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Previous: EARTH SEARCH SCIENCES INC, 10-K/A, 1996-09-06 |
Next: NORDSTROM CREDIT INC, 424B2, 1996-09-06 |
<PAGE> 1
V E N T U R E
COMBINATION FIXED AND VARIABLE ANNUITY
NASL SERIES TRUST
SEMI-ANNUAL REPORT
JUNE 30, 1996
UNAUDITED
FINANCIAL
STATEMENTS
<PAGE> 2
NASL SERIES TRUST
FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
Page
<S> <C>
Statements of Assets and Liabilities................................... 1
Statements of Operations............................................... 5
Statements of Changes in Net Assets.................................... 9
Financial Highlights................................................... 13
Portfolio of Investments:
Small/Mid Cap Trust................................................ 29
International Small Cap Trust...................................... 30
Global Equity Trust................................................ 32
Pasadena Growth Trust.............................................. 34
Equity Trust....................................................... 36
Value Equity Trust................................................. 40
Growth and Income Trust............................................ 42
International Growth and Income Trust.............................. 44
Strategic Bond Trust............................................... 47
Global Government Bond Trust....................................... 50
Investment Quality Bond Trust...................................... 51
U.S. Government Securities Trust................................... 53
Money Market Trust................................................. 54
Aggressive, Moderate and Conservative Asset Allocation Trusts...... 56
Notes to Financial Statements.......................................... 81
</TABLE>
<PAGE> 3
NASL SERIES TRUST
PRESIDENT'S MESSAGE
August 23, 1996
Dear Fellow Venture Owners:
It is once again my pleasure to address you and to present the semiannual
financial statements of NASL Series Trust (the "Trust"), the mutual fund in
which your Venture Variable Annuity contract values are invested. The financial
statements that follow reflect the results of operations for the six months
ending June 30, 1996.
During the first half of 1996, the total net assets of the Trust grew from $5.13
billion on December 31, 1995 to $6.01 billion on June 30, 1996. This represents
a 17% increase in net assets during the first six months of the year.
As you know, the first half of 1996 has been a rewarding period for equity
investors, with the strength of the domestic equity markets carrying over from
the superb 1995 returns. Domestic bond market returns have moderated from 1995
while the international equity sector has improved significantly. The high level
of domestic equity markets serves as a reminder of the value of a diversified
investment program. Venture is designed to help you achieve your long-term
investment goals by promoting a diversified investment strategy and multiple
manager philosophy.
In March Venture welcomed two additional investment managers to our world-class
investment team: Founders Asset Management, Inc. ("Founders") and Fred Alger
Management, Inc. ("Alger"). Founders manages the International Small Cap Trust
that invests in small, rapidly growing companies outside the U.S. with market
capitalization of $1 billion or less. Alger manages the Small/Mid Cap Trust that
invests primarily in small- to mid-sized U.S. companies -- those with market
capitalization of $500 million to $5 billion. In July we announced the addition
of another Founders managed trust, the Growth Trust, which seeks long-term
growth of capital by investing at least 65% of its assets in common stocks of
well-established, high quality growth companies. Both the Founders and Alger
organizations bring superb long-term track records in these styles of investing.
Thank you for your continued confidence in Venture. As always, our Teleservices
Representatives await your call at 1-800-344-1029, Monday through Friday 8:00
a.m. to 8:00 p.m. Eastern Standard Time. To access account values, unit values
and fixed rate information 24 hours a day, seven days a week, call our automated
services number at 1-800-557-2223. For Venture Life contractholders, our
Teleservices Representatives await your call at 1-800-600-3814, Monday through
Friday 8:00 a.m. to 5:00 p.m. Eastern Standard Time. For those of you who have
access to the World Wide Web, our site is located at ht.//www.nasl.com.
Sincerely,
/s/William J. Atherton
William J. Atherton
President
<PAGE> 4
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
SMALL/MID INTERNATIONAL GLOBAL PASADENA
CAP SMALL CAP EQUITY GROWTH
TRUST TRUST TRUST TRUST
------------ ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Includes a
repurchase agreement of $17,038,000 in the
International Small Cap Trust)
(See accompanying portfolio of investments) ........... $ 85,932,273 $ 50,588,021 $ 722,374,797 $ 352,666,413
Receivable for forward foreign currency contracts to sell
(Notes 2 and 7) ....................................... -- 19,851 983,667 --
Forward foreign currency contracts to buy, at value
(Cost: $1,007,475 and $991,966 in the International
Small Cap and Global Equity Trusts, respectively)
(Notes 2 and 7) ....................................... -- 1,007,495 994,619 --
Cash .................................................... -- 156 723 489
Foreign currency (Cost: $43,413 and $2,640,968 in the
International Small Cap and Global Equity Trusts,
respectively) (Notes 2 and 7) ........................ -- 43,711 2,652,700 --
Receivables:
Investments sold .................................... 451,755 267,491 1,235,459 2,051,158
Dividends ........................................... 5,643 43,070 1,334,137 274,371
Interest ............................................ 16,304 6,744 15,635 2,196
Foreign tax withholding reclaim ..................... -- 5,775 504,421 --
Deferred organization expenses (Note 2) ................. -- -- -- 2,903
Other assets ............................................ 86 2,329 3,252 21,367
------------ ------------ ------------- -------------
Total assets .................................... 86,406,061 51,984,643 730,099,410 355,018,897
------------ ------------ ------------- -------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $19,851 and $983,667 in the International
Small Cap and Global Equity Trusts, respectively)
(Notes 2 and 7) ....................................... -- 19,888 985,241 --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ................................... -- 1,007,475 991,966 --
Investments purchased ............................... 2,753,780 3,861,296 994,619 3,173,896
Dividend and interest withholding tax ............... 408 7,941 180,418 7,144
Custodian fee ....................................... 6,810 -- 214,597 14,788
Other accrued expenses .............................. 311 -- 44,694 --
------------ ------------- ------------- -------------
Total liabilities ............................... 2,761,309 4,896,600 3,411,535 3,195,828
------------ ------------- ------------- -------------
NET ASSETS .............................................. $ 83,644,752 $ 47,088,043 $ 726,687,875 $ 351,823,069
============ ============= ============= =============
Net assets consist of:
Accumulated undistributed net investment
income (Note 2) ................................... $ 33,073 $ 117,294 $ 2,432,121 $ 169,072
Accumulated undistributed net realized
loss on investments ............................... (1,419,052) (36,019) (304,130) (5,991,049)
Unrealized appreciation (depreciation) on:
Investments ....................................... 407,061 1,267,759 86,459,792 85,821,788
Foreign currency and forward foreign currency
contracts ....................................... -- (1,724) (12,977) --
Capital shares at par value of $.01 (Note 3) ........ 63,702 35,454 429,099 271,509
Additional paid-in capital .......................... 84,559,968 45,705,279 637,683,970 271,551,750
------------ ------------- ------------- -------------
Net assets ................................. $ 83,644,752 $ 47,088,043 $ 726,687,875 $ 351,823,069
============ ============= ============= =============
Capital shares outstanding (Note 3) ..................... 6,370,197 3,545,412 42,909,906 27,150,902
------------ ------------- ------------- -------------
Net asset value, offering price and redemption price -- -- -- --
per share ........................................... $ 13.13 $ 13.28 $ 16.94 $ 12.96
============ ============= ============= =============
Investments in securities, at identified cost (Note 2) .. $ 85,525,212 $ 49,320,262 $ 635,915,005 $ 266,844,625
============ ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 5
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL
VALUE GROWTH AND GROWTH AND
EQUITY EQUITY INCOME INCOME
TRUST TRUST TRUST TRUST
--------------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (See accompanying
portfolio of investments) ................................. $ 1,170,006,146 $ 490,835,031 $ 833,769,748 $129,952,515
Receivable for forward currency contracts to sell
(Notes 2 and 7) ........................................... 36,780 -- -- 36,938,153
Forward foreign currency contracts to buy, at value
(Cost: $925,461 and $8,775,000 in the Equity and
International Growth and Income Trusts, respectively)
(Notes 2 and 7) .......................................... 922,040 -- -- 8,710,133
Cash ....................................................... 889 199 583 468
Foreign currency (Cost: $26,489, $12,125 and
$12,396,610 in the Equity, Growth and Income
and International Growth and Income Trusts,
respectively) (Notes 2 and 7) ............................ 26,983 -- 11,751 12,466,600
Receivables:
Investments sold ....................................... 87,019,858 97,939 3,773,704 411,197
Dividends .............................................. 948,942 825,543 1,258,495 468,735
Interest ............................................... 14,932 12,627 5,524 428,639
Foreign tax withholding reclaim ........................ 691 -- -- 214,869
Deferred organization expenses (Note 2) .................... -- 3,287 -- 27,106
Other assets ............................................... 4,497 1,147 5,504 715
--------------- ------------- ------------- ------------
Total assets ....................................... 1,258,981,758 491,775,773 838,825,309 189,619,130
--------------- ------------- ------------- ------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $36,780 and $36,938,153 in the Equity and
International Growth and Income Trusts, respectively)
(Notes 2 and 7) .......................................... 36,635 -- -- 36,548,941
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ...................................... 925,461 -- -- 8,775,000
Investments purchased .................................. 74,608,223 3,947,617 5,945,600 3,103,430
Dividend and interest withholding tax .................. 5,312 2,996 -- 72,807
Custodian fee .......................................... 43,691 3,608 23,557 17,590
Other accrued expenses ................................. 69,070 28,471 47,632 3,712
--------------- ------------- ------------- ------------
Total liabilities .................................. 75,688,392 3,982,692 6,016,789 48,521,480
--------------- ------------- ------------- ------------
NET ASSETS ................................................. $ 1,183,293,366 $ 487,793,081 $ 832,808,520 $141,097,650
=============== ============= ============= ============
Net assets consist of:
Accumulated undistributed net investment
income (Note 2) ...................................... $ 4,415,313 $ 3,355,978 $ 6,492,368 $ 1,137,788
Accumulated undistributed net realized gain
on investments ....................................... 126,626,833 8,804,336 25,922,016 4,863,545
Unrealized appreciation (depreciation) on:
Investments .......................................... 142,882,349 50,615,999 150,423,422 3,241,611
Foreign currency and forward foreign currency
contracts .......................................... (432) (24) (374) 369,503
Capital shares at par value of $.01 (Note 3) ........... 566,461 351,150 485,978 127,540
Additional paid-in capital ............................. 908,802,842 424,665,642 649,485,110 131,357,663
--------------- ------------- ------------- ------------
Net Assets ............................................. $ 1,183,293,366 $ 487,793,081 $ 832,808,520 $141,097,650
=============== ============= ============= ============
Capital shares outstanding (Note 3) ........................ 56,646,151 35,114,976 48,597,789 12,753,935
--------------- ------------- ------------- ------------
Net asset value, offering price and redemption price
per share .............................................. $ 20.89 $ 13.89 $ 17.14 $ 11.06
=============== ============= ============= ============
Investments in securities, at identified cost (Note 2) ..... $ 1,027,123,797 $ 440,219,032 $ 683,346,326 $126,710,904
=============== ============= ============= ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 6
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL INVESTMENT U.S.
STRATEGIC GOVERNMENT QUALITY GOVERNMENT
BOND BOND BOND SECURITIES
TRUST TRUST TRUST TRUST
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Includes
repurchase agreements of $58,595,000 in the U.S.
Government Securities Trust) (See accompanying
portfolio of investments) ................................ $ 158,163,955 $ 231,878,438 $ 139,671,676 $ 253,942,816
Receivable for forward currency contracts to sell
(Notes 2 and 7) ........................................... 13,156,458 55,595,862 -- --
Forward foreign currency contracts to buy, at value
(Cost: $14,135,696 and $55,389,558 in the Strategic
Bond and Global Government Bond Trusts,
respectively) (Notes 2 and 7) ............................ 14,145,249 53,313,755 -- --
Cash ....................................................... 764 709 325 869
Foreign currency (Cost: $12,692 and $4,778,235 in the
Strategic Bond and Global Government Bond Trusts,
respectively) (Notes 2 and 7) ............................ 6,427 4,775,817 -- --
Receivables:
Dividends .............................................. 3,200 -- -- --
Interest ............................................... 2,612,191 4,286,197 2,555,414 1,557,606
Foreign tax withholding reclaim ........................ 3,560 208,072 -- --
Deferred organization expenses (Note 2) .................... 4,931 -- -- --
Other assets ............................................... 807 1,165 545 1,185
------------- ------------- ------------- -------------
Total assets ....................................... 188,097,542 350,060,015 142,227,960 255,502,476
------------- ------------- ------------- -------------
LIABILITIES
Forward foreign currency contracts to sell, at value
(Cost: $13,156,458 and $55,595,862 in the Stategic
Bond and Global Government Bond Trusts,
respectively)(Notes 2 and 7) ............................. 13,146,006 53,187,527 -- --
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ...................................... 14,135,696 55,389,558 -- --
Investments purchased .................................. 5,433,649 3,777,325 260,000 43,316,525
Dividend and interest withholding tax .................. -- 85,626 -- --
Custodian fee .......................................... 50,192 68,811 23,625 13,416
Other accrued expenses ................................. 8,328 15,626 7,288 15,386
Deferred mortgage dollar roll income ....................... 2,564 -- -- 39,891
------------- ------------- ------------- -------------
Total liabilities .................................. 32,776,435 112,524,473 290,913 43,385,218
------------- ------------- ------------- -------------
NET ASSETS ................................................. $ 155,321,107 $ 237,535,542 $ 141,937,047 $ 212,117,258
============= ============= ============= =============
Net assets consist of:
Accumulated undistributed net investment
income (Note 2) ...................................... $ 6,300,895 $ 6,855,539 $ 4,898,836 $ 6,812,474
Accumulated undistributed net realized
loss on investments .................................. (1,807,244) (1,305,822) (3,451,121) (6,039,107)
Unrealized appreciation (depreciation) on:
Investments .......................................... 1,972,213 4,336,799 (1,415,606) (1,668,224)
Foreign currency and forward foreign currency
contracts .......................................... 12,417 314,497 -- --
Capital shares at par value of $.01 (Note 3) ........... 141,057 174,660 125,281 166,594
Additional paid-in capital ............................. 148,701,769 227,159,869 141,779,657 212,845,521
------------- ------------- ------------- -------------
Net assets ............................................. $ 155,321,107 $ 237,535,542 $ 141,937,047 $ 212,117,258
============= ============= ============= =============
Capital shares outstanding (Note 3) ....................... 14,105,687 17,466,005 12,528,141 16,659,449
------------- ------------- ------------- -------------
Net asset value, offering price and redemption price
per share .............................................. $ 11.01 $ 13.60 $ 11.33 $ 12.73
============= ============= ============= =============
Investments in securities, at identified cost (Note 2) ..... $ 156,191,742 $ 227,541,639 $ 141,087,282 $ 255,611,040
============= ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 7
NASL SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES - JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
MONEY ASSET ASSET ASSET
MARKET ALLOCATION ALLOCATION ALLOCATION
TRUST TRUST TRUST TRUST
------------ ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (Includes a
repurchase agreement of $22,422,000 in the
Conservative Asset Allocation Trust) (See
accompanying portfolio of investments) ..................... $337,731,474 $ 219,426,526 $ 622,150,600 $ 213,424,354
Forward foreign currency contracts to buy, at value
(Cost: $30,695, 17,874 and $9,942 in the
Aggressive, Moderate and Conservative Asset
Allocation Trusts, respectively) (Notes 2 and 7) ........... -- 30,725 17,923 9,947
Cash ......................................................... 535 57 461 329
Foreign currency (Cost: $206,456, $723,165 and
$51,548 in the Aggressive, Moderate, and Conservative
Asset Allocation Trusts, respectively) (Notes 2 and 7) ..... -- 206,896 724,720 51,713
Receivables:
Investments sold ......................................... -- 294,114 723,244 7,153
Dividends ................................................ -- 348,649 612,135 120,357
Interest ................................................. 872,047 899,752 5,246,525 2,269,411
Foreign tax withholding reclaim .......................... -- 52,271 88,654 15,805
Other assets ................................................. 4,591 581 806 842
------------ ------------- ------------- -------------
Total assets ......................................... 338,608,647 221,259,571 629,565,068 215,899,911
------------ ------------- ------------- -------------
LIABILITIES
Payables:
Forward foreign currency contracts to buy
(Notes 2 and 7) ........................................ -- 30,695 17,874 9,942
Investments purchased .................................... -- 167,024 386,568 13,502
Variation margin for open futures contracts .............. -- 27,520 62,673 11,471
Dividends ................................................ 137,061 -- -- --
Dividend and interest withholding tax .................... -- 30,281 52,500 10,310
Custodian fee ............................................ 12,922 84,559 165,427 74,266
Other accrued expenses ................................... 23,896 14,864 45,428 14,935
------------ ------------- ------------- -------------
Total liabilities .................................... 173,879 354,943 730,470 134,426
------------ ------------- ------------- -------------
NET ASSETS ................................................... $338,434,768 $ 220,904,628 $ 628,834,598 $ 215,765,485
============ ============= ============= =============
Net assets consist of:
Accumulated undistributed net investment
income (Note 2) ....................................... -- $ 3,044,817 $ 13,451,465 $ 5,062,232
Accumulated undistributed net realized gain
on investments ......................................... -- 8,140,214 17,995,438 3,840,025
Unrealized appreciation (depreciation) on:
Investments ............................................ -- 24,985,137 47,268,092 9,380,395
Futures contracts ...................................... -- 243,797 303,519 29,955
Foreign currency and forward foreign currency
contracts ............................................ -- (575) (536) (190)
Capital shares at par value of $.01 (Note 3) ............. $ 338,435 176,333 536,709 195,181
Additional paid-in capital ............................... 338,096,333 184,314,905 549,279,911 197,257,887
------------ ------------- ------------- -------------
Net assets ........................................... $338,434,768 $ 220,904,628 $ 628,834,598 $ 215,765,485
============ ============= ============= =============
Capital shares outstanding (Note 3) ......................... 33,843,477 17,633,320 53,670,880 19,518,069
------------ ------------- ------------- -------------
Net asset value, offering price and redemption price
per share ................................................ $ 10.00 $ 12.53 $ 11.72 $ 11.05
============ ============= ============= =============
Investments in securities, at identified cost (Note 2) ....... $337,731,474 $ 194,441,389 $ 574,882,508 $ 204,043,959
============ ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 8
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
SMALL/MID INTERNATIONAL GLOBAL PASADENA
CAP SMALL CAP EQUITY GROWTH
TRUST* TRUST* TRUST TRUST
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest ....................................................... $ 170,107 $ 125,426 $ 958,901 $ 298,171
Dividends (Net of $408, $16,815, $612,427 and
$27,646 withholding tax in the Small/Mid Cap,
International Small Cap, Global Equity and
Pasadena Growth Trusts, respectively) ........................ 23,784 90,886 5,286,886 1,396,739
----------- ----------- ------------ -----------
Total income ................................................ 193,891 216,312 6,245,787 1,694,910
----------- ----------- ------------ -----------
Expenses:
Investment adviser fee (Note 5) ............................... 138,143 75,732 3,122,712 1,525,839
Custodian fees ................................................. 21,774 22,628 495,000 65,535
Audit and legal fees ........................................... 572 349 44,402 18,471
Registration and filing fees ................................... 131 79 9,085 3,495
Amortization of deferred organization expenses
(Note 2) ..................................................... -- -- -- 997
Trustees fees and expenses (Note 6) ............................ 140 85 10,115 4,634
Miscellaneous .................................................. 58 145 6,205 2,287
----------- ----------- ------------ -----------
Expenses before reimbursement by
subadviser (Note 5) ......................................... 160,818 99,018 3,687,519 1,621,258
Reimbursement of expenses by subadviser ........................ -- -- -- 95,419
----------- ----------- ------------ -----------
Net expenses ................................................ 160,818 99,018 3,687,519 1,525,839
----------- ----------- ------------ -----------
Net investment income ....................................... 33,073 117,294 2,558,268 169,071
----------- ----------- ------------ -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ..................................... (1,419,052) (15,152) 18,136,158 4,569,744
Foreign currency and forward foreign
currency contracts ........................................ -- (20,867) (816,809) --
Change in unrealized appreciation (depreciation) on:
Investments ................................................. 407,061 1,267,759 26,086,723 35,388,252
Translation of foreign currency and
forward foreign currency contracts ........................ -- (1,724) (144,719) --
----------- ----------- ------------ -----------
Net gain (loss) on investments and
foreign currency .............................................. (1,011,991) 1,230,016 43,261,353 39,957,996
----------- ----------- ------------ -----------
Net increase (decrease) in net assets resulting from operations .... ($ 978,918) $ 1,347,310 $ 45,819,621 $40,127,067
=========== =========== ============ ===========
</TABLE>
* For the period March 4, 1996 (commencement of
operations) to June 30, 1996.
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 9
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL
VALUE GROWTH AND GROWTH AND
EQUITY EQUITY INCOME INCOME
TRUST TRUST TRUST TRUST
------------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest ................................................... $ 2,687,317 $ 1,086,249 $ 776,613 $ 541,930
Dividends (Net of $15,266, $3,000, $48,145 and
$226,472 withholding tax in the Equity, Value
Equity, Growth and Income and International
Growth and Income Trusts, respectively) .................. 6,195,998 4,152,481 8,726,519 1,535,382
------------- ------------ ------------ -----------
Total income ............................................ 8,883,315 5,238,730 9,503,132 2,077,312
------------- ------------ ------------ -----------
Expenses:
Investment adviser fee (Note 5) ............................ 4,147,286 1,784,702 2,824,747 557,492
Custodian fees ............................................. 218,238 55,471 111,356 94,266
Audit and legal fees ....................................... 66,028 26,808 44,737 6,100
Amortization of deferred organization expenses
(Note 2) ................................................. -- 999 3,982 1,575
Registration and filing fees ............................... 12,288 4,989 8,473 4,212
Trustees fees and expenses (Note 6) ........................ 16,079 6,642 11,032 1,309
Miscellaneous .............................................. 8,082 3,141 6,437 961
------------- ------------ ------------ -----------
Total expenses .......................................... 4,468,001 1,882,752 3,010,764 665,915
------------- ------------ ------------ -----------
Net investment income ................................... 4,415,314 3,355,978 6,492,368 1,411,397
------------- ------------ ------------ -----------
Realized and unrealized gain on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ................................. 129,071,845 8,817,608 26,163,433 8,905,106
Foreign currency and forward foreign
currency contracts .................................... (64,097) -- (241,417) (4,397,759)
Change in unrealized appreciation (depreciation) on:
Investments ............................................. (22,644,921) 20,750,805 29,386,012 755,647
Translation of foreign currency and
forward foreign currency contracts .................... 151 (24) (959) 101,878
------------- ------------ ------------ -----------
Net gain on investments and
foreign currency .......................................... 106,362,978 29,568,389 55,307,069 5,364,872
------------- ------------ ------------ -----------
Net increase in net assets resulting
from operations ....................................... $ 110,778,292 $ 32,924,367 $ 61,799,437 $ 6,776,269
============= ============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 10
NASL SERIES TRUST
STATEMENTS OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL INVESTMENT U.S.
STRATEGIC GOVERNMENT QUALITY GOVERNMENT
BOND BOND BOND SECURITIES
TRUST TRUST TRUST TRUST
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $1,425 and $108,671 withholding
tax in the Strategic Bond and Global Government
Bond Trusts, respectively) ............................... $ 6,711,601 $ 8,527,298 $ 5,440,151 $ 7,609,799
----------- ----------- ----------- -----------
Expenses:
Investment adviser fee (Note 5) ........................... 547,675 938,869 467,996 714,327
Custodian fees ............................................. 86,680 143,857 59,274 59,955
Audit and legal fees ....................................... 8,408 14,358 8,767 13,434
Registration and filing fees ............................... 1,681 3,110 1,796 2,769
Amortization of deferred organization expenses
(Note 2) ................................................. 1,496 -- -- --
Trustees fees and expenses (Note 6) ........................ 1,465 3,413 2,217 3,217
Miscellaneous .............................................. 3,565 2,207 1,265 3,623
----------- ----------- ----------- -----------
Total expenses .......................................... 650,970 1,105,814 541,315 797,325
----------- ----------- ----------- -----------
Net investment income ................................... 6,060,631 7,421,484 4,898,836 6,812,474
----------- ----------- ----------- -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ................................. 1,433,574 5,705,583 1,209,600 (3,349,707)
Foreign currency and forward foreign
currency contracts .................................... (19,278) 643,326 -- --
Change in unrealized appreciation (depreciation) on:
Investments ............................................. (92,006) (7,289,348) (9,524,565) (6,454,905)
Translation of foreign currency and
forward foreign currency contracts .................... 115,752 (288,184) -- --
----------- ----------- ----------- -----------
Net gain (loss) on investments and
foreign currency ......................................... 1,438,042 (1,228,623) (8,314,965) (9,804,612)
----------- ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations ....................................... $ 7,498,673 $ 6,192,861 ($3,416,129) ($2,992,138)
=========== =========== =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 11
NASL SERIES TRUST
STATEMENT OF OPERATIONS - FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
MONEY ASSET ASSET ASSET
MARKET ALLOCATION ALLOCATION ALLOCATION
TRUST TRUST TRUST TRUST
---------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest (Net of $654 withholding tax in the
Aggressive Asset Allocation Trust ........................ $7,745,941 $ 2,570,266 $ 13,444,696 $ 5,516,081
Dividends (Net of $88,507, $140,735 and
$24,692 withholding tax in the Aggressive,
Moderate and Conservative Asset Allocation
Trusts, respectively) .................................... -- 1,519,848 2,819,886 567,297
---------- ------------ ------------ -----------
Total income ............................................ 7,745,941 4,090,114 16,264,582 6,083,378
---------- ------------ ------------ -----------
Expenses:
Investment adviser fee (Note 5) ........................... 707,737 815,819 2,401,378 828,560
Custodian fees ............................................. 52,240 208,876 346,728 170,745
Audit and legal fees ....................................... 17,468 12,760 38,107 13,016
Registration and filing fees ............................... 3,898 2,743 10,618 2,999
Trustees fees and expenses (Note 6) ........................ 4,289 3,154 9,182 3,190
Miscellaneous .............................................. 4,989 1,946 7,104 2,637
---------- ------------ ------------ -----------
Total expenses .......................................... 790,621 1,045,298 2,813,117 1,021,147
---------- ------------ ------------ -----------
Net investment income ................................... 6,955,320 3,044,816 13,451,465 5,062,231
---------- ------------ ------------ -----------
Realized and unrealized gain (loss) on investments and
foreign currency:
Net realized gain (loss) on:
Investment transactions ................................. -- 8,779,759 19,329,463 4,037,077
Futures contracts ....................................... -- (164,964) (283,070) (57,479)
Foreign currency and forward foreign
currency contracts .................................... -- (346,698) (753,039) (58,240)
Change in unrealized appreciation (depreciation) on:
Investments ............................................. -- (149,171) (11,869,463) (5,343,773)
Futures contracts ....................................... -- 61,612 (65,700) (32,040)
Translation of foreign currency and
forward foreign currency contracts .................... -- (2,334) (5,129) (652)
Net gain (loss) on investments, futures and
foreign currency ......................................... -- 8,178,204 6,353,062 (1,455,107)
---------- ------------ ------------ -----------
Net increase in net assets resulting
from operations ....................................... $6,955,320 $ 11,223,020 $ 19,804,527 $ 3,607,124
========== ============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 12
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small/Mid International
Cap Small Cap Global Pasadena
Trust Trust Equity Trust Growth Trust
------------- ------------- -------------------------- --------------------------
03/04/96* 03/04/96* Six Months Six Months
to to Ended Year Ended Year
06/30/96 06/30/96 06/30/96 Ended 06/30/96 Ended
(Unaudited) (Unaudited) (Unaudited) 12/31/95 (Unaudited) 12/31/95
------------- ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ......... $ 33,073 $ 117,294 $ 2,558,268 $ 3,747,724 $ 169,071 $ 908,877
Net realized gain
(loss) on:
Investment
transactions ............... (1,419,052) (15,152) 18,136,158 (14,280,171) 4,569,744 (2,374,757)
Foreign currency and
forward foreign
currency contracts ......... -- (20,867) (816,809) 7,051,110 -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ................. 407,061 1,267,759 26,086,723 48,700,520 35,388,252 49,321,341
Foreign currency and
forward foreign
currency contracts ......... -- (1,724) (144,719) 156,091 -- --
----------- ----------- ------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting from
operations .................... (978,918) 1,347,310 45,819,621 45,375,274 40,127,067 47,855,461
Distribution to
shareholders from:
Net investment income ......... -- -- (11,270,400) (2,969,604) (908,877) (834,112)
Net realized gains on
investments and foreign
currency transactions ........ -- -- -- (27,013,345) -- 125,947,492
Increase in net assets
from capital share
transactions (Note 3) ......... 84,623,670 45,740,733 43,956,016 16,652,433 34,930,685 78,926,143
----------- ----------- ------------ ------------ ------------ ------------
Increase in net assets .......... 83,644,752 47,088,043 78,505,237 32,044,758 74,148,875 125,947,492
Net assets at beginning
of period...................... -- -- 648,182,638 616,137,880 277,674,194 151,726,702
----------- ----------- ------------ ------------ ------------ ------------
Net assets at end of
period ........................ $83,644,752 $47,088,043 $726,687,875 $648,182,638 $351,823,069 $277,674,194
=========== =========== ============ ============ ============ ============
Accumulated undistributed
net investment income ......... $ 33,073 $ 117,294 $ 2,432,121 $ 11,144,253 $ 169,071 $ 908,877
=========== =========== ============ ============ ============ ============
</TABLE>
- -------------------------
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 13
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE EQUITY
EQUITY TRUST TRUST
----------------------------- -----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
06/30/96 ENDED 06/30/96 ENDED
(UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95
------------ ---------- ----------- ----------
<S> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ... $ 4,415,314 $ 4,703,343 $ 3,355,978 $ 5,009,152
Net realized gain
(loss) on:
Investment
transactions ......... 129,071,845 103,448,333 8,817,608 25,890,743
Foreign currency and
forward foreign
currency contracts ... (64,097) (319,018) -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ........... (22,644,921) 142,487,931 20,750,805 29,918,641
Foreign currency and
forward foreign
currency contracts ... 151 (1,045) (24) --
-------------- ------------ ------------ ------------
Net increase in net assets
resulting from operations 110,778,292 250,319,545 32,924,367 60,818,536
Distribution to
shareholders from:
Net investment income ... (4,695,040) (4,092,853) (5,009,152) (1,721,862)
Net realized gains on
investments and foreign
currency transactions .. (98,365,329) -- (25,904,015) (2,091,517)
Increase in net assets
from capital share
transactions (Note 3) ... 186,775,239 208,011,562 88,955,325 117,986,065
-------------- ------------ ------------ ------------
Increase in net assets .... 194,493,162 454,238,253 90,966,525 174,991,222
Net assets at beginning
of period ............... 988,800,204 534,561,951 396,826,556 221,835,334
Net assets at end of
period .................. $1,183,293,366 $988,800,204 $487,793,081 $396,826,556
============== ============ ============ ============
Accumulated undistributed
net investment income
(loss) ................. $ 4,415,314 $ 4,695,040 $ 3,355,978 $ 5,009,152
============== ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
GROWTH AND INCOME GROWTH AND INCOME
TRUST TRUST
------------------------------ ------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED 01/09/95*
06/30/96 ENDED 06/30/96 TO
(UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95
------------ ------------ ------------ ----------
<S> <C> <C> <C> <C>
Increase in net assets:
Operations:
Net investment income ... $ 6,492,368 $ 11,654,596 $ 1,411,397 $ 338,520
Net realized gain
(loss) on:
Investment
transactions ......... 26,163,433 15,108,131 8,905,106 1,781,900
Foreign currency and
forward foreign
currency contracts ... (241,417) 686,290 (4,397,759) (549,770)
Change in unrealized
appreciation
(depreciation) on:
Investments ........... 29,386,012 103,848,140 755,647 2,485,964
Foreign currency and
forward foreign
currency contracts ... (959) 1,588 101,878 267,627
------------ ------------ ------------ -----------
Net increase in net assets
resulting from operations 61,799,437 131,298,745 6,776,269 4,324,242
Distribution to
shareholders from:
Net investment income ... (11,667,389) (8,549,161) (203,407) (998,757)
Net realized gains on
investments and foreign
currency transactions .. (15,781,628) (4,313,653) -- (875,932)
Increase in net assets
from capital share
transactions (Note 3) ... 129,070,856 141,416,968 45,886,753 86,188,482
------------ ------------ ------------ -----------
Increase in net assets .... 163,421,276 259,852,899 52,459,615 88,638,035
Net assets at beginning
of period ............... 669,387,244 409,534,345 88,638,035 --
Net assets at end of
period .................. $832,808,520 $669,387,244 $141,097,650 $88,638,035
============ ============ ============ ===========
Accumulated undistributed
net investment income
(loss) ................. $ 6,492,368 $ 11,667,389 $ 1,137,788 ($ 70,205)
============ ============ ============ ===========
</TABLE>
- -------------------------
* Commencement of operations
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 14
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL
STRATEGIC GOVERNMENT
BOND TRUST BOND TRUST
----------------------------- --------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
06/30/96 ENDED 06/30/96 ENDED
(UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95
------------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
Increase (decrease) in
net assets:
Operations:
Net investment income ... $ 6,060,631 $ 8,675,011 $ 7,421,484 $ 15,004,711
Net realized gain
(loss) on:
Investment
transactions ......... 1,433,574 653,754 5,705,583 3,183,386
Foreign currency and
forward foreign
currency contracts ... (19,278) 827,091 643,326 5,204,326
Change in unrealized
appreciation
(depreciation) on:
Investments ........... (92,006) 7,494,670 (7,289,348) 21,692,894
Foreign currency and
forward foreign
currency contracts ... 115,752 (60,522) (288,184) 662,786
------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting from
operations .............. 7,498,673 17,590,004 6,192,861 45,748,103
Distribution to
shareholders from net
investment income ....... (10,621,746) (4,125,434) (21,062,640) (11,483,093)
Increase (decrease) in net
assets from capital share
transactions (Note 3) ... 35,740,004 24,806,640 17,162,387 (7,534,746)
------------ ------------ ------------ ------------
Increase (decrease) in
net assets ............... 32,616,931 38,271,210 2,292,608 26,730,264
Net assets at beginning
of period ................ 122,704,176 84,432,966 235,242,934 208,512,670
------------ ------------ ------------ ------------
Net assets at end of period $155,321,107 $122,704,176 $237,535,542 $235,242,934
============ ============ ============ ============
Accumulated undistributed
net investment income ... $ 6,300,895 $ 5,682,980 $ 6,855,539 $ 20,496,692
============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
U.S.
INVESTMENT QUALITY GOVERNMENT
BOND TRUST SECURITIES TRUST
-------------------------------- ----------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR
06/30/96 ENDED 06/30/96 ENDED
(UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95
- ----------- ------------ ------------ ---------
<S> <C> <C> <C> <C>
Increase (decrease) in
net assets:
Operations:
Net investment income ... $ 4,898,836 $ 8,486,217 $ 6,812,474 $ 12,842,712
Net realized gain
(loss) on:
Investment
transactions ......... 1,209,600 934,173 (3,349,707) 6,615,440
Foreign currency and
forward foreign
currency contracts ... -- -- -- --
Change in unrealized
appreciation
(depreciation) on:
Investments ........... (9,524,565) 12,443,229 (6,454,905) 9,054,850
Foreign currency and
forward foreign
currency contracts ... -- -- -- --
------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting from
operations .............. (3,416,129) 21,863,619 (2,992,138) 28,513,002
Distribution to
shareholders from net
investment income ....... (8,478,262) (7,077,320) (12,847,931) (11,856,226)
Increase (decrease) in net
assets from capital share
transactions (Note 3) ... 10,728,834 16,892,949 11,168,908 11,318,295
------------ ------------ ------------ ------------
Increase (decrease) in
net assets ............... (1,165,557) 31,679,248 (4,671,161) 27,975,071
Net assets at beginning
of period ................ 143,102,604 111,423,356 216,788,419 188,813,348
------------ ------------ ------------ ------------
Net assets at end of period $141,937,047 $143,102,604 $212,117,258 $216,788,419
============ ============ ============ ============
Accumulated undistributed
net investment income ... $ 4,898,836 $ 8,478,262 $ 6,812,474 $ 12,847,931
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 15
NASL SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET AGGRESSIVE MODERATE
TRUST ASSET ALLOCATION TRUST ASSET ALLOCATION TRUST
------------------------- ------------------------ -------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED YEAR ENDED YEAR
06/30/96 ENDED 06/30/96 ENDED 06/30/96 ENDED
(UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95 (UNAUDITED) 12/31/95
----------- -------- ------------- -------- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets:
Operations:
Net investment income $ 6,955,320 $ 14,438,470 $ 3,044,816 $ 5,392,921 $ 13,451,465 $ 25,474,597
Net realized gain
(loss) on:
Investment
transactions.... -- -- 8,779,759 10,182,865 19,329,463 23,729,858
Futures contracts -- -- (164,964) (1,726,285) (283,070) (3,962,742)
Foreign currency and
forward foreign
currency contracts -- -- (346,698) 1,938,306 (753,039) 7,845,216
Change in unrealized
appreciation
(depreciation) on:
Investments...... -- -- (149,171) 23,406,053 (11,869,463) 62,959,219
Futures contracts
Foreign currency and -- -- 61,612 371,422 (65,700) 782,113
forward foreign
currency contracts -- -- (2,334) (10,764) (5,129) (71,271)
------------ ------------ ------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations 6,955,320 14,438,470 11,223,020 39,554,518 19,804,527 116,756,990
Distribution to
shareholders from:
Net investment income (6,955,320) (14,438,470) (5,427,633) (5,166,253) (26,460,562) (24,223,191)
Net realized gains on
investments, futures
and foreign currency
transactions...... -- -- (10,578,038) (6,299,483) (26,425,885) (5,181,586)
Increase (decrease) in net
assets from capital share
transactions (Note 3) 80,317,805 (18,556,843) 13,930,327 (993,645) 11,780,381 (41,707,151)
------------ ------------ ------------ ------------ ------------ ------------
Increase (decrease) in
net assets.......... 80,317,805 (18,556,843) 9,147,676 27,095,137 (21,301,539) 45,645,062
Net assets at beginning
of period.......... 258,116,963 276,673,806 211,756,952 184,661,815 650,136,137 604,491,075
------------ ------------ ------------ ------------ ------------ ------------
Net assets at end of period $338,434,768 $258,116,963 $220,904,628 $211,756,952 $628,834,598 $650,136,137
============ ============ ============ ============ ============ ============
Accumulated undistributed
net investment income -- -- $ 3,044,816 $ 5,427,633 $ 13,451,465 $ 26,460,562
============ ============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
CONSERVATIVE
ASSET ALLOCATION TRUST
----------------------------
SIX MONTHS
ENDED YEAR
06/30/96 ENDED
(UNAUDITED) 12/31/95
------------ -----------
<S> <C> <C>
Increase (decrease) in
net assets:
Operations:
Net investment income $ 5,062,231 $ 10,232,137
Net realized gain
(loss) on:
Investment
transactions.... 4,037,077 8,403,516
Futures contracts (57,479) (658,525)
Foreign currency and
forward foreign
currency contracts (58,240) 727,483
Change in unrealized
appreciation
(depreciation) on:
Investments...... (5,343,773) 17,450,440
Futures contracts (32,040) 129,261
Foreign currency and
forward foreign
currency contracts (652) (34,355)
------------ ------------
Net increase in net assets
resulting from operations 3,607,124 36,249,957
Distribution to
shareholders from:
Net investment income (10,622,367) (10,860,847)
Net realized gains on
investments, futures
and foreign currency
transactions...... (3,004,794) --
Increase (decrease) in net
assets from capital share
transactions (Note 3) 1,395,522 (17,714,850)
------------ ------------
Increase (decrease) in
net assets.......... (8,624,515) 7,674,260
Net assets at beginning
of period.......... 224,390,000 216,715,740
------------ ------------
Net assets at end of period $215,765,485 $224,390,000
============ ============
Accumulated undistributed $ 5,062,231 $ 10,622,367
net investment income ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 16
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL/MID CAP TRUST
-------------------------
03/04/96*
TO
06/30/96
(UNAUDITED)
-------------------------
<S> <C>
Net asset value, beginning
of period ......................................... $ 12.50
Income from investment operations:
Net investment income ............................. 0.01
Net realized and unrealized gain
on investments .................................. 0.62
-----------
Total from investment
operations ................................. 0.63
Net asset value, end of period ...................... $ 13.13
===========
Total return ................................. 5.04%
Net assets, end of period (000's) ................... $ 83,645
Ratio of operating expenses to
average net assets ................................ 1.17%(A)
Ratio of net investment income to
average net assets ................................ 0.24%(A)
Portfolio turnover rate ............................. 54%(A)
Average commission rate per share (B) ............... $ 0.069
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 17
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP
TRUST
-------------------------
03/04/96*
TO
06/30/96
(UNAUDITED)
-------------------------
<S> <C>
Net asset value, beginning
of period ........................................... $ 12.50
Income from investment operations:
Net investment income ............................... 0.03
Net realized and unrealized loss
on investments and foreign currency
transactions ..................................... 0.75
-----------
Total from investment
operations ................................... 0.78
Net asset value, end of period ........................ $ 13.28
===========
Total return ................................... 6.24%
Net assets, end of period (000's) ..................... $ 47,088
Ratio of operating expenses to
average net assets .................................. 1.44%(A)
Ratio of net investment income to
average net assets .................................. 1.71%(A)
Portfolio turnover rate ............................... 24%(A)
Average commission rate per share (B) ................. $ 0.019
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 18
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL EQUITY TRUST
------------------------------------------------------------------------
SIX
MONTHS YEARS ENDED DECEMBER 31,
ENDED
06/30/96
-----------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
----------- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period........................... $ 16.10 $ 15.74 $ 15.73 $ 12.00 $ 12.24 $ 11.00
Income from investment operations:
Net investment income (loss) (B).... 0.05 0.29 0.05 0.12 0.10 0.16
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions.... 1.06 0.84 0.22 3.79 (0.19) 1.23
--------- -------- -------- -------- -------- -------
Total from investment operations. 1.11 1.13 0.27 3.91 (0.09) 1.39
Less distributions:
Dividends from net investment income (0.27) (0.08) (0.02) (0.18) (0.15) (0.15)
Distributions from capital gains.... ---- (0.69) (0.24) ---- ---- ----
--------- -------- -------- -------- -------- -------
Total distributions.............. (0.27) (0.77) (0.26) (0.18) (0.15) (0.15)
--------- -------- -------- -------- -------- -------
Net asset value, end of period........ $ 16.94 $ 16.10 $ 15.74 $ 15.73 $ 12.00 $ 12.24
========= ======== ======== ======== ======== =======
Total return..................... 6.93% 7.68% 1.74% 32.89% (0.72%) 12.80%
Net assets, end of period (000's)..... $726,688 $648,183 $616,138 $377,871 $116,731 $89,003
Ratio of operating expenses to
average net assets (C).............. 1.06%(A) 1.05% 1.08% 1.16% 1.16% 1.23%
Ratio of net investment income (loss) to
average net assets.................. 1.80%(A) 0.61% 0.44% 0.77% 1.12% 1.47%
Portfolio turnover rate............... 63%(A) 63% 52% 52% 69% 74%
Average commission rate per share (D). $ 0.034 N/A N/A N/A N/A N/A
<CAPTION>
GLOBAL EQUITY TRUST
-------------------------------------
YEARS ENDED DECEMBER 31,
3/18/88*
------------------------ TO
1990 1989 12/31/88
------ ------ --------
<S> <C> <C> <C>
Net asset value, beginning
of period........................... $ 12.57 $ 10.15 $10.03
Income from investment operations:
Net investment income (loss) (B).... 0.12 0.10 (0.05)
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions.... (1.41) 2.32 0.17
------- ------- ------
Total from investment operations. (1.29) 2.42 0.12
Less distributions:
Dividends from net investment income (0.04) ---- ----
Distributions from capital gains.... (0.24) ---- ----
------- ------- ------
Total distributions.............. (0.28) ---- ----
------- ------- ------
Net asset value, end of period........ $ 11.00 $ 12.57 $10.15
======= ======= ======
Total return..................... (10.43%) 23.84% 1.20%
Net assets, end of period (000's)..... $63,028 $26,223 $2,143
Ratio of operating expenses to
average net assets (C).............. 1.28% 1.62% 3.98%(A)
Ratio of net investment income (loss) to
average net assets.................. 1.97% 1.82% (1.71%)(A)
Portfolio turnover rate............... 67% 109% 81%(A)
Average commission rate per share (D). N/A N/A N/A
</TABLE>
- ---------------------------------
* Commencement of operations.
