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SunAmerica
Series Trust
SEMIANNUAL REPORT
MAY 31, 1996
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DEAR INVESTOR:
We are pleased to present our semiannual report for the
SunAmerica Series Trust, one of the underlying trusts for the
Polaris Variable Annuity from Anchor National Life Insurance
Company and First SunAmerica Life Insurance Company.
The following is a combined perspective on the U.S. and global
economies over the six-month reporting period from seven of the
money managers who manage portfolios in Polaris (excluding
Wellington Management Company, which manages the portfolios in the
Anchor Series Trust, for which you will receive a complete report
in about one month).
ECONOMIC OVERVIEW -- UNITED STATES
The economic environment over the past six months has been one
of moderate growth and controlled inflation. Expectations of a
slowdown have not been realized. SunAmerica Asset Management Corp.
maintains that the financial markets have been caught by surprise
regarding the strength and resiliency of the U.S. economy. In
particular, employment data has trended toward continued hiring
rather than the downsizing that had been expected.
Early on in the fiscal year, the U.S. Federal Reserve Board
continued its policy of monetary easing initiated last July,
cutting the Federal funds rate (the rate banks charge one another
for overnight borrowing) by 25 basis points in December 1995 and
by another 25 basis points in January 1996, to 5.25%. More
recently, interest rate increases are expected.
According to Provident Investment Counsel, the strength and
stamina of this current trend of economic growth continues to spur
great debate. Provident Investment reports that while recent
statistics have been stronger than expected, growth may begin to
slow by year-end due to the dampening effect of rising interest
rates. In addition, over the past several years, corporate profits
have been growing two to four times faster than the underlying
economy. Economically sensitive companies, having utilized much of
their operating leverage over this time period, may have a
difficult time growing their earnings.
Bond Market
The long end of the treasury yield-curve began the year at just
under 6% and has recently broken the 7% mark. SunAmerica Asset
Management contends that the evolution from manufacturing to
service has had a negative effect on the bond market, with yields
rising across the board. Keep in mind that a strong economy is
detrimental for bonds, partly because it can lead to higher demand
for loans, and hence higher interest rates. Goldman Sachs Asset
Management (GSAM) believes that the primary catalyst for the bond
market sell-off was an unexpected surge in job growth, which the
market feared would promote wage inflation and higher interest
rates. Though inflation fears rattled the bond market during the
latter half of the reporting period, the April Consumer Price
Index was 0.4%, indicating that inflation remained under control.
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Stock Market
Consumer confidence levels remain high and the retail sector,
after languishing over the past couple of years, has shown signs
of life. Despite the difficult winter and a strike at General
Motors, GSAM reports that first quarter growth in real Gross
Domestic Product was an annualized 2.3% reflecting improved demand
from both consumers and businesses. During the latter half of the
reporting period, a wide range of indicators reflected accelerated
growth in the areas of trade, housing sales and starts, factory
orders, automobile sales, and industrial production. Phoenix
Investment Counsel observes that one constant in 1996 has been the
great rewards earned thus far by investors willing to accept
higher levels of risk.
Davis Selected Advisers believes the economy remains favorable
for long-term investors. Corporate profits appear safe from any
immediate threat of economic inflation or recession, and as the
U.S. is now more competitive in world markets, opportunities for
exports and placements of new manufacturing facilities are more
prevalent.
Where Is the U.S. Economy Headed?
GSAM's outlook for the corporate sector is cautiously
optimistic. It believes general fundamentals are reasonably good.
The money manager's outlook for the asset-backed security market
has improved to cautiously optimistic. Spreads in asset-backed
securities have recently widened as the market experienced a wave
of new offerings and several negative credit events. There is a
strong possibility that the Federal Reserve will raise rates this
summer, but SunAmerica Asset Management believes that this economy
will still provide a favorable backdrop for the high-yield market,
in particular.
Phoenix Investment Counsel believes that the pronounced rotation
in the stock market this year will continue. This is a result of
investor sentiment shifting among various sectors in the market,
alternately favoring large and small cap stocks, cyclical and
staples companies, and rewarding growth and value managers in
turn. This rotation indicates an increasing level of uncertainty
among investors over where the next area of growth will
materialize. Phoenix believes that value stocks will emerge as
outperformers as the second half of the year unfolds, as will
pharmaceutical companies, which show accelerating earnings growth
and increased margins.
