<PAGE> 1
AMERICAN
SKANDIA
TRUST
-----------------------------------------------
SEMIANNUAL REPORT
-----------------------------------------------
JUNE 30, 1997
(UNAUDITED)
<PAGE> 2
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
LORD ABBETT GROWTH AND INCOME PORTFOLIO
JANCAP GROWTH PORTFOLIO
AST MONEY MARKET PORTFOLIO
FEDERATED UTILITY INCOME PORTFOLIO
AST PUTNAM BALANCED PORTFOLIO
FEDERATED HIGH YIELD PORTFOLIO
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
PIMCO TOTAL RETURN BOND PORTFOLIO
INVESCO EQUITY INCOME PORTFOLIO
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
BERGER CAPITAL GROWTH PORTFOLIO
FOUNDERS PASSPORT PORTFOLIO
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
PIMCO LIMITED MATURITY BOND PORTFOLIO
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
AST JANUS OVERSEAS GROWTH PORTFOLIO
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
1
<PAGE> 3
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
FOREIGN STOCK -- 96.5%
AUSTRALIA -- 1.5%
QBE Insurance Group Ltd. ........ 614,613 $ 3,717,605
Westpac Banking Corp. Ltd. ...... 375,100 2,260,356
------------
5,977,961
------------
AUSTRIA -- 1.0%
VA Technologie AG................ 23,000 4,207,511
------------
BRAZIL -- 0.7%
Unibanco Holdings SA Sponsored
[GDR]*......................... 73,500 2,728,687
------------
CANADA -- 6.1%
Bank of Nova Scotia.............. 150,700 6,602,469
CAE, Inc. ....................... 254,700 2,010,450
Magna International, Inc. Cl-A... 73,500 4,423,781
National Bank of Canada.......... 325,541 4,078,398
Newbridge Networks Corp.*........ 21,000 900,282
Northern Telecom Ltd. ........... 73,900 6,649,341
------------
24,664,721
------------
FINLAND -- 1.1%
Nokia AB Cl-A.................... 57,800 4,323,798
------------
FRANCE -- 12.5%
Compagnie Generale des Eaux...... 46,289 5,930,650
Compagnie Generale des Eaux
Warrants*...................... 18,820 11,272
Credit Local de France........... 30,300 2,948,955
Lafarge SA....................... 76,300 4,745,057
Michelin C.G.D.E. Cl-B........... 85,500 5,133,899
Scor SA.......................... 88,000 3,542,639
SGS-Thomson Microelectronics*.... 68,400 5,400,122
Societe Generale................. 49,334 5,506,551
Societe Nationale Elf Aquitaine
SA............................. 50,576 5,455,861
Societe Television Francaise..... 45,100 4,028,704
Total SA Cl-B.................... 77,200 7,802,491
------------
50,506,201
------------
GERMANY -- 8.2%
Altana AG........................ 5,930 6,358,064
Bayer AG......................... 148,738 5,730,860
Bayerische Motoren Werke AG...... 7,500 6,183,705
Deutsche Telekom AG.............. 251,000 6,166,705
Siemans AG....................... 82,500 4,940,729
Veba AG.......................... 68,000 3,840,376
------------
33,220,439
------------
HONG KONG -- 3.8%
Dao Heng Bank Group Ltd. ........ 352,500 1,929,313
First Pacific Co. Ltd. .......... 2,496,000 3,189,756
Guoco Group Ltd. ................ 347,000 1,827,542
HSBC Holdings PLC................ 148,703 4,472,530
Hutchison Whampoa Ltd. .......... 484,000 4,185,986
------------
15,605,127
------------
IRELAND -- 3.2%
Allied Irish Banks PLC........... 514,748 3,953,156
Bank of Ireland PLC.............. 369,100 4,051,438
CRH PLC.......................... 479,700 5,025,774
------------
13,030,368
------------
ITALY -- 1.7%
Ente Nazionale Idrocarburi SPA... 1,233,700 6,984,919
------------
JAPAN -- 16.6%
Canon, Inc. ..................... 279,000 7,595,812
Circle K Japan Co. Ltd. ......... 64,520 3,704,551
Fuji Photo Film Co. ............. 118,900 4,782,976
Hirose Electric Ltd. ............ 30,000 2,057,592
Kao Corp. ....................... 347,000 4,814,398
Keyence Corp. ................... 28,690 4,255,934
Matsushita Electric Works........ 339,000 3,845,550
NEC Corp. ....................... 458,000 6,394,415
Promise Co. Ltd. ................ 12,000 686,911
Rohm Co. ........................ 40,000 4,118,674
Sankyo Co. Ltd. ................. 130,000 4,367,365
Santen Pharmaceutical Ltd. ...... 9,700 195,524
Shin-Etsu Chemical Co. .......... 156,000 4,138,220
Sony Corp. ...................... 91,200 7,950,157
Taisho Pharmaceutical Co.
Ltd. .......................... 72,000 1,941,361
TDK Corp. ....................... 28,000 2,054,799
Tokyo Electron Ltd. ............. 94,000 4,494,939
------------
67,399,178
------------
MALAYSIA -- 0.5%
Malaysian Assurance Alliance
Berhad......................... 338,800 1,973,358
------------
MEXICO -- 1.9%
ALFA SA de CV.................... 52,500 358,150
Cemex SA de CV................... 774,300 3,313,556
Fomento Economico Mexicano SA de
CV Cl-B........................ 273,500 1,628,263
Panamerican Beverages, Inc.
Cl-A........................... 67,100 2,205,913
------------
7,505,882
------------
NETHERLANDS -- 8.8%
ABN AMRO Bank NV................. 186,684 3,480,178
Akzo Nobel NV.................... 32,226 4,415,420
Gucci Group NV................... 41,300 2,658,688
ING Groep NV..................... 142,524 6,569,766
KLM Royal Dutch Airlines NV...... 118,925 3,664,729
Philips Electronics NV........... 106,900 7,655,549
Unilever NV...................... 17,900 3,767,269
Vendex International NV.......... 62,100 3,400,270
------------
35,611,869
------------
POLAND -- 0.1%
Bank Handlowy W Warszawie
144A*.......................... 24,900 308,262
------------
PORTUGAL -- 1.2%
Banco Totta & Acores SA.......... 36,400 608,183
Electricidade de Portugal SA..... 29,200 535,825
Portugal Telecom SA.............. 90,600 3,654,471
------------
4,798,479
------------
</TABLE>
2
<PAGE> 4
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
SINGAPORE -- 0.4%
Cycle & Carriage Ltd. ........... 151,000 $ 1,563,125
------------
SWEDEN -- 4.1%
ABB AB Cl-A...................... 16,465 231,262
Astra AB Cl-A.................... 296,659 5,530,097
Ericsson, (L.M.) Telephone Co.
Cl-B........................... 131,500 5,183,532
Pharmacia & Upjohn, Inc. ........ 61,200 2,067,782
Sandvik AB Cl-B.................. 130,140 3,697,925
------------
16,710,598
------------
SWITZERLAND -- 10.4%
ABB AG........................... 2,500 3,783,210
Ciba Specialty Chemicals AG*..... 65,175 6,024,805
Georg Fischer AG................. 2,700 3,753,081
Julius Baer Holdings AG Cl-B..... 2,870 4,392,256
Nestle SA........................ 5,110 6,739,154
Novartis AG...................... 2,572 4,110,551
Publicitas Holdings SA........... 9,486 1,805,744
Swiss Reinsurance Co. ........... 3,866 5,466,509
Union Bank of Switzerland Cl-B... 5,326 6,090,400
------------
42,165,710
------------
UNITED KINGDOM -- 12.7%
Avis Europe PLC 144A*............ 1,913,531 4,349,731
BAT Industries PLC............... 560,700 5,018,839
British Petroleum Co. PLC........ 324,544 4,034,573
Burmah Castrol PLC............... 142,700 2,417,979
General Electric Co. PLC......... 507,358 3,033,215
Glaxo Wellcome PLC............... 221,400 4,571,866
Molins PLC....................... 84,700 719,363
Norwich Union PLC 144A*.......... 323,300 1,720,168
RTZ Corp. PLC.................... 232,400 4,050,136
Scottish Power PLC............... 649,400 4,228,470
Shell Transport & Trading Co.
PLC............................ 692,700 4,723,820
Smith Industries PLC............. 250,900 3,215,167
Tomkins PLC...................... 656,515 2,842,577
Vodafone Group PLC............... 1,363,700 6,642,612
------------
51,568,516
------------
TOTAL FOREIGN STOCK (COST
$333,257,269)...................... 390,854,709
------------
COMMON STOCK -- 1.1%
TELECOMMUNICATIONS
MCI Communications Corp.
(COST $4,651,451)................ 121,100 4,635,859
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 2.0%
UBS Securities Funding,
Inc. 5.90% dated
06/30/97, repurchase
price $8,142,334
(Collateralized by
U.S. Treasury Note,
par value $5,532,000,
market value
$8,275,966 due
02/15/15) (COST
$8,141,000)........... 07/01/97 $8,141 $ 8,141,000
------------
TOTAL INVESTMENTS -- 99.6%
(COST $346,049,720).................. 403,631,568
OTHER ASSETS LESS
LIABILITIES -- 0.4%.................. 1,434,762
------------
NET ASSETS -- 100.0%................... $405,066,330
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy CAD $ 1,149,362 1.3807 07/97 $ 48
Buy CHF 10,566,967 1.3940 08/97 (434,062)
Buy DEM 1,572,980 1.6847 07/97 (49,992)
Buy ITL 2,683,219 1,696.8100 07/97 (5,833)
Buy JPY 8,329,629 117.0520 07/97 199,659
Buy PTE 609,090 176.0000 07/97 (83)
---------
$ (290,263)
=========
Sell CHF $10,209,074 1.4430 08/97 $ 74,794
Sell DEM 13,784,669 1.7090 07/97 245,589
Sell FRF 30,621,481 5.7381 08/97 636,448
Sell JPY 8,934,394 123.3442 07/97 (703,551)
Sell JPY 7,994,947 110.8200 11/97 97,019
Sell SEK 2,632,024 7.7342 07/97 (3,463)
---------
$ 346,836
=========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.6% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
3
<PAGE> 5
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 89.3%
AUTOMOBILE MANUFACTURERS -- 1.4%
General Motors Corp. .......... 185,000 $ 10,302,188
------------
CHEMICALS -- 4.1%
Dow Chemical Co. .............. 90,000 7,841,250
Hanna, (M.A.) Co. ............. 360,000 10,372,500
Rohm & Haas Co. ............... 130,000 11,708,125
------------
29,921,875
------------
CLOTHING & APPAREL -- 2.2%
Liz Claiborne, Inc. ........... 220,000 10,257,500
VF Corp. ...................... 70,000 5,932,500
------------
16,190,000
------------
COMPUTER HARDWARE -- 6.5%
EMC Corp.*..................... 140,000 5,460,000
Hewlett-Packard Co............. 310,000 17,360,000
International Business Machines
Corp......................... 170,000 15,331,875
Seagate Technology, Inc.*...... 250,000 8,796,875
------------
46,948,750
------------
CONGLOMERATES -- 1.6%
Minnesota Mining &
Manufacturing Co. ........... 115,000 11,730,000
------------
CONSUMER PRODUCTS &
SERVICES -- 3.1%
Fortune Brands, Inc. .......... 290,000 10,820,625
International Flavors &
Fragrances, Inc. ............ 75,000 3,787,500
Whirlpool Corp. ............... 140,000 7,638,750
------------
22,246,875
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.0%
Emerson Electric Co. .......... 240,000 13,215,000
National Service Industries,
Inc. ........................ 180,000 8,763,750
------------
21,978,750
------------
ENVIRONMENTAL SERVICES -- 0.8%
Waste Management, Inc. ........ 181,379 5,826,800
------------
FINANCIAL-BANK & TRUST -- 7.6%
BankAmerica Corp. ............. 110,000 7,101,875
BankBoston Corp. .............. 160,000 11,530,000
Chase Manhattan Corp. ......... 100,000 9,706,250
Comerica, Inc. ................ 100,000 6,800,000
First Chicago NBD Corp. ....... 90,000 5,445,000
Great Western Financial
Corp. ....................... 270,000 14,512,500
------------
55,095,625
------------
FINANCIAL SERVICES -- 2.3%
Morgan Stanley, Dean Witter,
Discover & Co.*.............. 220,000 9,473,750
Providian Financial Corp.*..... 220,000 7,067,500
------------
16,541,250
------------
FOOD -- 7.9%
Archer-Daniels-Midland Co. .... 200,000 4,700,000
Conagra, Inc. ................. 270,000 17,313,750
Heinz, (H.J.) Co. ............. 275,000 12,684,375
Hershey Foods Corp. ........... 110,000 6,084,375
Pioneer Hi-Bred International,
Inc.......................... 90,000 7,200,000
Sara Lee Corp. ................ 220,000 9,157,500
------------
57,140,000
------------
HEALTHCARE SERVICES -- 0.5%
United Healthcare Corp. ....... 65,000 3,380,000
------------
INDUSTRIAL PRODUCTS -- 2.4%
Corning, Inc. ................. 320,000 17,800,000
------------
INSURANCE -- 7.9%
Aegon NV [ADR]................. 109,999 7,706,805
American General Corp. ........ 180,000 8,595,000
Chubb Corp. ................... 290,000 19,393,750
Safeco Corp. .................. 220,000 10,271,250
Transamerica Corp. ............ 122,100 11,423,981
------------
57,390,786
------------
MACHINERY & EQUIPMENT -- 3.9%
Deere & Co. ................... 345,000 18,931,875
Snap-On, Inc. ................. 240,000 9,450,000
------------
28,381,875
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 2.6%
Baxter International, Inc. .... 160,000 8,360,000
Mallinckrodt Group, Inc. ...... 275,000 10,450,000
------------
18,810,000
------------
OIL & GAS -- 6.5%
Chevron Corp. ................. 80,000 5,915,000
Coastal Corp. ................. 200,000 10,637,500
Consolidated Natural Gas
Co. ......................... 200,000 10,762,500
Ente Nazionale Idrocarbure SPA
[ADR]........................ 104,000 5,915,000
Mobil Corp. ................... 200,000 13,975,000
------------
47,205,000
------------
PAPER & FOREST PRODUCTS -- 7.0%
Bowater, Inc. ................. 200,000 9,250,000
Georgia Pacific Corp. ......... 45,000 3,841,875
International Paper Co. ....... 250,000 12,140,625
James River Corp. of
Virginia..................... 300,000 11,100,000
Kimberly-Clark Corp. .......... 285,000 14,178,750
------------
50,511,250
------------
PHARMACEUTICALS -- 4.0%
American Home Products
Corp. ....................... 90,000 6,885,000
Pharmacia & Upjohn, Inc. ...... 200,000 6,950,000
Smithkline Beecham PLC [ADR]... 110,000 10,078,750
Warner-Lambert Co. ............ 40,000 4,970,000
------------
28,883,750
------------
</TABLE>
4
<PAGE> 6
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
PRINTING & PUBLISHING -- 1.0%
Deluxe Corp. .................. 220,000 $ 7,507,500
------------
RESTAURANTS -- 0.8%
Brinker International, Inc.*... 400,000 5,700,000
------------
RETAIL & MERCHANDISING -- 1.8%
Payless Shoesource, Inc.*...... 110,000 6,015,625
Toys 'R' Us, Inc.*............. 210,000 7,350,000
------------
13,365,625
------------
TELECOMMUNICATIONS -- 4.6%
Bell Atlantic Corp. ........... 130,000 9,863,750
Lucent Technologies, Inc. ..... 70,000 5,044,375
MCI Communications Corp. ...... 260,000 9,953,125
SBC Communications, Inc. ...... 140,000 8,662,500
------------
33,523,750
------------
UTILITIES -- 5.8%
Baltimore Gas & Electric
Co. ......................... 330,000 8,806,875
Carolina Power & Light Co. .... 260,000 9,327,500
Cinergy Corp. ................. 180,000 6,266,250
Duke Power Co. ................ 220,000 10,546,250
FPL Group, Inc. ............... 150,000 6,909,375
------------
41,856,250
------------
TOTAL COMMON STOCK (COST
$510,429,626).................... 648,237,899
------------
PREFERRED STOCK -- 3.5%
INSURANCE -- 1.2%
Aetna, Inc. Cl-C 6.25% [CVT]... 90,000 8,437,500
------------
OIL & GAS -- 2.3%
Atlantic Richfield Co. 9.01%
[CVT]........................ 270,000 5,805,000
Occidental Petroleum Corp.
$3.875 [CVT] 144A............ 185,000 10,845,625
------------
16,650,625
------------
TOTAL PREFERRED STOCK (COST
$24,259,533)..................... 25,088,125
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 2.5%
U.S. Treasury Bonds
6.875%
(COST $17,738,832)... 08/15/25 $18,000 18,076,320
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 4.3%
Temporary Investment Cash
Fund......................... 15,706,816 15,706,816
Temporary Investment Fund...... 15,706,816 15,706,816
------------
(COST $31,413,632)............. 31,413,632
------------
TOTAL INVESTMENTS -- 99.6%
(COST $583,841,623).............. 722,815,976
OTHER ASSETS LESS
LIABILITIES -- 0.4%.............. 2,972,637
------------
NET ASSETS -- 100.0%............... $725,788,613
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
5
<PAGE> 7
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- --------------
<S> <C> <C>
COMMON STOCK -- 91.6%
AEROSPACE -- 2.0%
Textron, Inc. ................. 388,850 $ 25,809,919
------------
AIRLINES -- 3.9%
Alaska Air Group, Inc.*........ 202,775 5,196,109
UAL Corp.*..................... 637,975 45,655,086
------------
50,851,195
------------
BEVERAGES -- 4.6%
Coca-Cola Co. ................. 297,200 20,061,000
Coca-Cola Enterprises, Inc. ... 1,728,950 39,765,850
------------
59,826,850
------------
CHEMICALS -- 10.8%
Cytec Industries, Inc.*........ 743,950 27,805,131
Dupont, (E.I.) de Nemours &
Co. ......................... 553,300 34,788,737
Monsanto Co. .................. 1,538,675 66,259,192
Praxair, Inc. ................. 206,900 11,586,400
------------
140,439,460
------------
CLOTHING & APPAREL -- 0.9%
Gucci Group NV................. 187,875 12,094,453
------------
COMPUTER HARDWARE -- 9.0%
Compaq Computer Corp.*......... 69,825 6,930,131
Dell Computer Corp.*........... 531,325 62,397,480
Intel Corp. ................... 235,650 33,418,116
Seagate Technology, Inc.*...... 398,075 14,007,264
------------
116,752,991
------------
COMPUTER SERVICES &
SOFTWARE -- 7.2%
Diebold, Inc. ................. 98,737 3,850,743
First Data Corp. .............. 1,103,853 48,500,541
Microsoft Corp.*............... 293,075 37,037,353
Sapient Corp.*................. 84,000 4,158,000
------------
93,546,637
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.7%
Applied Materials, Inc.*....... 329,475 23,330,948
General Electric Co. .......... 781,550 51,093,831
------------
74,424,779
------------
FARMING & AGRICULTURE -- 1.1%
Delta & Pine Land Co. ......... 393,975 14,035,359
------------
FINANCIAL-BANK & TRUST -- 10.1%
Bank of New York Co., Inc...... 75,425 3,280,988
Banc One Corp. ................ 500,000 24,218,750
Bank Plus Corp.*............... 670,609 7,292,873
Citicorp....................... 403,445 48,640,338
Mercantile Bancorporation,
Inc. ........................ 111,200 6,755,400
State Street Boston Corp. ..... 36,150 1,671,938
Wells Fargo & Co. ............. 149,233 40,218,294
------------
132,078,581
------------
FINANCIAL SERVICES -- 9.4%
Charles Schwab Corp. .......... 131,700 5,358,544
Federal Home Loan Mtge.
Corp. ....................... 692,300 23,797,813
Fannie Mae..................... 776,135 33,858,889
Merrill Lynch & Co., Inc. ..... 570,350 34,007,119
Student Loan Marketing
Assoc. ...................... 200,675 25,485,725
------------
122,508,090
------------
FOOD -- 0.5%
Safeway, Inc.*................. 134,484 6,203,075
------------
OFFICE EQUIPMENT -- 0.7%
Danka Business Systems PLC
[ADR]........................ 225,550 9,219,356
------------
OIL & GAS -- 5.4%
Diamond Offshore Drilling,
Inc.*........................ 419,175 32,748,047
Schlumberger Ltd. ............. 200,000 25,000,000
Transocean Offshore, Inc. ..... 165,575 12,024,884
------------
69,772,931
------------
PHARMACEUTICALS -- 13.4%
American Home Products
Corp. ....................... 482,700 36,926,550
Bristol-Meyers Squibb Co. ..... 39,950 3,235,950
Lilly, (Eli) & Co. ............ 480,875 52,565,648
Pfizer, Inc. .................. 374,975 44,809,513
Warner-Lambert Co. ............ 302,900 37,635,325
------------
175,172,986
------------
RETAIL & MERCHANDISING -- 0.5%
Fred Meyer, Inc.*.............. 139,250 7,197,484
------------
TELECOMMUNICATIONS -- 6.4%
Cincinnati Bell, Inc. ......... 261,250 8,229,375
Lucent Technologies, Inc. ..... 916,725 66,061,495
Qwest Communications
International, Inc.*......... 339,050 9,239,113
------------
83,529,983
------------
TOTAL COMMON STOCK
(COST $909,573,346).............. 1,193,464,129
------------
FOREIGN STOCK -- 7.7%
AUTOMOBILE MANUFACTURERS -- 6.2%
Bayerische Motoren Werke AG --
(DEM)........................ 1,173 967,131
Porsche AG Pfd. -- (DEM)....... 13,419 17,465,243
Volkswagen AG -- (DEM)......... 81,905 62,082,684
------------
80,515,058
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.5%
Sony Corp. -- (JPY)............ 223,000 19,439,529
------------
TOTAL FOREIGN STOCK
(COST $72,080,704)............... 99,954,587
------------
TOTAL INVESTMENTS -- 99.3%
(COST $981,654,050).............. 1,293,418,716
OTHER ASSETS LESS
LIABILITIES -- 0.7%.............. 9,047,789
------------
NET ASSETS -- 100.0%............... $1,302,466,505
============
</TABLE>
6
<PAGE> 8
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy DEM $19,173,831 1.7211 11/97 $ (61,124)
========
Sell DEM $2,151,987 1.7385 07/97 $ 5,898
Sell DEM 59,795,456 1.6724 11/97 1,875,504
Sell DEM 25,951,047 1.6955 12/97 399,511
Sell JPY 17,725,430 115.6530 11/97 (531,630)
--------
$1,749,283
========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
7
<PAGE> 9
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 10.0%
FINANCIAL-BANK & TRUST -- 9.2%
CoreStates Bank NA [VR]
5.65%............... 07/19/97 $20,000 $ 20,000,000
First Union National Bank
NC [VR]
5.73125%............ 07/19/97 5,000 5,000,000
Korea Development Bank
[VR]
5.8425%............. 09/16/97 25,000 24,995,352
Society National Bank of
Cleveland [VR]
5.58%............... 07/01/97 10,000 9,999,869
------------
59,995,221
------------
FINANCIAL SERVICES -- 0.8%
Abbey National Treasury
Services PLC
5.75%............... 02/05/98 5,000 5,000,000
------------
TOTAL CORPORATE OBLIGATIONS
(COST $64,995,221)................ 64,995,221
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 1.5%
Federal Home Loan Bank
[VR]
5.76%
(COST $9,986,200)... 07/08/98 10,000 9,986,200
------------
CERTIFICATES OF DEPOSIT -- 56.4%
Bank of Nova Scotia
5.65%............... 09/23/97 25,000 25,000,000
Bankers Trust NY [VR]
5.69%............... 07/01/97 20,000 19,992,150
5.50%............... 07/07/98 10,000 9,989,208
Bayerische Landesbank
NY
5.50%............... 11/21/97 7,500 7,497,444
5.71%............... 02/06/98 10,000 9,998,267
5.56% [VR].......... 06/26/98 10,000 9,992,328
Canadian Imperial Bank
of Commerce
5.70%............... 08/14/97 15,000 15,000,732
Commerz Bank NY
5.56%............... 07/07/97 24,195 24,195,040
Dai-Ichi Kangyo Bank
Ltd.
5.86%............... 07/28/97 20,000 20,000,550
Deutsche Bank
5.56%............... 07/17/97 10,000 10,000,000
5.55%............... 11/10/97 20,000 19,996,229
Harris Trust Bank
5.59%............... 07/31/97 32,000 32,000,000
Industrial Bank of
Japan NY
5.67%............... 07/11/97 15,000 15,000,041
5.84%............... 08/18/97 15,000 15,000,197
Landesbank Hess
6.08%............... 06/09/98 10,000 9,996,412
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
National Westminster
Bank NY
6.06%............... 05/26/98 $ 5,000 $ 4,999,140
NationsBank Corp.
5.54%............... 07/15/97 15,000 15,000,000
Radobank Nederland NV
NY
5.99%............... 03/24/98 10,000 9,996,519
San Paolo di Torino NY
5.82%............... 12/10/97 15,000 15,000,000
Sanwa Bank
5.65%............... 07/07/97 30,000 29,999,900
Sumitomo Bank Ltd.
5.78%............... 09/02/97 2,000 2,000,035
Sumitomo Bank Ltd. LA
5.68%............... 07/01/97 20,000 20,000,000
5.70%............... 07/03/97 10,000 10,000,022
Swiss Bank Corp.
5.98%............... 03/19/98 15,000 14,997,950
------------
TOTAL CERTIFICATES OF DEPOSIT
(COST $365,652,164)............... 365,652,164
------------
COMMERCIAL PAPER -- 35.1%
FINANCIAL-BANK & TRUST -- 15.8%
Abbey National North
America Corp.
5.30%............... 08/12/97 15,000 14,907,250
ABN AMRO North America
Finance, Inc.
5.615%.............. 08/19/97 15,000 14,885,360
Barclays US Funding
Corp.
5.66%............... 08/22/97 15,000 14,877,367
BBL North America,
Inc.
5.62%............... 07/01/97 3,000 3,000,000
Commonwealth Bank of
Australia
5.52%............... 07/07/97 30,000 29,972,400
Lloyds Bank PLC
5.65%............... 08/22/97 15,000 14,877,583
Royal Bank of Scotland
PLC
5.64%............... 07/28/97 10,000 9,957,700
------------
102,477,660
------------
FINANCIAL SERVICES -- 18.5%
Associates Corp.
5.55%............... 07/24/97 25,000 24,911,354
Cregem North America,
Inc.
5.63%............... 07/07/97 20,000 19,981,233
General Electric
Capital Corp.
5.55%............... 07/22/97 15,000 14,951,437
5.72%............... 10/27/97 15,000 14,718,767
Halifax Building
Society
5.54%............... 07/24/97 28,000 27,900,896
</TABLE>
8
<PAGE> 10
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
UBS Finance Del., Inc.
6.05%............... 07/01/97 $17,683 $ 17,683,000
------------
120,146,687
------------
MACHINERY & EQUIPMENT -- 0.8%
Deere & Co.
5.54%............... 07/25/97 5,000 4,981,533
------------
TOTAL COMMERCIAL PAPER
(COST $227,605,880)............... 227,605,880
------------
TOTAL INVESTMENTS -- 103.0%
(COST $668,239,465)............... 668,239,465
LIABILITES IN EXCESS OF OTHER
ASSETS -- (3.0%).................. (19,537,490)
------------
NET ASSETS -- 100.0%................ $648,701,975
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
9
<PAGE> 11
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 68.8%
AUTOMOBILE MANUFACTURERS -- 0.5%
Ford Motor Co. .................... 16,700 $ 630,425
------------
CONGLOMERATES -- 2.0%
Philip Morris Companies, Inc. ..... 58,600 2,600,375
------------
OIL & GAS -- 2.4%
Exxon Corp. ....................... 13,400 824,100
New Jersey Resources Corp.......... 9,700 304,337
Williams Companies, Inc............ 44,750 1,957,812
------------
3,086,249
------------
REAL ESTATE -- 3.5%
Boston Properties, Inc.*........... 21,300 585,750
Meditrust Corp. [REIT]............. 100,100 3,991,487
------------
4,577,237
------------
TELECOMMUNICATIONS -- 19.5%
Ameritech Corp. ................... 55,500 3,770,531
BellSouth Corp. ................... 86,400 4,006,800
GTE Corp. ......................... 84,400 3,703,050
MCI Communications Corp. .......... 89,400 3,422,344
SBC Communications, Inc. .......... 58,000 3,588,750
Sprint Corp. ...................... 75,500 3,973,187
Telebras SA [ADR].................. 18,500 2,807,375
------------
25,272,037
------------
UTILITIES -- 0.2%
American Water Works Co., Inc. .... 13,900 297,112
------------
UTILITIES -- ELECTRIC -- 36.2%
Cinergy Corp. ..................... 49,600 1,726,700
CMS Energy Corp. .................. 114,400 4,032,600
DPL, Inc. ......................... 140,900 3,469,662
DQE, Inc. ......................... 109,250 3,086,312
Duke Power Co. .................... 106,143 5,088,230
Empresa Nacional Electridad SA
[ADR]............................ 91,670 2,068,304
FPL Group, Inc. ................... 85,400 3,933,737
GPU, Inc. ......................... 26,100 936,337
Korea Electric Power Corp. [ADR]... 42,900 801,694
National Power PLC [ADR]........... 72,200 2,540,538
NIPSCO Industries, Inc. ........... 79,100 3,267,819
Pacificorp......................... 94,200 2,072,400
PG&E Corp. ........................ 40,200 974,850
Pinnacle West Capital Co. ......... 115,500 3,472,219
Portland General Corp. ............ 36,900 1,464,469
Southern Co. ...................... 121,900 2,666,563
Teco Energy, Inc. ................. 118,600 3,031,713
Texas Utilities Co. ............... 70,200 2,417,513
------------
47,051,660
------------
UTILITIES -- GAS -- 4.5%
MCN Energy Group, Inc. ............ 98,700 3,022,688
Pacific Enterprises................ 83,000 2,790,875
------------
5,813,563
------------
TOTAL COMMON STOCK
(COST $77,666,867)................... 89,328,658
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PREFERRED STOCK -- 18.9%
COMPUTER SERVICES & SOFTWARE -- 1.9%
Microsoft Corp. 2.75% [CVT]........ 29,200 $ 2,540,400
------------
CONTAINERS & PACKAGING -- 0.6%
Amcor Ltd. 7.25% [CVT]............. 13,700 726,100
------------
ENVIRONMENTAL SERVICES -- 1.1%
Browning-Ferris Industries, Inc.
7.25% [CVT]...................... 44,300 1,472,975
------------
FINANCIAL-BANK & TRUST -- 0.9%
National Australia Bank Ltd. 7.875%
[CVT]............................ 40,000 1,117,500
------------
FINANCIAL SERVICES -- 6.0%
Merrill Lynch & Co., Inc. [CVT]
6.25%............................ 33,000 1,237,500
6.50%............................ 27,700 2,285,250
7.25%............................ 12,700 869,950
Salomon, Inc. [CVT]
6.25%............................ 24,200 1,545,775
7.625%........................... 24,200 850,025
SunAmerica, Inc. $3.10 [CVT]....... 24,600 1,073,175
------------
7,861,675
------------
INSURANCE -- 1.0%
Aetna, Inc. Cl-C 6.25% [CVT]....... 13,800 1,293,750
------------
METALS & MINING -- 1.0%
Coeur D'arlene Mines Corp. 7.00%
[CVT]............................ 74,700 1,251,225
------------
OIL & GAS -- 3.0%
Tosco Financing Trust 5.75% [CVT]
144A............................. 26,300 1,499,100
Williams Companies, Inc. $3.50
[CVT]............................ 23,700 2,417,993
------------
3,917,093
------------
PRINTING & PUBLISHING -- 0.6%
Hollinger International Publishing
Co. 9.75% [CVT].................. 65,400 752,100
------------
TELECOMMUNICATIONS -- 2.1%
Airtouch Communications, Inc.
$2.125 Cl-C [CVT]................ 27,700 1,329,600
TCI Pacific Communications, Inc.
$5.00 [CVT]...................... 13,500 1,397,250
------------
2,726,850
------------
UTILITIES -- ELECTRIC -- 0.5%
Cal Energy Co., Inc. 6.25% [CVT]
144A............................. 11,000 616,000
------------
UTILITIES -- GAS -- 0.2%
MCN Energy Group, Inc. 8.00%
[CVT]............................ 5,800 314,287
------------
TOTAL PREFERRED STOCK
(COST $21,692,405)................... 24,589,955
------------
</TABLE>
10
<PAGE> 12
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
FOREIGN STOCK -- 5.7%
TELECOMMUNICATIONS -- 2.4%
Nippon Telegraph & Telephone
Corp. -- (JPY)................... 1,400 $ 1,343,805
Stet di Risp SPA -- (ITL).......... 530,500 1,841,147
------------
3,184,952
------------
UTILITIES -- ELECTRIC -- 3.3%
China Light & Power Co. Ltd. --
(HKD)............................ 284,000 1,609,387
Electricidade de Portugal
SA -- (PTE)...................... 145,580 2,671,420
------------
4,280,807
------------
TOTAL FOREIGN STOCK
(COST $6,288,087).................... 7,465,759
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- ------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 4.1%
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.2%
Solectron Corp. Notes [CVT]
144A
6.00%.................... 03/01/06 $1,245 1,551,581
------------
HEALTHCARE SERVICES -- 1.5%
Roche Holdings, Inc. Notes
[ZCB] 144A
6.375%................... 05/06/12 3,100 1,340,750
Tenet Healthcare Corp. Sub.
Notes [CVT]
6.00%.................... 12/01/05 500 631,250
------------
1,972,000
------------
PHARMACEUTICALS -- 1.0%
Alza Corp. Sub. Debs. [CVT]
5.00%.................... 05/01/06 1,350 1,361,813
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
UTILITIES -- ELECTRIC -- 0.4%
Korea Electric Power Debs.
[CVT]
5.00%.................... 08/01/01 $ 470 $ 470,588
------------
TOTAL CORPORATE OBLIGATIONS
(COST $4,879,328)..................... 5,355,982
------------
REPURCHASE AGREEMENTS -- 1.5%
Greenwich Capital Markets,
Inc. 5.95% dated
06/30/97, repurchase
price $1,894,313
(Collateralized by U.S.
Treasury Note, par value
$1,878,000, market value
$1,975,421 due 05/15/04)
(COST $1,894,000)........ 07/01/97 1,894 1,894,000
------------
TOTAL INVESTMENTS -- 99.0%
(COST $112,420,687)................... 128,634,354
OTHER ASSETS LESS LIABILITIES -- 1.0%... 1,269,406
------------
NET ASSETS -- 100.0%.................... $129,903,760
============
</TABLE>
- ----------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH DEPRECIATION
- -----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy ITL $ 92,946 1,697.1999 7/97 $ (163)
Buy HKD 105,826 7.7445 7/97 (36)
------
$ (199)
=============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 3.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
11
<PAGE> 13
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 51.0%
ADVERTISING -- 0.2%
Omnicom Group, Inc................. 8,100 $ 499,162
----------
AEROSPACE -- 1.5%
General Motors Corp. Cl-H.......... 20,443 1,180,583
Northrop Grumman Corp.............. 15,268 1,340,721
Precision Castparts Corp........... 6,200 369,675
Rockwell International Corp........ 17,704 1,044,536
United Technologies Corp........... 10,944 908,352
----------
4,843,867
----------
AIRLINES -- 0.3%
Delta Air Lines, Inc............... 13,151 1,078,382
----------
AUTOMOBILE MANUFACTURERS -- 0.9%
Ford Motor Co...................... 33,674 1,271,193
General Motors Corp................ 28,118 1,565,821
----------
2,837,014
----------
AUTOMOTIVE PARTS -- 1.9%
Dana Corp.......................... 28,330 1,076,540
Eaton Corp......................... 11,755 1,026,358
Goodyear Tire & Rubber Co.......... 18,788 1,189,515
Lear Corp.*........................ 20,145 893,934
Magna International, Inc. Cl-A..... 3,300 198,619
TRW, Inc........................... 32,043 1,820,443
----------
6,205,409
----------
BEVERAGES -- 0.4%
Anheuser-Busch Companies, Inc...... 20,878 875,571
Coca-Cola Enterprises, Inc......... 17,300 397,900
----------
1,273,471
----------
BROADCASTING -- 0.2%
Clear Channel Communications,
Inc.*............................ 7,500 461,250
Evergreen Media Corp. Cl-A*........ 6,900 307,912
----------
769,162
----------
BUILDING MATERIALS -- 1.4%
Armstrong World Industries, Inc.... 17,223 1,263,738
Lowe's Companies, Inc.............. 36,700 1,362,488
Masco Corp......................... 35,750 1,492,562
Sherwin-Williams Co................ 8,100 250,088
Terex Corp. Appreciation Rights*... 600 9,300
----------
4,378,176
----------
BUSINESS SERVICES -- 0.5%
Accustaff, Inc.*................... 12,200 288,225
Equifax, Inc....................... 16,300 606,156
Norrell Corp....................... 13,500 445,500
Quintiles Transnational Corp.*..... 4,700 327,237
Telespectrum Worldwide, Inc.*...... 4,800 33,750
----------
1,700,868
----------
CHEMICALS -- 1.8%
Dupont, (E.I.) de Nemours & Co..... 23,230 1,460,586
Eastman Chemical Co................ 21,222 1,347,597
Hercules, Inc...................... 18,825 901,247
Praxair, Inc....................... 5,800 324,800
Witco Corp......................... 43,573 1,653,051
----------
5,687,281
----------
CLOTHING & APPAREL -- 0.3%
Hilfiger, (Tommy) Corp.*........... 5,100 $ 204,956
Jones Apparel Group, Inc.*......... 6,300 300,825
Just For Feet, Inc.*............... 1,300 22,669
St. John Knits, Inc................ 3,900 210,600
WestPoint Stevens, Inc.*........... 7,600 297,350
----------
1,036,400
----------
COMPUTER HARDWARE -- 1.5%
Gateway 2000, Inc.*................ 7,600 246,525
Hewlett-Packard Co................. 28,230 1,580,880
International Business Machines
Corp............................. 31,536 2,844,153
----------
4,671,558
----------
COMPUTER SERVICES & SOFTWARE -- 1.7%
BMC Software, Inc.*................ 5,200 287,950
Cognos, Inc.*...................... 7,700 239,662
Computer Associates International,
Inc.............................. 25,145 1,400,262
Diebold, Inc....................... 8,600 335,400
Fiserv, Inc.*...................... 1,600 71,400
Gartner Group, Inc. Cl-A*.......... 7,500 269,531
McAfee Associates, Inc.*........... 6,100 385,062
NCR Corp.*......................... 34,590 1,029,052
Parametric Technology Corp.*....... 7,900 336,244
Paychex, Inc....................... 11,500 437,000
Peoplesoft, Inc.*.................. 6,300 332,325
Sterling Commerce, Inc.*........... 6,100 200,538
Viasoft, Inc.*..................... 3,300 167,475
----------
5,491,901
----------
CONGLOMERATES -- 1.7%
Minnesota Mining & Manufacturing
Co............................... 26,248 2,677,296
Philip Morris Companies, Inc....... 39,032 1,732,045
Tenneco, Inc....................... 23,270 1,051,513
----------
5,460,854
----------
CONSUMER PRODUCTS & SERVICES -- 3.1%
Apollo Group, Inc. Cl-A*........... 9,300 327,825
Blyth Industries, Inc.*............ 7,500 253,125
Colgate-Palmolive Co............... 20,294 1,324,183
Eastman Kodak Co................... 30,375 2,331,281
Estee Lauder Co. Cl-A.............. 4,900 246,225
Fortune Brands, Inc................ 29,366 1,095,719
Gallaher Group PLC [ADR]*.......... 29,366 541,436
Rexall Sundown, Inc.*.............. 3,600 140,400
Tupperware Corp.................... 39,685 1,448,502
Whirlpool Corp..................... 20,120 1,097,798
Whitman Corp....................... 42,371 1,016,904
----------
9,823,398
----------
CONTAINERS & PACKAGING -- 1.0%
Crown Cork & Seal Co., Inc......... 22,374 1,195,611
Owens-Illinois, Inc.*.............. 44,785 1,388,335
Temple-Inland, Inc................. 11,096 599,184
----------
3,183,130
----------
</TABLE>
12
<PAGE> 14
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.8%
Electronics For Imaging, Inc.*..... 5,600 $ 264,600
General Signal Corp................ 20,027 873,678
KLA Instruments Corp.*............. 6,000 292,500
LSI Logic Corp.*................... 9,400 300,800
Polaroid Corp...................... 43,838 2,433,009
Sawtek, Inc.*...................... 2,300 77,625
SCI Systems, Inc.*................. 4,000 255,000
Symbol Technologies, Inc........... 4,800 161,400
Teradyne, Inc.*.................... 6,200 243,350
Texas Instruments, Inc............. 11,645 978,908
----------
5,880,870
----------
ENERGY SERVICES -- 0.1%
AES Corp.*......................... 6,100 431,575
----------
ENTERTAINMENT & LEISURE -- 0.2%
Callaway Golf Co................... 6,600 234,300
Harley-Davidson, Inc............... 6,100 292,419
----------
526,719
----------
ENVIRONMENTAL SERVICES -- 0.5%
U.S. Filter Corp.*................. 13,100 356,975
United Waste Systems, Inc.*........ 6,600 270,600
USA Waste Services, Inc.*.......... 7,600 293,550
Waste Management, Inc.............. 20,419 655,960
----------
1,577,085
----------
FARMING & AGRICULTURE -- 0.1%
Dekalb Genetics Corp. Cl-B......... 3,000 239,250
----------
FINANCIAL-BANK & TRUST -- 5.4%
Banc One Corp...................... 32,050 1,552,422
Bankers Trust New York Corp........ 14,607 1,270,809
Charter One Financial, Inc......... 6,100 328,638
First of America Bank Corp......... 7,800 356,850
First Tennessee National Corp...... 6,990 335,520
Fleet Financial Group, Inc......... 28,767 1,819,513
Great Western Financial Corp....... 3,400 182,750
GreenPoint Financial Corp.......... 6,100 406,031
Huntington Bancshares, Inc......... 10,970 322,244
Keycorp............................ 21,178 1,183,321
Mellon Bank Corp................... 16,442 741,945
Mercantile Bancorporation, Inc..... 9,080 551,610
Morgan, (J.P.) & Co., Inc.......... 23,279 2,429,746
Northern Trust Corp................ 8,300 401,512
Old Kent Financial Corp............ 6,825 368,550
PNC Bank Corp...................... 57,788 2,405,425
Redwood Trust, Inc................. 3,700 172,975
Regions Financial Corp............. 15,200 480,700
State Street Boston Corp........... 9,000 416,250
Summit Bancorp..................... 13,150 659,144
TCF Financial Corp................. 3,000 148,125
Union Planters Corp................ 13,485 699,534
Westamerica Bancorporation......... 3,100 235,600
----------
17,469,214
----------
FINANCIAL SERVICES -- 1.3%
Ahmanson, (H.F.) & Co.............. 30,990 1,332,570
Beneficial Corp.................... 10,200 724,838
Esat Holdings Ltd. Warrants*....... 35 0
Finova Group, Inc.................. 5,900 451,350
Reliastar Financial Corp........... 3,000 219,375
Salomon, Inc....................... 17,150 953,969
SunAmerica, Inc.................... 7,000 341,250
----------
4,023,352
----------
FOOD -- 1.1%
General Mills, Inc................. 19,501 1,270,003
RJR Nabisco Holdings Corp.......... 29,650 978,450
Sara Lee Corp...................... 29,960 1,247,085
----------
3,495,538
----------
FURNITURE -- 0.1%
Leggett & Platt, Inc............... 7,700 331,100
----------
HEALTHCARE SERVICES -- 0.6%
Genesis Health Ventures, Inc.*..... 6,000 202,500
Health Care & Retirement Corp.*.... 7,400 246,975
Health Management Associates,
Inc.*............................ 10,500 299,250
Healthsouth Corp.*................. 16,100 401,494
Omnicare, Inc...................... 15,200 476,900
Oxford Health Plans, Inc.*......... 4,900 351,575
----------
1,978,694
----------
HOTELS & MOTELS -- 0.1%
Hillenbrand Industries, Inc........ 6,200 294,500
----------
INSURANCE -- 1.8%
American General Corp.............. 29,866 1,426,101
AON Corp........................... 31,266 1,618,015
Capmac Holdings, Inc............... 6,800 228,650
CIGNA Corp......................... 3,052 541,730
Hartford Life, Inc. Cl-A*.......... 8,000 300,000
USF&G Corp......................... 68,073 1,633,752
----------
5,748,248
----------
MACHINERY & EQUIPMENT -- 0.9%
Cooper Industries, Inc............. 25,920 1,289,520
New Holland NV..................... 54,074 1,480,276
----------
2,769,796
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.9%
Baxter International, Inc.......... 42,521 2,221,722
Stryker Corp....................... 10,900 380,138
U.S. Surgical Corp................. 6,300 234,675
----------
2,836,535
----------
METALS & MINING -- 0.4%
Freeport-McMoran
Copper & Gold, Inc. Cl-A......... 45,339 1,326,166
----------
OFFICE EQUIPMENT -- 0.9%
Xerox Corp......................... 36,626 2,888,876
----------
OIL & GAS -- 4.5%
Amoco Corp......................... 18,972 1,649,378
Atlantic Richfield Co.............. 9,325 657,412
British Petroleum Co. PLC [ADR].... 19,832 1,484,921
Camco International, Inc........... 6,000 328,500
Coastal Corp....................... 18,165 966,151
</TABLE>
13
<PAGE> 15
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Ente Nazionale Idrocarbure SPA
[ADR]............................ 4,900 $ 278,688
Exxon Corp......................... 22,531 1,385,656
Global Marine, Inc.*............... 11,100 258,075
Halliburton Co..................... 4,900 388,325
Mobil Corp......................... 21,566 1,506,924
Occidental Petroleum Corp.......... 50,146 1,256,784
Societe Nationale Elf Aquitaine SA
[ADR]............................ 33,880 1,844,342
Tosco Corp......................... 9,300 278,419
Total SA [ADR]..................... 29,646 1,500,829
Western Atlas, Inc.*............... 3,400 249,050
YPF SA [ADR]....................... 13,100 402,825
----------
14,436,279
----------
PAPER & FOREST PRODUCTS -- 1.4%
Kimberly-Clark Corp................ 49,392 2,457,252
Weyerhaeuser Co.................... 36,435 1,894,620
----------
4,351,872
----------
PHARMACEUTICALS -- 2.0%
American Home Products Corp........ 20,308 1,553,562
BioChem Pharma, Inc.*.............. 6,800 151,300
Bristol-Meyers Squibb Co........... 18,082 1,464,642
Cardinal Health, Inc............... 7,450 426,512
Dura Pharmaceutical, Inc.*......... 7,700 307,038
Elan Corp. PLC [ADR]*.............. 7,200 325,800
Pharmacia & Upjohn, Inc............ 64,647 2,246,484
----------
6,475,338
----------
PRINTING & PUBLISHING -- 0.6%
Belo, (A.H.) Corp. Cl-A............ 8,500 353,812
Central Newspapers, Inc. Cl-A...... 2,600 186,225
McGraw-Hill Co., Inc............... 24,505 1,441,200
----------
1,981,237
----------
RAILROADS -- 1.0%
Canadian National Railway Co....... 15,880 694,750
Norfolk Southern Corp.............. 13,029 1,312,672
Union Pacific Corp................. 17,526 1,235,584
----------
3,243,006
----------
RESTAURANTS -- 0.0%
AmeriKing, Inc.*................... 25 1,250
CKE Restaurants, Inc............... 3,600 113,850
----------
115,100
----------
RETAIL & MERCHANDISING -- 1.8%
Bed, Bath & Beyond, Inc.*.......... 6,900 209,588
Borders Group, Inc.*............... 15,800 381,175
Consolidated Stores Corp.*......... 11,406 396,368
Eagle Hardware & Garden, Inc.*..... 9,600 219,600
Harcourt General, Inc.............. 4,500 214,312
Kmart Corp.*....................... 120,970 1,481,882
Linens 'N Things, Inc.*............ 6,200 183,675
Payless Shoesource, Inc.*.......... 3,300 180,469
Pier 1 Imports, Inc................ 10,300 272,950
Rite Aid Corp...................... 9,200 458,850
Sears Roebuck & Co................. 23,834 1,281,078
TJX Companies, Inc................. 24,200 638,275
----------
5,918,222
----------
SEMI-CONDUCTORS -- 0.7%
Intel Corp......................... 6,175 875,692
Motorola, Inc...................... 19,191 1,458,516
----------
2,334,208
----------
TELECOMMUNICATIONS -- 3.5%
ADC Telecommunications, Inc.*...... 5,700 190,238
Ameritech Corp..................... 19,854 1,348,831
AT&T Corp.......................... 23,015 806,963
BellSouth Corp..................... 35,173 1,631,148
Cascade Communications Corp.*...... 6,100 168,512
Cincinnati Bell, Inc............... 14,000 441,000
Intercel, Inc. Warrants 144A*...... 640 4,608
Jacor Communications, Inc.*........ 8,400 321,300
Nextlink Communications, Inc.
Warrants 144A*................... 385 0
SBC Communications, Inc............ 30,454 1,884,341
Sprint Corp........................ 52,636 2,769,970
Teleport Communications Group, Inc.
Cl-A............................. 9,800 334,425
Tellabs, Inc.*..................... 5,200 290,550
U.S. West Communications Group..... 24,200 912,038
----------
11,103,924
----------
TRANSPORTATION -- 0.4%
Ryder Systems, Inc................. 36,100 1,191,300
Sabre Group Holdings, Inc.*........ 8,700 235,988
Wisconsin Central Transportation
Corp.*........................... 500 18,625
----------
1,445,913
----------
UTILITIES -- 0.5%
Calenergy, Inc..................... 9,400 357,200
Duke Power Co...................... 23,191 1,111,714
----------
1,468,914
----------
TOTAL COMMON STOCK
(COST $141,849,820).................. 163,631,564
----------
PREFERRED STOCK -- 0.5%
BROADCASTING -- 0.0%
American Radio Systems 11.375%..... 2 219
Chancellor Broadcasting Co. 12.00%
144A............................. 400 46,000
Citadel Broadcasting Co. 13.25%
[PIK] 144A....................... 20 20,000
----------
66,219
----------
ENTERTAINMENT & LEISURE -- 0.1%
Time Warner, Inc. Cl-M 10.25%...... 215 239,610
----------
MACHINERY & EQUIPMENT -- 0.4%
Case Corp. Cl-A $4.50 [CVT]........ 7,545 1,225,240
----------
RESTAURANTS -- 0.0%
AmeriKing, Inc. 13.00%............. 1,000 28,000
----------
</TABLE>
14
<PAGE> 16
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
TELECOMMUNICATIONS -- 0.0%
Cablevision Systems Corp. Cl-M
11.125% [PIK].................... 73 $ 73,611
----------
UTILITIES -- 0.0%
El Paso Electric Co. 11.40%
[PIK]............................ 392 44,296
Public Service New Hampshire Cl-A
10.60%........................... 1,410 35,250
----------
79,546
----------
TOTAL PREFERRED STOCK
(COST $1,329,561).................... 1,712,226
----------
FOREIGN STOCK -- 10.0%
AIRLINES -- 0.1%
KLM Royal Dutch Airlines NV --
(NLG)............................ 4,600 141,751
Swire Pacific Ltd. Cl-A -- (HKD)... 15,000 135,056
----------
276,807
----------
AUTOMOBILE MANUFACTURERS -- 0.2%
Bayerische Motoren Werke AG --
(DEM)............................ 600 494,696
Edaran Otomobil Nasional BHD --
(MYR)............................ 5,000 42,594
----------
537,290
----------
AUTOMOTIVE PARTS -- 0.2%
Bridgestone Corp. -- (JPY)......... 7,000 162,478
Denso Corp. -- (JPY)............... 7,000 167,365
Michelin C.G.D.E. Cl-B -- (FRF).... 7,000 420,319
----------
750,162
----------
BEVERAGES -- 0.0%
Fomento Economico Mexicano SA
Cl-B -- (MXP).................... 21,900 130,380
----------
BUILDING MATERIALS -- 0.3%
Cemex SA de CV -- (MXP)............ 45,500 194,714
CRH PLC -- (IEP)................... 39,900 418,029
Daikin Industries Ltd. -- (JPY).... 10,000 90,750
Lafarge SA -- (FRF)................ 5,400 335,823
----------
1,039,316
----------
CHEMICALS -- 0.6%
Akzo Nobel NV -- (NLG)............. 3,600 493,251
Bayer AG -- (DEM).................. 10,899 419,938
Ciba Specialty Chemicals AG --
(CHF)............................ 3,611 333,802
Sekisui Chemical Co.
Ltd. -- (JPY).................... 13,000 131,588
Shin-Etsu Chemical Co. -- (JPY).... 19,000 504,014
----------
1,882,593
----------
CLOTHING & APPAREL -- 0.1%
Onward Kashiyama Co.
Ltd. -- (JPY).................... 9,000 149,215
----------
COMPUTER SERVICES & SOFTWARE -- 0.1%
NEC Corp. -- (JPY)................. 31,000 432,810
----------
CONGLOMERATES -- 0.9%
Alfa SA de CV -- (MXP)............. 39,500 269,465
BAT Industries PLC -- (GBP)........ 53,600 479,775
Compagnie Generale des Eaux --
(FRF)............................ 2,200 281,869
Compagnie Generale des Eaux
Warrants -- (FRF)*............... 480 288
Cycle & Carriage Ltd. -- (SGD)..... 12,000 124,222
Hutchison Whampoa Ltd. -- (HKD).... 37,000 320,003
Mitsui & Co. Ltd. -- (JPY)......... 31,000 297,558
Securicor PLC -- (GBP)............. 29,700 140,960
Smith Industries PLC -- (GBP)...... 24,095 308,766
Sungei Way Holdings BHD --
(MYR)............................ 37,400 70,538
Tomkins PLC -- (GBP)............... 70,271 304,259
Unilever NV -- (NLG)............... 1,300 273,601
----------
2,871,304
----------
CONSUMER PRODUCTS & SERVICES -- 0.3%
Electrolux AB Cl-B -- (SEK)........ 3,000 216,705
Fuji Photo Film Co. -- (JPY)....... 9,000 362,042
Kao Corp. -- (JPY)................. 28,000 388,482
----------
967,229
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1 .1%
Electricidade de
Portugal -- (PTE)................ 2,400 44,040
General Electric Co.