(A) Annualized
(B) After expense reimbursement per share of $0.02 in 1988.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 4.53% in 1988.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 19
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PASADENA GROWTH TRUST
--------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 12/11/92*
06/30/96 TO
----------------------------------------------
(UNAUDITED) 1995 1994 1993 12/31/92
----------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period........ $ 11.40 $ 9.05 $ 9.55 $ 9.93 $ 10.00
Income from investment operations:
Net investment income (B)................... 0.01 0.03 0.04 0.05 0.00
Net realized and unrealized gain
(loss) on investments..................... 1.59 2.36 (0.50) (0.42) (0.07)
-------- -------- -------- -------- -------
Total from investment operations..... 1.60 2.39 (0.46) (0.37) (0.07)
Less distributions:
Dividends from net investment income........ (0.04) (0.04) (0.04) (0.01) ----
-------- -------- -------- -------- -------
Total distributions.................. (0.04) (0.04) (0.04) (0.01) ----
-------- -------- -------- -------- -------
Net asset value, end of period.............. $ 12.96 $ 11.40 $ 9.05 $ 9.55 $ 9.93
======== ======== ======== ======== =======
Total return......................... 14.02% 26.53% (4.80%) (3.80%) (0.70%)
Net assets, end of period (000's)........... $351,823 $277,674 $151,727 $104,966 $31,118
Ratio of operating expenses to
average net assets (C).................... 0.975%(A) 0.975% 0.975% 0.975% 1.06%(A)
Ratio of net investment income to
average net assets........................ 0.11%(A) 0.42% 0.65% 0.75% 1.04%(A)
Portfolio turnover rate..................... 78%(A) 57% 33% 12% 0%(A)
Average commission rate per share (D)....... $ 0.058 N/A N/A N/A N/A
</TABLE>
- ---------------------------------
* Commencement of operations.
(A) Annualized
(B) After subadviser expense reimbursement per share of $0.003 for the six
months ended June 30, 1996 and $0.004, $0.006 and $0.01 for the years
ended December 31, 1995, 1994 and 1993, respectively.
(C) The ratio of operating expenses, before reimbursement from the
subadviser, was 1.03% for the six months ended June 30, 1996 and 1.03%,
1.06% and 1.09% for the years ended December 31,1995, 1994 and 1993,
respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 20
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EQUITY TRUST
--------------------------------------------------------------------------------------
SIX YEARS ENDED DECEMBER 31,
MONTHS
ENDED
-------------------------------------------------------------------------
06/30/96
(UNAUDITED) 1995 1994 1993** 1992 1991 1990
--------- ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period...................... $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33 $ 19.14
Income from investment operations:
Net investment income (B)...... 0.07 0.10 0.11 0.07 0.64 0.14 0.24
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions 2.10 6.14 (0.18) 2.11 0.38 1.88 (1.95)
---------- -------- -------- -------- -------- ------- -------
Total from investment
operations................. 2.17 6.24 (0.07) 2.18 1.02 2.02 (1.71)
Less distributions:
Dividends from net investment income (0.09) (0.11) (0.05) (0.58) (0.17) (0.23) (0.29)
Distributions from capital gains (1.98) ---- (0.79) ---- ---- ---- (5.81)
---------- -------- -------- -------- -------- ------- -------
Total distributions.......... (2.07) (0.11) (0.84) (0.58) (0.17) (0.23) (6.10)
---------- -------- -------- -------- -------- ------- -------
Net asset value, end of period... $ 20.89 $ 20.79 $ 14.66 $ 15.57 $ 13.97 $ 13.12 $ 11.33
========== ======== ======== ======== ======== ======= =======
Total return................ 10.95% 42.79% (0.53%) 16.31% 7.93% 17.94% (11.79%)
Net assets, end of period (000's) $1,183,293 $988,800 $534,562 $387,842 $192,626 $88,235 $36,564
Ratio of operating expenses to
average net assets (C)......... 0.81%(A) 0.80% 0.84% 0.88% 0.95% 0.89% 0.97%
Ratio of net investment income to
average net assets............. 1.60%(A) 0.63% 0.88% 0.50% 7.31% 2.23% 2.74%
Portfolio turnover rate.......... 126%(A) 88% 132% 173% 782% 172% 95%
Average commission rate per share (D) $ 0.044 N/A N/A N/A N/A N/A N/A
<CAPTION>
EQUITY TRUST
-----------------------------------------
YEARS ENDED DECEMBER 31,
-----------------------------------------
1989 1988 1987 1986
------ ------ ------ ------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period...................... $ 15.17 $ 12.57 $ 13.01 $11.39
Income from investment operations:
Net investment income (B)...... 0.29 0.15 0.19 0.27
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions 3.87 2.45 0.97 1.80
------- -------- ------- ------
Total from investment
operations................. 4.16 2.60 1.16 2.07
------- -------- ------- ------
Less distributions:
Dividends from net investment income (0.12) ---- (0.14) (0.24)
Distributions from capital gains (0.07) ---- (1.46) (0.21)
------- -------- ------- ------
Total distributions.......... (0.19) ---- (1.60) (0.45)
------- -------- ------- ------
Net asset value, end of period... $ 19.14 $ 15.17 $ 12.57 $13.01
======= ======== ======= ======
Total return................ 27.70% 20.71% 6.87% 18.50%
Net assets, end of period (000's) $32,108 $133,852 $37,001 $1,408
Ratio of operating expenses to
average net assets (C)......... 1.02% 1.08% 1.15% 1.41%
Ratio of net investment income to
average net assets............. 1.90% 1.80% 1.33% 1.19%
Portfolio turnover rate.......... 111% 49% 64% 209%
Average commission rate per share (D) N/A N/A N/A N/A
</TABLE>
- --------------------------
** Net investment income per share was calculated using the average shares
method for fiscal year 1993.
(A) Annualized
(B) After expense reimbursement per share of $0.02, $0.53 and $0.14 in
1987, 1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the
investment adviser, was 1.30%, 3.71% and 4.69% in 1987, 1986 and 1985,
respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 21
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE EQUITY TRUST
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 02/19/93*
06/30/96 TO
----------------------------------
(UNAUDITED) 1995 1994** 12/31/93
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 13.81 $ 11.33 $ 11.31 $ 10.00
Income from investment operations:
Net investment income............... 0.08 0.17 0.12 0.07
Net realized and unrealized gain
(loss) on investments............. 1.00 2.49 (0.03) 1.24
-------- -------- -------- -------
Total from investment
operations............... 1.08 2.66 0.09 1.31
Less distributions:
Dividends from net investment income (0.16) (0.08) (0.05) ----
Distributions from capital gains.... (0.84) (0.10) (0.02) ----
-------- -------- -------- -------
Total distributions........ (1.00) (0.18) (0.07) ----
-------- -------- -------- -------
Net asset value, end of period...... $ 13.89 $ 13.81 $ 11.33 $ 11.31
======== ======== ======== =======
Total return............... 8.03% 23.69% 0.79% 13.10%
Net assets, end of period (000's)... $487,793 $396,827 $221,835 $86,472
Ratio of operating expenses to
average net assets................ 0.84%(A) 0.85% 0.87% 0.94%(A)
Ratio of net investment income to
average net assets................ 1.50%(A) 1.63% 1.08% 1.30%(A)
Portfolio turnover rate............. 58%(A) 52% 26% 33%(A)
Average commission rate per share (B) $0.056 N/A N/A N/A
</TABLE>
- -----------------------------
* Commencement of operations.
** Net investment income per share was calculated using the average shares
method for fiscal year 1994.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 22
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH AND INCOME TRUST
----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 4/23/91*
06/30/96 TO
----------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 12/31/91
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 16.37 $ 13.04 $ 13.05 $ 12.10 $ 11.08 $ 10.00
Income from investment operations:
Net investment income............. 0.11 0.27 0.25 0.17 0.20 0.13
Net realized and unrealized gain
on investments and foreign currency
transactions................... 1.28 3.45 0.11 0.98 0.92 0.95
-------- -------- -------- -------- -------- -------
Total from investment operations 1.39 3.72 0.36 1.15 1.12 1.08
Less distributions:
Dividends from net investment income (0.26) (0.26) (0.19) (0.18) (0.10) ----
Distributions from capital gains.. (0.36) (0.13) (0.18) (0.02) ---- ----
-------- -------- -------- -------- -------- -------
Total distributions.......... (0.62) (0.39) (0.37) (0.20) (0.10) ----
-------- -------- -------- -------- -------- -------
Net asset value, end of period...... $ 17.14 $ 16.37 $ 13.04 $ 13.05 $ 12.10 $ 11.08
======== ======== ======== ======== ======== =======
Total return................ 8.64% 29.20% 2.85% 9.62% 10.23% 10.80%
Net assets, end of period (000's)... $832,809 $669,387 $409,534 $288,765 $130,984 $57,404
Ratio of operating expenses to
average net assets................ 0.80%(A) 0.80% 0.82% 0.85% 0.85% 0.98%(A)
Ratio of net investment income to
average net assets................ 1.72%(A) 2.23% 2.40% 2.29% 2.78% 2.92%(A)
Portfolio turnover rate............ 54%(A) 39% 42% 39% 44% 62%(A)
Average commission rate per share (B) $ 0.055 N/A N/A N/A N/A N/A
</TABLE>
- ------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 23
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL GROWTH AND INCOME TRUST
--------------------------------------------------
SIX MONTHS ENDED 01/09/95*
06/30/96 TO
(UNAUDITED) 12/31/95
-------------------- --------------------
<S> <C> <C>
Net asset value, beginning
of period......................... $ 10.47 $ 10.00
Income from investment operations:
Net investment income............ 0.12 0.11
Net realized and unrealized loss
on investments and foreign currency
transactions................... 0.49 0.59
-------- -------
Total from investment
operations................. 0.61 0.70
Less distributions:
Dividends from net investment income (0.02) (0.12)
Distributions from capital gains. ---- (0.11)
-------- -------
Total distributions.......... (0.02) (0.23)
-------- -------
Net asset value, end of period...... $ 11.06 $ 10.47
======== =======
Total return................. 5.81% 6.98%
Net assets, end of period (000's)... $141,098 $88,638
Ratio of operating expenses to
average net assets................ 1.13%(A) 1.47%(A)
Ratio of net investment income to
average net assets................ 2.40%(A) 0.71%(A)
Portfolio turnover rate............. 206%(A) 112%(A)
Average commission rate per share (B) $ 0.031 N/A
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 24
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
STRATEGIC BOND TRUST
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31, 02/19/93*
06/30/96 TO
----------------------------------
(UNAUDITED) 1995 1994 12/31/93
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 11.26 $ 9.91 $ 10.88 $ 10.00
Income from investment operations:
Net investment income............. 0.30 0.78 0.57 0.33
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions................... 0.30 1.04 (1.22) 0.55
-------- ------- -------- -------
Total from investment
operations................. 0.60 1.82 (0.65) 0.88
Less distributions:
Dividends from net investment income (0.85) (0.47) (0.28) ----
Distributions from capital gains.. ---- ---- (0.04) ----
-------- ------- -------- -------
Total distributions.......... (0.85) (0.47) (0.32) ----
-------- ------- -------- -------
Net asset value, end of period...... $ 11.01 $ 11.26 $ 9.91 $ 10.88
======== ======== ======= =======
Total return................. 5.67% 19.22% (5.99%) 8.80%
Net assets, end of period (000's)... $155,321 $122,704 $84,433 $53,640
Ratio of operating expenses to
average net assets................ 0.92%(A) 0.92% 0.91% 1.00%(A)
Ratio of net investment income to
average net assets................ 8.55%(A) 8.76% 7.49% 6.56%(A)
Portfolio turnover rate............. 220%(A) 181% 197% 356%(A)
Average commission rate per share (B) N/A N/A N/A N/A
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 25
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED 3/18/88*
06/30/96 YEARS ENDED DECEMBER 31, TO
----------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991 1990 1989 12/31/88
------------ -------- -------- -------- ------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 14.56 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $ 10.50 $ 10.21 $ 10.03
Income from investment operations:
Net investment income 0.43 1.16 0.74 0.59 0.42 0.55 0.25 0.45 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions (0.08) 1.62 (1.54) 1.67 (0.16) 1.21 1.13 -- 0.04
------------ -------- -------- -------- ------- -------- ------- ------- --------
Total from investment operations 0.35 2.78 (0.80) 2.26 0.26 1.76 1.38 0.45 0.18
Less distributions:
Dividends from net investment income (1.31) (0.69) (0.30) (0.70) (0.43) (0.46) (0.24) (0.09) --
Distributions from capital gains . -- -- (0.36) (0.10) (0.24) (0.01) (0.05) (0.07) --
------------ -------- -------- -------- ------- -------- ------- ------- --------
Total distributions (1.31) (0.69) (0.66) (0.80) (0.67) (0.47) (0.29) (0.16) --
------------ -------- -------- -------- ------- -------- ------- ------- --------
Net asset value, end of period $ 13.60 $ 14.56 $ 12.47 $ 13.93 $ 12.47 $ 12.88 $ 11.59 $ 10.50 $ 10.21
============ ======== ======== ======== ======= ======== ======= ======= ========
Total return 2.67% 23.18% (5.75%) 18.99% 2.27% 15.86% 13.49% 4.49% 1.79%
Net assets, end of period (000's) $ 237,536 $235,243 $208,513 $196,817 $67,859 $ 28,251 $11,582 $ 4,065 $ 1,355
Ratio of operating expenses to
average net assets 0.94%(A) 0.93% 0.96% 1.06% 1.05% 1.14% 1.21% 1.50% 3.39%(A)
Ratio of net investment income to
average net assets 6.31%(A) 6.83% 6.10% 5.61% 6.71% 17.28% 6.62% 7.15% 3.74%(A)
Portfolio turnover rate 211%(A) 171% 157% 154% 132% 164% 142% 50% 234%(A)
Average commission rate per share (B) N/A N/A N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- --------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 26
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INVESTMENT
QUALITY BOND TRUST
------------------
SIX
MONTHS
ENDED
06/30/96
(UNAUDITED)
----------
<S> <C>
Net asset value, beginning
of period...................... $ 12.32
Income from investment operations:
Net investment income (B)...... 0.37
Net realized and unrealized gain
(loss) on investments........ (0.65)
----------
Total from investment
operations................ (0.28)
Less distributions:
Dividends from net investment income (0.71)
Distributions from capital gains ----
----------
Total distributions......... (0.71)
----------
Net asset value, end of period... $ 11.33
==========
Total return............... (2.25%)
Net assets, end of period (000's) $ 141,937
Ratio of operating expenses to
average net assets (C)......... 0.75%(A)
Ratio of net investment income to
average net assets............. 6.79%(A)
Portfolio turnover rate.......... 63%(A)
Average commission rate per share (D) N/A
</TABLE>
<TABLE>
<CAPTION>
INVESTMENT QUALITY BOND TRUST
------------------------------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991** 1990 1989 1988 1987 1986
-------- -------- ------- ------- ------- ------- ------- -------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period...................... $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79 $ 11.58 $ 11.18
Income from investment operations:
Net investment income (B)...... 0.77 0.66 0.60 0.63 0.76 1.12 0.75 0.57 0.81 1.02
Net realized and unrealized gain
(loss) on investments........ 1.28 (1.23) 0.53 0.15 0.85 (1.50) 0.51 0.19 (0.50) 0.37
-------- -------- ------- ------- ------- ------- ------- -------- ------ -------
Total from investment
operations................ 2.05 (0.57) 1.13 0.78 1.61 (0.38) 1.26 0.76 0.31 1.39
Less distributions:
Dividends from net investment income (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) ---- (0.88) (0.69)
Distributions from capital gains ---- ---- ---- ---- ---- ---- ---- ---- (0.22) (0.30)
-------- -------- ------- ------- ------- ------- ------- --------- ------ -------
Total distributions......... (0.74) (0.54) (0.59) (0.53) (1.02) (1.25) (0.44) ---- (1.10) (0.99)
-------- -------- ------- ------- ------- ------- ------- --------- ------ ------
Net asset value, end of period... $ 12.32 $ 11.01 $ 12.12 $ 11.58 $ 11.33 $ 10.74 $ 12.37 $ 11.55 $ 10.79 $ 11.58
======== ======== ======= ======= ======= ======= ======= ========= ====== ======
Total return............... 19.49% (4.64%) 10.01% 7.21% 16.07% (2.73%) 11.34% 7.09% 2.61% 13.25%
Net assets, end of period (000's) $143,103 $111,423 $99,474 $60,185 $38,896 $20,472 $26,965 $114,221 $25,131 $ 1,295
Ratio of operating expenses to
average net assets (C)......... 0.74% 0.76% 0.77% 0.80% 0.85% 0.70% 0.83% 0.89% 0.95% 1.16%
Ratio of net investment income to
average net assets............. 6.91% 6.49% 6.03% 6.96% 7.47% 8.41% 8.77% 7.97% 7.46% 8.11%
Portfolio turnover rate.......... 137% 140% 33% 59% 115% 120% 351% 94% 201% 127%
Average commission rate per share (D) N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- --------------------------
** The Investment Quality Bond Trust is the successor to the Bond Trust
effective April 23, 1991.
(A) Annualized
(B) After expense reimbursement per share of $0.02, $0.28 and $0.12 in 1987,
1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.14%, 3.38% and 3.55% in 1987, 1986 and 1985, respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 27
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES TRUST
----------------
SIX MONTHS
ENDED
06/30/96***
(UNAUDITED)
------------
<S> <C>
Net asset value, beginning
of period......................... $ 13.65
Income from investment operations:
Net investment income (B)......... 0.40
Net realized and unrealized gain
(loss) on investments........... (1.25)
------------
Total from investment operations (0.85)
Less distributions:
Dividends from net investment income (0.07)
Distributions from capital gains.. ----
------------
Total distributions.......... (0.07)
------------
Net asset value, end of period...... $ 12.73
============
Total return................ (1.20%)
Net assets, end of period (000's)... $ 212,117
Ratio of operating expenses to
average net assets (C)............ 0.72%(A)
Ratio of net investment income to
average net assets................ 6.18%(A)
Portfolio turnover rate............. 215%(A)
Average commission rate per share (D) N/A
</TABLE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES TRUST
-----------------------------------------------------------------------------
YEARS ENDED DECEMBER 31, 3/18/88*
-------------------------------------------------------------------- TO
1995 1994 1993 1992 1991 1990 1989** 12/31/88
--------- -------- -------- -------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $ 10.98 $ 9.81 $ 10.03
Income from investment operations:
Net investment income (B)......... 0.89 0.77 0.48 0.10 0.19 1.07 0.20 0.07
Net realized and unrealized gain
(loss) on investments........... 0.99 (0.95) 0.49 0.65 1.40 (0.13) 1.08 (0.29)
-------- -------- -------- -------- -------- ------- ------- --------
Total from investment operations 1.88 (0.18) 0.97 0.75 1.59 0.94 1.28 (0.22)
Less distributions:
Dividends from net investment income (0.87) (0.51) (0.46) (0.38) (0.53) (0.08) (0.11) ----
Distributions from capital gains.. ---- (0.15) (0.08) (0.17) (0.04) (0.01) ---- ----
-------- -------- -------- -------- -------- ------- ------- -------
Total distributions.......... (0.87) (0.66) (0.54) (0.55) (0.57) (0.09) (0.11) ----
-------- -------- -------- -------- -------- ------- ------- --------
Net asset value, end of period...... $ 13.65 $ 12.64 $ 13.48 $ 13.05 $ 12.85 $ 11.83 $ 10.98 $9.81
======== ======== ======== ======== ======== ======= ======= ========
Total return................ 15.57% (1.25%) 7.64% 6.19% 14.01% 8.63% 13.16% (2.19%)
Net assets, end of period (000's)... $216,788 $188,813 $222,072 $125,945 $ 29,246 $10,469 $ 5,905 $ 344
Ratio of operating expenses to
average net assets (C)............ 0.71% 0.73% 0.75% 0.76% 0.87% 1.04% 0.90% 5.16%(A)
Ratio of net investment income to
average net assets................ 6.46% 5.68% 5.05% 6.12% 7.09% 7.70% 6.66% 1.16%(A)
Portfolio turnover rate............. 212% 387% 213% 141% 233% 284% 330% 156%(A)
Average commission rate per share (D) N/A N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- --------------------------------------
* Commencement of operations.
** The U.S. Government Securities Trust is the successor to the Convertible
Securities Trust effective May 1, 1989.
*** Net investment income per share has been calculated using the average
shares method for the six months ended June 30, 1996.
(A) Annualized
(B) After expense reimbursement per share of $0.01 and $0.06 in 1989 and
1988, respectively.
(C) The ratio of operating expenses, before reimbursement from the
investment adviser, was 1.62% and 6.16% in 1989 and 1988, respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all
security trades on which commissions are charged. In certain foreign
markets the relationship between the translated U.S. dollar price per
share and commission paid per share may vary from that of domestic
markets.
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 28
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MONEY MARKET TRUST
------------------------------------------------------------------------------------------
SIX MONTHS
ENDED
06/30/96 YEARS ENDED DECEMBER 31,
-------------------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991
----------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) 0.40 0.55 0.38 0.27 0.33 0.56
Less distributions:
Dividends from net
investment income (0.40) (0.55) (0.38) (0.27) (0.33) (0.56)
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, end of period $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
=========== =========== =========== =========== =========== ===========
Total return 2.47% 5.62% 3.78% 2.69% 3.36% 5.71%
Net assets, end of period (000's) $ 338,435 $ 258,117 $ 276,674 $ 132,274 $ 89,535 $ 79,069
Ratio of operating expenses to
average net assets (C) 0.54%(A) 0.54% 0.57% 0.59% 0.60% 0.60%
Ratio of net investment income to
average net assets 4.76%(A) 5.48% 3.93% 2.66% 3.28% 5.65%
Average commission rate per share (D) N/A N/A N/A N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET TRUST
-----------------------------------------------------------------------
YEARS ENDED DECEMBER 31,
-----------------------------------------------------------------------
1990 1989 1988 1987 1986
----------- ----------- ----------- ----------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (B) 0.75 0.72 0.57 0.60 0.56
Less distributions:
Dividends from net
investment income (0.75) (0.72) (0.57) (0.60) (0.56)
----------- ----------- ------------ ----------- -----------
Net asset value, end of period $ 10.00 $ 10.00 $ 10.00 $ 10.00 $ 10.00
=========== =========== ============ =========== ===========
Total return 7.76% 8.56% 6.77% 6.13% 5.74%
Net assets, end of period (000's) $ 85,040 $ 19,403 $ 12,268 $ 7,147 $ 1,046
Ratio of operating expenses to
average net assets (C) 0.57% 0.79% 0.99% 0.78% 1.11%
Ratio of net investment income to
average net assets 7.27% 8.26% 6.68% 5.86% 6.84%
Average commission rate per share (D) N/A N/A N/A N/A N/A
</TABLE>
- ---------------------------------
(A) Annualized
(B) After expense reimbursement per share of $0.08, $0.23 and $0.12 in 1987,
1986 and 1985, respectively.
(C) The ratio of operating expenses, before reimbursement from the investment
adviser, was 1.57%, 3.43% and 3.50% in 1987, 1986 and 1985, respectively.
(D) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 29
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
AGGRESSIVE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
SIX MONTHS 8/03/89*
ENDED YEARS ENDED DECEMBER 31,
06/30/96 TO
-------------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991 1990 12/31/89
----------- ------- ------- ------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 12.85 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88 $ 10.00
Income from investment operations:
Net investment income ............ 0.17 0.35 0.31 0.34 0.30 0.36 0.36 0.08
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions. 0.48 2.07 (0.41) 0.79 0.55 1.69 (1.07) (0.20)
--------- -------- -------- -------- -------- -------- ------- -------
Total from investment operations 0.65 2.42 (0.10) 1.13 0.85 2.05 (0.71) (0.12)
Less distributions:
Dividends from net investment income (0.33) (0.33) (0.31) (0.30) (0.32) (0.41) (0.07) ----
Distributions from capital gains.. (0.64) (0.41) (0.45) (0.05) ---- ---- (0.02) ----
--------- -------- -------- -------- -------- -------- ------- -------
Total distributions............ (0.97) (0.74) (0.76) (0.35) (0.32) (0.41) (0.09) ----
--------- -------- -------- -------- -------- -------- ------- -------
Net asset value, end of period...... $ 12.53 $ 12.85 $ 11.17 $ 12.03 $ 11.25 $ 10.72 $ 9.08 $ 9.88
========= ======== ======== ======== ======== ======== ======= =======
Total return.................. 5.27% 22.77% (0.69%) 10.30% 8.24% 22.96% (7.27%) (1.20%)
Net assets, end of period (000's)... $ 220,905 $211,757 $184,662 $174,448 $151,627 $124,632 $91,581 $87,301
Ratio of operating expenses to
average net assets................ 0.96%(A) 0.91% 0.89% 0.86% 0.89% 0.88% 0.78% 0.89%(A)
Ratio of net investment income to
average net assets................ 2.79%(A) 2.76% 2.90% 2.96% 3.08% 3.63% 4.08% 3.32%(A)
Portfolio turnover rate............. 81%(A) 111% 136% 92% 123% 172% 82% 22%(A)
Average commission rate per share (B) $0.025 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 30
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
MODERATE ASSET ALLOCATION TRUST
---------------------------------------------------------------------------------------
SIX MONTHS 8/03/89*
ENDED YEARS ENDED DECEMBER 31,
06/30/96 TO
-------------------------------------------------------
(UNAUDITED) 1995 1994 1993 1992 1991 1990 12/31/89
----------- ------- ------- ------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 12.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03 $ 10.00
Income from investment operations:
Net investment income 0.27 0.50 0.45 0.41 0.41 0.42 0.48 0.11
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions 0.10 1.65 (0.65) 0.67 0.43 1.50 (1.10) (0.08)
------- -------- -------- ------- -------- -------- ------- --------
Total from investment operations 0.37 2.15 (0.20) 1.08 0.84 1.92 (0.62) 0.03
Less distributions:
Dividends from net investment income (0.52) (0.45) (0.40) (0.39) (0.42) (0.49) (0.10) --
Distributions from capital gains . (0.52) (0.10) (0.37) (0.07) -- -- (0.02) --
------- -------- -------- ------- -------- -------- ------- --------
Total distributions (1.04) (0.55) (0.77) (0.46) (0.42) (0.49) (0.12) --
------- -------- -------- ------- -------- -------- ------- --------
Net asset value, end of period $ 11.72 $ 12.39 $ 10.79 $ 11.76 $ 11.14 $ 10.72 $ 9.29 $ 10.03
======= ======== ======== ======= ======== ======== ======= ========
Total return 3.18% 20.68% (1.61%) 10.06% 8.30% 21.23% (6.23%) 0.30%
Net assets, end of period (000's) 628,835 $650,136 $604,491 $644,257 $505,967 $420,074 $327,328 $318,439
Ratio of operating expenses to
average net assets 0.88%(A) 0.84% 0.85% 0.84% 0.87% 0.86% 0.73% 0.79%(A)
Ratio of net investment income to
average net assets 4.19%(A) 4.09% 4.01% 4.02% 4.21% 4.38% 5.10% 4.51%(A)
Portfolio turnover rate 87%(A) 129% 180% 135% 169% 168% 76% 41%(A)
Average commission rate per share (B) $ 0.026 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 31
NASL SERIES TRUST
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CONSERVATIVE ASSET ALLOCATION TRUST
--------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31,
06/30/96 8/03/89*
----------------------------------------------------------- TO
(UNAUDITED) 1995 1994 1993 1992 1991 1990 12/31/89
----------- ------- ------- ------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period......................... $ 11.59 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11 $ 10.00
Income from investment operations:
Net investment income ............ 0.27 0.54 0.55 0.50 0.47 0.58 0.62 0.15
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions. (0.09) 1.26 (0.76) 0.44 0.26 1.15 (1.01) (0.04)
------ ----- ------ ----- ----- ---- ------ -----
Total from investment operations 0.18 1.80 (0.21) 0.94 0.73 1.73 (0.39) 0.11
Less distributions:
Dividends from net investment income (0.56) (0.55) (0.46) (0.46) (0.58) (0.66) (0.13) ----
Distributions from capital gains.. (0.16) ---- (0.25) ---- ---- ---- (0.03) ----
-------- -------- -------- -------- -------- -------- -------- --------
Total distributions............ (0.72) (0.55) (0.71) (0.46) (0.58) (0.66) (0.16) ----
-------- -------- -------- -------- -------- -------- -------- --------
Net asset value, end of period...... $ 11.05 $ 11.59 $ 10.34 $ 11.26 $ 10.78 $ 10.63 $ 9.56 $ 10.11
======== ======== ======== ======== ======== ======== ======== ========
Total return.................. 1.61% 18.07% (1.84%) 8.99% 7.36% 18.80% (3.84%) 1.10%
Net assets, end of period (000's)... $215,765 $224,390 $216,716 $250,117 $201,787 $165,167 $149,901 $141,191
Ratio of operating expenses to
average net assets................ 0.92%(A) 0.87% 0.87% 0.86% 0.89% 0.88% 0.76% 0.82%(A)
Ratio of net investment income to
average net assets................ 4.57%(A) 4.68% 4.86% 4.78% 4.99% 5.65% 6.68% 6.00%(A)
Portfolio turnover rate............. 75%(A) 110% 220% 170% 252% 211% 78% 85%(A)
Average commission rate per share (B) $ 0.028 N/A N/A N/A N/A N/A N/A N/A
</TABLE>
- -----------------------------
* Commencement of operations.
(A) Annualized
(B) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share of all security
trades on which commissions are charged. In certain foreign markets the
relationship between the translated U.S. dollar price per share and
commission paid per share may vary from that of domestic markets.
