<PAGE> 1
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DEAR ANCHOR SERIES TRUST INVESTOR:
We are pleased to present our annual report for the Anchor
Series Trust, the underlying trust for the ICAP II Variable
Annuity from Anchor National Life Insurance Company and First
SunAmerica Life Insurance Company. The following information
from Wellington Management Company, LLP, the Subadviser for the
Anchor Series Trust Portfolios, should give you some insight
into the markets over the past twelve months and how conditions
affected the performance of your underlying investments.
U.S. ECONOMY AND MARKETS IN REVIEW
1999 proved to be another extraordinary year for investors
with the S&P 500 Composite Index up 21.0%, the Russell 3000 (a
broad market cap index) up 20.9% and the Russell 2000 (a small
cap index) up 21.3%. This marks the fifth year in a row of 20%+
returns for the U.S. stock market. The U.S. consumer enjoyed the
benefits of full and steady employment, rising measures of
wealth and abundant supplies of material objects for purchase.
This translated into high levels of spending, especially on such
big-ticket items as homes, cars and luxury goods. Despite
widespread focus upon the turn of the century and the
possibility of computer-related Armageddon, there were few Y2K
problems of significance when the smoke settled. And in fact the
U.S. economy was expanding at its prolonged robust pace of 3.9%
and the prospects of additional Federal Reserve tightening were
nearing certainty.
EXTREME SECTOR FOCUS -- ACROSS U.S. EQUITY MARKET CAPS
Within the U.S. stock market, there was a distinct
bifurcation. Technology stocks were the clear leaders for the
year, driving markets and valuations to new highs. Indeed,
Internet related stocks offered eye popping triple digit returns
dwarfing even traditional technology leaders. The narrow
momentum character of the market is exemplified by the fact that
the S&P 500 ex-technology was only up mid-single digits for the
year with electric utilities, most transportation stocks and
many consumer brand companies actually down for the year. In
fact, more stocks provided negative returns in 1999 than
positive returns. Only eight stocks in the S&P 500 accounted for
50% of the index's return in 1999. Smaller cap stocks did better
in 1999 than in 1998. However, excluding the technology sector,
size did matter, with smaller stocks performing less well than
larger market cap companies.
BOND MARKET ANXIETY RELATED TO FED TIGHTENING
Bonds turned in disappointing returns in 1999 with the 30-year
Treasury returning -14.92% and even the 5-year Treasury
providing a negative return of -2.49%. This type of yield
increase and negative returns are reflective not only of actual
Fed tightening at the short end (a 75 basis point increase
during 1999) but expectations of more tightening to come. The
market was demanding more compensation for the risks associated
with owning corporate and mortgage securities in 1999 than has
historically been true. This tendency drove yield spreads to the
wide levels experienced a year ago during the Russia and
Long-Term Capital crises. However, yield spreads began to
compress even before year-end as investors realized that they
have been overly concerned with liquidity and Y2K fears, had
accumulated too much liquidity in their portfolios and should
own more of these higher yielding sectors. On a mechanical note,
the U.S. bond market ended the year with more mortgage
securities than Treasuries in
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circulation as measured by the Lehman Aggregate Bond index -- a
trend we expect will continue. The Lehman Aggregate returned
-0.8% in 1999 while High Yield bonds performed better with a
2.4% return given their lower sensitivity to rising interest
rates and more equity-like characteristics.
NON-U.S. MARKETS REBOUND STRONGLY
Non U.S. markets rebounded after lagging for several years.
The MSCI All Country Free (ex U.S.) index was up 30.9% in 1999.
As was true in the U.S., 1999 was a year to bet on risk and
momentum. Bets on the most risky countries and the momentum
sectors paid off handsomely. The biggest story of the year was
Japan, as the Japanese market and economy seemed to break out of
their decade long malaise. The Japanese banking crises was
finally seen as being resolved and the ensuing merger frenzy
among the largest city banks sent the sector upwards. A number
of Japanese companies also took concrete measures to restructure
and rationalize their operations. In addition, a new generation
of entrepreneurial Japanese companies has emerged -- boosting
stock market investments.
ANCHOR SERIES TRUST PORTFOLIOS REWARD INVESTORS
Within this context, the nine Anchor Series Trust Portfolios
rewarded investors in 1999. The four equity portfolios provided
investors with double-digit returns, ranging from Capital
Appreciation which turned in a remarkable 67.6% return, Natural
Resources up 41.5% for the year, Growth up 26.9% and Growth and
Income up 15.9%. The two balanced portfolios in the Trust also
rewarded investors, which was especially significant given the
weak year experienced by the bond market. Strategic Multi-Asset
was up 28.2% with the international equities and capital
appreciation equities more than compensating for the
approximately 25.6% in bonds held in the portfolio. Multi-Asset
was up 12.5% reflecting its more conservative U.S. focus and
lower allocation to stocks. The Government and Quality Bond
Portfolio was down -1.7% for the year, ahead of its peers in the
Lipper category but slightly behind the Lehman Brothers
Aggregate Index. Meanwhile the High Yield Portfolio had a
relatively good year with a 5.7% return -- a premium of 1.0%
ahead of the Lehman Brothers High Yield Index. The Money Market
Portfolio returned 4.69%, ahead of the IBC All-Taxable Average
of 4.64%.
OUTLOOK
The strong economic environment of 1999 should continue in
2000; another robust year for the U.S., acceleration across
Europe, a frail Japanese recovery and improving growth in most
developing economies. The global economy should grow 3.6%, up
from 2.7% in 1999 and the fastest pace since 1989. We expect
inflation to average 1.4% in the largest (G-5) economies in
2000, the same as 1999. Rising energy prices will cause a
temporary acceleration in European and U.S. inflation, but this
pressure should abate later in 2000. Inflation in developing
economies remains much higher, but should be little changed
overall in the next year. Stock market earnings in the G-5
countries rose an estimated 11% in 1999, and we expect double
digit earnings growth in every major stock market in 2000.
Although many of the major financial markets experienced
another positive year in 1999, we are cautiously optimistic
about the prospects for further positive returns in 2000. While
future results may be less robust, and uncertain, the
expectation is for many
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interesting investment opportunities to be uncovered in the
various markets represented within the Anchor Series Trust
Portfolios through fundamental, proprietary research. We remain
committed to helping you achieve your long-term goals by
striving to uncover promising investment opportunities as they
arise. As always we encourage investors to look closely at the
allocation of their assets to determine if they are meeting
their long-term investment plan and periodically meet with their
financial representative.
This concludes the overview from Wellington Management
Company, LLP. We look forward to reporting to you once again in
six month's time and appreciate the confidence you place in us
with your investment assets.
Sincerely,
/s/ ELI BROAD
Eli Broad
Chairman and Chief Executive Officer,
Anchor National Life Insurance Company
First SunAmerica Life Insurance Company
February 21, 2000
-------------------------------
Note: All performance figures quoted are for the Anchor Series
Trust. They do not reflect fees and charges associated with the
variable annuity. Past performance is no guarantee of future
results.
Investments in stocks and bonds are subject to risk, including
stock market and interest rate fluctuations. Investments in
non-U.S. stocks and bonds are subject to additional risks,
including fluctuations, political and social instability,
differing securities regulations and accounting standards and
limited public information. High-yield bonds tend to be subject
to greater price swings than higher-rated bonds and, of course,
payment of interest and principal is not assured.
Mortgage-backed securities are subject to prepayment, which can
result in reinvestment of principal at lower yields. Investments
in securities related to gold or other precious metals and
minerals are considered speculative and are impacted by a host
of worldwide economic, financial and political factors. Money
market instruments generally offer stability and income, but an
investment in these securities is not guaranteed by the U.S.
government or any other entity.
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ANCHOR SERIES TRUST
MONEY MARKET PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 100.4% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
ASSET-BACKED SECURITIES -- 2.4%
Strategic Money Market Trust 6.30% due 9/13/00 (1)
(cost $1,500,000)......................................... $1,500,000 $ 1,500,000
------------
BANK NOTES -- 15.8%
American Express Centurion Bank 6.09% due 2/15/00........... 2,000,000 2,000,000
Bank Scotland New York Institutional Certificate 5.73% due
7/03/00................................................... 1,000,000 999,831
Bayerische Hypotheken Union 6.38% due 5/15/00 (1)........... 1,500,000 1,499,726
Harris Trust & Savings Bank 5.00% due 2/04/00............... 2,000,000 2,000,000
National Bank Of Canada 5.17% due 4/10/00................... 1,500,000 1,499,842
Royal Bank Canada 5.70% due 7/03/00......................... 1,000,000 999,759
United States Bank National Association 5.92% due
10/02/00.................................................. 1,000,000 999,424
------------
TOTAL BANK NOTES (cost $9,998,582).......................... 9,998,582
------------
COMMERCIAL PAPER -- 37.9%
Aesop Funding Corp. 6.25% due 3/06/00....................... 1,868,000 1,847,493
American Home Products Corp. 5.99% due 2/23/00.............. 2,000,000 1,983,128
APRECO, Inc. 5.91% due 2/10/00.............................. 2,000,000 1,986,867
Archer Daniels Midland Co. 5.93% due 1/28/00................ 1,800,000 1,791,994
Associates Corp. of North America 6.04% due 1/27/00......... 1,800,000 1,792,330
Bear Stearns Cos., Inc. 6.45% due 2/09/00................... 1,800,000 1,788,358
Eureka Securitization, Inc. 6.00% due 1/25/00............... 1,500,000 1,494,000
Falcon Asset Securitization Corp. 6.29% due 1/21/00......... 1,800,000 1,793,850
FINA Oil & Chemical Co. 5.82% due 2/28/00................... 1,500,000 1,485,935
Merrill Lynch & Co., Inc. 5.60% due 1/20/00................. 2,000,000 1,994,089
Metropolitan Life Funding, Inc. 6.02% due 1/26/00........... 1,800,000 1,792,650
Morgan Stanley Dean Witter 6.14% due 1/28/00................ 1,800,000 1,791,900
National Fuel Gas Co. 6.22% due 2/01/00..................... 2,000,000 1,989,581
Preferred Receivables Funding 6.06% due 2/22/00............. 1,800,000 1,784,660
Riverwoods Funding Corp. 6.24% due 2/10/00.................. 2,000,000 1,986,556
Sears Roebuck Acceptance Corp. 6.36% due 3/01/00............ 2,000,000 1,979,500
------------
TOTAL COMMERCIAL PAPER (cost $23,962,596)................... 23,962,596
------------
CORPORATE SHORT-TERM NOTES -- 31.3%
Corporate Asset Fund 6.17% due 4/07/00 (1).................. 1,000,000 1,000,000
Fleet Financial Group, Inc. 6.27% due 7/28/00(1)............ 2,000,000 2,005,026
General Electric Capital Corp. 6.11% due 5/03/00 (1)........ 2,000,000 2,000,000
International Business Machines Corp. 5.95% due 8/17/00..... 1,500,000 1,499,338
KeyBank NA 6.22% due 8/31/00 (1)............................ 2,000,000 2,000,000
Monumental Life Insurance Co. 6.31% due 3/30/00 (1)......... 2,000,000 2,000,000
National Rural Utilities Cooperative Finance Corp. 6.14% due
6/26/00 (1)............................................... 1,000,000 1,000,030
Unum Corp. 6.12% due 6/19/00 (1)............................ 1,000,000 999,741
Xerox Credit Corp. 6.04% due 12/08/00 (1)................... 2,000,000 1,999,312
------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $19,823,742)......... 19,823,742
------------
U.S. GOVERNMENT & AGENCIES -- 6.3%
Federal Home Loan Bank 4.83% due 1/14/00.................... 4,000,000 3,993,139
------------
TOTAL SHORT-TERM SECURITIES (cost $59,278,059).............. 59,278,059
------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 6.7% AMOUNT VALUE
---------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3) (cost
$4,215,000)............................................... $4,215,000 $ 4,215,000
------------
63,493,059
------------
TOTAL INVESTMENTS --
(cost $63,493,059) 100.4% 63,493,059
Liabilities in excess of other
assets -- (0.4) (270,745)
------ ------------
NET ASSETS -- 100.0% $63,222,314
====== ============
</TABLE>
-----------------------------
(1) Variable rate security -- the rate reflected is as of December
31, 1999; maturity date reflects next reset date.
See Notes to Financial Statements
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ANCHOR SERIES TRUST
GOVERNMENT & QUALITY BOND
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 92.3% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS & MEDIA -- 0.0%
Tele-Communications, Inc. 9.25% 2002........................ $ 150,000 $ 157,445
-------------
CONSUMER DISCRETIONARY -- 1.9%
J.C. Penney Co., Inc. 7.40% 2037............................ 5,000,000 4,772,150
Wal-Mart Stores, Inc. 6.75% 2023............................ 5,000,000 4,572,600
-------------
9,344,750
-------------
FINANCE -- 9.4%
Abbey National First Capital 8.20% 2004..................... 250,000 257,830
Ace Ina Holding, Inc. 8.30% 2006............................ 5,000,000 5,052,800
Associates Corp. North America 6.00% 2005................... 5,000,000 4,712,200
Citicorp. 6.75% 2007........................................ 5,000,000 4,812,550
CS First Boston Mortgage Securities Corp. 7.24% 2029........ 5,000,000 4,844,751
Equitable Cos., Inc. 7.00% 2028............................. 180,000 161,503
Ford Motor Credit Co. 7.20% 2007............................ 5,000,000 4,907,050
General Electric Capital Corp. 7.50% 2035................... 5,000,000 4,765,550
General Reinsurance Corp. 9.00% 2009........................ 5,000,000 5,458,900
KFW International Finance, Inc. 9.13% 2001.................. 400,000 411,844
Morgan (J.P.) & Co., Inc. 6.25% 2005........................ 5,000,000 4,721,000
Ohio National Life Insurance Co. 8.50% 2026*................ 200,000 200,388
Toyota Motor Credit Corp. 5.50% 2008........................ 5,000,000 4,404,400
United States Bancorp 7.50% 2026............................ 400,000 400,232
-------------
45,110,998
-------------
INDUSTRIAL & COMMERCIAL -- 7.1%
Diageo Capital PLC 6.13% 2005............................... 5,000,000 4,719,600
Ford Motor Co. 9.00% 2001................................... 250,000 258,440
Lucent Technologies, Inc. 5.50% 2008........................ 5,950,000 5,267,713
Motorola, Inc. 5.80% 2008................................... 5,000,000 4,497,987
Postal Square L.P. 8.95% 2022............................... 4,638,200 5,245,294
SCL Terminal Aereo Santiago SA 6.95% 2012*.................. 5,000,000 4,373,672
Stanford University 6.88% 2024.............................. 5,000,000 4,667,545
United Technologies Corp. 6.63% 2004........................ 5,000,000 4,892,711
-------------
33,922,962
-------------
INFORMATION & ENTERTAINMENT -- 1.1%
Disney (Walt) Co. 5.80% 2008................................ 6,000,000 5,400,780
-------------
INFORMATION TECHNOLOGY -- 1.0%
Pitney Bowes, Inc. 5.50% 2004............................... 5,000,000 4,692,400
-------------
TRANSPORTATION -- 3.7%
American Airlines 7.02% 2009................................ 3,225,000 3,123,638
Continental Airlines 6.32% 2008............................. 5,000,000 4,631,700
Federal Express Corp. 6.72% 2022............................ 4,987,556 4,507,154
United Parcel Service of America, Inc. 8.38% 2020........... 5,000,000 5,345,550
-------------
17,608,042
-------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 65.1%
Federal Home Loan Banks 5.13% 2003.......................... $34,785,000 $ 32,926,090
Federal Home Loan Mortgage Corp. 5.75% 2003................. 20,000,000 19,365,600
Federal Home Loan Mortgage Corp. 6.00% 2008 - 2013.......... 14,935,469 14,226,422
Federal Home Loan Mortgage Corp. 6.50% 2029................. 23,719,375 22,362,864
Federal Home Loan Mortgage Corp. 7.00% 2010 - 2011.......... 9,002,850 8,922,878
Federal Home Loan Mortgage Corp. 7.50% 2027................. 254,584 252,199
Federal Home Loan Mortgage Corp. 14.75% 2010................ 70,793 80,195
Federal National Mortgage Association 6.00% 2009 - 2028..... 29,800,818 28,836,439
Federal National Mortgage Association 6.50% 2012 - 2029..... 10,096,125 9,743,962
Federal National Mortgage Association 7.00% 2010 - 2011..... 3,611,056 3,570,837
Government National Mortgage Association 6.50%
2023 - 2029............................................... 82,467,804 77,402,498
Government National Mortgage Association 7.00%
2009 - 2023............................................... 7,322,508 7,240,550
Government National Mortgage Association 7.50%
2022 - 2023............................................... 8,126,536 8,075,746
Government National Mortgage Association 10.00%
2013 - 2017............................................... 942,711 1,009,208
Government National Mortgage Association 11.50% 2014........ 7,858 8,640
Government National Mortgage Association 12.00% 2016........ 5,298 5,920
Government National Mortgage Association 12.75% 2014........ 44,268 50,438
Government National Mortgage Association 13.50% 2014........ 4,723 5,420
United States Treasury Bonds 5.25% 2029..................... 10,000,000 8,268,700
United States Treasury Bonds 8.88% 2019..................... 15,250,000 18,562,147
United States Treasury Bonds 12.00% 2013.................... 4,310,000 5,755,186
United States Treasury Notes 5.50% 2001..................... 20,000,000 19,784,400
United States Treasury Notes 5.63% 2002..................... 27,000,000 26,502,120
-------------
312,958,459
-------------
UTILITIES -- 3.0%
AT&T Corp. 6.00% 2009....................................... 5,000,000 4,535,600
Hydro Quebec Electric 8.40% 2022............................ 5,000,000 5,304,450
United States West Capital Funding, Inc. 6.38% 2008......... 5,000,000 4,569,911
-------------
14,409,961
-------------
TOTAL INVESTMENT SECURITIES (cost $465,213,914)............. 443,605,797
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 4.2%
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.1%
Falcon Asset Securitization Corp. 7.05% due 1/06/00......... 5,000,000 4,995,104
Japan Finance Corp. 9.13% due 10/11/00...................... 400,000 406,928
-------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $5,450,252).......... 5,402,032
-------------
U.S. GOVERNMENT & AGENCIES -- 3.1%
Federal Home Loan Participation 11.00% due 9/01/00.......... 837 841
Government National Mortgage Association 10.00% due
11/15/00.................................................. 2,964 2,980
Government National Mortgage Association 12.00% due
4/20/00................................................... 4,646 4,661
United States Treasury Notes 4.63% due 12/31/00............. 15,000,000 14,782,050
-------------
TOTAL U.S. GOVERNMENT & AGENCIES (cost $14,848,257)......... 14,790,532
-------------
TOTAL SHORT-TERM SECURITIES (cost $20,298,509).............. 20,192,564
-------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 2.3% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $10,770,000)........................................ $10,770,000 $ 10,770,000
-------------
TOTAL INVESTMENTS --
(cost $496,282,423) 98.8% 474,568,361
Other assets less liabilities -- 1.2 6,003,729
------ --------------
NET ASSETS -- 100.0% $480,572,090
====== ==============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
See Notes to Financial Statements
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ANCHOR SERIES TRUST
HIGH YIELD PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 93.5% AMOUNT VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------
AEROSPACE & MILITARY TECHNOLOGY -- 1.9%
L-3 Communications Corp. 8.50% 2008......................... $100,000 $ 94,125
Loral Space & Communications Ltd. 9.50% 2006................ 150,000 135,000
Moog, Inc., Series B 10.00% 2006............................ 150,000 152,250
-----------
381,375
-----------
AUTOMOTIVE -- 4.2%
Accuride Corp., Series B 9.25% 2008......................... 220,000 200,200
Exide Corp. 10.00% 2005..................................... 100,000 96,000
Federal Mogul Corp. 8.80% 2007.............................. 220,000 216,970
Hayes Wheels International, Inc., Series B 9.13% 2007....... 100,000 96,250
LDM Technologies, Inc., Series B 10.75% 2007................ 115,000 104,650
Key Plastics, Inc., Series B 10.25% 2007.................... 100,000 38,000
Prestolite Electric, Inc. 9.63% 2008........................ 125,000 97,812
-----------
849,882
-----------
CABLE -- 5.8%
Adelphia Communications Corp. 9.38% 2009.................... 100,000 98,500
Adelphia Communications Corp., Series B 9.88% 2007.......... 250,000 253,750
Cablevision SA 13.75% 2009.................................. 75,000 74,062
Charter Communication Hldgsllc 8.25% 2007*.................. 250,000 232,500
Insight Midwest Lp 9.75% 2009............................... 100,000 103,750
Multicanal SA 13.13% 2009................................... 60,000 59,250
Multicanal SA 10.50% 2007*.................................. 100,000 86,000
NTL, Inc., Series B 10.00% 2007............................. 100,000 102,500
Rogers Communications, Inc. 8.88% 2007...................... 150,000 151,125
-----------
1,161,437
-----------
CHEMICALS -- 3.8%
Acetex Corp. 9.75% 2003..................................... 150,000 136,125
ARCO Chemical Co. 9.80% 2020................................ 250,000 255,000
Borden Chemicals & Plastics Operating 9.50% 2005............ 100,000 92,000
Georgia Gulf Corp. 10.38% 2007*............................. 20,000 20,900
Lyondell Chemical Co. 10.88% 2009*.......................... 80,000 83,000
Philipp Brothers Chemicals, Inc. 9.88% 2008................. 150,000 131,812
Sterling Chemicals, Inc. 11.75% 2006........................ 50,000 37,500
-----------
756,337
-----------
COMMUNICATIONS & MEDIA -- 6.5%
Carmike Cinemas, Inc. 9.38% 2009*........................... 150,000 129,375
Fox Liberty Networks LLC 8.88% 2007......................... 150,000 152,625
Globo Comunicacoes E Participating 10.50% 2006*............. 250,000 212,500
Gray Communications Systems, Inc. 10.63% 2006............... 100,000 103,250
Innova S. de R.L. 12.88% 2007............................... 100,000 89,000
Lin Holdings Corp. zero coupon 2008(1)...................... 100,000 67,000
Loews Ciniplex Entertainment Corp. 8.88% 2008............... 100,000 88,500
Sullivan Graphics, Inc. 12.75% 2005......................... 150,000 155,250
TV Azteca SA de CV, Series B 10.50% 2007.................... 200,000 172,000
World Color Press, Inc. 8.38% 2008*......................... 150,000 147,187
-----------
1,316,687
-----------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 6.1%
Consumers Packaging, Inc. 9.75% 2007........................ $150,000 $ 108,000
Corning Consumer Products Co. 9.63% 2008.................... 100,000 80,000
Doman Industries Ltd. 12.00% 2004........................... 100,000 104,000
Evenflo, Inc. 11.75% 2006................................... 150,000 147,375
Packaging Corp. America 9.63% 2009.......................... 100,000 102,875
Polaroid Corp. 11.50% 2006.................................. 100,000 97,250
Rayovac Corp. 10.25% 2006................................... 150,000 156,750
Simmons Co. 10.25% 2009*.................................... 65,000 61,425
True Temper Sports, Inc. 10.88% 2008........................ 150,000 142,313
Westpoint Stevens, Inc. 7.88% 2008.......................... 245,000 219,887
-----------
1,219,875
-----------
ENERGY -- 2.5%
Clark Refining & Marketing, Inc. 8.63% 2008................. 100,000 65,750
P&L Coal Holdings Corp. 8.88% 2008.......................... 160,000 156,400
Pen Holdings, Inc. 9.88% 2008............................... 150,000 141,375
Ram Energy, Inc. 11.50% 2008................................ 175,000 78,313
RBF Finance Co. 11.00% 2006................................. 60,000 64,200
-----------
506,038
-----------
FINANCE -- 1.3%
Thai Farmers Bank Ltd. 8.25% 2016*.......................... 150,000 115,125
Western Financial Savings Bank 8.88% 2007................... 150,000 138,750
-----------
253,875
-----------
FOOD & LODGING -- 2.5%
Delaware Monte Foods Co., Series B zero coupon 2007(1)...... 325,000 248,219
Hammons (John Q.) Hotels L.P. 8.88% 2004.................... 150,000 136,500
Purina Mills, Inc. 9.00% 2010(2)............................ 100,000 22,750
Vlasic Foods International, Inc. 10.25% 2009................ 100,000 95,375
-----------
502,844
-----------
GAMING -- 1.2%
Hollywood Casino Corp. 11.25% 2007.......................... 50,000 52,125
Lady Luck Gaming Finance Corp. 11.88% 2001.................. 100,000 99,000
Venetian Casino Resort LLC 12.25% 2004...................... 100,000 87,250
-----------
238,375
-----------
GROCERY -- 1.0%
Homeland Stores, Inc. 10.00% 2003........................... 150,000 120,375
Pathmark Stores, Inc. 9.63% 2003............................ 100,000 74,000
Pathmark Stores, Inc. 11.63% 2002........................... 40,000 13,200
-----------
207,575
-----------
HEALTHCARE -- 5.2%
Alaris Medical Systems, Inc. 9.75% 2006..................... 150,000 129,750
Alaris Medical, Inc. zero coupon 2008(1).................... 100,000 42,875
Beverly Enterprises, Inc. 9.00% 2006........................ 150,000 138,000
DJ Orthopedics LLC 12.63% 2009*............................. 100,000 98,000
Kinetic Concepts , Inc. 9.63% 2007.......................... 75,000 56,438
Mediq/Life Support Services, Inc. 11.00% 2008............... 150,000 58,125
Tenet Healthcare Corp. 8.13% 2008*.......................... 250,000 232,500
Triad Hospitals Holdings, Inc. 11.00% 2009*................. 105,000 109,200
Universal Hospital Services, Inc. 10.25% 2008............... 250,000 179,687
-----------
1,044,575
-----------
INDUSTRIAL & COMMERCIAL -- 9.0%
Allied Waste North America, Inc. 7.88% 2009................. 150,000 132,000
Allied Waste North America, Inc. 10.00% 2009................ 50,000 44,625
Anthony Crane Rental LP 10.38% 2008......................... 150,000 127,875
</TABLE>
- ---------------------
10
<PAGE> 11
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Bell Sports, Inc. 11.00% 2008............................... $100,000 $ 99,000
Bepen 9.75% 2004............................................ 100,000 83,750
Clark Material Handling Co. 10.75% 2006..................... 150,000 47,625
Grove Worldwide LLC, Inc. 9.25% 2008........................ 180,000 52,200
Henry Co., Series B 10.00% 2008............................. 150,000 124,125
International Wire Group, Inc. 11.75% 2005.................. 250,000 258,125
It Group, Inc. 11.25% 2009.................................. 150,000 144,562
Neenah Corp., Series B 11.13% 2007.......................... 150,000 139,125
Numatics, Inc., Series B 9.63% 2008......................... 75,000 56,063
Roller Bearing Co. America, Inc. 9.63% 2007................. 20,000 18,350
Royster Clark, Inc. 10.25% 2009............................. 60,000 55,200
South Carolina G Holding Corp. 12.00% 2009.................. 100,000 106,750
Unitied Rentals, Inc. 9.00% 2009............................ 100,000 94,250
Waste Management, Inc. 7.65% 2011........................... 100,000 86,537
WESCO Distribution, Inc., Series B 9.13% 2008............... 150,000 140,625
-----------
1,810,787
-----------
INFORMATION TECHNOLOGY -- 7.7%
Advanced Micro Devices, Inc. 11.00% 2003.................... 135,000 132,975
Amkor Technology, Inc. 9.25% 2006*.......................... 250,000 245,000
DecisionOne Corp. zero coupon 2008(1)....................... 500,000 3,750
Exodus Communications, Inc. 10.75% 2009..................... 100,000 101,500
Exodus Communications, Inc. 11.25% 2008..................... 100,000 103,750
Fairchild Semiconductor Corp. 10.38% 2007*.................. 100,000 102,250
Fisher Scientific International, Inc. 9.00% 2008............ 75,000 72,000
Intergrated Circiut Systems, Inc. 11.50% 2009............... 95,000 93,100
Mcms, Inc. 9.75% 2008....................................... 70,000 35,525
Samsung Electronics America, Inc. 9.75% 2003................ 150,000 156,170
Verio, Inc. 10.38% 2005..................................... 100,000 101,000
Verio, Inc. 11.25% 2008*.................................... 250,000 262,500
Zilog, Inc., Series B 9.50% 2005............................ 150,000 138,750
-----------
1,548,270
-----------
METALS & MINERALS -- 5.6%
A.K. Steel Holding Corp. 9.13% 2006......................... 100,000 101,500
Bayou Steel Corp. 9.50% 2008................................ 250,000 233,125