PLC -- (GBP)..................... 46,600 278,596
Hirose Electric Ltd. -- (JPY)...... 2,400 164,608
Matsushita Electric Works Ltd. --
(JPY)............................ 31,000 351,658
Murata Manufacturing Co. Ltd. --
(JPY)............................ 4,000 159,162
Omron Corp. -- (JPY)............... 17,000 360,471
Philips Electronics NV -- (NLG).... 8,100 580,074
Rohm Co. -- (JPY).................. 4,000 411,868
SGS-Thomson Microelectronics NV --
(FRF)*........................... 5,700 450,010
Sony Corp. -- (JPY)................ 5,000 435,864
Tokyo Electron Ltd. -- (JPY)....... 5,000 239,092
----------
3,475,443
----------
ENERGY SERVICES -- 0 .1%
VA Technologie AG -- (ATS)......... 2,000 365,871
----------
FINANCIAL-BANK & TRUST -- 1.3%
ABN AMRO Bank NV -- (NLG).......... 17,432 324,969
Allied Irish Banks PLC -- (IEP).... 47,886 367,754
Bank of Nova Scotia -- (CAD)....... 4,000 175,248
Commonwealth Bank of Australia --
(AUD)............................ 13,800 166,944
Dao Heng Bank Group Ltd. --
(HKD)............................ 28,000 153,250
Developmental Bank of Singapore
Ltd. Cl-F -- (SGD)............... 8,000 100,720
Dresdner Bank AG -- (DEM).......... 9,500 332,808
HSBC Holdings PLC -- (HKD)......... 17,165 516,271
ING Groep NV -- (NLG).............. 12,181 561,494
Julius Baer Holdings AG Cl-B --
(CHF)............................ 200 306,081
Malayan Banking BHD -- (MYR)....... 10,000 105,000
Union Bank of Switzerland Cl-B --
(CHF)............................ 480 548,891
</TABLE>
15
<PAGE> 17
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
United Overseas Bank
Ltd. -- (SGD).................... 20,000 $ 205,638
Westpac Banking Corp. Ltd. --
(AUD)............................ 57,100 344,085
----------
4,209,153
----------
FINANCIAL SERVICES -- 0.3%
Bank of Ireland -- (IEP)........... 34,500 378,690
Cetelem Group SA -- (FRF).......... 1,400 176,036
Credit Local de France -- (FRF).... 2,500 243,313
Gucco Group Ltd. -- (HKD).......... 24,000 126,401
Promise Co. Ltd. -- (JPY).......... 1,000 57,243
----------
981,683
----------
FOOD -- 0.4%
Goodman Fielder Ltd. -- (AUD)...... 110,900 163,507
Greencore Group PLC -- (IEP)....... 37,895 186,463
Ito-Yokado Co. Ltd. -- (JPY)....... 6,000 348,168
Nestle SA -- (CHF)................. 385 507,744
----------
1,205,882
----------
INSURANCE -- 0.2%
Mapfre Vida SA -- (ESP)............ 2,000 129,632
Norwich Union PLC 144A --
(GBP)*........................... 27,000 143,658
Swiss Reinsurance Co. -- (CHF)..... 330 466,619
----------
739,909
----------
MACHINERY & EQUIPMENT -- 0.3%
ABB AG -- (CHF).................... 208 314,763
Kurita Water Industries Ltd. --
(JPY)............................ 8,000 212,914
Rieter Holdings AG -- (CHF)........ 250 97,747
Sandvik AB Cl-A -- (SEK)........... 1,440 40,918
Sandvik AB Cl-B -- (SEK)........... 12,100 343,821
----------
1,010,163
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
Sankyo Co. Ltd. -- (JPY)........... 11,000 369,546
----------
METALS & MINING -- 0.2%
Kawasaki Steel Corp. -- (JPY)...... 28,000 91,134
Nippon Steel Co. -- (JPY).......... 55,000 175,654
RTZ Corp. PLC -- (GBP)............. 18,400 320,665
----------
587,453
----------
OFFICE EQUIPMENT -- 0.2%
Canon, Inc. -- (JPY)............... 21,000 571,728
----------
OIL & GAS -- 0.9%
British Petroleum Co.
PLC -- (GBP)..................... 24,500 304,572
Burmah Castrol PLC -- (GBP)........ 19,700 333,807
Ente Nazionale Idrocarburi SPA --
(ITL)............................ 107,800 610,338
Hong Kong & China Gas Co. Ltd. --
(HKD)............................ 53,200 106,444
Shell Transport & Trading Co.
PLC -- (GBP)..................... 50,400 343,699
Societe Nationale Elf Aquitaine
SA -- (FRF)...................... 4,350 469,254
Total SA Cl-B -- (FRF)............. 5,500 555,877
----------
2,723,991
----------
PAPER & FOREST PRODUCTS -- 0.1%
Svenska Cellulosa AB
Cl-B -- (SEK).................... 11,500 $ 244,893
----------
PHARMACEUTICALS -- 0.4%
Astra AB Cl-A -- (SEK)............. 19,200 357,911
Novartis AG -- (CHF)............... 204 326,031
Pharmacia & Upjohn,
Inc. -- (SEK).................... 5,100 172,315
Santen Pharmaceutical
Ltd. -- (JPY).................... 7,700 155,209
Yamanouchi Pharmaceutical Co.
Ltd. -- (JPY).................... 7,000 188,133
----------
1,199,599
----------
PRINTING & PUBLISHING -- 0.1%
Dai Nippon Printing Co. Ltd. --
(JPY)............................ 17,000 384,206
----------
RAILROADS -- 0.1%
East Japan Railway Co. Ltd. --
(JPY)............................ 61 312,984
----------
REAL ESTATE -- 0.1%
Amoy Properties Ltd. -- (HKD)...... 140,000 154,515
Cheung Kong Holdings Ltd. --
(HKD)............................ 27,000 266,626
Hong Kong Land Holdings Ltd. --
(HKD)............................ 1,900 5,054
----------
426,195
----------
RETAIL & MERCHANDISING -- 0.2%
Marui Co. Ltd. -- (JPY)............ 14,000 260,209
Vendex International NV -- (NLG)... 6,000 328,528
----------
588,737
----------
TELECOMMUNICATIONS -- 0.8%
Deutsche Telekom AG -- (DEM)....... 27,600 678,092
Ericsson, (L.M.) Telephone Co.
Cl-B --
(SEK)............................ 6,660 262,527
Newbridge Networks Corp. --
(CAD)*........................... 1,800 78,601
Nokia AB Cl-A -- (FIM)............. 4,950 370,291
Northern Telecom Ltd. -- (CAD)..... 2,300 207,281
Portugal Telecom SA -- (PTE)....... 11,900 480,002
Vodafone Group PLC -- (GBP)........ 102,100 497,331
----------
2,574,125
----------
TRANSPORTATION -- 0.1%
IHC Caland NV -- (NLG)............. 4,100 224,077
Yamato Transport Co.
Ltd. -- (JPY).................... 14,000 174,695
----------
398,772
----------
UTILITIES -- 0.2%
ABB AB Cl-A -- (SEK)............... 1,367 19,200
Hong Kong Electric Holdings Ltd. --
(HKD)............................ 16,000 64,440
</TABLE>
16
<PAGE> 18
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Scottish Power PLC -- (GBP)........ 51,200 $ 333,381
Veba AG -- (DEM)................... 6,700 378,390
----------
795,411
----------
TOTAL FOREIGN STOCK
(COST $27,706,990)................... 32,202,850
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- --------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 11.5%
ADVERTISING -- 0.0%
Larmar Advertising Co. Sr.
Sub. Notes
9.625%.................. 12/01/06 $ 35 35,962
Outdoor Systems, Inc. Sr.
Sub. Notes 144A
8.875%.................. 06/15/07 25 24,375
Universal Outdoor, Inc.
Sr. Sub. Notes
9.75%................... 10/15/06 43 44,612
-------------
104,949
-------------
AEROSPACE -- 0.2%
BE Aerospace, Inc.
Sr. Sub. Notes
9.875%.................. 02/01/06 60 62,175
Howmet Corp. Sr. Sub.
Notes
10.00%.................. 12/01/03 45 48,600
Lockheed Martin Corp.
Notes
7.25%................... 05/15/06 400 405,000
-------------
515,775
-------------
AIRLINES -- 0.1%
Continental Airlines
Notes 144A
7.42%................... 04/01/07 175 177,603
-------------
AUTOMOBILE MANUFACTURERS -- 0.0%
Consorcio Grupo Dina SA
[ZCB]
3.18%................... 11/15/02 45 38,869
-------------
AUTOMOTIVE PARTS -- 0.0%
Harvard Industries, Inc.
Sr. Notes
11.125%................. 08/01/05 10 4,050
Lear Corp. Sub. Notes
9.50%................... 07/15/06 75 80,062
Titan Wheel International,
Inc. Sr. Sub. Notes
8.75%................... 04/01/07 5 5,100
-------------
89,212
-------------
BEVERAGES -- 0.0%
Canandaigua Wine
Sr. Sub. Notes
8.75%................... 12/15/03 5 5,031
-------------
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
BROADCASTING -- 0.5%
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................... 11/01/05 $ 80 $ 83,400
Capstar Broadcasting Sr.
Disc. Notes
[STEP] 144A
12.75%.................. 02/01/09 60 38,700
Capstar Broadcasting
[PIK] 144A
12.00%.................. 07/01/09 20 20,200
Chancellor Radio
Broadcasting
Sr. Sub. Notes
9.375%.................. 10/01/04 10 10,400
Citadel Broadcasting Co.
Sr. Sub. Notes 144A
10.25%.................. 07/01/07 10 10,000
Granite Broadcasting Corp.
Sr. Sub. Debs.
10.375%................. 05/15/05 75 77,625
News America Holdings
Debs.
7.70%................... 10/30/25 835 790,119
7.75%................... 12/01/45 365 343,100
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%.................. 05/15/06 100 109,500
Sinclair Broadcasting
Group
Sr. Sub. Notes
10.00%.................. 09/30/05 80 83,000
Spanish Broadcasting
System Sr. Notes 144A
11.00%.................. 03/15/04 25 26,375
Sullivan Broadcasting
Holdings Co.
Sr. Sub. Notes
10.25%.................. 12/15/05 75 77,625
Sun Media Corp.
Sr. Sub. Notes 144A
9.50%................... 02/15/07 10 10,125
Young Broadcasting, Inc.
Notes Cl-B
9.00%................... 01/15/06 5 5,000
-------------
1,685,169
-------------
BUILDING MATERIALS -- 0.1%
Atrium Companies, Inc. Sr.
Sub. Notes
10.50%.................. 11/15/06 10 10,300
Building Materials Corp.
Sr. Notes
8.625%.................. 12/15/06 10 10,250
Cemex SA 144A
12.75%.................. 07/15/06 10 11,587
</TABLE>
17
<PAGE> 19
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Inter-City Products Corp.
USA
Sr. Notes
9.75%................... 03/01/00 $ 45 $ 46,237
Polytama International
Notes
11.25%.................. 06/15/07 25 25,875
Southdown, Inc.
Sr. Sub. Notes
10.00%.................. 03/01/06 75 81,937
Terex Corp.
Sr. Notes
13.25%.................. 05/15/02 35 39,287
-------------
225,473
-------------
BUSINESS SERVICES -- 0.1%
Affinity Group Holdings
Sr. Notes 144A
11.00%.................. 04/01/07 40 42,200
Outsourcing Solutions
Corp. Sr. Sub. Notes
11.00%.................. 11/01/06 20 21,650
Primark Corp. Sr. Notes
8.75%................... 10/15/00 75 75,750
-------------
139,600
-------------
CHEMICALS -- 0.1%
Harris Chemical North
American Sr. Sub. Notes
10.75%.................. 10/15/03 40 41,100
Millennium America, Inc.
7.00%................... 11/15/06 350 343,000
Pioneer Americas
Acquisition Co. Sr.
Notes
9.25%................... 06/15/07 10 9,913
Sterling Chemicals
Holdings Sr. Disc. Notes
[STEP]
11.21%.................. 08/15/08 35 23,187
-------------
417,200
-------------
CLOTHING & APPAREL -- 0.0%
GFSI, Inc.
Sr. Sub. Notes 144A
9.625%.................. 03/01/07 10 10,150
Glenoit Corp.
Sr. Sub. Notes 144A
11.00%.................. 04/15/07 10 10,537
-------------
20,687
-------------
COMPUTER SERVICES & SOFTWARE -- 0.0%
Printpack, Inc. Sr. Notes
9.875%.................. 08/15/04 25 26,406
Viasystems, Inc.
Sr. Sub. Notes 144A
9.75%................... 06/01/07 10 10,250
-------------
36,656
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
CONGLOMERATES -- 0.3%
Perez Companc SA
144A
9.00%................... 01/30/04 $ 15 $ 15,562
Philip Morris Co., Inc.
Debs.
7.50%................... 01/15/02 425 432,969
7.75%................... 01/15/27 480 470,400
-------------
918,931
-------------
CONSTRUCTION -- 0.0%
Newport News Shipbuilding,
Inc. Sr. Notes
8.625%.................. 12/01/06 20 20,600
9.25%................... 12/01/06 15 15,637
Webb, (Del E.) Corp. Sr.
Sub. Notes
9.75%................... 01/15/08 15 15,300
-------------
51,537
-------------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Affinity Group
Sr. Sub. Notes
11.50%.................. 10/15/03 55 59,125
Consumers International
Corp.
Sr. Notes 144A
10.25%.................. 04/01/05 10 10,600
Foamex LP
Sr. Sub. Notes 144A
9.875%.................. 06/15/07 10 10,300
French Fragrances, Inc.
Sr. Notes 144A
10.375%................. 05/15/07 10 10,325
Hedstrom Corp.
Sr. Sub. Notes 144A
10.00%.................. 06/01/07 15 15,300
Hedstrom Holdings, Inc.
[STEP] 144A
12.00%.................. 06/01/09 5 2,975
Herff Jones, Inc.
Sr. Sub. Notes
11.00%.................. 08/15/05 45 48,825
Imed Corp.
Sr. Sub. Notes 144A
9.75%................... 12/01/06 40 40,700
MacAndrews & Forbes Debs.
13.00%.................. 03/01/99 100 100,500
Pierce Leahy Corp.
Sr. Sub. Notes
11.125%................. 07/15/06 5 5,500
-------------
304,150
-------------
CONTAINERS & PACKAGING -- 0.1%
Gaylord Container Corp.
Sr. Notes
11.50%.................. 05/15/01 50 52,438
</TABLE>
18
<PAGE> 20
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Ivex Packaging Corp.
Sr. Sub. Notes
12.50%.................. 12/15/02 $ 45 $ 48,319
Owens-Illinois, Inc.
Sr. Notes
8.10%................... 05/15/07 20 20,400
Riverwood International
Co.
Notes
10.875%................. 04/01/08 10 9,000
Stone Container Corp.
First Mtge.
10.75%.................. 10/01/02 5 5,238
-------------
135,395
-------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.0%
Celestica International
Sr. Sub. Notes
10.50%.................. 12/31/06 20 21,600
HCC Industries
Sr. Sub. Notes 144A
10.75%.................. 05/15/07 15 15,788
International Wire Group
Sr. Sub. Notes 144A
11.75%.................. 06/01/05 30 32,814
Tracor, Inc.
Sr. Sub. Notes
8.50%................... 03/01/07 5 5,000
Wavetek Corp.
Sr. Sub. Notes 144A
10.125%................. 06/15/07 10 10,150
-------------
85,352
-------------
ENTERTAINMENT & LEISURE -- 0.7%
ACT III Theaters
Sr. Sub. Notes
11.875%................. 02/01/03 60 65,025
AMC Entertainment, Inc.
Sr. Sub. Notes 144A
9.50%................... 03/15/09 40 41,500
Argosy Gaming Co.
First Mtge.
13.25%.................. 06/01/24 25 24,125
Cinemark USA, Inc.
Sr. Sub. Notes
9.625%.................. 08/01/08 65 66,463
Coast Hotels & Casino
Notes Cl-B
13.00%.................. 12/15/02 55 61,394
Colorado Gaming &
Entertainment Corp.
[PIK]
12.00%.................. 06/01/03 150 157,510
Greate Bay Property
Funding
First Mtge.
10.875%................. 01/15/04 25 22,375
Lady Luck Gaming
First Mtge.
11.875%................. 03/01/01 45 45,731
PAR
MATURITY (000) VALUE
--------- -------- -------------
Louisiana Casino Cruises
First Mtge.
11.50%.................. 12/01/98 $ 100 $ 102,250
Mohegan Tribal Gaming
Cl-B Sr. Notes
13.50%.................. 11/15/02 30 39,413
Players International
Sr. Notes
10.875%................. 04/15/05 25 25,813
Premier Parks Corp.
Sr. Notes
9.75%................... 01/15/07 50 52,125
Premier Parks Corp.
Sr. Notes Cl-A
12.00%.................. 08/15/03 40 44,450
Showboat Marina Casinos
First Mtge.
13.50%.................. 03/15/03 75 86,250
Six Flags Theme Parks
Sr. Sub. Notes Cl-A
[STEP]
5.79%................... 06/15/05 40 40,800
Time Warner Entertainment
Debs.
7.25%................... 09/01/08 850 836,188
8.875%.................. 10/01/12 425 469,094
-------------
2,180,506
-------------
ENVIRONMENTAL SERVICES -- 0.3%
Allied Waste Industries
Sr. Notes [STEP] 144A
11.30%.................. 06/01/07 50 31,000
Allied Waste North America
Sr. Sub. Notes 144A
10.25%.................. 12/01/06 35 37,800
WMX Technologies, Inc.
Notes
7.10%................... 08/01/26 925 937,719
-------------
1,006,519
-------------
EQUIPMENT SERVICES -- 0.0%
Coinmach Corp.
Sr. Notes
11.75%.................. 11/15/05 10 11,088
-------------
FINANCIAL-BANK & TRUST -- 1.5%
Allstate Financing II
7.825%.................. 12/01/45 125 121,719
Banponce Corp.
Medium-Term Note
7.125%.................. 05/02/02 410 412,563
Chevy Chase Savings Bank
Sub. Debs.
9.25%................... 12/01/05 45 45,225
Dime Capital Trust I Cl-A
9.325%.................. 05/06/27 10 10,363
First Nationwide Holdings
Sr. Notes
12.50%.................. 04/15/03 55 61,875
</TABLE>
19
<PAGE> 21
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
First Nationwide Holdings
Sr. Sub. Notes
10.625%................. 10/01/03 $ 35 $ 38,675
Greenpoint Capital Trust I
144A
9.10%................... 06/01/27 10 10,200
Imperial Credit Capital
Trust I
144A
10.25%.................. 06/14/02 20 20,025
Korea Development Bank
Notes
7.90%................... 02/01/02 350 362,250
Merita Bank Ltd.
Sub. Notes
6.50%................... 01/15/06 500 475,625
North Fork Bancorp
8.70%................... 12/15/26 5 5,017
Peoples Bank-Bridgeport
Sub. Notes
7.20%................... 12/01/06 305 297,756
Provident Capital Trust
8.60%................... 12/01/26 20 19,650
Riggs Capital Trust
144A
8.625%.................. 12/31/26 15 14,831
Salomon, Inc.
Sr. Notes
7.00%................... 05/15/99 360 363,600
Societe Generale
144A
7.85%................... 04/30/07 360 369,345
Sovereign Capital Trust
Co.
Guaranteed 144A
9.00%................... 04/01/27 15 14,981
St. Paul Bancorp.
Sr. Notes
7.125%.................. 02/15/04 350 346,063
Standard Credit Card
Master Trust 1991-3 Cl-A
8.875%.................. 07/07/98 1,310 1,348,513
State Development Bank of
China
Notes
7.375%.................. 02/01/07 180 180,000
Swedbank
Sub. Notes 144A
7.50%................... 11/29/49 360 360,896
-------------
4,879,172
-------------
FINANCIAL SERVICES -- 2.1%
Aames Financial Corp.
Sr. Notes
9.125%.................. 11/01/03 40 40,800
AFC Capital Trust I
144A
8.207%.................. 02/03/27 270 273,375
PAR
MATURITY (000) VALUE
--------- -------- -------------
CIA Latino Americana
144A
11.625%................. 06/01/04 $ 10 $ 10,513
Colonial Capital I
Notes Guaranteed
8.92%................... 01/15/27 15 15,300
Consorcio Equatoriano
Notes 144A
14.00%.................. 05/01/02 10 10,613
Contifinancial Corp.
Sr. Notes
8.375%.................. 08/15/03 45 46,125
Continental Global Group
Sr. Notes 144A
11.00%.................. 04/01/07 25 26,281
Dollar Financial Group
Sr. Notes
10.875%................. 11/15/06 15 16,088
Esat Holdings Ltd.
[STEP] 144A
12.50%.................. 02/01/07 35 21,175
First Financial Caribbean
Corp.
Sr. Notes
7.84%................... 10/10/06 200 199,250
Ford Motor Credit Co.
Sr. Notes
7.00%................... 09/25/01 870 878,700
FRD Acquisition Cl-B
12.50%.................. 07/15/04 10 10,675
General Motors Acceptance
Corp.
Medium-Term Notes
6.40%................... 05/19/99 835 837,088
Imperial Credit
Industries, Inc.
Sr. Notes 144A
9.875%.................. 01/15/07 20 19,950
Intertek Finance PLC
Sr. Sub. Notes 144A
10.25%.................. 11/01/06 25 25,938
Lehman Brothers Holdings
Notes
6.40%................... 12/27/99 465 463,838
Loomis Fargo & Co.
Sr. Sub. Notes 144A
10.00%.................. 01/15/04 10 10,200
Quebec Province
Debs.
7.125%.................. 02/09/24 1,320 1,242,450
Railcar Leasing LLC
6.75%................... 07/15/06 681 681,060
Rodamco NV Corp.
Notes
7.75%................... 05/15/15 565 583,363
Salomon Inc.
Notes
7.30%................... 05/15/02 465 469,190
</TABLE>
20
<PAGE> 22
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Southern Investments U.K.
Sr. Notes
6.80%................... 12/01/06 $ 245 $ 239,181
The Money Store, Inc.
Notes
8.05%................... 04/15/02 405 411,581
Travelers Capital II Corp.
7.75%................... 12/01/36 160 155,600
Vicap SA
144A
10.25%.................. 05/15/02 20 20,425
Webster Capital Trust I
144A
9.36%................... 01/29/27 10 10,338
Williams Scotsman, Inc.
Sr. Notes 144A
9.875%.................. 06/01/07 15 15,038
-------------
6,734,135
-------------
FOOD -- 0.1%
AmeriKing, Inc.
Sr. Notes
10.75%.................. 12/01/06 5 5,256
Chiquita Brands
Sr. Notes
9.625%.................. 01/15/04 43 44,881
Del Monte Corp.
Sr. Sub. Notes 144A
12.25%.................. 04/15/07 10 10,850
MBW Foods, Inc.
Sr. Sub. Notes 144A
9.875%.................. 02/15/07 10 10,325
RJR Nabisco, Inc.
Notes
8.75%................... 08/15/05 185 187,081
Stater Brothers, Inc.
Sr. Notes
11.00%.................. 03/01/01 10 10,825
Windy Hill Pet Food Co.
Sr. Sub. Notes 144A
9.75%................... 05/15/07 5 5,088
-------------
274,306
-------------
HEALTHCARE SERVICES -- 0.4%
Columbia/HCA Healthcare
Notes
6.91%................... 06/15/05 410 405,900
Genesis Health Ventures,
Inc.
Sr. Sub. Notes
9.25%................... 10/01/06 45 45,450
Integrated Health Services
Sr. Sub. Notes 144A
9.50%................... 09/15/07 25 25,813
Manor Care, Inc.
Sr. Notes
7.50%................... 06/15/06 305 309,956
PAR
MATURITY (000) VALUE
--------- -------- -------------
Merit Behavioral Care
Sr. Sub. Notes
11.50%.................. 11/15/05 $ 40 $ 43,250
National Health Investors,
Inc.
7.30%................... 07/16/07 295 293,970
Paracelsus Healthcare
Corp.
Sr. Sub. Notes
10.00%.................. 08/15/06 50 51,250
Tenet Healthcare Corp. Sr.
Sub. Notes
8.00%................... 01/15/05 75 75,563
8.625%.................. 01/15/07 60 61,650
-------------
1,312,802
-------------
HOTELS & MOTELS -- 0.1%
Hammons, (J.Q.) Hotel
Group First Mtge.
8.875%.................. 02/15/04 40 40,650
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%................... 05/15/05 40 41,900
Prime Hospitality Corp.
First Mtge.
9.25%................... 01/15/06 50 51,875
Prime Hospitality Corp.
Sr. Sub. Notes
9.75%................... 04/01/07 35 36,400
-------------
170,825
-------------
INSURANCE -- 0.5%
Aegon NV Sub. Notes
8.00%................... 08/15/06 850 896,750
Conseco, Inc. Sr. Notes
10.50%.................. 12/15/04 430 503,100
Reliance Group Holdings
Sr. Notes
9.00%................... 11/15/00 40 41,350
-------------
1,441,200
-------------
MACHINERY & EQUIPMENT -- 0.1%
Agco Corp. Sr. Sub. Notes
8.50%................... 03/15/06 40 41,150
Hawk Corp. Sr. Notes
10.25%.................. 12/01/03 5 5,175
Millipore Corp.
7.20%................... 04/01/02 340 342,976
Motors and Gears, Inc. Sr.
Notes
10.75%.................. 11/15/06 35 36,269
Polymer Group
9.00%................... 07/01/07 15 14,759
W.R. Carpenter North
America Sr. Sub. Notes
144A
10.625%................. 06/15/07 5 5,025
-------------
445,354
-------------
</TABLE>
21
<PAGE> 23
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 0.0%
Fresenius Medical Care AG
9.00%................... 12/01/06 $ 20 $ 20,500
Graphic Controls Corp. Sr.
Sub. Notes Cl-A
12.00%.................. 09/15/05 35 38,589
-------------
59,089
-------------
METALS & MINING -- 0.4%
Acindar Industria
Argentina de Aceros SA
11.25%.................. 02/15/04 10 10,575
AK Steel Corp. Sr. Notes
9.125%.................. 12/15/06 30 30,900
Altos Hornos de Mexico
Notes 144A
11.875%................. 04/30/04 15 16,050
Echo Bay Mines Ltd. Jr.
Sub. Debs.
11.00%.................. 04/01/27 15 15,413
Freeport-McMoran Copper &
Gold, Inc.
Sr. Notes
7.50%................... 11/15/06 125 124,688
Noranda, Inc. Debs.
7.00%................... 07/15/05 680 666,400
Potash Corp. Notes
7.125%.................. 06/15/07 300 299,625
WCI Steel, Inc. Sr. Notes
Cl-B
10.00%.................. 12/01/04 35 36,313
Wells Aluminum Sr. Notes
144A
10.125%................. 06/01/05 5 5,195
-------------
1,205,159
-------------
OFFICE EQUIPMENT -- 0.0%
United Stationery Supply
Sr. Sub. Notes
12.75%.................. 05/01/05 5 5,600
-------------
OIL & GAS -- 0.6%
Abraxas Petroleum Corp.
Sr. Notes Cl-B
11.50%.................. 11/01/04 25 27,438
CITGO Petroleum Corp. Sr.
Notes
7.875%.................. 05/15/06 170 174,039
El Paso Natural Gas Co.
Debs.
7.50%................... 11/15/26 180 176,625
Flores & Rucks Sr. Sub.
Notes
9.75%................... 10/01/06 40 42,300
Forcenergy, Inc. Sr. Sub.
Notes
8.50%................... 02/15/07 20 19,600
Kelley Oil & Gas Corp. Sr.
Sub. Notes
10.375%................. 10/15/06 10 10,300
PAR
MATURITY (000) VALUE
--------- -------- -------------
Maxus Energy Corp. Notes
10.83%.................. 09/01/04 $ 35 $ 40,075
Pacalta Resources Sr.
Notes 144A
10.75%.................. 06/15/04 10 10,175
Panda Global Energy Co.
Sr. Notes 144A
12.50%.................. 04/15/04 10 9,714
Parker Drilling Corp.
Notes
9.75%................... 11/15/06 30 31,350
Petroleum Geo-Services
7.50%................... 03/31/07 175 176,531
Petroliam Nasional BHD
Notes 144A
7.625%.................. 10/15/26 750 750,938
Petsec Energy, Inc.
Sr. Sub. Notes 144A
9.50%................... 06/15/07 35 35,087
Pogo Producing
Sub. Notes 144A
8.75%................... 05/15/07 5 5,032
Pride Petroleum Services,
Inc.
Sr. Notes
9.375%.................. 05/01/07 15 15,600
Snyder Oil Corp.
Sr. Sub. Notes
8.75%................... 06/15/07 15 15,000
Transamerican Energy
Sr. Disc. Notes [STEP]
144A
13.00%.................. 06/15/02 160 116,000
13.24%.................. 12/31/03 124 83,598
Transamerican Energy
Sr. Notes [STEP] 144A
11.50%.................. 06/15/02 70 68,250
Wiser Oil Co.
Sr. Sub. Notes 144A
9.50%................... 05/15/07 10 10,050
-------------
1,817,702
-------------
PAPER & FOREST PRODUCTS -- 0.1%
Boise Cascade Corp. Debs.
7.35%................... 02/01/16 115 108,817
Florida Coast Paper LLC
First Mtge.
12.75%.................. 06/01/03 35 36,314
Indah Kiat Finance
Mauritius
144A
10.00%.................. 07/01/07 115 114,856
Maxxam Group Holdings,
Inc. Sr. Notes
12.00%.................. 08/01/03 5 5,162
Radnor Holdings
Sr. Notes
10.00%.................. 12/01/03 5 5,064
</TABLE>
22
<PAGE> 24
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Repap New Brunswick
Sr. Notes
10.625%................. 04/15/05 $ 30 $ 28,275
-------------
298,488
-------------
PRINTING & PUBLISHING -- 0.0%
America Media Operation
Sr. Sub. Notes
11.625%................. 11/15/04 40 43,600
Hollinger International
Publishing Co. Notes
8.625%.................. 03/15/05 15 15,300
9.25%................... 03/15/07 15 15,336
Von Hoffman Press, Inc.
Sr. Sub. Notes 144A
10.375%................. 05/15/07 10 10,400
-------------
84,636
-------------
RAILROADS -- 0.7%
Norfolk Southern Corp.
6.95%................... 05/01/02 425 428,188
7.80%................... 05/15/27 815 835,375
7.05%................... 05/01/37 755 766,325
TFM SA de CV
144A
10.25%.................. 06/15/07 10 10,187
TFM SA de CV
[STEP] 144A
11.78%.................. 06/15/09 50 28,813
-------------
2,068,888
-------------
REAL ESTATE -- 0.0%
Continental Homes Holding
Sub. Notes
10.00%.................. 04/15/06 15 15,713
-------------
RETAIL & MERCHANDISING -- 0.4%
Brylane L.P.
Sr. Sub. Notes Cl-B
10.00%.................. 09/01/03 30 31,724
Corporate Express
Sr. Sub. Notes
9.125%.................. 03/15/04 35 34,954
Federated Department
Stores
Sr. Notes
8.50%................... 06/15/03 720 767,700
Loehmann's Holdings, Inc.
Sr. Notes
11.875%................. 05/15/03 20 20,600
Mothers Work, Inc.
Sr. Notes
12.625%................. 08/01/05 25 25,654
Ralph's Grocery Co.
Sr. Sub. Notes 144A
11.00%.................. 06/15/05 5 5,475
Rite Aid Corp. Notes
6.70%................... 12/15/01 170 169,362
PAR
MATURITY (000) VALUE
--------- -------- -------------
Sassco Fashions Ltd.
144A
12.75%.................. 12/31/03 $ 25 $ 26,250
Southland Corp.
Sr. Sub. Debs.
5.00%................... 12/15/03 100 84,875
Specialty Retail Group,
Inc.
Notes 144A
8.50%................... 07/15/05 10 10,075
William Carter Holdings
144A
12.00%.................. 10/01/08 20 20,300
-------------
1,196,969
-------------
SEMI-CONDUCTORS -- 0.0%
Fairchild Semiconductor
Sr. Sub. Notes 144A
10.125%................. 03/15/07 30 31,800
Fairchild Semiconductor
Sr. Sub. Notes [PIK]
144A
11.74%.................. 03/15/07 25 26,125
International Semi-Tech
Microelectronics Sr.
Disc. Notes [STEP]
13.30%.................. 08/15/03 50 30,500
-------------
88,425
-------------
TELECOMMUNICATIONS -- 1.5%
Adelphia Communications
Corp. Sr. Notes Cl-B
10.25%.................. 07/15/00 10 10,200
Airtouch Communications,
Inc. Notes
7.125%.................. 07/15/01 295 297,950
Arch Communications Group
Sr. Disc. Notes [STEP]
14.26%.................. 03/15/08 30 15,825
Benedek Communications Sr.
Disc. Notes [STEP]
14.47%.................. 05/15/06 75 45,937
Brooks Fiber Properties,
Inc. Sr. Notes 144A
10.00%.................. 06/01/07 20 20,350
Centennial Cellular Sr.
Notes
8.875%.................. 11/01/01 75 75,187
Century Communications
Corp. Sr. Notes
9.50%................... 03/01/05 60 61,800
Cia Telecom Chile Notes
7.625%.................. 07/15/06 995 1,022,362
Colt Telecom Group PLC
Units [STEP]
12.00%.................. 12/15/06 35 22,836
Comcast Cellular Sr. Notes
144A
9.50%................... 05/01/07 45 45,673
</TABLE>
23
<PAGE> 25
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Comcast U.K. Cable Corp.
Debs. [STEP]
10.24%.................. 11/15/07 $ 60 $ 45,150
Comcast U.K. Cable Corp.
Sr. Sub. Debs.
9.50%................... 01/15/08 150 159,000
Commodore Media, Inc. Sr.
Sub. Notes [STEP] 144A
7.50%................... 05/01/03 80 87,200
Diamond Cable
Communications PLC Sr.
Disc. Notes [STEP]
10.61%.................. 12/15/05 60 41,400
Dobson Communications
Corp. Sr. Notes
11.75%.................. 04/15/07 40 39,200
Globalstar LP 144A
11.375%................. 02/15/04 45 45,338
Globo Communicacoes
Partners Notes 144A
10.50%.................. 12/20/06 60 64,050
Heartland Wireless Sr.
Notes Cl-B
14.00%.................. 10/15/04 45 18,450
Innova S. De. R.L. Sr.
Notes. 144A
12.875%................. 04/01/07 30 31,538
Intercel, Inc. Sr. Disc.
Notes [STEP]
12.17%.................. 02/01/06 70 42,963
Intermedia Communications
of Florida, Inc. Sr.
Notes
13.50%.................. 06/01/05 40 45,750
International Cabletel,
Inc. Sr. Notes [STEP]
11.88%.................. 02/01/06 65 45,013
ITC Deltacom, Inc. Sr.
Notes 144A
11.00%.................. 06/01/07 30 30,825
Jacor Communications Co.
Notes
9.75%................... 12/15/06 10 10,574
JCAC Communications, Inc.
Sr. Sub. Notes
10.125%................. 06/15/06 45 48,150
Jones Intercable Sr. Sub.
Debs.
10.50%.................. 03/01/08 30 32,550
L-3 Communications Corp.
Sr. Sub. Notes 144A
10.375%................. 05/01/07 20 21,300
Marcus Cable Co. Debs.
11.875%................. 10/01/05 60 64,950
Marcus Cable Operating Co.
Sr. Disc. Notes [STEP]
2.25%................... 08/01/04 50 43,500
PAR
MATURITY (000) VALUE
--------- -------- -------------
McCaw International Ltd.
Units [STEP] 144A
13.00%.................. 04/15/07 $ 10 $ 5,000
McLeod, Inc. [STEP] 144A
10.50%.................. 03/01/07 55 35,062
MFS Communications, Inc.
Sr. Disc. Notes [STEP]
8.11%................... 01/15/04 75 69,563
MFS Communications, Inc.
Sr. Notes [STEP]
8.05%................... 01/15/06 80 63,000
Millicom International
Cellular Sr. Disc. Notes
[STEP]
12.59%.................. 06/01/06 80 59,000
Mobile Telecommunications
Corp. Sr. Notes
13.50%.................. 12/15/02 20 21,300
Nextlink Communications
[PIK]
14.00%.................. 02/01/09 40 20,895
Nextel Communications,
Inc.
Sr. Disc. Notes [STEP]
13.01%.................. 09/01/03 5 4,363
13.30%.................. 08/15/04 205 158,363
Omnipoint Corp.
Sr. Notes
11.625%................. 08/15/06 75 71,250
Orbcomm Global LP
Sr. Notes Cl-B
14.00%.................. 08/15/04 40 40,700
Pegasus Media &
Communications, Inc.
Notes
12.50%.................. 07/01/05 45 49,613
Pricellular Wireless
Sr. Notes
10.75%.................. 11/01/04 40 42,150
Radio One, Inc.
144A
7.00%................... 05/15/04 10 8,914
RBS Participacoes SA Co.
Notes 144A
11.00%.................. 04/01/07 15 15,843
Rogers Cablesystems Ltd.
Notes
11.00%.................. 12/01/15 60 65,550
TCI Satellite
Entertainment
Sr. Sub. Notes 144A
10.875%................. 02/15/07 30 30,150
Teleport Communications
Sr. Disc. Notes [STEP]
9.61%................... 07/01/07 30 21,714
TV Azteca Yankee
Sr. Notes 144A
10.50%.................. 02/15/07 15 15,450
TV Filme, Inc.
Sr. Notes 144A
12.875%................. 12/15/04 15 15,637
</TABLE>
24
<PAGE> 26
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
U.S. West Capital Funding
Notes
6.95%................... 01/15/37 $ 710 $ 710,887
Viacom, Inc.
Sub. Debs.
8.00%................... 07/07/06 40 39,100
Worldcom, Inc.
7.75%................... 01/01/07 805 828,144
-------------
4,926,669
-------------
TRANSPORTATION -- 0.0%
Atlantic Express
Sr. Notes 144A
10.75%.................. 02/01/04 10 10,438
Chemical Leaman Corp.
Sr. Notes 144A
10.375%................. 06/15/05 10 10,224
-------------
20,662
-------------
UTILITIES -- 0.5%
AES China Generating Co.
Ltd. Sr. Notes
10.125%................. 12/15/06 10 10,674
Arizona Public Service
Sr. Notes
6.75%................... 11/15/06 205 199,619
Cleveland Electric
Illumination Co.
First Mtge. Cl-B
9.50%................... 05/15/05 25 27,063
CMS Energy Corp.
Sr. Notes
8.125%.................. 05/15/02 25 25,155
Connecticut Light & Power
First Mtge.
7.875%.................. 06/01/01 290 295,075
El Paso Electric Co.
First Mtge. Cl-E
9.40%................... 05/01/11 10 10,736
Enersis SA Notes
7.40%................... 12/01/16 520 500,500
6.60%................... 12/01/26 220 215,050
Illinova Corp. Notes
7.125%.................. 02/01/04 115 113,994
Long Island Lighting Debs.
9.00%................... 11/01/22 40 43,900
Niagara Mohawk Power Corp.
Notes
9.95%................... 06/01/00 50 50,056
Northeast Utilities System
Notes
8.38%................... 03/01/05 31 30,130
8.58%................... 12/01/06 10 9,256
-------------
1,531,208
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $36,605,781).................... 36,726,704
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
TAXABLE MUNICIPAL BONDS -- 0.3%
N.J. Economic Development Authority
7.425%
(COST $850,000)......... 02/15/29 $ 850 $ 850,000
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 13.5%
FEDERAL HOME LOAN MORTGAGE CORP. -- 1.4%
9.50%................... 05/01/05 450 473,967
7.50%................... 02/01/27 857 860,945
7.50%................... 04/01/27 38 37,725
7.50%................... 05/01/27 324 325,336
7.50%................... 05/01/27 97 96,974
7.50%................... 05/27/27 37 36,990
7.50%................... 06/01/27 423 424,485
7.50%................... 06/01/27 641 643,393
7.50%................... 06/01/27 337 337,862
7.50%................... 06/01/27 615 617,185
7.50%................... 06/01/27 618 620,420
-------------
4,475,282
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 7.2%
7.00%................... 03/18/02 278 279,711
6.50%................... 03/01/04 37 36,452
6.50%................... 05/01/04 677 669,614
6.50%................... 06/01/04 711 702,356
6.50%................... 06/01/04 317 313,137
6.50%................... 06/01/04 97 95,589
6.50%................... 06/01/04 216 213,577
6.50% [TBA]............. 07/15/04 330 325,977
8.50%................... 10/15/08 1,061 1,107,755
5.50%................... 02/01/11 690 653,572
5.50%................... 05/01/11 692 653,663
5.50%................... 05/01/11 693 656,763
5.50%................... 05/01/11 379 358,788
5.50%................... 05/01/11 691 652,629
9.50%................... 08/01/22 997 1,071,576
7.00%................... 12/18/22 628 603,824
7.50%................... 10/15/23 44 44,366
6.50%................... 01/01/26 888 850,053
6.50%................... 02/01/26 664 635,609
6.50%................... 04/01/26 896 857,920
6.50%................... 04/01/26 728 696,637
6.50%................... 07/01/26 51 48,465
7.00%................... 08/01/26 381 373,953
9.00%................... 10/01/26 193 203,668
7.00%................... 12/01/26 919 900,793
7.00%................... 12/01/26 990 970,820
8.00%................... 12/01/26 57 58,484
7.50%................... 01/01/27 418 419,086
7.50%................... 01/01/27 103 102,837
6.50%................... 02/01/27 1,038 993,220
7.00%................... 03/01/27 71 70,026
7.00%................... 03/01/27 302 296,243
8.00%................... 03/01/27 900 920,674
8.00%................... 03/01/27 25 25,507
8.00%................... 04/01/27 50 50,843
8.00%................... 04/01/27 827 845,535
8.00%................... 04/01/27 424 433,771
</TABLE>
25
<PAGE> 27
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
7.00%................... 05/01/27 $ 272 $ 266,976
7.50%................... 05/01/27 624 625,454
7.50%................... 06/01/27 154 154,875
7.50%................... 06/01/27 480 481,500
7.00% [TBA]............. 07/16/27 1,040 1,018,878
9.00% [TBA]............. 07/16/27 2,160 2,274,761
-------------
23,015,937
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 4.9%
10.00%.................. 06/15/13 561 616,482
7.00%................... 08/15/23 1,792 1,761,449
7.00%................... 01/15/26 73 71,673
7.00%................... 02/15/26 323 317,038
7.00%................... 05/15/26 861 846,277
7.50%................... 09/15/26 359 360,491
8.50%................... 10/15/26 854 888,564
8.00%................... 11/15/26 980 1,002,314
8.00%................... 11/15/26 239 244,759
7.50%................... 12/15/26 1,494 1,499,782
8.00%................... 01/15/27 258 264,017
7.00%................... 02/15/27 50 49,490
7.00%................... 02/15/27 845 830,295
7.00%................... 02/15/27 72 70,498
8.00%................... 02/15/27 553 565,290
8.50%................... 03/15/27 906 942,494
7.50%................... 04/15/27 1,017 1,021,300
7.50%................... 04/15/27 232 232,969
8.50%................... 04/15/27 454 471,914
7.50%................... 05/15/27 813 815,952
5.50% [TBA]............. 07/16/27 3,100 3,064,628
-------------
15,937,676
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $43,103,582).................... 43,428,895
-------------
U.S. TREASURY OBLIGATIONS -- 1.7%
U.S. Treasury Bills
5.02%................... 08/14/97 410 407,441
U.S. Treasury Bonds
8.125%.................. 08/15/19 3,680 4,200,867
U.S. Treasury Notes
6.875%.................. 05/15/06 750 765,607
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $5,340,916)..................... 5,373,915
-------------
COLLATERALIZED MORTGAGE & ASSET-BACKED OBLIGATIONS -- 3.0%
Advanta Mtge. Loan Trust
Series 1997-2 Cl-A2
7.05%................... 05/25/21 805 809,277
Associates Manufactured
Housing Series 1996-1
Cl-A3
7.00%................... 03/15/27 685 692,988
Capital Equipment
Receivables Trust Series
1996-1 Cl-A4
6.28%................... 06/15/00 600 599,952
PAR
MATURITY (000) VALUE
--------- -------- -------------
Federal National Mtge.
Assoc. REMIC Series
1993-240 Cl-B
6.25%................... 12/25/13 $ 548 $ 525,316
Ford Credit Auto Owner
Trust Series 1996-A Clay
6.50%................... 11/15/99 890 896,236
Green Tree Financial Corp.
Series 1997-2 Cl-A6
7.24%................... 03/15/25 635 644,011
Green Tree Financial Corp.
Series 1997-3 Cl-A4
6.93%................... 07/15/28 1,095 1,095,035
Green Tree Financial Corp.
Series 1997-4 Cl-A3
6.45%................... 09/15/28 505 503,737
Green Tree Recreational,
Equipment & Consumer
Trust Series 1997-B
Cl-A1
6.55%................... 07/15/28 1,220 1,220,000
Premier Auto Trust
Series 1996-4 Cl-A4
6.40%................... 10/06/01 500 499,187
Salomon Brothers Mortgage
Securities VII
Series 1993-C1 Cl-A
6.90%................... 01/18/23 446 448,999
Securitized Asset Sales,
Inc.
6.8076%................. 11/28/23 976 930,415
Standard Credit Card
Master Trust Series
1995-6 Cl-A
6.75%................... 06/07/00 860 866,721
-------------
TOTAL COLLATERALIZED MORTGAGE & ASSET-
BACKED OBLIGATIONS
(COST $9,695,183)..................... 9,731,874
-------------
SOVEREIGN ISSUES -- 0.0%
NETHERLANDS
Asia Pulp & Paper
International Finance
Co.
Notes
11.75%
(COST $47,725).......... 10/01/05 45 49,613
-------------
REPURCHASE AGREEMENTS -- 10.4%
UBS Securities Funding,
Inc. 5.90% dated
06/30/97, repurchase
price $33,365,467
(Collateralized by U.S.
Treasury Bond, par value
$33,391,000, market
value $33,979,275, due
05/15/98)
(COST $33,360,000)...... 07/01/97 33,360 33,360,000
-------------
TOTAL INVESTMENTS -- 101.9%
(COST $299,889,558)................... 327,067,641
-------------
</TABLE>
26
<PAGE> 28
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
SALE COMMITMENTS -- (1.3%)
Federal National Mtge. Assoc. [TBA]
6.50%.................. 07/15/04 $ 2,384 $ (2,354,938)
5.50%.................. 07/15/12 225 (212,414)
7.50%.................. 07/16/27 1,620 (1,625,063)
-------------
TOTAL SALE COMMITMENTS
(COST $(4,192,390))................... (4,192,415)
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.6%)................................ (1,854,720)
-------------
NET ASSETS -- 100.0%.................... $ 321,020,506
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy CAD $ 4,302 1.3812 07/97 $ 2
Buy CAD 38,727 1.3800 07/97 (17)
Buy CAD 13,221 1.3803 07/97 (2)
Buy CHF 424,117 1.3911 08/97 (18,251)
Buy GBP 29,197 0.6006 07/97 6
Buy ITL 197,503 1,696.8100 07/97 (429)
Buy JPY 81,166 113.1350 07/97 (1,038)
--------
$(19,729)
========
Sell CHF $1,038,093 1.4430 08/97 $ 7,605
Sell DEM 936,220 1.7090 07/97 16,680
Sell FRF 1,844,005 5.7646 08/97 29,978
Sell FRF 457,344 5.6850 08/97 13,650
Sell JPY 770,249 124.6350 07/97 (69,558)
Sell JPY 74,108 114.5450 07/97 1
Sell JPY 1,443,783 111.5929 11/97 17,520
Sell SEK 84,262 7.7347 07/97 (115)
Sell SEK 41,073 7.7332 07/97 (50)
--------
$ 15,711
========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.4% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
27
<PAGE> 29
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 87.7%
ADVERTISING -- 0.5%
Larmar Advertising Co.
Sr. Sub. Notes
9.625%............... 12/01/06 $ 1,400 $ 1,445,500
------------
AUTOMOTIVE PARTS -- 3.1%
Aftermarket Technology,
Inc. Sr. Sub. Notes
12.00%............... 08/01/04 1,938 2,170,560
Collins & Aikman
Products Sr. Sub.
Notes
11.50%............... 04/15/06 2,600 2,957,500
Exide Corp. Sr. Notes
10.00%............... 04/15/05 1,225 1,277,062
Lear Corp. Sub. Notes
9.50%................ 07/15/06 1,500 1,601,250
Lear Seating Corp. Sr.
Sub. Notes
11.25%............... 07/15/00 150 151,500
8.25%................ 02/01/02 550 554,125
Oxford Automotive, Inc.
Sr. Sub. Notes 144A
10.125%.............. 06/15/07 900 910,125
------------
9,622,122
------------
BEVERAGES -- 0.2%
Dr. Pepper Bottling
Holding Co. Sr. Notes
[STEP]
9.15%................ 02/15/03 500 495,000
------------
BROADCASTING -- 6.7%
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................ 11/01/05 500 520,000
Australis Media Ltd.
Units [STEP]
8.95%................ 05/15/03 625 462,500
Capstar Radio
Broadcasting Sr. Sub.
Notes 144A
9.25%................ 07/01/07 700 682,500
Chancellor Broadcasting
Co. Sr. Sub. Notes
9.375%............... 10/01/04 750 781,875
Chancellor Broadcasting
Co. Sr. Sub. Notes
144A
8.75%................ 06/15/07 600 600,000
Heritage Media Corp.
Sr. Sub. Notes
8.75%................ 02/15/06 3,200 3,320,000
Lenfest Communications
Sr. Sub. Notes
8.375%............... 11/01/05 1,250 1,234,375
NWCG Holding Corp. Sr.
Disc. Notes [ZCB]
13.20%............... 06/15/99 300 264,792
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
Outdoor Systems, Inc.
Sr. Sub. Notes 144A
8.875%............... 06/15/07 $ 2,100 $ 2,058,000
SCI Television, Inc.
Sr. Notes
11.00%............... 06/30/05 1,150 1,219,241
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%............... 05/15/06 1,175 1,286,625
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%............... 12/15/03 650 672,750
10.00%............... 09/30/05 2,000 2,070,000
Sinclair Broadcasting
Group Sr. Sub. Notes
144A
9.00%................ 07/15/07 1,250 1,218,750
Sullivan Broadcasting
Holdings Co. Sr. Sub.
Notes
10.25%............... 12/15/05 1,800 1,845,000
13.25%............... 12/15/06 150 147,750
TCI Communications,
Inc. Sr. Notes
6.875%............... 02/15/06 550 521,328
Young Broadcasting
Corp. Sr. Sub. Notes
11.75%............... 11/15/04 250 277,500
10.125%.............. 02/15/05 1,175 1,239,625
Young Broadcasting
Corp. Sr. Sub. Notes
Cl-B
9.00%................ 01/15/06 500 493,750
------------
20,916,361
------------
BUILDING MATERIALS -- 0.7%
American Builders Sr.
Sub. Notes 144A
10.625%.............. 05/15/07 575 595,125
Collins & Aikman Floor
Covering Corp. Sr.
Sub. Notes 144A
10.00%............... 01/15/07 525 534,187
Falcon Building
Products Sr. Sub.
Notes 144A
9.50%................ 06/15/07 350 351,750
Falcon Building
Products [STEP] 144A
10.50%............... 06/15/07 1,000 605,000
------------
2,086,062
------------
BUSINESS SERVICES -- 0.4%
Outsourcing Solutions
Corp. Sr. Sub. Notes
11.00%............... 11/01/06 1,000 1,095,000
------------
CAPITAL GOODS -- 0.2%
Australis Holdings Ltd.
[STEP]
9.88%................ 11/01/02 1,000 740,000
------------
</TABLE>
28
<PAGE> 30
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
CHEMICALS -- 3.7%
Astor Corp. Sr. Sub.
Notes Cl-B
10.50%............... 10/15/06 $ 1,025 $ 1,091,625
Buckeye Cellulose Corp.
Sr. Sub. Notes
8.50%................ 12/15/05 250 253,750
Crain Industries, Inc.
Sr. Sub. Notes
13.50%............... 08/15/05 500 572,500
Harris Chemical North
America Sr. Notes
10.25%............... 07/15/01 2,000 2,060,000
ISP Holdings, Inc. Sr.
Notes Cl-B
9.75%................ 02/15/02 500 532,500
9.00%................ 10/15/03 1,275 1,327,594
Polymer Group, Inc. Sr.
Notes
12.25%............... 07/15/02 1,000 1,118,030
Polymer Group, Inc. Sr.
Sub. Notes
9.00%................ 07/01/07 1,250 1,229,888
RBX Corp. Notes Cl-B
11.25%............... 10/15/05 1,000 890,000
Sterling Chemicals
Holdings Sr. Disc.
Notes [STEP]
11.61%............... 08/15/08 2,925 1,952,437
Uniroyal Technology
Corp. Sr. Notes
11.75%............... 06/01/03 425 425,000
------------
11,453,324
------------
CLOTHING & APPAREL -- 1.4%
Brylane L.P. Sr. Sub.
Notes Cl-B
10.00%............... 09/01/03 1,325 1,424,375
GFSI, Inc. Sr. Sub.
Notes 144A
9.625%............... 03/01/07 100 101,250
Glenoit Corp. Sr. Sub.
Notes 144A
11.00%............... 04/15/07 1,400 1,473,500
Hosiery Corp. of
America, Inc. Sr.
Sub. Notes
13.75%............... 08/01/02 500 547,500
Pillowtex Corp. Sr.
Sub. Notes
10.00%............... 11/15/06 750 787,500
------------
4,334,125
------------
COMPUTER SERVICES & SOFTWARE -- 0.6%
Alvey Systems, Inc. Sr.
Sub. Notes
11.375%.............. 01/31/03 1,750 1,811,250
------------
PAR
MATURITY (000) VALUE
-------- -------- ------------
CONSUMER PRODUCTS & SERVICES -- 5.1%
American Safety Razor
Co. Sr. Notes
9.875%............... 08/01/05 $ 1,250 $ 1,312,500
Cabot Safety Corp. Sr.
Sub. Notes
12.50%............... 07/15/05 1,500 1,657,500
Herff Jones, Inc. Sr.
Sub. Notes
11.00%............... 08/15/05 550 596,750
Playtex Family Products
Corp. Sr. Sub. Notes
9.00%................ 12/15/03 2,100 2,136,750
Renaissance Cosmetics,
Inc. Sr. Notes
11.75%............... 02/15/04 650 676,000
Revlon Consumer
Products Corp. Sr.