With almost every measure of economic activity coming in
stronger than expected, GSAM believes that moderate economic
growth appears to be on track for the remainder of 1996.
ECONOMIC OVERVIEW -- GLOBAL MARKETS
Global economic growth has been mixed over the past six months.
According to Alliance Capital Management L.P., Europe has
continued to slip into recession, Japan has emerged from
deflation/depression, and inflation has in general remained in
check globally.
GSAM observes that although global market performance was
positive during the reporting period, returns have been more
subdued than last year's robust gains. U.S. Treasuries recorded
the weakest performance of all the major bond markets, with
Canadian and Australian bonds faring only slightly better.
European markets were
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volatile during the period, but weak economic growth and low
inflation enabled European bonds to generally outperform those of
the dollar bloc countries. Within Europe, some of the higher
yielding European markets (e.g., Spain and Sweden) outperformed
the U.K. and the "core" European markets (e.g., Germany and
Belgium). Japanese government bonds lagged somewhat due to an
accelerating economy and expectations of higher short-term rates.
WHERE ARE THE GLOBAL MARKETS HEADED?
GSAM believes European markets will be supported by fiscal
consolidation and good inflation data, but rallies will be
constrained by stronger growth in core and U.S. economic
performance. Alliance Capital Management believes that the
combination of expanding global liquidity, slow growth, and
conservative monetary policies should set an economic backdrop for
more robust financial markets.
Morgan Stanley Asset Management (MSAM) believes that the
underlying solidity of the U.S. economy is beginning to set the
stage for a worldwide rebound of economic activity in 1997.
Recovery in both Japan and Latin America should be reinforced by
vigorous growth in non-Japan Asia. Growth in Europe, though still
weak, should tip upward with lower interest rates and a
depreciating deutsche mark. MSAM looks for global Gross Domestic
Product to increase by 3.3% in 1996, and 4.0% in 1997. If correct,
1997 will mark the strongest gain in global growth since 1988.
The following is an analysis of each Polaris portfolio in the
SunAmerica Series Trust, as reported by its respective money
manager. The reporting period is from November 30, 1995 to May 31,
1996.
CASH MANAGEMENT PORTFOLIO -- SUNAMERICA ASSET MANAGEMENT CORP.
This portfolio returned 2.48% over the six-month reporting
period. The performance is attributable to both strong security
selection and shorter-than-average maturity management. As yields
increase with the possibility of a rate increase, the money
manager will begin to extend the average maturity from the current
42 days to closer to the Donoghue average of 52 days. SunAmerica
Asset Management will continue to focus on liquidity and quality
in an attempt to provide a competitive total return for the
portfolio.
FIXED INCOME -- GOLDMAN SACHS ASSET MANAGEMENT
This portfolio returned -0.98% for the reporting period,
outperforming its benchmark, the Lehman Aggregate Bond Index,
which returned -1.16% for the same period. GSAM reports that the
portfolio continues to follow a duration-neutral strategy and
seeks to gain incremental value through sector allocation and
security selection rather than taking views on the direction of
interest rates. The portfolio continued to closely match the
benchmark's duration of 4.7 to 4.8 years. By evaluation and
investing in various sectors, the money manager hopes to find
relative value in the inefficiencies that exist in the
marketplace.
IMPORTANT NOTE: As of June 3, 1996, this portfolio has been
renamed the Corporate Bond Portfolio, and has taken on new
management by Federated Investors. Federated
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plans to invest primarily in investment-grade bonds, to help
provide insulation through various economic cycles. The portfolio
may also invest a portion of its assets in high-yield bonds. In
addition, this portfolio will offer broad diversification across
industries such as food and drug retailers, gas, and
conglomerates.