Bucyrus International, Inc. 9.75% 2007...................... 150,000 112,500
Bulong Operation Pty Ltd. 12.50% 2008....................... 65,000 53,138
CSN Iron SA 9.13% 2007*..................................... 100,000 83,250
Freeport-McMoRan Copper & Gold 7.50% 2006................... 100,000 71,910
LTV Corp. 8.20% 2007........................................ 75,000 69,562
LTV Corp. 11.75% 2009....................................... 90,000 93,825
Pillowtex Corp. 9.00% 2007.................................. 175,000 73,500
Weirton Steel Corp. 11.38% 2004............................. 150,000 144,750
Wells Aluminum Corp. 10.13% 2005............................ 94,000 90,005
-----------
1,127,065
-----------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.5%
Federal Republic of Brazil 11.63% 2004...................... 100,000 99,250
-----------
PAPER PRODUCTS -- 7.4%
APP Finance (VII) Mauritius Ltd. 3.50% 2003*................ 100,000 73,625
APP International Finance Co. 11.75% 2005................... 100,000 84,000
Bahia Sul Celulose SA 10.63% 2004........................... 100,000 98,000
Container Corp. of America 9.75% 2003....................... 150,000 153,000
Gaylord Container Corp. 9.88% 2008.......................... 200,000 172,000
Millar Western Forest Products Ltd. 9.88% 2008.............. 150,000 149,625
Pindo Deli Finance Mauritius Ltd. 10.75% 2007............... 355,000 258,263
Repap New Brunswick, Inc. 10.63% 2005....................... 75,000 69,750
</TABLE>
---------------------
11
<PAGE> 12
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
PAPER PRODUCTS (continued)
Silgan Holdings Corp. 9.00% 2009............................ $250,000 $ 240,000
Silgan Holdings Corp. 13.25% 2006(3)........................ 80,000 86,300
Tembec Industries, Inc. 8.63% 2009.......................... 100,000 100,000
-----------
1,484,563
-----------
REAL ESTATE -- 3.5%
Beazer Homes USA, Inc. 8.88% 2008........................... 250,000 230,625
Dr. Horton, Inc. 8.00% 2009................................. 100,000 91,500
Ryland Group, Inc. 8.25% 2008............................... 100,000 89,000
Standard Pacific Corp. 8.50% 2009........................... 75,000 69,375
US Home Corp. 8.88% 2007.................................... 150,000 138,000
Webb Delaware Corp. 10.25% 2010............................. 100,000 95,750
-----------
714,250
-----------
TELECOMMUNICATIONS -- 15.2%
AMSC Acquisition, Inc. 12.25% 2008.......................... 75,000 59,438
Concentric Network Corp. 12.75% 2007........................ 170,000 179,775
Covad Communications Group, Inc. 13.50% 2008................ 150,000 93,750
E.Spire Communications, Inc. zero coupon 2006(1)............ 150,000 70,500
Echostar DBS Corp. 9.25% 2006............................... 150,000 150,750
Flag Ltd. 8.25% 2008........................................ 100,000 93,000
Global Crossing Holdings Ltd. 9.13% 2006.................... 150,000 148,125
GST Network Funding, Inc. zero coupon 2008(1)............... 285,000 136,444
GST Telecommunications, Inc. 12.75% 2007.................... 100,000 93,750
Hyperion Telecommunications, Inc. 12.25% 2004............... 240,000 256,800
ICO Global Commerce 15.00% 2005(2).......................... 50,000 24,000
Intermedia Communications, Inc. 8.60% 2008.................. 100,000 92,250
Intermedia Communications, Inc. 9.50% 2009.................. 50,000 48,000
Iridium LLC 10.88% 2005(2).................................. 150,000 7,500
Iridium Capital Corp. 14.00% 2005(2)........................ 100,000 5,000
McLeodUSA, Inc. 9.25% 2007.................................. 200,000 200,500
Metromedia Fiber Network, Inc. 10.00% 2009.................. 95,000 97,612
PSINet, Inc. 11.00% 2009.................................... 100,000 103,250
PSINet, Inc. 10.00% 2005.................................... 100,000 99,250
PSINet, Inc. 11.50% 2008.................................... 150,000 157,125
RCN Corp. 10.00% 2007....................................... 150,000 149,250
RSL Communications PLC 9.88% 2009*.......................... 100,000 90,250
Time Warner Telecom, Inc. 9.75% 2008........................ 100,000 102,500
Viatel, Inc. 11.50% 2009*................................... 100,000 100,000
Winstar Communications, Inc. zero coupon 2005(1)............ 500,000 485,000
-----------
3,043,819
-----------
TRANSPORTATION -- 2.6%
Atlas Air, Inc. 10.75% 2005................................. 150,000 153,000
Hermes Europe Railtel BV 11.50% 2007........................ 145,000 148,263
Valujet, Inc. 10.25% 2001................................... 250,000 211,875
-----------
513,138
-----------
TOTAL BONDS & NOTES (cost $20,701,020)...................... 18,780,017
-----------
<CAPTION>
COMMON STOCK -- 0.0% SHARES
-------------------------------------------------------------------------------------
<S> <C> <C>
GAMING -- 0.0%
Fitzgeralds Gaming Corp.(4)(5).............................. 3,762 38
-----------
MULTI-INDUSTRY -- 0.0%
Sinking Fund Holdings Group, Inc., Class C *+(4)............ 62 6
-----------
TOTAL COMMON STOCK (cost $279).............................. 44
-----------
</TABLE>
- ---------------------
12
<PAGE> 13
<TABLE>
<CAPTION>
PREFERRED STOCK -- 3.1% SHARES VALUE
-------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS & MEDIA -- 0.6%
Granite Broadcasting Corp. 12.75%(2)........................ 119 $ 121,677
-----------
ENERGY -- 0.6%
R & B Falcon Corp. 13.88%................................... 106 111,300
-----------
INDUSTRIAL & COMMERCIAL -- 0.5%
Fairfield Manufacturing, Inc. 11.25%(2)..................... 100 98,250
-----------
INFORMATION TECHNOLOGY -- 1.0%
Concentric Network Corp. 13.50%(2).......................... 204 199,920
-----------
MULTI-INDUSTRY -- 0.4%
Sinking Fund Holdings Group, Inc., Series B 13.75%(2)(4).... 18 87,925
-----------
TOTAL PREFERRED STOCK (cost $597,868)....................... 619,072
-----------
<CAPTION>
WARRANTS -- 0.4%+
-------------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS & MEDIA -- 0.0%
Benedek Communications Corp. 07/01/07*(4)................... 2,000 4,000
-----------
ENERGY -- 0.1%
R & B Falcon Corp. 05/01/09*................................ 100 22,000
-----------
TELECOMMUNICATIONS -- 0.3%
Concentric Network Corp. 12/15/07*(4)....................... 130 34,450
MGC Communications, Inc. 10/01/04*.......................... 250 25,500
-----------
59,950
-----------
TOTAL WARRANTS (cost $38,540)............................... 85,950
-----------
TOTAL INVESTMENT SECURITIES (cost $21,337,707).............. 19,485,083
-----------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 0.7% AMOUNT
-------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3) (cost
$140,000)................................................. $140,000 140,000
-----------
TOTAL INVESTMENTS --
(cost $21,477,707) 97.7% 19,625,083
Other assets less liabilities -- 2.3 451,857
------ -----------
NET ASSETS -- 100.0% $20,076,940
====== ===========
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Represents a zero-coupon bond which will convert to an
interest-bearing security at a later date
(2) Bond in default
(3) PIK ("Payment-in-Kind") payment made with additional security
in lieu of cash
(4) Fair valued security; See Note 2
(5) Restricted security -- Security is not registered under the
Securities Act of 1933
See Notes to Financial Statements.
---------------------
13
<PAGE> 14
- ---------------------
ANCHOR SERIES TRUST
GROWTH AND INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 99.6% SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 5.3%
Automotive -- 0.5%
Ford Motor Co. ............................................. 4,800 $ 256,500
Retail -- 4.8%
Dayton Hudson Corp. ........................................ 5,000 367,188
May Department Stores Co. .................................. 12,900 416,025
Wal-Mart Stores, Inc. ...................................... 23,400 1,617,525
------------
2,657,238
------------
CONSUMER STAPLES -- 6.3%
Food, Beverage & Tobacco -- 2.4%
Anheuser-Busch Cos., Inc. .................................. 6,600 467,775
PepsiCo, Inc. .............................................. 11,800 415,950
Philip Morris Cos., Inc. ................................... 14,000 324,625
Household Products -- 3.9%
Colgate-Palmolive Co. ...................................... 3,400 221,000
Gillette Co. ............................................... 6,700 275,956
Kimberly-Clark Corp. ....................................... 8,300 541,575
Procter & Gamble Co. ....................................... 8,000 876,500
------------
3,123,381
------------
ENERGY -- 7.2%
Energy Services -- 1.2%
Schlumberger Ltd. .......................................... 10,000 562,500
Energy Sources -- 6.0%
Chevron Corp. .............................................. 7,300 632,362
Exxon Mobil Corp. .......................................... 15,900 1,280,944
Royal Dutch Petroleum Co. .................................. 13,300 803,819
Transocean Sedco Forex Inc. ................................ 1,936 65,219
Unocal Corp. ............................................... 6,400 214,800
------------
3,559,644
------------
FINANCE -- 13.9%
Banks -- 6.1%
Chase Manhattan Corp. ...................................... 3,900 302,981
Citigroup, Inc. ............................................ 23,425 1,301,552
First Union Corp. .......................................... 12,900 423,281
U.S. Bancorp................................................ 16,500 392,906
Wachovia Corp. ............................................. 9,300 632,400
Financial Services -- 3.2%
Associates First Capital Corp., Class A..................... 21,500 589,906
Federal National Mortgage Association....................... 8,100 505,744
Merrill Lynch & Co., Inc. .................................. 5,900 492,650
Insurance -- 4.6%
Ace Ltd. ................................................... 16,400 273,675
American International Group, Inc.*......................... 9,150 989,344
Marsh & McLennan Cos., Inc. ................................ 10,400 995,150
------------
6,899,589
------------
</TABLE>
- ---------------------
14
<PAGE> 15
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 11.6%
Drugs -- 7.8%
American Home Products Corp. ............................... 17,300 $ 682,269
Bristol-Myers Squibb Co. ................................... 8,800 564,850
Johnson & Johnson........................................... 6,300 586,688
Merck & Co., Inc. .......................................... 9,000 603,562
Monsanto Co. (ACES)......................................... 5,600 185,500
Monsanto Co. ............................................... 3,500 124,688
Pharmacia & Upjohn, Inc. ................................... 12,000 540,000
Warner-Lambert Co. ......................................... 7,400 606,337
Health Services -- 1.5%
Cardinal Health, Inc., Class A.............................. 5,900 282,463
Columbia/HCA Healthcare Corp. .............................. 16,100 471,931
Medical Products -- 2.3%
Abbott Laboratories, Inc. .................................. 16,000 581,000
Baxter International, Inc. ................................. 8,800 552,750
------------
5,782,038
------------
INDUSTRIAL & COMMERCIAL -- 8.5%
Aerospace & Military Technology -- 1.5%
General Motors Corp., Class H+.............................. 3,500 336,000
Honeywell International, Inc. .............................. 5,200 299,975
United Technologies Corp. .................................. 2,000 130,000
Electrical Equipment -- 4.1%
General Electric Co. ....................................... 13,200 2,042,700
Machinery -- 2.6%
Caterpillar, Inc. .......................................... 4,900 230,607
Corning, Inc. .............................................. 1,500 193,406
Illinois Tool Works, Inc. .................................. 3,300 222,956
Minnesota Mining & Manufacturing Co. ....................... 1,400 137,025
Tyco International Ltd. .................................... 12,500 485,937
Transportation -- 0.3%
CSX Corp. .................................................. 5,000 156,875
------------
4,235,481
------------
INFORMATION & ENTERTAINMENT -- 7.0%
Broadcasting & Media -- 4.6%
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 8,000 454,000
Disney (Walt) Co. .......................................... 17,000 497,250
Gannett, Inc. .............................................. 10,500 856,406
Sprint Corp. (PCS Group).................................... 2,900 297,250
Time Warner, Inc. .......................................... 2,700 195,581
Leisure & Tourism -- 2.4%
AMR Corp. .................................................. 8,200 549,400
McDonald's Corp. ........................................... 16,300 657,094
------------
3,506,981
------------
</TABLE>
---------------------
15
<PAGE> 16
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 26.9%
Communication Equipment -- 7.3%
Cisco Systems, Inc.+........................................ 15,700 $ 1,681,863
Lucent Technologies, Inc. .................................. 12,800 957,600
Motorola, Inc. ............................................. 6,600 971,850
Computers & Business Equipment -- 4.6%
EMC Corp.+.................................................. 4,400 480,700
Hewlett-Packard Co. ........................................ 3,900 444,356
International Business Machines Corp. ...................... 9,700 1,047,600
Xerox Corp. ................................................ 14,000 317,625
Electronics -- 5.1%
Analog Devices, Inc.+....................................... 6,800 632,400
Intel Corp. ................................................ 12,900 1,061,831
Micron Technology, Inc. .................................... 4,800 373,200
Texas Instruments, Inc. .................................... 5,100 494,063
Software -- 9.9%
America Online, Inc.+....................................... 4,900 369,644
Automatic Data Processing, Inc. ............................ 11,900 641,112
Computer Sciences Corp.+.................................... 8,100 766,462
First Data Corp. ........................................... 10,700 527,644
Microsoft Corp.+............................................ 20,000 2,335,000
Oracle Corp. ............................................... 2,400 268,950
------------
13,371,900
------------
MATERIALS -- 3.9%
Chemicals -- 1.8%
Dow Chemical Co. ........................................... 1,700 227,163
du Pont (E. I.) de Nemours & Co. ........................... 10,300 678,512
Forest Products -- 1.0%
International Paper Co. .................................... 8,400 474,075
Metals & Minerals -- 1.1%
Alcoa, Inc. ................................................ 6,800 564,400
------------
1,944,150
------------
UTILITIES -- 9.0%
Electric Utilities -- 1.8%
Duke Energy Co. ............................................ 9,700 486,213
Pinnacle West Capital Corp. ................................ 6,000 183,375
Unicom Corp. ............................................... 6,400 214,400
Telephone -- 7.2%
AT&T Corp. ................................................. 13,800 700,350
Bell Atlantic Corp. ........................................ 15,800 972,687
MCI WorldCom, Inc. ......................................... 17,550 931,247
SBC Communications, Inc. ................................... 20,000 975,000
------------
4,463,272
------------
TOTAL INVESTMENT SECURITIES (cost $31,930,129).............. 49,543,674
------------
</TABLE>
- ---------------------
16
<PAGE> 17
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 0.6% AMOUNT VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $290,000)........................................... $290,000 $ 290,000
------------
TOTAL INVESTMENTS --
(cost $32,220,129) 100.2% 49,833,674
Liabilities in excess of other
assets -- (0.2) (123,861)
------ ------------
NET ASSETS -- 100.0% $49,709,813
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
* Security represents an investment in an affiliated company
See Notes to Financial Statements
---------------------
17
<PAGE> 18
- ---------------------
ANCHOR SERIES TRUST
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 97.1% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 7.9%
Retail -- 7.9%
Bed Bath & Beyond, Inc.+.................................... 38,500 $ 1,337,875
CVS Corp.................................................... 145,102 5,795,011
Dayton Hudson Corp.......................................... 160,000 11,750,000
Dollar General Corp......................................... 486,875 11,076,406
Ethan Allen Interiors, Inc. ................................ 46,800 1,500,525
Home Depot, Inc............................................. 202,500 13,883,906
Intimate Brands, Inc. ...................................... 86,900 3,747,563
Wal-Mart Stores, Inc........................................ 254,000 17,557,750
Whole Foods Market, Inc.+................................... 41,000 1,901,375
-------------
68,550,411
-------------
CONSUMER STAPLES -- 2.5%
Food, Beverage & Tobacco -- 0.9%
Beringer Wine Estates Holdings, Inc., Class B+.............. 61,800 2,464,275
PepsiCo, Inc................................................ 149,600 5,273,400
Household Products -- 1.6%
Bush Boake Allen, Inc.+..................................... 32,400 795,825
Gillette Co. ............................................... 64,000 2,636,000
Procter & Gamble Co......................................... 98,000 10,737,125
-------------
21,906,625
-------------
ENERGY -- 3.8%
Energy Services -- 0.7%
Schlumberger Ltd. .......................................... 112,600 6,333,750
Energy Sources -- 3.1%
Barrett Resources Corp.+.................................... 18,800 553,425
Chevron Corp. .............................................. 75,000 6,496,875
Exxon Mobil Corp............................................ 98,500 7,935,406
Royal Dutch Petroleum Co. .................................. 122,700 7,415,681
Forex, Inc. ................................................ 118,299 3,985,210
-------------
32,720,347
-------------
FINANCE -- 10.9%
Banks -- 3.7%
Citigroup, Inc.............................................. 267,850 14,882,416
Mercantile Bankshares Corp.................................. 58,100 1,855,569
National Commerce Bancorp................................... 41,200 934,725
State Street Corp........................................... 94,700 6,919,019
U.S. Bancorp................................................ 199,600 4,752,975
WestAmerica Bancorp......................................... 45,000 1,257,187
Wilmington Trust Corp. ..................................... 38,700 1,867,275
Financial Services -- 3.4%
Associates First Capital Corp. ............................. 285,900 7,844,381
Federal National Mortgage Association....................... 94,500 5,900,344
Franklin Resources, Inc. ................................... 240,900 7,723,856
Investment Technology Group................................. 11,600 333,500
Merrill Lynch & Co., Inc.................................... 93,500 7,807,250
</TABLE>
- ---------------------
18
<PAGE> 19
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance -- 3.8%
Ace Ltd. ................................................... 325,100 $ 5,425,106
American International Group, Inc.* ........................ 115,768 12,517,415
Marsh & McLennan Cos, Inc. ................................. 129,150 12,358,041
Reinsurance Group America, Inc.............................. 78,225 2,170,744
-------------
94,549,803
-------------
HEALTHCARE -- 10.9%
Drugs -- 6.6%
American Home Products Corp................................. 217,500 8,577,656
Astrazeneca PLC ADR......................................... 77,700 3,243,975
Genzyme Corp.+.............................................. 48,300 2,173,500
Immunex Corp.+.............................................. 88,600 9,701,700
Johnson & Johnson Co........................................ 93,900 8,744,437
Merck & Co., Inc............................................ 121,000 8,114,563
Monsanto Co. ............................................... 88,800 3,163,500
Pharmacia & Upjohn, Inc. ................................... 128,100 5,764,500
Warner Lambert Co. ......................................... 93,600 7,669,350
Health Services -- 1.8%
Cardinal Health, Inc, Class A............................... 104,000 4,979,000
Columbia/HCA Healthcare Corp................................ 182,800 5,358,325
Covance, Inc.+.............................................. 166,800 1,803,525
Shared Medical Systems Corp. ............................... 64,200 3,270,188
Medical Products -- 2.5%
Abbott Laboratories, Inc.................................... 180,000 6,536,250
Baxter International, Inc................................... 91,400 5,741,062
Biomet, Inc. ............................................... 26,000 1,040,000
Waters Corp................................................. 164,600 8,723,800
-------------
94,605,331
-------------
INDUSTRIAL & COMMERCIAL -- 10.2%
Aerospace & Military Technology -- 1.2%
General Motors Corp., Class H+ ............................. 46,300 4,444,800
United Technologies Corp.................................... 90,000 5,850,000
Business Services -- 3.2%
Devry, Inc.................................................. 27,200 506,600
G & K Services, Inc., Class A............................... 79,000 2,557,625
Hertz Corp. ................................................ 108,200 5,423,525
Ionics, Inc.+............................................... 51,800 1,456,875
Iron Mountain, Inc.+........................................ 164,300 6,459,044
Manpower, Inc............................................... 179,900 6,768,737
Miller (Herman), Inc........................................ 93,700 2,155,100
Tetra Tech, Inc.+........................................... 67,843 1,043,086
United Rentals, Inc.+....................................... 102,522 1,755,689
Electrical Equipment -- 3.0%
General Electric Co......................................... 154,800 23,955,300
Littelfuse, Inc.+........................................... 81,900 1,987,355
Machinery -- 2.5%
Caterpillar, Inc............................................ 43,000 2,023,687
Corning, Inc................................................ 64,100 8,264,894
Donaldson Co., Inc.......................................... 31,800 765,188
Illinois Tool Works, Inc. .................................. 50,000 3,378,125
Macdermid, Inc. ............................................ 15,100 620,044
Nordson Corp. .............................................. 17,000 820,250
Tyco International Ltd. .................................... 143,100 5,563,012
</TABLE>
---------------------
19
<PAGE> 20
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Transportation -- 0.3%
Air Express International Corp.............................. 47,500 $ 1,534,844
C.H. Robinson Worldwide, Inc................................ 29,800 1,184,550
-------------
88,518,330
-------------
INFORMATION & ENTERTAINMENT -- 10.8%
Broadcasting & Media -- 8.8%
Acnielson Corp. ............................................ 29,500 726,438
Acxiom Corp.+............................................... 82,000 1,968,000
American Tower Corp., Class A............................... 503,700 15,394,331
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 214,400 12,167,200
Catalina Marketing Corp.+................................... 30,000 3,472,500
CBS Corp.+.................................................. 119,700 7,653,319
Cox Communications, Inc. ................................... 135,500 6,978,250
Disney (Walt) Co............................................ 198,900 5,817,825
Gannett, Inc. .............................................. 110,000 8,971,875
Sprint Corp. (PCS Group).................................... 75,500 7,738,750
Time Warner, Inc............................................ 67,800 4,911,262
Univision Communications, Inc., Class A+.................... 5,800 592,688
Entertainment Products -- 0.2%
Speedway Motorsports, Inc.+................................. 70,900 1,971,906
Leisure & Tourism -- 1.8%
AMR Corp.+.................................................. 113,300 7,591,100
McDonald's Corp. ........................................... 196,000 7,901,250
-------------
93,856,694
-------------
INFORMATION TECHNOLOGY -- 31.0%
Communication Equipment -- 7.0%
Black Box Corp.+............................................ 19,200 1,286,400
Cisco Systems, Inc.+........................................ 191,800 20,546,575
Lucent Technologies, Inc.................................... 178,468 13,351,637
Motorola, Inc. ............................................. 77,300 11,382,425
Nokia Corp., Class A ADR.................................... 72,300 13,737,000
Computers & Business Equipment -- 4.2%
EMC Corp.+.................................................. 48,500 5,298,625
Hewlett Packard Co. ........................................ 60,600 6,904,612
International Business Machines Corp. ...................... 112,500 12,150,000
Symbol Technologies, Inc. .................................. 23,850 1,515,966
Unisys Corp................................................. 197,800 6,317,238
Xerox Corp.................................................. 169,500 3,845,531
Electronics -- 6.0%
Analog Devices, Inc. ....................................... 146,600 13,633,800
Applied Materials, Inc.+.................................... 71,300 9,032,819
Broadcom Corp. ............................................. 20,500 5,583,687
C-Cube Microsystems, Inc.................................... 11,300 703,425
Dallas Semiconductor Corp................................... 42,300 2,725,706
Intel Corp.................................................. 152,000 12,511,500
Micron Technology, Inc...................................... 27,300 2,122,575
Texas Instruments, Inc...................................... 59,400 5,754,375
Xilinx, Inc.+............................................... 8,200 372,844
</TABLE>
- ---------------------
20
<PAGE> 21
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Software -- 13.8%
America Online, Inc.+....................................... 148,800 $ 11,225,100
American Management Systems, Inc.+.......................... 55,800 1,750,725
Automatic Data Processing, Inc. ............................ 179,100 9,649,012
BISYS Group, Inc.+.......................................... 45,500 2,968,875
Cambridge Technology Partners, Inc. ........................ 234,200 6,147,750
Checkfree Holdings Corp. ................................... 95,200 9,948,400
Cognos, Inc.+............................................... 44,200 2,038,725
Computer Sciences Corp...................................... 90,000 8,516,250
DST Systems, Inc.+.......................................... 47,400 3,617,213
First Data Corp. ........................................... 130,000 6,410,625
Fiserv, Inc. ............................................... 27,700 1,061,256
Microsoft Corp.+............................................ 237,900 27,774,825
Oracle Corp. ............................................... 80,300 8,998,619
Parametric Technology Corp. ................................ 297,300 8,045,681
Policy Management Systems Corp.+............................ 36,600 935,588
Sterling Commerce, Inc.+.................................... 47,300 1,611,156
Sterling Software, Inc.+.................................... 146,600 4,617,900
Sungard Data Systems, Inc. ................................. 33,400 793,250
Synopsys, Inc.+............................................. 38,600 2,576,550
Systems & Computer Technology Corp.+........................ 95,000 1,543,750
-------------
269,007,990
-------------
MATERIALS -- 1.8%
Chemicals -- 1.0%
du Pont (E.I.) de Nemours & Co. ............................ 96,300 6,343,763
Minerals Technologies, Inc. ................................ 64,400 2,580,025
Forest Products -- 0.8%
Bemis Co., Inc. ............................................ 44,000 1,534,500
Weyerhaeuser Co. ........................................... 77,700 5,579,831
-------------
16,038,119
-------------
UTILITIES -- 7.3%
Electric Utilities -- 0.2%
Montana Power Co............................................ 50,000 1,803,125
Telephone -- 7.1%
AT&T Corp................................................... 176,000 8,932,000
Bell Atlantic, Corp......................................... 147,500 9,080,469
Broadwing, Inc.............................................. 270,500 9,974,688
MCI WorldCom, Inc........................................... 195,000 10,347,187
McLeodUSA, Inc.............................................. 134,200 7,901,025
SBC Communications, Inc. ................................... 196,800 9,594,000
TeleCorp PCS, Inc. ......................................... 154,200 5,859,600
-------------
63,492,094
-------------
TOTAL INVESTMENT SECURITIES (cost $508,236,313)............. 843,245,744
-------------
</TABLE>
---------------------
21
<PAGE> 22
<TABLE>
<CAPTION>
<S> <C> <C>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 2.6% AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $22,875,000)........................................ $22,875,000 $ 22,875,000
TOTAL INVESTMENTS --
(cost $531,111,313) 99.7% 866,120,744
Other assets less liabilities -- 0.3 2,644,276
------ -------------
NET ASSETS -- 100.0% $868,765,020
====== =============
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR -- American Depository Receipt
See Notes to Financial Statements.
