distributions
declared to
shareholders....... $ -- $ (9,459,505) $ (1,288,659) $(3,937,348) $ (212,590)
---------- ------------ ------------ ----------- ---------------
Net increase (decrease)
in net assets from
series share
transactions........... $7,652,749 $ 6,124,797 $(24,202,161) $17,510,519 $ (172,594)
---------- ------------ ------------ ----------- ---------------
Total increase
(decrease) in
net assets..... $7,780,429 $ 3,728,207 $(11,166,084) $28,132,189 $ (140,609)
---------- ------------ ------------ ----------- ---------------
Net assets --
At beginning of
period............... -- 122,912,404 110,386,091 71,823,193 3,614,088
---------- ------------ ------------ ----------- ---------------
At end of period....... $7,780,429 $126,640,611 $ 99,220,007 $99,955,382 $3,473,479
---------- ------------ ------------ ----------- ---------------
---------- ------------ ------------ ----------- ---------------
Accumulated undistributed
net investment income
included in net assets
at end of period....... $ 134,752 $ 5,797,699 $ 5,602,338 $ 2,423,583 $ 206,642
---------- ------------ ------------ ----------- ---------------
---------- ------------ ------------ ----------- ---------------
</TABLE>
* For the period from the commencement of the Series' investment operations,
May 6, 1998, through December 31, 1998.
See notes to financial statements
38
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Bond Series
--------------------------------------------
Six Months Ended
Per share data (for a share outstanding June 30, 1999 Period Ended
throughout each period): (Unaudited) December 31, 1998***
----------------- ------------------------
<S> <C> <C>
Net asset value -- beginning of
period................................ $10.6897 $10.0000****
------- -------
Income from investment operations# --
Net investment incomeSection.......... $ 0.2878 $ 0.3306
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions............... (0.4602) 0.3591
------- -------
Total from investment
operations....................... $(0.1724) $ 0.6897
------- -------
Less distributions declared to
shareholders
From net investment income............ $(0.0960) --
From net realized gain on investments
and foreign currency transactions... (0.0547) --
In excess of net realized gain on
investments and foreign currency
transactions........................ (0.0001) --
------- -------
Total distributions declared to
shareholders..................... $(0.1508) --
------- -------
Net asset value -- end of period........ $10.3665 $10.6897
------- -------
------- -------
Total return++.......................... (1.69%)++ 6.90%++
Ratios (to average net
assets)/Supplemental dataSection:
Expenses##............................ 0.76%+ 1.03%+
Net investment income................. 6.04%+ 4.88%+
Portfolio turnover...................... 164% 161%
Net assets, end of period (000
omitted).............................. $ 37,745 $ 19,595
</TABLE>
Section The investment adviser voluntarily waived all or a portion of the
advisory fee for the Bond Series for the period indicated. If these fees
had been incurred by the Series, the net investment
income per share and the ratios would have been:
<TABLE>
<S> <C>
Net investment income............................. $ 0.3282
Ratios (to average net assets):
Expenses##...................................... 1.07%+
Net investment income........................... 4.84%+
</TABLE>
<TABLE>
<CAPTION>
Global Asset Allocation Series
-------------------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 --------------------------------------------------------- Period Ended
throughout each period): (Unaudited) 1998 1997 1996 1995 December 31, 1994**
----------------- ------------ ------------ ------------ ------------ -----------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $14.4449 $14.5377 $13.7794 $12.2250 $10.0579 $10.0000****
------- ------------ ------------ ------------ ------------ -------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.1890 $ 0.4686 $ 0.4412 $ 0.3731 $ 0.4205 $ 0.0220
Net realized and
unrealized gain on
investments and
foreign currency
transactions......... 0.3186 0.5338 1.0178 1.5563 1.7540 0.0359
------- ------------ ------------ ------------ ------------ -------
Total from
investment
operations....... $ 0.5076 $ 1.0024 $ 1.4590 $ 1.9294 $ 2.1745 $ 0.0579
------- ------------ ------------ ------------ ------------ -------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.7810) $(0.4975) $(0.2242) $(0.1300) $(0.0074) -$-
From net realized gain
on investments and
foreign currency
transactions......... (0.0276) (0.5977) (0.4765) (0.2450) -- --
------- ------------ ------------ ------------ ------------ -------
Total distributions
declared to
shareholders..... $(0.8086) $(1.0952) $(0.7007) $(0.3750) $(0.0074) -$-
------- ------------ ------------ ------------ ------------ -------
Net asset value -- end of
period................. $14.1439 $14.4449 $14.5377 $13.7794 $12.2250 $10.0579
------- ------------ ------------ ------------ ------------ -------
------- ------------ ------------ ------------ ------------ -------
Total return++........... 3.55%++ 6.60% 10.87% 16.04% 21.56% 0.60%++
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.90%+ 0.90% 0.92% 0.94% 0.67% 1.50%+
Net investment
income............... 2.65%+ 3.21% 3.06% 2.84% 3.70% 3.13%+
Portfolio turnover....... 97% 163% 162% 154% 146% 2%
Net assets at end of
period (000 omitted)... $119,475 $126,641 $122,912 $ 77,016 $ 25,863 $ 3,003
</TABLE>
Section The investment adviser voluntarily waived all or a portion of its
advisory fee for the Global Asset Allocation Series for the periods
indicated. If these fees had been incurred by the Series, the net
investment income per share and the ratios would have been:
<TABLE>
<S> <C> <C>
Net investment income................... $0.3716 $ 0.0041
Ratios (to average net assets):
Expenses##.............................. 1.11% 4.05%+
Net investment income................... 3.27% 0.58%+
</TABLE>
+ Annualized.
++ Not annualized.
** For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
*** For the period from the commencement of the Series' investment operations,
May 6, 1998, through December 31, 1998.
**** Net asset value on date of commencement of operations.
# Per share data are based on average shares outstanding.
## Each of the Series' has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. For fiscal years
ending after September 1, 1995, the Series' expenses are calculated without
reduction for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
39
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Global Governments Series
--------------------------------------------------------------------------------------------
Per share data (for a Six Months ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $12.2271 $10.7247 $11.2582 $12.4866 $11.3769 $13.0212
------- ------------ ------------ ------------ ------------ ------------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.2528 $ 0.5302 $ 0.5770 $ 0.6882 $ 0.8031 $ 0.6095
Net realized and
unrealized gain
(loss) on investments
and foreign currency
transactions......... (1.0652) 1.1118 (0.6754) (0.2081) 0.9511 (1.2295)
------- ------------ ------------ ------------ ------------ ------------
Total from
investment
operations....... $(0.8124) $ 1.6420 $(0.0984) $ 0.4801 $ 1.7542 $(0.6200)
------- ------------ ------------ ------------ ------------ ------------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.9140) $(0.1396) $(0.3742) $(1.7085) $(0.0058) $(0.8823)
From net realized gain
on investments and
foreign currency
transactions......... (0.3367) -- (0.0548) -- (0.6387) (0.1420)
In excess of net
realized gain on
investments and
foreign currency
transactions......... -- -- (0.0061) -- -- --
------- ------------ ------------ ------------ ------------ ------------
Total distributions
declared to
shareholders..... $(1.2507) $(0.1396) $(0.4351) $(1.7085) $(0.6445) $(1.0243)
------- ------------ ------------ ------------ ------------ ------------
Net asset value -- end of
period................. $10.1640 $12.2271 $10.7247 $11.2582 $12.4866 $11.3769
------- ------------ ------------ ------------ ------------ ------------
------- ------------ ------------ ------------ ------------ ------------
Total return++........... (7.19)%++ 15.46% (0.76)% 4.66% 15.69% (4.46)%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.90%+ 0.88% 0.91% 0.90% 0.89% 0.90%
Net investment
income............... 2.19%+ 4.75% 5.43% 6.00% 6.67% 6.06%
Portfolio turnover....... 111% 315% 344% 390% 329% 269%
Net assets at end of
period (000 omitted)... $ 85,265 $ 99,220 $110,386 $141,764 $152,487 $139,155
</TABLE>
<TABLE>
<CAPTION>
Global Total Return Series
-------------------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 --------------------------------------------------------- Period Ended
throughout each period): (Unaudited) 1998 1997 1996 1995 December 31, 1994**
----------------- ------------ ------------ ------------ ------------ -----------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $16.6060 $14.6971 $13.2657 $11.8346 $10.0405 $10.0000****
------- ------------ ------------ ------------ ------------ -------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.2118 $ 0.3813 $ 0.3979 $ 0.4131 $ 0.4437 $ 0.0247
Net realized and
unrealized gain
(loss) on investments
and foreign currency
transactions......... (0.2833) 2.2629 1.3759 1.2480 1.3564 0.0158
------- ------------ ------------ ------------ ------------ -------
Total from
investment
operations....... $(0.0715) $ 2.6442 $ 1.7738 $ 1.6611 $ 1.8001 $ 0.0405
------- ------------ ------------ ------------ ------------ -------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.5175) $(0.3201) $(0.1756) $(0.2300) $(0.0060) -$-
From net realized gain
on investments and
foreign currency
transactions......... (0.7334) (0.4152) (0.1668) -- -- --
------- ------------ ------------ ------------ ------------ -------
Total distributions
declared to
shareholders..... $(1.2509) $(0.7353) $(0.3424) $(0.2300) $(0.0060) -$-
------- ------------ ------------ ------------ ------------ -------
Net asset value -- end of
period................. $15.2836 $16.6060 $14.6971 $13.2657 $11.8346 $10.0405
------- ------------ ------------ ------------ ------------ -------
------- ------------ ------------ ------------ ------------ -------
Total return++........... (0.50)%++ 18.37% 13.61% 14.33% 17.89% 0.40%++
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.89%+ 0.93% 1.04% 0.96% 0.77% 1.50%+
Net investment
income............... 2.67%+ 2.44% 2.85% 3.33% 4.01% 3.31%+
Portfolio turnover....... 65% 141% 171% 148% 146% 1%
Net assets at end of
period (000 omitted)... $102,098 $ 99,955 $ 71,823 $ 37,638 $ 13,786 $ 1,384
</TABLE>
Section The investment adviser voluntarily waived all or a portion of its
advisory fee for the Global Total Return Series for the periods indicated.