GLOBAL BOND -- GOLDMAN SACHS ASSET MANAGEMENT INTERNATIONAL
(GSAMI)
This portfolio returned 2.48% over the reporting period,
outperforming its benchmark, the Morgan Stanley Global Government
Bond Index (hedged), which returned 1.78% for the same period. In
local currency terms, the Japanese bond market was the best
performer and Ireland was the worst. However, because the U.S.
dollar appreciated against the yen, in U.S. dollar terms the
Japanese bond market actually turned out to be the worst
performer. In Europe, Italy and Spain were the best-performing
markets in local terms. GSAMI reports that within the dollar bloc
countries, the U.S. weighting was reduced in favor of Australia,
but it maintained a long U.S. dollar position relative to both
Europe and Japan.
HIGH-YIELD BOND -- SUN AMERICA ASSET MANAGEMENT CORP.
For the six-month period ended May 31, 1996, this portfolio
returned 5.50%. Sustainable economic growth and moderate inflation
proved advantageous to high-yield bond market performance over the
reporting period. SunAmerica Asset Management's strategy of
reducing the portfolio's exposure to speculative situations and
increasing its overall credit quality resulted in much improved
performance. This renewed emphasis on basic fundamental research
has led to a focus on the healthcare, media, and communications
industries. Given the performance of the economy, the money
manager has also increased the portfolio's weighting in the retail
sector.
WORLDWIDE HIGH INCOME -- MORGAN STANLEY ASSET MANAGEMENT
The money manager continues to believe that emerging market
fixed income bonds offer better value relative to U.S. high yield
bonds. As a result, the portfolio has maintained approximately
64.8% of its weightings in bonds of emerging countries, 25.1% in
U.S. high yield, and 10.1% in cash. This allocation has proved to
be effective as the portfolio, with a return of 10.90%,
outperformed the Lehman Brothers Aggregate Bond Index for the
six-month period ending May 31, 1996. Within the emerging markets,
Morgan Stanley continues to favor Brazil, Argentina, Mexico, and
Venezuela.
BALANCED/PHOENIX INVESTMENT COUNSEL
This portfolio returned 4.15% during the reporting period,
trailing its blended benchmark return of 6.20% (weighted 55% S&P
500/35% Lehman Brothers Aggregate/10% Treasury bills). Phoenix
Investment Counsel reports that while it was correctly
overweighted in the technology and healthcare sectors at the right
points in time, individual stock selection worked against the
portfolio's overall performance. The fixed income portion of the
portfolio outperformed the general bond market, as evidenced by
the Lehman Brothers Aggregate Index return of -1.20% versus the
portfolio's 0.60%. Sector selection in emerging markets, high
yield, and municipals helped by delivering
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strong relative performance. Portfolio asset allocation at May 31,
1996 was approximately 59% stocks, 30% bonds, and 11% cash
reserves.
ASSET ALLOCATION -- GOLDMAN SACHS ASSET MANAGEMENT
For the six months ended May 31, 1996, this portfolio returned
7.27%, as compared to 6.45% by its blended benchmark (60% S&P
500/40% Lehman Brothers Aggregate Bond Index) and 6.73% by the
Lipper Flexible Portfolio Variable Annuities category. Top
holdings in the equity portion of the portfolio include Ford Motor
and Goodyear. The fixed income portion of the portfolio currently
matches the index duration of 4.6 years, with a yield to maturity
of 5.82%. The portfolio weighting as of May 31, 1996 includes 53%
equities and a small cash weighting to reflect GSAM's cautious
outlook towards potentially higher interest rates and high current
valuations in the equity market.
GROWTH-INCOME -- ALLIANCE CAPITAL MANAGEMENT L.P.
This portfolio returned 10.52% during the reporting period; its
strong performance was attributable to positive contributions from
the technology and financial sectors. Outperformers included Chase
Manhattan, Dean Witter, MBNA, Merrill Lynch, Xerox, Hewlett-
Packard, and Intel. Laggards within the consumer services and
healthcare sectors included AT&T, United Healthcare, and Wendy's.
As of May 31, 1996, the ten largest holdings within the portfolio
were AT&T, Exxon, Philip Morris, PepsiCo, Merck, Intel, General
Electric, Monsanto, AlliedSignal, and IBM. The current yield was
1.9%.
ALLIANCE GROWTH -- ALLIANCE CAPITAL MANAGEMENT L.P.
