<PAGE> 1
AMERICAN
SKANDIA
TRUST
---------------------------------------------------------------------------
ANNUAL REPORT
---------------------------------------------------------------------------
DECEMBER 31, 1996
<PAGE> 2
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam International Equity Portfolio (formerly the Seligman Henderson
International Equity Portfolio) showed a total return of 9.65% for the year
ended December 31, 1996. This compared to a return of 6.05% from the unmanaged
Morgan Stanley Capital International (MSCI) EAFE Index during this period.
During 1996 all EAFE markets except Japan had positive returns, with strong
returns in continental Europe and South East Asia. The poor Japanese stock
market performance was exacerbated by the weakness of the yen during 1996. The
outperformance of the Portfolio for the year came from a combination of market
selection, stock selection and currency hedging. An overweight position in
continental Europe combined with an underweight position in Japan, along with
hedging of the yen, contributed positively to returns.
On October 15, 1996 Putnam Investment Management, Inc. became the sub-advisor to
the Portfolio. Putnam believes that the overall outlook for international
economies and stock markets remains positive, and that in an environment of
political stability, moderate GDP growth, rising corporate profits, low
inflation, and lower fiscal deficits, non-U.S. financial assets should continue
to perform well.
<TABLE>
<CAPTION>
Measurement Period AST Putnam International
(Fiscal Year Covered) Equity Portfolio MSCI EAFE Index
<S> <C> <C>
4/19/89 10000 10000
12/89 13760 10922
12/90 13341 8361
12/91 14275 9375
12/92 13084 8234
12/93 17808 10915
12/94 18278 11764
12/95 20105 13082
12/96 22045 13873
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year 5 Year on 4/19/89
----------- ----------- ----------------
<S> <C> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 9.65% 9.08% 10.80%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
1
<PAGE> 3
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
Lord Abbett Growth and Income Portfolio produced a total return of 18.56% for
the year ended December 31, 1996 versus 22.91% for the unmanaged Standard &
Poor's 500 Index.
The past year saw the stock market averages climb to new heights, against a
background of modest economic growth, low inflation and volatile interest rates.
The underperformance of the Portfolio relative to the index was attributable to
its focus on value stocks, which underperformed the market as represented by the
S&P 500 Index in 1996. As value managers, Lord Abbett & Co. established an
important position in the technology sector early in the year and used the
market correction in June and July to add to these holdings at attractive
prices. Indeed, the Portfolio benefited as these stocks increased in value
toward the close of the fiscal year. Additionally, holdings in consumer
non-durables, such as food, pharmaceutical, household product and agriculture
stocks, were steadily increased during the year and performed well.
Lord Abbett anticipates that in 1997 the economy will slow to a sustainable
growth rate of 2% or less with inflation averaging 2 1/2-3%. Against this
backdrop, long-term interest rates should decline and therefor they continue to
overweight interest-sensitive stocks, particularly financial companies. While
1996's corporate profits have proven more robust than expected (attributable to
the lingering effects of cost-cutting and productivity gains), Lord Abbett
forecasts flat profits for 1997 as earnings disappointments accelerate. They
believe their disciplined investment process will continue to uncover
company-specific investment values that provide good opportunity for price
appreciation at less-than-market risk.
<TABLE>
<CAPTION>
Measurement Period Lord Abbett Growth and
(Fiscal Year Covered) Income Portfolio S&P 500 Index
<S> <C> <C>
5/1/92 10000 10000
12/92 10700 10711
12/93 12164 11788
12/94 12434 11938
12/95 16029 16422
12/96 19003 20184
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/1/92
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 18.56% 14.72%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
2
<PAGE> 4
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
Stocks moved ahead again in 1996, ending the year near record highs. For the
year the JanCap Growth Portfolio had a total return of 28.36%, compared with a
gain of 22.91% for the unmanaged Standard & Poor's 500 Index.
The equity markets returned to a more normal state of volatility in 1996.
However, stocks continued to post impressive gains, as nearly ideal economic
conditions and record corporate profits have helped lift stock valuations. The
moderate economic growth, mild inflation, and low interest rates of the past few
years have provided a healthy climate for business.
The Portfolio received solid returns from a number of sources, including its
financial services, technology, and other dominant franchise holdings. Janus
Capital Corporation believes many of the financial services holdings should
continue to enjoy excellent lending margins, and should also be able to extend
their domination of selected markets. Recently, they selectively trimmed or sold
positions in software and sports apparel companies as they approached high
valuations.
Although Janus expects greater market volatility in 1997, they continue to be
very positive about equities. Janus stayed the course in 1996, and, unless there
is a radical change in the current economic and business environment, they
intend to do the same in 1997. Janus believes its focus on large, high-quality
growth companies should continue to serve the Portfolio well.
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) JanCap Growth Portfolio S&P 500 Index
<S> <C> <C>
11/6/92 10000 10000
12/92 10530 10457
12/93 11780 11508
12/94 11248 11656
12/95 15520 16033
12/96 19921 19706
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 11/6/92
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 28.36% 18.04%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
3
<PAGE> 5
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
For the year ended December 31, 1996 the Federated Utility Income Portfolio had
a total return of 11.53%. For the same period the unmanaged Standard & Poor's
500 Index had a total return of 22.91%, while the unmanaged Standard & Poor's
Utilities Index had a total return of 3.13%.
The Portfolio's return was bolstered by an 11% allocation to natural gas, a
sector which enjoyed a nearly 33% total return in 1996. An allocation of 9% to
international utilities contributed to the Portfolio's return, as international
utilities significantly outperformed domestic utilities in 1996. The interest
rate-sensitive domestics were held back by a poorly performing bond market.
Federated Investment Counseling expects to see more synergistic utility mergers
in 1997. Further competitive rulings in the electric and telecommunications
industries should reduce uncertainty in these groups. Lastly, Federated believes
that utilities retain their defensive investment qualities as the general stock
market becomes increasingly volatile.
<TABLE>
<CAPTION>
Measurement Period Federated Utility
(Fiscal Year Covered) Income Portfolio S&P 500 Index S&P Utilities Index
<S> <C> <C> <C>
5/4/93 10000 10000 10000
12/93 10790 10792 10541
12/94 10040 10930 9704
12/95 12664 15035 13795
12/96 14124 18479 14227
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/4/93
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 11.53% 9.88%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
4
<PAGE> 6
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
The AST Putnam Balanced Portfolio (formerly the AST Phoenix Balanced Asset
Portfolio) had a total return of 11.23% for the year ended December 31, 1996.
That compared with returns of 14.62% for the weighted unmanaged index of 60%
Standard & Poor's 500 Index and 40% Lehman Brothers Government/Corporate Index
(weighted index), and 14.40% for the blended unmanaged benchmark of 55% S&P 500,
35% Lehman Brothers Aggregate Bond and 10% Salomon Brothers Three-month Treasury
Bill indexes. The weighted index has been adopted as the new comparative index
as the result of changes in the manner in which the Portfolio is managed related
to the change of its sub-advisor. The primary reason for the Portfolio's
underperformance compared to the weighted index was its relative underweighting
in U.S. equities throughout the year.
Putnam Investment Management, Inc. began managing the Portfolio on October 15,
1996. The Portfolio at year-end was fully invested in a broadly diversified
balanced portfolio of stocks and bonds with a primary focus on U.S. large
company value-oriented stocks and U.S. investment grade bonds.
Putnam's quantitative and fundamental analyses indicate that the U.S. stock
market is fairly valued. However, they believe it is vulnerable to inflationary
and interest rate surprises or widespread earnings disappointment. They believe
the U.S. bond market is slightly overvalued due to modestly increasing inflation
and the prospect of continuing economic growth. As a result, Putnam favors
stocks over bonds in the short-term, including selected opportunities in
attractively valued overseas markets.
<TABLE>
<CAPTION>
60% S&P 500/40%
Measurement Period AST Putnam Bal- LB-GC Weighted
(Fiscal Year Covered) anced Portfolio Index Blended Index
<S> <C> <C> <C>
5/4/93 10000 10000 10000
12/93 10570 10691 10633
12/94 10580 10630 10653
12/95 12971 13817 13554
12/96 14427 15837 15506
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/4/93
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 11.23% 10.51%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
5
<PAGE> 7
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
Federated High Yield Portfolio achieved a total return of 13.58% for 1996
compared to 11.06% for the unmanaged Merrill Lynch High Yield Index.
The Portfolio outperformed the index because of several factors. Firstly,
Federated Investment Counseling had a much smaller weighting in Double B rated
securities. Double Bs were more negatively impacted by the roughly 85 basis
point increase in the general level of interest rates than was the overall high
yield market. For example, the more credit-sensitive Merrill Lynch Single B
Index outperformed the more interest rate-sensitive Merrill Lynch Double B Index
by over 570 basis points. Secondly, the Portfolio benefited from considerable
merger and acquisition activity as well as equity and debt tender offers
involving portfolio holdings. These corporate actions typically resulted in
securities being retired at attractive prices relative to the overall market.
Finally, the Portfolio benefited from good credit experience during the year,
for the most part avoiding large deteriorating issuers.
<TABLE>
<CAPTION>
Measurement Period Federated High Yield Merrill Lynch High Yield
(Fiscal Year Covered) Portfolio Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9690 9884
12/95 11587 11851
12/96 13161 13163
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 13.58% 9.61%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
6
<PAGE> 8
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Asset Allocation Portfolio had a total return of 13.14% for
1996, compared with a return of 14.62% for the weighted unmanaged index of 60%
Standard & Poor's 500 Index and 40% Lehman Brothers Government/Corporate Index.
T. Rowe Price Associates maintains an allocation of the Portfolio to foreign
stocks and increased that allocation during the year. Most overseas markets did
not perform as well as the S&P 500, which returned 22.91% for the year, causing
the Portfolio's total return to lag its benchmark index. Nevertheless, absolute
performance was strong, and T. Rowe Price believes foreign equities offer very
good value at this time and provide greater diversification.
Although T. Rowe Price believes many U.S. stocks appear to be overvalued, they
expect the domestic market to make further progress, although returns could be
more restrained than during the past two years. Overseas, many world economies
are expanding, as a result of lower interest rates and stronger corporate
earnings. Accordingly, T. Rowe Price believes that international markets can
provide solid investment opportunities for the Portfolio in the coming year.
<TABLE>
<CAPTION>
Measurement Period T. Rowe Price Asset
(Fiscal Year Covered) Allocation Portfolio Weighted Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9940 9943
12/95 12262 12923
12/96 13874 14813
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 13.14% 11.55%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
7
<PAGE> 9
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Total Return Bond Portfolio had a total return of 3.42% for the year
1996. This compares to a return of 3.63% for the unmanaged Lehman Brothers
Aggregate Bond Index.
Interest rates rose and bond prices fell during 1996, which was an adverse
environment for the bullishly-positioned PIMCO Total Return Bond Portfolio.
Investments in higher yielding mortgage-backed securities, lower credit quality
bonds and emerging market bonds produced strong performance results which
partially offset the effect of lower prices due to rising interest rates.
PIMCO expects interest rates to move in a relatively narrow band during 1997
with a strong possibility of falling rates and rising bond prices later in the
year. At current rates, bonds offer an attractive yield relative to the earnings
yield (earnings to price ratio) of the major stock indices.
<TABLE>
<CAPTION>
Measurement Period PIMCO Total Return Bond
(Fiscal Year Covered) Portfolio LB Aggregate Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9750 9708
12/95 11581 11502
12/96 11977 11919
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 3.42% 6.21%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
8
<PAGE> 10
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
The INVESCO Equity Income Portfolio showed a total return of 17.09% for the year
ending December 31, 1996. This compares to a return of 22.91% for the unmanaged
Standard & Poor's 500 Index.
For the second consecutive year stocks handily outperformed bonds. The 70%
equity portion of the Portfolio outperformed the S&P 500 Index while the fixed
income component outperformed its peers. Consistent earnings growth continues to
be the main objective of the Portfolio, which benefited from positions in
companies demonstrating superior growth potential.
Looking ahead, INVESCO Trust Company expects another year of moderate growth and
inflation, with interest rates trading in a narrow range. This should provide a
favorable environment for those quality companies which can provide consistent
earnings growth. The Portfolio will remain diversified, concentrating on those
companies which are believed to possess excellent management, leadership
positions, strong balance sheets, and overall quality and liquidity. As always,
the Portfolio will be constructed to provide an above-average yield; at year end
the overall yield exceeded 3%.
<TABLE>
<CAPTION>
Measurement Period INVESCO Equity Income
(Fiscal Year Covered) Portfolio S&P 500 Index
<S> <C> <C>
1/4/94 9970 10030
12/94 9750 10128
12/95 12682 13931
12/96 14849 17123
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 17.09% 14.11%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
9
<PAGE> 11
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
1996 was another strong year for stocks. The Founders Capital Appreciation
Portfolio achieved a total return of 20.05% for the year ended December 31,
1996. While this trailed the unmanaged Standard & Poor's 500 Index return of
22.91% it compared favorably to the unmanaged small-cap Russell 2000 Index
return of 16.49%.
The Portfolio's performance benefited from the low inflation, moderate growth
environment during the year, and saw particular strength in sectors like retail,
energy, technology and telecommunications. Healthcare was a mixed bag in terms
of performance for 1996, but Founders Asset Management believes it continues to
offer opportunities for 1997.
1997 OUTLOOK
Some believe that the market is too expensive as measured by price to book,
dividend yield, and a multiple of earnings. However, with the global economy
growing quite slowly and mixed signals in the U.S., it is plausible that good
things are yet to come in 1997. Founders believes that inflation continues to be
contained and global competitiveness will continue to put pressure on pricing
power such that corporations will continue to focus on lowering costs and
increasing productivity. Interest rates generally continue to trend down
globally with the most risk in the U.S., where an acceleration in growth could
raise concerns over what action the Federal Reserve Board might take. Founders
is optimistic that rates will remain stable, which should allow growth companies
to continue to earn premium valuations.
<TABLE>
<CAPTION>
Measurement Period Founders Capital
(Fiscal Year Covered) Appreciation Portfolio S&P 500 Index
<S> <C> <C>
1/4/94 10000 10000
12/94 10840 10128
12/95 14369 13931
12/96 17249 17123
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 20.05% 19.97%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
10
<PAGE> 12
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
The Portfolio had a total return of 14.17% for the year ended December 31, 1996,
compared to a total return of 6.05% for the unmanaged Morgan Stanley Capital
International (MSCI) EAFE Index.
Country allocations contributed to the outperformance of the Portfolio for the
year. The largest source of value added was your Portfolio's substantial
underweighting in Japan. The European contribution was positive with successful
overweightings in the Netherlands, France and Norway more than offsetting the
negative impact of an underweight position in the U.K. Value was also added in
Latin America, primarily through your Portfolio's exposure to Brazil -- although
it was subtracted in the Pacific, with the negative impact of positions in Korea
and Thailand more than outweighing the positive impact of an overweight position
in Hong Kong.
Over the year, the emphasis of Rowe Price-Fleming International, Inc. has
remained biased towards the fast growing economies of the Pacific and Latin
America at the expense of Japan. European exposure was slightly underweight at
yearend with overweightings in the Netherlands, France and Norway more than
matched by underweightings in the stock markets of the U.K., Germany and
Switzerland.
1996 was generally a reasonable year for international markets despite the
disappointing performance of Japan. Looking into 1997, Rowe Price-Fleming is
optimistic that international markets as a group can make further progress and
should finally be able to outpace the aging U.S. juggernaut. The economic
outlook world-wide remains supportive with steady, if unexciting, growth being
seen in both Europe and Japan.
<TABLE>
<CAPTION>
Measurement Period T. Rowe Price Interna-
(Fiscal Year Covered) tional Equity Portfolio MSCI / EAFE Index
<S> <C> <C>
1/4/94 10000 10000
12/94 9620 10777
12/95 10687 11985
12/96 12201 12710
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 1/4/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 14.17% 6.87%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
11
<PAGE> 13
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price International Bond Portfolio (formerly the AST Scudder
International Bond Portfolio) had a total return of 5.98% for the year ended
December 31, 1996, compared to the unmanaged J.P. Morgan Non-U.S. Government
Bond (J.P. Morgan) Index which produced a return of 5.28%, and the Salomon
Brothers World Government Bond Index which returned 3.62%. The J.P. Morgan Index
has been adopted as the new comparative index as the result of changes in the
manner in which the Portfolio is managed related to the change of its
sub-advisor. An underweighting in Japan and modest exposure to emerging markets
contributed to the Portfolio's performance relative to the index.
Rowe Price-Fleming International, Inc. became the sub-advisor to the Portfolio
on May 1, 1996. They currently expect no significant change in the global
environment, which has been characterized by moderate growth and a lack of
inflationary pressures, but believe we are at a trough in interest rates in a
number of economies. However, Europe continues to be the exception. Rowe
Price-Fleming believes looser monetary policy is still in order there, given the
fiscal discipline required by many of the economies in order to satisfy the
European Monetary Union criteria.
Rowe Price-Fleming will remain cautious in their investment strategy, preferring
to remain neutral to short in relative interest rate exposure in the overall
Portfolio. They expect improved economic performance and continued reforms
taking place in emerging and developing bond markets will be a catalyst for
lower yields, and their strategy will be to continue to use this expanding and
attractive asset class.
<TABLE>
<CAPTION>
T. Rowe Price J.P. Morgan Gov't. Salomon Brothers
Measurement Period International Bond Bond Non-US Bond World Gov't Bond
(Fiscal Year Covered) Portfolio Index Index
<S> <C> <C> <C>
5/3/94 10000 10000 10000
12/94 9680 10318 10221
12/95 10755 12495 12168
12/96 11398 13154 12608
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/3/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 5.98% 5.03%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
12
<PAGE> 14
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Berger Capital Growth Portfolio had a total return of 16.34% for the year
ended December 31, 1996, compared with a total return of 22.91% on the unmanaged
Standard & Poor's 500 Index.
While the relative performance of the Berger Capital Growth Portfolio was
disappointing, the absolute performance proved rewarding to investors. The
principal reason for the underperformance of the Portfolio relative to the index
was the maintenance by Berger Associates, throughout much of the year, of a
portion of the Portfolio's assets in short-term government securities, the
return from which proved to be substantially less than the S&P 500's robust
gains.
As we enter 1997, Berger's near-term outlook remains generally optimistic. They
maintain a positive stance on oil service and financial stocks, are selectively
optimistic about healthcare and technology shares, and are underweight consumer
related issues. At present they see very little economic, interest rate or
inflationary risk in the marketplace. Strategically, Berger continues to seek
out investment opportunities with significantly above average earnings per share
growth, trading at P/E multiple discounts to their long-term growth rates. They
believe that the market will reward companies with proven track records and
highly predictable earnings streams.
<TABLE>
<CAPTION>
Measurement Period Berger Capital Growth
(Fiscal Year Covered) Portfolio S&P 500 Index
<S> <C> <C>
10/20/94 10000 10000
12/94 9970 9882
12/95 12405 13594
12/96 14431 16708
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 10/20/94
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 16.34% 18.12%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
13
<PAGE> 15
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
The Founders Passport Portfolio (formerly the Seligman Henderson International
Small Cap Portfolio) showed a total return of 12.91% for the year ended December
31, 1996. It was a difficult year once again for foreign indices, with the
unmanaged Morgan Stanley Capital International (MSCI) EAFE Index up only 6.05%
for the year. Favorable stock selection, as well as currency hedging,
contributed to the Portfolio's performance relative to the index.
Since Founders Asset Management took over as sub-advisor on October 15, the
Portfolio's makeup has been changed to reflect Founders' bottom up, growth
oriented style of management. In this transition, the country weights changed
dramatically to reflect where they were finding the best ideas.
1997 OUTLOOK
As Founders looks outside the U.S., they believe that economies in general will
continue to improve in 1997, with the most pronounced improvements in Europe.
The Japanese economy is struggling, and there is a distinct possibility that it
will grow more slowly in 1997, and possibly slip into recession. Emerging
economies are still quite robust, but growth rates there have slowed because of
the stronger dollar and higher oil prices. Founders still expects the economies
of Latin America and Asia, ex-Japan, to grow at least two times the rate of the
developed world in 1997. This likely would lead to much better earnings growth
around the world and, although markets are not as attractively valued as a year
ago, they expect to still be able to find terrific ideas around the world. This
may be especially true in smaller companies, because in general Founders expects
to be able to find better earnings growth at reasonable prices in smaller
companies.
<TABLE>
<CAPTION>
Measurement Period Founders Passport
(Fiscal Year Covered) Portfolio MSCI / EAFE Index
<S> <C> <C>
5/2/95 10000 10000
6/95 10170 9708
12/95 10330 10522
6/96 11844 10997
12/96 11664 11158
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 12.91% 9.65%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
14
<PAGE> 16
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
The T. Rowe Price Natural Resources Portfolio outperformed the unmanaged
Standard & Poor's 500 Index during the year ended December 31, 1996, returning
30.74%, versus a 22.91% return for the S&P 500, in large measure due to its
exposure to the energy sector. However, performance trailed the 32.7% average
return of Lipper Natural Resources Funds because of your Portfolio's
diversification. Many of the funds in the Lipper peer group are more heavily
concentrated in energy stocks, which outperformed several other natural resource
industries.
The unmanaged Standard & Poor's natural resources indices underperformed the
broader market, with the exceptions of the energy service, the exploration and
production, and domestic integrated oil groups. Your Portfolio managed to
outperform the broad market index because of good stock selection in other
natural resource industries. T. Rowe Price Associates expects energy markets, in
particular, to remain an attractive area for investment in the year ahead,
particularly those companies currently investing for profitable growth.
T. Rowe Price's outlook for the U.S. economy calls for continued moderate growth
and relatively low inflation. They believe a key variable in 1997 will be the
scarcity of labor measured by the unemployment rate. If scarcity becomes a
factor, wage costs could begin to rise sufficiently to spur inflation above
current expectations. T. Rowe Price expects several foreign industrial economies
to show some modest acceleration in economic growth. This would be a welcome
development, since the U.S. has so far provided most of the fuel for the global
recovery of the 90s.
<TABLE>
<CAPTION>
Measurement Period T. Rowe Price Natural
(Fiscal Year Covered) Resources Portfolio S&P 500 Index
<S> <C> <C>
5/2/95 10000 10000
6/95 10090 10630
12/95 11110 12162
6/96 12869 13390
12/96 14525 14949
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 30.74% 25.03%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
15
<PAGE> 17
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
The PIMCO Limited Maturity Bond Portfolio had a total return of 3.90% for the
year 1996. The unmanaged benchmark Merrill Lynch 1-3 Year Treasury Index
returned 4.98% for the same period.
Interest rates rose and bond prices fell during 1996, which was an adverse
environment for the bullishly-positioned PIMCO Limited Maturity Bond Portfolio.
Investments in higher yielding mortgage-backed securities and lower credit
quality bonds produced strong performance results, but not enough to offset the
effect of lower prices due to rising interest rates.
PIMCO expects interest rates to move in a relatively narrow band in 1997 with a
strong possibility of falling rates and rising bond prices later in the year. At
current rates, bonds offer an attractive yield relative to the earnings yield
(earnings to price ratio) of the major stock indices.
<TABLE>
<CAPTION>
Measurement Period PIMCO Limited Maturity Merrill Lynch 1-3 Year
(Fiscal Year Covered) Bond Portfolio Treasury Index
<S> <C> <C>
5/2/95 10000 10000
6/95 10050 10227
12/95 10470 10645
6/96 10476 10788
12/96 10878 11174
</TABLE>
<TABLE>
<CAPTION>
Since Inception
1 Year on 5/2/95
----------- ----------------
<S> <C> <C>
AVERAGE ANNUAL TOTAL RETURNS 3.90% 5.16%
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
16
<PAGE> 18
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
The Robertson Stephens Value + Growth Portfolio achieved a total return of 9.9%
from its inception on May 2, 1996 through December 31, 1996. This performance
compares with returns of 14.87% for the unmanaged Standard & Poor's 500 Index
and 5.21% for the unmanaged small-cap Russell 2000 Index for the same period.
Returns for the Portfolio declined during the first three months, as many small
and mid-cap stocks went through a market correction in May, June and July.
However, as the market stabilized, the Portfolio produced strong performance
through the second half of 1996. Significant positions in companies such as Dell
Computer, Amgen, Merrill Lynch and Citicorp all contributed to the solid returns
for the third and fourth quarters.
Robertson Stephens is cautiously optimistic in their outlook for 1997. Despite
the stock market's climb to new highs, they still see many growth opportunities
in today's market environment; the economy continues to grow at an attractive
rate, inflation at approximately 3% is well below historical norms, and finally,
the interest rate environment is benign.
The current S&P 500 P/E multiple of 16-17 times projected 1997 earnings is
slightly above its 40-year average of 14. However, Robertson Stephens believes
the market's 1997 P/E is attractive today when considered relative to our
present inflation rate of less than 3%. In periods of low inflation, the market
can sustain a P/E multiple above 16 for a considerable period. They believe
there will be little inflationary pressure through 1997, and see the current
market valuation as attractive.
<TABLE>
<CAPTION>
Measurement Period Robertson Stephens Value
(Fiscal Year Covered) & Growth Portfolio S&P 500 Index
<S> <C> <C>
5/2/96 10000 10000
6/96 9730 10289
9/96 10330 10604
12/96 10990 11487
</TABLE>
Performance is historical, assumes reinvestment of all dividends and capital
gains, and is not indicative of future results. Portfolio performance numbers
are net of all Portfolio expenses, but do not reflect deduction of insurance
charges.
17
<PAGE> 19
AMERICAN SKANDIA TRUST
SCHEDULES OF INVESTMENTS
DECEMBER 31, 1996
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
18
<PAGE> 20
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
FOREIGN STOCK -- 97.0%
AUSTRALIA -- 2.4%
Commonwealth Bank of Australia... 217,100 $ 2,079,297
Goodman Fielder Ltd.............. 1,624,400 2,015,801
QBE Insurance Group Ltd.......... 364,500 1,922,389
Westpac Banking Corp. Ltd........ 398,100 2,267,438
------------
8,284,925
------------
AUSTRIA -- 1.2%
VA Technologie AG................ 26,600 4,183,869
------------
BELGIUM -- 0.1%
Solvay SA........................ 800 490,763
------------
BRAZIL -- 1.0%
Telebras SA [ADR]................ 45,500 3,480,750
------------
CANADA -- 0.8%
Magna International, Inc. Cl-A... 47,100 2,602,275
------------
DENMARK -- 0.5%
Danisco AS....................... 28,900 1,760,935
------------
FRANCE -- 11.2%
Cetelem Group SA................. 18,400 2,131,151
Chargeurs International SA*...... 39,100 1,939,791
Credit Local de France........... 45,400 3,961,315
Dassault Systems SA*............. 56,000 2,586,877
Lafarge SA....................... 53,600 3,220,987
Michelin C.G.D.E. Cl-B........... 73,600 3,979,569
Peugeot Citroen SA............... 19,700 2,220,875
SGS-Thomson Microelectronics*.... 87,300 6,184,796
Societe Nationale Elf Aquitaine
SA............................. 50,376 4,592,897
Sommer-Allibert.................. 34,080 1,019,709
Total SA Cl-B.................... 66,500 5,417,254
Zodiac SA........................ 4,900 1,500,184
------------
38,755,405
------------
GERMANY -- 7.9%
Adidas AG........................ 24,200 2,094,079
Altana AG........................ 3,600 2,808,328
Bayer AG......................... 161,200 6,549,733
Bayerische Motoren Werke AG...... 7,300 5,043,982
Deutsche Telekom AG*............. 160,000 3,341,575
Preussag AG...................... 8,100 1,833,962
Tarkett AG....................... 47,000 954,066
Veba AG.......................... 84,900 4,888,517
------------
27,514,242
------------
HONG KONG -- 9.0%
Amoy Properties Ltd. ............ 1,874,000 2,701,545
Cheung Kong Holdings Ltd. ....... 576,000 5,119,917
Dao Heng Bank Group Ltd. ........ 280,500 1,345,472
Guoco Group Ltd. ................ 410,000 2,295,300
Hong Kong Electric Holdings
Ltd. .......................... 208,000 691,137
Hong Kong Land Holdings Ltd. .... 741,000 2,059,980
HSBC Holdings PLC................ 336,800 7,206,723
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
Hutchison Whampoa Ltd. .......... 402,000 3,157,476
Sun Hung Kai Properties Ltd. .... 272,000 3,332,084
Swire Pacific Ltd. Cl-A.......... 339,000 3,232,433
------------
31,142,067
------------
INDIA -- 0.8%
Hindalco Industries Ltd. [GDR]... 112,500 2,756,250
------------
IRELAND -- 4.3%
Allied Irish Banks PLC........... 661,000 $ 4,390,220
Bank of Ireland PLC.............. 406,600 3,680,059
CRH PLC.......................... 481,100 4,925,674
Greencore Group PLC.............. 299,300 1,878,717
------------
14,874,670
------------
ITALY -- 1.0%
Ente Nazionale Idrocarburi SPA... 655,700 3,349,491
------------
JAPAN -- 16.4%
Bridgestone Corp. ............... 170,000 3,233,895
Canon, Inc. ..................... 208,000 4,604,237
Dai Nippon Printing Co. Ltd. .... 161,000 2,826,027
Daikin Industries Ltd. .......... 135,000 1,202,335
Denso Corp. ..................... 153,000 3,691,051
East Japan Railway Co. Ltd. ..... 430 1,937,138
Hirose Electric Ltd. ............ 32,000 1,856,636
Ito-Yokado Co. Ltd. ............. 62,000 2,701,945
Kao Corp. ....................... 244,000 2,848,249
Komori Corp. .................... 29,000 616,861
Kurita Water Industries Ltd. .... 95,000 1,922,179
Kyushu Electric Power Ltd. ...... 63,000 1,225,681
Mauri Co. Ltd. .................. 153,000 2,764,981
Mitsubishi Motors Corp. ......... 195,000 1,424,773
Mitsui & Co. Ltd. ............... 267,000 2,170,169
Murata Manufacturing Co. Ltd. ... 47,000 1,564,635
Nippon Telegraph & Telephone
Corp. ......................... 231 1,753,722
Obayashi Corp. .................. 276,000 1,866,252
Omron Corp. ..................... 100,000 1,884,998
Onward Kashiyama Co. Ltd. ....... 95,000 1,338,954
Santen Phamaceutical Ltd. ....... 61,000 1,265,888
Sekisui Chemical Co. Ltd. ....... 112,000 1,133,074
Sharp Corp. ..................... 159,000 2,268,482
TDK Corp. ....................... 60,000 3,916,991
Tokio Marine & Fire Insurance
Co. ........................... 146,000 1,376,048
Tostem Corp. .................... 34,000 940,770
Yamanouchi Pharmaceutical Co.
Ltd. .......................... 79,000 1,625,767
Yamato Transport Co. Ltd. ....... 93,000 964,980
------------
56,926,718
------------
MALAYSIA -- 0.8%
Malayan Banking BHD.............. 100,000 1,108,779
Malaysian Assurance Alliance
BHD............................ 326,000 1,587,851
------------
2,696,630
------------
</TABLE>
19
<PAGE> 21
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
MEXICO -- 0.6%
Panamerican Beverages, Inc.
Cl-A........................... 41,200 $ 1,936,400
------------
NETHERLANDS -- 12.0%
ABN AMRO Holding NV.............. 78,600 5,122,124
Aegon NV......................... 53,700 3,427,858
AKZO Nobel NV.................... 24,300 3,324,907
DSM NV........................... 16,900 1,669,620
Getronics NV..................... 76,100 2,069,278
Gucci Group NV................... 16,300 1,039,125
IHC Caland NV.................... 54,700 3,130,154
ING Groep NV..................... 135,000 4,868,391
KLM Royal Dutch Airlines NV...... 69,000 1,944,226
New Holland NV*.................. 105,000 2,191,875
Philips Electronics NV........... 96,300 3,908,279
Royal PTT Nederland [ADR]........ 103,900 3,948,200
Unilever NV...................... 16,300 2,888,033
Vendex International NV.......... 48,700 2,086,578
------------
41,618,648
------------
PORTUGAL -- 1.0%
Portugal Telecom SA.............. 125,400 3,576,384
------------
SINGAPORE -- 1.1%
Far East Levingston Shipbuilding
Ltd. .......................... 285,000 1,487,559
Overseas Union Bank Ltd. Cl-F.... 149,000 1,150,579
United Overseas Bank Ltd......... 105,000 1,171,171
------------
3,809,309
------------
SPAIN -- 1.0%
Banco Bilbao Vizcaya SA.......... 36,500 1,976,707
Mapfre Vida SA................... 10,400 723,115
Tabacalera SA Cl-A............... 20,800 898,270
------------
3,598,092
------------
SWEDEN -- 6.7%
Astra AB Cl-A.................... 93,300 4,629,353
Autoliv AB....................... 23,500 1,034,541
Electrolux AB Cl-B............... 40,800 2,378,834
Ericsson, (L.M.) Telephone Co.
Cl-B........................... 124,900 3,880,196
Pharmacia & Upjohn, Inc. ........ 107,900 4,440,296
Sandvik AB Cl-B.................. 139,200 3,791,575
Svenska Cellulosa AB Cl-B........ 141,500 2,885,459
------------
23,040,254
------------
SWITZERLAND -- 5.7%
ABB AG........................... 2,430 3,023,201
Julius Baer Holdings AG Cl-B..... 1,570 1,645,901
Nestle SA........................ 3,990 4,284,264
Novartis AG*..................... 3,360 3,848,823
Rieter Holdings AG............... 4,600 1,271,763
Schweizerische Rueckversicerungs-
Gesellschaft................... 3,100 3,310,095
Societe Generale de Surveillance
Holding SA..................... 1,000 2,458,343
------------
19,842,390
------------
<CAPTION>
SHARES VALUE
---------- -------------
<S> <C> <C>
UNITED KINGDOM -- 11.5%
BAT Industries PLC............... 562,000 $ 4,663,920
Barclays PLC..................... 214,000 3,667,346
British Petroleum Co. PLC........ 247,700 2,972,044
Burmah Castrol PLC............... 170,100 3,207,840
General Electric Co. PLC......... 594,000 3,886,609
Guinness PLC..................... 88,500 693,514
Molins PLC....................... 44,400 682,556
RTZ Corp. PLC.................... 203,300 3,261,116
Scottish Power PLC............... 611,900 3,689,301
Securicor PLC.................... 288,700 1,382,132
Shell Transport & Trading Co.
PLC............................ 203,300 3,522,283
United Utilities PLC............. 182,000 1,935,905
Vodafone Group PLC............... 955,400 4,033,882
Weir Group PLC................... 471,700 2,120,881
------------
39,719,329
------------
TOTAL FOREIGN STOCK
(COST $312,082,358)................ 335,959,796
------------
<CAPTION>
PAR
MATURITY (000)
---------- --------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.9%
UBS Securities Funding,
Inc. 6.75% dated
12/31/96, repurchase
price $9,924,720
(Collateralized by
U.S. Treasury Note,
par value $10,406,000,
market value
$10,137,364 due
11/15/05)
(COST $9,921,000)..... 01/02/97 $9,921 9,921,000
------------
TOTAL INVESTMENTS -- 99.9%
(COST $322,003,358).................. 345,880,796
------------
OTHER ASSETS LESS
LIABILITIES -- 0.1%.................. 330,585
------------
NET ASSETS -- 100.0%................... $346,211,381
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy DEM $ 861,223 1.5548 01/97 $ 10,093
Buy GBP 13,435 0.5952 01/97 260
Buy GBP 6,583,201 0.5996 05/97 154,018
Buy JPY 26,257,749 111.6242 01/97 (889,472)
----------
$(725,101)
==========
</TABLE>
20
<PAGE> 22
AST PUTNAM INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell BEF $ 60,778 31.9902 01/97 $ (627)
Sell DEM 11,065,956 1.5010 05/97 163,858
Sell FRF 24,309,261 5.1201 05/97 89,751
Sell GBP 218,333 0.5854 01/97 (563)
Sell GBP 6,438,840 0.6130 05/97 (298,380)
Sell JPY 39,687,235 112.7929 01/97 942,956
Sell NLG 15,396,465 1.6976 05/97 106,752
--------
$1,003,747
==========
</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.
21
<PAGE> 23
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 85.9%
AEROSPACE -- 0.6%
Boeing Co. .................... 30,000 $ 3,191,250
------------
AUTOMOBILE MANUFACTURERS -- 1.8%
General Motors Corp............ 175,000 9,756,250
------------
CHEMICALS -- 1.9%
Dow Chemical Co................ 70,000 5,486,250
Hanna, (M.A.) Co............... 200,000 4,375,000
------------
9,861,250
------------
CLOTHING & APPAREL -- 1.5%
Liz Claiborne, Inc. ........... 100,000 3,862,500
VF Corp........................ 60,000 4,050,000
------------
7,912,500
------------
COMPUTER HARDWARE -- 6.6%
Digital Equipment Corp.*....... 130,000 4,728,750
EMC Corp.*..................... 150,000 4,968,750
Hewlett-Packard Co............. 225,000 11,306,250
International Business Machines
Corp......................... 50,000 7,550,000
Seagate Technology, Inc.*...... 160,000 6,320,000
------------
34,873,750
------------
CONGLOMERATES -- 1.2%
Minnesota Mining &
Manufacturing Co. ........... 80,000 6,630,000
------------
CONSUMER PRODUCTS &
SERVICES -- 2.2%
American Brands, Inc. ......... 170,000 8,436,250
Whirlpool Corp................. 70,000 3,263,750
------------
11,700,000
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 3.4%
Emerson Electric Co. .......... 120,000 11,610,000
National Service Industries,
Inc. ........................ 170,000 6,353,750
------------
17,963,750
------------
ENVIRONMENTAL SERVICES -- 1.6%
WMX Technologies, Inc. ........ 260,000 8,482,500
------------
FINANCIAL-BANK & TRUST -- 8.5%
Bank of Boston Corp............ 200,000 12,850,000
BankAmerica Corp. ............. 60,000 5,985,000
Chase Manhattan Corp. ......... 100,000 8,925,000
Comerica, Inc. ................ 90,000 4,713,750
Great Western Financial
Corp. ....................... 210,000 6,090,000
Keycorp........................ 130,000 6,565,000
------------
45,128,750
------------
FINANCIAL SERVICES -- 1.3%
Dean Witter Discover & Co. .... 30,900 2,047,125
Providian Corp. ............... 100,000 5,137,500
------------
7,184,625
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FOOD -- 8.1%
Conagra, Inc. ................. 200,000 9,950,000
CPC International, Inc. ....... 85,000 6,587,500
Heinz, (H.J.) Co. ............. 170,000 6,077,500
Hershey Foods Corp. ........... 75,000 3,281,250
Pioneer Hi-Bred International,
Inc. ........................ 100,000 7,000,000
Sara Lee Corp. ................ 170,000 6,332,500
Supervalu, Inc. ............... 140,000 3,972,500
------------
43,201,250
------------
HEALTHCARE SERVICES -- 1.1%
United Healthcare Corp. ....... 125,000 $ 5,625,000
------------
INDUSTRIAL PRODUCTS -- 2.4%
Cooper Tire & Rubber Co. ...... 79,400 1,568,150
Corning, Inc. ................. 240,000 11,100,000
------------
12,668,150
------------
INSURANCE -- 5.8%
American General Corp. ........ 38,000 1,553,250
Chubb Corp. ................... 225,000 12,093,750
CIGNA Corp. ................... 30,000 4,098,750
Safeco Corp. .................. 175,000 6,901,563
Transamerica Corp. ............ 80,000 6,320,000
------------
30,967,313
------------
MACHINERY & EQUIPMENT -- 4.4%
Deere & Co. ................... 275,000 11,171,875
Goulds Pumps, Inc. ............ 210,000 4,816,875
Snap-On, Inc. ................. 200,000 7,125,000
------------
23,113,750
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 1.7%
Mallinckrodt Group, Inc. ...... 200,000 8,825,000
------------
OFFICE EQUIPMENT -- 0.8%
Harris Corp. .................. 65,000 4,460,625
------------
OIL & GAS -- 7.7%
Chevron Corp. ................. 80,000 5,200,000
Coastal Corp. ................. 70,000 3,421,250
Consolidated Natural Gas
Co. ......................... 75,000 4,143,750
Mobil Corp. ................... 100,000 12,225,000
Schlumberger Ltd. ............. 45,000 4,494,375
Sonat, Inc. ................... 100,000 5,150,000
Total SA [ADR]................. 160,000 6,440,000
------------
41,074,375
------------
PAPER & FOREST PRODUCTS -- 4.4%
International Paper Co. ....... 225,000 9,084,375
James River Corp. of
Virginia..................... 270,000 8,943,750
Kimberly-Clark Corp. .......... 55,000 5,238,750
------------
23,266,875
------------
PHARMACEUTICALS -- 3.4%
Smithkline Beecham PLC [ADR]... 120,000 8,160,000
Warner-Lambert Co. ............ 130,000 9,750,000
------------
17,910,000
------------
</TABLE>
22
<PAGE> 24
LORD ABBETT GROWTH AND INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
PRINTING & PUBLISHING -- 0.6%
Deluxe Corp. .................. 100,000 $ 3,275,000
------------
RESTAURANTS -- 1.1%
Brinker International, Inc.*... 350,000 5,600,000
------------
RETAIL & MERCHANDISING -- 5.1%
Dillard Department Stores, Inc.
Cl-A......................... 200,000 6,175,000
May Department Stores Co. ..... 85,000 3,973,750
Payless Shoesource, Inc.*...... 170,000 6,375,000
Toys 'R' Us, Inc.*............. 350,000 10,500,000
------------
27,023,750
------------
TELECOMMUNICATIONS -- 3.2%
AT&T Corp. .................... 140,000 6,090,000
Lucent Technologies, Inc. ..... 65,000 3,006,250
MCI Communications Corp. ...... 240,000 7,845,000
------------
16,941,250
------------
UTILITIES -- 5.5%
Baltimore Gas & Electric
Co. ......................... 260,000 6,955,000
Carolina Power & Light Co. .... 200,000 7,300,000
Central & South West Corp. .... 280,000 7,175,000
Cinergy Corp. ................. 230,000 7,676,250
------------
29,106,250
------------
TOTAL COMMON STOCK
(COST $384,990,810).............. 455,743,213
------------
PREFERRED STOCK -- 4.1%
CONTAINERS & PACKAGING -- 0.8%
Sonoco Products Co. $2.25
[CVT]........................ 75,000 4,115,625
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
INSURANCE -- 0.7%
Aetna, Inc. Cl-C 6.25% [CVT]... 50,000 $ 3,968,750
------------
OIL & GAS -- 2.6%
Atlantic Richfield Co. 9.01%
[CVT]........................ 250,000 5,375,000
Occidental Petroleum Corp.