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 32
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
SMALL/MID CAP TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 86.50%
AGRICULTURAL PRODUCTS - 1.21%
DEKALB Genetics Corporation,
Class B 10,000 $ 260,000
Delta & Pine Land Company 18,500 781,625
----------
1,041,625
ALUMINUM - 0.33%
Reynolds Metals Company 5,400 281,475
----------
APPAREL & TEXTILES - 4.57%
Cintas Corporation 14,000 749,000
G & K Services, Class A 30,500 869,250
Gucci Group NV* 20,000 1,290,000
Tommy Hilfiger Corporation* 19,000 1,018,875
----------
3,927,125
BROADCASTING - 3.14%
Chancellor Broadcasting Company,
Class A* 9,000 281,250
Clear Channel Communications* 6,000 494,250
Evergreen Media, Class A* 19,000 812,250
Young Broadcasting, Incorporated,
Class A* 29,000 1,109,250
----------
2,697,000
BUSINESS SERVICES - 5.28%
The Gymboree Corporation* 34,700 1,058,350
Loewen Group, Incorporated 38,900 1,176,725
Service Corporation International 28,900 1,661,750
Steris Corporation* 20,100 643,200
----------
4,540,025
CHEMICALS - 1.28%
Guilford Pharmaceuticals,
Incorporated* 12,000 285,000
NPS Pharmaceuticals, Incorporated* 14,000 185,500
Waters Corporation* 19,000 627,000
----------
1,097,500
COMPUTERS & BUSINESS EQUIPMENT - 6.48%
3Com Corporation* 34,300 1,569,225
Applix, Incorporated* 13,400 385,250
Cisco Systems, Incorporated* 26,000 1,472,250
Citrix Systems, Incorporated* 11,000 418,000
Individual, Incorporated* 10,000 165,000
Sundstrand Corpration 42,500 1,556,563
----------
5,566,288
DRUGS & HEALTH CARE - 11.49%
American Oncology Resources,
Incorporated* 45,000 978,750
BioChem Pharma, Incorporated* 28,000 1,050,000
Biopsys Medical, Incorporated* 38,000 760,000
CNS, Incorporated* 15,000 363,750
Centocor, Incorporated* 15,000 448,125
Conceptus, Incorporated* 21,600 367,200
Cygnus, Incorporated* 10,000 152,500
Cytotherapeutics* 2,000 22,250
DRUGS & HEALTH CARE - CONTINUED
Fuisz Technologies, Ltd.* 35,000 $ 665,000
Genzyme Corporation* 22,000 258,500
Guidant Corporation 7,000 44,750
IDEC Pharmaceuticals Corporation 31,500 728,438
IDEXX Laboratories, Incorporated* 9,000 353,250
Imagyn Medical, Incorporated* 47,500 522,500
INCYTE Pharmacuticals,
Incorporated* 1,000 38,562
Neuromedical Systems, Incorporated* 54,000 810,000
Oxford Health Plans, Incorporated* 9,400 386,575
Phycor, Incorporated* 15,000 570,000
United Healthcare Corporation 15,000 757,500
VISX, Incorporated* 8,600 293,475
----------
9,871,125
ELECTRICAL EQUIPMENT - 1.26%
Cable Design Technologies
Corporation* 33,000 1,080,750
----------
ELECTRONICS - 8.11%
Adaptec, Incorporated* 13,900 658,513
Altera Corporation* 15,100 573,800
Glenayre Technologies, Incorporated* 28,000 1,400,000
Hologic, Incorporated* 19,800 876,150
Linear Technology Corporation 5,500 165,000
Maxim Integrated Products,
Incorporated* 20,600 562,637
Spectran Corporation* 37,800 737,100
Target Therapeutics, Incorporated* 10,000 410,000
Xilinx, Incorporated* 50,000 1,587,500
----------
6,970,700
FINANCIAL SERVICES - 2.93%
Case Corporation 11,200 537,600
Green Tree Financial Corporation 33,800 1,056,250
Money Store, Incorporated 41,900 927,037
----------
2,520,887
HOTELS & RESTAURANTS - 4.80%
Boston Chicken, Incorporated* 53,000 1,722,500
Lone Star Steakhouse and Saloon,
Incorporated* 53,100 2,004,525
Outback Steakhouse, Incorporated* 11,600 400,019
----------
4,127,044
HOUSEHOLD APPLIANCES FURNISHING - 0.83%
Odetics, Incoporated, Class A* 46,700 712,175
----------
INSURANCE - 0.16%
CompDent Corporation* 3,000 139,500
----------
INVESTMENT COMPANIES - 1.68%
The Charles Schwab Corporation 59,000 1,445,500
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 33
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
LEISURE TIME - 0.26%
Sports Authority, Incorporated* 6,800 $ 222,700
-----------
MEDICAL SUPPLIES - 0.81%
Heartport, Incorporated* 23,000 695,750
-----------
METAL & METAL PRODUCTS - 1.08%
Titanium Metals Corporation* 36,000 931,500
-----------
MOBILE HOMES - 0.55%
Clayton Homes, Incorporated 23,500 470,000
-----------
OFFICE FURNISHINGS & SUPPLIES - 3.00%
OfficeMax, Incorporated* 71,300 1,702,288
Viking Office Products, Incorporated* 28,000 878,500
-----------
2,580,788
PETROLEUM SERVICES - 1.10%
Halliburton Company 17,000 943,500
-----------
PLASTICS - 1.04%
Sealed Air Corporation* 26,600 894,425
-----------
POLLUTION CONTROL - 2.42%
United Waste System, Incorporated* 36,000 1,161,000
USA Waste Services, Incorporated* 31,000 918,375
-----------
2,079,375
RETAIL TRADE - 6.07%
Charming Shoppes, Incorporated* 110,000 776,875
Gap, Incorporated 30,000 963,750
Nautica Enterprises, Incorporated* 20,000 575,000
Nine West Group, Incorporated* 25,000 1,278,125
Nordstrom, Incorporated 16,000 712,000
TJX Companies, Incorporated 27,100 914,625
-----------
5,220,375
SOFTWARE - 8.43%
Business Objects SA, ADR* 15,000 603,750
Compuware Corporation* 39,000 1,540,500
IMNET Systems, Incorporated* 18,000 549,000
Inference Corporation, Class A* 15,000 360,000
Informix Corporation* 85,900 1,932,750
Microchip Technology, Incorporated* 800 19,800
Parametric Technology Corporation* 10,000 433,780
PeopleSoft, Incorporated* 15,000 1,068,750
Softkey International, Incorporated* 38,800 734,775
-----------
7,243,105
TELECOMMUNICATION SERVICES - 3.82%
Ascend Communications,
Incorporated* 24,500 1,378,125
Cascade Communications
Corporation* 16,000 1,088,000
MFS Communications, Incorporated* 21,600 812,700
-----------
3,278,825
TELEPHONE - 3.42%
LCI International, Incorporated* 27,400 859,675
Worldcom, Incorporated* 37,600 2,082,100
-----------
2,941,775
Shares Value
------ -----
TRUCKING & FREIGHT - 0.94%
Tidewater, Incorporated 18,500 $811,687
-----------
TOTAL COMMON STOCKS
(Cost $73,925,463) $74,332,524
-----------
SHORT TERM INVESTMENTS - 13.50%
AT & T Capital Corporation,
5.41% due 07/11/96 4,000,000 3,993,989
Countrywide Funding Corporation,
5.42% due 07/10/96 4,000,000 3,994,580
Repsol International,
5.27% due 07/10/96 1,000,000 998,682
Seven Seas Money Market Fund 2,612,498 2,612,498
-----------
$11,599,749
TOTAL INVESTMENTS
(Small/Mid Cap Trust) (Cost: $85,525,212) $85,932,273
===========
</TABLE>
<TABLE>
INTERNATIONAL SMALL CAP TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS- 64.44%
AGRICULTURAL PRODUCTS - 0.88%
Kverneland AS 18,000 $ 443,821
----------
ALUMINUM - 1.61%
Madeco SA, ADR 28,900 812,813
-------
AUTOMOBILES - 1.58%
Mabuchi Motor Company 12,500 797,787
----------
BANKING - 1.96%
Banco de A Edwards, ADR 24,875 522,375
Banco Latinoamericano
de Exportaciones SA 14,750 829,687
Bank Tiara 139,500 161,826
----------
1,513,888
BROADCASTING - 2.22%
Flextech PLC* 80,000 623,699
Sistem Televisyen Malaysia 244,000 498,857
----------
1,122,556
BUSINESS SERVICES - 1.31%
Kobenhavns Lufthavne 6,700 663,310
----------
CHEMICALS - 0.56%
Budi Acid Jaya 100,000 283,566
----------
CONGLOMERATES - 1.24%
Hunter Douglas NV * 9,150 625,022
----------
CONTAINERS & GLASS - 0.91%
Republic Glass Holdings 1,200,000 458,015
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 34
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - 3.58%
De Rigo SPA, ADR* 16,950 $ 387,731
Medeva PLC 56,825 880,788
Schwarz Pharma AG 7,250 543,571
-----------
1,812,090
ELECTRICAL EQUIPMENT - 1.41%
TLG PLC 290,000 711,601
-----------
ELECTRONICS - 2.77%
Austria Mikro Systeme International AG 6,050 565,183
Saes Getters 9,000 182,204
Toolex-Alpha NV 8,325 199,800
VTech Holdings, Ltd. 279,000 455,941
-----------
1,403,128
FINANCIAL SERVICES - 3.25%
Guoco Group 104,500 498,146
JBA Holdings 84,000 667,930
Manhattan Card Company 1,000,000 477,987
-----------
1,644,063
FOOD & BEVERAGES - 3.65%
Doutor Coffee Company 13,000 606,227
Grolsch NV* 15,000 615,655
J.D. Wetherspoon PLC 40,108 622,892
-----------
1,844,774
HOUSEHOLD APPLIANCES FURNISHING - 3.82%
DFS Furniture Company 50,000 428,638
Industrie Natuzzi SPA, ADR 14,425 739,281
Laox Company 32,000 766,607
-----------
1,934,526
INDUSTRIAL MACHINERY - 4.70%
IHC Caland NV* 18,500 911,170
KCI Konecranes International* 19,750 481,853
Tomra Systems AS 35,000 355,982
Valmet 37,000 627,105
-----------
2,376,110
INTERNATIONAL OIL - 1.35%
Gulf Canada Resources, Ltd. 133,000 681,625
-----------
LEISURE TIME - 2.45%
AAPC, Ltd. 325,000 204,322
Euro Disney * 207,500 570,831
Village Roadshow 102,000 462,507
-----------
1,237,660
MISCELLANEOUS - 0.11%
Axxicon Group NV 4,050 129,182
Noritsu Koki Company 8,000 405,248
Shanghai Industrial Holdings 44,000 54,000
-----------
588,430
OFFICE FURNISHINGS & SUPPLIES - 0.94%
Corporate Express Australia* 5,000 9,037
Turbon International AG 16,700 463,492
-----------
472,529
PAPER - 0.65%
Guilbert SA 2,250 $ 328,078
-----------
PETROLEUM SERVICES - 1.51%
Petroleum Geological Services
AS, ADR* 27,000 766,125
-----------
PUBLISHING - 1.10%
Dorling Kindersley Holdings PLC 60,000 555,366
-----------
RETAIL TRADE - 5.62%
Bulgari SPA 20,600 329,600
Matahari Putra Prima 469,000 856,391
Next 79,000 690,744
Paris Miki, Incorporated 6,000 279,797
Puma AG* 4,500 161,740
Santa Isabel SA, ADR 19,000 527,250
-----------
2,845,522
SOFTWARE - 4.23%
Baan Company NV* 26,900 914,600
Dassault Systemes SA* 10,000 313,399
OzEmail, Ltd., ADR* 6,000 77,250
Psion PLC 104,000 573,381
TT Tieto 12,000 575,179
-----------
2,453,809
TELECOMMUNICATION SERVICES - 1.02%
Asia Satellite Telecommunications
Holdings, ADR* 14,750 438,813
Comcast UK Cable Partners, Ltd. 40,425 515,419
-----------
954,232
TELEPHONE - 1.07%
Cellular Communications International* 16,000 540,000
-----------
TOYS, AMUSEMENTS & SPORTING GOODS - 2.75%
Salomon SA 1,000 914,729
Skis Rossignol SA 1,300 477,176
-----------
1,391,905
TRANSPORTATION - 2.65%
ASG AB 32,000 609,054
Tranz Rail Holdings, Ltd., ADR* 52,725 731,559
-----------
1,340,613
TOTAL COMMON STOCKS
(Cost $31,361,713) $32,602,964
-----------
PREFERRED STOCKS - 1.87%
FINANCIAL SERVICES - 1.87%
Marschollek Lautenschlaeger und
Partner AG 900 947,057
-----------
TOTAL PREFERRED STOCKS
(Cost: $920,549) $ 947,057
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
31
<PAGE> 35
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 33.68%
$17,038,000 Repurchase Agreement with State Street Bank & Trust Company
dated 06/28/96 at 4.75%, to be repurchased at $17,044,744 on
07/01/96, collateralized by $11,551,000 U.S. Treasury Bonds,
11.25% due 02/15/15 (valued at $17,510,907, including
interest) $17,038,000
-----------
TOTAL INVESTMENTS (International
Small Cap Trust) (Cost: $49,320,262) $50,588,021
===========
</TABLE>
<TABLE>
GLOBAL EQUITY TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 92.67%
AEROSPACE - 0.87%
British Aerospace 415,000 $6,293,640
------------
ALUMINUM - 0.48%
Aluminum Company of America 60,800 3,488,400
------------
APPAREL & TEXTILES - 0.55%
Itochu Corporation 570,000 3,992,319
------------
AUTO PARTS - 1.07%
Danaher Corporation 178,000 7,743,000
------------
AUTOMOBILES - 2.86%
Daimler-Benz AG* 20,030 10,729,652
Fiat SPA 2,962,798 9,935,652
------------
20,665,304
BANKING - 5.97%
Bangkok Bank 280,200 3,797,077
Bankamerica Corporation 76,000 5,757,000
Hang Seng Bank 683,000 6,882,234
HSBC Holdings 728,537 11,404,959
Sakura Bank 419,000 4,674,073
Sumitomo Bank 246,000 4,768,619
Sumitomo Trust & Banking 427,000 5,856,536
------------
43,140,498
BROADCASTING - 1.38%
Wolters Kluwer 87,490 9,946,826
------------
BUILDING & CONSTRUCTION - 1.39%
Fluor Corporation 100,000 6,537,500
Maeda Road Construction 88,000 1,520,779
Taisei Corporation 279,000 1,984,748
------------
10,043,027
BUSINESS SERVICES - 4.02%
Eaux (Cie Generale) 69,903 $7,814,415
Havas 91,429 7,483,399
Interpublic Group Companies,
Incorporated 100,000 4,687,500
Secom Company 137,000 9,069,446
------------
29,054,760
CHEMICALS - 4.92%
Ciba-Geigy AG 5,700 6,952,888
Dow Chemical Company 83,700 6,361,200
Hoeschst AG 288,700 9,797,382
Sekisui Chemical 297,000 3,639,007
Sumitomo Chemical 285,000 1,362,913
Toray Industries, Incorporated 1,074,000 7,424,167
------------
35,537,557
COMPUTERS & BUSINESS EQUIPMENT - 1.69%
International Business Machines
Corporation 15,400 1,524,600
Olivetti & C SPA* 19,743,300 10,662,994
------------
12,187,594
CONGLOMERATES - 2.64%
Berjaya Sports 1,968,000 6,508,719
Hutchison Whampoa 1,262,000 7,939,670
Renong BHD 2,908,000 4,639,744
------------
19,088,133
CONTAINERS & GLASS - 0.84%
Mark IV Industries, Incorporated 267,563 6,053,613
------------
DOMESTIC OIL - 1.11%
Phillips Petroleum Company 190,500 7,977,187
------------
DRUGS & HEALTH CARE - 6.07%
Astra AB, Series A 502,685 22,248,411
Astra AB, Series B 125,060 5,459,486
Bristol Myers Squibb Company 17,700 1,593,000
Glaxo Wellcome PLC 572,400 7,707,265
Sandoz AG 5,940 6,799,024
------------
43,807,186
ELECTRICAL EQUIPMENT - 2.59%
General Electric Company 126,600 10,950,900
Sumitomo Electric Industries, Ltd. 541,000 7,766,379
------------
18,717,279
ELECTRONICS - 3.42%
AMP, Incorporated 152,200 6,107,025
Intel Corporation 53,600 3,936,250
Rohm Company 144,000 9,532,849
TDK Corporation 86,000 5,142,779
------------
24,718,903
ENERGY SERVICES - 0.25%
Companhia Energetica De
Sao Paulo, ADR* 182,400 1,816,996
------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
32
<PAGE> 36
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
FINANCIAL SERVICES - 1.17%
Daiwa Securities 568,000 $ 7,323,001
Yamaichi Securities Company, Ltd. 166,000 1,141,425
-----------
8,464,426
FOOD & BEVERAGES - 3.17%
Cadbury Schweppes PLC 884,844 6,994,651
Fraser & Neave 484,800 5,016,357
House Foods Industry 270,000 5,135,098
Universal Foods Corporation 155,000 5,715,625
-----------
22,861,731
GAS & PIPELINE UTILITIES - 0.62%
Osaka Gas Company 1,227,000 4,498,944
-----------
GOLD - 1.55%
Placer Dome, Incorporated 468,200 11,178,275
-----------
HOMEBUILDERS - 1.55%
Toyo Exterior Company 182,000 4,260,229
Yokogawa Bridge Company 505,000 6,926,348
-----------
11,186,577
HOTELS & RESTAURANTS - 1.91%
HFS, Incorporated* 160,000 11,200,000
Ruby Tuesday, Incorporated 78,850 1,783,981
Shoney's, Incorporated* 76,400 830,850
-----------
13,814,831
HOUSEHOLD APPLIANCES FURNISHING - 2.63%
Sharp Corporation 799,000 14,027,157
Sony Corporation 75,000 4,944,452
-----------
18,971,609
INDUSTRIAL MACHINERY - 4.93%
Ebara Corporation 456,000 7,296,667
Exedy Corporation 358,000 6,612,353
Kawasaki Heavy Industries, Ltd. 520,000 2,638,870
Keppel Corporation 752,000 6,288,873
Kolbenschmidt AG* 32,996 4,220,797
Mitsubishi Heavy Industries 982,000 8,557,089
-----------
35,614,649
INSURANCE - 1.11%
American International Group,
Incorporated 35,000 3,451,875
Tokio Marine & Fire Insurance
Company, Ltd. 341,000 4,552,279
-----------
8,004,154
LEISURE TIME - 1.18%
Genting BHD 292,000 2,282,622
Resorts World BHD 1,091,000 6,254,279
-----------
8,536,901
LIQUOR - 1.14%
LVMH Moet Hennessy 34,697 8,229,711
-----------
MISCELLANEOUS - 0.00%
New World Infrastructure, Ltd.* 731 1,558
-----------
MUTUAL FUNDS - 1.39%
India Gateway Fund* 327,260 $ 2,051,920
Indian Opportunities Fund* 180,088 2,076,419
Korea Equity Fund, Incorporated 319,000 2,711,500
R.O.C. Taiwan Fund* 280,100 3,186,138
-----------
10,025,977
NEWSPAPERS - 0.78%
Gannett, Incorporated 80,000 5,660,000
-----------
NON-FERROUS METALS - 3.84%
QNI, Ltd. 6,505,400 14,518,928
Sumitomo Sitix Corporation 290,000 6,417,044
WMC, Ltd. 949,525 6,790,316
-----------
27,726,288
PAPER - 0.73%
Schmalbach Lubeca* 26,670 5,244,545
-----------
PETROLEUM SERVICES - 2.66%
Broken Hill Proprietary Company, Ltd 382,400 5,279,975
JGC Corporation 325,000 4,279,248
Schlumberger, Ltd. 114,700 9,663,475
-----------
19,222,698
PHOTOGRAPHY - 0.39%
Canon, Incorporated 136,000 2,835,276
-----------
REAL ESTATE - 2.88%
Mitsubishi Estate 436,000 6,019,842
New World Development Company 1,537,000 7,128,243
Sun Hung Kai Properties 756,000 7,642,233
-----------
20,790,318
RETAIL GROCERY - 0.59%
Hac-Kimisawa Company 295,500 4,242,079
-----------
RETAIL TRADE - 5.54%
Carrefour 13,615 7,633,887
Friedmans, Incorporated, Class A* 160,000 4,080,000
The Home Depot, Incorporated 120,300 6,496,200
Wal-Mart Stores, Incorporated 240,000 6,090,000
Walgreen Company 250,000 8,375,000
Xebio Company 195,000 7,328,213
-----------
40,003,300
SOFTWARE - 1.37%
NNT Data Communications Systems
Company 226 6,778,037
Square Company, Ltd. 53,000 3,116,079
-----------
9,894,116
STEEL - 1.50%
Nippon Steel Corporation 2,526,000 8,684,460
NKK Corporation* 712,000 2,161,423
-----------
10,845,883
TELECOMMUNICATION SERVICES - 1.45%
Cable & Wireless 1,585,939 10,480,153
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
33
<PAGE> 37
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
TELEPHONE - 4.45%
American Telephone & Telegraph
Corporation 50,000 $ 3,100,000
DDI Corporation 1,264 11,049,093
Nippon Telegraph & Telephone
Corporation 410 3,044,118
Telefonica De Espana SA 738,230 13,610,584
Telephone & Data Systems,
Incorporated 30,000 1,350,000
------------
32,153,795
TIRES & RUBBER - 0.99%
Michelin Company Generale De
Establishment, Class B 145,954 7,150,713
------------
TRUCKING & FREIGHT - 1.03%
Genesee & Wyoming, Incorporated 4,000 82,000
Yamato Transport 629,000 7,419,284
------------
7,501,284
TOTAL COMMON STOCKS
(Cost: $587,897,189) $669,412,013
------------
PREFERRED STOCKS - 1.34%
AUTOMOBILES - 1.34%
Porsche AG* 16,114 9,697,014
------------
TOTAL PREFERRED STOCKS
(Cost: $8,518,816) $9,697,014
------------
RIGHTS - 0.52%
AUTOMOBILES - 0%
Daimler-Benz AG (Expiration date
07/05/96; Strike price DEM 975) 20,030 2,766
------------
RETAIL TRADE - 0.52%
Carrefour SA (Expiration date
05/02/98; Strike price FRF 1296) 13,615 3,764,004
------------
TOTAL RIGHTS (Cost: $0) $ 3,766,700
------------
</TABLE>
<TABLE>
REPURCHASE AGREEMENT - 5.47%
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
$39,499,000 Repurchase Agreement with State
Street Bank & Trust Company dated 06/28/96 at
4.75%, to be repurchased at $39,514,635 on
07/01/96 collateralized by $35,355,000 U.S.
Treasury Bonds, 8.125% due 08/15/19 (valued at
$40,290,487 including interest) $ 39,499,000
-------------
TOTAL INVESTMENTS
(Global Equity Trust) (Cost: $635,915,005) $ 722,374,797
=============
</TABLE>
<TABLE>
PASADENA GROWTH TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCK - 98.43%
AGRICULTURAL PRODUCTS - 0.21%
Barefoot, Incorporated* 66,000 $ 726,000
-----------
AUTO PARTS - 1.39%
Autozone, Incorporated* 141,000 4,899,750
-----------
BANKING - 4.27%
NationsBank Corporation 29,000 2,396,125
Wells Fargo & Company 53,000 12,660,375
-----------
15,056,500
BUSINESS SERVICES - 6.41%
American List Corporation 30,000 795,000
Automatic Data Processing,
Incorporated 53,000 2,047,125
Comshare, Incorporated* 56,000 1,736,000
Electro Rent Corporation* 70,000 1,732,500
First Data Corporation 71,000 5,653,375
Interpublic Group Companies,
Incorporated 28,000 1,312,500
Legato Systems, Incorporated* 46,000 2,530,000
Mail Boxes, Etc.* 92,000 2,104,500
Profit Recovery Group International,
Incorporated* 53,000 1,073,250
StrataCom, Incorporated 42,000 2,362,500
SunGard Data Systems, Incorporated* 31,000 1,243,875
-----------
22,590,625
COMPUTERS & BUSINESS EQUIPMENT - 7.02%
3Com Corporation* 36,000 1,647,000
Aspen Technology, Incorporated* 21,000 1,155,000
Bay Networks, Incorporated* 105,000 2,703,750
Casino Data Systems* 89,000 1,346,125
Ceridian Corporation 29,000 1,464,500
Cisco Systems, Incorporated* 133,000 7,531,125
Dell Computer Corporation* 21,000 1,068,375
Hewlett-Packard Company 28,000 2,789,500
Indus Group, Incorporated* 70,000 1,417,500
PowerCerv Corporation* 56,900 697,025
Transition Systems, Incorporated* 70,000 1,995,000
Verifone, Incorporated* 22,000 929,500
-----------
24,744,400
COSMETICS & TOILETRIES - 0.38%
International Flavors & Fragrances,
Incorporated 28,000 1,333,500
-----------
DRUGS & HEALTH CARE - 15.06%
Biogen, Incorporated* 35,200 1,931,600
Columbia/HCA-Healthcare Corporation 71,000 3,789,625
Elan Corporation PLC, ADR* 39,000 2,227,875
Genzyme Corporation 35,000 1,758,750
HCIA, Incorporated* 46,000 2,898,000
IDEXX Laboratories, Incorporated* 88,000 3,454,000
Interneuron Pharmaceuticals,
Incorporated* 99,000 2,970,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
34
<PAGE> 38
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Johnson & Johnson 56,000 $ 2,772,000
Luxottica Group SPA, ADR 21,000 1,540,875
Medtronic, Incorporated 77,000 4,312,000
Merck & Company, Incorporated 140,000 9,047,500
Pfizer, Incorporated 140,000 9,992,500
QIAGEN NV* 20,000 302,500
Regeneron Pharmaceuticals,
Incorporated* 49,000 851,375
Roche Holdings, Ltd., ADR 53,000 4,028,000
SangStat Medical Corporation* 34,000 578,000
UroCor, Incorporated* 53,000 649,250
-----------
53,103,850
ELECTRICAL EQUIPMENT - 2.97%
Advanced Lighting Technologies
Incorporated* 71,000 1,242,500
ANADIGICS, Incorporated* 40,000 1,165,000
Boston Scientific Corporation* 71,000 3,195,000
Duracell International, Incorporated 71,000 3,061,875
General Electric Company 21,000 1,816,500
-----------
10,480,875
ELECTRIC UTILITIES - 0.61%
Korea Electric Power Corporation, ADR 89,000 2,158,250
-----------
ELECTRONICS - 5.60%
Altera Corporation* 21,500 817,000
ETEC Systems, Incorporated* 69,000 1,535,250
Intel Corporation 91,000 6,682,813
Linear Technology Corporation 105,000 3,150,000
LSI Logic Corporation* 70,000 1,820,000
Maxim Integrated Products,
Incorporated* 42,000 1,147,125
MicroCom, Incorporated* 35,000 441,875
Photon Dynamics, Incorporated* 122,000 1,159,000
Tellabs, Incorporated* 35,000 2,340,625
Xilinx, Incorporated* 21,000 666,750
-----------
19,760,438
FINANCIAL SERVICES - 7.75%
American Express Company 53,000 2,365,125
Associated First Capital Corporation* 60,000 2,257,500
Dean Witter Discover & Company 35,000 2,003,750
Federal Home Loan Mortgage
Corporation 88,000 7,524,000
Federal National Mortgage Association 264,000 8,844,000
Imperial Credit Industries, Incorporated* 70,000 2,117,500
Medallion Financial Corporation* 55,000 687,500
Mercury Finance Corporation 71,000 905,250
Rockford Industries, Incorporated* 36,000 643,500
-----------
27,348,125
FOOD & BEVERAGES - 4.13%
The Coca-Cola Company 176,000 8,602,000
PepsiCo, Incorporated 169,000 5,978,375
-----------
14,580,375
HOTELS & RESTAURANTS - 0.72%
McDonald's Corporation 54,000 $ 2,524,500
-----------
HOUSEHOLD APPLIANCES FURNISHING - 0.63%
Aaron Rents, Incorporated, Class B 175,900 2,220,738
-----------
HOUSEHOLD PRODUCTS - 5.59%
Colgate Palmolive Company 29,000 2,457,750
Gillette Company 246,000 15,344,250
Procter & Gamble Company 21,000 1,903,125
-----------
19,705,125
INDUSTRIAL MACHINERY - 0.28%
Applied Power, Incorporated 35,000 980,000
-----------
INVESTMENT COMPANIES - 2.19%
Eaton Vance Corporation 25,000 906,250
Invesco PLC, ADR 70,000 2,450,000
T. Rowe Price, Incorported* 50,400 1,549,800
The Charles Schwab Corporation 85,000 2,082,500
United Asset Management Corporation 30,000 735,000
-----------
7,723,550
LEISURE TIME - 6.73%
Anchor Gaming* 175,000 10,543,750
Carnival Corporation 176,000 5,082,000
Circus Circus Enterprises, Incorporated* 50,000 2,050,000
The Walt Disney Company 70,000 4,401,250
Regal Cinemas, Incorporated* 36,000 1,647,000
-----------
23,724,000
MISCELLANEOUS - 0.56%
Labor Ready, Incorporated* 70,000 1,960,000
-----------
MOBILE HOMES - 0.61%
Fleetwood Enterprises, Incorporated 70,000 2,170,000
-----------
MUTUAL FUNDS - 1.82%
Asia Tigers Fund, Incorporated 176,000 2,046,000
India Fund, Incorporated 140,000 1,295,000
Korea Fund, Incorporated 71,000 1,499,875
Thai Fund, Incorporated 67,000 1,582,875
-----------
6,423,750
NEWSPAPERS - 2.64%
News Corporation, Ltd., ADR 106,000 2,133,250
Reuters Holdings PLC, ADR 99,000 7,177,500
-----------
9,310,750
OFFICE FURNISHINGS & SUPPLIES - 0.62%
Viking Office Products, Incorporated* 70,000 2,196,250
-----------
PUBLISHING - 0.36%
Applied Graphics Technologies,
Incorporated* 80,000 1,270,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
35
<PAGE> 39
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RETAIL TRADE - 8.82%
Barnes & Noble, Incorporated* 49,000 $ 1,757,875
Circuit City Stores, Incorporated 70,000 2,528,750
Claire's Stores, Incorporated 141,000 3,895,125
Dollar General Corporation 139,750 4,087,687
The Home Depot, Incorporated 105,000 5,670,000
Donna Karan International,
Incorporated 4,000 112,000
Kohl's Corporation* 52,000 1,904,500
Leslie's Poolmart* 104,500 1,802,625
MSC Industrial Direct Company* 53,000 1,709,250
Office Depot, Incorporated* 211,000 4,299,125
Trend-Lines, Incorporated* 123,000 615,000
Wal-Mart Stores, Incorporated 107,000 2,715,125
------------
31,097,062
SOFTWARE - 5.57%
Business Objects SA, ADR* 37,000 1,489,250
Informix Corporation* 141,000 3,172,500
McAfee Associates, Incorporated* 4,000 196,000
Microsoft Corporation* 35,000 4,204,375
Oracle Systems Corporation* 137,000 5,402,937
PeopleSoft, Incorporated* 15,000 1,068,750
Planning Sciences International
PLC, ADR* 53,000 1,192,500
SS & C Technologies, Incorporated* 32,000 488,000
Tecnomatix Technologies, Ltd.* 55,500 1,054,500
USCS International, Incorporated* 71,000 1,366,750
------------
19,635,562
TELECOMMUNICATION SERVICES - 1.38%
Ascend Communications, Incorporated* 35,000 1,968,750
MRV Communications, Incorporated 28,750 1,229,063
NICE-Systems, Ltd., ADR* 42,000 798,000
Paging Network, Incorporated* 37,000 888,000
------------
4,883,813
TELEPHONE - 0.81%
360 Communications Company* 85,000 2,040,000
PT Telekomunikasi Indonesia, ADR 28,000 833,000
------------
2,873,000
TOBACCO - 2.48%
Philip Morris Companies, Incorporated 84,000 8,736,000
------------
TOYS, AMUSEMENTS & SPORTING GOODS - 0.57%
Mattel, Incorporated 70,000 2,003,750
------------
TRUCKING & FREIGHT - 0.25%
Smart & Final, Incorporated 35,000 896,875
------------
TOTAL COMMON STOCKS
(Cost: $261,295,625) $347,117,413
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
REPURCHASE AGREEMENT - 1.57%
$5,549,000 Repurchase Agreement with State Street Bank &
Trust Company dated 06/28/96 at 4.75%, to be
repurchased at $5,551,196 on 07/01/96,
collateralized by $5,610,000 U.S. Treasury Bonds,
6.25% due 08/31/00 (valued at
$5,778,340 including interest) $ 5,549,000
------------
TOTAL INVESTMENTS
(Pasadena Growth Trust) (Cost: $266,844,625) $352,666,413
------------
</TABLE>
<TABLE>
<CAPTION>
EQUITY TRUST
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 96.70%
AEROSPACE - 2.88%
AlliedSignal, Incorporated 130,000 $ 7,426,250
Boeing Company 101,100 8,808,338
Computer Sciences Corporation 15,700 1,173,575
U.S. Robotics Corporation* 119,000 10,174,500
United Technologies Corporation 53,200 6,118,000
------------
33,700,663
AGRICULTURAL PRODUCTS - 0.17%
Deere & Company 50,800 2,032,000
------------
AIR TRAVEL - 2.18%
America West Airlines,
Incorporated, Class B* 176,000 3,872,000
AMR Corporation* 79,100 7,198,100
Comair Holdings, Incorporated 36,150 976,050
Delta Air Lines, Incorporated 56,900 4,722,700
KLM Royal Dutch Airlines* 80,000 2,540,000
Northwest Airlines Corporation, Class A* 20,000 790,000
Southwest Airlines Company 84,000 2,446,500
UAL Corporation * 54,800 2,945,500
------------
25,490,850
ALUMINUM - 0.32%
Aluminum Company of America 53,400 3,063,825
IMCO Recycling, Incorporated 37,800 680,400
------------
3,744,225
APPAREL & TEXTILES - 1.98%
Gucci Group NV* 28,800 1,857,600
Liz Claiborne 215,000 7,444,375
Nike, Incorporated, Class B 98,800 10,151,700
Tommy Hilfiger Corporation* 68,500 3,673,313
------------
23,126,988
AUTOMOBILES - 2.05%
Chrysler Corporation 98,500 6,107,000
Ford Motor Company 127,600 4,131,050
General Motors Corporation 172,700 9,045,163
General Motors Corporation, Class H 78,900 4,743,863
------------
24,027,076
</TABLE>
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 40
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
AUTO PARTS - 1.18%
Autozone, Incorporated* 222,800 $ 7,742,300
Lear Seating Corporation* 150,000 5,287,500
Magna International, Incorporated 17,500 805,000
-----------
13,834,800
BANKING - 4.24%
Bank of New York, Incorporated 119,100 6,103,875
BankAmerica Corporation 143,700 10,885,275
Chase Manhattan Corporation 64,140 4,529,888
Citicorp 189,500 15,657,438
Fleet Financial Group, Incorporated 16,000 696,000
MBNA Corporation 86,500 2,465,250
NationsBank Corporation 82,700 6,833,088
Wells Fargo & Company 10,000 2,388,750
-----------
49,559,564
BROADCASTING - 1.80%
Comcast Corporation Special, Class A 117,000 2,164,500
Comcast Corporation, Class A 130,000 2,388,750
Grupo Televisa SA, ADR 35,900 1,103,925
Infinity Broadcasting Corporation* 98,538 2,956,140
Tele-Communications, Incorporated* 205,000 3,715,625
U S West Media Group, Incorporated* 200,000 3,650,000
Viacom, Incorporated, Class B* 130,373 5,068,250
-----------
21,047,190
BUSINESS SERVICES - 2.58%
America Online, Incorporated* 117,200 5,127,500
Automatic Data Processing,
Incorporated 103,000 3,978,375
CUC International, Incorporated* 158,825 5,638,288
Deluxe Corporation 145,100 5,151,050
First Data Corporation 34,991 2,786,158
The Gymboree Corporation* 27,400 835,700
Medaphis Corporation* 110,000 4,372,500
Stratacom, Incorporated* 41,300 2,323,125
-----------
30,212,696
CHEMICALS - 2.51%
Airgas, Incorporated* 51,600 980,400
Cytec Industries, Incorporated* 10,000 855,000
Dow Chemical Company 13,400 1,018,400
E.I. Du Pont De Nemours & Company,
Incorporated 89,300 7,065,863
FMC Corporation* 70,000 4,567,500
Hercules, Incorporated 30,000 1,657,500
IMC Global, Incorporated 21,300 801,412
Monsanto Company 237,500 7,718,750
Praxair, Incorporated 34,400 1,453,400
Union Carbide Corporation 82,300 3,271,425
-----------
29,389,650
COMPUTERS & BUSINESS EQUIPMENT - 5.42%
BancTec, Incorporated* 62,000 1,255,500
Bay Networks, Incorporated* 156,000 4,017,000
Ceridian Corporation* 53,700 2,711,850
Cisco Systems, Incorporated* 302,700 17,140,388
COMPUTERS & BUSINESS EQUIPMENT - CONTINUED
Compaq Computer Corporation* 146,500 $7,215,125
Dell Computer Corporation* 155,700 7,921,237
Electronic Data Systems Corporation 153,600 8,256,000
HBO & Company 14,000 948,500
Micro Warehouse, Incorporated* 59,600 1,192,000
Sun Microsystems, Incorporated* 105,400 6,205,425
Tandy Corporation 68,400 3,240,450
Xerox Corporation 62,400 3,338,400
-----------
63,441,875
CONGLOMERATES - 0.06%
ITT Corporation* 10,900 722,125
-----------
CONSTRUCTION & MINING EQUIPMENT - 0.61%
Caterpillar, Incorporated 105,700 7,161,175
-----------
CONSTRUCTION MATERIALS - 0.06%
Armstrong World Industrials,
Incorporated 11,400 656,925
-----------
CRUDE PETROLEUM & NATURAL GAS - 1.47%
Anadarko Petroleum Corporation 70,000 4,060,000
Belco Oil & Gas Corporation* 19,100 678,050
Belden & Blake Corporation* 4,000 83,000
Burlington Resources, Incorporated 23,200 997,600
Chieftrain International, Incorporated* 40,000 805,000
Denbury Resources, Incorporated* 46,900 237,025
Enron Oil and Gas Company 51,100 1,424,412
Forcenergy Gas Exploration,
Incorporated* 192,000 3,627,775
Renaissance Energy, Ltd.* 116,300 3,066,579
Santa Fe Energy Resources,
Incorporated* 40,000 475,000
Stone Energy Corporation* 3,000 60,000
Union Pacific Resources Group,
Incorporated 63,700 1,703,975
United Meridian Corporation* 100 3,600
-----------
17,222,016
DOMESTIC OIL - 1.28%
Atlantic Richfield Company 20,000 2,370,000
Louisiana Land & Exploration
Company 30,000 1,728,750
Noble Affiliates, Incorporated 217,800 8,221,950
Pennzoil Company 54,600 2,525,250
Pogo Producing Company 2,600 99,125
-----------
14,945,075
DRUGS & HEALTH CARE - 12.31%
Allergan, Incorporated 26,800 1,051,900
Alza Corporation* 53,500 1,464,562
American Home Products Corporation 160,800 9,668,100
AmeriSource Health Corporation* 28,600 950,950
Amgen, Incorporated* 88,060 4,755,240
Becton Dickinson & Company 43,000 3,450,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 41
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Bristol Myers Squibb Company 65,800 $ 5,922,000
Columbia/HCA-Healthcare Corporation 123,480 6,590,745
Elan Corporation PLC, ADR* 43,800 2,502,075
General Nutrition Companies,
Incorporated* 138,300 2,420,250
Genetics Institute, Incorporated* 900 57,150
Guidant Corporation 56,300 2,772,775
Health Systems Design Corporation* 2,500 36,875
Healthsouth Corporation* 196,700 7,081,200
Johnson & Johnson 379,200 18,770,400
Eli Lilly & Company 132,200 8,593,000
Merck & Company, Incorporated 186,300 12,039,637
Omnicare, Incorporated 52,000 1,378,000
Oxford Health Plans, Incorporated* 69,900 2,874,638
Pfizer, Incorporated 154,300 11,013,162
Pharmacia & Upjohn, Incorporated 147,900 6,563,062
PhysiciansResourceGroup,
Incorporated 8,800 961,200
Rhone Poulenc Rorer, Incorporated 20,100 1,349,212
R.P. Scherer Corporation* 25,000 1,134,375
St. Jude Medical, Incorporated* 33,750 1,130,625
Schering-Plough Corporation 168,800 10,592,200
SmithKline Beecham PLC, ADR 49,900 2,713,312
Sofamor/Danek Group, Incorporated* 100,000 2,775,000
U.S. Healthcare, Incorporated 145,400 7,997,000
United Healthcare Corporation 81,800 4,130,900
Warner-Lambert Company 22,800 1,254,000
------------
143,994,295
ELECTRICAL EQUIPMENT - 2.94%
Atmel Corporation* 138,700 4,178,338
General Electric Company 279,400 24,168,100
Micros Systems, Incorporated* 36,200 1,009,075
UCAR International, Incorporated* 40,400 1,681,650
Westinghouse Electric Corporation 177,000 3,318,750
------------
34,355,913
ELECTRONICS - 2.95%
ADC Telecommunications,
Incorporated* 28,000 1,260,000
DSC Communications Corporation* 120,300 3,624,037
Flextronics International* 62,300 1,635,375
Intel Corporation 82,800 6,080,625
Leitch Technology Corporation* 24,100 661,942
Linear Technology Corporation 133,400 4,002,000
Maxim Integrated Products,
Incorporated* 173,400 4,735,988
Newbridge Networks Corporation* 78,100 5,115,550
Silicon Graphics, Incorporated* 101,270 2,430,480
Uniphase Corporation* 95,200 3,379,600
Xilinx, Incorporated* 49,400 1,568,450
------------
34,494,047
FINANCIAL SERVICES - 4.72%
ACC Consumer Finance Corporation* 19,000 $142,500
Allstate Corporation 23,876 1,089,342
American Express Company 320,000 14,320,163
Beneficial Corporation 29,000 1,627,625
Case Corporation 54,900 2,635,200
Corporate Express, Incorporated* 70,000 2,800,000
Daiwa Securities 72,000 928,268
Federal Home Loan Mortgage
Corporation 132,700 11,345,850
Federal National Mortgage Association 245,400 8,220,900
First USA, Incorporated 39,700 2,183,500
Green Tree Financial Corporation 87,400 2,731,250
Merrill Lynch & Company, Incorporated 56,600 3,686,075
Student Loan Marketing Association 13,100 969,400
Travelers Group, Incorporated 34,798 1,587,659
Yamaichi Securities Company 142,000 976,400
------------
55,244,132
FOOD & BEVERAGES - 1.83%
The Coca-Cola Company 59,800 2,922,725
General Mills, Incorporated 20,000 1,090,000
Nabisco Holdings Corporation 54,000 1,910,250
Outback Steakhouse, Incorporated* 39,000 1,344,891
Panamerican Beverages, Incorporated* 14,900 666,775
PepsiCo, Incorporated 381,600 13,499,100
------------
21,433,741
FOREST PRODUCTS - 0.43%
Boise Cascade Corporation 96,000 3,516,000
Georgia-Pacific Corporation 21,000 1,491,000
------------
5,007,000
HOTELS & RESTAURANTS - 3.03%
Doubletree Corporation* 18,700 663,850
HFS, Incorporated* 213,100 14,917,000
Hilton Hotels Corporation 119,700 13,466,250
Red Lion Hotels, Incorporated* 150,600 3,162,600
Sun International Hotels, Ltd.* 66,000 3,201,000
------------
35,410,700
HOUSEHOLD APPLIANCES FURNISHING - 0.58%
Campo Electronics Appliances* 5,000 10,625
Harman International Industries,
Incorporated 17,500 861,875
Leggett & Platt, Incorporated 141,300 3,921,075
Whirlpool Corporation 40,000 1,985,000
------------
6,778,575
HOUSEHOLD PRODUCTS - 0.81%
Procter & Gamble Company 40,000 3,625,000
Premark International, Incorporated 72,200 1,335,700
Tupperware Corporation* 105,400 4,453,150
------------
9,413,850
INDUSTRIAL MACHINERY - 1.05%
American Standard Companies,
Incorporated* 180,000 5,940,000
Crane Company 44,300 1,816,300
</TABLE>
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 42
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INDUSTRIAL MACHINERY - CONTINUED
Ingersoll-Rand Company 40,000 $ 1,750,000
Kaydon Corporation 63,500 2,730,500
------------
12,236,800
INSURANCE - 1.58%
Aetna Life & Casualty Company 92,200 6,592,300
American International Group,
Incorporated 35,300 3,481,463
Chubb Corporation 23,000 1,147,125
CIGNA Corporation 16,200 1,909,575
General Re Corporation 21,600 3,288,600
UNUM Corporation 13,900 865,275
------------
17,284,338
INTERNATIONAL OIL - 2.15%
Exxon Corporation 40,000 3,475,000
Global Natural Resources, Incorporated* 36,100 591,138
Mobil Corporation 65,000 7,288,125
Royal Dutch Petroleum Company 90,000 13,837,500
------------
25,191,763
INVESTMENT COMPANIES - 0.57%
Morgan Stanley Group, Incorporated 73,300 3,600,862
Nomura Securities 47,000 919,673
Charles Schwab Corporation 86,700 2,124,150
------------
6,644,685
LEISURE TIME - 0.76%
Callaway Golf Company 136,100 4,525,325
Carnival Corporation 39,200 1,131,900
Circus Circus Enterprises, Incorporated* 19,900 815,900
The Walt Disney Company 39,200 2,464,700
------------
8,937,825
LIQUOR - 0.19%
Anheuser-Busch Companies,
Incorporated 30,000 2,250,000
------------
MINING - 0.49%
Bre-X Minerals, Ltd.* 219,000 3,657,218
Inco, Ltd. 63,800 2,057,550
------------
5,714,768
MISCELLANEOUS - 0.75%
ARV Assisted Living* 1,500 23,250
Aura Systems, Incorporated* 479 1,706
Aviation Sales Company* 250,000 5,125,000
Tower Automotive, Incorporated* 150,000 3,675,000
------------
8,824,956
NEWSPAPERS - 1.14%
Dow Jones & Company, Incorporated 33,300 1,265,025
Gannett, Incorporated 30,300 2,143,725
Knight Ridder, Incorporated* 111,700 8,098,250
Times Mirror Company 41,200 1,792,200
------------
13,299,200
OFFICE FURNISHINGS & SUPPLIES - 0.83%
Staples, Incorporated* 417,462 8,140,509
Viking Office Products, Incorporated* 49,400 1,549,925
------------
9,690,434
PAPER - 0.87%
Alco Standard Corporation 1,000 $ 45,250
Champion International Corporation 94,500 3,945,375
Fort Howard Corporation* 42,600 846,675
International Paper Company 146,200 5,391,125
------------
10,228,425
PETROLEUM SERVICES - 2.19%
Baker Hughes, Incorporated 310,000 10,191,250
Diamond Offshore Drilling,
Incorporated* 19,300 1,104,925
Schlumberger, Ltd. 147,300 12,410,025
Western Atlas, Incorporated* 33,500 1,951,375
------------
25,657,575
PHOTOGRAPHY - 0.75%
Canon, Incorporated 91,000 1,897,133
Eastman Kodak Company 88,400 6,873,100
------------
8,770,233
POLLUTION CONTROL - 0.26%
Republic Industries, Incorporated* 35,800 1,042,675
WMX Technologies, Incorporated 62,800 2,056,700
------------
3,099,375
PUBLISHING - 0.39%
Time Warner, Incorporated 96,100 3,771,925
Scholastic Corporation* 11,800 731,600
------------
4,503,525
RAILROADS & EQUIPMENT - 0.79%
Conrail, Incorporated 32,500 2,157,188
CSX Corporation 145,600 7,025,200
------------
9,182,388
REAL ESTATE - 0.00%
Welcome Home, Incorporated* 14,000 31,500
------------
RETAIL GROCERY - 0.19%
Starbucks Corporation* 80,200 2,265,650
------------
RETAIL TRADE -10.14%
Bed Bath & Beyond, Incorporated* 71,000 1,899,250
Circuit City Stores, Incorporated 110,300 3,984,587
CompUSA, Incorporated* 181,800 6,203,925
Dayton Hudson Corporation 78,000 8,043,750
Dillard Department Stores, Incorporated 23,200 846,800
Federated Department Stores,
Incorporated* 76,900 2,624,213
GAP, Incorporated 299,200 9,611,800
Home Depot, Incorporated 272,900 14,736,600
Lowes Companies, Incorporated 431,000 15,569,875
May Department Stores Company 40,600 1,776,250
Melville Corporation 320,700 12,988,350
Oakley, Incorporated* 90,000 4,095,000
Office Depot, Incorporated* 22,925 467,097
Pep Boys (Manny Moe & Jack) 96,800 3,291,200
PETsMART, Incorporated* 14,300 682,825
Price Enterprises, Incorporated* 93,200 1,421,300
</TABLE>
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 43
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RETAIL TRADE - CONTINUED
Sears Roebuck & Company 142,000 $ 6,904,750
Sunglass Hut International,
Incorporated* 119,300 2,907,938
TJX Companies, Incorporated 94,400 3,186,000
Urban Outfitters, Incorporated* 90,500 2,285,125
Wal-Mart Stores, Incorporated 565,200 14,341,950
Woolworth Corporation* 36,600 823,500
--------------
118,692,085
SOFTWARE - 3.18%
BMC Software, Incorporated* 16,100 961,975
Cadence Design Systems,
Incorporated* 63,275 2,135,531
Microsoft Corporation* 105,100 12,625,138
Oracle Systems Corporation* 478,075 18,854,083
Parametric Technology Corporation* 21,900 949,912
PeopleSoft, Incorporated* 18,800 1,339,500
Structural Dynamics Research
Corporation* 15,000 330,000
--------------
37,196,139
STEEL - 0.06%
Nucor Corporation 14,700 744,188
--------------
TELECOMMUNICATION SERVICES - 1.45%
Ascend Communications,
Incorporated* 119,900 6,744,375
Lucent Technologies, Incorporated 177,500 6,722,813
TeleCom Brazil-Telebras, ADR* 43,800 3,049,575
Vanguard Cellular Systems,
Incorporated* 21,700 471,975
--------------
16,988,738
TELEPHONE - 2.03%
360 Communications Company* 126,500 3,036,000
AirTouch Communications,
Incorporated* 202,135 5,710,314
American Telephone & Telegraph
Corporation 56,400 3,496,800
LCI International, Incorporated* 62,600 1,964,075
Worldcom, Incorporated* 171,900 9,518,963
--------------
23,726,152
TIRES & RUBBER - 0.55%
Furon Company 123,800 3,064,050
Goodyear Tire and Rubber 34,200 1,650,150
Safeskin Corporation* 41,400 1,718,100
--------------
6,432,300
TOBACCO - 2.70%
Philip Morris Companies, Incorporated 303,300 31,532,800
--------------
TOYS, AMUSEMENTS & SPORTING GOODS - 1.21%
Anchor Gaming* 106,400 6,410,600
Galoob Lewis Toys, Incorporated* 13,700 387,025
Hasbro, Incorporated 15,300 546,975
Toys R Us, Incorporated* 239,800 6,834,300
--------------
14,178,900
TRUCKING & FREIGHT - 0.14%
J.B. Hunt Transport Services,
Incorporated 13,900 $290,162
Landstar Systems, Incorporated* 44,900 1,302,100
--------------
1,592,262
TOTAL COMMON STOCKS
(Cost: $988,545,097) $1,131,344,146
--------------
PREFERRED STOCKS - 0.08%
RETAIL TRADE - 0.08%
TJX Companies, Incorporated 5,000 940,000
--------------
TOTAL PREFERRED STOCKS
(Cost: $856,700) $940,000
--------------
</TABLE>
<TABLE>
REPURCHASE AGREEMENT - 3.22%
<CAPTION>
Principal
Amount Value
------ -----
<S> <C>
$37,722,000 Repurchase Agreement with State Street Bank &
Trust Company dated 06/28/96 at 4.75%, to be repurchased at
$37,736,932 on 07/01/96, collateralized by $34,090,000 U.S.