This portfolio achieved a 10.14% return for the six-month
reporting period, exhibiting the power of excellent stock
selection across the technology, consumer services, and financial
sectors. These sectors represented a full 70% of the market value
of the portfolio, and top-performing holdings included Cisco
Systems, Microsoft, Intel, NIKE, Harrahs, Merrill Lynch, Citicorp,
and Chase Manhattan. The largest holdings in the portfolio
included Philip Morris, Intel, Hewlett-Packard, Applied Materials,
United Healthcare, Federal National Mortgage Association (Fannie
Mae), AirTouch Communications, Amgen, PepsiCo, and McDonald's. As
of May 31, 1996, the current yield on the portfolio was 1.1%.
GROWTH/PHOENIX INVESTMENT COUNSEL
This portfolio returned 8.36% for the six months ended May 31,
1996, lagging the 11.8% return of the S&P 500 over the same time
period. Once again, the S&P 500 Index has proven to be a tough
benchmark to beat, further evidenced by its outperformance of the
Lipper Growth Fund Average of 9.5% during the same time frame.
Phoenix Investment Counsel reports that the bulk of the
portfolio's underperformance is mainly attributable to an
overweighting in technology stocks in January and February.
Furthermore, an underweighting in consumer stocks also served as a
performance drag. However, allocations to favored investment
themes, which the manager identifies as "21st Century Medicine,"
"Energy Technology," and "Hybrid Network," contributed the most to
the portfolio's overall return.
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PROVIDENT GROWTH -- PROVIDENT INVESTMENT COUNSEL
This portfolio returned 8.32% during the reporting period, and
continues to have significant exposure in the technology, special
finance, and healthcare sectors. Over the past six months, the
money manager has selectively reduced the portfolio's technology
holdings, but continues to have core holdings in the areas of
networking and computer software. In healthcare, Provident reports
they have increased exposure in drug-related stocks such as Amgen
Inc., Elan PLC, and Lilly (Eli), with the expectation that these
stocks will enjoy superior growth rates over the next several
years. Provident continues to invest in high-growth companies with
superior revenue and earnings growth.
VENTURE VALUE -- DAVIS SELECTED ADVISERS, L.P.
This portfolio returned 8.21% during the reporting period. The
money manager operates the portfolio on a long-term basis, and saw
little economic or market activity over the last six months which
would change the basic investment orientation of the portfolio.
Four themes continue to be emphasized: financial companies with
strong brand names selling at a discount to the market; growth
companies whose stock price volatility creates buying
opportunities; high-quality multinationals poised to benefit from
high-growth economies overseas; and companies with strong cash
flow which are restructuring. Given favorable long-term
demographics, the manager believes that financial companies offer
significant value, as do high-technology companies. The money
manager also favors McDonald's, which is a little more expensive
than the typical stock selection; however, it is a good example of
a well-managed company that generates excess cash flow and
worldwide brand recognition.
GLOBAL EQUITIES -- ALLIANCE CAPITAL MANAGEMENT
This portfolio returned 11.08% during the reporting period, a
result of positive stock selection. Europe yielded strong
contributions from a number of cyclical growth and restructuring
companies, including Usinor Sacuov, Legris, Pechiney, Henkel,
Veba, Bayer, Ciba-Geigy, and Sandoz. Portfolio performance was
negatively impacted by the benchmark weight in Japan and an
underweighting in the Pacific Basin/Asia region. At the regional
level, the portfolio has a 45% weighting in North America, a 27%
weighting in Europe/United Kingdom, a 21% weighting in Japan, and
a 7% weighting in the Pacific Basin. The portfolio's current yield
as of May 31, 1996 was 1.8%.
INTERNATIONAL DIVERSIFIED EQUITIES -- MORGAN STANLEY ASSET
MANAGEMENT
For the six-month period under review, this portfolio solidly
outperformed the MSCI EAFE Index, returning 11.52% relative to an
8.10% gain for the benchmark. MSAM's policy of hedging exposure to
the yen and deutsche mark bloc currencies contributed
significantly to the portfolio's relative outperformance. Country
selection also played an important part, with positions in Italy,
Spain, Hong Kong, Indonesia, and Brazil turning in positive
performance. An underweighting in the U.K. was also a contributing
factor. The single largest country position continues to be Japan,
whose growth appears to be turning the corner with surprisingly
strong Gross Domestic Product reports and a supportive monetary
and fiscal policy.
