MFS[RegTM]/Sun Life Series Trust
SEMIANNUAL REPORT o June 30, 2000
Bond Series
Emerging Markets Equity Series
(formerly MFS[RegTM]/Foreign & Colonial Emerging Markets Equity Series)
Global Asset Allocation Series
Global Governments Series
Global Total Return Series
Government Securities Series
High Yield Series
International Growth and Income Series
Money Market Series
Strategic Income Series
Zero Coupon Series, Portfolio 2000
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MFS Original Research[RegTM]
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
MFS is more than just crunching
numbers and creating economic
models: it's getting to know each
security and each company personally.
[Graphic; ORIGINAL RESEARCH MAKES A DIFFERENCE
MFS(SM)]
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NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
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Letter from the President
Dear Contract Owners,
I'm sure you've noticed that whenever financial markets suffer a large decline,
as they did this past spring, there's a flurry of information on "how to deal
with market volatility" -- both in the popular press and from those of us in the
investment business. Our own thinking on this is that, first, for long-term
investors volatility is not necessarily something to be feared; occasional
volatility may in fact be healthy for the markets.
Second, our experience has been that when markets begin to fall, it's often too
late to act. The best response may be to do nothing -- if you're properly
prepared with a long-term plan, created with the help of your investment
professional. To help you create or update that plan and take market volatility
in stride, here are some points you may want to consider the next time you talk
with your investment professional.
1. Volatility can be a good thing
We would argue that the markets today are much healthier than they were before
the period of volatility this past spring, in the sense that stock prices have
returned to more reasonable levels and we have a stronger base for future
growth. Perhaps the worst of the market's wrath descended on companies with very
high stock prices, relative to their earnings, or with business concepts that
looked great in the euphoria of a booming market but in the end appeared to have
no fundamental backing. It has always been our view that one of the best
protections against market volatility is to invest in stocks and bonds of
fundamentally good companies selling at reasonable prices. When discussing
potential investments with your investment professional, you may want to ask how
they fared in previous periods of volatility, as well as in the good times.
2. Invest for the long term
You've heard that before, but we think it's still probably the most important
concept in investing. Time is one of an investor's greatest allies. Over nearly
all long-term periods -- 5, 10, 20 years, and more -- stock and bond returns, as
represented by most common indices, have been positive and have considerably
outpaced inflation. Investing is the best way we know of to make your money work
for you while you're doing something else.
Where investors can get into trouble is by confusing investing with trading. In
our view, traders who buy securities with the intention of selling them at a
profit in a matter of hours, days, or weeks are gambling. We believe this seldom
turns out to be a good strategy for increasing your wealth.
3. Invest regularly
Waiting for the "right time" to invest is almost always a poor strategy, because
only in retrospect do we know when that right time really was. Periods of
volatility are probably the worst times to make an investment decision. Faced
with turmoil in the markets, many investors have opted to simply stay on the
sidelines.
On the other hand, we think one of the best techniques for investing is through
automatic monthly or quarterly deductions from a checking or savings account.
This approach has at least three major benefits. First, you can formulate a
long-term plan -- how much to invest, how often, and into which portfolios -- in
a calm, rational manner, working with your investment professional. Second, with
this approach you invest regularly without agonizing over the decision each time
you buy units. And, third, if you invest equal amounts of money at regular
intervals, you'll be taking advantage of a strategy called dollar-cost
averaging: by investing a fixed amount while the unit cost fluctuates, you end
up with an average unit cost to you that is lower than the average unit price
over your investment period.(1) If all this sounds familiar, it's probably
because you're already taking advantage of dollar-cost averaging by investing
regularly for retirement through a 401(k) or similar account at work.
4. Diversify
One of the dangers of not having an investment plan is that you may be tempted
to simply chase performance, by moving money into whatever asset class appears
to be outperforming at the moment -- small, mid, or large cap; growth or value;
United States or international; stocks or bonds. The problem with this approach
is that by the time a particular area is generally recognized as "hot," you may
have already missed some of the best performance.
International investing offers a case in point. In the 1980s, international
investments, as represented by the Morgan Stanley Capital International (MSCI)
Europe, Australia, Far East (EAFE) Index, outperformed U.S. investments, as
represented by the Standard & Poor's 500 Composite Index (S&P 500), in 7 out of
10 years.(2) For the decade, the MSCI EAFE's average annual performance was 23%,
compared to 18% for the S&P 500. Going into the 1990s, then, an investor looking
only at recent performance might have favored international investments over
U.S. investments.
But the 1990s turned out to be virtually a mirror image of the '80s. Domestic
investments outperformed international investments in 7 out of 10 years, with
the S&P 500 returning an average of 18% annually for the decade and the MSCI
EAFE returning a 7% annual average. Looking ahead, however, we are optimistic
about international markets because we feel that many of the same forces that
propelled the current U.S. economic boom -- deregulation, restructuring, and
increased adoption of technology -- have taken root overseas.
The lesson to be learned is that nobody really knows what asset class will be
the next to outperform or how long that performance will be sustained. We would
suggest that one way to potentially profit from swings in the market -- to
potentially be invested in various asset classes before the market shifts in
their favor -- is with a diversified portfolio covering several asset classes.
If you haven't already done so, we encourage you to discuss these thoughts with
your investment professional and factor them into your long-range financial
planning. Hopefully, the next time the markets appear to be going wild, you'll
feel confident enough in your plan to view periods of volatility as a time of
potential opportunity -- or perhaps just a time to sit back and do nothing.
As always, we appreciate your confidence and welcome any questions or comments
you may have.
Respectfully,
/s/ C. James Prieur
C. James Prieur
President of the MFS[RegTM]/Sun Life Series Trust
July 17, 2000
(1) The use of a systematic investing program does not guarantee a profit or
protect against a loss in declining markets. You should consider your
financial ability to continue to invest through periods of low prices.
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Letter from the President -- continued
(2) Source: Lipper Inc. Decade performance: '80s--12/31/79-12/31/89,
'90s--12/31/89-12/31/99. The MSCI EAFE Index is an unmanaged,
market-capitalization-weighted total return index that measures the
performance of the same developed-country global stock markets included in
the MSCI World Index but excludes the United States, Canada, and the South
African mining component. The S&P 500 is a popular, unmanaged index of
common stock total return performance. It is not possible to invest
directly in an index. Past performance is no guarantee of future results.
Investments in variable annuities will fluctuate and may be worth more or less
upon redemption.
Variable annuities are designed for long-term retirement investing; please see
your investment professional for more information.
The opinions expressed in this letter are those of C. James Prieur, and no
forecasts can be guaranteed.
Management Review and Outlook
Bond Series
For the six months ended June 30, 2000, the series provided a total return of
3.12%, which compares to a 2.24% return for the average corporate-debt
"BBB"-rated portfolio tracked by Lipper Inc., an independent firm that reports
performance. The series' return also compares to a 4.18% return over the same
period 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. The series
performance includes the reinvestment of any distributions but does not reflect
any applicable contract or surrender charges.
The recent period was historically tumultuous for the investment-grade corporate
bond market. Most of the problems were the result of company-specific issues.
There also has been much less liquidity in the corporate market over the past
few years, a residual effect of the credit problems that plagued corporate bonds
starting in 1998 when Russia surprisingly defaulted on its debt obligations.
Historically, "vulture" investors on Wall Street provided buyers for the debt
issues of companies that hit a hard patch, but that hasn't been the case
recently. In addition, the high-yield market has experienced net outflows, so
there hasn't been capital available to absorb some of these credit problems from
that traditional source.
The overall credit quality of the corporate market has been deteriorating as
well. While we've seen stock price growth in the technology sector, companies
there have been carrying very little debt. Elsewhere, despite strong economic
growth in the United States, the stocks of many companies -- especially those in
cyclical sectors -- have been distressed to the point where company managements
have come under increasing pressure to enhance value for shareholders.
Consequently, we have found that many have issued more debt to finance mergers
and acquisitions or share buyback programs, which help the shareholder but hurt
the bondholder. We think these kinds of moves have weakened many companies'
credit fundamentals and caused a number of credit downgrades.
In response to this difficult climate, we increased the overall credit quality
of the portfolio. In addition, we reduced investments in domestic corporate
industrial bonds because they remain vulnerable to weakening credit
fundamentals. Instead, we focused on sectors that are not as prone to the risk
that management will issue more debt to finance leveraged buyouts or share
buybacks. That has translated into increased exposure to sectors like media and
telecommunications. For example, we retained our investment in Time Warner,
whose merger with America Online is creating a powerful conglomerate that we
believe should eventually experience a credit upgrade. We found other
opportunities in British Sky Broadcasting, a satellite network in Europe that we
think has tremendous growth prospects, and Seagram, which is making a transition
from a spirits company to an entertainment conglomerate. We also invested about
6% of the series in Yankee bonds, which are dollar-denominated bonds issued in
the United States by foreign countries, such as Israel, that have
investment-grade credit ratings.
Investments that worked out well for the series included a number of our
higher-quality junk bonds, such as Comcast Corporation, which crossed over into
investment-grade status, appreciating significantly in the process. The credit
upgrades enjoyed by emerging market countries South Korea and Mexico also helped
the series' performance.
We restructured the series' holdings in U.S. Treasuries in response to the
Federal Reserve Board's (the Fed's) program of interest-rate hikes. (Principal
value and interest on Treasury securities are guaranteed by the U.S. government
if held to maturity.) The Fed's actions caused short-term rates to back up
significantly, while longer-term rates remained relatively stable. As a result,
the yield curve -- a representation of the difference between short- and
long-term rates -- flattened, then inverted, with short-term rates actually
reaching higher levels than long-term yields. We felt the best way to take
advantage of this situation was to pursue a barbell strategy by investing some
of our Treasury holdings on the long end of the curve, some on the short, and
very little in between. As a result, the series was not affected by the sharpest
price declines that occurred in the intermediate part of the yield curve.
Looking ahead, we believe recent indicators may be pointing to a slowing economy
in response to the Fed's program of interest rate increases. In this kind of
environment, we think interest rates could begin trending downward as soon as
late 2000. There appears to be very little evidence of a protracted struggle
against inflation. That opinion is further strengthened by our discussions with
company managements who say that they have very little pricing power. For our
part, we intend to continue moving our corporate holdings to bonds with shorter
maturities because they are less prone to price volatility. At the same time, we
anticipate extending the Treasury duration in the portfolio (duration is an
indicator of interest-rate sensitivity) to try to take advantage of potential
declines in long-term interest rates.
Emerging Markets Equity Series
For the six months ended June 30, 2000, the series provided a total return of
-4.89%, which compares to returns over the same period of -7.99% and -9.59%,
respectively, for the series' benchmarks, the Morgan Stanley Capital
International (MSCI) Emerging Markets Free (EMF) Index, a broad, unmanaged,
market-capitalization-weighted index of equities in emerging markets, and the
Lipper Emerging Markets Portfolios Index (the Lipper Index). The series
performance includes the reinvestment of any distributions but does not reflect
any applicable contract or surrender charges.
During the first quarter of the period, the series benefited from an impressive
global economic recovery that spilled over into most emerging markets. Our
holdings in Southeast Asia and Latin America produced stellar results. Year to
date, however, we've
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Management Review and Outlook -- continued
seen a lot of correlation between the performance of the U.S. market and
emerging markets. As investors became increasingly concerned about stock
valuations and whether future earnings could support them, we witnessed
broad-based selling in emerging markets. Technology and telecommunications
stocks, two of the largest sector weightings for the series, came under the most
pressure. Unfortunately, some of the more liquid markets, such as South Korea
and Taiwan where the portfolio was overweighted relative to its benchmarks, were
hardest hit.
Early in 2000, we began to reduce our positions in South Korea because many of
these stocks reached our price targets, and we believed they were fairly valued
following impressive results in 1999. In India, we added a number of technology,
telecommunications, and financial services stocks in an effort to capitalize on
what we saw as rapid growth at these companies. As prices came down in Southeast
Asian markets in the second quarter, we began to increase our exposure to what
we believe are high-quality companies selling at reasonable valuations,
especially in the telecom industry. We believe, to a large extent, that many
emerging market telecom companies -- through their wireless, Internet, and data
transmission services -- have transformed themselves from slow-growth utilities
into fast-growing, dynamic companies. In addition to large, established telecom
companies, we've focused on new telecom entrants that possess innovative product
lines and dynamic business plans.
Our stock selection across a broad range of countries helped performance. A
particularly strong performer was Teva Pharmaceutical, an Israeli biotechnology
and health care company whose stock price surged dramatically on strong sales of
its multiple sclerosis treatment Copaxone and recent approval by the U.S. Food
and Drug Administration of Nabumetone, its generic form of arthritis treatment.
Other strong contributors and significant holdings in the series were Li & Fung
Ltd. and Dimension Data. In Hong Kong, Li & Fung benefited from surging sales
and strong demand for apparel manufacturing outsourcing due to the rebounding
Southeast Asian economy. South African computer services firm Dimension Data
boosted the series' performance as the company experienced strong demand for its
information technology services, which led to favorable revenue and earnings
growth.
Recently, we've increased the series' holdings in Taiwan because we've located
what we think are some compelling growth opportunities in this country. We
believe Taiwan is a very important emerging market that is slowly becoming more
open to investors as it enhances its stock market technology and improves its
financial reporting standards. We think these trends should help cash flows into
this market. More importantly, some of the most innovative and competitive
semiconductor companies in the world are located in Taiwan. In our view,
companies such as Taiwan Semiconductor are well positioned to benefit from the
global trend of increased spending on technology and the tremendous growth
potential of the Internet and telecommunications.
Ironically, some of the industries where we see the strongest prospects for
future earnings growth have detracted from performance in recent months, namely,
technology and telecommunications. Primarily due to concerns about high
valuations, investors began to unload shares in these sectors. Along with many
tech and telecom companies, Korea Telecom, Telefonos de Mexico, and Hyundai
Electronics have experienced weakness in recent months. However, we believe the
fundamental business outlooks for these companies are still very strong and
their valuations have become more attractive.
In general, our outlook for emerging markets is positive. The prospects for
global economic growth are favorable, and we expect this growth to benefit a
wide range of our holdings. We also believe emerging market stock valuations are
very attractive, especially given the recent pullback. In addition, the
anticipated growth rates and earnings outlooks for emerging market equities
appear compelling compared to those of the United States and other developed
economies. From our standpoint, these markets provide some of the most
interesting growth opportunities in the world, and the positive trends we've
outlined could support investor interest in the region.
Global Asset Allocation Series
For the six months ended June 30, 2000, the series provided a total return of
2.71%, which compares to the following returns for the series' benchmarks:
-0.42% for the Standard & Poor's 500 Composite Index (the S&P 500), a popular,
unmanaged index of common stock total return performance; -3.95% for the Morgan
Stanley Capital International (MSCI) Europe, Asia, Far East (EAFE) Index, an
unmanaged index of international stocks; 3.99% for the Lehman Brothers Aggregate
Bond Index, an index of government and corporate bonds including U.S. Treasury,
agency, and corporate bond issues and mortgage-backed securities; and -1.89% for
the J. P. Morgan Non-Dollar Government Bond Index, an index of international
bonds. The series performance includes the reinvestment of any distributions but
does not reflect any applicable contract or surrender charges.
The series' strategy of utilizing quantitative measures and in-depth fundamental
analysis to create a well-diversified portfolio of stocks and bonds worked well
during the past six-month period. To set the overall asset allocation, we use
MFS proprietary quantitative models to evaluate each market's current valuations
and economic strength compared to historical levels. Based on that information,
we then allocate the portfolio to focus on growing economies and undervalued
markets that we believe have encouraging prospects. Once we set an overall asset
allocation, however, our stock and bond picking is based on extensive bottom-up
research and analysis.
During the past few years, diversification has generally hurt investors'
returns. However, given the exceptional strength of the U.S. equity market over
the past 10 years and the prospects for slower growth in the United States, we
think the environment is ideal for a broadening of global market strength. We
are currently finding many attractive growth opportunities in Europe, Japan, and
the United States across a wide-range of industries. In addition, corporate
restructuring and industry consolidation continues to spread worldwide, which
could spur additional interest in international equities. As a result, we
believe one of the best ways to participate in these international opportunities
and global economic growth is to maintain a well-diversified portfolio of
domestic and foreign investments.
On the equity side, our focus on valuations, fundamental business strengths,
economic variables such as interest rates, and risk-adjusted total returns led
us to slightly underweight the series' exposure to equities relative to our
benchmarks. Despite a period of high volatility and weakness for stocks, this
strategy worked to our advantage. The series' overweighting in Japanese stocks
relative to the MSCI EAFE Index also continued to be a major theme affecting
performance. Early in the period, performance was aided by superior returns from
the series' positions in Japanese tech and telecom stocks such as Hitachi,
Canon, and NTT Mobile. The portfolio received a similar boost from U.S. and
European telecom and tech stocks such as
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Management Review and Outlook -- continued
Corning, Vodafone AirTouch, Micron Technology, Oracle, and Cisco.
During the second quarter of 2000, however, concerns about valuations and the
potential of a slowdown in global economic growth caused a correction in
technology and telecommunications stocks in many countries. Persistent selling
pressures reduced much of the performance achieved by these stocks during the
first three months of the period.
On the bond side, our fixed-income holdings provided stability and generally
positive returns during a period of severe volatility for stocks. For the first
time in a few years, our bond positions outperformed the equity component of the
portfolio. Our decision to overweight the series in U.S. Treasuries and
high-quality foreign government bonds aided performance, and our longer-term
Treasuries performed particularly well during the six-month period while
short-term Treasuries suffered in the rising interest-rate environment.
(Principal value and interest on Treasury securities are guaranteed by the U.S.
government if held to maturity.) Long-term European government bonds also
outperformed their shorter-maturity counterparts, and, again, we benefited from
positioning the series in longer-term European government securities. While our
exposure to emerging market bonds was marginal, our overweighting in these
securities relative to the series' benchmarks generally contributed to total
return.
Looking forward, we'll continue to emphasize our disciplined quantitative
process that controls our top-level allocation and helps create a
well-diversified portfolio. Once our quantitative models provide us with a
macroeconomic view of the general health and attractiveness of various regions,
countries, and industries, our fundamental research begins. As always, our focus
is to try to balance risk in the portfolio by holding what we believe is the
best mix of stocks and bonds. At the same time, our goal is to find the
companies and securities that we think offer attractive valuations and growth
opportunities.
Global Governments Series
For the six months ended June 30, 2000, the series provided a total return of
-0.82%, which compares to a return of 0.03% over the same period for the series'
benchmark, the Salomon Brothers World Government Bond Index (the Salomon Index).
The Salomon Index is an unmanaged index of complete universes of government
bonds with remaining maturities of at least five years. The series performance
includes the reinvestment of any distributions but does not reflect any
applicable contract or surrender charges.
Despite strong economic growth and tightening of monetary policy (raising
interest rates), the U.S. bond market remained one of the strongest and
best-performing fixed-income markets year to date. The strength in the market
reflects investor confidence that the U.S. Federal Reserve Board (the Fed) is
effectively guiding the economy to a soft landing -- slowing growth enough to
control inflationary pressure without sending the economy into recession. The
market has also been supported by the reduced supply of government bonds as a
result of the budget surplus and the Treasury buyback program. Almost all the
European markets underperformed the United States as the weaker euro and growing
inflation concerns unnerved potential investors. The market in Japan also
underperformed due to concerns over the potential of their central bank
abandoning the current zero interest-rate policy (interest rates and bond prices
move in opposite directions).
The series was helped by having overweighted positions in the U.S. bond market
and being underweighted both in Europe and Japan relative to the Salomon Index.
Recently, we started to purchase a number of sovereign Yankee bonds
(dollar-dominated bonds issued in the United States by foreign governments), The
yields on these bonds looked very attractive. In addition, given their relative
safety and favorable outlook for price appreciation, we have overweighted the
series relative to the index in these securities.
During the past six months, especially during the first quarter, the series'
nominal and relative performance was hurt by the rapid depreciation of the euro.
Longer term, we still believe that the euro will strengthen, partially due to
signs that the European economies are beginning to grow more rapidly than the
United States. This growth may cause the European Central Bank to raise interest
rates further, while the Fed is expected to adopt a more neutral monetary
policy. Consequently, higher interest rates in Europe could attract more
investors and increase cash flows into the beleagured euro.
If the Fed achieves a soft landing -- which we believe is the likely scenario --
U.S. Treasuries should outperform European and Japanese bonds. (Principal value
and interest on Treasury securities are guaranteed by the U.S. government if
held to maturity.) As a result, we plan to continue to position the portfolio
defensively while at the same time taking advantage of attractively priced
international bonds and the improving interest-rate conditions in the United
States. By increasing the series' duration (sensitivity to interest rates) in
U.S. government securities, we may achieve more price appreciation and higher
yields.
Global Total Return Series
For the six months ended June 30, 2000, the series provided a total return of
2.34%, which compares to a 0.39% return for the average global flexible
portfolio tracked by Lipper Inc. The series' return also compares to returns
over the same period of 1.41% and 1.61%, respectively, for the series'
benchmarks, the Lipper Global Flexible Portfolio Index and a customized
benchmark made up of 60% of the Morgan Stanley Capital International (MSCI)
World Index and 40% of the J.P. Morgan Global Government Bond Index (the Morgan
Index). The Lipper portfolio indices are unmanaged, net-asset-value-weighted
indices of the largest qualifying portfolios within their respective investment
objectives, adjusted for the reinvestment of capital gains distributions and
income dividends. 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 series performance includes the reinvestment of any
distributions but does not reflect any applicable contract or surrender charges.
Our investment strategy, which leans more toward value, or what we sometimes
refer to as seeking value among growth stocks, had a significant effect on the
series' performance. Additionally, unlike other flexible global fund managers
who we feel may maintain a larger exposure to equities, we follow a disciplined
asset allocation strategy toward managing this portfolio. Accordingly, the
series' typical asset allocation has remained consistent, ranging from 55% to
65% in equities and 35% to 45% in bonds and short-term investments. We believe
our strategy offers investors the ability to pursue long-term growth while also
helping to reduce risk and volatility through broad diversification across
different asset classes. However, similar to what we
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Management Review and Outlook -- continued
experienced in the United States, value-oriented stocks in most developed
countries have tended to underperform the high-tech growth stocks that dominated
the market during the first quarter of the year. During the second quarter of
2000, we saw investors shift assets into more value-oriented stocks, which
provided a significant boost to relative returns.
While the weakness in technology stocks in the second quarter hurt the series'
absolute performance, many of our holdings in this sector held up much better
than the overall group. Japanese technology conglomerates such as Canon and Rohm
represented large positions in the portfolio and provided favorable results. We
believe that their product lines offer compelling competitive advantages, their
earnings outlooks appear bright, and their management teams have adopted
Western-style strategies of creating shareholder value through effective
cost-cutting measures, greater efficiency, and aggressive marketing.
We've talked about our significant holding in the German telecommunications
company Mannesmann in previous reports, and since being acquired by Vodafone
AirTouch, it has become the largest equity holding in the portfolio and has
provided exceptional performance for the series. We're strong believers in the
combined company's ability to remain a dominant global provider of telecom
services. As the world's largest provider of wireless communications, we believe
it's also well positioned to outperform in one of the fastest-growing sectors of
the global economy. Other stocks that contributed favorably to total return were
Television Francaise, Compass Group, and Skandia. Television Francaise, one of
the leading television station operators in France, benefited from the
impressive acceleration in advertising spending due to the high-tech boom that
has embraced continental Europe. British catering company Compass Group is a
classic example of business outsourcing, an area that has experienced tremendous
growth. We believe Compass' business model of operating the kitchens and
cafeterias of established companies is an excellent concept, and it's quickly
becoming a world leader in the corporate catering business due to its low-cost
structure and strong management. Skandia, a Swedish insurance firm, also
performed strongly. We believe European investors have become increasingly
focused on personal investing and retirement planning, which has added
considerably to Skandia's bottom line.
On the negative side, our holding in Gannett Co. was a disappointment during the
period. Despite what we believe were strong business fundamentals and a bright
earnings outlook, this diversified newspaper publisher and leading provider of
commercial printing services experienced poor stock performance due to weak
investor sentiment. Gannett was sold from the portfolio. In general, it was a
difficult period for financial services stocks. Our holdings in companies such
as the Federal Home Loan Mortgage Corp. produced lackluster results due to
ongoing concerns about the negative effects of higher interest rates.
In keeping with the series' strategy, our fixed-income holdings were focused on
bonds issued by major governments. During the period, we took a generally
defensive posture by trying to carefully balance the series' sensitivity to
interest rates. That was particularly the case in the United States, where we
were concerned about the prospects of higher interest rates and inflation. In
Europe, it was a bit different. There, we thought the markets had priced in more
inflation than we thought would occur, so we were not as defensive. We favored
issuers in Greece, the United Kingdom, and Germany.
Looking forward, we think the equity market in the United States has some
short-term hurdles to get over before it can resume a steady growth path. We
feel the primary focus for investors right now seems to be how many
interest-rate increases will be necessary to slow U.S. economic growth.
Historically, this type of environment has been very difficult for equities. As
a result, we remain focused on some of the more defensive stocks in the U.S.
market, companies with steady performance and long-term track records.
Additionally, we'll continue to allocate a significant amount of assets to
securities in Europe, Japan, and the United Kingdom, all of which we believe
offer tremendous opportunities for strong stock performance relative to the
United States.
Government Securities Series
For the six months ended June 30, 2000, the series provided a total return of
4.25%, which compares to a 3.95% return for the average U.S. government
portfolio tracked by Lipper Inc. The series' return also compares to a 4.38%
return over the same period for the series' benchmark, the Lehman Brothers
Government/Mortgage Index (the Lehman Index), an unmanaged index of U.S.
Treasury, government-agency, and mortgage-backed securities. The series
performance includes the reinvestment of any distributions but does not reflect
any applicable contract or surrender charges.
The fixed-income markets were characterized by uncertainty during the first half
of 2000, as investors tried to figure out how much the Federal Reserve Board
(the Fed) would have to hike short-term interest rates in order to slow growth
and head off inflation. U.S. economic growth continued to surpass expectations
through the winter and spring. To dampen this growth, the Fed has raised the
federal funds rate three more times thus far in 2000 -- bringing it from 5.50%
to 6.50% -- after having raised it three times in 1999. More recently, there
have been some signs that growth might be decelerating to a rate that the Fed
may feel is more consistent with a sustainable but not inflationary pace.
Meanwhile, core inflationary pressures increased only moderately through the
period, despite being prodded upward by significant upswings in the price of
oil. Questions surrounding how much oil price increases would affect other
aspects of the economy exacerbated the market's uncertainty.
The other significant factor that affected fixed-income markets was how the U.S.
government has dealt with its second full fiscal year of budget surplus and the
implications for the Treasury market. With the U.S. Treasury buying back more
than $200 billion in debt this fiscal year and curtailing its auctions of new
issues, the market has tried to come to terms with a dramatic decline in the
supply of Treasury securities. Since all other sectors of the fixed-income
market are priced relative to Treasuries, this situation has made it hard for
bond investors to evaluate the relative values of fixed-income securities and
has created some illiquidity in the market. The value of 30-year Treasuries rose
sharply as buyers needed to compete with each other in order to own them.
At the same time, U.S. government agency securities confronted some difficulties
during the first half of 2000. Specifically, some in Washington called into
question the implicit government backing of agencies such as the Federal Home
Loan Mortgage Corporation (Freddie Mac) and the Federal National Mortgage
Association (Fannie Mae). Concerns revolved around the expansion of agency
activities beyond their original mission and the potential liability to
taxpayers. As a result of this added scrutiny, agency securities underperformed
Treasuries.
5
<PAGE>
Management Review and Outlook -- continued
The series has traditionally maintained an overweighted position in agency
securities because these high-quality assets offer a performance advantage over
Treasuries. (Principal value and interest on Treasury securities are guaranteed
by the U.S. government if held to maturity.) During the past six months, when
Treasuries proved to be the market leaders, the performance of the series was
impacted by its focus on agency securities. The series began the year with a
neutral weighting in mortgage-backed securities, a position that helped the
series because their performance lagged Treasuries somewhat. However, as the
period progressed we added to both the agency and mortgage-backed security
positions because we believe opportunities there offered tremendous long-term
value.
As far as maturity was concerned, we positioned the Treasury portion of the
series to take advantage of increases in short-term rates and decreases in
long-term rates. Specifically, we used a "barbell" strategy, investing the
series in long-term Treasuries on the one hand and very short-term cash
equivalents on the other, with nothing in between. By doing so, the series was
able to benefit on the short end as the Fed raised rates, realize the capital
appreciation offered by long-term Treasuries as their yields fell and prices
rose, and avoid the intermediate-term securities that underperformed. However,
with more confidence that we are nearing the end of this current Fed tightening
cycle, it's likely that we'll move away from the barbell structure, aiming
instead to target specific maturities that we feel offer particular opportunity.
We also kept the series' duration--a measure of its sensitivity to changes in
interest rates--somewhat long, or more sensitive, because of our positive
outlook regarding inflation and the Treasury market.
Looking ahead, we, along with the rest of the market, will try to gauge the
effects of the Fed's monetary policy. Generally, it takes 9 to 18 months to
measure the impact on the economy of Fed rate moves. It could very well be that
the inflationary impact of rising oil prices is behind us and that inflation has
been well contained by the Fed's policy actions. Overall, we feel it should be a
good environment for fixed-income investing. If the Fed hasn't already reached
the end of its rate-hike program, we think it appears to be close. If so, we
should witness growth settling back into a range of around 3.0% to 3.5%, which
the Fed feels is not inflationary. The government continues to run up sizeable
surpluses and to pay down debt. The market seems to have nearly universal
confidence in the Fed's ability to keep inflation from getting out of hand. In
sum, the environment should prove to be very favorable for Treasuries. This
steadier backdrop should also bode well for those sectors that are represented
in the series, such as agencies and mortgage-backed securities.
High Yield Series
For the six months ended June 30, 2000, the series provided a total return of
0.05%, which compares to returns over the same period of -1.21% and -1.91%,
respectively, for the series' benchmarks, the Lehman Brothers High Yield Bond
Index, an unmanaged index of noninvestment-grade corporate debt, and the Lipper
High Yield Bond Index. The series performance includes the reinvestment of any
distributions but does not reflect any applicable contract or surrender charges.
The high-yield market remained plagued by a number of difficulties during most
of the period. First, high-yield portfolios experienced approximately $6.5
billion in outflows this year, which hurt demand for high-yield securities.
Second, credit defaults remained relatively high during the period. Finally,
concerns about inflation and unsustainable economic growth kept investors
nervous about future interest-rate hikes. On a more positive note, we've
recently started to see money flowing back into the high-yield market as the
interest-rate environment has improved and investors are being drawn to some
extremely attractive yields relative to U.S. Treasury and investment-grade
bonds. (Principal value and interest on Treasury securities are guaranteed by
the U.S. government if held to maturity.)
In a market where most high-yield bonds traded lower, the portfolio's
performance compared to its benchmarks benefited from favorable security
selection and industry diversification. During the second quarter of 2000, many
telecommunications and media securities experienced a dramatic selloff along
with the equity market. However, our holdings in these sectors, as well as
holdings in industries such as gaming and industrial manufacturing, held up well
during the period. We maintained our positions in telecom bonds, and it remained
the largest industry exposure in the portfolio. Companies such as Nextel and
Esat Holdings provided a positive contribution to performance. Our position in
Nextel Communications provided steady gains due to persistent strength in
wireless subscriber growth. Our holding in Esat Holdings, another telecom
company, provided a nice boost to performance after it was bought out by British
Telecom. We also weren't afraid to take some profits in energy-company bonds, as
oil and natural gas prices reached historically high levels.
In addition to favorable security selection, our successful avoidance of the
credit problems and bankruptcies that hurt a variety of industries helped the
series' performance. The key to avoiding credit defaults is in-depth research,
and we believe MFS' research capabilities are second to none in the industry.
The High Yield Series is backed by a large group of investment professionals
dedicated exclusively to the high-income market. Our research analysts use a
variety of models to analyze the credit risk and business prospects of the
companies they cover. We carefully measure and manage the underlying financial
stability of each company we hold in the portfolio. Similar to our equity
research, it's an intensive, company-by-company, bottom-up approach. First, we
look at a company's business risks, then we consider the financial risks.
Finally, we look at all the different ways of investing in the company and how
the market is pricing each one of the securities. From this analysis, we try to
pick the bond that offers the best risk-adjusted return. Our holding in U.S. Can
Corp., one of the world's largest aerosol can manufacturers, is a good example
of a bond that met our stringent investment criteria and benefited the series'
performance. The company's management instituted a number of cost-saving
efficiencies in their plants, which improved profitability and cash flow. The
company then began to buy back their bonds resulting in substantial price
appreciation.
After telecommunications, our second largest exposure was in media. Core
holdings included cable television and radio entities such as Charter
Communications, one of the fastest-growing companies in the field. Controlled by
Paul Allen, the co-founder of Microsoft, Charter's valuation has risen following
the increased utilization of cable networks as a means of accessing the
Internet.
In many ways, we view telecom and media as defensive industries that offer
attractive growth and income opportunities. Most people are not going to turn
off their cable or mobile phones if the economy slows down. On the other hand,
some of the big-ticket capital items such as industrial machinery, building
6
<PAGE>
Management Review and Outlook -- continued
materials, and autos may experience a slow down in business and consumer
spending due to higher interest rates. Given the current economic environment,
we like the telecom and media sectors, and we've maintained our significant
exposure to these industries. We've taken some money off the table in some of
the more cyclical industries such as steel and paper packaging, as well as in
general manufacturing. We increased holdings in gaming bonds, which we also view
as a somewhat defensive industry. These securities have gained ground because
there are fewer and fewer regions of the country that permit gaming, and we
believe these companies will continue to produce exceptional earnings and cash
flow growth.
Looking ahead, we're cautiously optimistic regarding a recovery in high-yield
securities. While it's difficult to rule out further volatility given the
uncertain interest-rate environment, the high-income market has been weak for
quite some time now. Yield spreads, the yield difference between
noninvestment-grade debt and Treasuries, have widened significantly during the
past year, making the yields on high-income bonds very attractive relative to
other fixed-income securities in our view. In addition, we believe the economy
will remain healthy and corporate earnings will remain strong. And,
historically, high-yield market has tracked corporate earnings.
International Growth and Income Series
For the six months ended June 30, 2000, the series provided a total return of
3.83%. This compares to returns over the same period of -4.11% and -3.95%,
respectively, for the series' benchmarks, the Lipper International Portfolios
Index (the Lipper Index) and the MSCI EAFE Index. The series performance
includes the reinvestment of any distributions but does not reflect any
applicable contract or surrender charges.
During the first quarter of 2000, portfolios like ours that were not heavily
invested in the technology sector struggled on a relative basis. We held
relatively few tech stocks because we felt that most were overpriced. We believe
this underweighting was a significant factor in our underperformance relative to
our Lipper peers in the beginning of the year. Nevertheless, our view regarding
technology and value investing was vindicated through the second quarter of
2000. We witnessed an overall retrenchment in the tech sector, as exuberance
seemed to give way to doubt as to whether many tech companies could fulfill the
promise reflected in their share prices. We believe the series' underweighting
in tech helped our total return for the six-month period.
During the period, we emphasized companies that we felt had a high probability
of continuing to increase earnings instead of choosing more cyclical stocks,
which tend to rise and fall with changes in the economy. Overall, cyclicals
performed well after having lagged for some time. However, the key to cyclical
investing is pricing power and, while we've seen some indications of higher
prices, inflation does not appear to be in the offing. Therefore we felt that
the market environment would not favor companies with highly cyclical
businesses.
Canon, the Japanese electronics company that offers a broad base of
high-technology products, was one holding that saw good earnings progress. So
was Compass Group, a British company that is the largest caterer in the world,
running food services for hospitals, schools, and companies. Compass is
presently considering merging with another company, and we think it has proven
ability to increase its earnings unimpaired.
Over the past six months, the series' stake in Japan declined a bit because some
companies, such as Sony, were taking longer to turn around than we expected.
However, our long-term view on Japan and well-managed Japanese companies like
Sony is very bullish. Following the lead of companies in the United States and
Europe, Japanese firms are now streamlining in fundamentally important ways. For
example, Japanese corporations have historically engaged in cross-ownership --
holding shares in each others' companies. While this is a time-honored way of
doing business in Japan, it is a very poor use of capital. Now, Japanese
corporations are working to eliminate these kinds of business practices,
focusing instead on more shareholder-friendly strategies such as restructuring,
stock buybacks, and selling off businesses to focus on core operations.