If these fees had been incurred by the Series, the net investment income
(loss) per share and the ratios would have been:
<TABLE>
<S> <C> <C>
Net investment income (loss)............ $0.3972 $ (0.0405)
Ratios (to average net assets):
Expenses##............................ 1.19% 6.93%+
Net investment income................. 3.59% (2.12)%+
</TABLE>
+ Annualized.
++ Not annualized.
** For the period from the commencement of the Series' investment operations,
November 7, 1994, through December 31, 1994.
**** Net asset value on date of commencement of operations.
# Per share data are based on average shares outstanding.
## Each of the Series' has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. For fiscal years
ending after September 1, 1995, the Series' expenses are calculated without
reduction for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
40
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Government Securities Series
--------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $13.3946 $13.0406 $12.8672 $13.3900 $12.1219 $13.0951
------- ------------ ------------ ------------ ------------ ------------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.4055 $ 0.7663 $ 0.8109 $ 0.8445 $ 0.8311 $ 0.6366
Net realized and
unrealized gain
(loss) on investments
and foreign currency
transactions......... (0.6796) 0.3211 0.2490 (0.6620) 1.2183 (0.9238)
------- ------------ ------------ ------------ ------------ ------------
Total from
investment
operations....... $(0.2741) $ 1.0874 $ 1.0599 $ 0.1825 $ 2.0494 $(0.2872)
------- ------------ ------------ ------------ ------------ ------------
Less distributions
declared to
shareholders --
From net investment
income............... $(0.6632) $(0.7334) $(0.8865) $(0.7053) $(0.7813) $(0.4959)
From net realized gain
on investments and
foreign currency
transactions......... -- -- -- -- -- (0.1901)
------- ------------ ------------ ------------ ------------ ------------
Total distributions
declared to
shareholders..... $(0.6632) $(0.7334) $(0.8865) $(0.7053) $(0.7813) $(0.6860)
------- ------------ ------------ ------------ ------------ ------------
Net asset value -- end of
period................. $12.4573 $13.3946 $13.0406 $12.8672 $13.3900 $12.1219
------- ------------ ------------ ------------ ------------ ------------
------- ------------ ------------ ------------ ------------ ------------
Total return++........... (2.03)%++ 8.70% 8.72% 1.65% 17.66% (2.21)%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.62%+ 0.62% 0.63% 0.63% 0.63% 0.62%
Net investment
income............... 6.24%+ 5.82% 6.38% 6.60% 6.59% 6.01%
Portfolio turnover....... 50% 107% 182% 57% 80% 90%
Net assets, end of period
(000 omitted).......... $490,627 $457,474 $387,732 $383,107 $368,848 $347,150
</TABLE>
<TABLE>
<CAPTION>
High Yield Series
--------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 9.1635 $ 9.7108 $ 9.2131 $ 8.9222 $ 8.1860 $ 9.1120
------- ------------ ------------ ------------ ------------ ------------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.4148 $ 0.8380 $ 0.8206 $ 0.8012 $ 0.7891 $ 0.8226
Net realized and
unrealized gain
(loss) on investments
and foreign currency
transactions......... 0.0563 (0.7526) 0.3319 0.2131 0.5494 (1.0387)
------- ------------ ------------ ------------ ------------ ------------
Total from
investment
operations....... $ 0.4711 $ 0.0854 $ 1.1525 $ 1.0143 $ 1.3385 $(0.2161)
------- ------------ ------------ ------------ ------------ ------------
Less distributions from
net investment
income................. $(0.7720) $(0.6327) $(0.6548) $(0.7234) $(0.6023) $(0.7099)
------- ------------ ------------ ------------ ------------ ------------
Net asset value -- end of
period................. $ 8.8626 $ 9.1635 $ 9.7108 $ 9.2131 $ 8.9222 $ 8.1860
------- ------------ ------------ ------------ ------------ ------------
------- ------------ ------------ ------------ ------------ ------------
Total return++........... 5.02%++ 0.58% 13.24% 12.12% 16.93% (2.16)%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.83%+ 0.82% 0.84% 0.84% 0.87% 0.86%
Net investment
income............... 8.92%+ 8.78% 8.70% 9.01% 9.17% 8.94%
Portfolio turnover....... 50% 135% 130% 88% 66% 82%
Net assets, end of period
(000 omitted).......... $337,012 $326,232 $275,207 $196,498 $153,800 $102,194
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Each of the Series' has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. For fiscal years
ending after September 1, 1995, Series' expenses are calculated without
reduction for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
41
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
International Growth and Income Series
-------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 --------------------------------------------- Period Ended
throughout each period): (Unaudited) 1998 1997 1996 December 31, 1995**
----------------- ------------- ------------- ------------- -----------------------
<S> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 13.1854 $ 11.1722 $ 10.6247 $ 10.1282 $10.0000****
------- ------------- ------------- ------------- -------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.0821 $ 0.0983 $ 0.1356 $ 0.2326 $ 0.0295
Net realized and
unrealized gain
(loss) on investments
and foreign currency
transactions......... (0.1424) 2.3104 0.5497 0.2639 0.0987
------- ------------- ------------- ------------- -------
Total from
investment
operations....... $ (0.0603) $ 2.4087 $ 0.6853 $ 0.4965 $ 0.1282
------- ------------- ------------- ------------- -------
Less distributions
declared to
shareholders --
From net investment
income............... $ (0.0945) $ (0.1160) $ (0.1124) $ -- -$-
From net realized gain
on investments and
foreign currency
transactions......... (0.3178) (0.2795) (0.0254) -- --
------- ------------- ------------- ------------- -------
Total distributions
declared to
shareholders..... $ (0.4123) $ (0.3955) $ (0.1378) $ -- -$-
------- ------------- ------------- ------------- -------
Net asset value -- end of
period................. $ 12.7128 $ 13.1854 $ 11.1722 $ 10.6247 $10.1282
------- ------------- ------------- ------------- -------
------- ------------- ------------- ------------- -------
Total return++........... (0.49)%++ 21.68% 6.53% 4.84% 1.30%++
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 1.17+ 1.16% 1.22% 0.97% 1.50%+
Net investment
income............... 1.31%+ 0.79% 1.24% 2.21% 1.64%+
Portfolio turnover....... 53% 54% 194% 51% --
Net assets at end of
period (000 omitted)... $ 79,483 $ 75,410 $ 51,368 $ 35,710 $ 7,179
</TABLE>
Section The investment adviser voluntarily waived all or a
portion of its advisory fee for the International Growth and Income Series
for the periods indicated. If these fees had been incurred by the Series,
the net investment income per share and the ratios would have been:
<TABLE>
<S> <C> <C>
Net investment income................... $ 0.2101 $0.0119
Ratios (to average net assets):
Expenses##............................ 1.16% 2.48% +
Net investment income................. 2.02% 0.66% +
</TABLE>
<TABLE>
<CAPTION>
MFS-Registered Trademark-/Foreign & Colonial Emerging Markets Equity
Series
--------------------------------------------------------------------------
Per share data (for a share Six Months Ended Year Ended December 31,
outstanding throughout each June 30, 1999 ----------------------------- Period Ended
period): (Unaudited) 1998 1997 December 31, 1996*
----------------- ------------- ------------- ----------------------
<S> <C> <C> <C> <C>
Net asset value -- beginning
of period................... $ 7.4902 $ 11.0359 $ 10.0013 $ 10.0000****
------- ------------- ------------- -------
Income from investment
operations# --
Net investment
incomeSection............. $ 0.0528 $ 0.0934 $ 0.1638 $ 0.0706
Net realized and unrealized
gain (loss) on investments
and foreign currency
transactions.............. 2.1303 (3.2974) 0.8773 (0.0693)
------- ------------- ------------- -------
Total from investment
operations............. $ 2.1831 $ (3.2040) $ 1.0411 $ 0.0013
------- ------------- ------------- -------
Less distributions declared to
shareholders --
From net investment
income.................... -- $ (0.1362) $ (0.0065) $--
From net realized gain on
investments and foreign
currency transactions..... -- (0.0967) -- --
In excess of net realized
gain on investments and
foreign currency
transactions.............. -- (0.0517) -- --
From paid-in capital........ -- (0.0571) -- --
------- ------------- ------------- -------
Total distributions
declared to
shareholders........... $-- $ (0.3417) $ (0.0065) $--
------- ------------- ------------- -------
Net asset value -- end of
period...................... $ 9.6733 $ 7.4902 $ 11.0359 $ 10.0013
------- ------------- ------------- -------
------- ------------- ------------- -------
Total return++................ 29.24%++ (29.98)% 10.46% 0.00%++
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##.................. 1.63%+ 1.59% 1.07% 1.55%+
Net investment income....... 1.29%+ 1.03% 1.38% 0.77%+
Portfolio turnover............ 43% 92% 69% 4%
Net assets at end of period
(000 omitted)............... $ 26,158 $ 17,119 $ 24,181 $ 3,271
</TABLE>
Section The investment adviser voluntarily waived all or a
portion of its advisory fee for the MFS-Registered Trademark-/Foreign &
Colonial Emerging Markets Equity Series for the periods indicated. If these
fees had been incurred by the Series, the net investment income (loss) per
share and the ratios would have been:
<TABLE>
<S> <C> <C>
Net investment income (loss)............ $ 0.1552 $ (0.0975)
Ratios (to average net assets):
Expenses##............................ 1.55% 3.38%+
Net investment income (loss).......... 0.90% (1.12%)+
</TABLE>
+ Annualized.