$3.875 [CVT] 144A............ 140,000 8,223,040
------------
13,598,040
------------
TOTAL PREFERRED STOCK
(COST $21,967,527)............... 21,682,415
------------
SHORT TERM INVESTMENTS -- 7.1%
Temporary Investment Cash
Fund......................... 18,939,511 18,939,511
Temporary Investment Fund...... 18,939,511 18,939,511
------------
(COST $37,879,022)............. 37,879,022
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- -------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 2.5%
U.S. Treasury Bonds
6.875%
(COST $12,755,062)... 08/15/25 $13,000 13,253,240
------------
TOTAL INVESTMENTS -- 99.6%
(COST $457,592,421)................. 528,557,890
OTHER ASSETS LESS
LIABILITIES -- 0.4%................. 1,939,559
------------
NET ASSETS -- 100.0%.................. $530,497,449
============
</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 year, these securities amounted
to 1.6% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
23
<PAGE> 25
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 92.1%
AEROSPACE -- 3.9%
Boeing Co. ...................... 268,800 $ 28,593,600
Gulfstream Aerospace Corp.* ..... 35,425 859,056
Textron, Inc. ................... 56,850 5,358,113
------------
34,810,769
------------
AIRLINES -- 3.8%
UAL Corp.* ...................... 538,025 33,626,563
------------
BEVERAGES -- 6.1%
Coca-Cola Co. ................... 297,200 15,640,150
Coca-Cola Enterprises, Inc. ..... 185,250 8,984,625
Pepsico, Inc. ................... 1,021,550 29,880,338
------------
54,505,113
------------
CHEMICALS -- 7.5%
Cytec Industries, Inc.* ......... 743,950 30,222,969
Monsanto Co. .................... 694,650 27,004,519
Praxair, Inc. ................... 206,900 9,543,263
------------
66,770,751
------------
CLOTHING & APPAREL -- 4.5%
Gucci Group NV [ADR] ............ 210,950 13,474,431
Nike, Inc. Cl-B ................. 442,825 26,458,794
St. John Knits, Inc. ............ 7,375 320,813
------------
40,254,038
------------
COMPUTER HARDWARE -- 5.8%
Dell Computer Corp.* ............ 264,925 14,074,141
International Business Machines
Corp. ......................... 246,850 37,274,350
------------
51,348,491
------------
COMPUTER SERVICES & SOFTWARE -- 13.8%
Cadence Design Systems, Inc.* ... 100,000 3,975,000
Cisco Systems, Inc.* ............ 469,525 29,873,528
Clarify, Inc.* .................. 46,100 2,212,800
Computer Sciences Corp.* ........ 134,425 11,039,653
First Data Corp. ................ 563,878 20,581,547
Gartner Group, Inc. Cl-A* ....... 289,800 11,284,087
HBO & Co. ....................... 161,875 9,611,328
Microsoft Corp.* ................ 306,575 25,330,759
Oracle Corp.* ................... 36,750 1,534,313
Parametric Technology Corp.* .... 71,025 3,648,909
Sapient Corp.* .................. 84,000 3,538,500
Transactions Systems Architects,
Inc.* ......................... 12,100 402,325
------------
123,032,749
------------
ELECTRONIC COMPONENTS &
EQUIPMENT -- 3.1%
Applied Materials, Inc.* ........ 150,000 5,390,625
Diebold, Inc. ................... 65,825 4,138,747
Etec Systems, Inc.* ............. 28,450 1,088,212
General Electric Co. ............ 151,225 14,952,372
KLA Instruments Corp.* .......... 45,000 1,597,500
Raychem Corp. ................... 12,400 993,550
------------
28,161,006
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 1.4%
Mirage Resorts, Inc.* ........... 578,800 $ 12,516,550
------------
FINANCIAL-BANK & TRUST -- 13.0%
Bank Plus Corp.* ................ 670,609 7,712,003
Chase Manhattan Corp. ........... 281,450 25,119,412
Citicorp ........................ 403,445 41,554,835
Mercantile Bancorporation,
Inc. .......................... 111,200 5,712,900
Wells Fargo & Co. ............... 134,083 36,168,889
------------
116,268,039
------------
FINANCIAL SERVICES -- 8.1%
Associates First Capital
Corp. ......................... 187,975 8,294,397
Federal Home Loan Mtge. Corp. ... 135,175 14,886,147
Federal National Mtge. Assoc. ... 352,085 13,115,166
First USA Paymentech, Inc.* ..... 137,400 4,654,425
Hambrecht & Quist Group* ........ 258,775 5,596,009
Merrill Lynch & Co., Inc. ....... 312,925 25,503,387
------------
72,049,531
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.5%
Fresenius Medical Care AG
[ADR]*......................... 171,325 4,818,516
------------
METALS & MINING -- 1.5%
Potash Corp. of Saskatchewan,
Inc............................ 154,175 13,104,875
------------
OFFICE EQUIPMENT -- 1.8%
Alco Standard Corp. ............. 63,200 3,262,700
Danka Business Systems PLC
[ADR].......................... 370,450 13,104,669
------------
16,367,369
------------
PHARMACEUTICALS -- 8.6%
Biochem Pharma, Inc.* ........... 84,450 4,243,612
Bristol-Meyers Squibb Co. ....... 6,475 704,156
Lilly, (Eli) & Co. .............. 300,275 21,920,075
Pfizer, Inc. .................... 374,975 31,076,053
Warner Lambert Co. .............. 250,000 18,750,000
------------
76,693,896
------------
RETAIL & MERCHANDISING -- 0.9%
Cross-Continent Auto Retailers,
Inc.*.......................... 31,675 661,216
Finish Line, Inc.* .............. 72,500 1,531,562
Vons Companies, Inc.* ........... 94,375 5,650,703
------------
7,843,481
------------
SEMI-CONDUCTORS -- 1.7%
Intel Corp. ..................... 116,350 15,234,578
------------
TELECOMMUNICATIONS -- 5.5%
Ascend Communications, Inc.* .... 114,550 7,116,419
Cincinnati Bell, Inc. ........... 130,625 8,049,766
Lucent Technologies, Inc. ....... 733,100 33,905,875
------------
49,072,060
------------
UTILITIES -- 0.6%
PECO Energy Co. ................. 206,325 5,209,706
------------
TOTAL COMMON STOCK
(COST $644,897,492) ............... 821,688,081
------------
</TABLE>
24
<PAGE> 26
JANCAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FOREIGN STOCK -- 1.3%
AUTOMOBILE MANUFACTURERS
Porsche AG Pfd. -- (DEM)
(COST $8,294,264) ............... 13,419 $ 12,004,636
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- --------
<S> <C> <C>
COMMERCIAL PAPER -- 4.4%
American Express Credit
Corp. 6.55%
(COST $39,292,850) .... 01/02/97 $39,300 39,292,850
------------
<CAPTION>
VALUE
-----
<S> <C>
TOTAL INVESTMENTS -- 97.8%
(COST $692,484,606) ............... $872,985,567
OTHER ASSETS LESS
LIABILITIES -- 2.2% ............... 19,338,822
------------
NET ASSETS -- 100.0% ................ $892,324,389
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED
COVERED EXCHANGE EXPIRATION UNREALIZED
TYPE BY CONTRACT RATE MONTH APPRECIATION
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell DEM $6,388,155 1.4757 01/97 $247,747
========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
25
<PAGE> 27
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 12.7%
FINANCIAL-BANK & TRUST
Abbey National
Treasury [VR]
5.375%.............. 01/15/97 $15,000 $ 14,995,855
Bayerische Landesbank [VR]
5.37%............... 01/15/97 5,000 4,999,879
First Union National
Bank NC
5.595% [VR]......... 01/20/97 5,000 5,000,000
5.36%............... 02/18/97 20,000 20,000,000
PNC Bank N.A. [VR]
5.5037%............. 01/11/97 15,000 14,989,511
Society National Bank
of Cleveland [VR]
4.85%............... 01/01/97 10,000 9,996,492
------------
TOTAL CORPORATE OBLIGATIONS
(COST $69,981,737)................ 69,981,737
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 15.8%
Federal Home Loan Bank
6.50%............... 01/02/97 76,630 76,616,164
Federal National Mtge.
Assoc. [VR]
5.42%............... 01/07/97 10,000 9,996,583
------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS
(COST $86,612,747)................ 86,612,747
------------
U.S. TREASURY OBLIGATIONS -- 1.8%
U.S. Treasury Notes
5.25%
(COST $9,967,357)..... 12/31/97 10,000 9,967,357
------------
CERTIFICATES OF DEPOSIT -- 39.9%
Bank of New York
Co., Inc.
5.55%............... 04/01/97 5,000 4,999,141
Bank of Tokyo N.A.
5.58%............... 03/17/97 25,000 25,000,000
Banque National de
Paris NY
5.38%............... 03/03/97 20,000 19,999,558
Banque National de
Paris SF
5.80%............... 01/09/97 7,000 6,999,274
Bayerische Landesbank
NY
5.50%............... 11/21/97 7,500 7,494,208
Canadian Imperial Bank
of Commerce
5.39%............... 01/30/97 17,225 17,225,000
5.46%............... 02/19/97 7,500 7,500,101
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Deutsche Bank
5.55%............... 11/10/97 $20,000 $ 19,991,058
Landesbank Hess
6.01%............... 07/18/97 5,000 5,007,710
National Westminster
Bank NY
5.39%............... 02/14/97 21,000 20,999,979
NationsBank Corp.
4.90%............... 02/05/97 12,000 11,999,445
Royal Bank of Canada
5.745%.............. 05/15/97 22,000 22,003,372
Sanwa Bank Ltd.
5.68%............... 01/13/97 25,000 25,000,083
Societe Generale NY
5.65%............... 04/01/97 15,000 15,000,971
Sumitomo Bank Ltd. NY
5.61%............... 01/31/97 10,000 10,000,083
------------
TOTAL CERTIFICATES OF DEPOSIT
(COST $219,219,983)............... 219,219,983
------------
COMMERCIAL PAPER -- 29.6%
BEVERAGES -- 0.9%
Coca-Cola Co.
5.92%............... 01/09/97 5,000 4,993,422
FINANCIAL-BANK & TRUST -- 9.8%
ABN AMRO Bank
5.34%............... 06/19/97 10,000 9,749,317
Barclays U.S. Funding
Corp.
5.72%............... 01/03/97 25,000 24,992,056
Caisse D'Amortissement
5.33%............... 02/06/97 19,000 18,898,730
------------
53,640,103
------------
FINANCIAL SERVICES -- 8.9%
Deutsche Bank
Financial, Inc.
5.70%............... 01/02/97 5,000 4,999,208
Ford Motor Credit
Corp.
7.00%............... 01/02/97 25,000 24,995,139
Korea Development Bank
5.32%............... 03/05/97 19,000 18,823,110
------------
48,817,457
------------
INSURANCE -- 0.9%
AIG Funding Corp.
5.95%............... 01/02/97 5,000 4,999,174
------------
OIL & GAS -- 4.6%
Koch Industries, Inc.
7.10%............... 01/02/97 25,000 24,995,069
------------
</TABLE>
26
<PAGE> 28
AST MONEY MARKET PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
PHARMACEUTICALS -- 4.5%
Warner-Lambert Co.
6.10%............... 01/06/97 $25,000 $ 24,978,819
------------
TOTAL COMMERCIAL PAPER
(COST $162,424,044)............... 162,424,044
------------
TOTAL INVESTMENTS -- 99.8%
(COST $548,205,868)............... 548,205,868
OTHER ASSETS LESS
LIABILITIES -- 0.2%............... 1,263,717
------------
NET ASSETS -- 100.0%................ $549,469,585
============
</TABLE>
- --------------------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
27
<PAGE> 29
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 74.6%
AUTOMOBILE MANUFACTURERS -- 1.1%
Ford Motor Co. .................... 44,000 $ 1,402,500
------------
CONGLOMERATES -- 1.9%
Philip Morris Companies, Inc. ..... 20,200 2,275,025
------------
FINANCIAL-BANK & TRUST -- 1.0%
Mellon Bank Corp. ................. 16,600 1,178,600
------------
OIL & GAS -- 2.9%
Exxon Corp......................... 6,000 588,000
New Jersey Resources Corp. ........ 8,700 254,475
Panenergy Corp. ................... 29,900 1,345,500
Williams Companies, Inc. .......... 37,950 1,423,125
------------
3,611,100
------------
REAL ESTATE -- 2.9%
Meditrust Corp. [REIT]............. 90,700 3,628,000
------------
TELECOMMUNICATIONS -- 19.2%
Ameritech Corp. ................... 58,400 3,540,500
AT&T Corp. ........................ 24,000 1,044,000
BellSouth Corp. ................... 87,300 3,524,737
Frontier Corp. .................... 26,500 599,562
GTE Corp. ......................... 77,700 3,535,350
MCI Communications Corp. .......... 111,600 3,647,925
Pacific Telesis Group.............. 69,200 2,543,100
SBC Communications, Inc. .......... 13,100 677,925
Sprint Corp. ...................... 61,600 2,456,300
Telebras SA [ADR].................. 18,400 1,407,600
Telefonica del Peru SA Cl-B
[ADR]............................ 32,400 611,550
------------
23,588,549
------------
UTILITIES -- 0.2%
American Water Works Co., Inc. .... 13,900 286,687
------------
UTILITIES -- ELECTRIC -- 41.0%
Cinergy Corp. ..................... 43,800 1,461,825
CMS Energy Corp. .................. 114,200 3,839,975
DPL, Inc. ......................... 132,200 3,238,900
DQE, Inc. ......................... 99,850 2,895,650
Duke Power Co. .................... 98,300 4,546,375
FPL Group, Inc. ................... 106,900 4,917,400
GPU, Inc........................... 54,600 1,835,925
Illinova Corp...................... 109,000 2,997,500
Korea Electric Power Corp. [ADR]... 41,600 852,800
National Power PLC [ADR]........... 78,300 2,652,413
NIPSCO Industries, Inc............. 72,800 2,884,700
Pacificorp......................... 91,400 1,873,700
PECO Energy Co..................... 90,100 2,275,025
Pinnacle West Capital Co........... 116,700 3,705,225
Portland General Corp.............. 63,900 2,683,800
Southern Co........................ 122,700 2,776,087
Teco Energy, Inc................... 108,400 2,615,150
Texas Utilities Co................. 59,000 2,404,250
------------
50,456,700
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
UTILITIES -- GAS -- 4.4%
MCN Corp........................... 102,900 $ 2,971,238
Pacific Enterprises................ 81,500 2,475,563
------------
5,446,801
------------
TOTAL COMMON STOCK
(COST $81,880,351)................. 91,873,962
------------
PREFERRED STOCK -- 15.7%
COMPUTER SERVICES & SOFTWARE -- 1.7%
Microsoft Corp. 2.75% [CVT]........ 25,700 2,059,213
------------
CONTAINERS & PACKAGING -- 0.5%
Amcor Ltd. 7.25% [CVT]............. 12,700 647,700
------------
ENVIRONMENTAL SERVICES -- 1.0%
Browning-Ferris Industries, Inc.
7.25% [CVT]...................... 45,300 1,291,050
------------
FINANCIAL SERVICES -- 5.8%
Merrill Lynch & Co., Inc. [CVT]
6.00%............................ 33,300 740,925
6.25%............................ 15,200 609,900
6.50%............................ 31,300 2,104,925
7.25%............................ 11,600 771,400
Salomon, Inc. [CVT]
6.25%............................ 22,200 1,337,550
7.625%........................... 22,000 673,750
SunAmerica, Inc. $3.10 [CVT]....... 20,000 845,000
------------
7,083,450
------------
INSURANCE -- 1.0%
Aetna, Inc. 6.25% [CVT]............ 15,500 1,230,312
------------
METALS & MINING -- 1.0%
Coeur D'arlene Mines Corp. 7.00%
[CVT]............................ 68,700 1,202,250
------------
OFFICE EQUIPMENT -- 0.5%
Alco Standard Corp. $5.04 [CVT].... 6,600 630,300
------------
OIL & GAS -- 2.5%
Tosco Corp. [CVT] 144A*............ 23,800 1,228,675
Williams Companies, Inc. $3.50
[CVT]............................ 20,500 1,783,500
------------
3,012,175
------------
PAPER & FOREST PRODUCTS -- 0.3%
International Paper Co. 5.25%
[CVT]............................ 7,800 354,900
------------
PRINTING & PUBLISHING -- 0.5%
Hollinger International Publishing
Co. 9.75% [CVT].................. 58,600 673,900
------------
TELECOMMUNICATIONS -- 0.9%
Airtouch Communications, Inc. 6.00%
Cl-B [CVT]....................... 41,100 1,119,975
------------
TOTAL PREFERRED STOCK
(COST $18,081,464)................... 19,305,225
------------
</TABLE>
28
<PAGE> 30
FEDERATED UTILITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
FOREIGN STOCK -- 2.0%
TELECOMMUNICATIONS -- 1.3%
Stet di Risp SPA -- (ITL).......... 475,600 $ 1,599,377
------------
UTILITIES -- ELECTRIC -- 0.7%
Iberdrola SA -- (ESP).............. 59,000 838,690
------------
TOTAL FOREIGN STOCK
(COST $1,809,986).................... 2,438,067
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- --------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 4.0%
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.9%
Solectron Corp. Notes
[CVT] 144A
6.00%.................. 03/01/06 $1,050 1,136,625
------------
FINANCIAL SERVICES -- 1.0%
New World Infrastructure
Bonds [CVT] 144A
5.00%.................. 07/15/01 1,000 1,183,750
------------
HEALTHCARE SERVICES -- 0.5%
Tenet Healthcare Corp.
Sub. Notes [CVT]
6.00%.................. 12/01/05 560 594,300
------------
PHARMACEUTICALS -- 0.8%
Alza Corp. Sub. Debs.
[CVT]
5.00%.................. 05/01/06 1,100 1,061,500
------------
RETAIL &
MERCHANDISING -- 0.4%
Saks Holdings, Inc. Sub.
Notes [CVT]
5.50%.................. 09/15/06 500 455,625
------------
UTILITIES -- ELECTRIC -- 0.4%
Korea Electric Power
Debs. [CVT]
5.00%.................. 08/01/01 470 490,562
------------
TOTAL CORPORATE OBLIGATIONS
(COST $4,672,101)................... 4,922,362
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- -------- ------------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 3.3%
HSBC Securities, Inc.
5.50% dated 12/31/96,
repurchase price
$4,102,253
(Collateralized
by U.S. Treasury Note,
par value $4,030,000,
market value $4,202,292
due 04/15/98)
(COST $4,101,000)...... 01/02/97 $4,101 $ 4,101,000
------------
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund..... 5,138 5,138
Temporary Investment Fund.......... 5,138 5,138
------------
(COST $10,276)..................... 10,276
------------
TOTAL INVESTMENTS -- 99.6%
(COST $110,555,178).................. 122,650,892
OTHER ASSETS LESS
LIABILITIES -- 0.4%.................. 487,196
------------
NET ASSETS -- 100.0%................... $123,138,088
============
</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 year, these securities amounted
to 2.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
29
<PAGE> 31
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 50.0%
ADVERTISING -- 0.2%
Omnicom Group, Inc. ............... 10,100 $ 462,075
----------
AEROSPACE -- 1.6%
General Motors Corp. Cl-H.......... 21,900 1,231,875
Gulfstream Aerospace Corp.*........ 2,800 67,900
Northrop Grumman Corp. ............ 15,150 1,253,662
Precision Castparts Corp. ......... 5,800 287,825
Rockwell International Corp.*...... 9,470 576,486
United Technologies Corp. ......... 17,580 1,160,280
----------
4,578,028
----------
AIRLINES -- 0.3%
Delta Air Lines, Inc. ............. 10,500 744,187
----------
AUTOMOBILE MANUFACTURERS -- 1.5%
Chrysler Corp. .................... 23,000 759,000
Ford Motor Co. .................... 43,090 1,373,494
General Motors Corp. .............. 37,300 2,079,475
----------
4,211,969
----------
AUTOMOTIVE PARTS -- 2.2%
Eaton Corp. ....................... 20,940 1,460,565
Echlin, Inc. ...................... 35,540 1,123,952
Goodyear Tire & Rubber Co. ........ 11,400 585,675
ITT Industries, Inc. .............. 39,320 963,340
Magna International, Inc. Cl-A..... 5,000 278,750
TRW, Inc. ......................... 38,100 1,885,950
----------
6,298,232
----------
BEVERAGES -- 0.3%
Anheuser-Busch Companies, Inc. .... 9,200 368,000
Coca-Cola Enterprises, Inc. ....... 5,700 276,450
Panamerican Beverages, Inc. Cl-A... 5,500 257,812
----------
902,262
----------
BROADCASTING -- 0.1%
Evergreen Media Corp. Cl-A......... 6,900 172,500
----------
BUILDING MATERIALS -- 0.4%
Armstrong World Industries,
Inc. ............................ 11,730 815,235
Sherwin-Williams Co. .............. 5,400 302,400
Terex Corp. Appreciation Rights*... 600 1,200
----------
1,118,835
----------
BUSINESS SERVICES -- 0.6%
Accustaff*......................... 10,100 213,362
Equifax, Inc. ..................... 14,200 434,875
Norrell Corp. ..................... 13,500 367,875
Primark Corp.*..................... 7,800 193,050
Quintiles Transnational Corp.*..... 3,400 225,250
Telespectrum Worldwide, Inc.*...... 14,100 223,838
----------
1,658,250
----------
CHEMICALS -- 1.6%
Dupont, (E.I.) de Nemours & Co. ... 13,700 1,292,938
Eastman Chemical Co. .............. 21,010 1,160,802
Praxair, Inc. ..................... 7,400 341,325
Witco Corp. ....................... 53,530 1,632,665
----------
4,427,730
----------
SHARES VALUE
------- ------------
CLOTHING & APPAREL -- 0.3%
Hilfiger, (Tommy) Corp.*........... 4,200 $ 201,600
Jones Apparel Group, Inc.*......... 7,600 284,050
Nine West Group, Inc.*............. 4,900 227,238
St. John Knits, Inc. .............. 3,900 169,650
----------
882,538
----------
COMPUTER HARDWARE -- 1.1%
Gateway 2000, Inc.*................ 2,600 139,262
Hewlett-Packard Co. ............... 18,300 919,575
International Business Machines
Corp. ........................... 13,630 2,058,130
----------
3,116,967
----------
COMPUTER SERVICES & SOFTWARE -- 1.3%
BMC Software, Inc.*................ 2,000 82,750
CDW Computers Centers, Inc.*....... 5,200 308,425
Citrix Systems, Inc.*.............. 4,600 179,687
DST Systems, Inc.*................. 6,200 194,525
Learning Co., Inc.*................ 10,100 145,188
McAfee Associates, Inc.*........... 7,500 330,000
NCR Corp.*......................... 18,720 624,780
Parametric Technology Corp.*....... 4,900 251,737
Paychex, Inc. ..................... 4,400 226,325
Peoplesoft, Inc.*.................. 6,800 325,975
Reynolds & Reynolds Co. Cl-A....... 21,300 553,800
Sterling Commerce, Inc.*........... 5,800 204,450
Viasoft, Inc.*..................... 3,500 165,375
Western Digital Corp.*............. 3,100 176,312
----------
3,769,329
----------
CONGLOMERATES -- 1.2%
Minnesota Mining & Manufacturing
Co. ............................. 23,040 1,909,440
Philip Morris Companies, Inc. ..... 12,360 1,392,045
----------
3,301,485
----------
CONSUMER PRODUCTS & SERVICES -- 2.8%
American Brands, Inc. ............. 25,800 1,280,325
Apollo Group, Inc. Cl-A*........... 8,200 274,187
Avon Products, Inc. ............... 18,400 1,051,100
Colgate-Palmolive Co. ............. 8,500 784,125
Eastman Kodak Co. ................. 25,720 2,064,030
Estee Lauder Co. Cl-A.............. 8,700 442,612
Tupperware Corp. .................. 4,600 246,675
Whirlpool Corp. ................... 21,840 1,018,290
Whitman Corp. ..................... 42,550 973,331
----------
8,134,675
----------
CONTAINERS & PACKAGING -- 0.5%
Crown Cork & Seal Co., Inc. ....... 17,585 956,184
Temple-Inland, Inc. ............... 10,950 592,669
----------
1,548,853
----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.6%
ADT Ltd.*.......................... 9,400 215,025
BMC Industries, Inc. .............. 4,100 129,150
C-Cube Microsystems, Inc.*......... 3,200 118,200
Diebold, Inc. ..................... 5,000 314,375
Electronics For Imaging, Inc.*..... 2,900 238,525
General Signal Corp. .............. 19,870 849,442
</TABLE>
30
<PAGE> 32
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
Honeywell, Inc. ................... 16,900 $ 1,111,175
International Game Technology...... 9,600 175,200
LSI Logic Corp.*................... 4,600 123,050
Perkin-Elmer Corp. ................ 3,500 206,063
Polaroid Corp. .................... 26,460 1,151,010
SCI Systems, Inc.*................. 4,800 214,200
Symbol Technologies, Inc.*......... 5,900 261,075
Texas Instruments, Inc. ........... 33,750 2,151,562
Waters Corp.*...................... 6,800 206,550
----------
7,464,602
----------
ENTERTAINMENT & LEISURE -- 0.1%
Callaway Golf Co. ................. 6,100 175,375
Harley-Davidson, Inc. ............. 4,100 192,700
----------
368,075
----------
ENVIRONMENTAL SERVICES -- 0.8%
United Waste Systems, Inc.*........ 7,600 261,250
U.S. Filter Corp.*................. 15,300 485,775
USA Waste Services, Inc.*.......... 8,900 283,688
WMX Technologies, Inc. ............ 34,730 1,133,066
----------
2,163,779
----------
FINANCIAL-BANK & TRUST -- 5.6%
Banc One Corp. .................... 26,190 1,126,170
BankAmerica Corp. ................. 12,170 1,213,957
Bankers Trust New York Corp. ...... 14,480 1,248,900
Charter One Financial, Inc. ....... 9,600 403,200
CoreStates Financial Corp. ........ 19,130 993,564
First of America Bank Corp. ....... 3,600 216,450
Fleet Financial Group, Inc. ....... 29,750 1,483,781
Great Western Financial Corp. ..... 19,330 560,570
Keycorp............................ 26,300 1,328,150
Mellon Bank Corp. ................. 8,210 582,910
Morgan, (J.P.) & Co., Inc. ........ 23,800 2,323,475
NationsBank Corp. ................. 9,020 881,705
Northern Trust Corp. .............. 8,800 319,000
PNC Bank Corp. .................... 63,610 2,393,326
State Street Boston Corp. ......... 5,600 361,200
TCF Financial Corp. ............... 7,900 343,650
Washington Mutual, Inc. ........... 8,600 372,488
----------
16,152,496
----------
FINANCIAL SERVICES -- 1.0%
Ahmanson, (H.F.) & Co. ............ 36,000 1,170,000
Beneficial Corp. .................. 15,820 1,002,592
Finova Group, Inc. ................ 6,600 424,050
SunAmerica, Inc. .................. 5,000 221,875
----------
2,818,517
----------
FOOD -- 0.4%
General Mills, Inc. ............... 19,340 1,225,673
----------
SHARES VALUE
------- ------------
HEALTHCARE SERVICES -- 0.6%
American Medical Response, Inc.*... 7,500 $ 243,750
Genesis Health Ventures, Inc.*..... 6,000 186,750
Health Care & Retirement Corp.*.... 7,400 211,825
Health Management Associates,
Inc.*............................ 11,000 247,500
Healthsouth Corp.*................. 5,600 216,300
Omnicare, Inc. .................... 12,800 411,200
Oxford Health Plans, Inc.*......... 4,700 275,244
----------
1,792,569
----------
HOTELS & MOTELS -- 0.1%
HFS, Inc.*......................... 3,600 215,100
----------
INDUSTRIAL PRODUCTS -- 0.4%
Corning, Inc. ..................... 27,700 1,281,125
----------
INSURANCE -- 1.7%
American General Corp. ............ 35,700 1,459,237
AON Corp. ......................... 20,070 1,246,849
Capmac Holdings, Inc. ............. 5,600 185,500
CIGNA Corp. ....................... 5,030 687,224
USF&G Corp. ....................... 68,440 1,428,685
----------
5,007,495
----------
MACHINERY & EQUIPMENT -- 0.5%
New Holland NV*.................... 66,600 1,390,275
----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.7%
Baxter International, Inc. ........ 31,390 1,286,990
IDEXX Laboratories, Inc.*.......... 5,700 205,200
Stryker Corp. ..................... 10,600 316,675
U.S. Surgical Corp. ............... 5,700 224,438
----------
2,033,303
----------
METALS & MINING -- 0.4%
Freeport-McMoran Copper & Gold,
Inc. Cl-A........................ 37,530 1,055,531
----------
OFFICE EQUIPMENT -- 0.8%
Staples, Inc.*..................... 19,200 346,800
Xerox Corp. ....................... 39,020 2,053,428
----------
2,400,228
----------
OIL & GAS -- 3.8%
Amoco Corp. ....................... 22,180 1,785,490
British Petroleum Co. PLC [ADR].... 8,600 1,215,825
Camco International, Inc. ......... 6,800 313,650
Coastal Corp. ..................... 24,400 1,192,550
Global Marine, Inc.*............... 9,500 195,938
Halliburton Co. ................... 5,600 337,400
Mobil Corp. ....................... 9,450 1,155,263
Occidental Petroleum Corp. ........ 49,670 1,161,036
Panenergy Corp. ................... 22,010 990,450
Phillips Petroleum Co. ............ 26,930 1,191,653
Total SA [ADR]..................... 31,500 1,267,875
Western Atlas, Inc.*............... 2,800 198,450
----------
11,005,580
----------
</TABLE>
31
<PAGE> 33
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 1.6%
Kimberly-Clark Corp. .............. 24,250 $ 2,309,813
Rayonier, Inc. .................... 18,860 723,753
Weyerhaeuser Co. .................. 33,150 1,570,481
----------
4,604,047
----------
PHARMACEUTICALS -- 2.8%
American Home Products Corp. ...... 17,600 1,031,800
Biochem Pharma, Inc.*.............. 3,900 195,975
Bristol-Meyers Squibb Co. ......... 8,920 970,050
Cardinal Health, Inc. ............. 7,050 410,662
Dura Pharmaceutical, Inc.*......... 5,400 257,850
Elan Corp. PLC [ADR]*.............. 10,900 362,425
Interneuron Pharmaceuticals,
Inc.*............................ 7,900 205,400
Pharmacia & Upjohn, Inc. .......... 64,050 2,537,981
Warner-Lambert Co. ................ 27,020 2,026,500
----------
7,998,643
----------
PRINTING & PUBLISHING -- 0.6%
Belo, (A.H.) Corp. Cl-A............ 8,100 282,487
Gartner Group, Inc. Cl-A*.......... 6,900 268,669
Times Mirror Co. Cl-A.............. 21,040 1,046,740
----------
1,597,896
----------
RAILROADS -- 0.9%
Canadian National Railway Co. ..... 15,700 596,600
Norfolk Southern Corp. ............ 12,870 1,126,125
Union Pacific Corp. ............... 14,800 889,850
----------
2,612,575
----------
RETAIL & MERCHANDISING -- 3.1%
Borders Group, Inc.*............... 8,600 308,525
CompUSA, Inc.*..................... 6,600 136,125
Consolidated Stores Corp.*......... 12,325 395,941
Dayton-Hudson Corp. ............... 31,440 1,234,020
Harcourt General, Inc. ............ 6,400 295,200
J.C. Penney Co., Inc. ............. 22,280 1,086,150
Kmart Corp.*....................... 120,060 1,245,623
May Department Stores Co. ......... 21,700 1,014,475
Pier 1 Imports, Inc. .............. 9,900 174,488
Revco D.S., Inc.*.................. 9,200 340,400
Rite Aid Corp. .................... 32,060 1,274,385
Sears Roebuck & Co. ............... 13,200 608,850
Starbucks Corp.*................... 6,700 191,788
TJX Companies, Inc. ............... 11,300 535,338
----------
8,841,308
----------
SEMI-CONDUCTORS -- 0.6%
Analog Devices, Inc.*.............. 5,900 199,862
Microchip Technology, Inc.*........ 3,700 188,238
Motorola, Inc. .................... 21,980 1,349,023
----------
1,737,123
----------
SHARES VALUE
------- ------------
TELECOMMUNICATIONS -- 3.8%
ADC Telecommunications, Inc.*...... 6,000 $ 186,750
Ameritech Corp. ................... 11,900 721,437
BellSouth Corp. ................... 34,980 1,412,317
Cascade Communications Corp.*...... 5,300 292,162
Cincinnati Bell, Inc. ............. 2,500 154,062
Clear Channel Communications,
Inc.*............................ 10,300 372,087
Deutsche Telekom AG [ADR]*......... 31,000 633,563
GTE Corp. ......................... 43,550 1,981,525
LCI International, Inc.*........... 7,300 156,950
Pacific Telesis Group.............. 35,940 1,320,795
Pairgain Technologies, Inc.*....... 4,900 149,144
Picturetel Corp.*.................. 6,800 176,800
Sprint Corp. ...................... 48,340 1,927,558
Telebras SA [ADR].................. 7,300 558,450
Teleport Communications Group, Inc.
Cl-A*............................ 10,100 308,050
Tellabs, Inc.*..................... 9,600 361,200
360 Communications Co.*............ 10,100 233,563
----------
10,946,413
----------
TRANSPORTATION -- 0.4%
Ryder Systems, Inc. ............... 36,100 1,015,313
Wisconsin Central Transportation
Corp.*........................... 6,100 241,713
----------
1,257,026
----------
UTILITIES -- 0.7%
California Energy Co., Inc.*....... 13,000 437,125
Northeast Utilities System......... 25,800 341,850
Union Electric Co. ................ 28,900 1,112,650
----------
1,891,625
----------
TOTAL COMMON STOCK
(COST $138,113,610).................. 143,188,919
----------
PREFERRED STOCK -- 0.4%
FINANCIAL-BANK & TRUST -- 0.0%
Chevy Chase Capital Corp. Cl-A
10.375%.......................... 1,140 57,855
----------
FOOD -- 0.0%
AmeriKing, Inc. 13.00% [PIK]....... 25 27,500
----------
MACHINERY & EQUIPMENT -- 0.3%
Case Corp. Cl-A $4.50 [CVT]........ 6,160 819,144
----------
TELECOMMUNICATIONS -- 0.1%
Cablevision Systems Corp. Cl-M
11.125% [PIK].................... 1,542 138,767
----------
TOTAL PREFERRED STOCK
(COST $1,022,357).................... 1,043,266
----------
FOREIGN STOCK -- 14.2%
AIRLINES -- 0.2%
KLM Royal Dutch Airlines NV --
(NLG)............................ 7,000 197,240
Swire Pacific Ltd. Cl-A -- (HKD)... 40,000 381,408
----------
578,648
----------
</TABLE>
32
<PAGE> 34
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
AUTOMOBILE MANUFACTURERS -- 0.3%
Bayerische Motoren Werke AG --
(DEM)............................ 900 $ 621,861
Edaran Otomobil Nasional BHD --
(MYR)............................ 8,000 79,991
Peugeot Citroen SA -- (FRF)........ 2,450 276,200
----------
978,052
----------
AUTOMOTIVE PARTS -- 0.6%
Autoliv AB -- (SEK)................ 3,300 145,276
Bridgestone Corp. -- (JPY)......... 26,000 494,596
Denso Corp. -- (JPY)............... 20,000 482,490
Michelin CGDE Cl-B -- (FRF)........ 10,600 573,144
----------
1,695,506
----------
BEVERAGES -- 0.0%
Guinness PLC -- (GBP).............. 7,400 57,989
----------
BUILDING MATERIALS -- 0.4%
CRH PLC -- (IEP)................... 60,800 622,492
Lafarge SA -- (FRF)................ 6,900 414,642
----------
1,037,134
----------
BUSINESS SERVICES -- 0.1%
SGS Holdings SA -- (CHF)........... 125 307,293
----------
CHEMICALS -- 0.6%
Akzo-Nobel NV -- (NLG)............. 3,300 451,531
Bayer AG -- (DEM).................. 20,300 824,811
DSM NV -- (NLG).................... 2,000 197,588
Sekisui Chemical Co.
Ltd. -- (JPY).................... 29,000 293,385
Solvay SA -- (BEF)................. 75 46,009
----------
1,813,324
----------
CLOTHING & APPAREL -- 0.1%
Onward Kashiyama Co.
Ltd. -- (JPY).................... 15,000 211,414
----------
COMPUTER SERVICES & SOFTWARE -- 0.1%
Getronics NV -- (NLG).............. 13,800 375,244
----------
CONGLOMERATES -- 0.9%
BAT Industries PLC -- (GBP)........ 73,200 607,472
Cycle & Carriage Ltd. -- (SGD)..... 19,000 232,304
Hutchison Whampoa Ltd. -- (HKD).... 56,000 439,847
Mitsui & Co. Ltd. -- (JPY)......... 48,000 390,143
Securicor PLC -- (GBP)............. 45,300 216,871
Sungei Way Holdings BHD -- (MYR)... 34,000 100,978
Sungei Way Holdings BHD Rights --
(MYR)*........................... 3,400 4,039
Tabacalera SA Cl-A -- (ESP)........ 2,600 112,284
Unilever NV -- (NLG)............... 2,000 354,360
----------
2,458,298
----------
CONSTRUCTION -- 0.0%
Toda Construction Co. -- (JPY)..... 16,000 121,747
----------
CONSUMER PRODUCTS & SERVICES -- 0.4%
Electrolux AB Cl-B -- (SEK)........ 5,500 320,676
Kao Corp. -- (JPY)................. 34,000 396,887
Zodiac SA -- (FRF)................. 1,200 367,392
----------
1,084,955
----------
SHARES VALUE
------- ------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.2%
General Electric Co.
PLC -- (GBP)..................... 71,000 $ 464,561
Hirose Electric Ltd. -- (JPY)...... 5,000 290,099
Murata Manufacturing Co. Ltd. --
(JPY)............................ 6,000 199,741
Omron Corp. -- (JPY)............... 15,000 282,750
Philips Electronics NV -- (NLG).... 12,300 499,188
SGS-Thomson Microelectronics --
(FRF)*........................... 13,000 920,989
Sharp Corp. -- (JPY)............... 20,000 285,344
TDK Corp. -- (JPY)................. 8,000 522,265
----------
3,464,937
----------
FINANCIAL-BANK & TRUST -- 1.8%
ABN AMRO Holding NV -- (NLG)....... 9,670 630,165
Allied Irish Banks PLC -- (IEP).... 70,800 470,238
Banco Bilbao Vizcaya SA -- (ESP)... 5,800 314,107
Barclays Bank PLC -- (GBP)......... 24,000 411,291
Certificados de la
Tesoreria -- (MXP)............... 390,540 419,554
Commonwealth Bank of Australia --
(AUD)............................ 21,000 201,130
Dao Heng Bank Group
Ltd. -- (HKD).................... 36,000 172,681
Developmental Bank of Singapore
Ltd. Cl-F -- (SGD)............... 12,000 162,162
HSBC Holdings PLC -- (HKD)......... 31,600 676,165
ING Groep NV -- (NLG).............. 17,400 627,481
Julius Baer Holdings AG Cl-B --
(CHF)............................ 300 314,503
Malayan Banking BHD -- (MYR)....... 7,000 77,615
United Overseas Bank
Ltd. -- (SGD).................... 18,000 200,772
Westpac Banking Corp.
Ltd. -- (AUD).................... 87,000 495,521
----------
5,173,385
----------
FINANCIAL SERVICES -- 0.5%
Bank of Ireland -- (IEP)........... 52,500 475,168
Cetelem Group SA -- (FRF).......... 2,200 254,812
CLF Dexia France -- (FRF).......... 5,500 479,895
Gucco Group Ltd. -- (HKD).......... 48,000 268,718
----------
1,478,593
----------
FOOD -- 0.6%
Danisco AS -- (DKK)................ 3,600 219,355
Goodman Fielder Ltd. -- (AUD)...... 169,000 209,721
Greencore Group PLC -- (IEP)....... 57,000 357,791
Ito-Yokado Co. Ltd. -- (JPY)....... 8,000 348,638
Nestle SA -- (CHF)................. 495 531,506
----------
1,667,011
----------
INDUSTRIAL PRODUCTS -- 0.0%
Daikin Industries Ltd. -- (JPY).... 15,000 133,593
----------
INSURANCE -- 0.5%
Aegon NV -- (NLG).................. 7,400 472,368
Mapfre Vida -- (ESP)............... 3,100 215,544
Swiss Reinsurance Co. -- (CHF)..... 430 459,142
Tokio Marine & Fire Insurance Co.
-- (JPY)......................... 19,000 179,075
----------
1,326,129
----------
</TABLE>
33
<PAGE> 35
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
MACHINERY & EQUIPMENT -- 0.6%
ABB AG -- (CHF).................... 308 $ 383,188
Komori Corp. -- (JPY).............. 5,000 106,355
Kurita Water Industries
Ltd. -- (JPY).................... 13,000 263,035
Rieter Holdings AG -- (CHF)........ 450 124,412
Sandvik AB Cl-B -- (SEK)........... 18,400 501,185
Weir Group PLC -- (GBP)............ 46,000 206,827
------------
1,585,002
------------
METALS & MINING -- 0.3%
Preussag AG -- (DEM)............... 1,800 407,547
RTZ Corp. PLC -- (GBP)............. 28,000 449,145
------------
856,692
------------
MISCELLANEOUS -- 0.2%
VA Technologie AG -- (ATS)......... 3,100 487,594
------------
OFFICE EQUIPMENT -- 0.2%
Canon, Inc. -- (JPY)............... 24,000 531,258
------------
OIL & GAS -- 1.1%
British Petroleum Co.
PLC -- (GBP)..................... 29,700 356,357
Burmah Castrol PLC -- (GBP)........ 23,000 433,747
Ente Nazionale Idrocarburi SPA --
(ITL)............................ 91,100 465,363
Far East Levingston Shipbuilding
Ltd. -- (SGD).................... 39,000 203,561
Shell Transport & Trading Co.
PLC -- (GBP)..................... 25,600 443,534
Societe Nationale Elf Aquitaine
SA -- (FRF)...................... 6,650 606,296
Total SA Cl-B -- (FRF)............. 8,400 684,285
------------
3,193,143
------------
PAPER & FOREST PRODUCTS -- 0.1%
Svenska Cellulosa AB
Cl-B -- (SEK).................... 17,500 356,859
------------
PHARMACEUTICALS -- 0.7%
Astra AB Cl-A -- (SEK)............. 11,000 545,797
Novartis AG -- (CHF)*.............. 555 635,363
Pharmacia & Upjohn,
Inc. -- (SEK).................... 13,400 551,436
Santen Pharmaceutical
Ltd. -- (JPY).................... 10,000 207,523
Yamanouchi Pharmaceutical Co.
Ltd. -- (JPY).................... 10,000 205,793
------------
2,145,912
------------
PRINTING & PUBLISHING -- 0.1%
Dai Nippon Printing Co.
Ltd. -- (JPY).................... 24,000 421,271
------------
RAILROADS -- 0.1%
East Japan Railway Co.
Ltd. -- (JPY).................... 85 382,923
------------
REAL ESTATE -- 0.6%
Amoy Properties Ltd. -- (HKD)...... 190,000 273,903
Cheung Kong Holdings
Ltd. -- (HKD).................... 72,000 639,990
Hong Kong Land Holdings Ltd. --
(HKD)............................ 93,000 258,540
Sung Hung Kai Properties Ltd. --
(HKD)............................ 34,000 416,510
------------
1,588,943
------------
SHARES VALUE
------- ------------
RETAIL & MERCHANDISING -- 0.3%
Marui Co. Ltd. -- (JPY)............ 22,000 $ 397,579
Vendex International NV -- (NLG)... 9,200 394,179
------------
791,758
------------
TELECOMMUNICATIONS -- 0.8%
Deutsche Telekom AG -- (DEM)....... 19,900 415,608
Nippon Telegraph & Telephone
Corp. -- (JPY)................... 60 455,512
Portugal Telecom SA -- (PTE)....... 15,600 444,909
Royal PTT NV -- (NLG).............. 8,900 340,045
Vodafone Group PLC -- (GBP)........ 138,900 586,462
------------
2,242,536
------------
TRANSPORTATION -- 0.2%
IHC Caland NV -- (NLG)............. 6,300 360,511
Yamato Transport Co.
Ltd. -- (JPY).................... 12,000 124,514
------------
485,025
------------
UTILITIES -- 0.6%
Chubu Electric Power
Ltd. -- (JPY).................... 9,000 178,988
Hong Kong Electric Holdings Ltd. --
(HKD)............................ 25,000 83,069
Kyushu Electric Power
Ltd. -- (JPY).................... 8,000 155,642
Scottish Power PLC -- (GBP)........ 78,000 470,282
United Utilities PLC -- (GBP)...... 19,300 205,291
Veba AG -- (DEM)................... 10,200 587,313
------------
1,680,585
------------
TOTAL FOREIGN STOCK
(COST $38,817,523)................... 40,712,753
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- --------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS -- 11.3%
ADVERTISING -- 0.1%
Larmar Advertising Co. Sr.
Sub. Notes
9.625%.................. 12/01/06 $ 35 36,137
Universal Outdoor, Inc.
Sr. Sub. Notes
9.75%................... 10/15/06 200 207,000
-------------
243,137
-------------
AEROSPACE -- 0.4%
BE Aerospace, Inc.
Sr. Sub. Notes
9.875%.................. 02/01/06 200 209,250
Howmet Corp.
Sr. Sub. Notes
10.00%.................. 12/01/03 150 163,500
Lockheed Martin Corp.
Notes
7.25%................... 05/15/06 400 408,500
Northrop Grumman Corp.
Notes
7.00%................... 03/01/06 155 152,869
</TABLE>
34
<PAGE> 36
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
UNC, Inc. Sr. Sub. Notes
11.00%.................. 06/01/06 $ 200 $ 214,000
-------------
1,148,119
-------------
AUTOMOBILE MANUFACTURERS -- 0.0%
Daimler-Benz North America
Notes
7.375%.................. 09/15/06 120 123,600
-------------
AUTOMOTIVE PARTS -- 0.3%
Aftermarket Technology,
Inc. Sr. Sub. Notes
12.00%.................. 08/01/04 200 223,500
APS, Inc. Notes
11.875%................. 01/15/06 100 107,875
CSK Auto, Inc.
Sr. Sub. Notes 144A
11.00%.................. 11/01/06 35 36,225
Exide Corp. Sr. Notes
10.75%.................. 12/15/02 200 210,500
Lear Corp. Sub. Notes
9.50%................... 07/15/06 200 216,250
Safelite Glass Corp.
Sr. Sub. Notes 144A
9.875%.................. 12/15/06 5 5,150
-------------
799,500
-------------
BEVERAGES -- 0.0%
Canandaigua Wine
Sr. Sub. Notes 144A
8.75%................... 12/15/03 45 43,987
-------------
BROADCASTING -- 0.5%
American Radio Systems
Notes
9.00%................... 02/01/06 100 98,500
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................... 11/01/05 200 203,500
Benedek Broadcasting Corp.