- ---------------------
22
<PAGE> 23
- ---------------------
ANCHOR SERIES TRUST
CAPITAL APPRECIATION
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 88.5% SHARES VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.2%
Retail -- 2.2%
Bed Bath & Beyond, Inc.+.................................... 800,000 $ 27,800,000
Home Depot, Inc. ........................................... 217,500 14,912,344
---------------
42,712,344
---------------
CONSUMER STAPLES -- 0.3%
Food, Beverage & Tobacco -- 0.3%
McCormick & Co., Inc. ...................................... 170,000 5,057,500
---------------
ENERGY -- 1.2%
Energy Services -- 0.6%
Santa Fe International Corp. ............................... 477,600 12,357,900
Energy Sources -- 0.6%
Pennzoil Quaker State Co. .................................. 261,200 2,660,975
Transocean Offshore, Inc.................................... 285,000 9,600,938
---------------
24,619,813
---------------
FINANCE -- 4.1%
Banks -- 0.3%
Cullen/Frost Bankers, Inc. ................................. 234,700 6,043,525
Financial Services -- 2.2%
Associates First Capital Corp., Class A .................... 621,400 17,049,663
Franklin Resources, Inc. ................................... 200,000 6,412,500
Heller Financial, Inc. ..................................... 716,500 14,374,781
Nextcard, Inc. ............................................. 225,000 6,496,875
Insurance -- 1.6%
Ace Ltd..................................................... 674,900 11,262,393
American General Corp. ..................................... 190,000 14,416,250
Transatlantic Holdings, Inc.* .............................. 67,500 5,269,219
---------------
81,325,206
---------------
HEALTHCARE -- 12.5%
Drugs -- 9.0%
Astrazeneca PLC ADR......................................... 760,000 31,730,000
Genset SA................................................... 410,000 7,815,625
Genzyme Corp.+.............................................. 661,800 29,781,000
Gilead Sciences, Inc.+...................................... 205,000 11,095,625
Human Genome Sciences, Inc.+................................ 139,900 21,352,238
Immunex Corp.+.............................................. 438,200 47,982,900
Millennium Pharmaceuticals.................................. 146,000 17,812,000
Pharmacia & Upjohn, Inc. ................................... 250,000 11,250,000
Medical Products -- 3.5%
Baxter International, Inc. ................................. 280,000 17,587,500
Boston Scientific Corp.+.................................... 634,000 13,868,750
PE Corp. -- PE Biosystems Group............................. 240,700 28,959,219
Varian Medical Systems, Inc. ............................... 307,800 9,176,287
---------------
248,411,144
---------------
</TABLE>
---------------------
23
<PAGE> 24
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 7.7%
Aerospace & Military Technology -- 0.4%
General Motors Corp., Class H+ ............................. 75,000 $ 7,200,000
Business Services -- 3.6%
Comfort Systems USA, Inc.+.................................. 165,000 1,216,875
Group Maintenance America Corp.+............................ 82,200 878,513
Iron Mountain, Inc.+........................................ 432,100 16,986,931
Korn/Ferry International.................................... 60,000 2,182,500
Manpower, Inc. ............................................. 300,000 11,287,500
NCO Group, Inc.+............................................ 368,800 11,110,100
Pegasus Systems, Inc. ...................................... 315,000 18,998,437
Pierce Leahy Corp. ......................................... 215,000 9,298,750
Electrical Equipment -- 0.4%
General Cable Corp.+........................................ 902,850 6,827,803
Machinery -- 2.6%
Corning, Inc. .............................................. 315,000 40,615,312
Tyco International Ltd. .................................... 300,000 11,662,500
Transportation -- 0.7%
Atlas Air, Inc.+............................................ 280,000 7,682,500
Werner Enterprises, Inc. ................................... 475,000 6,679,688
---------------
152,627,409
---------------
INFORMATION & ENTERTAINMENT -- 25.5%
Broadcasting & Media -- 22.8%
American Tower Corp., Class A............................... 1,053,400 32,194,537
Amfm, Inc. ................................................. 264,280 20,679,910
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 1,906,800 108,210,900
Central Newspapers, Inc., Class A........................... 115,000 4,528,125
Clear Channel Communications, Inc.+......................... 200,000 17,850,000
Crown Castle International Corp.* .......................... 630,100 20,241,963
EchoStar Communications Corp., Class A+..................... 277,600 27,066,000
Getty Images, Inc.+......................................... 160,000 7,820,000
Infinity Broadcasting Corp., Class A........................ 650,000 23,521,875
Pegasus Communications Corp. ............................... 223,300 21,827,575
Primacom AG ADR............................................. 226,800 7,399,350
Scripps (E.W.) Co., Class A................................. 240,100 10,759,481
SFX Entertainment, Inc., Class A+........................... 613,900 22,215,506
Sprint Corp. (PCS Group).................................... 365,000 37,412,500
Telecom Italia Mob.......................................... 1,472,400 16,448,927
TV Guide, Inc. ............................................. 459,600 19,762,800
United Pan Europe........................................... 32,000 4,080,000
Unitedglobalcom............................................. 336,400 23,758,250
Univision Communications, Inc., Class A+.................... 151,400 15,471,188
Westwood One, Inc. ......................................... 100,000 7,600,000
World Wrestling Federation Entertainment, Inc. ............. 260,000 4,485,000
Entertainment Products -- 1.6%
Koninklijke Philips Electronics NV ADR...................... 230,000 31,050,000
Leisure & Tourism -- 1.1%
AMR Corp. .................................................. 108,100 7,242,700
Ryanair Holdings PLC ADR+................................... 273,400 15,071,175
---------------
506,697,762
---------------
</TABLE>
- ---------------------
24
<PAGE> 25
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 26.0%
Communication Equipment -- 7.8%
3Com Corp.+................................................. 718,300 $ 33,760,100
Gilat Satellite Networks Ltd.+.............................. 195,000 23,156,250
Lucent Technologies, Inc. .................................. 272,250 20,367,703
Motorola, Inc. ............................................. 330,000 48,592,500
Nokia Corp., Class A ADR.................................... 150,000 28,500,000
Computers & Business Equipment -- 3.1%
Tritel, Inc. ............................................... 125,000 3,960,937
Verisign, Inc. ............................................. 300,000 57,281,250
Electronics -- 5.3%
Analog Devices, Inc. ....................................... 527,500 49,057,500
C-Cube Microsystems, Inc. .................................. 100,100 6,231,225
Flextronics International Ltd.+............................. 380,000 17,480,000
Texas Instruments, Inc. .................................... 350,000 33,906,250
Software -- 9.8%
America Online, Inc.+....................................... 250,000 18,859,375
Avant Corp.+................................................ 558,400 8,376,000
BISYS Group, Inc.+.......................................... 368,200 24,025,050
BMC Software, Inc.+......................................... 290,000 23,181,875
Ceridian Corp.+............................................. 375,000 8,085,938
Computer Sciences Corp.+.................................... 90,000 8,516,250
Digex, Inc.+................................................ 100,000 6,875,000
First Data Corp. ........................................... 555,000 27,368,437
Flextech+................................................... 175,000 3,324,288
Homestore Common, Inc.+..................................... 45,500 3,378,375
Macromedia, Inc.+........................................... 105,400 7,707,375
Rational Software Corp.+.................................... 545,000 26,773,125
Redback Networks, Inc. ..................................... 30,000 5,325,000
Sterling Software, Inc.+.................................... 720,000 22,680,000
---------------
516,769,803
---------------
MATERIALS -- 0.4%
Forest Products -- 0.2%
Smurfit Stone Container Corp. .............................. 200,000 4,900,000
Metals & Minerals -- 0.2%
Freeport-McMoRan Copper & Gold, Inc., Class A............... 95,600 1,774,575
Stillwater Mining Co.+...................................... 43,000 1,370,625
---------------
8,045,200
---------------
REAL ESTATE -- 0.2%
Real Estate Companies -- 0.2%
Security Capital Group, Inc., Class B+...................... 305,000 3,812,500
---------------
</TABLE>
---------------------
25
<PAGE> 26
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 8.4%
Telephone -- 8.4%
Allegiance Telecommunications, Inc.+........................ 140,000 $ 12,915,000
Broadwing, Inc. ............................................ 250,000 9,218,750
Colt Telecom Group PLC+..................................... 600,000 30,974,995
Covad Communications Group, Inc. ........................... 150,000 8,390,625
Intermedia Communications, Inc.+............................ 854,500 33,165,282
KPNQwest B V................................................ 179,300 11,430,375
MCI WorldCom, Inc. ......................................... 172,500 9,153,281
McLeodUSA, Inc. ............................................ 235,200 13,847,400
NTL, Inc.+.................................................. 100,000 12,475,000
Ote Hellenic Telecommunications............................. 282,500 6,689,655
Rhythms NetConnections, Inc. ............................... 200,000 6,200,000
TeleCorp PCS, Inc. ......................................... 353,100 13,417,800
---------------
167,878,163
---------------
TOTAL COMMON STOCK (cost $921,633,903)...................... 1,757,956,844
---------------
<CAPTION>
PREFERRED STOCK 0.7%
-------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.7%
Broadcasting & Media -- 0.7%
News Corp. Ltd. ADR (cost $11,039,289)...................... 405,000 13,542,187
---------------
TOTAL INVESTMENT SECURITIES (cost $932,673,192)............. 1,771,499,031
---------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 3.5% AMOUNT
-------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT -- 3.5%
United States Treasury Bills 5.45% 1/13/00
(cost $70,871,076)........................................ $71,000,000 70,871,076
<CAPTION>
REPURCHASE AGREEMENT -- 8.9%
-------------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $176,595,000)....................................... 176,595,000 176,595,000
---------------
TOTAL INVESTMENTS --
(cost $1,180,139,268) 101.6% 2,018,965,107
Liabilities in excess of other assets -- (1.6) (32,077,596)
------ ----------------
NET ASSETS -- 100.0% $1,986,887,511
====== ================
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
ADR-American Depository Receipt
See Notes to Financial Statements.
- ---------------------
26
<PAGE> 27
- ---------------------
ANCHOR SERIES TRUST
NATURAL RESOURCES
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 99.3% SHARES VALUE
<S> <C> <C>
--------------------------------------------------------------------------------------
ENERGY -- 53.6%
Energy Services -- 9.5%
Baker Hughes, Inc. ......................................... 30,000 $ 631,875
McDermott International, Inc. .............................. 65,900 597,219
Nabors Industries, Inc.+.................................... 23,000 711,563
Precision Drilling Corp. ................................... 35,000 897,125
Rowan Cos., Inc.+........................................... 43,600 945,575
Weatherford International, Inc.+............................ 34,200 1,365,862
Energy Sources -- 44.1%
Alberta Energy Co., Ltd. ................................... 26,000 810,530
Burlington Resources Canada, Inc. .......................... 20,625 687,262
Canadian Natural Resources Ltd. ADR +....................... 65,200 1,592,172
Canadian Occidental Petroleum Ltd. ......................... 44,100 870,696
Chevron Corp. .............................................. 14,100 1,221,412
Cross Timbers Oil Co. ...................................... 98,600 893,562
ENI SpA..................................................... 18,000 992,250
EOG Resources, Inc. ........................................ 48,950 859,684
Evergreen Resources, Inc. +................................. 45,100 890,725
Exxon Mobil Corp. .......................................... 17,842 1,437,396
Imperial Oil Ltd. .......................................... 48,000 1,030,828
Norsk Hydro ASA ADR......................................... 23,000 983,250
Ocean Energy, Inc. +........................................ 57,800 447,950
PanCanadian Petroleum Ltd. ................................. 53,773 856,792
Petro-Canada................................................ 131,400 1,861,538
Repsol SA ADR............................................... 26,400 613,800
Shell Transport & Trading Co. PLC ADR....................... 24,900 1,226,325
Suncor Energy, Inc. ........................................ 67,163 2,810,284
Sunoco, Inc. ............................................... 25,700 603,950
Talisman Energy, Inc.+...................................... 41,700 1,065,972
Total SA ADR................................................ 25,000 1,731,250
Vastar Resources, Inc. ..................................... 8,100 477,900
------------
29,114,747
------------
MATERIALS -- 45.7%
Metals & Minerals -- 39.6%
Alaska Steel Holding Corp. ................................. 30,200 570,025
Alcoa, Inc. ................................................ 23,000 1,909,000
Barrick Gold Corp. ......................................... 65,000 1,149,687
Billiton PLC................................................ 300,100 1,779,038
Cleveland-Cliffs, Inc. ..................................... 82,300 2,561,587
Companhia Vale do Rio Doce ADR.............................. 54,900 1,530,519
Compania De Minas Buenaventura SA, Series B ADR............. 49,400 793,488
Corus Group PLC............................................. 35,300 913,387
DeBeers Consolidated Mines Ltd. ADR......................... 72,000 2,083,500
Franco-Nevada Mining Corp. Ltd. ............................ 35,807 549,446
Freeport-McMoRan Copper & Gold, Inc., Class A............... 80,400 1,492,425
Freeport-McMoRan Copper & Gold, Inc., Class B............... 90,000 1,901,250
Kinross Gold Corp. ......................................... 200,000 371,320
Rio Tinto PLC............................................... 47,083 1,130,150
Stillwater Mining Co.+...................................... 87,425 2,786,672
</TABLE>
---------------------
27
<PAGE> 28
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
--------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Paper Products -- 6.1%
Weyerhaeuser Co. ........................................... 24,000 $ 1,723,500
Willamette Industries, Inc. ................................ 35,000 1,625,313
------------
24,870,307
------------
TOTAL INVESTMENT SECURITIES (cost $44,796,027).............. 53,985,054
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 0.0% AMOUNT
--------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $20,000)............................................ $ 20,000 20,000
------------
TOTAL INVESTMENTS -- (cost $44,816,027) 99.3% 54,005,054
Other assets less liabilities -- 0.7 385,854
------ ------------
NET ASSETS -- 100.0% $54,390,908
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
- ---------------------
28
<PAGE> 29
- ---------------------
ANCHOR SERIES TRUST
MULTI-ASSET PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 61.2% SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CAPITAL APPRECIATION -- 0.3%
Broadcasting & Media -- 0.3%
American Tower Corp., Class A............................... 13,900 $ 424,819
-------------
424,819
-------------
CORE EQUITY -- 60.9%
Aerospace & Military Technology -- 0.6%
United Technologies Corp. .................................. 12,700 825,500
Banks -- 2.0%
Citigroup, Inc ............................................. 28,650 1,591,866
State Street Corp. ......................................... 6,500 474,906
U.S. Bancorp................................................ 23,000 547,687
Broadcasting & Media -- 4.5%
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 30,500 1,730,875
CBS Corp.+.................................................. 20,500 1,310,719
Gannett, Inc. .............................................. 20,800 1,696,500
Sprint Corp. (PCS Group).................................... 10,100 1,035,250
Chemicals -- 1.7%
Dow Chemical Co............................................. 3,200 427,600
du Pont (E.I.) de Nemours & Co. ............................ 13,500 889,313
Praxair, Inc. .............................................. 16,500 830,156
Communication Equipment -- 4.2%
Cisco Systems, Inc. ........................................ 26,400 2,828,100
JDS Uniphase Corp. ......................................... 1,800 290,363
Lucent Technologies, Inc. .................................. 20,500 1,533,656
Motorola, Inc. ............................................. 5,600 824,600
Computers & Business Equipment -- 1.7%
International Business Machines Corp. ...................... 14,300 1,544,400
Xerox Corp. ................................................ 28,900 655,669
Drugs -- 4.9%
American Home Products Corp. ............................... 28,000 1,104,250
Bristol Myers Squibb Co. ................................... 16,300 1,046,256
Johnson & Johnson Co. ...................................... 13,800 1,285,125
Merck & Co., Inc. .......................................... 16,200 1,086,412
Pfizer, Inc. ............................................... 23,000 746,063
Warner-Lambert Co. ......................................... 13,200 1,081,575
Electrical Equipment -- 2.2%
General Electric Co. ....................................... 18,400 2,847,400
Electronics -- 3.0%
Broadcom Corp. ............................................. 2,900 789,887
Intel Corp. ................................................ 19,500 1,605,094
PMC-Sierra, Inc. ........................................... 3,900 625,219
Texas Instruments, Inc. .................................... 8,800 852,500
Energy Services -- 0.8%
Schlumberger Ltd. .......................................... 18,800 1,057,500
</TABLE>
---------------------
29
<PAGE> 30
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY (continued)
Energy Sources -- 2.9%
Chevron Corp. .............................................. 8,400 $ 727,650
Exxon Mobil Corp. .......................................... 29,900 2,408,819
Transocean Sedco Forex, Inc. ............................... 3,640 122,612
Unocal Corp. ............................................... 14,900 500,081
Financial Services -- 2.7%
Associates First Capital Corp. ............................. 31,800 872,513
Federal National Mortgage Association....................... 11,700 730,519
Franklin Resources, Inc. ................................... 23,700 759,881
Merrill Lynch & Co., Inc. .................................. 14,100 1,177,350
Food, Beverage & Tobacco -- 0.7%
PepsiCo, Inc. .............................................. 25,500 898,875
Forest Products -- 0.8%
Weyerhaeuser Co. ........................................... 14,500 1,041,281
Health Services -- 0.4%
Cardinal Health, Inc., Class A.............................. 9,700 464,387
Household Products -- 1.1%
Procter & Gamble Co. ....................................... 12,700 1,391,444
Insurance -- 3.4%
American General Corp. ..................................... 9,600 728,400
American International Group, Inc.*......................... 16,212 1,752,923
Marsh & McLennan Cos., Inc. ................................ 20,600 1,971,162
Leisure & Tourism -- 1.5%
AMR Corp. .................................................. 13,700 917,900
McDonald's Corp. ........................................... 25,600 1,032,000
Machinery -- 1.5%
Corning, Inc. .............................................. 9,200 1,186,225
Illinois Tool Works, Inc. .................................. 10,600 716,162
Medical Products -- 2.1%
Abbott Labs................................................. 30,400 1,103,900
Baxter International, Inc. ................................. 13,900 873,094
Guidant Corp. .............................................. 14,500 681,500
Metals & Minerals -- 0.9%
Alcoa, Inc. ................................................ 14,100 1,170,300
Multi-Industry -- 0.5%
Tyco International Ltd. .................................... 16,000 622,000
Retail -- 3.9%
CVS Corp. .................................................. 14,100 563,119
Home Depot, Inc. ........................................... 21,750 1,491,234
Safeway, Inc.+.............................................. 18,000 640,125
Wal-Mart Stores, Inc. ...................................... 33,800 2,336,425
Software -- 7.7%
America Online, Inc.+....................................... 13,200 995,775
Automatic Data Processing, Inc. ............................ 24,100 1,298,388
Computer Sciences Corp.+.................................... 14,300 1,353,137
Electronic Data Systems Corp................................ 10,900 729,619
Microsoft Corp.+............................................ 27,500 3,210,625
Oracle Corp. ............................................... 17,800 1,994,712
Veritas Software Corp. ..................................... 2,250 322,031
</TABLE>
- ---------------------
30
<PAGE> 31
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE EQUITY (continued)
Telephone -- 4.6%
AT&T Corp. ................................................. 27,000 $ 1,370,250
Bell Atlantic Corp. ........................................ 14,900 917,281
MCI WorldCom, Inc. ......................................... 37,200 1,973,925
SBC Communications, Inc. ................................... 35,500 1,730,625
Transportation -- 0.6%
CSX Corp. .................................................. 12,800 401,600
Caterpillar, Inc. .......................................... 8,700 409,444
-------------
78,753,734
-------------
TOTAL COMMON STOCK (cost $46,122,453)....................... 79,178,553
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 34.9% AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORE BOND -- 34.9%
AEROSPACE & MILITARY TECHNOLOGY -- 0.8%
Northrop Grumman Corp. 8.63% 2004........................... $ 1,000,000 1,033,230
ASSET-BACKED SECURITIES -- 1.4%
Aesop Funding II LLC 6.22% 2001............................. 1,000,000 998,280
Chase Manhattan Auto Owner Trust 5.70% 2001................. 383,821 383,265
Honda Auto Receivables Trust 5.95% 2003..................... 257,171 256,699
Nissan Auto Recievables Grantor 6.15% 2003.................. 213,185 211,918
CONSUMER STAPLES -- 0.5%
Coca-Cola Bottling Co. 6.38% 2009........................... 680,000 613,597
CONSUMER STAPLES -- 0.7%
Diageo Capital PLC 6.13% 2005............................... 1,000,000 943,920
ENERGY -- 0.8%
Husky Oil Ltd. 7.13% 2006................................... 1,000,000 929,910
Mobil Oil Corp. 9.17% 2000.................................. 75,750 76,120
FINANCE -- 6.0%
Bankers Trust New York Corp. 8.25% 2005..................... 1,000,000 1,026,444
CIT Group, Inc. 5.50% 2004.................................. 1,000,000 934,802
First Financial Caribbean Corp. 7.84% 2006.................. 1,000,000 949,430
General Electric Capital Corp. 6.50% 2006................... 1,000,000 961,192
General Motors Acceptance Corp. 5.63% 2001.................. 1,000,000 986,830
Lumbermans Mutual Casualty Co. 9.15% 2026#.................. 1,000,000 957,260
Security Benefit Life Co. 8.75% 2016........................ 1,000,000 1,006,856
Sprint Capital Corp. 6.88% 2028............................. 1,000,000 888,710
HEALTHCARE -- 0.7%
CVS Corp. 5.50% 2004........................................ 1,000,000 945,647
INDUSTRIAL & COMMERCIAL -- 2.1%
Cummins Engine Co., Inc. 6.25% 2003......................... 1,000,000 956,172
Federal Express Corp. 6.72% 2022............................ 997,502 901,423
Tyco International Group S A 6.13% 2009..................... 1,000,000 880,780
MORTGAGE-RELATED SECURITIES -- 1.6%
CS First Boston Mortgage Securities Corp. 6.40% 2035........ 340,162 334,641
CS First Boston Mortgage Securities Corp. 7.24% 2029........ 1,000,000 968,950
Morgan Stanley Capital I, Inc. 6.25% 2007................... 768,282 744,329
</TABLE>
---------------------
31
<PAGE> 32
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
-----------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.8%
Quebec Province Canada 8.80% 2003........................... $ 1,000,000 $ 1,051,090
U.S. GOVERNMENT & AGENCIES -- 16.5%
Federal Home Loan Banks 5.13% 2003.......................... 1,000,000 946,560
Federal Home Loan Mortgage Corp. 6.50% 2010 -- 2025......... 1,326,316 1,262,188
Federal National Mortgage Association 6.50% 2013 -- 2028.... 5,247,276 5,018,579
Government National Mortgage Association 6.50%
2023 -- 2029.............................................. 6,006,668 5,636,838
Government National Mortgage Association 7.00% 2029......... 1,999,853 1,931,098
United States Treasury Bonds 5.50% 2028..................... 4,000,000 3,411,240
United States Treasury Bonds 8.88% 2019..................... 1,000,000 1,217,190
United States Treasury Notes 5.50% 2001..................... 2,000,000 1,978,440
UTILITIES -- 3.0%
AT&T Corp. 5.63% 2004....................................... 850,000 803,837
Niagara Mohawk Power Corp. 5.88% 2002....................... 1,250,000 1,214,325
United States West Capital Funding, Inc. 6.38% 2008......... 1,000,000 913,982
Worldcom, Inc. 6.40% 2005................................... 1,000,000 959,507
-------------
45,235,279
-------------
TOTAL BONDS & NOTES (cost $47,433,171)...................... 45,235,279
-------------
TOTAL INVESTMENT SECURITIES (cost $93,555,624).............. 124,413,832
-------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.6%
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT -- 0.6%
United States Treasury Bills 4.94% due 2/3/00@
(cost $771,494)........................................... 771,494
<CAPTION>
REPURCHASE AGREEMENT -- 2.9%
-----------------------------------------------------------------------------------------
<S> <C> <C>
Joint Repurchase Agreement Account (See Note 3)@ (cost
$3,715,000)............................................... 3,715,000
-------------
TOTAL INVESTMENTS --
(cost $98,042,118) 99.6% 128,900,326
Other assets less liabilities -- 0.4 541,593
------ -------------
NET ASSETS -- 100.0% $129,441,919
====== =============
</TABLE>
-----------------------------
+ Non-income producing security
* Security represents an investment in an affiliated company
# Resale restricted to qualified institutional buyers
@ The security or a portion thereof represents collateral for the
following open futures contracts:
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE DECEMBER 31, 1999 DEPRECIATION
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
8 Long U.S. Long Bond................ March 2000 $742,475 $727,520 $(14,955)
---------
Net Unrealized Depreciation............................................... $(14,955)
=========
</TABLE>
See Notes to Financial Statements.