++ Not annualized.
* For the period from the commencement of the Series' investment operations,
June 5, 1996, through December 31, 1996.
** For the period from the commencement of the Series' investment operations,
October 2, 1995, through December 31, 1995.
**** Net asset value on date of commencement of operations.
# Per share data are based on average shares outstanding.
## Each of the Series has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. The Series'
expenses are calculated without reduction for this expense offset
arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
42
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Money Market Series
--------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
------- ------------ ------------ ------------ ------------ ------------
Income from investment
operations# --......... $ 0.0212 $ 0.0494 $ 0.0495 $ 0.0483 $ 0.0520 $ 0.0363
------- ------------ ------------ ------------ ------------ ------------
Less distributions from
net investment
income................. $(0.0212) $(0.0494) $(0.0495) $(0.0483) $(0.0520) $(0.0363)
------- ------------ ------------ ------------ ------------ ------------
Net asset value -- end of
period................. $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
------- ------------ ------------ ------------ ------------ ------------
------- ------------ ------------ ------------ ------------ ------------
Total return++........... 2.16%++ 5.02% 5.06% 4.95% 5.44% 3.69%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.57%+ 0.56% 0.57% 0.56% 0.59% 0.58%
Net investment
income............... 4.32%+ 4.94% 4.94% 4.82% 5.30% 3.74%
Net assets at end of
period (000 omitted)... $485,182 $465,545 $340,060 $409,165 $282,754 $252,175
</TABLE>
<TABLE>
<CAPTION>
Strategic Income Series
--------------------------------------------
Six Months Ended
Per share data (for a share outstanding June 30, 1999 Period ended
throughout each period): (Unaudited) December 31, 1998***
----------------- ------------------------
<S> <C> <C>
Net asset value -- beginning of
period................................ $10.0439 $ 10.0000****
Income from investment operations# --
Net investment incomeSection.......... $ 0.3501 $ 0.4206
Net realized and unrealized loss on
investments and foreign currency
transactions........................ (0.1432) (0.3767)
------- -------
Total from investment
operations....................... $ 0.2069 $ 0.0439
------- -------
Less distributions declared to
shareholders
From net investment income............ $(0.1450) --
From net realized gain on investments
and foreign currency transactions... (0.0960) --
------- -------
Total distributions declared to
shareholders..................... $(0.2410) --
------- -------
Net asset value -- end of period........ $10.0098 $ 10.0439
------- -------
------- -------
Total return++.......................... 2.06%++ 0.40%++
Ratios (to average net
assets)/Supplemental dataSection:
Expenses##............................ 1.30%+ 1.29%+
Net investment income................. 6.97%+ 6.52%+
Portfolio turnover...................... 128% 182%
Net assets at end of period (000
omitted).............................. $ 13,244 $ 7,780
</TABLE>
Section The investment adviser voluntarily waived all or a
portion of its advisory fee for the Strategic Income Series for the period
indicated. If these fees had been incurred by the Series, the net
investment income per share and the ratios would have been:
<TABLE>
<S> <C>
Net investment income............................. $ 0.4122
Ratios (to average net assets):
Expenses##...................................... 1.42%+
Net investment income........................... 6.41%+
</TABLE>
+ Annualized.
++ Not annualized.
*** For the period from the commencement of the Series' investment operations,
May 6, 1998, through December 31, 1998.
**** Net asset value on date of commencement of operations.
# Per share data are based on average shares outstanding.
## Each of the Series has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. The Series'
expenses are calculated without reduction for this expense offset
arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
43
<PAGE>
MFS/SUN LIFE SERIES TRUST
FINANCIAL HIGHLIGHTS -- continued
<TABLE>
<CAPTION>
Zero Coupon Series, Portfolio 2000
--------------------------------------------------------------------------------------------
Per share data (for a Six Months Ended Year Ended December 31,
share outstanding June 30, 1999 ------------------------------------------------------------------------
throughout each period): (Unaudited) 1998 1997 1996 1995 1994
----------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value --
beginning of period.... $ 8.9692 $ 8.9096 $ 8.8822 $ 9.0619 $ 7.9573 $11.1167
------- ------------ ------------ ------------ ------------ ------------
Income from investment
operations# --
Net investment
incomeSection........ $ 0.2728 $ 0.5225 $ 0.4949 $ 0.2094 $ 0.4340 $ 0.3807
Net realized and
unrealized gain
(loss) on
investments.......... (0.1869) 0.0960 0.0896 (0.0528) 1.1038 (1.1094)
------- ------------ ------------ ------------ ------------ ------------
Total from
investment
operations....... $ 0.0859 $ 0.6185 $ 0.5845 $ 0.1566 $ 1.5378 $(0.7287)
------- ------------ ------------ ------------ ------------ ------------
Less distributions --
From net investment
income............... $(0.5952) $(0.5589) $(0.5571) $(0.3363) $(0.4332) $(0.6250)
From net realized gain
on investments....... -- -- -- -- -- (1.8057)
------- ------------ ------------ ------------ ------------ ------------
Total
distributions.... $(0.5952) $(0.5589) $(0.5571) $(0.3363) $(0.4332) $(2.4307)
------- ------------ ------------ ------------ ------------ ------------
Net asset value -- end of
period................. $ 8.4599 $ 8.9692 $ 8.9096 $ 8.8822 $ 9.0619 $ 7.9573
------- ------------ ------------ ------------ ------------ ------------
------- ------------ ------------ ------------ ------------ ------------
Total return++........... 0.97%++ 7.28% 6.98% 1.91% 19.88% (6.99)%
Ratios (to average net
assets)/Supplemental
dataSection:
Expenses##............. 0.53%+ 0.53% 0.54% 0.53% 0.52% 0.53%
Net investment
income............... 6.19%+ 5.88% 5.71% 5.23% 5.18% 4.95%
Portfolio turnover....... --% --% --% 2% 27% 12%
Net assets at end of
period (000 omitted)... $ 3,098 $ 3,473 $ 3,614 $ 4,337 $ 4,616 $ 3,280
</TABLE>
Section The investment adviser and/or the distributor voluntarily waived a
portion of their fees, respectively, for certain of the periods indicated.
If the fee had been incurred by the Series, the net investment income per
share and the ratios would have been:
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
Net investment income.... $0.2648 $0.4879 $0.4728 $0.2045 -- --
Ratios (to average net
assets):
Expenses##............. 0.72% + 0.92% 0.80% 0.62% -- --
Net investment
income............... 6.00% + 5.49% 5.38% 5.08% -- --
</TABLE>
+ Annualized.
++ Not annualized.
# Per share data are based on average shares outstanding.
## Each of the Series has an expense offset arrangement which reduces the
Series' custodian fee based upon the amount of cash maintained by the
Series with its custodian and dividend disbursing agent. For fiscal years
ending after September 1, 1995, the Series' expenses are calculated without
reduction for this expense offset arrangement.
++ The total return information shown above does not reflect expenses that
apply to the separate accounts established by Sun Life of Canada (U.S.) and
Sun Life (N.Y.). Inclusion of these charges would reduce the total return
figures for all periods shown.
See notes to financial statements
44
<PAGE>
MFS/SUN LIFE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) BUSINESS AND ORGANIZATION
The Trust is organized as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company consisting of twenty-six separate Series (the Series) of
shares: Bond Series*, Capital Appreciation Series, Capital Opportunities Series,
Emerging Growth Series, Equity Income Series, Global Asset Allocation Series*
(formerly World Asset Allocation Series), Global Governments Series* (formerly
World Governments Series), Global Growth Series (formerly World Growth Series),
Global Total Return Series*, Government Securities Series*, High Yield Series*,
International Growth Series, International Growth and Income Series*, Managed
Sectors Series, Massachusetts Investors Growth Stock Series, Massachusetts
Investors Trust Series, MFS/Foreign & Colonial Emerging Markets Equity Series*,
Money Market Series*, New Discovery Series, Research Series, Research Growth and
Income Series, Research International Series, Strategic Income Series*, Total
Return Series, Utilities Series, and Zero Coupon Series, Portfolio 2000*. The
Global Asset Allocation Series, Global Governments Series, Global Growth Series,
Global Total Return Series, High Yield Series, Managed Sectors Series, Strategic
Income Series, and Utilities Series, are non-diversified as that term is defined
in the Investment Company Act of 1940, as amended. The shares of each Series are
sold only to variable accounts established by Sun Life Assurance company of
Canada (U.S.) and Sun Life Insurance and Annuity Company of New York to Trust
benefits under variable contracts issued by such companies.
The Series denoted with an asterisk above are included within these financial
statements.
(2) SIGNIFICANT ACCOUNTING POLICIES
General - The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates. Investments
in foreign securities are vulnerable to the effects of changes in the relative
values of the local currency and the U.S. dollar and to the effects of changes
in each country's legal, political, and economic environment.
The High Yield Series can invest up to 100% of its portfolio in high-yield
securities rated below investment grade. Investments in high-yield securities
involve greater degrees of credit and market risk than investments in
higher-rated securities, and tend to be more sensitive to economic conditions.
Investment Valuations - Equity securities listed on securities exchanges or
reported through the NASDAQ system are reported at market value using last sale
prices. Unlisted equity securities or listed equity securities for which last
sale prices are not available are reported at market value using last quoted bid
prices. Debt securities (other than short-term obligations which mature in 60
days or less), including listed issues and forward contracts are valued on the
basis of valuations furnished by dealers or by a pricing service with
consideration to factors such as institutional-size trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics, and other market data, without exclusive reliance upon exchange
or over-the-counter prices. Short-term obligations, which mature in 60 days or
less, are valued at amortized cost, which approximates market value. Money
market instruments are valued at amortized cost, which the Trustees have
determined in good faith approximates fair value. The Trust's use of amortized
cost is subject to the Trust's compliance with certain conditions as specified
under Rule 2a-7 of the Investment Company Act of 1940. Futures contracts,
options, and options on futures contracts listed on commodities exchanges are
reported at market value using closing settlement prices. Over-the-counter
options on securities are valued by brokers. Over-the-counter currency options
are valued through the use of a pricing model which takes into account foreign
currency exchange spot and forward rates, implied volatility, and short-term
repurchase rates. Securities for which there are no such quotations or
valuations are valued at fair value as determined in good faith by the Trustees.