European companies accounted for about two-thirds of the series' holdings at the
beginning of the period, roughly in line with the European portion of the MSCI
EAFE Index. However, we reduced our European holdings by the end of June. While
valuations had reached high levels and some economies had begun to soften, this
decline was not the result of an overall negative view of European stocks.
Instead, it was the consequence of buying and selling decisions at the company
level. We are bottom-up stock pickers, choosing companies for the portfolio
based on their individual prospects. In terms of country weightings, companies
from smaller European nations currently are well represented, as were French
companies during the course of the year. Our allocation to German companies
declined, but that was largely due to the acquisition of Mannesmann by British
firm Vodafone AirTouch.
Rohm, a Japanese electronic devices manufacturer, performed well as it continued
to increase earnings. The French company STMicroelectronics benefited from its
niche as the only European semiconductor manufacturer. Television Francaise was
helped by the strong French economy and resulting excellent advertising
backdrop. Finally, Nortel Networks, a telecommunications equipment provider,
proved to be a winner after its successful spin-off from Bell Canada.
Conversely, Akzo Nobel, an economically sensitive chemical company, proved to be
one of the disappointments. So did Canadian National Railway, which suffered
from fears of an imminent economic slowdown. Diageo, a British consumer goods
company that owns Pillsbury, Guinness, and Burger King, lagged due to general
investor disinterest in this sector.
Please remember that we are stock pickers, not economists. When we look to the
horizon, though, we note that consumer spending is helping to sustain vibrant
economic growth in the United States. We believe this growth should help buoy
the U.S. stock market for some time. It also should help support advances in the
European stock market. We think that Japan could benefit as well, but, because
of its economic problems, has the toughest row to hoe.
Due to its growth over the past decade, the U.S. stock market currently accounts
for a very large percentage of the world's total stock holdings. We believe that
that value is unwarranted when weighed against the significant amount of
business taking place around the rest of the world. As a result, we think
foreign markets should catch up over the longer term. That doesn't mean that the
U.S. market will necessarily decline, but it may tread water while stocks
overseas post higher gains.
Money Market Series
The series seeks as high a level of current income as is considered consistent
with the preservation of capital and liquidity by investing in short-term money
market securities
7
<PAGE>
Management Review and Outlook -- continued
issued or guaranteed by the U.S. Treasury, its agencies, or instrumentalities of
the U.S. government, as well as in the highest-quality corporate and bank
issues, in order to minimize credit risk.
Despite some signs of moderating economic growth in the second quarter of 2000,
the U.S. economy continued to grow steadily and unemployment fell to 30-year
lows. Historically, these conditions have caused inflation to accelerate, and
the Federal Reserve Board (the Fed) moved to contain the inflationary pressures
that usually accompany this backdrop.
We don't believe the possibility of future interest-rate hikes can be ruled out.
As a result, we've structured the portfolio with a relatively short maturity and
targeted 36 days for the average maturity of the series' holdings.
On June 30, 2000, approximately 85% of the portfolio was invested in
high-quality commercial paper, with the balance invested in U.S. government or
government-guaranteed issues.
Investments in the series are not insured or guaranteed by the Federal Deposit
Insurance Corporation or any other government agency. Although the series seeks
to preserve the value at $1.00 per unit, it is possible to lose money by
investing in the series.
Strategic Income Series
For the six months ended June 30, 2000, the series provided a total return of
1.65%, which compares to a 0.43% return for the average multisector income
portfolio tracked by Lipper Inc. The series' return also compares to the
following returns over the same period for the series' benchmarks: 4.18% for the
Lehman Brothers Government/Corporate Bond Index (the Lehman Index), 0.03% for
the Salomon Brothers World Government Bond Index (the Salomon Index), and -1.21%
for the Lehman Brothers High Yield Bond Index. The series performance includes
the reinvestment of any distributions but does not reflect any applicable
contract or surrender charges.
In relation to most of our benchmarks, the series' holdings performed well
across the six sectors in which we invest: U.S. government and mortgage bonds,
U.S. high-grade corporates, U.S. high-yield corporates, international developed
countries, emerging markets, and convertible bonds and preferred stocks. We
believe our outperformance resulted from our strategy of employing both sector
diversification and flexibility in managing the series. We continually
reallocate assets among the various sectors in response to, or in anticipation
of, global events, taking advantage of what we perceive to be opportunities
throughout the world.
Our bottom-up MFS Original Research[RegTM] process plays a key role in helping
us manage the portfolio because our approach is to try to pick bonds issued by
good companies and good countries, period; none of our sectors is meant to
replicate an index. In the balance of this report, we'll review how each sector
contributed to performance and give you our outlook for individual sectors.
In the U.S. government sector, which includes U.S. Treasury and mortgage-backed
securities, we have remained conservative by holding mainly cash and long-term
bonds. Lately we are seeing worsening inflation numbers and high oil prices --
as well as some wage inflation, which appears to be Federal Reserve Board (Fed)
Chairman Alan Greenspan's biggest worry. We feel there is still potential for
the Fed to raise short-term interest rates further and therefore, this sector
may not do well over the near term. Eventually, however, we believe the Fed will
succeed in bringing inflation back down and will be able to lower interest rates
again. But in the meantime we are remaining cautious; our sector allocation was
about a quarter of portfolio assets at the end of the period, and we may lower
that in the coming months.
The U.S. high-grade corporate bond sector was a weak performer for the markets
in general. Inflation concerns and more supply than demand caused prices of
high-grade corporate bonds to fall faster than prices of U.S. Treasuries, thus
decreasing the value (and increasing the effective yield) of existing high-grade
issues. This is also described as a spread widening, with the spread being the
difference in yield between high-grade issues and Treasuries.
For us, however, high-grade corporate bonds were a strong area during the
period. We feel this was because our research identified a number of utilities
as crossover opportunities. These are companies whose credit ratings could --
and in fact did -- improve, causing their bonds to cross over to a higher rating
and therefore appreciate in value. These utilities comprised most of our
high-grade corporate holdings, so we feel our research gave us an advantage that
helped us to outperform in a sector that performed poorly for the markets in
general.
In the U.S. high-yield corporate sector, which consists of bonds issued by
companies with lower credit ratings (junk bonds), one of the keys to success is
avoiding defaults. This is another sector where we feel our Original
Research(SM) has historically helped us steer clear of most potentially
problematic companies. The numbers appear to bear out that opinion; in 1999, we
were invested in only one of the 88 domestic companies that defaulted on
high-yield debt. We have also been careful to diversify in the high-yield area,
with no company representing more than 1% of portfolio assets.
Since about November of 1999, it has seemed to us that the market has been
expecting a recession because it has been discounting bonds in this sector in
anticipation of a possible 10% default rate, one of the highest rates we have
ever seen. We disagree with that expectation of recession; thus, we feel this
sector represents a great opportunity for our research to identify securities we
believe are selling at bargain prices and offering attractive yields. We have
therefore been gradually adding holdings in this sector, finding some of our
best values in media and telecom companies.
The international developed-country sector, in which our main focus is Europe,
has played a minimal role in the portfolio recently. We have been at our lowest
allocation ever, about 11% of assets, because European interest rates have been
increasing, and we don't envision the situation turning around in the near
future. One reason is that growth is accelerating in Europe, so there is upward
pressure on interest rates as competition for capital increases. In terms of
relative value, we feel there is currently more value in the United States.
In contrast to the developed countries, emerging market debt has been our
best-performing sector since the beginning of 1999. Again, we feel this is an
area where MFS research has yielded opportunities that the market in general may
have passed over. More than two years ago, for example, we identified Mexican
government bonds as undervalued issues in an improving country. Recently, major
rating agencies raised many of these bonds to investment grade. As with the
utility bonds mentioned earlier, the series benefited from having bought these
bonds early and having seen them appreciate in price as they crossed over to a
higher rating.
8
<PAGE>
Management Review and Outlook -- continued
Emerging markets worldwide appear to be benefiting from improving fundamentals
and rating-agency upgrades. The restoration of credibility in Brazil, South
Korea, and Mexico, as well as continuing democratization in many of these
countries, leads us to believe that ongoing recoveries in Asia and Latin America
may continue to contribute to performance. Our holdings in this sector currently
comprise about 13% of the portfolio; since investments in emerging markets tend
to be very volatile, we limit this sector to a maximum of 15% of assets.
Finally, we may invest in the convertible bonds and preferred stocks sector. We
look to these securities to sometimes give an extra kick to performance.
Convertibles are bond-like instruments that also have equity characteristics;
generally, they are corporate bonds that are exchangeable for a certain number
of shares of stock at a preset price.
We tend to add to this sector when the stock market suffers a decline, often
causing convertibles to cheapen and trade more on their bond values, which are
usually lower than their stock values. We feel this may serve as a free option
if the stock price should recover and cause the value of the convertible to
appreciate.
In sum, our outlook for the fixed-income environment is that rates may continue
to rise over the near term and that we may experience continued volatility and
uncertainty as the Fed works to slow down the economy. In the longer term,
however, we feel the Fed's efforts will eventually succeed, which could bring
the competition for capital down and could bring rates down, perhaps as early as
late 2000.
Because they are currently so cheap, we feel that high-yield and emerging market
bonds issued by corporations with strong fundamentals may continue to do well,
even in the short term. The U.S. economy still appears to be strong, and we are
seeing improving fundamentals around the world. So we think the opportunity
exists for a flexible portfolio such as ours to benefit from investing in
selected areas.
Another positive factor we foresee is more demand for fixed-income products as
the U.S. population ages. At the same time the government is issuing less debt
because of its huge budget surpluses. We believe this combination of increased
demand and lower supply could potentially drive up bond prices -- another reason
we feel the long-term outlook for fixed-income investing is very good.
Zero Coupon Series, Portfolio 2000
For the six months ended June 30, 2000, the series provided a total return of
2.70%, which compares to a 2.96% return for the Treasury Bill Six Month Index.
The series performance includes the reinvestment of any distributions but does
not reflect any applicable contract or surrender charges. 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 are comparable bond portfolios 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.) On November 15, 2000, the series will liquidate
its assets.
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, the portfolios are actively
managed, and current holdings may be different.
9
<PAGE>
Performance Summary
Because MFS[RegTM]/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.)
Total Rates of Return through June 30, 2000
Bond Series
<TABLE>
<CAPTION>
6 Months 1 Year Life*
-----------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +3.12% +3.12% +8.36%
-----------------------------------------------------------
Average Annual Total Return -- +3.12% +3.81%
-----------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
May 6, 1998, through June 30, 2000.
Emerging Markets Equity Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return -4.89% +12.20% -8.04% +12.17%
------------------------------------------------------------------------
Average Annual Total Return -- +12.20% -2.75% +2.86%
------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
June 5, 1996, through June 30, 2000.
Global Asset Allocation Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +2.71% +17.52% +31.90% +83.90% +104.09%
-------------------------------------------------------------------------------------
Average Annual Total Return -- +17.52% +9.67% +12.96% +13.47%
-------------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
November 7, 1994, through June 30, 2000.
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 -0.82% +1.33% +9.71% +16.03% +88.95%
--------------------------------------------------------------------------------
Average Annual Total Return -- +1.33% +3.14% +3.02% +6.57%
--------------------------------------------------------------------------------
</TABLE>
Global Total Return Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years Life*
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +2.34% +11.52% +38.32% +84.00% +101.96%
---------------------------------------------------------------------------------
Average Annual Total Return -- +11.52% +11.42% +12.97% +13.26%
---------------------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
November 7, 1994, through June 30, 2000.
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 +4.25% +4.41% +17.88% +30.68% +101.30%
--------------------------------------------------------------------------------
Average Annual Total Return -- +4.41% +5.64% +5.50% +7.25%
--------------------------------------------------------------------------------
</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 +0.05% +1.85% +14.80% +45.23% +173.79%
--------------------------------------------------------------------------------
Average Annual Total Return -- +1.85% +4.71% +7.75% +10.60%
--------------------------------------------------------------------------------
</TABLE>
International Growth and Income Series(3)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years Life*
----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cumulative Total Return +3.83% +22.30% +48.88% +67.53%
----------------------------------------------------------------------
Average Annual Total Return -- +22.30% +14.19% +11.49%
----------------------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
October 2, 1995, through June 30, 2000.
Strategic Income Series(2)
<TABLE>
<CAPTION>
6 Months 1 Year Life*
---------------------------------------------------------
<S> <C> <C> <C>
Cumulative Total Return +1.65% +4.19% +6.76%
---------------------------------------------------------
Average Annual Total Return -- +4.19% +3.09%
---------------------------------------------------------
</TABLE>
* For the period from the commencement of the series' investment operations,
May 6, 1998, through June 30, 2000.
Zero Coupon Series, Portfolio 2000(1)
<TABLE>
<CAPTION>
6 Months 1 Year 3 Years 5 Years 10 Years
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cumulative Total Return +2.70% +4.64% +18.52% +30.17% +121.32%
--------------------------------------------------------------------------------
Average Annual Total Return -- +4.64% +5.83% +5.42% +8.27%
--------------------------------------------------------------------------------
</TABLE>
Notes to Performance Summary
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. 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. More recent returns may be
more or less than those shown. Past performance is no guarantee of future
results.
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.
Please see the prospectus for details.
10
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bond Series
Bonds -- 95.9%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 83.2%
Airlines -- 1.1%
American Airlines Pass Through Trust,
7.024s, 2009 ........................................................... $ 213 $ 202,356
Atlas Air, Inc., 7.2s, 2019 .............................................. 94 86,643
Continental Airlines Pass-Through Trust,
Inc., 6.545s, 2019 ..................................................... 195 175,403
Northwest Airlines Pass-Through Trust,
8.072s, 2019 ........................................................... 195 195,714
------------
$ 660,116
------------
Automotive -- 5.8%
DaimlerChrysler NA Holdings Co.,
6.63s, 2001 ............................................................ $1,030 $ 1,023,058
DaimlerChrysler NA Holdings Co.,
7.75s, 2005 ............................................................ 718 724,246
Ford Motor Credit Co., 6.7s, 2004 ........................................ 616 596,818
Ford Motor Credit Co., 7.75s, 2007 ....................................... 325 322,224
Ford Motor Credit Co., 5.8s, 2009 ........................................ 142 123,539
Ford Motor Credit Co., 7.875s, 2010 ...................................... 349 348,937
Hertz Corp., 8.25s, 2005 ................................................. 286 291,955
------------
$ 3,430,777
------------
Banks and Credit Companies -- 8.6%
Associates Corp., 5.75s, 2003 ............................................ $ 315 $ 299,297
Associates Corp., 5.5s, 2004 ............................................. 185 171,778
Bank United Houston Texas MTBN,
8s, 2009 ............................................................... 316 275,318
Capital One Financial Corp.,
7.25s, 2003 ............................................................ 413 403,247
Chase Manhattan Corp., 6.75s, 2004 ....................................... 259 252,313
Chase Manhattan Corp., 7.875s, 2010 ...................................... 190 190,279
General Motors Acceptance Corp.,
6.75s, 2002 ............................................................ 600 589,794
General Motors Acceptance Corp.,
5.95s, 2003 ............................................................ 133 128,042
General Motors Acceptance Corp.,
7.625s, 2004 ........................................................... 531 532,120
GS Escrow Corp., 6.75s, 2001 ............................................. 49 47,603
Lehman Brothers Holdings, Inc.,
6.25s, 2003 ............................................................ 115 110,481
MBNA, 6.875s, 2004 ....................................................... 185 175,620
Natexis AMBS Co. LLC,
8.44s, 2049## .......................................................... 254 238,126
Providian Capital I, 9.525s, 2027## ...................................... 71 55,708
Riggs National Corp., 9.65s, 2009 ........................................ 250 247,500
Socgen Real Estate Co.,
7.64s, 2049## .......................................................... 467 427,403
Wells Fargo Bank N.A., 7.8s, 2010 ........................................ 900 906,777
------------
$ 5,051,406
------------
Broadcasting -- 0.6%
Liberty Media Corp., 8.25s, 2030## ....................................... $ 373 $ 342,512
------------
Building -- 0.7%
Building Materials Corp. America,
8s, 2008 ............................................................... $ 510 $ 400,350
------------
Chemicals -- 1.1%
Lyondell Chemical Co., 9.625s, 2007 ...................................... $ 570 $ 564,300
Lyondell Chemical Co., 9.875s, 2007 ...................................... 62 61,380
------------
$ 625,680
------------
Computer Services -- 0.5%
Seagate Technology, 7.45s, 2037 .......................................... $ 316 $ 277,874
------------
Consumer Goods and Services -- 0.4%
Hasbro, Inc., 7.95s, 2003 ................................................ $ 257 $ 254,289
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Corporate Asset Backed -- 1.7%
Amresco Residential Securities Mortgage
Loan, 5.94s, 2015 ...................................................... $ 91 $ 89,507
Commercial Mortgage Asset Trust,
7.839s, 2020 (Interest only) ........................................... 8,576 279,388
Contimortgage Home Equity Loan Trust,
6.19s, 2014 ............................................................ 125 122,813
Morgan Stanley Capital I Inc.,
6.86s, 2010 ............................................................ 305 240,663
Morgan Stanley Capital I Inc.,
7.748s, 2010 ........................................................... 350 259,835
------------
$ 992,206
------------
Energy -- 0.5%
NRG Energy, Inc., 8.7s, 2005## ........................................... $ 115 $ 115,157
Pioneer Natural Resources Co.,
9.625s, 2010 ........................................................... 80 82,400
Valero Energy Corp., 8.75s, 2030 ......................................... 98 100,087
------------
$ 297,644
------------
Financial Services -- 5.2%
AIG Sunamerica Global Financing II,
7.6s, 2005 ............................................................. $ 600 $ 606,264
General Electric Capital Corp.,
8.7s, 2007 ............................................................. 4 4,303
Morgan Stanley Dean Witter,
7.75s, 2005 ............................................................ 500 503,455
Morgan Stanley Group, Inc.,
7.125s, 2003 ........................................................... 1,000 993,590
Morgan Stanley Group, Inc.,
8s, 2010 ............................................................... 769 777,097
Morgan Stanley Group, Inc.,
6.01s, 2030 ............................................................ 204 193,819
------------
$ 3,078,528
------------
Forest and Paper Products -- 1.7%
Georgia Pacific Corp., 9.95s, 2002 ....................................... $ 676 $ 699,903
Georgia Pacific Corp., 7.7s, 2015 ........................................ 250 234,713
Riverwood International Corp.,
10.25s, 2006 ........................................................... 60 57,000
------------
$ 991,616
------------
Gaming and Hotels -- 0.4%
Harrahs Operating, Inc., 7.5s, 2009 ...................................... $ 255 $ 236,619
------------
Gas -- 1.5%
Northern Natural Gas Co. Delaware,
7s, 2011## ............................................................. $ 741 $ 702,046
Texas Gas Transmission Corp.,
7.25s, 2027 ............................................................ 200 183,824
------------
$ 885,870
------------
Insurance -- 0.9%
Aflac, Inc., 6.5s, 2009 .................................................. $ 209 $ 189,139
GE Global Insurance Holdings Corp.,
7.75s, 2030 ............................................................ 147 146,116
Mony Group, Inc., 8.35s, 2010 ............................................ 221 217,720
------------
$ 552,975
------------
Internet -- 0.2%
PSINET, Inc., 11s, 2009 .................................................. $ 110 $ 102,300
------------
Media -- 4.5%
Belo Ah Corp., 7.75s, 2027 ............................................... $ 108 $ 91,527
Charter Communications Holdings,
8.25s, 2007 ............................................................ 500 442,500
Clear Channel Communications,
7.875s, 2005 ........................................................... 269 269,772
Hearst Argyle Television, Inc.,
7.5s, 2027 ............................................................. 100 84,359
</TABLE>
11-BDS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Media -- continued
News America Holdings, Inc.,
6.625s, 2008 ......................................................... $ 167 $ 153,122
Time Warner Entertainment Co. LP,
8.375s, 2033 ......................................................... 701 706,713
Time Warner, Inc., 10.15s, 2012 ........................................ 719 825,153
Time Warner, Inc., 6.625s, 2029 ........................................ 115 94,925
-----------
$ 2,668,071
-----------
Media and Entertainment -- 0.7%
Coca Cola Bottling Co., 6.375s, 2009 ................................... $ 206 $ 188,422
J Seagram & Sons, Inc., 7.5s, 2018 ..................................... 241 230,536
-----------
$ 418,958
-----------
Oils -- 3.0%
Apache Corp., 7.95s, 2026 .............................................. $ 449 $ 447,841
Coastal Corp., 7.75s, 2010 ............................................. 347 344,665
Occidental Petroleum Corp., 6.75s, 2002 ................................ 176 172,415
Occidental Petroleum Corp., 6.4s, 2003 ................................. 173 167,080
Phillips Petroleum Co., 8.75s, 2010 .................................... 595 626,785
-----------
$ 1,758,786
-----------
Railroads -- 0.8%
Union Pacific Corp., 6.34s, 2003 ....................................... $ 256 $ 245,458
Union Pacific Corp., 6.39s, 2004 ....................................... 237 225,456
-----------
$ 470,914
-----------
Retail -- 0.5%
J.Crew Operating Corp.,
10.375s, 2007 ........................................................ $ 150 $ 130,500
Kohls Corp., 7.25s, 2029 ............................................... 209 190,372
-----------
$ 320,872
-----------
Supermarkets -- 1.2%
Safeway, Inc., 5.875s, 2001 ............................................ $ 700 $ 685,671
-----------
Telecommunications -- 6.2%
Cable & Wireless Optus Finance,
8s, 2010 ............................................................. $ 343 $ 340,884
Cable & Wireless Optus Limited,
8.125s, 2009## ....................................................... 587 592,670
Comcast Corp., 9.125s, 2006 ............................................ 105 109,924
Sprint Capital Corp., 6.5s, 2001 ....................................... 500 493,575
Sprint Capital Corp., 7.625s, 2002 ..................................... 1,010 1,009,283
Sprint Capital Corp., 6.9s, 2019 ....................................... 354 314,763
TCI Communications Financing III,
9.65s, 2027 .......................................................... 425 469,540
Telecom de Puerto Rico, Inc.,
6.8s, 2009 ........................................................... 299 276,907
Telecom de Puerto Rico, Inc.,
6.65s, 2006 .......................................................... 72 68,133
-----------
$ 3,675,679
-----------
U.S. Federal Agencies -- 7.3%
Federal Home Loan Bank, 5.7s, 2009 ..................................... $ 725 $ 660,431
Federal National Mortgage Assn.,
7s, 2029 ............................................................. 599 578,715
Federal National Mortgage Assn.,
7.5s, 2099 ........................................................... 500 492,965
Federal National Mortgage Assn.,
6.625s, 2009 ......................................................... 615 594,145
Government National Mortgage Assn.,
7.5s, 2026 ........................................................... 282 280,323
Government National Mortgage Assn.,
8s, 2029 ............................................................. 1,014 1,024,990
Government National Mortgage Assn.
TBA, 7.5s, 2027 ...................................................... 675 670,295
-----------
$ 4,301,864
-----------
U.S. Treasury Obligations -- 21.5%
U.S. Treasury Bonds, 9.875s, 2015 ...................................... $1,397 $ 1,894,248
U.S. Treasury Bonds, 6.125s, 2029 ...................................... 7,843 7,921,430
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
U.S. Treasury Obligations -- continued
U.S. Treasury Notes, 5.875s, 2004 ...................................... $ 214 $ 210,891
U.S. Treasury Notes, 7.875s, 2004 ...................................... 920 974,197
U.S. Treasury Notes, 4.25s, 2010 ....................................... 1,158 1,174,600
U.S. Treasury Notes, 6.5s, 2010 ........................................ 523 540,897
-----------
$12,716,263
-----------
Utilities -- Electric -- 6.6%
Beaver Valley Funding Corp. II,
9s, 2017 ............................................................. $ 326 $ 332,445
CE Generation LLC, 7.416s, 2018 ........................................ 148 132,570
Cleveland Electric Illuminating Co.,
7.67s, 2004 .......................................................... 834 821,782
Cleveland Electric Illuminating Co.,
9s, 2023 ............................................................. 351 354,878
CMS Energy Corp., 8.375s, 2003 ......................................... 453 437,935
CMS Energy Corp., 6.75s, 2004 .......................................... 98 89,915
Commonwealth Edison Co.,
8.5s, 2022 ........................................................... 82 81,577
Connecticut Light & Power Co.,
7.875s, 2001 ......................................................... 73 73,234
Connecticut Light & Power Co.,
7.875s, 2024 ......................................................... 78 77,975
Entergy Mississippi, Inc., 6.2s, 2004 .................................. 83 78,720
GGIB Funding Corp., 7.43s, 2011 ........................................ 15 14,081
Gulf States Utilities Co., 8.21s, 2002 ................................. 151 152,238
Gulf States Utilities Co., 8.25s, 2004 ................................. 41 41,360
Northeast Utilities, 8.58s, 2006 ....................................... 105 105,434
NRG Energy South Central, 8.962s, 2016 ................................. 161 161,563
RGS Aegco Funding Corp.,
9.81s, 2022 .......................................................... 400 446,205
Salton Sea Funding Corp.,
7.84s, 2010 .......................................................... 40 39,056
Toledo Edison Co., 7.875s, 2004 ........................................ 236 230,544
Utilicorp United, Inc., 7s, 2004 ....................................... 69 65,904
Waterford 3 Funding Entergy Corp.,
8.09s, 2017 .......................................................... 151 143,057
-----------
$ 3,880,473
-----------
Total U.S. Bonds .................................................................. $49,078,313
-----------
Foreign Bonds -- 12.7%
Argentina -- 0.9%
Republic of Argentina, 0s, 2001 ........................................ $ 533 $ 497,022
-----------
Belgium -- 0.2%
Hermes Europe Railtel BV, 10.375s, 2009
(Telecommunications) ................................................. $ 150 $ 126,000
-----------
Bermuda -- 1.3%
Global Crossing Holdings Ltd., 9.625s,
2008 (Telecommunications) ............................................ $ 781 $ 761,475
-----------
Brazil -- 0.9%
Banco Naciona de Desenvolvi, 12.554s,
2008 (Banks and Credit Cos.)## ....................................... $ 160 $ 149,600
Banco Nacional de Desenvolvi, 12.554s,
2008 (Banks and Credit Cos.) ......................................... 100 93,750
Federal Republic of Brazil, 5s, 2014 ................................... 74 54,400
Federal Republic of Brazil,
12.75s, 2020 ......................................................... 90 85,860
Federal Republic of Brazil,
12.25s, 2030 ......................................................... 135 124,200
-----------
$ 507,810
-----------
Canada -- 1.2%
Apache Finance Canada Corp.,
7.75s, 2029 (Oils) ................................................... $ 479 $ 469,085
Province of Quebec, 7.5s, 2029 ......................................... 254 249,532
-----------
$ 718,617
-----------
</TABLE>
12-BDS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
Chile -- 1.0%
Empresa Nacional de Electricid, 7.75s,
2008 (Utilities -- Electric) ............. $ 421 $ 391,202
Empresa Nacional de Electricid,
8.5s, 2009 (Utilities -- Electric)## ..... 213 207,513
------------
$ 598,715
------------
Germany -- 1.7%
Deutsche Telekom International Finance,
7.75s, 2005 (Telecommunications) ......... $ 701 $ 701,052
Deutsche Telekom International Finance,
8s, 2010 (Telecommunications) ............ 307 309,692
------------
$ 1,010,744
------------
Israel -- 0.8%
Israel Electric Corp. Ltd., 8.1s, 2096
(Utilities -- Electric) .................. $ 464 $ 394,131
State of Israel, 7.75s, 2010 ............... 102 100,709
------------
$ 494,840
------------
Mexico -- 0.6%
Nuevo Grupo Iusacell S.A. de C.V.,
14.25s, 2006 (Telecommunications)##....... $ 100 $ 104,500
United Mexican States, 11.375s, 2016 ....... 60 69,150
United Mexican States, 11.5s, 2026 ......... 165 199,650
------------
$ 373,300
------------
Morocco -- 0.3%
Kingdom of Morocco, 7.75s, 2009 ............ $ 185 $ 165,575
------------
Qatar -- 0.2%
State of Qatar, 9.75s, 2030 ................ $ 120 $ 117,900
------------
South Korea -- 1.5%
Cho Hung Bank, 11.5s, 2010
(Banks and Credit Cos.) .................. $ 140 $ 134,750
Export-Import Bank Korea, 7.1s, 2007
(Banks and Credit Cos.) .................. 337 333,639
Hanvit Bank, 12.75s, 2010
(Banks and Credit Cos.) .................. 200 198,750
Korea Developmental Bank, 6.625s,
2003 (Banks and Credit Cos.) ............. 219 210,349
------------
$ 877,488
------------
Sweden -- 0.8%
AB Spintab, 6.8s, 2049
(Banks and Credit Cos.)## ................ $ 465 $ 449,214
------------
Turkey
Republic of Turkey, 11.875s, 2030 .......... $ 20 $ 21,275
------------
United Kingdom -- 1.3%
British Sky Broadcasting Group, 6.875s,
2009 (Telecommunications) ................ $ 886 $ 778,360
------------
Total Foreign Bonds ........................................ $ 7,498,335
------------
Total Bonds
(Identified Cost, $57,598,506) ........................... $ 56,576,648
------------
Short-Term Obligations -- 3.4%
Federal Home Loan Bank, due
7/03/00 at Amortized Cost ................ $2,029 $ 2,028,260
------------
Total Investments
(Identified Cost, $59,626,766) ........................... $ 58,604,908
------------
Other Assets,
Less Liabilities -- 0.7% 395,090
------------
Net Assets -- 100.0% ....................................... $ 58,999,998
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Emerging Markets Equity Series
Stocks -- 93.0%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 92.5%
Argentina -- 0.1%
IMPSAT Fiber Networks, Inc.
(Telecommunications)* ........................ 3,360 $ 56,280
------------
Brazil -- 12.0%
Banco Itau S.A. (Banks and Credit Cos.)......... 3,326,400 $ 292,421
Caemi Mineracao e Metalurgica S.A.
(Minerals) ................................... 1,172,600 145,030
Celular CRT Participacoes, Preferred
(Telecommunications)* ........................ 100 43,816
Cia Brasileira de Distribuicao Grupo Pao
de Acucar, ADR (Supermarkets) ................ 9,310 299,084
Companhia Cervejaria Brahma, ADR
(Beverages) .................................. 9,890 168,130
Embratel Participacoes S.A.
(Telecommunications) ......................... 15,480 365,715
Petroleo Brasileiro S.A. (Oils) ................ 9,730 293,958
Petroleo Brasileiro S.A., Preferred (Oils) ..... 32,762 990,310
Tele Celular Sul Participacoes S.A.
(Telecommunications) ......................... 400 18,100
Tele Centro Oeste Celular Participacoes
S.A., ADR (Telecommunications) ............... 42,650 511,800
Tele Centro Sul Participacoes S.A.
(Telecommunications) ......................... 15,323,683 155,532
Tele Centro Sul Participacoes S.A., ADR
(Telecommunications) ......................... 2,410 176,081
Tele Centro Sul Participacoes S.A.,
Preferred (Telecommunications) ............... 10,169,600 147,214
Tele Norte Celular Participacoes S.A.,
ADR (Cellular Telecommunications) ............ 7,110 360,832
Tele Sudeste Celular Participacoes S.A.
(Telecommunications) ......................... 6,230 290,232
Telecomunicacoes de Sao Paulo S.A.
(Telecommunications) ......................... 2,760 76,454
Telemig Celular Participacoes S.A.,
ADR (Telecommunications) ..................... 5,060 361,790
Telesp Participacoes S.A., Preferred
(Telecommunications) ......................... 7,435 134,432
Uniao de Banco Brasiliero S.A.
(Banks and Credit Cos.) ...................... 7,790 223,962
------------
$ 5,054,893
------------
Chile -- 0.2%
Autofagasta Holdings PLC
(Minerals) ................................... 17,460 $ 93,756
------------
Croatia -- 0.4%
Pliva d.d. Co.
(Medical and Health Products)* ............... 4,800 $ 48,720
Pliva d.d. Co., GDR
(Medical and Health Products) ................ 10,900 110,635
------------
$ 159,355
------------
Czechoslovakia -- 0.6%
Cesky Telecom A.S.
(Telecommunications)* ........................ 14,640 $ 243,756
------------
Dominican Republic -- 0.1%
Tricom S.A., ADR (Telecommunications)*.......... 3,040 $ 46,550
------------
Egypt -- 1.0%
Al Ahram Beverage Co. S.A., GDR
(Beverages)* ................................. 9,830 $ 167,110
Egypt Mobile Phone
(Telecommunications)* ........................ 7,260 236,802
------------
$ 403,912
------------
Estonia -- 0.6%
AS Eesti Telekom, GDR
(Telecommunications) ......................... 11,755 $ 239,788
------------
</TABLE>
13-EMS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Finland -- 0.5%
Sonera Group PLC(Telecommunications) 4,600 $ 207,592
-----------
Greece -- 1.1%
Hellenic Telecommunication Organization
S.A., GDR (Telecommunications) ............ 12,060 $ 295,618
STET Hellas Telecommunications S.A.,
ADR (Telecommunications)* ................. 8,620 171,323
-----------
$ 466,941
-----------
Hong Kong -- 7.4%
China Telecom Hong Kong Ltd.
(Telecommunications)* ..................... 3,710 $ 659,684
China Telecom Ltd.
(Telecommunications) ...................... 57,000 502,726
HSBC Holdings PLC
(Financial Services)* ..................... 34,000 389,288
Li & Fung Ltd.
(Consumer Goods and Services) ............. 147,000 735,472
PetroChina Co. Ltd. (Oils) .................. 3,858,000 801,791
-----------
$ 3,088,961
-----------
Hungary -- 0.9%
Magyar Tavkozlesi Rt., ADR
(Telecommunications) ...................... 10,805 $ 372,097
-----------
India -- 2.3%
Infosys Technologies Ltd.
(Computer Software) ....................... 960 $ 170,160
Mahanagar Telephone Nigam Ltd.,
GDR (Telecommunications)## ................ 16,500 165,000
Reliance Industries Ltd.
(Conglomerate)## .......................... 13,280 275,560
Satyam Infoway Ltd.
(Computer -- Software)* ................... 3,220 71,645
Videsh Sanchar Nigam Ltd., GDR
(Telecommunications)## .................... 18,410 280,752
-----------
$ 963,117
-----------
Israel -- 4.0%
Partner Communications Co. Ltd., ADR
(Cellular Telephones)* .................... 35,580 $ 338,010
Teva Pharmaceutical Industries Ltd.,
ADR (Pharmaceuticals) ..................... 18,210 1,009,517
Amdocs Ltd. (Telecommunciations)* ........... 4,480 343,840
-----------
$ 1,691,367
-----------
Malaysia -- 2.1%
Malaysian Pacific Industries Berhad
(Electronics) ............................. 45,000 $ 461,854
Resorts World Berhad (Entertainment) ........ 32,000 87,581
Sime Darby Berhad (Holding Company).......... 69,000 88,613
Telekom Malaysia Berhad
(Telecommunications) ...................... 29,000 99,976
Unisem (M) Berhad (Electronics) ............. 19,000 135,004
-----------
$ 873,028
-----------
Mexico -- 9.8%
Cifra S.A. de C.V. (Retail)* ................ 77,110 $ 181,002
Fomento Economico Mexicano
(Beverages)* .............................. 3,130 134,786
Grupo Continential S.A.
(Food and Beverage Products) .............. 73,200 74,383
Grupo Financiero Banorte S.A. de C.V.
(Finance)* ................................ 101,790 140,671
Grupo Iusacell S.A. de C.V.
(Telecommunications)* ..................... 26,800 418,750
Grupo Mexico S.A. (Metals)* ................. 37,090 104,399
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Mexico -- continued
Grupo Modelo S.A. de C.V. (Brewery) ......... 100,130 $ 232,494
Grupo Televisa S.A. de C.V., GDR
(Entertainment)* .......................... 6,110 421,208
Kimberly-Clark de Mexico S.A. de C.V.