Treasury Bonds, 8.125% due 05/15/21 (valued at $38,825,314
including interest) $ 37,722,000
TOTAL INVESTMENTS
(Equity Trust) (Cost: $1,027,123,797) $1,170,006,146
==============
</TABLE>
<TABLE>
VALUE EQUITY TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 94.06%
AEROSPACE - 3.38%
McDonnell Douglas Corporation 141,600 $ 6,867,600
Northrop Grumman Corporation 142,500 9,707,813
------------
16,575,413
AIR TRAVEL - 2.74%
AMR Corporation* 70,100 6,379,100
Continental Airlines, Incorporated* 114,300 7,058,025
------------
13,437,125
APPAREL & TEXTILES - 1.13%
Fruit of the Loom, Incorporated* 218,500 5,571,750
------------
AUTOMOBILES - 2.04%
Ford Motor Company 310,100 10,039,487
------------
AUTO PARTS - 1.30%
Lear Seating Corporation* 181,500 6,397,875
------------
BANKING - 7.86%
BankAmerica Corporation 122,900 9,309,675
MBNA Corporation 158,700 4,522,950
</TABLE>
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 44
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
BANKING - CONTINUED
J.P. Morgan & Company, Incorporated 81,700 $ 6,913,862
NationsBank Corporation 152,200 12,575,525
Republic New York Corporation 77,900 4,849,275
Standard Federal Bancorporation 10,800 415,800
-----------
38,587,087
CHEMICALS - 1.45%
Geon Company 316,800 7,128,000
-----------
COMPUTERS & BUSINESS EQUIPMENT - 2.73%
Compaq Computer Corporation* 271,700 13,381,225
-----------
CONGLOMERATES - 1.49%
Canadian Pacific, Ltd. 332,000 7,304,000
-----------
CONTAINERS & GLASS - 1.85%
Owens-Illinois, Incorporated* 569,000 9,104,000
-----------
DOMESTIC OIL - 3.72 %
Atlantic Richfield Company 117,600 13,935,600
Tenneco, Incorporated 84,300 4,309,838
-----------
18,245,438
DRUGS & HEALTH CARE - 6.36%
Baxter International, Incorporated 202,000 9,544,500
Columbia/HCA Healthcare Corporation 115,400 6,159,475
Tambrands, Incorporated 60,100 2,456,587
Tenet Healthcare Corporation* 474,400 10,140,300
U.S. Healthcare, Incorporated 52,700 2,898,500
-----------
31,199,362
ELECTRIC UTILITIES - 1.04%
Long Island Lighting Company 304,400 5,098,700
-----------
ELECTRICAL EQUIPMENT - 2.37%
Fisher Scientific International,
Incorporated 148,900 5,583,750
Millipore Corporation 144,000 6,030,000
-----------
11,613,750
ELECTRONICS - 5.43%
Avnet, Incorporated 128,200 5,400,425
Intel Corporation 201,900 14,827,031
Perkin Elmer Corporation 133,600 6,446,200
-----------
26,673,656
FINANCIAL SERVICES - 6.07%
Dean Witter Discover & Company 121,900 6,978,775
Federal Home Loan Mortgage
Corporation 7,900 675,450
Federal National Mortgage Association 223,500 7,487,250
First USA, Incorporated 84,700 4,658,500
PartnerRe, Ltd. 334,000 9,978,250
-----------
29,778,225
FOOD & BEVERAGES - 0.58%
Chiquita Brands International,
Incorporated 219,600 2,854,800
-----------
Shares Value
------ -----
FOREST PRODUCTS - 2.28%
Georgia-Pacific Corporation 157,600 $11,189,600
-----------
HOMEBUILDERS - 2.62%
Centex Corporation 151,000 4,699,875
Lennar Corporation 326,400 8,160,000
-----------
12,859,875
HOUSEHOLD APPLIANCES FURNISHING - 0.21%
Sunbeam Corporation 71,700 1,057,575
-----------
HOUSEHOLD PRODUCTS - 0.59%
Snap-On, Incorporated 60,700 2,875,662
-----------
INDUSTRIAL MACHINERY - 1.95%
Pall Corporation 279,700 6,747,763
Silicon Valley Group, Incorporated* 149,400 2,801,250
-----------
9,549,013
INSURANCE - 3.83%
CIGNA Corporation 104,100 12,270,788
Integon Corporation 53,800 1,082,725
Lincoln National Corporation,
Incorporated 118,200 5,466,750
-----------
18,820,263
INTERNATIONAL OIL - 3.44%
Mobil Corporation 41,500 4,653,188
Texaco, Incorporated 145,600 12,212,200
-----------
16,865,388
INVESTMENT COMPANIES - 1.30%
Lehman Brothers Holdings,
Incorporated 257,600 6,375,600
-----------
LEISURE TIME - 0.76%
Brunswick Corporation 186,000 3,720,000
-----------
LIQUOR - 1.02%
Anheuser-Busch Companies,
Incorporated 66,800 5,010,000
-----------
NEWSPAPERS - 0.84%
Knight Ridder, Incorporated 57,500 4,168,750
-----------
PAPER - 1.14%
Stone Container Corporation 406,800 5,593,500
-----------
PETROLEUM SERVICES - 0.99%
Tosco Corporation 96,900 4,869,225
-----------
RAILROADS & EQUIPMENT - 0.21%
Trinity Industries, Incorporated 31,000 1,054,000
-----------
RETAIL TRADE - 5.71%
Dillard Department Stores,
Incorporated 265,400 9,687,100
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 45
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
RETAIL TRADE - CONTINUED
J.C. Penney Company, Incorporated 78,600 $ 4,126,500
Sears Roebuck & Company 86,300 4,196,337
Wal-Mart Stores, Incorporated 395,300 10,030,738
------------
28,040,675
SOFTWARE - 1.00%
Autodesk, Incorporated 163,800 4,893,525
------------
STEEL - 0.81%
AK Steel Holding Corporation 101,700 3,979,012
------------
TELECOMMUNICATION SERVICES - 2.01%
Lucent Technologies, Incorporated 259,300 9,820,987
------------
TELEPHONE - 1.59%
American Telephone & Telegraph
Corporation 126,000 7,812,000
------------
TIRES & RUBBER - 1.77%
Goodyear Tire and Rubber Company 180,200 8,694,650
------------
TOBACCO - 6.03%
Philip Morris Companies, Incorporated 167,900 17,461,600
RJR Nabisco Holdings Corporation 145,800 4,519,800
Universal Corporation 286,800 7600,200
------------
29,581,600
TRUCKING & FREIGHT - 2.42%
Consolidated Freightways,
Incorporated 423,100 8,937,988
Kirby Corporation* 174,000 2,936,250
------------
11,874,238
TOTAL COMMON STOCKS
(Cost: $411,079,032) $461,695,031
------------
</TABLE>
<TABLE>
REPURCHASE AGREEMENT - 5.94%
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C>
$29,140,000 Repurchase Agreement with State Street Bank &
Trust Company dated 06/28/96 at 4.75%, to be repurchased at
$29,151,535 on 07/01/96, collateralized by $29,550,000 U.S.
Treasury Notes, 6.125% due 05/15/98 (valued at $29,951,089
including interest) $ 29,140,000
------------
TOTAL INVESTMENTS
(Value Equity Trust) (Cost: $440,219,032) $490,835,031
============
</TABLE>
<TABLE>
GROWTH AND INCOME TRUST
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 97.47%
AEROSPACE - 3.53%
Boeing Company 140,000 $ 12,197,500
Northrop Grumman Corporation 160,000 10,900,000
United Technologies Corporation 55,000 6,325,000
------------
29,422,500
AIR TRAVEL - 1.07%
Southwest Airlines Company 305,000 8,883,125
------------
ALUMINUM - 0.89%
Aluminum Company of America 130,000 7,458,750
------------
AUTOMOBILES - 2.30%
Chrysler Corporation 149,450 9,265,900
Ford Motor Company 306,436 9,920,833
------------
19,186,733
BANKING - 5.35%
Citicorp 215,000 17,764,375
J.P. Morgan & Company, Incorporated 92,000 7,785,500
NationsBank Corporation 231,000 19,086,375
------------
44,636,250
BROADCASTING - 1.54%
Viacom, Incorporated, Class B* 300,000 12,828,750
------------
BUSINESS SERVICES - 2.36%
First Data Corporation 107,000 13,536,250
Nokia Corporation, ADR 165,000 6,105,000
------------
19,641,250
CHEMICALS - 3.07%
Dow Chemical Company 143,100 10,875,600
Engelhard Corporation 270,000 6,210,000
Zeneca Group PLC, ADR 127,500 8,574,375
------------
25,659,975
COMPUTERS & BUSINESS EQUIPMENT - 6.09%
3Com Corporation* 195,000 8,921,250
Compaq Computer Corporation* 140,000 6,895,000
Hewlett Packard Company 115,000 11,456,875
International Business Machines
Corporation 145,000 14,355,000
Xerox Corporation 171,000 9,148,500
------------
50,776,625
CONSTRUCTION & MINING EQUIPMENT - 2.10%
Caterpillar, Incorporated 145,000 9,823,750
Foster Wheeler Corporation 171,600 7,700,550
------------
17,524,300
DOMESTIC OIL - 2.23%
Unocal Corporation 550,000 18,562,500
------------
DRUGS & HEALTH CARE - 10.08%
Abbott Labs 320,000 13,920,000
Beverly Enterprises, Incorporated* 643,000 7,716,000
Bristol Myers Squibb Company 100,000 9,000,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
42
<PAGE> 46
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
Johnson & Johnson 194,000 $ 9,603,000
Merck & Company, Incorporated 106,800 6,901,950
Pfizer, Incorporated 236,000 16,844,500
Rhone Poulenc Rorer, Incorporated 187,500 12,585,938
Warner-Lambert Company 136,000 7,480,000
-----------
84,051,388
ELECTRICAL EQUIPMENT - 3.03%
General Electric Company 200,000 17,300,000
Hubbell, Incorporated, Class B 120,000 7,950,000
-----------
25,250,000
ELECTRIC UTILITIES - 3.05%
DPL, Incorporated 350,000 8,531,250
Pinnacle West Capital Corporation 275,000 8,353,125
Texas Utilities Company 200,000 8,550,000
-----------
25,434,375
ELECTRONICS - 2.64%
AMP, Incorporated 330,000 13,241,250
Intel Corporation 120,000 8,812,500
-----------
22,053,750
FINANCIAL SERVICES - 6.23%
American Express Company 350,000 15,618,750
Federal National Mortgage Association 390,000 13,065,000
State Street Boston Corporation 161,000 8,211,000
Travelers Group, Incorporated 330,000 15,056,250
-----------
51,951,000
FOOD & BEVERAGES - 3.26%
General Mills, Incorporated 127,000 6,921,500
PepsiCo, Incorporated 230,000 8,136,250
Sara Lee Corporation 375,000 12,140,625
-----------
27,198,375
FOREST PRODUCTS - 0.77%
Georgia-Pacific Corporation 90,000 6,390,000
-----------
HOTELS & RESTAURANTS - 1.18%
McDonalds Corporation 210,000 9,817,500
-----------
HOUSEHOLD PRODUCTS - 2.62%
Colgate Palmolive Company 130,000 11,017,500
Procter & Gamble Company 109,900 9,959,688
-----------
20,977,188
INDUSTRIAL MACHINERY - 0.19%
York International Corporation 154,200 7,979,850
-----------
INSURANCE - 3.15%
Allstate Corporation 300,000 13,687,500
Chubb Corporation 252,000 12,568,500
-----------
26,256,000
INTERNATIONAL OIL - 4.57%
Amoco Corporation 165,000 11,941,875
Chevron Corporation 228,500 13,481,500
Exxon Corporation 146,000 12,683,750
-----------
38,107,125
LIQUOR - 1.24%
Anheuser-Busch Companies,
Incorporated 138,000 $10,350,000
-----------
NEWSPAPERS - 1.40%
Gannett, Incorporated 165,000 11,673,750
-----------
PAPER - 3.95%
International Paper Company 300,000 11,062,500
Kimberly Clark Corporation 145,000 11,201,250
Minnesota Mining & Manufacturing
Company 155,000 10,695,000
-----------
32,958,750
PETROLEUM SERVICES - 1.19%
Schlumberger, Ltd. 118,000 9,941,500
-----------
PHOTOGRAPHY - 0.53%
Eastman Kodak Company 57,000 4,431,750
-----------
POLLUTION CONTROL - 0.14%
Browning Ferris Industries,
Incorporated 41,4000 1,200,600
PUBLISHING - 1.42%
Dun & Bradstreet Corporation 190,000 11,875,000
-----------
RAILROAD & EQUIPMENT - 1.47%
Union Pacific Corporation 175,000 12,228,125
-----------
RETAIL TRADE - 4.08%
Donna Karan International, Incorporated 19,400 543,200
May Department Stores Company 175,000 7,656,250
J.C. Penney Company, Incorporated 15,500 813,750
Rite Aid Corporation 420,000 12,495,000
Saks Holdings, Incorporated 9,100 310,537
Wal-Mart Stores, Incorporated 480,000 12,180,000
-----------
33,998,737
SOFTWARE - 2.11%
Check Point Software Technology, Ltd.* 16,000 384,000
Microsoft Corporation 81,000 9,730,125
Policy Management Systems
Corporation* 149,000 7,450,000
-----------
17,564,125
TELECOMMUNICATION SERVICES - 1.90%
Teleport Communications Group,
Incorporated, Class A 164,250 3,142,102
SBC Communications, Incorporated 258,000 12,706,500
-----------
15,848,602
TELEPHONE - 3.81%
American Telephone & Telegraph
Corporation 220,000 13,640,000
MCI Communications Corporation 330,000 8,456,250
NYNEX Corporation 203,400 9,661,500
-----------
31,757,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
43
<PAGE> 47
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
TIRES & RUBBER - 0.84%
Goodyear Tire and Rubber Company 145,000 $ 6,996,250
------------
TOBACCO - 1.42%
Philip Morris Companies, Incorporated 113,500 11,804,000
------------
TOTAL COMMON STOCKS
(Cost: $661,992,989) $812,676,248
------------
PREFERRED STOCKS - 1.08%
PETROLEUM SERVICES - 1.08%
Sun Company, Incorporated 305,000 8,997,500
------------
TOTAL PREFERRED STOCKS
(Cost: $9,257,337) $ 8,997,500
------------
REPURCHASE AGREEMENT - 1.45%
Principal
Amount Value
- ----------- -----------
$12,096,000 Repurchase Agreement with Swiss
Bank dated 06/28/96 at 5.48%, to
be repurchased at $12,101,524
on 07/01/96, collateralized by
$9,455,000 U.S. Treasury Bonds,
9.875% due 11/15/15 (valued at
$12,399,346 including interest) $ 12,096,000
------------
TOTAL INVESTMENTS
(Growth & Income Trust)
(Cost: $683,346,326) $833,769,748
============
INTERNATIONAL GROWTH & INCOME TRUST
COMMON STOCKS - 80.51%
AEROSPACE - 0.85%
British Aerospace PLC 73,000 $ 1,107,074
------------
APPAREL & TEXTILES - 0.74%
Tomen Corporation 250,000 962,374
------------
AUTOMOBILES - 2.85%
Fiat SPA 234,000 784,712
Nissan Motor Company, Ltd. 60,000 533,809
Peugeot SA 6,600 884,089
Toyota Motor Corporation 60,000 1,503,223
------------
3,705,833
BANKING - 12.65%
Abbey National PLC 107,000 899,006
Asahi Bank, Ltd. 60,000 696,749
Banco Popular Espanol SA 4,350 776,173
Bank of Ireland 128,000 872,031
Barclays 71,000 851,801
Dai Ichi Kangyo Bank 28,000 522,288
BANKING - CONTINUED
Daiwa Bank 114,000 $ 790,125
Deutsche Bank AG 69,800 1,755,903
Deutsche Pfandbrief & Hypobk 22,580 893,993
Fukui Bank 100,000 576,967
HSBC Holdings - HKD 54,800 828,286
HSBC Holdings - pound sterling 27,500 430,502
Kredietbank NV 1,620 485,977
Sakura Bank 100,000 1,115,530
Sanwa Bank 30,000 556,851
Schweizerische Bankgesellschaft 4,960 979,939
Societe Generale 19,438 2,138,951
Standard Chartered Bank 41,500 413,131
Toyo Trust & Banking 83,000 857,587
------------
16,441,790
BUSINESS SERVICES - 1.32%
Eaux (Cie Generale Des) 10,656 1,191,228
Inchcape 59,000 268,473
South West Water 25,600 260,016
------------
1,719,717
CHEMICALS - 3.54%
Air Liquide 5,366 948,303
BASF AG 4,800 1,373,232
Bayer AG 23,900 844,870
Mitsui Toatsu Chemicals 154,000 609,720
Solvay SA 1,335 826,339
------------
4,602,464
CONGLOMERATES - 2.24%
BTR PLC 215,800 847,917
Nokia AB 24,500 904,547
Swire Pacific 135,000 1,155,404
------------
2,907,868
CONSTRUCTION MATERIALS - 1.15%
Nippon Hodo Company 25,000 425,182
Tarmac 626,300 1,069,933
------------
1,495,115
CRUDE PETROLEUM & NATURAL GAS - 0.47%
ENI SPA 121,000 604,111
------------
DRUGS & HEALTH CARE - 4.77%
Chugai Pharmaceutical Company 53,000 518,539
Glaxo Wellcome 106,300 1,431,311
Ono Pharmaceutical 14,000 482,604
Sandoz AG 1,220 1,396,432
Sanofi 20,700 1,552,621
Zeneca Group PLC 37,000 818,264
------------
6,199,771
ELECTRIC UTILITIES - 2.64%
Electrabel 5,580 1,199,732
Fuerzas Electricas De Catalunal SA 110,450 901,686
National Grid Group PLC 9 23
National Power PLC 69,500 561,267
Tokyo Electric Power 30,000 762,584
------------
3,425,292
</TABLE>
The accompanying notes are an integral part of the financial statements.
44
<PAGE> 48
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.18%
Fuji Electric Company 75,000 $ 406,666
Hitachi, Ltd. 54,000 503,635
Rexel SA 3,300 912,318
Siemens AG 19,000 1,015,916
-----------
2,838,535
ELECTRONICS - 1.37%
Murata Manufacturing Company, Ltd. 25,000 948,658
Racal Electronics 176,000 833,670
-----------
1,782,328
FOOD & BEVERAGES - 4.28%
Danone 9,968 1,509,657
Greencore Group PLC 133,000 698,547
Guinness 105,500 766,796
Hillsdown Holdings 313,800 845,235
Itoham Foods, Incorporated 100,000 763,498
Nestle SA 855 977,280
-----------
5,561,013
FOREST PRODUCTS - 1.30%
Daiken Corporation 70,000 595,254
Sumitomo Forestry 35,000 521,648
UPM-Kymmene Corporation 27,700 574,741
-----------
1,691,643
HOMEBUILDERS - 1.67%
Bilfinger & Berger
Bauaktiengesellschaft AG 2,025 855,015
Bouygues 11,705 1,306,219
Kinden Corporation 600 9,436
-----------
2,170,670
HOUSEHOLD APPLIANCES FURNISHING - 2.13%
Matsushita Electric Industrial
Company, Ltd. 58,000 1,081,882
Sony Corporation 9,000 593,334
Thorn Emi PLC 39,000 1,086,597
-----------
2,761,813
HOUSEHOLD PRODUCTS - 1.29%
Unilever PLC - pound sterling 41,000 815,033
Unilever NV - NLG 5,960 863,161
-----------
1,678,194
INDUSTRIAL MACHINERY - 2.55%
Daikin Industries 26,000 285,283
Ebara Corporation 39,000 624,057
IMI PLC 97,000 810,841
Mitsubishi Heavy Industries, Ltd. 77,000 670,973
Sidel 3,600 916,168
-----------
3,307,322
INSURANCE - 6.54%
Aegon NV 16,147 744,154
Assicurazioni Generali 33,000 761,829
AXA Company 182 9,922
CKAG Colonia Kenzern AG 2,060 1,666,426
Fortis AG 6,100 805,824
Guardian Royal Exchange 239,500 922,441
Irish Life PLC 170,000 675,766
INSURANCE - CONTINUED
Munchener Ruckvers 724 $ 1,495,140
Tokio Marine & Fire Insurance Company 38,000 507,292
Union des Assurance Federales 7,390 912,328
-----------
8,501,122
INTERNATIONAL OIL - 2.12%
The British Petroleum Company 543 4,768
Petrofina SA 900 284,938
RWE AG 35,850 1,103,440
Shell Transport & Trading Company 92,800 1,360,509
-----------
2,753,655
INVESTMENT COMPANIES - 0.66%
Nomura Securities 44,000 860,971
-----------
LEISURE TIME - 0.81%
Rank Organisation 137,000 1,058,511
-----------
MINING - 0.58%
DSM NV 7.530 748,364
-----------
NON-FERROUS METALS - 0.56%
RTZ Corporation PLC 48,800 722,261
-----------
PAPER - 0.60%
Jefferson Smurfit Group PLC 290,000 782,407
-----------
PETROLEUM SERVICES - 2.72%
Repsol SA 14,100 490,727
Royal Dutch Petroleum Company 5,370 829,981
Total SA, B Shares 29,820 2,213,484
-----------
3,534,192
PUBLISHING - 0.98%
Lagardere Groupe 49,460 1,276,021
Reuters Holdings 300 3,629
-----------
1,279,650
RAILROADS & EQUIPMENT - 0.50%
Nagoya Railroad Company 126,000 644,027
-----------
REAL ESTATE - 1.78%
Cheung Kong Holdings 131,000 943,475
Mitsui Fudosan Company 44,000 595,437
New World Development Company 47,000 217,975
Sun Hung Kai Properties 55,000 555,983
-----------
2,312,870
RETAIL GROCERY - 0.75%
J Sainsbury PLC 165,700 975,311
-----------
RETAIL TRADE - 4.40%
Argyll Group 800 4,311
Ava Allgemeine Handles-Der Verbr AG 3,120 964,420
Familymart Company 500 22,310
Izumiya Company 40,000 804,645
Marks & Spencer 140,600 1,027,369
Promodes 8,910 2,570,659
</TABLE>
The accompanying notes are an integral part of the financial statements.
45
<PAGE> 49
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
RETAIL TRADE - CONTINUED
Takashimaya Company, Ltd. 21,000 $ 326,430
------------
5,720,144
STEEL - 2.76%
Arbed SA 7,000 801,719
Nisshin Steel Company 238,000 818,251
Rautaruukki OY 66,361 482,849
Thyssen AG* 4,180 764,524
Usinor Sacilor* 49,400 713,109
------------
3,580,452
TELECOMMUNICATION SERVICES - 0.79%
Telecom Italia SPA 478,000 1,028,578
------------
TELEPHONE - 2.00%
Hong Kong Telecommunications, Ltd. 402,800 723,300
Nippon Telegraph & Telephone
Corporation 44 326,686
Telefonica De Espana SA 26,200 483,044
VodaFone Group 285,800 1,063,039
------------
2,596,069
TIRES & RUBBER - 0.56%
Continental AG 44,500 722,887
------------
TOBACCO - 0.95%
SEITA 27,000 1,238,821
------------
UTILITIES-OTHER - 0.46%
Hyder PLC 54,200 600,585
------------
TOTAL COMMON STOCKS
(Cost: $101,717,433) $104,623,804
------------
PREFERRED STOCKS - 2.56%
AUTOMOBILES 1.04%
Volkswagen AG 4,930 1,353,683
------------
FOOD & BEVERAGES - 0.80%
Henkel Kgaa 2,420 1,045,669
------------
INDUSTRIAL MACHINERY - 0.64%
GEA AG 2,480 825,307
------------
SOFTWARE - 0.08%
SAP AG 700 103,907
------------
TOTAL PREFERRED STOCKS
(Cost: $3,117,778) $ 3,328,566
------------
RIGHTS - 0.13%*
RETAIL TRADE - 0.13%
Carrefour SA (Expiration date
05/02/98; Stike price FRF 1269) 605 167,258
------------
TOTAL RIGHTS (Cost: $0) $ 167,258
------------
WARRANTS - 1.35%*
ELECTRICAL EQUIPMENT - 0.22%
Philips Electronics NV (Expiration
date 06/30/98; strike price NLG 34) 21,400 $ 284,831
----------
FINANCIAL SERVICES - 0.99%
Hoesch International Finance (Expiration
date 08/01/96; strike price DEM 158) 2,400 227,294
Schweizerischer Bankverein (Expiration
date 06/30/00; strike price CHF 250) 400 1,312
Vebra International Finance BV (Expiration
date 04/06/98; strike price DEM 375) 3,690 1,053,246
----------
1,281,852
MINING - 0.09%
Dowa Mining Company (Expiration
date 06/09/97; Strike Price yen 428) 100 117,500
----------
NON-FERROUS METALS - 0.03%
Maeda Corporation (Expiration date
02/02/97; Strike price SGD 1.50) 30 45,750
----------
RAILROADS & EQUIPMENT - 0.02%
Nagoya Railroad Company (Expiration
date 01/22/97; strike price yen 443.70) 15 22,500
----------
TOTAL WARRANTS (Cost: $1,568,679) $1,752,433
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
CONVERTIBLE BONDS - 1.08%
Bot Cayman Finance,
4.25% due 03/31/49 Yen 70,000,000 $ 961,688
Daido Hoxan, Incorporated,
1.60% due 03/29/02 40,000,000 410,369
Izumiya Company,
0.80% due 08/31/99 2,000,000 28,162
-----------
TOTAL CONVERTIBLE BONDS
(Cost: $1,336,232) $ 1,400,219
-----------
CORPORATE BONDS - 1.35%
Treuhandanstalt,
6.625% due 07/09/03 DEM 1,000,000 $ 671,358
7.75% due 10/01/02 1,520,000 1,085,943
-----------
TOTAL CORPORATE BONDS
(Cost: $1,853,174) $ 1,757,301
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 8.58%
GOVERNMENT OF CANADA - 0.79%
8.50% due 04/01/02 CAD 300,000 233,300
8.75% due 12/01/05 1,000,000 788,105
----------- -----------
1,021,405
KINGDOM OF DENMARK - 0.66%
7.00% due 12/15/04 DKK 200,000 33,780
</TABLE>
The accompanying notes are an integral part of the financial statements.
46
<PAGE> 50
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
KINGDOM OF DENMARK - CONTINUED
8.00% due 02/15/06 DKK 3,500,000 $ 621,319
8.00% due 11/15/01 1,100,000 200,623
-----------
855,722
GOVERNMENT OF FRANCE - 0.85%
6.75% due 10/25/03 FRF 1,500,000 299,819
7.50% due 04/25/05 2,310,000 481,482
8.50% due 04/25/03 1,500,000 330,119
-----------
1,111,420
FEDERAL REPUBLIC OF GERMANY - 1.96%
6.00% due 01/05/06 DEM 1,500,000 947,353
6.50% due 07/15/03 500,000 333,476
9.00% due 10/20/00 1,700,000 1,266,307
-----------
2,547,136
REPUBLIC OF ITALY - 0.06%
6.50% due 06/25/01 ITL 115,000,000 76,346
-----------
GOVERNMENT OF NETHERLANDS - 2.38%
6.00% due 01/15/06 NLG 470,000 267,587
6.25% due 07/15/98 3,000,000 1,831,134
6.75% due 05/01/00 1,500,000 988,127
-----------
3,086,848
UNITED KINGDOM TREASURY - 1.88%
6.75% due 11/26/04 pound sterling 1,110,000 1,615,051
8.00% due 12/07/00 522,000 835,005
-----------
2,450,056
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $11,343,608) $11,148,934
-----------
Principal
Amount Value
- ---------- -----------
REPURCHASE AGREEMENT - 4.44%
$5,774,000 Repurchase Agreement with
State Street Bank & Trust
Company dated 06/28/96 at
4.75%, to be repurchased at
$5,776,286 on 07/01/96,
collateralized by $5,170,000
U.S. Treasury Bonds, 8.125%
due 08/15/19 (valued at
$5,891,722 including interest) $ 5,774,000
-----------
TOTAL INVESTMENTS (International
Growth & Income Trust) (Cost: $126,710,904) $129,952,515
===========
STRATEGIC BOND TRUST
CORPORATE BONDS - 43.16%
BUSINESS SERVICES - 1.09%
A Plus Network, Incorporated,
11.875% due 11/01/05 $ 750,000 $ 780,000
Borg-Warner Security Corporation,
9.125% due 05/01/03 1,000,000 940,000
-----------
1,720,000
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
DRUGS & HEALTH CARE - 0.83%
Dade International, Incorporated,
11.125% due 05/01/06 $ 500,000 $ 517,500
Paracelsus Healthcare Corporation,
9.875% due 10/15/03 800,000 800,000
-----------
1,317,500
ENERGY & UTILITIES - 1.59%
KCS Energy, Incorporated,
11.00% due 03/15/03 1,000,000 1,060,000
Petro PSC Properties,
12.50% due 06/01/02 1,500,000 1,447,500
-----------
2,507,500
FINANCE & BANKING - 6.73%
Empress River Casino Finance
Corporation, 10.75% due 04/01/02 1,000,000 1,045,000
Foamex Capital Corporation,
11.875% due 10/01/04 1,500,000 1,537,500
Korea Development Bank,
9.60% due 12/01/00 3,000,000 3,292,650
Mellon Financial Company,
9.75% due 06/15/01 1,207,000 1,339,396
Trump Atlantic City,
11.25% due 05/01/06 1,000,000 1,005,000
United States Leasing International,
8.45% due 01/25/05 1,500,000 1,594,740
Venture Holdings Trust,
9.75% due 04/01/04 1,000,000 825,000
-----------
10,639,286
FOOD & BEVERAGES - 0.70%
Flagstar Corporation,
10.75% due 09/15/01 460,000 400,200
Specialty Foods Corporation,
11.125% due 10/01/02 750,000 712,500
-----------
1,112,700
FOOD STORES - 1.32%
Big V Supermarkets, Incorporated,
11.00% due 02/15/04 750,000 697,500
Carr Gottstein Foods Company,
12.00% due 11/15/05 1,000,000 1,025,000
Penn Traffic Company,
9.625% due 04/15/05 500,000 362,500
-----------
2,085,000
FURNITURE & FIXTURES - 0.31%
Simmons Company,
10.75% due 04/15/06 500,000 497,500
-----------
HOUSEHOLD APPLIANCES FURNISHING - 1.42%
Decorative Home Accents,
Incorporated, 13.00% due 06/30/02 1,500,000 1,185,000
Selmer, Incorporated,
11.00% due 05/15/05 1,000,000 1,055,000
-----------
2,240,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
47
<PAGE> 51
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
INDUSTRIALS - 15.15%
Alvey Systems, Incorporated,
11.375% due 01/31/03 $ 1,000,000 $ 1,035,000
American Skiing Company,
12.00% due 07/15/06 1,000,000 980,000
AmeriCold Corporation,
12.875% due 05/01/08 1,000,000 1,020,000
Bally's Grand, Incorporated,
10.375% due 12/15/03 1,000,000 1,097,500
Berry Plastics Corporation,
12.25% due 04/15/04 1,150,000 1,242,000
CS Wireless Systems, Incorporated,
Step up to 11.375% due 06/03/01 750,000 390,000
Exide Electronics Group,
Incorporate, 11.50% due 03/01/06 1,000,000 1,060,000
Four M Corporation,
12.00% due 06/01/06 900,000 918,000
Hayes Wheels International,
Incorporated 11.00% due 07/15/06 1,000,000 1,000,000
Hollinger, Incorporated,
zero coupon, due 10/05/13 3,000,000 986,250
International Semi Tech Microelectronic,
Step up to 11.50% due 08/15/03 2,000,000 1,145,000
Jordan Industries, Incorporated,
10.375% due 08/01/03 306,000 290,700
Step up to 11.75% due 08/01/05 2,000,000 1,440,000
Marcus Cable Company,
14.25% due 12/15/05 1,750,000 1,076,250
NL Industries, Incorporated,
Step up to 13.00% due 10/15/05 1,500,000 1,164,375
Norcal Waste Systems,
Incorporated, 12.50% due 11/15/05 1,250,000 1,300,000
Renco Metals, Incorporated,
12.00% due 07/15/00 500,000 565,000
Revlon Worldwide Corporation,
Series B, zero coupon due 03/15/98 1,000,000 831,250
SC International Services, Incorporated,
13.00% due 10/01/05 1,000,000 1,095,000
Southdown, Incorporated,
10.00% due 03/01/06 1,250,00 1,212,500
Specialty Equipment Companies,
Incorporated, 11.375% due 12/01/03 750,000 774,375
Talley Manufactoring & Technology,
Incorporated, 10.75% due 10/15/03 1,250,000 1,281,250
Terex Corporation,
13.75% due 05/15/02 1,000,000 1,043,750
Twin Laboratories, Incorporated,
10.25% due 05/15/06 1,000,000 1,015,000
-----------
23,963,200
LEATHER PRODUCTS - 0.64%
Samsonite Corporation,
11.125% due 07/15/05 1,000,000 1,015,000
-----------
LEISURE TIME - 1.86%
Argosy Gaming Company,
13.25% due 06/01/04 $ 750,000 $ 759,375
Hollywood Casino, Incorporated,
12.75% due 11/01/03 375,000 376,875
Showboat Marina Casino,
13.50% due 03/15/03 750,000 813,750
Wyndham Hotel Corporation,
10.50% due 05/15/06 1,000,000 1,000,000
-----------
2,950,000
METAL PRODUCTS - 0.77%
Cole National Group, Incorporated,
11.25% due 10/01/01 1,150,000 1,216,125
-----------
MISCELLANEOUS - 1.59%
American Media Operations, Incorporated,
11.625% due 11/15/04 1,150,000 1,173,000
Hines Horticulture, Incorporated,
11.75% due 10/05/05 1,290,000 1,341,600
-----------
2,514,600
PAPER & ALLIED PRODUCTS - 0.64%
Stone Container Corporation,
10.75% due 10/01/02 1,000,000 1,010,000
-----------
PRINTING & PUBLISHING - 0.36%
Williamhouse Regency, Incorporated,
13.00% due 11/15/05 500,000 566,250
-----------
RETAIL TRADE - 2.35%
Apparel Retailers, Incorporated, Series
B, Step up to 12.75% due 08/15/05 2,000,000 1,705,000
Finlay Fine Jewerly Corporation,
10.625% due 05/01/03 1,000,000 1,000,000
Smith's Food & Drug Centers,
Incorporated, 11.25% due 05/11/07 1,000,000 1,007,500
-----------
3,712,500
STEEL - 0.61%
Algoma Steel, Incorporated,
12.375% due 07/15/05 1,000,000 970,000
-----------
TELECOMMUNICATION SERVICES - 3.09%
Adelphia Communications
Corporation, 12.50% due 05/15/02 1,250,000 1,268,750
IntelCom Group USA, Incorporated,
Step up 13.50% due 09/15/05 1,000,000 600,000
International Cablet, Incorporated,
11.50% due 02/01/06 1,200,000 667,500
Peoples Choice TV Corporation,
Step up to 13.125% due 06/01/04 1,500,000 870,000
United International Holdings,
Incorporated, zero coupon
due 11/15/99 2,250,000 1,485,000
-----------
4,891,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
48
<PAGE> 52
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
TELEPHONE - 0.71%
In Flight Phone Corporation, Series B
Step up to 14.00% due 05/15/02 $ 1,000,000 $ 325,000
Wireless One, Incorporated,
13.00% due 10/15/03 750,000 798,750
-----------
1,123,750
TRANSPORATION SERVICES - 1.40%
Alamo Rent A Car, Incorporated
11.75% due 01/03/06 1,000,000 1,035,000
Clark Schwebel, Incorporated,
10.50% due 04/15/06 1,150,000 1,178,750
-----------
2,213,750
TOTAL CORPORATE BONDS
(Cost: $67,744,344) $68,265,911
-----------
U.S. TREASURY OBLIGATIONS - 16.55%
U.S. TREASURY BONDS - 0.53%
6.875% due 08/15/25 850,000 841,364
-----------
U.S. TREASURY NOTES - 16.02%
5.00% due 01/31/98 400,000 393,748
5.625% due 02/28/01 11,100,000 10,727,151
5.875% due 11/15/05 1,000,000 942,030
6.25% due 04/30/01 2,500,000 2,476,175
6.875% due 05/15/06 7,560,000 7,643,840
7.50% due 02/15/05 3,000,000 3,156,090
-----------
25,339,034
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $26,595,036) $26,180,398
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 8.37%
FEDERAL HOME LOAN BANK - 1.05%
5.89% due 07/24/00 1,200,000 1,170,000
5.94% due 06/13/00 500,000 488,905
-----------
1,658,905
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.04%
6.50% TBA** 500,000 468,280
7.595% due 07/15/06 IO 2,484,832 372,725
8.00% due 05/01/10 1,651,477 1,686,803
8.50% due 05/01/08 674,302 698,172
-----------
3,225,980
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.51%
6.50% due 11/01/10 - 03/01/26 3,996,235 3,794,556
7.00% TBA** 3,000,000 2,885,610
13.00% due 01/01/99 380,255 446,086
-----------
7,126,252
STUDENT LOAN MARKETING ASSOCIATION - 0.77%
7.20% due 11/09/00 1,200,000 1,224,744
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $13,173,178) $13,235,881
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 24.23%
REPUBLIC OF ARGENTINA - 3.82%
6.312% due 03/31/05 $ 7,722,000 $ 6,032,813
-----------
FEDERAL REPUBLIC OF BRAZIL - 5.66%
5.00% due 04/15/24 6,500,000 3,217,500
6.00% due 09/15/13 1,250,000 787,500
6.375% due 01/01/01 2,325,000 2,176,781
6.50% due 04/15/06 1,500,000 1,205,625
6.50% due 04/15/24 2,200,000 1,564,750
-----------
8,952,156
GOVERNMENT OF COSTA RICA - 0.30%
Series B, 6.25% due 05/21/15 700,000 472,500
-----------
KINGDOM OF DENMARK - 0.19%
7.00% due 12/15/04 DKK 600,000 101,340
9.00% due 11/15/98 1,100,000 203,684
-----------
305,024
REPUBLIC OF ECUADOR - 0.46%
3.00% due 02/27/15 $ 1,613,968 730,321
-----------
FEDERAL REPUBLIC OF GERMANY - 2.10%
6.00% due 02/20/98 DEM 3,600,000 2,439,382
6.00% due 02/16/06 1,400,000 883,920
-----------
3,323,302
GOVERNMENT OF MOROCCO - 1.60%
6.4375% due 01/01/09 $ 3,500,000 2,533,125
-----------
GOVERNMENT OF MEXICO - 3.25%
6.25% due 12/31/19 400,000 257,000
6.453% due 12/31/19 2,500,000 1,965,625
11.50% due 05/15/26 3,185,000 2,918,256
-----------
5,140,881
GOVERNMENT OF NETHERLANDS - 0.33%
6.25% due 07/15/98 NLG 850,000 518,821
-----------
GOVERNMENT OF PANAMA - 0.70%
3.50% due 07/17/14 $ 2,000,000 1,111,250
-----------
REPUBLIC OF PHILIPPINES - 1.02%
6.437% due 12/01/09 1,700,000 1,615,000
-----------
REPUBLIC OF POLAND - 1.30%
3.75% due 10/27/14 2,700,000 2,052,000
-----------
GOVERNMENT OF UNITED KINGDOM - 1.04%
United Kingdom Treasury,
7.00% due 11/06/01 pound sterling 1,070,000 1,636,822
-----------
REPUBLIC OF VENEZUELA - 2.46%
6.375% due 03/31/07 $ 500,000 362,500
6.625% due 12/18/07 5,000,000 3,531,250
-----------
3,893,750
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $36,547,184) $38,317,765
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
49
<PAGE> 53
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
----------- -----------
<S> <C> <C>
COMMON STOCK - 0.01%
HOUSEHOLD APPLIANCES & FURNISHINGS - 0.01%
Decorative Home Accents, Incorporated 1,500 $ 9,000
-----------
TOTAL COMMON STOCK (Cost: $15,000) $ 9,000
-----------
WARRANTS - 0.02%*
INDUSTRIALS - 0.01%
Berry Plastics Corporation (Expiration
date 04/15/04; strike price $18.797) 1,000 20,000
TELEPHONE - 0.01%
Wireless One, Incoporation (Expiration
date 10/19/00; strike price $11.50) 2,250 18,000
-----------
TOTAL WARRANTS (Cost: $0) $ 38,000
-----------
Principal
Amount Value
- ----------- -----------
REPURCHASE AGREEMENT - 7.66% ***
$12,117,000 Repurchase Agreement with J.P.