Repurchase Agreements - Certain Series of the Trust may enter into repurchase
agreements with institutions that the Trust's investment adviser has determined
are creditworthy. Each repurchase agreement is recorded at cost. Such Series
require that the collateral in a repurchase transaction be transferred to the
custodian in a manner sufficient to enable the Trust to obtain those securities
in the event of a default under the repurchase agreement. The investment advisor
monitors, on a daily basis, the value of the collateral to ensure that its
value, including accrued interest, is greater than amounts owed to the Series
under each such repurchase agreement. Certain Series of the Trust, along with
other affiliated entities of Massachusetts Financial Services Company (MFS), may
utilize a joint trading account for the purpose of entering into one or more
repurchase agreements.
Foreign Currency Translation - Investment valuations, other assets, and
liabilities initially expressed in foreign currencies are converted each
business day into U.S. dollars based upon current exchange rates. Purchases and
sales of foreign investments, income, and expenses are converted into U.S.
dollars based upon currency exchange rates prevailing on the respective dates of
such transactions. Gains and losses attributable to foreign currency exchange
rates on sales of securities are recorded for financial statement purposes as
net realized gains and losses on investments. Gains and losses attributable to
foreign exchange rate movements on income and expenses are recorded for
financial statement purposes as foreign currency transaction gains and losses.
That portion of both realized and unrealized gains and losses on investments
that result from fluctuations in foreign currency exchange rates is not
separately disclosed.
Security Loans - Certain Series of the Trust may lend their securities to member
banks of the Federal Reserve System and to member firms of the New York Stock
Exchange or subsidiaries thereof. State Street Bank and Trust Company ("State
Street"), as agent, loans the securities to certain brokers (the "Borrowers")
approved by the Series. The loans are collateralized at all times by cash and/or
U.S. Treasury securities in an amount at least equal to the market value of the
securities loaned. State Street provides the Series with indemnification against
Borrower default. The Series bears the risk of loss with respect to the
investment of cash collateral.
45
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
At June 30, 1999, the value of securities loaned and their cash and U.S.
Treasury collateral were as follows:
<TABLE>
<CAPTION>
Series Value Cash U.S. Treasury
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------
Global Asset Allocation Series.................... $7,981,978 $8,115,726 $ 5,000
Global Total Return Series........................ 6,731,774 6,787,096 --
</TABLE>
Cash collateral is invested in short-term securities, which are included in the
Portfolio of Investments. A portion of the income generated upon investment of
the collateral is remitted to the Borrowers, and the remainder is allocated
between the Series and State Street in its capacity as lending agent. On loans
collateralized by U.S. Treasury securities, a fee is received from the Borrower,
and is allocated between the Series and State Street. Income from securities
lending is included in interest income on the Statement of Operations. The
dividend and interest income earned on the securities loaned is accounted for in
the same manner as other dividend and interest income.
Written Options - Certain Series of the Trust may write call or put options in
exchange for a premium. The premium is initially recorded as a liability which
is subsequently adjusted to the current value of the options contract. When a
written option expires, the Series realizes a gain equal to the amount of the
premium received. When a written call option is exercised or closed, the premium
received is offset against the proceeds to determine the realized gain or loss.
When a written put option is exercised, the premium reduces the cost basis of
the security purchased by the Series. The Series, as writer of an option, may
have no control over whether the underlying securities may be sold (call) or
purchased (put) and, as a result, bears the market risk of an unfavorable change
in the price of the securities underlying the written option. In general,
written call options may serve as a partial hedge against decreases in value in
the underlying securities to the extent of the premium received. Written options
may also be used as part of an income producing strategy reflecting the view of
the Series' management on the direction of interest rates.
Futures Contracts - Certain Series of the Trust may enter into futures contracts
for the delayed delivery of securities or currency, or contracts based on
financial indices at a fixed price on a future date. In entering such contracts,
the Series is required to deposit with the broker, either in cash or securities
an amount equal to a certain percentage of the contract amount. Subsequent
payments are made or received by the Series each day, depending on the daily
fluctuations in the value of the contract, and are recorded for financial
statement purposes as unrealized gains or losses by the Series. The Series'
investment in futures contracts is designed to hedge against anticipated future
changes in interest or exchange rates or securities prices. Investments in
interest rate futures for purposes other than hedging may be made to modify the
duration of the portfolio without incurring the additional transaction costs
involved in buying and selling the underlying securities. Investments in
currency futures for purposes other than hedging may be made to change the
Series' relative position in one or more currencies without buying and selling
portfolio assets. Investments in equity index contracts or contracts on related
options for purposes other than hedging may be made when the Series has cash on
hand and wishes to participate in anticipated market appreciation while the cash
is being invested. Should interest or exchange rates or securities prices move
unexpectedly, the Series may not achieve the anticipated benefits of the futures
contracts and may realize a loss.
Forward Foreign Currency Exchange Contracts - Certain Series of the Trust may
enter into forward foreign currency exchange contracts for the purchase or sale
of a specific foreign currency at a fixed price on a future date. 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. The
Series will enter into forward contracts for hedging purposes as well as for
nonhedging purposes. For hedging purposes, the Series may enter into contracts
to deliver or receive foreign currency it will receive from or require for its
normal investment activities. The Series may also use contracts in a manner
intended to protect foreign currency-denominated securities from declines in
value due to unfavorable exchange rate movements. For nonhedging purposes, the
Series may enter into contracts with the intent of changing the relative
exposure of the Series' portfolio of securities to different currencies to take
advantage of anticipated changes. The forward foreign currency exchange
contracts are adjusted by the daily exchange rate of the underlying currency and
any gains or losses are recorded as unrealized until the contract settlement
date. On contractual settlement date, the gains or losses are recorded as
realized gains or losses on foreign currency transactions.
Investment Transactions and Income - Investment transactions are recorded on the
trade date. Interest income is recorded on the accrual basis. All premium and
original issue discounts are amortized or accreted for financial statement and
tax reporting purposes as required by federal income tax regulations. Dividends
received in cash are recorded on the ex-dividend date. Dividend and interest
payments received in additional securities are recorded on the ex-dividend or
ex-interest date in an amount equal to the value of the security on such date.
Certain Series of the Trust use the effective interest method for reporting
interest income on payment-in-kind (PIK) bonds. Legal fees and other related
expenses incurred to preserve and protect the value of a security owned are
added to the cost of the security; other legal fees are expensed. Capital
infusions, which are generally nonrecurring or incurred to protect or enhance
the value of high-yield debt securities, are reported as an addition to the cost
basis of the security. Costs that are incurred to negotiate the terms or
conditions of capital infusions or that are expected to result in a plan of
reorganization are reported as realized losses. Ongoing costs incurred to
protect or enhance an investment, or costs incurred to pursue other claims or
legal actions, are expensed.
Fees Paid Indirectly - The Series' custody fee is calculated as a percentage of
the Series' month end net assets. The fee is reduced according to an arrangement
that measures the value of cash deposited with the custodian by the Series. This
amount is shown as a reduction of expenses on the Statement of Operations.
Tax Matters and Distributions - Each Series' policy is to comply with the
provisions of the Internal Revenue Code (the Code) applicable to regulated
investment companies and to distribute to shareholders all of its taxable
income, including any net realized gain on investments. Accordingly, no
provision for federal income or excise tax is provided.
46
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
Distributions to shareholders are recorded on the ex-dividend date. The Trust
distinguishes between distributions on a tax basis and a financial reporting
basis and requires that only distributions in excess of tax basis earnings and
profits are reported in the financial statements as distributions from paid-in
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits, which result in temporary
over-distributions for financial statement purposes, are classified as
distributions in excess of net investment income or accumulated net realized
gains.
Realized gain is reported net of any foreign capital gains tax in the Statement
of Operations.
At December 31, 1998, the following Series had a capital loss carryforward for
federal income tax purposes which may be applied against any net taxable
realized gains of each succeeding year until the earlier of its utilization or
expiration.
<TABLE>
<CAPTION>
Total Carryover 2002 2003 2004 2005 2006
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
Government Securities Series...................... $6,997,081 $2,746,862 $ 78,697 $1,721,078 $2,450,444 $ --
High Yield Series................................. 8,489,633 701,562 2,157,903 -- -- 5,630,168
MFS/Foreign & Colonial Emerging Markets Equity
Series........................................... 4,745,012 -- -- -- -- 4,745,012
Money Market Series............................... 1,161 631 -- 530 -- --
Zero Coupon Series, Portfolio 2000................ 12,172 -- 8,386 3,786 -- --
</TABLE>
(3) Transactions with Affiliates
The Trust has an investment advisory agreement with Massachusetts Financial
Services Company (MFS), an indirect subsidiary of Sun Life Assurance Company of
Canada, to provide overall investment advisory and administrative services and
general office facilities. Investment advisory fees are computed daily and paid
monthly at an effective annual rate based on a percentage of each Series'
average daily net assets. The agreements also provide that each Series will be
reimbursed for operating expenses and other expenses in excess of the expense
limitation indicated below, calculated based on the average daily net assets of
each Series for the fiscal year. Management fees and expense limitations
respectively, are as follows:
<TABLE>
<CAPTION>
Total
Management Expense
Fee Limitations
<S> <C> <C>
- ----------------------------------------------------------------------------
Bond Series....................................... 0.60% N/A
Global Asset Allocation(SM) Series................ 0.75%* N/A
Global Governments Series......................... 0.75%* 1.25%
Global Total Return Series........................ 0.75%* N/A
Government Securities Series...................... 0.55% N/A
High Yield Series................................. 0.75% N/A
International Growth and Income Series............ 0.975%* N/A
MFS-Registered Trademark-/Foreign & Colonial
Emerging Markets Equity Series................... 1.25% N/A
Money Market Series............................... 0.50% 0.60%
Strategic Income Series........................... 0.75% N/A
Zero Coupon Series, Portfolio 2000................ 0.25% 0.50%
</TABLE>
*The management fee for the Global Asset Allocation(SM) Series, Global
Governments Series, and Global Total Return Series is 0.75% of the first $300
million of average daily net assets of each of the Series and 0.675% of the
average daily net assets of each Series in excess of $300 million.