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As we enter the second half of 1996, it's important to recognize
that the price fluctuations which have characterized this
reporting period are inevitable in the securities markets.
However, as long as you have made investment selections that meet
your overall financial objectives, any temporary market volatility
should merely serve to reinforce your commitment to a long-term
perspective. If you have any concerns or questions about your
investment, we urge you to consult your financial representative
for advice. In the meantime, we appreciate your confidence in
Polaris, and look forward to serving you for years to come.
Sincerely,
Eli Broad
Chairman and Chief Executive Officer
Anchor National Life Insurance Company
July 16, 1996
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All portfolio performance is reported at the underlying trust
level, which includes investment management annual expenses but
does not include charges or fees at the variable annuity level.
Past performance is no guarantee of future results.
Investments in stocks and bonds are subject to risk, including
stock market and interest rate fluctuations. Investments in
non-U.S. stocks and bonds are subject to additional risks,
including currency fluctuations, political and social instability,
differing securities regulations and accounting standards, and
limited public information. High-yield bonds tend to be subject to
greater price swings than higher-rated bonds and, of course,
payment of interest and principal is not assured. Mortgage-backed
securities are subject to prepayment, which can result in
reinvestment of principal at lower yields. Money market
instruments generally offer stability and income, but an
investment in these securities is not guaranteed by the U.S.
government or any other entity.
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SUNAMERICA SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES--81.2% AMOUNT VALUE
<S> <C> <C>
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<CAPTION>
<S> <C> <C>
CERTIFICATES OF DEPOSIT--4.3%
Deutsche Bank AG 5.85% due 4/11/97................................... $ 3,000,000 $ 3,006,372
Industrial Bank of Japan Ltd. 5.44% due 6/14/96...................... 3,000,000 2,999,979
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TOTAL CERTIFICATES OF DEPOSIT (cost $5,999,980)...................... 6,006,351
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CORPORATE SHORT-TERM NOTES--60.9%
American Honda Finance Corp. 5.35% due 6/18/96....................... 4,700,000 4,688,126
Avnet, Inc. 5.31% due 6/04/96........................................ 1,400,000 1,399,380
Bear Stearns Cos., Inc. 5.49% due 6/01/96(1)......................... 2,500,000 2,500,550
Bear Stearns Cos., Inc. 5.68% due 8/01/96(1)......................... 1,000,000 1,002,854
BOT Financial Corp. 5.48% due 7/08/96................................ 3,000,000 2,983,417
Campbell Soup Co. 7.75% due 2/24/97.................................. 1,000,000 1,011,250
Chemical Banking Corp. 4.90% due 7/15/96............................. 1,000,000 993,414
Daewoo International (America) Corp. 5.10% due 6/27/96............... 3,500,000 3,486,776
First Union Corp. 8.13% due 12/15/96................................. 2,300,000 2,332,645
Ford Motor Credit Co. 5.20% due 1/01/97.............................. 1,000,000 998,585
Galicia Funding Corp. 5.27% due 10/07/96............................. 1,000,000 980,148
General Motors Acceptance Corp. 5.00% due 1/27/97.................... 3,000,000 2,986,860
Guinness PLC 5.30% due 7/09/96....................................... 4,000,000 3,977,622
IBM Credit Corp. 15.00% due 6/13/96.................................. 3,000,000 3,008,203
JLUS Funding Corp. 5.38% due 7/19/96................................. 1,700,000 1,688,055
JLUS Funding Corp. 5.38% due 9/04/96................................. 3,000,000 2,957,520
Key Bank of Idaho 5.29% due 6/03/96(1)............................... 2,500,000 2,500,025
Key Bank of Wyoming 5.35% due 6/15/96(1)............................. 1,000,000 998,558
Liberty Mutual Capital 8.50% due 7/08/96............................. 3,000,000 3,008,879
MEPC Finance, Inc. 5.55% due 6/18/96................................. 4,000,000 3,989,517
Merrill Lynch & Co., Inc. 5.25% due 6/19/96.......................... 3,000,000 2,992,537
Mitsubishi Motors Credit of America, Inc. 5.38% due 7/25/96.......... 3,000,000 2,977,423
Morgan Stanley Group, Inc. 5.30% due 7/17/96......................... 3,000,000 2,979,281