Morgan dated 06/28/96 at
5.42%, to be repurchased at
$12,122,473 on 07/01/96,
collateralized by $10,830,000
U.S. Treasury Bonds, 9.125%
due 05/15/09 (valued at
$12,359,738
including interest) $12,117,000
----------
TOTAL INVESTMENTS
(Strategic Bond Trust) (Cost: $156,191,742) $158,163,955
===========
</TABLE>
<TABLE>
<CAPTION>
GLOBAL GOVERNMENT BOND TRUST
Principal
Amount Value
----------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 17.33%
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 7.28%
6.07% due 11/20/98 $ 5,000,000 $ 4,964,050
6.50% due 06/08/00 12,000,000 11,911,920
---------------
16,875,970
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 10.05%
5.80% due 12/10/03 12,000,000 11,332,440
6.50% due 04/30/99 12,000.000 11,975,640
---------------
23,308,080
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost: $40,923,260) $ 40,184,050
---------------
FOREIGN GOVERNMENT OBLIGATIONS - 72.38%
COMMONWEALTH OF AUSTRALIA - 12.16%
New South Wales Treasury,
7.50% due 02/01/98 AUD 15,000,000 $ 11,680,361
Queensland Treasury,
6.50% due 06/14/05 8,000,000 5,302,947
8.00% due 05/14/03 15,000,000 11,219,882
---------------
28,203,190
GOVERNMENT OF CANADA - 9.20%
6.50% due 05/03/01 $ 6,000,000 5,928,750
7.50% due 03/01/01 CAD 15,000,000 11,211,811
Province of Ontario,
zero coupon due 01/10/40 200,000,000 4,204,204
---------------
21,344,765
REPUBLIC OF ITALY - 13.11%
5.507% due 06/28/01 $ 10,000,000 9,970,000
9.50% due 05/01/01 ITL 10,000,000,000 6,744,816
10.00% due 08/01/03 20,000,000,000 13,694,694
---------------
30,409,510
GOVERNMENT OF NEW ZEALAND - 10.27%
8.00% due 07/15/98 NZD 20,000,000 13,443,412
10.00% due 07/15/97 15,000,000 10,366,357
---------------
23,809,769
GOVERNMENT OF SPAIN - 12.55%
8.00% due 05/30/04 ESP 500,000,000 3,718,605
10.00% due 02/28/05 1,000,000,000 8,320,066
10.30% due 06/15/02 1,000,000,000 8,477,872
10.50% due 10/30/03 1,000,000,000 8,575,524
---------------
29,092,067
KINGDOM OF SWEDEN - 7.00%
9.00% due 04/02/09 SEK 50,000,000 7,889,684
10.25% due 05/05/00 50,000,000 8,332,880
---------------
16,222,564
GOVERNMENT OF UNITED KINGDOM - 8.09%
Abbey National Treasury
8.00% due 04/02/03 pound sterling 8,000,000 12,416,524
United Kingdom Treasury
8.00% due 06/10/03 4,000,000 6,344,153
---------------
18,760,677
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost: $162,671,357) $ 167,842,542
---------------
SUPRANATIONAL ORGANIZATIONS - 1.35%
European Investment Bank,
8.00% due 06/10/03 pound sterling 2,000,000 3,127,427
---------------
TOTAL SUPRANATIONAL ORGANIZATIONS
(Cost: $3,116,326) $ 3,127,427
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
50
<PAGE> 54
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
CORPORATE BONDS - 6.29%
BANKING & FINANCE - 1.37%
Bayerische Landesbank Girozentrale,
8.50% due 02/26/03 pound sterling 2,000,000 $ 3,175,959
-----------
ELECTRIC SERVICES - 4.92%
Hydro-Quebec,
7.00% due 06/01/04 CAD 16,500,000 11,405,460
-----------
TOTAL CORPORATE BONDS
(Cost: $14,687,696) $14,581,419
-----------
REPURCHASE AGREEMENT - 2.65%
Principal
Amount Value
- ---------- -----------
$6,143,000 Repurchase Agreement with State
Street Bank & Trust Company dated
06/28/96 at 4.75%, to be
repurchased at $6,145,432 on
07/01/96, collateralized by
$5,500,000 U.S. Treasury Bonds,
8.125% due 08/15/19 (valued at
$6,267,789 including interest) $6,143,000
-----------
TOTAL INVESTMENTS
(Global Government Bond Trust)
(Cost: $227,541,639) $231,878,438
============
INVESTMENT QUALITY BOND TRUST
CORPORATE BONDS - 38.30%
AIR TRAVEL - 1.35%
United Airlines, Incorporated,
7.27% due 01/30/13 $ 2,000,000 $ 1,893,560
-----------
BROADCASTING - 0.15%
Chancellor Broadcasting Company,
9.375% due 10/01/04 25,000 23,625
Granite Broadcasting Corporation,
10.375% 05/15/05 50,000 49,000
Young Broadcasting, Incorporated,
9.00% due 01/15/06 150,000 133,875
-----------
206,500
CHEMICALS - 0.06%
Texas-Petro Chemical Corporation,
11.125% due 07/01/06 90,000 91,800
-----------
DRUGS & HEALTH CARE - 0.35%
OrNda Healthcorp,
11.375% due 08/15/04 350,000 385,875
Owens & Minor, Incorporated,
10.875% due 06/01/06 100,000 101,375
-----------
487,250
ELECTRIC UTILITIES - 0.91%
Duke Power Company,
7.50% due 04/01/99 $ 700,000 $ 714,798
El Paso Electric Company,
8.90% due 02/01/06 250,000 245,625
Virginia Electric & Power Company,
9.375% due 06/01/98 300,000 314,532
-----------
1,274,955
FINANCE & BANKING - 20.67%
American General Finance
Corporation, 8.00% due 02/15/05 1,270,000 1,315,314
Associates Corporation of North America,
6.95% due 08/01/02 2,325,000 2,329,766
9.125% due 04/01/00 300,000 322,518
BankAmerica Corporation,
9.625% due 02/13/01 1,475,000 1,630,701
BanPonce Financial Corporation,
6.80% due 12/21/05 2,150,000 2,045,489
Beneficial Corporation,
8.40% due 05/15/08 350,000 389,777
8.90% due 06/06/01 470,000 506,923
Comerica, Incorporated,
7.125% due 12/01/13 1,325,000 1,221,915
Commercial Credit Group,
Incorporated, 10.00% due 05/01/99 290,000 314,119
Exxon Capital Corporation,
6.625% due 08/15/02 2,000,000 1,968,880
First National Bank of Boston,
8.00% due 09/15/04 1,775,000 1,831,836
General Motors Acceptance
Corporation, 6.00% due 01/11/99 950,000 938,182
General Motors Acceptance
Corporation, 7.00% due 09/15/02 1,400,000 1,392,440
International Lease Finance
Corporation, 7.50% due 03/01/99 1,500,000 1,528,095
Mesa Operate Company,
10.625% due 07/01/06 75,000 76,500
National Westminster Bank PLC,
9.45% due 05/01/01 1,000,000 1,103,360
NBD Bancorp, 8.25% due 11/01/24 2,000,000 2,185,240
Norwest Corporation,
6.00% due 03/15/00 900,000 878,229
Sun Canada Financial Company,
7.25% due 12/15/15 1,500,000 1,402,650
Texaco Capital, Incorporated,
8.93% due 07/23/01 940,000 1,018,311
Trump Atlantic City,
11.25% due 05/01/06 100,000 100,500
U.S. Bancorp, 7.50% due 06/01/26 2,300,000 2,337,375
United Virginia Bankshares,
Incorporated, 8.625% due 04/15/98 1,967,000 2,029,669
-----------
28,867,789
</TABLE>
The accompanying notes are an integral part of the financial statements.
51
<PAGE> 55
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
FOOD STORES - 0.08%
Big V Supermarkets, Incorporated,
Series B, 11.00% due 02/15/04 $ 125,000 $ 116,250
-----------
GAS & PIPELINE UTILITIES - 0.11%
Transport De Gas Del Sur,
10.25% due 10/15/02 150,000 150,563
-----------
INDUSTRIALS - 4.72%
Armco, Incorporated,
9.375% due 11/01/00 450,000 436,500
Bell & Howell Company,
Step-up to 11.50% due 03/01/05 350,000 239,750
Cablevision Systems Corporation,
9.25% due 11/01/05 200,000 186,000
Cincinnati Milacron, Incorporated,
7.875% due 05/15/00 870,000 870,000
Container Corporation of America,
9.75% due 04/01/03 150,000 147,375
Fort Howard Corporation,
9.25% due 01/03/15 450,000 450,000
Guitar Center Management,
11.00% due 07/01/06 30,000 30,506
Harris Chemical North Amercia,
Step up 10.25% due 07/15/01 250,000 250,625
Hayes Wheels International,
Incorporated, 11.00% due 07/15/06 65,000 65,812
Interlake Corporation,
12.00% due 11/15/01 100,000 105,000
K & F Industries, Incorporated,
11.875% due 12/01/03 250,000 267,500
Moog, Incorporated,
10.00% due 05/01/06 150,000 150,000
News America Holdings,
Incorporated 9.25% due 02/01/13 1,000,000 1,086,890
Repap New Brunswick, Incorporated,
9.875% due 07/15/00 250,000 246,250
Tele-Communications, Incorporated,
9.80% due 02/01/12 1,910,000 2,063,717
-----------
6,595,925
INSURANCE - 2.44%
Equitable Life Assurance Society of the
United States, 6.95% due 12/01/05 1,150,000 1,104,150
Ohio National Life Insurance
Company, 8.50% due 05/15/26 1,150,000 1,136,557
Security Benefit Life Company,
8.75% due 05/15/16 1,150,000 1,171,563
-----------
3,412,270
INTERNATIONAL OIL - 0.65%
Amoco Canada Petroleum Company,
7.95% due 10/01/22 900,000 914,211
-----------
METAL PRODUCTS - 0.22%
Howmet Corporation,
10.00% due 12/01/03 $ 250,000 $ 264,375
Oregon Steel Mills, Incorporated,
11.00% due 06/15/03 45,000 46,350
-----------
310,725
NON-BANK FINANCE - 1.80%
KFW International Financial, Incorporated,
8.85% due 06/15/99 1,340,000 1,420,641
9.125% due 05/15/01 1,000,000 1,095,590
-----------
2,516,231
OIL & GAS SERVICES - 0.18%
Plains Resources, Incorporated,
10.25% due 03/15/06 250,000 246,875
-----------
PUBLISHING - 1.68%
Time Warner, Incorporated,
9.125% due 01/15/13 2,000,000 2,088,760
S.D. Warren Company,
12.00% due 12/15/04 150,000 158,250
World Color Press, Incorporated,
9.125% due 03/15/03 100,000 98,000
-----------
2,345,010
TELECOMMUNICATION SERVICES - 0.40%
Comcast Corporation,
9.125% due 10/15/06 50,000 47,125
9.375% due 05/15/05 200,000 192,500
Heritage Media Services,
11.00% due 06/15/02 150,000 159,188
Videotron, Ltd., 10.25% due 10/15/02 150,000 154,500
-----------
553,313
TELEPHONE - 1.98%
360 Communications,
7.125% due 03/01/03 900,000 860,634
Arch Communications Group, Incorporated,
Step-up to 10.875% due 03/15/08 250,000 128,750
Benedek Communications,
13.25% due 05/15/06 215,000 108,575
GTE Florida, Incorporated, Series A,
6.31% due 12/15/02 1,400,000 1,344,448
MoblileMedia Communications,
Incorporated, 9.375% due 11/01/07 250,000 223,750
Paging Network, Incorporated,
10.125% due 08/01/07 100,000 98,250
-----------
2,764,407
TEXTILE PRODUCTS - 0.18%
Collins & Aikman Products Company,
11.50% due 04/15/06 150,000 151,875
Dominion Textile (USA),
Incorporated, 9.25% due 04/01/06 85,000 81,600
-----------
233,475
</TABLE>
The accompanying notes are an integral part of the financial statements.
52
<PAGE> 56
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
TRANSPORTATION - 0.37%
Southern Railway Company,
8.75% due 10/15/03 $ 470,000 $ 512,432
-----------
TOTAL CORPORATE BONDS
(Cost: $63,832,872) $53,493,541
-----------
U.S. TREASURY OBLIGATIONS - 26.73%
U.S. TREASURY BONDS - 24.95%
10.75% due 02/15/03 11,000,000 13,421,760
12.00% due 08/15/13 15,200,000 21,427,288
-----------
34,849,048
U.S. TREASURY NOTES - 1.78%
8.875% due 11/15/97 2,400,000 2,489,616
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $38,343,159) $37,338,664
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 25.34%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 11 60%
6.50% due 03/11/11 1,247,082 1,206,939
6.50% due 08/17/11 - 06/25/19,
REMIC 1,400,000 1,377,242
7.00% due 06/01/23 - 01/01/26 10,725,591 10,330,645
7.50% due 06/01/10 - 04/01/11 1,223,783 1,230,744
8.00% due 11/15/99, REMIC 2,000,000 2,049,360
-----------
16,194,930
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 0.69%
5.90% due 10/25/19, REMIC 1,000,000 970,310
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 13.05%
6.50% due 07/15/08 - 05/15/09 230,017 224,050
7.00% due 04/15/23 - 02/15/24 9,850,738 9,491,736
7.50% due 04/15/02 - 01/15/24 4,628,155 4,583,202
8.50% due 09/15/16 - 04/15/22 3,794,618 3,923,868
9.50% due 10/15/09 1,715 1,855
-----------
18,224,711
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (Cost: $25,269,865) $35,389,951
-----------
FIXED INCOME - OTHER - 4.98%
MISCELLANEOUS ASSET BACKED SECURITIES - 4.98%
Advanta Credit Card Master
Trust, Series 1994, Class A,
5.78% due 10/01/01 1,450,000 1,455,887
American Express Master Trust, Series
1992, Class A, 6.60% due 05/15/00 1,500,000 1,499,055
Premier Auto Trust, Series 1993,
Class A2, 4.65% due 11/02/99 1,136,132 1,120,146
Premier Auto Trust, Series 1994,
Class A3, 6.35% due 05/02/00 1,284,629 1,288,637
World Omni Automobile Lease, Series
1995, Class A, 6.05% due 11/25/01 1,600,000 1,590,992
-----------
6,954,717
TOTAL FIXED INCOME - OTHER
(Cost: $6,959,688) $ 6,954,717
-----------
FOREIGN BONDS - 3.21%
CANADA - 1.67%
Hydro-Quebec, 8.05% due 07/07/24 $ 2,200,000 $ 2,332,088
-----------
JAPAN - 1.54%
Japan Financial Corporation
8.70% due 07/30/01 1,500,000 1,619,505
9.125% due 10/11/00 500,000 538,210
-----------
2,157,715
TOTAL FOREIGN BONDS
(Cost: $4,676,698) $ 4,489,803
-----------
Principal
Amount
- ----------
REPURCHASE AGREEMENT - 1.44%
$2,005,000 Repurchase Agreement with Swiss Bank
dated 06/28/96 at 5.48% to be
repurchased at $2,005,916 on
07/01/96, collateralized by
$1,789,000 U.S. Treasury Bonds,
9.125% due 05/15/09 (valued at
$2,055,953 including interest) $2,005,000
----------
TOTAL INVESTMENTS
(Investment Quality Bond Trust)
(Cost: $141,087,282) $139,671,676
============
U.S. GOVERNMENT SECURITIES TRUST
U.S. TREASURY OBLIGATIONS - 9.06%
U.S. TREASURY NOTES - 9.06%
6.125% due 05/31/97 $20,000,000 $20,062,400
6.50% due 08/15/05 3,000,000 2,956,860
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $23,204,844) $23,019,260
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 67.84%
FEDERAL HOME LOAN BANK - 6.51%
5.94% due 06/13/00 3,300,000 3,226,773
6.49% due 09/08/97 250,000 251,367
7.81% due 07/17/96 5,000,000 5,005,450
8.25% due 09/25/96 8,000,000 8,050,000
-----------
16,533,590
FEDERAL HOME LOAN MORTGAGE CORPORATION - 19 49%
6.00% due 09/01/10 - 11/01/10 31,757,191 30,111,099
6.50% TBA** 20,000,000 18,731,200
6.50% due 07/01/06 30,712 30,659
</TABLE>
The accompanying notes are an integral part of the financial statements.
53
<PAGE> 57
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION-CONTINUED
7.00% due 12/01/04 $ 155,189 $ 155,298
8.25% due 07/01/06 199,007 204,094
11.75% due 07/01/06 - 12/01/13 240,826 268,632
------------
49,500,982
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 19.81%
6.50% due 10/01/05 - 04/01/26 17,651,611 16,519,967
7.00% TBA** 8,125,000 7,815,194
7.52% due 08/26/05 2,475,000 2,426,681
8.00% due 08/01/04 - 10/01/24 34,447 34,964
8.25% due 09/01/08 351,917 361,929
8.50% due 02/01/09 692,643 65,994
8.75% due 08/01/09 340,549 353,572
9.50% due 08/01/22 5,706,534 6,109,557
10.00% due 04/01/16 5,172 5,633
10.50% due 03/01/16 31,147 33,822
11.50% due 04/01/19 - 02/01/20 5,940,031 6,695,484
11.75% due 09/01/11 - 12/01/15 210,591 236,841
12.00% due 04/01/16 1,126,823 1,296,199
12.50% due 08/01/11 - 09/01/15 3,281,267 3,813,465
13.00% due 01/01/99 2,545,983 2,986,756
14.50% due 11/01/14 1,258,984 1,537,534
------------
50,293,592
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 20.29%
7.00% TBA** 18,000,000 17,257,500
7.00% due 03/15/26 - 05/15/26 34,966,179 33,523,823
7.50% due 02/15/07 223,223 223,667
8.00% due 10/15/05 14,774 15,164
9.50% due 09/15/20 423,418 453,713
11.00% due 09/15/15 44,056 49,046
------------
51,522,913
STUDENT LOAN MARKETING ASSOCIATION - 1.74%
7.50% due 03/08/00 4,300,000 4,429,688
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost: $173,761,961) $172,280,765
------------
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.02%
Drexel Burnham Lambert,
9.30% due 06/01/17,
(Collateralized by GNMA 10.00%) $ 31,810 $ 32,198
Shearson Lehman, Incorporated,
7.50% due 06/01/18, (Collateralized
by GNMA 11.50%) 15,676 15,593
------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost: $49,235) $ 47,791
------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
- ---------
REPURCHASE AGREEMENTS - 23.07% ***
$29,298,000 RepurchaseAgreement with J.P.
Morgan dated 06/28/96 at
5.42%, to be repurchased at
$29,311,233 on 07/01/96,
collateralized by $29,014,000
U.S. Treasury Notes, 5.625%
due 06/30/97 (valued at
$29,884,420 including
interest) $29,298,000
-----------
$29,297,000 Repurchase Agreement with UBS
Securities dated 06/28/96 at
5.42%, to be repurchased at
$29,310,232 on 07/01/96,
collateralized by $23,764,000 U.S.
Treasury Notes, 9.25% due 02/15/16
(valued at $30,704,524 including
interest) 29,297,000
------------
$58,595,000
TOTAL INVESTMENTS
(U.S. Government Securities Trust)
(Cost: $255,611,040) $253,942,816
============
MONEY MARKET TRUST
Principal
Amount Value
----------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS - 7.37%
FEDERAL FARM CREDIT BANK - 2.37%
5.24% due 09/28/98 $ 8,000,000 $ 7,989,659
-----------
STUDENT LOAN MARKETING ASSOCIATION - 5.00%
5.41% due 09/28/98 9,000,000 9,000,000
5.44% due 02/22/99 7,900,000 7,900,679
-----------
16,900,679
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS $24,890,338
-----------
U.S. TREASURY OBLIGATIONS - 3.30%
U.S. TREASURY NOTES - 3.30%
7.50% due 01/31/97 11,000,000 11,145,949
-----------
TOTAL U.S. TREASURY OBLIGATIONS $11,145,949
-----------
COMMERCIAL PAPER - 89.27%
American Home Products
Corporation, 5.40% due 08/13/96 10,000,000 9,935,500
Assets Securitization Cooperative
Corporation, 5.41% due 07/29/96 10,000,000 9,957,922
Associates Corporation of North
America, 5.40% due 08/27/97 8,000,000 7,931,600
Banco Bilbao Vizcaya Financial,
Incorporated, 5.33% due 08/07/96 4,500,000 4,475,349
Bank of Tokyo-Mitsubishi,
5.52% due 09/09/96 4,000,000 4,000,127
</TABLE>
The accompanying notes are an integral part of the financial statements.
54
<PAGE> 58
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
----------- -----------
<S> <C> <C>
COMMERCIAL PAPER - CONTINUED
BCI Funding Corporation,
5.34% due 08/02/96 $ 7,000,000 $ 6,966,773
BHF Finance, Incorporated,
5.34% due 07/09/96 11,000,000 10,986,947
Canadian Wheat Board,
5.35% due 07/10/96 1,000,000 998,662
Centric Funding Corporation,
5.30% due 08/01/96 4,000,000 3,981,744
5.35% due 07/17/96 7,000,000 6,983,355
Chrysler Financial Corporation,
5.30% due 07/03/96 10,000,000 9,998,528
CIESCO LP, 5.33% due 07/17/96 10,000,000 9,976,311
Clipper Receivables Corporation,
5.40% due 07/23/96 10,400,000 10,365,680
The Coca-Cola Enterprises,
Incorporated, 5.35% due 07/22/96 7,000,000 6,978,154
Corestates Capital Corporation,
5.42% due 11/01/96 4,000,000 4,000,000
Enterprise Funding Corporation,
5.31% due 07/01/96 2,177,000 2,177,000
5.41% due 07/24/96 8,000,000 7,972,349
First National Bank of Boston,
5.10% due 07/22/96 1,000,000 997,025
Ford Motor Credit Company,
5.25% due 096 11,000,000 10,950,271
General Motors Acceptance
Corporation, 5.45% due 11/08/96 10,500,000 10,293,354
Government Development
for Puerto Rico ,
5.40% due 07/01/96 5,000,000 5,000,000
5.40% due 07/12/96 5,000,000 4,991,750
Hitachi America, Ltd.
5.34% due 10/07/96 1,945,000 1,916,726
5.34% due 10/09/96 1,000,000 985,167
Lockheed Martin Corporation,
5.50% due 07/08/96 3,000,000 2,996,792
Mont Blanc Capital Corporation,
5.40% due 07/10/96 4,000,000 3,994,600
Motorola, Incorporated,
5.35% due 07/22/96 10,000,000 9,968,792
New Center Asset Trust,
5.27% due 09/26/96 4,000,000 3,949,057
Peoples Security Life Insurance,
Incorporated, 5.58% due 08/20/96 10,000,000 10,000,000
Pitney Bowes Credit Corporation,
5.35% due 07/09/96 6,000,000 5,992,867
PNC Funding Corporation,
5.377% due 01/06/97 10,000,000 9,995,979
Praxair, Incorporated,
5.55% due 08/09/96 2,800,000 2,783,165
COMMERCIAL PAPER - CONTINUED
Province of British Columbia,
5.33% due 12/20/96 $ 2,000,000 $ 1,949,069
5.36% due 10/29/96 9,000,000 8,839,200
Ranger Funding, 5.30% due 08/02/96 3,000,000 2,985,867
Sears Roebuck Acceptance
Corporation, 5.41% due 08/19/96 8,000,000 7,941,091
Smith Barney Shearson,
Incorporated, 5.40% due 07/25/96 7,000,000 6,974,800
SMM Trust, 5.55% due 11/15/96 8,000,000 8,000,000
SouthTrust Bank,
5.45% due 10/04/96 3,000,000 2,999,395
SunTrust Banks, Incorporated
5.25% due 09/03/96 5,000,000 4,953,333
Supervalu, Incorporated,
5.50% due 07/01/96 2,600,000 2,600,000
Toshiba America, Incorporated
5.33% due 10/01/96 11,000,000 10,850,168
Travelers Insurance Company,
5.57% due 08/31/96 6,000,000 6,000,000
Virginia Electric & Power Company,
5.40% due 07/31/96 10,000,000 9,955,000
Westpac Banking Company,
5.23% due 07/31/96 9,000,000 9,000,000
Westpac Capital Corporation,
5.28% due 09/05/96 2,000,000 1,980,640
Whirlpool Financial Corporation,
5.40% due 07/30/96 10,000,00 9,956,500
Zeneca Wilmington Company,
5.41% due 07/17/96 4,000,000 3,990,578
-----------
TOTAL COMMERCIAL PAPER $301,477,187
------------
REPURCHASE AGREEMENT - 0.06%
Principal
Amount Value
- --------- -----
$218,000 Repurchase Agreement with Shearson
Lehman dated 06/28/96
at 5.47%, to be repurchased at
$218,099 on 07/01/96,
collateralized by $1,115,000 U.S
Treasury Strips, 7.13% due 11/15/18
(valued at
$255,125 including interest) $218,000
--------
TOTAL INVESTMENTS
(Money Market Trust) (Note 1) $337,731,474
============
</TABLE>
The accompanying notes are an integral part of the financial statements.
55
<PAGE> 59
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
ASSET ALLOCATION TRUSTS
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS: 68.40% 44.09% 26.11%
AEROSPACE: 1.19% 0.70% 0.45%
Boeing Company 3,300 $ 287,512 8,400 $ 731,850 1,500 $130,687
California Amplifier, Incorporated* 2,600 59,800 4,800 110,400 400 9,200
Lockheed Martin Corporation 4,800 403,200 3,000 252,000 900 75,600
McDonnell Douglas Corporation 8,900 431,650 14,600 708,100 2,600 126,100
Northrop Grumman Corporation 3,300 224,812 4,200 286,125 900 61,312
Rockwell International Corporation 3,100 177,475 7,500 429,375 2,800 160,300
Thiokol Corporation 3,400 134,300 5,300 209,350 900 35,550
Tracor, Incorporated* 2,700 46,575 ---- ---- ---- ----
TRW, Incorporated 1,000 89,875 ---- ---- ---- ----
United Technologies Corporation 6,500 747,500 14,200 1,633,000 2,900 333,500
Watkins Johnson Company ---- ---- ---- ---- 700 19,162
---------- ---------- ---------
2,602,699 4,360,200 951,411
AGRICULTURAL PRODUCTS: 0.03% 0.02% 0.01%
Deere & Company 1,500 60,000 3,000 120,000 700 28,000
------ ------- ------
AIR TRAVEL: 0.47% 0.40% 0.21%
AMR Corporation* 1,200 109,200 2,300 209,300 500 45,500
Atlantic Southeast Airlines, Incorporated 13,400 378,550 20,200 570,650 4,500 127,125
British Airways 19,800 170,048 31,000 266,237 5,500 47,236
Continental Airlines, Incorporated* 1,000 61,750 5,200 321,100 1,300 80,275
Delta Air Lines, Incorporated 800 66,400 1,500 124,500 300 24,900
Japan Air Lines Company, Ltd.* 14,000 113,546 22,000 178,430 4,000 32,442
Northwest Airlines Corporation* 3,300 130,350 20,200 797,900 2,100 82,950
---------- ---------- ---------
1,029,844 2,468,117 440,428
ALUMINUM: 0.30% 0.22% 0.17%
Aluminum Company of America 11,300 648,337 23,500 1,348,312 6,300 361,462
------- --------- -------
APPAREL & TEXTILES: 0.32% 0.10% 0.07%
Kellwood Company 3,800 69,825 8,800 161,700 800 14,700
NIKE, Incorporated 3,900 400,725 500 51,375 ----- -----
Talbots, Incorporated 3,400 110,075 4,300 139,212 1,300 42,087
Warnaco Group, Incorporated, Class A 4,800 123,600 10,600 272,950 3,400 87,550
---------- ---------- ---------
704,225 625,237 144,337
AUTO PARTS: 1.03% 0.69% 0.41%
Eaton Corporation 4,700 275,537 2,700 158,287 ----- -----
Echlin, Incorporated 18,400 696,900 33,600 1,272,600 7,300 276,487
Gentex Corporation* 3,200 62,400 7,000 136,500 1,600 31,200
Genuine Parts Company 20,400 933,300 50,300 2,301,225 10,200 466,650
Scania AB, Series B* 9,000 250,827 12,500 348,371 2,500 69,674
Spartan Motors, Incorporated 5,300 39,750 11,900 89,250 2,900 21,750
---------- ---------- ---------
2,258,714 4,306,233 865,761
AUTOMOBILES: 1.30% 0.91% 0.49%
Chrysler Corporation 5,800 359,600 11,200 694,400 2,500 155,000
Edaran Otomobil National BHD 7,000 67,068 12,000 114,973 ----- -----
Ford Motor Company 9,300 301,087 18,700 605,412 3,900 126,262
General Motors Corporation 13,300 696,587 24,000 1,257,000 4,300 225,212
Honda Motor Company 18,000 467,426 26,000 675,170 5,000 129,840
Mitsubishi Motor Corporation 25,000 219,449 49,000 430,119 7,000 61,446
</TABLE>
The accompanying notes are an integral part of the financial statements.
56
<PAGE> 60
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
AUTOMOBILES - CONTINUED
Toyota Motor Corporation 35,000 $ 876,880 55,000 $ 1,377,955 10,000 $ 250,537
Volvo AB, Series B 13,400 305,645 23,300 531,457 4,300 98,080
---------- ----------- ----------
3,293,742 5,686,486 1,046,377
BANKING: 6.14% 3.91% 2.15%
Akita Bank, Ltd. 34,000 247,465 54,000 393,033 9,000 65,505
Banc One Corporation 6,550 222,700 12,760 433,840 2,670 90,780
Bank of New York, Incorporated 28,200 1,445,250 60,600 3,105,750 13,500 691,875
Bank of Tokyo, Ltd.* 43,650 1,013,770 66,850 1,552,590 12,100 281,022
Bankamerica Corporation 7,300 552,975 14,000 1,060,500 3,000 227,250
Banponce Corporation 12,200 549,000 25,600 1,152,000 6,000 270,000
Banco Bilbao Vizcaya SA 6,250 253,408 10,750 435,862 1,900 77,036
Banco Popular Espanol SA 900 160,587 1,400 249,803 250 44,608
Barclays 7,600 91,179 11,900 142,767 2,100 25,194
Boatmens Bancshares, Incorporated 1,900 76,237 3,100 124,387 800 32,100
Charter One Financial, Incorporated 6,100 212,737 27,500 959,062 2,100 73,237
Citicorp 8,100 669,263 18,700 1,545,087 3,400 280,925
Collective Bancorp, Incorporated 3,000 70,875 8,000 189,000 2,300 54,337
Comerica, Incorporated 1,900 84,787 500 22,312 800 35,700
Credit Commercial de France 6,050 280,646 9,500 440,683 2,400 111,331
Dai Ichi Kangyo Bank, Ltd. 10,000 186,531 15,000 279,797 3,000 55,959
Den Norske Bank 96,300 292,353 150,600 457,201 26,600 80,754
Deutsche Bank AG 4,800 227,294 7,450 352,779 1,350 63,926
Development Bank of Singapore, Ltd. 6,000 74,841 7,000 87,314 2,000 24,947
First Bank System, Incorporated 8,300 481,400 8,300 481,400 3,800 220,400
First Chicago Corporation 6,593 257,951 13,231 517,663 2,915 114,049
Fokus Bank AS* 31,500 171,842 35,900 195,845 9,350 51,007
Fuji Bank 22,000 474,741 35,000 755,269 6,000 129,475
Generale De Banque 150 52,833 300 105,666 50 17,611
HSBC Holdings - HKD 41,000 619,703 64,000 967,342 11,800 178,354
HSBC Holdings -(pound) 10,000 156,546 15,600 244,212 2,800 43,833
Industrial Bank of Japan 13,000 323,321 21,000 522,288 4,000 99,483
Lloyds TSB Group PLC 84,077 411,310 131,697 644,270 23,246 113,721
Malayan Bank BHD 3,000 28,863 5,000 48,106 1,000 9,621
Mitsubishi Trust & Banking Corporation 5,000 84,579 11,000 186,074 1,000 16,916
Mitsui Trust & Banking Corporation 35,000 409,637 53,000 620,308 9,000 105,335
Nationsbank Corporation 848 70,066 1,480 122,285 364 30,076
National Westminster Bank PLC 13,100 124,917 20,600 196,434 3,600 34,328
Overseas Union Bank 16,000 109,993 26,000 178,738 5,000 34,373
Public Bank BHD 36,000 99,579 50,000 138,304 10,000 27,661
Sakura Bank, Ltd.* 43,000 479,678 65,000 725,095 12,000 133,864
Schwiez Bankverein* 8 1,581 595 117,553 63 12,447
Sparebanken NOR 10,100 247,477 18,600 455,749 3,300 80,859
Standard Chartered ---- ---- ---- ---- 1,300 12,941
Standard Federal Bancorporation 17,300 666,050 42,500 1,636,250 2,000 77,000
The Sumitomo Bank, Ltd. 17,000 329,539 27,000 523,385 5,000 96,923
The Tokai Bank, Ltd. 18,000 233,713 28,000 363,553 5,000 64,920
Unidanmark 5,725 265,802 8,950 415,533 1,675 77,767
United Overseas Bank 21,800 208,575 36,600 350,177 4,200 40,184
Wells Fargo & Company 1,400 334,425 2,700 644,962 633 151,208
Westpac Banking Corporation 25,500 112,821 39,800 176,089 7,000 30,971
Zions Bancorp ---- ---- 500 36,375 ---- ----
---------- ----------- ----------
13,468,840 24,352,692 4,591,813
</TABLE>
The accompanying notes are an integral part of the financial statements.
57
<PAGE> 61
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
BROADCASTING: 0.71% 0.36% 0.17%
Act Networks, Incorporated* 1,000 $ 32,500 ---- ---- ---- ----
Canal Plus 2,425 593,568 3,500 $ 856,696 675 $ 165,220
Sinclair Broadcast Group, Incorporated* 7,500 326,250 6,000 261,000 ---- ----
TV 4 AB 11,800 208,547 23,500 415,326 3,600 63,624
TV Francaise 3,450 394,393 6,050 691,617 1,050 120,033
U.S. West Media Group, Incorporated* 500 9,125 ---- ---- ---- ----
Viacom, Incorporated, Class A* ---- ---- ---- ---- 272 10,370
---------- ---------- ----------
1,564,383 2,224,639 359,247
BUILDING CONSTRUCTION: 0.33% 0.20% 0.14%
Fluor Corporation 5,600 366,100 14,800 967,550 3,400 222,275
Harsco Corporation 5,200 349,700 3,900 262,275 1,200 80,700
---------- ---------- ----------
715,800 1,229,825 302,975
BUSINESS SERVICES: 1.53% 1.08% 0.54%
ADVO, Incorporated* 4,400 45,650 5,000 51,875 1,100 11,413
America On-Line, Incorporated* 4,200 183,750 8,900 389,375 1,700 74,375
Automatic Data Processing, Incorporated 3,900 150,637 18,000 695,250 1,100 42,487
Brambles Industries, Ltd.* 18,900 262,595 29,300 407,091 4,500 62,523
Catalina Marketing Corporation* 3,100 283,650 6,100 558,150 1,300 118,950
EA Engineering Science and Technology,
Incorporated* 6,200 19,375 15,400 48,125 2,300 7,187
Flightsafety International, Incorporated 4,400 238,700 8,100 439,425 800 43,400
H & R Block, Incorporated 10,400 339,300 8,700 283,838 2,400 78,300
Medaphis Corporation* 1,600 63.600 3,900 155,025 600 23,850
Microage, Incorporated* 9,600 130,800 24,400 332,450 5,500 74,938
Ogden Corporation 25,800 467,625 40,800 739,500 8,800 159,500
Omnicom Group 5,200 241,800 21,800 1,013,700 2,200 102,300
PHH Corporation ---- ---- 600 34,200 ---- ----
Securitas AB, Series B* 8,700 182,671 8,700 182,671 2,400 50,392
Serv-Tech, Incorporated* 6,200 35,650 6,700 38,525 ---- ----
SunGard Data Systems, Incorporated* 14,200 569,775 26,500 1,063,313 6,900 276,863
Syratech Corporation* 3,500 78,750 7,600 171,000 ---- ----
TRC Companies, Incorporated* 4,400 25,850 10,600 62,275 2,500 14,687
Yorkshire Water 400 41,000 6,300 64,575 1,100 11,275
---------- ---------- ----------
3,361,178 6,730,363 1,152,440
CHEMICALS: 2.50% 1.55% 0.86%
Asahi Chemical Industry Company, Ltd.* 47,000 336,067 75,000 536,278 13,000 92,955
Bayer AG* 9.200 325,222 14,200 501,973 2,550 90,143
Ciba-Geigy AG 120 146,377 195 237,862 35 42,693
Cytec Industries, Incorporated* 3,000 256,500 5,200 444,600 600 51,300
The Dow Chemical Company 600 45,600 1,100 83,600 ---- ----
E.I.Du Pont De Nemours & Company 16,200 1,281,825 33,700 2,666,511 7,200 569,700
W.R. Grace & Company 1,600 113,400 3,200 226,800 700 49,612
Great Lakes Chemical Corporation 1,800 112,050 2,500 155,625 300 18,675
Martek Biosciences Corporation* 1,700 49,725 1,900 55,575 600 17,550
Metallgesellschaft AG* 10,300 177,142 16,750 288,071 3,000 51,595
Monsanto Company 33,000 1,072,500 64,500 2,096,250 12,000 390,000
Nippon Shokubai Company 30,000 290,770 50,000 484,616 9,000 87,231
Olin Corporation ---- ---- 800 71,400 200 17,850
Om Group, Incorporated 2,200 86,350 2,900 113,825 ---- ----
Praxair, Incorporated 2,600 109,850 800 33,800 1,800 76,050
Riken Vinyl Industry Company 29,000 286,380 46,000 454,259 8,000 79,002
</TABLE>
The accompanying notes are an integral part of the financial statements.