Notes Cl-B
9.375%............... 04/01/01 500 516,875
10.50%............... 02/15/03 1,375 1,474,687
Simmons Co. Sr. Sub.
Notes
10.75%............... 04/15/06 1,250 1,325,000
Syratech Corp. Sr.
Notes
11.00%............... 04/15/07 1,500 1,601,250
Westpoint Stevens, Inc.
Sr. Sub. Debs.
9.375%............... 12/15/05 4,425 4,624,125
------------
15,921,437
------------
CONTAINERS & PACKAGING -- 3.3%
Container Corp. of
America Sr. Notes
9.75%................ 04/01/03 250 263,750
11.25%............... 05/01/04 250 273,750
Four M Corp. Sr. Notes
12.00%............... 06/01/06 1,300 1,348,750
Owens Illinois, Inc.
Sr. Sub. Notes
10.00%............... 08/01/02 500 527,500
9.75%................ 08/15/04 200 210,750
9.95%................ 10/15/04 2,750 2,921,875
Packaging Resources,
Inc. Sr. Notes
11.625%.............. 05/01/03 450 470,250
Plastic Containers Sr.
Notes Cl-B
10.00%............... 12/15/06 450 469,125
Riverwood International
Co. Notes
10.875%.............. 04/01/08 625 565,625
</TABLE>
29
<PAGE> 31
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
Stone Container Corp.
Sr. Notes
12.58%............... 08/01/97 $ 1,550 $ 1,643,000
11.50%............... 10/01/04 1,200 1,254,000
U.S. Can Corp. Sr. Sub.
Notes Cl-B
10.125%.............. 10/15/06 400 428,000
------------
10,376,375
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.6%
Advanced Micro Devices,
Inc. Sr. Notes
11.00%............... 08/01/03 1,400 1,564,500
Amphenol Corp. Sr. Sub.
Notes
9.875%............... 05/15/07 450 466,875
Electronic Retailing
Systems, Inc. [STEP]
144A
13.25%............... 02/01/04 875 608,125
Fairchild Semiconductor
Sr. Sub. Notes 144A
10.125%.............. 03/15/07 1,250 1,325,000
Therma-Wave, Inc. Sr.
Notes 144A
10.625%.............. 05/15/04 250 267,500
Viasystems, Inc. Sr.
Sub. Notes 144A
9.75%................ 06/01/07 675 688,500
------------
4,920,500
------------
ENTERTAINMENT & LEISURE -- 2.8%
AMF Group, Inc. Notes
10.875%.............. 03/15/06 400 434,000
AMF Group, Inc. Sr.
Disc. Notes [STEP]
11.12%............... 03/15/06 3,375 2,413,125
Cobblestone Golf Group
Sr. Notes
11.50%............... 06/01/03 750 791,250
KSL Recreation Group,
Inc. Sr. Sub. Notes
144A
10.25%............... 04/24/07 400 418,000
Leslie's Poolmart Sr.
Notes 144A
10.375%.............. 07/15/04 325 334,750
Premier Parks Corp. Sr.
Notes
9.75%................ 01/15/07 450 470,250
Premier Parks Corp. Sr.
Notes Cl-A
12.00%............... 08/15/03 600 667,500
Six Flags Theme Parks
Sr. Sub. Notes Cl-A
[STEP]
9.08%................ 06/15/05 3,225 3,321,750
------------
8,850,625
------------
PAR
MATURITY (000) VALUE
-------- -------- ------------
ENVIRONMENTAL SERVICES -- 2.3%
Allied Waste Industries
Sr. Disc. Notes
[STEP] 144A
10.23%............... 06/01/07 $ 3,700 $ 2,340,250
Allied Waste North
America Sr. Sub.
Notes 144A
10.25%............... 12/01/06 2,200 2,362,250
Envirosource, Inc. Sr.
Notes
9.75%................ 06/15/03 1,400 1,375,500
ICF Kaiser
International, Inc.
Sr. Sub. Notes
13.00%............... 12/31/03 600 621,000
Mid-American Waste
Systems, Inc. Sr.
Sub. Notes*
12.25%............... 02/15/03 900 463,500
------------
7,162,500
------------
EQUIPMENT SERVICES -- 0.5%
Coinmach Corp. Sr.
Notes
11.75%............... 11/15/05 781 864,957
Primeco, Inc. Sr. Sub.
Notes
12.75%............... 03/01/05 667 793,730
------------
1,658,687
------------
FARMING & AGRICULTURE -- 0.6%
Dimon, Inc. Sr. Notes
8.875%............... 06/01/06 1,750 1,826,562
------------
FINANCIAL-BANK & TRUST -- 1.2%
First Nationwide
Holdings Sr. Sub.
Notes
10.625%.............. 10/01/03 3,275 3,610,687
------------
FINANCIAL SERVICES -- 1.4%
Contifinancial Corp.
Sr. Notes
8.375%............... 08/15/03 1,500 1,539,150
Intertek Finance PLC
Sr. Sub. Notes
10.25%............... 11/01/06 1,150 1,204,625
Mesa Operating Co.
Disc. Notes [STEP]
10.11%............... 07/01/06 500 388,750
Mesa Operating Co. Sr.
Sub. Notes
10.625%.............. 07/01/06 250 285,312
Olympic Financial Ltd.
Units
11.50%............... 03/15/07 925 943,500
------------
4,361,337
------------
</TABLE>
30
<PAGE> 32
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
FOOD -- 3.0%
Carr-Gottstein Foods
Co. Sr. Sub. Notes
12.00%............... 11/15/05 $ 900 $ 1,001,250
Curtice-Burns Foods,
Inc. Sr. Sub. Notes
12.25%............... 02/01/05 1,100 1,212,750
Di Giorgio Corp. Sr.
Notes 144A
10.00%............... 06/15/07 300 298,500
International Home
Foods Sr. Sub. Notes
10.375%.............. 11/01/06 2,750 2,839,375
MBW Foods, Inc. Sr.
Sub. Notes 144A
9.875%............... 02/15/07 525 534,187
PMI Acquisition Corp.
Sr. Sub. Notes
10.25%............... 09/01/03 750 798,750
Smith's Food & Drug
Centers Sr. Sub.
Notes
11.25%............... 05/15/07 500 590,000
Specialty Foods Corp.
Sr. Notes Cl-B
11.25%............... 08/15/03 600 522,000
Van de Kamps, Inc. Sr.
Sub. Notes
12.00%............... 09/15/05 1,450 1,624,000
------------
9,420,812
------------
HEALTHCARE SERVICES -- 2.9%
Genesis Health
Ventures, Inc. Sr.
Sub. Notes
9.75%................ 06/15/05 1,250 1,300,000
Icon Fitness Corp.
Notes Cl-B [STEP]
14.00%............... 11/15/06 1,100 605,000
Icon Health & Fitness
Sr. Sub. Notes Cl-B
13.00%............... 07/15/02 530 598,900
Tenet Healthcare Corp.
Sr. Sub. Notes
8.00%................ 01/15/05 2,250 2,272,500
10.125%.............. 03/01/05 1,700 1,870,000
8.625%............... 01/15/07 2,250 2,295,000
------------
8,941,400
------------
HOTELS & MOTELS -- 0.5%
Courtyard By Marriott
Sr. Notes
10.75%............... 02/01/08 1,500 1,623,750
------------
PAR
MATURITY (000) VALUE
-------- -------- ------------
INDUSTRIAL PRODUCTS -- 1.3%
Continental Global
Group Sr. Notes 144A
11.00%............... 04/01/07 $ 950 $ 999,875
MMI Products, Inc. Sr.
Sub. Notes 144A
11.25%............... 04/15/07 1,100 1,171,500
Unifrax Investment
Corp. Sr. Notes
10.50%............... 11/01/03 1,650 1,724,250
------------
3,895,625
------------
MACHINERY & EQUIPMENT -- 2.3%
Clark Materials
Handling Sr. Notes
10.75%............... 11/15/06 1,675 1,762,938
Fairfield Manufacturing
Co. Sr. Sub. Notes
11.375%.............. 07/01/01 900 963,000
Hawk Corp. Sr. Notes
10.25%............... 12/01/03 250 258,125
International Knife &
Saw, Inc. Sr. Sub.
Notes
11.375%.............. 11/15/06 1,050 1,131,375
Mettler-Toledo, Inc.
Notes
9.75%................ 10/01/06 1,000 1,065,000
Roller Bearing Co. Sr.
Sub. Notes 144A
9.625%............... 06/15/07 375 383,437
Ryder TRS, Inc. Sr.
Sub. Notes
10.00%............... 12/01/06 300 310,500
Tokheim Corp. Sr. Sub.
Notes Cl-B
11.50%............... 08/01/06 1,100 1,215,500
------------
7,089,875
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.8%
Dade International,
Inc. Sr. Sub. Notes
11.125%.............. 05/01/06 2,225 2,492,000
------------
METALS & MINING -- 3.4%
Acme Metals, Inc. Sr.
Disc. Notes [STEP]
10.71%............... 08/01/04 925 1,031,375
Bayou Steel Corp. First
Mtge. Notes
10.25%............... 03/01/01 750 761,250
Echo Bay Mines Ltd. Jr.
Sub. Debs.
11.00%............... 04/01/27 1,250 1,260,938
Euramax International
Ltd. Sr. Sub. Notes
11.25%............... 10/01/06 1,250 1,350,000
</TABLE>
31
<PAGE> 33
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
GS Technologies
Operating Corp. Sr.
Notes
12.00%............... 09/01/04 $ 975 $ 1,053,000
12.25%............... 10/01/05 1,200 1,317,000
Neenah Corp. Sr. Sub.
Notes 144A
11.125%.............. 05/01/07 625 665,625
Republic Engineered
Steel First Mtge.
9.875%............... 12/15/01 750 700,313
Royal Oak Mines, Inc.
Sr. Sub. Notes
11.00%............... 08/15/06 1,400 1,358,000
Ryerson Tull, Inc.
Notes
9.125%............... 07/15/06 900 949,500
------------
10,447,001
------------
OFFICE EQUIPMENT -- 0.9%
Knoll, Inc. Sr. Sub.
Notes
10.875%.............. 03/15/06 910 1,011,238
United Stationery
Supply Sr. Sub. Notes
12.75%............... 05/01/05 1,653 1,886,486
------------
2,897,724
------------
OIL & GAS -- 4.7%
Abraxas Petroleum Corp.
Sr. Notes Cl-B
11.50%............... 11/01/04 2,400 2,622,000
DI Industries, Inc. Sr.
Notes
8.875%............... 07/01/07 1,000 990,000
Falcon Drilling Co.,
Inc. Sr. Notes
9.75%................ 01/15/01 350 364,000
12.50%............... 03/15/05 300 334,500
Forcenergy, Inc. Sr.
Sub. Notes
9.50%................ 11/01/06 2,650 2,749,375
8.50%................ 02/15/07 300 294,000
Giant Industries, Inc.
Sr. Sub. Notes
9.75%................ 11/15/03 550 566,500
Pacalta Resources Ltd.
Sr. Notes 144A
10.75%............... 06/15/04 300 304,500
Petsec Energy, Inc. Sr.
Sub. Notes 144A
9.50%................ 06/15/07 400 400,000
Pride Petroleum
Services, Inc. Sr.
Notes
9.375%............... 05/01/07 2,500 2,593,750
United Meridian Corp.
Sr. Sub. Notes
10.375%.............. 10/15/05 1,775 1,930,313
PAR
MATURITY (000) VALUE
-------- -------- ------------
United Refining Co. Sr.
Notes 144A
10.75%............... 06/15/07 $ 900 $ 895,500
XCL Ltd. Units 144A
13.50%............... 05/01/04 750 768,750
------------
14,813,188
------------
PAPER & FOREST PRODUCTS -- 1.3%
Buckeye Cellulose Corp.
Sr. Sub. Notes
9.25%................ 09/15/08 1,000 1,050,000
Repap New Brunswick Sr.
Notes
10.625%.............. 04/15/05 500 475,000
S.D. Warren Co. Sr.
Sub. Notes
12.00%............... 12/15/04 1,300 1,462,500
Uniforet, Inc. Sr.
Notes
11.125%.............. 10/15/06 1,200 1,128,000
------------
4,115,500
------------
PRINTING & PUBLISHING -- 1.7%
Affiliated Newspaper
Investments, Inc. Sr.
Disc. Notes [STEP]
12.73%............... 07/01/06 2,200 1,996,500
Garden State Newspapers
Sr. Sub. Notes
12.00%............... 07/01/04 200 223,000
Hollinger International
Publishing Co. Notes
9.25%................ 02/01/06 800 820,000
9.25%................ 03/15/07 1,000 1,030,000
K-III Communications
Corp. Sr. Notes
8.50%................ 02/01/06 500 505,650
Petersen Publishing Sr.
Sub. Notes Cl-B
11.125%.............. 11/15/06 800 896,000
------------
5,471,150
------------
REAL ESTATE -- 0.5%
Trizec Finance Ltd. Sr.
Notes
10.875%.............. 10/15/05 1,457 1,646,410
------------
RETAIL & MERCHANDISING -- 1.0%
Ralph's Grocery Co. Sr.
Notes
10.45%............... 06/15/04 3,025 3,259,438
------------
TELECOMMUNICATIONS -- 22.1%
Arch Communications
Group Sr. Disc. Notes
[STEP]
14.42%............... 03/15/08 1,200 639,000
Bell Cablemedia PLC Sr.
Disc. Notes [STEP]
11.81%............... 07/15/04 850 769,250
</TABLE>
32
<PAGE> 34
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
Brooks Fiber Properties
Sr. Disc. Notes
[STEP]
9.52%................ 01/01/06 $ 900 $ 589,500
12.52%............... 03/01/06 3,650 2,500,250
Cablevision Systems
Corp. Sr. Sub. Debs.
9.875%............... 02/15/13 500 525,000
Cablevision Systems
Corp. Sr. Sub. Notes
9.25%................ 01/01/05 2,950 3,068,000
9.875%............... 05/15/06 300 319,500
Cellular
Communications, Inc.
Sr. Sub. Notes 144A
10.00%............... 02/01/07 500 495,000
Cellular Communications
International, Inc.
Notes [ZCB]
11.44%............... 08/15/00 1,550 1,193,500
CF Cable TV, Inc. Sr.
Notes
11.625%.............. 02/15/05 500 570,000
Charter Communications
Cl-B [STEP]
10.54%............... 03/15/07 650 445,250
Charter Communications
Southeast L.P. Sr.
Notes
11.25%............... 03/15/06 1,150 1,236,250
Comcast Cellular Sr.
Notes 144A
9.50%................ 05/01/07 1,000 1,012,500
Comcast Corp. Sr. Sub.
Debs.
9.375%............... 05/15/05 2,500 2,637,500
Comcast U.K. Cable
Corp. Debs. [STEP]
11.00%............... 01/15/07 2,900 2,218,732
Diamond Cable
Communications PLC
Sr. Disc. Notes
[STEP]
12.07%............... 09/30/04 250 204,375
11.00%............... 12/15/05 4,000 2,720,000
Echostar Satellite
Broadcasting Co. Sr.
Disc. Notes [STEP]
12.67%............... 03/15/04 3,075 2,198,625
Intermedia
Communications of
Florida, Inc. Sr.
Disc. Notes [STEP]
10.75%............... 05/15/06 4,650 3,255,000
International Cabletel,
Inc. Sr. Notes [STEP]
13.57%............... 10/15/03 500 437,500
10.15%............... 04/15/05 1,050 813,750
12.12%............... 02/01/06 2,550 1,765,875
PAR
MATURITY (000) VALUE
-------- -------- ------------
Jacor Communications
Co. Notes
9.75%................ 12/15/06 $ 500 $ 521,250
McLeod, Inc. [STEP]
144A
10.62%............... 03/01/07 2,150 1,376,000
Millicom International
Cellular Sr. Disc.
Notes [STEP]
12.93%............... 06/01/06 2,600 1,881,750
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
12.94%............... 09/01/03 300 262,500
12.76%............... 08/15/04 2,225 1,724,375
Nextlink
Communications, Inc.
Sr. Notes
12.50%............... 04/15/06 500 537,500
Paging Network, Inc.
Sr. Sub. Notes
10.125%.............. 08/01/07 2,000 1,950,000
10.00%............... 10/15/08 1,000 965,000
Panamsat L.P. Sr. Sub.
Notes [STEP]
9.97%................ 08/01/03 1,400 1,365,000
Pegasus Media &
Communications, Inc.
Notes
12.50%............... 07/01/05 975 1,057,875
Phonetel Technologies
Sr. Notes
12.00%............... 12/15/06 1,025 1,042,938
Qwest Communications
International Sr.
Notes 144A
10.875%.............. 04/01/07 1,625 1,771,250
Rogers Cablesystems Sr.
Notes
10.00%............... 03/15/05 1,300 1,417,000
10.00%............... 12/01/07 1,350 1,458,000
11.00%............... 12/01/15 750 823,125
Sygnet Wireless, Inc.
Sr. Notes
11.50%............... 10/01/06 1,425 1,432,125
TCI Satellite
Entertainment [STEP]
144A
12.24%............... 02/15/07 400 238,000
TCI Satellite
Entertainment Sr.
Sub. Notes 144A
10.875%.............. 02/15/07 250 250,625
Teleport Communications
Group, Inc. Sr. Notes
9.875%............... 07/01/06 225 239,625
</TABLE>
33
<PAGE> 35
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
Teleport Communications
Group, Inc. Sr. Disc.
Notes [STEP]
10.08%............... 07/01/07 $ 3,975 $ 2,852,063
Telesystem
International
Wireless [STEP] 144A
13.16%............... 06/30/07 2,200 1,174,250
Telewest PLC Debs.
[STEP]
10.97%............... 10/01/07 4,975 3,631,750
UIH Australia Pacific
Sr. Disc. Notes
[STEP]
14.10%............... 05/15/06 1,600 976,000
USA Mobile
Communications Sr.
Notes
9.50%................ 02/01/04 1,050 987,000
Vanguard Cellular
System Debs.
9.375%............... 04/15/06 2,000 2,030,000
Viacom, Inc. Sub. Debs.
8.00%................ 07/07/06 6,000 5,865,000
Videotron Holdings PLC
Sr. Notes
10.625%.............. 02/15/05 1,000 1,120,000
Wireless One, Inc. Sr.
Notes
13.00%............... 10/15/03 500 320,000
Wireless One, Inc.
[STEP]
13.50%............... 08/01/06 300 82,500
------------
68,966,858
------------
TRANSPORTATION -- 2.9%
Ameritruck Distribution
Sr. Sub. Notes
12.25%............... 11/15/05 1,200 1,227,000
Chemical Leaman Corp.
Sr. Notes 144A
10.375%.............. 06/15/05 750 766,875
Gearbulk Holding Ltd.
Sr. Notes
11.25%............... 12/01/04 1,400 1,554,000
Johnstown America, Inc.
Sr. Sub. Notes
11.75%............... 08/15/05 600 631,500
Statia Terminals, First
Mtge. Notes Cl-A
11.75%............... 11/15/03 1,000 1,060,000
Stena AB Sr. Notes
10.50%............... 12/15/05 2,875 3,155,313
Trism, Inc. Sr. Sub.
Notes
10.75%............... 12/15/00 725 699,625
------------
9,094,313
------------
UTILITIES -- 2.1%
California Energy Co.,
Inc. Disc. Notes
10.25%............... 01/15/04 $ 4,550 $ 4,925,375
California Energy Co.,
Inc. Sr. Notes
9.50%................ 09/15/06 500 537,500
El Paso Electric Co.
First Mtge. Notes
Cl-E
9.40%................ 05/01/11 1,075 1,190,014
------------
6,652,889
------------
TOTAL CORPORATE OBLIGATIONS
(COST $263,576,240)................ 273,515,387
------------
U.S. TREASURY OBLIGATIONS -- 1.3%
U.S. Treasury Notes
5.75%
(COST $3,777,244).... 08/15/03 4,000 3,863,120
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C> <C>
COMMON STOCK -- 0.1%
BROADCASTING -- 0.0%
Sullivan Broadcasting Holdings
Co.*.......................... 2,400 25,200
------------
CAPITAL GOODS -- 0.0%
Australis Holdings Warrants*.... 1,000 0
------------
CHEMICALS -- 0.0%
Sterling Chemicals Holdings
Warrants*..................... 1,075 37,625
Uniroyal Technology Corp.
Warrants*..................... 2,500 5,938
------------
43,563
------------
CLOTHING & APPAREL -- 0.0%
Hosiery Corp. of America,
Inc.*......................... 400 3,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.0%
Electronic Retailing, Inc.
Warrants 144A*................ 875 3,500
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants*..................... 1,200 300
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Warrants
144A*......................... 250 12,625
------------
INDUSTRIAL PRODUCTS -- 0.0%
Bar Technologies, Inc. Warrants
144A*......................... 300 13,500
------------
PRINTING & PUBLISHING -- 0.1%
Affiliated Newspaper
Investments, Inc.*............ 1,000 100,500
------------
</TABLE>
34
<PAGE> 36
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C> <C>
TELECOMMUNICATIONS -- 0.0%
Cellular Communications
International, Inc.
Warrants*..................... 1,100 $ 11,000
Pegasus Communications Corp.
Cl-A*......................... 1,128 11,985
Wireless One, Inc. Warrants*.... 1,500 0
------------
22,985
------------
TOTAL COMMON STOCK
(COST $25,738).................... 225,173
------------
PREFERRED STOCK -- 4.3%
BROADCASTING -- 2.3%
American Radio Systems
11.375%....................... 18,357 1,964,193
Capstar Broadcasting Partners
$12.00 144A................... 6,500 656,500
Chancellor Broadcasting Co.
12.25% [PIK].................. 7,500 978,750
Chancellor Broadcasting Co. 144A
12.00%........................ 18,300 2,104,500
SFX Broadcasting, Inc. Cl-E
12.625%....................... 400 434,000
Sinclair Broadcast Group Cl-A
144A
11.625%....................... 10,000 1,060,000
------------
7,197,943
------------
FINANCIAL-BANK & TRUST -- 0.2%
California Federal Capital Corp.
Cl-A
9.125% [PIK].................. 30,000 785,640
------------
INDUSTRIAL PRODUCTS -- 0.2%
Fairfield Manufacturing Co.,
Inc. $11.25 Cl-A 144A......... 650 656,500
------------
PRINTING & PUBLISHING -- 0.7%
K-III Communications Corp. Cl-B
11.625% [PIK]................. 8,962 981,386
K-III Communications Corp. Cl-C
10.00% [CVT].................. 10,750 1,093,802
------------
2,075,188
------------
TELECOMMUNICATIONS -- 0.5%
Panamsat Corp.
12.75%........................ 232 $ 284,200
Pegasus Communications Corp.
Cl-A
12.75% [PIK].................. 1,250 1,231,250
------------
1,515,450
------------
UTILITIES -- 0.4%
El Paso Electric Co.
11.40% [PIK].................. 10,894 1,231,022
------------
TOTAL PREFERRED STOCK
(COST $12,057,911)................ 13,461,743
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 6.0%
Greenwich Capital
Markets, Inc. 5.95%,
dated 06/30/97,
repurchase price
$18,794,106
(Collateralized by
U.S. Treasury Note,
par value
$18,262,000, market
value $19,212,939,
due 05/15/04)
(COST $18,791,000)... 07/01/97 $18,791 18,791,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------- -------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 0.2%
Temporary Investment Cash Fund... 367,603 367,603
Temporary Investment Fund........ 367,603 367,603
-----------
(COST $735,206).................. 735,206
-----------
TOTAL INVESTMENTS -- 99.6%
(COST $298,963,339)................ 310,591,629
OTHER ASSETS LESS
LIABILITIES -- 0.4%................ 1,289,097
------------
NET ASSETS -- 100.0%................. $311,880,726
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 11.4% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
35
<PAGE> 37
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
COMMON STOCK -- 45.0%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ................ 1,500 $ 92,437
------------
AEROSPACE -- 0.7%
Boeing Co. ......................... 6,368 337,902
Lockheed Martin Corp. .............. 1,500 155,344
McDonnell Douglas Corp. ............ 2,000 137,000
Northrop Grumman Corp. ............. 800 70,250
Primex Technologies, Inc. .......... 120 2,565
Raytheon Co. ....................... 1,800 91,800
Rockwell International Corp. ....... 2,800 165,200
United Technologies Corp. .......... 2,800 232,400
------------
1,192,461
------------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*............. 2,700 69,187
AMR Corp.*.......................... 1,900 175,750
------------
244,937
------------
AUTOMOBILE MANUFACTURERS -- 0.7%
Ford Motor Co. ..................... 11,800 445,450
General Motors Corp. ............... 6,900 384,244
Honda Motor Co. Ltd. [ADR].......... 4,800 288,900
------------
1,118,594
------------
AUTOMOTIVE PARTS -- 0.3%
Arvin Industries, Inc. ............. 1,300 35,425
Echlin, Inc. ....................... 3,100 111,600
Genuine Parts Co. .................. 4,650 157,519
Goodyear Tire & Rubber Co. ......... 1,200 75,975
TRW, Inc. .......................... 2,800 159,075
------------
539,594
------------
BEVERAGES -- 1.4%
Anheuser-Busch Companies, Inc. ..... 5,400 226,462
Cadbury Schweppes PLC [ADR]......... 3,473 127,199
Coca-Cola Co. ...................... 20,200 1,363,500
Coca-Cola Enterprises, Inc. ........ 6,900 158,700
Pepsico, Inc. ...................... 12,900 484,556
------------
2,360,417
------------
BROADCASTING -- 0.2%
Chris-Craft Industries, Inc.*....... 1,339 64,607
TCA Cable TV, Inc. ................. 1,600 60,200
U.S. West, Inc.*.................... 6,500 131,625
Viacom, Inc. Cl-B*.................. 4,000 120,000
------------
376,432
------------
BUILDING MATERIALS -- 0.1%
Calmat Co. ......................... 1,700 36,550
Masco Corp. ........................ 3,600 150,300
------------
186,850
------------
BUSINESS SERVICES -- 0.1%
Cognizant Corp. .................... 1,500 60,750
Equifax, Inc. ...................... 3,900 145,031
Olsten Corp. ....................... 2,000 38,875
------------
244,656
------------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
CHEMICALS -- 1.5%
Akzo-Nobel NV [ADR]................. 1,000 $ 69,125
Cabot Corp. ........................ 2,300 65,262
Crompton & Knowles Corp. ........... 3,800 84,550
Dow Chemical Co. ................... 3,000 261,375
Dupont, (E.I.) de Nemours & Co. .... 10,400 653,900
FMC Corp.*.......................... 1,200 95,325
Great Lakes Chemical Corp. ......... 2,500 130,937
Hanna, (M.A.) Co. .................. 2,100 60,506
IMC Global, Inc. ................... 2,000 70,000
Lubrizol Corp. ..................... 2,200 92,262
Millennium Chemicals, Inc. ......... 192 4,368
Monsanto Co. ....................... 5,800 249,762
Morton International, Inc. ......... 3,400 102,637
Olin Corp. ......................... 1,200 46,875
PPG Industries, Inc. ............... 2,800 162,750
Rohm & Haas Co. .................... 1,600 144,100
Witco Corp. ........................ 3,100 117,606
------------
2,411,340
------------
CLOTHING & APPAREL -- 0.3%
Cintas Corp. ....................... 1,800 123,750
Jones Apparel Group, Inc.*.......... 2,600 124,150
Nike, Inc. Cl-B..................... 2,800 163,450
Springs Industries, Inc. Cl-A....... 2,000 105,500
------------
516,850
------------
COMPUTER HARDWARE -- 1.3%
Bay Networks, Inc.*................. 1,900 50,469
Compaq Computer Corp.*.............. 2,400 238,200
Dell Computer Corp.*................ 2,600 305,337
Digital Equipment Corp.*............ 1,400 49,612
Hewlett-Packard Co. ................ 7,200 403,200
International Business Machines
Corp. ............................ 8,200 739,537
Seagate Technology, Inc.*........... 3,600 126,675
Stratus Computer, Inc.*............. 1,100 55,000
Sun Microsystems, Inc.*............. 3,200 119,100
3Com Corp.*......................... 2,948 132,660
------------
2,219,790
------------
COMPUTER SERVICES & SOFTWARE -- 2.0%
Adobe Systems, Inc.*................ 600 21,037
America Online, Inc.*............... 1,900 105,687
Automatic Data Processing, Inc. .... 3,300 155,100
BMC Software, Inc.*................. 3,300 182,737
Cadence Design Systems, Inc.*....... 1,550 51,925
Ceridian Corp.*..................... 1,500 63,375
Cisco Systems, Inc.*................ 5,100 342,337
Computer Associates International,
Inc. ............................. 3,675 204,652
First Data Corp. ................... 5,400 237,262
Informix Corp.*..................... 2,900 26,100
</TABLE>
36
<PAGE> 38
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
Microsoft Corp.*.................... 10,000 $ 1,263,750
Novell, Inc.*....................... 9,500 65,906
Oracle Corp.*....................... 6,500 327,437
Parametric Technology Corp.*........ 2,400 102,150
Paychex, Inc. ...................... 3,600 136,800
Storage Technology Corp.*........... 1,200 53,400
Structural Dynamics Research
Corp.*............................ 1,300 34,125
------------
3,373,780
------------
CONGLOMERATES -- 0.9%
Hanson PLC [ADR].................... 337 8,425
Minnesota Mining & Manufacturing
Co. .............................. 4,400 448,800
Philip Morris Companies, Inc. ...... 21,900 971,812
------------
1,429,037
------------
CONSTRUCTION -- 0.0%
Granite Construction, Inc........... 1,100 21,725
Jacobs Engineering Group, Inc.* .... 1,000 26,875
------------
48,600
------------
CONSUMER PRODUCTS & SERVICES -- 1.4%
Colgate-Palmolive Co. .............. 4,000 261,000
Cross, (A.T.) Co. Cl-A.............. 1,400 17,850
CUC International, Inc.*............ 3,700 95,506
Eastman Kodak Co. .................. 3,300 253,275
Fortune Brands, Inc. ............... 2,400 89,550
Gallaher Group PLC [ADR]*........... 2,400 44,250
Gillette Co......................... 4,500 426,375
Imperial Tobacco Group PLC [ADR].... 675 8,684
National Presto Industries, Inc. ... 800 32,250
Pittston Brink Group................ 1,300 39,000
Procter & Gamble Co. ............... 6,500 918,125
Tambrands, Inc. .................... 1,500 74,812
------------
2,260,677
------------
CONTAINERS & PACKAGING -- 0.1%
Bemis Co., Inc. .................... 2,700 116,775
Sealed Air Corp.*................... 2,400 114,000
------------
230,775
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.3%
Altera Corp.*....................... 2,800 141,400
Applied Materials, Inc.*............ 1,600 113,300
Arrow Electronics, Inc.*............ 900 47,812
Diebold, Inc. ...................... 2,700 105,300
Emerson Electric Co. ............... 4,600 253,287
General Electric Co. ............... 28,400 1,856,650
Hitachi Ltd. [ADR].................. 2,400 271,200
Honeywell, Inc. .................... 1,500 113,812
Hubbell, Inc. Cl-B.................. 2,000 88,000
Molex, Inc. ........................ 3,500 127,750
Philips Electronics NV [ADR]........ 3,600 258,750
Solectron Corp.*.................... 1,500 105,094
Sundstrand Corp. ................... 2,200 118,800
Symbol Technologies, Inc. .......... 1,050 35,306
Tandy Corp. ........................ 600 33,600
Teleflex, Inc. ..................... 1,800 56,250
Varian Associates, Inc. ............ 700 37,975
------------
3,764,286
------------
SHARES VALUE
------ ------------
ENTERTAINMENT & LEISURE -- 0.7%
Brunswick Corp. .................... 2,000 $ 62,500
Callaway Golf Co. .................. 1,900 67,450
Circus Circus Enterprises*.......... 2,700 66,487
Harley-Davidson, Inc. .............. 1,900 91,081
Mattel, Inc. ....................... 1,900 64,362
Mirage Resorts, Inc.*............... 3,800 95,950
President Casinos, Inc. Warrants*... 883 221
Time Warner, Inc. .................. 5,500 265,375
Walt Disney Co. .................... 6,264 502,686
------------
1,216,112
------------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries, Inc..... 3,100 103,075
USA Waste Services, Inc.* .......... 2,600 100,425
Waste Management, Inc. ............. 4,023 129,239
------------
332,739
------------
FINANCIAL-BANK & TRUST -- 3.6%
Australia and New Zealand Banking
Group Ltd. [ADR] ................. 3,600 132,750
Banc One Corp. ..................... 4,900 237,344
Banco Bilbao Vizcaya [ADR].......... 3,000 242,625
Banco Frances del Rio de la Plata SA
[ADR]............................. 5,060 164,450
Chase Manhattan Corp. .............. 4,256 413,098
Citicorp............................ 4,600 554,587
City National Corp. ................ 1,800 43,312
CoreStates Financial Corp. ......... 3,400 182,750
Crestar Financial Corp. ............ 2,600 101,075
Fifth Third Bancorp................. 2,100 172,266
First Bank System, Inc. ............ 2,400 204,900
First Chicago NBD Corp.............. 3,400 205,700
First Security Corp................. 4,725 129,052
First Tennessee National Corp. ..... 2,700 129,600
First Union Corp.................... 2,800 259,000
Fleet Financial Group, Inc.......... 2,900 183,425
Keycorp............................. 3,500 195,562
Mellon Bank Corp. .................. 4,400 198,550
Mercantile Bancorporation, Inc. .... 1,400 85,050
Mercantile Bankshares Corp. ........ 1,800 72,000
Morgan, (J.P.) & Co., Inc. ......... 2,300 240,062
NationsBank Corp. .................. 8,000 516,000
Northern Trust Corp. ............... 3,600 174,150
Norwest Corp. ...................... 4,000 225,000
Pacific Century Hawaii, Inc. ....... 1,500 69,375
PNC Bank Corp. ..................... 4,820 200,632
Southtrust Corp. ................... 3,000 124,125
State Street Boston Corp. .......... 3,600 166,500
U.S. Bancorp........................ 2,852 182,884
Wells Fargo & Co. .................. 900 242,550
------------
6,048,374
------------
</TABLE>
37
<PAGE> 39
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
FINANCIAL SERVICES -- 1.5%
American Express Co. ............... 3,900 $ 290,550
Bear Stearns Companies, Inc. ....... 2,415 82,563
Charles Schwab Corp. ............... 3,200 130,200
Comdisco, Inc. ..................... 2,850 74,100
Echelon International Corp.*........ 146 3,331
Edwards (A.G.), Inc. ............... 1,500 64,125
Fannie Mae.......................... 6,000 261,750
Federal Home Loan Mtge. Corp. ...... 9,500 326,562
Franklin Resources, Inc. ........... 2,850 206,803
Green Tree Financial Corp. ......... 2,500 89,062
Grupo Financiero Bancomer [ADR]
144A*............................. 1,400 13,650
H & R Block, Inc. .................. 2,500 80,625
Household International, Inc. ...... 1,600 187,900
Merrill Lynch & Co., Inc. .......... 2,600 155,025
Morgan Stanley, Dean Witter,
Discover & Co.*................... 5,485 236,198
Paine Webber Group, Inc. ........... 2,400 84,000
Salomon, Inc. ...................... 1,400 77,875
SunAmerica, Inc. ................... 2,400 117,000
------------
2,481,319
------------
FOOD -- 1.6%
Archer-Daniels-Midland Co. ......... 7,412 174,182
Conagra, Inc. ...................... 3,400 218,025
CPC International, Inc. ............ 1,800 166,162
Dole Food Co. ...................... 1,700 72,675
Earthgrains Co. .................... 148 9,703
General Mills, Inc. ................ 2,500 162,812
Grand Metropolitan PLC [ADR]........ 4,800 188,100
Heinz, (H.J.) Co. .................. 4,450 205,256
IBP, Inc. .......................... 2,400 55,800
Kellogg Co. ........................ 2,400 205,500
McCormick & Co., Inc. .............. 2,600 65,650
Ralston Purina Group................ 2,100 172,594
Safeway, Inc.*...................... 2,280 105,165
Sara Lee Corp. ..................... 6,200 258,075
Smucker, (J.M.) Co. ................ 1,600 34,800
Unilever PLC [ADR].................. 2,100 457,800
Universal Corp. .................... 1,000 31,750
Universal Foods Corp. .............. 1,300 49,562
------------
2,633,611
------------
FURNITURE -- 0.1%
Leggett & Platt, Inc. .............. 2,000 86,000
------------
HEALTHCARE SERVICES -- 0.4%
Apria Healthcare Group, Inc.*....... 2,000 35,500
Columbia-HCA Healthcare Corp. ...... 6,096 239,649
Healthsouth Corp.*.................. 3,600 89,775
PaCificare Health Systems, Inc.
Cl-A.............................. 400 24,225
PaCificare Health Systems, Inc.
Cl-B*............................. 1,000 63,875
United Healthcare Corp. ............ 2,100 109,200
Vencor, Inc.*....................... 2,200 92,950
------------
655,174
------------
SHARES VALUE
------ ------------
HOTELS & MOTELS -- 0.2%
HFS, Inc.*.......................... 2,400 $ 139,200
ITT Corp.*.......................... 1,900 116,019
------------
255,219
------------
INDUSTRIAL PRODUCTS -- 0.3%
Corning, Inc. ...................... 2,600 144,625
Dexter Corp. ....................... 1,500 48,000
Harsco Corp. ....................... 2,000 81,000
Pall Corp. ......................... 4,000 93,000
Tomkins PLC [ADR]................... 6,000 107,250
------------
473,875
------------
INSURANCE -- 1.8%
Aetna, Inc. ........................ 2,102 215,192
AFLAC, Inc. ........................ 2,550 120,487
American Financial Group, Inc. ..... 1,700 72,144
American General Corp. ............. 3,600 171,900
American International Group,
Inc. ............................. 4,500 672,187
Chubb Corp. ........................ 2,600 173,875
CIGNA Corp. ........................ 1,300 230,750
General Re Corp. ................... 1,100 200,200
HSB Group, Inc. .................... 1,100 58,712
Loews Corp. ........................ 1,700 170,212
Progressive Corp. .................. 1,300 113,100
Selective Insurance Group........... 1,000 48,437
Torchmark Corp. .................... 2,300 163,875
Transatlantic Holdings, Inc. ....... 700 69,475
Travelers Group, Inc. .............. 5,800 365,762
UNUM Corp. ......................... 3,400 142,800
------------
2,989,108
------------
LUMBER & WOOD PRODUCTS -- 0.0%
Deltic Timber Corp. ................ 342 10,025
------------
MACHINERY & EQUIPMENT -- 0.9%
AlliedSignal, Inc. ................. 3,700 310,800
Black & Decker Corp. ............... 1,800 66,937
Caterpillar, Inc. .................. 2,800 300,650
Danaher Corp. ...................... 1,100 55,894
Deere & Co. ........................ 4,000 219,500
Durco International, Inc. .......... 2,900 84,825
Federal Signal Corp. ............... 1,700 42,712
Gencorp, Inc. ...................... 2,800 64,750
Illinois Tool Works, Inc. .......... 4,200 209,737
Sequa Corp. Cl-A* .................. 700 39,462
Tecumseh Products Co. Cl-A.......... 1,400 83,825
Thermo Electron Corp.*.............. 1,600 55,000
------------
1,534,092
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.4%
Baxter International, Inc. ......... 2,400 125,400
Becton Dickinson & Co. ............. 2,700 136,687
Boston Scientific Corp.*............ 2,100 129,019
Guidant Corp. ...................... 500 42,500
</TABLE>
38
<PAGE> 40
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
Medtronic, Inc. .................... 2,000 $ 162,000
Stryker Corp. ...................... 3,400 118,575
------------
714,181
------------
METALS & MINING -- 0.4%
Aluminum Co. of America............. 2,700 203,512
Barrick Gold Corp. ................. 6,500 143,000
Brush Wellman, Inc. ................ 1,300 27,219
Carpenter Technology Corp. ......... 2,200 100,650
Nucor Corp. ........................ 1,600 90,400
Placer Dome, Inc. .................. 4,700 76,962
------------
641,743
------------
MISCELLANEOUS -- 0.1%
International Flavors & Fragrances,
Inc. ............................. 2,600 131,300
------------
OFFICE EQUIPMENT -- 0.4%
Ikon Office Solutions, Inc. ........ 2,300 57,356
Pitney Bowes, Inc. ................. 1,900 132,050
Standard Register Co. .............. 1,100 33,687
Staples, Inc.*...................... 2,900 67,425
Viking Office Products, Inc.*....... 2,100 39,900
Wallace Computer Service, Inc. ..... 2,900 87,181
Xerox Corp. ........................ 3,100 244,512
------------
662,111
------------
OIL & GAS -- 4.7%
Amerada Hess Corp. ................. 4,700 261,144
Atlantic Richfield Co. ............. 4,000 282,000
BJ Services Co.*.................... 3,300 176,962
British Petroleum Co. PLC [ADR]..... 3,000 224,625
Chevron Corp. ...................... 6,000 443,625
El Paso Natural Gas Co. ............ 1,400 77,000
Enron Corp. ........................ 4,400 179,575
Ensco International, Inc.*.......... 2,100 110,775
Ente Nazionale Idrocarbure SPA
[ADR]............................. 3,500 199,062
Exxon Corp. ........................ 21,400 1,316,100
Global Marine, Inc.*................ 4,200 97,650
Halliburton Co. .................... 1,200 95,100
Helmerich & Payne, Inc. ............ 900 51,862
MCN Energy Group, Inc. ............. 2,400 73,500
Mobil Corp. ........................ 8,000 559,000
Murphy Oil Corp. ................... 1,200 58,500
National Fuel Gas Co. .............. 1,600 67,100
Noble Affiliates, Inc. ............. 2,600 100,587
Occidental Petroleum Corp. ......... 6,600 165,412
Philips Petroleum Co. .............. 4,000 175,000
Ranger Oil Ltd. .................... 5,400 50,287
Repsol SA [ADR]..................... 3,000 127,312
Royal Dutch Petroleum Co. .......... 18,400 1,000,500
Schlumberger Ltd. .................. 1,700 212,500
Shell Transport & Trading Co.
[ADR]............................. 2,000 251,500
Societe Nationale Elf Aquitaine SA
[ADR]............................. 2,000 108,875
Sonat, Inc. ........................ 2,600 133,250
Texaco, Inc. ....................... 3,100 337,125
Tidewater, Inc. .................... 2,700 118,800
SHARES VALUE
------ ------------
Tosco Corp. ........................ 3,000 $ 89,813
Total SA [ADR]...................... 3,000 151,875
Union Pacific Resources Group,
Inc. ............................. 5,509 137,036
Unocal Corp. ....................... 3,600 139,725
USX Marathon Group.................. 5,400 155,925
Valero Energy Corp. ................ 2,900 105,125
Washington Gas Light Co. ........... 2,200 55,275
------------
7,889,502
------------
PAPER & FOREST PRODUCTS -- 0.5%
Georgia Pacific Corp. .............. 1,500 128,063
Glatfelter, (P.H.) Co. ............. 2,600 52,000
International Paper Co. ............ 4,400 213,675
Kimberly-Clark Corp. ............... 5,400 268,650
Wausau Paper Mills Co. ............. 1,900 35,863
Weyerhaeuser Co. ................... 3,200 166,400
------------
864,651
------------
PERSONAL SERVICES -- 0.1%
Service Corp. International......... 3,800 124,925
------------
PHARMACEUTICALS -- 3.6%
Abbott Laboratories................. 5,900 393,825
American Home Products Corp. ....... 5,300 405,450
Amgen, Inc.*........................ 2,300 133,688
Bristol-Meyers Squibb Co. .......... 8,200 664,200
Cardinal Health, Inc. .............. 2,400 137,400
Carter-Wallace, Inc. ............... 3,900 69,713
Centocor, Inc.*..................... 1,200 37,275
Genzyme Corp.*...................... 2,100 58,275
Glaxo Wellcome PLC [ADR]............ 4,800 200,700
Ivax Corp. ......................... 2,200 24,613
Johnson & Johnson Co. .............. 10,200 656,625
Lilly, (Eli) & Co. ................. 4,900 535,631
McKesson Corp. ..................... 1,300 100,750
Merck & Co., Inc. .................. 9,900 1,024,650
Perrigo Co.*........................ 3,600 45,000
Pfizer, Inc. ....................... 5,500 657,250
Pharmacia & Upjohn, Inc. ........... 4,300 149,425
Scherer, (R.P.) Corp.*.............. 1,000 51,625
Schering-Plough Corp. .............. 5,600 268,100
Warner-Lambert Co. ................. 3,000 372,750
Watson Pharmaceuticals, Inc.*....... 1,500 63,375
------------
6,050,320
------------
PRINTING & PUBLISHING -- 0.3%
Banta Corp. ........................ 2,900 78,663
Belo, (A.H.) Corp. Cl-A............. 1,300 54,113
Dun & Bradstreet Corp. ............. 1,500 39,375
Gannett Co., Inc. .................. 2,200 217,250
McGraw-Hill Co., Inc. .............. 2,400 141,150
------------
530,551
------------
RAILROADS -- 0.4%
Burlington Northern Santa Fe
Corp. ............................ 1,300 116,838
CSX Corp. .......................... 2,300 127,650
Kansas City Southern Industries,
Inc. ............................. 1,800 116,100
</TABLE>
39
<PAGE> 41
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
Norfolk Southern Corp. ............. 1,500 $ 151,125
Union Pacific Corp. ................ 1,900 133,950
------------
645,663
------------
RESTAURANTS -- 0.3%
Brinker International, Inc.*........ 7,300 104,025
Cracker Barrel Old Country Store,
Inc. ............................. 2,700 71,550
Darden Restaurants, Inc. ........... 6,500 58,906
McDonald's Corp. ................... 4,800 231,900
Outback Steakhouse, Inc.* .......... 1,900 45,956
------------
512,337
------------
RETAIL & MERCHANDISING -- 2.0%
Albertson's, Inc. .................. 4,200 153,300
Ann Taylor Stores Corp.*............ 1,600 31,200
Bed, Bath & Beyond, Inc.*........... 2,200 66,825
Circuit City Stores, Inc. .......... 900 32,006
Costco Companies, Inc.*............. 3,900 128,213
Dayton-Hudson Corp. ................ 2,400 127,650
Fastenal Co. ....................... 1,400 68,600
Federated Department Stores,
Inc.*............................. 2,700 93,825
Gap, Inc. .......................... 2,900 112,738
Home Depot, Inc. ................... 6,000 413,625
J.C. Penney Co., Inc. .............. 2,800 146,125
Kohls Corp.*........................ 2,800 148,225
Kroger Co.*......................... 5,400 156,600
Lands' End, Inc.*................... 1,800 53,325
May Department Stores Co. .......... 3,900 184,275
Melville Corp. ..................... 2,475 126,844
Meyer, (Fred), Inc.*................ 1,500 77,531
Micro Warehouse, Inc.*.............. 1,500 25,688
Payless Shoesource, Inc.*........... 672 36,750
Tiffany & Co. ...................... 1,200 55,425
TJX Companies, Inc. ................ 2,800 73,850
Toys 'R' Us, Inc.*.................. 4,620 161,700
Wal-Mart Stores, Inc. .............. 20,400 689,775
Walgreen Co. ....................... 3,300 176,963
------------
3,341,058
------------
SEMI-CONDUCTORS -- 1.2%
Analog Devices, Inc.*............... 7,533 200,095
Atmel Corp.*........................ 2,000 56,000
Intel Corp. ........................ 7,000 992,688
Linear Technology Corp. ............ 1,900 98,325
Maxim Integrated Products, Inc.*.... 2,000 113,750
Motorola, Inc. ..................... 4,700 357,200
Xilinx, Inc.*....................... 3,100 152,094
------------
1,970,152
------------
TELECOMMUNICATIONS -- 4.0%
ADC Telecommunications, Inc.*....... 3,400 113,475
Airtouch Communications, Inc.*...... 6,000 164,250
Ameritech Corp. .................... 4,800 326,100
AT&T Corp. ......................... 13,900 487,369
Bell Atlantic Corp. ................ 4,400 333,850
BellSouth Corp. .................... 8,100 375,638
British Telecommunications PLC
[ADR]............................. 3,200 237,600
Century Telephone Enterprises,
Inc. .............................. 2,800 94,325
SHARES VALUE
------ ------------
Cia de Telecomunicaciones de Chile
SA [ADR].......................... 1,700 $ 56,100
Comcast Corp. Cl-A.................. 5,700 121,838
Ericsson, (L.M.) Telephone Co.
[ADR]............................. 4,800 189,000
GTE Corp. .......................... 7,200 315,900
Hong Kong Telecommunications Ltd.
[ADR]............................. 9,245 216,102
Lucent Technologies, Inc. .......... 5,176 372,996
MCI Communications Corp. ........... 6,700 256,484
Nextel Communications, Inc. Cl-A*... 3,600 68,175
Nokia Corp. Cl-A [ADR].............. 1,800 132,750
Northern Telecom Ltd. .............. 3,400 309,400
NYNEX Corp. ........................ 3,200 184,400
SBC Communications, Inc. ........... 8,657 535,652
Southern New England
Telecommunications Corp. ......... 2,400 93,300
Sprint Corp. ....................... 3,900 205,238
Telebras SA [ADR]................... 3,300 500,775
Telefonica de Espana [ADR].......... 1,600 138,000
Telefonos de Mexico SA Cl-L [ADR]... 1,800 85,950
Telephone & Data Systems, Inc. ..... 2,000 75,875
Tellabs, Inc.*...................... 2,000 111,750
U.S. West Communications Group...... 3,100 116,831
Vodafone Group PLC [ADR]............ 3,200 155,000
Worldcom, Inc.*..................... 8,800 281,600
360 Communications Co.*............. 2,300 39,388
------------
6,695,111
------------
TRANSPORTATION -- 0.0%
Alexander & Baldwin, Inc. .......... 1,800 47,025
------------
UTILITIES -- 1.7%
Allegheny Power System, Inc. ....... 2,700 72,056
American Water Works Co., Inc. ..... 1,200 25,650
Calenergy, Inc.*.................... 2,400 91,200
CMS Energy Corp. ................... 2,800 98,700
Duke Power Co. ..................... 3,700 177,369
Edison International, Inc. ......... 7,800 194,025
Empresa Nacional de Electridad SA
[ADR]............................. 1,900 161,619
Empresa Nacional Electridad SA
[ADR]............................. 2,000 45,125
Energy Group PLC [ADR].............. 337 14,280
Entergy Corp. ...................... 4,800 131,400
Florida Progress Corp. ............. 2,200 68,888
FPL Group, Inc. .................... 3,700 170,431
Idaho Power Co. .................... 2,600 81,575
Illinova Corp. ..................... 2,700 59,400
IPALCO Enterprises, Inc. ........... 2,400 75,000
MidAmerican Energy Co. ............. 3,800 65,788
New York State Electric & Gas
Corp. ............................ 3,400 70,975
Niagara Mohawk Power Corp. ......... 9,200 78,775
NIPSCO Industries, Inc. ............ 2,300 95,019
Pacific Gas & Electric Co. ......... 6,800 164,900
Portland General Corp. ............. 2,700 107,156
Potomac Electric Power Co. ......... 3,200 74,000
Public Service Co. of New Mexico.... 1,000 17,875
</TABLE>
40
<PAGE> 42
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
Scana Corp. ........................ 2,700 $ 66,994
Southern Co. ....................... 8,700 190,313
Southwestern Public Service Co. .... 2,100 82,556
Teco Energy, Inc. .................. 3,100 79,244
Texas Utilities Co.................. 3,700 127,419
Unicom Corp. ....................... 4,200 93,450
------------
2,781,182
------------
TOTAL COMMON STOCK
(COST $54,447,093).................... 74,928,793
------------
FOREIGN STOCK -- 10.1%
AEROSPACE -- 0.1%
Mitsubishi Heavy Industries
Ltd. -- (JPY)..................... 22,000 168,743
------------
AIRLINES -- 0.1%
KLM Royal Dutch Airlines
NV -- (NLG)....................... 3,000 92,446
Singapore Airlines Ltd. -- (SGD).... 15,000 134,294
------------
226,740
------------
AUTOMOBILE MANUFACTURERS -- 0.2%
Man AG -- (DEM)..................... 1,000 311,335
------------
AUTOMOTIVE PARTS -- 0.2%
Bridgestone Corp. -- (JPY).......... 15,000 348,168
------------
BEVERAGES -- 0.2%
Lion Nathan Ltd. -- (NZD)........... 50,000 126,681
Louis Vuitton Moet
Hennessy -- (FRF)................. 660 177,431
------------
304,112
------------
BUILDING MATERIALS -- 0.3%
Blue Circle Industries
PLC -- (GBP)...................... 26,200 186,741
Holderbank Financiere Glarus
AG -- (CHF)....................... 200 188,852
Malayan Cement BHD -- (MYR)......... 51,250 85,694
------------
461,287
------------
CHEMICALS -- 0.5%
Akzo Nobel NV -- (NLG).............. 400 54,806
BASF AG -- (DEM).................... 5,600 206,617
Bayer AG -- (DEM)................... 5,000 192,650
L'Air Liquide -- (FRF).............. 1,260 200,024
Sumitomo Chemical Co. -- (JPY)...... 26,000 117,749
------------
771,846
------------
CLOTHING & APPAREL -- 0.3%
Benetton Group SPA -- (ITL)......... 4,160 66,438
Christian Dior SA -- (FRF).......... 1,200 198,053
Kuraray Co. Ltd. -- (JPY)........... 21,000 208,901
------------
473,392
------------
CONGLOMERATES -- 0.6%
Cycle & Carriage Ltd. -- (SGD)...... 15,000 155,277
GKN PLC -- (GBP).................... 6,000 103,366
Hutchison Whampoa Ltd. -- (HKD)..... 56,000 484,329
Sime Darby BHD -- (MYR)............. 50,000 166,416
SHARES VALUE
------ ------------
United Engineers Ltd. -- (MYR)...... 15,000 $ 108,170
Valmet Corp. -- (FIM)............... 4,000 69,271
------------
1,086,829
------------
CONSTRUCTION -- 0.3%
Matsushita Electric
Works -- (JPY).................... 15,000 170,157
Societe Technip -- (FRF)............ 2,300 266,896
------------
437,053
------------
CONSUMER PRODUCTS & SERVICES -- 0.3%
Kao Corp. -- (JPY).................. 26,000 360,733
Orkla AS Cl-A -- (NOK).............. 1,000 73,696
------------
434,429
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.4%
Mitsubishi Electric
Corp. -- (JPY).................... 27,000 151,021
Sharp Corp. -- (JPY)................ 9,000 124,084
Siemans AG -- (DEM)................. 2,000 119,775
Sony Corp.-- (JPY).................. 3,000 261,518
------------
656,398
------------
FINANCIAL-BANK & TRUST -- 2.2%
Abbey National PLC -- (GBP)......... 18,000 245,799
ABN AMRO Bank NV -- (NLG)........... 8,000 149,137
Banca Commerciale Italia
NA -- (ITL)....................... 30,000 62,118
Bank of Scotland -- (GBP)........... 20,208 129,226
Bankgesellschaft Berlin
AG -- (DEM)....................... 5,450 114,931
Barclays PLC -- (GBP)............... 15,191 301,548
DCB Holdings BHD -- (MYR)........... 33,000 104,604
DCB Holdings BHD Rights -- (MYR)*... 1,650 2,550
Deutsche Bank AG -- (DEM)........... 2,800 164,394
Developmental Bank of Singapore Ltd.