- ---------------------
32
<PAGE> 33
- ---------------------
ANCHOR SERIES TRUST
STRATEGIC MULTI-ASSET
PORTFOLIO INVESTMENT PORTFOLIO -- DECEMBER 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 63.6% SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL APPRECIATION -- 17.3%
Broadcasting & Media -- 5.1%
AT&T Corp.-Liberty Media Group, Inc., Class A+.............. 9,900 $ 561,825
American Tower Corp., Class A+.............................. 19,500 595,969
Clear Channel Communications, Inc.+......................... 1,300 116,025
Crown Castle International Corp.+@.......................... 14,700 472,238
EchoStar Communications Corp., Class A+..................... 2,100 204,750
Infinity Broadcasting Corp., Class A........................ 4,375 158,320
SFX Entertainment, Inc., Class A+........................... 12,700 459,581
Scripps (E.W) Co., Class A.................................. 4,000 179,250
TV Guide, Inc. ............................................. 15,000 645,000
UnitedGlobalcom, Inc........................................ 8,600 607,375
Business Services -- 2.0%
Iron Mountain, Inc.+........................................ 7,850 308,603
Manpower Incorporated Wisconsin............................. 6,800 255,850
NCO Group, Inc.+............................................ 9,300 280,163
Pegasus Systems, Inc. ...................................... 6,500 392,031
Pierce Leahy Corp. ......................................... 8,700 376,275
Communication Equipment -- 0.4%
3Com Corp.+................................................. 7,200 338,400
Drugs -- 1.5%
Genzyme Corp.+.............................................. 9,300 418,500
Gilead Sciences, Inc.+...................................... 3,200 173,200
Human Genome Sciences, Inc.+................................ 2,500 381,562
Immunex Corp.+.............................................. 2,000 219,000
Electronics -- 1.4%
Analog Devices, Inc.+....................................... 6,000 558,000
Flextronics International Ltd.+............................. 7,000 322,000
Texas Instruments, Inc. .................................... 2,700 261,562
Financial Services -- 0.6%
Associates First Capital Corp. ............................. 6,000 164,625
Heller Financial, Inc., Class A............................. 13,400 268,837
Forest Products -- 0.2%
Smurfit Stone Container Corp. .............................. 5,000 122,500
Insurance -- 0.4%
American General Corp. ..................................... 4,300 326,263
Leisure & Tourism -- 0.1%
AMR Corp. .................................................. 1,300 87,100
Machinery -- 0.5%
Corning, Inc. .............................................. 2,800 361,025
Metals & Minerals -- 0.1%
Freeport-McMoRan Copper & Gold, Inc., Class A............... 2,600 48,263
Stillwater Mining Co.+...................................... 1,000 31,875
Retail -- 0.3%
Bed Bath & Beyond, Inc.+.................................... 7,500 260,625
</TABLE>
---------------------
33
<PAGE> 34
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CAPITAL APPRECIATION (continued)
Software -- 2.5%
America Online, Inc.+....................................... 2,300 $ 173,506
Avant Corp.+................................................ 11,000 165,000
BISYS Group, Inc.+.......................................... 3,800 247,950
BMC Software, Inc.+......................................... 2,500 199,844
Ceridian Corp.+............................................. 6,500 140,156
First Data Corp. ........................................... 7,500 369,844
Macromedia, Inc. ........................................... 2,500 182,813
Rational Software Corp.+.................................... 4,100 201,412
Sterling Software, Inc.+.................................... 10,000 315,000
Telephone -- 1.6%
Broadwing, Inc. ............................................ 3,500 129,063
Intermedia Communications, Inc.+............................ 12,800 496,800
McLeodUSA, Inc. ............................................ 7,300 429,787
TeleCorp PCS, Inc. ......................................... 5,200 197,600
Transportation -- 0.6%
Atlas Air, Inc.+............................................ 14,200 389,612
Werner Enterprises, Inc. ................................... 7,500 105,469
------------
13,700,448
------------
CORE EQUITY -- 13.8%
Aerospace & Military Technology -- 0.8%
United Technologies Corp. .................................. 10,100 656,500
Automotive -- 1.0%
Delphi Automotive Systems Corp. ............................ 24,397 384,253
TRW, Inc. .................................................. 7,200 373,950
Banks -- 1.2%
Citigroup, Inc. ............................................ 11,000 611,187
Unionbancal Corp. .......................................... 7,800 307,613
Broadcasting & Media -- 0.7%
Gannett, Inc. .............................................. 6,600 538,313
Communication Equipment -- 1.8%
Cisco Systems, Inc. ........................................ 3,800 407,075
Motorola, Inc. ............................................. 6,700 986,575
Computers & Business Equipment -- 0.1%
International Business Machines Corp. ...................... 900 97,200
Electric Utilities -- 0.3%
Unicom Corp. ............................................... 7,200 241,200
Electronics -- 0.4%
Altera Corp.+............................................... 2,000 99,125
Xilinx, Inc.+............................................... 5,200 236,438
Energy Sources -- 0.6%
Chevron Corp. .............................................. 3,500 303,187
Texaco, Inc. ............................................... 2,700 146,644
Financial Services -- 0.6%
Federal National Mortgage Association....................... 7,500 468,281
Food, Beverage & Tobacco -- 0.7%
Anheuser-Busch Cos., Inc. .................................. 1,200 85,050
Bestfoods................................................... 3,700 194,481
Philip Morris Cos., Inc. ................................... 12,700 294,481
Forest Products -- 0.6%
Weyerhaeuser Co. ........................................... 6,200 445,238
</TABLE>
- ---------------------
34
<PAGE> 35
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE EQUITY (continued)
Gas & Pipeline Utilities -- 0.4%
El Paso Energy Corporation Delaware......................... 8,100 $ 314,381
Health Services -- 0.9%
Cardinal Health, Inc, Class A............................... 4,200 201,075
Tenet Healthcare Corp. ..................................... 13,000 305,500
United HealthCare Corp. .................................... 4,500 239,062
Household Products -- 0.6%
Kimberly-Clark Corp. ....................................... 7,800 508,950
Insurance -- 0.6%
Marsh & McLennan Cos., Inc. ................................ 5,100 488,006
Retail -- 0.4%
Tandy Corp. ................................................ 6,800 334,475
Software -- 1.8%
Galileo International, Inc. ................................ 10,100 302,369
Microsoft Corp.+............................................ 5,000 583,750
Oracle Corp. ............................................... 4,800 537,900
Telephone -- 0.3%
MCI WorldCom, Inc. ......................................... 4,200 222,863
------------
10,915,122
------------
GLOBAL CORE EQUITY -- 32.5%
AUSTRALIA -- 0.6%
Broken Hill Proprietary Co., Ltd. (Materials)............... 16,332 214,450
Mim Holdings Ltd. (Materials)............................... 97,991 101,000
Pasminco Ltd. (Materials)................................... 148,157 162,432
BRAZIL -- 1.0%
Embratel Participacoes SA ADR (Utilities)................... 1,000 27,250
Petroleo Brasileiros SA (Energy)............................ 415,200 105,725
Tele Norte Leste Participacoes (Utilities).................. 10,000 255,000
Telecomunicacoes de Brasileiras (Information Technology).... 3,200 411,200
CANADA -- 0.6%
Alcan Aluminum Ltd. (Materials)............................. 6,300 259,245
Inco Limited (Materials).................................... 8,400 196,398
CAYMAN ISLANDS -- 0.2%
Santa Fe International Corp. (Energy)....................... 7,500 194,062
CHINA -- 0.5%
China Telecom (Hong Kong) Ltd. ADR (Information &
Entertainment)............................................ 1,400 179,988
China Telecom (Hong Kong) Ltd. (Information &
Entertainment)............................................ 38,500 240,207
DENMARK -- 0.1%
Tele Danmark A/S (Utilities)................................ 1,290 95,848
FINLAND -- 1.4%
Nokia AB Oy, Series A (Information Technology).............. 4,723 856,388
Upm-Kymmene Oy (Materials).................................. 6,887 277,505
FRANCE -- 2.7%
AXA SA de CV (Finance)...................................... 3,070 428,011
Air Liquide (Materials)..................................... 1,400 234,390
Banque Nationale de Paris+ (Finance)........................ 2,909 268,423
Carrefour (Consumer Discretionary).......................... 900 166,001
Compagnie de St. Gobain (Materials)......................... 1,000 188,072
France Telecom SA (Utilities)............................... 1,800 238,077
Michelin SA, Class B (Consumer Discretionary)............... 4,500 176,790
</TABLE>
---------------------
35
<PAGE> 36
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE EQUITY (continued)
FRANCE (continued)
Pin Printemps Redo (Consumer Discretionary)................. 900 $ 237,533
Societe Generale (Finance).................................. 800 186,158
GERMANY -- 3.7%
Basf AG (Materials)......................................... 3,600 184,949
Deutsche Telekom (Utilities)................................ 3,300 235,025
KPNQwest N.V. (Information Technology)...................... 3,500 223,125
Mannesmann AG (Information & Entertainment)................. 2,917 703,756
Munchener Ruckversicherungs AG+ (Finance)................... 1,000 253,651
Primacom AG (Information & Entertainment)................... 10,100 329,512
Siemens AG (Industrial & Commercial)........................ 6,400 814,261
Veba AG (Utilities)......................................... 3,200 155,535
HONG KONG -- 0.6%
Cheung Kong Holdings Ltd. >(Industrial & Commercial)........ 36,000 456,165
INDIA -- 0.6%
Gujarat Ambuja Cements Ltd (Materials)...................... 2,600 19,825
Hindalco Industries Ltd. (Materials)*....................... 2,600 48,096
Larsen & Toubro (Industrial & Commercial)................... 3,800 127,300
State Bank India GDR (Finance).............................. 4,800 59,280
Videsh Sanchar Nigam Ltd (Utilities)........................ 9,700 240,560
IRELAND -- 0.8%
Allied Irish Banks PLC (Finance)............................ 28,138 320,296
Ryanair Holdings PLC ADR+ (Information & Entertainment)..... 5,600 308,700
ISREAL -- 0.4%
Gilat Satellite Networks Ltd.+ (Information Technology)..... 2,500 296,875
ITALY -- 0.3%
Mediaset (Information & Entertainment)...................... 12,500 194,418
JAPAN -- 8.4%
Bank Of Yokohama (Finance).................................. 53,000 244,328
Dai Nippon Printing (Information & Entertainment)........... 33,000 526,476
Daiwa Bank (Finance)........................................ 51,000 149,750
Eisai Co., Ltd. (Healthcare)................................ 8,000 153,861
Fuji Machine Manufacturing Co. (Industrial & Commercial).... 100 8,065
Fujisawa Pharmaceutical Co. (Healthcare).................... 11,000 267,006
Hitachi Ltd.+ (Information & Entertainment)................. 33,000 529,705
Hoya Corp. (Healthcare)..................................... 4,000 315,161
Ito Yokado Co. (Consumer Discretionary)..................... 1,000 108,642
Itochu Techno Science (Information Technology).............. 100 62,347
Marubeni Corp. (Industrial & Commercial).................... 62,000 260,331
Matsumotokiyoshi (Consumer Discretionary)................... 3,900 301,938
Minebea Co. (Information Technology)........................ 16,000 274,523
Nichiei Co., Ltd. (Finance)................................. 7,000 152,099
Nikko Securities (Finance).................................. 44,000 556,837
Nippon Telegraph & Telephone Corp. (Utilities).............. 15 256,925
Nippon Telegraph & Telephone Mobile Communications Corp.