Sr. Notes
11.875%................. 03/01/05 200 208,750
Granite Broadcasting Corp.
Sr. Sub. Debs.
10.375%................. 05/15/05 150 154,875
News America Holdings
Debs.
7.70%................... 10/30/25 435 412,162
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%.................. 05/15/06 150 158,625
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%.................. 09/30/05 200 205,000
-------------
1,441,412
-------------
BUILDING MATERIALS -- 0.2%
Atrium Companies, Inc.
Sr. Sub. Notes 144A
10.50%.................. 11/15/06 30 30,450
PAR
MATURITY (000) VALUE
--------- -------- -------------
Building Materials Corp.
Sr. Notes 144A
8.625%.................. 12/15/06 $ 10 $ 10,000
Cemex SA 144A
12.75%.................. 07/15/06 75 84,000
Inter-City Products Corp.
USA Sr. Notes
9.75%................... 03/01/00 200 205,000
Southdown, Inc.
Sr. Sub. Notes
10.00%.................. 03/01/06 150 159,000
Terex Corp. Sr. Notes
13.25%.................. 05/15/02 150 162,000
-------------
650,450
-------------
BUSINESS SERVICES -- 0.1%
Outsourcing Solutions
Corp. Sr. Sub. Notes
144A
11.00%.................. 11/01/06 20 21,050
Primark Corp. Sr. Notes
8.75%................... 10/15/00 200 201,500
-------------
222,550
-------------
CHEMICALS -- 0.0%
Arcadian Partners L.P. Sr.
Notes Cl-B
10.75%.................. 05/01/05 50 55,500
-------------
COMPUTER SERVICES & SOFTWARE -- 0.1%
Unisys Corp. Sr. Notes
11.75%.................. 10/15/04 200 213,000
-------------
CONSTRUCTION -- 0.0%
Newport News Shipbuilding,
Inc. Sr. Notes 144A
8.625%.................. 12/01/06 20 20,500
9.25%................... 12/01/06 15 15,487
-------------
35,987
-------------
CONSUMER PRODUCTS & SERVICES -- 0.3%
Herff Jones, Inc.
Sr. Sub. Notes
11.00%.................. 08/15/05 200 216,000
Imed Corp.
Sr. Sub. Notes 144A
9.75%................... 12/01/06 50 51,125
Pierce Leahy Corp.
Sr. Sub. Notes
11.125%................. 07/15/06 200 219,000
Rose Hills Acquisition Sr.
Sub. Notes 144A
9.50%................... 11/15/04 15 15,337
Scotsman Group Sr. Notes
9.50%................... 12/15/00 200 204,250
-------------
705,712
-------------
CONTAINERS & PACKAGING -- 0.3%
Amtrol Acquisition, Inc.
Sr. Sub. Notes 144A
10.625%................. 12/31/06 15 15,261
</TABLE>
35
<PAGE> 37
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Gaylord Container Corp.
Sr. Notes
11.50%.................. 05/15/01 $ 50 $ 53,375
Ivex Packaging Corp.
Sr. Sub. Notes
12.50%.................. 12/15/02 150 162,375
8.51% [STEP]............ 03/15/05 170 131,750
Owens Illinois, Inc. Debs.
11.00%.................. 12/01/03 150 167,625
Riverwood International
Co. Notes
10.875%................. 04/01/08 200 185,000
Stone Container Corp.
First Mtge.
10.75%.................. 10/01/02 200 211,000
-------------
926,386
-------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.1%
Amphenol Corp.
Sr. Sub. Notes
12.75%.................. 12/15/02 200 221,000
Celestica International
Sr. Sub. Notes 144A
10.50%.................. 12/31/06 20 21,075
-------------
242,075
-------------
ENTERTAINMENT & LEISURE -- 1.0%
ACT III Theaters
Sr. Sub. Notes
11.875%................. 02/01/03 200 217,750
Argosy Gaming Co.
First Mtge.
13.25%.................. 06/01/04 150 141,375
Casino America, Inc. Sr.
Notes
12.50%.................. 08/01/03 150 142,500
Cinemark USA, Inc.
Sr. Sub. Notes
9.625%.................. 08/01/08 200 202,000
Coast Hotels & Casino
Notes Cl-B
13.00%.................. 12/15/02 200 220,750
Colorado Gaming &
Entertainment Corp.
[PIK]
12.00%.................. 06/01/03 150 141,750
Players International Sr.
Notes
10.875%................. 04/15/05 150 148,875
Showboat Marina Casinos
First Mtge.
13.50%.................. 03/15/03 150 165,750
Six Flags Theme Parks Sr.
Sub. Notes Cl-A [STEP]
5.79%................... 06/15/05 200 188,250
PAR
MATURITY (000) VALUE
--------- -------- -------------
Time Warner Entertainment
Debs.
7.25%................... 09/01/08 $ 450 $ 434,250
8.875%.................. 10/01/12 225 244,406
Time Warner, Inc. Cl-K
[PIK]
10.25%.................. 07/01/16 200 218,000
Trump Atlantic City
Assoc., Inc. Notes
11.25%.................. 05/01/06 150 148,500
Trump Holdings & Funding
Assoc. Sr. Notes
15.50%.................. 06/15/05 100 114,500
-------------
2,728,656
-------------
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste North America
Sr. Sub. Notes 144A
10.25%.................. 12/01/06 35 36,925
WMX Technologies, Inc.
Notes
7.10%................... 08/01/26 235 242,637
-------------
279,562
-------------
EQUIPMENT SERVICES -- 0.1%
Coinmach Corp. Sr. Notes
11.75%.................. 11/15/05 200 215,500
-------------
FINANCIAL-BANK & TRUST -- 1.7%
ABN AMRO Bank NV
7.55%................... 06/28/06 320 332,400
BankAmerica Corp.
Sub. Notes
8.125%.................. 02/01/02 238 252,577
8.375%.................. 03/15/02 130 139,587
Capital One Bank Notes
8.125%.................. 03/01/00 720 746,100
Consorcio Groupo Dina SA
Disc. Notes
12.00%.................. 11/15/02 200 165,500
First Nationwide Escrow
Sr. Sub. Notes 144A
10.625%................. 10/01/03 150 162,000
First Nationwide Holdings
Sr. Notes
12.50%.................. 04/15/03 200 222,500
Merita Bank Ltd. Sub.
Notes
6.50%................... 01/15/06 500 477,500
NationsBank Corp.
Sub. Notes
7.80%................... 09/15/16 410 424,862
7.25%................... 10/15/25 85 82,131
North Fork Bancorp 144A
8.70%................... 12/15/26 25 25,063
Peoples Bank-Bridgeport
Sub. Notes
7.20%................... 12/01/06 305 298,137
Provident Capital Trust
144A
8.60%................... 12/01/26 60 60,600
</TABLE>
36
<PAGE> 38
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Riggs Capital Trust 144A
8.625%.................. 12/31/26 $ 15 $ 15,037
Standard Credit Card
Master Trust 1991-3 C1-A
8.875%.................. 07/07/98 1,310 1,361,436
-------------
4,765,430
-------------
FINANCIAL SERVICES -- 0.9%
Aames Financial Corp. Sr.
Notes
9.125%.................. 11/01/03 200 204,500
American Life Holding Co.
Sr. Sub. Notes
11.25%.................. 09/15/04 200 230,750
BanPonce Financial Corp.
Notes
6.75%................... 08/09/01 305 305,000
Commercial Credit Co.
Notes
5.875%.................. 01/15/03 200 192,500
7.875%.................. 02/01/25 335 362,219
Contifinancial Corp. Sr.
Notes
8.375%.................. 08/15/03 200 204,000
Dollar Financial Group Sr.
Notes 144A
10.875%................. 11/15/06 15 15,488
Ford Motor Credit Co. Sr.
Notes
7.00%................... 09/25/01 120 122,250
Intertek Finance PLC Sr.
Sub. Notes 144A
10.25%.................. 11/01/06 25 25,938
Lehman Brothers Holdings
Notes
6.40%................... 12/27/99 465 462,303
Southern Investments UK
Sr. Notes
6.80%................... 12/01/06 245 239,794
Van Kampen Merrit Sr.
Notes
9.75%................... 02/15/03 200 214,750
-------------
2,579,492
-------------
FOOD -- 0.1%
AmeriKing, Inc. Sr. Notes
10.75%.................. 12/01/06 15 15,488
Chiquita Brands Sr. Notes
9.625%.................. 01/15/04 100 103,500
RJR Nabisco, Inc. Notes
8.75%................... 08/15/05 185 185,000
-------------
303,988
-------------
HEALTHCARE SERVICES -- 0.1%
Genesis Health Ventures,
Inc. Sr. Sub. Notes 144A
9.25%................... 10/01/06 200 205,000
PAR
MATURITY (000) VALUE
--------- -------- -------------
Merit Behavioral Care Sr.
Sub. Notes
11.50%.................. 11/15/05 $ 100 $ 106,000
-------------
311,000
-------------
HOTELS & MOTELS -- 0.1%
Hammons, (J.Q.) Hotel
Group First Mtge.
8.875%.................. 02/15/04 100 99,000
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%................... 05/15/05 200 209,000
Prime Hospitality Corp.
First Mtge.
9.25%................... 01/15/06 50 51,000
-------------
359,000
-------------
INSURANCE -- 0.4%
Aegon NV Sub. Notes
8.00%................... 08/15/06 350 372,750
Conseco, Inc. Sr. Notes
10.50%.................. 12/15/04 355 417,569
Reliance Group Holdings
Sr. Notes
9.00%................... 11/15/00 200 205,500
Travelers-Aetna Property
Casualty Corp. Sr. Notes
7.75%................... 04/15/26 250 257,500
-------------
1,253,319
-------------
MACHINERY & EQUIPMENT -- 0.0%
Clark Materials Handling
Sr. Notes 144A
10.75%.................. 11/15/06 15 15,750
Hawk Corp. Sr. Notes 144A
10.25%.................. 12/01/03 15 15,450
Motors and Gears, Inc. Sr.
Notes 144A
10.75%.................. 11/15/06 35 36,181
Ryder TRS, Inc.
Sr. Sub. Notes 144A
10.00%.................. 12/01/06 15 15,600
-------------
82,981
-------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.0%
Fresenius Medical Care AG
9.00%................... 12/01/06 50 50,938
-------------
METALS & MINING -- 0.3%
AK Steel Corp. Sr. Notes
144A
9.125%.................. 12/15/06 30 30,900
Noranda, Inc.
7.00%................... 07/15/05 680 669,800
WCI Steel, Inc. Sr. Notes
144A
10.00%.................. 12/01/04 50 50,750
-------------
751,450
-------------
</TABLE>
37
<PAGE> 39
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
OFFICE EQUIPMENT -- 0.1%
United Stationery Supply
Sr. Sub. Notes
12.75%.................. 05/01/05 $ 200 $ 222,500
-------------
OIL & GAS -- 0.8%
Abraxas Petroleum Corp.
Sr. Notes 144A
11.50%.................. 11/01/04 25 26,750
Citgo Petroleum Corp. Sr.
Notes
7.875%.................. 05/15/06 170 175,525
El Paso Natural Gas Co.
Debs.
7.50%................... 11/15/26 180 179,775
Flores & Rucks
Sr. Sub. Notes
9.75%................... 10/01/06 150 158,625
Forcenergy, Inc.
Sr. Sub. Notes
9.50%................... 11/01/06 25 26,125
HS Resources, Inc.
Sr. Sub. Notes 144A
9.25%................... 11/15/06 25 25,625
Husky Oil Ltd. Debs.
7.55%................... 11/15/16 305 303,475
Kelley Oil & Gas Corp. Sr.
Sub. Notes 144A
10.375%................. 10/15/06 25 26,000
LASMO (USA), Inc. Notes
7.50%................... 06/30/06 235 242,638
Maxus Energy Corp. Notes
10.83%.................. 09/01/04 150 160,500
Parker Drilling Corp.
Notes 144A
9.75%................... 11/15/06 30 31,650
Petroliam Nasional BHD
Notes 144A
7.625%.................. 10/15/26 750 754,688
Transtexas Gas Corp. Sr.
Disc. Notes [STEP] 144A
13.24%.................. 12/31/03 124 68,510
Transtexas Gas Corp. Sr.
Notes
11.50%.................. 06/15/02 150 162,000
-------------
2,341,886
-------------
PAPER & FOREST PRODUCTS -- 0.1%
Florida Coast Paper LLC
First Mtge.
12.75%.................. 06/01/03 150 163,500
Maxxam Group Holdings,
Inc. Sr. Notes 144A
12.00%.................. 08/01/03 20 20,450
Radnor Holdings Sr. Notes
144A
10.00%.................. 12/01/03 15 15,338
PAR
MATURITY (000) VALUE
--------- -------- -------------
Repap New Brunswick Sr.
Notes
10.625%................. 04/15/05 $ 200 $ 213,000
-------------
412,288
-------------
PRINTING & PUBLISHING -- 0.1%
America Media Operation
Sr. Sub. Notes
11.625%................. 11/15/04 150 161,250
K-III Communications Corp.
Cl-B [PIK]
11.625%................. 05/01/05 200 203,500
-------------
364,750
-------------
RETAIL & MERCHANDISING -- 0.2%
Phar-Mor, Inc. Sr. Notes
11.72%.................. 09/11/02 150 157,500
Rite Aid Corp. Notes
6.70%................... 12/15/01 170 169,788
Southland Corp. Sr. Sub.
Debs.
5.00%................... 12/15/03 200 165,750
-------------
493,038
-------------
SEMI-CONDUCTORS -- 0.0%
International Semi-Tech
Microelectronics Sr.
Disc. Notes [STEP]
13.30%.................. 08/15/03 200 131,500
-------------
TELECOMMUNICATIONS -- 2.2%
Adelphia Communications
Sr. Notes
12.50%.................. 05/15/02 150 154,125
Airtouch Communications,
Inc. Notes
7.125%.................. 07/15/01 295 300,531
Arch Communications Group
Sr. Disc. Notes [STEP]
14.26%.................. 03/15/08 250 143,750
Centennial Cellular Sr.
Notes
8.875%.................. 11/01/01 200 193,500
Century Communications
Corp. Sr. Notes
9.50%................... 03/01/05 150 154,125
Cia Telecom Chile Notes
7.625%.................. 07/15/06 295 304,956
Colt Telecom Group PLC
Units [STEP]
12.00%.................. 12/15/06 35 21,000
Comcast U.K. Cable Corp.
Debs. [STEP]
10.24%.................. 11/15/07 300 212,250
Comcast U.K. Cable Corp.
Sr. Sub. Debs.
9.50%................... 01/15/08 150 155,625
Commodore Media, Inc. Sr.
Sub. Notes [STEP]
7.50%................... 05/01/03 200 210,500
</TABLE>
38
<PAGE> 40
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Diamond Cable
Communications PLC Sr.
Disc. Notes [STEP]
10.61%.................. 12/15/05 $ 200 $ 143,000
Echostar Satellite
Broadcasting Co. Sr.
Disc. Notes [STEP]
9.54%................... 03/15/04 100 76,500
Globo Communicacoes
Partners Notes 144A
10.50%.................. 12/20/06 60 60,000
Heartland Wireless Sr.
Notes 144A
14.00%.................. 10/15/04 80 82,600
Intercel, Inc. Units
[STEP]
12.17%.................. 02/01/06 200 132,000
Intermedia Communications
of Florida, Inc. Sr.
Notes
13.50%.................. 06/01/05 300 346,500
International Cabletel,
Inc. Sr. Notes [STEP]
11.88%.................. 02/01/06 300 204,000
Jacor Communications Co.
Notes
9.75%................... 12/15/06 20 20,600
JCAC Communications, Inc.
Sr. Sub. Notes
10.125%................. 06/15/06 100 104,000
Jones Intercable Sr. Sub.
Debs.
10.50%.................. 03/01/08 200 214,000
Marcus Cable Co. Debs.
11.875%................. 10/01/05 150 157,500
Marcus Cable Co. Sr. Notes
[STEP]
12.08%.................. 12/15/05 100 71,000
MFS Communications Co.,
Inc. Sr. Disc. Notes
[STEP]
8.11%................... 01/15/04 200 174,000
Millicom International
Cellular Sr. Disc. Notes
[STEP]
12.59%.................. 06/01/06 200 124,000
Mobile Telecommunications
Corp. Sr. Notes
13.50%.................. 12/15/02 150 150,750
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
13.02%.................. 09/01/03 150 115,500
13.30%.................. 08/15/04 750 511,875
Omnipoint Corp. Sr. Notes
11.625%................. 08/15/06 150 156,750
Paxson Communications Sr.
Sub. Notes
11.625%................. 10/01/02 150 156,375
PAR
MATURITY (000) VALUE
--------- -------- -------------
Pegasus Media &
Communications, Inc.
Notes Cl-B
12.50%.................. 07/01/05 $ 200 $ 216,500
Pricellular Wireless
Sr. Notes 144A
10.75%.................. 11/01/04 200 209,500
Rogers Cablesystems Ltd.
Notes
11.00%.................. 12/01/15 200 216,000
Teleport Communications
Sr. Disc. Notes [STEP]
9.61%................... 07/01/07 440 304,150
Telewest PLC Debs. [STEP]
12.12%.................. 10/01/07 150 104,625
TV Filme, Inc. Sr. Notes
144A
12.875%................. 12/15/04 15 15,094
Viacom, Inc. Sub. Debs.
8.00%................... 07/07/06 200 195,000
Videotron Holdings PLC Sr.
Disc. Notes [STEP]
6.66%................... 08/15/05 100 81,000
-------------
6,193,181
-------------
UTILITIES -- 0.6%
AES China Generating Co.
Ltd. Sr. Notes
10.125%................. 12/15/06 20 20,750
Arizona Public Service Sr.
Notes
6.75%................... 11/15/06 205 200,900
Cleveland Electric
Illumination Co.
First Mtge. Cl-B
9.50%................... 05/15/05 200 210,250
Connecticut Light & Power
First Mtge.
7.875%.................. 06/01/01 205 208,588
El Paso Electric Co.
First Mtge. Cl-E
9.40%................... 05/01/11 200 213,000
Emp Distribuidora Norte
Edenor Notes 144A
9.75%................... 12/04/01 35 35,788
Enersis SA Notes
7.40%................... 12/01/16 220 213,675
6.60%................... 12/01/26 220 216,425
Long Island Lighting Debs.
9.00%................... 11/01/22 150 159,000
Niagara Mohawk Power Corp.
Notes
9.95%................... 06/01/00 200 185,000
Norcen Energy Resources
Debs.
7.375%.................. 05/15/06 130 132,113
</TABLE>
39
<PAGE> 41
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C> <C>
Northeast Utilities System
Notes
8.58%................... 12/01/06 $ 10 $ 9,399
-------------
1,804,888
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $32,110,963).................... 32,496,762
-------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.7%
FEDERAL HOME LOAN MORTGAGE CORP. -- 1.1%
9.50%................... 05/01/05 505 528,883
8.00% [TBA]............. 01/16/27 600 611,628
7.50% [TBA]............. 02/16/27 2,015 2,013,106
-------------
3,153,617
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 7.6%
6.50%................... 07/01/03 355 351,781
6.50%................... 09/01/03 866 858,259
6.50% [TBA]............. 01/16/04 1,875 1,858,594
8.50%................... 10/15/08 1,171 1,218,184
6.50%................... 05/01/11 1,422 1,396,648
6.50%................... 06/01/11 1,041 1,022,760
7.50%................... 10/15/23 45 44,562
7.00%................... 12/15/25 346 339,040
6.50%................... 01/01/26 901 859,871
6.50%................... 02/01/26 687 656,185
7.50%................... 02/15/26 24 24,515
7.50%................... 03/15/26 309 309,513
6.50%................... 04/01/26 902 860,973
7.00%................... 04/15/26 1,140 1,115,454
7.00%................... 05/15/26 382 374,093
7.50%................... 05/15/26 42 42,382
7.00%................... 06/01/26 521 509,587
7.50%................... 07/01/26 688 687,646
7.00%................... 09/01/26 262 256,425
7.00%................... 10/01/26 261 255,920
7.50%................... 10/15/26 1,390 1,391,587
7.00%................... 11/01/26 1,720 1,682,385
7.00%................... 12/01/26 330 322,639
7.39% [VR].............. 12/01/26 580 602,838
6.50% [TBA]............. 01/16/27 775 739,156
7.00% [TBA]............. 01/16/27 1,260 1,232,041
7.50% [TBA]............. 01/26/27 2,725 2,723,310
-------------
21,736,348
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 1.0%
6.50%................... 10/15/23 546 520,890
6.50%................... 11/15/23 557 531,030
6.50%................... 12/15/23 764 728,504
8.00%................... 11/15/26 1,231 1,255,970
-------------
3,036,394
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $27,951,684).................... 27,926,359
-------------
PAR
MATURITY (000) VALUE
--------- -------- -------------
COLLATERALIZED MORTGAGE & ASSET-BACKED OBLIGATIONS -- 3.5%
Federal Deposit Insurance
Credit Corp.
6.75%................... 05/25/26 $ 1,190 $ 1,184,422
Fifth Third Auto Grantor
Trust
6.45%................... 03/15/02 776 781,485
Ford Credit Auto Owner
Trust
6.50%................... 11/15/99 890 897,952
GE Capital Mortgage
Services, Inc.
7.25%................... 05/25/26 995 966,221
Premier Auto Trust
Series 1996-4 Cl-A4
6.40%................... 10/06/01 500 502,147
Residential Funding Mtge.
Securities, Inc.
7.10%................... 01/25/26 1,000 953,125
Sears Credit Account
Master Trust Series
1996-4 Cl-A
6.45%................... 10/16/06 500 498,889
Securitized Asset Sales,
Inc.
6.8076%................. 11/28/23 978 908,615
Standard Credit Card
Master Trust Series
1995-6 Cl-A
6.75%................... 06/07/00 860 869,119
Structured Asset
Securities Corp.
7.375%.................. 09/25/24 1,500 1,502,344
6.525%.................. 02/25/28 860 836,350
-------------
TOTAL COLLATERALIZED MORTGAGE &
ASSET-BACKED OBLIGATIONS (COST
$9,942,039)........................... 9,900,669
-------------
U.S. TREASURY OBLIGATIONS -- 4.6%
U.S. TREASURY BONDS -- 1.6%
8.125%.................. 08/15/19 3,885 4,494,595
-------------
U.S. TREASURY NOTES -- 3.0%
5.625%.................. 11/30/98 8,195 8,160,089
6.625%.................. 07/31/01 235 238,819
6.50%................... 08/15/05 165 166,064
6.00%................... 02/15/26 120 109,291
-------------
8,674,263
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $13,122,278).................... 13,168,858
-------------
SOVEREIGN ISSUES -- 0.6%
ARGENTINA -- 0.3%
Republic of Argentina
[BRB, FRB]
6.625%.................. 03/31/97 637 555,384
6.625%.................. 03/31/05 219 190,540
-------------
745,924
-------------
</TABLE>
40
<PAGE> 42
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- -------- -------------
<S> <C> <C>
CANADA -- 0.2%
Quebec Province Debs.
7.125%.................. 02/09/24 $ 450 $ 429,188
-------------
MEXICO -- 0.1%
United Mexican States Cl-C
[BRB, FRB] (with Value
Recovery Rights
Attached)
6.375%.................. 12/31/19 400 345,000
-------------
NETHERLANDS -- 0.0%
Asia Pulp & Paper
International Finance
Co. Notes
11.75%.................. 10/01/05 100 107,250
-------------
TOTAL SOVEREIGN ISSUES
(COST $1,480,785)..................... 1,627,362
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C> <C>
FOREIGN BONDS -- 4.0%
AUSTRALIA -- 0.3%
Australian
Government
10.00%.................. 10/15/02 285 257,432
9.50%................... 08/15/03 385 342,813
10.00%.................. 02/15/06 200 186,338
------------
786,583
------------
CANADA -- 0.2%
Canadian Government
8.75%................... 12/01/05 40 33,957
9.00%................... 06/01/25 605 543,011
------------
576,968
------------
DENMARK -- 0.1%
Kingdom of Denmark
8.00%................... 03/15/06 1,295 242,452
------------
FRANCE -- 0.8%
French O.A.T.
6.00%................... 10/25/25 818 141,721
French Treasury Bill
4.50%................... 10/12/98 3,000 589,262
7.00%................... 10/12/00 7,440 1,573,081
------------
2,304,064
------------
GERMANY -- 1.4%
Bundesobligation
5.25%................... 02/21/01 2,535 1,698,631
Deutscheland Republic
6.25%................... 04/26/06 2,610 1,754,801
Treuhan Obligationen
5.625%.................. 09/24/98 815 549,502
------------
4,002,934
------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- --------- ------------
<S> <C> <C> <C>
ITALY -- 0.2%
Italian Government
9.50%................... 02/01/01 820,000 $ 590,841
------------
SPAIN -- 0.2%
Spanish Government
10.10%.................. 02/28/01 62,000 551,553
------------
UNITED KINGDOM -- 0.8%
United Kingdom Treasury
9.00%................... 03/03/00 325 585,904
7.75%................... 09/08/06 1,090 1,895,019
------------
2,480,923
------------
TOTAL FOREIGN BONDS
(COST $11,339,498).......... 11,536,318
------------
<CAPTION>
PAR
(000)
---------
<S> <C> <C> <C>
REPURCHASE AGREEMENTS -- 5.0%
UBS Securities Funding, Inc.
6.75% dated 12/31/96,
repurchase price $14,447,416
(Collateralized by U.S.
Treasury Note, par value
$13,656,000, market value
$14,742,547, due 01/31/00)
(COST $14,442,000)............. 01/02/97 $14,442 14,442,000
-----------
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Fund
(COST $8,153).............. 8,153 8,153
-----------
TOTAL INVESTMENTS -- 103.3%
(COST $288,350,890)........ 296,051,419
<CAPTION>
PAR
MATURITY (000)
-------- -----
<S> <C> <C> <C>
SALE COMMITMENTS -- (0.8%)
Federal National Mortgage
Association [TBA]
6.50%
(COST ($2,420,296)).......... 01/16/12 $ 2,463 (2,418,358)
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (2.5%)....... (7,153,656)
------------
NET ASSETS -- 100.0%........... $286,479,405
============
</TABLE>
41
<PAGE> 43
AST PUTNAM BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy AUD $ 873,055 1.2599 03/97 $ 1,224
Buy CAD 1,762,282 1.3460 03/97 (21,467)
Buy CHF 2,201,426 1.3095 03/97 (29,989)
Buy DEM 66,853 1.5548 01/97 783
Buy DEM 2,868,990 1.5415 03/97 23,148
Buy DKK 378,559 5.9103 03/97 3,821
Buy FRF 770,867 5.2668 03/97 16,474
Buy GBP 10,062 0.5957 01/97 204
Buy GBP 802,260 0.5996 03/97 18,769
Buy GBP 775,444 0.5989 05/97 18,483
Buy ITL 782,315 1536.6142 03/97 8,021
Buy JPY 7,326,946 111.3728 03/97 (192,014)
Buy SEK 349,106 6.7945 03/97 1,335
--------------
$ (151,208)
=============
Sell AUD $1,486,724 1.2230 03/97 $ 41,621
Sell CAD 924,642 1.3381 03/97 16,585
Sell CHF 3,565,843 1.2966 03/97 83,393
Sell DEM 6,287,993 1.5235 03/97 (76,203)
Sell DEM 1,581,065 1.4914 05/97 33,374
Sell DKK 253,353 5.9206 03/97 (3,003)
Sell ESP 72,744 131.7960 03/97 (1,189)
Sell FRF 1,470,853 5.2536 03/97 (27,654)
Sell FRF 3,036,501 5.0815 05/97 34,018
Sell GBP 12,459 0.5846 01/97 (14)
Sell GBP 1,285,444 0.6112 03/97 (52,642)
Sell GBP 771,235 0.6237 05/97 (49,794)
Sell JPY 5,221,403 111.8344 03/97 115,760
Sell NLG 1,923,231 1.6831 05/97 29,639
--------------
$ 143,891
=============
</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 year, these securities amounted
to 0.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
42
<PAGE> 44
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 91.2%
ADVERTISING -- 0.7%
Larmar Advertising Co.
Sr. Sub. Notes
9.625%............... 12/01/06 $ 1,400 $ 1,445,500
------------
AEROSPACE -- 0.3%
Tracor, Inc. Sr. Sub.
Notes
10.875%.............. 08/15/01 650 693,875
------------
AUTOMOTIVE PARTS -- 2.5%
Aftermarket Technology,
Inc. Sr. Sub. Notes
12.00%............... 08/01/04 1,250 1,403,125
Blue Bird Body Co. Sr.
Sub. Notes 144A
10.75%............... 11/15/06 250 261,875
Exide Corp. Sr. Notes
10.00%............... 04/15/05 1,225 1,280,125
JPS Automotive Products
Corp. Sr. Notes
11.125%.............. 06/15/01 250 269,375
Lear Corp. Sub. Notes
9.50%................ 07/15/06 1,000 1,075,000
Lear Seating Corp. Sr.
Sub. Notes
11.25%............... 07/15/00 150 153,750
8.25%................ 02/01/02 550 556,875
Safelite Glass Corp.
Sr. Sub. Notes 144A
9.875%............... 12/15/06 175 180,688
------------
5,180,813
------------
BEVERAGES -- 0.7%
Delta Beverage Group
Sr. Notes 144A
9.75%................ 12/15/03 300 309,000
Dr. Pepper Bottling
Holding Co. Sr. Notes
[STEP]
9.50%................ 02/15/03 1,250 1,184,375
------------
1,493,375
------------
BROADCASTING -- 6.8%
Argyle Television, Inc.
Sr. Sub. Notes
9.75%................ 11/01/05 500 506,250
Australis Media Ltd.
Units [STEP]
8.95%................ 05/15/03 625 368,750
Chancellor Broadcasting
Co. Sr. Sub. Notes
9.375%............... 10/01/04 750 759,375
12.50%............... 10/01/04 375 423,750
Granite Broadcasting
Corp. Sr. Sub. Debs.
10.375%.............. 05/15/05 1,000 1,030,000
PAR
MATURITY (000) VALUE
-------- ------- ------------
Heritage Media Corp.
Sr. Sub. Notes
8.75%................ 02/15/06 $ 2,000 $ 1,932,500
Lenfest Communications
Sr. Sub. Notes
8.375%............... 11/01/05 500 485,000
10.50%............... 06/15/06 550 580,250
NWCG Holding Corp. Sr.
Disc. Notes [ZCB]
13.20%............... 06/15/99 300 251,250
SCI Television, Inc.
Sr. Notes
11.00%............... 06/30/05 1,150 1,239,125
SFX Broadcasting, Inc.
Sr. Sub. Notes
10.75%............... 05/15/06 1,600 1,692,000
Sinclair Broadcasting
Group Sr. Sub. Notes
10.00%............... 12/15/03 650 666,250
10.00%............... 09/30/05 1,250 1,281,250
Sullivan Broadcasting
Holdings Co. Sr. Sub.
Notes
10.25%............... 12/15/05 1,500 1,522,500
13.25%............... 12/15/06 150 138,750
Young Broadcasting
Corp. Sr. Sub. Notes
11.75%............... 11/15/04 250 276,250
10.125%.............. 02/15/05 750 780,000
------------
13,933,250
------------
BUSINESS SERVICES -- 0.9%
Monarch Marking
Systems, Inc. Sr.
Notes
12.50%............... 07/01/03 1,050 1,233,750
Outsourcing Solutions
Corp. Sr. Sub. Notes
144A
11.00%............... 11/01/06 500 525,000
------------
1,758,750
------------
CAPITAL GOODS -- 0.3%
Australis Holdings Ltd.
Units [STEP] 144A
9.88%................ 11/01/02 1,000 580,000
------------
CHEMICALS -- 5.0%
Arcadian Partners L.P.
Sr. Notes Cl-B
10.75%............... 05/01/05 800 888,000
Astor Corp. Sr. Sub.
Notes 144A
10.50%............... 10/15/06 1,025 1,062,156
Crain Industries, Inc.
Sr. Sub. Notes
13.50%............... 08/15/05 700 792,750
Foamex L.P. Sr. Notes
11.25%............... 10/01/02 550 588,500
11.875%.............. 10/01/04 250 270,313
</TABLE>
43
<PAGE> 45
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Harris Chemical North
America Sr. Notes
[STEP]
10.25%............... 07/15/01 $ 1,750 $ 1,837,500
ISP Holdings, Inc. Sr.
Notes 144A
9.00%................ 10/15/03 1,275 1,300,500
Polymer Group, Inc. Sr.
Notes
12.25%............... 07/15/02 1,000 1,090,000
RBX Corp. Notes Cl-B
11.25%............... 10/15/05 1,000 851,250
Sterling Chemicals
Holdings Sr. Disc.
Notes [STEP]
12.60%............... 08/15/08 1,575 913,500
Sterling Chemicals,
Inc. Sr. Sub. Notes
11.75%............... 08/15/06 250 265,000
Uniroyal Technology
Corp. Sr. Notes
11.75%............... 06/01/03 425 426,063
------------
10,285,532
------------
CLOTHING & APPAREL -- 3.2%
Collins & Aikman
Products Sr. Sub.
Notes
11.50%............... 04/15/06 1,850 2,035,000
Hosiery Corp. of
America, Inc. Sr.
Sub. Notes
13.75%............... 08/01/02 500 552,500
Pillowtex Corp. Sr.
Sub. Notes 144A
10.00%............... 11/15/06 500 523,125
Westpoint Stevens, Inc.
Sr. Sub. Debs.
9.375%............... 12/15/05 3,250 3,371,875
------------
6,482,500
------------
COMPUTER SERVICES & SOFTWARE -- 0.8%
Alvey Systems, Inc. Sr.
Sub. Notes
11.375%.............. 01/31/03 1,500 1,586,250
------------
CONSUMER PRODUCTS & SERVICES -- 4.3%
American Safety Razor
Co. Sr. Notes
9.875%............... 08/01/05 1,250 1,326,563
Cabot Safety Corp. Sr.
Sub. Notes
12.50%............... 07/15/05 1,250 1,400,000
Herff Jones, Inc. Sr.
Sub. Notes
11.00%............... 08/15/05 550 594,688
PAR
MATURITY (000) VALUE
-------- ------- ------------
Playtex Family Products
Corp. Sr. Sub. Notes
9.00%................ 12/15/03 $ 2,100 $ 2,094,750
Rayovac Corp. Sr. Sub.
Notes 144A
10.25%............... 11/01/06 100 103,875
Revlon Consumer
Products Corp. Sr.
Notes
9.375%............... 04/01/01 500 513,125
10.50%............... 02/15/03 1,375 1,447,188
Simmons Co. Sr. Sub.
Notes
10.75%............... 04/15/06 1,250 1,321,875
------------
8,802,064
------------
CONTAINERS & PACKAGING -- 4.1%
Container Corp. of
America Sr. Notes
9.75%................ 04/01/03 250 263,750
11.25%............... 05/01/04 250 272,813
Four M Corp. Sr. Notes
12.00%............... 06/01/06 750 787,500
Owens Illinois, Inc.
Sr. Sub. Notes
10.50%............... 06/15/02 250 265,625
9.75%................ 08/15/04 200 210,000
9.95%................ 10/15/04 2,750 2,921,875
Packaging Resources,
Inc. Sr. Notes
11.625%.............. 05/01/03 450 477,000
Plastic Containers Sr.
Notes 144A
10.00%............... 12/15/06 450 466,875
Riverwood International
Co. Notes
10.875%.............. 04/01/08 1,500 1,395,000
Stone Container Corp.
Sr. Notes
11.50%............... 10/01/04 500 528,750
11.875%.............. 08/01/16 300 318,000
U.S. Can Corp. Sr. Sub.
Notes 144A
10.125%.............. 10/15/06 400 421,000
------------
8,328,188
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.5%
Advanced Micro Devices,
Inc. Sr. Notes
11.00%............... 08/01/03 900 981,000
------------
</TABLE>
44
<PAGE> 46
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 2.8%
AMF Group, Inc. Notes
10.875%.............. 03/15/06 $ 400 $ 423,000
AMF Group, Inc. Sr.
Disc. Notes [STEP]
12.28%............... 03/15/06 1,850 1,225,625
Cobblestone Golf Group
Sr. Notes
11.50%............... 06/01/03 750 784,688
Premier Parks Corp. Sr
Notes Cl-A
12.00%............... 08/15/03 600 658,500
Six Flags Theme Parks
Sr. Sub. Notes Cl-A
[STEP]
9.94%................ 06/15/05 2,825 2,683,750
------------
5,775,563
------------
ENVIRONMENTAL SERVICES -- 1.4%
Allied Waste North
America Sr. Sub.
Notes 144A
10.25%............... 12/01/06 600 631,500
Envirosource, Inc. Sr.
Notes
9.75%................ 06/15/03 1,400 1,316,000
ICF Kaiser
International, Inc.
Sr. Sub. Notes
13.00%............... 12/31/03 600 567,000
Mid-American Waste
Systems, Inc. Sr.
Sub. Notes*
12.25%............... 02/15/03 900 360,000
------------
2,874,500
------------
EQUIPMENT SERVICES -- 0.8%
Coinmach Corp. Sr.
Notes
11.75%............... 11/15/05 781 845,433
Primeco, Inc. Sr. Sub.
Notes
12.75%............... 03/01/05 667 763,715
------------
1,609,148
------------
FARMING & AGRICULTURE -- 0.6%
Dimon, Inc. Sr. Notes
8.875%............... 06/01/06 1,150 1,201,750
------------
FINANCIAL-BANK & TRUST -- 1.3%
First Nationwide Escrow
Sr. Sub. Notes 144A
10.625%.............. 10/01/03 1,750 1,890,000
First Nationwide
Holdings Sr. Notes
12.25%............... 05/15/01 750 849,375
------------
2,739,375
------------
PAR
MATURITY (000) VALUE
-------- ------- ------------
FINANCIAL SERVICES -- 2.1%
Contifinancial Corp.
Sr. Notes
8.375%............... 08/15/03 $ 750 $ 775,313
Intertek Finance PLC
Sr. Sub. Notes 144A
10.25%............... 11/01/06 600 627,000
Mesa Operating Co.
Disc. Notes [STEP]
10.11%............... 07/01/06 1,000 695,000
Mesa Operating Co. Sr.
Sub. Notes
10.625%.............. 07/01/06 500 545,000
Unifrax Investment
Corp. Sr. Notes
10.50%............... 11/01/03 1,650 1,687,125
------------
4,329,438
------------
FOOD -- 3.7%
Carr-Gottstein Foods
Co. Sr. Sub. Notes
12.00%............... 11/15/05 900 959,625
Curtice-Burns Foods,
Inc. Sr. Sub. Notes
12.25%............... 02/01/05 850 884,000
International Home
Foods Sr. Sub. Notes
144A
10.375%.............. 11/01/06 1,500 1,567,500
PMI Acquisition Corp.
Sr. Sub. Notes
10.25%............... 09/01/03 750 778,125
Smith's Food & Drug
Centers Sr. Sub.
Notes
11.25%............... 05/15/07 1,300 1,439,750
Specialty Foods Corp.
Sr. Notes Cl-B
11.125%.............. 10/01/02 400 378,000
11.25%............... 08/15/03 600 459,000
Van de Kamps, Inc. Sr.
Sub. Notes
12.00%............... 09/15/05 950 1,052,125
------------
7,518,125
------------
HEALTHCARE SERVICES -- 2.1%
Genesis Health
Ventures, Inc. Sr.
Sub. Notes
9.75%................ 06/15/05 1,250 1,321,875
Icon Fitness Corp.
Notes [STEP] 144A
14.00%............... 11/15/06 1,100 592,625
Icon Health & Fitness
Sr. Sub. Notes
13.00%............... 07/15/02 530 602,213
Tenet Healthcare Corp.
Sr. Sub. Notes
10.125%.............. 03/01/05 1,700 1,887,000
------------
4,403,713
------------
</TABLE>
45
<PAGE> 47
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
HOTELS & MOTELS -- 0.7%
Courtyard By Mariott
Sr. Notes
10.75%............... 02/01/08 $ 1,250 $ 1,328,125
------------
INDUSTRIAL PRODUCTS -- 1.6%
American Standard Debs.
11.375%.............. 05/15/04 250 268,125
Bar Technologies, Inc.
Notes
13.50%............... 04/01/01 300 308,250
IMO Industries, Inc.,
Sr. Sub. Notes
11.75%............... 05/01/06 900 846,000
International Knife &
Saw, Inc. Sr. Sub.
Notes 144A
11.375%.............. 11/15/06 600 621,000
Prime Succession
Acquisition Co. Sr.
Sub. Notes 144A
10.75%............... 08/15/04 350 380,625
Ryerson Tull, Inc.
Notes
9.125%............... 07/15/06 700 738,500
------------
3,162,500
------------
MACHINERY & EQUIPMENT -- 1.8%
Clark Materials
Handling Sr. Notes
144A
10.75%............... 11/15/06 300 312,750
Fairfield Manufacturing
Co. Sr. Sub. Notes
11.375%.............. 07/01/01 500 525,000
Mettler-Toledo, Inc.
Notes
9.75%................ 10/01/06 1,000 1,057,500
Ryder TRS, Inc. Sr.
Sub. Notes 144A
10.00%............... 12/01/06 675 703,688
Tokheim Corp. Sr. Sub.
Notes 144A
11.50%............... 08/01/06 1,100 1,174,250
------------
3,773,188
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.0%
Dade International,
Inc. Sr. Sub. Notes
11.125%.............. 05/01/06 1,900 2,066,250
------------
METALS & MINING -- 3.5%
Acme Metals, Inc. Sr.
Disc. Notes [STEP]
10.71%............... 08/01/04 825 853,875
Armco, Inc. Sr. Notes
9.375%............... 11/01/00 250 254,375
Bayou Steel Corp. First
Mtge.
10.25%............... 03/01/01 750 693,750
PAR
MATURITY (000) VALUE
-------- ------- ------------
Euramax International
Ltd. Sr. Sub. Notes
144A
11.25%............... 10/01/06 $ 1,250 $ 1,300,000
GS Technologies
Operating Corp. Sr.
Notes
12.00%............... 09/01/04 725 756,719
12.25%............... 10/01/05 1,200 1,263,000
Republic Engineered
Steel First Mtge.
9.875%............... 12/15/01 750 705,938
Royal Oak Mines, Inc.
Sr. Sub. Notes
11.00%............... 08/15/06 1,400 1,428,000
------------
7,255,657
------------
OFFICE EQUIPMENT -- 1.2%
Knoll, Inc. Sr. Sub.
Notes
10.875%.............. 03/15/06 1,150 1,273,625
United Stationery
Supply Sr. Sub. Notes
12.75%............... 05/01/05 1,100 1,226,500
------------
2,500,125
------------
OIL & GAS -- 2.8%
Abraxas Petroleum Corp.
Sr. Notes 144A
11.50%............... 11/01/04 1,150 1,233,375
Falcon Drilling Co.,
Inc. Sr. Notes
9.75%................ 01/15/01 350 368,375
12.50%............... 03/15/05 300 336,375
Forcenergy, Inc. Sr.
Sub. Notes
9.50%................ 11/01/06 1,500 1,567,500
Giant Industries, Inc.
Sr. Sub. Notes
9.75%................ 11/15/03 550 574,750
HS Resources, Inc. Sr.
Sub. Notes
9.875%............... 12/01/03 250 262,500
United Meridian Corp.
Sr. Sub. Notes
10.375%.............. 10/15/05 1,300 1,433,250
------------
5,776,125
------------
PAPER & FOREST PRODUCTS -- 1.6%
Buckeye Cellulos Corp.
Sr. Sub. Notes
9.25%................ 09/15/08 1,000 1,037,500
Repap New Brunswick Sr.
Notes
10.625%.............. 04/15/05 500 525,000
S.D. Warren Co. Sr.
Sub. Notes
12.00%............... 12/15/04 800 865,000
</TABLE>
46
<PAGE> 48
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
Uniforet, Inc. Sr.
Notes 144A
11.125%.............. 10/15/06 $ 950 $ 888,250
------------
3,315,750
------------
PRINTING & PUBLISHING -- 2.0%
Affiliated Newspaper
Investments, Inc. Sr.
Disc. Notes [STEP]
13.61%............... 07/01/06 1,850 1,526,250
Garden State Newspapers
Sr. Sub. Notes
12.00%............... 07/01/04 200 219,000
Hollinger International
Publishing Co. Notes
9.25%................ 02/01/06 1,000 993,750
K-III Communications
Corp. Sr. Notes
8.50%................ 02/01/06 500 493,125
Petersen Publishing Sr.
Sub. Notes 144A
11.125%.............. 11/15/06 800 838,000
------------
4,070,125
------------
REAL ESTATE -- 1.0%
Trizec Finance Ltd. Sr.
Notes
10.875%.............. 10/15/05 1,925 2,129,531
------------
RETAIL & MERCHANDISING -- 1.8%
Brylane L.P. Sr. Sub.