(Consumer Products) ....................... 118,920 338,356
Organiz Soriana S.A., "B" (Retail) * ........ 84,040 334,759
Telefonos de Mexico S.A., ADR
(Utilities -- Telephone) .................. 27,872 1,592,188
Tubos de Acero de Mexico S.A. (Steel) ....... 5,030 69,791
Wal-Mart de Mexico S.A. de C.V.
(Retail)* ................................. 3,590 84,250
-----------
$ 4,127,037
-----------
Peru -- 0.5%
Telefonica del Peru S.A., ADR
(Telecommunications) ...................... 17,580 $ 199,972
-----------
Philippines -- 0.8%
Philippine Long Distance Telephone Co.
(Utilities -- Telephone) .................. 18,700 $ 331,925
-----------
Poland -- 1.7%
Polski Koncern Naftowy S.A., (Oils) ......... 20,000 $ 187,000
Polski Koncern Naftowy S.A., GDR
(Oils)*## ................................. 17,120 160,072
Telekomunikacja Polska S.A., GDR
(Telecommunications)* ..................... 50,700 347,295
-----------
$ 694,367
-----------
Russia -- 2.3%
Lukoil Oil Co., ADR (Oils) .................. 8,300 $ 410,850
Surgutneftegaz Jsc (Oils) ................... 32,300 399,713
Tatneft (Oils) .............................. 17,700 173,681
-----------
$ 984,244
-----------
Singapore -- 6.1%
Chartered Semiconductor Manufacturing
Co., ADR (Electronics)* ................... 12,230 $ 1,100,700
Datacraft Asia Ltd.
(Telecommunications) ...................... 100,000 880,000
DBS Bank, Ltd. (Banks and Credit Cos.)....... 930 9,804
DBS Group Holdings Ltd. (Financial
Services) ................................. 13,000 167,159
Natsteel Electronics Ltd. (Electronics) ..... 138,000 423,631
-----------
$ 2,581,294
-----------
South Africa -- 7.6%
Anglo American Corp. (Mining) ............... 6,383 $ 303,334
Anglo American PLC, ADR (Mining) ............ 1,440 68,040
De Beers Centenary AG
(Diamonds -- Precious Stones) ............. 12,334 300,164
De Beers Consolidated Mines Ltd.
(Mining) .................................. 3,700 89,956
Dimension Data Holdings Ltd.
(Technology) .............................. 83,555 691,362
Imperial Holdings Ltd. (Conglomerate)* ...... 31,137 253,505
Liberty Life Association of Africa Ltd.
(Insurance) ............................... 22,443 213,507
Nedcor Ltd. (Banks and Credit Cos.)* ........ 15,654 328,780
Sasol Ltd. (Oils) ........................... 57,470 385,676
South African Breweries Ltd. (Brewery) ...... 39,946 298,122
South African Breweries Ltd., ADR
(Brewery) ................................. 34,320 250,607
-----------
$ 3,183,053
-----------
South Korea -- 12.1%
Housing & Commercial Bank of Korea
(Banks and Credit Cos.) ................... 8,900 $ 208,350
Hyundai Electronics Industries Co.
(Electronics) ............................. 57,710 1,138,775
</TABLE>
14-EMS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
South Korea -- continued
Korea Telecom Corp.
(Telecommunications) ........................ 18,720 $ 905,580
Mirae Corp. (Electronics) ..................... 79,500 324,090
Mirae Corp., ADR (Electronics) ................ 3,340 25,885
Samsung Electro Mechanics Co.
(Electronics) ............................... 2,600 163,010
Samsung Electronics (Electronics) ............. 7,070 2,339,968
------------
$ 5,105,658
------------
Taiwan -- 13.6%
Acer, Inc., GDR (Computer Software --
Systems) ................................... 44,310 $ 407,652
Advanced Semiconducor, Inc., GDR
(Electronics) ............................... 27,020 452,585
Far Eastern Textile Ltd., GDR (Textiles)* ..... 9,270 114,485
R.O.C. Taiwan Fund (Closed End Fund)*.......... 140,380 1,219,551
Ritek Corp. (Computer -- Software
Systems)## .................................. 18,896 147,389
Siliconware Precision Inds Ltd
(Electronics)* .............................. 77,300 715,025
Taipei Fund (Closed End Fund)* ................ 176 1,673,936
Taiwan Semiconductor Manufacturing
Co. Ltd., ADR (Electronics) ................. 25,574 990,992
------------
$ 5,721,615
------------
Thailand -- 2.6%
Hana Microelectronics Public Co. Ltd.
(Electronics) ............................... 27,800 $ 205,926
Total Access Communications Public
Co., Ltd., ADR (Telecommunications) ......... 223,600 898,872
------------
$ 1,104,798
------------
Turkey -- 2.0%
Turkiye Garanti Bankasi (Banks and
Credit Cos.)* ............................... 41,316,480 $ 499,764
Vestel Electronic (Electronics)* .............. 1,122,300 339,383
------------
$ 839,147
------------
Venezuela -- 0.1%
Mavesa S.A. (Consumer Goods and
Services) ................................... 13,850 $ 43,281
------------
Total Foreign Stocks ...................................... $ 38,877,784
------------
U.S. Stocks -- 0.5%
Oil Services -- 0.5%
Santa Fe International Corp. .................. 6,200 $ 216,613
------------
Total Stocks (Identified Cost, $38,199,177) ............... $ 39,094,397
------------
Short-Term Obligations -- 4.9%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/03/00,
at Amortized Cost ................ $2,081 $ 2,080,240
-----------
Total Investments (Identified Cost, $40,279,417) ... $41,174,637
-----------
Other Assets,
Less Liabilities -- 2.1% 862,256
-----------
Net Assets -- 100.0% ............................... $42,036,893
===========
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Global Asset Allocation Series
Stocks -- 58.2%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 33.1%
Australia -- 1.2%
Publishing & Broadcasting Ltd.
(Broadcasting) .......................... 49,600 $ 381,014
QBE Insurance Group Ltd. (Insurance)* ..... 231,600 1,131,417
------------
$ 1,512,431
------------
Bermuda -- 0.4%
FLAG Telecom Holdings Ltd.
(Telecommunications)* ................... 11,810 $ 175,674
Global Crossing Ltd.
(Telecommunications)* ................... 14,080 370,480
------------
$ 546,154
------------
Canada -- 2.1%
BCE, Inc. (Telecommunications) ............ 15,408 $ 365,543
Canadian National Railway Co.
(Railroads) ............................. 32,500 948,594
Exfo Electro Optical Engineering Inc.
(Telecommunications)* ................... 150 6,581
Nortel Networks Corp.
(Telecommunications) .................... 15,084 1,029,483
Nortel Networks Corp.
(Telecommunications) .................... 5,037 349,645
------------
$ 2,699,846
------------
Finland -- 1.2%
Helsingin Puhelin Oyj
(Telecommunications) .................... 14,000 $ 1,371,188
Sonera Oyj (Telecommunications) ........... 3,510 159,993
------------
$ 1,531,181
------------
France -- 3.4%
Aventis S.A. (Pharmaceuticals) ............ 6,120 $ 446,633
Banque Nationale de Paris (Banks and
Credit Cos.) ............................ 6,700 644,699
Business Objects S.A., ADR (Computer
Software -- Systems)* ................... 430 37,894
Sanofi-Synthelabo S.A. (Medical and
Health Products) ........................ 20,500 976,508
Technip S.A. (Construction) ............... 4,700 568,455
Television Francise (Entertainment)* ...... 3,500 243,900
Total S.A., "B" (Oils) .................... 4,775 732,049
Vivendi S.A. (Business Services) .......... 7,100 626,595
------------
$ 4,276,733
------------
Hong Kong -- 0.1%
China Telecom Ltd.
(Telecommunications) .................... 14,000 $ 123,477
------------
Israel -- 0.3%
Check Point Software Technologies Ltd.
(Computer Software -- Services)* ........ 880 $ 186,340
Partner Communications Co. Ltd., ADR
(Cellular Telephones)* .................. 18,045 171,427
------------
$ 357,767
------------
Italy -- 0.5%
Telecom Italia Mobile S.p.A., Saving
Shares (Telecommunications) ............. 128,400 $ 645,947
------------
Japan -- 6.9%
Canon, Inc. (Special Products and
Services) ............................... 30,000 $ 1,493,213
Daiwa Securities Group, Inc. (Banks and
Credit Cos.) ............................ 16,000 211,161
Fast Retailing Co. (Retail) ............... 2,200 920,814
Fujitsu Ltd. (Computer Hardware --
Systems) ................................ 18,000 622,737
Hitachi Ltd. (Electronics) ................ 99,000 1,427,885
</TABLE>
15-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- continued
Mitsubishi Electric Corp. (Electronics) .................................. 36,000 $ 389,593
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ............................................... 48 638,009
NTT Mobile Communications Network,
Inc. (Telecommunications) .............................................. 68 1,839,744
Sony Corp. (Electronics) ................................................. 3,000 279,977
Tokyo Broadcasting System, Inc.
(Entertainment) ........................................................ 14,000 604,449
Toshiba Corp. (Electronics) .............................................. 21,000 236,963
------------
$ 8,664,545
------------
Mexico -- 0.5%
Grupo Iusacell S. A. de C. V., ADR
(Telecommunications)* .................................................. 7,290 $ 113,906
Grupo Television S.A. de C.V., GDR
(Entertainment)* ....................................................... 6,100 420,519
Telefonos de Mexico S.A., ADR
(Utilities -- Telephone) ............................................... 1,630 93,114
------------
$ 627,539
------------
Netherlands -- 4.0%
Akzo Nobel N.V. (Chemicals) .............................................. 27,700 $ 1,176,688
ASM Lithography Holding N.V.
(Computer Software -- Systems)* ........................................ 2,200 97,075
Completel Europe N.V.
(Telecommunications)* .................................................. 790 9,804
ING Groep N.V. (Financial Services)* ..................................... 12,157 821,639
Koninklijke Kpn N.V.
(Telecommunications)* .................................................. 18,818 841,598
Libertel N.V. (Cellular Telephones)* ..................................... 17,690 269,346
Philips Electronics N.V. (Electronics) ................................... 18,400 867,693
Royal Dutch Petroleum Co. (Oils) ......................................... 12,000 745,733
Versatel Telecommunications N.V.
(Telecommunications)* .................................................. 4,080 171,370
------------
$ 5,000,946
------------
Norway -- 0.1%
Schibsted ASA (Publishing) ............................................... 4,140 $ 76,738
------------
Portugal -- 0.3%
Telecel -- Comunicacoes Pessoais, S.A.
(Telecommunications)* .................................................. 28,000 $ 424,988
------------
Singapore -- 1.6%
Chartered Semiconductor Manufacturing
Co., ADR (Electronics)* ................................................ 2,860 $ 257,400
Flextronics International Ltd.*, (Electronic
Services) .............................................................. 5,220 358,549
Overseas Union Bank Ltd. (Banks and
Credit Cos.) ........................................................... 152,248 590,826
Overseas-Chinese Banking Corp. Ltd.
(Banks and Credit Cos.) ................................................ 64,000 441,124
Singapore Press Holdings Ltd. (Printing
and Publishing) ........................................................ 21,000 328,410
------------
$ 1,976,309
------------
South Korea -- 0.3%
Samsung Electronics (Electronics) ........................................ 1,200 $ 397,166
------------
Spain -- 0.4%
Repsol S.A. (Oils) ....................................................... 24,300 $ 483,653
------------
Sweden -- 1.0%
Ericsson LM, ADR (Telecommunications) 7,080 $ 141,600
Saab AB, "B" (Aerospace) ................................................. 128,700 1,080,409
Tele1 Europe Holdings AB
(Telecommunications)* .................................................. 640 7,841
------------
$ 1,229,850
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Switzerland -- 0.8%
Novartis AG (Medical and Health
Products) .............................................................. 605 $ 958,621
------------
United Kingdom -- 8.0%
AstraZeneca Group PLC (Medical and
Health Products) ....................................................... 16,258 $ 756,186
BAE Systems PLC (Aerospace)* ............................................. 102,650 639,706
BP Amoco PLC (Oils)* ..................................................... 77,200 740,339
BP Amoco PLC, ADR (Oils) ................................................. 7,160 404,987
Cable & Wireless Communications PLC,
ADR (Telecommunications) ............................................... 49,050 830,220
Carlton Communicatons PLC
(Broadcasting)* ........................................................ 59,600 766,284
CGU PLC (Insurance)* ..................................................... 51,787 861,664
Diageo PLC (Food and Beverage
Products)* ............................................................. 63,626 570,708
Next PLC (Retail) ........................................................ 59,200 517,576
Reckitt Benckiser PLC (Consumer Goods
and Services) .......................................................... 43,100 482,429
Royal Bank of Scotland PLC (Banks and
Credit Cos.)* .......................................................... 37,714 630,931
United News & Media PLC
(Broadcasting) ......................................................... 66,500 955,586
Vodafone AirTouch PLC
(Telecommunications)* .................................................. 464,168 1,874,609
------------
$ 10,031,225
------------
Total Foreign Stocks .......................................................................... $ 41,565,116
------------
U.S. Stocks -- 25.1%
Aerospace -- 0.4%
Boeing Co. ............................................................... 11,340 $ 474,154
------------
Automotive -- 0.2%
Capstone Turbine Corp.* .................................................. 20 $ 901
Harley-Davidson, Inc. .................................................... 5,900 227,150
------------
$ 228,051
------------
Banks and Credit Companies -- 0.1%
Wells Fargo Co. .......................................................... 2,290 $ 88,738
------------
Biotechnology -- 0.4%
Pharmacia Corp. .......................................................... 5,328 $ 275,391
Waters Corp.* ............................................................ 1,680 209,685
------------
$ 485,076
------------
Business Machines -- 0.2%
Seagate Technology, Inc.* ................................................ 1,540 $ 84,700
Sun Microsystems, Inc.* .................................................. 1,850 168,234
------------
$ 252,934
------------
Business Services -- 0.3%
BEA Systems, Inc.* ....................................................... 1,880 $ 92,943
Computer Sciences Corp.* ................................................. 4,150 309,953
Nextel Partners, Inc.* ................................................... 1,570 51,123
------------
$ 454,019
------------
Cellular Telephones -- 0.5%
Sprint Corp. (PCS Group)* ................................................ 10,780 $ 641,410
------------
Computer Services
Stratos Lightwave Inc.* .................................................. 20 $ 558
------------
Computer Software -- Personal
Computers -- 0.6%
Mercury Interactive Corp.* ............................................... 940 $ 90,945
Microsoft Corp.* ......................................................... 8,380 670,400
------------
$ 761,345
------------
Computer Software -- Services -- 0.4%
EMC Corp.* ............................................................... 5,720 $ 440,083
</TABLE>
16-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Computer Software -- Services -- continued
Informatica Corp.* ..................................................... 50 $ 4,097
TIBCO Software, Inc.* .................................................. 1,200 128,681
------------
$ 572,861
------------
Computer Software -- Systems -- 2.4%
Agile Software Corp.* .................................................. 160 $ 11,310
Ariba, Inc.* ........................................................... 700 68,633
BMC Software, Inc.* .................................................... 5,670 206,866
Cadence Design Systems, Inc.* .......................................... 10,820 220,457
Compuware Corp.* ....................................................... 8,810 91,404
Comverse Technology, Inc.* ............................................. 1,990 185,070
Digex, Inc.* ........................................................... 1,860 126,364
E.piphany, Inc.* ....................................................... 1,100 117,906
Foundry Networks, Inc.* ................................................ 80 8,800
I2 Technologies, Inc.* ................................................. 750 78,199
MMC Networks, Inc.* .................................................... 560 29,925
Oracle Corp.* .......................................................... 14,050 1,181,078
Rational Software Corp.* ............................................... 1,330 123,607
Siebel Systems, Inc.* .................................................. 670 109,587
Storagenetworks Inc.* .................................................. 50 4,513
VERITAS Software Corp.* ................................................ 3,070 346,958
Vitria Technology, Inc.* ............................................... 1,025 62,653
------------
$ 2,973,330
------------
Conglomerates -- 0.4%
Tyco International Ltd. ................................................ 11,126 $ 527,094
------------
Consumer Products -- 0.2%
RadioShack Corp.* ...................................................... 6,540 $ 309,832
------------
Consumer Goods and Services -- 0.2%
Colgate-Palmolive Co. .................................................. 3,850 $ 230,519
------------
Electronics -- 4.0%
Altera Corp.* .......................................................... 2,260 $ 230,379
Analog Devices, Inc.* .................................................. 5,300 402,800
DuPont Photomasks, Inc.* ............................................... 1,170 80,145
Fairchild Semiconductor
International Co.* ................................................... 1,220 49,410
Helix Technology Corp. ................................................. 1,510 58,890
Intel Corp. ............................................................ 5,630 752,661
KLA-Tencor Corp.* ...................................................... 1,230 72,032
Lam Research Corp.* .................................................... 4,290 160,875
LSI Logic Corp.* ....................................................... 3,160 171,035
Micron Technology, Inc.* ............................................... 18,300 1,611,544
Novellus Systems, Inc.* ................................................ 4,580 259,056
Photronics, Inc.* ...................................................... 2,110 59,871
Sanmina Corp.* ......................................................... 1,880 160,740
SCI Systems, Inc. ...................................................... 400 15,675
Solectron Corp.* ....................................................... 2,380 99,662
Tektronix, Inc. ........................................................ 3,730 276,020
Teradyne, Inc.* ........................................................ 1,800 132,300
Varian Semiconductor Equipment
Associates, Inc.* .................................................... 3,490 219,216
Veeco Instruments, Inc.* ............................................... 2,960 216,820
------------
$ 5,029,131
------------
Entertainment -- 1.3%
Clear Channel Communications, Inc.* .................................... 6,775 $ 508,125
Infinity Broadcasting Corp., "A"* ...................................... 14,840 540,732
Time Warner, Inc. ...................................................... 3,940 299,440
Viacom, Inc., "B"* ..................................................... 3,827 260,954
------------
$ 1,609,251
------------
Financial Institutions -- 1.1%
Associates First Capital Corp., "A" .................................... 3,970 $ 88,581
Citigroup, Inc. ........................................................ 6,310 380,177
Donaldson, Lufkin & Jenrette, Inc. ..................................... 1,970 83,602
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Financial Institutions -- continued
Federal National Mortgage Assn. ........................................ 2,710 $ 141,428
Financial Federal Corp.* ............................................... 4,570 79,404
Goldman Sachs Group, Inc. .............................................. 990 93,926
Merrill Lynch & Co., Inc. .............................................. 2,230 256,450
Morgan Stanley Dean Witter & Co. ....................................... 3,350 278,888
------------
$ 1,402,456
------------
Industrial -- 0.1%
Thermo Electron Corp.* ................................................. 4,510 $ 94,992
------------
Insurance -- 0.8%
American International Group, Inc. ..................................... 2,000 $ 235,000
Gallagher (Arthur J.) & Co. ............................................ 3,910 164,220
Hartford Financial Services Group, Inc. ................................ 6,390 357,440
Marsh & McLennan Cos., Inc. ............................................ 2,390 249,606
------------
$ 1,006,266
------------
Internet -- 0.9%
Allaire Corp.* ......................................................... 590 $ 21,683
Interwoven, Inc.* ...................................................... 230 25,296
Selectica, Inc.* ....................................................... 510 35,732
VeriSign, Inc.* ........................................................ 5,821 1,027,406
------------
$ 1,110,117
------------
Machinery -- 0.2%
Deere & Co., Inc. ...................................................... 5,520 $ 204,240
------------
Medical and Health Products -- 0.7%
American Home Products Corp. ........................................... 4,150 $ 243,812
Bristol-Myers Squibb Co. ............................................... 5,680 330,860
Pfizer, Inc. ........................................................... 7,232 347,136
------------
$ 921,808
------------
Medical and Health Technology
and Services -- 0.3%
Celera Genomics Co.* ................................................... 510 $ 47,685
Health Management Associates,
Inc., "A"* ........................................................... 13,070 170,727
PE Corp.- PE Biosystems Group .......................................... 2,580 169,957
------------
$ 388,369
------------
Oil Services -- 1.0%
Baker Hughes, Inc. ..................................................... 7,710 $ 246,720
Cooper Cameron Corp.* .................................................. 2,210 145,860
Global Marine, Inc.* ................................................... 12,490 352,062
Halliburton Co. ........................................................ 5,730 270,384
Noble Drilling Corp.* .................................................. 4,010 165,162
Weatherford International, Inc.* ....................................... 2,000 79,625
------------
$ 1,259,813
------------
Oils -- 0.8%
Conoco, Inc., "A" ...................................................... 9,450 $ 207,900
EOG Resources, Inc. .................................................... 2,670 89,445
Santa Fe International Corp. ........................................... 9,300 324,919
Transocean Sedco Forex, Inc. ........................................... 7,310 390,628
------------
$ 1,012,892
------------
Pharmaceuticals
Sepracor, Inc.* ........................................................ 420 $ 50,663
------------
Restaurants and Lodging -- 0.1%
Cendant Corp.* ......................................................... 7,540 $ 105,560
------------
Retail -- 1.0%
Best Buy Co., Inc.* .................................................... 1,300 $ 82,225
CVS Corp. .............................................................. 12,590 503,600
Home Depot, Inc. ....................................................... 1,530 76,404
Office Depot, Inc.* .................................................... 8,370 52,313
Wal-Mart Stores, Inc. .................................................. 8,580 494,422
------------
$ 1,208,964
------------
</TABLE>
17-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Supermarkets -- 0.4%
Safeway, Inc.* ............................... 10,830 $ 488,704
------------
Telecommunications -- 5.2%
Allegiance Telecom, Inc.* .................... 2,390 $ 152,960
Amdocs Ltd.* ................................. 1,300 99,775
American Tower Corp., "A"* ................... 3,780 157,579
AT&T Corp., "A"* ............................. 12,250 297,062
Cabletron Systems, Inc.* ..................... 9,440 238,360
Cisco Systems, Inc.* ......................... 18,240 1,159,380
Copper Mountain Networks, Inc.* .............. 650 57,281
Corning, Inc. ................................ 4,130 1,114,584
Cox Communications, Inc.* .................... 6,920 315,292
EchoStar Communications Corp.* ............... 1,260 41,718
Emulex Corp.* ................................ 860 56,491
Metromedia Fiber Network, Inc., "A"* ......... 11,650 462,359
MGC Communications, Inc.* .................... 1,530 91,704
NEXTEL Communications, Inc.* ................. 4,360 266,778
Nextlink Communications, Inc., "A"* .......... 3,720 141,128
NTL, Inc.* ................................... 18,799 1,125,590
Qwest Communications International,
Inc.* ...................................... 2,100 104,344
Spectrasite Holdings, Inc.* .................. 2,960 83,990
Time Warner Telecom, Inc.* ................... 3,270 210,506
UnitedGlobalCom, Inc.* ....................... 3,460 161,755
Williams Communications Group, Inc.* ......... 2,790 92,593
Winstar Communications, Inc.* ................ 2,515 85,196
------------
$ 6,516,425
------------
Telecommunications and Cable -- 0.4%
Comcast Corp., "A"* .......................... 11,370 $ 460,485
------------
Utilities -- Electric -- 0.5%
AES Corp.* ................................... 12,710 $ 579,894
------------
Total U.S. Stocks ............................................ $ 31,449,951
------------
Total Stocks (Identified Cost, $62,377,470) .................. $ 73,015,067
------------
Bonds -- 35.5%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. Bonds -- 22.3%
Building -- 0.6%
American Standard, Inc., 7.375s, 2008 ..... $ 675 $ 612,562
Williams Scotsman, Inc., 9.875s, 2007 ..... 200 180,000
------------
$ 792,562
------------
Consumer Goods and Services -- 0.1%
Kindercare Learning Centers, Inc.,
9.5s, 2009 .............................. $ 100 $ 92,000
------------
Container, Forest and Paper Products -- 1.2%
Ball Corp., 8.25s, 2008 ................... $ 250 $ 233,750
Gaylord Container Corp., 9.75s, 2007 ...... 125 97,500
Riverwood International Corp.,
10.25s, 2006 ............................ 675 641,250
Silgan Holdings, Inc., 9s, 2009 ........... 500 472,500
------------
$ 1,445,000
------------
Energy -- 1.0%
P&L Coal Holdings Corp., 8.875s, 2008 ..... $ 675 $ 639,562
P&L Coal Holdings Corp., 9.625s, 2008 ..... 650 602,875
------------
$ 1,242,437
------------
Federal National Mortgage Association -- 6.6%
FNMA, 7.25s, 2010 ......................... $8,165 $ 8,247,222
------------
Food and Beverage Products -- 0.4%
Borden, Inc., 9.25s, 2019### .............. $ 530 $ 492,132
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Industrial -- 0.2%
IMO Industries, Inc., 11.75s, 2006 ........... $ 250 $ 250,000
------------
Media -- 1.3%
Chancellor Media Corp., 8s, 2008 ............. $ 675 $ 677,531
CSC Holdings, Inc., 9.25s, 2005 .............. 250 251,250
Echostar DBS Corp., 9.375s, 2009 ............. 675 651,375
------------
$ 1,580,156
------------
Telecommunications -- 0.2%
Western Wireless Corp., 10.5s, 2007 .......... $ 250 $ 257,500
------------
Telecom -- Wire Less -- 0.5%
Crown Castle International Corp., 10.75s,
2011 ....................................... $ 650 $ 659,750
------------
U.S. Treasury Obligations -- 10.2%
U.S. Treasury Bonds, 6.125s, 2029 ............ $ 94 $ 94,940
U.S. Treasury Notes, 5.5s, 2008### ........... 3,782 3,620,093
U.S. Treasury Notes, 6s, 2009 ................ 9,207 9,133,620
------------
$ 12,848,653
------------
Total U.S. Bonds ...................................... $ 27,907,412
------------
Foreign Bonds -- 13.2%
Argentina -- 0.1%
Republic of Argentina, 0s, 2001 .............. $ 150 $ 132,375
------------
Bermuda -- 0.5%
Global Crossing Holdings Ltd., 9.625s,
2008 (Telecommunications) .................. $ 675 $ 658,125
------------
Brazil -- 0.5%
Banco Naciona de Desenvolvi, 12.554s,
2008 (Banks and Credit Cos.) ............... $ 280 $ 261,800
Federal Republic of Brazil, 5s, 2014 ......... 154 113,333
Federal Republic of Brazil, 6s, 2024 ......... 213 138,727
Federal Republic of Brazil, 12.25s, 2030 140 128,800
------------
$ 642,660
------------
Bulgaria -- 0.3%
National Republic of Bulgaria, 7.063s,
2024 ....................................... $ 390 $ 311,955
------------
France -- 0.4%
Republic of France, 4s, 2002 ................ EUR 548 $ 515,431
------------
Germany -- 0.7%
Federal Republic of Germany, 5.375s,
2010 ...................................... EUR 942 $ 907,776
------------
Grand Cayman Islands -- 0.3%
Pemex Finance Ltd., 9.69s, 2009
(Industrial) ............................... $ 290 $ 306,530
------------
Greece -- 0.7%
Republic of Greece, 6s, 2006 ................ GRD 307,800 $ 867,946
------------
Italy -- 1.6%
Republic of Italy, 4s, 2004 ................. EUR 662 $ 602,783
Republic of Italy, 5.5s, 2010 ................ 888 844,888
Republic of Italy, 6s, 2031 .................. 544 531,766
------------
$ 1,979,437
------------
Mexico -- 0.1%
United Mexican States, 9.875s, 2010 .......... $ 117 $ 122,265
United Mexican States, 11.375s, 2016 ......... 50 57,625
------------
$ 179,890
------------
Morocco -- 0.1%
Kingdom of Morocco, 7.75s, 2009 .............. $ 150 $ 134,250
------------
Netherlands -- 0.6%
Netia Holdings B.V., 10.25s, 2007 ............ $ 245 $ 202,125
United Pan Europe 10.875s, 2009
(Telecommunications) ....................... 650 552,500
------------
$ 754,625
------------
</TABLE>
18-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
Panama -- 0.1%
Republic of Panama, 4s, 2016 ................. $ 87 $ 71,953
Republic of Panama, 8.875s, 2027 ............. 85 71,719
------------
$ 143,672
------------
Qatar -- 0.2%
State of Qatar, 9.75s, 2030## ................ $ 255 $ 250,537
------------
South Korea -- 0.2%
Hanvit Bank, 12.75s, 2010 (Banks &
Credit Cos.)## ............................. $ 190 $ 188,812
Chohung Bank, 11.5s, 2010 (Banks &
Credit Cos.)## ............................. 100 96,250
------------
$ 285,062
------------
Turkey -- 0.1%
Republic of Turkey, 11.75s, 2010 ............. $ 124 $ 126,641
Republic of Turkey, 11.875s, 2030 ............ 28 29,785
------------
$ 156,426
------------
United Kingdom -- 6.7%
Colt Telecom Group PLC, 8.875s, 2007
(Telecommunications) ....................... DEM 300 $ 140,494
OTE PLC, 6.125s, 2007 (Industrial)## ......... EUR 525 492,495
Polestar Corp. PLC, 10.5s, 2008
(Printing) ................................. GBP 250 351,055
United Kingdom Treasury, 7.25s, 2007 ......... 4,425 7,397,623
------------
$ 8,381,667
------------
Total Foreign Bonds .................................... $ 16,608,364
------------
Total Bonds (Identified Cost, $45,090,337) ............. $ 44,515,776
------------
Preferred Stock -- 0.5%
<CAPTION>
Shares
<S> <C> <C>
Media -- 0.5%
Primedia, Inc., 8.625%, (Printing &
Publishing)* (Identified Cost,
$742,500)................................... 7,500 $ 645,000
------------
Call Options Purchased -- 0.1%
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Australian Dollars/July/0.585 .......... AUD 2,402 $ 12,404
Japanese Yen/July/105 .................. JPY 593,785 38,002
Mexican Pesos/July/10.199 .............. MXN 29,355 91,706
------------
Total Call Options Purchased
(Premiums Paid, $134,421) .............................. $ 142,112
------------
Put Options Purchased -- 0.4%
Australian Dollars/August/0.66 ......... AUD 4,383 $ 421
Euro/August/1.07 ....................... EUR 3,587 136
Euro/August/1.04 ....................... 4,184 1,448
Euro/September/0.99 .................... 6,955 75,681
Japanese Yen/July/108 .................. JPY 642,310 21,838
Japanese Yen/July/103 .................. 592,488 37,919
Japanese Yen/August/102 ................ 602,573 91,591
Japanese Yen/September/105 ............. 643,107 124,120
Japanese Yen/January/130 ............... 29,532 591
British Pounds/August/0.62 ............. GBP 4,155 88,198
British Pounds/August/0.615 ............ 4,156 76,303
------------
Total Put Options Purchased
(Premiums Paid, $629,118) .............................. $ 518,246
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Short-Term Obligations -- 4.8%
Federal Home Loan Bank, due 7/03/00,
at Amortized Cost ................ $ 6,033 $ 6,030,798
------------
Total Investments
(Identified Cost, $115,004,644) .................... $124,866,999
------------
Call Options Written -- (0.1)% Principal Amount
<CAPTION>
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Australian Dollars/August/0.61 ......... AUD 4,051 $ (109,429)
Australian Dollars/May/0.555 ........... 2,012 (10,372)
Canadian Dollars/September/1.4 ......... CAD 7,511 (511)
Japanese Yen/September/93.25 ........... JPY 646,398 (36,845)
------------
Total Call Options Written
(Premiums Received $275,437) ........................... $ (157,157)
------------
Put Options Written
Canadian Dollars/July/1.50 ............. CAD 59 $ (7,715)
Canadian Dollars/August/1.49 ........... 59 (14,979)
Euro/August/1.12 ....................... EUR 4,506 (5)
Japanese Yen/July/108 .................. JPY 642,310 (21,839)
-------------
Total Put Options Written
(Premiums Received $128,196) ........................... $ (44,538)
-------------
Other Assets,
Less Liabilities -- 0.6% 792,459
-------------
Net Assets -- 100.0% ..................................... $125,457,763
=============
</TABLE>
See portfolio footnotes and notes to financial statements.
19-GAA
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Global Governments Series
Bonds -- 74.0%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- 44.7%
Australia -- 0.6%
Commonwealth of Australia, 6.75s, 2006.................................. AUD 642 $ 396,740
-----------
Canada -- 3.0%
Government of Canada, 5.25s, 2008 ...................................... $ 737 $ 655,389
Government of Canada, 5.5s, 2009 ....................................... CAD 1,969 1,300,844
-----------
$ 1,956,233
-----------
Denmark -- 1.5%
Kingdom of Denmark, 7s, 2007 ........................................... DKK 7,008 $ 962,525
-----------
France -- 2.3%
Republic of France, 4s, 2009 ........................................... EUR 1,720 $ 1,481,850
-----------
Germany -- 15.9%
Federal Republic of Germany, 8s, 2002 .................................. EUR 2,100 $ 2,116,821
Federal Republic of Germany,
6.75s, 2004 .......................................................... 4,247 4,284,574
Federal Republic of Germany,
4.75s, 2008 .......................................................... 1,556 1,439,553
Federal Republic of Germany,
4.5s, 2009 ........................................................... 2,768 2,509,683
-----------
$10,350,631
-----------
Greece -- 1.8%
Hellenic Republic, 8.9s, 2003 .......................................... GRD 43,800 $ 132,573
Hellenic Republic, 8.7s, 2005 .......................................... 210,000 657,529
Hellenic Republic, 8.6s, 2008 .......................................... 120,000 390,521
-----------
$ 1,180,623
-----------
Italy -- 7.1%
Republic of Italy, 5s, 2008 ............................................ EUR 4,991 $ 4,612,063
-----------
Japan -- 2.9%
Development Bank of Japan, 1.75s, 2010
(Banks and Credit Cos.) .............................................. JPY 61,000 $ 572,680
Japan Bank for International
Cooperation, 7.125s, 2005 (Banks and
Credit Cos.) ......................................................... $ 1,310 1,310,197
-----------
$ 1,882,877
-----------
Mexico -- 0.5%
United Mexican States, 9.875s, 2010 .................................... $ 301 $ 314,545
-----------
Supra-National -- 2.1%
International Bank for Reconstruction &
Development, 2s, 2008 (Banks and
Credit Cos.) ......................................................... JPY 141,400 $ 1,384,890
-----------
Sweden -- 1.4%
Kingdom of Sweden, 6s, 2005 ............................................ SEK 2,100 $ 244,777
Kingdom of Sweden, 9s, 2009 ............................................ 4,600 655,423
-----------
$ 900,200
-----------
United Kingdom -- 5.6%
UK Treasury, 7s, 2002 .................................................. GBP 736 $ 1,133,726
UK Treasury, 7.25s, 2007 ............................................... 774 1,293,957
UK Treasury, 8s, 2015 .................................................. 438 881,726
UK Treasury, 6s, 2028 .................................................. 198 373,590
-----------
$ 3,682,999
-----------
Total Foreign Bonds ............................................................... $29,106,176
-----------
U.S. Bonds -- 29.3%
U.S. Treasury Bonds, 6.25s, 2023 ....................................... $ 3,886 $ 3,917,554
U.S. Treasury Notes, 8s, 2001 .......................................... 4,146 4,197,162
U.S. Treasury Notes, 6.75s, 2005 ....................................... 2,540 2,599,131
U.S. Treasury Notes, 6.125s, 2007 ...................................... 5,176 5,141,217
U.S. Treasury Notes, 5.5s, 2009 ........................................ 1,332 1,274,551
U.S. Treasury Notes, 4.25s, 2010 ....................................... 592 600,718
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
U.S. Treasury Notes, 6.5s, 2010 ........................................ $ 1,258 $ 1,301,049
-----------
Total U.S. Bonds ........................................................................... $19,031,382
-----------
Total Bonds
(Identified Cost, $48,696,559) ........................................................... $48,137,558
-----------
Call Options Purchased
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Japanese Yen/July/105
(Premiums Paid, $38,452)............. JPY 309,381 19,800
Put Options Purchased -- 0.2%
Japanese Government Bonds/August/
132.49 .............................. JPY 1,000,000 $ 104,166
Japanese Yen/July/103 ................. 307,675 19,691
Japanese Yen/July/108 ................. 348,283 11,842
Japanese Yen/Euro/January/130 ......... 18,245 365
-----------
Total Put Options Purchased
(Premiums Paid, $161,170) ....................... $ 136,064
-----------
Short-Term Obligations -- 26.8%
<CAPTION>
Principal Amount
Issuer (000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/03/00,
at Amortized Cost ................... $ 17,393 $17,386,652
-----------
Total Investments
(Identified Cost, $66,282,833) ......................... $65,680,074
-----------
Call Options Written
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Australian Dollars/May/0.555 ........... AUD 1,051 $ (5,419)
Canadian Dollars/September/1.4 ......... CAD 5,368 (365)
-----------
Total Call Options Written
(Premiums Received $44,714) ...................... $ (5,784)
-----------
Put Options Written -- (0.1)%
Japanese Government Bonds/August/
132.49 ............................... JPY 1,000,000 $ (79,657)
Japanese Yen/July/108 .................. 348,283 (11,842)
-----------
Total Put Options Written
(Premiums Received $130,114) ..................... $ (91,499)
-----------
Other Assets,
Less Liabilities -- (0.9)% ........................ (553,706)
-----------
Net Assets -- 100.0% ............................... $65,029,085
===========
</TABLE>
See portfolio footnotes and notes to financial statements.