Cl-F -- (SGD)..................... 7,000 88,130
Dresdner Bank AG -- (DEM)........... 2,400 84,078
HSBC Holdings PLC -- (GBP).......... 18,000 554,097
ING Groep NV -- (NLG)............... 10,153 468,011
Kredietbank NV -- (BEF)............. 300 120,867
Oversea-Chinese Banking Corp.
Ltd. -- (SGD)..................... 12,000 124,222
Societe Generale
Belgique -- (BEF)................. 1,000 93,359
Svenska Handlesbanken
Cl-A -- (SEK)..................... 5,000 160,198
Swiss Bank Corp. -- (CHF)........... 1,200 320,871
Toronto Dominion Bank -- (CAD)...... 4,100 121,435
Union Bank of Switzerland Cl-B --
(CHF)............................. 200 228,704
Westpac Banking Corp.
Ltd. -- (AUD)..................... 10,000 60,260
------------
3,698,539
------------
FINANCIAL SERVICES -- 0.2%
Gemina SPA -- (ITL)*................ 5,000 1,879
Holding Di Partecipazioni
Industriali SPA -- (ITL)*......... 45,000 21,574
Mediobanca -- (ITL)................. 7,000 42,494
Societe Generale -- (FRF)........... 1,972 220,110
------------
286,057
------------
FOOD -- 0.5%
Cadbury Schweppes PLC -- (GBP)...... 1,400 12,485
CSM NV -- (NLG)..................... 2,400 120,287
</TABLE>
41
<PAGE> 43
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C> <C>
Danisco AS -- (DKK)..................... 4,000 $ 244,626
Eridania Beghin-Say SA -- (FRF)..... 1,400 209,624
Huhtamaki Group -- (FIM)............ 1,500 64,653
Nestle SA -- (CHF).................. 150 197,823
------------
849,498
------------
INSURANCE -- 0.3%
AXA SA -- (FRF)..................... 3,400 211,444
CKAG Colonia Konzern AG -- (DEM).... 1,500 141,907
Sumitomo Marine & Fire Insurance
Co. -- (JPY)...................... 30,000 246,073
------------
599,424
------------
MACHINERY & EQUIPMENT -- 0.2%
ABB AG -- (CHF)..................... 80 121,063
SIG Holding AG -- (CHF)............. 70 212,099
------------
333,162
------------
METALS & MINING -- 0.3%
CRA Ltd. -- (AUD)................... 6,000 102,435
Lonrho PLC -- (GBP)................. 57,990 123,128
Rustenburg Platinum Holdings Ltd. --
(ZAR)............................. 12,000 219,374
------------
444,937
------------
OFFICE EQUIPMENT -- 0.2%
Canon, Inc. -- (JPY)................ 9,000 245,026
Ricoh Corp. Ltd. -- (JPY)........... 13,000 170,157
------------
415,183
------------
OIL & GAS -- 0.1%
Santos Ltd. -- (AUD)................ 32,000 134,765
Societe Nationale Elf Aquitaine
SA -- (FRF)....................... 1,100 118,662
------------
253,427
------------
PAPER & FOREST PRODUCTS -- 0.1%
Bobst SA -- (CHF)................... 60 101,890
Kimberly-Clark de Mexico SA Cl-A --
(MXP)............................. 10,000 40,025
------------
141,915
------------
PHARMACEUTICALS -- 0.7%
Altana AG -- (DEM).................. 210 225,159
Astra AB Cl-B -- (SEK).............. 14,666 261,052
Gehe AG -- (DEM).................... 2,150 147,927
Novartis AG -- (CHF)................ 160 255,492
Takeda Chemical
Industries -- (JPY)............... 13,000 365,271
------------
1,254,901
------------
PRINTING & PUBLISHING -- 0.4%
Dai Nippon Printing Co.
Ltd. -- (JPY)..................... 12,000 271,204
Elsevier NV -- (NLG)................ 12,000 200,479
Pearson PLC -- (GBP)................ 11,600 134,354
------------
606,037
------------
SHARES VALUE
------ ------------
REAL ESTATE -- 0.3%
Cheung Kong Holdings
Ltd. -- (HKD)..................... 38,000 $ 375,252
DBS Land Ltd. -- (SGD).............. 25,000 79,038
Hopewell Holdings Ltd. -- (HKD)..... 59,463 37,611
------------
491,901
------------
RETAIL & MERCHANDISING -- 0.3%
Carrefour Supermarche SA -- (FRF)... 150 108,929
Mauri Co. Ltd. -- (JPY)............. 7,000 130,105
Pinault-Printemps Redoute
SA -- (FRF)....................... 250 120,125
Tesco PLC -- (GBP)................... 33,943 208,862
------------
568,021
------------
TELECOMMUNICATIONS -- 0.4%
Telecom Corp. of New Zealand Ltd. --
(NZD)............................. 22,000 112,077
Telecom Italia Mobile
SPA -- (ITL)...................... 75,000 242,647
Telecom Italia SPA -- (ITL)......... 75,000 240,662
Telekom Malaysia BHD -- (MYR)....... 24,000 112,212
------------
707,598
------------
TRANSPORTATION -- 0.1%
BAA PLC -- (GBP).................... 17,600 162,228
------------
UTILITIES -- 0.3%
Electrabel SA -- (BEF).............. 420 89,975
Hong Kong Electric Holdings Ltd. --
(HKD)............................. 30,000 120,824
Veba AG -- (DEM).................... 4,000 225,904
------------
436,703
------------
TOTAL FOREIGN STOCK (COST
$13,637,735).......................... 16,929,863
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- ------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 16.1%
AEROSPACE -- 0.6%
BE Aerospace, Inc. Sr. Sub.
Notes
9.875%................... 02/01/06 $ 150 155,438
Boeing Co. Notes
6.35%.................... 06/15/03 120 117,450
Dyncorp, Inc.
Sr. Sub. Notes 144A
9.50%.................... 03/01/07 300 303,750
K&F Industries, Inc.
Sr. Sub. Notes
10.375%.................. 09/01/04 150 158,813
Raytheon Co. Notes
6.50%.................... 07/15/05 350 337,313
------------
1,072,764
------------
AIRLINES -- 0.0%
Southwest Airlines Co.
Debs.
9.25%.................... 02/15/98 25 25,473
------------
</TABLE>
42
<PAGE> 44
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
AUTOMOBILE MANUFACTURERS -- 0.0%
Daimler-Benz
Auto Grantor Trust
3.90%.................... 10/15/98 $ 10 $ 9,620
------------
AUTOMOTIVE PARTS -- 0.2%
Chief Auto Parts, Inc. Sr.
Notes
10.50%................... 05/15/05 150 151,500
Safelite Glass Corp.
Sr. Sub. Notes 144A
9.875%................... 12/15/06 250 264,375
------------
415,875
------------
BEVERAGES -- 0.5%
Anheuser-Busch Companies,
Inc. Debs.
7.00%.................... 12/01/25 150 139,875
Coca-Cola Bottling Group
Sr. Sub. Notes
9.00%.................... 11/15/03 100 104,000
Dr. Pepper Bottling Holding
Co. Sr. Notes [STEP]
9.19%.................... 02/15/03 140 138,950
Texas Bottling Group, Inc.
Sr. Sub. Notes
9.00%.................... 11/15/03 100 103,500
TLC Beatrice International
Holdings Sr. Notes
11.50%................... 10/01/05 250 281,563
------------
767,888
------------
BROADCASTING -- 0.2%
Chancellor Radio
Broadcasting Sr. Sub.
Notes
9.375%................... 10/01/04 175 182,000
Young Broadcasting Corp.
Sr. Sub. Notes
10.125%.................. 02/15/05 150 158,250
------------
340,250
------------
BUILDING MATERIALS -- 0.1%
Associated Materials, Inc.
Sr. Sub. Notes
11.50%................... 08/15/03 100 106,000
Building Materials Corp.
Sr. Notes [STEP]
6.56%.................... 07/01/04 150 136,500
------------
242,500
------------
CHEMICALS -- 0.1%
Agricultural Minerals &
Chemicals, Inc. Sr. Notes
10.75%................... 09/30/03 100 106,625
Scotts Co. Sr. Sub. Notes
9.875%................... 08/01/04 100 107,250
------------
213,875
------------
PAR
MATURITY (000) VALUE
-------- ------ ------------
CLOTHING & APPAREL -- 0.4%
Dan River, Inc.
Sr. Sub. Notes
10.125%.................. 12/15/03 $ 150 $ 158,250
Dominion Textile USA, Inc.
Sr. Notes
9.25%.................... 04/01/06 150 156,750
Pillowtex Corp. Sr. Sub.
Notes
10.00%................... 11/15/06 150 159,188
Tultex Corp. Sr. Notes 144A
9.625%................... 04/15/07 125 134,375
------------
608,563
------------
COMPUTER HARDWARE -- 0.1%
International Business
Machines Corp. Notes
6.375%................... 11/01/97 100 100,216
------------
CONGLOMERATES -- 0.1%
Jordan Industries Sr. Notes
10.375%.................. 08/01/03 125 131,250
------------
CONSUMER PRODUCTS & SERVICES -- 0.8%
American Safety Razor Co.
Sr. Notes
9.875%................... 08/01/05 150 157,125
Archibald Candy Corp. Notes
10.25%................... 07/01/04 200 203,000
Consolidated Cigar
Sr. Sub. Notes
10.50%................... 03/01/03 175 184,188
Doane Products Co. Sr.
Notes
10.625%.................. 03/01/06 150 158,625
Herff Jones, Inc.
Sr. Sub. Notes
11.00%................... 08/15/05 175 189,875
MAFCO, Inc. Sr. Sub. Notes
11.875%.................. 11/15/02 100 108,125
PM Holdings Corp.
Sub. Notes [STEP]
9.87%.................... 09/01/05 100 75,875
Revlon Consumer Products
Corp. Sr. Sub. Notes Cl-B
10.50%................... 02/15/03 150 160,500
Westpoint Stevens, Inc. Sr.
Sub. Debs.
9.375%................... 12/15/05 150 157,688
------------
1,395,001
------------
CONTAINERS & PACKAGING -- 0.6%
Container Corp. of America
Sr. Notes
9.75%.................... 04/01/03 150 158,250
11.25%................... 05/01/04 100 109,750
Gaylord Container Corp. Sr.
Sub. Debs.
12.75%................... 05/15/05 150 165,375
</TABLE>
43
<PAGE> 45
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
Plastic Containers Sr.
Notes
10.00%................... 12/15/06 $ 250 $ 260,000
Silgan Corp.
11.75%................... 06/15/02 150 159,375
U.S. Can Corp. Sr. Sub.
Notes
10.125%.................. 10/15/06 150 160,125
------------
1,012,875
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.7%
Ametek, Inc. Sr. Notes
9.75%.................... 03/15/04 100 106,125
Celestica International
Sr. Sub. Notes
10.50%................... 12/31/06 150 162,000
Fairchild Semiconductor Sr.
Sub. Notes 144A
10.125%.................. 03/15/07 250 265,000
HCC Industries Sr. Sub.
Notes 144A
10.75%................... 05/15/07 175 184,188
Viasystems, Inc. Sr. Sub.
Notes 144A
9.75%.................... 06/01/07 250 256,250
Westinghouse Electric
Corp. Debs.
8.875%................... 06/01/01 200 210,500
------------
1,184,063
------------
ENTERTAINMENT & LEISURE -- 1.0%
AMC Entertainment, Inc. Sr.
Sub. Notes 144A
9.50%.................... 03/15/09 250 259,375
Grand Casinos, Inc.
First Mtge.
10.125%.................. 12/01/03 150 156,375
Rio Hotel & Casino, Inc.
9.50%.................... 04/15/07 100 103,500
Rio Hotel & Casino, Inc.
Sr. Sub. Notes
10.625%.................. 07/15/05 150 161,813
Six Flags Theme Parks Sr.
Sub. Notes
Cl-A [STEP]
8.44%.................... 06/15/05 150 153,000
Time Warner
Entertainment Debs.
7.25%.................... 09/01/08 500 491,875
Trump Atlantic City Assoc.,
Inc. Notes
11.25%................... 05/01/06 100 98,000
United Artists Theatre Pass
Through Trust
9.30%.................... 07/01/15 246 236,262
------------
1,660,200
------------
ENVIRONMENTAL SERVICES -- 0.2%
Allied Waste North America
Sr. Sub. Notes 144A
10.25%................... 12/01/06 250 270,000
------------
PAR
MATURITY (000) VALUE
-------- ------ ------------
EQUIPMENT SERVICES -- 0.1%
Coinmach Corp. Sr. Notes
11.75%................... 11/15/05 $ 150 $ 166,313
------------
FINANCIAL-BANK & TRUST -- 1.0%
Airplanes Pass Through
Trust
10.875%.................. 03/15/19 150 172,564
Aristar, Inc. Sr. Notes
8.875%................... 08/15/98 200 205,466
7.875%................... 02/15/99 200 205,250
Banesto Delaware Sub. Notes
8.25%.................... 07/28/02 50 52,750
Bank of Nova Scotia Sub.
Notes
6.25%.................... 09/15/08 50 46,375
BankAmerica Corp.
6.85%.................... 03/01/03 150 150,000
CoreStates Home Equity
Trust Cl-A
6.65%.................... 05/15/09 65 65,157
Export-Import Bank of
Korea Notes
6.50%.................... 05/15/00 40 39,900
First Federal Financial
Notes
11.75%................... 10/01/04 125 121,250
Greenpoint Capital Trust I
144A
9.10%.................... 06/01/27 250 255,000
NationsBank Texas Sr. Notes
6.75%.................... 08/15/00 150 150,750
Provident Bank Corp.
Sub. Notes
7.125%................... 03/15/03 175 175,219
U.S. Bancorp Notes
6.72%.................... 06/01/98 100 100,560
------------
1,740,241
------------
FINANCIAL SERVICES -- 2.3%
Advanta Corp. Notes
7.07%.................... 09/15/97 235 235,256
Ahmanson, (H.F.) & Co. Sr.
Notes
9.875%................... 11/15/99 100 106,875
American Express Master
Trust
7.60%.................... 08/15/02 500 517,909
Associates Corp. of North
America Sr. Notes
7.70%.................... 03/15/00 50 51,438
Chrysler Financial Corp.
Notes
8.46%.................... 01/19/00 200 209,000
</TABLE>
44
<PAGE> 46
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
Ciesco L.P. Notes
7.38%.................... 04/19/00 $ 250 $ 253,750
Conseco, Inc. Sr. Notes
8.125%................... 02/15/03 500 518,125
Enhance Financial Services
Group Debs.
6.75%.................... 03/01/03 300 298,125
General Motors Acceptance
Corp. Grantor Trust
6.30%.................... 06/15/99 13 13,317
Household Finance Corp. Sr.
Notes
6.96%.................... 04/27/98 300 302,796
Intertek Finance PLC
Sr. Sub. Notes
10.25%................... 11/01/06 250 259,375
Loomis Fargo & Co.
Sr. Sub. Notes 144A
10.00%................... 01/15/04 250 255,000
Ocwen Financial Corp. Notes
11.875%.................. 10/01/03 150 164,250
Salomon, Inc. Sr. Notes
6.75%.................... 02/15/03 500 490,000
Smith Barney Holdings Notes
6.625%................... 06/01/00 200 200,250
------------
3,875,466
------------
FOOD -- 0.4%
Keebler Corp. Sr. Sub.
Notes
10.75%................... 07/01/06 150 163,688
RJR Nabisco Sr. Notes
7.625%................... 09/01/00 250 247,813
Windy Hill Pet Food Co. Sr.
Sub. Notes 144A
9.75%.................... 05/15/07 250 254,375
------------
665,876
------------
HEALTHCARE SERVICES -- 0.2%
Quest Diagnostic, Inc.
Sr. Sub. Notes
10.75%................... 12/15/06 250 270,625
------------
HOTELS & MOTELS -- 0.2%
Courtyard By Marriott Sr.
Notes
10.75%................... 02/01/08 150 163,500
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%.................... 05/15/05 150 157,125
------------
320,625
------------
INDUSTRIAL PRODUCTS -- 0.4%
American Standard Debs.
9.25%.................... 12/01/16 25 26,063
Hawk Corp. Sr. Notes
10.25%................... 12/01/03 150 155,250
PAR
MATURITY (000) VALUE
-------- ------ ------------
International Knife & Saw,
Inc. Sr. Sub. Notes
11.375%.................. 11/15/06 $ 150 $ 161,250
Synthetic Industries
Debs. 144A
9.25%.................... 02/15/07 250 255,625
------------
598,188
------------
INSURANCE -- 0.2%
New York Life Insurance
Notes 144A
7.50%.................... 12/15/23 420 401,625
------------
MACHINERY & EQUIPMENT -- 0.4%
International Wire Group
Sr. Sub. Notes
11.75%................... 06/01/05 250 273,438
Mettler-Toledo, Inc. Notes
9.75%.................... 10/01/06 150 157,500
Tokheim Corp.
Sr. Sub. Notes Cl-B
11.50%................... 08/01/06 150 161,063
------------
592,001
------------
METALS & MINING -- 0.2%
Freeport-McMoran Resource
Sr. Notes
7.00%.................... 02/15/08 150 143,438
Haynes International, Inc.
Sr. Notes
11.625%.................. 09/01/04 150 162,188
------------
305,626
------------
OIL & GAS -- 0.7%
Dual Drilling Co.
Sr. Sub. Notes
9.875%................... 01/15/04 175 186,594
Falcon Drilling Co., Inc.
Sr. Notes
8.875%................... 03/15/03 150 153,750
Ferrellgas L.P. Financial
Corp. Sr. Notes
10.00%................... 08/01/01 100 104,500
Flores & Rucks Sr. Sub.
Notes
9.75%.................... 10/01/06 50 52,875
Pride Petroleum Services,
Inc. Sr. Notes
9.375%................... 05/01/07 250 260,000
Rowan Co. Sr. Notes
11.875%.................. 12/01/01 112 120,120
Tenneco, Inc. Notes
8.20%.................... 11/15/99 55 57,063
8.075%................... 10/01/02 150 156,938
------------
1,091,840
------------
</TABLE>
45
<PAGE> 47
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
PAPER & FOREST PRODUCTS -- 0.3%
Maxxam Group Holdings, Inc.
Sr. Notes
11.25%................... 08/01/03 $ 50 $ 51,938
12.00%................... 08/01/03 150 154,875
Pen-Tab Industries, Inc.
Sr. Sub. Notes 144A
10.875%.................. 02/01/07 250 256,250
------------
463,063
------------
PHARMACEUTICALS -- 0.0%
Owens & Minor, Inc.
Sr. Sub. Notes
10.875%.................. 06/01/06 75 83,438
------------
REAL ESTATE -- 0.2%
B.F. Saul Sr. Notes [REIT]
11.625%.................. 04/01/02 150 161,625
HMC Acquisition Properties
Sr. Notes Cl-B
9.00%.................... 12/15/07 150 152,438
------------
314,063
------------
RESTAURANTS -- 0.1%
McDonald's Corp. Notes
6.625%................... 09/01/05 100 98,000
------------
RETAIL & MERCHANDISING -- 0.2%
Specialty Retailers Corp.
Notes 144A
8.50%.................... 07/15/05 250 251,875
Wal-Mart Stores, Inc. Debs.
7.25%.................... 06/01/13 85 85,638
------------
337,513
------------
TELECOMMUNICATIONS -- 1.9%
Comcast Cable
Communications Notes 144A
8.125%................... 05/01/04 400 419,000
Communication & Power
Industries Sr. Sub. Notes
12.00%................... 08/01/05 150 165,000
Frontiervision Sr. Sub.
Notes
11.00%................... 10/15/06 150 157,500
Fundy Cable Ltd. Sr. Notes
11.00%................... 11/15/05 150 162,938
GTE Corp. Debs.
7.90%.................... 02/01/27 175 176,531
L-3 Communications Corp.
Sr. Sub. Notes 144A
10.375%.................. 05/01/07 175 186,375
Lucent Technologies,
Inc. Notes
6.90%.................... 07/15/01 500 503,750
Marcus Cable Operating Co.
Sr. Disc. Notes [STEP]
7.55%.................... 08/01/04 250 217,500
Rogers Cablesystems Ltd.
Notes
10.00%................... 03/15/05 125 135,938
PAR
MATURITY (000) VALUE
-------- ------ ------------
Sprint Spectrum L.P. Sr.
Notes
11.00%................... 08/15/06 $ 250 $ 278,125
TCI Communications, Inc.
Sr. Notes
8.65%.................... 09/15/04 200 209,000
Teleport Communications
Group, Inc. Sr. Notes
9.875%................... 07/01/06 100 106,500
Telewest PLC Debs. [STEP]
11.21%................... 10/01/07 250 181,250
United Telecommunications
Debs.
9.75%.................... 04/01/00 250 269,688
------------
3,169,095
------------
TRANSPORTATION -- 0.4%
Coach USA, Inc. Sr. Sub.
Notes 144A
9.375%................... 07/01/07 125 125,938
Equimar Shipholdings Ltd.
Sub. Notes
9.875%................... 07/01/07 250 249,688
Federal Express Notes
6.25%.................... 04/15/98 70 70,050
Sea Containers Ltd. Sr.
Sub. Notes
12.50%................... 12/01/04 70 78,750
Union Tank Car Co. Notes
7.125%................... 02/01/07 150 149,813
------------
674,239
------------
UTILITIES -- 1.3%
Citizens Utilities Co.
Debs.
8.45%.................... 09/01/01 335 355,938
Commonwealth Edison Notes
9.00%.................... 10/15/99 250 261,875
Consumers Power Co. First
Mtge.
6.00%.................... 07/01/97 65 65,000
6.625%................... 10/01/98 50 50,125
El Paso Electric Co. First
Mtge.
8.90%.................... 02/01/06 150 160,125
Energy Corp. of America Sr.
Sub. Notes 144A
9.50%.................... 05/15/07 250 250,000
Florida Power & Light First
Mtge.
5.70%.................... 03/05/98 200 199,750
Monongahela Power First
Mtge.
8.50%.................... 06/01/22 150 158,438
</TABLE>
46
<PAGE> 48
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
Pacific Gas & Electric Co.
First Mtge.
6.75%.................... 12/01/00 $ 200 $ 199,500
Public Service Electric &
Gas First Mtge.
7.00%.................... 09/01/24 300 279,375
Southern California Edison
Notes
6.50%.................... 06/01/01 100 99,250
Wisconsin Electric Power
Co. First Mtge.
5.875%................... 10/01/97 100 100,000
------------
2,179,376
------------
TOTAL CORPORATE OBLIGATIONS
(COST $26,261,991).................. 26,797,626
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.8%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.1%
7.00%.................... 11/01/97 141 141,668
7.50%.................... 07/15/20 15 15,111
------------
156,779
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.0%
6.02%.................... 01/20/98 60 60,088
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 9.7%
9.50%.................... 10/15/09 18 19,722
10.00%................... 11/15/09 20 22,190
11.50%................... 06/15/10 35 38,882
12.00%................... 09/15/13 1 1,231
12.00%................... 01/15/14 6 7,340
10.50%................... 08/15/15 13 14,550
11.50%................... 09/15/15 96 108,354
11.50%................... 11/15/15 37 41,082
8.00%.................... 05/15/16 23 23,956
8.50%.................... 06/15/16 35 35,957
9.00%.................... 07/15/16 14 15,148
8.00%.................... 12/15/16 22 22,373
8.00%.................... 12/15/16 24 24,127
8.00%.................... 02/15/17 29 29,675
8.00%.................... 02/15/17 24 25,034
8.00%.................... 02/15/17 40 41,073
8.00%.................... 05/15/17 28 29,140
8.00%.................... 05/15/17 30 31,125
9.00%.................... 05/15/17 76 80,618
8.00%.................... 06/15/17 27 27,626
9.50%.................... 11/15/18 3 3,667
9.50%.................... 03/15/19 13 13,732
9.50%.................... 01/15/20 8 8,369
9.50%.................... 06/15/20 14 15,082
8.00%.................... 06/15/22 134 137,262
8.00%.................... 09/15/22 31 31,294
8.00%.................... 07/15/23 73 75,075
7.00%.................... 09/15/23 345 338,695
6.50%.................... 02/15/24 221 211,226
6.50%.................... 02/15/24 469 448,822
6.50%.................... 04/15/24 82 78,090
PAR
MATURITY (000) VALUE
-------- ------ ------------
6.50%.................... 05/15/24 $ 236 $ 225,892
6.50%.................... 05/15/24 640 612,214
7.50%.................... 06/15/24 82 82,098
7.00%.................... 12/15/25 289 284,497
7.00%.................... 01/15/26 38 37,593
6.00%.................... 02/15/26 400 371,923
7.00%.................... 02/15/26 39 38,390
7.00%.................... 03/15/26 40 39,678
7.00%.................... 03/15/26 65 64,240
7.00%.................... 04/15/26 521 512,116
7.00%.................... 04/15/26 859 844,651
7.50%.................... 04/15/26 139 139,286
6.00%.................... 05/15/26 325 302,315
7.00%.................... 05/15/26 481 473,120
7.00%.................... 05/15/26 886 870,852
7.50%.................... 05/15/26 445 447,037
7.50%.................... 05/15/26 635 637,627
7.00%.................... 06/15/26 42 40,915
7.00%.................... 06/15/26 998 981,239
7.00%.................... 06/15/26 1,053 1,035,021
7.00%.................... 06/15/26 41 40,323
7.50%.................... 06/15/26 294 294,626
8.00%.................... 06/15/26 310 316,845
8.00%.................... 06/15/26 491 501,978
8.50%.................... 06/15/26 607 631,149
8.50%.................... 07/15/26 497 516,997
8.50%.................... 07/15/26 491 510,923
8.50%.................... 07/15/26 46 47,488
7.00%.................... 08/15/26 35 34,063
7.00%.................... 08/15/26 883 875,142
8.50%.................... 10/15/26 492 511,814
7.00%.................... 12/15/26 34 33,221
7.00%.................... 01/15/27 1,091 1,072,274
7.00%.................... 02/15/27 34 33,604
7.00%.................... 02/15/27 648 636,774
7.00%.................... 02/15/27 37 36,356
------------
16,134,798
------------
TENNESSEE VALLEY AUTHORITY -- 0.0%
7.75%.................... 12/15/22 10 10,075
7.25%.................... 07/15/43 20 19,275
6.875%................... 12/15/43 40 36,700
------------
66,050
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $16,296,579).................... 16,417,715
------------
U.S. TREASURY OBLIGATIONS -- 7.4%
U.S. TREASURY BONDS -- 1.4%
11.625%.................. 11/15/02 100 123,606
7.125%................... 02/15/23 240 247,303
7.625%................... 02/15/25 300 328,623
6.875%................... 08/15/25 300 301,272
6.00%.................... 02/15/26 100 89,502
6.625%................... 02/15/27 1,250 1,223,700
------------
2,314,006
------------
</TABLE>
47
<PAGE> 49
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
U.S. TREASURY NOTES -- 6.0%
6.125%................... 05/15/98 $ 100 $ 100,329
6.00%.................... 05/31/98 450 450,994
5.125%................... 12/31/98 50 49,418
6.375%................... 05/15/99 1,950 1,960,160
6.75%.................... 05/31/99 460 465,446
6.875%................... 03/31/00 250 254,102
6.25%.................... 05/31/00 100 100,071
6.125%................... 09/30/00 150 149,395
5.625%................... 11/30/00 275 269,448
5.625%................... 02/28/01 1,100 1,075,998
5.75%.................... 08/15/03 665 642,370
7.50%.................... 02/15/05 250 264,498
5.875%................... 11/15/05 425 406,704
5.625%................... 02/15/06 500 469,555
6.50%.................... 10/15/06 1,350 1,344,249
6.25%.................... 02/15/07 2,000 1,957,500
------------
9,960,237
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$12,250,795).......................... 12,274,243
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C> <C>
FOREIGN BONDS -- 3.2%
AUSTRALIA -- 0.0%
Australian Government
9.50%................. 08/15/03 20 17,231
------------
BELGIUM -- 0.0%
Kingdom of Belgium
7.25%................. 04/29/04 1,550 48,029
------------
CANADA -- 0.2%
Canadian Government
8.50%................. 04/01/02 380 306,424
6.50%................. 06/01/04 110 81,678
9.75%................. 06/01/21 10 9,674
------------
397,776
------------
DENMARK -- 0.0%
Kingdom of Denmark
7.00%................. 12/15/04 275 44,386
------------
FRANCE -- 0.5%
French O.A.T.
8.50%................. 11/25/02 1,406 281,741
8.25%................. 02/27/04 264 52,861
5.50%................. 04/25/07 3,000 507,078
8.50%................. 04/25/23 50 10,733
------------
852,413
------------
GERMANY -- 0.7%
Deutscheland Republic
8.50%................. 08/21/00 375 242,919
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- --------- ------------
<S> <C> <C> <C>
8.375%................ 05/21/01 410 $ 269,024
6.50%................. 07/15/03 110 67,958
6.00%................. 07/04/07 838 491,229
------------
1,071,130
------------
ITALY -- 0.2%
Italian Government
11.50%................ 03/01/03 275,000 198,355
8.50%................. 08/01/04 45,000 28,991
------------
227,346
------------
JAPAN -- 1.2%
European Investment Bank
4.625%................ 02/26/03 53,000 527,225
3.00%................. 09/20/06 102,000 928,436
International Bank
Recovery & Development
Global Bond
6.75%................. 03/15/00 14,000 140,031
Japanese Government
4.50%................. 06/20/03 33,500 332,545
------------
1,928,237
------------
NETHERLANDS -- 0.0%
Netherlands Government
5.75%................. 01/15/04 115 60,566
------------
SPAIN -- 0.0%
Spanish Government
8.00%................. 05/30/04 6,400 48,358
------------
UNITED KINGDOM -- 0.4%
United Kingdom Gilt
9.00%................. 03/03/00 85 148,054
United Kingdom Treasury
8.00%................. 06/10/03 91 157,936
7.50%................. 12/07/06 164 280,194
------------
586,184
------------
TOTAL FOREIGN BONDS (COST
$5,211,122)......................... 5,281,656
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
----------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 4.5%
Shell Oil Co.
6.15%
(COST $7,475,000).... 07/01/97 $7,475 7,475,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 3.6%
Temporary Investment Fund
(COST $6,034,744)................. 6,034,744 6,034,744
------------
TOTAL INVESTMENTS -- 99.7%
(COST $141,615,059)................. 166,139,820
OTHER ASSETS LESS
LIABILITIES -- 0.3%................. 462,080
------------
NET ASSETS -- 100.0%.................. $166,601,900
============
</TABLE>
48
<PAGE> 50
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH DEPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy JPY $ 653,607 114.2000 07/97 $ (2,281)
=======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 2.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
49
<PAGE> 51
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 11.5%
AIRLINES -- 2.5%
American Airlines Notes
10.19%............... 05/26/15 $ 250 $ 303,338
United Air Lines, Inc.
Notes
10.36%............... 11/13/12 6,925 8,430,772
10.36%............... 11/27/12 500 608,440
10.02%............... 03/22/14 2,000 2,328,260
------------
11,670,810
------------
ENTERTAINMENT & LEISURE -- 0.8%
Time Warner, Inc. Notes
7.45%................ 02/01/98 2,000 2,017,500
6.7725% [VR]......... 08/15/00 437 438,093
7.98%................ 08/15/04 262 271,170
8.11%................ 08/15/06 525 546,656
8.18%................ 08/15/07 525 549,281
------------
3,822,700
------------
FOOD -- 1.4%
RJR Nabisco, Inc. Notes
8.625%............... 12/01/02 6,500 6,630,000
------------
OIL & GAS -- 0.1%
Arkla, Inc. Notes
9.20%................ 12/18/97 500 506,875
------------
REAL ESTATE -- 1.1%
Spieker Properties
Notes
6.95%................ 12/15/02 5,000 4,937,500
------------
UTILITIES -- 5.6%
Cleveland Electric
Illumination Co.
Notes
8.75%................ 11/15/05 100 101,148
CMS Energy Corp. First
Mtge.
9.50%................ 10/01/97 150 153,188
8.125%............... 05/15/02 5,000 5,031,250
Commonwealth Edison
Notes
6.50%................ 07/15/97 750 750,000
Long Island Lighting
Co. Notes
7.85%................ 05/15/99 7,000 7,113,750
8.90%................ 07/15/19 6,000 6,450,000
Louisiana Power & Light
Co. Notes
7.74%................ 07/01/02 6,000 6,082,500
------------
25,681,836
------------
TOTAL CORPORATE OBLIGATIONS
(COST $52,376,233)................. 53,249,721
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 56.8%
FEDERAL HOME LOAN MORTGAGE CORP. -- 4.3%
5.95%................ 06/19/98 10,000 9,995,000
8.25%................ 08/01/17 578 596,448
7.00% [IO]........... 04/25/19 321 29,745
7.80% [VR]........... 02/01/24 2,574 2,668,767
6.50%................ 12/01/25 2,829 2,713,188
6.50% [TBA].......... 08/13/27 4,000 3,826,240
------------
19,829,388
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 4.7%
9.40%................ 07/25/03 268 279,893
6.25% [IO]........... 05/25/08 236 69,988
6.50% [IO]........... 06/25/14 1,477 66,179
6.90%................ 05/25/23 199 171,465
7.978% [VR].......... 01/01/24 376 391,860
7.50%................ 04/01/24 3,873 3,884,207
8.50%................ 03/01/25 1,384 1,440,222
8.50%................ 03/01/25 7,018 7,300,621
8.50%................ 05/01/25 5,178 5,386,622
6.12% [TBA].......... 07/24/27 3,000 2,966,250
------------
21,957,307
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 43.5%
6.50%................ 02/15/16 253 241,738
7.00%................ 03/20/17 707 724,539
7.125%............... 06/20/22 2,316 2,374,106
7.125%............... 04/20/23 2,883 2,945,924
7.125%............... 08/20/23 9,777 9,978,537
7.125%............... 09/20/23 6,537 6,672,156
6.875% [VR].......... 10/20/23 642 655,082
7.50%................ 12/20/23 426 425,783
6.50%................ 01/15/24 463 443,504
6.50%................ 04/15/24 365 349,432
6.50%................ 05/15/24 293 280,526
7.125% [VR].......... 09/20/24 1,339 1,375,625
6.875% [VR].......... 10/20/24 3,523 3,611,163
6.50%................ 08/15/25 973 931,748
6.50%................ 08/15/25 324 310,368
6.50%................ 09/15/25 356 341,172
6.50%................ 09/15/25 458 438,751
6.50%................ 09/15/25 952 911,145
6.50%................ 10/15/25 1,213 1,161,039
6.50%................ 11/15/25 577 551,905
6.50%................ 12/15/25 481 460,300
6.50%................ 12/15/25 451 431,388
6.50%................ 12/15/25 484 463,414
6.50%................ 12/15/25 326 311,604
6.50%................ 12/15/25 610 583,580
6.50%................ 12/15/25 620 593,044
6.50%................ 12/15/25 334 319,786
6.50%................ 01/15/26 502 480,645
6.50%................ 01/15/26 359 343,778
6.50%................ 01/15/26 251 240,392
6.50%................ 01/15/26 515 493,053
6.50%................ 01/15/26 231 221,384
6.50%................ 01/15/26 244 233,725
6.50%................ 01/15/26 419 401,289
6.50%................ 01/15/26 492 470,543
6.50%................ 01/15/26 139 132,610
</TABLE>
50
<PAGE> 52
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
6.50%................ 01/15/26 $ 247 $ 236,568
6.50%................ 01/15/26 646 618,640
6.50%................ 02/15/26 125 119,323
6.50%................ 02/15/26 843 806,452
6.50%................ 02/15/26 830 794,782
6.50%................ 02/15/26 238 227,767
6.50%................ 02/15/26 144 137,753
6.50%................ 02/15/26 616 589,667
6.50%................ 02/15/26 343 327,997
6.50%................ 02/15/26 2,076 1,987,455
6.50%................ 02/15/26 109 104,438
6.50%................ 02/15/26 229 219,280
6.50%................ 02/15/26 718 686,990
6.50%................ 02/15/26 615 588,621
6.50%................ 02/15/26 388 371,668
6.50%................ 02/15/26 1,383 1,323,674
6.50%................ 02/15/26 539 515,536
6.50%................ 02/15/26 370 354,355
6.50%................ 02/15/26 180 172,015
6.50%................ 02/15/26 1,696 1,623,482
6.50%................ 03/15/26 503 481,866
6.50%................ 03/15/26 345 330,595
6.50%................ 03/15/26 513 491,461
6.50%................ 03/15/26 345 330,381
6.50%................ 03/15/26 748 716,305
6.50%................ 03/15/26 351 335,813
6.50%................ 03/15/26 3,861 3,695,883
6.50%................ 03/15/26 132 126,306
6.50%................ 03/15/26 112 107,296
6.50%................ 03/15/26 147 141,070
6.50%................ 03/15/26 792 757,679
6.50%................ 03/15/26 237 227,287
6.50%................ 03/15/26 776 743,080
6.50%................ 03/15/26 379 362,336
6.50%................ 03/15/26 974 932,619
6.50%................ 03/15/26 3,646 3,489,440
6.50%................ 03/15/26 183 175,034
6.50%................ 03/15/26 839 803,162
6.50%................ 03/15/26 247 236,046
6.50%................ 03/15/26 261 250,002
6.50%................ 04/15/26 229 219,084
6.50%................ 04/15/26 574 549,335
6.50%................ 04/15/26 1,236 1,182,629
6.50%................ 04/15/26 2,265 2,168,066
6.50%................ 04/15/26 243 232,384
6.50%................ 04/15/26 962 920,926
6.50%................ 04/15/26 254 243,100
6.50%................ 04/15/26 379 363,086
6.50%................ 04/15/26 1,566 1,499,418
6.50%................ 04/15/26 457 437,217
6.50%................ 04/15/26 977 935,342
6.50%................ 04/15/26 229 219,139
6.50%................ 04/15/26 238 227,458
6.50%................ 04/15/26 386 369,249
6.50%................ 04/15/26 222 212,092
6.50%................ 04/15/26 $ 243 $ 232,405
6.50%................ 04/15/26 382 365,397
6.50%................ 04/15/26 522 499,594
6.50%................ 04/15/26 126 120,728
6.50%................ 04/15/26 121 115,713
6.50%................ 04/15/26 254 243,130
6.50%................ 04/15/26 517 494,884
6.50%................ 04/15/26 247 236,750
6.50%................ 04/15/26 119 114,298
6.50%................ 04/15/26 244 233,939
6.50%................ 04/15/26 250 238,916
6.50%................ 04/15/26 22 20,834
6.50%................ 04/15/26 364 348,080
6.50%................ 05/15/26 234 224,459
6.50%................ 05/15/26 185 177,075
6.50%................ 05/15/26 370 354,555
6.50%................ 05/15/26 461 441,073
6.50%................ 05/15/26 200 191,298
6.50%................ 05/15/26 328 314,324
6.50%................ 05/15/26 361 345,826
6.50%................ 05/15/26 378 362,149
6.50%................ 05/15/26 113 108,512
6.50%................ 05/15/26 368 352,091
6.50%................ 05/15/26 410 392,280
6.50%................ 05/15/26 234 224,454
6.50%................ 05/15/26 244 233,133
6.50%................ 06/15/26 131 125,225
6.50%................ 06/15/26 132 126,259
6.50%................ 07/15/26 182 174,464
6.50%................ 07/15/26 461 441,690
6.50% [TBA].......... 07/15/26 15,000 14,348,400
6.50%................ 08/15/26 523 500,912
6.50%................ 08/15/26 178 170,010
6.50%................ 08/15/26 231 220,928
6.50% [TBA].......... 09/18/26 30,000 28,603,200
6.50%................ 10/15/26 532 509,001
6.00%................ 11/20/26 15,003 15,200,293
7.00%................ 12/20/26 24,154 24,760,842
6.00%................ 02/20/27 9,926 10,000,780
8.50% [TBA].......... 07/21/27 1,000 1,039,060
8.50% [TBA].......... 08/20/27 20,000 20,737,600
------------
201,167,988
------------
STUDENT LOAN MARKETING ASSOCIATION -- 4.3%
6.00%................ 06/30/98 20,000 20,015,198
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $260,708,677)................ 262,969,881
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.5%
Citicorp Mtge.
Securities, Inc. [VR]
7.60%................ 10/25/22 603 615,707
Collateralized Mtge.
Securities Corp. [VR]
7.99%................ 05/01/17 558 565,451
</TABLE>
51
<PAGE> 53
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
Countrywide Adjustable
Rate Mtge. [VR]
7.9215%.............. 03/25/24 $ 709 $ 725,178
8.0404%.............. 11/25/24 773 793,297
Guardian Adjustable
Rate Mtge. [VR]
6.80%................ 12/25/19 76 50,507
Mortgage Capital
Trust VI
9.50%................ 02/01/18 674 679,662
Prudential Home Mtge.
Securities
6.50%................ 01/25/00 10,000 10,003,100
Prudential-Bache
CMO Trust
8.40%................ 03/20/21 3,375 3,466,263
Resolution Trust Corp.
8.00%................ 09/25/21 365 368,048
Rothschild L.F.
Mtge. Trust
9.95%................ 08/01/17 2,418 2,596,527
Ryland Mtge. Securities
Corp. [VR]
8.0808%.............. 09/25/23 1,027 1,042,931
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $20,659,264)................. 20,906,671
------------
U.S. TREASURY OBLIGATIONS -- 11.7%
U.S. TREASURY BILLS -- 0.4%
5.08% #.............. 07/03/97 530 529,852
5.08% #.............. 07/03/97 305 304,915
5.09% #.............. 07/03/97 65 64,982
5.14% #.............. 07/03/97 435 434,879
5.24% #.............. 08/07/97 45 44,772
5.12% #.............. 08/21/97 400 397,172
5.20% #.............. 08/21/97 300 297,879
------------
2,074,451
------------
U.S. TREASURY NOTES -- 11.3%
6.125%............... 03/31/98 48,000 48,162,240
6.00%................ 09/30/98 4,000 4,005,200
------------
52,167,440
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $54,254,701)................. 54,241,891
------------
SOVEREIGN ISSUES -- 1.2%
ARGENTINA
Republic of Argentina
[BRB,FRB]
6.75%
(COST $4,388,265).... 03/31/05 5,820 5,470,800
------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
FOREIGN BONDS -- 2.5%
CANADA -- 0.8%
Canadian Government
4.25%................ 12/01/26 5,139 $ 3,695,401
------------
NEW ZEALAND -- 1.7%
New Zealand Government
10.00%............... 03/15/02 10,000 7,654,571
------------
TOTAL FOREIGN BONDS
(COST $11,242,248)................. 11,349,972
------------
<CAPTION>
PAR
(000)
----------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 27.8%
Caisse D'Amortissement
5.55%................ 08/05/97 $ 1,000 994,514
5.56%................ 08/11/97 1,600 1,589,774
Central Illinois Public
Service
6.25%................ 07/01/97 12,700 12,700,000
DuPont (E.I.) de
Nemours & Co.
5.52%................ 07/15/97 1,900 1,895,921
5.51%................ 08/06/97 1,200 1,193,388
Emerson Electric Co.
5.54%................ 08/11/97 21,000 20,867,502
Ford Motor Credit Co.
5.57%................ 07/03/97 3,500 3,498,917
5.54%................ 08/13/97 3,500 3,476,454
General Electric
Capital Corp.
5.57%................ 07/01/97 8,400 8,400,000
5.57%................ 08/06/97 300 298,301
General Motors
Acceptance Corp.
5.55%................ 07/30/97 16,000 15,928,467
IBM Corp.
5.53%................ 07/07/97 6,700 6,693,825
IBM Credit Corp.
5.60%................ 07/21/97 2,100 2,093,467
KFW International
Financial Corp.
5.52%................ 07/02/97 700 699,893
5.53%................ 08/22/97 18,800 18,649,830
Minnesota Mining &
Manufacturing Co.
5.51%................ 08/12/97 1,300 1,291,643
National Rural Utility
Corp.
5.57%................ 07/17/97 900 897,711
5.58%................ 07/21/97 700 697,786
5.53%................ 07/22/97 6,500 6,478,683
5.55%................ 08/14/97 12,000 11,917,713
New Center Asset Trust
5.62%................ 07/09/97 1,900 1,897,548
5.56%................ 08/15/97 1,000 993,050
5.56%................ 08/27/97 1,400 1,387,206
5.56%................ 09/10/97 3,800 3,757,592
</TABLE>
52
<PAGE> 54
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
Western Australian
Treasury
5.62%................ 08/01/97 $ 400 $ 398,044
------------
TOTAL COMMERCIAL PAPER
(COST $128,700,475)................ 128,697,229
------------
NOTIONAL
AMOUNT
(000)
----------
OTC INTEREST RATE CAPS -- 0.0%
Three-Month LIBOR
Strike at $89.30
(COST $3,618)........ 12/15/97 375,000 3,618
------------
<CAPTION>
SHARES
----------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 0.8%
Temporary Investment Cash Fund... 1,754,911 1,754,911
Temporary Investment Fund........ 1,754,911 1,754,911
------------
(COST $3,509,822)................ 3,509,822
------------
TOTAL INVESTMENTS -- 116.8%
(COST $535,843,303)................ 540,399,605
------------
<CAPTION>
NOTIONAL
AMOUNT
(000)
----------
<S> <C> <C> <C>
WRITTEN OPTIONS -- 0.0%
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.75, Expire 12/15/97
(COST ($291,246)).............. $ 350,000 (83,125)
------------
LIABILITES IN EXCESS OF OTHER
ASSETS -- (16.8%).................. (77,693,601)
------------
NET ASSETS -- 100.0%................. $462,622,879
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell CAD $3,846,182 1.3392 10/98 $ 63,615
Sell NZD 7,386,834 1.4439 08/97 155,728
---------
$ 219,343
=========
</TABLE>
# Securities with an aggregate market value of $2,074,451 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1997:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C>
U.S. Municipal Bond 09/97 $15,300 $ 28,688
U.S. Treasury 5 Year
Note 09/97 5,000 (5,468)
U.S. Treasury 10 Year
Note 09/97 40,100 21,312
U.S. Treasury 30 Year
Note 09/97 47,800 (306,000)
Eurodollar 09/97 30,000 (2,250)
Eurodollar 12/97 30,000 (4,875)
Eurodollar 03/98 30,000 (6,000)
--------------
$ (274,593)
=============
</TABLE>
Interest rate swap agreements outstanding at June 30, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATON
- ----------------------------------------------------------
<S> <C> <C> <C>
Receive variable rate
payments on the three-
month LIBOR-BBA
floating rate and pay
fixed rate payments on
the then current U.S.
Treasury 10 Year Note
with a spread of:
36.25 09/97 $ 5,000 $ 5,000
36.50 09/97 7,500 6,750
37.00 09/97 3,000 1,920
37.00 09/97 10,000 6,400
35.75 09/97 6,000 7,200
36.50 09/97 12,000 10,800
--------
$38,070
========
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
53
<PAGE> 55
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 73.7%
AEROSPACE -- 2.5%
General Motors Corp. Cl-H......... 20,000 $ 1,155,000
Lockheed Martin Corp.............. 20,000 2,071,250
Northrop Grumman Corp............. 100,000 8,781,250
------------
12,007,500
------------
AUTOMOBILE MANUFACTURERS -- 0.9%
Chrysler Corp..................... 30,000 984,375
Ford Motor Co..................... 30,000 1,132,500
General Motors Corp............... 40,000 2,227,500
------------
4,344,375
------------
AUTOMOTIVE PARTS -- 0.6%
Borg Warner Automotive, Inc....... 50,000 2,703,125
------------
BEVERAGES -- 1.6%
Anheuser-Busch Companies, Inc. ... 140,000 5,871,250
Coors, (Adolph) Co. Cl-B.......... 70,000 1,863,750
------------
7,735,000
------------
CHEMICALS -- 2.0%
Agrium, Inc. ..................... 250,000 2,875,000
Arco Chemical Co. ................ 20,000 951,250
General Chemical Group, Inc. ..... 50,000 1,337,500
Lawter International, Inc. ....... 100,000 1,262,500
Olin Corp. ....................... 80,000 3,125,000
------------
9,551,250
------------
COMPUTER HARDWARE -- 0.5%
Hewlett-Packard Co. .............. 40,000 2,240,000
------------
CONGLOMERATES -- 0.4%
Philip Morris Companies, Inc. .... 45,000 1,996,875
------------
CONSTRUCTION -- 0.7%
Fluor Corp........................ 62,000 3,421,625
------------
CONSUMER PRODUCTS & SERVICES -- 0.7%
Avon Products, Inc. .............. 50,000 3,528,125
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.6%
Emerson Electric Co. ............. 80,000 4,405,000
General Electric Co. ............. 74,000 4,837,750
Honeywell, Inc. .................. 40,000 3,035,000
Maxim Integrated Products,
Inc.*........................... 5,800 329,875
Polaroid Corp. ................... 30,000 1,665,000
Sundstrand Corp. ................. 140,000 7,560,000
Tandy Corp. ...................... 100,000 5,600,000
Texas Instruments, Inc. .......... 45,000 3,782,812
------------
31,215,437
------------
ENVIRONMENTAL SERVICES -- 0.7%
Waste Management, Inc............. 100,000 3,212,500
------------
FINANCIAL-BANK & TRUST -- 2.1%
Bank of New York Co., Inc. ....... 60,000 2,610,000
CoreStates Financial Corp. ....... 30,000 1,612,500
Fleet Financial Group, Inc. ...... 50,000 3,162,500
Mellon Bank Corp. ................ 60,000 2,707,500
------------
10,092,500
------------
FINANCIAL SERVICES -- 1.6%
Associates First Capital Corp. ... 80,000 4,440,000
Morgan Stanley, Dean Witter,
Discover & Co.*................. 70,000 3,014,375
------------
7,454,375
------------
FOOD -- 2.9%
General Mills, Inc. .............. 35,000 2,279,375
Heinz, (H.J.) Co. ................ 93,000 4,289,625
Kellogg Co........................ 70,000 5,993,750
Quaker Oats Co.................... 30,000 1,346,250
------------
13,909,000
------------
HEALTHCARE SERVICES -- 0.7%
Tenet Healthcare Corp.*........... 120,000 3,547,500
------------
HOTELS & MOTELS -- 1.4%
Hilton Hotels Corp. .............. 250,000 6,640,625
------------
INDUSTRIAL PRODUCTS -- 0.5%
Albany International Corp. Cl-A... 100,000 2,250,000
------------
INSURANCE -- 8.8%
Allmerica Financial Corp. ........ 60,000 2,392,500
Allmerica Property & Casualty
Companies, Inc. ................ 100,000 3,275,000
American States Financial
Corp. .......................... 200,800 9,236,800
Lincoln National Corp. ........... 80,000 5,150,000
Ohio Casualty Corp................ 100,000 4,400,000
Safeco Corp....................... 150,000 7,003,125
St. Paul Companies, Inc. ......... 50,000 3,812,500
Travelers Property Casualty Corp.
Cl-A............................ 167,500 6,679,062
------------
41,948,987
------------
MACHINERY & EQUIPMENT -- 1.1%
AlliedSignal, Inc. ............... 50,000 4,200,000
Cooper Industries, Inc. .......... 25,000 1,243,750
------------
5,443,750
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.6%
Becton Dickinson & Co. ........... 60,000 3,037,500
------------
METALS & MINING -- 0.7%
Newmont Mining Corp............... 80,994 3,158,766
------------
OIL & GAS -- 10.9%
Amoco Corp. ...................... 30,000 2,608,125
Apache Corp. ..................... 100,000 3,250,000
Atlantic Richfield Co. ........... 60,000 4,230,000
Burlington Resources, Inc. ....... 30,000 1,326,563
Chevron Corp. .................... 70,000 5,175,625
Dresser Industries, Inc........... 70,000 2,607,500
Enron Oil & Gas Co................ 100,000 1,812,500
Exxon Corp........................ 80,000 4,920,000
Mobil Corp........................ 24,000 1,677,000
Phillips Petroleum Co............. 100,000 4,375,000
Royal Dutch Petroleum Co.......... 60,000 3,262,500
Schlumberger Ltd.................. 21,000 2,625,000
Sonat, Inc........................ 85,000 4,356,250
Tenneco, Inc.*.................... 92,500 4,179,844
</TABLE>
54
<PAGE> 56
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Union Pacific Resources Group,
Inc............................. 121,173 $ 3,014,178
USX Marathon Group................ 80,000 2,310,000
------------
51,730,085
------------
PAPER & FOREST PRODUCTS -- 2.7%
Champion International Corp. ..... 100,000 5,525,000
James River Corp. of Virginia..... 100,000 3,700,000
Kimberly-Clark Corp. ............. 70,000 3,482,500
------------
12,707,500
------------
PERSONAL SERVICES -- 0.4%
Service Corp. International....... 52,000 1,709,500
------------
PHARMACEUTICALS -- 6.2%
Abbott Laboratories............... 100,000 6,675,000
American Home Products Corp. ..... 25,000 1,912,500
Biogen, Inc.*..................... 50,000 1,693,750
Glaxo Wellcome PLC [ADR].......... 50,000 2,090,625
Merck & Co., Inc.................. 20,000 2,070,000
Novo Nordisk AS [ADR]............. 20,000 1,097,500
Pfizer, Inc....................... 30,000 3,585,000
Smithkline Beecham PLC [ADR]...... 30,000 2,748,750
Warner-Lambert Co................. 60,000 7,455,000
------------
29,328,125
------------
PRINTING & PUBLISHING -- 0.6%
Belo, (A.H.) Corp. Cl-A........... 35,000 1,456,875
R.R. Donnelley & Sons Co.......... 40,000 1,465,000
------------
2,921,875
------------
RAILROADS -- 3.1%
Kansas City Southern Industries,
Inc. ........................... 100,000 6,450,000
Norfolk Southern Corp............. 50,000 5,037,500
Union Pacific Corp................ 45,000 3,172,500
------------
14,660,000
------------
REAL ESTATE -- 1.1%
Kilroy Realty Corp. [REIT]........ 50,000 1,262,500
Patriot American Hospitality, Inc.