Morgan Stanley Group, Inc. 5.31% due 7/31/96......................... 3,000,000 2,973,058
Nationsbank Corp. 7.50% due 2/15/97.................................. 2,000,000 2,019,020
North Finance Ltd. 5.32% due 8/02/96................................. 2,000,000 1,981,345
Philip Morris Cos., Inc. 8.75% due 12/01/96.......................... 1,500,000 1,520,625
PNC Bank N.A., Pittsburgh 5.38% due 6/04/96(1)....................... 1,000,000 999,250
PNC Bank N.A., Pittsburgh 5.38% due 6/15/96(1)....................... 3,000,000 2,999,850
Quebec (Province of) 5.32% due 7/11/96............................... 3,000,000 2,982,678
Sanwa Bank Ltd. 5.40% due 6/24/96.................................... 3,000,000 3,000,038
Sanwa Bank Ltd. 5.40% due 8/09/96.................................... 2,000,000 1,979,467
SRD Finance, Inc. 5.37% due 6/27/96.................................. 2,000,000 1,992,243
Strategic Asset Funding Corp. 5.30% due 7/01/96...................... 1,000,000 995,493
TMI-1 Fuel Corp. 5.30% due 6/07/96................................... 3,000,000 2,997,350
USAA Capital Corp. 5.25% due 6/19/96................................. 2,000,000 1,995,025
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TOTAL CORPORATE SHORT-TERM NOTES (cost $84,893,398).................. 84,877,067
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (continued) AMOUNT VALUE
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<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS -- 11.8%
Federal Home Loan Mortgage Corp. 5.18% due 6/05/96................... $ 5,000,000 $ 4,997,122
Federal Home Loan Mortgage Corp. 5.25% due 6/13/96................... 10,000,000 9,982,500
Federal National Mortgage Association 8.00% due 7/10/96.............. 1,440,000 1,443,624
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TOTAL FEDERAL AGENCY OBLIGATIONS (cost $16,423,246).................. 16,423,246
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MUNICIPAL BONDS--4.2%
Illinois Student Assistance Commission 5.64% due 6/05/96(1).......... 2,000,000 2,000,000
New Hampshire State Industrial Development Authority, Revenue
5.45% due 7/17/96.................................................. 2,000,000 2,000,000
Texas St., General Obligation 5.39% due 6/05/96(1)................... 1,875,000 1,875,000
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TOTAL MUNICIPAL BONDS (cost $5,875,000).............................. 5,875,000
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TOTAL SHORT-TERM SECURITIES (cost $113,191,624)...................... 113,181,664
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<CAPTION>
REPURCHASE AGREEMENT--18.2%
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<S> <C> <C>
REPURCHASE AGREEMENT--18.2%
Joint Repurchase Agreement Account (Note 3)
(cost $25,293,000)................................................. 25,293,000 25,293,000
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TOTAL INVESTMENTS--
(cost $138,484,624) 99.4% 138,474,664
Other assets less liabilities-- 0.6 881,246
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NET ASSETS-- 100.0% $139,355,910
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</TABLE>
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(1) Variable rate security; maturity date reflects next reset date
See Notes to Financial Statements
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SUNAMERICA SERIES TRUST
FIXED INCOME PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES--97.6% AMOUNT VALUE
<S> <C> <C>
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<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--1.5%
Housing--1.5%
News America Holdings, Inc. 7.50% 2000................................. $ 285,000 $ 287,978
News America Holdings, Inc. 9.13% 1999................................. 175,000 185,927
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473,905
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CONSUMER STAPLES--1.0%
Food, Beverage & Tobacco--1.0%
RJR Nabisco, Inc. 8.00% 2001........................................... 75,000 74,057
RJR Nabisco, Inc. 8.63% 2002........................................... 235,000 237,597
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311,654
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ENERGY--4.0%
Energy Services--4.0%
Arkla, Inc. 8.88% 1999................................................. 340,000 353,923
Arkla, Inc. 9.20% 1997................................................. 65,000 67,061
Coastal Corp. 9.75% 2003............................................... 250,000 279,335