58
<PAGE> 62
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
CHEMICALS - CONTINUED
Sekisui Chemical 24,000 $ 294,061 25,000 $ 306,314 3,000 $ 36,758
Shin Etsu Chemical Company 12,600 241,942 18,900 362,913 3,150 60,486
Special Devices, Incorporated* 2,100 33,600 ---- ---- ---- ----
Union Carbide Corporation 5,500 218,625 12,600 500,850 2,600 103,350
---------- ---------- ----------
5,477,986 9,621,122 1,834,950
COMPUTERS & BUSINESS EQUIPMENT: 2.10% 1.36% 0.84%
Bay Networks, Incorporated* 7,550 194,412 14,600 375,950 600 15,450
Cisco Systems, Incorporated* 35,900 2,032,837 66,100 3,742,913 13,700 775,763
Compaq Computer Corporation* 4,100 201,925 7,900 389,075 1,800 88,650
Digital Equipment Corporation* 4,600 207,000 6,300 283,500 1,900 85,500
Fujitsu 8,000 73,150 13,000 118,868 2,000 18,287
Hewlett-Packard Company 4,300 428,387 8,600 856,775 2,000 199,250
International Business Machines Corporation 8,300 821,700 16,100 1,593,900 3,400 336,600
International Imaging Materials* 4,500 106,875 9,700 230,375 2,500 59,375
Natural Microsystems Corporation* 4,800 168,000 9,900 346,500 2,200 77,000
Pitney Bowes, Incorporated 1,000 47,750 ---- ---- ---- ----
Seagate Technology, Incorporated* 1,600 72,000 2,900 130,500 700 31,500
Tandy Corporation 5,300 251,088 8,400 397,950 2,000 94,750
Tech Data Corporation* ---- ---- ---- ---- 1,000 21,750
---------- ---------- ----------
4,605,124 8,466,306 1,803,875
CONGLOMERATES: 0.94% 0.50% 0.34%
AlliedSignal, Incorporated 3,200 182,800 13,000 742,625 2,800 159,950
Berjaya Sports 33,000 109,140 35,000 115,755 10,000 33,073
BIC 1,150 163,436 1,725 245,154 325 46,188
Corporacion Financiera Alba 2,500 208,195 3,650 303,965 600 49,967
First Pacific Company 119,088 183,075 189,734 291,680 32,184 49,477
Hanson 47,300 132,225 74,000 206,864 13,100 36,621
Hutchison Whampoa 73,000 459,268 115,000 723,504 20,000 125,827
ISS-International Service Systems* 12,175 272,241 18,950 423,735 3,800 84,971
Nokia OY AB, Series A 900 33,228 1,250 46,150 650 23,998
Swire Pacific, Ltd., Class A* 23,500 201,126 37,000 316,666 6,500 55,631
Tomkins 32,200 121,019 50,300 189,045 8,900 33,449
---------- ---------- ----------
2,065,753 3,605,143 699,152
CONSTRUCTION MATERIALS: 1.15% 0.63% 0.34%
Bunka Shutter Company, Ltd.* 49,000 378,147 79,000 609,665 14,000 108,042
CRH 28,900 292,635 39,400 398,956 8,000 81,006
Lafarge Corporation 13,600 275,400 24,100 488,025 4,000 81,000
Masco Corporation 7,100 214,775 ---- ---- ---- ----
Medusa Corporation 6,100 189,100 16,150 500,650 3,800 117,800
Powerscreen International PLC 19,300 137,279 30,100 214,099 5,300 37,698
Sherwin-Williams Company 4,000 186,000 ---- ---- ---- ----
Tostem Corporation 10,000 295,341 16,000 472,546 3,000 88,602
Vulcan Materials Company 6,700 397,812 16,200 961,875 2,800 166,250
Wolseley PLC 23,300 164,464 36,400 256,931 6,400 45,175
---------- ---------- ----------
2,530,953 3,902,747 725,573
CONSTRUCTION & MINING EQUIPMENT: 0.65% 0.44% 0.28%
Caterpillar, Incorporated 11,100 752,025 21,800 1,476,950 4,300 291,325
Harnischfeger Industries, Incorporated 10,791 358,801 24,534 815,755 6,691 222,476
Japan Foundation Engineering 770 14,715 ---- ---- ---- ----
Toda Construction Company 30,000 293,513 45,000 440,269 8,000 78,270
---------- ---------- ----------
1,419,054 2,732,974 592,071
</TABLE>
The accompanying notes are an integral part of the financial statements.
59
<PAGE> 63
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
COSMETICS & TOILETRIES: 0.31% 0.26% 0.17%
Alberto-Culver Company, Class A 6,900 $ 276,000 13,400 $ 536,000 2,900 $ 116,000
Avon Products, Incorporated 4,400 198,550 15,200 685,900 3,200 144,400
CCA Industries, Incorporated* 12,500 55,469 28,400 126,025 6,300 27,956
Guest Supply, Incorporated* 10,500 157,500 19,050 285,750 4,500 67,500
---------- ---------- ----------
687,519 1,633,675 355,856
DOMESTIC OIL: 1.38% 1.01% 0.63%
Amerada Hess Corporation 10,900 584,512 22,100 1,185,113 4,900 262,762
Atlantic Richfield Company 6,200 734,700 15,600 1,848,600 3,000 355,500
Exxon Corporation 7,600 660,250 15,900 1,381,312 2,600 225,875
Kerr-McGee Corporation 1,400 85,225 ---- ---- 900 54,788
Unocal Corporation 28,400 958,500 55,500 1,873,125 13,000 438,750
---------- ---------- ----------
3,023,187 6,288,150 1,337,675
DRUGS & HEALTH CARE: 5.97% 3.83% 2.23%
Allergan, Incorporated 1,100 43,175 2,200 86,350 500 19,625
American Home Products Corporation 4,700 282,588 9,300 559,163 2,000 120,250
Amgen, Incorporated* 3,800 205,200 7,500 405,000 1,700 91,800
Astra AB 5,000 221,296 7,800 345,221 1,400 61,963
Baxter International, Incorporated 3,900 184,275 7,600 359,100 1,600 75,600
Biogen, Incorporated* 500 27,438 1,100 60,362 ---- ----
Bristol-Myers Squibb Company 19,000 1,710,000 29,500 2,655,000 6,300 567,000
Columbia/HCA-Healthcare Corporation 18,700 998,112 39,200 2,092,300 8,000 427,000
Cor Therapeutics, Incorporated* 8,100 92,138 15,600 177,450 4,300 48,912
Gehe AG 350 235,252 537 360,943 87 58,477
Genentech, Incorporated* 18,600 974,175 36,900 1,932,638 6,300 329,963
Glaxo Wellcome PLC, ADR 36,100 486,080 56,445 760,022 9,977 134,339
Health Management Association, Class A* 1,125 22,781 1,900 38,475 475 9,619
Health Systems International, Incorporated* 5,400 146,475 7,500 203,438 2,000 54,250
Healthsouth Corporation* 4,200 151,200 15,900 572,400 ---- ----
Johnson & Johnson 10,200 504,900 19,200 950,400 4,400 217,800
Lilly Eli & Company 2,100 136,500 2,200 143,000 1,100 71,500
Medtronic, Incorporated 1,200 67,200 ---- ---- 1,200 67,200
Merck & Company, Incorporated 16,100 1,040,462 31,000 2,003,375 6,900 445,912
Microfluidics International Corporation* ----- ----- 4,800 9,000 1,100 2,063
Nycomed ASA, Series A* 12,500 180,110 19,600 282,412 3,400 48,990
OY Tamro AB 23,350 140,152 24,000 144,054 4,500 27,010
Pfizer, Incorporated 5,100 364,013 11,000 785,125 2,400 171,300
Pharmacia & Upjohn, Incorporated 10,320 457,950 22,600 1,002,875 4,455 197,691
Protein Design Laboratories, Incorporated* 7,900 177,750 15,400 346,500 1,200 27,000
Sandoz AG 430 492,185 610 698,216 115 131,631
Sankyo Company 11,000 285,649 17,000 441,458 3,000 77,904
Sanofi 4,250 318,775 6,500 487,538 1,150 86,257
Schering AG 3,400 247,537 5,200 378,586 950 69,165
Schering-Plough Corporation 18,200 1,142,050 40,200 2,522,550 7,600 476,900
SmithKline Beecham PLC* 36,556 390,881 53,471 571,747 10,093 107,921
SmithKline Beecham PLC, ADR 4,200 228,375 13,600 739,500 1,800 97,875
Spacelabs, Incorporated* 2,800 65,100 6,100 141,825 1,900 44,175
St. Jude Medical, Incorporated* 4,950 165,825 15,200 509,200 3,900 130,650
Takeda Chemical Industries 18,000 319,298 28,000 496,685 5,000 88,694
Thermedics, Incorporated* 5,900 147,500 9,600 240,000 2,500 62,500
United Healthcare Corporation 3,900 196,950 2,900 146,450 1,700 85,850
</TABLE>
The accompanying notes are an integral part of the financial statements.
60
<PAGE> 64
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
DRUGS & HEALTH CARE - CONTINUED
U.S. Healthcare, Incorporated 2,400 $ 132,000 ---- ---- ---- ----
Yamanouchi Pharmaceutical 5,000 108,810 8,000 $ 174,096 1,000 $ 21,762
---------- ---------- ----------
13,090,157 23,822,454 4,756,548
ELECTRICAL EQUIPMENT: 1.94% 1.29% 0.75%
ABB AG 115 142,393 180 222,876 35 43,337
Alcatel Alsthom Cie Generale D'Electric 3,510 306,398 5,490 479,238 900 78,564
Atmel Corporation* 5,000 150,625 9,900 298,238 2,500 75,312
Boston Scientific Corporation* 2,600 117,000 5,200 234,000 1,600 72,000
Exide Corporation ---- ---- 700 16,975 ---- ----
FKI PLC 66,700 176,099 105,000 277,217 18,400 48,579
FLIR Systems, Incorporated* 4,500 55,125 16,900 207,025 3,800 46,550
General Electric Company 27,500 2,378,750 53,300 4,610,450 11,100 960,150
Hitachi 19,000 177,205 30,000 279,797 5,000 46,633
NEC Corporation 12,000 130,572 19,000 206,739 2,000 21,762
NipponDenso Company, Ltd. 10,000 217,620 14,000 304,668 1,000 21,762
Raychem Corporation 3,200 230,000 5,400 388,125 1,000 71,875
Sanmina Corporation* 5,100 137,700 11,800 318,600 3,000 81,000
Thermo Voltek Corporation* 1,900 36,575 9,700 186,725 1,500 28,875
---------- ---------- ----------
4,256,062 8,030,673 1,596,399
ELECTRIC UTILITIES: 1.03% 0.56% 0.30%
American Electric Power, Incorporated 1,300 55,413 4,900 208,863 300 12,788
CINergy Corporation 8,100 259,200 7,700 246,400 2,700 86,400
DPL, Incorporated 1,500 36,562 300 7,312 500 12,187
DQE 300 8,250 2,600 71,500 500 13,750
Entergy Corporation 13,000 368,875 25,500 723,563 5,400 153,225
Hafslund ASA, Series A* 12,500 90,536 11,700 84,742 2,100 15,210
Hong Kong Electric Holdings, Ltd. 38,500 117,378 66,500 202,744 10,500 32,012
Kansai Electric Power 6,000 137,704 9,000 206,556 2,000 45,901
Public Service Company of New Mexico 1,700 34,850 700 14,350 ---- ----
Scottish Power 38,800 183,184 60,500 285,634 7,800 36,826
Tohoku Electric Power, Incorporated 5,500 123,211 ---- ---- ---- ----
Tokyo Electric Power, Incorporated 10,100 256,737 20,700 526,183 2,900 73,716
VEBA AG 10,900 579,732 16,750 890,873 3,000 159,559
---------- ---------- ----------
2,251,632 3,468,720 641,574
ELECTRONICS: 2.18% 1.44% 0.94%
Adaptec, Incorporated* 800 37,900 1,500 71,063 ---- ----
Adflex Solutions, Incorporated* 2,100 23,100 4,800 52,800 2,200 24,200
AMP, Incorporated 3,000 120,375 8,000 321,000 3,000 120,375
Augat, Incorporated 6,400 122,400 9,900 189,337 ---- ----
Brightpoint, Incorporated* 2,000 43,000 ---- ---- ---- ----
DSC Communications Corporation* 1,700 51,213 3,500 105,438 800 24,100
Electronic Data Systems Corporation 17,600 946,000 29,900 1,607,125 8,400 451,500
Electronics For Imaging, Incorporated* 7,900 548,062 12,700 881,062 3,600 249,750
Glenayre Technologies, Incorporated* 4,800 240,000 9,350 467,500 1,950 97,500
Harris Corporation 1,200 73,200 3,400 207,400 ---- ----
Intel Corporation 18,700 1,373,281 31,000 2,276,563 7,600 558,125
Liberty Technologies, Incorporated* ---- ---- 17,500 100,625 3,900 22,425
Linear Technology Corporation ---- ---- 14,800 444,000 ---- ----
Maxim Integrated Products, Incorporated* 7,600 207,575 12,600 344,137 3,500 95,594
Motorola, Incorporated 2,800 176,050 5,900 370,963 1,600 100,600
Raytheon Company 3,400 175,525 10,200 526,575 ---- ----
</TABLE>
The accompanying notes are an integral part of the financial statements.
61
<PAGE> 65
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ELECTRONICS - CONTINUED
Rohm Company 3,000 $ 198,601 5,000 $ 331,002 1,000 $ 66,200
Scientific-Atlanta, Incorporated 16,800 260,400 32,600 505,300 6,300 97,650
Sequa Corporation, Class A* 2,200 94,875 ---- ---- 1,300 56,063
Unitrode Corporation* 3,300 63,938 4,500 87,187 1,100 21,312
Xilinx, Incorporated* 1,100 34,925 2,100 66,675 500 15,875
---------- ---------- ----------
4,790,420 8,955,752 2,001,269
FINANCIAL SERVICES: 3.70% 2.59% 1.49%
Acom Company 700 27,459 ---- ---- 400 15,691
Allstate Corporation 37,842 1,726,541 73,544 3,355,445 15,762 719,141
American Express Company 20,400 910,350 43,400 1,936,725 8,800 392,700
Astoria Financial Corporation 14,400 390,600 33,000 895,125 8,400 227,850
Beneficial Corporation 5,500 308,688 18,900 1,060,763 1,500 84,187
BHC Financial, Incorporated 2,900 40,600 15,000 210,000 1,000 14,000
Daiwa Securities 4,000 51,570 7,000 90,248 1,000 12,893
Development Securities PLC* 25,000 73,769 17,200 50,753 7,500 22,131
Federal Home Loan Mortgage Corporation 2,500 213,750 7,900 675,450 1,100 94,050
Federal National Mortgage Association 51,300 1,718,550 89,700 3,004,950 20,200 676,700
Fleet Financial Group, Incorporated 11,498 500,163 22,445 976,358 5,059 220,067
Household International, Incorporated 5,900 448,400 13,400 1,018,400 1,900 144,400
Internationale Nederlanden Groep NV* 12,255 365,746 19,260 574,808 3,122 93,175
Jefferies Group, Incorporated 4,800 148,800 8,600 266,600 2,200 68,200
Legg Mason, Incorporated 10,700 345,075 16,200 522,450 3,000 96,750
Long Island Bancorp, Incorporated 3,000 91,688 500 15,281 300 9,169
Nikko Securities 27,000 303,662 38,000 427,376 7,000 78,727
Peoples Heritage Financial Group ---- ---- 12,200 248,575 2,100 42,787
Tab Corporation Holdings, Ltd. 29,200 131,945 33,100 149,568 8,100 36,601
Travelers Group, Incorporated 6,899 314,767 13,399 611,329 2,899 132,267
---------- ---------- ----------
8,112,123 16,090,204 3,181,486
FOOD & BEVERAGES: 3.55% 2.50% 1.58%
Archer-Daniels-Midland Company 4,017 76,825 14,730 281,711 3,082 58,943
Bass 9,100 114,262 14,000 175,788 2,600 32,646
Celestial Seasonings, Incorporated* ---- ---- 2,900 59,450 1,600 32,800
The Coca Cola Company 1,500 73,313 10,500 513,188 2,800 136,850
Dekalb Genetics Corporation, Class B 11,800 306,800 27,700 720,200 5,900 153,400
Dole Food Company, Incorporated 7,000 301,000 11,300 485,900 2,600 111,800
Earthgrains Company 36 1,179 ---- ---- 52 1,703
General Mills, Incorporated 2,400 130,800 ---- ---- ---- ----
Goodmark Foods, Incorporated 4,600 65,550 11,600 165,300 2,600 37,050
Grand Metropolitan 14,000 92,841 20,000 132,629 3,500 23,210
Heineken NV 950 212,448 1,500 335,444 250 55,907
Kellogg Company 10,400 761,800 20,700 1,516,275 4,600 336,950
Nabisco Holdings Corporation, Class A 5,800 205,175 6,000 212,250 6,100 215,788
Nestle SA 290 331,475 465 531,503 89 101,729
Nippon Meat Packer 10,000 142,642 15,000 213,962 3,000 42,792
PepsiCo, Incorporated 74,900 2,649,588 145,900 5,161,213 30,900 1,093,087
Pioneer Hi Bred International, Incorporated 3,700 195,637 6,800 359,550 1,600 84,600
Ralcorp Holdings, Incorporated* 15,266 314,861 51,800 1,068,375 7,800 160,875
Ralston Purina Company 16,500 1,058,062 36,600 2,346,975 7,200 461,700
Southcorp Holdings, Ltd. 27,400 67,827 42,900 106,197 7,600 18,813
Tabacalera SA 7,550 380,434 10,800 544,197 2,350 118,413
Tyson Foods, Incorporated, Class A 11,300 309,338 22,000 602,250 3,300 90,338
---------- ---------- ----------
7,791,857 15,532,357 3,369,394
</TABLE>
The accompanying notes are an integral part of the financial statements.
62
<PAGE> 66
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
FOREST PRODUCTS: 0.08% 0.04% 0.02%
Georgia-Pacific Corporation 1,400 $ 99,400 2,700 $ 191,700 600 $ 42,600
Weyerhaeuser Company 1,200 51,000 ---- ---- ---- ----
Wickes Lumber Company* 4,600 22,425 7,300 35,588 1,800 8,775
---------- ---------- ----------
172,825 227,288 51,375
GAS & PIPELINE UTILITIES: 1.03% 0.74% 0.50%
British Gas PLC* 26,000 72,278 38,000 105,638 6,500 18,070
Coastal Corporation 3,700 154,475 ---- ---- ---- ----
Eastern Enterprises 4,300 142,975 15,900 528,675 2,900 96,425
Enron Corporation 16,700 682,613 35,200 1,438,800 8,000 327,000
MCN Corporation 8,800 214,500 16,000 390,000 4,600 112,125
Pacific Enterprises 13,800 408,825 34,700 1,027,987 5,900 174,787
Piedmont National Gas, Incorporated 7,900 182,688 14,200 328,375 3,200 74,000
Questar Corporation 4,100 139,400 12,900 438,600 6,100 207,400
UGI Corporation 11,600 255,200 16,700 367,400 2,400 52,800
---------- ---------- ----------
2,252,954 4,625,475 1,062,607
GOLD: 0.52% 0.29% 0.23%
Barrick Gold Corporation 15,900 431,288 22,700 615,738 6,500 176,312
Kinross Gold Corporation* 12,100 90,750 ---- ---- ---- ----
Newmont Mining Corporation 12,400 612,250 24,000 1,185,000 5,900 291,313
---------- ---------- ----------
1,134,288 1,800,738 467,625
HOMEBUILDERS: 0.35% 0.20% 0.12%
Beazer Homes USA, Incorporated* 3,500 56,000 ---- ---- ---- ----
Daiwa House Industry Company, Ltd. 7,000 108,810 11,000 170,987 2,000 31,089
Lennar Corporation 3,700 92,500 10,100 252,500 2,200 55,000
Pulte Corporation 6,700 179,225 12,800 342,400 3,000 80,250
Shimizu Corporation* 30,000 331,916 46,000 508,938 9,000 99,575
---------- ---------- ----------
768,451 1,274,825 265,914
HOTELS & RESTAURANTS: 0.52% 0.41% 0.28%
HFS, Incorporated* ---- ---- 7,300 511,000 ---- ----
Hilton Hotels Corporation 4,500 506,250 5,400 607,500 1,900 213,750
La Quinta Inns, Incorporated 4,950 165,825 9,900 331,650 2,850 95,475
McDonald's Corporation 6,800 317,900 15,700 733,975 3,900 182,325
Mirage Resorts, Incorporated* 1,400 75,600 3,100 167,400 700 37,800
Promus Hotel Corporation* ---- ---- 1,550 45,919 350 10,369
Quick Restaurants 800 79,229 1,250 123,796 500 49,518
---------- ---------- ----------
1,144,804 2,521,240 589,237
HOUSEHOLD APPLIANCES FURNISHING: 0.72% 0.43% 0.25%
Fedders USA, Incorporated 10,000 71,250 23,800 169,575 ---- ----
Matsushita Electronic Industries 31,000 578,247 51,000 951,310 10,000 186,531
Sony Corporation 8,100 534,001 12,700 837,261 2,200 145,037
Thorn EMI PLC 8,959 249,611 14,093 392,652 2,516 70,099
Toro Company 4,400 145,750 10,500 347,812 4,200 139,125
---------- ---------- ----------
1,578,859 2,698,610 540,792
HOUSEHOLD PRODUCTS: 0.43% 0.22% 0.12%
Cultor Oy, Series I* 3,650 178,891 5,750 281,814 800 39,209
Procter & Gamble Company 2,900 262,812 2,700 244,687 500 45,313
Stanhome, Incorporated 2,500 66,250 7,100 188,150 2,600 68,900
</TABLE>
The accompanying notes are an integral part of the financial statements.
63
<PAGE> 67
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
HOUSEHOLD PRODUCTS - CONTINUED
Unilever PLC 11,900 $ 236,558 18,600 $ 369,747 3,300 $ 65,600
Unilever NV 1,350 195,515 1,800 260,686 200 28,965
---------- ---------- ----------
940,026 1,345,084 247,987
INDUSTRIAL MACHINERY: 1.36% 0.91% 0.53%
AES Corporation* 33,200 937,900 68,200 1,926,650 15,500 437,875
Autoliv AB* 8,200 250,208 12,000 366,158 2,200 67,129
Bearings, Incorporated ---- ---- ---- ---- 150 4,050
Bekaert SA 50 40,333 100 80,667 ---- ----
Ingersoll Rand Company 6,000 262,500 13,400 586,250 3,100 135,625
Komatsu, Ltd. 32,000 316,006 51,000 503,635 9,000 88,877
Mannesmann AG 550 190,266 900 311,345 100 34,594
Memtec, Ltd., ADR* 13,800 507,150 29,700 1,091,475 4,900 180,075
Park Ohio Industries, Incorporated* 3,600 69,750 5,600 108,500 1,000 19,375
T & N PLC* 82,800 180,028 129,600 281,783 23,000 50,008
Thermo Electron Corporation* 3,825 159,216 6,075 252,872 1,950 81,169
TSI, Incorporated 3,900 74,100 7,200 136,800 1,200 22,800
---------- ---------- ----------
2,987,457 5,646,135 1,121,577
INSURANCE: 2.49% 1.57% 0.90%
Alexander & Alexander Services, Incorporated ---- ---- 7,100 140,225 ---- ----
American International Group, Incorporated 3,600 355,050 ---- ---- ---- ----
AXA 5,864 319,796 8,763 477,864 1,605 87,547
Baloise Holdings 55 119,661 85 184,930 15 32,635
W.R. Berkley Corporation 5,600 233,800 13,900 580,325 1,700 70,975
Chubb Corporation 8,600 428,925 18,400 917,700 5,200 259,350
Cincinnati Financial Corporation 897 51,465 1,916 109,931 441 25,302
Dai Tokyo Fire & Marine 23,000 173,502 37,000 279,111 7,000 52,805
Equitable of Iowa Companies, Incorporated 2,500 88,750 ---- ---- 1,000 24,875
Frontier Insurance Group, Incorporated 4,290 148,005 11,440 394,680 2,090 72,105
General Re Corporation 4,400 669,900 10,100 1,537,725 1,800 274,050
Gryphon Holdings, Incorporated* 3,300 49,500 7,100 106,500 1,500 22,500
Harleysville Group, Incorporated 3,500 103,250 7,300 215,350 2,000 59,000
Horace Mann Educators Corporation 7,800 247,650 14,100 447,675 3,500 111,125
Istituto Nazionale della Assicurazioni ---- ---- ---- ---- 16,800 25,070
MBIA, Incorporated 3,700 288,138 7,300 568,488 1,900 147,963
Pohjola 10,300 174,573 16,150 273,723 2,850 48,304
Providian Corporation 1,400 60,025 2,800 120,050 600 25,725
Prudential Corporation 34,084 214,909 53,293 336,032 9,423 59,415
Royal Insurance 28,081 173,353 44,038 271,861 7,831 48,343
Schweiz Ruckversicherungs* 130 133,619 175 179,871 ---- ----
Selective Insurance Group, Incorporated 6,700 217,750 14,000 455,000 3,100 100,750
Skandia Foersaekrings AB 16,500 437,418 27,700 734,332 4,500 119,296
Sumitomo Marine & Fire 41,000 358,021 64,000 558,862 11,000 96,054
Tokio Marine & Fire 11,000 146,848 19,000 253,646 3,000 40,049
Triad Guaranty, Incorporated* 7,200 264,600 16,300 599,025 3,300 121,275
---------- ---------- ----------
5,458,508 9,742,906 1,924,513
INTERNATIONAL OIL: 0.44% 0.31% 0.14%
British Petroleum Company PLC 56,100 492,258 93,200 817,798 16,400 143,904
British Petroleum Company PLC, ADR 300 32,063 3,300 352,688 500 53,438
Enterprise Oil PLC* 21,300 152,166 33,300 237,894 5,900 42,149
Royal Dutch Petroleum Company 1,900 292,125 3,400 522,750 400 61,500
---------- ---------- ----------
968,612 1,931,130 300,991
</TABLE>
The accompanying notes are an integral part of the financial statements.
64
<PAGE> 68
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT COMPANIES: 0.42% 0.28% 0.18%
Eaton Vance Corporation ---- ---- ---- ---- 600 $ 21,750
Inter-Regional Financial Group, Incorporated 5,400 $ 140,400 8,100 $ 210,600 1,950 50,700
McDonald Company Investments,
Incorporated 2,400 47,400 5,400 106,650 800 15,800
Morgan Keegan, Incorporated ---- ---- 15,950 211,337 1,800 23,850
Morgan Stanley Group, Incorporated 1,200 58,950 600 29,475 1,000 49,125
Nomura Securities Company, Ltd. 20,000 391,350 31,000 606,593 5,000 97,838
Piper Jaffray Companies, Incorporated 9,800 122,500 21,200 265,000 4,600 57,500
Waterhouse Investors Services, Incorporated 4,575 169,847 8,575 318,347 2,025 75,178
---------- ---------- ----------
930,447 1,748,002 391,741
LEISURE TIME: 0.95% 0.56% 0.30%
Children's Discovery Centers of America,
Incorporated* 3,700 24,975 9,200 62,100 2,100 14,175
The Walt Disney Company 11,119 699,107 19,434 1,221,913 4,009 252,066
Donnelly Corporation ---- ---- 300 4,800 100 1,600
Genting BHD 10,000 78,172 17,000 132,892 3,000 23,452
Granada Group PLC* 19,200 256,885 34,700 464,265 5,300 70,911
Kuoni Reisen Holding, Series B 175 401,736 275 631,299 50 114,782
Movie Gallery, Incorporated* 2,800 58,800 10,200 214,200 ---- ----
Renaissance Communication Corporation* 3,500 112,875 ---- ---- ---- ----
Resorts World BHD 13,000 74,524 23,000 131,850 6,000 34,396
Salomon SA 245 224,109 350 320,155 70 64,031
Sodak Gaming, Incorporated* 4,800 146,400 9,400 286,700 2,100 64,050
---------- ---------- ----------
2,077,583 3,470,174 639,463
MINING: 0.33% 0.22% 0.09%
Addington Resources, Incorporated* 8,600 215,000 9,200 230,000 1,900 47,500
Canyon Resources Corporation* ---- ---- 48,200 132,550 ---- ----
Cookson Group 38,643 169,842 60,436 265,623 10,794 47,441
Inco, Ltd. ---- ---- 100 3,225 ---- ----
Inco, Ltd. - CAD 10,700 343,265 23,800 763,524 3,200 102,659
---------- ---------- ----------
728,107 1,394,922 197,600
NEWSPAPERS: 0.27% 0.18% 0.10%
Independent News* 48,240 224,755 75,393 351,264 13,324 62,077
The E.W. Scripps Company, Class A 5,700 265,763 8,500 396,313 1,600 74,600
Times Mirror Company 2,500 108,750 8,600 374,100 1,600 69,600
---------- ---------- ----------
599,268 1,121,677 206,277
NON-FERROUS METALS: 0.22% 0.12% 0.06%
Imco Recycling, Incorporated 7,100 127,800 10,200 183,600 2,000 36,000
IMI PLC 25,600 140,544 40,200 220,697 7,100 38,979
WMC, Ltd. 31,000 221,689 48,400 346,122 7,600 54,350
---------- ---------- ----------
490,033 750,419 129,329
OTHER UTILITIES: 0.07% 0.04% 0.02%
United Utilities PLC 17,570 147,758 27,422 230,610 4,875 40,997
---------- ---------- ----------
PAPER: 0.42% 0.27% 0.15%
Alco Standard Corporation 900 40,725 1,900 85,975 400 18,100
Boise Cascade Corporation 7,300 267,363 13,100 479,788 1,700 62,262
Champion International Corporation 1,500 62,625 2,900 121,075 700 29,225
Daishowa Paper Manufacturing Company* 27,000 208,613 40,000 309,057 7,000 54,085
Fort Howard Paper Corporation* ---- ---- 1,300 25,838 ---- ----
Kimberly Clark Corporation 4,000 309,000 7,900 610,275 1,600 123,600
</TABLE>
The accompanying notes are an integral part of the financial statements.
65
<PAGE> 69
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
PAPER - CONTINUED
Mosinee Paper Corporation 166 $ 4,440 ---- ---- ---- ----
Wausau Paper Mills Company 2,000 39,500 ---- ---- ---- ----
Westvaco Corporation ---- ---- 2,350 $ 70,206 ---- ----
Willamette Industries, Incorporated ---- ---- ---- 400 $ 23,800
---------- ---------- ----------
932,266 1,702,214 311,072
PETROLEUM & NATURAL GAS: 0.39% 0.20% 0.13%
Anadarko Petroleum Corporation 9,800 568,400 5,200 301,600 1,100 63,800
Burlington Resources, Incorporated 2,300 98,900 6,300 270,900 1,200 51,600
Chesapeake Energy Corporation* 300 26,962 500 44,937 ---- ----
ENI SPA* 30,000 149,780 49,200 245,639 7,800 38,943
Newfield Exploration Company* ---- ---- 600 23,325 ---- ----
Occidental Petroleum Corporation ---- ---- 7,000 173,250 4,900 121,275
Santa Fe Energy Resources, Incorporated* ---- ---- 14,400 171,000 ---- ----
---------- ---------- ----------
844,042 1,230,651 275,618
PETROLEUM SERVICES: 1.81% 1.22% 0.72%
Broken Hill Proprietary Company, Ltd. 4,040 55,782 9,491 131,047 1,066 14,719
Dresser Industries, Incorporated 6,600 194,700 11,300 333,350 3,100 91,450
Halliburton Company 7,800 432,900 16,700 926,850 3,900 216,450
Norsk Hydro AS 3,500 171,519 5,000 245,026 900 44,105
Royal Dutch Petrol 1,000 154,559 2,000 309,118 500 77,279
Schlumberger, Ltd. 20,300 1,710,275 42,300 3,563,775 8,500 716,125
Total SA, B Shares 7,777 577,272 12,090 897,419 2,000 148,456
Total SA, ADR 7,400 274,725 18,900 701,662 4,000 148,500
Western Atlas, Incorporated* 7,000 407,750 7,900 460,175 1,500 87,375
---------- ---------- ----------
3,979,482 7,568,422 1,544,459
PHOTOGRAPHY: 0.43% 0.23% 0.12%
Canon, Incorporated 14,000 291,867 22,000 458,648 4,000 83,390
Fuji Photo Film Company 11,000 348,009 16,000 506,195 3,000 94,912
Konica Corporation 41,000 309,660 64,000 483,372 11,000 83,080
---------- ---------- ----------
949,536 1,448,215 261,382
POLLUTION CONTROL: 0.17% 0.23% 0.13%
Sanifill, Incorporated* 2,500 123,125 4,500 221,625 1,400 68,950
TETRA Technologies, Incorporated* 14,300 248,463 29,600 514,300 7,300 126,838
United Waste Systems, Incorporated* ---- ---- 21,600 696,600 2,600 83,850
---------- ---------- ----------
371,588 1,432,525 279,638
PUBLISHING: 0.51% 0.28% 0.19%
Hollinger International, Incorporated 24,200 275,275 45,800 520,975 9,700 110,338
Meredith Corporation 6,300 263,025 7,800 325,650 3,300 137,775
Reuters Holdings 26,400 319,391 41,400 500,863 7,300 88,317
Singapore Press Holdings, Ltd. 4,000 78,526 6,000 117,789 1,000 19,631
Ver Ned Uitgevers* 11,800 183,348 18,500 287,452 3,200 49,721
---------- ---------- ----------
1,119,565 1,752,729 405,782
RAILROADS & EQUIPMENT: 0.69% 0.51% 0.37%
Burlington Northern Santa Fe 8,200 663,175 15,200 1,229,300 3,800 307,325
CSX Corporation 17,600 849,200 39,600 1,910,700 9,800 472,850
Wisconsin Central Transportation Corporation* 300 9,750 500 16,250 ---- ----
---------- ---------- ----------
1,522,125 3,156,250 780,175
</TABLE>
The accompanying notes are an integral part of the financial statements.
66
<PAGE> 70
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
REAL ESTATE: 0.74% 0.41% 0.22%
Cheung Kong Holdings 49,000 $ 352,903 84,000 $ 604,976 14,000 $ 100,829
Mitsubishi Estate 24,000 331,367 37,000 510,858 7,000 96,649
New World Development Company 41,274 191,417 67,069 311,049 13,274 61,561
Perpetual 3,100 113,127 4,800 175,164 900 32,843
Sun Hung Kai Properties 47,000 475,112 72,000 727,832 13,000 131,414
Tokyo Tatemono Company* 25,000 162,072 35,000 226,901 6,000 38,897
---------- ---------- ----------
1,625,998 2,556,780 462,193
RETAIL GROCERY: 0.11% 0.12% 0.05%
Giant Foods, Incorporated, Class A 6,900 247,538 20,500 735,438 2,900 104,037
---------- ---------- ----------
RETAIL TRADE: 3.05% 1.99% 1.21%
Amway Japan, Ltd. 3,000 150,871 6,000 301,742 1,000 50,290
Argyll Group 33,224 179,045 51,963 280,030 9,217 49,671
AutoZone, Incorporated* 9,700 337,075 9,500 330,125 4,500 156,375
Boots Company 21,900 196,927 34,200 307,529 3,900 35,069
Burton Group PLC* 66,300 159,598 103,700 249,627 18,300 44,052
Consolidated Stores Corporation* 5,000 183,750 7,700 282,975 2,100 77,175
Cygne Designs, Incorporated* ---- ---- ---- ---- 900 984
Delhaize Le Lion 450 22,643 650 32,706 ---- ----
Federated Department Stores, Incorporated* 4,200 143,325 7,300 249,113 800 27,300
Friedman's, Incorporated, Class A* 5,500 140,250 23,300 594,150 3,200 81,600
Haverty Furniture Companies, Incorporated 5,600 57,400 ---- ---- ---- ----
Home Depot, Incorporated 21,300 1,150,200 31,600 1,706,400 6,600 356,400
Ito Yokado Company 2,000 120,880 3,000 181,319 1,000 60,440
Kingfisher 5,400 54,218 8,500 85,343 1,500 15,061
Leslie's Poolmart* 9,450 163,013 21,315 367,684 5,250 90,562
Lillian Vernon Corporation 4,500 57,375 10,500 133,875 2,500 31,875
Lowes Companies, Incorporated 23,600 852,550 52,800 1,907,400 11,400 411,825
Melville Corporation ----- ----- 2,000 81,000 ---- ----
Mitsubishi Corporation 13,000 171,170 20,000 263,338 4,000 52,668
Nine West Group, Incorporated* 6,000 306,750 11,800 603,275 2,600 132,925
Old American Stores, Incorporated* 5,600 42,700 12,300 93,788 3,400 25,925
Proffitts, Incorporated* 3,626 128,723 5,390 191,345 490 17,395
Sears Roebuck & Company 21,700 1,055,162 50,300 2,445,838 9,800 476,525
Shimachu Company 6,000 178,302 10,000 297,170 2,000 59,434
Storehouse 21,500 106,577 33,600 166,559 5,900 29,247
Takashimaya Company 15,000 233,164 23,000 357,518 4,000 62,177
Wal-Mart Stores, Incorporated 19,700 499,887 33,700 855,138 9,200 233,450
---------- ---------- ----------
6,691,555 12,364,987 2,578,425
SAVINGS & LOAN: 0.09% 0.06% 0.04%
Commercial Federal Corporation 5,300 202,725 9,700 371,025 2,100 80,325
---------- ---------- ----------
SHIPBUILDING: 0.13% 0.05% 0.08%
Anangel American Shipholdings, Ltd., ADR 5,000 48,750 7,700 75,075 2,700 26,325
Avondale Industries, Incorporated* ---- ---- ---- ---- 3,700 66,600
West Marine, Incorporated* 3,300 235,950 3,200 228,800 1,000 71,500
---------- ---------- ----------
284,700 303,875 164,425
SOFTWARE: 1.10% 0.69% 0.51%
HBO & Company ---- ---- ---- ---- 600 40,650
Mercury Interactive Corporation* 8,100 111,375 13,500 185,625 3,100 42,625
Micro Focus Group, Incorporated PLC, ADR* 4,300 53,750 ---- ---- 9,700 121,250
Microsoft Corporation* 9,100 1,093,138 18,100 2,174,263 3,900 468,488
</TABLE>
The accompanying notes are an integral part of the financial statements.
67
<PAGE> 71
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
SOFTWARE - CONTINUED
Oracle Systems Corporation* 21,000 $ 828,187 42,300 $1,668,206 9,025 $ 355,923
Policy Management Systems Corporation* 3,100 155,000 700 35,000 400 20,000
TT Tieto OY 3,400 162,967 5,350 256,434 950 45,535
---------- ---------- ----------
2,404,417 4,319,528 1,094,471
STEEL: 0.54% 0.32% 0.16%
Huntco, Incorporated, Class A 3,700 68,450 7,400 136,900 500 9,250
Kawasaki Steel Corporation 68,000 245,600 115,000 415,352 20,000 72,235
Kobe Steel, Ltd.* 109,000 313,949 171,000 492,525 30,000 86,408
Kurimoto 13,000 150,962 24,000 278,700 4,000 46,450
Nippon Steel Corporation 44,000 151,273 70,000 240,662 14,000 48,132
Sumitomo Metal Industry 86,000 264,216 140,000 430,119 24,000 73,735
---------- ---------- ----------
1,194,450 1,994,258 336,210
TELECOMMUNICATION SERVICES: 0.69% 0.36% 0.28%
Arch Communications Group, Incorporated* 3,700 68,913 3,600 67,050 600 11,175
Ascend Communications, Incorporated* 5,900 331,875 10,200 573,750 2,500 140,625
Echostar Communications Corporation* 2,925 82,631 8,910 251,708 ---- ----
Heartland Wireless Communications,
Incorporated* 12,200 289,750 ---- ---- 500 11,875
Palmer Wireless, Incorporated* 3,400 68,000 ---- ---- 1,800 36,000
SBC Communications, Incorporated 8,800 433,400 17,200 847,100 3,800 187,150
Tele-Communications, Incorporated, Series A* 9,100 164,937 25,200 456,750 6,500 117,812
United States Cellular Corporation* 2,900 89,900 700 21,700 2,700 83,700
---------- ---------- ----------
1,529,406 2,218,058 588,337
TELEPHONE: 4.15% 2.60% 1.52%
360 Communications Company* 21,700 520,800 18,400 441,600 3,300 79,200
AirTouch Communications, Incorporated* 53,400 1,508,550 111,000 3,135,750 21,200 598,900
Ameritech Corporation 8,100 480,938 15,600 926,250 3,300 195,938
American Telephone & Telegraph
Corporation 30,800 1,909,600 61,300 3,800,600 12,700 787,400
Bell Atlantic Corporation 6,700 427,125 12,400 790,500 2,900 184,875
Bellsouth Corporation 14,400 610,200 28,100 1,190,738 6,000 254,250
British Telecommunication 51,400 276,198 80,500 432,567 14,200 76,304
Cincinnati Bell, Incorporated ---- ---- ---- ---- 900 46,912
DDI Corporation 30 262,241 40 349,655 10 87,414
Frontier Corporation 15,200 465,500 18,100 554,313 3,700 113,313
GTE Corporation 6,000 268,500 4,700 210,325 1,900 85,025
Koninklijke PTT Nederland NV 1,700 64,392 3,000 113,632 450 17,045
NYNEX Corporation 16,700 793,250 33,800 1,605,500 6,200 294,500
Pacific Telesis Group 1,700 57,375 4,100 138,375 ---- ----
STET 159,000 417,943 250,000 657,143 40,000 105,143
Tele Danmark AS, Series B 1,425 71,755 2,225 112,038 375 18,883
Telecom Corporation of New Zealand 8,400 35,368 13,200 55,579 2,300 9,684
Telecom Italia Mobile RISP* 61,400 137,336 137,500 187,673 17,100 38,248
Telecom Italia Mobile SPA* 91,000 124,206 98,300 219,871 18,000 24,568
Telefonica de Espana SA* 12,600 232,303 19,700 363,205 3,150 58,076
Telekom Malaysia 6,000 53,397 11,000 97,895 2,000 17,799
VodaFone Group 68,518 254,854 107,234 398,859 18,945 70,466
WorldCom, Incorporated* 2,600 143,975 7,400 409,775 1,300 71,988
---------- ---------- ----------
9,115,806 16,191,843 3,235,931
TIRES & RUBBER: 0.22% 0.12% 0.06%
Bridgestone Corporation 25,000 477,758 39,000 745,302 7,000 133,772
---------- ---------- ----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
68
<PAGE> 72
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------ -------------------------
Shares Value Shares Value Shares Value
----------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
TOBACCO: 1.46% 0.99% 0.61%
B.A.T. Industries PLC 34,600 $ 269,213 54,100 $ 420,936 9,600 $ 74,695
Philip Morris Companies, Incorporated 27,100 2,818,400 51,300 5,335,200 11,200 1,164,800
RJR Nabisco Holdings Corporation 3,900 120,900 12,600 390,600 2,100 65,100
------------ ------------ -----------
3,208,513 6,146,736 1,304,595
TRUCKING & FREIGHT: 0.54% 0.31% 0.22%
Fukuyama Transport 19,000 184,154 30,000 290,769 5,000 48,462
J.B. Hunt Transport Services, Incorporated 12,100 252,588 20,000 417,500 11,300 235,887
ICB Shipping 24,000 290,026 30,800 372,200 4,500 54,380
Kirby Corporation* 400 6,750 5,200 87,750 ---- ----
Landstar Systems, Incorporated* 5,200 150,800 7,900 229,100 1,900 55,100
New World Infrastructure, Ltd.* 31,066 66,219 48,108 102,545 8,011 17,076
Pittston Services Group ---- ---- 1,200 34,950 ---- ----
U.S. Freightways Corporation 2,000 39,000 3,000 58,500 ---- ----
Yamato Transport 17,000 200,521 30,000 353,861 5,000 58,977
------------ ------------ -----------
1,190,058 1,947,175 469,882
TOTAL COMMON STOCK (COST:
$124,969,792, $225,418,187 and
$45,668,249, respectively) $150,081,097 $274,317,627 $55,728,827
------------ ------------ -----------
PREFERRED STOCK: 0.53% 0.46% 0.03%
AUTOMOBILES: 0.09% 0.05% 0.02%
Volkswagen AG 750 205,936 1,100 302,039 200 54,916
------- ------- ------
BANKING: 0.02% 0.01% 0.01%
Creditanstalt Bank 800 40,544 1,340 67,911 230 11,656
------ ------ ------
BROADCASTING: 0.06% 0.06%
Cablevision Systems Corporation, Series L* 1,318 123,563 3,752 351,750 ---- ----
------- -------
FINANCIAL SERVICES: 0.00% 0.00%
S D Warren Company 169 5,281 558 17,437 ---- ----
----- ------
PUBLISHING: 0.09% 0.09%
Time Warner, Incorporated* 210 205,800 600 588,000 ---- ----
------- -------
TELECOMMUNICATION SERVICES: 0.26% 0.25%
Cablevision Systems Corporation* 2,334 225,815 7,004 677,637
Panamsat Corporation* 309 350,715 746 846,710 ---- ----
------- -------
576,530 1,524,347
TOTAL PREFERRED STOCK
(COST: $1,104,213, $2,723,335
and $66,579, respectively) $1,157,654 $2,851,484 $66,572
---------- ---------- -------
WARRANTS: * 0.00% 0.00% 0.00%
BANKING: 0.00% 0.00% 0.00%
Schweizerischer Bankverein 40 131 100 328 15 49
--- --- --
BUSINESS SERVICES: 0.00% 0.00%
Protection One, Incorporated 960 9,600 3,200 32,000 ---- ----
----- ------
INDUSTRIAL MACHINERY: 0.00% 0.00%
MVE Holding, Incorporated 80 2,400 80 2,400 ---- ----
----- -----
MISCELLANEOUS: 0.00% 0.00%
SDW Holdings Corporation 169 423 558 1,395 ---- ----
--- -----
TOTAL WARRANTS (COST: $1,726,
$4,351 and $0, respectively) $ 12,554 $ 36,123 $ 49
---------- ---------- -------
</TABLE>
The accompanying notes are an integral part of the financial statements.