(Utilities)............................................... 8 307,722
Omron Corp. (Industrial & Commercial)....................... 12,000 276,598
Softbank Corp. (Finance).................................... 500 478,614
Sony Corp. (Information & Entertainment).................... 2,700 800,724
Takefuji Corp. (Finance).................................... 1,600 200,294
Tokyo Style Co., Ltd. (Consumer Discretionary).............. 23,000 189,097
Trans Cosmos, Inc. (Information Technology)................. 500 213,370
MEXICO -- 0.2%
Telefonos de Mexico SA ADR (Utilities)...................... 1,300 146,250
</TABLE>
- ---------------------
36
<PAGE> 37
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE EQUITY (continued)
NETHERLANDS -- 2.2%
ING Groep NV (Finance)...................................... 6,000 $ 362,283
Philips Electronics (Information Technology)................ 2,798 380,506
Royal Dutch Petroleum Co. (Energy).......................... 6,100 373,913
Royal Koninklijke KPN NV (Utilities)........................ 4,488 438,084
United Pan Europe Communications (Information &
Entertainment)............................................ 1,600 204,693
SINGAPORE -- 0.4%
Overseas Chinese Bank (Finance)............................. 11,550 106,103
Overseas Union Bank (Finance)............................... 38,828 227,303
SPAIN -- 1.5%
Banco Popular Esp SA (Finance).............................. 3,500 228,291
Endesa SA (Utilities)....................................... 8,850 175,716
Repsol SA (Energy).......................................... 9,400 217,978
Telefonica SA (Utilities)................................... 21,989 549,335
Telefonica SA ADR (Utilities)............................... 416 32,786
SWEDEN -- 1.6%
Ericsson L.M. Telecommunications Co., Class B (Information
Technology)............................................... 16,590 1,066,486
Hennes & Mauritz AB, Series B+ (Consumer Discretionary)..... 6,180 206,993
SWITZERLAND -- 0.8%
Credit Suisse Group (Finance)............................... 1,440 286,228
Nestle SA+ (Consumer Staples)............................... 139 254,640
Roche Holdings AG (Healthcare).............................. 10 118,696
UNITED KINGDOM -- 3.9%
Astrazeneca PLC ADR (Healthcare)............................ 8,100 338,175
Barclays PLC (Finance)...................................... 10,200 293,109
BP Amoco (Energy)........................................... 30,180 304,647
British Airways PLC (Information & Entertainment)........... 40,800 266,253
British Telecommunications PLC (Utilities).................. 65 1,575
Colt Telecom Group PLC+ (Utilities)......................... 2,300 118,738
Imperial Chemical Industries PLC (Materials)................ 8,200 86,625
Peninsula & Oriental Steam Navigation Co. (Industrial &
Commercial)............................................... 10,200 169,209
Prudential Corp. PLC (Finance).............................. 16,500 321,962
Smith & Nephew PLC (Healthcare)............................. 104,600 351,438
SmithKline Beecham PLC (Healthcare)......................... 52,918 671,006
Standard Chartered PLC (Finance)............................ 9,840 156,561
------------
25,761,477
------------
TOTAL COMMON STOCK (cost $36,894,000)....................... 50,377,047
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GERMANY -- 0.0%
ProSieben Media AG 2.86% (Information & Entertainment)...... 10 581
------------
TOTAL PREFERRED STOCK (cost $499)........................... 581
------------
</TABLE>
---------------------
37
<PAGE> 38
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 25.6% AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND -- 17.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
K & F Industries, Inc., Series B 9.25% 2007................. $ 125,000 $ 120,000
ASSET-BACKED SECURITIES -- 1.1%
Advanta Mortgage Loan Trust 5.83% 2029...................... 89,901 89,844
Aesop Funding II LLC 6.22% 2001............................. 100,000 99,828
Capital Auto Receivables Asset 6.25% 2003................... 65,000 64,633
Chase Manhattan Auto Trust 6.50% 2001....................... 50,000 49,891
Daimler Benz Vehicle Owner Trust 5.23% 2001................. 31,486 31,432
Ford Credit Auto Owner Trust 6.20% 2002..................... 200,000 199,250
Money Store Trust 6.64% 2014................................ 120,000 119,700
Residential Funding Mortgage Secs I Mortgage 6.00% 2009..... 13,663 13,518
Sasco Floating Rate Commercial Mortgage 5.81% 2013.......... 54,770 54,770
USAA Auto Loan Grantor Trust 6.10% 2006..................... 42,042 41,567
World Omni Automobile Lease Trust 6.18% 2003................ 113,191 112,801
AUTOMOTIVE -- 0.6%
Accuride Corp., Series B 9.25% 2008......................... 65,000 59,150
Delco Remy International, Inc. 8.63% 2007................... 50,000 47,250
Delco Remy International, Inc. 10.63% 2006.................. 75,000 77,625
Dura Operating Corp. 9.00% 2009............................. 75,000 70,500
Federal Mogul Corp. 8.80% 2007.............................. 70,000 69,036
Johnstown America Industries, Inc. 11.75% 2005.............. 100,000 101,500
LDM Technologies, Inc. 10.75% 2007.......................... 40,000 34,000
Prestolite Electric, Inc. 9.63% 2008........................ 50,000 39,125
CABLE -- 0.7%
Adelphia Communications Corp. 7.88% 2009.................... 75,000 67,500
Century Communications Corp., Series B zero coupon 2008
(1)....................................................... 250,000 107,500
Charter Communication Holding LLC 8.63% 2009................ 140,000 129,500
Classic Cable, Inc. 9.88% 2008.............................. 45,000 44,944
Frontiervision Holding LP zero coupon 2007 (1).............. 35,000 31,150
Insight Midwest LP 9.75% 2009............................... 25,000 25,937
NTL Communications Corp. zero coupon 2008 (1)............... 175,000 122,500
CHEMICALS -- 0.6%
ARCO Chemical Co. 9.80% 2020................................ 85,000 86,700
Georgia Gulf Corp. 10.38% 2007.............................. 15,000 15,675
Lyondell Chemical Co. 9.63% 2007............................ 50,000 51,125
Lyondell Chemical Co. 9.88% 2007............................ 120,000 124,200
Pioneer Americas Acquisition Corp. 9.25% 2007............... 15,000 11,850
Royster Clark, Inc. 10.25% 2009............................. 60,000 55,200
Sovereign Speciality Chemicals Corp. 9.50% 2007............. 55,000 55,688
Texas Petrochemicals Corp. 11.13% 2006...................... 100,000 86,750
COMMUNICATIONS & MEDIA -- 1.3%
AMC Entertainment, Inc. 9.50% 2009 - 2011................... 225,000 198,312
Allbritton Communications Co. 9.75% 2007.................... 50,000 50,000
American Media Operations, Inc. 10.25% 2009................. 50,000 50,500
Benedek Communications Corp. zero coupon 2006 (1)........... 75,000 67,594
Chancellor Media Corp. 8.75% 2007........................... 50,000 51,000
Echostar DBS Corp. 9.38% 2009............................... 250,000 250,625
Fox Liberty Networks LLC zero coupon 2007 (1)............... 100,000 80,000
Granite Broadcasting Corp. 8.88% 2008....................... 15,000 14,325
Lin Holdings Corp. zero coupon 2008 (1)..................... 200,000 134,000
Sullivan Graphics, Inc. 12.75% 2005......................... 100,000 103,500
CONSUMER DISCRETIONARY -- 0.8%
Bell Sports, Inc. 11.00% 2008............................... 100,000 99,000
Duane Reade, Inc. 9.25% 2008................................ 200,000 195,500
Mattress Discounters Corp. 12.63% 2007...................... 50,000 48,750
Stater Brothers Holdings, Inc. 10.75% 2006.................. 75,000 75,187
</TABLE>
- ---------------------
38
<PAGE> 39
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
CONSUMER DISCRETIONARY (continued)
True Temper Sports, Inc. 10.88% 2008........................ $ 155,000 $ 147,056
Westpoint Stevens, Inc. 7.88% 2008.......................... 55,000 49,363
ENERGY -- 1.0%
Costilla Energy, Inc. 10.25% 2006 (2)....................... 130,000 37,375
Ico, Inc. 10.38% 2007....................................... 80,000 74,200
Kelley Oil & Gas Corp. 14.00% 2003.......................... 74,000 71,780
Key Energy Services, Inc. 14.00% 2009....................... 40,000 43,650
P&L Coal Holdings Corp. 9.63% 2008.......................... 250,000 243,125
Plains Resources, Inc. 10.25% 2006.......................... 50,000 48,750
Pride International, Inc. 10.00% 2009....................... 50,000 51,375
Rbf Finance Co. 11.38% 2009................................. 130,000 140,400
Tuboscope Vetco International, Inc. 7.50% 2008.............. 100,000 84,440
FINANCE -- 0.9%
American General Finance Corp. 6.88% 2001................... 60,000 59,748
Arcadia Financial Ltd. 11.50% 2007.......................... 40,000 41,200
Citicorp 6.14% 2003......................................... GBP 50,000 79,499
Ford Motor Credit Co. 6.70% 2004............................ 50,000 48,937
General Motors Acceptance Corp. 6.85% 2004.................. 50,000 49,160
Resource America, Inc. 12.00% 2004.......................... 85,000 71,188
Wells Fargo & Co. 6.32% 2001................................ 130,000 130,209
Western Financial Savings Bank 8.88% 2007................... 225,000 208,125
FOOD & LODGING -- 0.7%
Aurora Foods, Inc., Series B 8.75% 2008..................... 50,000 47,750
Aurora Foods, Inc., Series D 9.88% 2007..................... 25,000 25,437
B & G Foods Corp. 9.63% 2007................................ 100,000 89,000
Chiquita Brands International, Inc. 10.00% 2009............. 50,000 37,375
Delaware Monte Foods Co., Series B zero coupon 2007 (1)..... 165,000 126,019
Nash Finch Co. 8.50% 2008................................... 150,000 124,125
Vlasic 10.25% 2009.......................................... 100,000 95,375
GAMING -- 0.4%
Aztar Corp. 8.88% 2007...................................... 100,000 96,750
Hollywood Casino Corp. 11.25% 2007.......................... 100,000 104,250
Station Casinos, Inc. 8.88% 2008............................ 100,000 95,750
HEALTHCARE -- 0.6%
Alaris Medical Systems, Inc. 9.75% 2006..................... 50,000 43,250
Alaris Medical, Inc. zero coupon 2008 (1)................... 100,000 42,875
Beverly Enterprises, Inc. 9.00% 2006........................ 70,000 64,400
Mediq Prn Life Support Services 11.00% 2008................. 100,000 38,750
Owens & Minor, Inc. 10.88% 2006............................. 50,000 50,875
Tenet Healthcare Corp. 8.13% 2008........................... 75,000 69,750
Triad Hospitals 11.00% 2009................................. 100,000 104,000
Universal Hospital Services, Inc. 10.25% 2008............... 100,000 71,875
INDUSTRIAL & COMMERCIAL -- 0.4%
General Motors Corp. 6.88% 2004............................. GBP 40,000 63,796
Grove Worldwide LLC, Inc. 9.25% 2008........................ 70,000 20,300
Neenah Foundry Co. 11.13% 2007.............................. 20,000 18,550
Raytheon Co. 6.75% 2007..................................... 70,000 65,305
WESCO Distribution, Inc., Series B 9.13% 2008............... 70,000 65,625
Werner Holding Delaware, Inc. 10.00% 2007................... 30,000 29,325
WMX Technologies, Inc. 7.00% 2006........................... 100,000 87,455
INFORMATION & ENTERTAINMENT -- 0.1%
Loews Ciniplex Entertainment Corp. 8.88% 2008............... 125,000 110,625
</TABLE>
---------------------
39
<PAGE> 40
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
INFORMATION TECHNOLOGY -- 0.8%
Advanced Micro Devices, Inc. 11.00% 2003.................... $ 75,000 $ 73,875
DecisionOne Holdings Corp. zero coupon 2008(1).............. 150,000 1,125
Exodus Communications, Inc. 11.25% 2008..................... 75,000 77,812
Fairchild Semiconductor Corp. 10.13% 2007................... 150,000 153,000
Fairchild Semiconductor Corp. 10.38% 2007................... 30,000 30,675
Fisher Scientific International, Inc. 9.00% 2008............ 50,000 48,000
South Carolina G Holding Corp./Semiconductor 12.00% 2009.... 90,000 96,075
Telecommunications Techniques 9.75% 2008.................... 140,000 128,450
MATERIALS -- 0.3%
Alaska Steel Corp. 7.88% 2009............................... 50,000 47,125
American Standard Cos., Inc. 8.25% 2009..................... 50,000 48,125
Falcon Building Products, Inc. zero coupon 2007(1).......... 50,000 37,250
LTV Corp. 11.75% 2009....................................... 65,000 67,763
Nortek, Inc. 9.25% 2007..................................... 50,000 48,875
MUNICIPAL BONDS -- 0.2%
Austin Texas Rental Car Special Facility Revenue 6.13%
2007...................................................... 50,000 45,987
Philadelphia Pennsylvania Authority For Industrial
Development Pension Funding 5.64% 2006.................... 40,000 36,337
Worcester MA 5.50% 2007..................................... 50,000 44,649
PAPER PRODUCTS -- 0.2%
Gaylord Container Corp. 9.38% 2007.......................... 125,000 115,938
Packaging Corp. of America 9.63% 2009....................... 40,000 41,150
REAL ESTATE -- 0.4%
Avalon Bay Communitys, Inc. 6.50% 2003...................... 75,000 71,651
Engle Homes, Inc., Series C 9.25% 2008...................... 45,000 40,500
Spieker Properties LP 6.80% 2004............................ 55,000 52,501
Toll Corp. 8.13% 2009....................................... 100,000 92,500
Webb Delaware Corp. 10.25% 2010............................. 75,000 71,813
TELECOMMUNICATIONS -- 3.3%
Alaska Communications Holdings, Inc. 9.38% 2009............. 50,000 48,375
BTI Telecommunications Corp. 10.50% 2007.................... 100,000 92,000
Concentric Network Corp. 12.75% 2007........................ 150,000 158,625
Covad Communications Group, Inc. 12.50% 2009................ 50,000 52,000
Crown Castle International Corp. zero coupon 2007(1)@....... 50,000 37,563
e.spire Communications, Inc. zero coupon 2008(1)............ 150,000 57,375
GCI, Inc. 9.75% 2007........................................ 250,000 229,375
Globalstar LP 10.75% 2004................................... 75,000 48,000
GST Network Funding, Inc. zero coupon 2008(1)............... 105,000 50,269
GST Telecommunications, Inc. 12.75% 2007.................... 60,000 56,250
Hyperion Telecommunications, Inc. zero coupon 2003(1)....... 90,000 80,100
Hyperion Telecommunications, Inc. 12.25% 2004............... 50,000 53,500
ITC DeltaCom, Inc. 9.75% 2008............................... 75,000 75,563
Intermedia Communications, Inc. 8.88% 2007.................. 225,000 209,250
Iridium LLC 10.88% 2005(2).................................. 20,000 1,000
Iridium LLC 11.25% 2005(2).................................. 75,000 3,750
KMC Telecom Holdings, Inc. zero coupon 2008(1).............. 330,000 178,612
MGC Communications, Inc., Series B 13.00% 2004.............. 75,000 74,813
McLeodUSA, Inc. 8.13% 2009.................................. 50,000 46,625
McLeodUSA, Inc. 9.25% 2007.................................. 50,000 50,125
McLeodUSA, Inc. 9.50% 2008.................................. 75,000 75,937
Nextel Communications, Inc. zero coupon 2007(1)............. 450,000 320,625
Nextlink Communications, Inc. zero coupon 2008(1)........... 150,000 95,250
PSINet, Inc. 10.00% 2005.................................... 125,000 124,062
PSINet, Inc. 11.50% 2008.................................... 25,000 26,188
Paging Network, Inc. 10.13% 2007............................ 100,000 33,500
</TABLE>
- ---------------------
40
<PAGE> 41
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORE BOND (continued)
TELECOMMUNICATIONS (continued)
RCN Corp. zero coupon 2008(1)............................... $ 125,000 $ 82,187
Time Warner Telecom, Inc. 9.75% 2008........................ 25,000 25,625
Verio , Inc. 11.25% 2008.................................... 150,000 157,500
Viatel, Inc. 11.25% 2008.................................... 80,000 79,600
U.S. GOVERNMENT & AGENCIES -- 2.3%
Federal Home Loan Banks 5.63% 2003.......................... GBP 75,000 116,714
Government National Mortgage Association 6.00% 2009......... 100,147 96,207
Government National Mortgage Association 6.50% 2029......... 79,857 74,941
Government National Mortgage Association 7.00% 2029......... 323,675 312,547
United States Treasury Bonds 6.13% 2027..................... 15,000 13,959
United States Treasury Bonds 6.13% 2029..................... 300,000 285,984
United States Treasury Bonds 6.25% 2023..................... 887,000 836,272
United States Treasury Bonds 10.75% 2005.................... 50,000 59,633
UTILITIES -- 0.3%
Energy Corp. America 9.50% 2007............................. 200,000 140,000
National Rural Utilities Cooperative Finance 5.95% 2003..... 100,000 97,388
------------
13,526,564
------------
GLOBAL CORE BOND -- 8.5%
ARGENTINA -- 0.4%
Acindar Industria Argentina de Aceros SA 11.25% 2004........ 55,000 42,900
Cablevision S A 13.75% 2009................................. 40,000 39,500
Disco SA 9.88% 2008......................................... 125,000 109,285
Multicanal S A 13.13% 2009.................................. 90,000 88,875
Republic of Argentina 11.75% 2009 - 2011.................... 82,000 61,452
BERMUDA -- 0.1%
RSL Communications PLC 12.00% 2008.......................... 100,000 100,375
BRAZIL -- 0.3%
Aracruz Celulose 10.38% 2002................................ 100,000 99,054
CSN Iron SA 9.13% 2007*..................................... 100,000 83,250
Companhia Vale do Rio Doce zero coupon 2009(3)(1)........... BRL 2,000 0
Federative Republic of Brazil 11.63% 2004................... 75,000 74,438
CANADA -- 0.6%
Acetex Corp. 9.75% 2003..................................... 75,000 68,062
Clearnet Communications, Inc. zero coupon 2009(1)........... 125,000 74,844
Consumers Packaging, Inc. 9.75% 2007........................ 55,000 39,600
Doman Industries Ltd. 12.00% 2004........................... 75,000 78,000
Province of Ontario 6.25% 2008.............................. NZD 330,000 152,233
Repap New Brunswick, Inc. 9.00% 2004........................ 35,000 34,038
CHILE -- 0.1%
SCL Term Aereo Santiago S A 6.95% 2012...................... 100,000 87,473
FRANCE -- 1.3%
Government of France 3.00% 2001............................. EUR 300,000 297,415
Government of France 6.00% 2025............................. EUR 49,000 49,656
Republic of France 3.50% 2004............................... EUR 590,000 564,055
Republic of France 4.00% 2009............................... EUR 150,000 134,481
GERMANY -- 1.2%
Republic of Germany 6.25% 2024.............................. EUR 930,000 971,966
INDONESIA -- 0.1%
Pindo Deli Finance Mauritius Ltd. 10.75% 2007............... 100,000 72,750
ITALY -- 0.1%
Republic of Italy 6.50% 2027................................ EUR 36,151 38,037
</TABLE>
---------------------
41
<PAGE> 42
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
GLOBAL CORE BOND (continued)
JAPAN -- 2.2%
Government of Japan 0.90% 2008.............................. JPY $25,000,000 $ 226,990
Government of Japan 2.40% 2007.............................. JPY 38,300,000 400,609
Japan Government Bond 213 Fwd 1.40% 2009.................... JPY 28,900,000 274,433
Japanese Government Bond No 43 2.90% 2019................... JPY 76,000,000 809,838
MEXICO -- 0.6%
Alestra S De R L De CV 12.13% 2006*......................... 125,000 125,938
Petroleos Mexicanos 8.85% 2007.............................. 250,000 240,000
Satelites Mexicanos S A De C V 10.13% 2004.................. 100,000 68,000
United Mexican States 10.38% 2009........................... 35,000 37,275
SUPRANATIONALS -- 0.6%
Euro Investment Bank 3.00% 2006............................. JPY 33,000,000 359,457
Euro Investment Bank 7.63% 2006............................. GBP 90,000 153,685
SWEDEN -- 0.1%
Kingdom of Sweden 9.00% 2009................................ SEK 800,000 115,652
TRINIDAD & TOBAGO -- 0.1%
Trinidad & Tobago Republic 9.88% 2009....................... 40,000 40,300
UNITED KINGDOM -- 0.7%
British Gas International Finance BV 5.38% 2009............. GBP 70,000 100,181
Dunlop Standard Aerospace Holdings PLC 11.88% 2009.......... 85,000 87,337
National Westminster Bank PLC 7.38% 2009.................... 25,000 24,431
United Kingdom Treasury 7.75% 2006.......................... GBP 100,000 176,875
Xerox Capital Europe PLC 5.75% 2002......................... 120,000 115,742
Zsc Specialty 11.00% 2009*.................................. 75,000 77,813
------------
6,796,295
------------
TOTAL BONDS & NOTES (cost $21,529,700)...................... 20,322,859
------------
<CAPTION>
RIGHTS -- 0.0% SHARES
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
SOUTH KOREA -- 0.0%
LG Investments and Securities 1/12/00 (Finance)............. 2,231 5,894
------------
5,894
------------
TOTAL RIGHTS (cost $15,498)................................. 5,894
------------
<CAPTION>
WARRANTS -- 0.2%+
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Banque Nationale de Paris 7/15/02 (Finance)................. 2,873 13,255
KMC Telecom Holdings, Inc. 4/15/08
(Telecommunications)(2)(3) ............................... 330 825
Siam Commercial Bank 6/22/04 (Finance)...................... 1,567 645
Siam Commercial Bank 5/10/02 (Finance)...................... 216,100 100,405
------------
TOTAL WARRANTS (cost $912).................................. 115,130
------------
TOTAL INVESTMENT SECURITIES (cost $58,440,609).............. 70,821,511
------------
</TABLE>
- ---------------------
42
<PAGE> 43
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 8.2% AMOUNT VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE SHORT-TERM NOTES -- 6.9%
Abbey National Treasury International 6.13% due 8/4/00...... $ 250,000 $ 249,905
Aegon NV 5.99% due 2/4/00................................... 260,000 259,146
American General Finance Corp. 5.99% due 2/15/00............ 300,000 298,019
Apreco, Inc. 6.10% due 2/24/00.............................. 250,000 247,982
Bayerische Vereinsbank AG 6.38% due 9/6/00.................. 300,000 299,340
Co Op Centrale Rabobank 6.38% due 6/20/00................... 200,000 200,221
Co Op Centrale Rabobank 6.63% due 4/28/00................... 79,000 79,130
Columbia University Trustees New York 5.89% due 12/15/00.... 100,000 99,491
Delaware Funding Corp. 6.30% due 2/18/00.................... 250,000 247,978
Deutsche Bank AG 5.90% due 2/14/00.......................... 260,000 260,029
Diageo PLC 5.90% due 4/7/00................................. 200,000 199,760
Ew Scripps Co. 5.80% due 2/25/00............................ 150,000 148,759
Federal Republic of Germany 3.25% due 9/15/00............... 100,000 100,554
GTE Funding, Inc. 5.97% due 2/16/00......................... 295,000 292,981
I.B.R.D. World Bank 6.00% due 8/22/00....................... 73,000 72,986
Inter-American Development Bank 6.38% due 8/1/00............ 100,000 100,204
International Bank for Reconstruction & Development 5.15%
due 3/23/00+.............................................. 300,000 299,522
KFW International 5.75% due 12/1/00......................... 100,000 99,227
MCI Communications Corp. 7.13% due 1/20/00.................. 90,000 90,048
Morgan, J.P. & Co., Inc. 5.95% due 2/24/00.................. 200,000 198,385
National Rural Utilities Cooperative Finance Corp. 5.75% due
2/18/00................................................... 130,000 129,059
Preferred Receivables Funding 5.82% due 2/28/00............. 250,000 247,815
Premier Auto Trust 5.82% due 12/8/00........................ 23,289 23,282
Premier Auto Trust 6.75% due 11/6/00........................ 25,785 25,810
Private Export Funding Corp. 5.82% due 2/28/00.............. 100,000 99,130
Prudential Funding 5.51% due 12/21/00(3).................... 200,000 199,640
Riverwoods Funding Corp. 6.02% due 2/15/00.................. 300,000 297,742
Svenska Handlsbnkn 5.97% due 2/18/00........................ 250,000 250,054
Telstra Corporation Ltd. 6.05% due 3/27/00.................. 100,000 98,505
Toyota Motor Credit 6.25% due 3/27/00....................... 150,000 148,033
Wells Fargo & Co. 5.31% due 3/31/00......................... 140,000 139,717
------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $5,511,945).......... 5,502,454
------------
U.S. GOVERNMENT -- 1.3%
United States Treasury Bills 4.94% due 2/3/00 (cost
$1,020,363)............................................... 1,025,000 1,020,922
------------
TOTAL SHORT-TERM SECURITIES (cost $6,532,308)............... 6,523,376
------------
</TABLE>
---------------------
43
<PAGE> 44
<TABLE>
<CAPTION>
REPURCHASE AGREEMENT -- 4.8% VALUE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Joint Repurchase Agreement Account (See Note 3)
(cost $3,830,000)......................................... 3,830,000
------------
TOTAL INVESTMENTS --
(cost $68,802,917) 102.4% 81,174,887
Forward commitments -- (0.3) (258,550)
Liabilities in excess of other assets -- (2.1) (1,646,198)
------ ------------
NET ASSETS -- 100.0% $79,270,139
====== ============
</TABLE>
-----------------------------
+ Non-income producing security
* Resale restricted to qualified buyers
@ Security represents an investment in an affiliated company
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(2) Bond in default
(3) Fair valued security, See Note 2
<TABLE>
<CAPTION>
CONTRACTED PRINCIPAL
FORWARD COMMITMENTS SETTLEMENT DATE AMOUNT VALUE
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government of New Zealand 7.00% 2009.............. 2/14/00 NZD (280,000) $ (143,024)
United Kingdom Treasury 8.00% 2001(3)............. 1/21/00 GBP (50,000) (115,526)
------------
TOTAL FORWARD COMMITMENTS (proceeds $263,021)..... $ (258,550)
============
</TABLE>
OPEN FUTURES CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF EXPIRATION VALUE AT VALUE AS OF APPRECIATION/
CONTRACTS DESCRIPTION DATE TRADE DATE DECEMBER 31, 2000 DEPRECIATION
-----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
4 Short HANG SENG Index Futures --
Hong Kong Futures Exchange........ January 2000 $ 408,606 $ 436,611 $(28,005)
7 Short S&P 500 Index Futures --
Chicago Mercantile Exchange....... March 2000 2,510,200 2,602,250 (92,050)
5 Long DAX Index Futures --
Eurex Deutschland Exchange........ March 2000 542,897 562,241 19,344
5 Long DAX Index Futures --
Eurex Deutschland Exchange........ March 2000 784,169 880,483 96,314
1 Long MIB30 Index Futures --
Milan Stock Exchange.............. March 2000 201,369 217,365 15,996
7 Long IBEX PLUS index Futures --
Meff Renta Variable Exchange...... January 2000 801,699 823,772 22,073
4 Long SPI Index Futures --
Sydney Futures Exchange........... March 2000 204,243 205,350 1,107
10 Long TOPIX Index Futures --
Tokyo Stock Exchange.............. March 2000 1,547,555 1,672,610 125,055
10 Long EURO-BUND Futures --
Eurex Deutschland Exchange........ March 2000 1,061,076 1,043,899 (17,177)
9 Long OMX Index Futures --
OML London Exchange............... January 2000 108,108 127,055 18,947
--------
Net Unrealized Appreciation..................................................... $161,604
========
</TABLE>
- ---------------------
44
<PAGE> 45
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
USD 680,676 AUD 1,057,000 03/31/00 $ 14,011
*USD 595,298 CAD 880,000 01/20/00 14,617
USD 387,412 CAD 567,000 01/20/00 5,568
USD 129,413 CAD 191,000 01/20/00 2,967
*EUR 98,000 USD 102,425 01/12/00 3,617
*EUR 198,000 USD 207,221 01/20/00 7,472
*EUR 2,260,200 USD 2,365,412 01/20/00 85,250
GBP 430,000 USD 698,793 01/26/00 4,123
*USD 263,906 JPY 27,400,000 01/12/00 4,814
*USD 64,582 KRW 76,400,000 02/09/00 2,702
USD 131,554 KRW 155,300,000 02/22/00 5,214
*USD 122,160 NZD 240,000 02/14/00 3,337
USD 80,273 PLN 340,000 01/27/00 1,153
USD 100,000 PLN 423,000 01/27/00 1,305
USD 126,458 SEK 1,049,600 02/22/00 2,650
--------
$158,800
========
</TABLE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
*CAD 378,000 USD 255,104 01/20/00 $ (6,883)
*USD 805,680 EUR 746,000 01/12/00 (53,533)
USD 137,591 EUR 136,000 01/12/00 (471)
*USD 52,881 EUR 51,000 01/20/00 (1,430)
*USD 55,012 EUR 53,000 01/20/00 (1,544)
USD 3,386,728 EUR 3,124,000 01/21/00 (234,904)
*JPY 83,568,820 USD 805,832 01/12/00 (13,753)
JPY 87,394,000 USD 827,603 01/21/00 (30,792)
JPY 18,800,000 USD 181,643 02/01/00 (3,353)
JPY 17,878,000 USD 171,221 02/09/00 (4,922)
JPY 14,710,000 USD 142,263 02/22/00 (2,962)
JPY 34,995,000 USD 355,845 02/22/00 (9,645)
JPY 12,100,000 USD 119,153 02/22/00 (305)
*KRW 76,400,000 USD 64,283 02/09/00 (1)
*NZD 296,000 USD 150,406 02/14/00 (4,373)
USD 171,224 SGD 283,890 02/09/00 (377)
---------
(369,248)
---------
Net Unrealized
Depreciation $(210,448)
=========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting or partially offsetting open forward foreign currency
contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AUD -- Australian Dollar JPY -- Japanese Yen SEK -- Swedish Krona
CAD -- Canadian Dollar KRW -- South Korean Won SGD -- Singapore Dollar
EUR -- Euro Dollar NZD -- New Zealand Dollar USD -- United States Dollar
GBP -- Pound Sterling PLN -- Polish Zloty
</TABLE>
See Notes to Financial Statements
---------------------
45
<PAGE> 46
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investment securities, at value*............................ $ -- $443,605,797
Short-term securities*...................................... 59,278,059 20,192,564
Repurchase agreements (cost equals market).................. 4,215,000 10,770,000
Cash........................................................ 4,477 2,175
Foreign currency............................................ -- --
Receivables for --
Fund shares sold.......................................... 95,385 3,525,261
Dividends and interest.................................... 391,756 5,962,680
Sales of investments...................................... -- --
Foreign currency contracts................................ -- --
Due from adviser............................................ -- --
Prepaid expenses............................................ 704 3,901
Unrealized appreciation on forward foreign currency
contracts................................................. -- --