20-GGS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Global Total Return Series
Stocks -- 60.7%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 45.5%
Australia -- 2.1%
Australia & New Zealand Banking Group
Ltd. (Banks and Credit Cos.)* ............. 56,717 $ 434,329
QBE Insurance Group Ltd. (Insurance)* ....... 291,455 1,423,822
Telstra Corp. Ltd. (Telecommunications) ..... 75,200 304,792
------------
$ 2,162,943
------------
Canada -- 2.2%
BCE, Inc. (Telecommunications) .............. 9,400 $ 223,838
Canadian National Railway Co.
(Railroads) ............................... 26,420 771,134
Manitoba Telecom Services
(Telecommunications) ...................... 17,700 304,471
Nortel Networks Corp.
(Telecommunications) ...................... 14,761 1,007,438
------------
$ 2,306,881
------------
Denmark -- 0.4%
ISS International Service Systems Co.
(Business Services)* ...................... 4,800 $ 365,465
------------
France -- 5.6%
Aventis S.A. (Pharmaceuticals) .............. 6,900 $ 503,556
AXA (Insurance) ............................. 2,900 456,776
Castorama Dubois Investisse (Stores --
Building Products) ....................... 3,093 764,718
Pinault-Printemps-Redoute S.A. (Retail) ..... 3,315 736,379
Sanofi-Synthelabo S.A. (Medical and
Health Products) .......................... 9,280 442,049
Societe Television Francaise 1
(Entertainment)* .......................... 16,900 1,177,690
STMicroelectronics N.V. (Electronics) ....... 14,400 907,252
Technip S.A. (Construction) ................. 2,900 350,749
Total Fina S.A. (Oils) ...................... 6,492 498,667
------------
$ 5,837,836
------------
Germany -- 1.7%
Fresenius AG (Medical Supplies) ............. 1,600 $ 369,621
Henkel KGaA (Chemicals) ..................... 11,832 675,431
Prosieben Media AG, Preferred
(Entertainment) ........................... 5,700 708,719
------------
$ 1,753,771
------------
Hong Kong -- 0.6%
China Telecom Ltd.
(Telecommunications) ...................... 72,000 $ 635,022
------------
Italy -- 0.8%
San Paolo Imi S.p.A. (Banks and Credit
Cos.) ..................................... 46,230 $ 820,398
------------
Japan -- 11.8%
Canon, Inc. (Office Equipment) .............. 29,000 $ 1,443,439
Eisai Co. Ltd. (Medical and Health
Products) ................................. 15,000 480,769
Fuji Heavy Industries Ltd. (Automotive) ..... 38,000 275,829
Fujitsu Ltd. (Computer
Hardware -- Systems) ...................... 26,000 899,510
Hitachi Ltd. (Electronics) .................. 68,000 980,769
Nintendo Co. (Entertainment) ................ 1,600 279,336
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) .................. 21 279,129
Nitto Denko Corp. (Industrial Goods and
Services) ................................. 9,000 347,002
NTT Mobile Communications Network,
Inc. (Telecommunications) ................. 33 892,817
Orix Corp. (Financial Services) ............. 2,520 371,776
Rohm Co. (Electronics) ...................... 4,700 1,373,492
Secom Co. (Security Services) ............... 11,000 803,639
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- continued
Sony Corp. (Electronics) .................... 5,600 $ 522,624
Takeda Chemical Industries Co.
(Pharmaceuticals) ......................... 13,000 852,941
Terumo Corp. (Medical Supplies) ............. 21,000 710,690
Tokyo Broadcasting System, Inc.
(Entertainment) ........................... 8,000 345,400
Tokyo Gas Co. Ltd. (Gas) .................... 126,000 353,959
Uni Charm Corp. (Forest and Paper
Products) ................................. 2,500 151,301
Ushio, Inc. (Electronics) ................... 17,000 467,949
Victor Company of Japan
(Telecommunications) ...................... 47,000 414,263
------------
$ 12,246,634
------------
Mexico -- 0.9%
Fomento Economico Mexicano S.A.
(Beverages)* .............................. 7,100 $ 305,744
Grupo Iusacell S. A. de C. V., ADR
(Telecommunications)* ..................... 11,100 173,438
Grupo Television S.A. de C.V., GDR
(Entertainment)* .......................... 5,900 406,731
------------
$ 885,913
------------
Netherlands -- 4.0%
Akzo Nobel N.V. (Chemicals) ................. 29,276 $ 1,243,636
Hunter Douglas N.V., ADR (Consumer
Goods and Services)* ...................... 17,500 473,601
ING Groep N.V. (Financial Services)* ........ 11,554 780,885
KPN N.V. (Telecommunications)* .............. 8,062 360,557
Royal Dutch Petroleum Co., ADR (Oils) ....... 21,929 1,350,004
------------
$ 4,208,683
------------
Singapore -- 0.3%
Singapore Press Holdings Ltd. (Printing
and Publishing) ........................... 21,000 $ 328,410
------------
South Korea -- 0.1%
Korea Electric Power Corp., ADR
(Utilities -- Electric) ................... 7,952 $ 146,615
------------
Spain -- 2.7%
Altadis (Tobacco) ........................... 69,027 $ 1,054,291
Repsol S.A. (Oils) .......................... 18,800 374,184
Telefonica S.A. (Telecommunications) ........ 64,000 1,374,624
------------
$ 2,803,099
------------
Sweden -- 1.2%
Saab AB, "B" (Aerospace and Defense)......... 78,515 $ 659,116
Skandia Forsakrings AB (Insurance) .......... 22,400 592,082
------------
$ 1,251,198
------------
Switzerland -- 1.1%
Nestle S.A. (Food and Beverage
Products) ................................. 586 $ 1,173,222
------------
United Kingdom -- 10.0%
AstraZeneca Group PLC
(Pharmaceuticals) ......................... 8,866 $ 412,372
Boots Co. PLC (Retail)* ..................... 66,400 505,197
British Aerospace PLC (Aerospace and
Defense)* ................................. 94,063 586,193
British Petroleum Amoco PLC, ADR
(Oils) .................................... 23,912 1,352,522
British Telecommunications PLC
(Telecommunications)* ..................... 42,947 554,773
Cable & Wireless Communications PLC,
ADR (Telecommunications) .................. 14,476 245,021
Carlton Communicatons PLC
(Broadcasting)* ........................... 33,700 433,284
</TABLE>
21-GTS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- continued
CGNU PLC (Insurance)* .................................................. 44,304 $ 737,157
Compass Group PLC (Food -- Catering).................................... 62,292 820,211
Diageo PLC (Food and Beverage
Products)* ........................................................... 72,950 654,341
HSBC Holdings PLC (Banks and
Credit Cos.)* ........................................................ 59,600 681,091
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 33,724 318,308
Reuters Group PLC (Business Services)................................... 39,500 673,357
United News & Media PLC
(Broadcasting) ....................................................... 55,000 790,334
Vodafone AirTouch PLC
(Telecommunications)* ................................................ 393,944 1,590,999
------------
$ 10,355,160
------------
Total Foreign Stocks ...................................................................... $ 47,281,250
------------
U.S. Stocks -- 15.2%
Advertising -- 0.3%
Omnicom Group, Inc. .................................................... 3,400 $ 302,812
------------
Aerospace and Defense -- 0.4%
Boeing Co. ............................................................. 11,300 $ 472,481
------------
Automotive -- 0.1%
Delphi Automotive Systems Corp. ........................................ 9,200 $ 133,975
------------
Beverages -- 0.9%
Anheuser-Busch Cos., Inc. .............................................. 12,800 $ 956,000
------------
Business Machines -- 0.8%
International Business Machines Corp. .................................. 6,090 $ 667,236
Xerox Corp. ............................................................ 6,220 129,065
------------
$ 796,301
------------
Computer Services -- 0.3%
Computer Sciences Corp.* ............................................... 4,100 $ 306,219
------------
Computer Software -- Personal
Computers -- 1.6%
Hewlett-Packard Co. .................................................... 13,200 $ 1,648,350
------------
Conglomerates -- 0.6%
Tyco International Ltd. ................................................ 14,214 $ 673,388
------------
Construction Services -- 0.3%
Martin Marietta Materials, Inc. ........................................ 9,098 $ 367,900
------------
Consumer Goods and Services -- 0.4%
Philip Morris Cos., Inc. ............................................... 14,076 $ 373,894
------------
Electrical Equipment -- 1.1%
General Electric Co. ................................................... 21,300 $ 1,128,900
------------
Electronics -- 1.1%
Agilent Technologies, Inc.* ............................................ 5,034 $ 371,257
Emerson Electric Co. ................................................... 13,400 809,025
------------
$ 1,180,282
------------
Financial Institutions -- 0.1%
Goldman Sachs Group, Inc. .............................................. 600 $ 56,925
------------
Financial Services -- 0.3%
Merrill Lynch & Co., Inc. .............................................. 3,000 $ 345,000
------------
Insurance -- 2.3%
American International Group, Inc. ..................................... 10,750 $ 1,263,125
MetLife, Inc.* ......................................................... 6,330 133,326
ReliaStar Financial Corp. .............................................. 18,598 975,232
------------
$ 2,371,683
------------
Machinery -- 0.3%
Ingersoll Rand Co. ..................................................... 6,800 $ 273,700
------------
Oil Services -- 0.6%
Halliburton Co. ........................................................ 12,400 $ 585,125
------------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Oils -- 0.4%
Exxon Mobil Corp. ...................................................... 5,361 $ 420,838
------------
Pharmaceuticals -- 1.7%
Bristol-Myers Squibb Co. ............................................... 16,412 $ 955,999
Pharmacia Corp. ........................................................ 16,368 846,021
------------
$ 1,802,020
------------
Special Products and Services -- 0.1%
United Parcel Service, Inc. ............................................ 1,490 $ 87,910
------------
Telecommunications -- 0.8%
Bell Atlantic Corp. .................................................... 13,800 $ 701,213
NTL, Inc.* ............................................................. 2,759 165,195
------------
$ 866,408
------------
U.S. Federal Agencies -- 0.3%
Freddie Mac Corp. ...................................................... 6,543 $ 264,992
------------
Utilities -- Electric -- 0.4%
Sierra Pacific Resources Co. ........................................... 33,281 $ 418,093
------------
Total U.S. Stocks ............................................................................ $ 15,833,196
------------
Total Stocks
(Identified Cost, $51,445,252) ............................................................. $ 63,114,446
------------
Bonds -- 36.6%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
U.S. Bonds -- 21.4%
Federal National Mortgage Association -- 0.8%
FNMA, 6.5s, 2004 .......................... $ 824 $ 808,163
------------
U.S. Treasury Obligations -- 20.6%
U.S. Treasury Bonds, 6.25s, 2023 .......... $ 4,572 $ 4,609,124
U.S. Treasury Notes, 8s, 2001 ............. 6,759 6,842,406
U.S. Treasury Notes, 6.125s, 2007 ......... 6,179 6,137,477
U.S. Treasury Notes, 5.625s, 2008 ......... 635 612,578
U.S. Treasury Notes, 3.875s, 2009 ......... 408 401,908
U.S. Treasury Notes, 5.5s, 2009 ........... 1,495 1,430,521
U.S. Treasury Notes, 4.25s, 2010 .......... 1,323 1,341,811
------------
$ 21,375,825
------------
Total U.S. Bonds .................................... $ 22,183,988
------------
Foreign Bonds -- 15.2%
Australia -- 0.2%
Commonwealth of Australia, 6.75s,
2006 .................................... AUD 407 $ 251,516
------------
Canada -- 1.2%
Government of Canada, 5.25s, 2008 ......... $ 459 $ 408,173
Government of Canada, 5.5s, 2009 .......... CAD 1,251 826,489
------------
$ 1,234,662
------------
Denmark -- 1.1%
Kingdom of Denmark, 7s, 2007 .............. DKK 8,363 $ 1,148,630
------------
France -- 0.7%
Republic of France, 4s, 2009 .............. EUR 857 $ 738,341
------------
Germany -- 3.5%
Federal Republic of Germany, 4.5s,
2009 .................................... EUR 4,041 $ 3,663,883
------------
Greece -- 1.0%
Hellenic Republic, 8.9s, 2003 ............. GRD 174,000 $ 526,660
Hellenic Republic, 8.7s, 2005 ............. 112,000 350,682
Republic of Greece, 8.6s, 2008 ............ 52,000 169,226
------------
$ 1,046,568
------------
Italy -- 1.3%
Republic of Italy, 5s, 2008 ............... EUR 1,415 $ 1,307,567
------------
Japan -- 2.5%
Development Bank of Japan,
1.75s, 2010 (Banks and Credit Cos.) JPY 51,000 $ 478,798
</TABLE>
22-GTS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
Japan -- continued
International Bank for Reconstruction &
Development, 2s, 2008 (Banks and
Credit Cos.) ............................... JPY 187,300 $ 1,834,440
Japan Bank for International
Cooperation, 7.125s, 2005 (Banks and
Credit Cos.) ............................... $ 257 257,039
------------
$ 2,570,277
------------
Mexico -- 0.2%
United Mexican States, 9.875s, 2010 .......... $ 192 $ 200,640
------------
Sweden -- 0.4%
Kingdom of Sweden, 6s, 2005 .................. SEK 1,100 $ 128,216
Kingdom of Sweden, 9s, 2009 .................. 2,400 341,960
------------
$ 470,176
------------
United Kingdom -- 3.1%
United Kingdom Treasury, 6.5s, 2003 .......... GBP 1,500 $ 2,312,131
United Kingdom Treasury, 6.75s, 2004 ......... 560 883,649
------------
$ 3,195,780
------------
Total Foreign Bonds ..................................... $ 15,828,040
------------
Total Bonds
(Identified Cost, $39,408,947) ........................ $ 38,012,028
------------
Call Options Purchased
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Japanese Government Bonds/August/
132.49 (Premiums Paid, $13,001)......... JPY 140,000 $ 14,583
Short-Term Obligations -- 3.2%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Associates First Capital Corp., due
7/03/00, at Amortized Cost ............. $3,321 $ 3,319,727
------------
Total Investments
(Identified Cost, $94,186,927) ........................... $104,460,784
------------
Put Options Written
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Japanese Government Bonds/August/
132.49 (Premiums Received, $13,001)..... JPY (140,000) $ (11,152)
------------
Other Assets,
Less Liabilities -- (0.5%) (503,563)
------------
Net Assets -- 100.0% .................................... $103,946,069
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Government Securities Series
Bonds -- 94.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Federal Agencies -- 51.1%
Aid to Israel, 5.625s, 2003 ............... $ 2,000 $ 1,925,020
Aid To Lebanon, 7.62s, 2009 ............... 7,945 7,974,736
Aid To Peru, 9.98s, 2008 .................. 4,640 5,022,556
Federal Home Loan Bank, 7.5s, 2027 ........ 2,370 2,338,825
Federal Home Loan Bank, 6.5s, 2029 ........ 42,666 40,270,330
Federal Home Loan Mortgage Corp.,
7.5s, 2001 .............................. 1,209 1,205,525
Federal Home Loan Mortgage Corp.,
6.875s, 2005 ............................ 12,250 12,173,437
Federal Home Loan Mortgage Corp.,
6.625s, 2009 ............................ 15,000 14,486,700
Federal Home Loan Mortgage Corp.,
6.5s, 2029 ............................. 4,986 4,705,891
Federal National Mortgage Assn.,
6.75s, 2003 ............................. 5,197 5,136,711
Federal National Mortgage Assn.,
7.27s, 2005 ............................. 5,906 5,811,246
Federal National Mortgage Assn.,
8s, 2005 ................................ 8,332 8,185,874
Federal National Mortgage Assn.,
6.132s, 2011 ............................ 2,806 2,714,179
Federal National Mortgage Assn.,
6.859s, 2011 ............................ 7,952 7,872,585
Federal National Mortgage Assn.,
7.5s, 2015 .............................. 9,697 9,666,402
Federal National Mortgage Assn.,
6.765s, 2020 ............................ 25 24,953
Federal National Mortgage Assn.,
6.5s, 2027 .............................. 18,013 16,984,316
Federal National Mortgage Assn.,
7s, 2029 ................................ 35,162 33,949,437
Federal National Mortgage Assn.,
7.5s, 2029 .............................. 2,683 2,645,696
Federal National Mortgage Assn.,
7s, 2030 ................................ 11,531 11,133,742
Federal National Mortgage Assn.,
7.5s, 2030 .............................. 13,283 13,096,295
Financing Corp., 9.4s, 2018 ............... 4,845 5,922,237
Financing Corp., 9.8s, 2018 ............... 5,600 7,074,368
Financing Corp., 10.35s, 2018 ............. 5,100 6,738,375
Resolution Funding Corp., 8.875s, 2020..... 6,000 7,327,500
Tennessee Valley Authority, 0s, 2042 ...... 12,500 5,027,000
U.S. Department of Housing & Urban
Development, 6.83s, 2003 ................ 8,025 7,975,004
U.S. Department of Housing & Urban
Development, 6.59s, 2016 ................ 5,744 5,191,313
U.S. Department of Veterans Affairs,
7.5s, 2009 .............................. 6,812 6,850,283
------------
Total U.S. Federal Agencies ................................ $259,430,536
------------
U.S. Government Guaranteed -- 43.5%
Government National Mortgage
Association -- 17.6%
GNMA, 6.5s, 2003 - 2026 ................... $ 644 $ 611,358
GNMA, 7s, 2008 - 2029 ..................... 33,852 32,928,481
GNMA, 7.5s, 2023 - 2027 ................... 23,867 23,711,936
GNMA, 8s, 2026 - 2030 ..................... 26,684 26,986,267
GNMA, 8.5s, 2022 .......................... 5,118 5,243,683
GNMA, 12.25s, 2015 ........................ 4 4,248
------------
$ 89,485,973
------------
Maritime Administration -- 2.0%
Empresa Energetica Cornito Ltd.,
6.07s, 2010 ............................. $11,125 $ 10,191,390
------------
</TABLE>
23-GSS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Government Guaranteed -- continued
Small Business Administration -- 2.1%
SBA, 8.2s, 2005 ............................ $ 344 $ 352,998
SBA, 8.4s, 2007 ............................ 229 231,483
SBA, 9.65s, 2007 ........................... 106 107,872
SBA, 6.24s, 2009 ........................... 8,500 7,639,375
SBA, 8.7s, 2009 ............................ 2,028 2,073,557
SBA, 9.05s, 2009 ........................... 215 220,837
SBA, 10.05s, 2009 .......................... 209 218,673
------------
$ 10,844,795
------------
U.S. Treasury Obligations -- 21.8%
U.S. Treasury Bonds, 10.375s, 2012 ......... $11,300 $ 13,893,689
U.S. Treasury Bonds, 9.875s, 2015 .......... 30,020 40,705,319
U.S. Treasury Bonds, 3.625s, 2028 .......... 10,551 10,056,568
U.S. Treasury Bonds, 6.125s, 2029 .......... 12,000 12,120,000
U.S. Treasury Notes, 6.5s, 2002 ............ 10,000 10,012,500
U.S. Treasury Notes, 5.5s, 2003 ............ 8,600 8,417,250
U.S. Treasury Notes, 5.875s, 2004 .......... 1,500 1,478,205
U.S. Treasury Notes, 4.25s, 2010 ........... 9,667 9,805,540
U.S. Treasury Notes, 6.5s, 2010 ............ 4,000 4,136,880
------------
$110,625,951
------------
Total U.S. Government Guaranteed ........................... $221,148,109
------------
Total Bonds
(Identified Cost, $492,759,530) .......................... $480,578,645
------------
Repurchase Agreement -- 4.3%
Merrill Lynch, dated 6/30/00, due 7/3/00,
total to be received $22,011,096
(secured by various U.S. Treasury and
Federal Agency obligations in a jointly
traded account), at cost ................. $22,007 $ 22,007,000
------------
Total Investments
(Identified Cost, $514,766,530) .......................... $502,585,645
------------
Other Assets,
Less Liabilities -- 1.1% 5,650,573
------------
Net Assets -- 100.0% ....................................... $508,236,218
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
High Yield Series
Bonds -- 89.6%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 76.0%
Aerospace -- 2.9%
Airplane Pass-Through Trust,
10.875s, 2019+ ............................ $ 691 $ 561,678
Argo Tech Corp., 8.625s, 2007 ............... 1,835 1,284,500
BE Aerospace, Inc., 9.875s, 2006 ............ 1,150 1,086,750
BE Aerospace, Inc., 8s, 2008 ................ 150 126,750
BE Aerospace, Inc., 9.5s, 2008 .............. 425 391,000
K & F Industries, Inc., 9.25s, 2007 ......... 2,615 2,471,175
L-3 Communications Corp.,
10.375s, 2007 ............................. 605 615,588
L-3 Communications Corp., 8s, 2008 .......... 800 712,000
L-3 Communications Corp., 8.5s, 2008 ........ 475 437,000
MOOG, Inc., 10s, 2006 ....................... 1,575 1,567,125
Stellex Industries, Inc., 9.5s, 2007 ........ 530 50,350
United Defense Industries, Inc.,
8.75s, 2007 ............................... 690 638,250
------------
$ 9,942,166
------------
Building -- 3.8%
AAF-McQuay, Inc., 8.875s, 2003 .............. $ 250 $ 215,000
American Standard, Inc., 7.375s, 2008 ....... 1,195 1,084,462
American Standard, Inc., 7.625s, 2010 ....... 200 183,000
Building Materials Corp., 7.75s, 2005 ....... 1,500 1,237,500
Building Materials Corp., 8.625s, 2006 ...... 140 121,800
Building Materials Corp., 8s, 2007 .......... 1,750 1,496,250
Formica Corp., 10.875s, 2009 ................ 2,150 1,677,000
MMI Products, Inc., 11.25s, 2007 ............ 1,425 1,403,625
Nortek, Inc., 9.875s, 2004 .................. 360 341,100
Nortek, Inc., 9.25s, 2007 ................... 2,370 2,215,950
Nortek, Inc., 8.875s, 2008 .................. 290 262,450
Schuff Steel Co., 10.5s, 2008 ............... 580 400,200
UDC Homes, Inc., 0s, 2000 ................... 7 3,644
Williams Scotsman, Inc., 9.875s, 2007 ....... 2,850 2,565,000
------------
$ 13,206,981
------------
Business Services -- 0.9%
Anacomp, Inc., 10.875s, 2004 ................ $1,700 $ 1,054,000
Iron Mountain, Inc., 10.125s, 2006 .......... 805 805,000
Pierce Leahy Corp., 11.125s, 2006 ........... 453 465,458
Pierce Leahy Corp., 9.125s, 2007 ............ 675 634,500
------------
$ 2,958,958
------------
Chemicals -- 2.7%
Huntsman ICI Holdings, 0s, 2009 ............. $ 250 $ 82,500
Huntsman ICI Holdings, 10.125s, 2009 ........ 2,625 2,638,125
Lyondell Chemical Co., 9.625s, 2007 ......... 1,475 1,460,250
Lyondell Chemical Co., 9.875s, 2007 ......... 1,250 1,237,500
Lyondell Chemical Co., 10.875s, 2009 ........ 500 496,250
Sovereign Specialty Chemicals,
11.875s, 2010## ........................... 1,500 1,545,000
Sterling Chemicals, Inc., 11.75s, 2006 ...... 240 194,400
Sterling Chemicals, Inc., 12.375s, 2006 ..... 565 587,600
Sterling Chemicals, Inc., 11.25s, 2007 ...... 1,100 869,000
Sterling Chemicals, Inc., 0s to 2001,
13.5s to 2008 ............................. 575 247,250
------------
$ 9,357,875
------------
Consumer Goods and Services -- 4.0%
American Safety Razor Co.,
9.875s, 2005 .............................. $1,000 $ 957,500
General Binding Corp., 9.375s, 2008 ......... 1,440 936,000
Kindercare Learning Centers, Inc.,
9.5s, 2009 ................................ 1,875 1,725,000
Polaroid Corp., 11.5s, 2006 ................. 805 837,200
Polymer Group, Inc., 9s, 2007 ............... 1,125 956,250
Polymer Group, Inc., 8.75s, 2008 ............ 500 415,000
Remington Products Co. LLC, 11s, 2006........ 515 435,175
</TABLE>
24-HYS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Consumer Goods and Services -- continued
Samsonite Corp., 10.75s, 2008 ................ $2,370 $ 1,973,025
Sealy Mattress Co., 9.875s, 2007 ............. 1,755 1,676,025
Simmons Co., 10.25s, 2009 .................... 2,360 2,094,500
Synthetic Industries, Inc., 13s, 2000 ........ 1,525 1,502,125
Westpoint Stevens, Inc., 7.875s, 2005 ........ 700 584,500
------------
$ 14,092,300
------------
Container, Forest and Paper Products -- 5.5%
Applied Extrusion Technologies, Inc.,
11.5s, 2002 ................................ $1,690 $ 1,702,675
Atlantis Plastics, Inc., 11s, 2003 ........... 525 523,031
Buckeye Cellulose Corp., 8.5s, 2005 .......... 1,525 1,460,188
Buckeye Technologies, Inc., 8s, 2010 ......... 900 816,750
Consolidated Container Co.,
10.125s, 2009 .............................. 375 371,250
Gaylord Container Corp., 9.375s, 2007 ........ 750 585,000
Gaylord Container Corp., 9.75s, 2007 ......... 1,500 1,170,000
Gaylord Container Corp., 9.875s, 2008 ........ 3,060 1,989,000
Huntsman Packaging Corp., 13s, 2010## 660 679,800
Riverwood International Corp.,
10.25s, 2006 ............................... 2,350 2,232,500
Riverwood International Corp.,
10.875s, 2008 .............................. 1,100 957,000
Silgan Holdings, Inc., 9s, 2009 .............. 3,000 2,835,000
Speciality Paperboard, Inc., 9.375s, 2006 800 768,000
U.S. Can Corp., 10.125s, 2006 ................ 1,675 1,712,687
U.S. Timberlands, 9.625s, 2007 ............... 1,515 1,333,200
------------
$ 19,136,081
------------
Energy -- 4.9%
AmeriGas Partners LP, 10.125s, 2007 .......... $1,600 $ 1,600,000
Cheasapeake Energy Corp.,
9.625s, 2005 ............................... 3,235 3,162,212
Clark Refining & Marketing, Inc.,
8.625s, 2008 ............................... 1,050 824,250
Clark USA, Inc., 10.875s, 2005 ............... 1,540 847,000
Continental Resources, Inc.,
10.25s, 2008 ............................... 1,625 1,454,375
Forest Oil Corp., 10.5s, 2006 ................ 925 941,188
HS Resources, Inc., 9.25s, 2006 .............. 485 475,300
Ocean Energy, Inc., 8.875s, 2007 ............. 1,645 1,636,775
P&L Coal Holdings Corp., 8.875s, 2008 ........ 870 824,325
P&L Coal Holdings Corp., 9.625s, 2008 ........ 2,560 2,374,400
Pioneer Natural Resources Co.,
9.625s, 2010 ............................... 1,525 1,570,750
Pride International, Inc., 10s, 2009 ......... 155 158,875
R & B Falcon Corp., 9.5s, 2008 ............... 1,005 1,010,025
------------
$ 16,879,475
------------
Financial Institutions -- 1.1%
Merrill Lynch Mortgage Investors, Inc.,
8.434s, 2022+ .............................. $ 500 $ 477,656
Morgan Stanley Capital I, Inc.,
6.86s, 2010 ................................ 745 587,850
Morgan Stanley Capital I, Inc.,
7.748s, 2010 ............................... 940 697,840
Willis Corroon Corp., 9s, 2009 ............... 2,495 2,089,563
------------
$ 3,852,909
------------
Gaming and Hotels -- 7.3%
Agrosy Gaming Co., 10.75s, 2009 .............. $ 145 $ 150,438
Aztar Corp., 8.875s, 2007 .................... 2,465 2,317,100
Boyd Gaming Corp., 9.5s, 2007 ................ 3,500 3,360,000
Coast Hotels & Casinos, Inc., 9.5s, 2009...... 2,925 2,793,375
Eldorado Resorts LLC, 10.5s, 2006 ............ 800 798,000
HMH Properties, Inc., 8.45s, 2008 ............ 1,070 991,087
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Bonds -- continued
Gaming and Hotels -- continued
Hollywood Park, Inc., 9.25s, 2007 ............ $1,420 $ 1,412,900
Horseshoe Gaming LLC, 8.625s, 2009 ........... 1,815 1,706,100
Isle of Capri Casinos, Inc., 8.75s, 2009 ..... 1,550 1,426,000
MGM Grand, Inc., 9.75s, 2007 ................. 2,270 2,304,050
Park Place Entertainment Corp.,
7.875s, 2005 ............................... 2,525 2,373,500
Prime Hospitality Corp., 9.75s, 2007 ......... 1,950 1,872,000
Santa Fe Hotel, Inc., 11s, 2000 .............. 1,045 1,029,325
Station Casinos, Inc., 8.875s, 2008 .......... 2,375 2,232,500
Station Casinos, Inc., 9.875s, 2010 .......... 580 582,900
------------
$ 25,349,275
------------
Industrial -- 4.3%
Allied Waste North America, Inc.,
7.625s, 2006 ............................... $ 835 $ 726,450
Allied Waste North America, Inc.,
10s, 2009 .................................. 230 194,350
Blount, Inc., 13s, 2009 ...................... 1,000 1,020,000
Columbus McKinnon Corp., 8.5s, 2008 .......... 1,635 1,422,450
Day International Group, Inc.,
11.125s, 2005 .............................. 1,200 1,170,000
Hayes Wheels International, Inc.,
11s, 2006 .................................. 950 933,375
Hayes Wheels International, Inc.,
9.125s, 2007 ............................... 1,375 1,227,187
Haynes International, Inc.,
11.625s, 2004 .............................. 1,925 1,347,500
IMO Industries, Inc., 11.75s, 2006 ........... 1,585 1,585,000
International Knife & Saw, Inc.,
11.375s, 2006 .............................. 1,325 689,000
Motors & Gears, Inc., 10.75s, 2006 ........... 375 360,938
Newcor, Inc., 9.875s, 2008 ................... 675 202,500
Numatics, Inc., 9.625s, 2008 ................. 330 264,000
Oxford Automotive, Inc., 10.125s, 2007 ....... 25 23,750
Simonds Industries, Inc., 10.25s, 2008 ....... 1,550 1,272,938
Thermadyne Holdings Corp., 0s to 2003,
12.5s to 2008 .............................. 2,900 1,044,000
Thermadyne Manufacturing/Capital
Corp., 9.875s, 2008 ........................ 1,950 1,499,062
------------
$ 14,982,500
------------
Media -- 14.5%
Acme Television LLC, 0s to 2000,
10.875s to 2004 ............................ $ 675 $ 644,625
Adelphia Communications Corp.,
8.375s, 2008 ............................... 3,050 2,684,000
Allbritton Communications Co.,
9.75s, 2007 ................................ 1,300 1,235,000
Avalon Cable Holdings LLC, 0s to 2003,
11.875s to 2008 ............................ 1,950 1,262,625
Benedek Communications Corp.,
0s to 2001, 13.25s to 2006 ................. 1,830 1,427,400
CD Radio Inc., 14.5s, 2009 ................... 600 552,000
Chancellor Media Corp., 8.75s, 2007 .......... 650 650,812
Chancellor Media Corp., 8s, 2008 ............. 2,100 2,107,875
Charter Communications Holdings,
8.25s, 2007 ................................ 3,250 2,876,250
Charter Communications Holdings,
0s to 2004, 9.92s to 2011 .................. 3,150 1,811,250
Citadel Broadcasting Co., 9.25s, 2008 ........ 1,695 1,652,625
Classic Cable, Inc., 10.5s, 2010 ............. 890 821,025
CSC Holdings, Inc., 8.125s, 2009 ............. 1,000 972,070
Cumulus Media, Inc., 10.375s, 2008 ........... 1,440 1,252,800
Echostar DBS Corp., 9.375s, 2009 ............. 2,850 2,750,250
</TABLE>
25-HYS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Media -- continued
Fox/Liberty Networks LLC, Inc.,
8.875s, 2007 ............................. $1,080 $ 1,074,600
Frontiervision Holding LP, 0s to 2001,
11.87s to 2007 ........................... 300 258,000
Frontiervision Operating Partnership LP,
11s, 2006 ................................ 1,350 1,363,500
Golden Books Publishing, Inc.,
10.75s, 2004 ............................. 363 163,125
Granite Broadcasting Corp.,
10.375s, 2005 ............................ 494 469,300
Granite Broadcasting Corp.,
8.875s, 2008 ............................. 240 202,800
Hollinger International Publishing,
9.25s, 2007 .............................. 1,390 1,369,150
Insight Midwest, 9.75s, 2009 ............... 2,440 2,391,200
Lenfest Communications, Inc.,
10.5s, 2006 .............................. 1,345 1,486,225
Liberty Group Operating, Inc.,
9.375s, 2008 ............................. 370 340,400
LIN Holdings Corp., 0s to 2003,
10s to 2008 .............................. 3,245 2,109,250
Mail-Well I Corp., 8.75s, 2008 ............. 50 43,000
Marvel Holdings, Inc., 0s, 2000** .......... 1,165 --
NTL Communications Corp., 0s to 2003,
12.375s to 2008 .......................... 3,465 2,269,575
NTL Communications Corp., 9.75s, 2009....... 1,400 1,101,173
NTL, Inc., 0s to 2003, 9.75s to 2008## ..... 2,035 1,271,875
Paxson Communications Corp.,
11.625s, 2002 ............................ 2,225 2,275,063
Pegasus Communications Corp.,
12.5s, 2007 .............................. 1,450 1,544,250
Telemundo Holdings, Inc., 0s to 2003,
11.5s to 2008 ............................ 2,825 1,977,500
United International Holdings,
0s to 2003, 10.75s to 2008 ............... 4,575 3,065,250
World Color Press, Inc., 7.75s, 2009 ....... 700 655,095
XM Satellite Radio, Inc., 14s, 2010## ...... 1,795 1,579,600
Young Broadcasting, Inc., 8.75s, 2007 ...... 1,000 915,000
------------
$ 50,625,538
------------
Medical and Health Technology
and Services -- 1.9%
Alaris Medical, Inc., 0s to 2003,
11.125s to 2008 .......................... $ 400 $ 60,000
Alaris Medical Systems, Inc.,
9.75s, 2006 .............................. 1,500 990,000
Fresenius Medical Care Capital Trust II,
7.875s, 2008 ............................. 2,550 2,269,500
Prime Medical Services, Inc.,
8.75s, 2008 .............................. 2,425 2,012,750
Tenet Healthcare Corp., 8s, 2005 ........... 1,450 1,388,375
------------
$ 6,720,625
------------
Metals and Minerals -- 2.2%
AK Steel Holdings Corp., 9.125s, 2006 ...... $ 515 $ 493,113
Commonwealth Aluminum Corp.,
10.75s, 2006 ............................. 1,405 1,390,950
Doe Run Resources Corp., 11.25s, 2005....... 1,000 380,000
Jorgensen (Earle M.) Co., 9.5s, 2005 ....... 1,410 1,311,300
Kaiser Aluminum & Chemical Corp.,
9.875s, 2002 ............................. 1,750 1,680,000
Kaiser Aluminum & Chemical Corp.,
12.75s, 2003 ............................. 350 321,125
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Metals and Minerals -- continued
LTV Corp., 11.75s, 2009 .................... $ 500 $ 420,000
Metal Management, Inc., 10s, 2008 .......... 1,875 937,500
WCI Steel, Inc., 10s, 2004 ................. 830 786,425
Wheeling Pittsburgh Corp., 9.25s, 2007 ..... 25 19,250
------------
$ 7,739,663
------------
Retail -- 1.7%
Duane Reade, Inc., 9.25s, 2008 ............. $1,000 $ 903,750
Finlay Enterprises, Inc., 9s, 2008 ......... 450 402,750
Finlay Fine Jewelry Corp., 8.375s, 2008..... 1,325 1,192,500
J.Crew Group, Inc., 0s to 2002,
13.125s to 2008 .......................... 540 292,950
J.Crew Operating Corp., 10.375s, 2007 ...... 2,180 1,896,600
Musicland Group, Inc., 9s, 2003 ............ 575 523,250
Musicland Group, Inc., 9.875s, 2008 ........ 945 756,000
------------
$ 5,967,800
------------
Supermarkets -- 0.1%
Jitney-Jungle Stores of America, Inc.,
12s, 2006** .............................. $1,140 $ 249,375
Jitney-Jungle Stores of America, Inc.,
10.375s, 2007** .......................... 250 4,375
Pathmark Stores, Inc., 11.625s, 2002 ....... 775 240,250
Pathmark Stores, Inc., 10.75s, 2003 ........ 200 17,500
Penn Traffic Co., 11s, 2009 ................ 1 704
------------
$ 512,204
------------
Telecommunications -- 18.2%
Adelphia Communications Corp.,
9.375s, 2009 ............................. $ 450 $ 417,375
Allegiance Telecommunications, Inc.,
0s to 2003, 11.75s to 2008 ............... 3,225 2,322,000
Allegiance Telecommunications, Inc.,
12.875s, 2008 ............................ 225 243,562
AMSC Acquisition Co., Inc.,
12.25s, 2008 ............................. 950 741,000
Centennial Cellular Operating Co.,
10.75s, 2008 ............................. 2,325 2,266,875
Crown Castle International Corp.,
10.75s, 2011 ............................. 1,685 1,710,275
Cybernet Internet Services International,
14s, 2009 ................................ 1,425 712,500
Dobson Communications Corp.,
10.875s, 2010 ............................ 1,055 1,057,638
DTI Holdings, Inc., 0s to 2003,
12.5s to 2008 ............................ 2,400 1,011,000
Esat Holdings Ltd., 0s to 2002,
12.5s to 2007 ............................ 550 519,750
Exodus Communications, Inc.,
11.25s, 2008 ............................. 1,815 1,796,850
Exodus Communications, Inc.,
10.75s, 2009 ............................. 125 120,625
Exodus Communications, Inc.,
11.625s, 2010 ............................ 1,585 1,592,925
Focal Communications Corp.,
0s to 2003, 12.125s to 2008 .............. 1,100 742,500
Focal Communications Corp.,
11.875s, 2010## .......................... 915 921,863
Globenet Communications Group,
13s, 2007 ................................ 605 610,294
Globix Corp., 12.5s, 2010 .................. 1,075 892,250
Hyperion Telecommunication, Inc.,
12.25s, 2004 ............................. 225 228,375
Hyperion Telecommunication, Inc.,
12s, 2007 ................................ 1,500 1,395,000
</TABLE>
26-HYS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Telecommunications -- continued
ICG Holdings, Inc., 0s to 2001, 12.5s to
2006 ...................................... $1,750 $ 1,448,125
Intermedia Communications, Inc.,
8.875s, 2007 .............................. 1,000 940,000
Intermedia Communications, Inc.,
0s to 2002, 11.25s to 2007 ................ 930 725,400
ITC Deltacom, Inc., 11s, 2007 ............... 932 932,000
ITC Deltacom, Inc., 8.875s, 2008 ............ 700 637,000
ITC Deltacom, Inc., 9.75s, 2008 ............. 770 731,500
Leap Wireless International, Inc.,
0s to 2005, 14.5s to 2010## ............... 100 44,000
Level 3 Communications, Inc.,
9.125s, 2008 .............................. 4,425 3,971,438
Level 3 Communications, Inc.,
10.75s, 2008 .............................. 600 550,422
Madison River, 13.25s, 2010## ............... 650 585,000
McCaw International Ltd., 0s to 2002,
13s to 2007 ............................... 500 367,500
Metromedia Fiber Network, Inc.,
10s, 2008 ................................. 2,150 2,124,000
MGC Communications, Inc., 13s, 2010 ......... 2,425 2,255,250
MJD Communications, Inc., 9.5s, 2008 ........ 1,000 890,000
Nextel Communications, Inc., 0s to 2002,
9.75s to 2007 ............................. 785 588,750
Nextel Communications, Inc., 0s to 2003,
9.95s to 2008 ............................. 4,405 3,248,687
Nextel International, Inc., 0s to 2003,
12.125s to 2008 ........................... 1,775 1,162,625
Nextlink Communications, Inc.,
9.625s, 2007 .............................. 350 329,000
Nextlink Communications, Inc.,
10.75s, 2009 .............................. 3,350 3,316,500
Nextlink Communications, Inc., 0s to
2004, 12.25s to 2009 ...................... 900 558,000
Northeast Optic Network, 12.75s, 2008 ....... 850 811,750
Northpoint Commerce Group, Inc.,
12.875s, 2010## ........................... 1,140 798,000
PSINET, Inc., 10.5s, 2006 ................... 1,200 1,104,000
PSINET, Inc., 11.5s, 2008 ................... 550 517,000
PSINET, Inc., 11s, 2009 ..................... 2,275 2,115,750
Rural Cellular Corp., 9.625s, 2008 .......... 800 776,000
SBA Communications Corp., 0s to 2003,
12s to 2008 ............................... 700 493,500
Spectrasite Holdings, Inc., 0s to 2003,
12s to 2008 ............................... 4,325 2,673,125
Spectrasite Holdings, Inc.,
10.75s, 2010## ............................ 595 593,512
Telesystem International Wireless, Inc.,
0s to 2002, 13.25s to 2007 ................ 1,150 799,250
Time Warner Telecommunications LLC,
9.75s, 2008 ............................... 1,445 1,401,650
Verio, Inc., 10.375s, 2005 .................. 175 186,375
Verio, Inc., 10.625s, 2009## ................ 1,000 1,108,750
Viatel, Inc., 11.25s, 2008 .................. 1,175 869,500
Viatel, Inc., 0s to 2003, 12.5s to 2008 ..... 425 199,750
Voicestream Wireless Corp.,
10.375s, 2009## ........................... 475 489,250
Western Wireless Corp., 10.5s, 2007 ......... 1,665 1,714,950
Worldwide Fiber, Inc., 12s, 2009 ............ 2,000 1,890,000
------------
$ 63,249,966
------------
Total U.S. Bonds .............................................. $264,574,316
------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- 13.6%
Belgium -- 1.8%
Hermes Europe Railtel BV, 10.375s, 2009
(Telecommunications) ...................... $2,125 $ 1,785,000
Kappa Beheer BV, 10.625s, 2009
(Container, Forest and Paper Products) 2,415 2,451,225
Tele1 Europe BV, 13s, 2009
(Telecommunications) ...................... 2,025 2,055,375
------------
$ 6,291,600
------------
Bermuda -- 0.6%
Global Crossing Holdings Ltd.,
9.625s, 2008 (Telecommunications) ......... $2,215 $ 2,159,625
------------
Canada -- 1.3%
GT Group Telecom, Inc., 0s to 2005,
13.25s to 2010
(Telecommunications)## .................... $2,900 $ 1,609,500
International Utility Structures,
10.75s, 2008 (Utilities-Electric) ......... 1,000 820,000
PCI Chemicals Canada, Inc., 9.25s, 2007
(Chemicals) ............................... 795 524,700
Russel Metals, Inc., 10s, 2009
(Metals and Minerals) ..................... 1,580 1,502,975
------------
$ 4,457,175
------------
Germany -- 0.6%
Callahan Nordrhein Westfalen, 14s, 2010
(Telecommunications) ...................... $1,995 $ 1,995,000
------------
Greece -- 0.1%
Fage Dairy Industries SA, 9s, 2007
(Food and Beverage Products) .............. $ 540 $ 432,000
------------
Luxembourg -- 0.7%
Millicom International Cellular
Communications Corp., 0s to 2001,
13.50s to 2006 (Telecommunications) ....... $1,710 $ 1,470,600
PTC International Finance II SA,
11.25s, 2009 (Telecommunications) ......... 925 941,187
------------
$ 2,411,787
------------
Mexico -- 0.2%
Satelites Mexicanos SA de CV,
10.125s, 2004 (Telecommunications) ........ $1,250 $ 837,500
------------
Netherlands -- 2.3%
Completel Europe NV, 0s to 2004,
14s to 2009 (Telecommunications) .......... $2,325 $ 1,116,000
United Pan-Europe, 10.875s, 2009
(Media) ................................... 2,875 2,443,750
United Pan-Europe, 11.25s, 2010
(Media)## ................................. 1,400 1,246,000
Versatel Telecom BV, 13.25s, 2008
(Telecommunications) ...................... 2,915 2,973,300
------------
$ 7,779,050
------------
Norway -- 0.1%
Ocean Rig Norway As, 10.25s, 2008
(Oil Services) ............................ $ 300 $ 249,000
------------
United Kingdom -- 5.9%
British Telecom PLC, 11.875s, 2008
(Telecommunications) ...................... $2,550 $ 3,001,274
Colt Telecommunications Group PLC,
0s to 2001, 12s to 2006
(Telecommunications) ...................... 3,800 3,344,000
Diamond Cable Communications Corp.