69
<PAGE> 73
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - continued
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------ --------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
U.S GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS: 6.54% 16.02% 19.30%
FEDERAL FARM CREDIT BANKS: 0.04% 0.22% 0.27%
6.20% due 09/23/02 $ 100,000 $ 97,359 $ 720,000 $ 700,985 $ 300,000 $ 292,077
6.40% due 10/03/02 -- -- 230,000 225,616 100,000 98,094
6.56% due 08/05/02 -- -- 440,000 435,807 190,000 188,189
----------- ----------- -----------
97,359 1,362,408 578,360
N BANKS: 0.15% 0.42% 0.55%
5.44% due 10/15/03 165,000 151,851 -- -- 560,000 515,374
7.59% due 03/10/05 30,000 31,223 280,000 291,418 120,000 124,894
9.50% due 02/25/04 130,000 150,150 2,000,000 2,310,000 470,000 542,850
----------- ----------- -----------
333,224 2,601,418 1,183,118
FEDERAL HOME LOAN MORTGAGE CORPORATION: 0.04% 1.39% 2.29%
6.50% due 07/01/06 -- -- -- -- 70,391 70,270
7.50% due 06/01/07 42,858 43,397 -- -- -- --
8.00% due 04/01/23 - 08/01/24 -- -- 3,321,501 3,050,839 1,568,783 1,587,829
9.50% due 09/01/16 - 12/01/22 38,779 41,606 5,226,463 5,583,954 3,014,682 3,222,002
----------- ----------- -----------
85,003 8,634,793 4,880,101
FEDERAL NATIONAL MORTGAGE ASSOCIATION: 4.46% 9.57% 11.01%
6.00% due 12/01/08 - 05/01/11 3,745,331 3,546,055 18,298,911 17,348,857 7,945,898 7,534,996
6.50% due 09/01/07 - 05/01/26 3,025,776 2,917,422 14,485,441 13,765,468 5,554,724 5,299,011
7.00% due 05/01/24 - 12/01/25 755,007 726,219 2,930,343 2,818,620 1,168,685 1,124,123
7.49% due 03/02/05 60,000 61,978 470,000 485,496 200,000 206,594
7.50% due 11/01/06 - 07/01/26 929,135 917,459 18,363,687 18,128,730 5,617,786 5,545,303
7.71% due 04/25/06 - REMIC 438,379 446,051 3,019,945 3,072,794 1,217,720 1,239,030
8.00% due 12/01/19 - 12/01/25 919,451 926,978 3,032,078 3,055,733 1,507,222 1,518,526
8.50% due 11/01/08 - 06/01/24 -- -- 820,304 847,950 1,006,361 1,036,825
8.75% due 08/01/09 241,969 251,222 -- -- -- --
9.00% due 10/01/05 2,373 2,464 -- -- -- --
----------- ----------- -----------
9,795,848 59,523,648 23,504,408
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION: 1.30% 3.18% 3.70%
6.50% due 06/15/23 - 07/15/24 755,628 708,195 3,234,678 3,030,310 870,776 816,353
7.50% due 10/15/22 - 10/15/23 1,400,134 1,386,376 4,884,315 4,836,962 2,414,135 2,390,003
8.00% due 04/15/25 - 03/15/26 144,442 145,706 1,198,467 1,209,205 417,841 421,497
9.00% due 11/15/14 - 08/15/25 319,386 334,753 9,118,418 9,560,815 4,061,142 4,260,476
9.50% due 07/15/17 - 09/15/21 266,355 285,872 1,090,218 1,170,498 --
----------- ----------- -----------
2,860,902 19,807,790 7,888,329
GUARANTEED: 0.55% 1.24% 1.56%
Government Backed Trust,
9.625% due 05/15/02 40,000 42,836 240,000 257,016 100,000 107,090
Government Loan Trust,
7.75% due 04/01/98 30,080 30,529 187,315 190,111 72,465 73,547
8.50% due 04/01/06 310,000 335,178 1,810,000 1,957,008 720,000 778,478
Government Trust Certificates,
9.25% due 11/15/01 216,000 230,699 1,443,000 1,541,196 685,000 731,614
9.40% due 05/15/02 320,000 343,078 2,020,000 2,165,682 890,000 954,187
</TABLE>
The accompanying notes are an integral part of the financial statements.
70
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - Unaudited (continued)
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
GUARANTEED - CONTINUED
Guaranteed Export Trust,
5.20% due 10/15/04 26,444 $ 25,045 $ 240,267 $ 227,552 $ 106,533 $ 100,896
5.23% due 05/15/05 45,957 43,542 413,617 391,881 183,830 174,169
6.61% due 09/15/99 19,124 19,264 140,245 141,270 57,373 57,792
8.187% due 12/15/04 39,793 41,610 302,426 316,235 127,337 133,152
Guaranteed Trade Trust,
7.02% due 09/01/04 68,000 68,114 399,500 400,170 161,500 161,771
7.39% due 06/26/06 16,667 17,075 116,667 119,524 50,000 51,224
----------- ----------- -----------
1,196,970 7,707,645 3,323,920
TOTAL U.S. GOVERNMENT AGENCY AND
MORTGAGE-BACKED OBLIGATIONS
(Cost: $14,383,452, $100,295,255 and
$41,678,139, respectively) $14,369,306 $99,637,702 $41,358,236
----------- ----------- -----------
U.S. TREASURY OBLIGATIONS: 7.38% 15.26% 27.16%
U.S. TREASURY BONDS: 4.05% 7.66% 9.51%
8.125% due 08/15/19 530,000 594,925 6,030,000 6,768,675 3,090,000 3,468,525
8.75% due 05/15/20 230,000 274,993 4,720,000 5,643,326 950,000 1,135,839
8.875% due 02/15/19 2,730,000 3,290,933 12,710,000 15,321,524 5,670,000 6,835,015
9.00% due 11/15/18 810,000 987,187 5,610,000 6,837,188 2,500,000 3,046,875
11.625% due 11/15/04 1,350,000 1,770,404 -- -- 450,000 590,135
11.75% due 02/15/10 -- -- -- -- 600,000 790,596
12.00% due 08/15/13 1,160,000 1,635,240 5,470,000 7,711,004 1,920,000 2,706,605
12.75% due 11/15/10 203,000 285,057 1,470,000 2,064,203 1,227,000 1,722,978
13.875% due 05/15/11 30,000 44,962 2,210,000 3,312,237 -- --
----------- ----------- -----------
8,883,701 47,658,157 20,296,568
U.S. TREASURY NOTES: 3.33% 7.60% 17.65%
6.25% due 08/31/96 **** 2,300,000 2,302,507 16,500,000 16,517,985 25,000,000 25,027,250
6.875% due 03/31/00 117,000 118,700 780,000 791,333 315,000 319,577
7.375% due 11/15/97 600,000 610,686 -- -- -- --
7.75% due 12/31/99 1,207,000 1,257,537 13,354,000 13,913,132 4,623,000 4,816,565
7.875% due 08/15/01 -- -- 1,200,000 1,271,244 1,500,000 1,589,055
8.50% due 05/15/97 120,000 122,757 970,000 992,281 -- --
8.875% due 11/15/97 2,200,000 2,282,148 9,000,000 9,336,060 1,700,000 1,763,478
8.875% due 02/15/99 340,000 361,196 2,080,000 2,209,667 1,420,000 1,508,523
9.125% due 05/15/99 40,000 42,906 600,000 643,596 290,000 311,071
9.25% due 08/15/98 200,000 212,032 1,510,000 1,600,842 2,210,000 2,342,954
----------- ----------- -----------
7,310,469 47,276,140 37,678,473
TOTAL U.S. TREASURY OBLIGATIONS
(Cost: $16,293,301, $95,281,059 and
$57,868,665, respectively) $16,194,170 $94,934,297 $57,975,041
----------- ----------- -----------
CORPORATE BONDS: 8.68% 13.61% 8.49%
AEROSPACE: 0.26% 0.21%
Alliant Techsystems, Incorporated,
11.75% due 03/01/03 300,000 324,000 760,000 820,800 -- --
Rohr, Incorporated, 11.625% due 05/15/03 100,000 108,500 100,000 108,500 -- --
Tracor, Incorporated,
10.875% due 08/15/01 120,000 126,600 380,000 400,900 -- --
----------- -----------
559,100 1,330,200
</TABLE>
The accompanying notes are an integral part of the financial statements.
71
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - Unaudited (continued)
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- --------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ---------- --------- ---------- ------
<S> <C> <C> <C> <C> <C> <C>
APPAREL & ACCESSORY STORE: 0.05% 0.06%
Mothers Work, Incorporated,
12.625% due 08/01/05 $ 120,000 $ 126,900 $ 380,000 $ 401,850 -- --
---------- ----------
BROADCASTING: 0.18% 0.12%
Chancellor Broadcasting Company,
9.375% due 10/01/04 80,000 75,600 220,000 207,900 -- --
EchoStar Satellite Broadcasting,
Step up to 13.125% due 03/15/04 160,000 100,000 470,000 293,750 -- --
Granite Broadcasting,
9.375% due 12/01/05 250,000 228,750 250,000 228,750 -- --
---------- ----------
404,350 730,400
BUSINESS SERVICES: 0.50% 1.02% 0.92%
Bell & Howell Holdings Company, Series B,
Step up to 11.50% due 03/01/05 430,000 294,550 1,420,000 972,700 -- --
Comdisco, Incorporated,
5.75% due 02/15/01 300,000 286,422 2,400,000 2,291,376 $1,000,000 $ 954,740
6.50% due 06/15/00 200,000 197,264 1,700,000 1,676,744 750,000 739,740
7.25% due 04/15/98 60,000 60,723 540,000 546,507 270,000 273,254
Protection One Alarm, Incorporated,
Step up to 13.625% due 06/30/05 300,000 255,000 1,000,000 850,000 -- --
---------- ---------- ----------
1,093,959 6,337,327 1,967,734
CHEMICAL PRODUCTS: 0.45% 0.49%
NL Industries, Incorporated,
Step up to 13.00% due 10/15/05 50,000 38,813 190,000 147,488 -- --
11.75% due 10/15/03 190,000 193,800 650,000 663,000 -- --
Revlon Consumer Products Corporation,
10.50% due 02/15/03 340,000 341,700 1,160,000 1,165,800 -- --
Revlon Worldwide Corporation,
zero coupon due 03/15/98 490,000 407,312 1,210,000 1,005,812 -- --
Texas-Petro Chemical Corporation,
11.125% due 07/01/06 10,000 10,294 40,000 41,175 -- --
---------- ----------
991,919 3,023,275
CONSTRUCTION & BUILDING MATERIALS: 0.25% 0.34% 0.18%
Building Material Corporation of America,
Series B, Step up to 11.75% due 07/01/04 330,000 245,850 830,000 618,350 -- --
Crown Packaging Holdings,
Step up to 12.25% due 11/01/03 490,000 193,550 1,510,000 596,450 -- --
Georgia-Pacific Corporation,
9.85% due 06/15/97 110,000 113,282 890,000 916,558 380,000 391,339
---------- ---------- -----------
552,682 2,131,358 391,339
ELECTRICAL EQUIPMENT: 0.20% 0.19%
Dictaphone Corporation,
11.75% due 08/01/05 110,000 106,150 330,000 318,450 -- --
S C International Services, Incorporated,
13.00% due 10/01/05 300,000 327,000 800,000 872,000 -- --
---------- ----------
433,150 1,190,450
</TABLE>
The accompanying notes are an integral part of the financial statements.
72
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - Unaudited (continued)
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- --------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ---------- --------- ---------- ------
<S> <C> <C> <C> <C> <C> <C>
ELECTRIC UTILITIES: 0.14% 0.27% 0.32%
Gulf States Utilities Company,
9.72% due 07/01/98 $ 300,000 $ 313,113 $1,583,000 $1,652,193 $ 652,000 $ 680,499
---------- ---------- ----------
ELECTRONICS: 0.29% 0.31%
Ivac Corporation, 9.25% due 12/01/02 250,000 251,250 750,000 753,750 -- --
Unisys Corporation, 12.00% due 04/15/03 380,000 388,550 1,120,000 1,145,200 -- --
---------- ----------
639,800 1,898,950
ENERGY: 0.27% 0.64% 0.77%
Clark USA, Incorporated,
10.875% due 12/01/05 100,000 104,000 310,000 322,400 -- --
Enron Corporation, 10.00% due 06/01/98 60,000 63,340 300,000 316,698 150,000 158,349
Enron Corporation, 8.50% due 02/01/00 40,000 40,557 290,000 294,040 130,000 131,811
HNG Internorth, Incorporated,
9.625% due 03/15/06 70,000 80,368 590,000 677,391 260,000 298,511
Occidental Petroleum Corporation,
5.85% due 11/09/98 50,000 49,129 300,000 294,774 130,000 127,735
5.93% due 11/09/98 60,000 59,058 470,000 462,621 210,000 206,703
Southwest Gas Corporation,
9.75% due 06/15/02 40,000 44,636 290,000 323,611 130,000 145,067
Tenneco, Incorporated,
10.00% due 08/01/98 150,000 159,871 1,210,000 1,289,630 530,000 564,879
---------- ---------- ----------
600,959 3,981,165 1,633,055
FINANCE & BANKING: 1.22% 3.10% 3.52%
Banponce Corporation, 5.75% due 03/01/99 60,000 58,382 490,000 476,785 210,000 204,336
Banponce Corporation, 6.378% due 4/08/99 80,000 79,243 590,000 584,418 250,000 247,635
BanPonce Financial Corporation,
6.34% due 03/29/99 50,000 49,496 350,000 346,473 150,000 148,488
Beal Financial Corporation,
12.75% due 08/15/00 120,000 118,200 380,000 374,300 -- --
Citicorp Bank Corporation,
8.80% due 02/01/00 80,000 81,198 580,000 588,688 240,000 243,595
Federal Agricultural Mortgage Corporation,
7.04% due 08/10/05 100,000 99,484 700,000 696,388 300,000 298,452
First Fidelity Bancorporation,
9.625% due 08/15/99 30,000 32,334 160,000 172,450 70,000 75,447
First Nationwide Parent Holdings,
12.50% due 04/15/03 250,000 261,875 750,000 785,625 -- --
First Tennessee National Corporation,
6.75% due 11/15/05 40,000 38,008 350,000 332,567 150,000 142,529
First USA Bank, 5.75% due 01/15/99 180,000 175,520 1,240,000 1,209,136 660,000 643,573
Firstar Corporation, 7.15% due 09/01/00 100,000 100,505 820,000 824,141 360,000 361,818
Fleet Financial Group, Incorporated,
7.625% due 12/01/99 20,000 20,352 150,000 152,640 60,000 61,056
General Motors Acceptance Corporation,
8.375% due 01/19/99 230,000 239,701 1,730,000 1,802,971 1,000,000 1,042,180
Kansallis-Osake-Pankki,
10.00% due 05/01/02 40,000 45,123 360,000 406,105 150,000 169,211
MCN Investment Corporation,
5.84% due 02/01/99 100,000 98,197 800,000 785,576 340,000 333,870
</TABLE>
The accompanying notes are an integral part of the financial statements.
73
<PAGE> 77
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - Unaudited (continued)
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- --------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ---------- --------- ---------- ------
<S> <C> <C> <C> <C> <C> <C>
FINANCE & BANKING - CONTINUED
Manufacturers Hanover Corporation,
8.50% due 02/15/99 $ 320,000 $ 334,208 $ 2,220,000 $ 2,318,568 $ 210,000 $ 219,324
Mesa Operating Company,
10.625% due 07/01/06 10,000 10,222 40,000 40,888 -- --
Step up to 11.625% due 07/01/06 70,000 41,484 220,000 130,378 -- --
Private Export Funding Corporation,
5.80% due 02/01/04 20,000 19,161 120,000 114,965 50,000 47,902
6.90% due 01/31/03 20,000 20,073 120,000 120,440 50,000 50,183
8.75% due 06/30/03 180,000 198,673 1,280,000 1,412,787 540,000 596,020
Provident Bank,
6.125% due 12/15/00 150,000 144,702 1,190,000 1,147,972 520,000 501,635
Secured Finance, 9.05% due 12/15/04 180,000 198,214 2,500,000 2,752,975 1,300,000 1,431,547
Shawmut National Corporation,
8.625% due 12/15/99 110,000 115,551 840,000 882,386 360,000 378,166
Union Planters Corporation,
6.75% due 11/01/05 100,000 94,903 850,000 806,675 350,000 332,161
----------- ----------- -----------
2,674,809 19,266,297 7,529,128
FOOD STORES: 0.11% 0.12%
Ralphs Grocery Company,
10.45% due 06/15/04 250,000 245,000 750,000 735,000 -- --
----------- ------------
FOOD PRODUCTS: 0.30% 0.39% 0.19%
Chiquita Brands International,
Incorporated, 11.50% due 06/01/01 110,000 115,500 390,000 409,500 -- --
Quaker Oats Company,
7.30% due 08/29/05 40,000 39,425 300,000 295,689 130,000 128,132
RJR Nabisco, Incorporated,
6.25% due 01/31/97 110,000 109,437 680,000 676,518 270,000 268,618
Specialty Foods Corporation, Series B,
11.125% due 10/01/02 240,000 228,000 760,000 722,000 -- --
11.25% due 08/15/03 200,000 171,000 360,000 307,800 -- --
----------- ----------- -----------
663,362 2,411,507 396,750
HOTELS & RESTAURANTS: 0.15% 0.41% 0.52%
Darden Restaurants, Incorporated,
6.375% due 02/01/06 180,000 166,001 1,470,000 1,355,678 630,000 581,005
7.125% due 02/01/16 170,000 154,865 1,320,000 1,202,480 570,000 519,253
----------- ----------- -----------
320,866 2,558,158 1,100,258
INDUSTRIALS: 1.05% 1.07%
American Skiing Company,
12.00% due 07/15/06 250,000 245,000 750,000 735,000 -- --
AMF Group, Incorporated,
10.875% due 03/15/06 370,000 364,450 1,130,000 1,113,050 -- --
Atlantis Group, Incorporated,
11.00% due 02/15/03 50,000 47,750 130,000 124,150 -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
74
<PAGE> 78
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PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - Unaudited (continued)
(Showing percentage of total value of investments)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------- ------------------------- -------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ---------- ---------- --------- ---------- ------
<S> <C> <C> <C> <C>
INDUSTRIALS - CONTINUED
Brooks Fiber Properties,
Step up to 10.875% due 03/01/06 $ 450,000 $ 241,875 $1,050,000 $ 564,375 -- --
Guitar Center Management Company,
Incorporated, 11.00% due 07/01/06 10,000 10,181 20,000 20,363 -- --
Homeside, Incorporated,
11.25% due 05/15/03 60,000 61,800 200,000 206,000 -- --
Knoll, Incorporated, 10.875% due 03/15/06 250,000 256,250 750,00 768,750 -- --
MVE, Incorporated, 12.50% due 02/15/02 50,000 52,250 50,000 52,250 -- --
NWCG Holdings Corporation,
zero coupon due 06/15/99 100,000 73,250 220,000 161,150 -- --
Pioneer Americans Acquisition
Corporation, 13.375% due 04/01/05 440,000 469,700 1,360,000 1,451,800 -- --
RBX Corporation, 11.25% due 10/15/05 250,000 237,500 750,000 712,500 -- --
Trans-Resources Incorporated,
11.875% due 07/01/02 250,000 240,625 750,000 721,875 -- --
---------- ----------
2,300,631 6,631,263
INSURANCE: 0.29% 0.92% 1.17%
Metropolitan Life Insurance Company,
6.30% due 11/03/03 320,000 301,786 2,660,000 2,508,593 $1,025,000 $ 966,657
Nationwide Life Insurance Company,
6.50% due 02/15/04 350,000 329,584 3,410,000 3,211,095 1,630,000 1,534,920
---------- ----------
631,370 5,719,688 2,501,577
MEDIA & LEISURE: 0.62% 0.65%
Alliance Gaming Group,
12.875% due 06/30/03 110,000 110,275 340,000 340,850
Grand Casino, Incorporated,
10.125% due 12/01/03 230,000 235,750 700,000 717,500 -- --
HMH Properties, Incorporated, Series B,
9.50% due 05/15/05 230,000 219,650 770,000 735,350 -- --
Marvel Parent Holdings, Incorporated,
zero coupon due 04/15/98 590,000 472,000 1,630,000 1,304,000 -- --
Six Flags Theme Parks, Incorporated,
zero coupon due 06/15/05 380,000 319,200 1,120,000 940,800 -- --
---------- ----------
1,356,875 4,038,500
METAL PRODUCTS: 0.03% 0.03%
Wyman Gordon Company,
10.75% due 03/15/03 70,000 73,150 200,000 209,000 -- --
---------- ----------
MISCELLANEOUS: 0.21% 0.14%
APS, Incorporated, 11.875% due 01/15/06 -- -- 30,000 31,125 -- --
HMC Acquisition Properties, Incorporated,
9.00% due 12/15/07 350,000 322,875 970,000 894,825 -- --
Riverwood International Corporation,
10.875% due 04/01/08 150,000 147,750 460,000 453,100 -- --
---------- ----------
470,625 1,379,050
</TABLE>
The accompanying notes are an integral part of the financial statements.
75
<PAGE> 79
NASL SERIES TRUST
PORTFOLIO OF INVESTMENTS - JUNE 30, 1996 - UNAUDITED (CONTINUED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
NON-BANK FINANCE: 0.02% 0.21% 0.26%
Ford Capital BV, 9.00% due 08/15/98 ---- ---- $920,000 $964,040 $400,000 $419,148
Ford Capital BV, 9.375% due 01/01/98 $40,000 $41,677 300,000 312,579 130,000 135,451
------- --------- --------
41,677 1,276,619 554,599
PRINTING, PUBLISHING: 0.34% 0.56% 0.39%
Hollinger International,
9.25% due 02/01/06 70,000 64,050 190,000 173,850 ---- ----
Sullivan Graphics, Incorporated,
12.75% due 08/01/05 480,000 446,400 1,430,000 1,329,900 ---- ----
Time Warner, Incorporated,
7.75% due 06/15/05 250,000 244,055 2,000,000 1,952,440 850,000 829,787
------- --------- --------
754,505 3,456,190 829,787
RETAIL & WHOLESALE: 0.20% 0.20%
Alliance Entertainment Corporation,
11.25% due 07/15/05 240,000 229,200 760,000 725,800 ---- ----
Pathmark Stores, Incorporated,
Step up to 10.75% due 11/01/03 330,000 199,650 810,000 490,050 ---- ----
------- --------- --------
428,850 1,215,850
TELECOMMUNICATION SERVICES: 0.12% 0.18%
Hyperion Telecom, Incorporated,
Step up to 13.00% due 04/15/03 250,000 137,500 1,250,000 687,500 ---- ----
IntelCom Group USA, Incorporated,
Step up to 12.50% due 05/01/06 250,000 136,250 750,000 408,750 ---- ----
------- --------- --------
273,750 1,096,250
TELEPHONE: 0.47% 0.71% 0.16%
360 Communications, 7.125% due 03/01/03 100,000 95,626 830,000 793,696 360,000 344,254
Arch Communications Group Incorporated,
zero coupon due 03/15/08 510,000 262,650 1,490,000 767,350 ---- ----
GST USA, Incorporated,
13.875% due 12/11/05 80,000 44,000 80,000 44,000 ---- ----
Intercel, Incorporated,
Step up to 12.00% due 02/01/06 410,000 249,075 1,090,000 662,175 ---- ----
NEXTEL Communications, Incorporated,
Step up to 9.75% due 08/15/04 250,000 146,875 750,000 440,625 ---- ----
Paging Network, Incorporated,
10.125% due 08/01/07 230,000 225,975 770,000 756,525 ---- ----
USA Mobil Communication, Incorporated
9.50% due 02/01/04 10,000 9,500 1,020,000 969,000 ---- ----
------- --------- --------
1,033,701 4,433,371 344,254
</TABLE>
The accompanying notes are an integral part of the financial statements.
76
<PAGE> 80
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
TELEVISION SERVICES: 0.23% 0.24%
Echostar Communications Corporation,
Step up to 12.875% due 06/01/04 $530,000 $398,825 $1,600,000 $1,204,000 ---- ----
People's Choice TV Corporation,
Step up to 13.125% due 06/01/04 80,000 46,400 220,000 127,600 ---- ----
Telemundo Group, Incorporated,
7.00% due 02/15/06 70,000 63,350 170,000 153,850 ---- ----
----------- -----------
508,575 1,485,450
TEXTILE MILL PRODUCTS: 0.20% 0.20%
CMI Industries, Incorporated,
9.50% due 10/01/03 60,000 51,750 150,000 129,375 ---- ----
Collins & Aikman Products Company,
11.50% due 04/15/06 380,000 384,750 1,110,000 1,123,875 ---- ----
----------- -----------
436,500 1,253,250
TRANSPORTATION: 0.40% 0.48% 0.25%
Burlington Northern Santa Fe,
7.29% due 06/01/36 180,000 179,618 1,270,000 1,267,308 $530,000 $528,876
Transtar Holdings L.P.,
Step up to 13.375% due 12/15/03 400,000 276,000 1,100,000 759,000 ---- ----
U.S. Air, Incorporated,
9.625% due 02/01/01 190,000 178,600 490,000 460,600 ---- ----
10.00% due 07/01/03 210,000 197,925 555,000 523,087 ---- ----
----------- ----------- -----------
832,143 3,009,995 528,876
TRANSPORTATION EQUIPMENT: 0.13% 0.15%
Aftermarket Technology Corporation,
Series B, 12.00% due 08/01/04 230,000 249,550 770,000 835,450 ---- ----
Hayes Wheels International, Incorporated,
11.00% due 07/15/06 30,000 30,441 80,000 81,175 ---- ----
----------- -----------
279,991 916,625
TOTAL CORPORATE BONDS
(Cost: $19,138,486, $87,513,172
and $18,905,788, respectively) $19,042,312 $83,769,231 $18,457,856
----------- ----------- -----------
CONVERTIBLE BONDS: 0.04% 0.03%
Exide Corporation, 2.90% due 12/15/05 130,000 72,312 370,000 205,813 ---- ----
GST Telecommunications, Incorporated,
Step up to 13.875% due 12/15/05 10,000 9,950 10,000 9,950 ---- ----
----------- -----------
82,262 215,763
TOTAL CONVERTIBLE BONDS
(Cost: $93,823, $250,703
and $0, respectively) $82,262 $215,763 ----
----------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
77
<PAGE> 81
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
FIXED INCOME - OTHER: 1.95% 4.70% 5.66%
MISCELLANEOUS ASSET BACKED SECURITIES: 0.73% 2.07% 2.46%
Discover Card Master Trust, Series
1993 2, Class A, 5.40% due 11/16/01 $1,000,000 $977,500 ---- ---- ---- ----
Discover Card Trust, 1992 B B,
7.50% due 06/16/00 150,000 152,155 $1,330,000 $1,349,112 $580,000 $588,335
Ford Credit Auto Loan Master Trust,
Series 92 2, 7.375% due 04/15/99 ---- ---- 650,000 656,500 775,000 782,750
Ford Credit Grantor Trust, 1995 B
Certificates, Class A, 5.90% due 10/15/00 ---- ---- 2,188,179 2,175,182 954,842 949,170
Premier Auto Trust, Series 933, Class A3,
4.90% due 12/15/98 155,304 154,089 982,068 974,388 392,827 389,755
Railcar Trust, 7.75% due 06/01/04 164,214 170,127 1,592,875 1,650,233 860,481 891,466
Standard Credit Card Master Trust,
5.50% due 09/07/98 140,000 138,687 990,000 980,714 525,000 520,075
Series 1992 1 Certificates, Class B,
6.25% due 09/07/98 ---- ---- 5,075,000 5,070,229 1,120,000 1,118,947
--------- ---------- ---------
1,592,558 12,856,358 5,240,498
OTHER COLLATERALIZED MORTGAGE OBLIGATIONS: 1.23% 2.63% 3.18%
Airplane Pass Thru Trust,
10.875% due 03/15/19 130,000 135,850 370,000 386,650 ---- ----
American Housing Trust, Series IV,
9.552% due 09/25/20 700,000 715,750 4,300,000 4,396,750 1,740,000 1,779,150
CBM Funding Corporation,
6.88% due 06/01/02 60,000 59,175 480,000 473,400 210,000 207,113
7.55% due 07/01/99 18,226 18,408 127,580 128,856 54,677 55,224
GS Mortgage Securities Corporation,
7.02% due 02/15/27 248,034 246,329 1,488,203 1,477,972 595,281 591,189
Green Tree Securitized Net, Series 1994
Certificates, Series A, 6.90% due 02/15/04 124,911 123,872 910,062 902,493 475,849 471,892
Kearny Real Estate L.P.,Series 95-1,
Class B, 6.60% due 10/15/02 28,613 28,613 143,063 143,062 57,225 57,225
Lennar Partners, L.P., Series 1994 1,
Class C, 8.12% due 09/15/02 197,000 195,776 1,100,000 1,093,166 450,000 447,204
Meritor Mortgage Securities Corporation,
9.40% due 06/01/99 47,658 47,777 301,836 302,591 111,203 111,481
NationsLink Funding Corporation,
7.53% due 09/20/02 249,055 252,207 1,494,330 1,513,243 647,543 655,738
Nomura Asset Securities Corporation,
Series 1994, 6.702% due 07/07/03 156,067 149,028 1,092,469 1,043,198 546,235 521,599
Overseas Private Investment Corporation,
Series 1995, 6.08% due 08/15/04 100,000 95,409 830,000 791,895 360,000 343,472
</TABLE>
The accompanying notes are an integral part of the financial statements.
78
<PAGE> 82
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- ------------------------
Principal Principal Principal
Amount Value Amount Value Amount Value
----------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
OTHER COLLATERALIZED
MORTGAGE OBLIGATIONS - CONTINUED
Structured Asset Securities Corporation,
Series 96 CFL, Class A 1A,
5.711% due 02/25/28 $59,610 $58,024 $286,604 $283,738 $126,012 $124,752
5.751% due 02/25/28 ---- ---- 235,000 229,933 98,000 95,887
Series 95 C4, Class A 1A,
6.90% due 06/25/26 96,583 95,738 666,423 660,592 289,749 287,214
Series 95 C1, Class D,
7.375% due 09/25/24 500,000 471,793 2,700,000 2,547,679 1,100,000 1,037,943
---------- ----------- -----------
2,693,749 16,375,218 6,787,083
TOTAL FIXED INCOME - OTHER
(Cost: $4,238,795, $26,079,260
and $11,975,043, respectively) $4,286,307 $29,231,576 $12,027,581
---------- ----------- -----------
FOREIGN BOND OBLIGATIONS: 0.85% 2.09% 2.53%
FOREIGN CORPORATE BONDS: 0.24% 0.61% 0.74%
Acetex Corporation, 9.75% due 10/01/03 60,000 59,400 180,000 178,200 ---- ----
British Columbia Hydro & Power,
12.50% due 01/15/14 60,000 70,061 460,000 537,137 200,000 233,538
Export Import Bank of Korea,
6.375% due 02/15/06 150,000 139,190 1,180,000 1,094,957 510,000 473,244
Korea Development Bank,
9.29% due 03/13/98 50,000 52,283 430,000 449,630 190,000 198,673
9.48% due 04/02/01 30,000 32,890 220,000 241,193 90,000 98,670
Merita Bank, Ltd.
6.50% due 01/15/06 150,000 139,446 1,150,000 1,069,086 500,000 464,820
Petroliam Nasional BHD,
6.875% due 07/01/03 30,000 29,544 250,000 246,200 110,000 108,328
---------- ----------- -----------
522,814 3,816,403 1,577,273
FOREIGN GOVERNMENT BONDS: 0.61% 1.48% 1.79%
Israel Export Trust, Series 1994-1
GTD Certificates, 6.88% due 01/26/03 57,647 57,828 461,176 462,620 197,647 198,266
Israel State, U.S. Government GTD Notes,
Class 1D, 6.125% due 03/15/03 100,000 96,204 600,000 577,224 250,000 240,510
Class 6B, 6.25% due 08/15/02 290,000 282,999 2,240,000 2,185,926 960,000 936,826
Class 4A, 7.125% due 08/15/99 100,000 101,118 820,000 829,168 355,000 358,969
Class 5B, 8.00% due 11/15/01 580,000 612,410 3,570,000 3,769,492 1,420,000 1,499,350
Province of Ontario, Canada,
6.00% due 02/21/06 220,000 201,491 1,510,000 1,382,964 630,000 576,998
---------- ----------- -----------
1,352,050 9,207,394 3,810,919
TOTAL FOREIGN BOND OBLIGATIONS
(Cost: $1,891,800, $13,184,186 and
$5,459,496, respectively) $1,874,864 $13,023,797 $5,388,192
---------- ----------- -----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
79
<PAGE> 83
<TABLE>
<CAPTION>
AGGRESSIVE MODERATE CONSERVATIVE
------------------------ ------------------------- -------------------------
Value Value Value
-------------- -------------- --------------
<C> <C> <C>
REPURCHASE AGREEMENTS: *** 5.62% 3.88% 10.51%
Repurchase Agreement with State Street
Bank & Trust Company dated 06/28/96 at
4.75%, to be repurchased at $12,330,879
on 07/01/96, collateralized by
$12,460,000 U.S. Treasury Notes, 6.25%
due 08/31/00 (valued at $12,833,889
including interest) $12,326,000
-----------
Repurchase Agreement with State Street
Bank & Trust Company dated 06/28/96 at
4.75%, to be repurchased at $24,142,553
on 07/01/96, collateralized by $16,690,000
U.S. Treasury Bonds, 11.25% due 02/15/15
(valued at $25,324,439 including interest) $24,133,000
-----------
Repurchase Agreement with State Street Bank
& Trust Company dated 06/28/96 at 4.75%, to
be repurchased at $22,430,875 on 07/01/96,
collateralized by $15,510,000 U.S. Treasury
Bonds, 11.25% due 02/15/15 (valued at
$23,533,975 including interest) $ 22,422,000
------------
TOTAL INVESTMENTS (Aggressive,
Moderate and Conservative Asset Allocation
Trusts) (Cost: $194,441,389, $574,882,508
and $204,043,959, respectively) $219,426,526 $622,150,600 $213,424,354
============ ============ ============
</TABLE>
Key to Currency Abbreviations
- -----------------------------
AUD - Australian Dollar
CAD - Canadian Dollar
DKK - Danish Krone
FRF - French Franc
DEM - German Deustche Mark
POUND - Great British Pound
HKD - Hong Kong Dollar
ITL - Italian Lira
YEN - Japanese Yen
NLG - Netherland Guilder
NZD - New Zealand Dollar
SGD - Singapore Dollar
ESP - Spanish Peseta
SEK - Swedish Krone
CHF - Swiss Franc
Key to Security Abbreviations and Legend
- ----------------------------------------
ADR - American Depository Receipt
FRN - Floating Rate Note
GTD - Guaranteed
IO - Interest Only (Carries notional principal amount)
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced
* - Non-Income producing
** - Purchased on a forward commitment (Note 2)
*** - At June 30, 1996 a portion of this security was pledged to cover
forward commitments purchased.
**** - At June 30, 1996 a portion of this security was pledged to cover
margin requirements for open futures contracts.
The accompanying notes are an integral part of the financial statements.
80
<PAGE> 84
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
1. ORGANIZATION OF THE TRUST. The NASL Series Trust (the "Trust") is a no-load,
open-end management investment company organized as a Massachusetts business
trust. It is a series company, which means that it has several portfolios, each
with a stated investment objective which it pursues through separate investment
policies. The Trust currently offers the following sixteen portfolios: The
Small/Mid Cap Trust ("Small/Mid Cap"), the International Small Cap Trust
("International Small Cap"), the Global Equity Trust ("Global Equity"), the
Pasadena Growth Trust ("Pasadena Growth"), the Equity Trust ("Equity"), the
Value Equity Trust ("Value Equity"), the Growth and Income Trust ("Growth and
Income"), the International Growth and Income Trust ("International Growth and
Income"), the Strategic Bond Trust ("Strategic Bond"), the Global Government
Bond Trust ("Global Government Bond"), the Investment Quality Bond Trust
("Investment Quality Bond"), the U.S. Government Securities Trust ("U.S.
Government Securities"), the Money Market Trust ("Money Market"), the Aggressive
Asset Allocation Trust ("Aggressive Asset Allocation"), the Moderate Asset
Allocation Trust ("Moderate Asset Allocation") and the Conservative Asset
Allocation Trust ("Conservative Asset Allocation"). Each of the Trusts with the
exception of Global Government Bond is diversified for purposes of the
Investment Company Act of 1940.
Shares of the Trust are presently offered only to the NASL Variable Account, the
NASL Group Variable Account and the NASL Variable Life Variable Account,
separate accounts of North American Security Life Insurance Company ("Security
Life"), to the FNAL Variable Account, a separate account of First North American
Life Assurance Company ("First North American") and in case of certain
portfolios, to Separate Accounts One, Two, Three, and Four, separate accounts of
The Manufacturers Life Insurance Company of America ("Manulife America").
Security Life is controlled by The Manufacturers Life Insurance Company
("Manulife"), a mutual life insurance company based in Toronto, Canada. First
North American is a wholly-owned subsidary of Security Life and Manulife America
is a wholly-owned subsidiary of Manulife.
At June 30, 1996, Security Life owned seed money shares in the Small/Mid Cap,
International Small Cap and Growth and Income Trusts.
NASL Financial Services, Inc. ("NASL Financial"), a wholly-owned subsidiary of
Security Life, serves as investment adviser for the Trust (Note 5). NASL
Financial is also the principal underwriter of the variable contracts issued by
Security Life and First North American.
NEW PORTFOLIOS. On March 4, 1996, the Small/Mid Cap and International Small Cap
Trusts commenced operations. Fred Alger Management, Inc. is the subadviser to
the Small/Mid Cap Trust. The subadviser to the International Small Cap Trust is
Founders Asset Management, Inc.
2. SIGNIFICANT ACCOUNTING POLICIES. The policies described below are followed by
the Trust in the preparation of the financial statements for its portfolios in
conformity with generally accepted accounting principles ("GAAP").