Notes Cl-B
10.00%............... 09/01/03 1,325 1,364,750
Ralph's Grocery Co. Sr.
Notes
10.45%............... 06/15/04 1,950 2,076,750
11.00%............... 06/15/05 325 342,875
------------
3,784,375
------------
TELECOMMUNICATIONS -- 21.9%
Arch Communications
Group Sr. Disc. Notes
[STEP]
10.88%............... 03/15/08 525 303,188
Bell Cablemedia PLC Sr.
Disc. Notes [STEP]
11.81%............... 07/15/04 850 748,000
Brooks Fiber Properties
Sr. Disc. Notes
[STEP]
13.19%............... 03/01/06 2,900 1,943,000
Cablevision Systems
Corp. Sr. Sub. Debs.
9.875%............... 02/15/13 500 493,750
Cablevision Systems
Corp. Sr. Sub. Notes
9.25%................ 11/01/05 1,850 1,831,500
9.875%............... 05/15/06 300 309,000
PAR
MATURITY (000) VALUE
-------- ------- ------------
CAI Wireless Systems,
Inc. Sr. Notes
12.25%............... 09/15/02 $ 250 $ 122,500
Cellular Communications
International, Inc.
Notes [ZCB]
12.17%............... 08/15/00 1,100 767,250
CF Cable TV, Inc. Sr.
Notes
11.625%.............. 02/15/05 500 583,750
Charter Communications
Southeast L.P. Sr.
Notes
11.25%............... 03/15/06 1,000 1,041,250
Comcast U.K. Cable
Corp. Debs. [STEP]
11.56%............... 11/15/07 2,150 1,526,500
CS Wireless Systems,
Inc. Units [STEP]
11.38%............... 03/01/06 500 182,500
Diamond Cable
Communications PLC
Sr. Disc. Notes
[STEP]
12.07%............... 09/30/04 250 205,000
12.16%............... 12/15/05 1,750 1,246,875
Echostar Satellite
Broadcasting Co. Sr.
Disc. Notes [STEP]
13.34%............... 03/15/04 1,725 1,311,000
Fonorola, Inc. Sr.
Notes
12.50%............... 08/15/02 150 164,063
Insight Communications
Co. Sr. Sub. Notes
[STEP]
11.25%............... 03/01/00 400 414,500
Intermedia
Communications of
Florida, Inc. Sr.
Disc. Notes [STEP]
11.94%............... 05/15/06 2,475 1,639,688
International Cabletel,
Inc. Sr. Notes [STEP]
13.57%............... 10/15/03 500 421,250
10.15%............... 04/15/05 1,050 787,500
12.22%............... 02/01/06 1,775 1,211,438
Jacor Communications
Co. Notes
9.75%................ 12/15/06 500 513,750
Millicom International
Cellular Sr. Disc.
Notes [STEP]
13.17%............... 06/01/06 2,350 1,462,875
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
12.94%............... 09/01/03 300 234,750
12.76%............... 08/15/04 1,350 926,438
</TABLE>
47
<PAGE> 49
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
Nextlink
Communications, Inc.
Sr. Notes
12.50%............... 04/15/06 $ 500 $ 538,750
Paging Network, Inc.
Sr. Sub. Notes
10.125%.............. 08/01/07 1,750 1,791,563
Panamsat L.P. Sr. Sub.
Notes [STEP]
9.97%................ 08/01/03 1,400 1,305,500
Park Communications,
Inc. Sr. Notes [PIK]
13.75%............... 05/15/04 450 510,750
Pegasus Media &
Communications, Inc.
Notes
12.50%............... 07/01/05 975 1,057,875
Peoples Choice T.V.
Corp. Units [STEP]
12.74%............... 06/01/04 1,150 494,500
Phonetel Technologies
Sr. Notes
12.00%............... 12/15/06 800 830,000
Rogers Cablesystems Sr.
Notes
10.00%............... 03/15/05 800 858,000
10.00%............... 12/01/07 600 640,500
11.00%............... 12/01/15 750 810,000
Sygnet Wireless, Inc.
Sr. Notes
11.50%............... 10/01/06 1,425 1,478,438
Teleport Communications
Group, Inc. Sr. Notes
9.875%............... 07/01/06 225 241,313
Teleport Communications
Group, Inc. Sr. Disc.
Notes [STEP]
10.22%............... 07/01/07 3,675 2,544,938
Telewest PLC Debs.
[STEP]
11.09%............... 10/01/07 3,625 2,523,906
UIH Australia Pacific
Sr. Disc. Notes
[STEP]
14.10%............... 05/15/06 1,600 840,000
USA Mobile Communi-
cations Sr. Notes
9.50%................ 02/01/04 1,050 997,500
Vanguard Cellular
System Debs.
9.375%............... 04/15/06 2,000 2,025,000
Viacom, Inc. Sub. Debs.
8.00%................ 07/07/06 3,425 3,326,531
Videotron Holdings PLC
Sr. Notes
10.625%.............. 02/15/05 1,000 1,102,500
Wireless One, Inc. Sr.
Notes
13.00%............... 10/15/03 500 490,000
PAR
MATURITY (000) VALUE
-------- ------- ------------
Wireless One, Inc.
Units [STEP]
13.50%............... 08/01/06 $ 300 $ 147,000
------------
44,945,879
------------
TRANSPORTATION -- 3.4%
Ameritruck Distribution
Sr. Sub. Notes
12.25%............... 11/15/05 1,200 1,212,000
Gearbulk Holding Ltd.
Sr. Notes
11.25%............... 12/01/04 1,250 1,381,250
Great Dane Holdings Sr.
Sub. Debs.
12.75%............... 08/01/01 500 503,750
Johnstown America, Inc.
Sr. Sub. Notes
11.75%............... 08/15/05 350 337,750
Statia Terminals First
Mtge. Notes 144A
11.75%............... 11/15/03 1,000 1,030,000
Stena AB Sr. Notes
10.50%............... 12/15/05 1,625 1,763,125
Trism, Inc. Sr. Sub.
Notes
10.75%............... 12/15/00 725 699,625
------------
6,927,500
------------
UTILITIES -- 2.0%
California Energy Co.,
Inc. Disc. Notes
[STEP]
10.25%............... 01/15/04 2,800 2,968,000
El Paso Electric Co.
First Mtge. Cl-E
9.40%................ 05/01/11 1,075 1,143,767
------------
4,111,767
------------
TOTAL CORPORATE OBLIGATIONS
(COST $178,719,854)................ 187,149,606
------------
U.S. TREASURY OBLIGATIONS -- 1.7%
U.S. Treasury Notes
6.375%
(COST $3,452,895).... 08/15/02 3,500 3,523,065
------------
REPURCHASE AGREEMENTS -- 3.1%
HSBC Securities, Inc.
5.50% dated 12/31/96,
repurchase price
$6,436,966
(Collateralized by
U.S. Treasury Note,
par value $6,325,000,
market value
$6,595,409 due
04/15/98)
(COST $6,435,000).... 01/02/97 6,435 6,435,000
------------
</TABLE>
48
<PAGE> 50
FEDERATED HIGH YIELD PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 0.2%
BROADCASTING -- 0.0%
Sullivan Broadcasting Holdings
Co.*........................... 2,400 $ 24,600
------------
CHEMICALS -- 0.0%
Sterling Chemicals Holdings
Warrants*...................... 1,075 37,625
Uniroyal Technology Corp.
Warrants*...................... 2,500 3,125
------------
40,750
------------
CLOTHING & APPAREL -- 0.0%
Hosiery Corp. of America,
Inc.*.......................... 400 2,200
------------
ENVIRONMENTAL SERVICES -- 0.0%
ICF Kaiser International, Inc.
Warrants*...................... 1,200 600
------------
HEALTHCARE SERVICES -- 0.0%
Icon Health & Fitness Warrants
144A*.......................... 250 15,031
------------
INDUSTRIAL PRODUCTS -- 0.0%
Bar Technologies, Inc. Warrants
144A*.......................... 300 18,000
------------
PRINTING & PUBLISHING -- 0.1%
Affiliated Newspaper Investments,
Inc.*.......................... 1,000 60,000
------------
RETAIL & MERCHANDISING -- 0.0%
Grand Union Co.*................. 7,069 34,907
------------
TELECOMMUNICATIONS -- 0.1%
Cellular Communications
International, Inc.
Warrants*...................... 1,100 22,000
CS Wireless Systems, Inc.
144A*.......................... 137 0
Park Communications, Inc.
Warrants*...................... 4,500 90,000
Pegasus Media & Communications,
Inc. 144A*..................... 50 15,000
Wireless One, Inc. Warrants*..... 1,500 1,500
------------
128,500
------------
TOTAL COMMON STOCK
(COST $418,079).................. 324,588
------------
SHARES VALUE
------- ------------
PREFERRED STOCK -- 2.0%
BROADCASTING -- 0.4%
Chancellor Broadcasting Co.
12.25% [PIK]................... 7,500 $ 840,000
------------
PRINTING & PUBLISHING -- 0.9%
K-III Communications Corp. Cl-B
11.625% [PIK].................. 8,709 886,172
K-III Communications Corp. Cl-C
10.00% [CVT]................... 10,750 1,056,188
------------
1,942,360
------------
TELECOMMUNICATIONS -- 0.1%
Panamsat Corp.
12.75%......................... 225 275,419
------------
UTILITIES -- 0.6%
El Paso Electric Co.
11.40% [PIK]................... 10,300 1,147,163
------------
TOTAL PREFERRED STOCK
(COST $3,702,173)................ 4,204,942
------------
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund... 238 238
Temporary Investment Fund........ 238 238
------------
(COST $476)...................... 476
------------
TOTAL INVESTMENTS -- 98.2%
(COST $192,728,477)................ 201,637,677
OTHER ASSETS LESS
LIABILITIES -- 1.8%................ 3,623,899
------------
NET ASSETS -- 100.0%................. $205,261,576
============
</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 year, these securities amounted
to 9.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
49
<PAGE> 51
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
COMMON STOCK -- 48.9%
ADVERTISING -- 0.1%
Omnicom Group, Inc. ................ 1,500 $ 68,625
-----------
AEROSPACE -- 0.9%
Boeing Co. ......................... 3,184 338,697
Lockheed Martin Corp. .............. 1,500 137,250
McDonnell Douglas Corp. ............ 2,000 128,000
Northrop Grumman Corp. ............. 800 66,200
Raytheon Co. ....................... 1,800 86,625
Rockwell International Corp.*....... 2,400 146,100
United Technologies Corp. .......... 2,800 184,800
-----------
1,087,672
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*............. 2,700 56,700
AMR Corp.*.......................... 1,600 141,000
-----------
197,700
-----------
AUTOMOBILE MANUFACTURERS -- 0.7%
Ford Motor Co. ..................... 11,100 353,812
General Motors Corp. ............... 6,400 356,800
Honda Motor Co. Ltd. [ADR] ......... 3,200 181,200
-----------
891,812
-----------
AUTOMOTIVE PARTS -- 0.3%
Arvin Industries, Inc. ............. 1,300 32,175
Echlin, Inc. ....................... 3,100 98,037
Genuine Parts Co. .................. 2,400 106,800
Goodyear Tire & Rubber Co. ......... 1,200 61,650
TRW, Inc. .......................... 2,200 108,900
-----------
407,562
-----------
BEVERAGES -- 1.5%
Anheuser-Busch Companies, Inc. ..... 5,400 216,000
Cadbury Schweppes PLC [ADR] ........ 3,473 118,516
Coca-Cola Co. ...................... 19,100 1,005,137
Coca-Cola Enterprises, Inc. ........ 2,300 111,550
Pepsico, Inc. ...................... 12,000 351,000
-----------
1,802,203
-----------
BROADCASTING -- 0.3%
Chris-Craft Industries, Inc.*....... 1,300 54,437
TCA Cable TV, Inc. ................. 1,600 48,200
U.S. West, Inc.*.................... 6,500 120,250
Viacom, Inc. Cl-B*.................. 4,000 139,500
-----------
362,387
-----------
BUILDING MATERIALS -- 0.1%
Calmat Co. ......................... 1,700 31,875
Masco Corp. ........................ 3,600 129,600
-----------
161,475
-----------
BUSINESS SERVICES -- 0.2%
Cognizant Corp. .................... 1,500 49,500
Equifax, Inc. ...................... 3,900 119,437
Flightsafety International, Inc. ... 1,600 76,600
Olsten Corp. ....................... 2,000 30,250
-----------
275,787
-----------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
CHEMICALS -- 1.7%
Akzo-Nobel NV [ADR]................. 1,000 67,500
Cabot Corp. ........................ 2,300 $ 57,787
Crompton & Knowles Corp. ........... 3,800 73,150
Dow Chemical Co. ................... 2,600 203,775
Dupont, (E.I.) de Nemours & Co. .... 4,900 462,437
FMC Corp.*.......................... 1,200 84,150
Great Lakes Chemical Corp. ......... 1,300 60,775
Hanna, (M.A.) Co. .................. 2,100 45,937
IMC Global, Inc. ................... 2,000 78,250
Loctite Corp. ...................... 1,200 73,050
Lubrizol Corp. ..................... 2,200 68,200
Millennium Chemicals, Inc.*......... 192 3,407
Monsanto Co. ....................... 5,000 194,375
Morton International, Inc. ......... 2,800 114,100
Olin Corp. ......................... 1,200 45,150
PPG Industries, Inc. ............... 2,800 157,150
Rohm & Haas Co. .................... 1,300 106,112
Witco Corp. ........................ 3,400 103,700
-----------
1,999,005
-----------
CLOTHING & APPAREL -- 0.4%
Cintas Corp. ....................... 1,800 105,750
Jones Apparel Group, Inc.*.......... 3,400 127,075
Nike, Inc. Cl-B .................... 2,400 143,400
Springs Industries, Inc. Cl-A ...... 2,000 86,000
-----------
462,225
-----------
COMPUTER HARDWARE -- 1.5%
Bay Networks, Inc.*................. 1,900 39,662
Compaq Computer Corp.*.............. 2,100 155,925
Dell Computer Corp.*................ 2,600 138,125
Digital Equipment Corp.*............ 1,400 50,925
Hewlett-Packard Co. ................ 7,200 361,800
International Business Machines
Corp. ............................ 3,900 588,900
Seagate Technology, Inc.*........... 3,600 142,200
Stratus Computer, Inc.*............. 1,100 29,975
Sun Microsystems, Inc.*............. 3,200 82,200
3Com Corp.*......................... 2,148 157,610
-----------
1,747,322
-----------
COMPUTER SERVICES & SOFTWARE -- 2.0%
America Online, Inc.*............... 1,900 63,175
Automatic Data Processing, Inc. .... 3,300 141,487
BMC Software, Inc.*................. 3,400 140,675
Cadence Design Systems, Inc.*....... 1,550 61,612
Ceridian Corp.*..................... 1,500 60,750
Cisco Systems, Inc.*................ 4,600 292,675
Computer Associates International,
Inc. ............................. 3,175 157,956
First Data Corp. ................... 4,100 149,650
Informix Corp.*..................... 5,600 114,100
Microsoft Corp.*.................... 7,400 611,425
Novell, Inc.*....................... 2,900 27,459
Oracle Corp.*....................... 5,600 233,800
Parametric Technology Corp.*........ 2,400 123,300
Paychex, Inc. ...................... 2,400 123,450
</TABLE>
50
<PAGE> 52
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
Storage Technology Corp.*............... 1,200 $ 57,150
Structural Dynamics Research
Corp.*............................ 1,300 26,000
-----------
2,384,664
-----------
CONGLOMERATES -- 0.9%
Hanson PLC [ADR].................... 2,700 18,225
Minnesota Mining & Manufacturing
Co. .............................. 4,100 339,787
Philip Morris Companies, Inc. ...... 6,400 720,800
-----------
1,078,812
-----------
CONSTRUCTION -- 0.0%
Granite Construction, Inc. ......... 1,100 20,900
Jacobs Engineering Group, Inc.*..... 1,000 23,625
-----------
44,525
-----------
CONSUMER PRODUCTS & SERVICES -- 1.1%
A.C. Nielson Corp.*................. 1 15
American Brands, Inc. .............. 2,400 119,100
Colgate-Palmolive Co. .............. 2,000 184,500
Cross, (A.T.) Co. Cl-A ............. 1,400 16,275
CUC International, Inc.*............ 2,700 64,125
Eastman Kodak Co. .................. 3,000 240,750
National Presto Industries, Inc. ... 800 29,900
Pittston Brink Group ............... 1,300 35,100
Procter & Gamble Co. ............... 5,700 612,750
Tambrands, Inc. .................... 1,500 61,312
-----------
1,363,827
-----------
CONTAINERS & PACKAGING -- 0.2%
Bemis Co., Inc. .................... 2,700 99,563
Sealed Air Corp.*................... 2,700 112,387
-----------
211,950
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 2.2%
Altera Corp.*....................... 1,400 101,762
Applied Materials, Inc.*............ 1,100 39,531
Arrow Electronics, Inc.*............ 900 48,150
Diebold, Inc. ...................... 1,800 113,175
Emerson Electric Co. ............... 2,000 193,500
General Electric Co. ............... 13,000 1,285,375
Hitachi Ltd. [ADR].................. 1,600 148,000
Honeywell, Inc. .................... 1,500 98,625
Hubbell, Inc. Cl-B ................. 2,000 86,500
Molex, Inc. ........................ 2,800 109,550
Philips Electronics NV [ADR]........ 3,600 144,000
Solectron Corp.*.................... 1,500 80,062
Sundstrand Corp. ................... 2,200 93,500
Symbol Technologies, Inc.*.......... 700 30,975
Tandy Corp. ........................ 600 26,400
Teleflex, Inc. ..................... 900 46,912
Varian Associates, Inc. ............ 700 35,612
-----------
2,681,629
-----------
ENTERTAINMENT & LEISURE -- 0.8%
Brunswick Corp. .................... 2,000 48,000
Callaway Golf Co. .................. 1,900 54,625
Circus Circus Enterprises*.......... 2,700 92,812
Harley-Davidson, Inc. .............. 1,900 89,300
Mattel, Inc. ....................... 1,900 52,725
Mirage Resorts, Inc.*............... 3,800 82,175
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
President Casinos, Inc. Warrants*... 883 $ 221
Time Warner, Inc. .................. 5,500 206,250
Walt Disney Co. .................... 5,464 380,431
-----------
1,006,539
-----------
ENVIRONMENTAL SERVICES -- 0.3%
Browning-Ferris Industries, Inc. ... 3,100 81,375
USA Waste Services, Inc.*........... 2,600 82,875
WMX Technologies, Inc............... 4,500 146,812
-----------
311,062
-----------
FINANCIAL-BANK & TRUST -- 4.0%
Australia and New Zealand Banking
Group Ltd. [ADR].................. 3,600 112,050
Banc One Corp. ..................... 4,300 184,900
Banco Bilbao Vizcaya [ADR].......... 3,000 160,125
Banco Frances del Rio de la Plata SA
[ADR]............................. 5,060 139,150
Bancorp Hawaii, Inc. ............... 1,500 63,000
Chase Manhattan Corp. .............. 3,956 353,072
Citicorp ........................... 4,300 442,900
City National Corp. ................ 1,800 38,925
CoreStates Financial Corp. ......... 2,900 150,437
Crestar Financial Corp. ............ 1,300 96,687
Fifth Third Bancorp ................ 2,100 131,906
First Bank System, Inc. ............ 2,000 136,500
First Chicago NBD Corp. ............ 3,400 182,750
First Security Corp. ............... 3,150 106,313
First Tennessee National Corp. ..... 3,200 120,000
First Union Corp. .................. 2,500 185,000
Fleet Financial Group, Inc. ........ 2,900 144,637
Keycorp ............................ 3,000 151,500
Mellon Bank Corp. .................. 2,200 156,200
Mercantile Bancorporation, Inc. .... 1,400 71,925
Mercantile Bankshares Corp. ........ 1,800 57,600
Morgan, (J.P.) & Co., Inc. ......... 2,000 195,250
NationsBank Corp. .................. 2,900 283,475
Northern Trust Corp. ............... 3,800 137,750
Norwest Corp. ...................... 4,000 174,000
PNC Bank Corp. ..................... 4,820 181,352
Southtrust Corp. ................... 3,000 104,625
State Street Boston Corp. .......... 1,800 116,100
U.S. Bancorp ....................... 2,852 128,162
Wells Fargo & Co. .................. 900 242,775
-----------
4,749,066
-----------
FINANCIAL SERVICES -- 1.6%
American Express Co. ............... 3,900 220,350
Bear Stearns Companies, Inc. ....... 2,300 64,112
Charles Schwab Corp. ............... 3,200 102,400
Comdisco, Inc. ..................... 1,900 60,325
Dean Witter Discover & Co. ......... 2,000 132,500
Echelon International Corp.*........ 147 2,292
Edwards (A.G.), Inc. ............... 1,500 50,437
Federal Home Loan Mtge. Corp. ...... 1,700 187,212
Federal National Mtge. Assoc. ...... 6,000 223,500
Franklin Resources, Inc. ........... 1,900 129,912
Green Tree Financial Corp. ......... 2,500 96,562
</TABLE>
51
<PAGE> 53
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
Grupo Financiero Bancomer
[ADR] 144A*....................... 1,400 $ 11,200
H & R Block, Inc. .................. 1,500 43,500
Household International, Inc. ...... 1,600 147,600
Merrill Lynch & Co., Inc. .......... 1,300 105,950
Morgan Stanley Group, Inc. ......... 900 51,412
Paine Webber Group, Inc. ........... 2,400 67,500
Salomon, Inc. ...................... 1,400 65,975
SunAmerica, Inc. ................... 2,400 106,500
-----------
1,869,239
-----------
FOOD -- 1.5%
Archer-Daniels-Midland Co. ......... 7,412 163,064
Conagra, Inc. ...................... 2,900 144,275
CPC International, Inc. ............ 1,800 139,500
Dole Food Co. ...................... 1,700 57,587
Earthgrains Co. .................... 148 7,732
General Mills, Inc. ................ 2,000 126,750
Grand Metropolitan PLC [ADR]........ 2,800 88,550
Heinz, (H.J.) Co. .................. 3,750 134,062
IBP, Inc. .......................... 2,400 58,200
Kellogg Co. ........................ 2,400 157,500
McCormick & Co., Inc. .............. 2,600 61,262
Ralston Purina Group ............... 1,800 132,075
Sara Lee Corp. ..................... 5,500 204,875
Smucker, (J.M.) Co. ................ 1,600 28,200
Unilever PLC [ADR].................. 1,100 192,775
Universal Corp. .................... 1,000 32,125
Universal Foods Corp. .............. 1,300 45,825
-----------
1,774,357
-----------
FURNITURE -- 0.1%
Legget & Platt, Inc. ............... 2,000 69,250
-----------
HEALTHCARE SERVICES -- 0.6%
Apria Healthcare Group, Inc.*....... 2,000 37,500
Columbia-HCA Healthcare Corp........ 6,096 248,412
Healthsouth Corp.*.................. 3,400 131,325
Pacificare Health Systems, Inc.
Cl-A*............................. 400 32,500
Pacificare Health Systems, Inc.
Cl-B*............................. 1,000 85,250
United Healthcare Corp.............. 2,100 94,500
Vencor, Inc.*....................... 2,200 69,575
-----------
699,062
-----------
HOTELS & MOTELS -- 0.2%
HFS, Inc.*.......................... 2,400 143,400
ITT Corp.*.......................... 900 39,037
-----------
182,437
-----------
INDUSTRIAL PRODUCTS -- 0.4%
Corning, Inc. ...................... 2,600 120,250
Dexter Corp. ....................... 1,500 47,812
Harsco Corp. ....................... 1,000 68,500
Measurex Corp....................... 1,300 31,200
Pall Corp. ......................... 2,900 73,950
Tomkins PLC [ADR]................... 6,000 111,000
-----------
452,712
-----------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
INSURANCE -- 1.8%
Aetna, Inc. ........................ 2,102 $ 168,160
AFLAC, Inc. ........................ 2,550 109,012
American Financial Group, Inc. ..... 1,700 64,175
American General Corp. ............. 3,600 147,150
American International Group,
Inc. ............................. 4,100 443,825
Chubb Corp. ........................ 2,600 139,750
CIGNA Corp. ........................ 1,100 150,288
General Re Corp. ................... 1,100 173,525
Hartford Steam Boiler Inspection &
Insurance Co. .................... 1,100 51,013
Loews Corp. ........................ 1,700 160,225
Progressive Corp. .................. 1,300 87,588
Selective Insurance Group .......... 1,000 38,000
Torchmark Corp. .................... 1,800 90,900
Transatlantic Holdings, Inc. ....... 700 56,350
Travelers Group, Inc. .............. 4,700 213,258
UNUM Corp. ......................... 1,700 122,825
-----------
2,216,044
-----------
MACHINERY & EQUIPMENT -- 1.0%
AlliedSignal, Inc. ................. 2,900 194,300
Black & Decker Corp. ............... 1,800 54,225
Caterpillar, Inc. .................. 2,400 180,600
Danaher Corp. ...................... 1,100 51,288
Deere & Co. ........................ 3,300 134,063
Duriron Co., Inc. .................. 2,900 78,663
Federal Signal Corp. ............... 1,700 43,988
Gencorp, Inc. ...................... 2,800 50,750
Illinois Tool Works, Inc. .......... 1,800 143,775
Sequa Corp. Cl-A*................... 700 27,475
Tecumseh Products Co. Cl-A ......... 1,400 80,325
Thermo Electron Corp.*.............. 4,050 167,063
-----------
1,206,515
-----------
MEDICAL SUPPLIES & EQUIPMENT -- 0.5%
Baxter International, Inc. ......... 2,400 98,400
Becton Dickinson & Co. ............. 2,700 117,113
Boston Scientific Corp.*............ 1,700 102,000
Guidant Corp. ...................... 500 28,500
Medtronic, Inc. .................... 2,000 136,000
Stryker Corp........................ 3,400 101,575
-----------
583,588
-----------
METALS & MINING -- 0.5%
Aluminum Co. of America ............ 2,700 172,125
Barrick Gold Corp. ................. 4,700 135,125
Brush Wellman, Inc. ................ 1,300 21,288
Carpenter Technology Corp. ......... 2,600 95,225
Nucor Corp. ........................ 1,600 81,600
Placer Dome, Inc. .................. 4,700 102,225
-----------
607,588
-----------
MISCELLANEOUS -- 0.1%
Imperial Tobacco Group PLC [ADR]*... 675 8,710
International Flavors & Fragrances,
Inc. ............................. 2,600 117,000
-----------
125,710
-----------
</TABLE>
52
<PAGE> 54
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
OFFICE EQUIPMENT -- 0.5%
Alco Standard Corp. ................ 2,300 $ 118,738
Pitney Bowes, Inc. ................. 1,900 103,550
Standard Register Co. .............. 1,100 35,750
Staples, Inc.*...................... 2,900 52,381
Viking Office Products, Inc.*....... 2,100 56,044
Wallace Computer Service, Inc....... 3,000 103,500
Xerox Corp. ........................ 2,600 136,825
-----------
606,788
-----------
OIL & GAS -- 5.4%
Amerada Hess Corp. ................. 4,700 272,013
Atlantic Richfield Co. ............. 1,800 238,500
BJ Services Co.*.................... 3,300 168,300
British Petroleum Co. PLC [ADR]..... 1,100 155,513
Chevron Corp........................ 5,100 331,500
El Paso Natural Gas Co. ............ 1,400 70,700
Enron Corp. ........................ 3,800 163,875
Ensco International, Inc.*.......... 2,100 101,850
Ente Nazionale Idrocarbure SPA
[ADR]............................. 3,500 180,688
Exxon Corp. ........................ 10,000 980,000
Global Marine, Inc.* ............... 4,200 86,625
Halliburton Co. .................... 800 48,200
Helmerich & Payne, Inc. ............ 900 46,913
MCN Corp. .......................... 2,400 69,300
Mobil Corp. ........................ 3,400 415,650
Murphy Oil Corp. ................... 1,200 66,750
National Fuel Gas Co. .............. 1,600 66,000
Noble Affiliates, Inc. ............. 2,600 124,475
Occidental Petroleum Corp. ......... 5,500 128,563
Phillips Petroleum Co. ............. 4,000 177,000
Ranger Oil Ltd. .................... 5,400 53,325
Repsol SA [ADR] .................... 3,000 114,375
Royal Dutch Petroleum Co. [ADR]..... 4,600 785,450
Schlumberger Ltd. .................. 1,700 169,788
Shell Transport & Trading Co.
[ADR]............................. 1,400 143,325
Societe Nationale Elf Aquitaine SA
[ADR]............................. 2,000 90,500
Sonat, Inc. ........................ 2,100 108,150
Texaco, Inc. ....................... 2,800 274,750
Tidewater, Inc. .................... 3,100 140,275
Tosco Corp.......................... 1,000 79,125
Total SA [ADR]...................... 3,000 120,750
Union Pacific Resources Group,
Inc. ............................. 4,609 134,813
Unocal Corp. ....................... 3,000 121,875
USX Marathon Group.................. 4,500 107,438
Valero Energy Corp. ................ 3,000 85,875
Washington Gas Light Co. ........... 2,200 49,775
-----------
6,472,004
-----------
PAPER & FOREST PRODUCTS -- 0.6%
Georgia Pacific Corp. .............. 1,500 108,000
Glatfelter, (P.H.) Co. ............. 2,600 46,800
International Paper Co. ............ 3,800 153,425
Kimberly-Clark Corp. ............... 2,700 257,175
Wausau Paper Mills Co. ............. 1,900 35,150
Weyerhaeuser Co. ................... 3,200 151,600
-----------
752,150
-----------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
PERSONAL SERVICES -- 0.1%
Service Corp. International......... 3,800 $ 106,400
-----------
PHARMACEUTICALS -- 3.5%
Abbott Laboratories................. 5,900 299,425
American Home Products Corp. ....... 4,900 287,263
Amgen, Inc.*........................ 2,300 125,063
Bristol-Meyers Squibb Co. .......... 3,700 402,375
Cardinal Health, Inc. .............. 2,400 139,800
Carter-Wallace, Inc. ............... 3,900 60,938
Centocor, Inc.*..................... 1,200 42,900
Genzyme Corp.*...................... 2,100 45,675
Glaxo Wellcome PLC [ADR]............ 4,500 142,875
Ivax Corp........................... 2,200 22,550
Johnson & Johnson Co. .............. 10,200 507,450
Lilly, (Eli) & Co. ................. 3,900 284,700
McKesson Corp. ..................... 1,300 72,800
Merck & Co., Inc. .................. 9,300 737,025
Perrigo Co.* ....................... 3,600 32,850
Pfizer, Inc. ....................... 4,400 364,650
Pharmacia & Upjohn, Inc............. 4,300 170,388
Scherer, (R.P.) Corp.*.............. 1,000 50,250
Schering-Plough Corp. .............. 2,800 181,300
Warner-Lambert Co. ................. 3,000 225,000
Watson Pharmaceuticals, Inc.*....... 1,500 67,406
-----------
4,262,683
-----------
PRINTING & PUBLISHING -- 0.4%
Banta Corp. ........................ 2,900 66,338
Belo, (A.H.) Corp. Cl-A............. 1,300 45,338
Dun & Bradstreet Corp. ............. 1,500 35,625
Gannett Co., Inc. .................. 2,200 164,725
McGraw-Hill Co., Inc. .............. 2,400 110,700
-----------
422,726
-----------
RAILROADS -- 0.5%
Burlington Northern Santa Fe........ 1,300 112,288
Conrail, Inc. ...................... 836 83,287
CSX Corp. .......................... 2,300 97,175
Kansas City Southern Industries,
Inc. ............................. 1,800 81,000
Norfolk Southern Corp. ............. 900 78,750
Union Pacific Corp. ................ 1,900 114,238
-----------
566,738
-----------
RESTAURANTS -- 0.4%
Brinker International, Inc.*........ 7,300 116,800
Cracker Barrel Old Country Store,
Inc. ............................. 2,700 68,513
Darden Restaurants, Inc. ........... 2,900 25,375
McDonald's Corp. ................... 4,800 217,200
Outback Steakhouse, Inc.*........... 1,900 50,825
-----------
478,713
-----------
RETAIL & MERCHANDISING -- 2.1%
Albertson's, Inc. .................. 4,200 149,625
Ann Taylor Stores Corp.*............ 1,600 28,000
Bed, Bath & Beyond, Inc.* .......... 2,200 53,350
Circuit City Stores, Inc. .......... 900 27,113
Dayton-Hudson Corp. ................ 2,400 94,200
Fastenal Co......................... 1,400 64,050
Federated Department Stores,
Inc.* ............................ 1,900 64,838
</TABLE>
53
<PAGE> 55
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
Gap, Inc............................ 2,900 $ 87,363
Home Depot, Inc. ................... 4,500 225,563
J.C. Penney Co., Inc................ 2,800 136,500
Kohls Corp.*........................ 3,100 121,675
Kroger Co.*......................... 2,200 102,300
Lands' End, Inc.*................... 1,800 47,700
May Department Stores Co. .......... 3,300 154,275
Meyer, (Fred), Inc.*................ 1,500 53,250
Micro Warehouse, Inc.*.............. 1,500 17,625
Payless Shoesource, Inc.*........... 672 25,200
Petrie Stores Corp.*................ 2,700 7,425
Price Costco, Inc.*................. 3,900 97,988
Revco D.S., Inc.*................... 2,800 103,600
Tiffany & Co........................ 1,200 43,950
TJX Companies, Inc.................. 900 42,638
Toys 'R' Us, Inc.*.................. 3,820 114,600
Vons Companies, Inc.*............... 1,600 95,800
Wal-Mart Stores, Inc. .............. 19,200 439,200
Walgreen Co. ....................... 2,700 108,000
-----------
2,505,828
-----------
SEMI-CONDUCTORS -- 1.3%
Analog Devices, Inc.*............... 5,650 191,394
Atmel Corp.*........................ 2,000 66,250
Intel Corp. ........................ 6,300 824,906
Linear Technology Corp. ............ 1,900 83,363
Maxim Integrated Products, Inc.*.... 2,000 86,500
Motorola, Inc. ..................... 4,300 263,913
Xilinx, Inc.*....................... 3,100 114,119
-----------
1,630,445
-----------
TELECOMMUNICATIONS -- 4.2%
ADC Telecommunications, Inc.*....... 3,400 105,825
Airtouch Communications, Inc.*...... 5,000 126,250
Ameritech Corp. .................... 3,800 230,375
AT&T Corp. ......................... 12,400 539,400
Bell Atlantic Corp. ................ 4,000 259,000
BellSouth Corp. .................... 7,100 286,663
British Telecommunications PLC
[ADR]............................. 2,000 137,250
Century Telephone Enterprises,
Inc. ............................. 2,800 86,450
Cia de Telecomunicaciones de Chile
SA [ADR] ......................... 400 40,450
Comcast Corp. Cl-A.................. 5,700 101,531
GTE Corp. .......................... 7,200 327,600
Hong Kong Telecommunications Ltd.
[ADR]............................. 9,245 150,231
Lucent Technologies, Inc. .......... 4,676 216,265
MCI Communications Corp. ........... 6,700 219,006
Nextel Communications, Inc. Cl-A*... 3,600 47,025
Nokia Corp. Cl-A [ADR].............. 1,800 103,725
Northern Telecom Ltd. .............. 3,400 210,375
NYNEX Corp. ........................ 3,200 154,000
Pacific Telesis Group .............. 4,300 158,025
SBC Communications, Inc............. 4,500 232,875
Southern New England
Telecommunications Corp........... 2,400 93,300
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
Sprint Corp......................... 3,300 $ 131,588
Telebras SA [ADR]................... 3,300 252,450
Telefonaktiebolaget LM Ericsson
[ADR] ............................ 4,800 144,900
Telefonica de Espana [ADR].......... 1,600 110,800
Telefonos de Mexico SA Cl-L [ADR]... 1,800 59,400
Telephone & Data Systems, Inc. ..... 2,000 72,500
Tellabs, Inc.*...................... 2,000 75,250
U.S. Robotics Corp.*................ 1,600 115,200
U.S. West Communications Group...... 3,100 99,975
Vodafone Group PLC [ADR]............ 2,000 82,750
Worldcom, Inc.*..................... 3,100 80,794
360 Communications Co.*............. 2,300 53,188
-----------
5,104,416
-----------
TRANSPORTATION -- 0.0%
Alexander & Baldwin, Inc. .......... 1,800 45,000
-----------
UTILITIES -- 2.2%
Allegheny Power System, Inc. ....... 2,700 82,013
American Water Works Co., Inc....... 1,200 24,750
Calenergy, Inc.* ................... 2,400 80,700
CMS Energy Corp. ................... 2,800 94,150
Duke Power Co....................... 3,100 143,375
Edison International, Inc........... 7,800 155,025
Empresa Nacional de Electridad SA
[ADR]............................. 1,900 133,000
Empresa Nacional Electridad SA
[ADR]............................. 2,000 31,000
Entergy Corp. ...................... 4,800 133,200
Florida Progress Corp. ............. 2,200 70,950
FPL Group, Inc. .................... 3,100 142,600
Idaho Power Co. .................... 2,600 80,925
Illinova Corp. ..................... 2,700 74,250
IPALCO Enterprises, Inc. ........... 2,400 65,400
Midamerican Energy Co. ............. 3,800 60,325
New York State Electric & Gas
Corp. ............................ 3,400 73,525
Niagara Mohawk Power Corp. ......... 9,200 90,850
NIPSCO Industries, Inc. ............ 2,300 91,138
Pacific Gas & Electric Co. ......... 6,800 142,800
Portland General Corp. ............. 2,700 113,400
Potomac Electric Power Co. ......... 3,200 82,400
Public Service Co. of New Mexico ... 1,000 19,625
Scana Corp.......................... 2,700 72,225
Southern Co. ....................... 8,700 196,838
Southwestern Public Service Co. .... 2,100 74,288
Teco Energy, Inc. .................. 3,100 74,788
Texas Utilities Co.................. 3,700 150,775
Unicom Corp. ....................... 4,200 113,925
-----------
2,668,240
-----------
TOTAL COMMON STOCK
(COST $49,680,204).................... 58,704,482
-----------
FOREIGN STOCK -- 10.9%
AEROSPACE -- 0.1%
Mitsubishi Heavy Industries
Ltd. -- (JPY)..................... 17,000 135,236
-----------
</TABLE>
54
<PAGE> 56
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
AIRLINES -- 0.2%
KLM Royal Dutch Airlines
NV -- (NLG)....................... 3,000 $ 84,532
Singapore Airlines Ltd. -- (SGD).... 15,000 136,208
-----------
220,740
-----------
AUTOMOBILE MANUFACTURERS -- 0.2%
Man AG -- (DEM)..................... 1,000 241,705
-----------
AUTOMOTIVE PARTS -- 0.2%
Bridgestone Corp. -- (JPY).......... 15,000 285,344
-----------
BEVERAGES -- 0.3%
Lion Nathan Ltd. -- (NZD)........... 50,000 119,830
Louis Vuitton Moet
Hennessy -- (FRF)................. 660 184,611
-----------
304,441
-----------
BUILDING MATERIALS -- 0.2%
Holderbank Financiere Glarus AG --
(CHF)............................. 200 142,868
Malayan Cement BHD -- (MYR)......... 41,000 94,167
-----------
237,035
-----------
CHEMICALS -- 0.5%
AKZO Nobel NV -- (NLG).............. 400 54,731
BASF AG -- (DEM).................... 5,600 214,964
Bayer AG -- (DEM)................... 3,200 130,020
L'Air Liquide -- (FRF).............. 660 103,199
Sumitomo Chemical Co. -- (JPY)...... 26,000 103,191
-----------
606,105
-----------
CLOTHING & APPAREL -- 0.2%
Benetton Group SPA -- (ITL)......... 4,000 50,367
Kuraray Co. Ltd. -- (JPY)........... 16,000 148,033
-----------
198,400
-----------
COMPUTER SERVICES & SOFTWARE -- 0.2%
Getronics NV -- (NLG)............... 7,268 197,628
-----------
CONGLOMERATES -- 0.9%
Cycle & Carriage Ltd. -- (SGD)...... 15,000 183,398
GKN PLC -- (GBP).................... 6,000 102,874
Hutchison Whampoa Ltd. -- (HKD)..... 56,000 439,847
Sime Darby BHD -- (MYR)............. 50,000 197,006
United Engineers Ltd. -- (MYR)...... 15,000 135,429
Valmet Corp. -- (FIM)............... 4,000 70,573
-----------
1,129,127
-----------
CONSTRUCTION -- 0.2%
Matsushita Electric
Works -- (JPY).................... 15,000 129,313
Societe Technip -- (FRF)............ 1,700 159,817
-----------
289,130
-----------
CONSUMER PRODUCTS & SERVICES -- 0.2%
Kao Corp. -- (JPY).................. 17,000 198,444
Orkla AS Cl-A -- (NOK).............. 1,000 69,963
-----------
268,407
-----------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.3%
Mitsubishi Electric
Corp. -- (JPY).................... 17,000 101,427
Sharp Corp. -- (JPY)................ 9,000 128,405
Siemans AG -- (DEM)................. 2,000 92,934
-----------
322,766
-----------
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 2.5%
Abbey National PLC -- (GBP)......... 18,000 $ 235,860
ABN AMRO Holding NV -- (NLG)........ 2,000 130,334
Banca Commerciale Italia
NA -- (ITL)....................... 30,000 54,331
Bank of Scotland -- (GBP)........... 20,208 106,782
Bankgesellschaft Berlin
AG -- (DEM)....................... 5,450 99,284
Barclays PLC -- (GBP)............... 15,191 260,330
DCB Holdings BHD -- (MYR)........... 33,000 113,036
Deutsche Bank AG -- (DEM)........... 2,600 121,457
Developmental Bank of Singapore Ltd.
Cl-F -- (SGD)..................... 7,000 94,595
HSBC Holdings PLC -- (GBP).......... 18,000 402,658
ING Groep NV -- (NLG)............... 10,153 366,139
Kredietbank NV -- (BEF)............. 300 98,531
Oversea-Chinese Banking Corp.
Ltd. -- (SGD)..................... 10,000 124,410
Schweizerischer
Bankverein -- (CHF)............... 1,200 228,200
Societe Generale -- (BEF)........... 1,000 78,636
Svenska Handlesbanken
Cl-A -- (SEK)..................... 5,000 144,290
Toronto Dominion Bank -- (CAD)...... 4,100 105,397
Union Bank of Switzerland Cl-B --
(CHF)............................. 200 175,297
Westpac Banking Corp.
Ltd. -- (AUD)..................... 10,000 56,956
-----------
2,996,523
-----------
FINANCIAL SERVICES -- 0.2%
Gemina SPA -- (ITL)*................ 50,000 24,475
Mediobanca -- (ITL)................. 7,000 37,595
Societe Generale -- (FRF)........... 1,212 131,253
-----------
193,323
-----------
FOOD -- 0.6%
CSM NV -- (NLG)..................... 2,400 133,581
Danisco AS -- (DKK)................. 3,000 182,796
Eridania Beghin-Say SA -- (FRF)..... 1,300 209,544
Huhtamaki Group -- (FIM)............ 1,500 69,919
Nestle SA -- (CHF).................. 150 161,063
-----------
756,903
-----------
INSURANCE -- 0.3%
AXA SA -- (FRF)..................... 2,900 184,738
CKAG Colonia Konzern AG -- (DEM).... 1,500 125,211
-----------
309,949
-----------
MACHINERY & EQUIPMENT -- 0.2%
ABB AG -- (CHF)..................... 80 99,529
SIG Holding AG -- (CHF)............. 70 177,314
-----------
276,843
-----------
METALS & MINING -- 0.1%
CRA Ltd. -- (AUD)................... 6,000 94,265
Lonrho PLC -- (GBP)................. 22,000 46,915
-----------
141,180
-----------
OFFICE EQUIPMENT -- 0.2%
Canon, Inc. -- (JPY)................ 6,000 132,815
Ricoh Corp. Ltd. -- (JPY)........... 13,000 149,503
-----------
282,318
-----------
</TABLE>
55
<PAGE> 57
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ ------------
<S> <C> <C>
OIL & GAS -- 0.1%
Societe Nationale Elf Aquitaine
SA -- (FRF)....................... 1,100 $ 100,290
-----------
PAPER & FOREST PRODUCTS -- 0.1%
Bobst SA -- (CHF)................... 60 81,148
Kimberly-Clark de Mexico SA Cl-A --
(MXP)............................. 2,000 39,507
-----------
120,655
-----------
PHARMACEUTICALS -- 0.8%
Altana AG -- (DEM).................. 110 85,810
Astra AB Cl-B -- (SEK).............. 5,500 266,420
Gehe AG -- (DEM).................... 1,250 80,392
Novartis AG -- (CHF)*............... 160 183,158
Roussel-Uclaf -- (FRF).............. 500 147,385
Takeda Chemical
Industries -- (JPY)............... 10,000 210,117
-----------
973,282
-----------
PRINTING & PUBLISHING -- 0.4%
Dai Nippon Printing Co.