PLC, 0s to 2000, 11.75s to 2005
(Telecommunications) ...................... 150 142,500
Dolphin Telecom PLC, 0s to 2003,
11.50 to 2008 (Telecommunications) ........ 4,275 1,534,500
</TABLE>
27-HYS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
United Kingdom -- continued
Energis PLC, 9.75s, 2009
(Telecommunications) ....................... $ 1,695 $ 1,661,100
Esat Telecom Group PLC, 0s to 2002,
12.5s to 2007 (Telecommunications) ......... 700 661,500
Esprit Telecom Group PLC, 11.5s, 2007
(Telecommunications)# ...................... 700 497,000
Global Telesystems Ltd., 10.875s, 2008
(Telecommunications) ....................... 850 612,000
Jazztel PLC, 13.25s, 2009
(Telecommunications) ....................... EUR 1,000 885,392
Jazztel PLC, 14s, 2009
(Telecommunications) ....................... $ 2,000 1,840,000
Ono Finance PLC, 13s, 2009 (Media) ........... 3,185 3,025,750
Telewest Communications PLC,
9.625s, 2006 (Media) ....................... 675 634,500
Telewest Communications PLC,
11s, 2007 (Media) .......................... 755 715,362
Telewest Communications PLC,
11.25s, 2008 (Media) ....................... 500 510,000
Telewest Communications PLC,
0s to 2004, 9.875s to 2009 (Media) ......... 850 459,000
Telewest Communications PLC,
9.875s, 2010 (Media)## ..................... 455 423,150
Telewest Communications PLC,
11.375s, 2010 (Media)## .................... 1,525 815,875
------------
$ 20,762,903
------------
Total Foreign Bonds ........................................... $ 47,375,640
------------
Total Bonds
(Identified Cost, $345,164,984) ............................. $311,949,956
------------
Stocks -- 1.1%
<CAPTION>
Shares
<S> <C> <C>
U.S. Stocks -- 0.1%
Building
Atlantic Gulf Communities Corp.+* ......... 30 $ 2
------------
Consumer Goods and Services
Ranger Industries, Inc.* .................. 8,952 $ 13,988
------------
Media
Classic Communications, Inc.##* ........... 2,325 $ 18,600
Golden Books Family Entertainment, Inc.* 17,708 15,495
------------
$ 34,095
------------
Telecommunications -- 0.1%
Viatel, Inc.* ............................. 6,681 $ 190,826
------------
Total U.S. Stocks .................................. $ 238,911
------------
Foreign Stocks -- 1.0%
Belgium -- 0.1%
Tele1 Europe Holdings AB, ADR
(Telecommunications)* ................... 23,777 $ 286,810
------------
Bermuda -- 0.4%
Global Crossing Holdings Ltd., Preferred
(Telecommunications) .................... 12,250 $ 1,203,562
------------
Netherlands -- 0.3%
Completel Europe NV
(Telecommunications)* ................... 116,250 $ 1,162,500
------------
United Kingdom -- 0.2%
Colt Telecom Group PLC, ADR
(Telecommunications) .................... 3,956 $ 536,533
Ono Finance PLC (Media)* .................. 3,185 318,500
------------
$ 855,033
------------
Total Foreign Stocks ............................... $ 3,507,905
------------
Total Stocks
(Identified Cost, $2,072,697)..................... $ 3,746,816
</TABLE>
Preferred Stock -- 2.3%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Consumer Goods and Services
Renaissance Cosmetics, Inc., 14s* ........... 852 $ --
-------------
Media -- 1.3%
CSC Holdings, Inc., 11.125s* ................ 18,491 $ 1,946,178
Primedia, Inc., 8.625s ...................... 23,750 2,042,500
Primedia, Inc., 10s ......................... 4,000 386,000
-------------
$ 4,374,678
-------------
Telecommunications -- 1.0%
Crown Castle International Corp., 12.75s..... 1,839 $ 1,875,780
Nextel Communications, Inc., 13s* ........... 160 171,200
Rural Cellular Corp., 11.375s ............... 1,678 1,577,320
-------------
$ 3,624,300
-------------
Total Preferred Stock
(Identified Cost, $7,502,131) ............................. $ 7,998,978
-------------
Warrants* -- 0.5%
Allegiance Telecommunications, Inc.
(Telecommunications) ...................... 1,550 $ 26,350
Cybernet Internet Services International
(Telecommunications) ...................... 1,425 28,500
DTI Holdings, Inc. (Telecommunications) 12,000 120
Esat Holdings Ltd.
(Telecommunications)## .................... 550 123,750
ICO, Inc. (Energy) .......................... 25,000 15,250
Jazztel PLC (Telecommunications)## .......... 1,880 185,342
Knology Inc. (Telecommunications)## ......... 525 1,312
Loral Orion Network Systems, Inc.
(Telecommunications) ...................... 1,000 7,000
Loral Orion Network Systems, Inc.
(Telecommunications) ...................... 1,100 18,700
McCaw International Ltd.
(Telecommunications)## .................... 850 1,700
Metronet Communications Corp.
(Telecommunications)## .................... 650 71,500
Motient Corp. (Telecommunications)## ........ 950 38,000
Renaissance Cosmetics, Inc.
(Consumer Goods and Services) ............. 689 --
Versatel Telecom BV
(Telecommunications) ...................... 2,250 1,215,000
-------------
Total Warrants
(Identified Cost, $358,639) ............................... $ 1,732,524
-------------
Short-Term Obligations -- 5.3%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/03/00 ......... $ 2 $ 1,999
Salomon Smith Barney Holdings, Inc.,
due 7/03/00 ............................... 8,505 8,501,787
General Electric Capital Corp., due
7/03/00 ................................... 10,000 9,996,139
-------------
Total Short-Term Obligations, at Amortized Cost ............. $ 18,499,925
-------------
Total Investments
(Identified Cost, $373,598,376) ........................... $ 343,928,199
-------------
Other Assets,
Less Liabilities -- 1.2% 4,119,373
-------------
Net Assets -- 100.0% ........................................ $ 348,047,572
=============
</TABLE>
See portfolio footnotes and notes to financial statements.
28-HYS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
International Growth and Income Series
Stocks -- 96.9%
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- 77.2%
Australia -- 3.3%
Australia & New Zealand Banking Group
Ltd. (Banks and Credit Cos.)* ........................................ 89,506 $ 702,521
QBE Insurance Group Ltd. (Insurance)* .................................. 365,607 1,786,071
Telstra Corp. Ltd. (Telecommunications) ................................ 95,700 387,880
-----------
$ 2,876,472
-----------
Canada -- 3.4%
BCE, Inc. (Telecommunications) ......................................... 12,700 $ 302,419
Canadian National Railway Co.
(Railroads) .......................................................... 32,503 948,681
Manitoba Telecom Services Inc.
(Telecommunications) ................................................. 22,800 392,200
Nortel Networks Corp.
(Telecommunications) ................................................. 19,943 1,361,110
-----------
$ 3,004,410
-----------
Denmark -- 0.6%
International Service Systems Co.
(Business Services)* ................................................. 6,500 $ 494,901
-----------
France -- 9.9%
Aventis S.A. (Pharmaceuticals) ......................................... 14,090 $ 1,028,277
AXA (Insurance) ........................................................ 3,860 607,985
Castorama Dubois Investisse (Retail) ................................... 4,614 1,140,772
Compagnie Francaise d' Etudes et de
Construction S.A. (Construction) ..................................... 3,900 471,697
Pinault-Printemps-Redoute S.A. (Retail) ................................ 4,070 904,091
Sanofi-Synthelabo S.A. (Medical and
Health Products) ..................................................... 13,090 623,536
STMicroelectronics N.V. (Electronics) .................................. 15,660 986,637
Television Francaise (Entertainment)* .................................. 31,550 2,198,587
Total Fina S.A., ADR (Oils) ............................................ 10,230 785,792
-----------
$ 8,747,374
-----------
Germany -- 2.5%
Fresenius AG, Preferred (Medical
Supplies) ............................................................ 2,000 $ 462,026
Henkel KGaA, Preferred (Chemicals) ..................................... 13,110 748,386
ProSieben Media AG, Preferred
(Entertainment) ...................................................... 7,800 969,826
-----------
$ 2,180,238
-----------
Hong Kong -- 0.9%
China Telecom (Hong Kong) Ltd.
(Telecommunications) ................................................. 92,000 $ 811,417
-----------
Italy -- 1.3%
San Paolo -- Imi S.p.A. (Banks and
Credit Cos.) ......................................................... 62,825 $ 1,114,893
-----------
Japan -- 19.6%
Canon, Inc. (Special Products and
Services) ............................................................ 38,000 $ 1,891,403
Eisai Co. Ltd. (Medical and Health
Products) ............................................................ 19,000 608,974
Fuji Heavy Industries Ltd. (Automotive) ................................ 51,000 370,192
Fujitsu Ltd. (Computer Hardware --
Systems) ............................................................ 40,000 1,383,861
Hitachi Ltd. (Electronics) ............................................. 94,000 1,355,769
Nintendo Co. (Entertainment) ........................................... 2,000 349,170
Nippon Telegraph & Telephone Co.
(Utilities -- Telephone) ............................................. 31 412,048
Nitto Denko Corp. (Industrial Goods and
Services) ............................................................ 11,000 424,114
NTT Mobile Communications Network,
Inc. (Telecommunications) ............................................ 38 1,028,092
Rohm Co. (Electronics) ................................................. 5,900 1,724,170
Secom Co. (Security Services) .......................................... 23,000 1,680,336
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
Japan -- continued
Sony Corp. (Electronics) ............................................... 7,400 $ 690,611
Takeda Chemical Industries Co.
(Pharmaceuticals) .................................................... 15,000 984,163
Terumo Corp. (Medical and Health
Products) ............................................................ 53,000 1,793,646
Tokyo Broadcasting System, Inc.
(Entertainment) ...................................................... 11,000 474,925
Tokyo Gas Co. Ltd. (Gas) ............................................... 162,000 455,091
Uni-Charm Corp. (Paper Products) ....................................... 4,000 242,081
Ushio, Inc. (Electronics) .............................................. 28,000 770,739
Victor Co. of Japan Ltd. (Audio/Video
Products) ............................................................ 59,000 520,032
-----------
$17,159,417
-----------
Mexico -- 1.3%
Fomento Economico Mexicano S.A. de
C.V., ADR (Food and Beverage
Products)* ........................................................... 9,410 $ 405,218
Grupo Televisa S.A., GDR
(Entertainment)* ..................................................... 7,600 523,925
Nuevo Grupo Iusacell S.A. de C. V., ADR
(Telecommunications)* ................................................ 14,200 221,875
-----------
$ 1,151,018
-----------
Netherlands -- 6.9%
Akzo Nobel N.V. (Chemicals) ............................................ 37,220 $ 1,581,095
Hunter Douglas N.V., ADR (Consumer
Goods and Services)* ................................................. 29,950 810,534
ING Groep N.V. (Financial Services)* ................................... 14,780 998,917
KPN N.V. (Telecommunications)* ......................................... 11,086 495,799
Royal Dutch Petroleum Co., ADR (Oils) .................................. 35,460 2,183,006
-----------
$ 6,069,351
-----------
Singapore -- 0.5%
Singapore Press Holdings Ltd. (Printing
and Publishing) ...................................................... 26,000 $ 406,603
-----------
South Korea -- 0.3%
Korea Electric Power Corp.
(Utilities -- Electric) .............................................. 9,820 $ 304,756
-----------
Spain -- 4.4%
Altadis S.A. (Tobacco) ................................................. 106,287 $ 1,623,386
Repsol-YPF, S.A. (Oils) ................................................ 23,830 474,298
Telefonica S.A. (Telecommunications) ................................... 83,036 1,783,489
-----------
$ 3,881,173
-----------
Sweden -- 2.1%
Saab AB, "B" (Aerospace) ............................................... 124,850 $ 1,048,088
Skandia Forsakrings AB (Insurance) ..................................... 28,620 756,490
-----------
$ 1,804,578
-----------
Switzerland -- 1.7%
Nestle S.A. (Food and Beverage
Products) ............................................................ 739 $ 1,479,541
-----------
United Kingdom -- 18.5%
AstraZeneca Group PLC (Medical and
Health Products) ..................................................... 13,074 $ 608,093
BAE Systems PLC (Aerospace)* ........................................... 128,009 797,741
Boots Co. PLC (Retail)* ................................................ 92,820 706,210
BP Amoco PLC, ADR (Oils) ............................................... 30,596 1,730,586
British Telecommunications PLC
(Telecommunications)* ................................................ 56,577 730,840
Cable & Wireless Communications PLC
(Telecommunications) ................................................. 19,360 327,687
Carlton Communicatons PLC
(Broadcasting)* ...................................................... 45,800 588,856
CGU PLC (Insurance)* ................................................... 101,930 1,695,973
</TABLE>
29-IGI
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Stocks -- continued
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
Foreign Stocks -- continued
United Kingdom -- continued
Compass Group (Restaurants and Food
Service) ............................................................. 80,390 $ 1,058,510
Diageo PLC (Food and Beverage
Products)* ........................................................... 226,735 2,033,750
HSBC Holdings PLC (Banks and Credit
Cos.)* ............................................................... 76,100 869,648
Lloyds TSB Group PLC (Banks and
Credit Cos.)* ........................................................ 47,090 444,465
Reuters Group PLC (Business Services) .................................. 74,910 1,276,992
United News & Media PLC
(Broadcasting) ....................................................... 82,200 1,181,190
Vodafone AirTouch PLC
(Telecommunications)* ................................................ 535,398 2,162,282
-----------
$16,212,823
-----------
Total Foreign Stocks ...................................................................... $67,698,965
-----------
U.S. Stocks -- 19.7%
Advertising -- 0.4%
Omnicom Group, Inc. .................................................... 4,200 $ 374,063
-----------
Aerospace -- 0.7%
Boeing Co. ............................................................. 14,500 $ 606,281
-----------
Automotive -- 0.3%
Delphi Automotive Systems Corp. ........................................ 14,960 $ 217,855
-----------
Biotechnology -- 1.5%
Pharmacia Corp. ........................................................ 24,834 $ 1,283,607
-----------
Business Machines -- 2.8%
Hewlett-Packard Co. .................................................... 18,700 $ 2,335,162
Xerox Corp. ............................................................ 6,810 141,308
-----------
$ 2,476,470
-----------
Business Services -- 0.1%
United Parcel Service, Inc. ............................................ 2,110 $ 124,490
-----------
Computer Services -- 0.5%
Computer Sciences Corp.* ............................................... 5,300 $ 395,844
-----------
Consumer Goods and Services -- 1.7%
Philip Morris Cos., Inc. ............................................... 18,360 $ 487,688
Tyco International Ltd. ................................................ 20,676 979,525
-----------
$ 1,467,213
-----------
Electrical Equipment -- 3.1%
Emerson Electric Co. ................................................... 18,800 $ 1,135,050
General Electric Co. ................................................... 30,000 1,590,000
-----------
$ 2,725,050
-----------
Electronics -- 0.6%
Agilent Technologies, Inc.* ............................................ 7,132 $ 525,985
-----------
Financial Institutions -- 0.6%
Goldman Sachs Group, Inc. .............................................. 700 $ 66,412
Merrill Lynch & Co., Inc. .............................................. 3,800 437,000
-----------
$ 503,412
-----------
Food and Beverage Products -- 1.4%
Anheuser-Busch Cos., Inc. .............................................. 16,350 $ 1,221,141
-----------
Insurance -- 3.8%
American International Group, Inc. ..................................... 15,465 $ 1,817,137
ReliaStar Financial Corp. .............................................. 29,320 1,537,468
-----------
$ 3,354,605
-----------
Machinery -- 0.4%
Ingersol-Rand Co. ...................................................... 9,400 $ 378,350
-----------
Oil Services -- 1.5%
Halliburton Co. ........................................................ 28,700 $ 1,354,281
-----------
</TABLE>
<TABLE>
<CAPTION>
Issuer Shares Value
<S> <C> <C>
U.S. Stocks -- continued
Telecommunications -- 0.3%
NTL, Inc.* ............................................................. 3,690 $ 220,939
-----------
Total U.S. Stocks ............................................................................ $17,229,586
-----------
Total Stocks
(Identified Cost, $71,810,638) ............................................................. $84,928,551
-----------
Warrants*
Vivendi (Utilities -- Water),
(Identified Cost, $2,171) ............................................ 2,670 $ 9,201
-----------
Short-Term Obligations -- 1.6%
<CAPTION>
Principal Amount
(000 Omitted)
<S> <C> <C>
General Electric Capital Corp., due
7/03/00, at Amortized Cost ........................................... $ 1,405 $ 1,404,458
-----------
Total Investments
(Identified Cost, $73,217,267) .......................................................... $86,342,210
-----------
Other Assets,
Less Liabilities -- 1.5%
1,280,133
-----------
Net Assets -- 100.0% ...................................................................... $87,622,343
===========
</TABLE>
See portfolio footnotes and notes to financial statements.
30-IGI
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Money Market Series
Commercial Paper -- 85.1%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
American Express Credit Corp.,
due 8/17/00 .............................. $16,000 $ 15,863,595
American General Finance Corp.,
due 8/28/00 .............................. 16,000 15,828,578
Associates Corp. of North America,
due 7/03/00 .............................. 13,700 13,694,748
AT&T Corp., due 7/10/00 .................... 15,000 14,975,400
Bell Atlantic Financial Services,
due 8/24/00 .............................. 10,000 9,901,900
Bellsouth Telecomm, Inc., due 8/28/00 ...... 6,630 6,560,142
Campbell Soup Co.,
due 7/24/00 - 9/15/00 .................... 14,600 14,490,749
Caterpillar Financial Services N V,
due 9/28/00 .............................. 11,825 11,632,932
Du Pont (E.I.) de Nemours & Co., Inc.,
due 8/18/00 .............................. 4,000 3,965,067
Duke Power Co., due 7/18/00 ................ 12,000 11,963,167
Ford Motor Credit Corp., due 8/15/00 ....... 16,000 15,869,600
Gannett, Inc., due 7/13/00 ................. 18,000 17,961,060
General Electric Capital Corp.,
due 8/14/00 - 8/21/00 .................... 15,880 15,739,169
General Mills, Inc.,
due 7/18/00 - 7/20/00 .................... 15,385 15,335,406
Goldman Sachs Group LP, due 8/08/00 ........ 15,000 14,896,133
Halliburton Corp., due 9/18/00 ............. 15,000 14,784,067
Heinz (H.J.) Co., due 8/14/00 .............. 12,556 12,455,789
Kellogg Co., due 8/09/00 ................... 15,000 14,894,050
Merrill Lynch & Co., Inc., due 8/11/00 ..... 15,000 14,888,275
Metropolitan Life Funding, Inc.,
due 7/25/00 - 8/03/00 .................... 13,351 13,283,904
Morgan Stanley Dean Witter,
due 7/07/00 .............................. 18,000 17,980,590
Motorola, Inc., due 7/27/00 ................ 5,000 4,976,275
Pitney Bowes Credit Corp., due 7/05/00...... 17,000 16,987,628
Salomon Smith Barney Holdings, Inc.,
due 8/10/00 .............................. 15,000 14,890,667
Sara Lee Corp., due 7/03/00 ................ 9,000 8,996,600
Southern California Edison Co.,
due 7/18/00 .............................. 15,000 14,953,699
------------
Total Commercial Paper,
at Amortized Cost ........................................ $347,769,190
------------
U.S. Government and Agency
Obligations -- 14.3%
Federal Farm Credit Bank, due 8/04/00 ...... $ 9,575 $ 9,516,944
Federal Home Loan Bank, due 7/03/00 ........ 1,110 1,109,600
Federal National Mortgage Assn.,
due 7/19/00 - 8/23/00 .................... 48,000 47,642,556
------------
Total U.S. Government and Agency Obligations,
at Amortized Cost ........................................ $ 58,269,100
------------
Total Investments, at Amortized Cost ....................... $406,038,290
Other Assets,
Less Liabilities -- 0.6% 2,446,706
------------
Net Assets -- 100.0% ....................................... $408,484,996
============
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio of Investments (Unaudited) -- June 30, 2000
Strategic Income Series
Bonds -- 78.4%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- 52.2%
Broadcasting -- 3.8%
Citadel Broadcasting Co., 9.25s, 2008 ...... $ 125 $ 121,875
Cumulus Media, Inc., 10.375s, 2008 ......... 250 217,500
Echostar DBS Corp., 9.375s, 2009 ........... 250 241,250
Liberty Media Corp., 8.25s, 2030## ......... 350 321,392
-----------
$ 902,017
-----------
Building Materials -- 0.6%
Building Materials Corp., 8.625s, 2006 ..... $ 150 $ 130,500
-----------
Business Services -- 0.6%
Pierce Leahy Corp., 9.125s, 2007 ........... $ 150 $ 141,000
-----------
Chemicals -- 1.4%
Lyondell Chemical Co., 9.625s, 2007 ........ $ 175 $ 173,250
NL Industries, Inc., 11.75s, 2003 .......... 150 153,000
-----------
$ 326,250
-----------
Computer Services -- 0.2%
Unisystem Corp., 7.875s, 2008 .............. $ 50 $ 46,500
-----------
Consumer Goods and Services -- 0.7%
Hayes Wheels International, Inc.,
9.125s, 2007 ............................. $ 175 $ 156,187
-----------
Container, Forest and Paper Products -- 1.2%
Gaylord Container Corp., 9.75s, 2007"B" $ 50 $ 39,000
Riverwood International Corp.,
10.25s, 2006 ............................. 250 237,500
-----------
$ 276,500
-----------
Entertainment -- 0.7%
Time Warner Entertainment Co. LP,
8.375s, 2033 ............................. $ 168 $ 169,369
-----------
Financial Institutions -- 6.0%
Chase Commercial Mortgage Securities
Corp., 6.6s, 2012 ........................ $ 360 $ 266,040
Commercial Mortgage Asset Trust,
7.839s, 2020 (Interest only) ............. 4,545 148,053
DLJ Commercial Mortgage Corp.,
7.545s, 2005 (Interest only) ............. 14,500 492,783
Morgan Stanley Capital Inc., 6.86s, 2010 250 197,265
Natexis AMBS Co. LLC, 8.44s, 2049## ........ 100 93,750
Residential Accredit Loans, Inc.,
7.75s, 2027 .............................. 239 220,934
-----------
$ 1,418,825
-----------
Industrial -- 0.7%
Allied Waste North America Inc.,
10s, 2009 ................................ $ 200 $ 169,000
-----------
Information, Paging and Technology -- 1.6%
NEXTEL Communications, Inc.,
0s to 2003, 9.95s to 2008 ................ $ 500 $ 368,750
-----------
Media -- 1.6%
Chancellor Media Corp., 8.125s, 2007 ....... $ 250 $ 250,625
Lenfest Communications, Inc.,
10.5s, 2006 .............................. 125 138,125
-----------
$ 388,750
-----------
Metals and Minerals -- 0.9%
P&L Coal Holdings Corp., 9.625s, 2008 ...... $ 225 $ 208,687
-----------
Oil Services -- 0.5%
Ocean Energy, Inc., 8.875s, 2007 ........... $ 125 $ 124,375
-----------
Printing and Publishing -- 0.4%
Hollinger International Publishing,
9.25s, 2007 .............................. $ 100 $ 98,500
-----------
Steel -- 0.8%
WCI Steel, Inc., 10s, 2004 ................. $ 200 $ 189,500
-----------
</TABLE>
31-SIS
<PAGE>
Portfolio of Investments (Unaudited) -- continued
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
U.S. Bonds -- continued
Telecommunications -- 6.4%
Centennial Cellular Operating Co.,
10.75s, 2008 .............................. $ 200 $ 195,000
Century Communications Corp.,
9.5s, 2005 ................................ 100 95,750
Charter Communications Holdings,
8.25s, 2007 ............................... 250 221,250
Crown Castle International Corp.,
10.75s, 2011 .............................. 250 253,750
CSC Holdings, Inc., 9.25s, 2005 ............. 125 125,625
FrontierVision Holdings LP, 11s, 2006 ....... 100 101,000
NTL Communications Corp.,
0s to 2003, 12.375s to 2006 ............... 200 131,000
PSINet, Inc., 11s, 2009 ..................... 200 186,000
Spectrasite Holdings, Inc., 12s, 2009 ....... 350 204,750
-----------
$ 1,514,125
-----------
U.S. Federal Agencies -- 9.2%
Federal Home Loan Bank, 7.5s, 2029 .......... $ 222 $ 219,254
Federal Home Loan Mortgage Corp.,
6.875s, 2005 .............................. 250 248,438
FNMA, 7s, 2029 .............................. 499 482,262
FNMA, 7.5s, 2030 ............................ 999 984,473
GNMA, 8s, 2030 .............................. 225 227,242
-----------
$ 2,161,669
-----------
U.S. Treasury Obligations -- 12.1%
U.S. Treasury Bonds, 10.375s, 2012 .......... $ 750 $ 922,148
U.S. Treasury Bonds, 9.875s, 2015 ........... 214 290,171
U.S. Treasury Bonds, 6.125s, 2029 ........... 800 808,000
U.S. Treasury Notes, 6s, 2009 ............... 400 396,812
U.S. Treasury Notes, 6.5s, 2010 ............. 418 432,304
-----------
$ 2,849,435
-----------
Utilities -- Electric -- 2.8%
Cheasapeake Energy Corp.,
9.625s, 2005 .............................. $ 200 $ 195,500
CMS Energy Corp., 6.75s, 2004 ............... 150 137,625
Niagara Mohawk Power Corp.,
8.77s, 2018 ............................... 250 250,000
Niagara Mohawk Power Corp."D",
7.25s, 2002 ............................... 76 74,715
-----------
$ 657,840
-----------
Total U.S. Bonds .............................................. $12,297,779
-----------
Foreign Bonds -- 26.2%
Argentina -- 1.9%
Cablevision S.A., 13.75s, 2007
(Cable Television)## ...................... $ 100 $ 93,000
Mastellone Hermanos S.A., 11.75s, 2008
(Food and Beverage Products) .............. 150 109,500
Republic of Argentina, 12.04s, 2004## ....... 250 254,688
-----------
$ 457,188
-----------
Bermuda -- 1.2%
Flag Ltd., 8.25s, 2008
(Telecommunications) ...................... $ 50 $ 44,000
Global Crossing Holdings Ltd.,
9.625s, 2008 (Telecommunications) ......... 250 243,750
-----------
$ 287,750
-----------
Brazil -- 4.1%
Federal Republic of Brazil, 7.375s, 2006 $ 102 $ 93,349
Federal Republic of Brazil, 8s, 2014 ........ 677 498,666
Federal Republic of Brazil, 12.75s, 2020 75 71,550
Federal Republic of Brazil, 6s, 2024 ........ 250 162,825
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
Brazil -- continued
Federal Republic of Brazil,
10.125s, 2027 ............................. $ 150 $ 118,125
Federal Republic of Brazil, 12.25s, 2030..... 25 23,000
-----------
$ 967,515
-----------
Canada -- 0.3%
AT&T Canada, Inc., 0s to 2003,
9.95s to 2008 (Telecommunications) ........ $ 75 $ 60,834
-----------
France -- 1.7%
Republic of France, 3.5s, 2004 .............. EUR 442 $ 398,525
-----------
Germany -- 1.7%
Federal Republic of Germany, 4.5s, 2009 EUR 442 $ 400,751
-----------
Grand Cayman Islands -- 0.9%
APP Finance IX Ltd., 10.526s, 2001
(Container, Forest and Paper Products) $ 100 $ 80,500
Daiwa PB Ltd., 7.828s, 2049 (Banks and
Credit Cos.) .............................. 150 127,500
-----------
$ 208,000
-----------
Greece -- 3.1%
Hellenic Republic, 6.6s, 2004 ............... GRD 83,500 $ 240,445
Hellenic Republic, 6s, 2006 ................. 86,100 242,788
Hellenic Republic, 8.6s, 2008 ............... 79,000 257,093
-----------
$ 740,326
-----------
Mexico -- 3.7%
Bepensa S.A., 9.75s, 2004 (Sovereign)## $ 325 $ 289,250
Grupo Minero Mexico S.A. de CV,
8.25s, 2008 (Metals and Minerals) ......... 250 202,500
Maxcom Telecomunicacione CV,
13.75s, 2007 (Telecommunications)## ....... 225 198,562
Nuevo Grupo Iusacell S.A. de CV,
14.25s, 2006 (Telecommunications)## ....... 71 74,195
United Mexican States, 8.625s, 2008 ......... 100 97,000
-----------
$ 861,507
-----------
Netherlands -- 2.6%
PT Alatief Freeport Finance, 9.75s, 2001
(Finance) ................................. $ 48 $ 43,920
Tenet Healthcare Corp., 0s, 2002
(Medical and Health Technology
and Services) ............................. 250 200,625
United Pan Europe Communication N.V.,
10.875s, 2009 (Cable Television) .......... 250 212,500
Hermes Europe Railtel BV, 10.375s, 2009
(Telecommunications) ...................... 200 168,000
-----------
$ 625,045
-----------
Russia -- 1.9%
Russia Principal Loans,
7.938s, 2020 (In Default) ................. $ 1,470 $ 444,675
-----------
South Korea -- 0.6%
Hanvit Bank, 12.75s, 2010
(Banks and Credit Cos.) ................... $ 150 $ 149,063
-----------
Turkey -- 0.1%
Republic of Turkey, 11.875s, 2030 ........... $ 17 $ 18,084
-----------
United Kingdom -- 2.4%
Dolphin Telecommunications PLC, 0s to
2004, 14s to 2009
(Telecommunications) ...................... $ 400 $ 132,000
OTE PLC, 6.125s, 2007 (Industrial)## ........ EUR 80 75,047
Telewest Communications PLC,
9.625s, 2006 (Cable Television) ........... $ 250 235,000
</TABLE>
32-SIS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Bonds -- continued
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Foreign Bonds -- continued
United Kingdom -- continued
United Kingdom Treasury, 6.75s, 2004 ......... GBP 76 119,924
-----------
$ 561,971
-----------
Total Foreign Bonds .......................................... $ 6,181,234
-----------
Total Bonds
(Identified Cost, $19,217,923) ............................. $18,479,013
-----------
Preferred Stock -- 0.7%
<CAPTION>
Shares
<S> <C> <C>
CSC Holdings, Inc., 11.125%,
(Telecommunications)*
(Identified Cost, $136,250) ................ 1,550 $ 163,138
-----------
Call Options Purchased
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted)
<S> <C> <C>
Australian Dollars/July/0.585 ............ AUD 455 $ 2,348
Japanese Yen/July/105 .................... JPY 107,598 6,886
-----------
Total Call Options Purchased
(Premiums Paid, $17,438) ............................... $ 9,234
-----------
Put Options Purchased -- 0.5%
Australian Dollars/August/0.66 ........... AUD 678 $ 65
Euro/August/1.07 ......................... EUR 550 21
Euro/August/1.04 ......................... 642 222
Euro/September/0.99 ...................... 1,306 14,206
Japanese Yen/July/103 .................... JPY 111,010 7,105
Japanese Yen/July/108 .................... 114,575 3,895
Japanese Yen/September/105 ............... 119,195 23,005
Japanese Yen/Euro/August/102 ............. 115,099 17,495
Japanese Yen/Euro/January/130 ............ 4,805 96
Mexican Peso/July/10.199 ................. MXN 5,543 17,318
British Pounds/Euro/August/0.62 .......... GBP 666 14,131
British Pounds/Euro/August/0.615 ......... 671 12,318
-----------
Total Put Options Purchased
(Premiums Paid, $117,382) .............................. $ 109,877
-----------
Short-Term Obligations -- 19.3%
<CAPTION>
Principal Amount
Issuer (000 Omitted)
<S> <C> <C>
Federal Home Loan Bank, due 7/03/00,
at Amortized Cost ................ $ 4,553 $ 4,551,338
-----------
Total Investments
(Identified Cost, $24,040,331) .................... $23,312,600
-----------
Call Options Written -- (0.1)%
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Australian Dollars/August/0.61 ........................................... AUD (627) $(16,940)
Australian Dollars/May/0.555 ............................................. (348) (1,795)
Canadian Dollars/September/1.40 .......................................... CAD (996) (68)
Japanese Yen/Euro/September/93.25 ........................................ JPY (107,497) (6,127)
--------
Total Call Options Written
(Premiums Received, $44,144) ....................................................... $(24,930)
--------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount
of Contracts
Issuer/Expiration Month/Strike Price (000 Omitted) Value
<S> <C> <C>
Put Options Written
Canadian Dollars/July/1.50 ............................................... CAD (11) $(1,467)
Canadian Dollars/August/1.49 ............................................. (11) (2,848)
Euro/August/1.12 ......................................................... EUR (691) (1)
Japanese Yen/July/108 .................................................... JPY (114,575) (3,895)
--------
Total Put Options Written
(Premiums Received, $22,900) ....................................................... $(8,211)
--------
<CAPTION>
Value
<S> <C>
Other Assets,
Less Liabilities -- 1.2% $ 288,823
-----------
Net Assets -- 100.0% ....... $23,568,282
===========
</TABLE>
See portfolio footnotes and notes to financial statements.