The management fee for the International Growth and Income Series is reduced to
0.925% of the average daily net assets in excess of $500 million.
Under an expense limitation agreement, Sun Life assumed expenses for the six
months ended June 30, 1999, amounting to $3,078 for the Zero Coupon Series,
Portfolio 2000.
Administrator - Each Series has an administrative services agreement with MFS to
provide the Series with certain financial, legal, shareholder servicing,
compliance, and other administrative services. As a partial reimbursement for
the cost of providing these services, each Series pays MFS an administrative fee
at the following annual percentages of the Series' average daily net assets,
provided that the administrative fee is not assessed on Series assets that
exceed $3 billion:
<TABLE>
<S> <C>
First $1 billion.................................. 0.0150%
Next $1 billion................................... 0.0125%
Next $1 billion................................... 0.0100%
In excess of $3 billion........................... 0.0000%
</TABLE>
The Trust pays no compensation directly to its Trustees or officers who are
affiliated with MFS or Sun Life Assurance Company of Canada (U.S.), all of whom
receive renumeration for their services to the Trust from MFS or Sun Life
Assurance Company of Canada. Certain officers and Trustees of the Trust are
officers or directors of MFS or Sun Life Assurance Company of Canada.
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
(4) PORTFOLIO SECURITIES
Purchases and sales of investments, other than purchased option transactions and
short-term obligations were as follows:
<TABLE>
<CAPTION>
Global Global
Asset Global Total Government
Allocation Governments Return Securities High Yield
Bond Series Series Series Series Series Series
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities........................ $21,646,139 $30,771,543 $60,164,899 $21,161,266 $283,486,958 $ 1,926,500
----------- ----------- ----------- ----------- ------------ ------------
----------- ----------- ----------- ----------- ------------ ------------
Investments (non-U.S. government securities)...... $39,767,665 $74,776,099 $33,189,655 $44,108,018 $ -- $169,026,472
----------- ----------- ----------- ----------- ------------ ------------
----------- ----------- ----------- ----------- ------------ ------------
Sales
U.S. government securities........................ $19,089,864 $26,518,549 $59,869,451 $16,777,947 $238,663,735 $ 1,935,720
----------- ----------- ----------- ----------- ------------ ------------
----------- ----------- ----------- ----------- ------------ ------------
Investments (non-U.S. government securities)...... $24,478,282 $92,102,349 $49,599,101 $44,321,381 $ -- $161,945,159
----------- ----------- ----------- ----------- ------------ ------------
----------- ----------- ----------- ----------- ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign
&
Colonial
International Emerging Zero Coupon
Growth and Markets Strategic Series,
Income Equity Money Market Income Portfolio
Series Series Series+ Series 2000
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------
Purchases
U.S. government securities........................ $ -- $ -- $ -- $1,784,807 $ --
----------- ----------- --------------- ----------- -----------
----------- ----------- --------------- ----------- -----------
Investments (non-U.S. government securities)...... $35,458,304 $10,011,287 $12,002,664,611 $11,040,730 $ --
----------- ----------- --------------- ----------- -----------
----------- ----------- --------------- ----------- -----------
Sales
U.S. government securities........................ $ -- $ -- $ -- $1,630,721 $ 417,714
----------- ----------- --------------- ----------- -----------
----------- ----------- --------------- ----------- -----------
Investments (non-U.S. government securities)...... $36,542,783 $8,081,331 $11,998,699,171 $9,302,384 $ --
----------- ----------- --------------- ----------- -----------
----------- ----------- --------------- ----------- -----------
</TABLE>
+Purchases and sales of investments for Money Market Series consist solely of
short-term obligations.
The cost and unrealized appreciation or depreciation in value of the investments
owned by the Fund, as computed on a federal income tax basis, are as follows:
<TABLE>
<CAPTION>
Global Asset Global Global Total Government
Allocation Governments Return Securities High Yield
Bond Series Series Series Series Series Series
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
Aggregate cost.......................... $39,079,018 $120,051,833 $90,491,840 $101,518,980 $489,727,988 $336,826,912
----------- ------------ ----------- ------------ ------------ ------------
----------- ------------ ----------- ------------ ------------ ------------
Gross unrealized appreciation........... $ 53,215 $ 11,451,037 $ 30,164 $ 11,009,857 $ 4,075,871 $ 7,438,140
----------- ------------ ----------- ------------ ------------ ------------
----------- ------------ ----------- ------------ ------------ ------------
Gross unrealized depreciation........... $ (925,096) $ (7,576,379) $(3,572,091) $ (3,709,846) $ (9,016,187) $(15,378,682)
----------- ------------ ----------- ------------ ------------ ------------
----------- ------------ ----------- ------------ ------------ ------------
Net unrealized appreciation
(depreciation)...................... $ (871,881) $ 3,874,658 $(3,541,927) $ 7,300,011 $ (4,940,316) $ (7,940,542)
----------- ------------ ----------- ------------ ------------ ------------
----------- ------------ ----------- ------------ ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign
&
Colonial
International Emerging
Growth and Markets Strategic Zero Coupon
Income Equity Money Market Income Series,
Series Series Series Series Portfolio 2000
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Aggregate cost.................................... $ 66,215,732 $23,387,699 $480,555,502 $13,208,196 $ 3,029,081
------------ ----------- ------------ ----------- --------------
------------ ----------- ------------ ----------- --------------
Gross unrealized appreciation..................... $ 9,044,292 $4,268,236 $ -- $ 122,846 $ 71,152
------------ ----------- ------------ ----------- --------------
------------ ----------- ------------ ----------- --------------
Gross unrealized depreciation..................... $ (2,527,304) $(2,123,218) $ -- $ (323,559 ) $ --
------------ ----------- ------------ ----------- --------------
------------ ----------- ------------ ----------- --------------
Net unrealized appreciation (depreciation)...... $ 6,516,988 $2,145,018 $ -- $ (200,713 ) $ 71,152
------------ ----------- ------------ ----------- --------------
------------ ----------- ------------ ----------- --------------
</TABLE>
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
(5) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest without par value.
Transactions in Trust shares during the six months ended June 30, 1999, and
December 31, 1998, are presented below.
<TABLE>
<CAPTION>
Bond Series
---------------------------------------------------
Six Months Ended
June 30, 1999 Period Ended
(Unaudited) December 31, 1998*
---------------------- ---------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
Shares sold....................................... 1,993,874 $21,108,747 2,318,393 $ 24,240,231
Shares issued to shareholders in reinvestment of
distributions................................... 43,529 456,184 -- --
Shares reacquired................................. (229,374) (2,432,141) (485,341) (5,147,887)
--------- ----------- ----------- --------------
Net increase.................................... 1,808,029 $19,132,790 1,833,052 $ 19,092,344
--------- ----------- ----------- --------------
--------- ----------- ----------- --------------
</TABLE>
*For the period from the commencement of the Series' investment operations, May
6, 1998, through December 31, 1998.