Ltd. -- (JPY)..................... 12,000 210,636
Elsevier NV -- (NLG)................ 12,000 203,154
Pearson PLC -- (GBP)................ 5,600 71,892
-----------
485,682
-----------
REAL ESTATE -- 0.4%
Cheung Kong Holdings
Ltd. -- (HKD)..................... 38,000 337,772
DBS Land Ltd. -- (SGD).............. 25,000 92,056
Hopewell Holdings Ltd. -- (HKD)..... 59,463 38,440
-----------
468,268
-----------
RETAIL & MERCHANDISING -- 0.4%
Carrefour Supermarche SA -- (FRF)... 150 97,755
Mauri Co. Ltd. -- (JPY)............. 7,000 126,502
Pinault-Printemps Redoute
SA -- (FRF)....................... 250 99,319
Tesco PLC -- (GBP).................. 25,443 154,492
-----------
478,068
-----------
TELECOMMUNICATIONS -- 0.5%
Telecom Corp. of New Zealand Ltd. --
(NZD)............................. 22,000 112,294
Telecom Italia Mobile
SPA -- (ITL)...................... 75,000 188,730
Telecom Italia SPA -- (ITL)......... 75,000 193,898
Telekom Malaysia BHD -- (MYR)....... 16,000 142,557
-----------
637,479
-----------
TRANSPORTATION -- 0.1%
BAA PLC -- (GBP).................... 12,000 99,997
-----------
UTILITIES -- 0.3%
Electrabel SA -- (BEF).............. 420 99,612
Hong Kong Electric Holdings Ltd. --
(HKD)............................. 30,000 99,683
Veba AG -- (DEM).................... 2,500 143,949
-----------
343,244
-----------
TOTAL FOREIGN STOCK
(COST $11,201,323).................... 13,100,068
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 15.9%
ADVERTISING -- 0.1%
Outdoor Systems, Inc.
Sr. Sub. Notes
9.375%................... 10/15/06 $ 150 $ 154,875
AEROSPACE -- 0.9%
BE Aerospace, Inc. Sr. Sub.
Notes
9.875%................... 02/01/06 $ 150 $ 156,938
Boeing Co. Notes
6.35%.................... 06/15/03 120 118,500
K&F Industries, Inc. Sr.
Sub. Notes
10.375%.................. 09/01/04 150 158,250
Raytheon Co. Notes
6.50%.................... 07/15/05 350 342,125
Tracor, Inc. Sr. Sub. Notes
10.875%.................. 08/15/01 150 160,313
UNC, Inc. Sr. Sub. Notes
11.00%................... 06/01/06 150 160,500
------------
1,096,626
------------
AIRLINES -- 0.0%
Southwest Airlines Co.
Debs.
9.25%.................... 02/15/98 25 25,844
------------
AUTOMOBILE MANUFACTURERS -- 0.0%
Daimler-Benz Auto Grantor
Trust
3.90%.................... 10/15/98 21 21,004
------------
AUTOMOTIVE PARTS -- 0.4%
Hayes Wheels International,
Inc. Notes
11.00%................... 07/15/06 150 163,125
Safelite Glass Corp.
Sr. Sub. Notes 144A
9.875%................... 12/15/06 150 154,500
Speedy Muffler King, Inc.
Notes
10.875%.................. 10/01/06 150 160,875
------------
478,500
------------
BEVERAGES -- 0.5%
Anheuser-Busch Companies,
Inc. Debs.
7.00%.................... 12/01/25 150 142,500
Coca-Cola Bottling Group
Sr. Sub. Notes
9.00%.................... 11/15/03 100 102,250
Dr. Pepper Bottling Holding
Co. Sr. Notes [STEP]
11.625%.................. 02/15/03 140 123,900
Texas Bottling Group, Inc.
Sr. Sub. Notes
9.00%.................... 11/15/03 100 101,250
</TABLE>
56
<PAGE> 58
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
TLC Beatrice International
Holdings Sr. Notes
11.50%................... 10/01/05 $ 150 $ 159,375
------------
629,275
------------
BROADCASTING -- 0.2%
Chancellor Broadcasting Co.
Sr. Sub. Notes
9.375%................... 10/01/04 175 178,063
Young Broadcasting Corp.
Sr. Sub. Notes
10.125%.................. 02/15/05 100 102,500
------------
280,563
------------
BUILDING MATERIALS -- 0.1%
Building Materials Corp.
Sr. Notes [STEP]
6.56%.................... 07/01/04 150 129,750
------------
CHEMICALS -- 0.2%
Agricultural Minerals &
Chemicals, Inc. Sr. Notes
10.75%................... 09/30/03 100 106,875
Scotts Co. Sr. Sub. Notes
9.875%................... 08/01/04 100 105,125
------------
212,000
------------
CLOTHING & APPAREL -- 0.5%
Dan River, Inc. Sr. Sub.
Notes
10.125%.................. 12/15/03 100 101,500
Dominion Textile USA, Inc.
Sr. Notes
9.25%.................... 04/01/06 150 153,375
Loehmann's Holdings, Inc.
Sr. Notes
11.875%.................. 05/15/03 125 131,250
Pillowtex Corp. Sr. Sub.
Notes 144A
10.00%................... 11/15/06 150 156,375
------------
542,500
------------
COMPUTER HARDWARE -- 0.1%
International Business
Machines Corp. Notes
6.375%................... 11/01/97 100 100,451
------------
CONGLOMERATES -- 0.1%
Jordan Industries Sr. Notes
10.375%.................. 08/01/03 125 123,750
------------
CONSUMER PRODUCTS & SERVICES -- 0.4%
American Safety Razor Co.
Sr. Notes
9.875%................... 08/01/05 150 159,188
Herff Jones, Inc. Sr. Sub.
Notes Cl-B
11.00%................... 08/15/05 125 135,000
MAFCO, Inc. Sr. Sub. Notes
11.875%.................. 11/15/02 100 106,000
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
Revlon Worldwide Corp. Sr.
Disc. Notes [ZCB]
11.29%................... 03/15/98 $ 150 $ 129,375
------------
529,563
------------
CONTAINERS & PACKAGING -- 0.8%
Container Corp. of America
Sr. Notes
11.25%................... 05/01/04 100 108,500
Gaylord Container Corp. Sr.
Sub. Debs.
12.75%................... 05/15/05 150 165,000
Owens Illinois, Inc. Debs.
11.00%................... 12/01/03 150 167,625
Plastic Containers Sr.
Notes 144A
10.00%................... 12/15/06 150 155,250
Portola Packaging, Inc. Sr.
Notes
10.75%................... 10/01/05 150 156,375
U.S. Can Corp. Sr. Sub.
Notes 144A
10.125%.................. 10/15/06 150 157,875
910,625
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.4%
Alpine Group, Inc. Sr.
Notes
12.25%................... 07/15/03 50 54,875
Ametek, Inc. Sr. Notes
9.75%.................... 03/15/04 100 107,125
Celestica International Sr.
Sub. Notes 144A
10.50%................... 12/31/06 150 158,063
Westinghouse Electric Corp.
Debs.
8.875%................... 06/01/01 200 209,250
------------
529,313
------------
ENTERTAINMENT & LEISURE -- 0.6%
Rio Hotel & Casino, Inc.
Sr. Sub. Notes
10.625%.................. 07/15/05 150 157,125
Six Flags Theme Parks Sr.
Sub. Notes Cl-A [STEP]
8.44%.................... 06/15/05 150 141,188
Time Warner Entertainment
Debs.
7.25%.................... 09/01/08 100 96,500
Trump Atlantic City First
Mtge.
11.25%................... 05/01/06 125 123,750
United Artists Theatre Pass
Through Trust
9.30%.................... 07/01/15 248 231,204
------------
749,767
------------
</TABLE>
57
<PAGE> 59
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
ENVIRONMENTAL SERVICES -- 0.1%
Allied Waste North America
Sr. Sub. Notes 144A
10.25%................... 12/01/06 $ 100 $ 105,500
------------
EQUIPMENT SERVICES -- 0.1%
Coinmach Corp. Sr. Notes
11.75%................... 11/15/05 125 134,688
------------
FINANCIAL-BANK & TRUST -- 1.1%
Airplanes Pass Through
Trust
10.875%.................. 03/15/19 150 165,460
Aristar, Inc. Sr. Notes
8.875%................... 08/15/98 200 208,000
7.875%................... 02/15/99 200 206,250
Banesto Delaware Sub. Notes
8.25%.................... 07/28/02 50 53,313
Bank of Nova Scotia Sub.
Notes
6.25%.................... 09/15/08 50 46,563
CoreStates Home Equity
Trust Cl-A
6.65%.................... 05/15/09 71 69,990
Export-Import Bank of Korea
Notes
6.50%.................... 05/15/00 40 39,800
First Federal Financial
Notes
11.75%................... 10/01/04 125 122,969
NationsBank Texas Sr. Notes
6.75%.................... 08/15/00 150 151,125
Provident Bank Corp. Sub.
Notes
7.125%................... 03/15/03 175 176,969
U.S. Bancorp Notes
6.72%.................... 06/01/98 100 101,000
------------
1,341,439
------------
FINANCIAL SERVICES -- 2.1%
Aames Financial Corp. Sr.
Notes
9.125%................... 11/01/03 150 153,375
Advanta Corp. Notes
7.07%.................... 09/15/97 235 236,727
Ahmanson, (H.F.) & Co. Sr.
Notes
9.875%................... 11/15/99 100 108,125
Associates Corp. of North
America Sr. Notes
8.625%................... 06/15/97 10 10,132
7.70%.................... 03/15/00 50 51,813
Chrysler Financial Corp.
Notes
8.46%.................... 01/19/00 200 210,500
Ciesco L.P. Notes
7.38%.................... 04/19/00 250 255,312
Commercial Credit Co. Debs.
8.125%................... 03/01/97 5 5,019
Enhance Financial Services
Group Debs.
6.75%.................... 03/01/03 300 300,000
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
Ford Motor Credit Co. Notes
9.45%.................... 05/20/97 $ 50 $ 50,720
General Motors Acceptance
Corp. Grantor Trust
6.30%.................... 06/15/99 21 20,969
General Motors Acceptance
Corp. Notes
7.75%.................... 04/15/97 50 50,314
8.375%................... 05/01/97 10 10,092
Household Finance Corp. Sr.
Notes
6.96%.................... 04/27/98 300 303,750
Intertek Finance PLC Sr.
Sub. Notes 144A
10.25%................... 11/01/06 150 155,625
Lehman Brothers Holdings
Notes
7.625%................... 06/15/97 65 65,497
Ocwen Financial Corp. Notes
11.875%.................. 10/01/03 150 162,187
Salomon, Inc. Sr. Notes
6.75%.................... 02/15/03 184 179,860
Smith Barney Holdings Notes
6.625%................... 06/01/00 200 200,750
------------
2,530,767
------------
FOOD -- 0.1%
Keebler Corp. Sr. Sub.
Notes
10.75%................... 07/01/06 150 162,375
------------
HOTELS & MOTELS -- 0.1%
Host Marriott Travel Plaza
Sr. Notes Cl-B
9.50%.................... 05/15/05 150 156,750
------------
INDUSTRIAL PRODUCTS -- 0.5%
American Standard Debs.
11.375%.................. 05/15/04 150 162,000
9.25%.................... 12/01/16 25 26,188
Hawk Corp. 144A
10.25%................... 12/01/03 150 154,500
International Knife & Saw,
Inc. Sr. Sub. Notes 144A
11.375%.................. 11/15/06 150 156,000
Synthetic Industries Debs.
12.75%................... 12/01/02 125 137,500
------------
636,188
------------
INSURANCE -- 0.1%
New York Life Insurance
Notes 144A
7.50%.................... 12/15/23 100 97,125
------------
MACHINERY & EQUIPMENT -- 0.3%
Mettler-Toledo, Inc. Notes
9.75%.................... 10/01/06 150 158,250
Tokheim Corp. Sr. Sub.
Notes 144A
11.50%................... 08/01/06 150 159,000
------------
317,250
------------
</TABLE>
58
<PAGE> 60
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
MEDICAL SUPPLIES & EQUIPMENT -- 0.1%
Dade International, Inc.
Sr. Sub. Notes
11.125%.................. 05/01/06 $ 125 $ 135,312
-------------
METALS & MINING -- 0.3%
Freeport-McMoran Resource
Sr. Notes
7.00%.................... 02/15/08 150 144,562
Haynes International, Inc.
Sr. Notes
11.625%.................. 09/01/04 150 158,250
-------------
302,812
-------------
MISCELLANEOUS -- 0.3%
Consolidated Cigar Sr. Sub.
Notes
10.50%................... 03/01/03 125 131,406
Doane Products Co. Sr.
Notes
10.625%.................. 03/01/06 150 160,125
-------------
291,531
-------------
OIL & GAS -- 1.1%
Dual Drilling Co. Sr. Sub.
Notes
9.875%................... 01/15/04 125 135,625
Falcon Drilling Co., Inc.
Sr. Notes
8.875%................... 03/15/03 150 152,625
Ferrellgas L.P. Financial
Corp. Sr. Notes
10.00%................... 08/01/01 100 105,500
Flores & Rucks Sr. Sub.
Notes
9.75%.................... 10/01/06 50 52,875
Kelley Oil & Gas Corp. Sr.
Sub. Notes 144A
10.375%.................. 10/15/06 125 130,000
Maxus Energy Corp. Notes
9.375%................... 11/01/03 50 51,000
Petroleum Heat & Power Sub.
Notes
10.125%.................. 04/01/03 100 101,125
12.25%................... 02/01/05 188 210,090
Rowan Co. Sr. Notes
11.875%.................. 12/01/01 150 160,312
Tenneco, Inc. Notes
8.20%.................... 11/15/99 55 57,337
8.075%................... 10/01/02 150 157,500
-------------
1,313,989
-------------
PAPER & FOREST PRODUCTS -- 0.2%
Celulosa Arauco Notes
7.00%.................... 12/15/07 250 241,562
-------------
PHARMACEUTICALS -- 0.1%
Owens & Minor, Inc. Sr.
Sub. Notes
10.875%.................. 06/01/06 150 161,250
-------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
REAL ESTATE -- 0.3%
B.F. Saul Sr. Notes
11.625%.................. 04/01/02 $ 150 $ 161,625
HMC Acquisition Properties
Sr. Notes Cl-B
9.00%.................... 12/15/07 150 152,250
-------------
313,875
-------------
RESTAURANTS -- 0.1%
McDonald's Corp. Notes
6.625%................... 09/01/05 100 98,625
-------------
RETAIL & MERCHANDISING -- 0.2%
Grand Union Co. Sr. Notes
12.00%................... 09/01/04 150 159,750
Wal-Mart Stores, Inc. Debs.
7.25%.................... 06/01/13 85 85,212
-------------
244,962
-------------
TELECOMMUNICATIONS -- 1.3%
Communication & Power
Industries Sr. Sub. Notes
Cl-B
12.00%................... 08/01/05 150 167,625
Frontiervision Sr. Sub.
Notes
11.00%................... 10/15/06 150 150,375
Fundy Cable Ltd. Sr. Notes
11.00%................... 11/15/05 150 159,375
Lucent Technologies, Inc.
Notes
6.90%.................... 07/15/01 200 202,500
Rogers Cablesystems Sr.
Notes
10.00%................... 03/15/05 125 133,906
TCI Communications, Inc.
Sr. Notes
8.65%.................... 09/15/04 200 205,250
Tele-Communications, Inc.
Notes
8.75%.................... 02/15/23 175 166,687
Teleport Communications,
Inc. Notes
9.875%................... 07/01/06 50 53,250
United Telecommunications
Debs.
9.75%.................... 04/01/00 250 273,437
-------------
1,512,405
-------------
TRANSPORTATION -- 0.1%
Federal Express Notes
6.25%.................... 04/15/98 70 70,175
Sea Containers Ltd. Sr.
Sub. Notes
12.50%................... 12/01/04 70 77,350
-------------
147,525
-------------
UTILITIES -- 2.0%
Citizens Utilities Co.
Debs.
8.45%.................... 09/01/01 335 360,962
</TABLE>
59
<PAGE> 61
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C>
Commonwealth Edison Notes
7.00%.................... 02/15/97 $ 50 $ 50,062
9.00%.................... 10/15/99 250 264,375
Consumers Power Co. First
Mtge.
6.00%.................... 07/01/97 65 64,919
6.625%................... 10/01/98 50 50,125
El Paso Electric Co. First
Mtge.
8.90%.................... 02/01/06 150 156,750
Florida Power & Light First
Mtge.
5.70%.................... 03/05/98 200 199,250
Gulf States Utilities First
Mtge.
5.375%................... 02/01/97 128 128,000
Monongahela Power First
Mtge.
8.50%.................... 06/01/22 150 159,375
Pacific Gas & Electric Co.
First Mtge.
6.75%.................... 12/01/00 200 200,500
Potomac Capital Investment
Corp. Notes 144A
6.19%.................... 04/28/97 250 250,170
Public Service Electric &
Gas First Mtge.
7.00%.................... 09/01/24 300 278,625
Southern California Edison
Notes
6.50%.................... 06/01/01 100 99,500
Wisconsin Electric Power
Co. First Mtge.
5.875%................... 10/01/97 100 100,125
------------
2,362,738
------------
TOTAL CORPORATE OBLIGATIONS
(COST $18,713,428).................... 19,123,074
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.6%
FEDERAL HOME LOAN MORTGAGE CORP. -- 0.2%
7.00%.................... 11/01/97 180 181,745
7.50%.................... 07/15/20 15 15,164
------------
196,909
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.0%
6.02%.................... 01/20/98 60 60,160
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 10.4%
9.50%.................... 10/15/09 $ 23 $ 25,292
10.00%................... 11/15/09 22 24,450
11.50%................... 06/15/10 42 46,906
12.00%................... 09/15/13 1 1,496
12.00%................... 01/15/14 7 7,479
10.50%................... 08/15/15 13 14,735
11.50%................... 09/15/15 97 110,150
11.50%................... 11/15/15 37 41,630
8.00%.................... 05/15/16 26 26,491
8.50%.................... 06/15/16 35 36,195
9.00%.................... 07/15/16 16 16,618
8.00%.................... 12/15/16 50 50,975
8.00%.................... 02/15/17 97 99,265
8.00%.................... 05/15/17 63 63,898
9.00%.................... 05/15/17 77 81,167
8.00%.................... 06/15/17 27 28,009
9.50%.................... 11/15/18 4 4,827
9.50%.................... 03/15/19 17 18,344
9.50%.................... 01/15/20 8 8,441
9.50%.................... 06/15/20 14 15,192
8.00%.................... 06/15/22 143 145,533
8.00%.................... 09/15/22 31 31,443
8.00%.................... 07/15/23 81 82,357
7.00%.................... 09/15/23 373 365,062
6.50%.................... 02/15/24 701 669,248
6.50%.................... 04/15/24 85 80,896
6.50%.................... 05/15/24 882 841,651
7.50%.................... 06/15/24 86 85,719
7.00%.................... 12/15/25 291 284,784
7.00%.................... 01/15/26 41 40,060
6.00%.................... 02/15/26 402 373,515
7.00%.................... 02/15/26 40 39,339
7.00%.................... 03/15/26 110 107,225
7.00%.................... 04/15/26 899 879,887
7.50%.................... 04/15/26 144 144,486
6.00%.................... 05/15/26 327 303,633
7.00%.................... 05/15/26 904 884,854
7.50%.................... 05/15/26 1,086 1,086,998
7.00%.................... 06/15/26 1,093 1,069,318
7.50%.................... 06/15/26 297 297,347
8.00%.................... 06/15/26 804 820,332
8.50%.................... 06/15/26 618 641,035
8.50%.................... 07/15/26 1,045 1,082,982
7.00%.................... 08/15/26 888 869,291
8.50%.................... 10/15/26 494 512,109
------------
12,460,664
------------
TENNESSEE VALLEY AUTHORITY NOTES -- 0.0%
7.75%.................... 12/15/22 10 10,263
7.25%.................... 07/15/43 20 19,475
6.875%................... 12/15/43 40 37,350
------------
67,088
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $12,702,002)............................ 12,784,821
------------
</TABLE>
60
<PAGE> 62
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------ ------------
<S> <C> <C> <C>
U.S. TREASURY OBLIGATIONS
-- 7.6%
U.S. TREASURY BONDS -- 0.9%
11.625%.................. 11/15/02 $ 100 $ 126,337
7.125%................... 02/15/23 240 250,649
7.625%................... 02/15/25 300 333,249
6.875%................... 08/15/25 300 305,844
6.00%.................... 02/15/26 100 91,076
-------------
1,107,155
-------------
U.S. TREASURY NOTES -- 6.7%
6.125%................... 05/15/98 100 100,517
6.00%.................... 05/31/98 450 451,539
5.125%................... 12/31/98 50 49,335
6.375%................... 05/15/99 1,950 1,967,881
6.75%.................... 05/31/99 460 468,128
6.875%................... 03/31/00 250 255,745
6.25%.................... 05/31/00 100 100,479
6.125%................... 09/30/00 150 150,006
5.625%................... 11/30/00 275 270,217
5.625%................... 02/28/01 1,100 1,078,605
5.75%.................... 08/15/03 665 645,396
7.50%.................... 02/15/05 250 267,340
5.875%................... 11/15/05 425 410,036
5.625%................... 02/15/06 500 473,165
6.50%.................... 10/15/06 1,350 1,357,587
-------------
8,045,976
-------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $9,060,043)..................... 9,153,131
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C> <C>
FOREIGN BONDS -- 2.6%
AUSTRALIA -- 0.0%
Australian Government
9.50%................. 08/15/03 20 17,808
------------
BELGIUM -- 0.1%
Belgium Kingdom
Government
7.25%................. 04/29/04 1,550 54,119
------------
CANADA -- 0.2%
Canadian Government
8.50%................. 04/01/02 130 107,097
6.50%................. 06/01/04 110 82,190
9.75%................. 06/01/21 10 9,555
------------
198,842
------------
DENMARK -- 0.0%
Kingdom of Denmark
7.00%................. 12/15/04 275 48,785
------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
-------- --------- ------------
<S> <C> <C> <C>
FRANCE -- 0.3%
French O.A.T.
8.50%................. 11/25/02 1,406 $ 319,317
8.25%................. 02/27/04 264 59,728
8.50%................. 04/25/23 50 11,775
French Treasury Bill
8.50%................. 03/12/97 75 14,614
------------
405,434
------------
GERMANY -- 0.6%
Deutscheland Republic
8.50%................. 08/21/00 375 277,285
8.375%................ 05/21/01 410 305,619
6.50%................. 07/15/03 110 76,105
------------
659,009
------------
ITALY -- 0.2%
Italian Government
11.50%................ 03/01/03 275,000 219,242
8.50%................. 08/01/04 45,000 31,570
------------
250,812
------------
JAPAN -- 0.8%
European Investment Bank
4.625%................ 02/26/03 53,000 523,584
International Bank
Recovery & Development
Global Bond
6.75%................. 03/15/00 14,000 142,239
Japanese Government
4.50%................. 06/20/03 33,500 329,438
------------
995,261
------------
NETHERLANDS -- 0.1%
Netherlands Government
5.75%................. 01/15/04 115 68,141
------------
SPAIN -- 0.0%
Spanish Government
8.00%................. 05/30/04 6,400 53,636
------------
UNITED KINGDOM -- 0.3%
United Kingdom Gilt
9.00%................. 03/03/00 85 153,236
United Kingdom Treasury
8.00%................. 06/10/03 91 160,838
------------
314,074
------------
TOTAL FOREIGN BONDS
(COST $2,866,664)................... 3,065,921
-------------
</TABLE>
61
<PAGE> 63
T. ROWE PRICE ASSET ALLOCATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 3.1%
Temporary Investment Fund
(COST $3,725,574).............. 3,725,574 $ 3,725,574
------------
TOTAL INVESTMENTS -- 99.6%
(COST $107,949,238)................ 119,657,071
OTHER ASSETS LESS
LIABILITIES -- 0.4%................ 492,003
------------
NET ASSETS -- 100.0%................. $120,149,074
============
</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 year, these securities amounted
to 1.7% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
62
<PAGE> 64
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 11.4%
AIRLINES -- 3.2%
American Airlines
Notes
10.19%.............. 05/26/15 $ 250 $ 304,488
United Air Lines, Inc.
Notes
10.36%.............. 11/13/12 6,925 8,342,686
10.36%.............. 11/27/12 500 588,685
10.02%.............. 03/22/14 2,000 2,322,180
------------
11,558,039
------------
ENTERTAINMENT & LEISURE -- 1.1%
Time Warner, Inc.
Notes
7.45%............... 02/01/98 2,000 2,027,500
6.46% [VR].......... 08/15/00 437 438,639
7.975%.............. 08/15/04 262 267,895
8.11%............... 08/15/06 525 540,094
8.18%............... 08/15/07 525 542,063
------------
3,816,191
------------
FOOD -- 1.9%
RJR Nabisco, Inc.
Notes
8.625%.............. 12/01/02 6,500 6,703,125
------------
OIL & GAS -- 0.1%
Arkla, Inc. Notes
9.20%............... 12/18/97 500 514,375
------------
REAL ESTATE -- 1.4%
Spieker Properties
Notes
6.95%............... 12/15/02 5,000 4,968,750
------------
TELECOMMUNICATIONS -- 1.5%
Cablevision Industries
Sr. Notes
10.75%.............. 01/30/02 5,000 5,306,250
------------
UTILITIES -- 2.2%
Cleveland Electric
Illumination Co.
Notes
8.75%............... 11/15/05 100 101,168
CMS Energy Corp. First
Mtge.
9.50%............... 10/01/97 150 154,125
Commonwealth Edison
Notes
6.50%............... 07/15/97 750 751,875
Long Island Lighting
Co. Notes
7.85%............... 05/15/99 7,000 7,131,250
------------
8,138,418
------------
TOTAL CORPORATE OBLIGATIONS
(COST $40,334,319)................ 41,005,148
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 50.8%
FEDERAL HOME LOAN MORTGAGE CORP. -- 3.0%
8.25%............... 08/01/17 $ 610 $ 626,871
7.00% [IO].......... 04/25/19 411 40,801
7.55% [VR].......... 02/01/24 3,213 3,321,350
6.50%............... 12/01/25 2,951 2,822,541
6.50% [TBA]......... 02/13/27 4,000 3,843,750
------------
10,655,313
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 2.6%
9.40%............... 07/25/03 311 325,714
6.50% [IO].......... 05/25/08 236 73,363
6.50% [IO].......... 06/25/14 2,091 122,981
6.90%............... 05/25/23 192 160,029
7.96% [VR].......... 01/01/24 448 464,831
7.50%............... 04/01/24 4,041 4,041,091
7.00%............... 04/25/24 602 541,365
7.76% [VR].......... 04/01/25 790 821,623
6.12% [TBA]......... 01/23/27 3,000 2,985,000
------------
9,535,997
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 45.2%
6.50% [VR].......... 03/20/17 754 768,196
7.125% [VR]......... 06/20/22 2,517 2,568,571
7.125% [VR]......... 04/20/23 3,157 3,214,157
7.125% [VR]......... 09/20/23 7,090 7,213,976
7.00% [VR].......... 10/20/23 694 705,576
7.50%............... 12/20/23 445 442,916
6.50%............... 01/15/24 502 478,970
6.50%............... 04/15/24 368 350,637
6.50%............... 05/15/24 304 290,066
7.125% [VR]......... 09/20/24 1,451 1,486,080
7.00% [VR].......... 10/20/24 3,831 3,912,431
6.50%............... 08/15/25 1,328 1,267,424
6.50%............... 09/15/25 1,805 1,722,355
6.50%............... 10/15/25 1,242 1,184,778
6.50%............... 11/15/25 611 583,183
6.50%............... 12/15/25 3,371 3,216,363
6.50%............... 01/15/26 3,563 3,399,354
6.50%............... 02/15/26 8,825 8,419,214
6.50%............... 03/15/26 10,207 9,738,049
6.50%............... 04/15/26 10,803 10,306,417
6.50%............... 05/15/26 4,942 4,714,549
6.50%............... 06/15/26 556 530,071
6.50%............... 07/15/26 668 636,871
6.50%............... 08/15/26 1,551 1,479,726
6.50%............... 10/15/26 535 510,081
7.00%............... 12/20/26 24,950 25,481,435
6.50% [TBA]......... 01/21/27 25,000 23,843,750
7.00% [TBA]......... 01/21/27 30,000 29,343,900
6.00% [TBA]......... 01/23/27 15,000 15,004,688
------------
162,813,784
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $181,149,967)............... 183,005,094
------------
</TABLE>
63
<PAGE> 65
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.1%
Citicorp Mtge.
Securities, Inc.
[VR]
7.452%.............. 09/25/22 $ 666 $ 682,320
Collateralized Mtge.
Securities Corp.
[VR]
7.985%.............. 05/01/17 536 541,059
Countrywide Adjustable
Rate Mtge. [VR]
7.8499%............. 03/25/24 894 915,802
8.2169%............. 11/25/24 1,000 1,026,522
Guardian Adjustable
Rate Mtge.[VR]
6.7963%............. 12/25/19 86 57,035
Mortgage Capital Trust
VI
9.50%............... 02/01/18 856 862,736
Prudential Home Mtge.
Securities
6.50%............... 01/25/00 10,000 9,971,800
Prudential-Bache CMO
Trust
8.40%............... 03/20/21 3,236 3,324,816
Resolution Trust Corp.
8.00%............... 09/25/21 476 481,454
Rothschild L.F. Mtge.
Trust
9.95%............... 08/01/17 2,747 2,930,809
Ryland Mtge.
Securities Corp.
[VR]
7.843%.............. 09/25/23 1,215 1,236,642
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST $21,832,471)................ 22,030,995
-----------
U.S. TREASURY OBLIGATIONS -- 45.6%
U.S. TREASURY BILLS -- 0.6%
4.975% #............ 01/23/97 300 299,065
5.01% #............. 03/06/97 70 69,372
5.025% #............ 03/06/97 800 792,821
5.06% #............. 03/06/97 20 19,821
4.81% #............. 03/13/97 305 301,956
5.00% #............. 03/13/97 530 524,710
-----------
2,007,745
-----------
U.S. TREASURY NOTES -- 45.0%
5.875%.............. 07/31/97 78,000 78,209,032
5.625%.............. 10/31/97 50,000 50,021,500
5.375%.............. 11/30/97 30,000 29,939,100
6.00%............... 09/30/98 4,000 4,012,640
-----------
162,182,272
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $163,910,566)............... 164,190,017
-----------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C> <C>
SOVEREIGN ISSUES -- 2.1%
ARGENTINA -- 1.4%
Republic of Argentina
[BRB,FRB]
6.625%.............. 03/31/05 $ 5,880 $ 5,122,950
-----------
MEXICO -- 0.7%
United Mexican States
Cl-B [BRB,FRB] (with
Value Recovery
Rights Attached)
6.25%............... 12/31/19 1,500 1,098,750
United Mexican States
Cl-C [BRB,FRB] (with
Value Recovery
Rights Attached)
6.375%.............. 12/31/19 1,000 861,250
United Mexican States
Cl-D [BRB,FRB] (with
Value Recovery
Rights Attached)
6.4531%............. 12/31/19 500 430,625
-----------
2,390,625
-----------
TOTAL SOVEREIGN ISSUES
(COST $6,676,521)................. 7,513,575
-----------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
----------
<S> <C> <C> <C>
FOREIGN BONDS -- 3.3%
CANADA -- 1.1%
Canadian Government
4.25%............... 12/01/26 5,086 3,857,126
-----------
NEW ZEALAND -- 2.2%
New Zealand Government
10.00%.............. 03/15/02 10,000 7,941,668
-----------
TOTAL FOREIGN BONDS
(COST $11,283,283)................ 11,798,794
-----------
</TABLE>
64
<PAGE> 66
PIMCO TOTAL RETURN BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NOTIONAL
AMOUNT
MATURITY (000) VALUE
-------- ---------- -------------
<S> <C> <C>
OTC INTEREST RATE CAPS -- 0.0%
Three-Month Libor
Strike at $90.65.... 06/16/97 $ 325,000 $ 3,380
Strike at $85.50.... 06/16/97 46,000 468
Strike at $86.50.... 06/16/97 100,000 1,021
Strike at $91.80.... 06/16/97 100,000 794
Strike at $82.00.... 06/16/97 100,000 1,107
Strike at $89.30.... 12/15/97 375,000 7,028
------------
TOTAL OTC INTEREST RATE CAPS
(COST $13,798).................... 13,798
------------
<CAPTION>
SHARES
----------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.5%
Temporary Investment Cash
Fund.......................... 903,112 903,112
Temporary Investment Fund....... 903,112 903,112
------------
(COST $1,806,224)............... 1,806,224
------------
TOTAL INVESTMENTS -- 119.8%
(COST $427,007,149)............... 431,363,645
------------
<CAPTION>
NOTIONAL
AMOUNT
(000)
----------
<S> <C> <C>
WRITTEN OPTIONS -- 0.0%
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.00, Expire
03/17/97...................... $ 62,000 (1,550)
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.50, Expire
06/16/97...................... 600,000 (45,000)
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.25, Expire
06/16/97...................... 300,000 (15,000)
------------
TOTAL WRITTEN OPTIONS
(COST ($668,559))................. (61,550)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (19.8%)................. (71,292,134)
------------
NET ASSETS -- 100.0%................ $ 360,009,961
=============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy CAD $2,283,957 1.3135 05/97 $ (74,028)
Buy DEM 4,742,424 1.4984 01/97 (114,163)
---------
$(188,191)
=========
Sell CAD $3,916,230 1.3370 01/97 $ 85,580
Sell CAD 2,196,193 1.3660 05/97 (13,735)
Sell DEM 4,996,105 1.4309 01/97 337,845
Sell NZD 7,697,105 1.4149 01/97 9,257
---------
$ 418,947
=========
</TABLE>
# Securities with an aggregate market value of $2,007,745 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1996:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- -----------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury 5 Year
Note 03/97 $ 5,000 $ (25,000)
U.S. Treasury 10 Year
Note 03/97 68,100 (778,595)
U.S. Treasury 30 Year
Bond 03/97 25,900 (152,218)
Eurodollar 03/97 50,000 270,000
Eurodollar 06/97 50,000 155,000
-------------
$ (530,813)
=============
</TABLE>
Interest rate swap agreements outstanding at December 31, 1996:
<TABLE>
<CAPTION>
NOTIONAL
EXPIRATION AMOUNT UNREALIZED
DESCRIPTION MONTH (000) APPRECIATON
- -----------------------------------------------------------------
<S> <C> <C> <C>
Receive variable rate
payments on the
three-month USD-LIBOR-BBA
floating rate and pay
fixed rate payments on the
then current U.S. Treasury
10 Year Note. 03/97 $13,000 $ 12,276
======= ========
</TABLE>
- --------------------------------------------------------------------
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
65
<PAGE> 67
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 70.4%
AEROSPACE -- 2.0%
General Motors Corp. Cl-H ........ 20,000 $ 1,125,000
Lockheed Martin Corp. ............ 20,000 1,830,000
Northrop Grumman Corp. ........... 49,000 4,054,750
------------
7,009,750
------------
AIRLINES -- 0.2%
KLM Royal Dutch Airlines NV ...... 30,000 836,250
------------
AUTOMOBILE MANUFACTURERS -- 0.7%
Chrysler Corp. ................... 40,000 1,320,000
Ford Motor Co. ................... 30,000 956,250
------------
2,276,250
------------
AUTOMOTIVE PARTS -- 0.6%
Borg Warner Automotive, Inc. ..... 50,000 1,925,000
------------
BEVERAGES -- 2.0%
Anheuser-Busch Companies, Inc. ... 140,000 5,600,000
Coors, (Adolph) Co. Cl-B ......... 70,000 1,330,000
------------
6,930,000
------------
BROADCASTING -- 0.6%
News Corp. Ltd. [ADR] ............ 100,000 2,087,500
------------
CHEMICALS -- 3.7%
Agrium, Inc. ..................... 210,000 2,887,500
Air Products & Chemicals, Inc. ... 50,000 3,456,250
Arco Chemical Co. ................ 20,000 980,000
General Chemical Group, Inc. ..... 60,000 1,417,500
Lawter International, Inc. ....... 100,000 1,262,500
Olin Corp. ....................... 80,000 3,010,000
------------
13,013,750
------------
COMPUTER HARDWARE -- 2.1%
Hewlett-Packard Co. .............. 40,000 2,010,000
International Business Machines
Corp. .......................... 35,000 5,285,000
------------
7,295,000
------------
COMPUTER SERVICES & SOFTWARE -- 0.4%
Reynolds & Reynolds Co. Cl-A ..... 60,000 1,560,000
------------
CONGLOMERATES -- 0.5%
Philip Morris Companies, Inc. .... 15,000 1,689,375
------------
CONSTRUCTION -- 1.0%
Fluor Corp. ...................... 54,000 3,388,500
Newport News Shipbuilding,
Inc.* .......................... 6,500 97,500
------------
3,486,000
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.0%
Emerson Electric Co. ............. 40,000 3,870,000
General Electric Co. ............. 37,000 3,658,375
Honeywell, Inc. .................. 40,000 2,630,000
Polaroid Corp. ................... 30,000 1,305,000
Sundstrand Corp. ................. 140,000 5,950,000
Texas Instruments, Inc. .......... 55,000 3,506,250
------------
20,919,625
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
FINANCIAL-BANK & TRUST -- 3.5%
Bank of New York Co., Inc. ....... 60,000 $ 2,025,000
BankAmerica Corp. ................ 20,000 1,995,000
CoreStates Financial Corp. ....... 60,000 3,112,500
First Chicago NBD Corp. .......... 56,200 3,020,750
Mellon Bank Corp. ................ 30,000 2,130,000
------------
12,283,250
------------
FINANCIAL SERVICES -- 2.7%
Associates First Capital Corp. ... 100,000 4,412,500
Beneficial Corp. ................. 50,000 3,168,750
Dean Witter Discover & Co. ....... 30,000 1,987,500
------------
9,568,750
------------
FOOD -- 3.0%
General Mills, Inc. .............. 35,000 2,218,125
Heinz, (H.J.) Co. ................ 73,000 2,609,750
Kellogg Co. ...................... 70,000 4,593,750
Quaker Oats Co. .................. 30,000 1,143,750
------------
10,565,375
------------
HOTELS & MOTELS -- 1.1%
Hilton Hotels Corp. .............. 150,000 3,918,750
------------
INDUSTRIAL PRODUCTS -- 0.7%
Albany International Corp.
Cl-A ........................... 100,000 2,312,500
------------
INSURANCE -- 6.8%
Allmerica Financial Corp. ........ 60,000 2,010,000
Allmerica Property & Casualty
Companies, Inc. ................ 100,000 3,037,500
American States Financial
Corp. .......................... 150,800 3,996,200
Ohio Casualty Corp. .............. 50,000 1,775,000
Safeco Corp. ..................... 100,000 3,943,750
St. Paul Companies, Inc. ......... 50,000 2,931,250
Travelers-Aetna Property Casualty
Corp. Cl-A ..................... 167,500 5,925,312
------------
23,619,012
------------
MACHINERY & EQUIPMENT -- 1.3%
AlliedSignal, Inc. ............... 50,000 3,350,000
Cooper Industries, Inc. .......... 25,000 1,053,125
------------
4,403,125
------------
MEDICAL SUPPLIES & EQUIPMENT -- 0.8%
Becton Dickinson & Co. ........... 60,000 2,602,500
------------
METALS & MINING -- 0.4%
Newmont Mining Corp. ............. 30,994 1,386,982
------------
</TABLE>
66
<PAGE> 68
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
OIL & GAS -- 6.8%
Amoco Corp. ...................... 15,000 $ 1,207,500
Burlington Resources, Inc. ....... 40,000 2,020,000
Chevron Corp. .................... 30,000 1,950,000
Dresser Industries, Inc. ......... 70,000 2,170,000
Exxon Corp. ...................... 20,000 1,960,000
Halliburton Co. .................. 25,000 1,506,250
Mobil Corp. ...................... 12,000 1,467,000
Schlumberger Ltd. ................ 21,000 2,097,375
Sonat, Inc. ...................... 35,000 1,802,500
Tenneco, Inc.* ................... 32,500 1,466,563
Union Pacific Resources Group,
Inc. ........................... 91,173 2,666,810
Unocal Corp. ..................... 40,000 1,625,000
USX Marathon Group ............... 80,000 1,910,000
------------
23,848,998
------------
PAPER & FOREST PRODUCTS -- 2.2%
Champion International Corp. ..... 60,000 2,595,000
James River Corp. of Virginia .... 50,000 1,656,250
Kimberly-Clark Corp. ............. 35,000 3,333,750
------------
7,585,000
------------
PERSONAL SERVICES -- 0.4%
Service Corp. International ...... 52,000 1,456,000
------------
PHARMACEUTICALS -- 4.0%
American Home Products Corp. ..... 25,000 1,465,625
Glaxo Wellcome PLC [ADR] ......... 100,000 3,175,000
Novo Nordisk AS [ADR] ............ 20,000 935,000
Pfizer, Inc. ..................... 30,000 2,486,250
Smithkline Beecham PLC [ADR] ..... 30,000 2,040,000
Warner-Lambert Co. ............... 50,000 3,750,000
------------
13,851,875
------------
PRINTING & PUBLISHING -- 0.7%
Belo, (A.H.) Corp. Cl-A .......... 35,000 1,220,625
R.R. Donnelley & Sons Co. ........ 40,000 1,255,000
------------
2,475,625
------------
RAILROADS -- 2.2%
Conrail, Inc. .................... 26,792 2,669,153
Kansas City Southern Industries,
Inc. ........................... 80,000 3,600,000
Union Pacific Corp. .............. 25,000 1,503,125
------------
7,772,278
------------
REAL ESTATE -- 1.0%
Patriot American Hospitality, Inc.
[REIT] ......................... 80,000 3,450,000
------------
RETAIL & MERCHANDISING -- 2.6%
Dayton-Hudson Corp. .............. 60,000 2,355,000
J.C. Penney Co., Inc. ............ 90,000 4,387,500
May Department Stores Co. ........ 50,000 2,337,500
------------
9,080,000
------------
SEMI-CONDUCTORS -- 2.1%
Intel Corp. ...................... 40,000 5,237,500
Motorola, Inc. ................... 35,000 2,148,125
------------
7,385,625
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
TELECOMMUNICATIONS -- 7.8%
Ameritech Corp. .................. 50,000 $ 3,031,250
AT&T Corp. ....................... 40,000 1,740,000
Bell Atlantic Corp. .............. 30,000 1,942,500
BellSouth Corp. .................. 20,000 807,500
Deutsche Telekom AG [ADR]* ....... 100,000 2,037,500
Frontier Corp. ................... 125,000 2,828,125
GTE Corp. ........................ 30,000 1,365,000
Lucent Technologies, Inc. ........ 112,963 5,224,539
Nokia Corp. Cl-A [ADR] ........... 30,000 1,728,750
NYNEX Corp. ...................... 25,000 1,203,125
SBC Communications, Inc. ......... 50,000 2,587,500
U.S. West Communications Group ... 80,000 2,580,000
------------
27,075,789
------------
UTILITIES -- 0.5%
IES Industries, Inc. ............. 60,000 1,792,500
------------
TOTAL COMMON STOCK
(COST $203,578,320) .............. 245,462,434
------------
PREFERRED STOCK -- 0.3%
METALS & MINING
Amax Gold, Inc. $3.75 Cl-B
(COST $996,575) .................. 20,000 1,052,500
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
-------- -------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 12.9%
AIRLINES -- 0.2%
Delta Air Lines, Inc.
Equipment Trust
9.30% ................. 01/02/11 $ 500 574,766
-----------
BROADCASTING -- 1.2%
Allbritton Communications
Co. Sr. Sub. Debs.
11.50% ................ 08/15/04 1,000 1,060,000
-----------
9.75% ................. 11/30/07 1,000 972,500
American Radio Systems
Notes
9.00% ................. 02/01/06 1,000 985,000
Benedek Broadcasting
Corp. Sr. Notes
11.875% ............... 03/01/05 1,000 1,043,750
-----------
4,061,250
-----------
CONSUMER PRODUCTS & SERVICES -- 0.3%
Rayovac Corp. Sr. Sub.
Notes 144A
10.25% ................ 11/01/06 1,000 1,032,500
-----------
</TABLE>
67
<PAGE> 69
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 1.3%
Station Casinos Sr. Sub.
Notes
9.625% ................ 06/01/03 $ 500 $ 489,375
Time Warner, Inc. Notes
6.85% ................. 01/15/26 1,000 982,500
Trump Atlantic City
Assoc., Inc. Notes
11.25% ................ 05/01/06 1,000 990,000
Trump Castle Funding
Mtge.
11.75%................. 11/15/03 1,000 885,000
United Artists
Sr. Notes Cl-B
11.50%................. 05/01/02 1,000 1,065,000
------------
4,411,875
------------
FINANCIAL SERVICES -- 1.7%
Donaldson, Lufkin &
Jenrette, Inc. Notes
5.625%................. 02/15/16 1,000 966,250
DQU II Funding Corp.