33-SIS
<PAGE>
Portfolio of Investments (Unaudited) -- June 30, 2000
Zero Coupon Series, Portfolio 2000
U.S. Government Guaranteed -- 92.8%
<TABLE>
<CAPTION>
Principal Amount
Issuer (000 Omitted) Value
<S> <C> <C>
Treasury Investments
Growth Receipts -- 7.2%
Series 18, due 2/15/01 ............................. $ 97 $ 93,600
Series 12, due 5/15/01 ............................. 22 20,833
Series 15, due 8/15/01 ............................. 88 81,964
----------
Total Treasury Investment Growth Receipts
(Identified Cost, $191,546) ....................................... $ 196,397
----------
U.S. Treasury Securities Stripped
Interest Payments -- 85.6%
Generic Coupons, due 8/15/00 ....................... $ 493 $ 489,796
Generic Coupons, due 11/15/00 ...................... 1,852 1,813,293
Generic Coupons, due 5/15/01 ....................... 39 37,036
----------
Total U.S. Treasury Securities Stripped
Interest Payments (Identified Cost, $2,333,302) ................... $2,340,125
----------
Total Investments
(Identified Cost, $2,524,848) ..................................... $2,536,522
Other Assets,
Less Liabilities -- 7.2% 196,882
----------
Net Assets -- 100.0% ................................................ $2,733,404
==========
</TABLE>
See portfolio footnotes and notes to financial statements.
Portfolio Footnotes:
*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.
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
BRL=Brazilian Real JPY=Japanese Yen
CAD=Canadian Dollars MXN=Mexican Pesos
DEM=German Marks NZD=New Zealand Dollars
DKK=Danish Kroner SEK=Swedish Kronor
EUR=Euro VEB=Venezuelan Bolivars
GBP=British Pounds
34-ZCS
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities (Unaudited) -- June 30, 2000
<TABLE>
<CAPTION>
Emerging
Markets Global
Bond Equity Asset
Assets: Series Series Allocation Series
Investments -- ----------- ----------- -----------------
<S> <C> <C> <C>
Unaffiliated issuers, at identified cost ............................ $59,626,766 $40,279,417 $115,004,644
Unrealized appreciation (depreciation) .............................. (1,021,858) 895,220 9,862,355
----------- ----------- ------------
Total investments, at value ....................................... $58,604,908 $41,174,637 $124,866,999
Investments of cash collateral for securities loaned, at value and
identified cost ..................................................... -- 6,588,913 6,123,075
Cash ................................................................. 836 681 347,956
Foreign currency, at value (identified cost, $0, $275,544, $623, $0,
$0, $0, and $0, respectively) ....................................... -- 276,250 588
Net receivable for forward foreign currency exchange contracts
to purchase ......................................................... -- -- 154,332
Net receivable for forward foreign currency exchange contracts
to sell ............................................................. -- -- --
Receivable for investments sold ...................................... 1,929,972 1,292,015 1,097,708
Receivable for series shares sold .................................... 83,581 39,533 1,151
Interest and dividends receivable .................................... 877,371 41,765 1,022,319
Other assets ......................................................... 74 262 1,593
----------- ----------- ------------
Total assets ...................................................... $61,496,742 $49,414,056 $133,615,721
=========== =========== ============
Liabilities:
Payable to custodian ................................................. $ -- $ $ --
Net payable for forward foreign currency exchange contracts to
purchase ............................................................ -- -- 127,739
Net payable for forward foreign currency exchange contracts to sell... -- -- --
Net payable for forward foreign currency exchange contracts subject
to master netting agreements ........................................ -- -- 101,193
Payable for daily variation margin on open futures contracts ......... -- -- 422,196
Payable for investments purchased .................................... 2,484,941 745,084 1,032,733
Payable for series shares reacquired ................................. 1,275 10,334 110,508
Collateral for securities loaned, at value ........................... -- 6,588,913 6,123,075
Written options outstanding, at value (premiums received
$0, $0, $403,633, $174,828, $13,001, $0, and $0, respectively) -- -- 201,695
Payable to affiliates --
Management fee ...................................................... 970 1,429 2,579
Administrative fee .................................................. 28 20 60
Accrued expenses and other liabilities ............................... 9,530 31,383 36,180
----------- ----------- ------------
Total liabilities ................................................. $ 2,496,744 $ 7,377,163 $ 8,157,958
----------- ----------- ------------
Net assets ............................................................ $58,999,998 $42,036,893 $125,457,763
=========== =========== ============
Net assets consist of:
Paid-in capital ...................................................... $60,165,239 $42,326,231 $103,649,126
Unrealized appreciation (depreciation) on investments and
translation of assets and liabilities in foreign currencies ......... (1,021,858) 891,724 9,889,949
Accumulated undistributed net realized gain (loss) on investments
and foreign currency transactions ................................... (2,038,081) (1,041,215) 9,953,131
Accumulated undistributed net investment income (loss) ............... 1,894,698 (139,847) 1,965,557
----------- ----------- ------------
Total ............................................................ $58,999,998 $42,036,893 $125,457,763
=========== =========== ============
Shares of beneficial interest outstanding ............................ 5,778,561 3,870,505 7,978,878
========= ========= =========
Net asset value, offering price and redemption price per
share (net assets [divided by] shares of beneficial interest
outstanding) ........................................................ $10.21 $10.86 $15.72
====== ====== =======
<CAPTION>
Global Global Government
Governments Total Return Securities
Assets: Series Series Series
Investments -- ----------- ------------ ------------
<S> <C> <C> <C>
Unaffiliated issuers, at identified cost ............................ $66,282,833 $ 94,186,927 $514,766,530
Unrealized appreciation (depreciation) .............................. (602,759) 10,273,857 (12,180,885)
----------- ------------ ------------
Total investments, at value ....................................... $65,680,074 $104,460,784 $502,585,645
Investments of cash collateral for securities loaned, at value and
identified cost ..................................................... -- 3,853,234 --
Cash ................................................................. 1,399 -- 548
Foreign currency, at value (identified cost, $0, $275,544, $623, $0,
$0, $0, and $0, respectively) ....................................... -- -- --
Net receivable for forward foreign currency exchange contracts
to purchase ......................................................... 53,442 -- --
Net receivable for forward foreign currency exchange contracts
to sell ............................................................. -- 19,330 --
Receivable for investments sold ...................................... 580,549 894,140 62,035
Receivable for series shares sold .................................... 37,582 562 272,157
Interest and dividends receivable .................................... 1,148,083 882,377 5,808,729
Other assets ......................................................... 1,384 473 5,536
----------- ------------ ------------
Total assets ...................................................... $67,502,513 $110,110,900 $508,734,650
=========== ============ ============
Liabilities:
Payable to custodian ................................................. $ -- $ 31,568 $ --
Net payable for forward foreign currency exchange contracts to
purchase ............................................................ -- 10,039 --
Net payable for forward foreign currency exchange contracts to sell... 68,645 -- --
Net payable for forward foreign currency exchange contracts subject
to master netting agreements ........................................ 4,706 6,002 --
Payable for daily variation margin on open futures contracts ......... -- -- --
Payable for investments purchased .................................... 2,211,033 2,136,896 --
Payable for series shares reacquired ................................. 54,748 73,516 424,940
Collateral for securities loaned, at value ........................... -- 3,853,234 --
Written options outstanding, at value (premiums received
$0, $0, $403,633, $174,828, $13,001, $0, and $0, respectively) 97,283 11,152 --
Payable to affiliates --
Management fee ...................................................... 1,344 2,135 7,676
Administrative fee .................................................. 31 50 244
Accrued expenses and other liabilities ............................... 35,638 40,239 65,572
----------- ------------ ------------
Total liabilities ................................................. $ 2,473,428 $ 6,164,831 $ 498,432
----------- ------------ ------------
Net assets ............................................................ $65,029,085 $103,946,069 $508,236,218
=========== ============ ============
Net assets consist of:
Paid-in capital ...................................................... $71,065,054 $ 87,397,152 $516,646,114
Unrealized appreciation (depreciation) on investments and
translation of assets and liabilities in foreign currencies ......... (559,496) 10,258,785 (12,180,885)
Accumulated undistributed net realized gain (loss) on investments
and foreign currency transactions ................................... (7,099,193) 4,360,029 (13,062,254)
Accumulated undistributed net investment income (loss) ............... 1,622,720 1,930,103 16,833,243
----------- ------------ ------------
Total ............................................................ $65,029,085 $103,946,069 $508,236,218
=========== ============ ============
Shares of beneficial interest outstanding ............................ 6,666,567 6,601,062 41,706,467
========= ========= ==========
Net asset value, offering price and redemption price per
share (net assets [divided by] shares of beneficial interest
outstanding) ........................................................ $9.75 $15.75 $12.19
===== ====== ======
<CAPTION>
High
Yield
Assets: Series
Investments -- ------------
<S> <C>
Unaffiliated issuers, at identified cost ............................ $373,598,376
Unrealized appreciation (depreciation) .............................. (29,670,177)
------------
Total investments, at value ....................................... $343,928,199
Investments of cash collateral for securities loaned, at value and
identified cost ..................................................... --
Cash ................................................................. --
Foreign currency, at value (identified cost, $0, $275,544, $623, $0,
$0, $0, and $0, respectively) ....................................... --
Net receivable for forward foreign currency exchange contracts
to purchase ......................................................... --
Net receivable for forward foreign currency exchange contracts
to sell ............................................................. --
Receivable for investments sold ...................................... 1,380,146
Receivable for series shares sold .................................... 551,500
Interest and dividends receivable .................................... 7,012,441
Other assets ......................................................... 3,765
------------
Total assets ...................................................... $352,876,051
============
Liabilities:
Payable to custodian ................................................. $ 11,403
Net payable for forward foreign currency exchange contracts to
purchase ............................................................ --
Net payable for forward foreign currency exchange contracts to sell... 402
Net payable for forward foreign currency exchange contracts subject
to master netting agreements ........................................ --
Payable for daily variation margin on open futures contracts ......... --
Payable for investments purchased .................................... 4,684,424
Payable for series shares reacquired ................................. 67,800
Collateral for securities loaned, at value ........................... --
Written options outstanding, at value (premiums received
$0, $0, $403,633, $174,828, $13,001, $0, and $0, respectively) --
Payable to affiliates --
Management fee ...................................................... 7,159
Administrative fee .................................................. 167
Accrued expenses and other liabilities ............................... 57,124
------------
Total liabilities ................................................. $ 4,828,479
------------
Net assets ............................................................ $348,047,572
============
Net assets consist of:
Paid-in capital ...................................................... $377,059,394
Unrealized appreciation (depreciation) on investments and
translation of assets and liabilities in foreign currencies ......... (29,670,236)
Accumulated undistributed net realized gain (loss) on investments
and foreign currency transactions ................................... (16,079,150)
Accumulated undistributed net investment income (loss) ............... 16,737,564
------------
Total ............................................................ $348,047,572
============
Shares of beneficial interest outstanding ............................ 42,484,860
==========
Net asset value, offering price and redemption price per
share (net assets [divided by] shares of beneficial interest
outstanding) ........................................................ $8.19
=====
</TABLE>
See notes to financial statements.
35
<PAGE>
MFS/Sun Life Series Trust
Statements of Assets and Liabilities (Unaudited) -- June 30, 2000 -- continued
<TABLE>
<CAPTION>
International
Growth and
Income
Assets: Series
Investments -- -------------
<S> <C>
Unaffiliated issuers, at identified cost ............................................... $73,217,267
Unrealized appreciation (depreciation) ................................................. 13,124,943
-----------
Total investments, at value .......................................................... $86,342,210
Investments of cash collateral for securities loaned, at value and identified cost ...... 7,394,167
Cash .................................................................................... 1,311
Foreign currency, at value (identified cost $180,983, $0, $0, and $0, respectively) ..... 175,585
Net receivable for forward foreign currency exchange contracts to purchase .............. --
Receivable for investments sold ......................................................... 1,297,856
Receivable for series shares sold ....................................................... 78,064
Interest and dividends receivable ....................................................... 191,732
Other assets ............................................................................ 734
-----------
Total assets ......................................................................... $95,481,659
===========
Liabilities:
Net payable for forward foreign currency exchange contracts to sell ..................... $ --
Net payable for forward foreign currency exchange contracts subject to master netting
agreements ............................................................................. --
Payable for investments purchased ....................................................... 376,365
Payable for series shares reacquired .................................................... 42,918
Collateral for securities loaned, at value .............................................. 7,394,167
Written options outstanding, at value (premiums received $0, $0, $67,044, and $0, --
respectively)
Payable to affiliates --
Management fee ......................................................................... 2,335
Administrative fee ..................................................................... 42
Accrued expenses and other liabilities .................................................. 43,489
-----------
Total liabilities .................................................................... $ 7,859,316
-----------
Net assets ............................................................................... $87,622,343
===========
Net assets consist of:
Paid-in capital ......................................................................... $68,133,000
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in
foreign currencies ..................................................................... 13,116,472
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... 4,961,401
Accumulated undistributed net investment income ......................................... 1,411,470
-----------
Total ................................................................................ $87,622,343
===========
Shares of beneficial interest outstanding ............................................... 6,260,916
=========
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of
beneficial interest outstanding) ....................................................... $14.00
======
<CAPTION>
Money Strategic
Market Income
Assets: Series Series
Investments -- ------------ -----------
<S> <C> <C>
Unaffiliated issuers, at identified cost ............................................... $406,038,290 $24,040,331
Unrealized appreciation (depreciation) ................................................. -- (727,731)
------------ -----------
Total investments, at value .......................................................... $406,038,290 $23,312,600
Investments of cash collateral for securities loaned, at value and identified cost ...... -- --
Cash .................................................................................... 3,382 1,134
Foreign currency, at value (identified cost $180,983, $0, $0, and $0, respectively) ..... -- --
Net receivable for forward foreign currency exchange contracts to purchase .............. -- 27,427
Receivable for investments sold ......................................................... -- 303,454
Receivable for series shares sold ....................................................... 3,337,681 --
Interest and dividends receivable ....................................................... -- 371,291
Other assets ............................................................................ 68,102 --
------------ -----------
Total assets ......................................................................... $409,447,455 $24,015,906
============ ===========
Liabilities:
Net payable for forward foreign currency exchange contracts to sell ..................... $ -- $ 29,691
Net payable for forward foreign currency exchange contracts subject to master netting
agreements ............................................................................. -- 15,365
Payable for investments purchased ....................................................... -- 339,773
Payable for series shares reacquired .................................................... 889,306 13,571
Collateral for securities loaned, at value .............................................. -- --
Written options outstanding, at value (premiums received $0, $0, $67,044, and $0, -- 33,141
respectively)
Payable to affiliates --
Management fee ......................................................................... 5,622 484
Administrative fee ..................................................................... 197 11
Accrued expenses and other liabilities .................................................. 67,334 15,588
------------ -----------
Total liabilities .................................................................... $ 962,459 $ 447,624
------------ -----------
Net assets ............................................................................... $408,484,996 $23,568,282
============ ===========
Net assets consist of:
Paid-in capital ......................................................................... $408,484,996 $23,604,793
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in
foreign currencies ..................................................................... -- (712,952)
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... -- (76,409)
Accumulated undistributed net investment income ......................................... -- 752,850
------------ -----------
Total ................................................................................ $408,484,996 $23,568,282
============ ===========
Shares of beneficial interest outstanding ............................................... 408,484,996 2,360,853
=========== =========
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of
beneficial interest outstanding) ....................................................... $1.00 $9.98
===== =====
<CAPTION>
Zero Coupon
Series,
Assets: Portfolio 2000
Investments -- --------------
<S> <C>
Unaffiliated issuers, at identified cost ............................................... $2,524,848
Unrealized appreciation (depreciation) ................................................. 11,674
----------
Total investments, at value .......................................................... $2,536,522
Investments of cash collateral for securities loaned, at value and identified cost ...... --
Cash .................................................................................... 197,531
Foreign currency, at value (identified cost $180,983, $0, $0, and $0, respectively) ..... --
Net receivable for forward foreign currency exchange contracts to purchase .............. --
Receivable for investments sold ......................................................... --
Receivable for series shares sold ....................................................... --
Interest and dividends receivable ....................................................... --
Other assets ............................................................................ 46
----------
Total assets ......................................................................... $2,734,099
==========
Liabilities:
Net payable for forward foreign currency exchange contracts to sell ..................... $ --
Net payable for forward foreign currency exchange contracts subject to master netting
agreements ............................................................................. --
Payable for investments purchased ....................................................... --
Payable for series shares reacquired .................................................... 61
Collateral for securities loaned, at value .............................................. --
Written options outstanding, at value (premiums received $0, $0, $67,044, and $0, --
respectively)
Payable to affiliates --
Management fee ......................................................................... 19
Administrative fee ..................................................................... --
Accrued expenses and other liabilities .................................................. 615
----------
Total liabilities .................................................................... $ 695
----------
Net assets ............................................................................... $2,733,404
==========
Net assets consist of:
Paid-in capital ......................................................................... $2,638,226
Unrealized appreciation (depreciation) on investments and translation of assets and
liabilities in
foreign currencies ..................................................................... 11,674
Accumulated undistributed net realized gain (loss) on investments and foreign currency
transactions ........................................................................... (3,068)
Accumulated undistributed net investment income ......................................... 86,572
----------
Total ................................................................................ $2,733,404
==========
Shares of beneficial interest outstanding ............................................... 333,247
=======
Net asset value, offering price and redemption price per share (net assets [divided by]
shares of
beneficial interest outstanding) ....................................................... $8.20
=====
</TABLE>
See notes to financial statements.
36
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations (Unaudited) -- Six Months Ended June 30, 2000
<TABLE>
<CAPTION>
Emerging
Markets Global Asset
Bond Equity Allocation
Net investment income (loss): Series Series Series
Income -- ---------- ----------- ------------
<S> <C> <C> <C>
Interest .......................................................... $2,084,901 $ 34,795 $ 1,774,484
Income on securities loaned ....................................... 23,454 --
Dividends ......................................................... -- 210,797 879,343
Foreign taxes withheld ............................................ -- (18,287) (49,857)
---------- ----------- -----------
Total investment income .......................................... $2,084,901 $ 250,759 $ 2,603,970
---------- ----------- -----------
Expenses --
Management fee .................................................... $ 162,821 $ 261,640 $ 464,198
Trustees' compensation ............................................ 568 369 1,216
Administrative fee ................................................ 4,422 3,396 10,058
Custodian fee ..................................................... 13,836 39,654 44,838
Interest expense .................................................. -- 3,416 --
Printing .......................................................... 1,419 3,793 3,566
Auditing fees ..................................................... 3,634 15,982 18,320
Legal fees ........................................................ 54 321 317
Miscellaneous ..................................................... 389 704 5,747
---------- ----------- -----------
Total expenses ................................................... $ 187,143 $ 329,275 $ 548,260
Fees paid indirectly .............................................. (470) (7,527) --
---------- ----------- -----------
Net expenses ..................................................... $ 186,673 $ 321,748 $ 548,260
---------- ----------- -----------
Net investment income (loss) .................................... $1,898,228 $ $(70,989) $ 2,055,710
---------- ----------- -----------
Realized and unrealized gain (loss) on investments :
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................... $ (947,323) $ 3,011,137 $ 8,745,085
Foreign currency transactions ..................................... -- (37,814) 2,745,416
Futures contracts ................................................. -- -- (1,514,799)
Written option transactions ....................................... -- -- 198,364
Capital gains tax ................................................. -- (24,812) --
---------- ----------- -----------
Net realized gain (loss) on investments and foreign currency
transactions ..................................................... $ (947,323) $ 2,948,511 $10,174,066
---------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments ....................................................... $ 798,197 $(5,526,101) $(9,413,614)
Translation of assets and liabilities in foreign currencies ....... -- (11,033) (297,319)
Futures contracts ................................................. -- -- 654,776
Written options ................................................... -- -- 85,764
---------- ----------- -----------
Net unrealized gain (loss) on investments and foreign currency
translation ..................................................... $ 798,197 $(5,537,134) $(8,970,393)
---------- ----------- -----------
Net realized and unrealized gain (loss) on investments and
foreign currency ............................................... $ (149,126) $(2,588,623) $ 1,203,673
---------- ----------- -----------
Increase (decrease) in net assets from operations .............. $1,749,102 $(2,659,612) $ 3,259,383
========== =========== ===========
<CAPTION>
Global Global Government
Governments Total Return Securities
Net investment income (loss): Series Series Series
Income -- ----------- ------------ -----------
<S> <C> <C> <C>
Interest .......................................................... $ 2,030,938 $ 1,197,348 $18,401,937
Income on securities loaned ....................................... -- -- --
Dividends ......................................................... -- 1,391,541 --
Foreign taxes withheld ............................................ -- (49,141) --
----------- ----------- -----------
Total investment income .......................................... $ 2,030,938 $ 2,539,748 $18,401,937
----------- ----------- -----------
Expenses --
Management fee .................................................... $ 254,694 $ 383,319 $ 1,409,571
Trustees' compensation ............................................ 721 787 4,990
Administrative fee ................................................ 5,505 8,310 41,638
Custodian fee ..................................................... 23,226 44,374 80,136
Interest expense .................................................. -- -- --
Printing .......................................................... 8,318 6,454 24,679
Auditing fees ..................................................... 19,250 18,150 16,400
Legal fees ........................................................ 368 534 315
Miscellaneous ..................................................... 262 1,196 --
----------- ----------- -----------
Total expenses ................................................... $ 312,344 $ 463,124 $ 1,577,729
Fees paid indirectly .............................................. -- (1,541) (9,780)
----------- ----------- -----------
Net expenses ..................................................... $ 312,344 $ 461,583 $ 1,567,949
----------- ----------- -----------
Net investment income (loss) .................................... $ 1,718,594 $ 2,078,165 $16,833,988
----------- ----------- -----------
Realized and unrealized gain (loss) on investments :
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................... $(4,150,693) $ 3,431,581 $(3,157,232)
Foreign currency transactions ..................................... (1,067,354) 933,941 --
Futures contracts ................................................. -- -- --
Written option transactions ....................................... 462,765 47,761 --
Capital gains tax ................................................. -- -- --
----------- ----------- -----------
Net realized gain (loss) on investments and foreign currency
transactions ..................................................... $(4,755,282) $ 4,413,283 $(3,157,232)
----------- ----------- -----------
Change in unrealized appreciation (depreciation) --
Investments ....................................................... $ 2,385,376 $(4,115,472) $ 7,916,007
Translation of assets and liabilities in foreign currencies ....... (133,057) (82,968) --
Futures contracts ................................................. -- -- --
Written options ................................................... 77,545 (26,003) --
----------- ----------- -----------
Net unrealized gain (loss) on investments and foreign currency
translation ..................................................... $ 2,329,864 $(4,224,443) $ 7,916,007
----------- ----------- -----------
Net realized and unrealized gain (loss) on investments and
foreign currency ............................................... $(2,425,418) $ 188,840 $ 4,758,775
----------- ----------- -----------
Increase (decrease) in net assets from operations .............. $ (706,824) $ 2,267,005 $21,592,763
=========== =========== ===========
<CAPTION>
High
Yield
Net investment income (loss): Series
Income -- ------------
<S> <C>
Interest .......................................................... $ 18,030,543
Income on securities loaned ....................................... --
Dividends ......................................................... 195,923
Foreign taxes withheld ............................................ --
------------
Total investment income .......................................... $ 18,226,466
------------
Expenses --
Management fee .................................................... $ 1,300,885
Trustees' compensation ............................................ 3,465
Administrative fee ................................................ 28,168
Custodian fee ..................................................... 47,071
Interest expense .................................................. --
Printing .......................................................... 24,712
Auditing fees ..................................................... 18,500
Legal fees ........................................................ 1,072
Miscellaneous ..................................................... --
------------
Total expenses ................................................... $ 1,423,873
Fees paid indirectly .............................................. (9,225)
------------
Net expenses ..................................................... $ 1,414,648
------------
Net investment income (loss) .................................... $ 16,811,818
------------
Realized and unrealized gain (loss) on investments :
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................... $ (1,353,193)
Foreign currency transactions ..................................... 113,095
Futures contracts ................................................. --
Written option transactions ....................................... --
Capital gains tax ................................................. --
------------
Net realized gain (loss) on investments and foreign currency
transactions ..................................................... $ (1,240,098)
------------
Change in unrealized appreciation (depreciation) --
Investments ....................................................... $(15,006,809)
Translation of assets and liabilities in foreign currencies ....... (14,477)
Futures contracts ................................................. --
Written options ................................................... --
------------
Net unrealized gain (loss) on investments and foreign currency
translation ..................................................... $(15,021,286)
------------
Net realized and unrealized gain (loss) on investments and
foreign currency ............................................... $(16,261,384)
------------
Increase (decrease) in net assets from operations .............. $ 550,434
============
</TABLE>
See notes to financial statements.
37
<PAGE>
MFS/Sun Life Series Trust
Statements of Operations (Unaudited) -- Six Months Ended June 30, 2000 --
continued
<TABLE>
<CAPTION>
International
Growth and
Income
Net investment income (loss): Series
Income -- -------------
<S> <C>
Interest ....................................................................... $ 141,393
Dividends ...................................................................... 1,872,728
Foreign taxes withheld ......................................................... (85,218)
-----------
Total investment income ....................................................... $ 1,928,903
-----------
Expenses --
Management fee ................................................................. $ 412,725
Trustees' compensation ......................................................... 922
Administrative fee ............................................................. 6,889
Custodian fee .................................................................. 68,330
Printing ....................................................................... 6,240
Auditing fees .................................................................. 15,571
Legal fees ..................................................................... 867
Miscellaneous .................................................................. 787
-----------
Total expenses ................................................................ $ 512,331
Fees paid indirectly ........................................................... (561)
Reduction of expenses by investment adviser .................................... --
-----------
Net expenses .................................................................. $ 511,770
-----------
Net investment income ........................................................ $ 1,417,133
-----------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................................ $ 5,464,039
Foreign currency transactions .................................................. (18,064)
Written option transactions .................................................... --
-----------
Net realized gain (loss) on investments and foreign currency transactions ..... $ 5,445,975
-----------
Change in unrealized appreciation (depreciation) --
Investments .................................................................... $(3,330,337)
Translation of assets and liabilities in foreign currencies .................... (4,378)
Written options ................................................................ --
-----------
Net unrealized loss on investments and foreign currency translation ........... $(3,334,715)
-----------
Net realized and unrealized gain (loss) on investments and foreign currency .. $ 2,111,260
-----------
Increase in net assets from operations ...................................... $ 3,528,393
===========
<CAPTION>
Money Strategic Zero
Market Income Coupon Series,
Net investment income (loss): Series Series Portfolio 2000
Income -- ----------- --------- --------------
<S> <C> <C> <C>
Interest ....................................................................... $13,423,189 $ 878,520 $ 94,162
Dividends ...................................................................... -- -- --
Foreign taxes withheld ......................................................... -- -- --
----------- --------- --------
Total investment income ....................................................... $13,423,189 $ 878,520 $ 94,162
----------- --------- --------
Expenses --
Management fee ................................................................. $ 1,110,974 $ 78,936 $ 3,531
Trustees' compensation ......................................................... 4,906 216 24
Administrative fee ............................................................. 36,014 1,718 228
Custodian fee .................................................................. 71,999 10,311 3,453
Printing ....................................................................... 26,553 2,650 134
Auditing fees .................................................................. 9,400 6,500 4,150
Legal fees ..................................................................... 306 240 509
Miscellaneous .................................................................. 13,660 5,582 459
----------- --------- --------
Total expenses ................................................................ $ 1,273,812 $ 106,153 $ 12,488
Fees paid indirectly ........................................................... (4,348) -- (462)
Reduction of expenses by investment adviser .................................... -- -- (4,964)
----------- --------- --------
Net expenses .................................................................. $ 1,269,464 $ 106,153 $ 7,062
----------- --------- --------
Net investment income ........................................................ $12,153,725 $ 772,367 $ 87,100
----------- --------- --------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) --
Investment transactions ........................................................ $ -- $ (23,916) $ 2,842
Foreign currency transactions .................................................. -- (2,570) --
Written option transactions .................................................... -- 24,922 --
----------- --------- --------
Net realized gain (loss) on investments and foreign currency transactions ..... $ -- $ (1,564) $ 2,842
------------ --------- --------
Change in unrealized appreciation (depreciation) --
Investments .................................................................... $ -- $(361,032) $(18,224)
Translation of assets and liabilities in foreign currencies .................... -- (23,221) --
Written options ................................................................ -- 19,293 --
----------- --------- --------
Net unrealized loss on investments and foreign currency translation ........... $ -- $(364,960) $(18,224)
------------ --------- --------
Net realized and unrealized gain (loss) on investments and foreign currency .. $ -- $(366,524) $(15,382)
------------ --------- --------
Increase in net assets from operations ...................................... $12,153,725 $ 405,843 $ 71,718
=========== ========= ========
</TABLE>
See notes to financial statements.