<TABLE>
<CAPTION>
Global Asset Allocation Series
--------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------------ ------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Shares sold....................................... 309,515 $ 4,453,174 1,735,664 $ 25,786,468
Shares issued to shareholders in reinvestment of
distributions.................................... 468,438 6,590,924 627,288 9,459,505
Shares reacquired................................. (1,098,038) (15,759,329) (2,050,525) (29,121,176)
---------- ------------ ---------- ------------
Net increase (decrease)......................... (320,085) $ (4,715,231) 312,427 $ 6,124,797
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
Global Governments Series
--------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------------ ------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Shares sold....................................... 475,206 $ 5,574,973 751,460 $ 8,474,446
Shares issued to shareholders in reinvestment of
distributions................................... 911,256 9,631,984 119,653 1,288,659
Shares reacquired................................. (1,112,229) (12,777,639) (3,049,106) (33,965,266)
---------- ------------ ---------- ------------
Net increase (decrease)......................... 274,233 $ 2,429,318 (2,177,993) $(24,202,161)
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
Global Total Return Series
-----------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
--------------------- ------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Shares sold....................................... 638,866 $10,148,170 1,900,268 $ 29,501,676
Shares issued to shareholders in reinvestment of
distributions................................... 495,794 7,595,566 255,010 3,937,348
Shares reacquired................................. (473,680) (7,585,589) (1,022,930) (15,928,505)
-------- ----------- ---------- ------------
Net increase.................................... 660,980 $10,158,147 1,132,348 $ 17,510,519
-------- ----------- ---------- ------------
-------- ----------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
Government Securities Series
----------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------------ --------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
Shares sold....................................... 7,712,103 $101,606,248 13,540,558 $ 178,146,550
Shares issued to shareholders in reinvestment of
distributions................................... 1,962,264 24,646,040 1,852,375 23,191,736
Shares reacquired................................. (4,443,366) (58,062,840) (10,971,934) (144,023,149)
---------- ------------ ----------- -------------
Net increase.................................... 5,231,001 $ 68,189,448 4,420,999 $ 57,315,137
---------- ------------ ----------- -------------
---------- ------------ ----------- -------------
</TABLE>
<TABLE>
<CAPTION>
High Yield Series
----------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------------ --------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------
Shares sold....................................... 8,258,313 $ 77,621,020 19,323,267 $ 182,977,758
Shares issued to shareholders in reinvestment of
distributions................................... 3,118,231 28,064,079 2,105,706 20,130,546
Shares reacquired................................. (8,951,584) (83,577,051) (14,167,974) (134,004,601)
---------- ------------ ----------- -------------
Net increase.................................... 2,424,960 $ 22,108,048 7,260,999 $ 69,103,703
---------- ------------ ----------- -------------
---------- ------------ ----------- -------------
</TABLE>
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS -- continued
<TABLE>
<CAPTION>
International Growth and Income Series
--------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------------ ------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Shares sold....................................... 2,457,027 $ 31,171,492 4,247,634 $ 52,324,284
Shares issued to shareholders in reinvestment of
distributions................................... 180,996 2,285,985 153,975 1,998,589
Shares reacquired................................. (2,105,044) (26,786,535) (3,280,247) (40,403,058)
---------- ------------ ---------- ------------
Net increase.................................... 532,979 $ 6,670,942 1,121,362 $ 13,919,815
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
MFS/Foreign & Colonial Emerging Markets Equity
Series
-----------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
--------------------- ------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Shares sold....................................... 920,917 $ 8,049,543 1,812,274 $ 17,009,645
Shares issued to shareholders in reinvestment of
distributions................................... -- -- 71,423 759,940
Shares reacquired................................. (502,223) (4,110,492) (1,789,384) (16,558,236)
-------- ----------- ---------- ------------
Net increase.................................... 418,694 $ 3,939,051 94,313 $ 1,211,349
-------- ----------- ---------- ------------
-------- ----------- ---------- ------------
</TABLE>
<TABLE>
<CAPTION>
Money Market Series
--------------------------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
--------------------------- ---------------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
Shares sold....................................... 308,684,312 $ 308,684,312 814,050,457 $ 814,050,457
Shares issued to shareholders in reinvestment of
distributions................................... 10,100,271 10,100,271 19,399,147 19,399,147
Shares reacquired................................. (299,147,935) (299,147,935) (707,964,912) (707,964,912)
------------ ------------- ------------ -------------
Net increase.................................... 19,636,648 $ 19,636,648 125,484,692 $ 125,484,692
------------ ------------- ------------ -------------
------------ ------------- ------------ -------------
</TABLE>
<TABLE>
<CAPTION>
Strategic Income Series
-------------------------------------------
Six Months Ended
June 30, 1999 Period Ended
(Unaudited) December 31, 1998*
------------------- ----------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------
Shares sold............................. 604,742 $6,111,761 1,127,549 $11,109,024
Shares issued to shareholders in
reinvestment of distributions......... 26,738 271,924 -- --
Shares reacquired....................... (83,043) (836,100) (352,905) (3,456,275)
------- ---------- --------- -----------
Net increase.......................... 548,437 $5,547,585 774,644 $ 7,652,749
------- ---------- --------- -----------
------- ---------- --------- -----------
</TABLE>
*For the period from the commencement of the Series' investment operations, May
6, 1998, through December 31, 1998.
<TABLE>
<CAPTION>
Zero Coupon Series, Portfolio 2000
-----------------------------------------
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
------------------ ---------------------
Shares Amount Shares Amount
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------
Shares sold....................................... 11,618 $ 104,109 94,914 $ 837,608
Shares issued to shareholders in reinvestment of
distributions.................................... 24,543 207,141 24,952 212,590
Shares reacquired................................. (57,196) (511,586) (138,240) (1,222,792)
------- --------- -------- -----------
Net decrease.................................... (21,035) $(200,336) (18,374) $ (172,594)
------- --------- -------- -----------
------- --------- -------- -----------
</TABLE>
50
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) -- continued
(6) FINANCIAL INSTRUMENTS
Certain Series of the Trust may trade financial instruments with
off-balance-sheet risk in the normal course of their investing activities in
order to manage exposure to market risks such as interest rates and foreign
currency exchange rates. These financial instruments include written options,
forward foreign currency exchange contracts, futures contracts, and swap
agreements.
The notional or contractual amounts of these instruments represent the
investment the Series have in particular classes of financial instruments and do
not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at June 30, 1999, is shown below
and on the following pages.
Written Option Transactions_--_Global Asset Allocation Series
<TABLE>
<CAPTION>
1999 Calls 1999 Puts
----------------------------- -----------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
OUTSTANDING, BEGINNING OF PERIOD --
Hong Kong Dollars...................... -- $ -- 60,324 $ 198,989
Japanese Yen.......................... 1,073,275 85,465 -- --
Japanese Yen/Euro..................... 498,684 59,695 -- --
Options written --
Australian Dollars.................... 17,026 154,854 11,363 73,731
British Pounds........................ 9,100 55,795 -- --
Canadian Dollars...................... 8,328 12,102 8,620 13,733
Euro.................................. 6,161 36,914 10,815 67,254
Euro/British Pounds................... 3,831 44,339 3,685 20,345
Japanese Yen.......................... 5,130,365 498,684 1,402,427 97,097
Swedish Krone/British Pounds.......... 51,220 74,257 -- --
Options terminated in closing
transactions --
Australian Dollars.................... -- -- (11,363) (73,731)
Euro/British Pounds................... (3,831) (44,339) (3,685) (20,345)
Japanese Yen.......................... -- -- (658,227) (39,757)
Japanese Yen/Euro..................... (498,684) (59,695) -- --
Options expired --
Australian Dollars.................... (10,641) (82,320) -- --
British Pounds........................ (9,100) (55,795) -- --
Canadian Dollars...................... (8,328) (12,102) (8,620) (13,733)
Euro.................................. -- -- (10,815) (67,254)
Hong Kong Dollars..................... -- -- (60,324) (198,989)
Japanese Yen.......................... (3,766,777) (347,100) (744,200) (57,340)
Swedish Krone/British Pounds.......... (51,220) (74,257) -- --
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 346,497 $ --
--------- ---------
--------- ---------
OPTIONS OUTSTANDING AT END OF PERIOD
CONSIST OF:
Australian Dollars.................... 6,385 $ 72,534 -- $ --
Euro.................................. 6,161 36,914 -- --
Japanese Yen.......................... 2,436,863 237,049 -- --
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 346,497 $ --
--------- ---------
--------- ---------
</TABLE>
Certain options denominated in foreign currencies have been redenominated in
accordance with the euro conversion.
At June 30, 1999, the Series had sufficient cash and/or securities at least
equal to the value of the written options.
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
Written Option Transactions_--_Global Governments Series
<TABLE>
<CAPTION>
1999 Calls 1999 Puts
----------------------------- -----------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
OUTSTANDING, BEGINNING OF PERIOD --
Japanese Yen........................... 859,341 $ 68,429 -- $ --
Japanese Yen/Euro..................... 399,429 47,814 -- --
Options written --
Australian Dollars.................... 12,654 117,250 8,162 51,752
British Pounds........................ 7,085 43,498 -- --
Euro.................................. -- -- 3,352 20,082
Euro/British Pounds................... 1,770 20,481 1,702 9,398
Japanese Government Bonds............. -- -- 2,850,000 326,025
Japanese Yen.......................... 2,978,012 313,482 1,102,266 76,733
Swedish Krone/British Pounds.......... 41,010 59,456 -- --
Options terminated in closing
transactions --
Australian Dollars.................... (4,968) (45,069) (8,162) (51,752)
Euro.................................. -- -- (3,352) (20,082)
Euro/British Pounds................... (1,770) (20,481) (1,702) (9,398)
Japanese Government Bonds............. -- -- (1,660,000) (171,910)
Japanese Yen.......................... (412,976) (91,331) (492,266) (29,733)
Japanese Yen/Euro..................... (399,429) (47,814) -- --
Options expired --
Australian Dollars.................... (2,707) (15,620) -- --
British Pounds........................ (7,085) (43,498) -- --
Japanese Yen.......................... (2,019,903) (144,825) (610,000) (47,000)
Swedish Krone/British Pounds.......... (41,010) (59,456) -- --
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 202,316 $ 154,115
--------- ---------
--------- ---------
OPTIONS OUTSTANDING AT END OF PERIOD
CONSIST OF:
Australian Dollars..................... 4,979 $ 56,561 -- $ --
Japanese Yen.......................... 1,404,474 145,755 -- --
Japanese Government Bonds............. -- -- 1,190,000 154,115
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 202,316 $ 154,115
--------- ---------
--------- ---------
</TABLE>
Certain options denominated in foreign currencies have been redenominated in
accordance with the euro conversion.
At June 30, 1999, the Series had sufficient cash and/or securities at least
equal to the value of the written options.
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
Written Option Transactions_--_Global Total Return Series
<TABLE>
<CAPTION>
1999 Calls 1999 Puts
------------------------------ -----------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
OUTSTANDING, BEGINNING OF PERIOD -- -- $ -- -- $ --
Options written --
Australian Dollars.................... 1,169 6,745 1,254 10,308
Swedish Krone/British Pounds.......... 16,302 23,634 -- --
Japanese Government Bond Futures...... -- -- 690,000 77,600
Japanese Yen.......................... 218,800 11,800 244,000 18,800
Options terminated in closing
transactions --
Australian Dollars.................... -- -- (1,254) (10,308)
Japanese Government Bond Futures...... -- -- (440,000) (45,223)
Options expired --
Australian Dollars.................... (1,169) (6,745) -- --
Swedish Krone/British Pounds.......... (16,302) (23,634) -- --
Japanese Yen.......................... (218,800) (11,800) (244,000) (18,800)
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ -- $ 32,377
--------- ---------
--------- ---------
OPTIONS OUTSTANDING AT END OF PERIOD
CONSIST OF:
Japanese Government Bond Futures....... -- $ -- 250,000 $ 32,377
</TABLE>
At June 30, 1999, the Series had sufficient cash and/or securities at least
equal to the value of the written options.