BASIS OF PRESENTATION. The accompanying unaudited financial statements have been
prepared in accordance with generally accepted accounting principles for interim
financial information and pursuant to the rules and regulations of the
Securities and Exchange Commission. In the opinion of management, all
adjustments necessary for a fair presentation of the financial position and the
results of operations have been included. Results for the six months ended June
30, 1996 are not necessarily indicative of annual results.
SECURITY VALUATION. Securities held by Money Market and short term instruments
with remaining maturities of 60 days or less held by the other portfolios of the
Trust are valued on an amortized cost basis or at original cost plus accrued
interest, both of which approximate current market value. All other securities
held by the Trust are valued at the last sale price as of the close of business
on a principal securities exchange (domestic or foreign) or, lacking any sales,
at the closing bid prices. Securities traded only in the over-the-counter market
are valued at the last bid prices quoted by brokers making markets in the
securities at the close of trading on the Exchange.
Trust securities for which there are no such quotations, principally debt
securities, are valued on the basis of the valuation provided by a pricing
service which utilizes both dealer-supplied and electronic data processing
techniques. Other assets and securities for which no such quotations are readily
available are valued at their fair value as determined in good faith under
consistently applied procedures established by and under the general supervision
of the Board of Trustees.
FOREIGN CURRENCY TRANSLATIONS. The accounting records of the Trust are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars on the following basis:
(i) market value of securities, other assets and other liabilities at
the current rate of exchange of such currencies against U.S.
dollars;
(ii) purchases and sales of securities, income and expenses at the rate
of exchange quoted on the respective dates of such transactions.
81
<PAGE> 85
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
Gains and losses that arise from changes in foreign exchange rates have been
segregated from gains and losses that arise from changes in the market prices of
investments. These gains and losses are included with gains and losses on
foreign currency and forward foreign currency contracts in the Statements of
Operations.
FORWARD FOREIGN CURRENCY CONTRACTS. All portfolios with the exception of
Investment Quality Bond, U.S. Government Securities and Money Market may
purchase and sell forward foreign currency contracts in order to hedge a
specific transaction or portfolio position.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held at the end of the period and the resulting net unrealized
appreciation (depreciation) and related net receivable or payable amount are
determined using forward foreign currency exchange rates supplied by a quotation
service. The Trust could be exposed to risks if the counterparties to the
contracts are unable to meet the terms of their contracts or if the value of the
foreign currency changes unfavorably.
Net realized gains (losses) on foreign currency and forward foreign currency
contracts shown in the Statements of Operations, include net gains or losses
realized by a portfolio on contracts which have matured or which the portfolio
has terminated by entering into an offsetting commitment with the same broker.
FUTURES. All portfolios other than Investment Quality Bond and Money Market may
purchase and sell financial futures contracts and options on those contracts.
The portfolios invest in contracts based on financial instruments such as U.S.
Treasury bonds or notes or on securities indices such as the S&P 500 Index, in
order to hedge against a decline in the value of securities owned by the
portfolios.
When a portfolio sells a futures contract based on a financial instrument, the
portfolio becomes obligated to deliver that kind of instrument at an agreed upon
date for a specified price. The portfolio realizes a gain or loss depending on
whether the price of an offsetting purchase is less or more than the price of
the initial sale or on whether the price of an offsetting sale is more or less
than the price of the initial purchase . The Trust could be exposed to risks if
it could not close out futures positions because of an illiquid secondary market
or the inability of counterparties to meet the terms of their contracts. Upon
entering into futures contracts, the Trust is required to deposit with a broker
an amount, initial margin, which represents 5% of the purchase price indicated
in the futures contract.
Payments to and from the broker, known as variation margin, are required to be
made on a daily basis as the price of the futures contract fluctuates, making
the long or short positions in the contract more or less valuable. If the
position is closed out by taking an opposite position prior to the settlement
date of the futures contract, a final determination of variation margin is made,
cash is required to be paid to or released by the broker, and the portfolio
realizes a gain or loss.
FORWARD COMMITMENTS. The portfolios of the Trust may purchase debt securities on
a when issued or forward delivery basis, which means that the obligations will
be delivered to the portfolios of the Trust at a future date, which may be a
month or more after the date of commitment. The price of the underlying
securities and the date when the securities will be delivered and paid for are
fixed at the time the transaction is negotiated. The value of the securities
underlying a forward commitment to purchase securities, and the subsequent
fluctuations in their value, is taken into account when determining the Trust's
net asset value starting on the day the Trust agrees to purchase the securities.
At June 30, 1996 forward commitments in Strategic Bond and U.S. Government
Securities were valued at $3,353,890 and $43,803,894, respectively.
SECURITIES LENDING. The Trust may lend securities in amounts up to 33 1/3% of
its total non-cash assets to brokers, dealers and other financial institutions,
provided such loans are callable at any time and are at all times fully secured
by cash, cash equivalents or securities issued or guaranteed by the U.S.
government or its agencies or instrumentalities, marked to market to the value
of the loaned securities on a daily basis. The Trust may bear the risk of delay
in recovery of, or even of rights in, the securities loaned should the borrower
of the securities fail financially. Consequently, loans of portfolio securites
will only be made to firms deemed by the subadvisers to be creditworthy. The
Trust receives compensation for lending its securities either in the form of
fees or by retaining a portion of interest on the investment of any cash
received as collateral. Income generated from the investment of cash collateral
is included as interest income in the Statement of Operations. All collateral
received will be in an amount equal to at least 100% of the market value of the
loaned securities and must be maintained at that level during the period of the
loan. During the loan period, the fund continues to retain rights of ownership,
including dividends and interest of the loaned securities.
At June 30, 1996, the value of the securities loaned amounted to $39,720,300,
$8,296,567, $16,093,155, $5,538,976, $15,237,838, $7,280,916, $6,015,916,
$538,901, $5,754,512, $12,818,343 and $1,343,574 in the Global Equity, Pasadena
Growth, Equity, Value Equity, International Growth and Income, Strategic Bond,
Global Government Bond, Investment Quality Bond and Aggressive, Moderate and
Conservative Asset Allocation Trusts, respectively.
82
<PAGE> 86
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
SIGNIFICANT ACCOUNTING POLICIES, CONTINUED
MORTGAGE DOLLAR ROLLS. Strategic Bond and U.S. Government Securities may enter
into mortgage dollar rolls in which they sell mortgage securities for delivery
in the current month and simultaneously contract to repurchase similar, but not
identical, securities at the same price on an agreed upon date. The Trusts
receive compensation as consideration for entering into the commitment to
repurchase. The compensation is recorded as deferred income and amortized to
income over the roll period. As the holder, the counterparty receives all
principal and interest payments, including prepayments, made with respect to the
similar security. Mortgage dollar rolls may be renewed with a new sale and
repurchase price with a cash settlement made at renewal without physical
delivery of the securities subject to the contract.
ORGANIZATION COSTS. Costs incurred by a portfolio in connection with its
organization, initial registration and public offering of shares are being
amortized on a straight-line basis for Pasadena Growth, Value Equity,
International Growth and Income and Strategic Bond over a five-year period
beginning with the commencement of operations of each portfolio.
FEDERAL INCOME TAXES. The Trust's policy is to qualify as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as amended,
and to distribute all of its taxable income to its shareholders. Accordingly, no
federal income tax provision is required. Each portfolio of the Trust is treated
as a separate taxpayer for federal income tax purposes.
DISTRIBUTION OF INCOME AND GAINS. All of the net investment income of Money
Market is declared as a dividend to shareholders of record as of the close of
business each day and is reinvested daily. During any particular year, net
realized gains from investment transactions of each portfolio, in excess of
available capital loss carryforwards of each portfolio would be taxable to such
portfolio if not distributed. Therefore, each portfolio of the Trust intends to
distribute all of its investment company taxable income and any net realized
capital gains in order to avoid federal income tax. Each portfolio of the Trust
is exempt from federal excise tax. Net investment income is reported in the
accompanying statements under GAAP. The Trust's distributions are based on
income amounts determined in accordance with federal income tax regulations.
Overdistributions of net investment income as determined in accordance with GAAP
have been presented in the financial statements as distributions in excess of
net investment income. Net investment income and net realized gains differ for
financial statement and tax purposes due to distributions in accordance with
income tax regulations which may differ from GAAP: marking-to-market of certain
financial instruments, the deferral of certain losses for tax purposes and the
treatment of currency gains or losses. As a result, the character of
distributions made during the year from net investment income may differ from
its ultimate characterization for tax purposes.
EXPENSE ALLOCATION. Expenses not directly attributable to a particular portfolio
are allocated based on the relative share of net assets of each portfolio for
the time during which the expense was incurred.
REPURCHASE AGREEMENTS. Each portfolio of the Trust may enter into repurchase
agreements. When a portfolio enters into a repurchase agreement through its
custodian, it receives delivery of the underlying securities, the amount of
which at the time of purchase and each subsequent business day is required to be
maintained at such a level that the market value is 102% of the repurchase
amount. Each portfolio will take constructive receipt of all securities
underlying the repurchase agreements it has entered into until such agreements
expire. If the seller defaults, a portfolio would suffer a loss to the extent
that proceeds from the sale of underlying securities were less than the
repurchase amount.
CAPITAL ACCOUNTS. The Trust reports the accumulated undistributed net investment
income (loss) and accumulated undistributed net realized gain (loss) accounts on
a basis approximating amounts available for future tax distributions (or to
offset future taxable realized gains when a capital loss carryforward is
available). Accordingly, each portfolio of the Trust may periodically make
reclassifications among certain capital accounts without impacting the net asset
value.
OTHER. Investment security transactions are accounted for on a trade date plus
one basis. Interest income is accrued as earned. Dividend income and
distributions to shareholders are recorded on the ex-dividend date. All original
issue discounts are accreted for financial and tax reporting purposes. The Trust
uses the First In, First Out method for determining realized gain or loss on
investments for both financial and federal income tax reporting purposes. The
preparation of financial statements in conformity with GAAP requires management
to make estimates and assumptions that affect the reported amount of assets and
liabilities. Actual results may differ from these estimates.
83
<PAGE> 87
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
3. CAPITAL SHARES. Share activity for the Trust for the six months ended June
30, 1996 was as follows:
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
---------- --------- ---------------
<S> <C> <C> <C>
SMALL/MID CAP
Outstanding at March 4, 1996 (commencement
of operations) ........................... -- -- --
Sold ................................... 6,623,563 $ 66,236 $ 87,892,854
Redeemed ............................... (253,366) (2,534) (3,332,886)
---------- -------- -------------
Net increase ......................... 6,370,197 63,702 84,559,968
---------- -------- -------------
Outstanding at June 30, 1996 ............. 6,370,197 $ 63,702 $ 84,559,968
========== ======== =============
INTERNATIONAL SMALL CAP
Outstanding at March 4, 1996 (commencement
of operations) ........................... -- -- --
Sold ................................... 3,562,091 $ 35,621 $ 45,914,428
Redeemed ............................... (16,679) (167) (209,149)
---------- -------- -------------
Net increase ......................... 3,545,412 35,454 45,705,279
---------- -------- -------------
Outstanding at June 30, 1996 ............. 3,545,412 $ 35,454 $ 45,705,279
========== ======== =============
GLOBAL EQUITY
Outstanding at December 31, 1995 ......... 40,249,612 $402,496 $ 593,754,557
Sold ................................... 3,844,983 38,449 63,542,629
Reinvestment of distributions .......... 676,495 6,765 11,263,635
Redeemed ............................... (1,861,184) (18,612) (30,876,851)
---------- -------- -------------
Net increase ......................... 2,660,294 26,603 43,929,413
---------- -------- -------------
Outstanding at June 30, 1996 ............. 42,909,906 $429,099 $ 637,683,970
========== ======== =============
PASADENA GROWTH
Outstanding at December 31, 1995 ......... 24,363,208 $243,632 $ 236,648,940
Sold ................................... 4,349,706 43,497 53,887,016
Reinvestment of distributions .......... 75,803 758 908,119
Redeemed ............................... (1,637,815) (16,378) (19,892,327)
---------- -------- -------------
Net increase ......................... 2,787,694 27,877 34,902,808
---------- -------- -------------
Outstanding at June 30, 1996 ............ 27,150,902 $271,509 $ 271,551,750
========== ======== =============
EQUITY
Outstanding at December 31, 1995 ......... 47,562,040 $475,620 $ 722,118,444
Sold ................................... 9,615,887 96,158 202,845,226
Reinvestment of distributions .......... 5,184,124 51,841 103,008,528
Redeemed ............................... (5,715,900) (57,158) (119,169,356)
---------- -------- -------------
Net increase ......................... 9,084,111 90,841 186,684,398
---------- -------- -------------
Outstanding at June 30, 1996 ............. 56,646,151 $566,461 $ 908,802,842
========== ======== =============
VALUE EQUITY
Outstanding at December 31, 1995 ......... 28,733,585 $287,336 $ 335,774,131
Sold ................................... 4,773,095 47,731 67,527,953
Reinvestment of distributions .......... 2,286,477 22,865 30,890,302
Redeemed ............................... (678,181) (6,782) (9,526,744)
---------- -------- -------------
Net increase ......................... 6,381,391 63,814 88,891,511
---------- -------- -------------
Outstanding at June 30, 1996 ............. 35,114,976 $351,150 $ 424,665,642
========== ======== =============
</TABLE>
84
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
---------- --------- ---------------
<S> <C> <C> <C>
GROWTH AND INCOME
Outstanding at December 31, 1995 40,893,098 $408,931 $520,491,301
Sold ......................... 6,418,602 64,186 107,943,687
Reinvestment of distributions 1,669,648 16,696 27,432,321
Redeemed ..................... (383,559) (3,835) (6,382,199)
---------- -------- ------------
Net increase ............... 7,704,691 77,047 128,993,809
---------- -------- ------------
Outstanding at June 30, 1996 ... 48,597,789 $485,978 $649,485,110
========== ======== ============
INTERNATIONAL GROWTH AND INCOME
Outstanding at December 31, 1995 8,462,125 $ 84,621 $ 85,513,828
Sold ......................... 6,019,136 60,191 64,182,198
Reinvestment of distributions 18,869 189 203,218
Redeemed ..................... (1,746,195) (17,462) (18,541,582)
---------- -------- ------------
Net increase ............... 4,291,810 42,919 45,843,835
---------- -------- ------------
Outstanding at June 30, 1996 ... 12,753,935 $127,540 $131,357,663
========== ======== ============
STRATEGIC BOND
Outstanding at December 31, 1995 10,898,515 $108,985 $112,993,837
Sold ......................... 3,295,435 32,954 37,417,056
Reinvestment of distributions 1,002,998 10,030 10,611,716
Redeemed ..................... (1,091,260) (10,912) (12,320,840)
---------- -------- ------------
Net increase ............... 3,207,172 32,072 35,707,932
---------- -------- ------------
Outstanding at June 30, 1996 ... 14,105,687 $141,057 $148,701,769
========== ======== ============
GLOBAL GOVERNMENT BOND
Outstanding at December 31, 1995 16,160,125 $161,601 $210,010,541
Sold ......................... 785,349 7,853 11,045,633
Reinvestment of distributions 1,595,654 15,957 21,046,683
Redeemed ..................... (1,075,123) (10,751) (14,942,992)
---------- -------- ------------
Net increase ............... 1,305,880 13,059 17,149,324
---------- -------- ------------
Outstanding at June 30, 1996 ... 17,466,005 $174,660 $227,159,869
========== ======== ============
INVESTMENT QUALITY BOND
Outstanding at December 31, 1995 11,618,055 $116,180 $131,059,924
Sold ......................... 1,364,598 13,646 16,422,214
Reinvestment of distributions 756,988 7,570 8,470,692
Redeemed ..................... (1,211,500) (12,115) 14,173,173
---------- -------- ------------
Net increase ............... 910,086 9,101 10,719,733
---------- -------- ------------
Outstanding at June 30, 1996 ... 12,528,141 $125,281 $141,779,657
========== ======== ============
U.S. GOVERNMENT SECURITIES
Outstanding at December 31,1995 15,880,625 $158,806 $201,684,401
Sold ......................... 2,361,615 23,616 31,620,928
Reinvestment of distributions 1,019,677 10,197 12,837,734
Redeemed ..................... (2,602,468) (26,025) (33,297,542)
---------- -------- ------------
Net increase ............... 778,824 7,788 11,161,120
---------- -------- ------------
Outstanding at June 30, 1996 ... 16,659,449 $166,594 $212,845,521
========== ======== ============
</TABLE>
85
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
CAPITAL SHARES, CONTINUED
<TABLE>
<CAPTION>
ADDITIONAL
SHARES PAR VALUE PAID-IN CAPITAL
---------- --------- -------------
<S> <C> <C> <C>
MONEY MARKET
Outstanding at December 31, 1995 25,811,696 $ 258,117 $ 257,858,846
Sold ......................... 25,204,293 252,043 251,790,892
Reinvestment of distributions 681,826 6,818 6,811,439
Redeemed ..................... 17,854,338) (178,543) (178,364,844)
---------- --------- -------------
Net increase ............... 8,031,781 80,318 80,237,487
---------- --------- -------------
Outstanding at June 30, 1996 ... 33,843,477 $ 338,435 $ 338,096,333
========== ========= =============
AGGRESSIVE ASSET ALLOCATION
Outstanding at December 31, 1995 16,484,402 $ 164,844 $ 170,396,067
Sold ......................... 748,718 7,487 9,530,092
Reinvestment of distributions 1,313,016 13,130 15,992,541
Redeemed ..................... (912,816) (9,128) (11,603,795)
---------- --------- -------------
Net increase ............... 1,148,918 11,489 13,918,838
---------- --------- -------------
Outstanding at June 30, 1996 .. 17,633,320 $ 176,333 $ 184,314,905
========== ========= =============
MODERATE ASSET ALLOCATION
Outstanding at December 31, 1995 52,461,719 $ 524,617 $ 537,511,622
Sold ......................... 313,296 3,133 3,749,636
Reinvestment of distributions 4,610,850 46,109 52,840,339
Redeemed ..................... (3,714,985) (37,150) (44,872,164)
---------- --------- -------------
Net increase ............... 1,209,161 12,092 11,717,811
---------- --------- -------------
Outstanding at June 30, 1996 ... 53,670,880 $ 536,709 $ 549,279,911
========== ========= =============
CONSERVATIVE ASSET ALLOCATION
Outstanding at December 31, 1995 19,363,198 $ 193,632 $ 195,863,914
Sold ......................... 319,270 3,193 3,666,720
Reinvestment of distributions 1,254,803 12,548 13,614,613
Redeemed ..................... (1,419,202) (14,192) (15,887,360)
---------- --------- -------------
Net increase ............... 154,871 1,549 1,393,973
---------- --------- -------------
Outstanding at June 30, 1996 ... 19,518,069 $ 195,181 $ 197,257,887
========== ========= =============
</TABLE>
4. PURCHASES AND SALES OF SECURITIES. The following summarizes the securities
transactions (except for short-term investments) for the portfolios (with the
exception of Money Market) for the six months ended June 30, 1996:
<TABLE>
<CAPTION>
PURCHASES SALES
----------------------------------- -----------------------------------
PORTFOLIO U.S. GOVERNMENT OTHER ISSUES U.S. GOVERNMENT OTHER ISSUES
----------- --------------- ------------ ---------------- -------------
<S> <C> <C> <C> <C>
Small/Mid Cap*...................... ----- $ 84,781,441 ----- $ 9,436,938
International Small Cap*............ ----- 33,726,610 ----- 1,429,827
Global Equity....................... ----- 219,734,149 ----- 209,178,990
Pasadena Growth..................... ----- 169,271,550 ----- 118,304,421
Equity.............................. ----- 796,154,273 ----- 646,114,980
Value Equity........................ ----- 198,402,337 ----- 117,415,750
Growth and Income................... ----- 305,369,016 ----- 201,573,739
International Growth and Income..... $ 4,094,269 144,394,735 $ 3,700,786 106,927,591
Strategic Bond...................... 87,367,918 89,142,458 69,688,188 76,271,829
Global Government Bond.............. ----- 209,934,264 ----- 201,210,945
Investment Quality Bond............. 18,309,259 35,476,531 36,072,879 7,943,333
U.S. Government Securities.......... 502,507,613 ----- 502,536,793 6,381,773
Aggressive Asset Allocation......... 10,586,907 75,546,769 5,614,012 75,716,518
Moderate Asset Allocation........... 121,580,846 140,525,198 84,901,790 188,211,446
Conservative Asset Allocation....... 46,608,133 26,065,077 38,206,208 38,040,563
</TABLE>
* For the period March 4, 1996 (commencement of operations) to June 30, 1996.
Purchases and sales (including maturities) for Money Market for the six months
ended ended June 30, 1996 were $1,293,989,136 and $1,219,812,683, respectively.
86
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
At June 30, 1996, tax basis net unrealized appreciation (depreciation) was equal
to the aggregate gross unrealized appreciation for all securities in which there
was an excess of market value over tax cost and aggregate gross unrealized
depreciation for all securities in which there was an excess of tax cost over
market value as follows:
<TABLE>
<CAPTION>
TAX BASIS NET
UNREALIZED TAX BASIS TAX BASIS
TAX BASIS APPRECIATION UNREALIZED UNREALIZED
PORTFOLIO COST (DEPRECIATION) APPRECIATION DEPRECIATION
------------ ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Small/Mid Cap....................... $ 85,567,194 $ 365,079 $ 3,866,158 $ 3,501,079
International Small Cap............. 49,320,633 1,267,388 1,978,404 711,016
Global Equity....................... 636,061,111 86,312,686 104,144,075 17,831,389
Pasadena Growth..................... 268,155,523 84,510,890 92,287,239 7,776,349
Equity.............................. 1,027,837,988 142,168,158 158,232,714 16,064,556
Value Equity........................ 440,232,226 50,602,805 59,790,560 9,187,755
Growth and Income................... 683,346,326 150,423,422 155,678,532 5,255,110
International Growth and Income..... 126,904,411 3,048,104 5,546,247 2,498,143
Strategic Bond...................... 156,283,884 1,880,071 4,420,499 2,540,428
Global Government Bond.............. 227,627,230 4,251,208 6,323,991 2,072,783
Investment Quality Bond............. 141,241,283 (1,569,607) 1,229,473 2,799,080
U.S. Government Securities.......... 255,634,378 (1,691,562) 751,778 2,443,340
Aggressive Asset Allocation......... 194,578,088 24,848,438 28,223,944 3,375,506
Moderate Asset Allocation........... 575,304,163 46,846,437 56,465,237 9,618,800
Conservative Asset Allocation....... 204,173,877 9,250,477 12,179,509 2,929,032
</TABLE>
The following is a summary of futures contracts activity during the six months
ended June 30, 1996:
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------ -------------------------------------------
NUMBER AGGREGATE FACE UNREALIZED NUMBER AGGREGATE FACE UNREALIZED
OF VALUE OF GAIN OF VALUE OF GAIN
CONTRACTS CONTRACTS CONTRACTS CONTRACTS (LOSS)
---------- ------------------ ---------- ---------- ------------------ -----------
<S> <C> <C> <C> <C> <C> <C>
AGGRESSIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding, December 31, 1995.. 19 $ 4,750,000 ---- ----
Contracts opened............... 49 12,250,000 ---- ----
Contracts closed............... (49) (12,250,000) ---- ----
--- -----------
Outstanding, June 30, 1996...... 19 $ 4,750,000 $29,236 ---- ----
=== =========== ======= ==== ====
CAC 40 FUTURES:
Outstanding, December 31, 1995.. ---- ---- 13 FRF 104,000
Contracts opened............... ---- ---- 21 168,000
Contracts closed............... ---- ---- (26) (208,000)
--- --------
Outstanding, June 30, 1996...... ---- ---- 8 FRF 64,000 $31,502
==== ==== ==== ========= =======
DAX 30 FUTURES:
Outstanding, December 31, 1995.. ---- ---- 8 DEM 24,000
Contracts opened............... ---- ---- 11 33,000
Contracts closed............... ---- ---- (16) (48,000)
--- -------
Outstanding, June 30, 1996...... ---- ---- 3 DEM 9,000 $29,710
==== ==== ==== ======== =======
FTSE 100 FUTURES:
Outstanding, December 31, 1995.. ---- ---- 9 (pound) 22,500
Contracts opened............... ---- ---- 9 22,500
Contracts closed................ ---- ---- (14) (35,000)
--- -------
Outstanding, June 30, 1996...... ---- ---- 4 (pound) 10,000 ($8,989)
==== ==== ==== ======= =======
NIKKEI 300 FUTURES:
Outstanding, December 31, 1995.. ---- ---- 103 (Y) 1,030,000
Contracts opened............... ---- ---- 151 1,510,000
Contracts closed............... ---- ---- (206) (2,060,000)
---- ----------
Outstanding, June 30, 1996...... ---- ---- 48 (Y) 480,000 $162,338
==== ==== ===== =========== ========
</TABLE>
87
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
PURCHASES AND SALES OF SECURITIES, CONTINUED
<TABLE>
<CAPTION>
SALES OF FUTURES CONTRACTS PURCHASES OF FUTURES CONTRACTS
------------------------------------------ -------------------------------------------
NUMBER AGGREGATE FACE UNREALIZED NUMBER AGGREGATE FACE UNREALIZED
OF VALUE OF GAIN OF VALUE OF GAIN
CONTRACTS CONTRACTS CONTRACTS CONTRACTS (LOSS)
---------- ------------------ ---------- ---------- ------------------ -----------
MODERATE ASSET ALLOCATION:
S&P 500 FUTURES:
<S> <C> <C> <C> <C> <C> <C>
Outstanding, December 31, 1995.. 41 $10,250,000 --- ---
Contracts opened............... 105 26,250,000 --- ---
Contracts closed............... (109) (27,250,000) --- ---
--- -----------
Outstanding, June 30, 1996...... 37 $ 9,250,000 $57,203 --- ---
=== =========== ======= === =========
CAC 40 FUTURES:
Outstanding, December 31, 1995.. --- --- 28 FRF 224,000
Contracts opened............... --- --- 35 280,000
Contracts closed............... --- --- (56) (448,000)
--- ---------
Outstanding, June 30, 1996...... --- --- 7 FRF 56,000 $ 221
=== =========== === ========= ========
DAX 30 FUTURES:
Outstanding, December 31, 1995.. --- --- 16 DEM 48,000
Contracts opened............... --- --- 19 57,000
Contracts closed............... --- --- (32) (96,000)
--- ---------
Outstanding, June 30, 1996...... --- --- 3 DEM 9,000 $ 48,072
=== =========== === ========= ========
FTSE 100 FUTURES:
Outstanding, December 31, 1995.. --- --- 17 (pound) 42,500
Contracts opened............... --- --- 20 50,000
Contracts closed............... --- --- (34) (85,000)
--- ---------
Outstanding, June 30, 1996...... --- --- 3 (pound) 7,500 ($23,365)
=== =========== === ========= ========
NIKKEI 300 FUTURES:
Outstanding, December 31, 1995.. --- --- 209 (YEN) 2,090,000
Contracts opened............... --- --- 250 2,500,000
Contracts closed............... --- --- (418) (4,180,000)
--- ---------
Outstanding, June 30, 1996...... --- --- 41 (YEN) 410,000 $221,388
=== =========== ==== ========= ========
CONSERVATIVE ASSET ALLOCATION:
S&P 500 FUTURES:
Outstanding, December 31, 1995.. 6 $ 1,500,000 --- ---
Contracts opened............... 17 4,250,000 --- ---
Contracts closed............... (17) (4,250,000) --- ---
--- -----------
Outstanding, June 30, 1996...... 6 $ 1,500,000 $9,515 --- ---
=== =========== ====== === ===
CAC 40 FUTURES:
Outstanding, December 31, 1995.. --- --- 4 FRF 32,000
Contracts opened............... --- --- 4 32,000
Contracts closed............... --- --- (8) (64,000)
--- -------
Outstanding, June 30, 1996...... --- --- --- FRF ---
=== =========== === ===
DAX 30 FUTURES:
Outstanding, December 31, 1995.. --- --- 2 DEM 6,000
Contracts opened............... --- --- --- ---
Contracts closed............... --- --- (2) (6,000)
--- ---------
Outstanding, June 30, 1996..... --- --- --- DEM ---
=== =========== === =========
FTSE 100 FUTURES:
Outstanding, December 31, 1995.. --- --- 3 (pound) 7,500
Contracts opened............... --- --- 3 7,500
Contracts closed............... --- --- (6) (15,000)
--- ---------
Outstanding, June 30, 1996...... --- --- --- (pound) ---
=== =========== === =========
NIKKEI 300 FUTURES:
Outstanding, December 31, 1995.. --- --- 37 (YEN) 370,000
Contracts opened............... --- --- 33 330,000
Contracts closed............... --- --- (68) (680,000)
--- ---------
Outstanding, June 30, 1996...... --- --- 2 (YEN) 20,000 $ 20,440
=== =========== === ========= ========
</TABLE>
88
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
5. INVESTMENT ADVISORY AGREEMENTS. Effective March 20, 1987, the Trust entered
into an Investment Advisory Agreement with NASL Financial (the "Adviser"), a
wholly-owned subsidiary of Security Life and the principal underwriter of the
variable annuity contracts issued by Security Life and First North American. The
Adviser is responsible for managing the corporate and business affairs of the
Trust and for selecting and compensating subadvisers to handle the investment
and reinvestment of the assets of each portfolio of the Trust, subject to the
supervision of the Trust's Board of Trustees. As compensation for its services,
NASL Financial receives an advisory fee from the Trust based on the average
annual net assets of each particular portfolio. Advisory fees charged to each
portfolio were as follows for the six months ended June 30, 1996:
<TABLE>
<CAPTION>
PORTFOLIO FEE
-------------- ----
<S> <C>
Small/Mid Cap*............................................. 1.00%
International Small Cap*................................... 1.10%
Global Equity.............................................. .90%
Pasadena Growth............................................ .975%
Equity..................................................... .75%
Value Equity............................................... .80%
Growth and Income.......................................... .75%
International Growth and Income............................ .95%
Strategic Bond............................................. .775%
Global Government Bond..................................... .80%
Investment Quality Bond.................................... .65%
U.S. Government Securities................................. .65%
Money Market............................................... .50%
Aggressive Asset Allocation................................ .75%
Moderate Asset Allocation.................................. .75%
Conservative Asset Allocation.............................. .75%
</TABLE>
* For the period March 4, 1996 (commencement of operations) to June 30, 1996.
EXPENSE REIMBURSEMENT. Pursuant to the Advisory Agreement, NASL Financial
reimburses the Trust for expenses (excluding advisory fees, taxes, portfolio
brokerage commissions and interest) incurred in excess of 0.50% of the average
annual net assets of each portfolio, respectively, on an annualized basis in
Small/Mid Cap, Pasadena Growth, Equity, Value Equity, Growth and Income,
Strategic Bond, Investment Quality Bond, U.S. Government Securities, Money
Market and Aggressive, Moderate and Conservative Asset Allocation and 0.75% in
International Small Cap, Global Equity, International Growth and Income and
Global Government Bond. There were no expenses reimbursed by NASL Financial for
the six months ended June 30, 1996. The Subadviser to Pasadena Growth, Roger
Engemann Management Co., Inc. has agreed to reimburse "other expenses" of
Pasadena Growth up to a maximum on an annual basis of .15% of average annual net
assets. For the six months ended June 30, 1996, all "other expenses", .06%, were
reimbursed by them.
6. TRUSTEES' FEES. The Trust pays each Trustee who is not an employee or a
director of the Adviser or its affiliates a fee of $4,750 plus travel expenses
for each Board of Trustees meeting attended. The Trust also pays each Trustee
who is not an employee of the Adviser or its affiliates an annual retainer of
$18,000.
7. COMMITMENTS. At June 30, 1996, International Small Cap, Global Equity,
Equity, International Growth and Income, Strategic Bond, Global Government Bond
and Aggressive, Moderate, and Conservative Asset Allocation Trusts had entered
into forward foreign currency contracts which contractually obligate the
portfolio to deliver currencies at future dates. Open sale and purchase
contracts at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
----------- ------------ ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL SMALL CAP:
SALES
Italian Lira..................... $30,453,365 $19,851 7/05/96 $ 19,888 $ (37)
=========== ======= ========== ------
PURCHASES
$311,805 DEM 476,749 7/01/96 $313,548 $1,743
407,893 JPY 44,460,308 7/02/96 406,531 (1,361)
124,238 NLG 211,451 7/02/96 123,982 (257)
163,539 IDR 380,392,376 7/03/96 163,434 (105)
----------- ---------- ------
$ 1,007,475 $1,007,495 $ 20
=========== ========== ------
$ (17)
======
</TABLE>
89
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
COMMITMENTS, CONTINUED
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
-------------- ------------ ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
GLOBAL EQUITY:
SALES
Japanese Yen.................. 107,750,929 $ 983,667 7/01/96 $ 985,241 $(1,574)
=========== =========== -------
PURCHASES
$727,052 (YEN) 79,641,236 7/01/96 $ 728,215 $1,163
264,914 (YEN) 29,135,302 7/02/96 266,404 1,490
------------- ----------- -------
$991,966 $ 994,619 $2,653
============= =========== ------
$1,079
========
EQUITY:
SALES
Canadian Dollar............... 50,018 $ 36,780 7/02/96 $ 36,635 $ 145
=========== =========== --------
PURCHASES
$ 925,461 CAD 1,258,861 7/02/96 $ 922,040 $(3,276)
-------------- ----------- --------
$ 925,461 $ 922,040 $(3,276)
============== =========== ========
INTERNATIONAL GROWTH
AND INCOME:
SALES
Belgian Franc................. 67,793,036 $ 2,167,409 8/22/96 $ 2,173,376 $ (5,967)
French Franc.................. 26,385,616 5,068,331 8/22/96 5,143,161 (74,830)
German Deutschemark........... 12,771,210 8,371,192 8/22/96 8,427,772 (56,580)
Hong Kong Dollar.............. 14,621,909 1,890,000 8/22/96 1,888,869 1,131
Italian Lira.................. 845,333,840 548,000 8/22/96 549,251 (1,251)
Japanese...................... 1,850,806,835 17,593,221 8/22/96 17,060,382 532,839
Netherlands Guilder........... 2,218,645 1,300,000 8/22/96 1,306,130 (6,130)
----------- ------------ --------
$36,938,153 $ 36,548,941 $389,212
=========== ============ ========
PURCHASES
$ 8,775,000 (YEN) 944,924,525 8/22/96 $ 8,710,133 $ (64,868)
============== ============ ---------
$324,344
=========
STRATEGIC BOND:
SALES
Australian Dollar............. 478,606 $ 372,356 7/22/96 $ 375,581 $ (3,225)
Canadian Dollar............... 2,527,426 1,854,311 7/22/96 1,852,126 2,185
Danish Krone.................. 8,535,657 1,480,856 7/22/96 1,458,493 22,363
German Deutschemark........... 6,356,642 4,215,280 7/22/96 4,186,551 28,729
Great British Pound Sterling.. 1,997,340 3,015,327 7/22/96 3,101,248 (85,921)
Netherland Guilder............ 3,697,954 2,218,328 7/22/96 2,172,007 46,321
----------- ------------ --------
$13,156,458 $ 13,146,006 $10,452
=========== ============ ========
PURCHASES
$ 367,305 AUD 464,942 7/22/96 $ 364,858 $ (2,447)
1,906,128 CAD 2,605,677 7/22/96 1,909,469 3,341
7,429,054 DEM 11,307,435 7/22/96 7,447,196 18,142
1,142,506 DKK 6,660,811 7/22/96 1,138,137 (4,369)
1,645,178 (pound) 1,063,463 7/22/96 1,651,228 6,050
1,645,525 NLG 2,782,584 7/22/96 1,634,361 (11,164)
-------------- ------------ -------
$ 14,135,696 $ 14,145,249 $ 9,553
============== ============ --------
$ 20,005
========
</TABLE>
90
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NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
COMMITMENTS, CONTINUED
<TABLE>
<CAPTION>
NET
UNREALIZED
CONTRACTS IN EXCHANGE SETTLEMENT APPRECIATION
TO DELIVER FOR DATE VALUE (DEPRECIATION)
----------- ------------ ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
GLOBAL GOVERNMENT BOND:
SALES
Japanese Yen ................. 432,900,000 $ 5,000,000 8/09/96 $ 3,982,641 $ 1,017,359
German Deutschemark........... 14,099,500 10,000,000 8/29/96 9,307,854 692,146
German Deutschemark........... 16,129,200 11,000,000 9/13/96 10,657,163 342,837
German Deutschemark........... 10,055,500 7,000,000 10/18/96 6,658,191 341,809
Australian Dollar............. 8,933,799 6,580,698 11/12/96 6,969,061 (388,363)
German Deutschemark........... 9,716,400 6,792,965 11/12/96 6,444,168 348,797
Australian Dollar............. 5,904,165 4,491,084 12/27/96 4,595,063 (103,979)
German Deutschemark........... 6,875,400 4,731,115 12/27/96 4,573,386 157,729
------------ ------------ -----------
$ 55,595,862 $ 53,187,527 $ 2,408,335
============ ============ -----------
PURCHASES
$ 4,881,597 (YEN) 432,900,000 8/09/96 $ 3,982,642 $ (898,955)
9,914,563 DEM 14,099,500 8/29/96 9,307,854 (606,709)
11,055,527 DEM 16,129,200 9/13/96 10,657,163 (398,364)
6,942,009 DEM 10,055,500 10/18/96 6,658,191 (283,818)
6,792,965 AUD 9,000,000 11/12/96 7,020,702 227,737
6,580,698 DEM 9,716,400 11/12/96 6,444,168 (136,530)
4,731,115 AUD 6,000,000 12/27/96 4,669,650 (61,465)
4,491,084 DEM 6,875,400 12/27/96 4,573,385 82,301
------------ ------------ -----------
$ 55,389,558 $53,313,755 $(2,075,803)
============ ============ -----------
$ 332,532
===========
AGGRESSIVE ASSET ALLOCATION:
PURCHASES
$11,916 DKK 70,000 7/01/96 $ 11,949 $ 33
18,779 DKK 110,000 7/02/96 18,776 (3)
------------ ------- ----------- -----------
$ 30,695 180,000 $ 30,725 $ 30
============ =========== ==========
MODERATE ASSET ALLOCATION:
PURCHASES
$17,874 DKK 105,000 7/01/96 $ 17,923 $ 49
============ =========== ===========
CONSERVATIVE ASSET ALLOCATION:
PURCHASES
$ 2,553 DKK 15,000 7/01/96 $ 2,560 $7
5,122 DKK 30,000 7/02/96 5,121 (1)
2,267 SEK 15,000 7/02/96 2,266 (1)
------------ ----------- ----------
$ 9,942 $ 9,947 $ 5
============ =========== ==========
</TABLE>
91
<PAGE> 95
NASL SERIES TRUST
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
8. SUBSEQUENT EVENT. On September 7, 1995, North American Life announced plans
to "amalgamate" with The Manaufacturers Life Insurance company ("MLI"). An
amalgamation is the exclusive method of combining federally chartered mutual
life insurers under the applicable Insurance Companies Act (Canada).
The amalgamation required and received the approval of the Superintendent of
Financial Institutions in Canada, certain US regulatory approvals and the
approval of the policyholders of both mutual companies. The amalgamation of
North American Life and MLI became effective as of January 1, 1996.
MLI is a Canadian federally chartered mutual life insurance company with $29.9
billion (US) in consolidated assets and $2.4 billion (US) in policyholder
surplus as of June 30, 1995. North American Life, also a Canadian federally
chartered mutual life insurance company, had $4.5 billion (US) in assets and
$0.6 billion (US) in policyholders surplus as June 30, 1995.
The survivng company will conduct business under the "The Manufacturers Life
Insurance Company".
Effective January 1, 1996, immediately following the amalgamation, Security Life
experienced a corporate restructuring which resulted in the formation of a newly
organized holding company, NAWL Holding Company, Inc. ("NAWL"). NAWL holds all
of the outstanding shares of Security Life and Wood Logan Associates, Inc.
("WLA"). WLA is a broker-dealer registered with the Securities and Exchange
Commission and is a member of the National Association of Securities Dealers,
Inc. WLA acts as the promotional agent for distribution of the Trust.
MLI owns all of the class A shares of NAWL, representing 85% of the voting
shares of NAWL. Certain employees of WLA own all of the class B shares, which
represent the remaining 15% voting interest in NAWL.
92
<PAGE> 96
MANAGEMENT OF THE TRUST
TRUSTEES
Brian L. Moore, Chairman of the Board
Don B. Allen
William J. Atherton
Charles L. Bardelis
Frederick W. Gorbet
Samuel Iloar
Robert J. Myers
OFFICERS
William J. Atherton, President
Richard C. Ilirtle, Vice President & Treasurer
John G. Veysen, Vice President
James D. Gallagher, Secretary
INVESTMENT ADVISER
NASL, Financial Services, Inc.
Boston, Massachusetts
VARIABLE ANNUITY AND LIFE CONTRACTS
ISSUERS OF CONTRACTS
North American Security Life
Insurance Company
116 Huntington Avenue
Boston, Massachusetts 02116-5743
800-344-1029
In New York Only:
First North American Life
Assurance Company
555 Theodore Friend Avenue/Suite C-209
Rye, New York 10580
800-551-2078
PRINCIPAL UNDERWRITER
NASL Financial Services, Inc.
Boston, Massachusetts
PROMOTIONAL AGENT
Wood Logan Associates, Inc.
Old Greenwich, Connecticut
0896:70317
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