38
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets (Unaudited) -- Six Months Ended June 30,
2000
<TABLE>
<CAPTION>
Emerging
Markets
Bond Equity
Increase (decrease) in net assets: Series Series
From operations -- ----------- -----------
<S> <C> <C>
Net investment income (loss) ............................................ $ 1,898,228 $ (70,989)
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... (947,323) 2,948,511
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................ 798,197 (5,537,134)
----------- -----------
Increase (decrease) in net assets from operations ...................... $ 1,749,102 $(2,659,612)
----------- -----------
Distributions declared to shareholders --
From net investment income .............................................. $(2,377,758) $ (4,883)
From net realized gain on investments and foreign currency
transactions ........................................................... -- --
----------- -----------
Total distributions declared to shareholders ........................... $(2,377,758) $ (4,883)
----------- -----------
Net increase (decrease) in net assets from series share transactions ..... $ 7,487,245 $ 6,562,472
----------- -----------
Total increase (decrease) in net assets ............................... $ 6,858,589 $ 3,897,977
Net assets --
At beginning of period .................................................. 52,141,409 38,138,916
----------- -----------
At end of period ........................................................ $58,999,998 $42,036,893
=========== ===========
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 1,894,698 $ (139,847)
=========== ===========
<CAPTION>
Global Global
Asset Global Total
Allocation Governments Return
Increase (decrease) in net assets: Series Series Series
From operations -- ------------ ----------- ------------
<S> <C> <C> <C>
Net investment income (loss) ............................................ $ 2,055,710 $ 1,718,594 $ 2,078,165
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... 10,174,066 (4,755,282) 4,413,283
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................ (8,970,393) 2,329,864 (4,224,443)
------------ ----------- ------------
Increase (decrease) in net assets from operations ...................... $ 3,259,383 $ (706,824) $ 2,267,005
------------ ----------- ------------
Distributions declared to shareholders --
From net investment income .............................................. $ (5,541,581) $(2,709,057) $ (2,238,156)
From net realized gain on investments and foreign currency
transactions ........................................................... (959,983) -- (5,382,594)
------------ ----------- ------------
Total distributions declared to shareholders ........................... $ (6,501,564) $(2,709,057) $ (7,620,750)
------------ ----------- ------------
Net increase (decrease) in net assets from series share transactions ..... $ 3,626,261 $(5,873,145) $ 2,200,413
------------ ----------- ------------
Total increase (decrease) in net assets ............................... $ 384,080 $(9,289,026) $ (3,153,332)
Net assets --
At beginning of period .................................................. 125,073,683 74,318,111 107,099,401
------------ ----------- ------------
At end of period ........................................................ $125,457,763 $65,029,085 $103,946,069
============ =========== ============
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 1,965,557 $ 1,622,720 $ 1,930,103
============ =========== ============
<CAPTION>
Government High
Securities Yield
Increase (decrease) in net assets: Series Series
From operations -- ------------ ------------
<S> <C> <C>
Net investment income (loss) ............................................ $ 16,833,988 $ 16,811,818
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... (3,157,232) (1,240,098)
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................ 7,916,007 (15,021,286)
------------ ------------
Increase (decrease) in net assets from operations ...................... $ 21,592,763 $ 550,434
------------ ------------
Distributions declared to shareholders --
From net investment income .............................................. $(31,085,513) $(31,322,565)
From net realized gain on investments and foreign currency
transactions ........................................................... -- --
------------ ------------
Total distributions declared to shareholders ........................... $(31,085,513) $(31,322,565)
------------ ------------
Net increase (decrease) in net assets from series share transactions ..... $ 6,969,050 $ 23,719,715
------------ ------------
Total increase (decrease) in net assets ............................... $ (2,523,700) $ (7,052,416)
Net assets --
At beginning of period .................................................. 510,759,918 355,099,988
------------ ------------
At end of period ........................................................ $508,236,218 $348,047,572
============ ============
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 16,833,243 $ 16,737,564
============ ============
</TABLE>
<TABLE>
<CAPTION>
International
Growth and
Increase (decrease) in net assets: Income Series
From operations -- -------------
<S> <C>
Net investment income ................................................... $ 1,417,133
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... 5,445,975
Net unrealized loss on investments and foreign currency
translation ............................................................ (3,334,715)
-----------
Increase in net assets from operations ................................. $ 3,528,393
-----------
Distributions declared to shareholders --
From net investment income .............................................. $ (678,423)
From net realized gain on investments and foreign currency
transactions ........................................................... (7,796,721)
-----------
Total distributions declared to shareholders ........................... $(8,475,144)
-----------
Net increase (decrease) in net assets from series share transactions ..... $ 8,000,546
-----------
Total increase (decrease) in net assets ............................... $ 3,053,795
Net assets:
At beginning of period .................................................. 84,568,548
-----------
At end of period ........................................................ $87,622,343
===========
Accumulated undistributed net investment income included in
net assets at end of period ............................................. $ 1,411,470
===========
<CAPTION>
Zero
Money Strategic Coupon
Market Income Series,
Increase (decrease) in net assets: Series Series Portfolio 2000
From operations -- ------------ ----------- --------------
<S> <C> <C> <C>
Net investment income ................................................... $ 12,153,725 $ 772,367 $ 87,100
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... -- (1,564) 2,842
Net unrealized loss on investments and foreign currency
translation ............................................................ -- (364,960) (18,224)
------------ ----------- ----------
Increase in net assets from operations ................................. $ 12,153,725 $ 405,843 $ 71,718
------------ ----------- ----------
Distributions declared to shareholders --
From net investment income .............................................. $(12,153,725) $ (906,553) $ (201,885)
From net realized gain on investments and foreign currency
transactions ........................................................... -- -- --
------------ ----------- ----------
Total distributions declared to shareholders ........................... $(12,153,725) $ (906,553) $ (201,885)
------------ ----------- ----------
Net increase (decrease) in net assets from series share transactions ..... $(93,429,229) $ 4,386,018 $ (196,957)
------------ ----------- ----------
Total increase (decrease) in net assets ............................... $(93,429,229) $ 3,885,308 $ (327,124)
Net assets:
At beginning of period .................................................. 501,914,225 19,682,974 3,060,528
------------ ----------- ----------
At end of period ........................................................ $408,484,996 $23,568,282 $2,733,404
============ =========== ==========
Accumulated undistributed net investment income included in
net assets at end of period ............................................. $ -- $ 752,850 $ 86,572
============ =========== ==========
</TABLE>
See notes to financial statements.
39
<PAGE>
MFS/Sun Life Series Trust
Statements of Changes in Net Assets -- Year Ended December 31, 1999
<TABLE>
<CAPTION>
Emerging
Markets
Bond Equity
Increase (decrease) in net assets: Series Series
From operations -- ----------- -----------
<S> <C> <C>
Net investment income ................................................... $ 2,379,650 $ 106,264
Net realized gain (loss) on investments and foreign currency
transactions ............................................................ (1,091,324) 589,178
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................. (1,871,146) 10,583,863
----------- -----------
Increase (decrease) in net assets from operations ...................... $ (582,820) $11,279,305
----------- -----------
Distributions declared to shareholders --
From net investment income .............................................. $ (290,409) $ --
From net realized gain on investments and foreign currency
transactions ........................................................... (165,561) --
In excess of net realized gain on investments and foreign currency
transactions ........................................................... (214) --
----------- -----------
Total distributions declared to shareholders ........................... $ (456,184) $ --
----------- -----------
Net increase (decrease) in net assets from series share transactions ..... $33,585,650 $ 9,740,763
----------- -----------
Total increase (decrease) in net assets ............................... $32,546,646 $21,020,068
Net assets --
At beginning of period .................................................. 19,594,763 17,118,848
----------- -----------
At end of period ........................................................ $52,141,409 $38,138,916
=========== ===========
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 2,374,228 $ (63,975)
=========== ===========
<CAPTION>
Global Global
Asset Global Total
Allocation Governments Return
Increase (decrease) in net assets: Series Series Series
From operations -- ------------ ------------ ------------
<S> <C> <C> <C>
Net investment income ................................................... $ 2,903,569 $ 3,967,205 $ 2,503,096
Net realized gain (loss) on investments and foreign currency
transactions ............................................................ 6,106,437 (1,468,326) 5,637,563
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................. 11,117,144 (7,522,969) 270,819
------------ ------------ ------------
Increase (decrease) in net assets from operations ...................... $ 20,127,150 $ (5,024,090) $ 8,411,478
------------ ------------ ------------
Distributions declared to shareholders --
From net investment income .............................................. $ (6,365,955) $ (7,831,468) $ (3,142,302)
From net realized gain on investments and foreign currency
transactions ........................................................... (224,968) (2,592,542) (4,453,265)
In excess of net realized gain on investments and foreign currency
transactions ........................................................... -- (477) --
------------ ------------ ------------
Total distributions declared to shareholders ........................... $ (6,590,923) $(10,424,487) $ (7,595,567)
------------ ------------ ------------
Net increase (decrease) in net assets from series share transactions ..... $(15,103,155) $ (9,453,319) $ 6,328,108
------------ ------------ ------------
Total increase (decrease) in net assets ............................... $ (1,566,928) $(24,901,896) $ 7,144,019
Net assets --
At beginning of period .................................................. 126,640,611 99,220,007 99,955,382
------------ ------------ ------------
At end of period ........................................................ $125,073,683 $ 74,318,111 $107,099,401
============ ============ ============
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 5,451,428 $ 2,613,183 $ 2,090,094
============ ============ ============
<CAPTION>
Government High
Securities Yield
Increase (decrease) in net assets: Series Series
From operations -- ------------ ------------
<S> <C> <C>
Net investment income ................................................... $ 31,129,958 $ 31,228,390
Net realized gain (loss) on investments and foreign currency
transactions ............................................................ (2,949,200) (6,020,248)
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................. (37,685,474) (2,256,030)
------------ ------------
Increase (decrease) in net assets from operations ...................... $ (9,504,716) $ 22,952,112
------------ ------------
Distributions declared to shareholders --
From net investment income .............................................. $(24,646,040) $(28,064,079)
From net realized gain on investments and foreign currency
transactions ........................................................... -- --
In excess of net realized gain on investments and foreign currency
transactions ........................................................... -- --
------------ ------------
Total distributions declared to shareholders ........................... $(24,646,040) $(28,064,079)
------------ ------------
Net increase (decrease) in net assets from series share transactions ..... $ 87,436,686 $ 33,979,598
------------ ------------
Total increase (decrease) in net assets ............................... $ 53,285,930 $ 28,867,631
Net assets --
At beginning of period .................................................. 457,473,988 326,232,357
------------ ------------
At end of period ........................................................ $510,759,918 $355,099,988
============ ============
Accumulated undistributed net investment income (loss)
included in net assets at end of period ................................. $ 31,084,768 $ 31,248,311
============ ============
</TABLE>
<TABLE>
<CAPTION>
International
Growth and
Increase (decrease) in net assets: Income Series
From operations -- -------------
<S> <C>
Net investment income ................................................... $ 717,911
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... 7,300,440
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................ 5,259,241
-----------
Increase in net assets from operations ................................. $13,277,592
-----------
Distributions declared to shareholders --
From net investment income .............................................. $ (524,003)
From net realized gain on investments and foreign currency
transactions ........................................................... (1,761,981)
In excess of net realized gain on investments and foreign currency
transactions ........................................................... --
-----------
Total distributions declared to shareholders ........................... $(2,285,984)
-----------
Net increase (decrease) in net assets from series share transactions ..... $(1,833,468)
-----------
Total increase (decrease) in net assets ............................... $ 9,158,140
Net assets:
At beginning of period .................................................. 75,410,408
-----------
At end of period ........................................................ $84,568,548
===========
Accumulated undistributed net investment income included in
net assets at end of period ............................................. $ 672,760
===========
<CAPTION>
Zero
Money Strategic Coupon
Market Income Series,
Increase (decrease) in net assets: Series Series Portfolio 2000
From operations -- ------------ ----------- --------------
<S> <C> <C> <C>
Net investment income ................................................... $ 22,202,815 $ 932,763 $ 201,855
Net realized gain (loss) on investments and foreign currency
transactions ........................................................... -- (29,207) 21,136
Net unrealized gain (loss) on investments and foreign currency
translation ............................................................ -- (295,114) (128,846)
------------ ----------- ----------
Increase in net assets from operations ................................. $ 22,202,815 $ 608,442 $ 94,145
------------ ----------- ----------
Distributions declared to shareholders --
From net investment income .............................................. $(22,202,815) $ (163,605) $ (207,140)
From net realized gain on investments and foreign currency
transactions ........................................................... -- (45,806) --
In excess of net realized gain on investments and foreign currency
transactions ........................................................... -- (62,512) --
------------ ----------- ----------
Total distributions declared to shareholders ........................... $(22,202,815) $ (271,923) $ (207,140)
------------ ----------- ----------
Net increase (decrease) in net assets from series share transactions ..... $ 36,369,299 $11,566,026 $ (299,956)
------------ ----------- ----------
Total increase (decrease) in net assets ............................... $ 36,369,299 $11,902,545 $ (412,951)
Net assets:
At beginning of period .................................................. 465,544,926 7,780,429 3,473,479
------------ ----------- ----------
At end of period ........................................................ $501,914,225 $19,682,974 $3,060,528
============ =========== ==========
Accumulated undistributed net investment income included in
net assets at end of period ............................................. $ -- $ 887,036 $ 201,357
============ =========== ==========
</TABLE>
See notes to financial statements.
40
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights
<TABLE>
<CAPTION>
Bond Series
-----------------
Six Months Ended
June 30, 2000
(Unaudited)
-----------------
Per share data (for a share outstanding throughout each period):
<S> <C>
Net asset value -- beginning of period .......................................... $10.3556
--------
Income from investment operations# --
Net investment income[sec] ..................................................... $ 0.3601
Net realized and unrealized gain (loss) on investments and foreign currency .... (0.0485)
--------
Total from investment operations ............................................. $ 0.3116
--------
Less distributions declared to shareholders --
From net investment income ..................................................... $(0.4570)
From net realized gain on investments and foreign currency transactions ........ --
In excess of net realized gain on investments and foreign currency transactions --
--------
Total distributions declared to shareholders ................................. $(0.4570)
--------
Net asset value -- end of period ................................................ $10.2102
========
Total return@ ................................................................... 3.12%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 0.69%+
Net investment income .......................................................... 7.02%+
Portfolio turnover .............................................................. 157%
Net assets at end of period (000 Omitted) ....................................... $ 59,000
<CAPTION>
Bond Series
----------------------------------------
Year Ended Period Ended
December 31, 1999 December 31, 1998**
------------------- --------------------
Per share data (for a share outstanding throughout each period):
<S> <C> <C>
Net asset value -- beginning of period .......................................... $10.6897 $10.0000***
-------- --------
Income from investment operations# --
Net investment income[sec] ..................................................... $ 0.6694 $ 0.3306
Net realized and unrealized gain (loss) on investments and foreign currency .... (0.8527) 0.3591
-------- --------
Total from investment operations ............................................. $(0.1833) $ 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 ................................................ $10.3556 $10.6897
======== ========
Total return@ ................................................................... (1.69)% 6.90%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 0.72% 1.03%+
Net investment income .......................................................... 6.37% 4.88%+
Portfolio turnover .............................................................. 267% 161%
Net assets at end of period (000 Omitted) ....................................... $ 52,141 $ 19,595
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for the
Bond Series for the period 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>
Net investment income ..................................................................... $0.3282
Ratios (to average net assets):
Expenses## ............................................................................... 1.07%+
Net investment income .................................................................... 4.84%+
</TABLE>
<TABLE>
<CAPTION>
Emerging Markets Equity Series
-------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 ------------
(Unaudited) 1999
------------------ ------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .......................................... $11.4210 $ 7.4902
-------- --------
Income from investment operations# --
Net investment income (loss)[sec] .............................................. $(0.0194) $ 0.0395
Net realized and unrealized gain (loss) on investments and foreign currency .... (0.5395) 3.8913
-------- --------
Total from investment operations ............................................. $(0.5589) $ 3.9308
-------- --------
Less distributions declared to shareholders --
From net investment income ..................................................... $(0.0013) $ --
From net realized gain on investments and foreign currency transactions ........ -- --
In excess of net realized gain on investments and foreign currency transactions -- --
From paid-in capital ........................................................... -- --
-------- --------
Total distributions declared to shareholders ................................. $(0.0013) $ --
-------- --------
Net asset value -- end of period ................................................ $10.8608 $11.4210
======== ========
Total return@ ................................................................... (4.89)%++ 52.47%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 1.58%+ 1.60%
Net investment income .......................................................... (0.00)%+ 0.44%
Portfolio turnover .............................................................. 74% 137%
Net assets at end of period (000 Omitted) ....................................... $ 42,037 $ 38,139
<CAPTION>
Emerging Markets Equity Series
-----------------------------------------------
Year Ended December 31,
---------------------------
Period Ended
1998 1997 December 31, 1996*
------------- ------------- -------------------
<S> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .......................................... $11.0359 $10.0013 $10.0000***
-------- -------- --------
Income from investment operations# --
Net investment income (loss)[sec] .............................................. $ 0.0934 $ 0.1638 $ 0.0706
Net realized and unrealized gain (loss) on investments and foreign currency .... (3.2974) 0.8773 (0.0693)
-------- -------- --------
Total from investment operations ............................................. $(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 ................................................ $ 7.4902 $11.0359 $10.0013
======== ======== ========
Total return@ ................................................................... (29.98)% 10.46% 0.00%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 1.59% 1.07% 1.55%+
Net investment income .......................................................... 1.03% 1.38% 0.77%+
Portfolio turnover .............................................................. 92% 69% 4%
Net assets at end of period (000 Omitted) ....................................... $ 17,119 $ 24,181 $ 3,271
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for the
Emerging Markets Equity Series 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>
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,
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.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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 -- continued
<TABLE>
<CAPTION>
Global Asset Allocation Series
--------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 --------------
(Unaudited) 1999
------------------ -------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .................................. $16.1889 $14.4449
-------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.2647 $ 0.3522
Net realized and unrealized gain on investments and foreign currency ... 0.1248 2.2004
-------- --------
Total from investment operations ..................................... $ 0.3895 $ 2.5526
-------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.7285) $(0.7810)
From net realized gain on investments and foreign currency
transactions .......................................................... (0.1262) (0.0276)
-------- --------
Total distributions declared to shareholders ......................... $(0.8547) $(0.8086)
-------- --------
Net asset value -- end of period ........................................ $15.7237 $16.1889
======== ========
Total return@ ........................................................... 2.71%++ 18.48%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.89%+ 0.89%
Net investment income .................................................. 0.03%+ 2.44%
Portfolio turnover ...................................................... 83% 180%
Net assets at end of period (000 Omitted) ............................... $125,458 $125,074
<CAPTION>
Global Asset Allocation Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .................................. $14.5377 $13.7794 $12.2250 $10.0579
-------- -------- -------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.4686 $ 0.4412 $ 0.3731 $ 0.4205
Net realized and unrealized gain on investments and foreign currency ... 0.5338 1.0178 1.5563 1.7540
-------- -------- -------- --------
Total from investment operations ..................................... $ 1.0024 $ 1.4590 $ 1.9294 $ 2.1745
-------- -------- -------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.4975) $(0.2242) $(0.1300) $(0.0074)
From net realized gain on investments and foreign currency
transactions .......................................................... (0.5977) (0.4765) (0.2450) --
-------- -------- -------- --------
Total distributions declared to shareholders ......................... $(1.0952) $(0.7007) $(0.3750) $(0.0074)
-------- -------- -------- --------
Net asset value -- end of period ........................................ $14.4449 $14.5377 $13.7794 $12.2250
======== ======== ======== ========
Total return@ .......................................................... 6.60% 10.87% 16.04% 21.56%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.90% 0.92% 0.94% 0.67%
Net investment income .................................................. 3.21% 3.06% 2.84% 3.70%
Portfolio turnover ...................................................... 163% 162% 154% 146%
Net assets at end of period (000 Omitted) ............................... $126,641 $122,912 $ 77,016 $ 25,863
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for the
Global Asset Allocation Series for the period 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>
Net investment income .......................................................................................... $0.3716
Ratios (to average net assets):
Expenses## .................................................................................................... 1.11%
Net investment income ......................................................................................... 3.27%
</TABLE>
<TABLE>
<CAPTION>
Global Governments Series
--------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 --------------
(Unaudited) 1999
------------------ -------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .............................. $10.2660 $12.2271
-------- --------
Income from investment operations# --
Net investment income .............................................. $ 0.2506 $ 0.5001
Net realized and unrealized gain (loss) on investments and foreign
currency .......................................................... (0.3461) (1.1105)
-------- --------
Total from investment operations ................................. $(0.0955) $(0.6104)
-------- --------
Less distributions declared to shareholders --
From net investment income ......................................... $(0.4160) $(1.0140)
From net realized gain on investments and foreign currency
transactions ...................................................... -- (0.3366)
In excess of net realized gain on investments and foreign currency
transactions ...................................................... -- (0.0001)
-------- --------
Total distributions declared to shareholders ..................... $(0.4160) $(1.3507)
-------- --------
Net asset value -- end of period .................................... $ 9.7545 $10.2660
======== ========
Total return++ ...................................................... (0.82)%++ (5.18)%
Ratios (to average net assets)/Supplemental data:
Expenses## ......................................................... 0.92%+ 0.90%
Net investment income .............................................. 5.07%+ 4.55%
Portfolio turnover .................................................. 97% 176%
Net assets at end of period (000 Omitted) ........................... $ 65,029 $ 74,318
<CAPTION>
Global Governments Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .............................. $10.7247 $11.2582 $12.4866 $11.3769
-------- -------- -------- --------
Income from investment operations# --
Net investment income .............................................. $ 0.5302 $ 0.5770 $ 0.6882 $ 0.8031
Net realized and unrealized gain (loss) on investments and foreign
currency .......................................................... 1.1118 (0.6754) (0.2081) 0.9511
-------- -------- -------- --------
Total from investment operations ................................. $ 1.6420 $(0.0984) $ 0.4801 $ 1.7542
-------- -------- -------- --------
Less distributions declared to shareholders --
From net investment income ......................................... $(0.1396) $(0.3742) $(1.7085) $(0.0058)
From net realized gain on investments and foreign currency
transactions ...................................................... -- (0.0548) -- (0.6387)
In excess of net realized gain on investments and foreign currency
transactions ...................................................... -- (0.0061) -- --
-------- -------- -------- --------
Total distributions declared to shareholders ..................... $(0.1396) $(0.4351) $(1.7085) $(0.6445)
-------- -------- -------- --------
Net asset value -- end of period .................................... $12.2271 $10.7247 $11.2582 $12.4866
======== ======== ======== ========
Total return@ ....................................................... 15.46% (0.76)% 4.66% 15.69%
Ratios (to average net assets)/Supplemental data:
Expenses## ......................................................... 0.88% 0.91% 0.90% 0.89%
Net investment income .............................................. 4.75% 5.43% 6.00% 6.67%
Portfolio turnover .................................................. 315% 344% 390% 329%
Net assets at end of period (000 Omitted) ........................... $ 99,220 $110,386 $141,764 $152,487
</TABLE>
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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>
Global Total Return Series
--------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 --------------
(Unaudited) 1999
------------------ -------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .................................. $16.6459 $16.6060
-------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.3267 $ 0.3916
Net realized and unrealized gain on investments and foreign currency ... 0.0188 0.8992
-------- --------
Total from investment operations ..................................... $ 0.3455 $ 1.2908
-------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.3655) $(0.5175)
From net realized gain on investments and foreign currency
transactions .......................................................... (0.8790) (0.7334)
-------- --------
Total distributions declared to shareholders ......................... $(1.2445) $(1.2509)
-------- --------
Net asset value -- end of period ........................................ $15.7469 $16.6459
======== ========
Total return++ .......................................................... 2.34%++ 8.43%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.91%+ 0.89%
Net investment income .................................................. 4.08%+ 2.48%
Portfolio turnover ...................................................... 50% 116%
Net assets at end of period (000 Omitted) ............................... $103,946 $107,099
<CAPTION>
Global Total Return Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .................................. $14.6971 $13.2657 $11.8346 $10.0405
-------- -------- -------- --------
Income from investment operations# --
Net investment income[sec] ............................................. $ 0.3813 $ 0.3979 $ 0.4131 $ 0.4437
Net realized and unrealized gain on investments and foreign currency ... 2.2629 1.3759 1.2480 1.3564
-------- -------- -------- --------
Total from investment operations ..................................... $ 2.6442 $ 1.7738 $ 1.6611 $ 1.8001
-------- -------- -------- --------
Less distributions declared to shareholders --
From net investment income ............................................. $(0.3201) $(0.1756) $(0.2300) $(0.0060)
From net realized gain on investments and foreign currency
transactions .......................................................... (0.4152) (0.1668) -- --
-------- -------- -------- --------
Total distributions declared to shareholders ......................... $(0.7353) $(0.3424) $(0.2300) $(0.0060)
-------- -------- -------- --------
Net asset value -- end of period ........................................ $16.6060 $14.6971 $13.2657 $11.8346
======== ======== ======== ========
Total return++ .......................................................... 18.37% 13.61% 14.33% 17.89%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ............................................................. 0.93% 1.04% 0.96% 0.77%
Net investment income .................................................. 2.44% 2.85% 3.33% 4.01%
Portfolio turnover ...................................................... 141% 171% 148% 146%
Net assets at end of period (000 Omitted) ............................... $ 99,955 $ 71,823 $ 37,638 $ 13,786
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for the
Global Total Return Series for the period 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>
Net investment income .......................................................................................... $ 0.3972
Ratios (to average net assets):
Expenses## .................................................................................................... 1.19%
Net investment income ......................................................................................... 3.59%
</TABLE>
<TABLE>
<CAPTION>
Government Securities Series
-------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 --------------
(Unaudited) 1999
----------------- -------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $12.4770 $13.3946
-------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.4092 $ 0.8074
Net realized and unrealized gain (loss) on investments and foreign
currency ............................................................ 0.0929 (1.0618)
-------- --------
Total from investment operations ................................... $ 0.5021 $(0.2544)
-------- --------
Less distributions declared to shareholders from net investment income $(0.7931) $(0.6632)
-------- --------
Net asset value -- end of period ...................................... $12.1860 $12.4770
======== ========
Total return++ ........................................................ 4.25%++ (1.88)%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.62%+ 0.61%
Net investment income ................................................ 6.59%+ 6.30%
Portfolio turnover .................................................... 40% 83%
Net assets at end of period (000 Omitted) ............................. $508,236 $510,760
<CAPTION>
Government Securities Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $13.0406 $12.8672 $13.3900 $12.1219
-------- -------- -------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.7663 $ 0.8109 $ 0.8445 $ 0.8311
Net realized and unrealized gain (loss) on investments and foreign
currency ............................................................ 0.3211 0.2490 (0.6620) 1.2183
-------- -------- -------- --------
Total from investment operations ................................... $ 1.0874 $ 1.0599 $ 0.1825 $ 2.0494
-------- -------- -------- --------
Less distributions declared to shareholders from net investment income $(0.7334) $(0.8865) $(0.7053) $(0.7813)
-------- -------- -------- --------
Net asset value -- end of period ...................................... $13.3946 $13.0406 $12.8672 $13.3900
======== ======== ======== ========
Total return@ ........................................................ 8.70% 8.72% 1.65% 17.66%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.62% 0.63% 0.63% 0.63%
Net investment income ................................................ 5.82% 6.38% 6.60% 6.59%
Portfolio turnover .................................................... 107% 182% 57% 80%
Net assets at end of period (000 Omitted) ............................. $457,474 $387,732 $383,107 $368,848
</TABLE>
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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>
High Yield Series
------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 -------------
(Unaudited) 1999
----------------- ------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 9.0162 $ 9.1635
-------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.4263 $ 0.8314
Net realized and unrealized gain (loss) on investments and foreign
currency ............................................................ (0.4139) (0.2067)
-------- --------
Total from investment operations ................................... $ 0.0124 $ 0.6247
-------- --------
Less distributions declared to shareholders from net investment income $(0.8363) $(0.7720)
-------- --------
Net asset value -- end of period ...................................... $ 8.1923 $ 9.0162
======== ========
Total return@ ......................................................... 0.05%++ 6.92%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.82%+ 0.83%
Net investment income ................................................ 9.72%+ 9.10%
Portfolio turnover .................................................... 31% 86%
Net assets at end of period (000 Omitted) ............................. $348,048 $355,100
<CAPTION>
High Yield Series
------------------------------------------------------
Year Ended December 31,
------------------------------------------------------
1998 1997 1996 1995
------------ ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 9.7108 $ 9.2131 $ 8.9222 $ 8.1860
-------- -------- -------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.8380 $ 0.8206 $ 0.8012 $ 0.7891
Net realized and unrealized gain (loss) on investments and foreign
currency ............................................................ (0.7526) 0.3319 0.2131 0.5494
-------- -------- -------- --------
Total from investment operations ................................... $ 0.0854 $ 1.1525 $ 1.0143 $ 1.3385
-------- -------- -------- --------
Less distributions declared to shareholders from net investment income $(0.6327) $(0.6548) $(0.7234) $(0.6023)
-------- -------- -------- --------
Net asset value -- end of period ...................................... $ 9.1635 $ 9.7108 $ 9.2131 $ 8.9222
======== ======== ======== ========
Total return@ ......................................................... 0.58% 13.24% 12.12% 16.93%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.82% 0.84% 0.84% 0.87%
Net investment income ................................................ 8.78% 8.70% 9.01% 9.17%
Portfolio turnover .................................................... 135% 130% 88% 66%
Net assets at end of period (000 Omitted) ............................. $326,232 $275,207 $196,498 $153,800
</TABLE>
<TABLE>
<CAPTION>
International Growth and Income Series
---------------------------------------------
Year Ended December 31,
---------------------------
Six Months Ended
June 30, 2000
(Unaudited) 1999 1998
----------------- ------------- -------------
<S> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................... $14.9736 $13.1854 $11.1722
-------- -------- --------
Income from investment operations# --
Net investment income[sec] .............................................. $ 0.2378 $ 0.1236 $ 0.0983
Net realized and unrealized gain on investments and foreign currency .... 0.2653 2.0769 2.3104
-------- -------- --------
Total from investment operations ...................................... $ 0.5031 $ 2.2005 $ 2.4087
-------- -------- --------
Less distributions declared to shareholders --
From net investment income .............................................. $(0.1186) $(0.0945) $(0.1160)
From net realized gain on investments and foreign currency
transactions ........................................................... (1.3630) (0.3178) (0.2795)
-------- -------- --------
Total distributions declared to shareholders .......................... $(1.4816) $(0.4123) $(0.3955)
-------- -------- --------
Net asset value -- end of period ......................................... $13.9951 $14.9736 $13.1854
======== ======== ========
Total return@ ............................................................ 3.83%++ 17.20% 21.68%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .............................................................. 1.21%+ 1.16% 1.16%
Net investment income ................................................... 3.36%+ 0.96% 0.79%
Portfolio turnover ....................................................... 37% 103% 54%
Net assets at end of period (000 Omitted) ................................ $ 87,622 $ 84,569 $ 75,410
<CAPTION>
International Growth and Income Series
-----------------------------------------------
Year Ended December 31,
---------------------------
Period Ended
1997 1996 December 31, 1995*
------------- ------------- -------------------
<S> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................... $10.6247 $10.1282 $10.0000**
-------- -------- --------
Income from investment operations# --
Net investment income[sec] .............................................. $ 0.1356 $ 0.2326 $ 0.0295
Net realized and unrealized gain on investments and foreign currency .... 0.5497 0.2639 0.0987
-------- -------- --------
Total from investment operations ...................................... $ 0.6853 $ 0.4965 $ 0.1282
-------- -------- -------
Less distributions declared to shareholders --
From net investment income .............................................. $(0.1124) $ -- $ --
From net realized gain on investments and foreign currency
transactions ........................................................... (0.0254) -- --
-------- -------- --------
Total distributions declared to shareholders .......................... $(0.1378) $ -- $ --
-------- -------- --------
Net asset value -- end of period ......................................... $11.1722 $10.6247 $10.1282
======== ======== ========
Total return@ ............................................................ 6.53% 4.84% 1.30%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## .............................................................. 1.22% 0.97% 1.50%+
Net investment income ................................................... 1.24% 2.21% 1.64%+
Portfolio turnover ....................................................... 194% 51% --
Net assets at end of period (000 Omitted) ................................ $ 51,368 $ 35,710 $ 7,179
</TABLE>
[sec] The investment adviser voluntarily waived a portion of its fee for the
International Growth and Income Series 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>
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>
+Annualized.
++Not annualized.
*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.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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
Financial Highlights -- continued
<TABLE>
<CAPTION>
Money Market Series
--------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 --------------
(Unaudited) 1999
------------------ -------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 1.000 $ 1.0000
-------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.0274 $ 0.0457
-------- --------
Less distributions declared to shareholders from net investment income $(0.0274) $(0.0457)
-------- --------
Net asset value -- end of period ...................................... $ 1.0000 $ 1.0000
======== ========
Total return@ ......................................................... 5.54%+ 4.66%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.57%+ 0.57%
Net investment income ................................................ 5.48%+ 4.57%
Net assets at end of period (000 Omitted) ............................. $408,485 $501,914
<CAPTION>
Money Market Series
-------------------------------------------------------
Year Ended December 31,
-------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
-------- -------- -------- --------
Income from investment operations# --
Net investment income ................................................ $ 0.0494 $ 0.0495 $ 0.0483 $ 0.0520
-------- -------- -------- --------
Less distributions declared to shareholders from net investment income $(0.0494) $(0.0495) $(0.0483) $(0.0520)
-------- -------- -------- --------
Net asset value -- end of period ...................................... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
======== ======== ======== ========
Total return@ ......................................................... 5.02% 5.06% 4.95% 5.44%
Ratios (to average net assets)/Supplemental data:
Expenses## ........................................................... 0.56% 0.57% 0.56% 0.59%
Net investment income ................................................ 4.94% 4.94% 4.82% 5.30%
Net assets at end of period (000 Omitted) ............................. $465,545 $340,060 $409,165 $282,754
</TABLE>
<TABLE>
<CAPTION>
Strategic Income
Series
-----------------
Six Months Ended
June 30, 2000
(Unaudited)
-----------------
<S> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .......................................... $10.2537
--------
Income from investment operations# --
Net investment income[sec] ..................................................... $ 0.3708
Net realized and unrealized loss on investments and foreign currency ........... (0.2080)
--------
Total from investment operations ............................................. $ 0.1628
--------
Less distributions declared to shareholders --
From net investment income ..................................................... $(0.4335)
From net realized gain on investments and foreign currency transactions ........ --
In excess of net realized gain on investments and foreign currency transactions --
--------
Total distributions declared to shareholders ................................. $(0.4335)
--------
Net asset value -- end of period ................................................ $ 9.9830
========
Total return++ .................................................................. 1.65%@
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 1.01+
Net investment income .......................................................... 7.36%+
Portfolio turnover .............................................................. 82%
Net assets at end of period (000 Omitted) ....................................... $ 23,568
[sec] The investment adviser voluntarily waived a portion of its fee for the Strategic Income Series
for the period indicated. If the fee had been incurred by the series, the net investment income
per share and the ratios would have been:
Net investment income ..........................................................
Ratios (to average net assets):
Expenses## ....................................................................
Net investment income .........................................................
<CAPTION>
Strategic Income Series
-----------------------------------------
Year ended Period ended
December 31, 1999 December 31, 1998*
--------------------- -------------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period .......................................... $10.0439 $10.0000**
-------- --------
Income from investment operations# --
Net investment income[sec] ..................................................... $ 0.6998 $ 0.4206
Net realized and unrealized loss on investments and foreign currency ........... (0.2490) (0.3767)
-------- --------
Total from investment operations ............................................. $ 0.4508 $ 0.0439
-------- --------
Less distributions declared to shareholders --
From net investment income ..................................................... $(0.1450) $ --
From net realized gain on investments and foreign currency transactions ........ (0.0406) --
In excess of net realized gain on investments and foreign currency transactions (0.0554) --
-------- --------
Total distributions declared to shareholders ................................. $(0.2410) $ --
-------- --------
Net asset value -- end of period ................................................ $10.2537 $10.0439
======== ========
Total return++ .................................................................. 4.61% 0.40%++
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ..................................................................... 1.08% 1.29%+
Net investment income .......................................................... 6.90% 6.52%+
Portfolio turnover .............................................................. 150% 182%
Net assets at end of period (000 Omitted) ....................................... $ 19,683 $ 7,780
[sec] The investment adviser voluntarily waived a portion of its fee for the Strategic Income Series for the period
indicated. If the fee had been incurred by the series, the net investment income
per share and the ratios would have been:
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.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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.