Written Option Transactions_--_Strategic Income Series
<TABLE>
<CAPTION>
1999 Calls 1999 Puts
------------------------------ -----------------------------
Principal Amounts Principal Amounts
of Contracts of Contracts
(000 Omitted) Premiums (000 Omitted) Premiums
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
OUTSTANDING, BEGINNING OF PERIOD --
Japanese Yen........................... -- $ -- 66,793 $ 5,319
Japanese Yen/Euro..................... -- -- 28,888 3,458
Options written --
Australian Dollars.................... 1,237 12,193 768 4,460
British Pounds........................ 1,789 5,690 -- --
Canadian Dollars...................... 783 1,138 810 1,291
Euro.................................. 594 3,559 965 5,989
Euro/British Pounds................... 152 1,756 146 806
Japanese Yen.......................... 457,273 42,391 121,363 8,224
Swedish Krone/British Pounds.......... 3,188 4,621 -- --
Options terminated in closing
transactions --
Australian Dollars.................... (511) (4,638) (768) (4,460 )
Canadian Dollars...................... (783) (1,138) (810) (1,291 )
Euro.................................. -- -- (965) (5,989 )
Euro/British Pounds................... (152) (1,756) (146) (806 )
Japanese Yen.......................... (109,706) (12,401) (67,683) (4,088 )
Japanese Yen/Euro..................... -- -- (28,888) (3,458 )
Options expired --
Australian Dollars.................... (123) (710) -- --
British Pounds........................ (1,789) (5,690)
Japanese Yen.......................... (108,627) (7,220) (120,473) (9,455 )
Swedish Krone/British Pounds.......... (3,188) (4,621) -- --
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 33,174 $ --
--------- ---------
--------- ---------
OPTIONS OUTSTANDING AT END OF PERIOD
CONSIST OF:
Australian Dollars..................... 603 $ 6,845 -- $ --
Euro.................................. 594 3,559 -- --
Japanese Yen.......................... 238,940 22,770 -- --
--------- ---------
OUTSTANDING, END OF PERIOD.............. $ 33,174 $ --
--------- ---------
--------- ---------
</TABLE>
Certain options denominated in foreign currencies have been redenominated in
accordance with the euro conversion.
At June 30, 1999, the Series had sufficient cash and/or securities at least
equal to the value of the written options.
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net
Unrealized
Settlement Contracts to In Exchange Contracts at Appreciation
Series Transaction Date Deliver/Receive For Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
Global Asset Allocation Series Sales 9/16/99 CAD 2,147,367 $1,470,799 $ 1,460,461 $ 10,338
9/16/99 CHF 6,348,678 4,162,794 4,119,385 43,409
9/16/99 DKK 24,675,738 3,508,565 3,438,777 69,788
4/17/00 HKD 91,257,059 11,643,104 11,667,290 (24,186)
9/16/99 JPY 349,871,415 2,990,354 2,925,404 64,950
------------ ------------ -----------
$23,775,616 $ 23,611,317 $ 164,299
------------ ------------ -----------
------------ ------------ -----------
- --------------------------------------------------------------------------------------------------------------------------------
Purchases 9/16/99 AUD 2,128,100 $1,409,654 $ 1,407,354 $ (2,300)
9/16/99 JPY 354,188,182 2,993,933 2,961,499 (32,434)
9/16/99 NZD 66,309 35,508 35,132 (376)
------------ ------------ -----------
$4,439,095 $ 4,403,985 $ (35,110)
------------ ------------ -----------
------------ ------------ -----------
</TABLE>
Forward foreign currency purchases and sales under master netting agreements
excluded above amounted to a net receivable of $173,151 with Deutsche Bank,
$156,327 with First Boston and a net payable of $111,101 with Merrill Lynch at
June 30, 1999.
At June 30, 1999 the Series had sufficient cash and/or securities to cover any
commitments under these contracts.
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net
Contracts Unrealized
Settlement Contracts to In Exchange at Appreciation
Series Transaction Date Deliver/Receive For Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
Global Governments Series Sales 9/16/99 DKK 12,622,319 $1,794,728 $ 1,759,029 $ 35,699
9/16/99 NZD 9,050,509 4,846,547 4,795,231 51,316
------------ ----------- -----------
$6,641,275 $ 6,554,260 $ 87,015
------------ ----------- -----------
------------ ----------- -----------
- ------------------------------------------------------------------------------------------------------------------------------
Purchases 9/16/99 AUD 2,966,574 $1,965,058 $ 1,961,853 $ (3,205)
9/16/99 CAD 3,724,030 2,550,706 2,532,776 (17,930)
9/16/99 NZD 4,371,569 2,316,932 2,316,189 (743)
------------ ----------- -----------
$6,832,696 $ 6,810,818 $ (21,878)
------------ ----------- -----------
------------ ----------- -----------
</TABLE>
Forward foreign currency purchases and sales under master netting agreements
excluded above amounted to a net receivable of $200,510 with First Boston and a
net payable of $365,902 with Deutsche Bank and $330,502 with Merrill Lynch at
June 30, 1999.
At June 30, 1999 the Series had sufficient cash and/or securities to cover any
commitments under these contracts.
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net
Contracts Unrealized
Settlement Contracts to In Exchange at Appreciation
Series Transaction Date Deliver/Receive For Value (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Global Total Return Series Sales 9/16/99 AUD 4,014,079 $2,658,926 $ 2,654,588 $ 4,338
9/16/99 DKK 12,898,187 1,833,952 1,797,473 36,479
9/16/99 NZD 3,678,952 1,970,079 1,949,219 20,860
------------ ----------- -----------
$6,462,957 $ 6,401,280 $ 61,677
------------ ----------- -----------
------------ ----------- -----------
- --------------------------------------------------------------------------------------------------------------------
Purchases 9/16/99 CAD 1,220 $ 836 $ 830 $ (6)
9/16/99 NZD 1,463,163 775,476 775,227 (249)
------------ ----------- -----------
$ 776,312 $ 776,057 $ (255)
------------ ----------- -----------
------------ ----------- -----------
</TABLE>
Forward foreign currency purchases and sales under master netting agreements
excluded above amounted to a net receivable of $40,655 with First Boston and
$5,538 with Merrill Lynch and a net payable of $12,383 with Deutsche Bank at
June 30, 1999.
At June 30, 1999, the Series had sufficient cash and/or securities to cover any
commitments under these contracts.
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Net
Contracts Unrealized
Settlement Contracts to at In Exchange Appreciation
Series Transaction Date Deliver/Receive Value For (Depreciation)
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Strategic Income Series Purchases 9/16/99 AUD 448,214 $ 296,413 $ 296,897 $ (484)
9/16/99 JPY 38,597,399 322,728 326,262 (3,534)
----------- ------------ -----------
$ 619,141 $ 623,159 $ (4,018)
- --------------------------------------------------------------------------------------------------------------------
Sales 9/16/99 CAD 73,134 $ 49,740 $ 50,092 $ 352
9/16/99 CHF 375,951 243,938 246,509 2,571
4/25/00 HKD 8,235,783 1,052,947 1,050,796 (2,151)
9/16/99 JPY 38,118,396 318,722 325,798 7,076
9/16/99 NZD 536,508 284,258 287,300 3,042
----------- ------------ -----------
$ 1,949,605 $1,960,495 $ 10,890
----------- ------------ -----------
----------- ------------ -----------
</TABLE>
At June 30, 1999, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net payable of $43,359 with
Merrill Lynch and $4,996 with First Boston and a net receivable of $8,283 with
Deutsche Bank.
At June 30, 1999, the Series had sufficient cash and/or securities to cover any
commitments under these contracts.
Futures Contracts -- Global Asset Allocation Series
<TABLE>
<CAPTION>
Description Expiration Contracts
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
Nikkei 225 9/09/99 40
DAX index 9/17/99 8
FTSE 100 9/17/99 54
CAC 40 Index 9/29/99 54
Japan Government Bonds 9/08/99 9
S & P 500 Barra Value Index Futures 9/16/99 39
S & P Barra Growth Index Futures 9/16/99 33
<CAPTION>
Unrealized
<S> <C> <C>
- ------------------------------------------------------------------------------------------------
Nikkei 225 Long $ 172,980
DAX index Short (21,725)
FTSE 100 Short 106,675
CAC 40 Index Short (19,749)
Japan Government Bonds Long (301,140)
S & P 500 Barra Value Index Futures Long 171,304
S & P Barra Growth Index Futures Short (455,125)
-----------
$(346,780)
-----------
-----------
</TABLE>
At June 30, 1999, the Series had sufficient cash and/or securities to cover
margin requirements on open futures contracts.
(7) RESTRICTED SECURITIES
Each Series of the Trust is restricted from investing more than a certain amount
of its net assets in securities which are subject to legal or contractual
restrictions on resale. Such restrictions range between 0% and 15% of the
Series' net assets. At June 30, 1999, the High Yield Series, MFS/Foreign &
Colonial Emerging Markets Equity Series, and Strategic Income Series owned the
following restricted securities (consisting of 0.74%, 2.50%, and 0.92% of the
net assets of each series, respectively) which may not be publicly sold without
registration under the Securities Act of 1933. The Trust does not have the right
to demand that such securities be registered. The value of these securities is
determined by valuations supplied by a pricing service or brokers, or, if not
available, in good faith by or at the direction of the Trustees.