------------------------------
63,985,381 484,062,378
------------------------------
LIABILITIES:
Payables for --
Purchases of investments.................................. -- --
Fund shares redeemed...................................... 671,320 3,135,675
Management fees........................................... 26,579 243,241
Foreign currency contracts................................ -- --
Variation margin on futures contracts..................... -- --
Other accrued expenses...................................... 65,168 111,372
Forward commitment contracts................................ -- --
Unrealized depreciation on forward foreign currency
contracts................................................. -- --
Due to custodian............................................ -- --
------------------------------
763,067 3,490,288
------------------------------
NET ASSETS:................................................. $63,222,314 $480,572,090
------------------------------
------------------------------
Shares of beneficial interest outstanding (unlimited shares
authorized)............................................... 63,222,314 35,120,300
Net asset value per share................................... $ 1.00 $ 13.68
------------------------------
------------------------------
COMPOSITION OF NET ASSETS:
Capital paid in............................................. $63,222,314 479,899,255
Accumulated undistributed net investment income............. -- 24,300,344
Accumulated undistributed net realized gain (loss) on
investments, futures contracts and foreign currency....... -- (1,913,447)
Unrealized appreciation (depreciation) of investments....... -- (21,714,062)
Unrealized foreign exchange gain (loss) on other assets and
liabilities............................................... -- --
Unrealized appreciation (depreciation) on futures
contracts................................................. -- --
------------------------------
$63,222,314 $480,572,090
------------------------------
------------------------------
---------------
*Cost
Investment securities...................................... $ -- $465,213,914
------------------------------
------------------------------
Short-term securities...................................... $59,278,059 $ 20,298,509
------------------------------
------------------------------
</TABLE>
See Notes to Financial Statements
- ---------------------
46
<PAGE> 47
<TABLE>
<CAPTION>
GROWTH AND CAPITAL NATURAL STRATEGIC
HIGH YIELD INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$19,485,083 $49,543,674 $843,245,744 $1,771,499,031 $53,985,054 $124,413,832 $70,821,511
-- -- -- 70,871,076 -- 771,494 6,523,376
140,000 290,000 22,875,000 176,595,000 20,000 3,715,000 3,830,000
-- 454 485 2,212,737 530 1,719 1,469
-- -- -- -- 3,166 -- 1,605
-- 7,426 4,225,685 7,586,779 325,641 16,303 10,679
530,906 41,858 421,574 426,513 64,388 745,285 586,286
91,254 -- 65,448 723,939 270,118 -- 288,509
-- -- -- -- 270,787 -- 39,887
-- -- -- -- -- -- 5,999
231 439 5,984 10,593 490 1,264 608
-- -- -- -- -- -- 158,800
- ---------------------------------------------------------------------------------------------------------
20,247,474 49,883,851 870,839,920 2,029,925,668 54,940,174 129,664,897 82,268,729
- ---------------------------------------------------------------------------------------------------------
-- -- 402,268 30,782,421 -- -- 2,117,862
12,466 92,762 1,021,621 11,018,169 193,746 30,532 16,649
12,139 29,245 468,739 946,354 32,760 108,899 64,938
-- -- -- -- 270,118 -- 39,791
-- -- -- -- -- 4,000 10,758
57,003 52,031 182,272 291,213 52,642 79,547 120,794
-- -- -- -- -- -- 258,550
-- -- -- -- -- -- 369,248
88,926 -- -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------
170,534 174,038 2,074,900 43,038,157 549,266 222,978 2,998,590
- ---------------------------------------------------------------------------------------------------------
$20,076,940 $49,709,813 $868,765,020 $1,986,887,511 $54,390,908 $129,441,919 $79,270,139
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
3,281,418 2,367,248 22,554,101 34,842,882 3,352,303 10,286,651 6,736,874
$ 6.12 $ 21.00 $ 38.52 $ 57.02 $ 16.22 $ 12.58 $ 11.77
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
24,973,191 25,414,634 435,340,215 913,276,889 49,174,631 74,150,915 56,156,437
2,094,849 230,707 1,422,103 1,884,487 474,905 2,683,699 1,610,943
(5,138,476) 6,450,927 96,993,271 232,911,248 (4,448,020) 21,764,052 9,196,139
(1,852,624) 17,613,545 335,009,431 838,825,839 9,189,027 30,858,208 12,371,970
-- -- -- (10,952) 365 -- (226,954)
-- -- -- -- -- (14,955) 161,604
- ---------------------------------------------------------------------------------------------------------
$20,076,940 $49,709,813 $868,765,020 $1,986,887,511 $54,390,908 $129,441,919 $79,270,139
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
$21,337,707 $31,930,129 $508,236,313 $ 932,673,192 $44,796,027 $ 93,555,624 $58,440,609
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ 70,871,076 $ -- $ 771,494 $ 6,532,308
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
</TABLE>
---------------------
47
<PAGE> 48
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------------
<S> <C> <C>
NET INVESTMENT INCOME:
Income:
Interest.................................................. $3,596,942 $27,040,904
Dividends................................................. -- --
----------------------------
Total income*...................................... 3,596,942 27,040,904
----------------------------
EXPENSES:
Investment management fees................................ 342,592 2,620,065
Custodian fees............................................ 65,490 166,763
Audit and tax consulting fees............................. 36,675 19,295
Reports to investors...................................... 2,935 65,135
Trustees' fees............................................ 2,861 15,286
Legal fees................................................ 2,895 6,205
Insurance expense......................................... 974 2,611
Other expenses............................................ 4,169 5,792
----------------------------
Total expenses before custody credits.............. 458,591 2,901,152
Custody credits earned on cash balances............ (795) (218)
----------------------------
Net expenses.............................................. 457,796 2,900,934
----------------------------
Net investment income....................................... 3,139,146 24,139,970
----------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain (loss) on investments#.................... 7,663 (1,655,132)
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- --
Net realized gain (loss) on futures contracts............... -- --
Change in unrealized appreciation/depreciation of
investments............................................... -- (28,579,504)
Change in unrealized foreign exchange gain/loss on other
assets and liabilities.................................... -- --
Change in unrealized appreciation/depreciation on futures
contracts................................................. -- --
----------------------------
Net realized and unrealized gain (loss) on investments and
foreign currencies........................................ 7,663 (30,234,636)
----------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $3,146,809 ($6,094,666)
----------------------------
----------------------------
---------------
* Net of foreign withholding taxes on interest and
dividends of.............................................. $ -- $ --
----------------------------
----------------------------
# Net of foreign withholding taxes on capital gains of...... $ -- $ --
----------------------------
----------------------------
</TABLE>
See Notes to Financial Statements
- ---------------------
48
<PAGE> 49
- ---------------------
<TABLE>
<CAPTION>
GROWTH CAPITAL NATURAL STRATEGIC
HIGH YIELD AND INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,287,242 $ 21,282 $ 1,128,291 $ 5,653,476 $ 61,139 $ 3,324,873 $ 1,882,681
60,973 677,342 5,892,679 5,385,462 922,373 828,339 405,314
- -----------------------------------------------------------------------------------------------------
2,348,215 698,624 7,020,970 11,038,938 983,512 4,153,212 2,287,995
- -----------------------------------------------------------------------------------------------------
158,949 355,107 4,904,393 8,167,469 376,120 1,365,768 588,576
48,921 46,218 185,722 273,018 60,513 61,511 209,412
42,450 36,740 -- -- 35,110 25,635 55,350
-- 5,890 130,000 242,750 15,770 3,810 --
2,314 3,624 30,855 54,256 2,508 5,556 2,371
7,165 12,020 10,640 13,345 4,185 4,740 4,045
483 383 4,224 6,504 499 1,698 879
2,961 2,039 10,387 10,311 4,536 4,092 2,273
- -----------------------------------------------------------------------------------------------------
263,243 462,021 5,276,221 8,767,653 499,241 1,472,810 862,906
(166) (93) (852) (4,458) (133) (156) (1,372)
- -----------------------------------------------------------------------------------------------------
263,077 461,928 5,275,369 8,763,195 499,108 1,472,654 861,534
- -----------------------------------------------------------------------------------------------------
2,085,138 236,696 1,745,601 2,275,743 484,404 2,680,558 1,426,461
- -----------------------------------------------------------------------------------------------------
(2,182,287) 6,458,624 96,726,357 243,607,186 (369,964) 22,104,039 9,163,556
-- -- -- (1,936) (1,166) -- (71,685)
-- -- -- -- -- (479,135) 328,500
1,519,578 759,336 81,579,374 519,981,745 15,443,502 (8,576,025) 5,644,669
-- -- -- (6,845) 354 -- (235,946)
-- -- -- -- -- 153,571 137,810
- -----------------------------------------------------------------------------------------------------
(662,709) 7,217,960 178,305,731 763,580,150 15,072,726 13,202,450 14,966,904
- -----------------------------------------------------------------------------------------------------
$ 1,422,429 $7,454,656 $180,051,332 $765,855,893 $15,557,130 $15,883,008 $16,393,365
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
$ -- $ 3,854 $ -- $ 129,551 $ 51,589 $ -- $ 30,342
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ -- $ -- $ 6,370
- -----------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------
</TABLE>
---------------------
49
<PAGE> 50
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND
PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................... $ 3,139,146 $ 24,139,970
Net realized gain (loss) on investments..................... 7,663 (1,655,132)
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- --
Net realized gain (loss) on futures contracts............... -- --
Change in unrealized appreciation/depreciation of
investments............................................... -- (28,579,504)
Change in unrealized foreign exchange gain/loss on other
assets and liabilities.................................... -- --
Change in unrealized appreciation/depreciation on futures
contracts................................................. -- --
--------------------------------
Net increase (decrease) in net assets resulting from
operations................................................ 3,146,809 (6,094,666)
--------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Distributions from capital gains............................ -- (6,865,000)
Dividends from net investment income........................ (3,146,809) (16,415,000)
--------------------------------
Total dividends and distributions to shareholders........... (3,146,809) (23,280,000)
--------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold................................... 179,814,249 339,390,559
Proceeds from shares issued for reinvestment of dividends
and distributions......................................... 3,146,809 23,280,000
Proceeds received from substitution (See Note 9)............ -- 14,298,099
Cost of shares repurchased.................................. (185,292,057) (242,689,277)
--------------------------------
Net increase (decrease) in net assets resulting from capital
share transactions........................................ (2,330,999) 134,279,381
--------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................... (2,330,999) 104,904,715
--------------------------------
NET ASSETS:
Beginning of period......................................... 65,553,313 375,667,375
--------------------------------
End of period............................................... $ 63,222,314 $ 480,572,090
--------------------------------
--------------------------------
---------------
Accumulated undistributed net investment income............. $ -- $ 24,300,344
--------------------------------
--------------------------------
Shares issued and repurchased:
Sold........................................................ 179,814,249 23,818,255
Issued in reinvestment of dividends and distributions....... 3,146,809 1,709,251
Received from substitution (See Note 9)..................... -- 1,006,200
Repurchased................................................. (185,292,057) (17,081,841)
--------------------------------
Net increase (decrease)..................................... (2,330,999) 9,451,865
--------------------------------
--------------------------------
</TABLE>
See Notes to Financial Statements
- ---------------------
50
<PAGE> 51
- ---------------------
<TABLE>
<CAPTION>
GROWTH CAPITAL NATURAL STRATEGIC
HIGH YIELD AND INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,085,138 $ 236,696 $ 1,745,601 $ 2,275,743 $ 484,404 $ 2,680,558 $ 1,426,461
(2,182,287) 6,458,624 96,726,357 243,607,186 (369,964) 22,104,039 9,163,556
-- -- -- (1,936) (1,166) -- (71,685)
-- -- -- -- -- (479,135) 328,500
1,519,578 759,336 81,579,374 519,981,745 15,443,502 (8,576,025) 5,644,669
-- -- -- (6,845) 354 -- (235,946)
-- -- -- -- -- 153,571 137,810
- ---------------------------------------------------------------------------------------------------------------
1,422,429 7,454,656 180,051,332 765,855,893 15,557,130 15,883,008 16,393,365
- ---------------------------------------------------------------------------------------------------------------
-- (6,790,000) (46,500,000) (60,660,000) -- (19,335,000) (8,025,000)
(2,865,000) (320,000) (2,155,000) (935,000) (660,000) (3,145,000) (1,065,000)
- ---------------------------------------------------------------------------------------------------------------
(2,865,000) (7,110,000) (48,655,000) (61,595,000) (660,000) (22,480,000) (9,090,000)
- ---------------------------------------------------------------------------------------------------------------
10,144,582 11,366,907 325,952,545 1,201,270,486 37,745,908 5,709,112 4,034,498
2,865,000 7,110,000 48,655,000 61,595,000 660,000 22,480,000 9,090,000
-- -- -- -- -- -- 26,895,440
(17,588,832) (21,301,389) (306,568,698) (1,080,884,798) (38,211,007) (38,862,170) (17,307,393)
- ---------------------------------------------------------------------------------------------------------------
(4,579,250) (2,824,482) 68,038,847 181,980,688 194,901 (10,673,058) 22,712,545
- ---------------------------------------------------------------------------------------------------------------
(6,021,821) (2,479,826) 199,435,179 886,241,581 15,092,031 (17,270,050) 30,015,910
- ---------------------------------------------------------------------------------------------------------------
26,098,761 52,189,639 669,329,841 1,100,645,930 39,298,877 146,711,969 49,254,229
- ---------------------------------------------------------------------------------------------------------------
$ 20,076,940 $ 49,709,813 $ 868,765,020 $ 1,986,887,511 $ 54,390,908 $129,441,919 $ 79,270,139
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
$ 2,094,849 $ 230,707 $ 1,422,103 $ 1,884,487 $ 474,905 $ 2,683,699 $ 1,610,943
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
1,507,875 520,129 9,411,183 28,555,128 2,562,721 419,596 364,726
478,297 358,006 1,455,429 1,450,659 41,147 1,892,256 880,813
-- -- -- -- -- -- 2,365,474
(2,544,489) (983,570) (8,893,880) (26,084,913) (2,643,067) (2,901,429) (1,580,847)
- ---------------------------------------------------------------------------------------------------------------
(558,317) (105,435) 1,972,732 3,920,874 (39,199) (589,577) 2,030,166
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
---------------------
51
<PAGE> 52
- ---------------------
ANCHOR SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
<TABLE>
<CAPTION>
GOVERNMENT &
MONEY MARKET QUALITY BOND HIGH YIELD
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income....................................... $ 3,455,742 $ 16,372,581 $ 2,892,197
Net realized gain (loss) on investments..................... -- 7,720,414 384,346
Net realized foreign exchange gain (loss) on other assets
and liabilities........................................... -- -- 4,058
Net realized gain on futures contracts...................... -- 229,447 --
Change in unrealized appreciation/depreciation of
investments............................................... -- 1,573,127 (4,005,538)
Change in unrealized foreign exchange gain/loss on other
assets and liabilities.................................... -- -- (2,745)
Change in unrealized appreciation/depreciation on futures
contracts................................................. -- -- --
----------------------------------------------------------
Net increase (decrease) in net assets resulting from
operations................................................ 3,455,742 25,895,569 (727,682)
----------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO SHAREHOLDERS:
Distributions from capital gains............................ -- (500,000) --
Dividends from net investment income........................ (3,455,742) (13,600,000) (3,760,000)
----------------------------------------------------------
Total dividends and distributions to shareholders........... (3,455,742) (14,100,000) (3,760,000)
----------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold................................... 172,261,459 327,025,063 16,456,461
Proceeds from shares issued for reinvestment of dividends
and distributions......................................... 3,138,912 14,100,000 3,760,000
Cost of shares repurchased.................................. (179,651,239) (211,876,204) (29,823,279)
----------------------------------------------------------
Net increase (decrease) in net assets resulting from capital
share transactions........................................ (4,250,868) 129,248,859 (9,606,818)
----------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................... (4,250,868) 141,044,428 (14,094,500)
----------------------------------------------------------
NET ASSETS:
Beginning of period......................................... 69,804,181 234,622,947 40,193,261
----------------------------------------------------------
End of period............................................... $ 65,553,313 $ 375,667,375 $ 26,098,761
----------------------------------------------------------
----------------------------------------------------------
Accumulated undistributed net investment income (loss)...... $ (1,211) $ 16,374,488 $ 2,844,811
----------------------------------------------------------
----------------------------------------------------------
Shares issued and repurchased:
Sold........................................................ 172,261,459 22,544,620 2,203,779
Issued in reinvestment of dividends and distributions....... 3,138,912 979,167 574,924
Repurchased................................................. (179,651,239) (14,658,468) (3,737,618)
----------------------------------------------------------
Net increase (decrease)..................................... (4,250,868) 8,865,319 (958,915)
----------------------------------------------------------
----------------------------------------------------------
</TABLE>
See Notes to Financial Statements
- ---------------------
52
<PAGE> 53
<TABLE>
<CAPTION>
GROWTH AND CAPITAL NATURAL STRATEGIC
INCOME GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 336,017 $ 2,185,018 $ 954,580 $ 710,724 $ 3,130,553 $ 1,037,331
6,821,664 46,595,637 51,248,404 (4,087,799) 18,483,095 8,083,476
-- -- (4,284) (2,583) -- (211,115)
-- -- -- -- 1,135,206 214,805
5,370,411 98,358,771 142,707,660 (5,229,472) 9,455,468 (1,765,867)
-- -- 3,437 2,784 -- 27,978
-- -- -- -- (210,376) (47,999)
------------------------------------------------------------------------------------------
12,528,092 147,139,426 194,909,797 (8,606,346) 31,993,946 7,338,609
------------------------------------------------------------------------------------------
(1,830,000) (31,210,000) (74,450,000) (425,000) (22,720,000) (7,725,000)
(400,000) (2,560,000) (500,000) (620,000) (3,675,000) (1,050,000)
------------------------------------------------------------------------------------------
(2,230,000) (33,770,000) (74,950,000) (1,045,000) (26,395,000) (8,775,000)
------------------------------------------------------------------------------------------
19,076,191 259,990,058 638,786,503 22,578,157 12,700,692 1,960,272
2,230,000 33,770,000 74,950,000 1,045,000 26,395,000 8,775,000
(23,831,304) (223,327,903) (547,361,436) (24,726,866) (43,668,103) (13,333,802)
------------------------------------------------------------------------------------------
(2,525,113) 70,432,155 166,375,067 (1,103,709) (4,572,411) (2,598,530)
------------------------------------------------------------------------------------------
7,772,979 183,801,581 286,334,864 (10,755,055) 1,026,535 (4,034,921)
------------------------------------------------------------------------------------------
44,416,660 485,528,260 814,311,066 50,053,932 145,685,434 53,289,150
------------------------------------------------------------------------------------------
$ 52,189,639 $ 669,329,841 $1,100,645,930 $ 39,298,877 $146,711,969 $ 49,254,229
------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------
$ 314,011 $ 2,119,618 $ 884,964 $ 651,667 $ 3,123,018 $ 1,023,157
------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------
1,003,191 8,911,772 19,386,978 1,680,379 925,146 172,090
131,408 1,337,426 2,741,404 94,144 2,259,846 975,000
(1,253,473) (7,621,126) (16,484,716) (1,853,949) (3,083,297) (1,164,033)
------------------------------------------------------------------------------------------
(118,874) 2,628,072 5,643,666 (79,426) 101,695 (16,943)
------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------
</TABLE>
---------------------
53
<PAGE> 54
- ---------------------
ANCHOR SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
NOTE 1. ORGANIZATION: Anchor Series Trust (the "Trust") was organized as a
business trust under the laws of the Commonwealth of Massachusetts on August 26,
1983. The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end diversified management investment company. Shares of the
portfolios are issued and redeemed only in connection with investments in and
payments under variable annuity contracts and variable life insurance policies.
The investment objectives for each portfolio are as follows:
The MONEY MARKET PORTFOLIO seeks current income consistent with stability of
principal through investment in a diversified portfolio of money market
instruments maturing in 397 days or less.
The GOVERNMENT & QUALITY BOND PORTFOLIO seeks relatively high current income,
liquidity and security of principal.
The HIGH YIELD PORTFOLIO seeks to produce high current income and secondarily
seeks capital appreciation by investing in high-yielding, high-risk, income
producing corporate bonds.
The GROWTH AND INCOME PORTFOLIO seeks to provide high current income and
long-term capital appreciation by investing primarily in securities that provide
the potential for growth and offer income, such as dividend-paying stocks and
securities convertible into common stock.
The GROWTH PORTFOLIO seeks capital appreciation primarily through investments in
growth equity securities.
The CAPITAL APPRECIATION PORTFOLIO seeks long-term capital appreciation by
investing in growth equity securities which are widely diversified by industry
and company.
The NATURAL RESOURCES PORTFOLIO seeks a total return through investment
primarily in equity securities of U.S. or foreign companies which are expected
to provide favorable returns in periods of rising inflation.
The MULTI-ASSET PORTFOLIO seeks long-term total investment return consistent
with moderate investment risk by investing in equity securities, convertible
securities, investment grade fixed income securities and money market
securities.
The STRATEGIC MULTI-ASSET PORTFOLIO seeks high long-term total investment return
by investing in equity securities, aggressive growth equity securities,
international equity securities, investment grade bonds, high-yield, high-risk
bonds and money market instruments.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES: The preparation of financial
statements in accordance with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales prices
reported on recognized securities exchanges or, for listed securities having no
sales reported and for unlisted securities, upon last-reported bid prices.
Nonconvertible bonds, debentures, and other long-term debt securities are valued
at prices obtained for the day of valuation from a bond pricing service of a
major dealer in bonds when such prices are available; however, in circumstances
where the investment adviser deems it appropriate to do so, an over-the-counter
or exchange quotation at the mean of representative bid or asked prices may be
used. Securities traded primarily on securities exchanges outside the United
States are valued at the last sale price on such exchanges on the day of
valuation, or if there is no sale on the day of valuation, at the last reported
bid price. If a security's price is available from more than one foreign
exchange, a portfolio uses the exchange that is the primary market for the
security. Except for the Money Market Portfolio, short-term securities with
original or remaining maturities in excess of 60 days are valued at the mean of
their quoted bid and ask prices. Discounts or premiums on short-term securities
with 60 days or less to maturity are amortized to maturity. Discounts and
premiums are determined based upon the cost of the securities to the Trust if
acquired within 60 days of maturity or, if already held by the Trust on the 60th
day, are amortized to maturity based on the value determined on the 61st day.
Securities for which quotations are not readily available are valued at fair
value as determined in good faith under the direction of the Trust's Trustees.
For the Money Market Portfolio, securities are valued at amortized cost, which
approximates market value. The amortized cost method involves valuing a security
at its cost on the date of purchase and thereafter assuming a constant
amortization to maturity of any discount or premium.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are maintained
in U.S. dollars.
Market values of investment securities are translated into U.S. dollars at the
prevailing rate of exchange on the valuation date.
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign currency contracts ("forward contracts") are translated into
U.S. dollars at the mean of the quoted bid and asked prices of such currencies
against the U.S. dollar. Purchases and sales of portfolio securities, including
forward commitments on securities are translated at the rate of exchange
- ---------------------
54
<PAGE> 55
prevailing when such securities were acquired or sold. Income and expenses are
translated at rates of exchange prevailing when earned or incurred.
The Trust does not isolate that portion of the results of operations arising
as a result of changes in the foreign exchange rates from the changes in the
market prices of securities held at fiscal year-end. The Trust does not isolate
the effect of changes in foreign exchange rates from the changes in the market
prices of portfolio securities sold during the year.
Realized foreign exchange gain/loss on other assets and liabilities and change
in unrealized foreign exchange gain/loss on other assets and liabilities include
realized foreign exchange gains and losses from currency gains or losses
realized between the trade and settlement dates of securities transactions, the
difference between the amounts of interest, dividends, discount and foreign
withholding taxes recorded on the Trust's books and the U.S. dollar equivalent
amounts actually received or paid and changes in the unrealized foreign exchange
gains and losses relating to other assets and liabilities arising as a result of
changes in the exchange rate.
SECURITIES TRANSACTIONS, DIVIDENDS, INVESTMENT INCOME AND EXPENSES: Securities
transactions are accounted for as of the trade date. Interest income is accrued
daily except when collection is not expected. Dividend income is recorded on the
ex-dividend date except for certain dividends from foreign securities which are
recorded as soon as the Trust is informed after the ex-dividend date. The Trust
does not amortize premiums or accrete discounts on fixed income securities,
other than short-term securities, except those original issue discounts for
which amortization is required for federal income tax purposes; gains and losses
realized upon the sale of such securities are based on their identified cost.
Portfolios which earn foreign income and capital gains may be subject to
foreign withholding taxes at various rates.
Common expenses incurred by the Trust are allocated among the portfolios based
upon relative net assets or other appropriate methods. In all other respects,
expenses are charged to each portfolio as incurred on a specific identification
basis.
The Trust records dividends and distributions to its shareholders on the
ex-dividend date.