[REIT].......................... 160,000 4,080,000
------------
5,342,500
------------
RETAIL & MERCHANDISING -- 2.3%
Dayton-Hudson Corp................ 60,000 3,191,250
Federated Department Stores,
Inc.*........................... 25,000 868,750
J.C. Penney Co., Inc. ............ 90,000 4,696,875
May Department Stores Co. ........ 50,000 2,362,500
------------
11,119,375
------------
SEMI-CONDUCTORS -- 2.1%
Analog Devices, Inc.*............. 200,000 5,312,500
Motorola, Inc..................... 65,000 4,940,000
------------
10,252,500
------------
TELECOMMUNICATIONS -- 6.3%
Ameritech Corp. .................. 50,000 3,396,875
AT&T Corp. ....................... 40,000 1,402,500
Bell Atlantic Corp. .............. 70,000 5,311,250
SHARES VALUE
--------- ------------
BellSouth Corp. .................. 40,000 $ 1,855,000
Deutsche Telekom AG [ADR]*........ 100,000 2,412,500
GTE Corp.......................... 60,000 2,632,500
NYNEX Corp........................ 50,000 2,881,250
SBC Communications, Inc........... 90,000 5,568,750
U.S. West Communications Group.... 120,000 4,522,500
------------
29,983,125
------------
UTILITIES -- 0.4%
IES Industries, Inc. ............. 60,000 1,770,000
------------
TOTAL COMMON STOCK
(COST $276,308,274)................. 350,963,400
------------
PREFERRED STOCK -- 0.2%
METALS & MINING
Amax Gold, Inc. $3.75 Cl-B
(COST $996,575)................... 20,000 1,065,000
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- ----------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 13.4%
BROADCASTING -- 0.4%
Allbritton
Communications Co.
Sr. Sub. Debs.
11.50%............... 08/15/04 $ 1,000 1,053,750
9.75%................ 11/30/07 1,000 995,000
---------
2,048,750
---------
BUILDING MATERIALS -- 0.3%
USG Corp. Sr. Notes
8.50%................ 08/01/05 1,500 1,578,750
---------
BUSINESS SERVICES -- 0.4%
CEI Citicorp Holdings
144A
9.75%................ 02/14/07 2,000 2,077,500
---------
COMPUTER HARDWARE -- 0.4%
AST Research Inc. Sub.
Notes
5.32%................ 12/14/13 4,000 1,675,000
---------
COMPUTER SERVICES & SOFTWARE -- 0.6%
Bell & Howell Co. (New)
Debs. [STEP]
8.02%................ 03/01/05 2,000 1,620,000
Unisys Corp. Sr. Notes
12.00%............... 04/15/03 1,000 1,095,000
---------
2,715,000
---------
CONSUMER PRODUCTS & SERVICES -- 0.2%
Ferrellgas LP Financial
Corp. Sr. Notes
10.00%............... 08/01/01 1,000 1,045,000
</TABLE>
55
<PAGE> 57
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.8%
Carolina Power & Light
First Mtge.
8.625%............... 09/15/21 $ 1,000 $ 1,126,350
Detroit Edison Medium-
Term Note
8.30%................ 08/01/22 1,000 1,057,500
Jersey Central Power &
Light Co. First Mtge.
7.50%................ 05/01/23 1,500 1,436,250
---------
3,620,100
---------
ENTERTAINMENT & LEISURE -- 0.4%
Time Warner
Entertainment Co.
L.P. Debs.
8.375%............... 03/15/23 1,000 1,023,750
Time Warner, Inc. Notes
6.85%................ 01/15/03 1,000 993,750
---------
2,017,500
---------
FINANCIAL-BANK & TRUST -- 0.4%
Long Island Savings
Bank Notes
7.00%................ 06/13/02 2,000 2,000,000
---------
FINANCIAL SERVICES -- 1.7%
Donaldson Lufkin &
Jenrette, Inc. Notes
5.625%............... 02/15/16 1,000 965,000
DQU II Funding Corp.
Debs.
8.70%................ 06/01/16 2,000 2,155,000
General Motors
Acceptance Corp.
Notes 144A
6.50%................ 01/17/00 1,000 998,750
General Motors
Acceptance Corp.
Notes
6.70%................ 04/25/01 1,000 996,250
IBM Corp. Debs.
7.125%............... 12/01/23 1,000 946,250
Lehman Brothers
Holdings Sr. Notes
8.80%................ 03/01/15 1,850 2,058,125
---------
8,119,375
---------
HEALTHCARE SERVICES -- 0.6%
Healthsource, Inc. Sub.
Notes [CVT]
5.00%................ 03/01/03 3,000 2,985,000
---------
INDUSTRIAL PRODUCTS -- 0.2%
Kaiser Aluminum
Chemicals Sr. Sub.
Notes
12.75%............... 02/01/03 1,000 1,087,500
---------
PAR
MATURITY (000) VALUE
-------- ---------- ------------
METALS & MINING -- 0.4%
Freeport-McMoran Copper
& Gold Sr. Notes
7.20%................ 11/15/03 $ 1,900 $ 1,862,000
---------
OIL & GAS -- 0.5%
Veritas Holdings Sr.
Notes 144A
9.625%............... 12/15/03 2,000 2,082,500
---------
PAPER & FOREST PRODUCTS -- 0.4%
Quno Corp. Sr. Notes
9.125%............... 05/15/05 1,650 1,782,000
---------
PHARMACEUTICALS -- 0.5%
McKesson Corp. Sub.
Debs.
4.50%................ 03/01/04 2,875 2,486,875
---------
PRINTING & PUBLISHING -- 0.2%
Affiliated Newspaper
Investments, Inc. Sr.
Disc. Note
8.28%................ 07/01/06 1,000 850,000
---------
REAL ESTATE -- 0.7%
B.F. Saul Sr. Notes
[REIT]
11.625%.............. 04/01/02 1,000 1,077,500
---------
Fisher Brothers
Financial Realty Co.
Notes
10.75%............... 12/17/00 2,000 2,030,000
---------
3,107,500
---------
RETAIL & MERCHANDISING -- 0.4%
J.C. Penney & Co., Inc.
Debs.
6.90%................ 08/15/26 2,000 2,017,500
---------
TELECOMMUNICATIONS -- 1.8%
Brooks Fiber Properties
Sr. Disc. Notes
[STEP]
10.79%............... 03/01/06 2,000 1,365,000
Commnet Cellular, Inc.
Sub. Notes
11.25%............... 07/01/05 1,000 1,150,000
International Cabletel,
Inc. Sr. Notes 144A
10.00%............... 02/15/07 1,000 1,025,000
International Cabletel,
Inc. Sr. Notes [STEP]
10.62%............... 02/01/06 1,000 692,500
Ionica PLC Sr. Disc.
Notes
15.00%............... 05/01/07 2,000 1,060,000
</TABLE>
56
<PAGE> 58
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- ------------
<S> <C> <C> <C>
McLeod, Inc. [STEP]
144A
10.43%............... 03/01/07 $ 2,000 $ 1,275,000
TCI Communications,
Inc. Sr. Notes
6.875%............... 02/15/06 2,000 1,877,500
------------
8,445,000
------------
TRANSPORTATION -- 0.2%
Viking Star Shipping
Notes
9.625%............... 07/15/03 1,000 1,051,250
------------
UTILITIES -- 1.9%
Enersis SA Notes
6.90%................ 12/01/06 1,000 971,250
Long Island Lighting
Co. Debs.
8.20%................ 03/15/23 3,500 3,591,875
Penn Power and Light
First Mtge.
7.875%............... 02/01/23 1,000 1,013,750
Philadelphia Electric
Co. First Mtge.
7.25%................ 11/01/24 2,000 1,897,500
PSI Energy, Inc. Debs.
6.35%................ 11/15/00 1,500 1,483,125
------------
8,957,500
------------
TOTAL CORPORATE OBLIGATIONS
(COST $63,389,269)................. 63,611,600
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 5.9%
Federal Home Loan Mtge. Corp.
6.50%................ 10/01/10 1,716 1,684,497
6.50%................ 11/01/10 1,747 1,714,832
6.50%................ 04/01/11 2,750 2,699,914
6.50%................ 08/01/11 2,865 2,812,514
6.50%................ 09/01/11 5,139 5,044,203
6.50%................ 09/01/11 9,400 9,227,063
6.50%................ 01/01/12 4,889 4,799,191
------------
(COST $27,962,403)............. 27,982,214
------------
PAR
MATURITY (000) VALUE
-------- ---------- ------------
U.S. TREASURY OBLIGATIONS -- 2.7%
U.S. Treasury Notes
5.50%................ 12/31/00 $ 2,000 $ 1,949,880
6.50%................ 05/15/05 4,000 3,992,280
6.50%................ 10/15/06 7,000 6,970,179
------------
(COST $13,067,845)............. 12,912,339
------------
COMMERCIAL PAPER -- 1.9%
General Electric
Capital Corp.
5.56%................ 07/02/97 4,000 4,000,000
Heller, (Walter E.)
Corp.
5.62%................ 07/02/97 5,000 5,000,000
------------
(COST $9,000,000).............. 9,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.6%
Temporary Investment Cash Fund.... 3,895,531 3,895,531
Temporary Investment Fund......... 3,895,531 3,895,531
------------
(COST $7,791,062)................. 7,791,062
------------
TOTAL INVESTMENTS -- 99.4%
(COST $398,515,428)................. 473,325,615
OTHER ASSETS LESS
LIABILITIES -- 0.6%................. 2,642,908
------------
NET ASSETS -- 100.0%.................. $475,968,523
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.6% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
57
<PAGE> 59
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 86.4%
AEROSPACE -- 2.1%
Remec, Inc.*................... 209,625 $ 4,926,187
------------
BROADCASTING -- 0.6%
SFX Broadcasting, Inc. Cl-A*... 34,025 1,435,430
------------
BUSINESS SERVICES -- 2.0%
Caribiner International,
Inc.*........................ 63,800 2,081,475
Teletech Holdings, Inc.*....... 107,450 2,800,416
------------
4,881,891
------------
CHEMICALS -- 1.5%
Crompton & Knowles Corp........ 87,025 1,936,306
O.M. Group, Inc................ 48,575 1,609,047
------------
3,545,353
------------
CLOTHING & APPAREL -- 1.5%
Gymboree Corp.*................ 61,275 1,470,600
Mens Warehouse, Inc.*.......... 65,775 2,071,912
------------
3,542,512
------------
COMPUTER HARDWARE -- 1.7%
Radisys Corp.*................. 59,650 2,371,087
Veritas Software Co.*.......... 35,675 1,792,669
------------
4,163,756
------------
COMPUTER SERVICES & SOFTWARE -- 13.3%
Avant Corp.*................... 76,575 2,474,330
BA Merchant Services, Inc.*.... 123,250 2,349,453
CDW Computers Centers, Inc.*... 86,975 4,615,111
Cellular Technical Services
Co.*......................... 93,425 852,503
Checkfree Corp.*............... 54,825 966,291
CSG Systems International,
Inc.*........................ 27,750 856,781
Documentum, Inc.*.............. 80,225 1,995,597
Electronic Arts, Inc.*......... 33,875 1,139,047
Geoworks*...................... 255,550 1,485,384
HPR, Inc.*..................... 171,075 3,164,887
HNC Software, Inc.*............ 81,675 3,113,859
Network General Corp.*......... 111,450 1,657,819
PRI Automation, Inc.*.......... 74,250 2,816,859
Scopus Technology, Inc.*....... 58,275 1,303,903
Sterling Commerce, Inc.*....... 69,075 2,270,841
Summit Design, Inc.*........... 126,150 1,024,969
------------
32,087,634
------------
CONSUMER PRODUCTS & SERVICES -- 4.0%
800 Jr. Cigar, Inc.*........... 30,875 640,656
Linens 'N Things, Inc.*........ 25,200 746,550
Nautica Enterprises, Inc.*..... 60,000 1,586,250
Protection One, Inc.*.......... 108,675 1,467,112
Rexall Sundown, Inc.*.......... 71,450 2,786,550
Warnaco Group, Inc. Cl-A....... 72,000 2,295,000
------------
9,522,118
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 4.9%
Berg Electronics Corp.*........ 84,600 3,040,312
Brooks Automation, Inc.*....... 67,075 1,291,194
Concord EFS, Inc.*............. 94,550 2,446,481
Micro Linear Corp.*............ 42,375 444,937
Sanmina Corp.*................. 36,625 2,325,687
Sawtek, Inc.*.................. 66,850 2,256,187
------------
11,804,798
------------
ENERGY SERVICES -- 0.2%
Metzler Group, Inc.*........... 15,900 520,725
------------
ENTERTAINMENT & LEISURE -- 4.3%
Fairfield Communities, Inc.*... 94,475 3,176,722
Midway Games, Inc.*............ 68,900 1,472,737
Signature Resorts, Inc.*....... 93,425 3,229,002
Silverleaf Resorts, Inc.*...... 132,025 2,029,884
Vistana, Inc. *................ 23,825 369,288
------------
10,277,633
------------
ENVIRONMENTAL SERVICES -- 2.5%
Memtec Ltd. [ADR].............. 67,850 1,831,950
United Waste Systems, Inc.*.... 104,525 4,285,525
------------
6,117,475
------------
EQUIPMENT SERVICES -- 0.9%
Rental Service Corp.*.......... 79,625 2,090,156
------------
FINANCIAL-BANK & TRUST -- 0.6%
Banco Latinoamericano de
Exportaciones SA Cl-E [ADR].. 34,000 1,466,250
------------
FINANCIAL SERVICES -- 1.0%
First USA Paymentech, Inc.*.... 82,525 2,388,067
------------
FOOD -- 1.4%
JP Foodservice, Inc.*.......... 119,425 3,426,005
------------
HEALTHCARE SERVICES -- 8.9%
Advance Paradigm, Inc.*........ 49,525 916,213
FPA Medical Management,
Inc.*........................ 56,375 1,335,383
Healthcare Compare Corp.*...... 99,775 5,225,716
Medical Manager Corp.*......... 174,650 2,576,088
Multicare Companies, Inc.*..... 74,000 2,025,750
Omnicare, Inc.................. 93,800 2,942,975
Orthodontic Centers of America,
Inc.*........................ 125,150 2,276,166
Pediatrix Medical Group,
Inc.*........................ 39,575 1,813,030
Sunrise Assisted Living,
Inc.*........................ 65,125 2,279,375
------------
21,390,696
------------
HOTELS & MOTELS -- 2.9%
Doubletree Corp.*.............. 78,925 3,245,791
La Quinta Motor Inns, Inc...... 172,075 3,764,141
------------
7,009,932
------------
INDUSTRIAL PRODUCTS -- 1.2%
Harsco Corp.................... 70,000 2,835,000
------------
INSURANCE -- 2.3%
Executive Risk, Inc............ 42,150 2,191,800
Reliastar Financial Corp....... 45,000 3,290,625
------------
5,482,425
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.9%
Henry Schein, Inc.*............ 70,525 2,203,906
------------
</TABLE>
58
<PAGE> 60
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
METALS & MINING -- 0.4%
IMCO Recycling, Inc............ 55,350 $ 1,044,731
------------
OFFICE EQUIPMENT -- 3.0%
American Pad & Paper Co.*...... 107,675 1,817,016
U.S. Office Products Co.*...... 180,000 5,501,250
------------
7,318,266
------------
PERSONAL SERVICES -- 0.3%
Sylvan Learning Systems,
Inc.*........................ 17,500 595,000
------------
PHARMACEUTICALS -- 4.8%
Covance, Inc.*................. 85,075 1,643,011
NCS Healthcare, Inc. Cl-A*..... 53,000 1,609,875
Paraxel International Corp.*... 102,550 3,255,963
Scherer, (R.P.) Corp.*......... 21,050 1,086,706
Watson Pharmaceuticals,
Inc.*........................ 93,950 3,969,388
------------
11,564,943
------------
PRINTING & PUBLISHING -- 0.7%
World Color Press, Inc.*....... 69,525 1,651,219
------------
RETAIL & MERCHANDISING -- 7.6%
Consolidated Stores Corp.*..... 40,898 1,421,188
Insight Enterprises, Inc.*..... 70,225 2,111,139
Kenneth Cole Productions, Inc.
Cl-A*........................ 85,150 1,389,009
Meyer, (Fred), Inc.*........... 50,000 2,584,375
Peapod, Inc. *................. 72,925 820,406
Proffitt's, Inc.*.............. 58,550 2,568,881
The Sports Authority, Inc.*.... 133,275 2,590,533
Wolverine World Wide, Inc...... 161,680 4,911,030
------------
18,396,561
------------
SEMI-CONDUCTORS -- 1.4%
Speedfam International,
Inc.*........................ 35,900 1,287,913
Vitesse Semiconductor, Inc.*... 64,612 2,112,005
------------
3,399,918
------------
TELECOMMUNICATIONS -- 8.1%
Cellular Communications
International, Inc.*......... 51,000 1,708,500
Digital Microwave Corp.*....... 137,950 4,138,500
Heartport, Inc.*............... 28,575 503,634
P-Com, Inc.*................... 118,175 3,899,775
Pacific Gateway Exchange,
Inc.*........................ 46,425 1,311,506
Periphonics Corp.*............. 143,675 3,089,013
Powerwave Technologies,
Inc.*........................ 50,425 1,134,563
Tel-Save Holdings, Inc.*....... 53,050 809,013
Telco Communications Group*.... 43,475 1,412,938
Teledata Communications
Ltd.*........................ 41,000 1,409,375
------------
19,416,817
------------
TRANSPORTATION -- 1.4%
Mark VII, Inc.*................ 60,000 1,920,000
Rural Metro Corp.*............. 46,400 1,347,050
------------
3,267,050
------------
TOTAL COMMON STOCK
(COST $169,369,844).............. 207,772,454
------------
SHARES VALUE
--------- ------------
FOREIGN STOCK -- 5.0%
BROADCASTING -- 0.7%
Flextech PLC -- (GBP)*......... 167,000 $ 1,788,223
------------
BUILDING MATERIALS -- 0.8%
Hunter Douglas NV -- (NLG)..... 23,356 1,986,682
------------
CONTAINERS & PACKAGING -- 0.8%
Hoya Corp. -- (JPY)............ 45,000 2,002,618
------------
RESTAURANTS -- 0.9%
J.D. Wetherspoon PLC -- (GBP).. 89,533 2,031,486
------------
RETAIL & MERCHANDISING -- 0.9%
Next PLC -- (GBP).............. 190,000 2,146,830
------------
TRANSPORTATION -- 0.9%
IHC Caland NV -- (NLG)......... 40,000 2,186,114
------------
TOTAL FOREIGN STOCK
(COST $7,446,485)................ 12,141,953
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ---------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 9.3%
American Express
Credit Corp.
5.60%............... 07/02/97 $ 5,657 5,656,126
Associates Corp. of
North America
5.40%............... 07/01/97 8,462 8,462,000
General Electric
Capital Corp.
5.62%............... 07/07/97 8,168 8,160,349
------------
(COST $22,278,475)............ 22,278,475
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash
Fund......................... 216 $ 216
Temporary Investment Fund...... 215 215
------------
(COST $431).................... 431
------------
TOTAL INVESTMENTS -- 100.7%
(COST $199,095,235).............. 242,193,313
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.7%)........... (1,599,207)
------------
NET ASSETS -- 100.0%............... $240,594,106
============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
59
<PAGE> 61
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
FOREIGN STOCK -- 94.8%
ARGENTINA -- 0.8%
Banco de Galicia y Buenos Aires
SA de CV [ADR]................ 14,268 $ 376,319
Banco Frances del Rio de la
Plata SA [ADR]................ 16,411 533,358
Compania Naviera Perez Companc
SA............................ 138,525 1,110,971
Sociedad Comercial del Plata SA
[ADR] 144A*................... 1,640 56,728
Telecom Argentina Stet SA Cl-B
[ADR]......................... 941 49,403
Telecom Argentina Stet-Fran Tel
SA Cl-B....................... 10,450 54,654
Telefonica de Argentina SA Cl-B
[ADR]......................... 29,080 1,006,895
Transportadora de Gas del Sur SA
Cl-B [ADR].................... 2,632 32,900
YPF SA [ADR].................... 32,209 990,427
------------
4,211,655
------------
AUSTRALIA -- 1.9%
Australia & New Zealand Bank
Group Ltd..................... 54,000 404,204
Australian Gas Light Co. Ltd.... 146,945 866,604
Boral Ltd....................... 27,180 85,695
Broken Hill Proprietary Co.
Ltd........................... 102,747 1,513,549
Commonwealth Installments
Receipt Trustee Ltd........... 60,900 536,202
Fletcher Challenge Forest
Ltd.*......................... 1,702 2,509
Fosters Brewing Group Ltd....... 242,000 450,113
John Fairfax Holdings Ltd. ..... 85,000 201,799
Lend Lease Corp. Ltd. .......... 22,486 476,038
National Australia Bank Ltd. ... 35,291 506,177
National Mutual Holdings
Ltd.*......................... 130,000 210,343
News Corp. Ltd. ................ 158,178 759,436
Publishing & Broadcasting
Ltd. ......................... 96,300 555,549
St. George Bank Ltd............. 67,000 446,295
Sydney Harbour Casino Holdings
Ltd.*......................... 273,000 429,336
Tabcorp Holdings Ltd............ 99,000 538,938
Westpac Banking Corp. Ltd....... 68,000 409,769
WMC Ltd......................... 80,377 507,446
Woodside Petroleum Ltd.......... 86,000 741,267
------------
9,641,269
------------
AUSTRIA -- 0.0%
Energie-Versorgung
Niederoesterreich AG.......... 624 80,365
Flughafen Wien AG............... 1,581 66,756
------------
147,121
------------
BELGIUM -- 1.1%
Credit Communal Holding Dexia
SA*........................... 3,940 423,120
Generale de Banque SA*.......... 3,274 1,259,931
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Generale de Banque SA--Strip*... 214 $ 95
Kredietbank NV.................. 8,450 3,404,418
UCB SA.......................... 251 795,054
------------
5,882,618
------------
BRAZIL -- 3.6%
Brazil Fund, Inc.**............. 29,290 900,668
Centrais Electrobras SA [ADR]... 44,628 1,247,799
Cesp-Cia Energetica de Sao Paolo
[ADR]*........................ 5,020 100,721
Companhia Brasileira de
Distribuicao Grupo Pao de
Acucar [GDR].................. 16,260 369,915
Companhia Energetica de Minas
Geras [ADR]................... 44,868 2,258,924
Lojas Americanas SA [ADR]....... 23,000 316,204
Pao de Acucar [ADR]*............ 5,160 117,390
Telebras SA [ADR]............... 74,490 11,303,858
Telebras SA [ADR] 144A.......... 217 32,957
Uniao Siderurgicas de Minas
Gerais SA [ADR]............... 78,390 859,233
Usinas Siderurgicas de Minas
Gerais SA [ADR]*.............. 61,345 672,403
Usinas Siderurgicas de Minas
Gerais SA [ADR] 144A*......... 11,100 121,667
------------
18,301,739
------------
CANADA -- 0.3%
Alcan Aluminium Ltd. ........... 30,470 1,038,173
Royal Bank of Canada............ 10,980 497,356
------------
1,535,529
------------
CHILE -- 0.7%
A.F.P. Provida SA [ADR]......... 1,152 25,200
Chile Fund, Inc. **............. 9,294 242,806
Chilectra Metropolitana SA [ADR]
144A.......................... 14,905 428,981
Chilgener SA [ADR].............. 6,371 178,388
Chilgener SA [ADR] Rights*...... 2,102 0
Cia de Telecomunicaciones de
Chile SA [ADR]................ 16,090 530,970
Compania Cervecerias Unidas SA
[ADR]......................... 3,628 79,589
Empresa Nacional Electridad SA
[ADR]......................... 18,526 417,993
Enersis SA [ADR]................ 12,553 446,416
Five Arrows Chile Fund Ltd.
**............................ 89,390 306,786
Five Arrows Chile Investment
Trust **...................... 29,340 99,756
Genesis Chile Fund **........... 9,350 469,838
Santa Isabel SA [ADR]........... 8,017 258,548
------------
3,485,271
------------
CHINA -- 0.3%
Huaneng Power International,
Inc. [ADR]*................... 51,000 1,300,500
------------
</TABLE>
60
<PAGE> 62
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
CZECH REPUBLIC -- 0.0%
SPT Telecom AS*................. 1,360 $ 140,933
------------
DENMARK -- 0.2%
Den Danske Bank................. 6,380 620,826
Tele Danmark AS Cl-B............ 2,030 105,495
Unidanmark AS Cl-A.............. 6,110 343,295
------------
1,069,616
------------
FINLAND -- 0.3%
Nokia AB Cl-A................... 17,254 1,290,706
------------
FRANCE -- 7.8%
Accor SA........................ 2,920 437,215
Alcatel Alsthom................. 16,842 2,109,119
Assurances Generales de
France........................ 7,533 240,709
AXA SA.......................... 9,781 608,275
Canal Plus...................... 3,880 755,244
Carrefour Supermarche SA........ 4,730 3,434,908
Chargeurs International SA*..... 2,331 134,295
CLF Dexia France Reg'd.......... 1,928 187,643
Compagnie de Saint-Gobain....... 11,740 1,711,900
Compagnie Generale des Eaux..... 45,490 5,828,280
Credit Local de France.......... 8,295 807,313
GTM Entrepose SA................ 4,510 225,684
Guilbert SA..................... 5,003 708,245
Havas SA........................ 2,940 211,851
L'Oreal......................... 1,607 677,012
Lapeyre SA...................... 10,315 684,484
Legrand SA...................... 3,823 673,247
Louis Vuitton Moet Hennessy..... 11,719 3,150,483
Pathe*.......................... 2,331 462,456
Pinault-Printemps Redoute SA.... 7,081 3,402,427
Rexel SA........................ 1,265 388,290
Sanofi SA....................... 19,997 1,959,823
Schneider SA.................... 35,098 1,868,008
Societe Generale................ 7,336 818,828
Societe Nationale Elf Aquitaine
SA............................ 18,270 1,970,867
Societe Television Francaise.... 11,080 989,757
Sodexho SA...................... 3,633 1,860,018
Total SA Cl-B................... 39,864 4,028,996
------------
40,335,377
------------
GERMANY -- 4.3%
Allianz AG...................... 8,440 1,802,592
Bayer AG........................ 59,256 2,283,128
Bayerische Bank AG.............. 29,712 898,634
Bilfinger & Berger Bau AG....... 10,700 449,693
Buderus AG...................... 807 447,896
Commerzbank AG.................. 15,850 452,572
Deutsche Bank AG................ 30,291 1,778,452
Deutsche Telekom AG............. 46,401 1,140,005
Fielmann AG Pfd. ............... 5,723 173,911
Gehe AG......................... 42,031 2,891,875
Hoechst AG...................... 12,980 549,981
Hornbach Baumarkt AG............ 1,300 54,188
Hornbach Holdings AG Pfd. ...... 5,870 489,700
Krones AG Hermann Kronseder
Maschinenfabrik Pfd. ......... 456 186,154
Mannesmann AG................... 1,880 839,700
SHARES VALUE
-------- ------------
Praktiker Bau-Und
Heimwerkemaerkte AG........... 3,779 $ 68,252
Rhoen-Klinikum AG............... 8,250 1,083,223
SAP AG.......................... 5,980 1,199,360
SAP AG Pfd...................... 3,398 700,408
Schering AG..................... 3,695 395,749
Siemens AG...................... 8,446 505,811
Veba AG......................... 41,654 2,352,456
Veba AG Warrants*............... 1,220 427,395
Volkswagen AG................... 1,019 772,386
------------
21,943,521
------------
HONG KONG -- 3.8%
Cathay Pacific Airways Ltd. .... 464,000 961,326
China Light & Power Co. Ltd. ... 100,000 566,686
Dao Heng Bank Group Ltd. ....... 243,000 1,329,994
First Pacific Co. Ltd. ......... 926,954 1,184,598
Guoco Group Ltd. ............... 276,000 1,453,607
Hong Kong Land Holdings Ltd. ... 748,582 1,991,228
Hutchison Whampoa Ltd. ......... 405,000 3,502,737
New World Development Co.
Ltd. ......................... 523,205 3,120,265
Shanghai Petrochemical Co. Ltd.
Cl-H.......................... 1,660,000 398,565
Swire Pacific Ltd. Cl-A......... 241,000 2,169,896
Wharf Holdings Ltd.............. 594,000 2,576,341
Yizheng Chemical Fibre Co. Ltd.
Cl-H.......................... 1,306,000 232,648
------------
19,487,891
------------
ITALY -- 2.4%
Banca Commerciale Italia NA..... 104,000 215,341
Banca Fideuram SPA.............. 220,490 720,484
Credito Italiano SPA............ 636,996 1,165,328
Ente Nazionale Idrocarburi
SPA........................... 380,485 2,154,215
Industrie Natuzzi SPA [ADR]..... 15,260 391,038
Istituto Mobiliare Italiano
SPA........................... 68,710 618,390
Italgas SPA..................... 112,936 365,381
La Rinascente SPA............... 22,800 126,674
Mediolanum SPA*................. 58,344 657,914
Seat RNC SPA*................... 139,220 29,072
Seat SPA*....................... 272,480 87,835
Stet Societa' Finanziaria
Telefonica SPA*............... 371,480 2,163,325
Telecom Italia Mobile RNC SPA... 113,043 202,147
Telecom Italia Mobile SPA....... 821,805 2,658,781
Telecom Italia SPA.............. 291,673 935,927
------------
12,491,852
------------
JAPAN -- 22.4%
Advantest Corp.................. 7,040 540,593
Alps Electric Co. Ltd. ......... 50,000 698,080
Amada Co. Ltd. ................. 109,000 960,646
Canon, Inc. .................... 205,000 5,581,152
Citizen Watch Co. Ltd. ......... 68,000 524,538
Dai Nippon Screen Manufacturing
Co. Ltd. ..................... 122,000 1,149,738
Daifuku Co. Ltd. ............... 18,000 237,173
Daiichi Pharmaceutical Co.
Ltd. ......................... 129,000 2,273,822
Daiwa House Industry Co.
Ltd. ......................... 163,000 1,991,274
</TABLE>
61
<PAGE> 63
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
DDI Corp. ...................... 267 $ 1,971,047
Denso Corp. .................... 188,000 4,494,939
East Japan Railway Co. Ltd. .... 358 1,836,859
Fanuc Co. ...................... 34,000 1,305,410
Hitachi Ltd. ................... 228,000 2,546,597
Hitachi Zosen Corp. ............ 181,000 720,209
Honda Motor Co. ................ 11,000 331,152
Inax............................ 46,000 344,398
Ishihara Sangyo Kaisha Ltd.*.... 56,000 165,654
Ito-Yokado Co. Ltd. ............ 47,000 2,727,312
Kao Corp. ...................... 90,000 1,248,691
Kawada Industries, Inc. ........ 14,000 62,792
Kokuyo.......................... 58,000 1,568,935
Komatsu Ltd. ................... 173,000 1,403,927
Komori Corp. ................... 49,000 1,163,002
Kumagai Gumi Co. Ltd. .......... 88,000 146,667
Kuraray Co. Ltd. ............... 126,000 1,253,403
Kyocera Corp. .................. 65,000 5,161,431
Makita Corp. ................... 84,000 1,231,414
Matsushita Electric Industrial
Co. .......................... 198,000 3,991,099
Mauri Co. Ltd. ................. 137,000 2,546,335
Mitsubishi Corp. ............... 97,000 1,210,384
Mitsubishi Heavy Industries
Ltd. ......................... 578,000 4,433,351
Mitsubishi Paper Mills Ltd. .... 64,000 250,192
Mitsui Fudosan Co. Ltd. ........ 294,000 4,053,403
Mitsui Petrochemical
Industries.................... 43,000 207,120
Murata Manufacturing Co.
Ltd. ......................... 65,000 2,586,387
National House Industrial
Co. .......................... 26,000 342,583
NEC Corp. ...................... 366,000 5,109,948
Nippon Hodo Co. ................ 22,000 190,244
Nippon Steel Co. ............... 819,000 2,615,654
Nippon Telegraph & Telephone
Corp. ........................ 1,830 1,756,545
Nomura Securities Co. Ltd. ..... 194,000 2,674,695
Pioneer Electronic Corp. ....... 68,000 1,649,564
Sangetsu Co. Ltd. .............. 11,000 234,206
Sankyo Co. Ltd. ................ 136,000 4,568,935
Sega Enterprises................ 19,400 643,281
Sekisui Chemical Co. Ltd. ...... 207,000 2,095,288
Sekisui House Ltd. ............. 107,000 1,083,072
Seven-Eleven Japan Co. Ltd. .... 16,000 1,209,075
Sharp Corp. .................... 193,000 2,660,908
Shin-Etsu Chemical Co. ......... 112,000 2,971,030
Shiseido Co. Ltd. .............. 30,000 494,764
Sony Corp. ..................... 49,100 4,280,183
Sumitomo Corp. ................. 218,000 2,073,473
Sumitomo Electric Industries.... 290,000 4,858,639
Sumitomo Forestry Co. .......... 73,000 802,618
TDK Corp. ...................... 48,000 3,522,513
Teijin Ltd. .................... 303,000 1,427,749
Tokio Marine & Fire Insurance
Co. .......................... 47,000 615,183
Tokyo Electron Ltd. ............ 18,700 894,206
Tokyo Steel Manufacturing....... 56,500 631,065
Toppan Printing Co. Ltd. ....... 95,000 1,492,147
UNY Co. Ltd. ................... 66,000 1,290,052
Yurtec Corp. ................... 22,000 255,323
------------
115,362,069
------------
SHARES VALUE
-------- ------------
KOREA -- 0.6%
Kookmin Bank.................... 15,422 $ 282,234
Korea Electric Power Corp. ..... 27,700 829,623
Pohang Iron & Steel Co. Ltd. ... 5,030 507,991
Samsung Electronics Co.*........ 12,038 1,333,255
Shinhan Bank.................... 7,110 100,768
------------
3,053,871
------------
MALAYSIA -- 1.8%
Affin Holdings BHD.............. 211,000 501,625
Berjaya Sports Toto BHD......... 222,000 1,046,755
Commerce Asset Holding BHD...... 272,000 716,697
Commerce Asset Holding BHD
Rights*....................... 54,400 3,233
Commerce Asset Holding BHD
Special Rights*............... 34,000 0
Multi-Purpose Holdings BHD...... 380,000 533,006
Multi Purpose Holdings BHD
Iculs*........................ 565,000 190,288
Renong BHD*..................... 937,000 1,225,176
Renong BHD Iculs*............... 79,000 25,042
Resorts World BHD............... 161,000 484,824
Tanjong PLC..................... 371,000 1,278,905
Technology Resources Industries
BHD*.......................... 149,000 256,225
Time Engineering BHD............ 190,000 287,582
United Engineers Ltd............ 396,000 2,855,694
------------
9,405,052
------------
MEXICO -- 1.7%
Cementos de Mexico SA de CV
[ADS]*........................ 65,090 561,727
Cemex SA [ADS] 144A*............ 50,068 432,087
Cemex SA Cl-B................... 67,925 327,442
Cifra SA de CV Cl-B [ADR]*...... 575,870 1,056,721
Fomento Economico Mexicano SA
Cl-B.......................... 46,409 276,293
Gruma SA Cl-B*.................. 112,850 525,544
Gruma SA de CV [ADS] 144A*...... 24,309 469,407
Grupo Embotelladoras de Mexico
SA Cl-B*...................... 10,080 6,344
Grupo Financiero Banamex SA
Cl-B*......................... 146,200 382,751
Grupo Financiero Banamex SA
Cl-L*......................... 4,184 9,848
Grupo Financiero Bancomer SA
Cl-B [GDR]*................... 2,330 23,300
Grupo Financiero Bancomer SA
Cl-L*......................... 1,725 619
Grupo Industrial Maseca SA de CV
Cl-B.......................... 218,095 238,820
Grupo Modelo SA Cl-C............ 67,506 463,918
Grupo Televisia SA [GDR]*....... 5,034 152,908
Kimberly-Clark de Mexico SA
Cl-A.......................... 166,630 666,939
Panamerican Beverages, Inc.
Cl-A.......................... 34,540 1,135,503
Telefonos de Mexico SA Cl-L
[ADR]......................... 46,014 2,197,169
------------
8,927,340
------------
</TABLE>
62
<PAGE> 64
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
NETHERLANDS -- 9.9%
ABN AMRO Bank NV................ 126,196 $ 2,352,556
Akzo Nobel NV................... 1,902 260,601
Baan Co. NV..................... 9,020 621,253
Baan Co. NV*.................... 8,227 557,322
CSM NV.......................... 36,451 1,826,913
Elsevier NV..................... 371,512 6,206,690
Fortis Amev NV.................. 38,702 1,722,892
Gucci Group NV.................. 10,914 702,589
Hagemeyer NV.................... 9,026 466,172
ING Groep NV.................... 123,292 5,683,251
ING Groep NV Warrants*.......... 39,906 459,570
Koninklijke Ahold NV............ 27,381 2,309,527
Nutricia Verenigde Bedrijven
NV............................ 6,130 967,911
Otra NV......................... 6,490 104,128
Polygram NV..................... 60,217 3,159,146
Royal Dutch Petroleum Co........ 217,344 11,302,818
Royal PTT Nederland NV.......... 11,749 460,792
Unilever NV..................... 17,520 3,687,294
Wolters Kluwer NV............... 67,080 8,165,904
------------
51,017,329
------------
NEW ZEALAND -- 0.5%
Air New Zealand Ltd. ........... 148,545 454,050
Carter Holt Harvey Ltd. ........ 79,700 206,261
Fletcher Challenge Building
Ltd. ......................... 127,550 383,811
Fletcher Challenge Energy
Ltd. ......................... 18,250 55,164
Fletcher Challenge Forest
Division...................... 9,212 13,391
Fletcher Challenge Forest
Ltd. ......................... 285,073 414,384
Fletcher Challenge Paper
Ltd. ......................... 84,500 204,908
Telecom Corp. of New Zealand
Ltd. ......................... 111,000 565,480
Tranz Rail Holdings Ltd. ....... 29,000 165,467
------------
2,462,916
------------
NORWAY -- 1.6%
Bergesen D.Y. AS Cl-A........... 5,170 122,417
Norsk Hydro AS.................. 79,880 4,349,717
Orkla AS Cl-A................... 48,710 3,589,732
Saga Petroleum AS Cl-B.......... 15,160 264,825
------------
8,326,691
------------
PANAMA -- 0.0%
Banco Latinoamericano de
Exportaciones SA Cl-E......... 4,035 174,009
------------
PERU -- 0.1%
Credicorp Ltd. [ADR]............ 8,880 195,360
Telefonica del Peru SA Cl-B..... 26,690 71,207
Telefonica del Peru SA Cl-B
[ADR]......................... 11,383 298,092
------------
564,659
------------
PHILIPPINES -- 0.3%
Philippine Long Distance Co. ... 20,800 674,147
Philippine National Bank*....... 92,675 628,841
------------
1,302,988
------------
SHARES VALUE
-------- ------------
PORTUGAL -- 0.4%
Estabelecimentos Jeronimo
Martins & Filho............... 33,099 $ 2,311,966
------------
RUSSIA -- 0.0%
Gazprom [ADR]*.................. 5,750 98,210
------------
SINGAPORE -- 1.9%
City Developments Ltd. ......... 65,000 636,497
DBS Land Ltd. .................. 190,000 600,685
Developmental Bank of Singapore
Ltd. Cl-F..................... 41,000 516,192
Fraser & Neave Ltd. ............ 81,000 577,883
Keppel Corp. Ltd. .............. 55,000 244,282
Oversea-Chinese Banking Corp.
Ltd. ......................... 37,200 385,088
Overseas Union Bank Ltd. Cl-F... 217,000 1,350,843
Overseas Union Bank Rights*..... 43,400 60,408
Singapore Land Ltd. ............ 205,000 932,014
Singapore Press Holdings
Ltd. ......................... 90,000 1,812,968
United Industrial Corp. Ltd. ... 327,000 247,017
United Overseas Bank Ltd. ...... 213,400 2,194,153
Wing Tai Holdings Ltd. ......... 137,000 394,796
------------
9,952,826
------------
SPAIN -- 2.2%
Aquas de Barcelona Rfd.*........ 99 3,998
Argentaria SA................... 12,814 717,494
Banco Bilbao Vizcaya SA......... 7,140 580,058
Banco Popular Espanol SA........ 5,670 1,389,215
Banco Santander SA.............. 64,788 1,996,318
Centros Comerciales Pryca SA.... 14,319 310,015
Empresa Nacional de Electridad
SA............................ 16,073 1,349,416
Gas Natural SDG................. 5,403 1,180,417
Iberdrola SA.................... 86,553 1,092,633
Repsol SA....................... 20,855 881,815
Telefonica de Espana SA......... 57,547 1,663,840
------------
11,165,219
------------
SWEDEN--2.7%
ABB AB Cl-A..................... 66,800 938,251
Astra AB Cl-B................... 292,666 5,209,399
Atlas Copco AB Cl-B............. 40,130 1,041,589
Electrolux AB Cl-B.............. 28,770 2,078,198
Esselte AB...................... 5,800 136,651
Granges AB*..................... 14,385 193,667
Hennes & Mauritz AB Cl-B........ 59,900 2,147,926
Nordbanken AB................... 20,990 706,478
Sandvik AB Cl-A................. 6,140 174,468
Sandvik AB Cl-B................. 43,420 1,233,778
Scribona AB Cl-B................ 5,500 64,079
------------
13,924,484
------------
SWITZERLAND --5.7%
ABB AG.......................... 2,959 4,477,807
Adecco SA....................... 7,460 2,860,586
Ciba Specialty Chemicals AG*.... 4,499 415,889
Credit Suisse Group............. 7,130 915,417
Nestle SA....................... 3,698 4,876,984
Novartis AG..................... 5,719 9,140,062
</TABLE>
63
<PAGE> 65
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Roche Holding AG................ 565 $ 5,108,754
Swiss Bank Corp. ............... 5,920 1,582,964
------------
29,378,463
------------
THAILAND -- 0.1%
Advanced Information Services
PLC........................... 26,700 184,434
Bangkok Bank PLC................ 40,400 288,803
Siam Cement Co. PLC............. 13,900 250,088
------------
723,325
------------
UNITED KINGDOM -- 15.3%
Abbey National PLC.............. 176,000 2,403,371
Argos PLC....................... 182,749 1,666,224
Asda Group PLC.................. 584,450 1,206,878
BG PLC.......................... 126,210 464,494
British Petroleum Co. PLC....... 153,840 1,912,464
Cable & Wireless PLC............ 352,000 3,238,688
Cadbury Schweppes PLC........... 241,456 2,153,236
Caradon PLC..................... 334,530 1,122,547
Centrica PLC*................... 126,210 153,956
Coats Viyella PLC............... 91,270 193,790
Compass Group PLC............... 129,000 1,447,918
David Smith Holdings PLC........ 197,900 619,581
Electrocomponents PLC........... 126,000 941,081
GKN PLC......................... 17,000 292,869
Glaxo Wellcome PLC.............. 244,000 5,038,552
Grand Metropolitan PLC.......... 408,300 3,953,879
Guinness PLC.................... 352,640 3,453,052
Heywood Williams Group PLC...... 32,010 110,344
Hillsdown Holdings PLC.......... 95,160 267,815
Kingfisher PLC.................. 358,950 4,076,736
Ladbroke Group PLC.............. 150,000 587,021
Laing, (John) PLC Cl-A.......... 70,000 435,977
National Westminster Bank PLC... 614,670 8,265,683
Rank Group PLC.................. 207,120 1,312,414
Reed International PLC.......... 624,740 6,055,033
Rolls-Royce PLC................. 78,140 298,642
RTZ Corp. PLC................... 165,600 2,885,983
Safeway PLC..................... 254,660 1,473,702
Shell Transport & Trading Co.
PLC........................... 846,000 $ 5,769,238
Smithkline Beecham PLC.......... 495,120 9,115,142
T&N PLC......................... 181,680 435,676
Tesco PLC....................... 208,000 1,279,888
Tomkins PLC..................... 631,220 2,733,055
United News & Media PLC......... 280,470 3,253,133
------------
78,618,062
------------
VENEZUELA --0.1%
Cia Anonima Nacional Tele
Venezuela [ADS]*.............. 8,050 347,156
------------
TOTAL FOREIGN STOCK
(COST $402,354,286)............... 488,382,233
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000)
-------- --------
<S> <C> <C> <C>
FOREIGN BONDS -- 0.0%
BELGIUM
Kredietbank NV
5.75%
(COST $27,167).... 11/30/03 900 48,346
------------
TOTAL INVESTMENTS -- 94.8%
(COST $402,381,453)............... 488,430,579
OTHER ASSETS LESS
LIABILITIES -- 5.2%............... 26,928,593
------------
NET ASSETS -- 100.0%................ $515,359,172
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH DEPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy BEF $ 204,613 35.7800 07/97 $(1,194)
Buy ITL 849,575 1,693.5006 07/97 (3,248)
Buy NLG 552,850 1.9518 07/97 (3,239)
-------
$(7,681)
=======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.3% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
64
<PAGE> 66
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- ------------
<S> <C> <C> <C>
FOREIGN BONDS -- 75.1%
AUSTRALIA -- 2.6%
Australian Government
12.00%................. 11/15/01 2,030 $ 1,866,277
Federal National Mtge.
Assoc. Global Bond
6.50%.................. 07/10/02 1,850 1,393,766
----------
3,260,043
----------
CANADA -- 5.5%
Canadian Government
6.25%.................. 09/15/98 5,700 4,228,584
8.00%.................. 06/01/23 2,375 1,955,518
Province of Alberta
8.00%.................. 03/01/00 710 550,962
Province of Quebec
7.75%.................. 03/30/06 200 156,130
----------
6,891,194
----------
CZECH REPUBLIC -- 0.2%
European Investment Bank
11.00%................. 10/10/01 8,000 233,618
----------
DENMARK -- 1.6%
Nykredit
7.00%.................. 10/01/16 8,076 1,241,806
6.00%.................. 10/01/26 20 2,737
7.00%.................. 10/01/29 5,100 739,798
----------
1,984,341
----------
EUROPEAN CURRENCY UNIT -- 3.9%
European Bank
Reconstruction &
Development
6.00%.................. 05/06/99 970 1,126,823
French O.A.T.
9.50%.................. 04/25/00 1,100 1,401,828
Republic of Portugal
6.00%.................. 02/16/04 2,000 2,305,030
----------
4,833,681
----------
FRANCE -- 1.9%
French Government
6.50%.................. 10/25/06 4,500 819,651
French O.A.T. Principal
Strip 6.01%............ 10/25/05 10,000 1,086,912
6.32%.................. 10/25/08 5,500 487,094
----------
2,393,657
----------
GERMANY -- 9.8%
Deutscheland Republic
7.25%.................. 10/21/02 1,160 741,187
Federal National Mtge.
Assoc. Global Bond
5.00%.................. 02/16/01 3,500 2,052,420
Inter-America Development
Bank
7.00%.................. 06/08/05 4,500 2,818,789
KFW International
Finance, Inc.
6.75%.................. 06/20/05 3,500 2,168,310
Land Baden-Wuerttemberg
6.50%.................. 07/21/06 1,500 906,533
Minnesota Mining &
Manufacturing Co.
5.00%.................. 10/15/01 900 525,572
Republic of Germany
5.75%.................. 08/22/00 5,000 3,012,442
----------
12,225,253
----------
HUNGARY -- 0.7%
Hungarian Government
23.50%................. 11/06/97 60,000 323,164
24.00%................. 03/21/98 45,000 246,596
23.50%................. 05/17/98 50,000 275,578
----------
845,338
----------
ITALY -- 9.7%
Italian Government
9.50%.................. 02/01/01 5,150,000 3,339,624
8.25%.................. 07/01/01 4,675,000 2,943,600
9.00%.................. 10/01/03 4,320,000 2,840,019
9.50%.................. 01/01/05 1,260,000 853,835
8.75%.................. 07/01/06 3,295,000 2,186,329
----------
12,163,407
----------
JAPAN -- 12.6%
European Investment Bank
3.00%.................. 09/20/06 190,000 1,729,439
Export-Import Bank of
Japan
4.375%................. 10/01/03 360,000 3,549,738
2.875%................. 07/28/05 200,000 1,808,464
International Bank
Reconstruction &
Development Global Bond
4.75%.................. 12/20/04 400,000 4,085,951
Japan Development Bank
2.875%................. 12/20/06 130,000 1,168,412
Japanese Government
2.70%.................. 03/20/07 192,000 1,696,117
Republic of Austria
4.50%.................. 09/28/05 180,000 1,814,136
----------
15,852,257
----------
NETHERLANDS -- 2.0%
Netherlands Government
7.50%.................. 11/15/99 1,950 1,075,763
9.00%.................. 01/15/01 2,500 1,466,918
----------
2,542,681
----------
NEW ZEALAND -- 1.6%
New Zealand Government
10.00%................. 03/15/02 2,610 1,997,843
----------
PHILIPPINES -- 0.2%
Philippines Government
12.50%................. 04/25/01 8,000 300,552
----------
</TABLE>
65
<PAGE> 67
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- ------------
<S> <C> <C> <C>
PORTUGAL -- 0.9%
Republic of Portugal
5.375%................. 03/23/00 200,000 $ 1,139,026
----------
RUSSIA -- 0.4%
Russian Treasury Bill
29.65%................. 11/26/97 2,855,000 458,420
----------
SOUTH AFRICA -- 0.8%
Republic of South Africa
12.00%................. 02/28/05 4,800 942,623
----------
SPAIN -- 6.9%
Spanish Government
7.90%.................. 02/28/02 501,500 3,728,404
10.90%................. 08/30/03 341,000 2,909,169
8.00%.................. 05/30/04 130,000 982,279
10.00%................. 02/28/05 128,000 1,070,721
----------
8,690,573
----------
SWEDEN -- 0.9%
Swedish Government
5.50%.................. 04/12/02 9,000 1,152,673
----------
UNITED KINGDOM -- 12.9%
Alliance & Leicester BLD
8.75%.................. 12/07/06 1,000 1,750,654
Annington Finance
7.75%.................. 10/02/11 500 862,317
Bank of Scotland
8.375%................. 10/29/49 450 760,629
Federal National Mtge.
Assoc. Global Bond
6.875%................. 06/07/02 550 904,470
Guaranteed Export Finance
Corp.
7.24%.................. 09/29/00 900 1,187,780
10.625%................ 09/15/01 950 1,754,088
Halifax Building Society
8.75%.................. 07/10/06 1,150 2,035,994
9.38%.................. 05/15/21 530 1,007,833
National Power Co. PLC
8.375%................. 08/02/06 600 1,028,535
Swiss Bank Corp. Jersey
8.75%.................. 12/18/25 520 942,813
United Kingdom Treasury
8.00%.................. 09/25/09 730 1,300,391
8.00%.................. 12/07/15 600 1,092,032
8.75%.................. 08/25/17 770 1,502,862
----------
16,130,398
----------
TOTAL FOREIGN BONDS
(COST $95,679,261)................... 94,037,578
----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- ------------
<S> <C> <C> <C>
SOVEREIGN ISSUES -- 5.5%
ARGENTINA -- 1.0%
Republic of Argentina
[FRB, BRB]
6.75%.................. 03/31/05 $ 286 $ 268,981
Republic of Argentina
Bocon PRE II [FRN]
5.44%.................. 04/01/01 579 583,481
Republic of Argentina
Bocon PRO II [FRN]
5.70%.................. 04/01/07 392 352,004
------------
1,204,466
------------
BRAZIL -- 0.6%
Republic of Brazil
Capitalization [FRB,
BRB]
8.00%.................. 04/15/14 672 540,011
Republic of Brazil DCB
[FRN, BRB]
6.9375%................ 04/15/12 200 165,250
------------
705,261
------------
BULGARIA -- 0.2%
National Republic of
Bulgaria [FRN]
6.5625%................ 07/28/11 200 144,625
2.25%.................. 07/28/12 320 182,800
------------
327,425
------------
DOMINICAN REPUBLIC -- 0.2%
Dominican Republic Disc.