8.70%.................. 06/01/16 2,000 2,080,000
Export Import Bank of
Korea Notes
6.50%.................. 11/15/06 1,000 979,596
General Motors Acceptance
Corp. Notes
7.125%................. 06/01/99 500 509,375
6.70%.................. 04/25/01 1,000 1,000,000
Tembec Finance Corp. Sr.
Notes
9.875%................. 09/30/05 500 472,500
-----------
6,007,721
-----------
HEALTHCARE SERVICES -- 0.3%
Tenet Healthcare Corp.
Sr. Sub. Notes
10.125%................ 03/01/05 900 995,625
-----------
LUMBER & WOOD PRODUCTS -- 0.3%
Malette, Inc.
12.25%................. 07/15/04 1,000 1,070,000
-----------
METALS & MINING -- 0.8%
Freeport-McMoran Copper &
Gold Debs.
7.20%.................. 11/15/26 1,900 1,878,625
USX Corp. Sub. Debs.
5.75%.................. 07/01/01 1,025 957,094
-----------
2,835,719
-----------
OIL & GAS -- 0.6%
Clark Oil & Refining
Corp. Sr. Notes
10.50%................. 12/01/01 1,000 1,045,000
Veritas Holdings Sr.
Notes 144A
9.625%................. 12/15/03 1,000 1,012,500
-----------
2,057,500
-----------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C> <C>
PAPER & FOREST PRODUCTS -- 0.3%
S.D. Warren Co. Sr. Sub.
Notes Cl-B
12.00%................. 12/15/04 $ 1,000 $ 1,082,500
-----------
PHARMACEUTICALS -- 0.3%
McKesson Corp.
4.50%.................. 03/01/04 1,225 1,085,656
-----------
PRINTING & PUBLISHING -- 0.2%
Affiliated Newspaper
Investments, Inc. Sr.
Disc. Notes [STEP]
8.28%.................. 07/01/06 1,000 832,500
-----------
TELECOMMUNICATIONS -- 4.1%
Centennial Cellular Sr.
Notes
8.875%................. 11/01/01 1,000 967,500
Commnet Cellular, Inc.
Sub. Notes
11.25%................. 07/01/05 1,000 1,062,500
Continental Cablevision
Sr. Sub. Debs.
11.00%................. 06/01/07 1,500 1,708,125
EZ Communications, Inc.
Sr. Sub. Notes
9.75%.................. 12/01/05 1,500 1,567,500
International Cabletel,
Inc. Sr. Notes [STEP]
11.75%................. 02/01/06 1,000 680,000
Marcus Cable Co. Sr.
Notes [STEP]
11.61%................. 12/15/05 900 639,000
MFS Communications Co.,
Inc. Sr. Notes [STEP]
8.85%.................. 01/15/06 1,000 730,000
Nextel Communications,
Inc. Sr. Disc. Notes
[STEP]
12.48%................. 08/15/04 1,000 682,500
Paging Network, Inc. Sr.
Sub. Notes 144A
10.00%................. 10/15/08 1,000 1,013,750
Panamsat L.P. Sr. Sub.
Notes [STEP]
5.06%.................. 08/01/03 1,500 1,391,250
Viacom, Inc. Sub. Debs.
8.00%.................. 07/07/06 1,500 1,462,500
Videotron Holdings PLC
Sr. Notes [STEP]
7.94%.................. 07/01/04 1,650 1,443,750
Western Wireless Corp.
Sr. Sub. Notes
10.50%................. 06/01/06 1,000 1,037,500
-----------
14,385,875
-----------
</TABLE>
68
<PAGE> 70
INVESCO EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C>
TRANSPORTATION -- 0.2%
Teekay Shipping Corp.
Notes
8.32%.................. 02/01/08 $ 500 $ 501,250
------------
UTILITIES -- 1.1%
Enersis SA Notes
6.90%.................. 12/01/06 1,000 976,250
North Atlantic Energy
First Mtge.
9.05%.................. 06/01/02 1,000 1,002,500
Penn Power Co. First
Mtge.
6.375%................. 09/01/04 1,000 945,000
PSI Energy, Inc. Debs.
6.35%.................. 11/15/06 1,000 991,250
------------
3,915,000
------------
TOTAL CORPORATE OBLIGATIONS
(COST $44,477,078)................... 44,849,737
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.9%
Federal Home Loan Mtge. Corp.
6.50%.................. 10/01/10 1,791 1,759,991
6.50%.................. 11/01/10 1,825 1,793,600
6.50%.................. 04/01/11 2,873 2,823,265
6.50%.................. 08/01/11 2,950 2,899,153
6.50%.................. 09/01/11 15,093 14,833,675
------------
(COST $24,038,422)................. 24,109,684
------------
<CAPTION>
PAR
MATURITY (000) VALUE
-------- ------- ------------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 1.7%
U.S. Treasury Notes
5.50%.................. 12/31/00 $ 2,000 $ 1,955,220
6.50%.................. 05/15/05 4,000 4,027,759
------------
(COST $6,159,503).................. 5,982,979
------------
COMMERCIAL PAPER -- 4.4%
General Electric Capital
Corp.
5.7555%................ 01/02/97 5,562 5,562,000
General Motors Acceptance
Corp.
7.0027%................ 01/02/97 9,600 9,600,000
------------
(COST $15,162,000)................. 15,162,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Cash Fund.... 32,428 $ 32,428
Temporary Investment Fund......... 32,428 32,428
------------
(COST $64,856).................... 64,856
------------
TOTAL INVESTMENTS -- 96.6%
(COST $294,476,754)................. 336,684,190
OTHER ASSETS LESS
LIABILITIES -- 3.4%................. 11,995,787
------------
NET ASSETS -- 100.0%.................. $348,679,977
============
</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 0.9% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
69
<PAGE> 71
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCK -- 85.8%
AEROSPACE -- 0.9%
Remec, Inc.*................... 97,400 $ 1,911,475
------------
BROADCASTING -- 0.5%
SFX Broadcasting, Inc. Cl-A*... 34,025 1,012,244
------------
BUSINESS SERVICES -- 1.6%
Caribiner International,
Inc.*........................ 31,900 1,602,975
Teletech Holdings, Inc.*....... 77,450 2,013,700
------------
3,616,675
------------
CHEMICALS -- 0.8%
Crompton & Knowles Corp........ 87,025 1,675,231
------------
CLOTHING & APPAREL -- 0.5%
Mens Warehouse, Inc.*.......... 45,450 1,113,525
------------
COMPUTER SERVICES &
SOFTWARE -- 19.9%
Avant Corp.*................... 198,100 6,289,675
BA Merchant Services, Inc.*.... 123,250 2,203,094
CDW Computers Centers, Inc.*... 50,000 2,965,625
CSG Systems International,
Inc.*........................ 27,750 426,656
Cybercash, Inc.*............... 31,825 731,975
Dendrite International,
Inc.*........................ 60,300 497,475
Farallon Communications*....... 23,375 149,016
Geoworks*...................... 201,125 4,927,563
HCIA, Inc.*.................... 34,500 1,190,250
HPR, Inc.*..................... 109,675 1,508,031
Network General Corp.*......... 121,000 3,660,250
Parametric Technology Corp.*... 28,000 1,438,500
PRI Automation, Inc.*.......... 39,050 1,776,775
Ross Systems, Inc.*............ 276,925 2,665,403
Scopus Technology, Inc.*....... 79,400 3,692,100
Sterling Commerce, Inc.*....... 69,075 2,434,894
Summit Design, Inc.*........... 126,150 1,293,038
Sync Research, Inc.*........... 143,725 1,976,219
Synopsys, Inc.*................ 50,000 2,312,500
Vanstar Corp.*................. 68,275 1,672,738
------------
43,811,777
------------
CONSUMER PRODUCTS &
SERVICES -- 4.2%
Nautica Enterprises, Inc.*..... 60,000 1,515,000
Protection One, Inc.*.......... 120,750 1,192,406
Quicksilver, Inc.*............. 79,800 1,705,725
Rexall Sundown, Inc.*.......... 71,450 1,942,547
Warnaco Group, Inc. Cl-A....... 100,000 2,962,500
------------
9,318,178
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 6.1%
Berg Electronics Corp.*........ 48,250 1,417,344
Concord EFS, Inc.*............. 64,550 1,823,538
Cypress Semiconductor Corp.*... 64,925 917,066
Fore Systems, Inc.*............ 56,000 1,841,000
Premenos Technology Corp.*..... 52,075 449,147
Sanmina Corp.*................. 48,850 2,760,025
Sawtek, Inc.*.................. 80,775 3,200,709
Ultrak, Inc.*.................. 32,875 1,002,688
------------
13,411,517
------------
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
ENTERTAINMENT & LEISURE -- 1.9%
Fairfield Communities, Inc.*... 66,350 $ 1,642,163
Midway Games, Inc.*............ 47,125 954,281
Signature Resorts, Inc.*....... 45,150 1,591,538
------------
4,187,982
------------
ENVIRONMENTAL SERVICES -- 1.6%
United Waste Systems, Inc.*.... 104,525 3,593,047
------------
FINANCIAL-BANK & TRUST -- 0.7%
Banco Latinoamericano de
Exportaciones SA Cl-E [ADR].. 29,400 1,492,050
------------
FINANCIAL SERVICES -- 1.7%
Credit Acceptance Corp.*....... 40,075 941,763
First USA Paymentech, Inc.*.... 82,525 2,795,534
------------
3,737,297
------------
FOOD -- 1.3%
JP Foodservice, Inc.*.......... 77,500 2,160,313
United Natural Foods, Inc.*.... 46,225 785,825
------------
2,946,138
------------
HEALTHCARE SERVICES -- 4.5%
Advance Paradigm, Inc.*........ 49,525 1,027,644
Multicare Companies, Inc.*..... 74,000 1,498,500
Omnicare, Inc.................. 93,800 3,013,325
Orthodontic Centers of America,
Inc.*........................ 125,150 2,002,400
Pediatrix Medical Group,
Inc.*........................ 35,000 1,290,625
Sunrise Assisted Living,
Inc.*........................ 39,900 1,112,213
------------
9,944,707
------------
HOTELS & MOTELS -- 2.1%
Doubletree Corp.*.............. 102,150 4,596,750
------------
INDUSTRIAL PRODUCTS -- 1.1%
Harsco Corp. .................. 35,000 2,397,500
------------
INSURANCE -- 1.6%
Executive Risk, Inc. .......... 22,800 843,600
Reliastar Financial Corp. ..... 45,000 2,598,750
------------
3,442,350
------------
MACHINERY & EQUIPMENT -- 0.6%
Asyst Technologies, Inc.*...... 22,500 385,313
Rental Service Corp.*.......... 35,125 965,937
------------
1,351,250
------------
MEDICAL SUPPLIES &
EQUIPMENT -- 3.6%
Express Scripts, Inc. Cl-A*.... 26,500 950,687
Gulf South Medical Supply,
Inc.*........................ 45,000 1,153,125
Henry Schein, Inc.*............ 60,725 2,087,422
Physio-Control International
Corp.*....................... 77,925 1,753,312
Sola International, Inc.*...... 48,000 1,824,000
Visible Genetics, Inc.*........ 25,925 226,844
------------
7,995,390
------------
OFFICE EQUIPMENT -- 1.1%
American Pad & Paper Co.*...... 107,675 2,436,147
------------
OIL & GAS -- 0.9%
Falcon Drilling Co., Inc.*..... 50,000 1,962,500
------------
</TABLE>
70
<PAGE> 72
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
PERSONAL SERVICES -- 0.2%
Sylvan Learning Systems,
Inc.*........................ 17,500 $ 498,750
------------
PHARMACEUTICALS -- 6.0%
Genelabs Technologies, Inc.*... 271,000 1,659,875
Medicis Pharmaceutical Cl-A*... 9,575 421,300
NCS Healthcare, Inc. Cl-A*..... 41,950 1,221,794
Nexstar Pharmaceuticals,
Inc.*........................ 25,250 378,750
Paraxel International Corp.*... 49,050 2,532,206
Pharmaceutical Product
Development, Inc.*........... 46,200 1,166,550
SEQUUS Pharmaceuticals,
Inc.*........................ 102,450 1,639,200
Watson Pharmaceuticals,
Inc.*........................ 93,950 4,221,877
------------
13,241,552
------------
PRINTING & PUBLISHING -- 1.0%
World Color Press, Inc.*....... 116,900 2,250,325
------------
RETAIL & MERCHANDISING -- 6.4%
Consolidated Stores Corp.*..... 32,718 1,051,066
Corporate Express, Inc.*....... 31,000 912,562
Insight Enterprises, Inc.*..... 43,000 1,204,000
Kenneth Cole Productions, Inc.
Cl-A*........................ 85,100 1,319,050
Proffitt's, Inc.*.............. 58,550 2,159,031
The Sports Authority, Inc.*.... 100,550 2,186,962
Williams-Sonoma, Inc.*......... 26,000 945,750
Wolverine World Wide, Inc. .... 145,212 4,211,147
------------
13,989,568
------------
SEMI-CONDUCTORS -- 1.9%
International Rectifier
Corp.*....................... 64,175 978,669
Speedfam International,
Inc.*........................ 46,875 1,335,937
Vitesse Semiconductor, Inc.*... 38,900 1,769,950
------------
4,084,556
------------
TELECOMMUNICATIONS -- 10.9%
Cellular Communications
International, Inc.*......... 35,375 1,025,875
Digital Microwave Corp.*....... 124,700 3,476,012
Heartport, Inc.*............... 68,025 1,556,072
Intermedia Communications of
Florida, Inc.*............... 44,125 1,136,219
LCI International, Inc.*....... 21,600 464,400
McLeod, Inc. Cl-A*............. 34,500 879,750
Omnipoint Corp.*............... 14,000 269,500
P-Com, Inc.*................... 176,525 5,229,552
<CAPTION>
SHARES VALUE
--------- ------------
<S> <C> <C>
Pacific Gateway Exchange,
Inc.*........................ 43,200 $ 1,576,800
Periphonics Corp.*............. 100,000 2,925,000
Picturetel Corp.*.............. 46,750 1,215,500
Tel-Save Holdings, Inc.*....... 47,375 1,373,875
Telco Communications Group*.... 35,975 629,562
Teltrend, Inc.*................ 21,525 597,319
Winstar Communications,
Inc.*........................ 70,925 1,489,425
------------
23,844,861
------------
TRANSPORTATION -- 2.2%
Atlas Air, Inc.*............... 54,675 2,610,731
Mark VII, Inc.*................ 60,000 1,661,250
Rural Metro Corp.*............. 14,800 532,800
------------
4,804,781
------------
TOTAL COMMON STOCK
(COST $155,183,424).............. 188,668,123
------------
FOREIGN STOCK -- 5.2%
BROADCASTING -- 1.0%
Flextech PLC -- (GBP)*......... 187,000 2,170,061
------------
BUILDING MATERIALS -- 0.7%
Hunter Douglas NV -- (NLG)..... 23,356 1,577,559
------------
CONTAINERS & PACKAGING -- 0.8%
Hoya Corp. -- (JPY)............ 45,000 1,770,428
------------
RESTAURANTS -- 0.8%
J.D. Wetherspoon PLC -- (GBP).. 89,533 1,794,279
------------
RETAIL & MERCHANDISING -- 0.8%
Next PLC -- (GBP).............. 190,000 1,846,888
------------
TRANSPORTATION -- 1.1%
IHC Caland NV -- (NLG)......... 40,000 2,288,961
------------
TOTAL FOREIGN STOCK
(COST $7,551,483)................ 11,448,176
------------
SHORT TERM INVESTMENTS -- 0.0%
Temporary Investment Cash
Fund......................... 500 500
Temporary Investment Fund...... 500 500
------------
(COST $1,000).................. 1,000
------------
</TABLE>
71
<PAGE> 73
FOUNDERS CAPITAL APPRECIATION PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 12.8%
American Express Credit
Corp.
6.30%................ 01/03/97 $ 8,398 $ 8,395,061
McCormick and Co., Inc.
6.00%................ 01/02/97 10,000 9,998,333
Merrill Lynch & Co.,
Inc.
5.80%................ 01/06/97 9,851 9,843,065
------------
(COST $28,236,459)................ 28,236,459
------------
TOTAL INVESTMENTS -- 103.8%
(COST $190,972,366)................. 228,353,758
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (3.8%).............. (8,285,476)
------------
NET ASSETS -- 100.0%.................. $220,068,282
============
</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.
72
<PAGE> 74
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
FOREIGN STOCK -- 95.4%
ARGENTINA -- 0.7%
Banco de Galicia Buenos Aires
SA [ADR]...................... 14,268 $ 345,999
Banco Frances del Rio de la
Plata SA [ADR]................ 16,411 451,303
Compania Naviera Perez Companc
SA............................ 90,361 635,238
Enron Global Power & Pipelines
LLC........................... 1,356 36,612
Sociedad Comercial del Plata SA
[ADR]*........................ 1,640 42,328
Sociedad Comercial del Plata SA
[ADR] 144A*................... 14,380 36,813
Telecom Argentina Stet SA Cl-B
[ADR]......................... 941 37,993
Telecom Argentina Stet-Fran Tel
SA Cl-B....................... 10,450 43,054
Telefonica de Argentina SA Cl-B
[ADR]......................... 22,810 590,209
Transportadora de Gas del Sur SA
Cl-B [ADR].................... 2,632 32,242
YPF SA [ADR].................... 18,679 471,645
------------
2,723,436
------------
AUSTRALIA -- 1.7%
Australia & New Zealand Bank
Group Ltd..................... 59,000 372,182
Australian Gas Light Co. Ltd.... 124,945 711,643
Broken Hill Proprietary Co.
Ltd........................... 60,747 865,950
Coca-Cola Amatil Ltd............ 4,251 45,482
Commonwealth Installments
Receipts...................... 60,900 379,323
Fletcher Challenge Forest
Ltd........................... 1,702 2,870
Howard Smith Ltd................ 30,929 254,646
Lend Lease Corp. Ltd............ 14,486 281,170
National Australia Bank Ltd..... 35,291 415,485
National Mutual Holdings
Ltd.*......................... 130,000 194,416
News Corp. Ltd.................. 158,178 835,496
Publishing & Broadcasting
Ltd........................... 64,300 313,035
Sydney Harbour Casino Holdings
Ltd.*......................... 182,000 280,869
Tabcorp Holdings Ltd............ 99,000 472,516
Westpac Banking Corp. Ltd....... 101,000 575,261
WMC Ltd......................... 42,377 267,321
Woodside Petroleum Ltd.......... 86,000 628,701
------------
6,896,366
------------
AUSTRIA -- 0.0%
Energie-Versorgung
Niederoesterreich AG.......... 624 94,134
Flughafen Wien AG............... 1,581 80,769
------------
174,903
------------
BELGIUM -- 1.0%
Credit Communal Holding Dexia
SA*........................... 2,026 185,229
Generale de Banque SA*.......... 2,834 1,018,056
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Generale de Banque SA-Strip*.... 214 $ 122
Kredietbank NV.................. 6,500 2,134,849
UCB SA.......................... 251 655,541
------------
3,993,797
------------
BRAZIL -- 2.5%
Brazil Fund, Inc.**............. 29,290 651,703
Centrais Electrobras SA [ADR]... 44,628 798,841
Cesp-Cia Energetica de Sao Paolo
[ADR]*........................ 5,020 58,714
Companhia Energetica de Minas
Geras [ADR]................... 44,868 1,528,563
Lojas Americanas SA [ADR]....... 23,000 303,255
Pao de Acucar SA [ADR]*......... 21,420 374,850
Telebras SA [ADR]............... 64,490 4,933,485
Telebras SA [ADR] 144A.......... 217 16,707
Uniao Siderurgicas de Minas
Gerais SA [ADR]............... 78,390 799,656
Usinas Siderurgicas de Minas
Gerais SA [ADR]............... 61,345 625,780
Usinas Siderurgicas de Minas
Gerais SA [ADR] 144A.......... 11,100 113,231
------------
10,204,785
------------
CANADA -- 0.3%
Alcan Aluminium Ltd............. 26,420 892,372
Royal Bank of Canada............ 10,980 385,699
------------
1,278,071
------------
CHILE -- 0.5%
A.F.P. Provida SA [ADR]......... 1,152 21,600
Chile Fund, Inc.**.............. 9,294 194,012
Chilectra Metropolitana SA
[ADR]......................... 4,136 213,451
Chilgener SA [ADR].............. 6,371 132,995
Cia de Telecomunicaciones de
Chile SA [ADR]................ 2,390 241,689
Compania Cervecerias Unidas SA
[ADR]......................... 3,628 58,501
Empresa Nacional Electridad SA
[ADR]......................... 18,526 287,153
Enersis SA [ADR]................ 12,553 348,346
Five Arrows Chile Fund Ltd.**... 89,390 250,739
Five Arrows Chile Investment
Trust**....................... 29,340 82,445
Genesis Chile Fund**............ 9,350 343,613
------------
2,174,544
------------
CHINA -- 0.3%
Huaneng Power International,
Inc. [ADR]*................... 51,000 1,147,500
------------
CZECH REPUBLIC -- 0.0%
SPT Telecom AS*................. 1,360 168,433
------------
DENMARK -- 0.2%
Den Danske Bank................. 6,380 515,795
Tele Danmark AS Cl-B............ 2,030 112,290
Unidanmark AS Cl-A.............. 6,110 317,178
------------
945,263
------------
</TABLE>
73
<PAGE> 75
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
FINLAND -- 0.2%
Nokia AB Cl-A................... 14,644 $ 851,017
------------
FRANCE -- 8.6%
Accor SA........................ 4,320 547,891
Alcatel Alsthom................. 7,720 621,141
Assurances Generales de
France........................ 7,533 243,572
AXA SA.......................... 6,898 439,422
Canal Plus...................... 3,880 858,344
Carrefour Supermarche SA........ 5,637 3,673,631
Chargeurs International SA*..... 2,331 115,643
Cie de Gaz Petrole Warrants*.... 217 5,404
CLF Dexia France Reg'd.......... 1,928 167,853
Compagnie de Saint-Gobain....... 11,740 1,663,448
Compagnie Generale Des Eaux..... 41,960 5,208,247
Credit Local de France.......... 5,200 453,719
GTM Entrepose SA................ 4,510 208,945
Guilbert SA..................... 5,003 980,261
Havas SA........................ 2,940 206,583
L'Oreal......................... 1,607 606,158
Lapeyre SA...................... 8,105 466,245
Legrand SA...................... 3,823 652,382
Louis Vuitton Moet Hennessy..... 10,760 3,009,718
Pathe*.......................... 2,331 562,467
Pinault-Printemps Redoute SA.... 7,663 3,044,313
Primagaz Cie.................... 5,902 696,122
Rexel SA........................ 2,365 719,046
Sanofi SA....................... 12,329 1,228,069
Schneider SA.................... 14,250 659,918
Societe Generale................ 2,050 222,005
Societe Nationale Elf Aquitaine
SA............................ 15,090 1,375,790
Societe Television Francaise.... 11,080 1,060,881
Sodexho SA...................... 4,210 2,348,686
Total SA Cl-B................... 30,884 2,515,887
------------
34,561,791
------------
GERMANY -- 3.8%
Allianz AG...................... 754 1,358,868
Altana AG....................... 216 168,500
Bayer AG........................ 82,973 3,371,284
Bilfinger & Berger Bau AG....... 10,700 402,381
Buderus AG...................... 807 390,636
Deutsche Bank AG................ 7,757 362,363
Fielmann AG Pfd................. 5,723 180,589
Gehe AG......................... 41,391 2,662,004
Hoechst AG...................... 12,980 602,130
Hornbach Baumarkt AG............ 1,300 41,275
Hornbach Holdings AG Pfd........ 5,870 420,104
Krones AG Hermann Kronseder
Maschinenfabrik Pfd........... 456 165,548
Mannesmann AG................... 1,880 809,978
Praktiker Bau-Und
Heimwerkemaerkte AG*.......... 3,779 75,728
Rhoen-Klinikum AG............... 7,030 750,111
SAP AG.......................... 2,110 288,975
SAP AG Pfd...................... 2,368 326,313
Schering AG..................... 3,695 312,284
Veba AG......................... 33,965 1,955,695
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Veba AG Warrants*............... 1,220 $ 391,321
Volkswagen AG................... 619 256,742
Volkswagen AG Warrants*......... 370 55,849
------------
15,348,678
------------
HONG KONG -- 5.0%
Cathay Pacific Air.............. 464,000 731,890
Dao Heng Bank Group Ltd......... 243,000 1,165,596
First Pacific Co. Ltd........... 926,954 1,204,459
Guangdong Investments Ltd....... 813,000 783,095
Guangzhou Investment Co. Ltd.... 1,616,000 773,056
Guoco Group Ltd................. 276,000 1,545,129
Hong Kong Land Holdings Ltd..... 929,582 2,584,238
Hopewell Holdings Ltd........... 1,740,000 1,124,830
Hutchison Whampoa Ltd........... 329,000 2,584,104
New World Development Co. Ltd... 367,141 2,480,201
Shanghai Petrochemical Co. Ltd.
Cl-H.......................... 1,660,000 504,364
Swire Pacific Ltd. Cl-A......... 208,000 1,983,321
Wharf Holdings Ltd.............. 449,000 2,240,791
Yizheng Chemical Fibre Co. Ltd.
Cl-H.......................... 1,306,000 317,445
------------
20,022,519
------------
INDONESIA -- 0.0%
PT Telekomunikasi Indonesia..... 88,000 151,756
------------
ITALY -- 1.8%
Banca Fideuram SPA.............. 178,490 390,593
Ente Nazionale Idrocarburi
SPA........................... 205,366 1,049,064
Finanziaria Autogrill SPA*...... 36,752 35,450
Industrie Natuzzi SPA [ADR]..... 15,260 350,980
Istituto Mobiliare Italiano
SPA........................... 68,710 586,109
Istituto Nazionale Delle
Assicurazioni................. 106,480 138,061
Italgas......................... 112,936 469,455
La Rinascente SPA............... 22,800 131,654
La Rinascente SPA Warrants*..... 1,140 500
Mediolanum SPA*................. 38,440 362,204
Sasib SPA....................... 39,177 73,136
Stet di Risp SPA................ 139,220 468,177
Stet Societa' Finanziaria
Telefonica SPA................ 272,480 1,233,669
Telecom Italia Mobile SPA....... 604,848 1,398,169
Telecom Italia SPA.............. 202,673 523,971
Unicem SPA*..................... 8,642 56,139
------------
7,267,331
------------
JAPAN -- 20.9%
Advantest Corp.................. 6,400 300,493
Alps Electric Co. Ltd........... 50,000 544,747
Amada Co. Ltd................... 109,000 848,249
Canon, Inc...................... 162,000 3,585,992
Citizen Watch Co. Ltd........... 68,000 488,024
Dai Nippon Screen Manufacturing
Co. Ltd....................... 88,000 650,584
Daifuku Co. Ltd................. 18,000 227,237
Daiichi Pharmaceutical Co.
Ltd........................... 112,000 1,801,297
Daiwa House Industry Co. Ltd.... 141,000 1,816,602
</TABLE>
74
<PAGE> 76
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
DDI Corp........................ 170 $ 1,125,984
Denso Corp. Ltd................. 145,000 3,498,054
East Japan Railway Co........... 358 1,612,780
Fanuc Co........................ 26,000 834,068
Hitachi Ltd..................... 193,000 1,802,335
Hitachi Zosen Corp.............. 181,000 704,280
Honda Motor Co.................. 11,000 314,829
Inax............................ 46,000 341,271
Ishihara Sangyo Kaisha Ltd.*.... 56,000 135,581
Ito-Yokado Co. Ltd.............. 42,000 1,830,350
Kao Corp........................ 47,000 548,638
Kawada Industries............... 14,000 85,949
Kokuyo.......................... 58,000 1,434,328
Komatsu Ltd..................... 135,000 1,108,949
Komori Corp..................... 49,000 1,042,283
Kumagai Gumi Co. Ltd............ 88,000 218,383
Kuraray Co. Ltd................. 126,000 1,165,759
Kyocera Corp.................... 51,000 3,183,917
Makita Corp..................... 84,000 1,176,654
Matsushita Electric Industrial
Co............................ 153,000 2,500,389
Mauri Co. Ltd................... 101,000 1,825,249
Mitsubishi Corp................. 65,000 674,449
Mitsubishi Heavy Industries
Ltd........................... 454,000 3,611,587
Mitsubishi Paper Mills Ltd...... 64,000 250,687
Mitsui Fudosan.................. 243,000 2,437,354
Mitsui Petrochemical
Industries.................... 43,000 223,087
Murata Manufacturing Co. Ltd.... 56,000 1,864,246
National House Industrial....... 26,000 346,217
NEC Corp........................ 288,000 3,486,381
Nippon Hodo..................... 22,000 254,907
Nippon Steel Co................. 705,000 2,084,825
Nippon Telegraph & Telephone
Corp.......................... 142 1,078,046
Nomura Securities Co. Ltd....... 150,000 2,256,809
Pioneer Electronic Corp......... 68,000 1,299,438
Sangetsu Co. Ltd................ 11,000 230,177
Sankyo Co. Ltd.................. 104,000 2,949,589
Sega Enterprises................ 15,700 529,442
Sekisui Chemical Co. Ltd........ 165,000 1,669,261
Sekisui House Ltd............... 107,000 1,091,742
Seven Eleven Japan.............. 16,000 938,003
Sharp Corp...................... 135,000 1,926,070
Shin-Etsu Chemical Co........... 95,000 1,733,247
Shiseido Co. Ltd................ 30,000 347,601
Sony Corp....................... 37,700 2,474,215
Sumitomo Corp................... 218,000 1,721,003
Sumitomo Electric Industries.... 211,000 2,955,642
Sumitomo Forestry Co............ 73,000 890,013
TDK Corp........................ 37,000 2,415,478
Teijin Ltd...................... 303,000 1,325,707
Tokio Marine & Fire Insurance
Co............................ 47,000 442,974
Tokyo Electron Ltd.............. 17,000 521,833
Tokyo Steel Manufacturing....... 56,500 806,096
Toppan Printing Co. Ltd......... 95,000 1,191,094
UNY Co. Ltd..................... 51,000 934,890
Yurtec Corp..................... 22,050 299,339
------------
84,014,704
------------
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
KOREA -- 0.7%
Cho Hung Bank Co. Ltd........... 41,600 $ 334,670
Hanil Bank...................... 25,200 173,814
Hanil Securities Co.*........... 14,060 102,662
Kookmin Bank.................... 14,003 229,903
Korea Electric Power Corp....... 22,700 664,074
Pohang Iron & Steel Co. Ltd..... 6,030 346,802
Samsung Electronics Co.*........ 8,702 468,397
Samsung Electronics Co. [GDR]
144A*......................... 1,986 24,209
Samsung Electronics Co. [GDS]
144A*......................... 108 2,787
Samsung Fire and Marine
Insurance..................... 165 67,519
Seoul Bank*..................... 11,000 55,595
Shinhan Bank.................... 7,110 114,737
Yukong Ltd...................... 8,383 159,505
Yukong Ltd. Cl-F*............... 525 9,989
------------
2,754,663
------------
MALAYSIA -- 3.3%
Affin Holdings BHD.............. 614,000 1,689,819
Berjaya Sports Toto BHD......... 268,000 1,337,188
Commerce Asset Holding BHD...... 136,000 1,023,245
MBF Capital BHD................. 526,000 853,998
Multi-Purpose Holdings BHD...... 673,000 1,305,865
Multi-Purpose Holdings BHD
Rights*....................... 673,000 0
Renong BHD...................... 680,000 1,206,352
Renong BHD Iculs*............... 79,000 33,160
Resorts World BHD............... 161,000 733,180
Tanjong PLC..................... 329,000 1,315,844
Technology Resources Industries
BHD*.......................... 247,000 487,095
Time Engineering BHD............ 190,000 352,117
United Engineers Ltd. .......... 307,000 2,771,789
------------
13,109,652
------------
MEXICO -- 1.6%
Cementos de Mexico
SA de CV [ADS]................ 65,090 464,092
Cemex SA [ADS] 144A............. 50,068 356,985
Cemex SA Cl-B................... 67,925 264,038
Cifra SA de CV Cl-B [ADR]*...... 575,870 703,713
Fomento Economico Mexicano
SA Cl-B....................... 46,409 157,998
Gruma SA Cl-B................... 110,638 671,811
Gruma SA de CV [ADS] 144A*...... 8,835 212,482
Grupo Embotelladoras de Mexico
SA Cl-B*...................... 10,080 3,829
Grupo Financiero Banamex SA
Cl-B*......................... 146,200 305,698
Grupo Financiero Banamex SA
Cl-L*......................... 4,184 7,951
Grupo Financiero Bancomer SA
Cl-B [GDR]*................... 2,330 18,780
Grupo Financiero Bancomer SA
Cl-L*......................... 1,725 563
</TABLE>
75
<PAGE> 77
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Grupo Industrial Maseca SA
de CV Cl-B.................... 218,095 $ 274,281
Grupo Modelo SA Cl-C............ 48,506 279,131
Grupo Televisia SA [GDR]*....... 5,034 128,996
Kimberly-Clark de Mexico SA
Cl-A.......................... 22,464 436,610
Panamerica Beverages, Inc.
Cl-A.......................... 14,270 668,906
Telefonos de Mexico SA
Cl-L [ADR].................... 42,014 1,386,462
------------
6,342,326
------------
NETHERLANDS -- 10.4%
ABN AMRO Holding NV............. 33,903 2,209,356
AKZO Nobel NV................... 1,902 260,246
CSM NV.......................... 30,721 1,709,889
Elsevier NV..................... 446,712 7,562,610
Fortis Amev NV.................. 38,702 1,357,532
Gucci Group NV.................. 2,782 177,353
Hagemeyer NV.................... 7,792 623,884
ING Groep NV.................... 95,792 3,454,466
ING Groep Warrants*............. 79,813 573,795
Koninklijke Ahold NV............ 27,381 1,714,487
Koninklijke PTT Nederland NV.... 11,749 448,898
Nutricia Verenigde Bedrijven
NV............................ 6,130 932,934
Otra NV......................... 6,490 111,754
Polygram NV..................... 47,347 2,415,663
Royal Dutch Petroleum Co. NV.... 45,766 8,037,176
Unilever NV..................... 14,440 2,558,479
Wolters Kluwer NV............... 57,727 7,681,091
------------
41,829,613
------------
NEW ZEALAND -- 0.6%
Air New Zealand Ltd. ........... 72,545 196,941
Carter Holt Harvey Ltd. ........ 79,700 180,867
Fernz Corp. Ltd. ............... 45,100 154,638
Fletcher Challenge Building
Ltd. ......................... 98,250 302,147
Fletcher Challenge Energy
Ltd. ......................... 18,250 52,899
Fletcher Challenge Forest
Ltd. ......................... 341,573 572,307
Fletcher Challenge Paper
Ltd. ......................... 29,500 60,689
Telecom Corp. of New Zealand
Ltd. ......................... 185,000 944,291
------------
2,464,779
------------
NORWAY -- 1.7%
Bergesen D.Y. AS Cl-A........... 5,170 126,801
Norsk Hydro AS.................. 64,870 3,518,615
Orkla AS Cl-A................... 40,140 2,808,317
Saga Petroleum AS Cl-B.......... 15,160 238,346
------------
6,692,079
------------
PANAMA -- 0.1%
Banco Latinamericano de
Exportaciones SA Cl-E......... 4,035 204,776
------------
PERU -- 0.0%
Telefonica del Peru SA C1-B
[ADR]......................... 5,598 106,362
Telefonica del Peru SA Cl-B..... 26,690 49,957
------------
156,319
------------
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
PHILIPPINES -- 0.1%
Philippine National Bank*....... 43,400 $ 515,684
------------
PORTUGAL -- 0.5%
Estabelecimentos Jeronimo
Martins & Filho............... 16,550 853,983
Estabelecimentos Jeronimo
Martins & Filho Bond Warrants
[CVT]*........................ 16,550 146,011
Estabelecimentos Jeronimo
Martins & Filho Bonus
Rights*....................... 16,550 284,661
Estabelecimentos Jeronimo
Martins & Filho New Shares*... 16,550 569,519
------------
1,854,174
------------
RUSSIA -- 0.0%
Gazprom [ADS]*.................. 5,750 101,488
------------
SINGAPORE -- 2.3%
City Developments............... 33,000 297,297
DBS Land Ltd. .................. 190,000 699,628
Developmental Bank of Singapore
Ltd. Cl-F..................... 41,000 554,054
Far East Levingston Shipbuilding
Ltd. ......................... 52,000 271,414
Fraser & Neave Ltd. ............ 81,000 833,977
Keppel Corp. Ltd. .............. 44,000 342,914
Overseas Union Bank Ltd. Cl-F... 222,000 1,714,286
Singapore Airlines Ltd. ........ 10,000 90,805
Singapore Land Ltd. ............ 161,000 892,142
Singapore Press Holdings
Ltd. ......................... 63,000 1,243,243
Total Access Communication
Ltd. ......................... 12,000 82,800
United Industrial Corp. Ltd. ... 327,000 275,890
United Overseas Bank Ltd. ...... 164,400 1,833,719
United Overseas Bank Ltd.
Warrants*..................... 27,092 95,692
------------
9,227,861
------------
SPAIN -- 2.6%
Aquas de Barcelona Rfd.*........ 58 2,406
Argentaria SA................... 12,814 575,165
Banco Popular Espanol SA........ 5,190 1,022,443
Banco Santander SA.............. 16,946 1,087,927
Centros Comerciales Continente
SA............................ 6,360 130,698
Centros Comerciales Pryca SA.... 14,319 304,212
Empresa Nacional de
Electridad SA................. 31,785 2,268,954
Fomento de Construcciones y
Contratas SA.................. 1,297 121,243
Gas Natural SDG................. 6,233 1,454,238
General de Aguas de Barcelona
SA............................ 4,081 170,252
Iberdrola SA.................... 86,553 1,230,358
Repsol SA....................... 43,588 1,676,980
Repsol SA [ADR]................. 110 4,194
Telefonica de Espana SA......... 18,270 425,557
------------
10,474,627
------------
</TABLE>
76
<PAGE> 78
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
SWEDEN -- 2.7%
ABB AB Cl-A..................... 6,680 $ 757,314
Astra AB Cl-B................... 95,480 4,625,056
Atlas Copco AB Cl-B............. 40,130 980,812
Electrolux AB Cl-B.............. 22,740 1,325,850
Esselte AB...................... 5,800 128,948
Hennes & Mauritz AB Cl-B........ 10,350 1,438,537
Sandvik AB Cl-A................. 6,140 166,339
Sandvik AB Cl-B................. 43,420 1,182,688
Scribona AB Cl-B................ 5,500 61,949
Stora Kopparbergs Bergslags
Aktiebolag AB Cl-B............ 20,740 283,988
------------
10,951,481
------------
SWITZERLAND -- 4.2%
ABB AG.......................... 2,439 3,034,398
CS Holding AG................... 7,130 732,552
Nestle SA....................... 3,048 3,272,791
Novartis AG*.................... 3,960 4,536,042
Roche Holding AG................ 525 4,085,687
Swiss Bank Corp................. 5,920 1,125,786
------------
16,787,256
------------
THAILAND -- 0.4%
Advanced Information
Services PLC.................. 26,700 228,961
Bangkok Bank PLC................ 67,400 651,538
Siam Cement Co. PLC............. 3,000 94,017
Siam Commercial Bank PLC........ 34,300 248,677
Thai Farmers Bank PLC........... 41,400 258,195
------------
1,481,388
------------
UNITED KINGDOM -- 16.6%
Abbey National PLC.............. 304,000 3,983,420
Argos PLC....................... 158,749 2,089,661
Asda Group PLC.................. 704,450 1,484,145
British Gas PLC................. 126,210 485,323
British Petroleum Co. PLC....... 124,840 1,497,900
Cable & Wireless PLC............ 267,000 2,220,350
Cadbury Schweppes PLC........... 205,456 1,733,190
Caradon PLC..................... 315,700 1,292,390
Coats Viyella PLC............... 91,270 207,922
Compass Group PLC............... 117,000 1,237,496
David Smith Holdings PLC........ 197,900 1,064,379
East Midlands Electricity PLC... 48,385 551,544
Electrocomponents PLC........... 100,000 791,340
GKN PLC......................... 17,000 291,477
Glaxo Wellcome PLC.............. 189,000 3,068,960
<CAPTION>
SHARES VALUE
-------- ------------
<S> <C> <C>
Grand Metropolitan PLC.......... 336,300 $ 2,643,995
Guinness PLC.................... 267,640 2,097,313
Heywood Williams Group PLC...... 32,010 130,218
Hillsdown Holdings PLC.......... 95,160 325,991
Kingfisher PLC.................. 281,950 3,049,766
Ladbroke Group PLC.............. 150,000 593,505
Laing, (John) PLC Cl-A.......... 70,000 335,120
London Electricity PLC.......... 105,517 1,229,905
National Westminster Bank PLC... 542,670 6,371,832
Rank Group PLC.................. 207,120 1,545,010
Reed International PLC.......... 258,370 4,874,697
Rolls-Royce PLC................. 78,140 344,645
RTZ Corp. PLC................... 136,600 2,191,187
Safeway PLC..................... 254,660 1,762,232
Sears PLC....................... 75,490 122,838
Shell Transport & Trading Co.
PLC........................... 225,000 3,898,248
Smithkline Beecham PLC.......... 449,220 6,228,694
T & N PLC....................... 181,680 539,918
Tesco PLC....................... 208,000 1,262,992
Tomkins PLC..................... 584,220 2,686,840
United News & Media PLC......... 231,470 2,757,483
------------
66,991,926
------------
VENEZUELA -- 0.1%
Cia Anonima Nacional Tele
Venezuela [ADS]*.............. 8,050 226,406
------------
TOTAL FOREIGN STOCK
(COST $337,575,748)............... 384,091,392
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000)
-------- --------
<S> <C> <C> <C>
FOREIGN BONDS -- 0.0%
BELGIUM -- 0.0%
Kredietbank NV
5.75%.............. 11/30/03 900 39,413
------------
ITALY -- 0.0%
Danieli & Co.
7.25%.............. 01/01/00 4,380 2,903
------------
TOTAL FOREIGN BONDS
(COST $29,477)................... 42,316
------------
TOTAL INVESTMENTS -- 95.4%
(COST $337,605,225).............. 384,133,708
OTHER ASSETS LESS
LIABILITIES -- 4.6%.............. 18,425,379
------------
NET ASSETS -- 100.0%............... $402,559,087
============
</TABLE>
77
<PAGE> 79
T. ROWE PRICE INTERNATIONAL EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Buy ESP $ 260,551 130.8050 01/97 $ 2,745
Buy MYR 355,259 2.5270 01/97 214
---------
$ 2,959
---------
Sell FRF $ 525,531 5.2260 01/97 $ (4,734)
=========
</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 year, these securities amounted
to 0.2% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
78
<PAGE> 80
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
FOREIGN BONDS -- 82.3%
AUSTRALIA -- 3.8%
Australian Government
7.00%................... 04/15/00 4,650 $ 3,741,817
-----------
CANADA -- 6.5%
Canadian Government
6.25%................... 09/15/98 3,200 2,419,427
7.25%................... 06/01/03 1,200 935,942
8.00%................... 06/01/23 1,550 1,258,705
Province of Ontario
8.25%................... 12/01/05 1,000 820,142
Province of Quebec
7.75%................... 03/30/06 1,200 939,697
-----------
6,373,913
-----------
CZECH REPUBLIC -- 1.5%
Czech Electric Co.
14.375%................. 01/27/01 14,000 531,273
European Bank
Reconstruction &
Development
11.50%.................. 07/08/97 8,000 293,343
European Investment Bank
11.00%.................. 10/10/01 8,000 294,660
International Bank
Reconstruction &
Development Global Bond
11.50%.................. 10/09/97 8,000 293,343
-----------
1,412,619
-----------
DENMARK -- 3.9%
Kingdom of Denmark
7.00%................... 11/15/07 8,000 1,384,076
Nykredit
7.00%................... 10/01/16 11,502 1,976,252
6.00%................... 10/01/26 3,000 442,693
-----------
3,803,021
-----------
EUROPEAN CURRENCY UNIT -- 2.7%
French O.A.T.
7.50%................... 04/25/05 1,000 1,385,346
Republic of Portugal
6.00%................... 02/16/04 995 1,262,798
-----------
2,648,144
-----------
FINLAND -- 0.7%
Finnish Government
7.25%................... 04/18/06 3,000 699,605
-----------
FRANCE -- 3.4%
French Treasury Bill
4.50%................... 10/12/98 6,000 1,178,272
7.75%................... 04/12/00 8,000 1,717,275
French O.A.T. Principal
Strip
6.46%................... 10/25/05 4,000 464,915
-----------
3,360,462
-----------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
GERMANY -- 14.5%
Bundesobligation
5.75%................... 08/22/00 3,500 $ 2,385,784
Deutscheland Republic
6.25%................... 04/26/06 2,750 1,849,317
Federal National Mtge.