The amount of dividends and distributions from net investment income and net
realized capital gains are determined and presented in accordance with federal
income tax regulations, which may differ from generally accepted accounting
principles. These "book/tax" differences are either considered temporary or
permanent in nature. To the extent these differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions which exceed net investment income and net realized
capital gains for financial reporting purposes but not for tax purposes are
reported as dividends in excess of net investment income or distributions in
excess of net realized capital gains. To the extent distributions exceed current
and accumulated earnings and profits for federal income tax purposes, they are
reported as distributions of paid-in capital. Net investment income/loss, net
realized gain/loss, and net assets are not affected.
For the year ended December 31, 1999, the reclassification arising from
book/tax differences resulted in increases (decreases) to the components of net
assets as follows:
<TABLE>
<CAPTION>
ACCUMULATED
UNDISTRIBUTED ACCUMULATED
NET REALIZED UNDISTRIBUTED PAID
INVESTMENT NET REALIZED IN
INCOME/LOSS GAIN/LOSS CAPITAL
<S> <C> <C> <C>
---------------------------------------------
Money Market Portfolio...................................... $ 8,874 $ (8,874) $ --
Government & Quality Bond Portfolio......................... 200,886 (250,571) 49,685
High Yield Portfolio........................................ 29,900 2,754,901 (2,784,801)
Growth and Income Portfolio................................. -- -- --
Growth Portfolio............................................ (288,116) 286,116 2,000
Capital Appreciation Portfolio.............................. (341,220) 341,220 --
Natural Resources Portfolio................................. (1,166) 6,242 (5,076)
Multi-Asset Portfolio....................................... 25,123 (25,123) --
Strategic Multi-Asset Portfolio............................. 226,325 (195,640) (30,685)
</TABLE>
Reclassifications are primarily due to differing book and tax treatments for
foreign currency transactions, market discount, paydowns, and expiring capital
loss carryovers.
NOTE 3. OPERATING POLICIES:
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the collateral
pledged for investments in repurchase agreements. The underlying collateral is
valued daily on a mark-to-market basis to assure that the value, including
accrued interest, is at least 102% of the repurchase price. In the event of
default of the obligation to repurchase, the Trust has the right to liquidate
the collateral and apply the proceeds in satisfaction of the obligation. If the
seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Trust may be delayed or limited.
At December 31, 1999, the Money Market, Government & Quality Bond, High Yield,
Growth and Income, Growth, Capital Appreciation, Natural Resources, Multi-Asset
and Strategic Multi-Asset Portfolios had a 1.9%, 4.7%, 0.1%, 0.1%, 10.0%, 77.5%,
0.0%, 1.6% and 1.7%, respectively, undivided interest, representing $4,215,000,
$10,770,000, $140,000, $290,000, $22,875,000, $176,595,000, $20,000, $3,715,000
and $3,830,000, respectively, in principal amount, in a joint repo with Lehman
Brothers, which is dated December 31, 1999, bears interest at the rate of 2.5%
per annum, has an aggregate principal amount of $227,795,000 and a
---------------------
55
<PAGE> 56
repurchase price of $227,842,457, matures on January 3, 2000, and is
collateralized by $150,000,000 of U.S. Treasury Bonds, which bear interest at a
rate of 6.86% per annum, matures 5/15/2017, and $193,475,000 of U.S. Treasury
Bonds, which bear interest at a rate of 5.77% per annum, matures 6/30/2000; and
have an approximate aggregate value of $234,628,849.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
contracts to attempt to protect securities and related receivables and payables
against changes in future foreign exchange rates. A forward contract is an
agreement between two parties to buy or sell currency at a set price on a future
date. The portfolio segregates assets equal to or greater than the value of the
open contracts. The market value of the contract will fluctuate with changes in
currency exchange rates. The contract is marked-to-market daily using the
forward rate and the change in market value is recorded by the portfolio as
unrealized gain or loss. Upon settlement date, the portfolio records either
realized gains or losses when the contract is closed equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. Risks may arise upon entering into these contracts from the
potential inability of counterparties to meet the terms of their contracts and
from unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. Forward contracts involve elements of risk in excess of the amount
reflected in the Statement of Assets and Liabilities. A portfolio bears the risk
of an unfavorable change in the foreign exchange rate underlying the forward
contract.
FORWARD COMMITMENTS: Each portfolio may enter into contracts to purchase or
sell securities for a fixed price at a future date beyond customary settlement
time ("forward commitments"). The forward commitments are marked-to-market daily
using the market value of the underlying security that is purchased or sold
under the commitment. The change in market value is recorded by the portfolio as
unrealized gain or loss of investments. When a commitment is closed, the
portfolio records a realized gain or loss equal to the difference between the
value of the commitment at the time it was opened and the value at the time it
was closed. The realized gain/loss is included with the realized gain/loss on
investments in the Statement of Operations. The portfolio assumes the risk of
any change in market value of the security beginning on the date of the
agreement. Forward commitments may involve elements of risk in excess of the
amount reflected in the Statement of Assets and Liabilities.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy or sell a financial instrument at a set price on a future date. Upon
entering into such a contract the Trust is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The contract amount reflects the extent of a portfolio's exposure in these
financial instruments. A portfolio's participation in the futures markets
involves certain risks, including imperfect correlation between movements in the
price of futures contracts and movements in the price of the securities hedged
or used for cover. The Trust's activities in futures contracts are conducted
through regulated exchanges which do not result in counterparty credit risks.
Pursuant to a contract the portfolios agree to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract. Such
receipts or payments are known as "variation margin" and are recorded by the
portfolios as unrealized appreciation or depreciation. When a contract is
closed, the portfolios record a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed.
NOTE 4. FEDERAL INCOME TAXES: It is each portfolio's policy to meet the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable net income to shareholders.
Therefore, no federal income tax provision is required. Each portfolio is
considered a separate entity for tax purposes.
At December 31, 1999, the cost of investment securities for tax purposes,
including short-term securities and aggregate gross unrealized gain (loss) for
each portfolio were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED GAIN (LOSS) COST OF CAPITAL LOSS
GAIN LOSS NET INVESTMENTS UTILIZED/EXPIRED
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Money Market Portfolio................ $ -- $ -- $ -- $ 63,493,059 $ --
Government & Quality Bond Portfolio*.. 786,347 (22,884,469) (22,098,122) 496,666,483 --
High Yield Portfolio*................. 365,822 (2,218,446) (1,852,624) 21,477,707 2,784,801
Growth and Income Portfolio........... 19,025,884 (1,412,339) 17,613,545 32,220,129 --
Growth Portfolio...................... 357,641,890 (24,528,604) 333,113,286 533,007,458 --
Capital Appreciation Portfolio**...... 875,332,536 (37,258,104) 838,074,432 1,180,890,675 --
Natural Resources Portfolio........... 11,870,494 (3,056,865) 8,813,629 45,191,425 10,509
Multi-Asset Portfolio................. 34,751,611 (3,893,403) 30,858,208 98,042,118 --
Strategic Multi-Asset Portfolio**..... 14,894,748 (2,698,790) 12,195,958 68,978,929 --
<CAPTION>
CAPITAL LOSS
CARRYOVER EXPIRATION
<S> <C> <C>
Money Market Portfolio................ $ -- --
Government & Quality Bond Portfolio*.. 945,427 2007
High Yield Portfolio*................. 4,763,765 2002-2007
Growth and Income Portfolio........... -- --
Growth Portfolio...................... -- --
Capital Appreciation Portfolio**...... -- --
Natural Resources Portfolio........... 4,072,622 2006
Multi-Asset Portfolio................. -- --
Strategic Multi-Asset Portfolio**..... -- --
</TABLE>
* Post 10/31 Capital Loss Deferrals: Government & Quality Bond $583,960 and
High Yield $344,811.
** Post 10/31 Foreign Exchange Loss Deferrals: Capital Appreciation $6,077 and
Strategic Multi-Asset $77,438.
NOTE 5. INVESTMENT MANAGEMENT AGREEMENTS: The Trust has entered into an
Investment Advisory and Management Agreement (the "Management Agreement") with
SunAmerica Asset Management Corp. ("SAAMCo"), an indirect wholly owned
subsidiary of American International Group, Inc., with respect to each
portfolio. SAAMCo serves as manager for each of the portfolios. The Management
Agreements provide that SAAMCo shall act as investment adviser to the Trust;
manage the Trust's investments; administer its business affairs; furnish
offices, necessary facilities and equipment; provide clerical, bookkeeping and
administrative services; and permit any of its officers or employees to serve,
without compensation, as trustees or officers of the Trust, if duly elected to
such positions.
- ---------------------
56
<PAGE> 57
The Trust pays SAAMCo a monthly fee calculated daily at the following annual
percentages of each portfolio's average daily net assets:
<TABLE>
<CAPTION>
AVERAGE DAILY MANAGEMENT
PORTFOLIO NET ASSETS FEE
- -------------------------------------------------------
<S> <C> <C>
Money Market $0-$150 million .500%
> $150
million .475%
> $250
million .450%
> $500
million .425%
Government & Quality
Bond $0-$200 million .625%
> $200
million .575%
> $500
million .500%
High Yield $0-$250 million .700%
> $250
million .575%
> $500
million .500%
Growth and Income $0-$100 million .700%
> $100
million .650%
> $250
million .600%
> $500
million .575%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE DAILY MANAGEMENT
PORTFOLIO NET ASSETS FEE
- -------------------------------------------------------
<S> <C> <C>
Growth $0-$250 million .750%
> $250
million .675%
> $500
million .600%
Capital Appreciation $0-$100 million .750%
> $100
million .675%
> $250
million .625%
> $500
million .600%
Natural Resources > $0 .750%
Strategic Multi-Asset/ $0-$200 million 1.000%
> $200
Multi-Asset million .875%
> $500
million .800%
</TABLE>
SAAMCO has entered into Subadvisory Agreements (the "Subadvisory Agreement")
with Wellington Management Company ("WMC") to manage the investments of each
portfolio.
The portion of the investment advisory fees received by SAAMCo which are paid
to WMC are as follows:
<TABLE>
<CAPTION>
AVERAGE DAILY WMC
PORTFOLIO NET ASSETS ALLOCATION
- -------------------------------------------------------
<S> <C> <C>
Money Market $0-$500 million .075%
> $500
million .020%
Government & Quality
Bond $0-$ 50 million .225%
> $50
million .125%
> $100
million .100%
High Yield $0-$ 50 million .300%
> $ 50
million .225%
> $150
million .175%
> $500
million .150%
Growth/ $0-$ 50 million .325%
> $ 50
Growth and Income million .225%
> $150
million .200%
> $500
million .150%
Capital Appreciation $0-$ 50 million .375%
> $ 50
million .275%
> $150
million .200%
> $500
million .150%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE DAILY WMC
PORTFOLIO NET ASSETS ALLOCATION
- -------------------------------------------------------
<S> <C> <C>
Natural Resources $0-$ 50 million .350%
> $ 50
million .250%
> $150
million .200%
> $500
million .150%
Multi-Asset $0-$ 50 million .250%
> $ 50
million .175%
> $150
million .150%
Strategic Multi-Asset $0-$ 50 million .300%
> $ 50
million .200%
> $150
million .175%
> $500
million .150%
</TABLE>
For the year ended December 31, 1999, SAAMCo received fees of $19,094,697 from
the Trust, of which SAAMCo informed the Trust that $13,795,589 was retained and
$5,299,108 was allocated to WMC.
NOTE 6. SECURITIES TRANSACTIONS: The portfolios had the following purchases and
sales of long-term securities for the year ended December 31, 1999:
<TABLE>
<CAPTION>
MONEY GOVERNMENT & GROWTH
MARKET QUALITY BOND HIGH YIELD AND INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
--------------------------------------------------
Purchases of portfolio securities (excluding U.S. government
securities)............................................... $ -- $ 30,674,745 $11,967,542 $10,169,479
Sales of portfolio securities (excluding U.S. government
securities)............................................... -- 4,964,950 16,217,903 18,274,496
U.S. government securities excluded above were as follows:
Purchases of U.S. government securities..................... -- 227,560,448 -- --
Sales of U.S. government securities......................... -- 124,329,144 -- 300,097
</TABLE>
---------------------
57
<PAGE> 58
<TABLE>
<CAPTION>
CAPITAL NATURAL STRATEGIC
GROWTH APPRECIATION RESOURCES MULTI-ASSET MULTI-ASSET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------
Purchases of portfolio securities (excluding U.S.
government securities)............................ $298,902,776 $775,699,785 $43,493,991 $36,643,455 $80,592,592
Sales of portfolio securities (excluding U.S.
government securities)............................ 282,209,714 815,315,760 41,670,446 62,806,636 83,977,614
U.S. government securities excluded above were as
follows:
Purchases of U.S. government securities............. -- -- -- 16,681,911 4,599,034
Sales of U.S. government securities................. -- -- -- 15,811,657 4,403,839
</TABLE>
NOTE 7. TRUSTEES RETIREMENT PLAN: The Trustees (and Directors) of the
SunAmerica Family of Mutual Funds have adopted the SunAmerica Disinterested
Trustees' and Directors' Retirement Plan (the "Retirement Plan") effective
January 1, 1993 for the unaffiliated Trustees. The Retirement Plan provides
generally that if an unaffiliated Trustee who has at least 10 years of
consecutive service as a Disinterested Trustee of any of the SunAmerica mutual
funds (an "Eligible Trustee") retires after reaching age 60 but before age 70 or
dies while a Trustee, such person will be eligible to receive a retirement or
death benefit from each SunAmerica mutual fund with respect to which he or she
is an Eligible Trustee. As of each birthday, prior to the 70th birthday, but in
no event for a period greater than 10 years, each Eligible Trustee will be
credited with an amount equal to 50% of his or her regular fees (excluding
committee fees) for services as a Disinterested Trustee of each SunAmerica
mutual fund for the calendar year in which such birthday occurs. In addition, an
amount equal to 8.5% of any amounts credited under the preceding clause during
prior years, is added to each Eligible Trustee's account until such Eligible
Trustee reaches his or her 70th birthday. An Eligible Trustee may receive
benefits payable under the Retirement Plan, at his or her election, either in
one lump sum or in up to fifteen annual installments. As of December 31, 1999,
the Trust had accrued $205,989 for the Retirement Plan, which is included in
accrued expenses on the Statement of Assets and Liabilities and for the year
ended December 31, 1999, expensed $43,121 for the Retirement Plan, which is
included in Trustee fees and expenses on the Statement of Operations.
NOTE 8. TRANSACTIONS WITH AFFILIATES: As disclosed in the investment
portfolios, certain Portfolios own common stock issued by American International
Group, Inc. ("AIG") or an affiliate thereof. Effective January 1, 1999, SAAMCo,
the investment adviser, became a wholly owned subsidiary of AIG. During the year
ended December 31, 1999 the following portfolios recorded realized gains and
income on security transactions of AIG and subsidiaries of AIG as follows:
<TABLE>
<CAPTION>
REALIZED DIVIDEND
SECURITY GAIN/LOSS INCOME
----------------------------------------------------------
<S> <C> <C> <C>
Growth and Income Portfolio............................. American International Group, Inc. $119,721 $ 36,300
Growth Portfolio........................................ American International Group, Inc. 975,889 448,486
Multi-Asset Portfolio................................... American International Group, Inc. 530,346 68,924
Capital Appreciation Portfolio.......................... Crown Castle International Corp. 552,714 --
Capital Appreciation Portfolio.......................... Transatlantic Holdings, Inc. -- 270,000
Strategic Multi-Asset Portfolio......................... Crown Castle International Corp. 16,598 --
</TABLE>
NOTE 9. SUBSTITUTION: On August 6, 1999, pursuant to a Substitution Order
granted by the Securities and Exchange Commission, the shares of the Fixed
Income Portfolio and the Foreign Securities Portfolio were replaced with shares
of the Government and Quality Bond Portfolio and Strategic Multi-Asset
Portfolio, respectively. As of the close of business on August 6, 1999, the
total net assets and unrealized appreciation (depreciation) of the Fixed Income
Portfolio and the Foreign Securities Portfolio were as follows:
<TABLE>
<CAPTION>
UNREALIZED
NET ASSETS APPRECIATION (DEPRECIATION)
----------- ---------------------------
<S> <C> <C>
Fixed Income Portfolio...................................... $14,298,099 580,483
Foreign Securities Portfolio................................ $26,895,440 (855,708)
</TABLE>
- ---------------------
58
<PAGE> 59
- ---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET DIVIDENDS DIVIDENDS
REALIZED TOTAL DECLARED FROM NET NET
NET ASSET NET & UNREALIZED FROM FROM NET REALIZED NET ASSET ASSETS
VALUE INVEST- GAIN (LOSS) INVEST- INVEST- GAIN ON VALUE END OF
PERIOD BEGINNING MENT ON MENT MENT INVEST- END OF TOTAL PERIOD
ENDED OF PERIOD INCOME* INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN** (000'S)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Money Market Portfolio
12/31/95 $ 1.00 $0.05 $ -- $ 0.05 $(0.05) $ -- $ 1.00 5.6% $ 93,692
12/31/96 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.0 74,001
12/31/97 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.1 69,804
12/31/98 1.00 0.05 -- 0.05 (0.05) -- 1.00 5.1 65,553
12/31/99 1.00 0.05 -- 0.05 (0.05) -- 1.00 4.7 63,222
Government & Quality Bond Portfolio
12/31/95 12.86 0.90 1.55 2.45 (1.08) -- 14.23 19.4 225,579
12/31/96 14.23 0.87 (0.50) 0.37 (0.90) (0.03) 13.67 2.9 221,603
12/31/97 13.67 0.84 0.42 1.26 (0.92) (0.05) 13.96 9.5 234,623
12/31/98 13.96 0.79 0.48 1.27 (0.57) (0.02) 14.64 9.2 375,667
12/31/99 14.64 0.78 (1.02) (0.25) (0.51) (0.21) 13.68 (1.7) 480,572
High Yield Portfolio
12/31/95 7.87 0.77 0.67 1.44 (0.98) -- 8.33 18.8 46,817
12/31/96 8.33 0.74 0.19 0.93 (0.88) -- 8.38 11.7 45,687
12/31/97 8.38 0.75 0.18 0.93 (0.93) -- 8.38 11.4 40,193
12/31/98 8.38 0.71 (1.13) (0.42) (1.16) -- 6.80 (4.5) 26,099
12/31/99 6.80 0.62 (0.25) 0.37 (1.05) -- 6.12 5.7 20,077
Growth and Income Portfolio
12/31/95 11.56 0.61 1.29 1.90 (0.83) (0.62) 12.01 16.6 32,008
12/31/96++ 12.01 0.33 2.02 2.35 (0.77) -- 13.59 20.2 33,465
12/31/97 13.59 0.15 3.74 3.89 (0.34) -- 17.14 28.8 44,417
12/31/98 17.14 0.14 4.80 4.94 (0.17) (0.80) 21.11 30.2 52,190
12/31/99 21.11 0.10 3.06 3.16 (0.15) (3.12) 21.00 15.9 49,710
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME PORTFOLIO
PERIOD TO AVERAGE TO AVERAGE TURNOVER
ENDED NET ASSETS NET ASSETS RATE
<S> <C> <C> <C>
Money Market Portfolio
12/31/95 0.6% 5.5% --%
12/31/96 0.6 4.9 --
12/31/97 0.6 5.0 --
12/31/98 0.6 5.0 --
12/31/99 0.7 4.6 --
Government & Quality Bond Portfolio
12/31/95 0.7 6.5 135.2
12/31/96 0.7 6.3 106.7
12/31/97 0.7 6.1 75.7
12/31/98 0.7 5.5 150.2
12/31/99 0.7 5.5 31.1
High Yield Portfolio
12/31/95 0.9 9.2 68.1
12/31/96 0.9 8.8 58.0
12/31/97 0.9 8.8 101.4
12/31/98 0.9 9.0 109.6
12/31/99 1.2 9.2 55.0
Growth and Income Portfolio
12/31/95 0.9 5.2 88.8
12/31/96 0.9 2.5 108.5
12/31/97 0.8 1.0 49.4
12/31/98 0.8 0.7 41.0
12/31/99 0.9 0.5 20.4
</TABLE>
- ---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
** Does not reflect expenses that apply to the separate accounts of the
insurance companies. If such expenses had been included, total return would
have been lower for each period presented.
++ Prior to March 1, 1996, the portfolio was invested primarily in convertible
debt securities. After that date, the portfolio primarily invests in common
stock.
---------------------
59
<PAGE> 60
- ---------------------
ANCHOR SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NET DIVIDENDS DIVIDENDS
REALIZED TOTAL DECLARED FROM NET NET
NET ASSET NET & UNREALIZED FROM FROM NET REALIZED NET ASSET ASSETS
VALUE INVESTMENT GAIN (LOSS) INVEST- INVEST- GAIN ON VALUE END OF
PERIOD BEGINNING INCOME ON MENT MENT INVEST- END OF TOTAL PERIOD
ENDED OF PERIOD (LOSS)* INVESTMENTS OPERATIONS INCOME MENTS PERIOD RETURN** (000'S)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Growth Portfolio
12/31/95 $18.18 $0.11 $ 4.62 $ 4.73 $(0.05) $(3.38) $19.48 26.3% $ 307,857
12/31/96 19.48 0.20 4.57 4.77 (0.11) (0.95) 23.19 25.0 366,602
12/31/97 23.19 0.16 6.76 6.92 (0.20) (2.87) 27.04 30.4 485,528
12/31/98 27.04 0.11 7.19 7.30 (0.14) (1.68) 32.52 29.0 669,330
12/31/99 32.52 0.08 8.31 8.39 (0.10) (2.29) 38.52 26.9 868,765
Capital Appreciation Portfolio
12/31/95 17.51 0.06 6.00 6.06 (0.15) (0.20) 23.22 34.6 356,218
12/31/96 23.22 0.06 5.73 5.79 (0.06) (0.95) 28.00 25.1 567,672
12/31/97 28.00 0.02 7.05 7.07 (0.05) (2.81) 32.21 25.4 814,311
12/31/98 32.21 0.04 6.24 6.28 (0.02) (2.88) 35.59 22.2 1,100,646
12/31/99 35.59 0.08 23.40 23.48 (0.03) (2.02) 57.02 67.6 1,986,888
Natural Resources Portfolio
12/31/95 13.29 0.18 2.15 2.33 (0.21) (0.29) 15.12 17.5 28,941
12/31/96 15.12 0.22 1.89 2.11 (0.13) (0.23) 16.87 14.1 45,329
12/31/97 16.87 0.20 (1.49) (1.29) (0.17) (0.99) 14.42 (8.6) 50,054
12/31/98 14.42 0.21 (2.72) (2.51) (0.19) (0.13) 11.59 (17.3) 39,299
12/31/99 11.59 0.14 4.67 4.81 (0.18) -- 16.22 41.5 54,391
Multi-Asset Portfolio
12/31/95 11.71 0.40 2.47 2.87 (0.49) (1.05) 13.04 24.9 168,243
12/31/96 13.04 0.35 1.36 1.71 (0.49) (0.91) 13.35 13.9 150,619
12/31/97 13.35 0.34 2.36 2.70 (0.43) (2.10) 13.52 21.1 145,685
12/31/98 13.52 0.30 2.56 2.86 (0.40) (2.49) 13.49 24.5 146,712
12/31/99 13.49 0.26 1.28 1.54 (0.34) (2.11) 12.58 12.5 129,442
Strategic Multi-Asset Portfolio
12/31/95 11.29 0.32 2.18 2.50 (0.23) (1.78) 11.78 22.8 64,026
12/31/96 11.78 0.25 1.41 1.66 (0.40) (0.84) 12.20 14.8 57,744
12/31/97 12.20 0.23 1.48 1.71 (0.31) (2.32) 11.28 14.3 53,289
12/31/98 11.28 0.23 1.13 1.36 (0.26) (1.92) 10.46 15.2 49,254
12/31/99 10.46 0.24 2.50 2.74 (0.17) (1.26) 11.77 28.2 79,273
<CAPTION>
RATIO OF NET
RATIO OF INVESTMENT
EXPENSES INCOME (LOSS) PORTFOLIO
PERIOD TO AVERAGE TO AVERAGE TURNOVER
ENDED NET ASSETS NET ASSETS RATE
<S> <C> <C> <C>
Growth Portfolio
12/31/95 0.9% 0.6% 92.1%
12/31/96 0.8 0.9 51.7
12/31/97 0.8 0.6 32.2
12/31/98 0.8 0.4 27.1
12/31/99 0.7 0.2 39.9
Capital Appreciation Portfolio
12/31/95 0.8 0.3 60.1
12/31/96 0.8 0.2 69.2
12/31/97 0.7 0.1 60.1
12/31/98 0.7 0.1 59.6
12/31/99 0.7 0.2 63.7
Natural Resources Portfolio
12/31/95 1.0 1.3 32.0
12/31/96 0.9 1.3 52.5
12/31/97 0.9 1.2 27.9
12/31/98 0.9 1.6 51.2
12/31/99 1.0 1.0 86.7
Multi-Asset Portfolio
12/31/95 1.1 3.2 85.9
12/31/96 1.1 2.6 64.1
12/31/97 1.1 2.4 56.5
12/31/98 1.1 2.2 51.1
12/31/99 1.1 2.0 40.9
Strategic Multi-Asset Portfolio
12/31/95 1.3 2.7 36.9
12/31/96 1.4 2.0 51.3
12/31/97 1.4 1.8 59.7
12/31/98 1.5 2.0 157.1
12/31/99 1.5 2.4 158.9
</TABLE>
- ---------------
* Selected data for a share of beneficial interest outstanding throughout each
period (calculated based upon average shares outstanding)
** Does not reflect expenses that apply to the separate accounts of the
insurance companies. If such expenses had been included, total return would
have been lower for each period presented.