<TABLE>
<CAPTION>
Date of Principal/Share
Series Description Acquisition Amount Cost
<S> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
High Yield Series Airplane Pass Through Trust, 10.875s, 2019 3/13/96 700,000 $ 700,000
Atlantic Gulf Communities Corp. 9/25/95 30 --
Merrill Lynch Mortgage Investors Inc., 8.372s, 2022 6/22/97 500,000 346,563
NTL, Inc., 0s to 2004, 9.75s to 2009 4/14/99 1,400,000 1,398,656
-----------
$ 2,445,219
-----------
-----------
<CAPTION>
Series Value
<S> <C>
- -----------------
High Yield Series $ 699,510
19
465,781
1,334,872
-----------
$ 2,500,182
-----------
-----------
</TABLE>
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) -- continued
<TABLE>
<CAPTION>
Date of Principal/Share
Series Description Acquisition Amount Cost
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
MFS/Foreign & Colonial Emerging Malayan Banking Berhad 05/24/99 29,000 $ 76,497
Markets Equity Series Malaysia International Shipping Corp. Berhad 05/24/99 45,000 77,924
Public Bank Berhad 05/27/99 65,000 63,617
Resorts World Berhad 05/24/99 34,000 63,960
RHB Capital Berhad 05/24/99 28,000 31,097
Rothmans of Pall Mall 05/24/99 7,000 51,225
Sime Darby Berhad 05/24/99 55,000 69,536
Telekom Malaysia Berhad 05/24/99 40,000 129,542
Tenaga Nasional Berhad 05/24/99 36,000 78,725
---------
$ 642,123
---------
---------
Strategic Income Series Russian Principal Loans, 3.438s, 2020 6/15/99 1,000,000 $ 117,500
<CAPTION>
Series Value
<S> <C>
- ---------------------------------
MFS/Foreign & Colonial Emerging $ 82,650
Markets Equity Series 78,187
64,675
76,075
34,300
50,313
68,475
142,000
78,750
---------
$ 675,425
---------
---------
Strategic Income Series $ 121,300
</TABLE>
(8) LINE OF CREDIT
The Trust and other affiliated funds participate in a $820 million unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made to temporarily finance the repurchase of
Series shares. Interest is charged to each Series, based on its borrowings, at a
rate equal to the bank's base rate. In addition, a commitment fee, based on the
average daily unused portion of the line of credit, is allocated among the
participating funds at the end of each quarter. The commitment fees allocated to
each Series for the six months ended June 30, 1999, are as follows:
<TABLE>
<CAPTION>
Commitment
Fee
<S> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Bond Series................................................................................................. $ 58
Global Asset Allocation Series.............................................................................. 370
Global Governments Series................................................................................... 313
Global Total Return Series.................................................................................. 356
Government Securities Series................................................................................ 780
High Yield Series........................................................................................... 1,158
International Growth and Income Series...................................................................... 272
MFS/Foreign & Colonial Emerging Markets Equity Series....................................................... 31
Money Market Series......................................................................................... 1,698
Strategic Income Series..................................................................................... 52
Zero Coupon Series, Portfolio 2000.......................................................................... 11
</TABLE>
The Series had no significant borrowings during the period.
---------------------------------------------------------------
THIS MFS-REGISTERED TRADEMARK-/SUN LIFE SERIES TRUST SEMIANNUAL REPORT IS
PREPARED FOR THE GENERAL INFORMATION OF CONTRACT OWNERS. IT IS AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS ONLY WHEN PRECEDED OR ACCOMPANIED BY THE
CURRENT PROSPECTUS.
56
<PAGE>
MFS' YEAR 2000 READINESS DISCLOSURE
MFS Investment Management-Registered Trademark-, as an investment
adviser and on behalf of the MFS portfolios, is committed to the
effective use of technology in managing our portfolio investments,
delivering high-quality service to MFS shareholders and contract
owners, retirement plan participants and MFS' institutional
clients, and supporting the financial advisers who sell our
products. With that in mind, we created a separately funded Year
2000 Program Management Office in 1996 comprised of a specialized
staff reporting directly to MFS senior management.
The Year 2000 (Y2K) problem arises because calendar-year fields in
computers and software applications traditionally have used
two-digit codes so that, for example, the year 1998 is coded as
"98," with the "19" being implied. In the year 2000, unless
necessary corrections have been made, computer applications may
assume "00" refers to 1900 rather than 2000, thus resulting in
systems failures or miscalculations. To address this issue, our
team of dedicated business and technology managers, working with
outside experts, is taking steps to ascertain the Y2K readiness of
MFS' internal systems and is working with our external systems
vendors to determine whether they expect their systems to be
ready.
MFS recognizes that fund shareholders, contract owners, and
institutional clients also are concerned about whether the
companies whose securities are held in their portfolios are
addressing Y2K issues. As part of the MFS-Registered Trademark-
Original Research(sm) process of evaluating portfolio investments,
one of the many relevant factors that MFS' portfolio managers and
research analysts may consider is a company's Y2K readiness. Each
year, MFS' research analysts and portfolio managers conduct more
than 1,000 on-site meetings with companies whose securities are,
or may be, held in fund and client portfolios, and host an
additional 1,500 meetings at MFS' headquarters. When assessing the
Y2K readiness of these companies, MFS' research analysts and
portfolio managers may rely upon discussions at these meetings as
well as SEC disclosure documents and third-party reports.
Y2K readiness is an enormously complex, worldwide issue. No
company or institution can guarantee that it will be unaffected by
the Y2K issue. While MFS is taking significant steps to protect
the integrity of its internal systems, there can be no assurance
that these steps will be sufficient to avoid any adverse impact on
MFS shareholders of MFS funds, participants in retirement plans
administered by MFS, or MFS' institutional clients.
If you have further questions regarding MFS' Year 2000 Readiness
Program, please visit our Web site at www.mfs.com or contact the
MFS Year 2000 Program Management Office by e-mail at [email protected]
or by letter at 500 Boylston Street, Boston, MA 02116-3741.
57
<PAGE>
YEAR 2000 READINESS DISCLOSURE
[LOGO]
The potential hazard of computers having difficulty dealing with
the year 2000 has been widely reported in the media. Essentially,
the "Y2K" problem stems from some computer software being written
in a way that will handle only two digits of a year rather than
the full four digits. This becomes a problem when 2000 is
perceived as simply "00", with the result that the computer
software interprets the date as 1900 rather than 2000.
Sun Life began working on this problem in 1995 when a Company
strategy for dealing with the issue was approved by systems
management. It was apparent that effective support from senior
management was a key component to successfully correcting Sun
Life's systems. For this reason, in early 1996 Sun Life's Chairman
and CEO delivered a clear mandate to make Y2K a top priority.
Since that time project teams have inventoried and assessed nearly
2000 systems around the Company.
The vast majority of Sun Life's systems have already been tested,
and, based on these tests, have been certified as compliant. The
relatively few remaining systems will be certified compliant
during the course of 1999. Even though relatively few Y2K bugs
were actually found during analysis, it has been Sun Life's policy
to test every system before it can be certified as compliant. The
price tag for this massive project has been steep--over $100
million (Cdn). However, we consider the money well spent when it
means that Sun Life can move into the year 2000 and beyond
confident that our systems will support Sun Life's position as a
leader in the financial services industry.
THE PRECEDING IS A YEAR 2000 READINESS DISCLOSURE PURSUANT TO THE
YEAR 2000 READINESS DISCLOSURE ACT ENACTED BY THE UNITED STATES
CONGRESS ON OCTOBER 19, 1998.
58
<PAGE>
MFS-REGISTERED TRADEMARK-/SUN LIFE SERIES TRUST
500 Boylston Street, Boston, MA 02116-3741
TRUSTEES
JOHN D. McNEIL*, Chairman, President and Trustee
FORMER CHAIRMAN, Sun Life Assurance Company of Canada,
Toronto, Ontario, Canada
SAMUEL ADAMS, Trustee
PARTNER, Warner & Stackpole,
Boston, Massachusetts
DAVID D. HORN*, Trustee
FORMER SENIOR VICE PRESIDENT AND GENERAL MANAGER,
Sun Life Assurance Company of Canada,
Wellesley Hills, Massachusetts
GARTH MARSTON, Trustee
FORMER CHAIRMAN, The Provident Institution for Savings,
Boston, Massachusetts
DERWYN F. PHILLIPS, Trustee
FORMER VICE CHAIRMAN, The Gillette Company,
Marblehead, Massachusetts
WILLIAM R. GUTOW, Trustee
VICE CHAIRMAN, Capitol Entertainment Management Company;
PRIVATE INVESTOR AND REAL ESTATE CONSULTANT,
Dallas, Texas
J. KERMIT BIRCHFIELD, Trustee
CONSULTANT; CHAIRMAN, Display Technology, Inc.
MANAGING DIRECTOR, Century Partners, Inc.,
Gloucester, Massachusetts
OFFICERS+
JAMES R. BORDEWICK, JR., ASSISTANT SECRETARY
MARK E. BRADLEY, ASSISTANT TREASURER
STEPHEN E. CAVAN, SECRETARY AND CLERK
W. THOMAS LONDON, TREASURER
ELLEN MOYNIHAN, ASSISTANT TREASURER
JAMES O. YOST, ASSISTANT TREASURER
INVESTMENT ADVISER
Massachusetts Financial Services Company
500 Boylston Street, Boston, MA 02116-3741
CUSTODIAN AND DIVIDEND DISBURSING AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110-2875
PORTFOLIO MANAGERS+
JEAN O. ALESSANDRO
DAVID A. ANTONELLI
JOHN W. BALLEN
ARNAB KUMAR BANERJI
STEPHEN C. BRYANT
DAVID M. CALABRO
JEFFREY CHOWDHRY
MITCHELL D. DYNAN
JOSEPH C. FLAHERTY, JR.
GEOFFREY L. KURINSKY
JOHN D. LAUPHEIMER, JR.
DAVID R. MANNHEIM
PAUL M. McMAHON
STEVEN E. NOTHERN
LISA B. NURME
STEPHEN PESEK
BERNARD A. SCOZZAFAVA
MAURA A. SHAUGHNESSY
TONI Y. SHIMURA
FREDERICK J. SIMMONS
BRIAN E. STACK
*Affiliated with the Sponsor.
+Affiliated with the Investment Adviser. SUN-3A 8/99 188M