[FRN]
6.375%................. 08/30/24 250 202,500
------------
ECUADOR -- 0.1%
Republic of Ecuador PDI
[FRN]
6.50%.................. 02/27/15 242 156,199
------------
MEXICO -- 0.3%
Banco Nacional de
Comercio Exterier
7.25%.................. 02/02/04 120 111,825
Grupo Elektra SA 144A
12.75%................. 05/15/01 200 221,375
------------
333,200
------------
PANAMA -- 0.1%
Republic of Panama [FRN]
7.03125%............... 05/10/02 154 152,310
------------
PERU -- 0.3%
Government of Peru
[FLIRB]
3.25%.................. 03/07/17 560 336,700
------------
PHILIPPINES -- 0.7%
Philippines Peso Linked
Note
9.3253%................ 12/11/97 950 902,232
------------
</TABLE>
66
<PAGE> 68
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- ------------
<S> <C> <C> <C>
POLAND -- 0.4%
Government of Poland PDI
4.00%.................. 10/27/14 $ 225 $ 193,359
Poland Communications,
Inc. 144A
9.875%................. 11/01/03 300 299,625
------------
492,984
------------
RUSSIA -- 1.1%
City of Moscow
9.50%.................. 05/31/00 100 100,938
Republic of Kazakhstan
9.25%.................. 12/20/99 100 101,625
Russia Loan
Participation* 0.00%... 06/20/26 1,050 963,375
Russian Interest Note
[WI]*
0.75%.................. 12/29/49 250 190,938
------------
1,356,876
------------
VENEZUELA -- 0.5%
Republic of Venezuela
(FRN, BRB)
6.50%.................. 12/18/07 750 695,400
------------
TOTAL SOVEREIGN ISSUES
(COST $6,009,001).................... 6,865,553
------------
TOTAL INVESTMENTS -- 80.6%
(COST $101,688,262).................. 100,903,131
OTHER ASSETS LESS
LIABILITES -- 19.4%.................. 24,359,620
------------
NET ASSETS -- 100.0%................... $125,262,751
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
(DOLLAR BASED)
<S> <C> <C> <C> <C> <C>
Buy DEM $1,200,000 1.7440 07/97 $ 682
=======
Sell AUD $ 231,614 1.3414 07/97 $ (3,295)
=======
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL PRINCIPAL UNREALIZED
IN LOCAL IN LOCAL EXPIRATION APPRECIATION
BUY CURRENCY SELL CURRENCY MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUD 1,150,532 NZD 1,264,089 07/97 $ 10,694
DEM 1,686,060 GRD 266,490,288 07/97 (3,527)
FRF 16,473,946 GBP 1,732,276 07/97 (75,766)
JPY 53,385,635 AUD 625,125 07/97 (5,147)
JPY 134,117,939 NZD 1,719,461 07/97 8,112
JPY 270,227,188 GBP 275,199,250 07/97 87,856
NOK 8,421,000 DEM 2,000,000 10/97 2,120
-------
$ 24,342
=======
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.4% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
67
<PAGE> 69
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 90.3%
AEROSPACE -- 1.0%
Boeing Co. ....................... 29,800 $ 1,581,262
------------
BEVERAGES -- 0.9%
Pepsico, Inc...................... 35,000 1,314,687
------------
BUILDING MATERIALS -- 1.2%
Lowe's Companies, Inc. ........... 50,000 1,856,250
------------
BUSINESS SERVICES -- 0.7%
Paging Network, Inc.*............. 127,500 1,119,609
------------
CLOTHING & APPAREL -- 3.6%
Gucci Group NV.................... 19,800 1,274,625
Hilfiger, (Tommy) Corp.*.......... 60,800 2,443,400
Jones Apparel Group, Inc.*........ 37,000 1,766,750
------------
5,484,775
------------
COMPUTER HARDWARE -- 1.5%
Hewlett-Packard Co. .............. 40,000 2,240,000
------------
COMPUTER SERVICES & SOFTWARE -- 13.4%
Baan Co. NV*...................... 35,000 2,410,625
BMC Software, Inc.*............... 24,500 1,356,687
Cadence Design Systems, Inc.*..... 145,000 4,857,500
Cisco Systems, Inc.*.............. 44,250 2,970,281
First Data Corp................... 40,000 1,757,500
HBO & Co.......................... 29,000 1,997,375
Microsoft Corp.*.................. 12,500 1,579,687
Parametric Technology Corp.*...... 35,000 1,489,687
Sun Microsystems, Inc.*........... 55,000 2,047,031
------------
20,466,373
------------
CONGLOMERATES -- 1.7%
Philip Morris Companies, Inc. .... 60,000 2,662,500
------------
CONSUMER PRODUCTS & SERVICES -- 1.0%
Loewen Group, Inc. ............... 45,000 1,563,750
------------
CONTAINERS & PACKAGING -- 1.0%
Owens-Illinois, Inc.*............. 50,000 1,550,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.7%
Altera Corp.*..................... 40,000 2,020,000
Applied Materials, Inc.*.......... 10,000 708,125
KLA Instruments Corp.*............ 20,000 975,000
LAM Research Corp.*............... 19,000 704,187
Linear Technology Corp............ 44,000 2,277,000
Maxim Integrated Products,
Inc.*........................... 10,000 568,750
Sanmina Corp.*.................... 24,000 1,524,000
UCAR International, Inc.*......... 30,000 1,372,500
------------
10,149,562
------------
ENTERTAINMENT & LEISURE -- 1.8%
Time Warner, Inc. ................ 40,000 1,930,000
Walt Disney Co. .................. 10,000 802,500
------------
2,732,500
------------
ENVIRONMENTAL SERVICES -- 4.7%
U.S. Filter Corp.*................ 87,000 2,370,750
United Waste Systems, Inc.*....... 60,000 2,460,000
USA Waste Services, Inc.*......... 60,000 2,317,500
------------
7,148,250
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 4.6%
Banc One Corp. ................... 50,000 $ 2,421,875
Chase Manhattan Corp. ............ 35,000 3,397,187
Citicorp.......................... 10,000 1,205,625
------------
7,024,687
------------
FINANCIAL SERVICES -- 4.2%
American Express Co. ............. 16,000 1,192,000
Fannie Mae........................ 27,000 1,177,875
Federal Home Loan Mtge. Corp. .... 37,000 1,271,875
Green Tree Financial Corp. ....... 48,000 1,710,000
The Money Store, Inc. ............ 34,200 981,113
------------
6,332,863
------------
FOOD -- 3.4%
American Stores Co. .............. 35,000 1,728,125
Kroger Co.*....................... 33,200 962,800
Safeway, Inc.*.................... 53,500 2,467,688
------------
5,158,613
------------
HEALTHCARE SERVICES -- 4.9%
Columbia-HCA Healthcare Corp. .... 60,000 2,358,750
Medpartners, Inc.*................ 51,000 1,102,875
Tenet Healthcare Corp.*........... 70,000 2,069,375
United Healthcare Corp............ 20,000 1,040,000
Vencor, Inc.*..................... 23,000 971,750
------------
7,542,750
------------
HOTELS & MOTELS -- 3.4%
HFS, Inc.*........................ 35,000 2,030,000
Hilton Hotels Corp................ 67,000 1,779,688
La Quinta Motor Inns, Inc. ....... 60,000 1,312,500
------------
5,122,188
------------
INSURANCE -- 3.7%
American International Group,
Inc............................. 6,000 896,250
Conseco, Inc...................... 91,000 3,367,000
MGIC Investment Corp.............. 30,000 1,438,125
------------
5,701,375
------------
OIL & GAS -- 2.0%
Baker Hughes, Inc. ............... 40,000 1,547,500
Diamond Offshore Drilling,
Inc.*........................... 20,000 1,562,500
------------
3,110,000
------------
PAPER & FOREST PRODUCTS -- 0.7%
Kimberly-Clark Corp............... 20,000 995,000
------------
PHARMACEUTICALS -- 7.6%
Cardinal Health, Inc.............. 46,000 2,633,500
Centocor, Inc.*................... 33,000 1,025,063
Lilly, (Eli) & Co. ............... 12,000 1,311,750
McKesson Corp. ................... 40,000 3,100,000
Merck & Co., Inc. ................ 10,000 1,035,000
Pfizer, Inc. ..................... 11,000 1,314,500
Warner-Lambert Co. ............... 10,000 1,242,500
------------
11,662,313
------------
</TABLE>
68
<PAGE> 70
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
RESTAURANTS -- 1.8%
Boston Chicken, Inc.*............. 127,500 $ 1,785,000
Lone Star Steakhouse & Saloon*.... 35,000 910,000
------------
2,695,000
------------
RETAIL & MERCHANDISING -- 6.5%
Autozone, Inc.*................... 46,400 1,093,300
Consolidated Stores Corp.*........ 68,750 2,389,063
CVS Corp. ........................ 36,000 1,845,000
Federated Department Stores,
Inc.*........................... 55,000 1,911,250
Home Depot, Inc. ................. 20,000 1,378,750
Kohls Corp.*...................... 25,000 1,323,438
------------
9,940,801
------------
SEMI-CONDUCTORS -- 3.8%
Intel Corp. ...................... 10,000 1,418,125
Motorola, Inc. ................... 5,000 380,000
National Semiconductor Corp.*..... 59,500 1,822,188
Xilinx, Inc.*..................... 45,200 2,217,625
------------
5,837,938
------------
TELECOMMUNICATIONS -- 4.5%
Ascend Communications, Inc.*...... 45,000 1,771,875
Nokia Corp. Cl-A [ADR]............ 22,000 1,622,500
Tellabs, Inc.*.................... 26,500 1,480,688
Worldcom, Inc.*................... 60,000 1,920,000
------------
6,795,063
------------
TOTAL COMMON STOCK (COST
$125,440,676)....................... 137,788,109
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -- 7.9%
U.S. Treasury Bills
4.77%................ 07/03/97 $10,000 $ 9,997,350
4.85%................ 07/24/97 2,000 1,993,803
-----------
(COST $11,991,153)............. 11,991,153
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 1.7%
Temporary Investment Cash
Fund......................... 1,324,974 1,324,974
Temporary Investment Fund...... 1,324,973 1,324,973
-----------
(COST $2,649,947).... 2,649,947
-----------
TOTAL INVESTMENTS -- 99.9%
(COST $140,081,776).............. 152,429,209
OTHER ASSETS LESS
LIABILITIES -- 0.1%.............. 93,787
-----------
NET ASSETS -- 100.0%............... $152,522,996
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
69
<PAGE> 71
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FOREIGN STOCK -- 89.7%
AUSTRALIA -- 1.4%
AAPC Ltd....................... 600,000 $ 399,214
Village Roadshow Ltd........... 396,000 1,443,157
------------
1,842,371
------------
BRAZIL -- 0.7%
Multicanal Participacoes SA*... 66,000 899,250
------------
CANADA -- 3.1%
Cinar Films, Inc. Cl-B*........ 47,500 1,543,750
Gulf Canada Resources Ltd.*.... 309,000 2,568,563
------------
4,112,313
------------
CHILE -- 2.1%
Banco de A. Edwards [ADR]...... 53,000 1,106,375
Compania Cervecerias Unidas SA
[ADR]........................ 75,100 1,647,506
------------
2,753,881
------------
DENMARK -- 1.7%
Kobenhavns Lufthavne........... 22,000 2,334,312
------------
FINLAND -- 3.4%
Amer Group Ltd.*............... 35,500 640,115
KCI Konecranes
International*............... 41,250 1,813,746
Raision Tehtaat Oy............. 29,525 2,032,712
------------
4,486,573
------------
FRANCE -- 7.4%
Altran Technologies SA......... 5,425 1,772,273
Dassault Systems SA*........... 25,700 1,823,470
Guilbert SA.................... 8,775 1,242,224
S.T. Dupont SA*................ 11,950 321,258
Salomon SA..................... 31,450 2,397,867
Skis Rossignol SA.............. 46,825 984,750
Sylea SA....................... 14,208 1,358,622
------------
9,900,464
------------
GERMANY -- 8.5%
Marschollek, Lautenschlaeger
Unq Partner AG............... 14,550 3,503,813
Porsche AG Pfd................. 1,900 2,472,909
Schmalbach Lubeca AG........... 10,785 2,424,012
Schwarz Pharma AG.............. 20,700 1,570,214
Turbon International AG........ 42,000 1,293,160
------------
11,264,108
------------
HONG KONG -- 4.2%
Asia Satellite
Telecommunications Holdings
Ltd. [ADR]................... 71,225 2,145,653
Elec & Eltek International
Holdings Ltd................. 2,500,000 734,174
First Tractor Co. Ltd.*........ 164,000 107,967
SA SA International Holdings
Ltd.*........................ 1,420,000 462,836
VTech Holdings Ltd............. 1,117,000 2,105,153
------------
5,555,783
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
INDONESIA -- 3.4%
London Sumatra................. 140,500 $ 445,206
Bank Tiara Asia................ 800,000 954,733
Lippo Life Insurance Co........ 670,000 792,696
Matahari Putra Prima........... 756,000 1,524,444
United Tractors................ 213,500 790,741
------------
4,507,820
------------
IRELAND -- 0.7%
Ryanair Holdings PLC [ADR]*.... 32,425 879,528
------------
ITALY -- 2.3%
Bulgari SPA.................... 340,000 1,924,000
Industrie Natuzzi SPA [ADR].... 46,000 1,178,750
------------
3,102,750
------------
JAPAN -- 6.0%
Doutor Coffee Co. Ltd. ........ 48,000 1,947,644
Fuji Soft ABC, Inc. ........... 15,000 654,450
Laox Ltd. ..................... 85,000 1,194,154
Net One System Co. Ltd. ....... 800 736,475
Nippon System Development
Ltd. ........................ 36,000 857,592
Noritsu Koki Co. Ltd. ......... 54,000 2,662,304
------------
8,052,619
------------
MALAYSIA -- 1.2%
Chemical Co. of Malaysia BHD... 10,000 27,142
Kentucky Fried Chicken Holdings
Warrants*.................... 21,333 25,189
Malaysian Assurance Alliance
BHD.......................... 277,200 1,614,565
------------
1,666,896
------------
MEXICO -- 2.5%
Grupo Iusacell [ADR]*.......... 127,325 2,339,597
Grupo Posadas SA*.............. 1,675,000 1,011,957
------------
3,351,554
------------
NETHERLANDS -- 5.6%
Baan Co. NV*................... 30,400 2,093,800
Beter Bed Holding NV........... 14,875 325,791
Hunter Douglas NV.............. 34,800 2,960,118
IHC Caland NV.................. 37,600 2,054,948
------------
7,434,657
------------
NEW ZEALAND -- 1.1%
Tranz Rail Holdings [ADR]...... 91,125 1,537,734
------------
NORWAY -- 4.1%
Kverneland AS.................. 85,000 2,308,459
Petroleum Geo Services
[ADR]*....................... 30,000 1,466,250
Tomra Systems AS............... 84,175 1,723,156
------------
5,497,865
------------
PANAMA -- 1.1%
Banco Latinoamericano de
Exportaciones SA Cl-E........ 33,000 1,423,125
------------
</TABLE>
70
<PAGE> 72
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
PHILIPPINES -- 1.2%
International Container
Terminal Services, Inc.*..... 2,060,000 $ 1,054,208
Solid Group.................... 3,526,000 574,746
------------
1,628,954
------------
SINGAPORE -- 1.0%
Creative Technology Ltd.*...... 76,000 1,292,000
------------
SPAIN -- 1.6%
Tele Pizza SA*................. 36,900 2,153,794
------------
SWEDEN -- 1.5%
Enator AB*..................... 41,500 741,378
NetCom Systems AB Cl-B*........ 90,000 1,269,936
------------
2,011,314
------------
UNITED KINGDOM -- 23.9%
Avis Europe PLC 144A*.......... 478,025 1,086,619
British Biotechnology PLC*..... 405,425 1,539,358
British-Borneo Petroleum
Syndicate PLC................ 100,200 2,365,293
BTG PLC........................ 49,000 514,896
Cairn Energy PLC*.............. 229,625 1,854,621
Capital Radio PLC.............. 184,950 1,655,492
DFS Furniture Co. PLC.......... 201,000 1,881,164
Flextech PLC*.................. 207,200 2,218,681
J.D. Wetherspoon PLC........... 126,000 2,858,915
JBA Holdings PLC............... 237,950 3,467,273
Medeva PLC [ADR]............... 103,450 1,771,581
Misys PLC...................... 92,975 2,109,584
Next PLC....................... 187,000 2,112,933
Parity PLC..................... 213,800 1,771,312
Pizza Express PLC.............. 222,200 2,327,496
Psion PLC...................... 226,000 1,469,683
Regent Inns PLC................ 186,125 883,372
------------
31,888,273
------------
TOTAL FOREIGN STOCK (COST
$104,715,916).................... 119,577,938
------------
SHARES VALUE
--------- ------------
COMMON STOCK -- 4.0%
EQUIPMENT SERVICES -- 2.6%
Rofin-Sinar Technologies,
Inc.*........................ 176,600 $ 3,377,475
------------
TELECOMMUNICATIONS -- 1.4%
Cellular Communications
International, Inc.*......... 56,500 1,892,750
------------
TOTAL COMMON STOCK (COST
$4,227,415)...................... 5,270,225
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 7.7%
American Express Credit
Corp.
5.56%.................... 07/02/97 $4,860 4,859,249
Associates Corp. of North
America
5.40%.................... 07/01/97 2,150 2,150,000
Merrill Lynch & Co., Inc.
6.22%.................... 07/01/97 3,309 3,309,000
------------
TOTAL COMMERCIAL PAPER (COST
$10,318,249)........................... 10,318,249
------------
TOTAL INVESTMENTS -- 101.4% (COST
$119,261,580).......................... 135,166,412
LIABILITIES IN EXCESS OF OTHER ASSETS --
(1.4%)................................. (1,931,768)
------------
NET ASSETS -- 100.0%..................... $133,234,644
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy FRF $ 320,463 5.8468 07/97 $ (1,558)
Buy GBP 537,269 0.6006 07/97 104
Buy IDR 36,646 2,427.9776 07/97 (30)
Buy JPY 947,624 113.0500 07/97 (12,817)
Buy NLG 340,326 1.9422 07/97 (3,644)
------
$(17,945)
======
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.8% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
71
<PAGE> 73
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 76.6%
CHEMICALS -- 6.6%
Applied Extrusion Technologies,
Inc.*.......................... 20,600 $ 242,050
Dupont, (E.I.) de Nemours &
Co. ........................... 6,400 402,400
FMC Corp.*....................... 18,000 1,429,875
Great Lakes Chemical Corp. ...... 24,300 1,272,712
Lyondell Petrochemical Co. ...... 58,300 1,271,669
Millennium Chemicals, Inc. ...... 63,000 1,433,250
Polymer Group, Inc.*............. 20,000 322,500
Witco Corp. ..................... 20,000 758,750
-----------
7,133,206
-----------
DIVERSIFIED METALS -- 4.9%
Freeport-McMoran Copper & Gold,
Inc. Cl-A...................... 31,900 933,075
Freeport-McMoran Copper & Gold,
Inc. Cl-B...................... 13,000 404,625
Nucor Corp. ..................... 28,500 1,610,250
Reynolds Metals Co. ............. 24,800 1,767,000
Steel Dynamics, Inc.*............ 26,000 650,000
-----------
5,364,950
-----------
DIVERSIFIED RESOURCES -- 2.9%
Burlington Northern Santa Fe
Corp. ......................... 13,700 1,231,287
Penn Virginia Corp. ............. 12,850 629,650
Western Water Co.*............... 28,000 371,000
Zeigler Coal Holding Co. ........ 39,600 925,650
-----------
3,157,587
-----------
ENERGY SERVICES -- 11.0%
Ashland, Inc. ................... 19,500 904,312
Camco International, Inc. ....... 10,800 591,300
Carbo Ceramics, Inc. ............ 43,750 1,192,187
Coflexip SA [ADR]................ 47,600 1,433,950
Cooper Cameron Corp.*............ 45,800 2,141,150
Energy Group PLC [ADR]........... 7,875 333,703
Halliburton Co. ................. 9,800 776,650
McDermott International, Inc. ... 76,300 2,227,006
Western Atlas, Inc.*............. 10,000 732,500
Wheelabrator Technologies,
Inc. .......................... 103,000 1,590,062
-----------
11,922,820
-----------
INTEGRATED PETROLEUM -- 15.4%
Amerada Hess Corp. .............. 25,500 1,416,844
Atlantic Richfield Co. .......... 13,000 916,500
British Petroleum Co. PLC [ADR].. 25,600 1,916,800
Ente Nazionale Idrocarburi SPA
[ADR].......................... 13,000 739,375
Mobil Corp. ..................... 49,200 3,437,850
Phillips Petroleum Co. .......... 33,000 1,443,750
Repsol SA [ADR].................. 32,600 1,383,462
Texaco, Inc. .................... 26,000 2,827,500
Total SA [ADR]................... 45,000 2,278,125
Ultramar Diamond Shamrock
Corp. ......................... 10,800 352,350
-----------
16,712,556
-----------
MISCELLANEOUS ENERGY -- 0.5%
Uranium Resources, Inc.*......... 101,000 593,375
-----------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
OIL & GAS -- 6.1%
Daniel Industries................ 80,000 $ 1,235,000
Northstar Energy Corp.*.......... 65,000 553,081
Ocean Energy, Inc.*.............. 6,500 300,625
Royal Dutch Petroleum Co. ....... 22,000 1,196,250
Santa Fe International Corp.*.... 12,000 408,000
USX-Delhi Group.................. 46,000 603,750
USX-Marathon Group............... 80,500 2,324,437
-----------
6,621,143
-----------
PAPER & FOREST PRODUCTS -- 6.3%
Georgia Pacific Corp. ........... 13,300 1,135,487
International Paper Co. ......... 22,000 1,068,375
James River Corp. of Virginia.... 22,800 843,600
Jefferson Smurfit Corp.*......... 104,600 1,673,600
Kimberly-Clark Corp. ............ 15,200 756,200
Louisiana-Pacific Corp. ......... 23,000 485,875
Willamette Industries, Inc. ..... 12,400 868,000
-----------
6,831,137
-----------
PETROLEUM EXPLORATION & PRODUCTION -- 7.5%
Barrett Resources Corp.*......... 13,100 392,181
Bouygues Offshore SA [ADR]....... 50,000 625,000
Enserch Exploration, Inc.*....... 106,000 1,159,375
Houston Exploration Co.*......... 50,500 785,906
Noble Affiliates, Inc. .......... 9,900 383,006
Rutherford-Moran Oil Corp.*...... 35,300 829,550
Triton Energy Ltd.*.............. 10,300 471,869
Union Texas Petroleum Holdings,
Inc. .......................... 98,700 2,066,531
United Meridian Corp.*........... 47,800 1,434,000
-----------
8,147,418
-----------
PRECIOUS METALS -- 12.1%
Ashanti Goldfields Co. Ltd.
[GDR].......................... 78,200 913,962
Battle Mountain Gold Co. ........ 252,000 1,433,250
Cambior, Inc. ................... 95,400 1,079,213
Canyon Resources Corp.*.......... 368,400 897,975
Dayton Mining Corp.*............. 60,000 228,750
Driefontein Consolidated Ltd.
[ADR].......................... 65,000 438,750
Durban Roodepoort Deep Ltd.
[ADR]*......................... 113,640 461,663
Gold Fields of South Africa Ltd.
[ADR].......................... 30,000 699,375
Golden Star Resources Ltd.*...... 23,000 186,875
Homestake Mining Co. ............ 80,200 1,047,613
Newmont Mining Corp. ............ 81,224 3,167,736
Pegasus Gold, Inc.*.............. 6,300 38,588
Placer Dome, Inc. ............... 105,300 1,724,288
TVX Gold, Inc.*.................. 150,900 801,656
-----------
13,119,694
-----------
REAL ESTATE -- 3.3%
Apartment Investment & Management
Co. Cl-A [REIT]................ 23,700 669,525
Beacon Properties Corp. [REIT]... 25,800 861,075
Boston Properties, Inc.
[REIT]*........................ 8,600 236,500
Security Capital Pacific Trust
[REIT] 144A.................... 30,000 686,250
</TABLE>
72
<PAGE> 74
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
The Rouse Co. [REIT]............. 13,200 $ 389,400
United Dominion Realty Trust
[REIT]......................... 50,000 709,375
------------
3,552,125
------------
TOTAL COMMON STOCK
(COST $73,842,403)................. 83,156,011
------------
PREFERRED STOCK -- 0.3%
OIL & GAS -- 0.3%
Cross Timbers Oil Co. $1.5625
Cl-A [CVT]
(COST $225,345)................ 9,890 316,480
------------
FOREIGN STOCK -- 14.5%
DIVERSIFIED METALS -- 4.7%
Bougainville Copper
Ltd. -- (AUD)*................. 882,542 353,657
English China Clays
PLC -- (GBP)................... 416,000 1,430,565
Lonrho PLC -- (GBP).............. 1,382,600 2,935,628
Pechiney SA -- (FRF)............. 9,100 358,444
------------
5,078,294
------------
PRECIOUS METALS -- 8.8%
Banro International
Capital -- (CAD)*.............. 120,000 630,024
Banro Resources Corp. Special
Warrants 144A -- (CAD)*........ 83,300 349,873
Delta Gold NL -- (AUD)........... 650,000 1,086,118
Gold Fields of South Africa
Ltd. -- (ZAR).................. 3,800 89,556
Goldfields Ltd. -- (AUD)*........ 365,000 543,664
Impala Platinum Holdings Ltd. --
(ZAR).......................... 94,900 1,060,785
Normandy Mining Ltd. -- (AUD).... 448,900 505,717
Potgietersrust Platinums Ltd. --
(ZAR).......................... 124,730 940,928
Prime Resources Group, Inc. --
(CAD).......................... 298,000 2,158,013
Rustenburg Platinum Holdings
Ltd. -- (ZAR).................. 80,000 1,462,491
Samax 144A -- (CAD)*............. 150,000 624,593
War Eagle Mining Co., Inc. --
(CAD)*......................... 118,000 47,853
War Eagle Mining Co., Inc.
Warrants -- (CAD)*............. 59,000 0
------------
9,499,615
------------
SHARES VALUE
--------- ------------
REAL ESTATE -- 1.0%
Security Capital U.S. Realty
[REIT] -- (NLG)*............... 30,000 $ 447,000
Sun International -- (ZAR)....... 1,150,000 648,430
------------
1,095,430
------------
TOTAL FOREIGN STOCK
(COST $15,684,523)................. 15,673,339
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 7.9%
Becton Dickinson Co.
5.52%................... 07/17/97 $4,000 3,990,187
Bell Atlantic Financial
Services, Inc.
5.52%................... 07/11/97 549 548,155
Ciesco L.P.
5.55%................... 07/02/97 650 649,900
Kellogg Co.
5.50%................... 07/24/97 900 896,838
Motorola Credit Co.
5.50%................... 08/05/97 2,000 1,989,306
RTZ America, Inc.+
5.56%................... 07/07/97 500 499,537
------------
TOTAL COMMERCIAL PAPER
(COST $8,573,923)..................... 8,573,923
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
----------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 1.0%
Temporary Investment Cash Fund
(COST $1,120,734).............. 1,120,734 1,120,734
------------
TOTAL INVESTMENTS -- 100.3%
(COST $99,446,928)............... 108,840,487
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.3%)........... (283,536)
------------
NET ASSETS -- 100.0%............... $108,556,951
===========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stocks.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 1.5% of net assets.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the period, these securities amounted to
0.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
73
<PAGE> 75
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 10.4%
FINANCIAL SERVICES -- 1.8%
Salomon, Inc. Sr. Notes
7.00%................... 01/20/98 $ 2,650 $ 2,665,476
9.375%.................. 04/15/98 2,000 2,050,860
------------
4,716,336
------------
INDUSTRIAL PRODUCTS -- 3.3%
Chesapeake Energy Corp.
Sr. Notes
12.00%.................. 03/01/01 8,000 8,520,000
------------
UTILITIES -- 5.3%
CMS Energy Corp. First
Mtge.
9.50%................... 10/01/97 1,000 1,021,250
Long Island Lighting Co.
Notes
8.50%................... 05/15/06 5,000 5,212,500
9.75%................... 05/01/21 1,000 1,013,440
9.625%.................. 07/01/24 5,000 5,162,500
Texas Utilities Co. First
Mtge. [VR]
6.25781%................ 05/01/99 1,500 1,502,158
------------
13,911,848
------------
TOTAL CORPORATE OBLIGATIONS
(COST $27,255,200).................... 27,148,184
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 58.0%
FEDERAL HOME LOAN MORTGAGE CORP. -- 7.5%
5.51%................... 07/03/97 3,300 3,298,992
5.95%................... 06/19/98 10,000 9,995,000
8.75%................... 10/01/01 2,180 2,229,474
5.00%................... 02/15/11 4,109 4,094,607
------------
19,618,073
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 32.7%
4.90%................... 12/25/12 4,636 4,608,376
6.206% [VR]............. 03/01/17 2,410 2,388,870
7.50%................... 01/25/22 4,000 4,048,560
7.50%................... 10/01/22 24,480 24,548,758
8.00%................... 11/25/23 4,553 4,659,097
7.50%................... 05/01/24 42,898 43,045,324
7.445% [VR]............. 01/01/25 584 597,464
6.813% [VR]............. 05/01/25 1,539 1,560,936
------------
85,457,385
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 14.0%
7.125% [VR]............. 07/20/17 312 320,522
7.125% [VR]............. 08/20/17 402 413,033
7.125% [VR]............. 09/20/17 342 351,665
7.00%................... 01/15/24 39 37,862
7.00%................... 02/15/24 55 53,802
7.00%................... 04/15/24 338 331,774
7.125% [VR]............. 05/20/24 3,364 3,454,714
7.00%................... 06/15/24 54 52,872
7.125% [VR]............. 07/20/24 410 421,314
7.00%................... 07/15/25 419 411,493
7.00%................... 08/15/25 467 458,528
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
7.00%................... 08/15/25 $ 427 $ 419,654
7.00%................... 08/15/25 490 481,701
7.00%................... 08/15/25 466 458,122
6.50% [TBA]............. 09/18/26 2,000 1,906,880
6.00%................... 11/20/26 26,506 26,853,853
------------
36,427,789
------------
STUDENT LOAN MARKETING ASSOCIATION -- 3.8%
6.00%................... 06/30/98 10,000 10,007,599
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $152,394,208)................... 151,510,846
------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 4.4%
Merrill Lynch Mtge.
Investors, Inc. Cl-B
[VR]
7.354%.................. 06/15/21 1,249 1,260,165
Resolution Trust Corp.
[VR]
7.56251%................ 07/25/28 10,000 10,126,995
------------
(COST $11,422,432)................ 11,387,160
------------
U.S. TREASURY OBLIGATIONS -- 0.0%
U.S. Treasury Bills
5.08% #................. 07/03/97 10 9,997
5.12% #................. 08/07/97 20 19,899
------------
(COST $29,896).................... 29,896
------------
SOVEREIGN ISSUES -- 2.6%
ARGENTINA
Republic of Argentina
Bote 10 [FRN]
5.625%.................. 04/01/00 2,187 2,133,511
Republic of Argentina
[FRB,BRB]
6.75%................... 03/31/05 4,850 4,559,000
------------
(COST $5,961,380)................. 6,692,511
------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
-------
<S> <C> <C> <C>
FOREIGN BONDS -- 2.6%
NEW ZEALAND
New Zealand Government
10.00%
(COST $6,959,200)....... 03/15/02 8,900 6,812,569
------------
<CAPTION>
PAR
(000)
-------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 21.6%
American Express Credit
Corp.
5.55%................... 07/23/97 $ 3,600 3,587,790
Central Illinois Public
Service Co.
6.25%................... 07/01/97 8,000 8,000,000
</TABLE>
74
<PAGE> 76
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
Ford Motor Credit Co.
5.62%................... 07/07/97 $ 1,000 $ 999,063
General Electric Capital
Corp.
5.57%................... 07/01/97 12,000 12,000,000
General Motors Acceptance
Corp.
5.61%................... 07/01/97 3,400 3,400,000
KFW International
Financial Corp.
5.52%................... 07/01/97 8,400 8,400,000
5.52%................... 07/03/97 1,800 1,799,448
Kingdom of Sweden
5.56%................... 07/11/97 2,800 2,795,590
National Rural Utility Co.
5.56%................... 08/04/97 1,800 1,790,356
5.55%................... 09/04/97 9,800 9,700,285
New Center Asset Trust Co.
5.58%................... 08/06/97 1,200 1,193,192
5.56%................... 09/10/97 700 692,188
Shell Oil Co.
5.49%................... 07/07/97 600 599,452
Western Australian
Treasury
5.55%................... 09/22/97 1,600 1,579,280
------------
TOTAL COMMERCIAL PAPER
(COST $56,538,927).................... 56,536,644
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.2%
Temporary Investment Cash Fund..... 285,549 284,549
Temporary Investment Fund.......... 285,549 284,549
------------
(COST $569,098).................... 569,098
------------
TOTAL INVESTMENTS -- 99.8%
(COST $261,130,341).................. 260,686,908
OTHER ASSETS LESS
LIABILITIES -- 0.2%.................. 506,682
------------
NET ASSETS -- 100.0%................... $261,193,590
------------
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell NZD $6,882,752 1.4535 09/97 $ 100,379
=========
</TABLE>
# Securities with an aggregate market value of $29,896 have been segregated with
the custodian to cover margin requirements for the following open futures
contracts at June 30, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury 10 Year
Note 09/97 $2,000 $ 23,750
=============
</TABLE>
Interest rate swap agreement outstanding at June 30, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
Receive variable rate
payments on the three-
month LIBOR-BBA
floating rate and pay
fixed rate payments on
the then current U.S.
Treasury 10 Year Note
with a spread of:
36.50 09/97 $7,000 $6,300
=============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
75
<PAGE> 77
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 98.7%
AEROSPACE -- 1.3%
BE Aerospace, Inc.*................ 56,100 $ 1,774,162
------------
AIRLINES -- 1.6%
Delta Air Lines, Inc. ............. 16,000 1,312,000
UAL Corp.*......................... 13,500 966,094
------------
2,278,094
------------
COMPUTER HARDWARE -- 9.4%
3Com Corp.*........................ 96,600 4,347,000
Compaq Computer Corp.*............. 45,728 4,538,504
Dell Computer Corp.*............... 36,500 4,286,469
------------
13,171,973
------------
COMPUTER SERVICES & SOFTWARE -- 19.6%
BMC Software, Inc.*................ 58,100 3,217,287
Cisco Systems, Inc.*............... 39,200 2,631,300
Computer Sciences Corp.*........... 24,500 1,767,062
Compuware Corp.*................... 54,000 2,578,500
Electronic Arts, Inc.*............. 70,200 2,360,475
HBO & Co. ......................... 55,700 3,836,337
Microsoft Corp.*................... 12,800 1,617,600
Oracle Corp.*...................... 77,000 3,878,875
Parametric Technology Corp.*....... 71,200 3,030,450
Synopsys, Inc.*.................... 69,100 2,539,425
------------
27,457,311
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 11.5%
Altera Corp.*...................... 59,200 2,989,600
Applied Materials, Inc.*........... 72,100 5,105,581
Inacom Corp.*...................... 59,200 1,842,600
LSI Logic Corp.*................... 39,300 1,257,600
Teradyne, Inc.*.................... 60,000 2,355,000
Texas Instruments, Inc............. 31,000 2,605,938
------------
16,156,319
------------
FINANCIAL-BANK & TRUST -- 7.1%
BankBoston Corp. .................. 20,000 1,441,250
Chase Manhattan Corp. ............. 19,800 1,921,838
First Chicago NBD Corp. ........... 28,000 1,694,000
MBNA Corp. ........................ 69,600 2,549,100
NationsBank Corp. ................. 36,000 2,322,000
------------
9,928,188
------------
FINANCIAL SERVICES -- 7.8%
Charles Schwab Corp. .............. 20,930 851,589
Franklin Resources, Inc. .......... 26,700 1,937,419
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Household International, Inc. ..... 24,300 $ 2,853,731
Merrill Lynch & Co., Inc. ......... 62,576 3,731,094
State Street Boston Corp. ......... 34,000 1,572,500
------------
10,946,333
------------
HEALTHCARE SERVICES -- 7.0%
Columbia-HCA Healthcare Corp. ..... 54,800 2,154,325
Oxford Health Plans, Inc.*......... 49,000 3,515,750
United Healthcare Corp. ........... 79,300 4,123,600
------------
9,793,675
------------
HOTELS & MOTELS -- 1.0%
Prime Hospitality Corp.*........... 73,000 1,441,750
------------
INSURANCE -- 1.1%
Aetna, Inc. ....................... 15,700 1,607,288
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.9%
McKesson Corp. .................... 16,000 1,240,000
------------
PHARMACEUTICALS -- 8.9%
Cardinal Health, Inc. ............. 18,000 1,030,500
Lilly, (Eli) & Co. ................ 30,700 3,355,894
Merck & Co., Inc. ................. 45,800 4,740,300
Pfizer, Inc. ...................... 28,400 3,393,800
------------
12,520,494
------------
RETAIL & MERCHANDISING -- 5.6%
CompUSA, Inc.*..................... 132,152 2,841,268
Ross Stores, Inc................... 63,400 2,072,388
Walgreen Co. ...................... 25,000 1,340,625
Williams-Sonoma, Inc.*............. 37,500 1,603,125
------------
7,857,406
------------
SEMI-CONDUCTORS -- 12.4%
Adaptec, Inc.*..................... 39,000 1,355,250
Intel Corp. ....................... 25,797 3,658,337
Micron Technology, Inc. ........... 91,990 3,673,851
Motorola, Inc. .................... 54,700 4,157,200
National Semiconductor Corp.*...... 25,000 765,625
Xilinx, Inc.*...................... 77,700 3,812,156
------------
17,422,419
------------
TELECOMMUNICATIONS -- 3.2%
Ericsson, (L.M.) Telephone Co.
[ADR]............................ 25,000 984,375
Northern Telecom Ltd............... 39,400 3,585,400
------------
4,569,775
------------
UTILITIES -- 0.3%
Worldcom, Inc.*.................... 15,000 480,000
------------
TOTAL COMMON STOCK (COST
$122,526,461)........................ 138,645,187
------------
</TABLE>
76
<PAGE> 78
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.3%
Temporary Investment Cash Fund..... 909,906 $ 909,906
Temporary Investment Fund.......... 909,906 909,906
------------
(COST $1,819,812).................. 1,819,812
------------
TOTAL INVESTMENTS -- 100.0% (COST
$124,346,273)........................ 140,464,999
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (0.0%)............... (46,485)
------------
NET ASSETS -- 100.0%................... $140,418,514
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
77
<PAGE> 79
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FOREIGN STOCK -- 80.1%
ARGENTINA -- 2.4%
Banco Frances del Rio de la
Plata SA [ADR]............... 2,450 $ 79,625
Nortel Inversora [ADR]......... 77,225 2,094,728
Telecom Argentina Stet SA Cl-B
[ADR]........................ 5,775 303,188
Telefonica de Argentina SA Cl-B
[ADR]*....................... 6,400 221,600
YPF SA [ADR]................... 10,675 328,256
------------
3,027,397
------------
AUSTRALIA -- 0.4%
Colonial Ltd. 144A*............ 3,473 8,876
CI Technologies Group Ltd.
144A*........................ 441,535 500,758
------------
509,634
------------
AUSTRIA -- 0.2%
Wolford AG..................... 2,742 265,975
------------
BRAZIL -- 1.5%
Companhia Energetica de Minas
Geras [ADR].................. 5,650 284,455
Ericsson Telecomunicacoes SA... 10,000 601,351
Telebras SA [ADR].............. 3,275 496,981
Unibanco Holdings SA Sponsored
[GDR]*....................... 12,775 474,272
------------
1,857,059
------------
CHILE -- 0.4%
Quinenco SA [ADR]*............. 24,150 446,775
------------
DENMARK -- 1.2%
Amtssparekassen Fyn............ 1,880 121,204
BG Bank AS..................... 2,064 114,102
FIH Cl-B....................... 358 9,114
Jyske Bank..................... 1,297 111,751
SAS Danmark AS................. 14,779 172,530
Sophus Berendsen AS............ 5,520 798,229
Spar Nord Holding.............. 119 5,557
Sydbank SA..................... 3,002 137,016
Unidanmark AS Cl-A............. 1,269 71,300
------------
1,540,803
------------
FINLAND -- 2.4%
Amer Group Ltd.*............... 17,377 313,332
Hartwall Oy AB................. 5,421 314,153
Metra Oy Cl-B.................. 3,682 111,126
Nokia AB Cl-A.................. 12,931 967,319
Nokia Corp. Cl-A [ADR]*........ 3,875 285,781
Orion-Yhtyma Oy Cl-B........... 15,096 572,934
Pohjola Insurance Co. ......... 1,697 50,399
Raision Tehtaat Oy............. 4,887 336,456
Sampo Insurance Co. Ltd. ...... 583 56,778
------------
3,008,278
------------
FRANCE -- 7.4%
Alcatel Alsthom................ 2,414 302,305
Axime*......................... 4,156 491,462
Banque Nationale de Paris...... 15,850 653,180
Cap Gemini SA.................. 20,297 1,070,590
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Carrefour Supermarche SA....... 464 $ 336,955
Compagnie Bancaire SA.......... 281 35,859
Compagnie de Suez.............. 7,760 18,617
Dexia France................... 10,155 988,338
Dassault Systemes SA [ADR]*.... 875 62,344
Grand Optical-Photoservice..... 3,123 473,987
Lagardere S.C.A. .............. 8,893 258,292
Le Carbone Lorraine 144A....... 333 81,023
Michelin C.G.D.E. Cl-B......... 14,532 872,583
Rhone-Poulenc.................. 48,782 1,992,051
Sligos SA*..................... 481 66,292
Societe Generale............... 452 50,451
Societe Nationale Elf Aquitaine
SA........................... 14,286 1,541,095
------------
9,295,424
------------
GERMANY -- 8.7%
Adidas AG...................... 4,214 471,148
Altana AG...................... 666 714,076
BASF AG*....................... 26,292 970,065
Bayerische Motoren Werke AG.... 315 259,716
Deutsche Bank AG............... 33,680 1,977,428
Deutsche Lufthansa AG.......... 33,533 645,050
Deutsche Pfandbrief &
Hypothekenbank AG............ 20,389 1,171,950
Fresenius AG Pfd. ............. 1,982 450,015
Fresenius Medical Care AG
[ADR]*....................... 24,725 720,116
Pfeiffer Vacuum Technology AG
[ADR]*....................... 6,675 194,409
Siemens AG..................... 2,485 148,821
Tarkett AG..................... 12,072 311,819
Veba AG........................ 9,773 551,941
Volkswagen AG.................. 3,116 2,361,878
------------
10,948,432
------------
GREECE -- 0.1%
Hellenic Telecommunication
Organization Co. SA 144A..... 6,846 154,679
Hellenic Telecommunication
Organization Co. SA Rights
144A*........................ 6,846 0
------------
154,679
------------
HONG KONG -- 1.7%
First Pacific Co. Ltd. ........ 658,000 840,889
Hutchison Whampoa Ltd. ........ 41,000 354,598
Jiangsu Expressway Co. Ltd.
144A*........................ 1,550,000 550,227
Pacific Ports Co. 144A*........ 1,552,000 310,528
Shenzhen Expressway Co.
144A*........................ 114,000 31,271
------------
2,087,513
------------
HUNGARY -- 1.0%
Gedeon Richter [ADR] 144A*..... 11,000 1,006,500
Mol Magyar Olaj Es Gazipari
[GDR] 144A................... 11,059 240,533
------------
1,247,033
------------
</TABLE>
78
<PAGE> 80
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
INDONESIA -- 0.8%
Putra Surya Multidana*......... 607,000 $ 967,953
------------
IRELAND -- 1.6%
Elan Corp. PLC [ADR]*.......... 4,575 207,019
Ryanair Holdings PLC SP
[ADR]*....................... 63,275 1,716,334
------------
1,923,353
------------
ISRAEL -- 0.1%
Teva Pharmaceutical Industries
Ltd. [ADR]................... 2,375 153,781
------------
ITALY -- 2.0%
Credito Italiano SPA........... 319,312 584,153
Gewiss SPA..................... 46,128 793,673
Pirelli SPA.................... 171,106 423,739
Stet Societa Finanziaria
Telefonica SPA*.............. 103,609 603,370
Telecom Italia Mobile SPA...... 3,477 11,249
Telecom Italia SPA............. 9,870 31,671
------------
2,447,855
------------
JAPAN -- 9.0%
Canon, Inc. ................... 20,000 544,503
Denso Corp. ................... 26,000 621,640
Eisai Co. Ltd. ................ 5,000 94,677
Fujitsu Ltd. .................. 29,000 402,356
Hitachi Ltd. .................. 86,000 960,558
Isetan Co. .................... 2,000 24,782
Mitsubishi Corp. .............. 6,000 74,869
Mitsubishi Estate Co. Ltd. .... 47,000 680,803
Mitsubishi Motors Corp. ....... 46,000 329,145
Mitsubishi Trust & Banking
Corp. ....................... 10,000 157,941
Mitsui & Co. Ltd. ............. 18,000 172,775
Mitsui Fudosan Co. Ltd. ....... 25,000 344,677
Mitsui Trust and Banking Co.
Ltd. ........................ 30,000 226,440
Nippon Telegraph & Telephone
Corp. ....................... 1,590 1,526,178
Nomura Securities Co. Ltd. .... 36,000 496,335
NTT Data Communications Systems
Co. ......................... 270 1,043,717
Ryohin Keikaku Co. Ltd. ....... 2,000 157,766
Shiseido Co. Ltd. ............. 22,000 362,827
Sony Corp. .................... 8,000 697,382
Sumitomo Trust & Banking....... 31,000 332,723
Takeda Chemical Industries..... 30,000 842,932
Tokio Marine & Fire Insurance
Co. ......................... 30,000 392,670
Torii Pharmaceutical Co.
Ltd. ........................ 34,000 798,080
Yamaha Motor Co. Ltd. ......... 1,000 9,948
------------
11,295,724
------------
MEXICO -- 0.9%
Fomento Economico Mexicano SA
Cl-B......................... 58,200 346,490
Grupo Casa Autrey SA de C.V.
[ADR]........................ 14,075 285,898
Grupo Televisia SA [GDR]*...... 17,250 523,969
------------
1,156,357
------------
SHARES VALUE
--------- ------------
NETHERLANDS -- 8.9%
Ahrend Groep NV................ 14,982 $ 1,011,111
Akzo Nobel NV.................. 5,284 723,983
Brunel International NV
144A*........................ 52,493 1,165,739
Getronics NV................... 9,188 296,704
Gucci Group NV................. 4,950 318,656
ING Groep NV................... 20,866 961,836
Koninklijke Nedlloyd Groep
NV........................... 5,194 150,002
Nutricia Verenigde Bedrijven
NV........................... 1,719 271,426
Philips Electronics NV......... 43,383 3,106,835
Philips Electronics NV [ADR]... 34,659 2,491,116
Polygram NV.................... 784 41,131
Simac Techniek NV.............. 55 4,706
Vedior NV 144A*................ 7,366 194,721
Wolters Kluwer NV.............. 3,560 433,372
------------
11,171,338
------------
NORWAY -- 0.9%
Ekornes ASA.................... 24,877 210,494
Merkantildata ASA.............. 13,549 268,118
SAS Norge ASA Cl-B............. 31,120 327,025
Tomra Systems ASA.............. 17,824 364,877
------------
1,170,514
------------
PERU -- 0.5%
Millicom International Cellular
SA*.......................... 3,600 171,900
Telefonica del Peru SA Cl-B
[ADR]........................ 17,000 445,188
------------
617,088
------------
PHILIPPINES -- 0.1%
Equitable Banking Corp. ....... 27,810 100,677
Manila Electric Co. ........... 4,690 23,112
------------
123,789
------------
PORTUGAL -- 0.2%
Electricidade de Portugal SA... 11,183 205,210
Portugal Telecommunications SA
[ADR]........................ 1,900 76,238
------------
281,448
------------
RUSSIA -- 0.4%
Lukoil Oil Co. [ADR]........... 5,050 398,526
Mosenergo [ADR] 144A........... 1,650 69,300
------------
467,826
------------
SOUTH KOREA -- 0.0%
SK Telecom Co. Ltd. [ADR]...... 3,450 34,716
------------
SPAIN -- 0.9%
Adolfo Dominguez SA*........... 7,883 310,312
Azkoyen SA..................... 246 30,554
Azkoyen RFD.................... 61 7,576
Corp. Financiera Reunida SA*... 15,082 63,464
Cortefiel SA................... 376 16,409
Cubiertas y Mzov SA............ 1,135 127,874
Sol Melia SA................... 1,601 65,739
Tele Pizza SA*................. 9,277 541,484
------------
1,163,412
------------
</TABLE>
79
<PAGE> 81
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
SWEDEN -- 7.1%
Assa Abloy AB Cl-B............. 37,714 $ 771,387
Astra AB Cl-A.................. 27,211 507,253
Autoliv AB..................... 5,214 200,803
Castellum AB 144A*............. 23,800 178,697
Electrolux AB Cl-B............. 19,011 1,373,257
Enator AB*..................... 14,500 259,036
Ericsson, (L.M.) Telephone Co.
[ADR]........................ 6,950 273,656
Ericsson, (L.M.) Telephone Co.
Cl-B......................... 11,798 465,059
Hemkopskedjan AB 144A*......... 132,599 1,364,646
Incentive AB................... 38 3,478
Medical Invest Svenska AB*..... 10,572 432,471
NK Cityfastigheter AB 144A*.... 62,675 446,241
Pricer AB*..................... 20,176 694,751
Prosolvia AB Cl-B 144A*........ 9,200 141,725
Sardus AB 144A*................ 40,741 350,724
SAS Sverige AB................. 30,666 373,162
Securitas AB................... 27,850 785,949
Tornet Fastighets AB........... 26,729 314,874
------------
8,937,169
------------
SWITZERLAND -- 7.0%
Ares-Serono Group.............. 726 1,051,417
Baloise Holding Ltd.*.......... 72 171,569
Clariant AG.................... 393 254,304
Credit Suisse Group............ 3,682 472,730
Hero AG 144A................... 1,491 832,077
Kuoni Reisen AG................ 387 1,324,979
Novartis AG.................... 598 955,719
Roche Holding AG............... 137 1,238,760
Selectra Group 144A*........... 1,305 198,377
Sulzer AG...................... 615 526,397
Sulzer Rights*................. 615 0
Sairgroup...................... 24 26,886
TAG Heuer International SA..... 339 50,836
Union Bank of Switzerland
Cl-B......................... 537 614,072
Zurich
Versicherungsgesellschaft.... 2,660 1,058,244
------------
8,776,367
------------
UNITED KINGDOM -- 12.3%
Barclays PLC................... 23,891 474,247
Biocompatibles International
PLC*......................... 3,423 74,190
BOC Group PLC.................. 35,145 611,609
BTG PLC........................ 54,227 569,822
Capita Group PLC............... 254,217 996,988
Compass Group PLC.............. 27,895 313,098
Compass Group PLC 144A......... 9,626 108,044
Doncasters PLC [ADR]........... 4,500 104,063
Electrocomponents PLC.......... 32,567 243,240
Freepages Group PLC*........... 405,267 246,336
Glaxo Wellcome PLC............. 27,505 567,973
SHARES VALUE
--------- ------------
Harvey Nichols PLC 144A........ 7,067 $ 33,188
Hays PLC....................... 67,126 638,295
J.D. Wetherspoon PLC........... 498 11,300
JBA Holdings PLC............... 39,281 572,380
Johnson Matthey PLC............ 5,774 55,674
Lloyds TSB Group PLC........... 133,233 1,366,743
Logica PLC..................... 72,664 837,979
London Clubs International
PLC.......................... 51,915 327,662
Misys PLC...................... 12,897 292,630
Powerscreen International
PLC.......................... 53,882 587,283
Provident Financial PLC........ 29,747 275,926
Rentokil Initial PLC........... 566,971 1,992,221
Siebe PLC...................... 167,812 2,842,092
Smithkline Beecham PLC [ADR]... 500 45,813
Stagecoach Holdings PLC........ 35,434 374,114
TI Group PLC................... 50,405 439,425
Victrex PLC.................... 124,529 354,618
------------
15,356,953
------------
TOTAL FOREIGN STOCK
(COST $93,077,240)............... 100,434,645
------------
COMMON STOCK -- 3.0%
BROADCASTING -- 0.1%
Canwest Global Communications
Corp. ....................... 2,950 43,697
Central European Media
Enterprises Ltd.*............ 1,200 31,200
------------
74,897
------------
CAPITAL GOODS -- 0.6%
Amway Asia Pacific Ltd. ....... 16,350 713,269
------------
CHEMICALS -- 0.1%
Dupont, (E.I.) de Nemours &
Co. ......................... 400 25,150
Monsanto Co. .................. 3,250 139,953
------------
165,103
------------
CONSUMER PRODUCTS &
SERVICES -- 0.9%
Movado Group, Inc. ............ 44,225 1,127,738
------------
EQUIPMENT SERVICES -- 0.2%
Rofin-Sinar Technologies,
Inc.*........................ 12,925 247,191
------------
FINANCIAL SERVICES -- 0.2%
Romanian Investment Fund
144A**....................... 185 195,175
------------
HEALTHCARE SERVICES -- 0.1%
United Healthcare Corp. ....... 1,725 89,700
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 0.0%
Boston Scientific Corp. ....... 400 24,575
------------
PERSONAL SERVICES -- 0.0%
Nu Skin Asia Pacific, Inc.*.... 650 17,225
------------
PHARMACEUTICALS -- 0.7%
Bristol-Meyers Squibb Co. ..... 2,600 210,600
Rhone-Poulenc Rorer, Inc. ..... 7,325 665,654
------------
876,254
------------
</TABLE>
80
<PAGE> 82
AST JANUS OVERSEAS GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
TELECOMMUNICATIONS -- 0.1%
MAS Technology Ltd. [ADR]*..... 12,625 $ 187,797
------------
TOTAL COMMON STOCK
(COST $3,386,366)................ 3,718,924
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- -------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 14.3%
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 1.6%
5.50%................... 07/02/97 $ 2,000 1,999,694
----------
FEDERAL HOME LOAN MORTGAGE
CORP. -- 12.7%
5.75%................... 07/01/97 3,000 3,000,000
5.36%................... 07/07/97 13,000 12,988,387
----------
15,988,387
----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $17,988,081).................. 17,988,081
----------
COMMERCIAL PAPER -- 6.6%
General Electric Capital
Corp.
5.50%................. 07/03/97 5,000 4,998,472
Prudential Funding Corp.
6.00%................. 07/01/97 3,300 3,300,000
----------
(COST $8,298,472)............... 8,298,472
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
------------
<S> <C> <C> <C>
FOREIGN BONDS -- 0.6%
JAPAN
STB Cayman Capital Ltd.