- ---------------------
60
<PAGE> 61
- ---------------------
ANCHOR SERIES TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE TRUSTEES AND SHAREHOLDERS OF ANCHOR SERIES TRUST
In our opinion, the accompanying statement of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Money Market Portfolio, Government
& Quality Bond Portfolio, High Yield Portfolio, Growth and Income Portfolio,
Growth Portfolio, Capital Appreciation Portfolio, Natural Resources Portfolio,
Multi-Asset Portfolio and Strategic Multi-Asset Portfolio (constituting the nine
portfolios of Anchor Series Trust, hereafter referred to as the "Trust") at
December 31, 1999, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the five years in the
period then ended, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1999 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
February 22, 2000
---------------------
61
<PAGE> 62
- ---------------------
ANCHOR SERIES TRUST
SHAREHOLDERS TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Anchor Series Trust is required to be
provided to shareholders based upon each Portfolio's income and distributions
for the taxable year ended December 31, 1999. The information and distributions
reported herein may differ from the information and distributions taxable to the
shareholders for the calendar year ending December 31, 1999. The information
necessary to complete your income tax returns will be included with your Form
1099-DIV which will be sent to you under separate cover in January 2000.
During the year ended December 31, 1999 the Portfolios paid the following
dividends per share along with the percentage of ordinary income dividends that
qualified for the 70% dividends received deductions for corporations:
<TABLE>
<CAPTION>
NET NET NET QUALIFYING % FOR THE
TOTAL INVESTMENT SHORT-TERM LONG-TERM 70% DIVIDENDS
DIVIDENDS INCOME CAPITAL GAINS* CAPITAL GAINS RECEIVED DEDUCTION
--------- ---------- -------------- ------------- --------------------
<S> <C> <C> <C> <C> <C>
Money Market Portfolio......................... $0.05 $0.05 $ -- $ -- --%
Government & Quality Bond Portfolio............ 0.72 0.51 0.18 0.03 --
High Yield Portfolio........................... 1.05 1.05 -- -- 2.49
Growth and Income Portfolio.................... 3.27 0.15 0.47 2.65 45.58
Growth Portfolio............................... 2.39 0.10 -- 2.29 99.97
Capital Appreciation Portfolio................. 2.05 0.03 -- 2.02 99.54
Natural Resources Portfolio.................... 0.18 0.18 -- -- 62.66
Multi-Asset Portfolio.......................... 2.45 0.34 0.24 1.87 18.88
Strategic Multi-Asset Portfolio................ 1.43 0.17 0.09 1.17 6.61
</TABLE>
- ---------------
* Short-term capital gains are treated as ordinary income for tax purposes.
- ---------------------
62
<PAGE> 63
- ---------------------
COMPARISONS: PORTFOLIOS VS. STOCKS
Wellington Management Company, LLP is pleased to provide the
following investment comments regarding the nine Anchor Series
Trust Portfolios for the fiscal year ended December 31, 1999. The
accompanying graphs compare the performance of a $10,000
investment in each portfolio (except Money Market) to a $10,000
investment in a comparable securities index over the ten year
period ended December 31, 1999. Importantly, such indices
represent "paper" portfolios and do not reflect the costs and
expenses of actual investing. To provide investors with additional
perspective we have added comparative fund averages as compiled by
Lipper Analytical Services. The Lipper averages referred to in the
following pages represent all variable annuity underlying funds
with similar objectives and are included in each portfolio's
discussion when a comparable Lipper category exists. The Lipper
returns shown include all fund expenses but exclude insurance
company expenses associated with the variable annuities. We
believe these averages may be helpful to shareholders in
evaluating the Anchor Series Trust Portfolios, since an average of
comparable funds is often a truer comparison than an unmanaged
index of securities such as the S&P 500 or the Lehman Aggregate
(which are not actively managed and are reported "gross" of all
expenses and transaction costs).
THE FOLLOWING GRAPHS AND TABLES SHOW THE PERFORMANCE OF THE
PORTFOLIOS AT THE ANCHOR SERIES TRUST LEVEL AND INCLUDE ALL TRUST
EXPENSES, BUT NO INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE
VARIABLE ANNUITY AND NO CONTINGENT DEFERRED SALES CHARGE. NO
EXPENSES ARE DEDUCTED FROM THE PERFORMANCE OF THE INDEXES. ALL
DIVIDENDS ARE ASSUMED TO BE REINVESTED.
Investments in stocks and bonds are subject to risk, including
stock market and interest-rate fluctuations. Investments in
non-U.S. stocks are subject to additional risks, including
political and social instability, differing securities regulations
and accounting standards, and limited public information.
High-yield bonds tend to be subject to greater price swings than
higher-rated bonds and, of course, payment of interest and
principal is not assured. Mortgage-backed securities are subject
to prepayment, which can result in reinvestment of principal at
lower yields. Money market instruments generally offer stability
and income, but an investment in these securities, like
investments in other portfolios, is not guaranteed by the U.S.
government or any other entity. There can be no assurance that the
Money Market Portfolio will be able to maintain a stable net asset
value of $1.00 per share.
- ---------------------
Money Market Portfolio
The Money Market Portfolio returned 4.69%, ahead of the IBC All
Taxable Average return of 4.64% and behind the Lipper Variable
Annuity Money Market Fund Average return of 4.75% in 1999. The
Federal Reserve raised short term interest rates by 0.75% in 1999,
and effectively erased the easing they provided in 1998. Our
concentration in high quality commercial paper and floating rate
notes indexed to LIBOR helped achieve solid returns in a rising
interest rate environment. $1.00 NAV was maintained at all times
throughout the year.
---------------------
63
<PAGE> 64
FIXED-INCOME PORTFOLIOS
[GOVERNMENT/QUALITY BOND PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
GOVERNMENT AND QUALITY LEHMAN BROTHERS LIPPER VA-UF U.S. GOVT.
BOND PORTFOLIO AGGREGATE INDEX FUNDS AVERAGE
---------------------- --------------- -----------------------
<S> <C> <C> <C>
12/89 10000 10000 10000
12/90 10779 10895 10803
12/91 12643 12638 12503
12/92 13515 13573 13362
12/93 14683 14897 14652
12/94 14183 14462 14067
12/95 16937 17134 16469
12/96 17427 17756 16897
12/97 19089 19470 18382
12/98 20840 21162 19906
12/99 20496 20988 19482
</TABLE>
GOVERNMENT AND QUALITY BOND PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year -1.65%
5-year 7.64%
10-year 7.44%
The Lehman Brothers Aggregate Index combines several Lehman
Brothers indexes which include the government and corporate
markets, agency mortgage pass-through securities, and asset-backed
securities. The Lipper Variable Annuity General U.S. Government
category includes funds which invest at least 65% of assets in
U.S. government and agency issues.
GOVERNMENT AND QUALITY BOND PORTFOLIO
The Government and Quality Bond Portfolio returned -1.7% in 1999
ahead of the Lipper General U.S. Government Variable Annuity Fund
average return of -2.1% and behind the Lehman Brothers Aggregate
return of -0.8%. The portfolio's emphasis on Treasuries added to
performance during the fall. The portfolio's credit focus on very
high quality corporate bonds (predominantly A-rated or better)
detracted from returns as lower quality bonds performed better in
1999.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
64
<PAGE> 65
FIXED-INCOME PORTFOLIOS (CONTINUED)
[HIGH YIELD PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
LEHMAN BROTHERS HIGH LIPPER VA-UF HIGH
HIGH YIELD PORTFOLIO YIELD INDEX CURRENT YIELD AVERAGE
-------------------- -------------------- ---------------------
<S> <C> <C> <C>
12/89 10000 10000 10000
12/90 8925 9041 9325
12/91 11876 13217 12604
12/92 13528 15298 14649
12/93 16109 17916 17356
12/94 15387 17737 16846
12/95 18277 21137 19887
12/96 20416 23536 22613
12/97 22739 26542 25657
12/98 21719 27037 25770
12/99 22961 27683 26752
</TABLE>
HIGH YIELD PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 5.72%
5-year 8.33%
10-year 8.67%
The Lehman Brothers High Yield Index covers the universe of fixed
rate, publicly issued, nonivestment grade debt registered with the
SEC. All bonds included in the index must be U.S.
dollar-denominated and non-convertible. The Lipper Variable
Annuity High Current Yield category includes funds which aim at
high (relative) current yield from fixed income securities. There
are no quality or maturity restrictions, though these funds tend
to invest in lower grade debt issues.
HIGH YIELD PORTFOLIO
The High Yield Portfolio returned 5.7% in 1999. The Lehman
Brothers High Yield Index returned 2.4% and the Lipper VA High
Current Yield Average returned 3.8%. The primary contribution to
the performance can be attributed to specific security analysis as
well as price improvements in selected Yankee holdings.
The graph represents past performance, which is not indicative of
future results.
---------------------
65
<PAGE> 66
BALANCED PORTFOLIOS
[MULTI-ASSET PORTFOLIO]
<TABLE>
<CAPTION>
LIPPER VA-UF CUSTOM INDEX
MULTI-ASSET S&P 500 LEHMAN BROTHERS FLEXIBLE FUNDS ------------
PORTFOLIO COMPOSITE INDEX AGGREGATE INDEX AVERAGE
----------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
12/89 10000 10000 10000 10000 10000
12/90 10162 9675 10895 10098 10178
12/91 12934 12632 12638 12642 12640
12/92 13997 13598 13573 13610 13575
12/93 15020 14948 14897 15277 14885
12/94 14767 15165 14462 15002 14887
12/95 18450 20822 17134 18672 19194
12/96 21009 25620 17756 21267 22085
12/97 25447 34190 19470 25293 27248
12/98 31672 44019 21162 28748 32907
12/99 35615 53265 20988 32235 36960
</TABLE>
MULTI-ASSET PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 12.45%
5-year 19.25%
10-year 13.54%
The S&P 500 Composite Index tracks the performance of 500 large
company stocks which are designed to represent price movements in
the U.S. equity market. Companies are chosen for market size and
liquidity so that, in aggregate, they represent a broad
distribution across industry groups. The index includes both
foreign and domestic stocks traded publicly in the U.S. Because it
is market weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lehman
Brothers Aggregate Index combines several Lehman Brothers indexes
which include the government and corporate markets, agency
mortgage pass-through securities, and asset-backed securities. The
Lipper VA Flexible category includes funds which allocate their
investments across various asset classes, including domestic
common stock, bonds, and money market instruments, with a focus on
total return. Custom index consists of 60% S&P 500 Composite
Index, 35% Lehman Brothers Aggregate Index, and 5% 3-month T-bill.
MULTI-ASSET PORTFOLIO
The Multi-Asset Portfolio returned 12.5% in 1999, ahead of similar
funds as measured by the Lipper Variable Annuity Flexible Funds
Average return of 12.1%. The custom index that is comprised of 60%
of S&P 500, 35% of Lehman Brothers Aggregate, and 5% of three
month T-bill returned 12.3%. On an absolute basis, Core Equities
added to returns while the fixed income portion was in line with
the overall bond market return measured by the Lehman Brothers
Aggregate Index. Security selection in both equity and fixed
income helped performance. Equity exposure ranged from 54% to 62%
of the portfolio during 1999. This somewhat defensive strategic
asset mix of the portfolio moderated returns slightly, as stocks
posted another strong year.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
66
<PAGE> 67
BALANCED PORTFOLIOS (CONTINUED)
[STRATEGIC MULTIASSET PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
STRATEGIC MULTI- MSCI AC WORLD SALOMON CUSTOM INDEX
ASSET PORTFOLIO FREE USD INDEX LIPPER VA-UF BROTHERS WORLD ------------
---------------- -------------- GLOBAL FLEXIBLE GOV'T BOND U.S.$
AVERAGE HEDGED INDEX
--------------- ----------------
<S> <C> <C> <C> <C> <C>
12/89 10000 10000 10000 10000 10000
12/90 9243 8352 9721 10591 9291
12/91 11479 10015 11891 11988 11303
12/92 11930 9591 12633 12933 11588
12/93 13756 11978 15051 14538 13611
12/94 13401 12580 14685 13995 13895
12/95 16453 15028 17864 16522 16813
12/96 16689 17012 20612 17957 18780
12/97 21595 19562 23104 19860 21605
12/98 24879 23859 25657 22051 25278
12/99 31662 30256 29138 22344 29769
</TABLE>
STRATEGIC MULTI-ASSET PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 28.15%
5-year 18.93%
10-year 12.29%
The Lipper Variable Annuity-UF Global Flexible Average includes
funds which allocate their investments across various asset
classes,including both domestic and foreign stocks, bonds and
money market instruments, with a focus on total return. At least
25% of its portfolio is invested in securities traded outside of
the U.S., including shares of gold mines, gold-oriented mining
finance houses, gold coins, or bullion. Custom Index consists of
65% MSCI AC World Free, 20% Salomon Brothers World Gov't Bond
(U.S.$ Hedged), 10% Lehman Brothers High Yield Index, and 5%
3-month T-bill. Custom Index prior to 2/28/98 consisted of 30%
MSCI AC World Free Ex-U.S., 20% Lehman Brothers Aggregate, 30% S&P
500 Composite Index and 10% Russell 2000 Index, and 10% 3-month
T-bill.
STRATEGIC MULTI-ASSET PORTFOLIO
The Strategic Multi-Asset Portfolio returned 28.2% in 1999, well
ahead of similar funds as measured by the Lipper Variable Annuity
Global Flexible Average which returned 13.6%. The Strategic
Multi-Asset Portfolio is a global asset allocation fund which
invests broadly across the world's major stock markets (including
large cap and small cap investments) and the world's major bond
markets (both investment grade and high yield). The Custom Index
is a combination of the following: 65% MSCI AC World Free, 20%
Salomon Brothers World Gov't Bond (U.S. $ Hedged), 10% Lehman
Brothers High Yield and 5% three month T-bill. This custom
benchmark's return in 1999 was 17.8%. Some of the component piece
returns were as follows:
Salomon Brothers World Government Bond Index
(Hedged) 1.3%
Lehman Brothers High Yield Index 2.4%
MSCI All Country World Free Index 30.9%
Additive to returns in 1999 was excellent security selection in
global and capital appreciation equities and high-yield bonds.
Country selection in the equity portfolio also contributed
positively to the strong overall returns. The portfolio's asset
allocation ranged as follows for 1999:
<TABLE>
<S> <C>
Global High Yield: 15 to 21%
Global Bonds: 13 to 20%
Core Global Equities: 41 to 48%
Aggressive Growth Equities: 16 to 20%
</TABLE>
Substantial weightings in High Yield and Aggressive Growth
securities boosted returns, as did the relatively low allocation
to global bonds in a difficult year for investment-grade fixed
income.
The graph represents past performance, which is not indicative of
future results.
---------------------
67
<PAGE> 68
EQUITY PORTFOLIOS
[GROWTH/INCOME PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
GROWTH AND INCOME LIPPER VA-UF GROWTH &
PORTFOLIO S&P 500 COMPOSITE INDEX INCOME AVERAGE
----------------- ----------------------- ---------------------
<S> <C> <C> <C>
12/89 10000 10000 10000
12/90 9616 9675 9690
12/91 12193 12632 12439
12/92 14644 13598 13495
12/93 17868 14948 15158
12/94 16140 15165 15108
12/95 18818 20822 19920
12/96 22610 25620 24033
12/97 29113 34190 30584
12/98 37895 44019 35621
12/99 43913 53265 40836
</TABLE>
THE GROWTH AND INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 15.88%
5-year 22.16%
10-year 15.95%
The S&P 500 Composite Index tracks the performance of 500 large
company stocks which are designed to represent price movements in
the U.S. equity market. Companies are chosen for market size and
liquidity so that, in aggregate, they represent a broad
distribution across industry groups. The index includes both
foreign and domestic stocks traded publicly in the U.S. Because it
is market weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
Variable Annuity Growth and Income category includes funds which
combine a growth of earnings orientation and an income requirement
for level and/or rising dividends.
GROWTH AND INCOME PORTFOLIO
The Growth and Income Portfolio returned 15.9%, ahead of the
Lipper Growth and Income Variable Annuity Average return of 14.6%
but behind the S&P 500 Composite Index return of 21.0% in 1999.
The portfolio's focus on large cap stocks as well as technology
and energy stocks benefited the portfolios performance in 1999.
Some of the top performing stocks for the year included Cisco,
General Motors and Texas Instruments. Eight stocks in the S&P 500
Composite Index accounted for 50% of the index return in 1999. The
portfolio held five of those eight names for the entire one-year
period, reflecting the portfolio's large cap focus. The
portfolio's total return orientation, diversified approach and
valuation discipline resulted in an under-performance relative to
the S&P 500 index, which was highly influenced by the technology
and communications sectors and momentum oriented stocks.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
68
<PAGE> 69
EQUITY PORTFOLIOS (CONTINUED)
[GROWTH PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
S&P 500 COMPOSITE LIPPER VA-UF
GROWTH PORTFOLIO INDEX GROWTH AVERAGE CUSTOM INDEX
---------------- ----------------- -------------- ------------
<S> <C> <C> <C> <C>
12/89 10000 10000 10000
12/90 9843 9675 9545
12/91 13860 12632 13048
12/92 14612 13598 14115
12/93 15745 14948 15804
12/94 15002 15165 15638
12/95 18951 20822 20811 18949
12/96 23697 25620 25079 23233
12/97 30903 34190 31629 30487
12/98 39853 44019 39489 38462
12/99 50588 53265 51916 47371
</TABLE>
THE GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 26.94%
5-year 27.52%
10-year 17.60%
The S&P 500 Composite Index tracks the performance of 500 large
company stocks which are designed to represent price movements in
the U.S. equity market. Companies are chosen for market size and
liquidity so that, in aggregate, they represent a broad
distribution across industry groups. The index includes both
foreign and domestic stocks traded publicly in the U.S. Because it
is market weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
Variable Annuity Growth and Income category includes funds which
normally invest in companies whose long term earnings are expected
to grow significantly faster than the earnings of the stocks
represented in the major unmanaged stock indices. Custom Index
consists of 50% Russell 3000 Index and 50% Morningstar Growth Fund
Index. We created this custom benchmark in 8/95.
GROWTH PORTFOLIO
The Growth Portfolio returned 26.9%, outperforming the S&P 500
Composite Index return of 21.0% but underperforming the Lipper
Variable Annuity Growth Average return of 31.5%. The portfolio's
investments in technology stocks, such as Cisco, Motorola and
Oracle were major positive factors in the portfolio's
out-performance during 1999. The portfolio focuses on high quality
companies broadly across sectors and market cap ranges and
therefore generally has the risk profile of broad market averages
such as the Russell 3000 Index. We have shown above, the
representative custom index, which combines the Russell 3000
stocks together with the stocks held by the 30 largest growth
mutual funds as compiled by Morningstar. In the longer term, this
custom index (which return 23.2% in 1999) is likely to be more
representative of the investment universe for this portfolio.
The graph represents past performance, which is not indicative of
future results.
---------------------
69
<PAGE> 70
EQUITY PORTFOLIOS (CONTINUED)
[CAPITAL APPRECIATION PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
RUSSELL 2000 INDEX LIPPER VA-UF CUSTOM INDEX
CAPITAL APPRECIATION ------------------ CAPITAL APPRECIATION ------------
PORTFOLIO AVERAGE
-------------------- --------------------
<S> <C> <C> <C> <C>
12/89 10000 10000 10000 10000
12/90 8382 8049 9364 8757
12/91 13087 11756 13698 11879
12/92 16482 13920 15050 13137
12/93 19955 16552 17318 15306
12/94 19197 16250 17021 15378
12/95 25832 20872 22635 20082
12/96 32325 24315 26288 23805
12/97 40545 29752 31996 29818
12/98 49548 28993 38833 33530
12/99 83031 35156 54390 41031
</TABLE>
CAPITAL APPRECIATION PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 67.58%
5-year 34.03%
10-year 23.57%
The Lipper Variable Annuity Capital Appreciation category includes
funds which aim at maximum capital appreciation. Custom Index
consists of 45% S&P 500 Composite Index, 45% Russell 2000 Index,
and 10% MSCI AC World Free ex-U.S. Index.
CAPITAL APPRECIATION PORTFOLIO
The Capital Appreciation Portfolio returned 67.6% in 1999, well
ahead of the Russell 2000 Index return of 21.3% and the Lipper
Capital Appreciation Variable Annuity average return of 40.1%. The
custom benchmark composed of 45% S&P 500, 45% Russell 2000, and
10% MSCI AC World Free Ex-U.S., is shown to more accurately
reflect the more diversified exposure that is typical of the
eclectic, bottom up approach of this portfolio. This custom index
returned 22.4% in 1999. Our large commitment to technology helped
the portfolio with extraordinary performance from VeriSign and
Qualcomm, the latter of which we sold during the fourth quarter.
The graph represents past performance, which is not indicative of
future results.
- ---------------------
70
<PAGE> 71
EQUITY PORTFOLIOS (CONTINUED)
[NATURAL RESOURCES PORTFOLIO GRAPHIC]
<TABLE>
<CAPTION>
LIPPER VA-UF MSCI ENERGY MSCI GOLD
NATURAL S&P 500 NATURAL SOURCES INDEX MINES INDEX
RESOURCES COMPOSITE RESOURCES ------------- -----------
PORTFOLIO INDEX AVERAGE
--------- --------- ------------
<S> <C> <C> <C> <C> <C>
12/89 10000 10000 10000
12/90 8498 9675 8739
12/91 8911 12632 8935
12/92 9136 13598 8820
12/93 12439 14948 12041 12439 12439
12/94 12564 15165 11717 13580 11304
12/95 14757 20822 13187 16816 12122
12/96 16840 25620 15676 20859 11902
12/97 15393 34190 14226 24435 7265
12/98 12725 44019 11463 26179 6651
12/99 18006 53265 14290 32213 6735
<CAPTION>
MSCI NON-
FERROUS METALS
INDEX
--------------
<S> <C>
12/89
12/90
12/91
12/92
12/93 12439
12/94 14269
12/95 16051
12/96 16957
12/97 12593
12/98 11132
12/99 20134
</TABLE>
NATURAL RESOURCES PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/99
1-year 41.51%
5-year 7.46%
10-year 6.06%
The S&P 500 Composite Index tracks the performance of 500 large
company stocks which are designed to represent price movements in
the U.S. equity market. Companies are chosen for market size and
liquidity so that, in aggregate, they represent a broad
distribution across industry groups. The index includes both
foreign and domestic stocks traded publicly in the U.S. Because it
is market weighted, the index will reflect changes in larger
companies more heavily than those in smaller companies. The Lipper
Variable Annuity Natural Resources category includes funds which
invest more than 65% of its equity commitment in natural resource
stocks. The MSCI Non-Ferrous Metals, Gold Mines, and Energy
Sources indices represent specific commodities underlying the
Natural Resources Portfolio.
NATURAL RESOURCES PORTFOLIO
The Natural Resources Portfolio returned 41.5% for the year,
out-performing the Lipper Variable Annuity Natural Resources
Average return of 24.7%. Metals, Energy, and Paper stocks
performed particularly well in 1999. Listed below are the annual
returns for each of the major sectors represented in this
portfolio:
<TABLE>
<S> <C> <C>
MSCI Material and Commodities 31.6%
MSCI Forest Product and Paper 38.0%
MSCI Steels 43.7%
MSCI Non-Ferrous Metals 80.9%
MSCI Gold Mines 1.3%
MSCI Energy Equipment/Services 41.7%
MSCI Energy Sources 23.1%
</TABLE>
Energy and base metal stocks added to returns in 1999. Our
relatively low weighting in gold and other precious metals (5.3%
as of 12/31/99) also helped performance.
The graph represents past performance, which is not indicative of
future results.
---------------------
71