45
<PAGE>
MFS/Sun Life Series Trust
Financial Highlights -- continued
<TABLE>
<CAPTION>
Zero Coupon Series, Portfolio
2000
-------------------------------
Year Ended
Six Months Ended December 31,
June 30, 2000 -------------
(Unaudited) 1999
------------------ ------------
<S> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 8.6311 $ 8.9692
-------- --------
Income from investment operations# --
Net investment income[sec] ........................................... $ 0.2615 $ 0.5475
Net realized and unrealized gain (loss) on investments ............... (0.0416) (0.2904)
-------- --------
Total from investment operations ................................... $ 0.2199 $ 0.2571
-------- --------
Less distributions declared to shareholders from net investment income $(0.6476) $(0.5952)
-------- --------
Net asset value -- end of period ...................................... $ 8.2034 $ 8.6311
======== ========
Total return++ ........................................................ 2.70%++ 2.87%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ........................................................... 0.53%+ 0.53%
Net investment income ................................................ 6.18%+ 6.28%
Portfolio turnover .................................................... 15% 0%
Net assets at end of period (000 Omitted) ............................. $ 2,733 $ 3,061
[sec] The investment adviser voluntarily agreed to maintain expenses of Zero Coupon Series, Portfolio
2000 at not more than 0.50% of average daily net assets for the periods indicated. To the extent
actual expenses were over/under this limitation, the net investment income per share and the
ratios would have been:
Net investment income ................................................ $ 0.2466 $ 0.5323
Ratios (to average net assets):
Expenses## .......................................................... 0.88%+ 0.71%
Net investment income ............................................... 5.83%+ 6.11%
<CAPTION>
Zero Coupon Series, Portfolio 2000
------------------------------------------------------
Year Ended December 31,
------------------------------------------------------
1998 1997 1996 1995
------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
Per share data (for a share outstanding throughout each period):
Net asset value -- beginning of period ................................ $ 8.9096 $ 8.8822 $ 9.0619 $ 7.9573
-------- -------- -------- --------
Income from investment operations# --
Net investment income[sec] ........................................... $ 0.5225 $ 0.4949 $ 0.2094 $ 0.4340
Net realized and unrealized gain (loss) on investments ............... 0.0960 0.0896 (0.0528) 1.1038
-------- -------- -------- --------
Total from investment operations ................................... $ 0.6185 $ 0.5845 $ 0.1566 $ 1.5378
-------- -------- -------- --------
Less distributions declared to shareholders from net investment income $(0.5589) $(0.5571) $(0.3363) $(0.4332)
-------- -------- -------- --------
Net asset value -- end of period ...................................... $ 8.9692 $ 8.9096 $ 8.8822 $ 9.0619
======== ======== ======== ========
Total return@ ......................................................... 7.28% 6.98% 1.91% 19.88%
Ratios (to average net assets)/Supplemental data[sec]:
Expenses## ........................................................... 0.53% 0.54% 0.53% 0.52%
Net investment income ................................................ 5.88% 5.71% 5.23% 5.18%
Portfolio turnover .................................................... 0% 0% 2% 27%
Net assets at end of period (000 Omitted) ............................. $ 3,473 $ 3,614 $ 4,337 $ 4,616
[sec] The investment adviser voluntarily agreed to maintain expenses of Zero Coupon Series, Portfolio 2000 at not more than
0.50% of average daily net assets for the periods indicated. To the extent actual expenses were over/under this
limitation, the net investment income per share and the ratios would have been:
Net investment income ................................................ $ 0.4879 $ 0.4728 $ 0.2045 $ --
Ratios (to average net assets):
Expenses## .......................................................... 0.92% 0.80% 0.62% --
Net investment income ............................................... 5.49% 5.38% 5.08% --
</TABLE>
+Annualized.
++Not annualized.
#Per share data are based on average shares outstanding.
##Ratios do not reflect expense reductions from certain expense offset
arrangements.
@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.
46
<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-eight separate series (the series) of
shares: Bond Series*, Capital Appreciation Series, Capital Opportunities Series,
Emerging Growth Series, Emerging Markets Equity Series*, Equity Income Series,
Global Asset Allocation Series*, Global Governments Series*, Global 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, Money Market Series*, New Discovery
Series, Research Series, Research Growth and Income Series, Research
International Series, Strategic Growth Series, Strategic Income Series*,
Technology 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 fund 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.
Certain series of the trust can invest in foreign securities. 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.
Investment Valuations - 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. Money market instruments are valued at
amortized cost, which the Trustees have determined in good faith approximates
market 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. 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. Short-term obligations, which mature in 60 days or less, are
valued at amortized cost, which approximates market value. Futures contracts and
options 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 in good faith,
at fair value, 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 securities collateral in a repurchase transaction be
transferred to the custodian in a manner sufficient to enable the series to
obtain those securities in the event of a default under the repurchase
agreement. The series 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 results from fluctuations in foreign currency exchange rates is not
separately disclosed.
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 option 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.
47
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
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.
Security Loans - State Street Bank and Trust Company ("State Street") and Chase
Manhattan Bank ("Chase"), as lending agents, may loan the securities of the
series to certain qualified institutions (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 and Chase provide the series with indemnification against
Borrower default. The series bears the risk of loss with respect to the
investment of cash collateral.
Cash collateral is invested in short-term securities. 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 the lending agent. On loans
collateralized by U.S. Treasury securities, a fee is received from the Borrower,
and is allocated between the series and the lending agent. 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.
At June 30, 2000, the value of securities loaned and the collateral on these
loans were as follows:
<TABLE>
<CAPTION>
International
Emerging Markets Global Asset Global Total Growth and
Equity Series Allocation Series Return Series Income Series
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Value of Securities Loaned ......... $6,523,520 $6,358,872 $3,772,957 $7,416,160
Collateralized by:
U.S. Treasury securities .......... -- 274,402 -- 217,515
Cash .............................. $6,588,913 6,123,075 3,891,959 7,264,731
</TABLE>
Cash collateral listed above was invested in the following short-term
obligations:
<TABLE>
<CAPTION>
Emerging Markets Equity Global Asset Allocation
Series Series
------------------------- -------------------------
Amortized Amortized
Cost and Cost and
Issuer Shares Value Shares Value
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Navigator Securities Lending Prime Portfolio .. 6,588,913 $6,588,913 6,123,075 $6,123,075
</TABLE>
<TABLE>
<CAPTION>
Global Total Return International Growth and
Series Income Series
------------------------- -------------------------
Amortized Amortized
Cost and Cost and
Issuer Shares Value Shares Value
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Navigator Securities Lending Prime Portfolio .... 1,130,545 $1,130,545 7,264,731 $7,264,731
Salomon Smith Barney, Inc., 7.13%, due 7/3/00 ... 2,761,414 2,761,414 -- --
--------- ---------- --------- ----------
Total Amortized Cost and Value .................. 3,891,959 $3,891,959 7,264,731 $7,264,731
</TABLE>
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 may enter into forward contracts for hedging purposes as well as for
non-hedging 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 non-hedging 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 contract settlement date, the gains or losses are recorded as realized
gains or losses on foreign currency transactions.
48
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
Investment Transactions and Income - Investment transactions are recorded on the
trade date. Interest income is recorded on the accrual basis. All discount is
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. Some securities may be purchased on a "when-issued" or "forward
delivery" basis, which means that the securities will be delivered to the series
at a future date, usually beyond customary settlement time.
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 made directly to the security issuer, which are
generally non-recurring, incurred to protect or enhance the value of high-yield
debt securities, are reported as additions 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 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 total 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 net taxable
income, including any net realized gain on investments. Accordingly, no
provision for federal income or excise tax is provided.
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 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 net realized gains.
Realized gain is reported net of any foreign capital gains tax in the Statements
of Operations.
At December 31, 1999, the following series, for federal income tax purposes, had
a capital loss carryforward which may be applied against any net taxable
realized gains of each succeeding year until the earlier of its utilization or
expiration.
<TABLE>
<CAPTION>
Expiration
Total Carryover 2002 2003
---------------------------------------------
<S> <C> <C> <C>
Bond Series ................................ $ 888,249 $ -- $ --
Emerging Markets Equity Series ............. 3,957,395 -- --
Global Governments Series .................. 2,327,152 -- --
Government Securities Series ............... 9,704,006 2,746,862 78,697
High Yield Series .......................... 14,645,825 701,562 2,157,902
Money Market Series ........................ 671 141 --
Strategic Income Series .................... 61,969 -- --
Zero Coupon Series, Portfolio 2000 ......... 4,064 -- 279
<CAPTION>
2004 2005 2006 2007
-------------------------------------------------------
<S> <C> <C> <C> <C>
Bond Series ................................ $ -- $ -- $ -- $ 888,249
Emerging Markets Equity Series ............. -- -- 3,957,395 --
Global Governments Series .................. -- -- -- 2,327,152
Government Securities Series ............... 1,721,078 2,450,444 -- 2,706,925
High Yield Series .......................... -- -- 5,630,168 6,156,193
Money Market Series ........................ 530 -- -- --
Strategic Income Series .................... -- -- -- 61,969
Zero Coupon Series, Portfolio 2000 ......... 3,785 -- -- --
</TABLE>
(3) Transactions with Affiliates
In Investment Adviser - The trust has an investment advisory agreement with
Massachusetts Financial Services Company (MFS) to provide overall investment
advisory and administrative services, and general office facilities. The
management fee is computed daily and paid monthly at an annual rate based on a
percentage of each series' average daily net assets. The agreements also provide
that certain 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 the 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
Emerging Markets Equity Series ................. 1.25% N/A
Global Asset Allocation 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% 1.25%
High Yield Series .............................. 0.75% 1.25%
International Growth and Income Series ......... 0.975%* 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 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.
**Sun Life, not MFS, bears these expenses.
49
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
Each series pays no compensation directly to its Trustees who are officers of
the investment adviser or Sun Life Assurance Company of Canada (U.S.), all of
whom receive remuneration for their services to the series from MFS or Sun Life
Assurance Company of Canada. Certain officers and Trustees of the series are
officers or directors of MFS or Sun Life Assurance Company of Canada.
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 incurs an administrative fee
at the following annual percentages of the series' average daily net assets:
<TABLE>
<S> <C>
First $2 billion ................ 0.0175%
Next $2.5 billion ............... 0.0130%
Next $2.5 billion ............... 0.0005%
In excess of $7 billion ......... 0.0000%
</TABLE>
(4) Portfolio Securities
Purchases and sales of investments, other than purchased option transactions and
short-term obligations, were as follows:
<TABLE>
<CAPTION>
Emerging Global Asset Global
Markets Allocation Governments Global Total
Bond Series Equity Series Series Series Return Series
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchases
U.S. government securities ........................... $51,355,082 $ -- $26,879,429 $35,044,792 $26,211,190
=========== =========== =========== =========== ===========
Investments (non-U.S. government securities) ......... $35,415,139 $34,289,178 $69,889,684 $15,368,135 $22,321,463
=========== =========== =========== =========== ===========
Sales
U.S. government securities ........................... $49,011,866 $ -- $16,250,474 $39,384,636 $20,531,243
=========== =========== =========== =========== ===========
Investments (non-U.S. government securities) ......... $32,397,081 $29,807,967 $79,276,734 $20,668,423 $28,670,371
=========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Government
Securities High Yield
Series Series
--------------------------------------------------------------------------------------
<S> <C> <C>
Purchases
U.S. government securities ........................... $201,139,873 $ --
============ ============
Investments (non-U.S. government securities) ......... $ -- $100,770,724
============ ============
Sales
U.S. government securities ........................... $230,026,716 $ --
============ ============
Investments (non-U.S. government securities) ......... $ 96,064 $100,355,507
============ ============
<CAPTION>
International Strategic Zero Coupon
Growth and Income Series,
Income Series Series Portfolio 2000
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Purchases
U.S. government securities ........................... $ -- $8,470,056 $397,140
=========== ========== ========
Investments (non-U.S. government securities) ......... $31,155,056 $9,947,173 $ --
=========== ========== ========
Sales
U.S. government securities ........................... $ -- $6,786,685 $994,310
=========== ========== ========
Investments (non-U.S. government securities) ......... $29,516,933 $6,413,010 $ --
=========== ========== ========
</TABLE>
Purchases and sales of investments for Money Market Series which consist solely
of short-term obligations, amounted to $10,136,209,953 and $10,248,483,000,
respectively, excluding repurchase agreements.
The cost and unrealized appreciation and depreciation in the value of the
investments owned by each series, as computed on a federal income tax basis, are
as follows:
<TABLE>
<CAPTION>
Emerging Global Asset
Markets Allocation
Bond Series Equity Series Series
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Aggregate cost .................................. $59,829,276 $40,449,678 $115,162,487
=========== =========== ============
Gross unrealized appreciation ................... $ 317,340 $ 5,127,042 $ 14,857,836
=========== =========== ============
Gross unrealized depreciation ................... $(1,541,708) $(4,402,083) $ (5,153,324)
=========== =========== ============
Net unrealized appreciation (depreciation) ..... $(1,224,368) $ 724,959 $ 9,704,512
=========== =========== ============
<CAPTION>
Global Government
Governments Global Total Securities
Series Return Series Series
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Aggregate cost .................................. $66,383,855 $94,257,634 $514,766,530
=========== =========== ============
Gross unrealized appreciation ................... $ 777,656 $14,888,125 $ 2,649,506
=========== =========== ============
Gross unrealized depreciation ................... $(1,481,437) $(4,684,975) $(14,830,391)
=========== =========== ============
Net unrealized appreciation (depreciation) ..... $ (703,781) $10,203,150 $(12,180,885)
=========== =========== ============
</TABLE>
<TABLE>
<CAPTION>
International
High Yield Growth and
Series Income Series
---------------------------------------------------------------------------------------
<S> <C> <C>
Aggregate cost ...................................... $373,598,376 $73,686,903
============ ===========
Gross unrealized appreciation ....................... $ 7,549,898 $16,326,525
============ ===========
Gross unrealized depreciation ....................... $(37,220,075) $(3,671,218)
============ ===========
Net unrealized appreciation (depreciation) ......... $(29,670,177) $12,655,307
============ ===========
<CAPTION>
Zero Coupon
Money Strategic Series,
Market Series Income Series Portfolio 2000
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Aggregate cost ...................................... $406,038,290 $24,053,206 $2,524,848
============ =========== ==========
Gross unrealized appreciation ....................... $ -- $ 218,342 $ 11,674
============ =========== ==========
Gross unrealized depreciation ....................... $ -- $ (958,948) $ --
============ =========== ==========
Net unrealized appreciation (depreciation) ......... $ -- $ (740,606) $ 11,674
============ =========== ==========
</TABLE>
50
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
(5) Shares of Beneficial Interest
The series' Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest. Transactions in
trust shares were as follows:
<TABLE>
<CAPTION>
Bond Series
----------------------------
Six Months Ended
June 30, 2000
(Unaudited)
----------------------------
Shares Amount
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 1,332,155 $13,706,819
Shares issued to shareholders in reinvestment of distributions ......... 240,907 2,377,758
Shares reacquired ...................................................... (829,583) (8,597,332)
--------- -----------
Net increase .......................................................... 743,479 $ 7,487,245
========= ===========
<CAPTION>
Bond Series
----------------------------
Year Ended
December 31, 1999
----------------------------
Shares Amount
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 4,076,452 $42,704,401
Shares issued to shareholders in reinvestment of distributions ......... 43,529 456,184
Shares reacquired ...................................................... (917,951) (9,574,935)
--------- -----------
Net increase .......................................................... 3,202,030 $33,585,650
========= ===========
</TABLE>
<TABLE>
<CAPTION>
Emerging Markets Equity Series
--------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 1,592,929 $ 18,764,258
Shares issued to shareholders in reinvestment of distributions ......... 481 4,883
Shares reacquired ...................................................... (1,062,262) (12,206,669)
---------- ------------
Net increase .......................................................... 531,148 $ 6,562,472
========== ============
<CAPTION>
Emerging Markets Equity Series
--------------------------------
Year Ended
December 31, 1999
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 2,571,338 $ 23,808,271
Shares issued to shareholders in reinvestment of distributions ......... -- --
Shares reacquired ...................................................... (1,517,462) (14,067,508)
---------- ------------
Net increase .......................................................... 1,053,876 $ 9,740,763
========== ============
</TABLE>
<TABLE>
<CAPTION>
Global Asset Allocation Series
------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
-----------------------------
Shares Amount
------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 395,690 $ 6,307,449
Shares issued to shareholders in reinvestment of distributions ......... 434,887 6,501,564
Shares reacquired ...................................................... (577,598) (9,182,752)
-------- -----------
Net increase (decrease) ............................................... 252,979 $ 3,626,261
======== ===========
<CAPTION>
Global Asset Allocation Series
--------------------------------
Year Ended
December 31, 1999
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 563,283 $ 8,244,781
Shares issued to shareholders in reinvestment of distributions ......... 468,438 6,590,923
Shares reacquired ...................................................... (2,072,999) (29,938,859)
---------- ------------
Net increase (decrease) ............................................... (1,041,278) $(15,103,155)
========== ============
</TABLE>
<TABLE>
<CAPTION>
Global Governments Series
--------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 490,074 $ 4,858,989
Shares issued to shareholders in reinvestment of distributions ......... 291,297 2,709,337
Shares reacquired ...................................................... (1,354,038) (13,441,471)
---------- ------------
Net decrease .......................................................... (572,667) $ (5,873,145)
========== ============
<CAPTION>
Global Governments Series
--------------------------------
Year Ended
December 31, 1999
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 779,078 $ 8,706,210
Shares issued to shareholders in reinvestment of distributions ......... 988,124 10,424,487
Shares reacquired ...................................................... (2,642,719) (28,584,016)
---------- ------------
Net decrease .......................................................... (875,517) $ (9,453,319)
========== ============
</TABLE>
<TABLE>
<CAPTION>
Global Total Return Series
------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
------------------------------
Shares Amount
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 290,384 $ 4,657,698
Shares issued to shareholders in reinvestment of distributions ......... 501,695 7,620,750
Shares reacquired ...................................................... (625,006) (10,078,035)
-------- ------------
Net increase .......................................................... 167,073 $ 2,200,413
======== ============
<CAPTION>
Global Total Return Series
--------------------------------
Year Ended
December 31, 1999
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 1,042,248 $ 16,414,536
Shares issued to shareholders in reinvestment of distributions ......... 495,794 7,595,567
Shares reacquired ...................................................... (1,123,290) (17,681,995)
---------- ------------
Net increase .......................................................... 414,752 $ 6,328,108
========== ============
</TABLE>
<TABLE>
<CAPTION>
Government Securities Series
--------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 5,740,574 $ 71,128,015
Shares issued to shareholders in reinvestment of distributions ......... 2,636,600 31,085,513
Shares reacquired ...................................................... (7,606,844) (95,244,478)
---------- ------------
Net increase .......................................................... 770,330 $ 6,969,050
========== ============
<CAPTION>
Government Securities Series
----------------------------------
Year Ended
December 31, 1999
----------------------------------
Shares Amount
-----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 14,835,504 $ 190,413,088
Shares issued to shareholders in reinvestment of distributions ......... 1,962,264 24,646,040
Shares reacquired ...................................................... (10,015,273) (127,622,442)
----------- -------------
Net increase .......................................................... 6,782,495 $ 87,436,686
=========== =============
</TABLE>
51
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
<TABLE>
<CAPTION>
High Yield Series
--------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 6,394,040 $ 55,797,585
Shares issued to shareholders in reinvestment of distributions ......... 3,815,172 31,322,565
Shares reacquired ...................................................... (7,109,186) (63,400,435)
---------- ------------
Net increase .......................................................... 3,100,026 $ 23,719,715
========== ============
<CAPTION>
High Yield Series
----------------------------------
Year Ended
December 31, 1999
----------------------------------
Shares Amount
-----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 16,691,615 $ 152,336,515
Shares issued to shareholders in reinvestment of distributions ......... 3,118,231 28,064,079
Shares reacquired ...................................................... (16,026,334) (146,420,996)
----------- -------------
Net increase .......................................................... 3,783,512 $ 33,979,598
=========== =============
</TABLE>
<TABLE>
<CAPTION>
International Growth and Income
Series
--------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
--------------------------------
Shares Amount
---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 3,136,526 $ 44,716,390
Shares issued to shareholders in reinvestment of distributions ......... 635,318 8,475,144
Shares reacquired ...................................................... (3,158,774) (45,190,988)
---------- ------------
Net increase (decrease) ............................................... 613,070 $ 8,000,546
========== ============
<CAPTION>
International Growth and Income
Series
---------------------------------
Year Ended
December 31, 1999
---------------------------------
Shares Amount
----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 7,929,665 $ 102,719,640
Shares issued to shareholders in reinvestment of distributions ......... 180,996 2,285,984
Shares reacquired ...................................................... (8,182,035) (106,839,092)
---------- -------------
Net increase (decrease) ............................................... (71,374) $ (1,833,468)
========== =============
</TABLE>
<TABLE>
<CAPTION>
Money Market Series
-----------------------------------
Six Months Ended
June 30, 2000
(Unaudited)
-----------------------------------
Shares Amount
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 401,530,304 $ 401,530,304
Shares issued to shareholders in reinvestment of distributions ......... 12,153,725 12,153,725
Shares reacquired ...................................................... (507,113,258) (507,113,258)
------------ -------------
Net increase (decrease) ............................................... (93,429,229) $ (93,429,229)
============ =============
<CAPTION>
Money Market Series
-----------------------------------
Year Ended
December 31, 1999
-----------------------------------
Shares Amount
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 768,753,754 $ 768,753,754
Shares issued to shareholders in reinvestment of distributions ......... 22,202,815 22,202,815
Shares reacquired ...................................................... (754,587,270) (754,587,270)
------------ -------------
Net increase (decrease) ............................................... 36,369,299 $ 36,369,299
============ =============
</TABLE>
<TABLE>
<CAPTION>
Strategic Income Series
-----------------------------
Six Months Ended
June 30, 2000
(Unaudited)
-----------------------------
Shares Amount
------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 742,249 $ 7,513,409
Shares issued to shareholders in reinvestment of distributions ......... 94,139 906,553
Shares reacquired ...................................................... (395,141) (4,033,944)
-------- -----------
Net increase .......................................................... 441,247 $ 4,386,018
======== ===========
<CAPTION>
Strategic Income Series
----------------------------
Year Ended
December 31, 1999
----------------------------
Shares Amount
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares sold ............................................................ 1,368,577 $13,823,676
Shares issued to shareholders in reinvestment of distributions ......... 26,738 271,923
Shares reacquired ...................................................... (250,353) (2,529,573)
--------- -----------
Net increase .......................................................... 1,144,962 $11,566,026
========= ===========
</TABLE>
<TABLE>
<CAPTION>
Zero Coupon Series, Portfolio 2000
-----------------------------------------------------
Six Months Ended
June 30, 2000 Year Ended
(Unaudited) December 31, 1999
-------------------------- --------------------------
Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold ............................................................ 8,211 $ 68,761 22,205 $ 194,375
Shares issued to shareholders in reinvestment of distributions ......... 24,801 201,885 24,543 207,140
Shares reacquired ...................................................... (54,358) (467,603) (79,422) (701,471)
------- --------- ------- ---------
Net decrease .......................................................... (21,346) $(196,957) (32,674) $(299,956)
======= ========= ======= =========
</TABLE>
52
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
(6) Line of Credit
The trust and other affiliated funds participate in a $1.1 billion unsecured
line of credit provided by a syndication of banks under a line of credit
agreement. Borrowings may be made for temporary financing needs. 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 fee allocated to each series for the six
months ended June 30, 2000, was as follows:
<TABLE>
<CAPTION>
Commitment Fee
-------------------------------------------------------------------------
<S> <C>
Bond Series ..................................... $ 192
Emerging Markets Equity Series .................. 124
Global Asset Allocation Series .................. 367
Global Governments Series ....................... 172
Global Total Return Series ...................... 312
Government Securities Series .................... 1,614
High Yield Series ............................... 1,304
International Growth and Income Series .......... 287
Money Market Series ............................. 1,246
Strategic Income Series ......................... 66
Zero Coupon Series, Portfolio 2000 .............. 9
</TABLE>
The trust had no significant borrowings during the period.
(7) Financial Instruments
Certain series of the trust trade financial instruments with off-balance-sheet
risk in the normal course of its 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, and futures contracts. The notional or contractual
amounts of these instruments represent the investment the series has in
particular classes of financial instruments and does 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.
Written Option Transactions -- Global Asset Allocation Series
<TABLE>
<CAPTION>
Number of
Contracts Premiums
----------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding, beginning of period ................... 4 $ 225,163
Options written .................................... 18 1,328,680
Options terminated in closing transactions ......... (7) (851,378)
Options exercised .................................. (3) (215,717)
Options expired .................................... (4) (83,115)
-- ----------
Outstanding, end of period ......................... 8 $ 403,633
== ==========
</TABLE>
At June 30, 2000, the series had sufficient cash and/or securities at least
equal to the value of the written options.
Written Option Transactions -- Global Governments Series
<TABLE>
<CAPTION>
Number of
Contracts Premiums
----------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding, beginning of period ................... 5 $ 338,517
Options written .................................... 12 738,007
Options terminated in closing transactions ......... (7) (784,674)
Options exercised .................................. (2) (72,495)
Options expired .................................... (4) (44,527)
-- ---------
Outstanding, end of period ......................... 4 $ 174,828
== =========
</TABLE>
At June 30, 2000, the series had sufficient cash and/or securities at least
equal to the value of the written options.
Written Option Transactions -- Global Total Return Series
<TABLE>
<CAPTION>
Number of
Contracts Premiums
---------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding, beginning of period ................... 1 $ 30,494
Options written .................................... 2 30,396
Options terminated in closing transactions ......... (2) (47,889)
-- --------
Outstanding, end of period ......................... 1 $ 13,001
== ========
</TABLE>
At June 30, 2000, 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
Written Option Transactions -- Strategic Income Series
<TABLE>
<CAPTION>
Number of
Contracts Premiums
----------------------------------------------------------------------------------------
<S> <C> <C>
Outstanding, beginning of period ................... 4 $ 28,454
Options written .................................... 18 217,559
Options terminated in closing transactions ......... (7) (136,445)
Options exercised .................................. (3) (28,583)
Options expired .................................... (4) (13,941)
-- ---------
Outstanding, end of period ......................... 8 $ 67,044
== =========
</TABLE>
At June 30, 2000, the series had sufficient cash and/or securities at least
equal to the value of the written options.
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Series Transaction Settlement Date
-------------------------------------------------------------------------
<S> <C> <C> <C>
Global Asset Allocation Series Sales 09/13/00 AUD
06/05/01 BRL
09/13/00 DKK
09/13/00 EUR
09/13/00 GRD
07/24/00 - 09/13/00 JPY
07/31/00 MXN
09/13/00 SEK
10/05/00 VEB
Purchases 06/05/01 BRL
09/13/00 JPY
09/13/00 NZD
10/05/00 VEB
<CAPTION>
Net Unrealized
Contracts to Contracts Appreciation
Series Deliver/Receive In Exchange For at Value (Depreciation)
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Asset Allocation Series 854,567 $ 505,792 $ 511,436 $ (5,644)
7,648,223 3,876,939 3,921,316 (44,377)
547,438 70,212 70,259 (47)
5,086,763 4,875,205 4,876,482 (1,277)
311,056,291 880,307 879,906 401
295,011,306 2,829,920 2,800,071 29,849
12,298,800 1,233,540 1,239,331 (5,791)
22,628,827 2,618,320 2,580,634 37,686
2,677,779,212 3,681,640 3,820,179 (138,539)
----------- ----------- ---------
$20,571,875 $20,699,614 $(127,739)
=========== =========== =========
7,648,223 $ 3,807,928 $ 3,921,316 $ 113,388
210,830,422 2,029,724 2,012,939 (16,785)
154,968 72,840 72,637 (203)
2,677,779,212 3,762,247 3,820,179 57,932
----------- ----------- ---------
$ 9,672,739 $ 9,827,071 $ 154,332
=========== =========== =========
</TABLE>
At June 30, 2000, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net receivable of $4,215 with
Merrill Lynch and a net payable of $53,477 with First Boston and $51,931 with
Deutsche Bank.
At June 30, 2000, the series had sufficient cash and/or securities to cover any
commitments under these contracts.
<TABLE>
<CAPTION>
Series Transaction Settlement Date
---------------------------------------------------------------
<S> <C> <C> <C>
Global Governments Series Sales 06/05/01 BRL
09/13/00 CAD
09/13/00 DKK
09/13/00 EUR
09/13/00 GRD
07/24/00 JPY
09/13/00 SEK
10/05/00 VEB
Purchases 09/13/00 AUD
06/05/01 BRL
09/13/00 EUR
09/13/00 JPY
09/13/00 NZD
10/05/00 VEB
<CAPTION>
Net Unrealized
Contracts to Contracts Appreciation
Series Deliver/Receive In Exchange For at Value (Depreciation)
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Governments Series 2,581,411 $ 1,308,535 $ 1,323,513 $(14,978)
1,934,984 1,309,190 1,310,141 (951)
12,622,319 1,618,869 1,619,955 (1,086)
114,055 107,311 109,340 (2,029)
423,775,395 1,204,729 1,198,762 5,967
102,066,149 982,161 965,845 16,316
833,878 96,486 95,097 1,389
1,416,264,465 1,947,201 2,020,474 (73,273)
----------- ----------- --------
$ 8,574,482 $ 8,643,127 $(68,645)
=========== =========== ========
1,338,648 $ 792,306 $ 801,146 $ 8,840
2,581,411 1,285,243 1,323,513 38,270
8,276,310 7,940,821 7,934,175 (6,646)
133,094,671 1,288,341 1,270,744 (17,597)
49,890 23,450 23,385 (65)
1,416,264,465 1,989,834 2,020,474 30,640
----------- ----------- --------
$13,319,995 $13,373,437 $ 53,442
=========== =========== ========
</TABLE>
At June 30, 2000, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net receivable of $1,921 with
Merrill Lynch and a net payable of $6,627 with Deutsche Bank.
At June 30, 2000, the series had sufficient cash and/or securities to cover any
commitments under these contracts.
54
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
<TABLE>
<CAPTION>
Series Transaction Settlement Date
----------------------------------------------------------------
<S> <C> <C> <C>
Global Total Return Series Sales 09/13/00 AUD
09/13/00 CAD
09/13/00 DKK
09/13/00 EUR
09/13/00 GRD
09/13/00 NZD
09/13/00 SEK
Purchases 09/13/00 EUR
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Deliver/Receive In Exchange For Value (Depreciation)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Global Total Return Series 346,685 $ 205,193 $ 208,064 $ (2,871)
1,229,388 831,791 832,842 (1,051)
12,898,187 1,654,250 1,651,691 2,559
2,255,759 2,161,942 2,157,219 4,723
375,306,757 1,066,940 1,059,694 7,246
303,317 142,570 141,653 917
5,561,252 643,477 635,670 7,807
---------- ---------- --------
$6,706,163 $6,686,833 $ 19,330
========== ========== ========
1,105,179 $1,066,939 $1,056,900 $(10,039)
========== ========== ========
</TABLE>
At June 30, 2000, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net receivable of $2,159 with
Deutsche Bank and a net payable of $8,161 with Merrill Lynch.
At June 30, 2000, the series had sufficient cash and/or securities to cover any
commitments under these contracts.
<TABLE>
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Transaction Settlement Date Deliver/Receive In Exchange For Value (Depreciation)
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
High Yield Series Sales 09/13/00 EUR 1,600,368 $1,533,808 $1,534,210 $(402)
========== ========== =====
</TABLE>
At June 30, 2000, the series had sufficient cash and/or securities to cover any
commitments under these contracts.
<TABLE>
<CAPTION>
Series Transaction Settlement Date
------------------------------------------------------------------
<S> <C> <C> <C>
Strategic Income Series Sales 09/13/00 AUD
06/05/01 BRL
09/13/00 GRD
07/24/00 - 09/13/00 JPY
07/31/00 MXN
10/05/00 VEB
Purchases 06/05/01 BRL
07/03/00 - 09/13/00 EUR
09/13/00 JPY
09/13/00 NZD
09/13/00 SEK
10/05/00 VEB
<CAPTION>
Net Unrealized
Contracts to Contracts at Appreciation
Series Deliver/Receive In Exchange For Value (Depreciation)
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Strategic Income Series 426,572 $ 252,475 $ 255,292 $ (2,817)
1,433,150 726,474 734,790 (8,316)
266,992,265 755,603 755,259 344
53,404,140 512,287 506,877 5,410
1,554,339 155,294 156,628 (1,334)
444,125,974 610,622 633,600 (22,978)
---------- ---------- --------
$3,012,755 $3,042,446 $(29,691)
========== ========== ========
1,433,150 $ 713,543 $ 734,790 $ 21,247
2,053,033 1,964,451 1,967,408 2,957
63,383,803 611,492 605,167 (6,325)
32,292 15,178 15,136 (42)
10,896 1,261 1,243 (18)
444,125,974 623,992 633,600 9,608
---------- ---------- --------
$3,929,917 $3,957,344 $ 27,427
========== ========== ========
</TABLE>
At June 30, 2000, forward foreign currency purchases and sales under master
netting agreements excluded above amounted to a net receivable of $4,086 with
Merrill Lynch and a net payable of $11,520 with Deutsche Bank and $7,931 with
First Boston.
At June 30, 2000, the series had sufficient cash and/or securities to cover any
commitments under these contracts.
Futures Contracts -- Global Asset Allocation Series
<TABLE>
<CAPTION>
Unrealized
Appreciation
Description Expiration Contracts Position (Depreciation)
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Nikkei 225 09/07/00 120 Long $ 190,563
DAX Index 09/15/00 5 Short 51,972
FTSE 100 09/15/00 90 Short 260,716
CAC 40 Index 09/15/00 13 Short 6,734
Japanese Government Bonds 09/20/00 5 Long 24,668
S & P 500 Barra Value Index Futures. 09/14/00 41 Long (364,186)
S & P 500 Barra Growth Index Futures 09/14/00 29 Short (267,745)
---------
$ (97,278)
=========
</TABLE>
At June 30, 2000, the series had sufficient cash and/or securities to cover any
margin requirements under these contracts.
55
<PAGE>
Notes to Financial Statements (Unaudited) -- continued
(8) Restricted Securities
Each series of the trust may invest not 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, 2000, the High Yield Series owned the following restricted
securities, excluding securities issued under Rule 144A, constituting 0.3% of
net assets which may not be publicly sold without registration under the
Securities Act of 1933. The series does not have the right to demand that such
securities be registered. The value of these securities is determined by
valuations furnished by dealers or by a pricing service, or if not available, in
good faith, at fair value, by the Trustees.
<TABLE>
<CAPTION>
Series Description
----------------------------------------------------------------------------
<S> <C>
High Yield Series Airplane Pass-Through Trust, 10.875s, 2019
Atlantic Gulf Communities Corp.
Merrill Lynch Mortgage Investors, Inc., 8.434s, 2022
<CAPTION>
Date of Principal/Share
Series Acquisition Amount Cost Value
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
High Yield Series 03/13/96 691,390 $ 691,390 $ 561,678
09/25/95 30 -- 2
06/22/97 500,000 346,563 477,656
---------- ----------
$1,037,953 $1,039,336
========== ==========
</TABLE>
(9) Significant Events
Zero Coupon Series, Portfolio 2000 will liquidate its assets on November 15,
2000.
----------------------------------------------
This MFS [RegTM]/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[RegTM]/Sun Life Series Trust
500 Boylston Street, Boston, MA 02116-3741
Trustees
Samuel Adams, Trustee
Counsel, Kirkpatrick & Lockhart LLP,
Boston, Massachusetts
David D. Horn, Trustee
Former Senior Vice President and General Manager,
Sun Life Assurance Company of Canada,
New Vineyard, Maine
Garth Marston, Trustee Emeritus
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
Private investor and real estate consultant;
Vice Chairman, Capitol Entertainment Management Company,
Dallas, Texas
J. Kermit Birchfield,+ Trustee
Consultant; Chairman, Display Technology, Inc.;
Managing Director, Century Partners, Inc.,
Gloucester, Massachusetts
Officers
C. James Prieur,# President
Stephen E. Cavan,* Secretary and Clerk
James R. Bordewick, Jr.,* Assistant Secretary
James O. Yost,* Treasurer
Mark E. Bradley,* Assistant Treasurer
Ellen Moynihan,* 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
Stephen C. Bryant
David M. Calabro
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
David Sette-Ducati
Maura A. Shaughnessy
Toni Y. Shimura
Frederick J. Simmons
Brian E. Stack
+Independent Trustee
#Sun Life Assurance Company of Canada
*MFS Investment Management[RegTM]
SUN-3A 8/00 280.6M