144A
0.50%................ 10/01/07 75,000 736,256
------------
(COST $650,420)
TOTAL INVESTMENTS -- 104.6%
(COST $123,400,579)............... 131,176,378
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (4.6%)............ (5,819,848)
------------
NET ASSETS -- 100.0%................ $125,356,530
============
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy AUD $ 497,290 1.3318 07/97 $ 3,484
Buy DEM 293,829 1.7340 07/97 (1,669)
Buy DKK 66,120 6.5715 07/97 (669)
Buy ESP 29,167 145.8047 07/97 (304)
Buy FRF 1,916,637 5.8244 07/97 (13,046)
Buy GBP 1,494,790 0.6007 07/97 550
Buy HKD 151,821 7.7482 07/97 21
Buy ITL 223,991 1,684.7615 07/97 (2,018)
Buy JPY 354,249 112.9149 11/97 1,437
Buy MXP 22,369 7.9360 07/97 (25)
Buy NLG 14,510 1.9418 07/97 (159)
Buy NOK 256,283 7.2659 07/97 (2,151)
Buy SEK 108,763 7.6844 07/97 (570)
--------
$(15,119)
========
Sell CHF $ 282,067 1.3949 07/97 $ 12,096
Sell CHF 636,406 1.4142 08/97 16,928
Sell CHF 380,518 1.4454 09/97 584
Sell CHF 1,102,860 1.3601 11/97 57,345
Sell DEM 262,726 1.6177 07/97 21,636
Sell DEM 191,637 1.6568 08/97 8,985
Sell DEM 2,112,634 1.6567 11/97 83,683
Sell FRF 317,224 5.5166 08/97 18,695
Sell FRF 1,517,775 5.6003 11/97 57,022
Sell GBP 382,593 0.6142 07/97 (8,465)
Sell GBP 976,140 0.6147 08/97 (21,698)
Sell ITL 3,857 1,689.1092 07/97 25
Sell JPY 175,085 114.2302 07/97 (40)
Sell JPY 769,809 120.8092 08/97 (47,203)
Sell JPY 1,792,716 112.6782 11/97 (5,520)
Sell NLG 458,936 1.7976 07/97 38,026
Sell NLG 617,056 1.8637 08/97 29,418
Sell NLG 805,283 1.8627 11/97 33,070
--------
$294,587
========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
** Closed-end funds.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 7.1% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
81
<PAGE> 83
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCK -- 97.1%
AEROSPACE -- 3.4%
General Motors Corp. Cl-H......... 8,570 $ 494,917
Northrop Grumman Corp. ........... 6,460 567,269
Rockwell International Corp. ..... 7,443 439,137
United Technologies Corp. ........ 4,686 388,938
------------
1,890,261
------------
AIRLINES -- 0.8%
Delta Air Lines, Inc. ............ 5,508 451,656
------------
AUTOMOBILE MANUFACTURERS -- 2.1%
Ford Motor Co. ................... 13,988 528,047
General Motors Corp. ............. 11,787 656,389
------------
1,184,436
------------
AUTOMOTIVE PARTS -- 4.4%
Dana Corp......................... 12,011 456,418
Eaton Corp........................ 4,843 422,854
Goodyear Tire & Rubber Co. ....... 7,790 493,204
Lear Corp.*....................... 8,414 373,371
TRW, Inc. ........................ 13,318 756,629
------------
2,502,476
------------
BEVERAGES -- 0.7%
Anheuser-Busch Companies, Inc. ... 8,907 373,537
------------
BUILDING MATERIALS -- 3.1%
Armstrong World Industries,
Inc. ........................... 7,248 531,822
Lowe's Companies, Inc. ........... 15,224 565,191
Masco Corp. ...................... 15,279 637,898
------------
1,734,911
------------
CHEMICALS -- 4.0%
Dupont, (E.I.) de Nemours &
Co. ............................ 9,843 618,879
Eastman Chemical Co. ............. 8,888 564,388
Hercules, Inc. ................... 7,917 379,026
Witco Corp. ...................... 18,323 695,129
------------
2,257,422
------------
COMPUTER HARDWARE -- 3.9%
Hewlett-Packard Co. .............. 11,826 662,256
Intel Corp. ...................... 2,529 358,091
International Business Machines
Corp. .......................... 13,345 1,203,552
------------
2,223,899
------------
COMPUTER SERVICES & SOFTWARE -- 1.8%
Computer Associates International,
Inc. ........................... 10,472 583,159
NCR Corp.*........................ 14,570 433,457
------------
1,016,616
------------
CONGLOMERATES -- 4.1%
Minnesota Mining & Manufacturing
Co. ............................ 11,023 1,124,346
Philip Morris Companies, Inc. .... 16,364 726,152
Tenneco, Inc. .................... 9,913 447,944
------------
2,298,442
------------
CONSUMER PRODUCTS & SERVICES -- 5.6%
Colgate-Palmolive Co. ............ 8,495 554,299
Eastman Kodak Co. ................ 8,370 642,397
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
Fortune Brands, Inc. ............. 12,453 $ 464,653
Tupperware Corp. ................. 16,633 607,104
Whirlpool Corp. .................. 8,450 461,053
Whitman Corp. .................... 17,500 420,000
------------
3,149,506
------------
CONTAINERS & PACKAGING -- 2.7%
Crown Cork & Seal Co., Inc. ...... 9,360 500,175
Gallaher Group PLC [ADR]*......... 11,018 203,144
Owens-Illinois, Inc.*............. 18,825 583,575
Temple-Inland, Inc................ 4,758 256,932
------------
1,543,826
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 3.2%
General Signal Corp. ............. 8,401 366,494
Polaroid Corp. ................... 18,429 1,022,809
Texas Instruments, Inc. .......... 4,859 408,460
------------
1,797,763
------------
ENVIRONMENTAL SERVICES -- 0.4%
Waste Management, Inc. ........... 6,819 219,060
------------
FINANCIAL-BANK & TRUST -- 11.1%
Banc One Corp. ................... 13,716 664,369
Bankers Trust New York Corp. ..... 6,190 538,530
First Tennessee National Corp. ... 2,851 136,848
Fleet Financial Group, Inc. ...... 12,195 771,334
Huntington Bancshares, Inc. ...... 4,697 137,974
Keycorp........................... 8,870 495,611
Mellon Bank Corp. ................ 6,937 313,032
Mercantile Bancorporation,
Inc. ........................... 3,818 231,943
Morgan, (J.P.) & Co., Inc. ....... 9,743 1,016,926
Old Kent Financial Corp. ......... 2,778 149,988
PNC Bank Corp. ................... 24,280 1,010,655
Regions Financial Corp. .......... 6,286 198,795
Summit Bancorp.................... 5,617 281,552
Union Planters Corp. ............. 5,571 288,996
------------
6,236,553
------------
FINANCIAL SERVICES -- 1.6%
Ahmanson, (H.F.) & Co. ........... 4,383 188,469
Beneficial Corp. ................. 4,379 311,183
Salomon, Inc. .................... 7,227 402,002
------------
901,654
------------
FOOD -- 2.7%
General Mills, Inc. .............. 8,186 533,113
RJR Nabisco Holdings Corp. ....... 14,030 462,990
Sara Lee Corp. ................... 12,693 528,346
------------
1,524,449
------------
INSURANCE -- 3.2%
American General Corp. ........... 12,660 604,515
AON Corp. ........................ 13,204 683,307
CIGNA Corp. ...................... 1,252 222,230
USF&G Corp. ...................... 11,859 284,616
------------
1,794,668
------------
</TABLE>
82
<PAGE> 84
AST PUTNAM VALUE GROWTH & INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----------
<S> <C> <C>
MACHINERY & EQUIPMENT -- 2.1%
Cooper Industries, Inc. .......... 10,890 $ 541,777
New Holland NV.................... 22,748 622,726
------------
1,164,503
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.6%
Baxter International, Inc. ....... 17,792 929,632
------------
METALS & MINING -- 1.0%
Freeport-McMoran Copper & Gold,
Inc. Cl-A....................... 19,063 557,593
------------
OFFICE EQUIPMENT -- 2.1%
Xerox Corp. ...................... 14,977 1,181,311
------------
OIL & GAS -- 9.7%
Amoco Corp. ...................... 7,963 692,283
Atlantic Richfield Co. ........... 4,031 284,186
British Petroleum Co. PLC [ADR]... 8,296 621,163
Coastal Corp. .................... 7,641 406,406
Ente Nazionale Idrocarbure SPA
[ADR]........................... 2,000 113,750
Exxon Corp. ...................... 9,441 580,622
Mobil Corp. ...................... 9,124 637,540
Occidental Petroleum Corp. ....... 21,148 530,022
Societe Nationale Elf Aquitaine SA
[ADR]........................... 14,275 777,095
Total SA [ADR].................... 12,569 636,306
YPF SA [ADR]...................... 6,366 195,755
------------
5,475,128
------------
PAPER & FOREST PRODUCTS -- 3.3%
Kimberly-Clark Corp. ............. 20,822 1,035,895
Weyerhaeuser Co. ................. 15,328 797,056
------------
1,832,951
------------
PHARMACEUTICALS -- 3.9%
American Home Products Corp. ..... 8,514 651,321
Bristol-Meyers Squibb Co. ........ 7,607 616,167
Pharmacia & Upjohn, Inc. ......... 27,162 943,880
------------
2,211,368
------------
PRINTING & PUBLISHING -- 1.1%
McGraw-Hill Co., Inc. ............ 10,235 601,946
------------
RAILROADS -- 2.5%
Canadian National Railway Co. .... 6,708 293,475
Norfolk Southern Corp. ........... 5,544 558,558
Union Pacific Corp. .............. 7,775 548,138
------------
1,400,171
------------
RETAIL & MERCHANDISING -- 2.0%
Kmart Corp.*...................... 50,827 622,631
Sears Roebuck & Co. .............. 9,968 535,780
------------
1,158,411
------------
SHARES VALUE
------ -----------
SEMI-CONDUCTORS -- 1.1%
Motorola, Inc. ................... 7,943 $ 603,668
------------
TELECOMMUNICATIONS -- 6.9%
Ameritech Corp. .................. 8,267 561,639
AT&T Corp. ....................... 9,639 337,967
BellSouth Corp. .................. 14,809 686,767
SBC Communications, Inc. ......... 12,772 790,268
Sprint Corp. ..................... 22,161 1,166,223
U.S. West Communications Group.... 10,111 381,058
------------
3,923,922
------------
TRANSPORTATION -- 0.3%
Ryder Systems, Inc................ 5,606 184,998
------------
UTILITIES -- 0.7%
Duke Power Co..................... 8,666 415,426
------------
TOTAL COMMON STOCK
(COST $52,225,158).................. 54,742,163
------------
PREFERRED STOCK -- 0.8%
MACHINERY & EQUIPMENT
Case Corp. Cl-A $4.50 [CVT]
(COST $425,418)................... 3,084 476,478
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 3.0%
UBS Securities Funding
Inc. 5.90% dated
06/30/97, repurchase
price $1,673,274
(Collateralized by
U.S. Treasury Note,
par value $1,137,000
market value
$1,696,352 due
02/15/15)
(COST $1,673,000).... 07/01/97 $1,673 1,673,000
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund...... 108 108
Temporary Investment Fund........... 108 108
------------
(COST $216)......................... 216
------------
TOTAL INVESTMENTS -- 100.9%
(COST $54,323,792).................... 56,891,857
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.9%)................................ (495,553)
------------
NET ASSETS -- 100.0%.................... $56,396,304
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
83
<PAGE> 85
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ----------
<S> <C> <C> <C>
COMMON STOCK -- 48.6%
ADVERTISING -- 1.4%
Outdoor Systems, Inc.*................ 4,700 $ 179,775
----------
AEROSPACE -- 2.1%
BE Aerospace, Inc.*................... 2,600 82,225
United Technologies Corp. ............ 2,200 182,600
----------
264,825
----------
BROADCASTING -- 1.6%
Clear Channel Communications, Inc.*... 3,300 202,950
----------
CAPITAL GOODS -- 0.6%
American Standard Co, Inc.*........... 1,800 80,550
----------
CLOTHING & APPAREL -- 0.2%
Gucci Group NV........................ 400 25,750
----------
COMPUTER HARDWARE -- 0.8%
Compaq Computer Corp.*................ 600 59,500
Western Digital Corp.*................ 1,400 44,275
----------
103,825
----------
COMPUTER SERVICES & SOFTWARE -- 2.5%
BMC Software, Inc.*................... 1,500 83,062
Compuware Corp.*...................... 3,100 148,025
Oracle Corp.*......................... 500 25,187
Sun Microsystems, Inc.*............... 1,600 59,550
----------
315,824
----------
CONGLOMERATES -- 2.6%
Tyco Labs, Inc. ...................... 4,800 333,900
----------
CONSUMER PRODUCTS & SERVICES -- 5.8%
Avon Products, Inc. .................. 1,700 119,956
Ecolab, Inc. ......................... 1,400 66,850
Gillette Co. ......................... 2,100 198,975
Procter & Gamble Co. ................. 900 127,125
Samsonite Corp.*...................... 3,200 141,200
U.S. Industries, Inc.*................ 2,500 89,062
----------
743,168
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 7.3%
Altera Corp.*......................... 1,400 70,700
Electronics For Imaging, Inc.*........ 2,000 94,500
General Electric Co. ................. 4,100 268,037
Honeywell, Inc. ...................... 1,600 121,400
KLA Instruments Corp.*................ 1,500 73,125
LSI Logic Corp.*...................... 2,700 86,400
Philips Electronics NV [ADR].......... 3,000 215,625
----------
929,787
----------
ENTERTAINMENT & LEISURE -- 0.4%
Callaway Golf Co. .................... 1,500 53,250
----------
ENVIRONMENTAL SERVICES -- 0.6%
USA Waste Services, Inc.*............. 2,100 81,112
----------
FINANCIAL-BANK & TRUST -- 4.0%
BankAmerica Corp. .................... 2,600 167,863
Charter One Financial, Inc. .......... 1,100 59,263
<CAPTION>
SHARES VALUE
------ ----------
<S> <C> <C> <C>
Chase Manhattan Corp. ................ 1,600 $ 155,300
Citicorp.............................. 1,100 132,619
----------
515,045
----------
FINANCIAL SERVICES -- 1.5%
Fannie Mae............................ 1,100 47,988
SunAmerica, Inc....................... 2,900 141,375
----------
189,363
----------
INDUSTRIAL PRODUCTS -- 0.6%
Johnson Controls, Inc................. 500 20,531
Tubos de Acero de Mexico SA [ADR]*.... 3,300 60,844
----------
81,375
----------
INSURANCE -- 0.8%
Conseco, Inc.......................... 2,800 103,600
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.2%
Bio-Technology General Corp.*......... 1,800 24,300
----------
OIL & GAS -- 2.8%
Diamond Offshore Drilling, Inc.*...... 1,100 85,938
Evi, Inc.*............................ 1,400 58,800
Falcon Drilling Co., Inc.*............ 2,800 161,350
Global Marine, Inc.*.................. 2,500 58,125
----------
364,213
----------
PHARMACEUTICALS -- 10.4%
American Home Products Corp. ......... 1,300 99,450
Cardinal Health, Inc. ................ 1,300 74,425
Johnson & Johnson Co. ................ 2,500 160,938
Lilly, (Eli) & Co. ................... 2,100 229,556
Merck & Co., Inc. .................... 2,000 207,000
Pfizer, Inc. ......................... 2,100 250,950
Warner-Lambert Co. ................... 2,500 310,625
----------
1,332,944
----------
SEMI-CONDUCTORS -- 2.0%
Intel Corp. .......................... 1,400 198,538
Motorola, Inc. ....................... 700 53,200
----------
251,738
----------
TELECOMMUNICATIONS -- 0.4%
Westell Technologies, Inc. Cl-A*...... 1,800 45,000
----------
TOTAL COMMON STOCK
(COST $5,519,201)....................... 6,222,294
----------
FOREIGN STOCK -- 1.3%
BEVERAGES -- 0.6%
Panamerican Beverages, Inc. Cl-A --
(MXP)............................... 2,200 71,225
----------
PHARMACEUTICALS -- 0.7%
Novartis AG -- (CHF).................. 58 92,695
----------
TOTAL FOREIGN STOCK
(COST $133,741)......................... 163,920
----------
</TABLE>
84
<PAGE> 86
TWENTIETH CENTURY STRATEGIC BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ----- -----------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 4.7%
AEROSPACE -- 1.6%
Lockheed Martin Corp. Notes
7.25%....................... 05/15/06 $ 200 $ 202,500
----------
FINANCIAL-BANK & TRUST -- 0.8%
First Bank System Sub. Notes
7.625%...................... 05/01/05 100 103,375
----------
FINANCIAL SERVICES -- 0.8%
General Motors Acceptance
Corp. Notes
7.125%...................... 05/01/03 100 101,000
----------
RETAIL & MERCHANDISING -- 1.5%
Sears Roebuck & Co. Notes
6.25%....................... 01/15/04 200 193,250
----------
TOTAL CORPORATE OBLIGATIONS
(COST $596,011).......................... 600,125
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 29.5%
FEDERAL HOME LOAN BANK -- 19.6%
5.30%......................... 07/01/97 2,515 2,515,000
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 5.5%
7.50%......................... 03/01/27 200 201,145
7.50% [TBA]................... 06/25/27 500 501,095
----------
702,240
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 4.4%
8.75%......................... 01/15/27 149 156,346
8.00%......................... 03/15/27 198 203,007
8.75%......................... 04/15/27 200 209,526
----------
568,879
----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $3,780,665)........................ 3,786,119
----------
U.S. TREASURY OBLIGATIONS -- 14.4%
U.S. Treasury Notes
6.25%......................... 01/10/00 1,100 1,092,201
6.25%......................... 01/31/02 650 646,646
6.625%........................ 05/15/07 100 100,817
----------
(COST $1,828,766)...................... 1,839,664
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- -------- ----------
<S> <C> <C> <C>
FOREIGN BONDS -- 3.4%
AUSTRALIA -- 1.3%
Queensland Treasury Corp.
8.00%..................... 08/14/01 200 $ 160,260
-----------
CANADA -- 0.6%
Canadian Government
6.50%..................... 06/01/04 100 74,252
-----------
GERMANY -- 1.5%
German Government Unity Fund
8.00%..................... 01/21/02 300 196,072
-----------
TOTAL FOREIGN BONDS
(COST $433,303)........................ 430,584
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund...... 2,332 2,332
Temporary Investment Fund........... 2,332 2,332
-----------
(COST $4,664)....................... 4,664
-----------
TOTAL INVESTMENTS -- 101.9%
(COST $12,296,351).................... 13,047,370
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (1.9%)................ (242,940)
-----------
NET ASSETS -- 100.0%.................... $12,804,430
-----------
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
85
<PAGE> 87
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
FOREIGN STOCK -- 95.0%
ARGENTINA -- 0.5%
Telecom Argentina Stet SA C1-B
[ADR].......................... 1,600 $ 84,000
------------
AUSTRALIA -- 1.2%
Woodside Petroleum Ltd. ......... 20,400 175,835
Macquarie Bank Ltd. ............. 6,400 55,261
------------
231,096
------------
AUSTRIA -- 0.9%
VA Technologie AG................ 900 164,642
------------
BRAZIL -- 4.9%
Banco Bradesco SA PN............. 6,156,000 61,509
Light-Servicos de Eletricidade
SA............................. 280,000 134,703
Petroleo Brasileiro SA PN........ 445,900 121,695
Telebras SA [ADR]................ 3,900 591,825
------------
909,732
------------
CANADA -- 6.7%
Bank of Nova Scotia.............. 6,600 289,159
Bombardier, Inc. ................ 8,400 190,398
Canadian Hotel Income Properties
[REIT]*........................ 26,900 136,360
Northern Telecom Ltd. ........... 1,200 108,147
QLT Phototherapeutics, Inc.*..... 9,700 204,410
Rigel Energy Corp.*.............. 3,500 37,195
Rogers Communications, Inc.
Cl-B*.......................... 13,800 86,444
St. Laurent Paperboard, Inc.
144A*.......................... 3,574 55,969
Talisman Energy, Inc.*........... 4,600 141,408
------------
1,249,490
------------
FINLAND -- 2.1%
Nokia Corp. Cl-A [ADR]........... 3,300 243,375
Raision Tehtaat Oy............... 200 13,769
Sampo Insurance Co. Ltd. ........ 1,400 136,344
------------
393,488
------------
FRANCE -- 5.6%
Alcatel Alsthom.................. 1,400 175,322
AXA SA........................... 3,300 205,225
Compagnie Bancaire SA............ 400 51,045
Compagnie Generale des Eaux...... 1,000 128,122
Rhone-Poulenc SA................. 1,600 65,337
Pinault-Printemps-Redoute SA..... 200 96,100
Schneider SA..................... 2,100 111,768
Societe Generale................. 1,900 212,074
------------
1,044,993
------------
GERMANY -- 9.7%
Altana AG........................ 78 83,631
Bayerische Motoren Werke AG...... 247 203,650
BHW Holding AG*.................. 5,000 84,571
Daimler Benz AG.................. 2,528 205,678
Deutsche Bank AG................. 1,800 105,682
Deutsche Pfandbrief &
Hypothekenbank AG.............. 3,000 172,439
Henkel KGAA...................... 2,400 127,217
Henkel KGAA Pfd. ................ 800 45,043
Mannesmann AG.................... 300 133,995
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
SAP AG Pfd. ..................... 200 $ 41,225
SGL Carbon AG.................... 500 68,287
Siemens AG....................... 2,200 131,753
Volkswagen AG.................... 376 285,002
Wella Aktiengesellschaft Pfd. ... 180 121,576
------------
1,809,749
------------
HONG KONG -- 2.8%
HSBC Holdings PLC................ 12,300 369,946
Hutchison Whampoa Ltd. .......... 10,000 86,487
New World Infrastructure Ltd.*... 24,400 68,978
------------
525,411
------------
IRELAND -- 0.6%
Ryanair Holdings PLC [ADR]*...... 4,000 108,500
------------
ITALY -- 1.2%
Credito Italiano SPA............. 123,400 225,749
------------
JAPAN -- 17.5%
Advantest Corp. ................. 1,660 127,469
Bridgestone Corp. ............... 6,000 139,267
Canon, Inc. ..................... 6,000 163,351
Circle K Japan Co. Ltd. ......... 3,000 172,251
Dai Nippon Ink & Chemical
Corp. ......................... 12,000 51,728
Fuji Machine Manufacturing
Co. ........................... 1,000 36,213
Fujikura Ltd. ................... 5,000 46,684
Hoya Corp. ...................... 4,000 178,010
JUSCO Co. ....................... 1,000 33,770
Keyence Corp. ................... 1,200 178,010
Konami Co. Ltd. ................. 3,100 115,777
Mitsubishi Estate Co. Ltd. ...... 5,000 72,426
Nintendo Co. Ltd. ............... 2,600 217,801
Nippon Telegraph & Telephone
Corp. ......................... 290 277,094
Rohm Co. ........................ 2,000 205,934
Sankyo Co. Ltd. ................. 10,000 335,951
Sony Corp. ...................... 2,900 252,801
Sumitomo Realty & Development
Corp. ......................... 9,000 79,319
Terumo Corp. .................... 12,000 229,319
Uni-Charm Corp. ................. 5,000 178,010
Yamaha Corp. .................... 10,000 183,246
------------
3,274,431
------------
MEXICO -- 1.3%
Grupo Financiero Banamex SA Cl-
B*............................. 65,900 172,526
Grupo Televisia SA [GDR]*........ 2,600 78,975
------------
251,501
------------
NETHERLANDS -- 13.8%
Assurantieconcern Stad Rotterdam
NV............................. 2,900 132,496
Getronics NV..................... 5,000 161,463
Gucci Group NV................... 1,000 64,375
Hunter Douglas NV................ 400 34,024
ING Groep NV..................... 12,600 580,808
Koninklijke Ahold NV............. 1,916 161,610
Philips Electronics NV [ADR]..... 6,900 495,938
</TABLE>
86
<PAGE> 88
TWENTIETH CENTURY INTERNATIONAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
Randstad Holdings NV............. 2,300 $ 242,500
Stork NV......................... 5,300 215,963
Unilever PLC [ADR]............... 400 87,200
Vedior NV 144A*.................. 4,000 105,740
Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit.......................... 13,000 287,373
-------------
2,569,490
-------------
NORWAY -- 0.7%
Smedvig ASA...................... 5,100 127,371
-------------
PORTUGAL -- 0.5%
Electricidade de Portugal*....... 5,200 95,421
-------------
SPAIN -- 1.5%
Cortefiel SA..................... 2,658 115,997
Telefonica de Espana SA.......... 5,700 164,803
-------------
280,800
-------------
SWEDEN -- 2.9%
Ericsson, (L.M.) Telephone Co.
[ADR].......................... 4,700 185,063
Hennes & Mauritz AB Cl-B......... 4,200 150,606
Skandia Forsakrings AB........... 5,500 202,918
-------------
538,587
-------------
SWITZERLAND -- 11.6%
ABB AG........................... 131 198,240
Credit Suisse Group.............. 3,200 410,846
Julius Baer Holdings AG Cl-B..... 116 177,527
Nestle SA........................ 180 237,387
Novartis AG...................... 500 799,096
Roche Holding AG................. 38 343,598
-------------
2,166,694
-------------
UNITED KINGDOM -- 9.0%
BBA Group PLC.................... 10,700 63,257
British Aerospace PLC............ 13,400 298,241
British-Borneo Petroleum
Syndicate PLC.................. 4,400 103,865
Cable & Wireless Communications
PLC............................ 8,500 45,084
Cairn Energy PLC*................ 9,600 77,537
Flextech PLC*.................... 6,000 64,248
Granada Group PLC................ 7,000 92,091
Misys PLC........................ 9,300 211,015
Next PLC......................... 20,200 228,242
SHARES VALUE
---------- -------------
Norwich Union PLC*............... 6,100 $ 32,456
Royal Bank of Scotland PLC....... 1,200 11,181
Siebe PLC........................ 12,700 215,089
Stagecoach Holdings PLC.......... 13,700 144,645
Standard Chartered Bank PLC...... 6,600 100,678
-------------
1,687,629
-------------
TOTAL FOREIGN STOCK
(COST $16,700,839)................. 17,738,774
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 3.2%
Federal Home Loan Bank
5.30%
(COST $605,000)....... 07/01/97 $ 605 605,000
-----------
TOTAL INVESTMENTS -- 98.2%
(COST $17,305,839)................... 18,343,774
OTHER ASSETS LESS
LIABILITIES -- 1.8%.................. 331,102
-----------
NET ASSETS -- 100.0%................... $ 18,674,876
===========
</TABLE>
Foreign currency exchange contracts outstanding at June 30, 1997:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy ATS $ 18,278 12.1168 07/97 $ (225)
Buy AUD 21,366 1.3304 07/97 127
Buy DEM 63,633 1.7409 07/97 (103)
Buy FRF 36,481 5.8190 07/97 (282)
Buy GBP 76,946 0.5997 07/97 (178)
Buy NLG 50,289 1.9557 07/97 (96)
--------
$ (757)
========
Sell CAD $ 24,681 1.3804 07/97 $ 5
Sell CHF 495,844 1.4337 07/97 7,127
Sell DEM 355,708 1.7267 07/97 2,700
Sell FRF 200,672 123.3442 07/97 1,581
Sell GBP 265,228 0.6011 07/97 (28)
Sell JPY 55,096 114.2509 07/97 151
Sell NLG 458,523 1.9415 07/97 4,026
--------
$ 15,562
========
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
144A -- Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers. At the end of the period, these securities
amounted to 0.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
87
<PAGE> 89
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCK -- 92.3%
AIRLINES -- 1.3%
Midwest Express Holdings, Inc.*.... 30,000 $ 821,250
------------
AUTOMOTIVE PARTS -- 2.7%
Modine Manufacturing Co. .......... 30,000 892,500
TBC Corp.*......................... 100,000 837,500
------------
1,730,000
------------
BUILDING MATERIALS -- 7.4%
Gibraltar Steel Corp.*............. 30,000 690,000
Holophane Corp.*................... 40,000 800,000
Juno Lighting, Inc. ............... 35,000 568,750
Lone Star Technologies, Inc.*...... 25,000 715,625
Republic Group, Inc. .............. 30,000 603,750
Skyline Corp. ..................... 23,000 566,375
Thomas Industries, Inc. ........... 26,000 747,500
------------
4,692,000
------------
BUSINESS SERVICES -- 1.9%
Aaron Rents, Inc. Cl-A*............ 17,000 202,938
Aaron Rents, Inc. Cl-B*............ 23,000 307,625
Grey Advertising, Inc. ............ 2,200 726,000
------------
1,236,563
------------
CHEMICALS -- 3.0%
Furon Co. ......................... 30,000 941,250
Schulman, (A.), Inc. .............. 40,000 985,000
------------
1,926,250
------------
CLOTHING & APPAREL -- 1.5%
Unitog Co.......................... 35,000 945,000
------------
COMPUTER HARDWARE -- 1.2%
Analogic Corp. .................... 22,700 771,800
------------
COMPUTER SERVICES & SOFTWARE -- 1.6%
Analysts International Corp. ...... 30,000 1,005,000
------------
CONSUMER PRODUCTS & SERVICES -- 0.6%
Culp, Inc. ........................ 22,400 406,000
------------
CONTAINERS & PACKAGING -- 1.6%
Aptargroup, Inc. .................. 22,000 995,500
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.5%
Electro Rental Corp.*.............. 55,000 1,361,250
Littelfuse, Inc.*.................. 25,000 706,250
Nichols Research Corp.*............ 40,000 840,000
Pioneer Standard Electronics,
Inc. ............................ 40,000 540,000
Scotsman Industries, Inc. ......... 24,000 684,000
------------
4,131,500
------------
ENERGY SERVICES -- 1.1%
Offshore Logistics, Inc.*.......... 36,000 679,500
------------
ENTERTAINMENT & LEISURE -- 0.6%
Carmike Cinemas, Inc.*............. 12,000 393,000
------------
ENVIRONMENTAL SERVICES -- 1.2%
Landauer, Inc. .................... 33,000 765,187
------------
EQUIPMENT SERVICES -- 4.0%
Cort Business Services Corp.*...... 20,000 590,000
Rival Co. ......................... 45,000 663,750
Unifirst Corp. .................... 35,000 700,000
VWR Scientific Products, Inc.*..... 40,000 630,000
------------
2,583,750
------------
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 5.2%
Commercial Federal Savings & Loan
Corp. ........................... 16,000 $ 594,000
Community First Bank Corp. ........ 18,000 690,750
First Republic Bancorp, Inc.*...... 35,000 813,750
Silicon Valley Bancshares.......... 16,000 724,000
Sirrom Capital Corp. .............. 15,000 517,500
------------
3,340,000
------------
FINANCIAL SERVICES -- 6.0%
Amresco, Inc.*..................... 40,000 860,000
First Financial Fund, Inc. ........ 45,000 776,250
McGrath Rentcorp................... 50,000 1,025,000
Medallion Financial Corp. ......... 32,000 612,000
Quick & Reilly Group, Inc. ........ 24,000 558,000
------------
3,831,250
------------
FOOD -- 1.1%
Suiza Foods Corp.*................. 17,000 697,000
------------
HEALTHCARE SERVICES -- 1.1%
Quest Diagnostics, Inc.*........... 33,000 678,562
------------
INSURANCE -- 6.5%
FBL Financial Group, Inc. Cl-A..... 24,000 906,000
Harleysville Group, Inc. .......... 23,000 871,125
Phoenix Resources Corp. Cl-A....... 25,000 768,750
Poe & Brown, Inc. ................. 28,000 1,036,000
Selective Insurance Group.......... 12,000 581,250
------------
4,163,125
------------
LUMBER & WOOD PRODUCTS -- 1.0%
Deltic Timber Corp. ............... 22,000 644,875
------------
MACHINERY & EQUIPMENT -- 4.3%
Carbo Ceramics, Inc. .............. 27,100 738,475
Greenfield Industries, Inc. ....... 35,000 945,000
Woodward Governor Co. ............. 30,000 1,080,000
------------
2,763,475
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.1%
Owens & Minor, Inc. ............... 45,000 672,187
------------
METALS & MINING -- 6.2%
Dayton Mining Corp.*............... 140,000 533,750
Golden Star Resources Ltd.*........ 40,000 325,000
Material Sciences Corp.*........... 50,000 771,875
Myers Industries, Inc. ............ 20,000 337,500
Penn Virginia Corp. ............... 15,000 735,000
Texas Industries, Inc. ............ 15,000 398,438
TriMas Corp. ...................... 30,000 843,750
------------
3,945,313
------------
</TABLE>
88
<PAGE> 90
T. ROWE PRICE SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
OFFICE EQUIPMENT -- 1.2%
CSS Industries, Inc.*.............. 24,000 $ 759,000
-----------
OIL & GAS -- 2.6%
Cross Timbers Oil Co. ............. 15,000 288,750
Devon Energy Corp. ................ 19,000 698,250
Rutherford-Moran Oil Corp.*........ 30,000 705,000
-----------
1,692,000
-----------
PAPER & FOREST PRODUCTS -- 1.1%
Mosinee Paper Corp. ............... 28,000 686,000
-----------
PERSONAL SERVICES -- 1.1%
Matthews International Corp. ...... 20,000 730,000
-----------
REAL ESTATE -- 5.8%
Allied Capital Commercial Corp.
[REIT]........................... 28,900 693,600
Apartment Investment & Management
Co. Cl-A [REIT].................. 25,000 706,250
Columbus Realty Trust [REIT]....... 37,000 841,750
National Health Investors, Inc.
[REIT]........................... 18,000 706,500
Sun Communities, Inc. [REIT]....... 23,000 771,938
-----------
3,720,038
-----------
RESTAURANTS -- 4.1%
Consolidated Products, Inc.*....... 50,000 931,250
Ruby Tuesday, Inc. ................ 40,000 897,500
Sbarro, Inc. ...................... 28,000 777,000
-----------
2,605,750
-----------
RETAIL & MERCHANDISING -- 4.2%
Compucom Systems, Inc.*............ 80,000 570,000
Fabri-Centers of America, Inc.
Cl-B*............................ 45,000 1,051,875
Hancock Fabrics, Inc............... 45,000 618,750
Stein Mart, Inc.*.................. 15,000 450,000
-----------
2,690,625
-----------
TELECOMMUNICATIONS -- 2.4%
Aliant Communications, Inc......... 37,000 721,500
CommNet Cellular, Inc.*............ 23,400 813,150
-----------
1,534,650
-----------
UTILITIES -- 1.1%
United Water Resources, Inc........ 35,000 678,125
-----------
TOTAL COMMON STOCK
(COST $52,962,664) .................. 58,914,275
-----------
PREFERRED STOCK -- 0.4%
OIL & GAS
Cross Timbers Oil Co. $1.5625 Cl-A
[CVT]
(COST $262,747) ................. 8,000 256,000
-----------
SHARES VALUE
--------- -----------
FOREIGN STOCK -- 0.8%
METALS & MINING
Prime Resources Group,
Inc. -- (CAD)
(COST $512,833) ................... 65,000 $ 470,708
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.2%
Federal Home Loan Mortgage Corp.
5.44%
(COST $122,981)......... 07/02/97 $ 123 122,981
---------
U.S. TREASURY OBLIGATIONS -- 4.5%
U.S. Treasury Bills
4.75%#.................. 07/24/97 1,781 1,775,595
5.11%................... 08/21/97 1,102 1,094,209
---------
(COST $2,869,625)................. 2,869,804
---------
COMMERCIAL PAPER -- 9.3%
AlliedSignal, Inc.
5.53%................... 07/03/97 1,000 999,693
Bell Atlantic Network
Funding
5.52%................... 07/17/97 1,033 1,030,466
Ciesco L.P.
6.20%................... 07/01/97 2,620 2,620,000
Pitney Bowes Credit Corp.
5.52%................... 07/09/97 270 269,669
Procter & Gamble Co.
5.51%................... 08/15/97 1,034 1,026,763
---------
TOTAL COMMERCIAL PAPER
(COST $5,946,706)..................... 5,946,591
---------
</TABLE>
<TABLE>
<CAPTION>
SHARES
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund
(COST $527)........................ 527 527
------------
TOTAL INVESTMENTS -- 107.5%
(COST $62,678,083)................... 68,580,886
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (7.5%)..................... (4,775,811)
------------
NET ASSETS -- 100.0%................... $63,805,075
============
</TABLE>
# Securities with an aggregate market value of $1,775,595 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at June 30, 1997:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
Russell 2000 09/97 $1,182 $14,700
=============
</TABLE>
- --------------------------------------------------------------------------------
Unless otherwise noted, all foreign stocks are common stock.
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
89
<PAGE> 91
DEFINITION OF ABBREVIATIONS
- --------------------------------------------------------------------------------
THE FOLLOWING ABBREVIATIONS ARE USED THROUGHOUT THE SCHEDULES OF INVESTMENTS:
SECURITY DESCRIPTIONS:
- -----------------------
ADR-American Depositary Receipts
ADS-American Depositary Shares
BRB-Brady Bond
CVT-Convertible Security
FLIRB-Floating Interest Rate Bond
FRB-Floating Rate Bond (1)
FRN-Floating Rate Note (1)
GDR-Global Depositary Receipts
IO-Interest Only Security
PIK-Payment-in-Kind Security
REIT-Real Estate Investment Trust
STEP-Stepped Coupon Security (2)
TBA-To be Announced Security
VR-Variable Rate Bond (1)
WI-When Issued Security (2)
ZCB-Zero Coupon Security (2)
(1)- Rates shown for variable and floating rate securities are the coupon rates
as of June 30, 1997.
(2)- Rates shown are the effective yields at purchase date.
COUNTRIES/CURRENCIES:
- -----------------------
ATS-Austria/Austrian Schilling
AUD-Australia/Australian Dollar
BEF-Belgium/Belgian Franc
CAD-Canada/Canadian Dollar
CHF-Switzerland/Swiss Franc
DEM-Germany/German Deutschemark
DKK-Denmark/Danish Kroner
ESP-Spain/Spanish Peseta
FIM-Finland/Finnish Markka
FRF-France/French Franc
GBP-United Kingdom/British Pound
GRD-Greece/Greek Drachma
HKD-Hong Kong/Hong Kong Dollar
IDR-Indonesia/Indonesian Rupiah
IEP-Ireland/Irish Punt
ITL-Italy/Italian Lira
JPY-Japan/Japanese Yen
MXP-Mexico/Mexican Peso
MYR-Malaysia/Malaysian Ringgit
NLG-Netherlands/Netherland Guilder
NOK-Norway/Norwegian Kroner
NZD-New Zealand/New Zealand Dollar
PTE-Portugal/Portuguese Escudo
SEK-Sweden/Swedish Krona
SGD-Singapore/Singapore Dollar
ZAR-South Africa/South African Rand
90
<PAGE> 92
[THIS PAGE INTENTIONALLY LEFT BLANK]
91
<PAGE> 93
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
AST PUTNAM LORD ABBETT AST FEDERATED AST
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY PUTNAM FEDERATED
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD
------------- ----------- ---------- -------- --------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at
value (A)................... $ 403,632 $ 722,816 $1,293,419 $668,239 $128,634 $327,068 $310,592
Cash in bank, including
foreign currency holdings... 1,204 -- -- 4 2,438 109 65
Receivable for:
Securities sold............. 3,747 9,453 2,151 3,327 1,713 13,400 --
Dividends and interest...... 1,983 1,777 406 -- 399 1,538 5,265
Fund shares sold............ 3 864 11,919 -- 120 275 285
Futures variation margin.... -- -- -- -- -- -- --
Other assets.................. 6 3 5 3 1 2 1
Unrealized appreciation on
foreign currency exchange
contracts and interest rate
swap agreements............. 347 -- 1,749 -- -- 16 --
-------- -------- -------- -------- -------- -------- --------
TOTAL ASSETS.............. 410,922 734,913 1,309,649 671,573 133,305 342,408 316,208
-------- -------- -------- -------- -------- -------- --------
LIABILITIES
Cash overdraft................ -- -- 6,020 -- -- -- --
Written options outstanding,
at value.................... -- -- -- -- -- -- --
Sale commitments, at value.... -- -- -- -- -- 4,193 --
Payable for:
Securities purchased........ 4,953 8,731 349 19,975 3,313 16,982 4,171
Fund shares redeemed........ 353 7 1 -- 13 4 1
Futures variation margin.... -- -- -- -- -- -- --
Advisory fees............... 197 266 555 92 37 118 82
Shareholder servicing
fees...................... 33 59 104 52 11 26 24
Accrued expenses............ 30 61 92 65 27 45 49
Accrued dividends........... -- -- -- 2,687 -- -- --
Unrealized depreciation on
foreign currency exchange
contracts and interest rate
swap agreements............. 290 -- 61 -- -- 20 --
-------- -------- -------- -------- -------- -------- --------
TOTAL LIABILITIES......... 5,856 9,124 7,182 22,871 3,401 21,388 4,327
-------- -------- -------- -------- -------- -------- --------
NET ASSETS....................... $ 405,066 $ 725,789 $1,302,467 $648,702 $129,904 $321,020 $311,881
======== ======== ======== ======== ======== ======== ========
COMPONENTS OF NET ASSETS
Common stock (unlimited number of
shares authorized, $.001 par
value per share)................ $ 19 $ 38 $ 61 $ 649 $ 10 $ 25 $ 25
Additional paid-in capital....... 322,876 560,435 936,198 648,001 106,996 281,621 287,992
Undistributed net investment
income (loss)................... 400 5,398 912 -- 2,225 4,863 12,257
Accumulated net realized gain
(loss) on investments and
foreign currency transactions... 24,135 20,944 51,843 52 4,459 7,337 (21)
Accumulated net unrealized
appreciation (depreciation) on
investments, foreign currency
transactions, and forward
currency contracts.............. 57,636 138,974 313,453 -- 16,214 27,174 11,628
-------- -------- -------- -------- -------- -------- --------
NET ASSETS....................... $ 405,066 $ 725,789 $1,302,467 $648,702 $129,904 $321,020 $311,881
======== ======== ======== ======== ======== ======== ========
Shares of common stock
outstanding..................... 19,252 37,684 60,931 648,650 9,932 25,078 25,500
Net asset value, offering and
redemption price per share...... $ 21.04 $ 19.26 $ 21.38 $ 1.00 $ 13.08 $ 12.80 $ 12.23
======== ======== ======== ======== ======== ======== ========
(A) Investments at cost.......... $ 346,050 $ 583,842 $ 981,654 $668,239 $112,421 $299,890 $298,963
======== ======== ======== ======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
92
<PAGE> 94
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO T. ROWE T. ROWE
PRICE TOTAL INVESCO FOUNDERS PRICE PRICE BERGER
ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL FOUNDERS
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH PASSPORT
---------- -------- -------- ------------ ------------- ------------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$166,140 $540,400 $473,326 $242,193 $ 488,430 $ 100,903 $152,429 $135,166
87 -- -- -- 29,383 21,148 -- 832
92 29,604 -- 1,871 694 3,820 1,518 --
1,160 3,249 2,095 56 1,651 2,635 85 181
172 836 788 517 4 759 199 170
-- -- -- -- -- -- -- --
1 2 2 1 2 1 1 1
-- 257 -- -- -- 25 -- --
-------- -------- -------- -------- -------- -------- -------- --------
167,652 574,348 476,211 244,638 520,164 129,291 154,232 136,350
-------- -------- -------- -------- -------- -------- -------- --------
-- 128 -- -- -- -- -- --
-- 83 -- -- -- -- -- --
-- -- -- -- -- -- -- --
941 110,712 -- 2,654 2,252 3,964 1,615 2,969
2 215 -- 1,207 2,207 2 -- 29
-- 393 -- -- -- -- -- --
48 106 158 124 227 42 60 68
13 35 39 20 41 9 13 11
44 53 45 39 70 8 21 20
-- -- -- -- -- -- -- --
2 -- -- -- 8 3 -- 18
-------- -------- -------- -------- -------- -------- -------- --------
1,050 111,725 242 4,044 4,805 4,028 1,709 3,115
-------- -------- -------- -------- -------- -------- -------- --------
$166,602 $462,623 $475,969 $240,594 $ 515,359 $ 125,263 $152,523 $133,235
======== ======== ======== ======== ======== ======== ======== ========
$ 12 $ 42 $ 31 $ 15 $ 39 $ 12 $ 10 $ 11
139,563 450,258 379,053 203,670 419,492 125,403 128,709 119,142
2,138 11,468 5,414 (377) 2,714 4,437 141 412
372 (3,892) 16,661 (5,812) 7,080 (3,848) 11,316 (2,217)
24,517 4,747 74,810 43,098 86,034 (741) 12,347 15,887
-------- -------- -------- -------- -------- -------- -------- --------
$166,602 $462,623 $475,969 $240,594 $ 515,359 $ 125,263 $152,523 $133,235
======== ======== ======== ======== ======== ======== ======== ========
11,726 42,096 31,211 14,480 38,883 12,288 10,080 10,770
$ 14.21 $ 10.99 $ 15.25 $ 16.62 $ 13.25 $ 10.19 $ 15.13 $ 12.37
======== ======== ======== ======== ======== ======== ======== ========
$141,615 $535,843 $398,516 $199,095 $ 402,381 $ 101,688 $140,082 $119,262
======== ======== ======== ======== ======== ======== ======== ========
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
PORTFOLIO
- ----------------
T. ROWE
PRICE
NATURAL
RESOURCES
---------
<S> <C>
$108,840
--
--
103
--
--
1
--
--------
108,944
--------
--
--
--
247
55
--
49
9
27
--
--
--------
387
--------
$108,557
========
$ 7
95,044
533
3,579
9,394
--------
$108,557
========
7,268
$ 14.94
========
$ 99,447
========
- -------------------------------------------------------------------------------------------
</TABLE>
93
<PAGE> 95
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
AST
PIMCO ROBERTSON PUTNAM TWENTIETH TWENTIETH T. ROWE
LIMITED STEPHENS AST JANUS VALUE CENTURY CENTURY PRICE SMALL
MATURITY VALUE + OVERSEAS GROWTH & STRATEGIC INTERNATIONAL COMPANY
BOND GROWTH GROWTH INCOME BALANCED GROWTH VALUE
-------- --------- --------- -------- --------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at
value (A)..................... $260,687 $140,465 $131,176 $56,892 $13,047 $18,344 $68,581
Cash in bank, including foreign
currency holdings............. -- -- 523 -- -- 226 --
Receivable for:
Securities sold............... 6,851 4,792 882 439 140 293 --
Dividends and interest........ 1,984 84 206 103 72 19 66
Fund shares sold.............. 259 635 2 1,055 214 643 --
Futures variation margin...... -- -- -- -- -- -- 6
Other assets.................... 1 -- -- -- -- -- --
Unrealized appreciation on
foreign currency exchange
contracts and interest rate
swap agreements............... 107 -- 295 -- -- 15 --
-------- -------- -------- ------- ------- ------- -------
TOTAL ASSETS................ 269,889 145,976 133,084 58,489 13,473 19,540 68,653
-------- -------- -------- ------- ------- ------- -------
LIABILITIES
Cash overdraft.................. -- -- -- -- -- -- --
Written options outstanding, at
value......................... -- -- -- -- -- -- --
Sale commitments, at value...... -- -- -- -- -- -- --
Payable for:
Securities purchased.......... 8,567 5,443 7,032 2,063 661 847 4,448
Fund shares redeemed.......... -- 16 583 -- -- -- 361
Futures variation margin...... 6 -- -- -- -- -- --
Advisory fees................. 64 72 62 19 5 8 27
Shareholder servicing fees.... 20 11 9 4 1 1 5
Accrued expenses.............. 38 15 26 7 2 8 7
Accrued dividends............. -- -- -- -- -- -- --
Unrealized depreciation on
foreign currency exchange
contracts and interest rate
swap agreements............... -- -- 15 -- -- 1 --
-------- -------- -------- ------- ------- ------- -------
TOTAL LIABILITIES........... 8,695 5,557 7,727 2,093 669 865 4,848
-------- -------- -------- ------- ------- ------- -------
NET ASSETS......................... $261,194 $140,419 $125,357 $56,396 $12,804 $18,675 $63,805
======== ======== ======== ======= ======= ======= =======
COMPONENTS OF NET ASSETS
Common stock (unlimited number of
shares authorized, $.001 par value
per share)........................ $ 25 $ 11 $ 11 $ 5 $ 1 $ 2 $ 6
Additional paid-in capital......... 256,345 124,345 114,622 53,189 12,154 17,564 57,559
Undistributed net investment income
(loss)............................ 6,456 (181) 637 212 64 34 163
Accumulated net realized gain
(loss) on investments and foreign
currency transactions............. (1,319) 125 2,032 422 (166) 22 160
Accumulated net unrealized
appreciation (depreciation) on
investments, foreign currency
transactions, and forward currency
contracts......................... (313) 16,119 8,055 2,568 751 1,053 5,917
-------- -------- -------- ------- ------- ------- -------
NET ASSETS......................... $261,194 $140,419 $125,357 $56,396 $12,804 $18,675 $63,805
======== ======== ======== ======= ======= ======= =======
Shares of common stock
outstanding....................... 24,670 11,055 10,789 4,938 1,201 1,614 5,606
Net asset value, offering and
redemption price per share........ $ 10.59 $ 12.70 $ 11.62 $ 11.42 $ 10.66 $ 11.57 $ 11.38
======== ======== ======== ======= ======= ======= =======
(A) Investments at cost............ $261,130 $124,346 $123,401 $54,324 $12,296 $17,306 $62,678
======== ======== ======== ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
94
<PAGE> 96
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
AST
PUTNAM LORD ABBETT AST FEDERATED AST
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY PUTNAM FEDERATED
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD
------------- ----------- -------- ------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest..................... $ 378 $ 1,496 $ 2,422 $17,055 $ 182 $ 3,901 $ 13,323
Dividends.................... 4,830 6,771 5,165 -- 2,603 2,071 178
------- ------- -------- ------- ------- ------- -------
Total Investment
Income................. 5,208 8,267 7,587 17,055 2,785 5,972 13,501
------- ------- -------- ------- ------- ------- -------
EXPENSES
Investment advisory fees..... 1,592 2,278 4,795 1,524 412 1,103 933
Shareholder servicing fees... 181 304 533 305 62 147 124
Administration and accounting
fees....................... 148 197 266 196 62 128 114
Custodian fees............... 136 50 82 50 22 90 26
Professional fees............ 11 19 32 19 4 9 8
Trustees' fees and
expenses................... 5 9 16 9 2 4 4
Insurance fees............... 2 3 6 4 1 2 1
Miscellaneous expenses....... 6 9 14 8 4 21 34
------- ------- -------- ------- ------- ------- -------
Total Expenses........... 2,081 2,869 5,744 2,115 569 1,504 1,244
Less: Advisory fee
waivers and expense
reimbursements......... -- -- -- (286) -- -- --
------- ------- -------- ------- ------- ------- -------
Net Expenses............. 2,081 2,869 5,744 1,829 569 1,504 1,244
------- ------- -------- ------- ------- ------- -------
Net Investment Income (Loss).... 3,127 5,398 1,843 15,226 2,216 4,468 12,257
------- ------- -------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Securities and foreign
exchange
transactions........... 21,583 21,152 51,162 52 4,544 7,788 (22)
Futures contracts........ -- -- -- -- -- -- --
Written option
contracts.............. -- -- -- -- -- -- --
Interest rate swaps...... -- -- -- -- -- -- --
------- ------- -------- ------- ------- ------- -------
Net realized gain (loss)..... 21,583 21,152 51,162 52 4,544 7,788 (22)
------- ------- -------- ------- ------- ------- -------
Net change in unrealized
appreciation (depreciation)
on:
Securities and foreign
exchange
transactions........... 33,482 68,008 132,706 -- 4,114 19,478 2,719
Futures contracts........ -- -- -- -- -- -- --
Written option
contracts.............. -- -- -- -- -- -- --
Interest rate swaps...... -- -- -- -- -- -- --
------- ------- -------- ------- ------- ------- -------
Net change in unrealized
appreciation
(depreciation)............. 33,482 68,008 132,706 -- 4,114 19,478 2,719
------- ------- -------- ------- ------- ------- -------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................. $58,192 $94,558 $185,711 $15,278 $10,874 $31,734 $ 14,954
======= ======= ======== ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
95
<PAGE> 97
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
T. ROWE PIMCO T. ROWE T. ROWE
PRICE TOTAL INVESCO FOUNDERS PRICE PRICE BERGER
ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH
----------- --------- ------- ------------ -------------- -------------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest................... $ 2,125 $12,786 $4,102 $ 616 $ 465 $ 3,052 $ 429
Dividends.................. 816 1 3,295 229 5,385 -- 422
------- ------- ------- ------- ------- ------- -------
Total Investment
Income............... 2,941 12,787 7,397 845 5,850 3,052 851
------- ------- ------- ------- ------- ------- -------
EXPENSES
Investment advisory fees... 591 1,258 1,519 963 2,192 417 537
Shareholder servicing
fees..................... 70 194 203 107 219 52 72
Administration and
accounting fees.......... 70 155 159 104 166 53 72
Custodian fees............. 29 60 37 32 138 38 18
Professional fees.......... 4 12 12 7 13 3 4
Trustees' fees and
expenses................. 2 6 6 3 7 2 2
Insurance fees............. 1 2 2 1 3 1 1
Miscellaneous expenses..... 29 11 11 5 31 8 4
------- ------- ------- ------- ------- ------- -------
Total Expenses......... 796 1,698 1,949 1,222 2,769 574 710
Less: Advisory fee
waivers and expense
reimbursements....... -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
Net Expenses........... 796 1,698 1,949 1,222 2,769 574 710
------- ------- ------- ------- ------- ------- -------
Net Investment Income
(Loss)....................... 2,145 11,089 5,448 (377) 3,081 2,478 141
------- ------- ------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss)
on:
Securities and foreign
exchange
transactions......... 395 838 16,627 (5,285) 8,150 (2,478) 11,380
Futures contracts...... -- (983) -- -- -- -- --
Written option
contracts............ -- 873 -- -- -- -- --
Interest rate swaps.... -- 2 -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
Net realized gain (loss)... 395 730 16,627 (5,285) 8,150 (2,478) 11,380
------- ------- ------- ------- ------- ------- -------
Net change in unrealized
appreciation
(depreciation) on:
Securities and foreign
exchange
transactions......... 12,811 187 32,602 5,716 39,493 (2,056) (2,949)
Futures contracts...... -- 256 -- -- -- -- --
Written option
contracts............ -- (399) -- -- -- -- --
Interest rate swaps.... -- 26 -- -- -- -- --
------- ------- ------- ------- ------- ------- -------
Net change in unrealized
appreciation
(depreciation)........... 12,811 70 32,602 5,716 39,493 (2,056) (2,949)
------- ------- ------- ------- ------- ------- -------
Net Increase (Decrease) in
Net Assets Resulting from
Operations............... $15,351 $11,889 $54,677 $ 54 $ 50,724 $ (2,056) $ 8,572
======= ======= ======= ======= ======= ======= =======
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on January 2, 1997.
See Notes to Financial Statements.