Assoc. Global Bond
5.00%................... 02/16/01 3,500 2,307,905
General Electric Capital
Corp.
7.25%................... 02/03/00 1,580 1,119,258
Inter-America Development
Bank
7.00%................... 06/08/05 4,500 3,161,371
KFW International Finance,
Inc.
6.75%................... 06/20/05 3,500 2,391,021
Land Baden-Wuerttemberg
6.50%................... 07/21/06 1,500 1,004,229
-----------
14,218,885
-----------
GREECE -- 1.0%
Hellenic Republic [FRN]
14.30%.................. 08/14/03 230,000 951,128
-----------
HUNGARY -- 0.8%
Hungarian Government
23.50%.................. 11/06/97 60,000 378,267
24.00%.................. 03/21/98 45,000 288,407
21.50%.................. 10/03/98 25,000 156,900
-----------
823,574
-----------
IRELAND -- 1.1%
Irish Government Treasury
8.00%................... 10/18/00 600 1,085,588
-----------
ITALY -- 9.6%
Italian Government
9.50%................... 12/01/99 2,000,000 1,412,205
9.50%................... 02/01/01 4,700,000 3,386,529
8.25%................... 07/01/01 1,000,000 699,803
9.00%................... 10/01/03 3,000,000 2,154,528
8.75%................... 07/01/06 2,500,000 1,797,080
-----------
9,450,145
-----------
JAPAN -- 12.0%
Asian Development Bank
3.125%.................. 06/29/05 288,000 2,626,338
Export-Import Bank of
Japan
4.375%.................. 10/01/03 150,000 1,475,326
2.875%.................. 07/28/05 200,000 1,754,980
International Bank
Reconstruction &
Development Global Bond
4.75%................... 12/20/04 200,000 2,036,782
</TABLE>
79
<PAGE> 81
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
Japanese Government
3.10%................... 03/20/06 180,000 $ 1,608,872
Republic of Austria
5.00%................... 01/22/01 150,000 1,486,808
4.50%................... 09/28/05 80,000 801,264
-----------
11,790,370
-----------
NETHERLANDS -- 1.7%
Netherlands Government
9.00%................... 01/15/01 2,500 1,687,877
-----------
PHILIPPINES -- 0.3%
Philippines Government
12.50%.................. 04/25/01 8,000 295,867
-----------
SPAIN -- 3.7%
Spanish Government
7.90%................... 02/28/02 150,000 1,236,349
10.90%.................. 08/30/03 250,000 2,385,468
-----------
3,621,817
-----------
SWEDEN -- 1.7%
Swedish Government
10.25%.................. 05/05/00 10,000 1,700,658
-----------
UNITED KINGDOM -- 13.4%
Alliance & Leicester BHD
8.75%................... 12/07/06 500 874,627
Annington Finance
7.75%................... 10/02/11 500 859,968
Bayerische Landesbank
Girozentrale
8.50%................... 02/26/03 400 709,475
Deutsche Siedlungs Bank
Finance BV
7.50%................... 12/27/00 900 1,554,096
Dresdner Finance BV
7.125%.................. 12/28/01 500 846,258
Guaranteed Export Finance
Corp.
10.625%................. 09/15/01 750 1,432,376
Halifax Building Society
8.75%................... 07/10/06 750 1,329,605
Swiss Bank Corp.
8.75%................... 06/20/05 500 892,672
United Kingdom Treasury
7.00%................... 11/06/01 450 762,596
8.00%................... 06/10/03 560 989,774
6.75%................... 11/26/04 1,000 1,645,413
6.25%................... 11/25/10 800 1,207,564
-----------
13,104,424
-----------
TOTAL FOREIGN BONDS
(COST $79,486,836).................... 80,769,914
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
SOVEREIGN ISSUES -- 8.1%
ARGENTINA -- 1.3%
Republic of Argentina
[FRB, BRB]
6.625%.................. 03/31/05 $ 608 $ 529,751
Republic of Argentina
Bocon Pre II [FRN, PIK]
5.375%.................. 04/01/01 505 623,675
Republic of Argentina
Bocon Pre IV [FRN, PIK]
5.6875%................. 09/01/02 150 161,438
-----------
1,314,864
-----------
BRAZIL -- 0.9%
Republic of Brazil
Capitalization [FRB, BRB]
8.00%................... 04/15/14 980 723,526
Republic of Brazil Disc.
ZL [FRN, BRB]
6.50%................... 04/15/24 250 192,969
-----------
916,495
-----------
BULGARIA -- 0.2%
National Republic of
Bulgaria [FRN]
6.6875%................. 07/28/11 200 102,750
2.25%................... 07/28/12 320 123,000
-----------
225,750
-----------
ECUADOR -- 0.2%
Republic of Ecuador PDI
[FRN]
3.00%................... 02/27/15 238 146,316
-----------
MEXICO -- 0.8%
Grupo Elektra SA
12.75%.................. 05/15/01 200 214,000
United Mexican States Cl-A
[BRB, FRB] (with Value
Recovery Rights
Attached)
6.25%................... 12/31/19 250 183,438
United Mexican States
Global Bond
11.375%................. 09/15/16 375 390,000
-----------
787,438
-----------
PANAMA -- 0.3%
Republic of Panama [FRN]
6.5468%................. 05/10/02 258 249,367
-----------
PERU -- 0.2%
Peru Interest Note [WI]
3.25%................... 12/29/49 350 192,063
-----------
PHILIPPINES -- 1.6%
Philippines Peso Linked
Note
9.4678%................. 01/06/97 650 649,122
9.3253%................. 12/11/97 950 868,300
-----------
1,517,422
-----------
</TABLE>
80
<PAGE> 82
T. ROWE PRICE INTERNATIONAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- --------- -----------
<S> <C> <C> <C>
POLAND -- 0.6%
Government of Poland PDI
3.75%................... 10/27/14 $ 250 $ 211,250
4.00%................... 10/27/14 125 105,625
Poland Communication, Inc.
9.875%.................. 11/01/03 300 298,500
-----------
615,375
-----------
RUSSIA -- 1.1%
Republic of Kazakhstan
9.25%................... 12/20/99 100 100,125
Russia Loan Participation*
0.00%................... 06/20/26 1,050 835,406
Russian Interest Note [WI]
0.75%................... 12/29/49 250 173,594
-----------
1,109,125
-----------
VENEZUELA -- 0.9%
Republic of Venezuela
[FRN, BRB]
6.625%.................. 12/18/07 1,000 882,500
-----------
TOTAL SOVEREIGN ISSUES
(COST $7,344,712)..................... 7,956,715
-----------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
---------
<S> <C> <C>
PURCHASED OPTIONS -- 0.0%
Put Option on German
Deutschemarks,
Strike Price DEM 1.55,
Expire 01/17/97
(COST $38,720).................... 6,820 29,040
-----------
TOTAL INVESTMENTS -- 90.4%
(COST $86,870,268).................... 88,755,669
OTHER ASSETS LESS LIABILITIES -- 9.6%... 9,479,111
-----------
NET ASSETS -- 100.0%.................... $98,234,780
===========
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- ------------------------------------------------------------------------
(DOLLAR BASED)
<S> <C> <C> <C> <C> <C>
Buy GBP $ 457,604 0.5894 01/97 $ 4,281
Buy IEP 199,278 0.6035 01/97 4,712
Buy ITL 500,000 1,515.2000 01/97 (2,374)
Buy JPY 13,091,589 110.9825 01/97 (473,365)
Buy MYR 525,000 2.5027 01/97 (5,087)
----------
$ (471,833)
==========
Sell MYR $ 521,251 2.5207 01/97 $ 1,339
==========
</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 594,389 DEM 750,000 01/97 $ (15,437)
AUD 737,244 GBP 360,000 01/97 (30,047)
DEM 2,350,047 GBP 934,412 01/97 (67,828)
ECU 709,946 SEK 6,021,903 01/97 4,413
ESP 159,687,880 IEP 749,603 01/97 (38,058)
ITL 1,621,920,728 DEM 1,629,776 01/97 4,425
JPY 100,315,350 ECU 709,946 01/97 (23,090)
NOK 5,637,020 DKK 5,172,052 01/97 6,231
----------
$ (159,391)
==========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
81
<PAGE> 83
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
COMMON STOCK -- 90.4%
AEROSPACE -- 2.0%
Boeing Co. ........................ 25,000 $ 2,659,375
------------
AUTOMOTIVE PARTS -- 1.3%
Lear Seating Corp.*................ 50,000 1,706,250
------------
CHEMICALS -- 1.7%
Praxair, Inc....................... 50,000 2,306,250
------------
COMPUTER HARDWARE -- 1.9%
3Com Corp.*........................ 35,000 2,568,125
------------
COMPUTER SERVICES & SOFTWARE -- 11.8%
BMC Software, Inc.*................ 50,000 2,068,750
Cadence Design Systems, Inc.*...... 55,000 2,186,250
Cisco Systems, Inc.*............... 25,000 1,590,625
Computer Associates International,
Inc.............................. 45,000 2,238,750
Informix Corp.*.................... 80,000 1,630,000
Microsoft Corp.*................... 30,000 2,478,750
National Data Corp................. 50,000 2,175,000
Oracle Corp.*...................... 40,000 1,670,000
------------
16,038,125
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 5.0%
Altera Corp.*...................... 30,000 2,180,625
Input-Output, Inc.*................ 115,000 2,127,500
Sanmina Corp.*..................... 45,000 2,542,500
------------
6,850,625
------------
ENTERTAINMENT & LEISURE -- 1.3%
Hasbro, Inc........................ 45,000 1,749,375
------------
FARMING & AGRICULTURE -- 1.7%
Agco, Inc.......................... 80,000 2,290,000
------------
FINANCIAL-BANK & TRUST -- 3.9%
Citicorp........................... 25,000 2,575,000
Wells Fargo & Co................... 10,000 2,697,500
------------
5,272,500
------------
FINANCIAL SERVICES -- 3.9%
Federal Home Loan Mtge. Corp....... 25,000 2,753,125
Federal National Mtge. Assoc....... 70,000 2,607,500
------------
5,360,625
------------
HEALTHCARE SERVICES -- 3.0%
Oxford Health Plans, Inc.*......... 35,000 2,049,688
United Healthcare Corp............. 45,000 2,025,000
------------
4,074,688
------------
INSURANCE -- 2.1%
Conseco, Inc....................... 45,000 2,868,750
------------
MEDICAL SUPPLIES & EQUIPMENT -- 5.6%
Amerisource Health Corp. Cl-A*..... 50,000 2,412,500
Boston Scientific Corp.*........... 50,000 3,000,000
Steris Corp.*...................... 50,000 2,175,000
------------
7,587,500
------------
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
OIL & GAS -- 14.0%
BJ Services Co.*................... 50,000 $ 2,550,000
Diamond Offshore Drilling*......... 20,000 1,140,000
Ensco International, Inc.*......... 40,000 1,940,000
Falcon Drilling Co., Inc.*......... 70,000 2,747,500
Petroleum Geo Services [ADR]*...... 50,000 1,950,000
Schlumberger Ltd................... 25,000 2,496,875
Tidewater, Inc..................... 40,000 1,810,000
Transocean Offshore, Inc........... 40,000 2,505,000
Western Atlas, Inc.*............... 28,000 1,984,500
------------
19,123,875
------------
PHARMACEUTICALS -- 11.7%
Biochem Pharma, Inc.*.............. 40,000 2,010,000
Biogen, Inc.*...................... 65,000 2,518,750
Cardinal Health, Inc............... 30,000 1,747,500
Incyte Pharmaceuticals, Inc.*...... 7,700 396,550
Lilly, (Eli) & Co.................. 35,000 2,555,000
McKesson Corp...................... 35,000 1,960,000
Pfizer, Inc........................ 30,000 2,486,250
Warner Lambert Co.................. 30,000 2,250,000
------------
15,924,050
------------
REAL ESTATE -- 4.7%
Innkeepers USA Trust [REIT]........ 150,000 2,081,250
Patriot American Hospitality, Inc.
[REIT]........................... 50,000 2,156,250
Starwood Lodging Trust [REIT]...... 40,000 2,205,000
------------
6,442,500
------------
RETAIL & MERCHANDISING -- 0.7%
Saks Holdings, Inc.*............... 36,600 988,200
------------
SEMI-CONDUCTORS -- 8.4%
Adaptec, Inc.*..................... 60,000 2,400,000
Analog Devices, Inc.*.............. 75,000 2,540,625
Atmel Corp.*....................... 60,000 1,987,500
Intel Corp......................... 20,000 2,618,750
VLSI Technology, Inc.*............. 80,000 1,910,000
------------
11,456,875
------------
TELECOMMUNICATIONS -- 4.5%
Boston Technology, Inc.*........... 75,000 2,156,250
Nokia Corp. Cl-A [ADR]............. 70,000 4,033,750
------------
6,190,000
------------
TRANSPORTATION -- 1.2%
Atlas Air, Inc.*................... 35,000 1,671,250
------------
TOTAL COMMON STOCK
(COST $107,785,138).................. 123,128,938
------------
PREFERRED STOCK -- 2.2%
HEALTHCARE SERVICES
Pacificare Health Systems, Inc.
Cl-B
(COST $3,031,827).................. 35,000 2,983,750
------------
</TABLE>
82
<PAGE> 84
BERGER CAPITAL GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- ------------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.7%
Temporary Investment Cash Fund..... 506,824 $ 506,824
Temporary Investment Fund.......... 506,824 506,824
------------
(COST $1,013,648).................. 1,013,648
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 6.6%
U.S. Treasury Bill
4.77%
(COST $8,948,722)..... 02/13/97 $9,000 8,948,722
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
------------
<S> <C>
TOTAL INVESTMENTS -- 99.9%
(COST $120,779,335)................. $136,075,058
OTHER ASSETS LESS
LIABILITIES -- 0.1%................. 171,796
-----------
NET ASSETS -- 100.0%.................. $136,246,854
===========
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
83
<PAGE> 85
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FOREIGN STOCK -- 80.9%
AUSTRALIA -- 1.3%
Village Roadshow Ltd............ 396,000 $ 1,553,003
-----------
BELGIUM -- 0.7%
S.A. D'ieteren NV............... 4,250 877,783
-----------
CANADA -- 3.1%
Cinar Films, Inc. Cl-B*......... 47,500 1,235,000
Gulf Canada Resources Ltd.*..... 320,000 2,360,000
-----------
3,595,000
-----------
CHILE -- 1.1%
Banco de A. Edwards [ADR]....... 53,000 950,688
Compania Cervecerias Unidas SA
[ADR]......................... 17,900 288,638
-----------
1,239,326
-----------
DENMARK -- 1.5%
Kobenhavns Lufthavne............ 17,400 1,776,900
-----------
FINLAND -- 5.3%
Amer Group Ltd.................. 95,000 1,965,803
KCI Konecranes International*... 50,000 1,579,177
Oy Tamro AB..................... 210,800 1,409,619
Valmet Corp..................... 75,000 1,323,241
-----------
6,277,840
-----------
FRANCE -- 7.3%
Altran Technologies SA.......... 3,500 1,126,286
Dassault Systems SA*............ 21,000 970,079
Guilbert SA..................... 11,700 2,292,435
Salomon SA...................... 18,200 1,563,423
Skis Rossignol SA............... 40,000 1,109,588
Sylea SA........................ 14,208 1,560,595
-----------
8,622,406
-----------
GERMANY -- 6.9%
Marschollek Lautenschlaeger Ung
Partner AG.................... 18,150 2,527,066
Plettac AG...................... 9,370 1,725,250
Porsche AG Pfd.................. 1,400 1,252,440
Schwarz Pharma AG............... 20,700 1,521,861
Turbon International AG......... 42,000 1,087,573
-----------
8,114,190
-----------
HONG KONG -- 5.7%
Asia Satellite
Telecommunications [ADR]*..... 7,000 163,625
Guoco Group Ltd................. 360,000 2,015,386
Manhattan Card Co. Ltd.......... 3,515,500 1,783,999
New Asia Realty & Trust Co.
Cl-A.......................... 182,000 671,808
South China Morning Post Ltd.... 932,000 771,194
VTech Holdings Ltd.............. 753,000 1,353,248
-----------
6,759,260
-----------
INDONESIA -- 0.8%
London Sumatra*................. 95,000 251,270
Matahari Putra Prima............ 531,000 617,964
Sorini Corp..................... 72,000 33,517
-----------
902,751
-----------
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
ITALY -- 2.8%
Bulgari SPA..................... 85,000 $ 1,717,848
Industria Machine Automatiche
SPA........................... 140,000 546,588
Industrie Natuzzi SPA [ADR]..... 46,000 1,058,000
-----------
3,322,436
-----------
JAPAN -- 5.8%
Doutor Coffee Co. Ltd........... 47,000 1,991,353
Laox Ltd........................ 85,000 1,293,558
Noritsu Koki Co. Ltd............ 39,000 1,837,873
Paris Miki Inc.................. 47,000 1,698,746
-----------
6,821,530
-----------
MALAYSIA -- 0.4%
Chemical Co. of Malaysia BHD
Warrants*..................... 10,000 9,266
Kentucky Fried Chicken BHD...... 106,666 439,285
Kentucky Fried Chicken Holdings
Warrants*..................... 21,333 5,276
-----------
453,827
-----------
MEXICO -- 0.2%
Grupo Iusacell [ADR]*........... 33,000 251,625
-----------
NETHERLANDS -- 5.9%
Baan Company NV*................ 26,000 903,500
Grolsch NV...................... 52,000 2,019,944
Hunter Douglas NV............... 31,200 2,107,375
IHC Caland NV................... 33,000 1,888,393
-----------
6,919,212
-----------
NEW ZEALAND -- 1.1%
Tranz Rail Holdings [ADR]*...... 75,000 1,326,563
-----------
NORWAY -- 5.4%
Kverneland AS................... 85,000 2,352,016
Petroleum Geo Services [ADR]*... 50,000 1,950,000
Tomra Systems AS................ 129,500 2,025,823
-----------
6,327,839
-----------
PANAMA -- 1.4%
Banco Latinoamericano de
Exportaciones SA Cl-E......... 33,000 1,674,750
-----------
PHILIPPINES -- 0.1%
International Container Terminal
Services, Inc.*............... 197,400 103,203
-----------
SWEDEN -- 3.5%
ASG AB Cl-B..................... 76,000 1,566,572
BT Industries AB................ 77,900 1,456,632
Enator AB*...................... 41,500 1,066,233
-----------
4,089,437
-----------
UNITED KINGDOM -- 20.6%
Abacus Polar PLC................ 27,000 82,782
British-Borneo Petro Syndica
PLC........................... 103,200 1,431,811
BTG PLC......................... 49,000 380,622
Cairn Energy PLC*............... 186,000 1,328,526
Capital Radio PLC............... 114,500 1,071,807
CMG PLC......................... 121,800 1,752,458
</TABLE>
84
<PAGE> 86
FOUNDERS PASSPORT PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
DFS Furniture Co. PLC........... 110,000 $ 1,137,080
Dorling Kindersly Holdings
PLC........................... 225,000 1,585,891
Flextech PLC*................... 192,800 2,237,368
J.D. Wetherspoon PLC............ 115,000 2,304,649
JBA Holdings PLC................ 200,000 1,815,628
Medeva PLC [ADR]................ 68,450 1,155,094
Misys PLC....................... 6,900 131,956
Next PLC........................ 142,000 1,380,306
Parity PLC...................... 213,800 1,620,474
Pizza Express PLC............... 156,100 1,410,413
Psion PLC....................... 226,000 1,701,329
Regent Inns PLC................. 162,000 917,081
TLG PLC......................... 396,000 715,597
-----------
24,160,872
-----------
TOTAL FOREIGN STOCK
(COST $89,519,370)................ 95,169,753
-----------
COMMON STOCK -- 4.0%
EQUIPMENT SERVICES -- 1.5%
Rofin-Sinar Technologies,
Inc.*......................... 154,000 1,809,500
-----------
TELECOMMUNICATIONS -- 2.5%
Cellular Communications
International, Inc.*.......... 56,500 1,638,500
Comcast UK Cable Partners
Cl-A*......................... 93,000 1,267,125
-----------
2,905,625
-----------
TOTAL COMMON STOCK
(COST $5,093,320)................. 4,715,125
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------ ------------
<S> <C> <C>
COMMERCIAL PAPER -- 14.5%
Air Products & Chemicals,
Inc.
6.20%.................... 01/03/97 $1,156 $ 1,155,602
American Express Capital
Corp.
6.30%.................... 01/03/97 5,500 5,498,075
Lubrizol Corp.
5.90%.................... 01/02/97 5,400 5,399,115
Merrill Lynch & Co., Inc.
5.80%.................... 01/06/97 4,991 4,986,979
-------------
TOTAL COMMERCIAL PAPER
(COST $17,039,771)..................... 17,039,771
-------------
TOTAL INVESTMENTS -- 99.4%
(COST $111,652,461).................... 116,924,649
OTHER ASSETS LESS LIABILITIES -- 0.6%.... 718,053
-------------
NET ASSETS -- 100.0%..................... $117,642,702
=============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy FIM $ 211,645 4.6439 01/97 $2,478
Buy GBP 161,825 0.5935 01/97 2,670
Buy HKD 140,883 7.7345 01/97 1
Buy JPY 185,791 114.9643 01/97 (908)
---------
$4,241
=========
</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
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
COMMON STOCK -- 84.3%
CHEMICALS -- 5.4%
Applied Extrusion Technologies,
Inc.*.............................. 40,600 $ 426,300
Dupont, (E.I.) de Nemours & Co. ..... 3,200 302,000
FMC Corp.*........................... 7,000 490,875
Great Lakes Chemical Corp. .......... 19,300 902,275
Lyondell Petrochemical Co. .......... 54,000 1,188,000
Millennium Chemicals, Inc.*.......... 12,000 213,000
Polymer Group, Inc.*................. 40,000 555,000
Union Carbide Corp. ................. 16,400 670,350
------------
4,747,800
------------
CONSUMER & SERVICE -- 0.4%
Warner-Lambert Co. .................. 5,000 375,000
------------
DIVERSIFIED METALS -- 5.3%
Freeport-McMoran Copper & Gold, Inc.
Cl-A............................... 31,900 897,188
Freeport-McMoran Copper & Gold, Inc.
Cl-B............................... 10,000 298,750
Nucor Corp. ......................... 26,000 1,326,000
Reynolds Metals Co. ................. 21,800 1,228,975
Steel Dynamics, Inc.*................ 50,000 956,250
------------
4,707,163
------------
DIVERSIFIED RESOURCES -- 3.5%
Burlington Northern Santa Fe
Corp. ............................. 12,200 1,053,775
Canadian National Railway Co. ....... 10,500 399,000
Hanson Trust PLC [ADR]............... 60,000 405,000
Western Water Co.*................... 28,000 406,000
Zeigler Coal Holding Co. ............ 39,600 846,450
------------
3,110,225
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 0.2%
General Electric Co. ................ 2,000 197,750
------------
ENERGY SERVICES -- 9.8%
BJ Services Co.*..................... 13,000 663,000
Camco International, Inc. ........... 4,800 221,400
Carbo Ceramics, Inc. ................ 43,750 918,750
Coflexip SA [ADR]*................... 47,600 1,249,500
Cooper Cameron Corp.*................ 12,900 986,850
Halliburton Co. ..................... 16,800 1,012,200
McDermott International, Inc. ....... 54,000 897,750
Petrolite Corp. ..................... 19,900 955,200
Weatherford Enterra, Inc.*........... 22,800 684,000
Western Atlas, Inc.*................. 14,850 1,052,494
------------
8,641,144
------------
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
INTEGRATED PETROLEUM -- 21.5%
Amerada Hess Corp. .................. 20,000 $ 1,157,500
Atlantic Richfield Co. .............. 4,500 596,250
British Petroleum Co. PLC [ADR]...... 10,000 1,413,750
Ente Nazionale Idrocarbure SPA
[ADR].............................. 13,000 671,125
Mobil Corp. ......................... 24,600 3,007,350
Phillips Petroleum Co. .............. 25,000 1,106,250
Repsol SA [ADR]...................... 63,600 2,424,750
Royal Dutch Petroleum Co. [ADR]...... 5,500 939,125
Sun Co., Inc. ....................... 35,700 870,187
Texaco, Inc. ........................ 26,000 2,551,250
Total SA [ADR]....................... 45,000 1,811,250
Ultramar Diamond Shamrock Corp. ..... 10,800 341,550
USX Marathon Group................... 90,500 2,160,687
------------
19,051,024
------------
MISCELLANEOUS ENERGY -- 2.3%
TPC Corp.*........................... 54,400 489,600
Uranium Resources, Inc.*............. 101,000 795,375
USX-Delhi Group...................... 46,000 730,250
------------
2,015,225
------------
PAPER & FOREST PRODUCTS -- 8.8%
Georgia Pacific Corp. ............... 24,300 1,749,600
International Paper Co. ............. 26,200 1,057,825
James River Corp. of Virginia........ 34,300 1,136,187
Jefferson Smurfit Corp.*............. 104,600 1,680,137
Kimberly-Clark Corp. ................ 11,600 1,104,900
Willamette Industries, Inc. ......... 15,000 1,044,375
------------
7,773,024
------------
PETROLEUM EXPLORATION &
PRODUCTION -- 11.5%
Alberta Energy Co. Ltd. ............. 41,400 993,600
Barrett Resources Corp.*............. 13,100 558,388
Enserch Exploration, Inc.*........... 77,000 904,750
Flores & Rucks, Inc.*................ 12,500 665,625
Houston Exploration Co.*............. 50,500 883,750
HS Resources, Inc.*.................. 43,300 714,450
Louisiana Land & Exploration Co. .... 10,000 536,250
Monterey Resources, Inc.*............ 26,200 422,475
Noble Affiliates, Inc. .............. 9,900 473,963
Rutherford-Moran Oil Corp.*.......... 35,300 988,400
Triton Energy Ltd.*.................. 8,300 402,550
Union Texas Petroleum Holdings,
Inc. .............................. 78,700 1,760,913
United Meridian Corp.*............... 17,800 921,150
------------
10,226,264
------------
</TABLE>
86
<PAGE> 88
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
PRECIOUS METALS -- 10.0%
Battle Mountain Gold Co. ............ 181,000 $ 1,244,375
Cambior, Inc. ....................... 64,400 941,850
Dayton Mining Corp.*................. 60,000 401,250
Durban Roodepoort Deep Ltd. [ADR]*... 53,640 395,595
Golden Star Resources Ltd.*.......... 31,000 403,000
Newmont Mining Corp. ................ 32,100 1,436,475
Pegasus Gold, Inc.*.................. 49,100 371,319
Placer Dome, Inc. ................... 56,300 1,224,525
Santa Fe Pacific Gold Corp. ......... 83,800 1,288,425
TVX Gold, Inc.*...................... 150,900 1,169,475
------------
8,876,289
------------
REAL ESTATE -- 4.1%
Apartment Investment & Management Co.
C1-A [REIT]........................ 23,700 669,525
Beacon Properties Corp. ............. 30,800 1,128,050
Homestead Village, Inc.*............. 3,770 67,860
Homestead Village, Inc. Warrants*.... 2,529 20,548
Red Roof Inns, Inc.*................. 40,000 620,000
Security Capital Pacific Trust
[REIT]............................. 30,000 686,250
The Rouse Co. ....................... 13,200 419,100
------------
3,611,333
------------
SCIENCE & TECHNOLOGY -- 1.5%
Silicon Graphics, Inc.*.............. 40,000 1,020,000
Vodafone Group PLC [ADR]............. 7,800 322,725
------------
1,342,725
------------
TOTAL COMMON STOCK
(COST $66,445,523)..................... 74,674,966
------------
PREFERRED STOCK -- 0.3%
OIL & GAS
Cross Timbers Oil Co. $1.5625 Cl-A
[CVT] (COST $225,345).............. 9,890 299,172
------------
FOREIGN STOCK -- 7.6%
DIVERSIFIED METALS -- 1.1%
Bougainville Copper Ltd. -- (AUD)*... 382,470 139,954
Lonrho PLC -- (GBP).................. 382,600 815,897
------------
955,851
------------
PETROLEUM EXPLORATION &
PRODUCTION -- 0.9%
Anderson Exploration
Ltd. -- (CAD)*..................... 25,000 323,158
Morrison Petroleum Ltd. -- (CAD)..... 76,000 457,898
------------
781,056
------------
<CAPTION>
SHARES VALUE
------- -----------
<S> <C> <C>
PRECIOUS METALS -- 5.2%
Banro Resources Corp. Special
Warrants -- (CAD) 144A*............ 83,300 $ 194,669
Barnato Exploration Ltd. -- (ZAR)*... 18,200 72,357
Delta Gold NL -- (AUD)*.............. 262,821 493,403
Highlands Gold Ltd. -- (AUD)......... 430,600 253,475
Potgietersrust Platinums
Ltd. -- (ZAR)...................... 124,730 613,186
Prime Resources Group,
Inc. -- (CAD)...................... 163,300 1,156,803
Rustenburg Platinum Holdings Ltd. --
(ZAR).............................. 80,000 1,094,368
Samax -- (CAD) 144A*................. 150,000 575,111
War Eagle Mining Co.,
Inc. -- (CAD)*..................... 118,000 155,116
War Eagle Mining Co., Inc.
Warrants -- (CAD)*................. 59,000 0
------------
4,608,488
------------
REAL ESTATE -- 0.4%
Security Capital U.S. Realty -- (NLG)
144A*.............................. 30,000 384,000
------------
TOTAL FOREIGN STOCK
(COST $7,296,839)...................... 6,729,395
------------
SHORT TERM INVESTMENTS -- 0.9%
Temporary Investment Cash Fund
(COST $773,987)...................... 773,987 773,987
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
MATURITY (000)
--------- ------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 4.8%
Federal Home Loan Mtge.
Corp. Disc. Notes
5.40% (COST $4,212,865)... 01/17/97 $4,223 4,212,865
-----------
COMMERCIAL PAPER -- 10.8%
BMW U.S. Capital Corp.
6.70%..................... 01/02/97 1,000 999,814
Ciesco, L.P. 5.90%.......... 01/07/97 5,705 5,699,390
5.80%..................... 01/16/97 376 375,091
Dover Corp.+ 5.45%.......... 02/07/97 2,500 2,485,997
TOTAL COMMERCIAL PAPER (COST
$9,560,292)............................. 9,560,292
-----------
TOTAL INVESTMENTS -- 108.7%
(COST $88,514,851)...................... 96,250,677
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (8.7%)........................ (7,716,666)
-----------
NET ASSETS -- 100.0%...................... $88,534,011
===========
</TABLE>
87
<PAGE> 89
T. ROWE PRICE NATURAL RESOURCES PORTFOLIO
- --------------------------------------------------------------------------------
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Buy AUD $ 57,964 1.2594 01/97 $ 106
Buy GBP 211,904 0.5905 01/97 2,380
---------
$2,486
=========
Sell AUD $ 256,649 1.2594 01/97 $ (469)
=========
</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 year, these securities amounted
to 1.3% of net assets.
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
2.8% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
88
<PAGE> 90
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 68.1%
FEDERAL HOME LOAN MORTGAGE CORP. -- 4.7%
5.00%................... 02/15/11 $ 9,925 $ 9,866,208
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 45.9%
4.90%................... 12/25/12 9,825 9,742,158
6.25% [VR].............. 03/01/17 2,455 2,448,545
7.50%................... 01/25/22 4,000 4,049,992
7.50%................... 10/01/22 25,716 25,715,712
8.00%................... 11/25/23 4,823 4,961,153
7.50%................... 05/01/24 44,763 44,804,512
7.409% [VR]............. 01/01/25 681 695,271
6.557% [VR]............. 05/01/25 1,662 1,673,137
6.089% [VR]............. 12/01/27 230 229,394
6.091% [VR]............. 12/01/27 99 98,178
6.089% [VR]............. 07/01/28 1,379 1,372,548
-------------
95,790,600
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 17.5%
7.125% [VR]............. 07/20/17 338 346,097
7.125% [VR]............. 08/20/17 425 435,677
7.125% [VR]............. 09/20/17 362 371,412
7.00%................... 01/15/24 43 41,891
7.00%................... 02/15/24 58 56,763
7.00%................... 04/15/24 361 352,934
7.125% [VR]............. 05/20/24 3,670 3,754,596
7.00%................... 06/15/24 59 57,246
7.125% [TBA]............ 07/20/24 444 455,114
7.00%................... 07/15/25 436 427,077
7.00%................... 08/15/25 1,889 1,848,613
7.00% [TBA]............. 01/21/27 2,000 1,956,260
6.00% [TBA]............. 01/23/27 26,500 26,508,281
-------------
36,611,961
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $143,896,978)................... 142,268,769
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.5%
Merrill Lynch Mtge.
Investors, Inc. Cl-B
7.6077% [VR]............ 06/15/21 1,340 1,353,532
Resolution Trust Corp.
7.2825% [VR]............ 07/25/28 10,000 10,150,434
-------------
(COST $11,519,512).................. 11,503,966
-------------
CORPORATE OBLIGATIONS -- 4.6%
CONSUMER PRODUCTS & SERVICES -- 3.4%
First Brands Corp. Sr.
Sub. Notes
9.125%.................. 04/01/99 7,000 7,096,250
-------------
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C>
UTILITIES -- 1.2%
CMS Energy Corp. First Mtge.
9.50%................... 10/01/97 1,000 1,027,500
Texas Utilities Co. First Mtge.
5.89% [VR].............. 05/01/99 1,500 1,504,540
-------------
2,532,040
-------------
TOTAL CORPORATE OBLIGATIONS
(COST $9,556,600)..................... 9,628,290
-------------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bills
4.95% #................. 01/30/97 $ 50 $ 49,795
5.00% #................. 03/06/97 30 29,731
5.01% #................. 03/06/97 30 29,731
4.90% #................. 03/13/97 10 9,900
-------------
(COST $119,170)..................... 119,157
-------------
SOVEREIGN ISSUES -- 2.0%
ARGENTINA
Republic of Argentina
[FRB, BRB]
6.625%
(COST $3,812,871)......... 03/31/05 4,900 4,269,125
-------------
<CAPTION>
PRINCIPAL
IN LOCAL
CURRENCY
(000)
-------
<S> <C> <C> <C>
FOREIGN BONDS -- 7.1%
CANADA -- 3.7%
Canadian Government
8.00%................... 11/01/98 10,000 7,781,348
-------------
NEW ZEALAND -- 3.4%
New Zealand Government
10.00%.................. 03/15/02 8,900 7,068,085
-------------
TOTAL FOREIGN BONDS
(COST $14,983,669).................... 14,849,433
-------------
<CAPTION>
PAR
(000)
-------
<S> <C> <C> <C>
COMMERCIAL PAPER -- 25.4%
AT&T Corp.
5.40%................... 01/30/97 $ 4,000 3,982,600
Canadian Treasury Bill
5.35%................... 01/13/97 1,400 1,397,503
Dow Jones & Co.+
5.35%................... 01/24/97 1,000 996,582
Electricite de France
5.35%................... 01/02/97 10,000 9,998,514
Ford Motor Credit Co.
6.09%................... 01/09/97 600 599,188
</TABLE>
89
<PAGE> 91
PIMCO LIMITED MATURITY BOND PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR
MATURITY (000) VALUE
--------- ------- ------------
<S> <C> <C> <C>
General Electric Capital
Corp.
5.31%................... 01/07/97 $ 1,100 $ 1,099,027
5.42%................... 01/16/97 2,000 1,995,483
5.40%................... 01/21/97 900 897,300
General Motors Acceptance
Corp.
5.53%................... 01/29/97 900 896,129
Kellogg Co.
5.35%................... 01/30/97 1,000 995,690
KFW International
Financial Corp.
5.37%................... 01/09/97 600 599,284
5.35%................... 01/13/97 300 299,465
5.40%................... 02/19/97 1,600 1,588,044
Kingdom of Sweden
5.33%................... 01/21/97 1,500 1,495,558
Lilly, (Eli) & Co.
5.33%................... 01/06/97 5,800 5,794,872
Motorola, Inc.
5.33%................... 01/16/97 2,000 1,995,558
New Center Asset Trust
5.40%................... 01/15/97 8,500 8,482,150
Province of Alberta
5.35%................... 01/14/97 10,000 9,980,681
-------------
TOTAL COMMERCIAL PAPER
(COST $53,094,659).................... 53,093,628
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
--------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 0.3%
Temporary Investment Cash Fund.... 323,161 323,161
Temporary Investment Fund......... 323,161 323,161
------------
(COST $646,322)................... 646,322
------------
TOTAL INVESTMENTS -- 113.1%
(COST $237,629,781)................. 236,378,690
------------
</TABLE>
<TABLE>
<CAPTION>
NOTIONAL
AMOUNT
(000) VALUE
-------- ------------
<S> <C> <C>
WRITTEN OPTIONS -- 0.0%
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.00, Expire
03/17/97....................... $ 43,000 $ (1,075)
Written CME Put Option on
Eurodollar Futures, Strike
Price $93.50, Expire
06/16/97....................... 100,000 (7,500)
------------
TOTAL WRITTEN OPTIONS
(COST ($43,935))................... (8,575)
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (13.1%)............ (27,357,107)
------------
NET ASSETS -- 100.0%................. $209,013,008
============
</TABLE>
Foreign currency exchange contracts outstanding at December 31, 1996:
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT CONTRACTED UNREALIZED
COVERED EXCHANGE EXPIRATION APPRECIATION
TYPE BY CONTRACT RATE MONTH (DEPRECIATION)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Sell CAD $8,102,930 1.3310 02/97 $ 199,515
Sell NZD 7,002,800 1.4286 02/97 (48,319)
---------
$ 151,196
=========
</TABLE>
# Securities with an aggregate market value of $119,157 have been segregated
with the custodian to cover margin requirements for the following open futures
contracts at December 31, 1996:
<TABLE>
<CAPTION>
NOTIONAL UNREALIZED
EXPIRATION AMOUNT APPRECIATION
DESCRIPTION MONTH (000) (DEPRECIATION)
- -----------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury 10 Year
Note 03/97 $ 2,000 $(35,624)
Eurodollar 06/97 25,000 77,500
--------------
$ 41,876
=============
</TABLE>
- --------------------------------------------------------------------------------
+ Security is restricted as to resale and may not be resold except to qualified
institutional buyers. At the end of the year, these securities amounted to
0.5% of net assets.
Definitions of abbreviations are included following the Schedules of
Investments.
See Notes to Financial Statements.
90
<PAGE> 92
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCK -- 91.6%
AEROSPACE -- 4.5%
BE Aerospace, Inc. ................ 3,000 $ 81,375
Boeing Co. ........................ 9,700 1,031,838
Precision Castparts Corp. ......... 8,200 406,925
United Technologies Corp. ......... 10,600 699,600
------------
2,219,738
------------
AIRLINES -- 2.9%
AMR Corp.* ........................ 3,500 308,438
Continental Airlines, Inc.
Cl-B* ........................... 7,500 211,875
Delta Air Lines, Inc. ............. 5,500 389,813
UAL Corp.* ........................ 7,700 481,250
------------
1,391,376
------------
BROADCASTING -- 0.0%
Univision Communications, Inc.
Cl-A* ........................... 500 18,500
------------
CLOTHING & APPAREL -- 2.3%
Nike, Inc. Cl-B ................... 18,800 1,123,300
------------
COMPUTER HARDWARE -- 17.2%
Cabletron Systems, Inc.* .......... 34,328 1,141,406
Compaq Computer Corp.* ............ 30,828 2,288,979
Dell Computer Corp.* .............. 38,200 2,029,375
Seagate Technology, Inc.* ......... 36,300 1,433,850
3Com Corp.* ....................... 20,258 1,486,431
------------
8,380,041
------------
COMPUTER SERVICES & SOFTWARE -- 16.5%
BMC Software, Inc.* ............... 6,600 273,075
Cadence Design Systems, Inc.* ..... 45,900 1,824,525
Cisco Systems, Inc.* .............. 10,975 698,284
Computer Sciences Corp.* .......... 13,100 1,075,838
Electronic Arts, Inc.* ............ 10,000 299,375
HBO & Co. ......................... 13,000 771,875
Informix Corp.* ................... 7,200 146,700
Intelligroup, Inc.* ............... 500 5,500
Microsoft Corp.* .................. 14,800 1,222,850
Parametric Technology Corp.* ...... 33,300 1,710,788
------------
8,028,810
------------
CONSUMER PRODUCTS & SERVICES -- 0.3%
Central Garden & Pet Co.* ......... 6,100 128,481
------------
ELECTRONIC COMPONENTS & EQUIPMENT -- 1.0%
SCI Systems, Inc.* ................ 11,400 508,725
------------
FINANCIAL-BANK & TRUST -- 6.3%
Chase Manhattan Corp. ............. 8,200 731,850
Citicorp .......................... 7,300 751,900
Comerica, Inc. .................... 6,700 350,912
MBNA Corp. ........................ 10,200 423,300
Mellon Bank Corp. ................. 8,500 603,500
Northern Trust Corp. .............. 5,400 195,750
------------
3,057,212
------------
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FINANCIAL SERVICES -- 10.0%
Aames Financial Corp. ............. 10,200 $ 365,925
Capital One Financial Corp. ....... 2,000 72,000
Charles Schwab Corp. .............. 18,730 599,360
First USA, Inc. ................... 24,000 831,000
Green Tree Financial Corp. ........ 9,200 355,350
Household International, Inc. ..... 7,800 719,550
Merrill Lynch & Co., Inc. ......... 19,838 1,616,797
The Money Store, Inc. ............. 10,800 298,350
------------
4,858,332
------------
HEALTHCARE SERVICES -- 6.3%
Columbia-HCA Healthcare Corp. ..... 18,100 737,575
Oxford Health Plans, Inc.* ........ 24,900 1,458,206
United Healthcare Corp. ........... 20,000 900,000
------------
3,095,781
------------
INSURANCE -- 1.1%
Conseco, Inc. ..................... 8,500 541,875
------------
MEDICAL SUPPLIES & EQUIPMENT -- 1.8%
Guidant Corp. ..................... 1,800 102,600
Medtronic, Inc. ................... 11,600 788,800
------------
891,400
------------
PHARMACEUTICALS -- 5.4%
Amgen, Inc.* ...................... 14,200 772,125
Biochem Pharma, Inc.* ............. 13,400 673,350
Biogen, Inc.* ..................... 19,500 755,625
Cardinal Health, Inc. ............. 7,050 410,662
------------
2,611,762
------------
RETAIL & MERCHANDISING -- 10.2%
Abercrombie & Fitch Co. Cl-A* ..... 5,800 95,700
CompUSA, Inc.* .................... 61,452 1,267,447
Meyer, (Fred), Inc.* .............. 7,500 266,250
Ross Stores, Inc. ................. 12,100 605,000
Safeway, Inc.* .................... 14,300 611,325
Starbucks Corp.* .................. 14,800 423,650
TJX Companies, Inc. ............... 11,700 554,287
Walgreen Co. ...................... 12,500 500,000
Williams-Sonoma, Inc.* ............ 17,500 636,563
------------
4,960,222
------------
SEMI-CONDUCTORS -- 5.6%
Intel Corp. ....................... 15,500 2,029,531
Micron Technology, Inc. ........... 24,900 725,212
------------
2,754,743
------------
TELECOMMUNICATIONS -- 0.2%
LCI International, Inc.* .......... 4,800 103,200
------------
TOTAL COMMON STOCK
(COST $41,858,965) .................. 44,673,498
------------
</TABLE>
91
<PAGE> 93
ROBERTSON STEPHENS VALUE + GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
SHORT TERM INVESTMENTS -- 7.5%
Temporary Investment Cash Fund .... 1,841,169 $ 1,841,169
Temporary Investment Fund ......... 1,841,168 1,841,168
------------
(COST $3,682,337) ............... 3,682,337
------------
TOTAL INVESTMENTS -- 99.1%
(COST $45,541,302)................... 48,355,835
OTHER ASSETS LESS
LIABILITIES -- 0.9%.................. 434,061
------------
NET ASSETS -- 100.0%................... $48,789,896
============
</TABLE>
- --------------------------------------------------------------------------------
* Non-income producing securities.
See Notes to Financial Statements.
92
<PAGE> 94
DEFINITION OF ABBREVIATIONS
- --------------------------------------------------------------------------------
THE FOLLOWING ABBREVIATIONS ARE USED THROUGHOUT THE SCHEDULES OF INVESTMENTS:
SECURITY DESCRIPTIONS:
- -----------------------
ADR-American Depository Receipt
ADS-American Depository Shares
BRB-Brady Bond
CVT-Convertible Security
FRB-Floating Rate Bond (1)
FRN-Floating Rate Note (1)
GDR-Global Depository Receipt
GDS-Global Depository Shares
IO-Interest Only Security
PIK-Payment in Kind
REIT-Real Estate Investment Trust
STEP-Stepped Coupon Security (2)
TBA-To be Announced Security
VR-Variable Rate Security (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 December 31, 1996.