96
<PAGE> 98
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------
AST T. ROWE
T. ROWE PIMCO ROBERTSON PUTNAM TWENTIETH TWENTIETH PRICE
PRICE LIMITED STEPHENS AST JANUS VALUE CENTURY CENTURY SMALL
FOUNDERS NATURAL MATURITY VALUE + OVERSEAS GROWTH & STRATEGIC INTERNATIONAL COMPANY
PASSPORT RESOURCES BOND GROWTH GROWTH(1) INCOME(1) BALANCED(1) GROWTH(1) VALUE(1)
-------- --------- -------- --------- --------- --------- ----------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 550 $ 290 $ 7,458 $ 137 $ 403 $ 65 $ 87 $ 22 $ 107
528 810 -- 239 559 264 11 55 218
------ ------- ------- ------- ------- ------- ------ ------ ------
1,078 1,100 7,458 376 962 329 98 77 325
------ ------- ------- ------- ------- ------- ------ ------ ------
631 443 729 451 251 78 23 26 122
63 49 112 45 25 11 3 2 13
63 49 107 45 25 11 7 7 13
60 22 28 9 18 15 5 7 12
4 3 7 3 2 1 -- -- 1
2 1 3 1 1 -- -- -- --
1 1 1 1 -- -- -- -- --
8 5 7 2 3 1 1 1 1
------ ------- ------- ------- ------- ------- ------ ------ ------
832 573 994 557 325 117 39 43 162
-- -- -- -- -- -- (5) -- --
------ ------- ------- ------- ------- ------- ------ ------ ------
832 573 994 557 325 117 34 43 162
------ ------- ------- ------- ------- ------- ------ ------ ------
246 527 6,464 (181) 637 212 64 34 163
------ ------- ------- ------- ------- ------- ------ ------ ------
(2,023) 3,618 85 182 2,032 422 (166) 22 95
-- -- (2) -- -- -- -- -- 65
-- -- 44 -- -- -- -- -- --
-- -- -- -- -- -- -- -- --
------ ------- ------- ------- ------- ------- ------ ------ ------
(2,023) 3,618 127 182 2,032 422 (166) 22 160
------ ------- ------- ------- ------- ------- ------ ------ ------
10,614 1,659 758 13,304 8,055 2,568 751 1,053 5,902
-- -- (18) -- -- -- -- -- 15
-- -- (35) -- -- -- -- -- --
-- -- 6 -- -- -- -- -- --
------ ------- ------- ------- ------- ------- ------ ------ ------
10,614 1,659 711 13,304 8,055 2,568 751 1,053 5,917
------ ------- ------- ------- ------- ------- ------ ------ ------
$ 8,837 $ 5,804 $ 7,302 $ 13,305 $ 10,724 $ 3,202 $ 649 $ 1,109 $ 6,240
====== ======= ======= ======= ======= ======= ====== ====== ======
</TABLE>
- --------------------------------------------------------------------------------
97
<PAGE> 99
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
AST
PUTNAM LORD ABBETT
INTERNATIONAL GROWTH AND
EQUITY INCOME
-------------------------------- --------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)............... $ 3,127 $ 2,746 $ 5,398 $ 7,379
Net realized gain (loss) on investments and
foreign currency transactions............ 21,583 20,748 21,152 13,085
Net change in unrealized appreciation
(depreciation) on investments, foreign
currency transactions, and forward
currency contracts....................... 33,482 4,755 68,008 46,955
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
from Operations....................... 58,192 28,249 94,558 67,419
-------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net
investment income........................ (5,413) (5,032) (7,379) (3,534)
Distributions to shareholders from capital
gains.................................... (17,443) (5,923) (13,267) (7,139)
-------- -------- -------- --------
Total Dividends and Distributions to
Shareholders.......................... (22,856) (10,955) (20,646) (10,673)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.................. 68,230 101,730 219,958 217,780
Net asset value of shares issued in
reinvestment of dividends and
distributions............................ 22,856 10,955 20,646 10,673
Cost of shares redeemed.................... (67,567) (51,824) (119,224) (43,451)
-------- -------- -------- --------
Increase in Net Assets from Capital Share
Transactions.......................... 23,519 60,861 121,380 185,002
-------- -------- -------- --------
Total Increase in Net Assets.......... 58,855 78,155 195,292 241,748
NET ASSETS
Beginning of Period........................ 346,211 268,056 530,497 288,749
-------- -------- -------- --------
End of Period.............................. $ 405,066 $346,211 $ 725,789 $530,497
======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold................................ 3,547 5,530 12,287 13,666
Shares issued in reinvestment of dividends
and distributions........................ 1,229 610 1,185 707
Shares redeemed............................ (3,534) (2,856) (6,684) (2,755)
-------- -------- -------- --------
Net Increase in Shares Outstanding....... 1,242 3,284 6,788 11,618
======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
98
<PAGE> 100
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
AST FEDERATED AST
JANCAP MONEY UTILITY PUTNAM
GROWTH MARKET INCOME BALANCED
------------------------------ ------------------------------ ------------------------------ -------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED)
------------- ------------ ------------- ------------ ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,843 $ 1,593 $ 15,226 $ 22,641 $ 2,216 $ 3,613 $ 4,468
51,162 42,941 52 80 4,544 7,915 7,788
132,706 108,269 -- -- 4,114 978 19,478
---------- -------- -------- -------- -------- -------- --------
185,711 152,803 15,278 22,721 10,874 12,506 31,734
---------- -------- -------- -------- -------- -------- --------
(2,524) (753) (15,226) (22,641) (3,604) (4,103) (6,615)
(42,072) (24,162) (80) (149) (5,148) -- (30,342)
---------- -------- -------- -------- -------- -------- --------
(44,596) (24,915) (15,306) (22,790) (8,752) (4,103) (36,957)
---------- -------- -------- -------- -------- -------- --------
457,091 517,512 1,188,215 1,478,919 32,728 59,384 20,201
44,596 24,915 14,796 22,199 8,752 4,103 36,957
(232,659) (209,312) (1,103,751) (1,295,804) (36,836) (56,151) (17,394)
---------- -------- -------- -------- -------- -------- --------
269,028 333,115 99,260 205,314 4,644 7,336 39,764
---------- -------- -------- -------- -------- -------- --------
410,143 461,003 99,232 205,245 6,766 15,739 34,541
892,324 431,321 549,470 344,225 123,138 107,399 286,479
---------- -------- -------- -------- -------- -------- --------
$ 1,302,467 $ 892,324 $ 648,702 $ 549,470 $ 129,904 $123,138 $ 321,020
========== ======== ======== ======== ======== ======== ========
23,460 30,067 1,188,215 1,478,919 2,588 4,958 1,608
2,311 1,569 14,796 22,199 711 351 3,095
(12,335) (12,155) (1,103,751) (1,295,804) (2,963) (4,710) (1,347)
---------- -------- -------- -------- -------- -------- --------
13,436 19,481 99,260 205,314 336 599 3,356
========== ======== ======== ======== ======== ======== ========
<CAPTION>
PORTFOLIO
---------
AST
PUTNAM
BALANCED
------------
YEAR ENDED
DECEMBER 31,
1996
------------
<S> <C>
$ 7,010
29,898
(8,583)
--------
28,325
--------
(5,212)
(8,816)
--------
(14,028)
--------
27,031
14,028
(24,083)
--------
16,976
--------
31,273
255,206
--------
$286,479
========
2,155
1,158
(1,954)
--------
1,359
========
</TABLE>
- --------------------------------------------------------------------------------
99
<PAGE> 101
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
T. ROWE
PRICE
FEDERATED ASSET
HIGH YIELD ALLOCATION
-------------------------------- --------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)............... $ 12,257 $ 10,610 $ 2,145 $ 2,587
Net realized gain (loss) on investments and
foreign currency transactions............ (22) 1,294 395 2,313
Net change in unrealized appreciation
(depreciation) on investments, foreign
currency transactions, and forward
currency contracts....................... 2,719 6,820 12,811 6,558
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
from Operations....................... 14,954 18,724 15,351 11,458
-------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net
investment income........................ (10,610) (4,032) (2,585) (1,316)
Distributions to shareholders from capital
gains.................................... (1,263) -- (2,403) (226)
-------- -------- -------- --------
Total Dividends and Distributions to
Shareholders.......................... (11,873) (4,032) (4,988) (1,542)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.................. 134,751 151,204 34,446 52,390
Net asset value of shares issued in
reinvestment of dividends and
distributions............................ 11,874 4,032 4,988 1,542
Cost of shares redeemed.................... (43,087) (48,358) (3,344) (3,098)
-------- -------- -------- --------
Increase in Net Assets from Capital Share
Transactions.......................... 103,538 106,878 36,090 50,834
-------- -------- -------- --------
Total Increase in Net Assets.......... 106,619 121,570 46,453 60,750
NET ASSETS
Beginning of Period........................ 205,262 83,692 120,149 59,399
-------- -------- -------- --------
End of Period.............................. $ 311,881 $205,262 $ 166,602 $120,149
======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold................................ 11,207 13,287 2,545 4,228
Shares issued in reinvestment of dividends
and distributions........................ 1,000 368 377 128
Shares redeemed............................ (3,625) (4,248) (247) (249)
-------- -------- -------- --------
Net Increase in Shares Outstanding....... 8,582 9,407 2,675 4,107
======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
100
<PAGE> 102
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
PORTFOLIO
- ------------------------------------------------------------------------------------------------------------
PIMCO
TOTAL INVESCO FOUNDERS
RETURN EQUITY CAPITAL
BOND INCOME APPRECIATION
------------------------------ ------------------------------ ------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
$ 11,089 $ 15,701 $ 5,448 $ 7,107 $ (377) $ (527)
730 (3,854) 16,627 9,984 (5,285) (527)
70 1,208 32,602 24,709 5,716 24,027
-------- -------- -------- -------- -------- ---------
11,889 13,055 54,677 41,800 54 22,973
-------- -------- -------- -------- -------- ---------
(15,321) (6,111) (7,141) (3,685) -- --
-- (6,703) (9,950) (4,986) -- (1,655)
-------- -------- -------- -------- -------- ---------
(15,321) (12,814) (17,091) (8,671) -- (1,655)
-------- -------- -------- -------- -------- ---------
116,427 196,298 166,116 184,426 75,333 237,559
15,321 12,814 17,091 8,671 -- 1,655
(25,703) (74,678) (93,504) (54,262) (54,861) (130,924)
-------- -------- -------- -------- -------- ---------
106,045 134,434 89,703 138,835 20,472 108,290
-------- -------- -------- -------- -------- ---------
102,613 134,675 127,289 171,964 20,526 129,608
360,010 225,335 348,680 176,716 220,068 90,460
-------- -------- -------- -------- -------- ---------
$ 462,623 $360,010 $ 475,969 $348,680 $ 240,594 $ 220,068
======== ======== ======== ======== ======== =========
10,619 18,267 11,595 14,201 4,794 15,149
1,429 1,211 1,227 705 -- 115
(2,357) (6,938) (6,534) (4,116) (3,416) (8,512)
-------- -------- -------- -------- -------- ---------
9,691 12,540 6,288 10,790 1,378 6,752
======== ======== ======== ======== ======== =========
<CAPTION>
PORTFOLIO
------------------------------
T. ROWE
PRICE
INTERNATIONAL
EQUITY
------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
-------------- ------------
<S> <C> <C>
$ 3,081 $ 2,541
8,150 2,395
39,493 34,967
-------- --------
50,724 39,903
-------- --------
(2,360) (1,759)
(2,682) --
-------- --------
(5,042) (1,759)
-------- --------
119,601 222,719
5,042 1,759
(57,525) (55,730)
-------- --------
67,118 168,748
-------- --------
112,800 206,892
402,559 195,667
-------- --------
$ 515,359 $402,559
======== ========
9,765 19,721
420 161
(4,642) (4,907)
-------- --------
5,543 14,975
======== ========
</TABLE>
- --------------------------------------------------------------------------------
101
<PAGE> 103
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-------------------------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------------
T.ROWE
PRICE BERGER
INTERNATIONAL CAPITAL
BOND GROWTH
-------------------------------- --------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)............... $ 2,478 $ 3,520 $ 141 $ 223
Net realized gain (loss) on investments and
foreign currency transactions............ (2,478) 1,092 11,380 1,487
Net change in unrealized appreciation
(depreciation) on investments, foreign
currency transactions, and forward
currency contracts....................... (2,056) 458 (2,949) 10,400
-------- -------- -------- --------
Net Increase (Decrease) in Net Assets
from Operations....................... (2,056) 5,070 8,572 12,110
-------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net
investment income........................ (1,563) (697) (223) (150)
Distributions to shareholders from capital
gains.................................... (2,503) (884) (1,347) --
-------- -------- -------- --------
Total Dividends and Distributions to
Shareholders.......................... (4,066) (1,581) (1,570) (150)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.................. 41,200 60,046 121,578 147,599
Net asset value of shares issued in
reinvestment of dividends and
distributions............................ 4,066 1,581 1,570 150
Cost of shares redeemed.................... (12,116) (12,483) (113,874) (69,441)
-------- -------- -------- --------
Increase in Net Assets from Capital Share
Transactions.......................... 33,150 49,144 9,274 78,308
-------- -------- -------- --------
Total Increase in Net Assets.......... 27,028 52,633 16,276 90,268
NET ASSETS
Beginning of Period........................ 98,235 45,602 136,247 45,979
-------- -------- -------- --------
End of Period.............................. $ 125,263 $ 98,235 $ 152,523 $136,247
======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold................................ 4,060 5,742 8,350 10,695
Shares issued in reinvestment of dividends
and distributions........................ 405 156 109 12
Shares redeemed............................ (1,192) (1,183) (7,848) (4,945)
-------- -------- -------- --------
Net Increase in Shares Outstanding....... 3,273 4,715 611 5,762
======== ======== ======== ========
</TABLE>
- --------------------------------------------------------------------------------
(1) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
102
<PAGE> 104
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
PORTFOLIO
----------------------------------------------------------------------------------------------------
T. ROWE PIMCO
PRICE LIMITED
FOUNDERS NATURAL MATURITY
PASSPORT RESOURCES BOND
------------------------------ ------------------------------ ------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
$ 246 $ 974 $ 527 $ 423 $ 6,464 $ 10,849
(2,023) (20) 3,618 2,036 127 (1,321)
10,614 5,257 1,659 7,352 711 (1,512)
-------- ------- -------- ------ -------- --------
8,837 6,211 5,804 9,811 7,302 8,016
-------- ------- -------- ------ -------- --------
(805) (129) (417) (29) (10,857) (761)
(128) -- (2,073) (34) -- (303)
-------- ------- -------- ------ -------- --------
(933) (129) (2,490) (63) (10,857) (1,064)
-------- ------- -------- ------ -------- --------
31,845 103,946 32,776 87,969 82,132 104,208
933 129 2,489 63 10,857 1,064
(25,090) (20,969) (18,556) (18,508) (37,253) (65,151)
-------- ------- -------- ------ -------- --------
7,688 83,106 16,709 69,524 55,736 40,121
-------- ------- -------- ------ -------- --------
15,592 89,188 20,023 79,272 52,181 47,073
117,643 28,455 88,534 9,262 209,013 161,940
-------- ------- -------- ------ -------- --------
$ 133,235 $117,643 $ 108,557 $ 88,534 $ 261,194 $209,013
======== ======= ======== ====== ======== ========
2,687 9,188 2,256 6,706 7,821 9,943
78 12 172 5 1,049 102
(2,108) (1,843) (1,277) (1,428) (3,533) (6,177)
-------- ------- -------- ------ -------- --------
657 7,357 1,151 5,283 5,337 3,868
======== ======= ======== ====== ======== ========
--------------------------------------------------------------------------------------------------
<CAPTION>
PORTFOLIO
-------------------------------
ROBERTSON STEPHENS
VALUE + GROWTH
-------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (1)
-------------- ------------
<S> <C> <C>
$ (181) $ (66)
182 (57)
13,304 2,814
------- -------
13,305 2,691
------- -------
-- --
-- --
------- -------
-- --
------- -------
112,762 52,408
-- --
(34,438) (6,309)
------- -------
78,324 46,099
------- -------
91,629 48,790
48,790 --
------- -------
$ 140,419 $ 48,790
======= =======
9,607 5,032
-- --
(2,991) (593)
------- -------
6,616 4,439
======= =======
--------------------------------------------------------------------------------------------------
</TABLE>
103
<PAGE> 105
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
----------------------------------------------------------------------
PORTFOLIO
----------------------------------------------------------------------------------------------------------------------------
AST
PUTNAM TWENTIETH TWENTIETH
AST JANUS VALUE CENTURY CENTURY
OVERSEAS GROWTH & STRATEGIC INTERNATIONAL
GROWTH INCOME BALANCED GROWTH
---------------- ---------------- ---------------- ----------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED ENDED
JUNE 30, 1997(2) JUNE 30, 1997(2) JUNE 30, 1997(2) JUNE 30, 1997(2)
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)................. $ 637 $ 212 $ 64 $ 34
Net realized gain (loss) on investments and
foreign currency transactions.............. 2,032 422 (166) 22
Net change in unrealized appreciation
(depreciation) on investments, foreign
currency transactions, and forward currency
contracts.................................. 8,055 2,568 751 1,053
-------- ------- ------- -------
Net Increase (Decrease) in Net Assets from
Operations.............................. 10,724 3,202 649 1,109
-------- ------- ------- -------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income..................................... -- -- -- --
Distributions to shareholders from capital
gains...................................... -- -- -- --
-------- ------- ------- -------
Total Dividends and Distributions to
Shareholders............................ -- -- -- --
-------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.................... 125,141 59,673 12,695 20,977
Net asset value of shares issued in
reinvestment of dividends and
distributions.............................. -- -- -- --
Cost of shares redeemed...................... (10,508) (6,479) (540) (3,411)
-------- ------- ------- -------
Increase in Net Assets from Capital Share
Transactions............................ 114,633 53,194 12,155 17,566
-------- ------- ------- -------
Total Increase in Net Assets............ 125,357 56,396 12,804 18,675
NET ASSETS
Beginning of Period.......................... -- -- -- --
-------- ------- ------- -------
End of Period................................ $125,357 $ 56,396 $ 12,804 $ 18,675
======== ======= ======= =======
SHARES ISSUED AND REDEEMED
Shares sold.................................. 11,719 5,541 1,254 1,930
Shares issued in reinvestment of dividends
and distributions.......................... -- -- -- --
Shares redeemed.............................. (930) (603) (53) (316)
-------- ------- ------- -------
Net Increase in Shares Outstanding......... 10,789 4,938 1,201 1,614
======== ======= ======= =======
<CAPTION>
PORTFOLIO
-------------------
T. ROWE
PRICE SMALL
COMPANY
VALUE
----------------
SIX MONTHS
ENDED
JUNE 30, 1997(2)
(UNAUDITED)
----------------
<S> <C>
FROM OPERATIONS
Net investment income (loss)................. $ 163
Net realized gain (loss) on investments and
foreign currency transactions.............. 160
Net change in unrealized appreciation
(depreciation) on investments, foreign
currency transactions, and forward currency
contracts.................................. 5,917
-------
Net Increase (Decrease) in Net Assets from
Operations.............................. 6,240
-------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment
income..................................... --
Distributions to shareholders from capital
gains...................................... --
-------
Total Dividends and Distributions to
Shareholders............................ --
-------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.................... 60,275
Net asset value of shares issued in
reinvestment of dividends and
distributions.............................. --
Cost of shares redeemed...................... (2,710)
-------
Increase in Net Assets from Capital Share
Transactions............................ 57,565
-------
Total Increase in Net Assets............ 63,805
NET ASSETS
Beginning of Period.......................... --
-------
End of Period................................ $ 63,805
=======
SHARES ISSUED AND REDEEMED
Shares sold.................................. 5,861
Shares issued in reinvestment of dividends
and distributions.......................... --
Shares redeemed.............................. (255)
-------
Net Increase in Shares Outstanding......... 5,606
=======
</TABLE>
- --------------------------------------------------------------------------------
(2) Commenced operations on January 2, 1997.
See Notes to Financial Statements.
104
<PAGE> 106
[THIS PAGE INTENTIONALLY LEFT BLANK]
105
<PAGE> 107
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------------------- LESS DISTRIBUTIONS
NET ASSET NET ------------------------------------- NET ASSET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- ------------- -------- --------- ---------- ------------ ---------- ---------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AST Putnam 06/30/97* $ 19.22 $ 0.17 $ 2.90 $ 3.07 $ (0.30) $ (0.95) $ (1.25) $21.04
International 12/31/96 18.20 0.16 1.55 1.71 (0.32) (0.37) (0.69) 19.22
Equity 12/31/95 17.61 0.14 1.44 1.58 -- (0.99) (0.99) 18.20
12/31/94 17.34 0.10 0.36 0.46 (0.03) (0.16) (0.19) 17.61
12/31/93 12.74 0.14 4.46 4.60 -- -- -- 17.34
12/31/92 13.90 (0.17) (0.99) (1.16) -- -- -- 12.74
Lord Abbett 06/30/97* $ 17.17 $ 0.13 $ 2.60 $ 2.73 $ (0.23) $ (0.41) $ (0.64) $19.26
Growth and 12/31/96 14.98 0.23 2.48 2.71 (0.17) (0.35) (0.52) 17.17
Income 12/31/95 12.00 0.16 3.22 3.38 (0.20) (0.20) (0.40) 14.98
12/31/94 12.06 0.20 0.06 0.26 (0.12) (0.20) (0.32) 12.00
12/31/93 10.70 0.11 1.35 1.46 (0.04) (0.06) (0.10) 12.06
12/31/92(2) 10.00 0.07 0.63 0.70 -- -- -- 10.70
JanCap Growth 06/30/97* $ 18.79 $ 0.03 $ 3.42 $ 3.45 $ (0.05) $ (0.81) $ (0.86) $21.38
12/31/96 15.40 0.02 4.19 4.21 (0.02) (0.80) (0.82) 18.79
12/31/95 11.22 0.06 4.18 4.24 (0.06) -- (0.06) 15.40
12/31/94 11.78 0.06 (0.59) (0.53) (0.03) -- (0.03) 11.22
12/31/93 10.53 0.03 1.22 1.25 -- -- -- 11.78
12/31/92(3) 10.00 (0.01) 0.54 0.53 -- -- -- 10.53
AST Money
Market 06/30/97* $ 1.00 $ 0.0248 $ 0.0002 $ 0.0250 $ (0.0248) $(0.0002) $ (0.0250) $ 1.00
12/31/96 1.00 0.0492 0.0005 0.0497 (0.0492) (0.0005) (0.0497) 1.00
12/31/95 1.00 0.0494 -- 0.0494 (0.0494) -- (0.0494) 1.00
12/31/94 1.00 0.0367 0.0002 0.0369 (0.0367) (0.0002) (0.0369) 1.00
12/31/93 1.00 0.0252 -- 0.0252 (0.0252) -- (0.0252) 1.00
12/31/92(4) 1.00 0.0032 -- 0.0032 (0.0032) -- (0.0032) 1.00
Federated
Utility
Income 06/30/97* $ 12.83 $ 0.21 $ 0.91 $ 1.12 $ (0.36) $ (0.51) $ (0.87) $13.08
12/31/96 11.94 0.36 0.97 1.33 (0.44) -- (0.44) 12.83
12/31/95 9.87 0.40 2.09 2.49 (0.42) -- (0.42) 11.94
12/31/94 10.79 0.46 (1.20) (0.74) (0.16) (0.02) (0.18) 9.87
12/31/93(5) 10.00 0.17 0.62 0.79 -- -- -- 10.79
AST Putnam
Balanced 06/30/97* $ 13.19 $ 0.18 $ 1.16 $ 1.34 $ (0.31) $ (1.42) $ (1.73) $12.80
12/31/96 12.53 0.32 1.02 1.34 (0.25) (0.43) (0.68) 13.19
12/31/95 10.49 0.26 2.06 2.32 (0.28) -- (0.28) 12.53
12/31/94 10.57 0.27 (0.26) 0.01 (0.07) (0.02) (0.09) 10.49
12/31/93(5) 10.00 0.08 0.49 0.57 -- -- -- 10.57
</TABLE>
- --------------------------------------------------------------------------------
* Unaudited.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(2) Commenced operations on May 1, 1992.
(3) Commenced operations on November 6, 1992.
(4) Commenced operations on November 10, 1992.
(5) Commenced operations on May 4, 1993.
See Notes to Financial Statements.
106
<PAGE> 108
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
RATIOS OF NET INVESTMENT
RATIOS OF EXPENSES INCOME (LOSS)
TO AVERAGE NET ASSETS TO AVERAGE NET ASSETS
------------------------------ ------------------------------
SUPPLEMENTAL DATA AFTER BEFORE AFTER BEFORE
------------------------------------------------- ADVISORY ADVISORY ADVISORY ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
16.82% $ 405,066 72% $ 0.0317 1.15%(1) 1.15%(1) 1.73%(1) 1.73%(1)
9.65% 346,211 124% 0.0151 1.16% 1.26% 0.88% 0.78%
10.00% 268,056 59% -- 1.17% 1.27% 0.88% 0.78%
2.64% 238,050 49% -- 1.22% 1.32% 0.55% 0.46%
36.11% 150,646 32% -- 1.52% 1.52% 0.28% 0.28%
(8.35%) 24,998 55% -- 2.50% 2.50% (1.62%) (1.62%)
16.26% $ 725,789 27% $ 0.0632 0.94%(1) 0.94%(1) 1.78%(1) 1.78%(1)
18.56% 530,497 43% 0.0655 0.97% 0.97% 1.92% 1.92%
28.91% 288,749 50% -- 0.99% 0.99% 2.50% 2.50%
2.22% 92,050 60% -- 1.06% 1.06% 2.45% 2.45%
13.69% 48,385 57% -- 1.22% 1.33% 2.05% 1.94%
7.00% 10,159 34% -- 0.99%(1) 1.75%(1) 2.49%(1) 1.73%(1)
18.82% $ 1,302,467 48% $ 0.0644 1.08%(1) 1.08%(1) 0.35%(1) 0.35%(1)
28.36% 892,324 79% 0.0569 1.10% 1.10% 0.25% 0.25%
37.98% 431,321 113% -- 1.12% 1.12% 0.51% 0.51%
(4.51%) 245,645 94% -- 1.18% 1.18% 0.62% 0.62%
11.87% 157,852 92% -- 1.22% 1.22% 0.35% 0.35%
5.30% 15,218 2% -- 1.33%(1) 2.21%(1) (0.90%)(1) (1.78%)(1)
2.50% $ 648,702 N/A N/A 0.60%(1) 0.64%(1) 4.99%(1) 4.95%(1)
5.08% 549,470 N/A N/A 0.60% 0.71% 4.87% 4.76%
5.05% 344,225 N/A -- 0.60% 0.72% 5.38% 5.26%
3.75% 288,588 N/A -- 0.64% 0.76% 3.90% 3.78%
2.55% 114,074 N/A -- 0.65% 0.84% 2.53% 2.34%
0.32% 4,294 N/A -- 0.65%(1) 1.15%(1) 2.43%(1) 1.93%(1)
9.15% $ 129,904 32% $ 0.0403 0.91%(1) 0.91%(1) 3.55%(1) 3.55%(1)
11.53% 123,138 81% 0.0446 0.93% 0.93% 3.14% 3.14%
26.13% 107,399 71% -- 0.93% 0.93% 4.58% 4.58%
(6.95%) 71,205 54% -- 0.99% 0.99% 5.11% 5.11%
7.90% 57,643 5% -- 1.18%(1) 1.18%(1) 5.09%(1) 5.09%(1)
11.08% $ 321,020 141% $ 0.0437 1.02%(1) 1.02%(1) 3.04%(1) 3.04%(1)
11.23% 286,479 276% 0.0516 0.94% 0.94% 2.66% 2.66%
22.60% 255,206 161% -- 0.94% 0.94% 3.28% 3.28%
0.09% 145,624 87% -- 0.99% 0.99% 3.08% 3.08%
5.70% 91,591 46% -- 1.13%(1) 1.13%(1) 2.53%(1) 2.53%(1)
---------------------------------------------------------------------------------------------------------------------
</TABLE>
107
<PAGE> 109
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------------------- LESS DISTRIBUTIONS
NET ASSET NET ------------------------------------- NET ASSET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- --------------- -------- --------- ---------- ------------ ---------- ---------- -------- ------------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Federated High
Yield 06/30/97* $ 12.13 $ 0.39 $ 0.31 $ 0.70 $(0.54) $(0.06) $ (0.60) $ 12.23
12/31/96 11.14 0.56 0.90 1.46 (0.47) -- (0.47) 12.13
12/31/95 9.69 0.38 1.46 1.84 (0.39) -- (0.39) 11.14
12/31/94(6) 10.00 0.55 (0.86) (0.31) -- -- -- 9.69
T. Rowe Price 06/30/97* $ 13.27 $ 0.16 $ 1.28 $ 1.44 $(0.26) $(0.24) $ (0.50) $ 14.21
Asset 12/31/96 12.01 0.27 1.28 1.55 (0.25) (0.04) (0.29) 13.27
Allocation 12/31/95 9.94 0.26 2.02 2.28 (0.21) -- (0.21) 12.01
12/31/94(6) 10.00 0.21 (0.27) (0.06) -- -- -- 9.94
PIMCO Total 06/30/97* $ 11.11 $ 0.24 $ 0.09 $ 0.33 $(0.45) $ -- $ (0.45) $ 10.99
Return Bond 12/31/96 11.34 0.46 (0.10) 0.36 (0.28) (0.31) (0.59) 11.11
12/31/95 9.75 0.25 1.55 1.80 (0.21) -- (0.21) 11.34
12/31/94(6) 10.00 0.26 (0.51) (0.25) -- -- -- 9.75
INVESCO Equity
Income 06/30/97* $ 13.99 $ 0.15 $ 1.74 $ 1.89 $(0.26) $(0.37) $ (0.63) $ 15.25
12/31/96 12.50 0.27 1.79 2.06 (0.24) (0.33) (0.57) 13.99
12/31/95 9.75 0.25 2.65 2.90 (0.15) -- (0.15) 12.50
12/31/94(6) 10.00 0.16 (0.41) (0.25) -- -- -- 9.75
Founders
Capital 06/30/97* $ 16.80 $(0.02) $(0.16) $(0.18) $ -- $ -- $ -- $ 16.62
Appreciation 12/31/96 14.25 (0.03) 2.85 2.82 -- (0.27) (0.27) 16.80
12/31/95 10.84 (0.04) 3.54 3.50 (0.09) -- (0.09) 14.25
12/31/94(6) 10.00 0.11 0.73 0.84 -- -- -- 10.84
T. Rowe Price 06/30/97* $ 12.07 $ 0.08 $ 1.25 $ 1.33 $(0.07) $(0.08) $ (0.15) $ 13.25
International 12/31/96 10.65 0.06 1.44 1.50 (0.08) -- (0.08) 12.07
Equity 12/31/95 9.62 0.07 0.99 1.06 (0.01) (0.02) (0.03) 10.65
12/31/94(6) 10.00 0.02 (0.40) (0.38) -- -- -- 9.62
T. Rowe Price 06/30/97* $ 10.90 $ 0.13 $(0.42) $(0.29) $(0.16) $(0.26) $ (0.42) $ 10.19
International 12/31/96 10.60 0.23 0.38 0.61 (0.14) (0.17) (0.31) 10.90
Bond 12/31/95 9.68 0.31 0.75 1.06 (0.14) -- (0.14) 10.60
12/31/94(7) 10.00 0.27 (0.59) (0.32) -- -- -- 9.68
</TABLE>
- --------------------------------------------------------------------------------
* Unaudited.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(6) Commenced operations on January 4, 1994.
(7) Commenced operations on May 3, 1994.
See Notes to Financial Statements.
108
<PAGE> 110
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
RATIOS OF NET INVESTMENT
RATIOS OF EXPENSES INCOME (LOSS)
TO AVERAGE NET ASSETS TO AVERAGE NET ASSETS
------------------------------ ------------------------------
SUPPLEMENTAL DATA AFTER BEFORE AFTER BEFORE
------------------------------------------------- ADVISORY ADVISORY ADVISORY ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
5.97% $ 311,881 14% N/A 1.00%(1) 1.00%(1) 9.86% (1) 9.86%(1)
13.58% 205,262 43% N/A 1.03% 1.03% 8.02% 8.02%
19.57% 83,692 30% -- 1.11% 1.11% 8.72% 8.72%
(3.10%) 21,308 41% -- 1.15%(1) 1.34%(1) 9.06% (1) 8.87%(1)
11.20% $ 166,602 5% $ 0.0349 1.14%(1) 1.14%(1) 3.08% (1) 3.08%(1)
13.14% 120,149 31% 0.0366 1.20% 1.20% 3.02% 3.02%
23.36% 59,399 18% -- 1.25% 1.29% 3.53% 3.49%
(0.60%) 23,463 32% -- 1.25%(1) 1.47%(1) 3.64% (1) 3.42%(1)
3.03% $ 462,623 159% N/A 0.88%(1) 0.88%(1) 5.73% (1) 5.73%(1)
3.42% 360,010 403% N/A 0.89% 0.89% 5.38% 5.38%
18.78% 225,335 124% -- 0.89% 0.89% 5.95% 5.95%
(2.50%) 46,493 139% -- 1.02%(1) 1.02%(1) 5.57% (1) 5.57%(1)
13.92% $ 475,969 38% $ 0.0600 0.96%(1) 0.96%(1) 2.69% (1) 2.69%(1)
17.09% 348,680 58% 0.0603 0.98% 0.98% 2.83% 2.83%
30.07% 176,716 89% -- 0.98% 0.98% 3.34% 3.34%
(2.50%) 65,201 63% -- 1.14%(1) 1.14%(1) 3.41% (1) 3.41%(1)
(1.13%) $ 240,594 31% $ 0.0523 1.14%(1) 1.14%(1) (0.35%)(1) (0.35%)(1)
20.05% 220,068 69% 0.0573 1.16% 1.16% (0.38%) (0.38%)
32.56% 90,460 68% -- 1.22% 1.22% (0.28%) (0.28%)
8.40% 28,559 198% -- 1.30%(1) 1.55%(1) 2.59% (1) 2.34%(1)
11.09% $ 515,359 8% $ 0.0232 1.26%(1) 1.26%(1) 1.41% (1) 1.41%(1)
14.17% 402,559 11% 0.0255 1.30% 1.30% 0.84% 0.84%
11.09% 195,667 17% -- 1.33% 1.33% 1.03% 1.03%
(3.80%) 108,751 16% -- 1.75%(1) 1.77%(1) 0.45% (1) 0.43%(1)
(2.56%) $ 125,263 90% N/A 1.10%(1) 1.10%(1) 4.76% (1) 4.76%(1)
5.98% 98,235 241% N/A 1.21% 1.21% 5.02% 5.02%
11.10% 45,602 325% -- 1.53% 1.53% 6.17% 6.17%
(3.20%) 15,218 163% -- 1.68%(1) 1.68%(1) 7.03% (1) 7.03%(1)
---------------------------------------------------------------------------------------------------------------------
</TABLE>
109
<PAGE> 111
AMERICAN SKANDIA TRUST
FINANCIAL HIGHLIGHTS
PER SHARE DATA (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) FROM
INVESTMENT OPERATIONS
-------------------------------------- LESS DISTRIBUTIONS
NET ASSET NET ------------------------------------- NET ASSET
VALUE INVESTMENT NET REALIZED TOTAL FROM FROM NET FROM NET VALUE
PERIOD BEGINNING INCOME & UNREALIZED INVESTMENT INVESTMENT REALIZED TOTAL END
PORTFOLIO ENDED OF PERIOD (LOSS) GAIN (LOSS) OPERATIONS INCOME GAINS DISTRIBUTIONS OF PERIOD
- ---------- -------- --------- ---------- ------------ ---------- ---------- -------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Berger
Capital
Growth 06/30/97* $ 14.39 $ 0.01 $ 0.88 $ 0.89 $(0.02) $(0.13) $ (0.15) $15.13
12/31/96 12.40 0.01 2.01 2.02 (0.03) -- (0.03) 14.39
12/31/95 9.97 0.04 2.40 2.44 (0.01) -- (0.01) 12.40
12/31/94(8) 10.00 0.01 (0.04) (0.03) -- -- -- 9.97
Founders
Passport 06/30/97* $ 11.63 $ 0.02 $ 0.81 $ 0.83 $(0.08) $(0.01) $ (0.09) $12.37
12/31/96 10.33 0.09 1.24 1.33 (0.03) -- (0.03) 11.63
12/31/95(9) 10.00 0.03 0.30 0.33 -- -- -- 10.33
T. Rowe
Price 06/30/97* $ 14.47 $ 0.07 $ 0.79 $ 0.86 $(0.07) $(0.32) $ (0.39) $14.94
Natural 12/31/96 11.11 0.05 3.35 3.40 (0.02) (0.02) (0.04) 14.47
Resources 12/31/95(9) 10.00 0.04 1.07 1.11 -- -- -- 11.11
PIMCO
Limited 06/30/97* $ 10.81 $ 0.26 $ 0.08 $ 0.34 $(0.56) $ -- $ (0.56) $10.59
Maturity 12/31/96 10.47 0.56 (0.15) 0.41 (0.05) (0.02) (0.07) 10.81
Bond 12/31/95(9) 10.00 0.05 0.42 0.47 -- -- -- 10.47
Robertson
Stephens 06/30/97* $ 10.99 $(0.02) $ 1.73 $ 1.71 -- -- -- $12.70
Value + 12/31/96(10) 10.00 (0.01) 1.00 0.99 -- -- -- 10.99
Growth
AST Janus
Overseas
Growth 06/30/97(11) $ 10.00 $ 0.06 $ 1.56 $ 1.62 -- -- -- $11.62
AST Putnam
Value
Growth &
Income 06/30/97(11) $ 10.00 $ 0.04 $ 1.38 $ 1.42 -- -- -- $11.42
Twentieth
Century
Strategic
Balanced 06/30/97(11) $ 10.00 $ 0.05 $ 0.61 $ 0.66 -- -- -- $10.66
Twentieth
Century
International
Growth 06/30/97(11) $ 10.00 $ 0.02 $ 1.55 $ 1.57 -- -- -- $11.57
T. Rowe
Price
Small
Company
Value 06/30/97(11) $ 10.00 $ 0.03 $ 1.35 $ 1.38 -- -- -- $11.38
</TABLE>
- --------------------------------------------------------------------------------
* Unaudited.
+ Represents total commissions paid on portfolio securities divided by the
total number of shares purchased or sold on which commissions are charged.
This disclosure is required by the SEC beginning in 1996.
(1) Annualized.
(8) Commenced operations on October 20, 1994.
(9) Commenced operations on May 2, 1995.
(10) Commenced operations on May 2, 1996.
(11) Commenced operations on January 2, 1997 (unaudited).
See Notes to Financial Statements.
110
<PAGE> 112
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
RATIOS OF NET INVESTMENT
RATIOS OF EXPENSES INCOME (LOSS)
TO AVERAGE NET ASSETS TO AVERAGE NET ASSETS
------------------------------ ------------------------------
SUPPLEMENTAL DATA AFTER BEFORE AFTER BEFORE
------------------------------------------------- ADVISORY ADVISORY ADVISORY ADVISORY
NET ASSETS AT PORTFOLIO AVERAGE FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
TOTAL END OF PERIOD TURNOVER COMMISSION AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
RETURN (IN 000'S) RATE RATE PAID+ REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------ ------------- -------- ---------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6.29% $ 152,523 158% $ 0.0605 0.99%(1) 0.99%(1) 0.20%(1) 0.20%(1)
16.34% 136,247 156% 0.0614 1.01% 1.01% 0.24% 0.24%
24.42% 45,979 84% -- 1.17% 1.17% 0.70% 0.70%
(0.30%) 3,030 5% -- 1.25%(1) 1.70%(1) 1.41%(1) 0.97%(1)
7.14% $ 133,235 29% $ 0.0108 1.32%(1) 1.32%(1) 0.39%(1) 0.39%(1)
12.91% 117,643 133% 0.0190 1.36% 1.36% 1.25% 1.25%
3.30% 28,455 4% -- 1.46%(1) 1.46%(1) 0.94%(1) 0.94%(1)
6.02% $ 108,557 28% $ 0.0210 1.17%(1) 1.17%(1) 1.07%(1) 1.07%(1)
30.74% 88,534 31% 0.0238 1.30% 1.30% 1.08% 1.08%
11.10% 9,262 2% -- 1.35%(1) 1.80%(1) 1.28%(1) 0.83%(1)
3.26% $ 261,194 21% N/A 0.89%(1) 0.89%(1) 5.77%(1) 5.77%(1)
3.90% 209,013 247% N/A 0.89% 0.89% 5.69% 5.69%
4.70% 161,940 205% -- 0.89%(1) 0.89%(1) 4.87%(1) 4.87%(1)
15.56% $ 140,419 91% $ 0.0565 1.24%(1) 1.24%(1) (0.40%)(1) (0.40%)(1)
9.90% 48,790 77% 0.0529 1.33%(1) 1.33%(1) (0.56%)(1) (0.56%)(1)
16.20% $ 125,357 22% $ 0.0207 1.29%(1) 1.29%(1) 2.53%(1) 2.53%(1)
14.20% $ 56,396 37% $ 0.0334 1.11%(1) 1.11%(1) 2.03%(1) 2.03%(1)
6.60% $ 12,804 6% $ 0.0289 1.25%(1) 1.42%(1) 2.32%(1) 2.15%(1)
15.70% $ 18,675 54% $ 0.0072 1.66%(1) 1.66%(1) 1.32%(1) 1.32%(1)
13.80% $ 63,805 2% $ 0.0460 1.20%(1) 1.20%(1) 1.20%(1) 1.20%(1)
---------------------------------------------------------------------------------------------------------------------
</TABLE>
111
<PAGE> 113
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
American Skandia Trust (the "Trust"), was organized under the laws of the
Commonwealth of Massachusetts on October 31, 1988, as a "Massachusetts Business
Trust". The Trust is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. The Trust operates as a
series company, issuing 23 classes of shares of beneficial interest during 1997:
AST Putnam International Equity Portfolio ("Putnam International"), Lord Abbett
Growth and Income Portfolio ("Lord Abbett"), JanCap Growth Portfolio ("JanCap"),
AST Money Market Portfolio ("Money Market"), Federated Utility Income Portfolio
("Federated"), AST Putnam Balanced Portfolio ("Putnam Balanced"), Federated High
Yield Portfolio ("High Yield"), T. Rowe Price Asset Allocation Portfolio ("Asset
Allocation"), PIMCO Total Return Bond Portfolio ("PIMCO"), INVESCO Equity Income
Portfolio ("INVESCO"), Founders Capital Appreciation Portfolio ("Founders"), T.
Rowe Price International Equity Portfolio ("T. Rowe"), T. Rowe Price
International Bond Portfolio ("International Bond"), Berger Capital Growth
Portfolio ("Berger"), Founders Passport Portfolio ("Passport"), T. Rowe Price
Natural Resources Portfolio ("Natural Resources"), PIMCO Limited Maturity Bond
Portfolio ("Limited Maturity"), Robertson Stephens Value + Growth Portfolio
("Robertson Stephens"), AST Janus Overseas Growth Portfolio ("Janus Overseas"),
AST Putnam Value Growth & Income Portfolio ("Putnam Value"), Twentieth Century
Strategic Balanced Portfolio ("TC Balanced"), Twentieth Century International
Growth Portfolio ("TC International"), and T. Rowe Price Small Company Value
Portfolio ("Small Company") (collectively "the Portfolios").
The following is a summary of the Trust's significant accounting policies:
Security Valuation
All Portfolios, other than Money Market: Securities are valued at the close of
regular trading on each business day the New York Stock Exchange ("NYSE") is
open. Securities are valued at the last sale price on the securities exchange or
securities market on which such securities primarily are traded. Securities not
listed on an exchange or securities market, or securities in which there were no
transactions, are valued at the average of the most recent bid and asked prices.
Any securities or other assets for which recent market quotations are not
readily available are valued at fair value as determined in good faith by or at
the direction of the Board of Trustees.
Short-term obligations which mature in sixty days or less are valued at
amortized cost. Short-term obligations with more than sixty days remaining to
maturity are valued at current market value until the sixtieth day prior to
maturity, and thereafter are valued on an amortized cost basis based on the
value on such date.
Money Market: Securities are valued at amortized cost. The amortized cost method
values a security at its cost at the time of purchase and thereafter assumes a
constant amortization to maturity of any discount or premium.
Foreign Currency Translation and Foreign Currency Exchange Contracts
The Trust's investment valuations, other assets, and liabilities initially
expressed in foreign currencies are converted each business day into U.S.
dollars based upon current exchange rates determined prior to the close of the
NYSE. Purchases and sales of foreign investments and income and expenses are
converted into U.S. dollars based upon currency exchange rates prevailing on the
respective dates of such transactions. Gains and losses attributable to changes
in foreign currency exchange rates are recorded for financial statement purposes
as net realized gains and losses on investments and foreign currency
transactions.
A foreign currency exchange contract (FCEC) is a commitment to purchase or sell
a specified amount of
112
<PAGE> 114
- --------------------------------------------------------------------------------
foreign currency at the settlement date at a specified rate. FCECs are used to
hedge against foreign exchange rate risk arising from a Portfolio's investment
or anticipated investment in securities denominated in foreign currencies. Risks
may arise upon entering into FCECs from the potential inability of
counterparties to meet the terms of their contracts. Also, when utilizing FCECs
a Portfolio may give up the opportunity to profit from favorable exchange rate
movements during the term of the contract. FCECs are marked-to-market daily at
the applicable exchange rates and any gains or losses are recorded as unrealized
until the contract settlement date.
Futures Contracts and Options
Certain Portfolios may enter into futures contracts for the delayed delivery of
securities, currency, or contracts based upon financial indices, at an agreed
upon price and date. Such contracts require an initial deposit, either in cash
or securities, equal to a certain percentage of the contract amount. Subsequent
payments are made or received by the Portfolios, depending on the fluctuations
in the value of the underlying instrument, and are recorded as unrealized gains
and losses.
Certain Portfolios may write covered call or put options for which premiums are
received in cash and are recorded as liabilities, adjusted to reflect the value
of the options written. Premiums received from writing options which expire are
treated as realized gains. Premiums received from writing options which are
exercised or closed are offset against the proceeds or amount paid on the
transaction to determine the realized gain or loss. If a put option is
exercised, the premium reduces the cost basis of the security or currency
purchased.
For both futures and options, risks arise from possible illiquidity, the
potential inability of counterparties to meet the terms of their contracts, and
from movements in interest or exchange rates or securities values. Futures and
options are valued based on their quoted daily settlement prices.
Investment Transactions and Investment Income
Security transactions are accounted for on the trade date. Realized gains and
losses from security transactions are recognized on the specific identification
basis. Dividend income is recorded on the ex-dividend date. Corporate actions,
including dividends, on foreign securities are recorded on the ex-dividend date
or, if such information is not available, as soon as reliable information is
available from the Trust's sources. Interest income is recorded on the accrual
basis.
Dividends and Distributions to Shareholders
All Portfolios other than Money Market: Dividends and distributions arising from
net investment income and net realized capital gains, if any, are declared and
paid annually.
Money Market: Dividends from net investment income are declared daily and paid
monthly, and capital gains, if any, are declared and paid annually.
Distributions to shareholders are recorded on their ex-dividend date.
2. INVESTMENT MANAGEMENT AGREEMENTS,
INVESTMENT SUB-ADVISORY AGREEMENTS
AND TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into Investment Management Agreements with American
Skandia Investment Services, Inc. (the "Investment Manager") which provide that
the Investment Manager will furnish each Portfolio with investment advice and
investment management and administrative services. The Investment Manager has
engaged the following firms as Sub-advisors for their respective Portfolios:
Putnam Investment Management, Inc. for Putnam International, Putnam Balanced,
and Putnam Value; Lord, Abbett & Co. for
113
<PAGE> 115
- --------------------------------------------------------------------------------
Lord Abbett; Janus Capital Corporation for JanCap and Janus Overseas; J. P.
Morgan Investment Management Inc. for Money Market; Federated Investment
Counseling for Federated and High Yield; T. Rowe Price Associates, Inc. for
Asset Allocation, Natural Resources, and Small Company; Pacific Investment
Management Co. for PIMCO and Limited Maturity; INVESCO Trust Co. for INVESCO;
Founders Asset Management, Inc. for Founders and Passport; Rowe Price-Fleming
International, Inc., a United Kingdom Corporation, for T. Rowe and International
Bond; Berger Associates, Inc. for Berger; Robertson, Stephens & Company
Investment Management, L.P. for Robertson Stephens; and American Century
Investment Management, Inc. for TC Balanced and TC International. The Investment
Manager receives a fee computed daily and paid monthly based on an annual rate
of 1.00%, .75%, .90%, .50%, .75%, .75%, .75%, .85%, .65%, .75%, .90%, 1.00%,
.80%, .75%, 1.00%, .90%, .65%, 1.00%, 1.00%, .75%, .85%, 1.00%, and .90% of the
average daily net assets of the Putnam International, Lord Abbett, JanCap, Money
Market, Federated, Putnam Balanced, High Yield, Asset Allocation, PIMCO,
INVESCO, Founders, T. Rowe, International Bond, Berger, Passport, Natural
Resources, Limited Maturity, Robertson Stephens, Janus Overseas, Putnam Value,
TC Balanced, TC International, and Small Company Portfolios, respectively. The
fees for Putnam International are at the rate of .85% for average daily net
assets in excess of $75 million, for Federated are at the rate of .60% for
average daily net assets in excess of $50 million, and for Putnam Balanced are
at the rate of .70% for average daily net assets in excess of $300 million. The
Investment Manager is currently voluntarily waiving .05% of its fee for Money
Market.
The Investment Manager pays each Sub-advisor a fee computed daily and payable
monthly based on an annual rate of .65%, .50%, .60%, .25%, .50%, .45%, .50%,
.50%, .30%, .50%, .65%, .75%, .40%, .55%, .60%, .60%, .30%, .60%, .65%, .45%,
.50%, .70%, and .60% of the average daily net assets of the Putnam
International, Lord Abbett, JanCap, Money Market, Federated, Putnam Balanced,
High Yield, Asset Allocation, PIMCO, INVESCO, Founders, T. Rowe, International
Bond, Berger, Passport, Natural Resources, Limited Maturity, Robertson Stephens,
Janus Overseas, Putnam Value, TC Balanced, TC International, and Small Company
Portfolios, respectively. The Sub-advisor for Money Market is currently
voluntarily waiving a portion of the fee payable to them by the Investment
Manager. The annual rates of the fees payable by the Investment Manager to the
Sub-advisors of all Portfolios, other than International Bond, are reduced for
Portfolio net assets in excess of specified levels.
The Investment Management Agreement with each Portfolio provides that the
Investment Manager will reimburse the Portfolio to prevent its expenses from
exceeding a specific percentage limit. During the six months ended June 30,
1997, the Investment Manager reimbursed Money Market and TC Balanced in the
amount of $133,483 and $4,638, respectively.
The Trust has entered into an agreement with American Skandia Life Assurance
Corporation ("ASLAC") pursuant to which it pays ASLAC a shareholder servicing
fee at an annual rate of .10% of each Portfolio's average daily net assets.
Certain officers and/or Trustees of the Trust are also officers and/or directors
of the Investment Manager. During the six months ended June 30, 1997, the Trust
made no direct payments to its officers or interested Trustees.
3. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and proceeds from securities sold, excluding
short-term obligations, during the six months ended June 30, 1997 were ($ in
thousands): $259,811 and $250,618 for Putnam International, $263,902 and
$152,407 for Lord Abbett, $781,821 and $473,482 for JanCap, $38,811 and $39,291
114
<PAGE> 116
- --------------------------------------------------------------------------------
for Federated, $218,628 and $225,958 for Putnam Balanced, $123,436 and $33,686
for High Yield, $30,492 and $6,073 for Asset Allocation, $679,417 and $723,648
for PIMCO, $233,997 and $145,324 for INVESCO, $79,083 and $60,828 for Founders,
$89,845 and $33,375 for T. Rowe, $98,436 and $84,444 for International Bond,
$203,661 and $200,420 for Berger, $47,750 and $31,586 for Passport, $35,366 and
$24,971 for Natural Resources, $81,962 and $40,823 for Limited Maturity,
$159,247 and $78,761 for Robertson Stephens, $106,081 and $11,185 for Janus
Overseas, $61,792 and $9,163 for Putnam Value, $11,545 and $1,811 for TC
Balanced, $20,220 and $3,426 for TC International, and $54,380 and $723 for
Small Company, respectively.
4. TAX MATTERS
It is the Trust's policy to comply with the requirements of the Internal Revenue
Code pertaining to regulated investment companies and to distribute all of its
taxable income, as well as any net realized gains, to its shareholders.
Therefore, no federal income or excise tax provision has been made. Foreign
taxes have been provided for on dividend and interest income earned on foreign
investments in accordance with the applicable country's tax rates and, to the
extent unrecoverable, are recorded as a reduction of investment income.
Tax Cost of Investments
At June 30, 1997, the net unrealized appreciation or depreciation based on the
cost of investments for federal income tax purposes was as follows ($ in
thousands):
<TABLE>
<CAPTION>
TAX GROSS GROSS NET UNREALIZED
COST OF UNREALIZED UNREALIZED APPRECIATION
INVESTMENTS APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------ ------------ --------------
<S> <C> <C> <C> <C>
Putnam
International........ $ 346,051 $ 60,075 $ (2,495) $ 57,580
Lord Abbett........... 584,049 140,075 (1,308) 138,767
JanCap................ 981,656 321,357 (9,594) 311,763
Money Market.......... 668,239 -- -- --
Federated............. 112,475 17,219 (1,059) 16,160
Putnam Balanced....... 299,953 29,009 (1,894) 27,115
High Yield............ 298,963 13,025 (1,397) 11,628
Asset Allocation...... 141,617 26,042 (1,519) 24,523
PIMCO................. 535,843 5,349 (793) 4,556
INVESCO............... 398,516 77,555 (2,745) 74,810
Founders.............. 199,095 51,065 (7,967) 43,098
T. Rowe............... 402,936 98,130 (12,635) 85,495
International Bond.... 101,709 1,925 (2,708) (783)
Berger................ 140,082 15,045 (2,698) 12,347
Passport.............. 119,261 19,995 (4,090) 15,905
Natural Resources..... 99,447 13,998 (4,604) 9,394
Limited Maturity...... 261,130 1,395 (1,838) (443)
Robertson Stephens.... 124,351 17,738 (1,624) 16,114
Janus Overseas........ 123,400 9,463 (1,687) 7,776
Putnam Value.......... 54,324 3,025 (457) 2,568
TC Balanced........... 12,296 821 (70) 751
TC International...... 17,306 1,183 (145) 1,038
Small Company......... 62,678 6,441 (538) 5,903
</TABLE>
Capital Loss Carryforwards
At December 31, 1996, for federal income tax purposes, capital loss
carryforwards ($ in thousands) which may be applied against future net taxable
realized gains of each succeeding year until the earlier of utilization or
expiration in 2004 were: $3,901 for PIMCO, $521 for Founders, $1,177 for Limited
Maturity, and $8 for Robertson Stephens.
115
<PAGE> 117
- --------------------------------------------------------------------------------
Reporting of Distributions
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits, which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains. Other financial statement reclassifications, due to permanent differences
between book and tax accounting, had no effect on the net assets or net asset
value per share.
5. WRITTEN OPTION TRANSACTIONS
Written option transactions entered into during the six months ended June 30,
1997 are summarized as follows ($ in thousands):
<TABLE>
<CAPTION>
PIMCO LIMITED MATURITY
----------------------- -----------------------
NUMBER NUMBER
OF CONTRACTS PREMIUM OF CONTRACTS PREMIUM
------------ ------- ------------ -------
<S> <C> <C> <C> <C>
Balance at beginning of
period.................. 962 $ 669 143 $44
Written.................. 750 495 -- --
Expired.................. (1,362) (873) 143 44
Exercised................ -- -- --
Closing buys............. -- -- -- --
----- ------ ----- -----
Balance at end of
period.................. 350 $ 291 -- $--
===== ====== ===== =====
</TABLE>
At June 30, 1997, PIMCO and Limited Maturity had sufficient cash and/or
securities at least equal to the value of written options.
116