(2)- Rates shown are the effective yields at purchase date.
COUNTRIES/CURRENCIES:
- -----------------------
ATS-Austria/Austrian Schilling
AUD-Australia/Australian Dollar
BEF-Belgium/Belgium Franc
CAD-Canada/Canadian Dollar
CHF-Switzerland/Swiss Franc
DEM-Germany/German Deutschemark
DKK-Denmark/Danish Krone
ECU-Europe/European Currency Unit
ESP-Spain/Spanish Peseta
FIM-Finland/Finnish Markka
FRF-France/French Franc
GBP-United Kingdom/British Pound
HKD-Hong Kong/Hong Kong Dollar
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 Kroner
SGD-Singapore/Singapore Dollar
ZAR-South Africa/South African Rand
93
<PAGE> 95
[THIS PAGE INTENTIONALLY LEFT BLANK]
94
<PAGE> 96
AMERICAN SKANDIA TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
(AMOUNTS IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
T. ROWE
AST PUTNAM LORD ABBETT AST FEDERATED AST PRICE
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY PUTNAM FEDERATED ASSET
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD ALLOCATION
------------- ----------- -------- -------- --------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in
securities at
value (A)....... $345,881 $ 528,558 $872,986 $548,206 $122,651 $296,051 $201,638 $119,657
Cash in bank,
including
foreign currency
holdings........ 283 18 -- 4 -- 451 -- 94
Receivable for:
Securities
sold.......... 378 -- -- -- 450 5,749 -- --
Dividends and
interest...... 924 1,325 397 3,637 383 1,719 3,800 890
Fund shares
sold.......... -- 15,791 19,521 -- -- 78 803 105
Other assets...... 38 8 15 9 2 5 3 2
Unrealized
appreciation on
foreign currency
exchange
contracts....... 1,004 -- 248 -- -- 144 -- --
-------- --------- -------- -------- -------- -------- -------- --------
TOTAL
ASSETS...... 348,508 545,700 893,167 551,856 123,486 304,197 206,244 120,748
-------- --------- -------- -------- -------- -------- -------- --------
LIABILITIES
Cash overdraft.... -- -- 255 -- -- -- -- --
Written options
outstanding, at
value........... -- -- -- -- -- -- -- --
Sale commitments,
at value........ -- -- -- -- -- 2,418 -- --
Payable for:
Securities
purchased..... 1,045 14,873 -- -- -- 14,955 851 506
Fund shares
redeemed...... 266 -- -- -- 269 -- -- --
Futures
variation
margin........ -- -- -- -- -- -- -- --
Advisory fees... 169 194 387 70 34 104 54 34
Shareholder
servicing
fees.......... 28 43 74 45 10 24 17 10
Accrued
expenses...... 64 93 127 95 35 66 60 49
Accrued
dividends..... -- -- -- 2,176 -- -- -- --
Unrealized
depreciation on
foreign currency
exchange
contracts....... 725 -- -- -- -- 151 -- --
-------- --------- -------- -------- -------- -------- -------- --------
TOTAL
LIABILITIES... 2,297 15,203 843 2,386 348 17,718 982 599
-------- --------- -------- -------- -------- -------- -------- --------
NET ASSETS........... $346,211 $ 530,497 $892,324 $549,470 $123,138 $286,479 $205,262 $120,149
======== ========= ======== ======== ======== ======== ======== ========
COMPONENTS OF NET
ASSETS
Common stock
(unlimited number of
shares authorized,
$.001 par value per
share).............. $ 18 $ 31 $ 47 $ 549 $ 10 $ 22 $ 17 $ 9
Additional paid-in
capital............. 299,358 439,062 667,184 548,841 102,352 241,860 184,462 103,476
Undistributed net
investment income... 2,686 7,379 1,593 -- 3,613 7,010 10,610 2,578
Accumulated net
realized gain (loss)
on investments and
foreign currency
transactions........ 19,995 13,059 42,753 80 5,063 29,891 1,264 2,380
Accumulated net
unrealized
appreciation
(depreciation) on
investments, foreign
currency
transactions, and
forward currency
contracts........... 24,154 70,966 180,747 -- 12,100 7,696 8,909 11,706
-------- --------- -------- -------- -------- -------- -------- --------
NET ASSETS........... $346,211 $ 530,497 $892,324 $549,470 $123,138 $286,479 $205,262 $120,149
======== ========= ======== ======== ======== ======== ======== ========
Shares of common
stock outstanding... 18,010 30,896 47,495 549,390 9,596 21,722 16,918 9,051
Net asset value,
offering and
redemption price per
share............... $ 19.22 $ 17.17 $ 18.79 $ 1.00 $ 12.83 $ 13.19 $ 12.13 $ 13.27
======== ========= ======== ======== ======== ======== ======== ========
(A) Investments at
cost................ $322,003 $ 457,592 $692,485 $548,206 $110,555 $288,351 $192,728 $107,949
======== ========= ======== ======== ======== ======== ======== ========
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
95
<PAGE> 97
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------
PIMCO T. ROWE T. ROWE T. ROWE PIMCO
TOTAL INVESCO FOUNDERS PRICE PRICE BERGER PRICE LIMITED
RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL FOUNDERS NATURAL MATURITY
BOND INCOME APPRECIATION EQUITY BOND GROWTH PASSPORT RESOURCES BOND
-------- -------- ------------ ------------- ------------- -------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$431,364 $336,684 $228,354 $384,134 $ 88,756 $136,075 $116,925 $96,251 $236,379
-- -- -- 19,733 19,561 -- 2,329 584 --
3,846 159 441 348 -- -- 57 263 --
4,486 1,343 28 612 2,222 122 184 49 1,308
475 14,890 26 999 27 288 288 383 --
18 6 3 7 2 2 2 1 4
419 -- -- 3 1 -- 4 2 151
-------- -------- -------- -------- -------- -------- -------- ------- --------
440,608 353,082 228,852 405,836 110,569 136,487 119,789 97,533 237,842
-------- -------- -------- -------- -------- -------- -------- ------- --------
-- -- -- -- -- -- -- -- --
62 -- -- -- -- -- -- -- 9
-- -- -- -- -- -- -- -- --
79,238 4,194 7,632 2,969 11,591 144 2,022 8,931 28,585
-- -- 977 -- -- -- -- -- 82
919 -- -- -- -- -- -- -- 28
87 112 106 171 34 51 57 35 52
31 29 17 33 8 11 10 7 18
73 67 52 99 70 34 57 26 55
-- -- -- -- -- -- -- -- --
188 -- -- 5 631 -- -- -- --
-------- -------- -------- -------- -------- -------- -------- ------- --------
80,598 4,402 8,784 3,277 12,334 240 2,146 8,999 28,829
-------- -------- -------- -------- -------- -------- -------- ------- --------
$360,010 $348,680 $220,068 $402,559 $ 98,235 $136,247 $117,643 $88,534 $209,013
======== ======== ======== ======== ======== ======== ======== ======= ========
$ 32 $ 25 $ 13 $ 33 $ 9 $ 9 $ 10 $ 6 $ 19
344,223 289,356 183,200 352,380 92,256 119,436 111,455 78,336 200,615
15,700 7,107 -- 1,993 3,522 223 971 423 10,849
(4,622) 9,984 (527) 1,612 1,133 1,283 (66) 2,034 (1,446)
4,677 42,208 37,382 46,541 1,315 15,296 5,273 7,735 (1,024)
-------- -------- -------- -------- -------- -------- -------- ------- --------
$360,010 $348,680 $220,068 $402,559 $ 98,235 $136,247 $117,643 $88,534 $209,013
======== ======== ======== ======== ======== ======== ======== ======= ========
32,405 24,923 13,102 33,340 9,015 9,469 10,113 6,117 19,333
$ 11.11 $ 13.99 $ 16.80 $ 12.07 $ 10.90 $ 14.39 $ 11.63 $ 14.47 $ 10.81
======== ======== ======== ======== ======== ======== ======== ======= ========
$427,007 $294,477 $190,972 $337,605 $ 86,870 $120,779 $111,652 $88,515 $237,630
======== ======== ======== ======== ======== ======== ======== ======= ========
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------
PORTFOLIO
-------------------
ROBERTSON
STEPHENS
VALUE +
GROWTH
---------
<S> <C>
$48,356
--
--
23
449
1
--
--------
48,829
--------
--
--
--
--
--
23
4
12
--
--
--------
39
--------
$48,790
========
$ 4
46,028
--
(57)
2,815
--------
$48,790
========
4,439
$ 10.99
========
$45,541
========
-------------------
</TABLE>
96
<PAGE> 98
AMERICAN SKANDIA TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------------
AST PUTNAM LORD ABBETT AST FEDERATED
INTERNATIONAL GROWTH AND JANCAP MONEY UTILITY AST PUTNAM FEDERATED
EQUITY INCOME GROWTH MARKET INCOME BALANCED HIGH YIELD
------------- ----------- --------- --------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.................... $ 725 $ 1,910 $ 2,355 $25,431 $ 357 $ 7,396 $11,919
Dividends................... 5,641 9,192 6,256 -- 4,330 2,082 53
------- ------- -------- ------- ------- ------- -------
Total Investment
Income................ 6,366 11,102 8,611 25,431 4,687 9,478 11,972
------- ------- -------- ------- ------- ------- -------
EXPENSES
Investment advisory fees.... 3,079 2,881 5,727 2,325 765 1,828 992
Shareholder servicing
fees...................... 313 384 636 465 115 263 132
Administration and
accounting fees........... 268 306 403 340 115 238 132
Custodian fees.............. 210 85 140 97 54 85 41
Professional fees........... 28 34 56 41 10 23 12
Trustees' fees and
expenses.................. 11 13 22 16 4 8 5
Insurance fees.............. 3 7 8 2 1 4 2
Miscellaneous expenses...... 15 13 26 23 10 19 46
------- ------- -------- ------- ------- ------- -------
Total Expenses.......... 3,927 3,723 7,018 3,309 1,074 2,468 1,362
Less: Advisory fee
waivers and expense
reimbursements........ (307) -- -- (519) -- -- --
------- ------- -------- ------- ------- ------- -------
Net Expenses............ 3,620 3,723 7,018 2,790 1,074 2,468 1,362
------- ------- -------- ------- ------- ------- -------
Net Investment Income (Loss)... 2,746 7,379 1,593 22,641 3,613 7,010 10,610
------- ------- -------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Securities and foreign
exchange
transactions.......... 20,748 13,085 42,941 80 7,915 29,898 1,294
Futures contracts....... -- -- -- -- -- -- --
Written option
contracts............. -- -- -- -- -- -- --
------- ------- -------- ------- ------- ------- -------
Net realized gain (loss).... 20,748 13,085 42,941 80 7,915 29,898 1,294
------- ------- -------- ------- ------- ------- -------
Net change in unrealized
appreciation
(depreciation) on:
Securities and foreign
exchange
transactions.......... 4,755 46,955 108,269 -- 978 (8,583) 6,820
Futures contracts....... -- -- -- -- -- -- --
Written option
contracts............. -- -- -- -- -- -- --
Interest rate swaps..... -- -- -- -- -- -- --
------- ------- -------- ------- ------- ------- -------
Net change in unrealized
appreciation
(depreciation)............ 4,755 46,955 108,269 -- 978 (8,583) 6,820
------- ------- -------- ------- ------- ------- -------
Net Increase in Net Assets
Resulting from
Operations................ $28,249 $67,419 $152,803 $22,721 $12,506 $28,325 $18,724
======= ======= ======== ======= ======= ======= =======
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
97
<PAGE> 99
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
PIMCO
T. ROWE TOTAL INVESCO FOUNDERS T. ROWE PRICE T. ROWE PRICE BERGER
PRICE ASSET RETURN EQUITY CAPITAL INTERNATIONAL INTERNATIONAL CAPITAL FOUNDERS
ALLOCATION BOND INCOME APPRECIATION EQUITY BOND GROWTH PASSPORT
----------- --------- ------- ------------ ------------- ------------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,578 $18,300 $ 5,465 $ 857 $ 1,010 $4,371 $ 756 $ 539
1,035 -- 4,109 215 5,459 -- 385 1,492
------- ------- ------- ------- ------- ------ ------- ------
3,613 18,300 9,574 1,072 6,469 4,371 1,141 2,031
------- ------- ------- ------- ------- ------ ------- ------
728 1,896 1,884 1,240 3,011 596 684 778
86 292 251 138 301 70 91 78
89 255 230 138 261 97 96 90
55 102 51 55 250 64 27 75
7 25 22 12 26 6 8 7
3 10 9 5 10 3 3 3
1 5 3 2 4 1 2 1
57 14 17 9 65 14 7 25
------- ------- ------- ------- ------- ------ ------- ------
1,026 2,599 2,467 1,599 3,928 851 918 1,057
-- -- -- -- -- -- -- --
------- ------- ------- ------- ------- ------ ------- ------
1,026 2,599 2,467 1,599 3,928 851 918 1,057
------- ------- ------- ------- ------- ------ ------- ------
2,587 15,701 7,107 (527) 2,541 3,520 223 974
------- ------- ------- ------- ------- ------ ------- ------
2,313 (4,897) 9,984 (527) 2,395 904 1,487 (20)
-- 1,120 -- -- -- -- -- --
-- (77) -- -- -- 188 -- --
------- ------- ------- ------- ------- ------ ------- ------
2,313 (3,854) 9,984 (527) 2,395 1,092 1,487 (20)
------- ------- ------- ------- ------- ------ ------- ------
6,558 1,893 24,709 24,027 34,967 504 10,400 5,257
-- (1,275) -- -- -- -- -- --
-- 578 -- -- -- (46) -- --
-- 12 -- -- -- -- -- --
------- ------- ------- ------- ------- ------ ------- ------
6,558 1,208 24,709 24,027 34,967 458 10,400 5,257
------- ------- ------- ------- ------- ------ ------- ------
$11,458 $13,055 $41,800 $22,973 $39,903 $5,070 $12,110 $6,211
======= ======= ======= ======= ======= ====== ======= ======
<CAPTION>
---------------------------------------------
PORTFOLIO
---------------------------------------------
T. ROWE PIMCO ROBERTSON
PRICE LIMITED STEPHENS
NATURAL MATURITY VALUE +
RESOURCES BOND GROWTH(1)
---------- ----------- ---------
<S> <C> <C>
$ 285 $12,543 $ 46
647 -- 44
------ ------- ------
932 12,543 90
------ ------- ------
352 1,240 118
39 191 12
72 189 14
34 35 9
3 16 1
1 6 --
1 5 --
7 12 2
------ ------- ------
509 1,694 156
-- -- --
------ ------- ------
509 1,694 156
------ ------- ------
423 10,849 (66)
------ ------- ------
2,036 (1,168) (57)
-- (153) --
-- -- --
------ ------- ------
2,036 (1,321) (57)
------ ------- ------
7,352 (1,463) 2,814
-- (84) --
-- 35 --
-- -- --
------ ------- ------
7,352 (1,512) 2,814
------ ------- ------
$9,811 $ 8,016 $2,691
====== ======= ======
---------------------------------------------
</TABLE>
98
<PAGE> 100
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
AST PUTNAM LORD ABBETT
INTERNATIONAL EQUITY GROWTH AND INCOME
----------------------- -----------------------
1996 1995 1996 1995
-------- -------- -------- --------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)........................... $ 2,746 $ 2,165 $ 7,379 $ 3,534
Net realized gain (loss) on investments and foreign
currency transactions................................ 20,748 8,916 13,085 7,136
Net change in unrealized appreciation (depreciation) on
investments, foreign currency transactions, and
forward currency contracts........................... 4,755 13,385 46,955 23,471
-------- -------- -------- --------
Net Increase in Net Assets from Operations........... 28,249 24,466 67,419 34,141
-------- -------- -------- --------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income... (5,032) -- (3,534) (1,700)
Distributions to shareholders from capital gains....... (5,923) (12,667) (7,139) (1,699)
-------- -------- -------- --------
Total Dividends and Distributions to Shareholders.... (10,955) (12,667) (10,673) (3,399)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.............................. 101,730 105,273 217,780 170,735
Net asset value of shares issued in reinvestment of
dividends and distributions.......................... 10,955 12,667 10,673 3,399
Cost of shares redeemed................................ (51,824) (99,733) (43,451) (8,177)
-------- -------- -------- --------
Increase in Net Assets from Capital Share
Transactions...................................... 60,861 18,207 185,002 165,957
-------- -------- -------- --------
Total Increase in Net Assets...................... 78,155 30,006 241,748 196,699
NET ASSETS
Beginning of Period.................................... 268,056 238,050 288,749 92,050
-------- -------- -------- --------
End of Period.......................................... $346,211 $268,056 $530,497 $288,749
======== ======== ======== ========
SHARES ISSUED AND REDEEMED
Shares sold............................................ 5,530 6,250 13,666 11,930
Shares issued in reinvestment of dividends and
distributions........................................ 610 823 707 276
Shares redeemed........................................ (2,856) (5,865) (2,755) (600)
-------- -------- -------- --------
Net Increase in Shares Outstanding................... 3,284 1,208 11,618 11,606
======== ======== ======== ========
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
99
<PAGE> 101
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
PORTFOLIO
- -------------------------------------------------------------------------------------------------------
FEDERATED UTILITY
JANCAP GROWTH AST MONEY MARKET INCOME AST PUTNAM BALANCED
- ---------------------- ------------------------ --------------------- ---------------------
1996 1995 1996 1995 1996 1995 1996 1995
- --------- -------- ----------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,593 $ 1,686 $ 22,641 $ 17,992 $ 3,613 $ 4,023 $ 7,010 $ 5,210
42,941 38,435 80 156 7,915 358 29,898 9,100
108,269 58,329 -- -- 978 16,069 (8,583) 18,547
- --------- -------- ----------- -------- -------- -------- -------- --------
152,803 98,450 22,721 18,148 12,506 20,450 28,325 32,857
- --------- -------- ----------- -------- -------- -------- -------- --------
(753) (1,363) (22,641) (17,992) (4,103) (3,376) (5,212) (3,867)
(24,162) -- (149) -- -- -- (8,816) --
- --------- -------- ----------- -------- -------- -------- -------- --------
(24,915) (1,363) (22,790) (17,992) (4,103) (3,376) (14,028) (3,867)
- --------- -------- ----------- -------- -------- -------- -------- --------
517,512 135,311 1,478,919 674,956 59,384 43,009 27,031 92,940
24,915 1,363 22,199 17,896 4,103 3,376 14,028 3,867
(209,312) (48,085) (1,295,804) (637,371) (56,151) (27,265) (24,083) (16,215)
- --------- -------- ----------- -------- -------- -------- -------- --------
333,115 88,589 205,314 55,481 7,336 19,120 16,976 80,592
- --------- -------- ----------- -------- -------- -------- -------- --------
461,003 185,676 205,245 55,637 15,739 36,194 31,273 109,582
431,321 245,645 344,225 288,588 107,399 71,205 255,206 145,624
- --------- -------- ----------- -------- -------- -------- -------- --------
$ 892,324 $431,321 $ 549,470 $344,225 $123,138 $107,399 $286,479 $255,206
========= ======== =========== ======== ======== ======== ======== ========
30,067 9,644 1,478,919 674,956 4,958 4,009 2,155 7,580
1,569 119 22,199 17,896 351 344 1,158 367
(12,155) (3,650) (1,295,804) (637,371) (4,710) (2,569) (1,954) (1,473)
- --------- -------- ----------- -------- -------- -------- -------- --------
19,481 6,113 205,314 55,481 599 1,784 1,359 6,474
========= ======== =========== ======== ======== ======== ======== ========
- -------------------------------------------------------------------------------------------------------
</TABLE>
100
<PAGE> 102
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE
FEDERATED HIGH YIELD ASSET ALLOCATION
----------------------- ----------------------
1996 1995 1996 1995
-------- -------- -------- -------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)........................... $ 10,610 $ 4,026 $ 2,587 $ 1,306
Net realized gain (loss) on investments and foreign
currency transactions................................ 1,294 124 2,313 483
Net change in unrealized appreciation (depreciation) on
investments, foreign currency transactions, and
forward currency contracts........................... 6,820 3,479 6,558 5,440
-------- -------- -------- -------
Net Increase in Net Assets from Operations........... 18,724 7,629 11,458 7,229
-------- -------- -------- -------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income... (4,032) (1,210) (1,316) (525)
Distributions to shareholders from capital gains....... -- -- (226) --
-------- -------- -------- -------
Total Dividends and Distributions to Shareholders.... (4,032) (1,210) (1,542) (525)
-------- -------- -------- -------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.............................. 151,204 75,531 52,390 31,289
Net asset value of shares issued in reinvestment of
dividends and distributions.......................... 4,032 1,210 1,542 525
Cost of shares redeemed................................ (48,358) (20,776) (3,098) (2,582)
-------- -------- -------- -------
Increase in Net Assets from Capital Share
Transactions...................................... 106,878 55,965 50,834 29,232
-------- -------- -------- -------
Total Increase in Net Assets...................... 121,570 62,384 60,750 35,936
NET ASSETS
Beginning of Period.................................... 83,692 21,308 59,399 23,463
-------- -------- -------- -------
End of Period.......................................... $205,262 $ 83,692 $120,149 $59,399
======== ======== ======== =======
SHARES ISSUED AND REDEEMED
Shares sold............................................ 13,287 7,197 4,228 2,775
Shares issued in reinvestment of dividends and
distributions........................................ 368 124 128 52
Shares redeemed........................................ (4,248) (2,008) (249) (244)
-------- -------- -------- -------
Net Increase in Shares Outstanding................ 9,407 5,313 4,107 2,583
======== ======== ======== =======
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
101
<PAGE> 103
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
PORTFOLIO
- ----------------------------------------------------------------------------------------------------
PIMCO TOTAL FOUNDERS CAPITAL T. ROWE PRICE
RETURN BOND INVESCO EQUITY INCOME APPRECIATION INTERNATIONAL EQUITY
- --------------------- --------------------- ---------------------- ---------------------
1996 1995 1996 1995 1996 1995 1996 1995
- -------- -------- -------- -------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 15,701 $ 5,966 $ 7,107 $ 3,658 $ (527) $ (151) $ 2,541 $ 1,454
(3,854) 6,557 9,984 5,268 (527) 2,836 2,395 (908)
1,208 4,574 24,709 19,246 24,027 10,589 34,967 15,141
- -------- -------- -------- -------- --------- -------- -------- --------
13,055 17,097 41,800 28,172 22,973 13,274 39,903 15,687
- -------- -------- -------- -------- --------- -------- -------- --------
(6,111) (1,271) (3,685) (1,056) -- (280) (1,759) (121)
(6,703) -- (4,986) -- (1,655) -- -- (249)
- -------- -------- -------- -------- --------- -------- -------- --------
(12,814) (1,271) (8,671) (1,056) (1,655) (280) (1,759) (370)
- -------- -------- -------- -------- --------- -------- -------- --------
196,298 199,583 184,426 93,257 237,559 62,848 222,719 101,284
12,814 1,271 8,671 1,056 1,655 280 1,759 370
(74,678) (37,838) (54,262) (9,914) (130,924) (14,221) (55,730) (30,055)
- -------- -------- -------- -------- --------- -------- -------- --------
134,434 163,016 138,835 84,399 108,290 48,907 168,748 71,599
- -------- -------- -------- -------- --------- -------- -------- --------
134,675 178,842 171,964 111,515 129,608 61,901 206,892 86,916
225,335 46,493 176,716 65,201 90,460 28,559 195,667 108,751
- -------- -------- -------- -------- --------- -------- -------- --------
$360,010 $225,335 $348,680 $176,716 $ 220,068 $ 90,460 $402,559 $195,667
======== ======== ======== ======== ========= ======== ======== ========
18,267 18,460 14,201 8,188 15,149 4,764 19,721 10,012
1,211 128 705 105 115 26 161 41
(6,938) (3,491) (4,116) (850) (8,512) (1,074) (4,907) (2,997)
- -------- -------- -------- -------- --------- -------- -------- --------
12,540 15,097 10,790 7,443 6,752 3,716 14,975 7,056
======== ======== ======== ======== ========= ======== ======== ========
- ----------------------------------------------------------------------------------------------------
</TABLE>
102
<PAGE> 104
AMERICAN SKANDIA TRUST
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31,
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
-----------------------------------------------------
PORTFOLIO
- --------------------------------------------------------------------------------------------------------------------
T. ROWE PRICE
INTERNATIONAL BOND BERGER CAPITAL GROWTH
----------------------- ----------------------
1996 1995 1996 1995
-------- -------- -------- -------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income (loss)........................... $ 3,520 $ 1,705 $ 223 $ 150
Net realized gain (loss) on investments and foreign
currency transactions................................ 1,092 13 1,487 (195)
Net change in unrealized appreciation (depreciation) on
investments, foreign currency transactions, and
forward currency contracts........................... 458 1,290 10,400 4,860
-------- -------- -------- -------
Net Increase in Net Assets from Operations........... 5,070 3,008 12,110 4,815
-------- -------- -------- -------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income... (697) (263) (150) (3)
Distributions to shareholders from capital gains....... (884) -- -- --
-------- -------- -------- -------
Total Dividends and Distributions to Shareholders.... (1,581) (263) (150) (3)
-------- -------- -------- -------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.............................. 60,046 30,340 147,599 42,283
Net asset value of shares issued in reinvestment of
dividends and distributions.......................... 1,581 263 150 3
Cost of shares redeemed................................ (12,483) (2,964) (69,441) (4,149)
-------- -------- -------- -------
Increase in Net Assets from Capital Share
Transactions...................................... 49,144 27,639 78,308 38,137
-------- -------- -------- -------
Total Increase in Net Assets...................... 52,633 30,384 90,268 42,949
NET ASSETS
Beginning of Period.................................... 45,602 15,218 45,979 3,030
-------- -------- -------- -------
End of Period.......................................... $ 98,235 $ 45,602 $136,247 $45,979
======== ======== ======== =======
SHARES ISSUED AND REDEEMED
Shares sold............................................ 5,742 2,996 10,695 3,773
Shares issued in reinvestment of dividends and
distributions........................................ 156 27 12 --
Shares redeemed........................................ (1,183) (295) (4,945) (370)
-------- -------- -------- -------
Net Increase in Shares Outstanding................ 4,715 2,728 5,762 3,403
======== ======== ======== =======
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commenced operations on May 2, 1995.
(2) Commenced operations on May 2, 1996.
See Notes to Financial Statements.
103
<PAGE> 105
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
PORTFOLIO
- -----------------------------------------------------------------------------------------
ROBERTSON
T. ROWE PRICE PIMCO LIMITED STEPHENS VALUE
FOUNDERS PASSPORT NATURAL RESOURCES MATURITY BOND + GROWTH
- -------------------- ------------------- --------------------- --------------
1996 1995(1) 1996 1995(1) 1996 1995(1) 1996(2)
- -------- ------- -------- ------ -------- -------- --------------
<S> <C> <C> <C> <C> <C> <C>
$ 974 $ 72 $ 423 $ 30 $ 10,849 $ 765 $ (66)
(20) 8 2,036 31 (1,321) 174 (57)
5,257 16 7,352 383 (1,512) 488 2,814
- -------- ------- -------- ------ -------- -------- -------
6,211 96 9,811 444 8,016 1,427 2,691
- -------- ------- -------- ------ -------- -------- -------
(129) -- (29) -- (761) -- --
-- -- (34) -- (303) -- --
- -------- ------- -------- ------ -------- -------- -------
(129) -- (63) -- (1,064) -- --
- -------- ------- -------- ------ -------- -------- -------
103,946 29,685 87,969 9,686 104,208 166,622 52,408
129 -- 63 -- 1,064 -- --
(20,969) (1,326) (18,508) (868) (65,151) (6,109) (6,309)
- -------- ------- -------- ------ -------- -------- -------
83,106 28,359 69,524 8,818 40,121 160,513 46,099
- -------- ------- -------- ------ -------- -------- -------
89,188 28,455 79,272 9,262 47,073 161,940 48,790
28,455 -- 9,262 -- 161,940 -- --
- -------- ------- -------- ------ -------- -------- -------
$117,643 $28,455 $ 88,534 $9,262 $209,013 $161,940 $48,790
======== ======= ======== ====== ======== ======== =======
9,188 2,884 6,706 918 9,943 16,062 5,032
12 -- 5 -- 102 -- --
(1,843) (128) (1,428) (84) (6,177) (597) (593)
- -------- ------- -------- ------ -------- -------- -------
7,357 2,756 5,283 834 3,868 15,465 4,439
======== ======= ======== ====== ======== ======== =======
- -----------------------------------------------------------------------------------------
</TABLE>
104
<PAGE> 106
\
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
YEAR 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 12/31/96 $18.20 $ 0.16 $ 1.55 $ 1.71 $ (0.32) $ (0.37) $ (0.69) $19.22
International
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 12/31/96 $14.98 $ 0.23 $ 2.48 $ 2.71 $ (0.17) $ (0.35) $ (0.52) $17.17
Growth and
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 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 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 0.0369 -- 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 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 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>
- --------------------------------------------------------------------------------
+ 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.
105
<PAGE> 107
<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>
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%)
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)
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)
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)
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)
11.23% $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>
106
<PAGE> 108
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
YEAR 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 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 12/31/96 $12.01 $ 0.27 $ 1.28 $ 1.55 $(0.25) $(0.04) $(0.29) $13.27
Asset
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 12/31/96 $11.34 $ 0.46 $(0.10) $ 0.36 $(0.28) $(0.31) $(0.59) $11.11
Return Bond 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 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 12/31/96 $14.25 $(0.03) $ 2.85 $ 2.82 $ -- $(0.27) $(0.27) $16.80
Appreciation 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 12/31/96 $10.65 $ 0.06 $ 1.44 $ 1.50 $(0.08) $ -- $(0.08) $12.07
International
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 12/31/96 $10.60 $ 0.23 $ 0.38 $ 0.61 $(0.14) $(0.17) $(0.31) $10.90
International
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>
- --------------------------------------------------------------------------------
+ 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.
107
<PAGE> 109
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
RATIOS OF NET INVESTMENT INCOME
RATIOS OF EXPENSES (LOSS)
TO AVERAGE NET ASSETS TO AVERAGE NET ASSETS
--------------------------------- ---------------------------------
SUPPLEMENTAL DATA AFTER AFTER
---------------------------------------------------- ADVISORY BEFORE ADVISORY ADVISORY BEFORE 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>
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)
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)
3.42% $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)
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)
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)
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)
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>
- --------------------------------------------------------------------------------
108
<PAGE> 110
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
YEAR 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 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 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 12/31/96 $11.11 $ 0.05 $ 3.35 $ 3.40 $(0.02) $(0.02) $(0.04) $14.47
Natural
Resources 12/31/95(9) 10.00 0.04 1.07 1.11 -- -- -- 11.11
PIMCO
Limited 12/31/96 $10.47 $ 0.56 $(0.15) $ 0.41 $(0.05) $(0.02) $(0.07) $10.81
Maturity
Bond 12/31/95(9) 10.00 0.05 0.42 0.47 -- -- -- 10.47
Robertson
Stephens
Value +
Growth 12/31/96(10) $10.00 $(0.01) $ 1.00 $ 0.99 -- -- -- $10.99
</TABLE>
- --------------------------------------------------------------------------------
+ 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.
See Notes to Financial Statements.
109
<PAGE> 111
<TABLE>
<CAPTION>
------------------------------------------------------
SUPPLEMENTAL DATA
------------------------------------------------------
NET ASSETS AT PORTFOLIO AVERAGE
TOTAL END OF PERIOD TURNOVER COMMISSION
RETURN (IN 000'S) RATE RATE PAID+
------- ------------- --------- ----------
<S> <C> <C> <C> <C>
16.34% $136,247 156% $0.0614
24.42% 45,979 84% --
(0.30%) 3,030 5% --
12.91% $117,643 133% $0.0190
3.30% 28,455 4% --
30.74% $ 88,534 31% $0.0238
11.10% 9,262 2% --
3.90% $209,013 247% N/A
4.70% 161,940 205% --
9.90% $ 48,790 77% $0.0529
-----------------------------------------------------
<CAPTION>
----------------------------------------------------------------------------------
RATIOS OF EXPENSES RATIOS OF NET INVESTMENT INCOME (LOSS)
TO AVERAGE NET ASSETS TO AVERAGE NET ASSETS
------------------------------------- --------------------------------------
AFTER AFTER
ADVISORY BEFORE ADVISORY ADVISORY BEFORE ADVISORY
FEE WAIVER FEE WAIVER FEE WAIVER FEE WAIVER
AND EXPENSE AND EXPENSE AND EXPENSE AND EXPENSE
REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT REIMBURSEMENT
------------- --------------- ------------- --------------
<C> <C> <C> <C>
1.01% 1.01% 0.24% 0.24%
1.17% 1.17% 0.70% 0.70%
1.25%(1) 1.70%(1) 1.41% (1) 0.97% (1)
1.36% 1.36% 1.25% 1.25%
1.46%(1) 1.46%(1) 0.94% (1) 0.94% (1)
1.30% 1.30% 1.08% 1.08%
1.35%(1) 1.80%(1) 1.28% (1) 0.83% (1)
0.89% 0.89% 5.69% 5.69%
0.89%(1) 0.89%(1) 4.87% (1) 4.87% (1)
1.33%(1) 1.33%(1) (0.56%)(1) (0.56%)(1)
--------------------------------------------------------------------------------
</TABLE>
110
<PAGE> 112
AMERICAN SKANDIA TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
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 eighteen classes of shares of beneficial interest during
1996: AST Putnam International Equity Portfolio ("Putnam International")
(formerly, Seligman Henderson International Equity Portfolio), 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") (formerly, AST
Phoenix Balanced Asset Portfolio), 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") (formerly, AST Scudder International Bond
Portfolio), Berger Capital Growth Portfolio ("Berger"), Founders Passport
Portfolio ("Passport") (formerly, Seligman Henderson International Small Cap
Portfolio), T. Rowe Price Natural Resources Portfolio ("Natural Resources"),
PIMCO Limited Maturity Bond Portfolio ("Limited Maturity"), and Robertson
Stephens Value + Growth Portfolio ("Robertson Stephens") (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
111
<PAGE> 113
- --------------------------------------------------------------------------------
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. ("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 and Putnam Balanced,
Lord, Abbett & Co. for Lord Abbett, Janus Capital
112
<PAGE> 114
- --------------------------------------------------------------------------------
Corporation for JanCap, 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 and Natural Resources, 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, and Robertson, Stephens
& Company Investment Management, L.P. for Robertson Stephens. 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%, and 1.00% 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, and
Robertson Stephens 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%, 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, and Robertson Stephens Portfolios, respectively.
The Sub-advisors for JanCap, Money Market, and T. Rowe are 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.
On April 12, 1996, the shareholders of the AST Scudder International Bond
Portfolio approved new Investment Management and Sub-Advisory Agreements,
effective May 1, 1996. Under the new Sub-Advisory Agreement, Rowe Price-Fleming
International, Inc., became Sub-advisor to the Portfolio. Effective May 1, 1996,
the name of the Portfolio was changed to the T. Rowe Price International Bond
Portfolio. Prior to May 1, 1996, the Investment Manager received a fee computed
daily and paid monthly based on an annual rate of 1.00% of the average daily net
assets of the Portfolio. Scudder, Stephens & Clark, Inc. served as Sub-advisor
for an annual rate of .60% of the average daily net assets of the Portfolio.
On October 11, 1996, the shareholders of the Seligman Henderson International
Equity Portfolio ("Henderson"), AST Phoenix Balanced Asset Portfolio
("Balanced") and Seligman Henderson International Small Cap Portfolio ("Small
Cap") approved new Investment Management and Sub-Advisory Agreements, effective
October 15, 1996. Under the new Sub-Advisory Agreements, Putnam Investment
Management, Inc. became Sub-advisor to the Henderson and Balanced Portfolios and
Founders Asset Management, Inc. became Sub-advisor to the Small Cap Portfolio.
Effective October 15, 1996, the names of the Portfolios were changed to AST
Putnam International Equity Portfolio, AST Putnam Balanced Portfolio, and
Founders Passport Portfolio for the Henderson, Balanced, and Small Cap
Portfolios, respectively. Prior to October 15, 1996, Seligman Henderson Co., a
joint venture between J. & W. Seligman & Co. Incorporated and Henderson
International, Inc. served as Sub-advisor for the Henderson and
113
<PAGE> 115
- --------------------------------------------------------------------------------
Small Cap Portfolios and Phoenix Investment Counsel, Inc. served as Sub-advisor
for the Balanced Portfolio. Prior to October 15, 1996, the Investment Manager
received a fee computed daily and paid monthly based on an annual rate of 1.00%,
.75% and 1.00% of the average daily net assets of the Henderson, Balanced, and
Small Cap Portfolios, respectively. The Investment Manager waived .15% of its
fee for Henderson on average daily net assets in excess of $75 million. The
Investment Manager paid each Sub-advisor a fee computed daily and payable
monthly based on an annual rate of 1.00%, .50% and .60% of the average daily net
assets of the Henderson, Balanced, and Small Cap Portfolios, respectively. The
annual rates of the fees paid by the Investment Manager to the Sub-advisors of
each Portfolio were reduced for Portfolio net assets in excess of specified
levels.
The Investment Manager has agreed to reimburse each Portfolio for the amount, if
any, by which the total operating and management expenses (after fee waivers and
expense reimbursements) of the Portfolio for any fiscal year exceed the most
restrictive state blue sky expense limitation in effect from time to time, to
the extent required by such limitation. The Investment Management Agreement with
each Portfolio also provides that the Investment Manager will reimburse the
Portfolio to prevent its expenses from exceeding a specific percentage limit.
During the year ended December 31, 1996, the Investment Manager reimbursed Money
Market for expenses pursuant to those provisions.
The Trust has entered into an agreement with American Skandia Life Assurance
Corporation ("ASLAC") pursuant to which it pays ASLAC a shareholder servicing
fee at an annual rate of .10% of each Portfolio's average daily net assets.
Certain officers and/or Trustees of the Trust are also officers and/or directors
of the Investment Manager. During the year ended December 31, 1996, the Trust
made no direct payments to its officers or interested Trustees.
3. PURCHASES AND SALES OF SECURITIES
The cost of securities purchased and proceeds from securities sold, excluding
short-term obligations, during the year ended December 31, 1996 were ($ in
thousands): $432,812 and $370,749 for Putnam International, $379,695 and
$155,746 for Lord Abbett, $742,468 and $467,531 for JanCap, $94,268 and $90,156
for Federated, $744,181 and $634,180 for Putnam Balanced, $163,459 and $54,732
for High Yield, $75,595 and $24,930 for Asset Allocation, $1,580,935 and
$1,282,195 for PIMCO, $271,082 and $135,460 for INVESCO, $180,472 and $85,656
for Founders, $206,324 and $32,392 for T. Rowe, $194,274 and $151,373 for
International Bond, $195,711 and $121,117 for Berger, $160,182 and $90,198 for
Passport, $78,088 and $11,188 for Natural Resources, $542,165 and $400,931 for
Limited Maturity, and $54,447 and $12,517 for Robertson Stephens.
4. TAX MATTERS
It is the Trust's policy to comply with the requirements of the Internal Revenue
Code pertaining to regulated investment companies and to distribute all of its
taxable income, as well as any net realized gains, to its shareholders.
Therefore, no federal income or excise tax provision has been made. Foreign
taxes have been provided for on dividend and interest income earned on foreign
investments in accordance with the applicable country's tax rates and, to the
extent unrecoverable, are recorded as a reduction of investment income.
Tax Cost of Investments
At December 31, 1996, the net unrealized appreciation or depreciation based on
the cost of investments for
114
<PAGE> 116
- --------------------------------------------------------------------------------
federal income tax purposes was as follows ($ 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........ $ 322,005 $ 28,977 $ (5,101) $ 23,876
Lord Abbett........... 457,800 74,563 (3,805) 70,758
JanCap................ 692,487 184,437 (3,938) 180,499
Money Market.......... 548,206 -- -- --
Federated............. 110,631 13,279 (1,259) 12,020
Putnam Balanced....... 288,453 11,294 (3,696) 7,598
High Yield............ 192,729 10,790 (1,881) 8,909
Asset Allocation...... 107,951 13,406 (1,700) 11,706
PIMCO................. 427,007 5,138 (781) 4,357
INVESCO............... 294,477 45,218 (3,011) 42,207
Founders.............. 190,972 43,161 (5,779) 37,382
T. Rowe............... 338,578 62,816 (17,260) 45,556
International Bond.... 86,891 2,494 (629) 1,865
Berger................ 120,843 16,651 (1,419) 15,232
Passport.............. 111,679 9,522 (4,276) 5,246
Natural Resources..... 88,546 9,797 (2,092) 7,705
Limited Maturity...... 237,630 834 (2,085) (1,251)
Robertson Stephens.... 45,590 3,751 (985) 2,766
</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 $8 for Robertson Stephens.
Reporting of Distributions
The Trust distinguishes between distributions on a tax basis and a financial
reporting basis and requires that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as a return of
capital. Differences in the recognition or classification of income between the
financial statements and tax earnings and profits, which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains. Other financial statement reclassifications, due to permanent differences
between book and tax accounting, had no effect on the net assets or net asset
value per share.
5. WRITTEN OPTION TRANSACTIONS
Written option transactions entered into during the year ended December 31, 1996
are summarized as follows ($ in thousands):
<TABLE>
<CAPTION>
PIMCO LIMITED MATURITY
------------------------ ------------------------
NUMBER NUMBER
PUT OPTIONS OF CONTRACTS PREMIUM OF CONTRACTS PREMIUM
- ---------------------- ------------ ------- ------------ -------
<S> <C> <C> <C> <C>
Balance at beginning
of year.............. 80 $ 32 -- $--
Written............... 1,262 1,014 143 44
Expired............... (80) (32) -- --
Exercised............. (100) (115) -- --
Closing buys.......... (200) (230) -- --
----- ------ ----- -----
Balance at end of
year................. 962 $ 669 143 $44
===== ====== ===== =====
</TABLE>
115
<PAGE> 117
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL BOND
---------------------------------------------
CALL OPTIONS PUT OPTIONS
-------------------- --------------------
PRINCIPAL PRINCIPAL
IN LOCAL IN LOCAL
CURRENCY CURRENCY
(000) PREMIUM (000) PREMIUM
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Balance at beginning of
year:
British Pound.............. 12 $ 13 -- $ --
German Deutschemark........ 23 24 -- --
Italian Lira............... 2 2 -- --
Japanese Yen............... -- -- 13 16
Swedish Kroner............. 13 16 -- --
------ -----
55 16
------ -----
Written:
Australian Dollar.......... -- -- 8 5
British Pound.............. 12 16 -- --
German Deutschemark........ 63 40 50 54
Italian Lira............... 14 10 -- --
Japanese Yen............... -- -- 38 43
Swedish Kroner............. 48 46 10 9
------ -----
112 111
------ -----
Expired:
British Pound.............. (12) (13) -- --
German Deutschemark........ (23) (24) (50) (54)
Italian Lira............... (16) (12) -- --
Japanese Yen............... -- -- (38) (43)
Swedish Kroner............. (27) (30) (10) (9)
------ -----
(79) (106)
------ -----
Closing Buys:
Australian Dollar.......... -- -- (8) (5)
British Pound.............. (12) (16) -- --
German Deutschemark........ (63) (40) -- --
Japanese Yen............... -- -- (13) (16)
Swedish Kroner............. (34) (32) -- --
------ -----
(88) (21)
------ -----
Balance at end of year..... $ -- $ --
====== =====
</TABLE>
At December 31, 1996, PIMCO and Limited Maturity had sufficient cash and/or
securities at least equal to the value of written options.
116
<PAGE> 118
- --------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders,
AMERICAN SKANDIA TRUST:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of AST Putnam International Equity Portfolio
(formerly Seligman Henderson International Equity Portfolio), Lord Abbett Growth
and Income Portfolio, JanCap Growth Portfolio, AST Money Market Portfolio,
Federated Utility Income Portfolio, AST Putnam Balanced Portfolio (formerly AST
Phoenix Balanced Asset 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
(formerly AST Scudder International Bond Portfolio), Berger Capital Growth
Portfolio, Founders Passport Portfolio (formerly Seligman Henderson
International Small Cap Portfolio), T. Rowe Price Natural Resources Portfolio,
PIMCO Limited Maturity Bond Portfolio, and Robertson Stephens Value + Growth
Portfolio of American Skandia Trust ("the Trust") as of December 31, 1996, the
related statements of operations and changes in net assets and the financial
highlights for each of the periods presented. These financial statements and the
financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and the financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1996 by correspondence with the custodians and brokers and where replies
were not received, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial positions of 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, and
Robertson Stephens Value + Growth Portfolio of American Skandia Trust as of
December 31, 1996, the results of their operations, the changes in their net
assets, and the financial highlights for the respective stated periods in
conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Princeton, New Jersey
February 7, 1997
117