Oryx Energy Co. 8.92% 1996............................................. 75,000 75,902
Oryx Energy Co. 9.50% 1999............................................. 240,000 251,724
Tosco Corp. 7.00% 2000................................................. 250,000 246,193
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1,274,138
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FINANCE--15.4%
Banks--7.2%
Auburn Hills Trust 12.00% 2020......................................... 140,000 200,775
BankAmerica Corp. 7.75% 2002........................................... 100,000 102,901
BanPonce Financial Corp. 5.17% 1996.................................... 175,000 174,874
Capital One Bank 8.33% 1997............................................ 575,000 582,538
Continental Bank NA 12.50% 2001........................................ 300,000 365,178
First USA Bank 8.10% 1997.............................................. 250,000 253,515
Security Pacific Corp. 11.50% 2000..................................... 275,000 319,151
Signet Banking Corp. 9.63% 1999........................................ 300,000 318,066
Financial Services--8.2%
Case Equipment Loan Trust 7.30% 2002................................... 182,103 184,388
Chevy Chase Auto Receivables 5.80% 2002................................ 154,138 152,884
Chrysler Financial Corp. 5.71% 1998.................................... 160,000 158,436
Countrywide Funding Corp. 7.73% 2001................................... 50,000 50,740
Countrywide Funding Corp. 8.43% 1999................................... 175,000 181,902
Ford Capital BV 9.50% 2001............................................. 400,000 438,388
Ford Motor Credit Co. 8.38% 2000....................................... 50,000 52,099
General Motors Acceptance Corp. 5.63% 2001............................. 300,000 282,639
General Motors Acceptance Corp. 7.13% 2000............................. 90,000 90,455
General Motors Acceptance Corp. 7.63% 1998............................. 175,000 178,334
Navistar Financial 6.55% 2001.......................................... 208,626 208,887
Premier Auto Trust 4.90% 1998.......................................... 73,518 72,943
Premier Auto Trust 7.90% 1999.......................................... 120,000 122,062
Resolution Funding Corp. zero coupon 2021.............................. 640,000 105,114
Standard Credit Card Master Trust 6.25% 1998........................... 260,000 259,350
Tanger Properties Ltd. 8.75% 2001...................................... 85,000 82,291
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4,937,910
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
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<S> <C> <C>
INDUSTRIAL & COMMERCIAL--2.2%
Aerospace & Military Technology--0.3%
British Aerospace PLC 7.55% 1997*...................................... $ 100,000 $ 100,855
Multi-Industry--1.9%
Tenneco, Inc. 10.00% 1998.............................................. 555,000 590,337
-------------
691,192
-------------
INFORMATION & ENTERTAINMENT--3.1%
Broadcasting & Media--2.7%
Tele-Communications, Inc. 7.00% 1997................................... 200,000 200,870
Tele-Communications, Inc. 9.65% 2003................................... 150,000 158,691
Time Warner, Inc. 7.45% 1998........................................... 290,000 292,398
Time Warner, Inc. 7.98% 2004........................................... 200,000 197,288
Leisure & Tourism--0.4%
Blockbuster Entertainment Corp. 6.63% 1998............................. 130,000 128,985
-------------
978,232
-------------
INFORMATION TECHNOLOGY--4.2%
Communication Equipment--2.2%
Cablevision Industries Corp. 10.75% 2002............................... 670,000 721,925
Computers & Business Equipment--1.5%
Comdisco, Inc. 7.33% 1997.............................................. 200,000 201,674
Comdisco, Inc. 9.75% 1997.............................................. 275,000 280,858
Telecommunications--0.5%
360 Communications Co. 7.13% 2003...................................... 160,000 151,635
-------------
1,356,092
-------------
NON-U.S. GOVERNMENT OBLIGATIONS--2.2%
Foreign Government--2.2%
Quebec Province Canada 13.25% 2014..................................... 290,000 352,054
Republic of Colombia 9.25% 2000(1)..................................... 230,000 235,612
State of Israel 6.38% 2005............................................. 145,000 133,530
-------------
721,196
-------------
REAL ESTATE--0.4%
Real Estate Investment Trusts--0.4%
Chelsea GCA Realty, Inc. 7.75% 2001.................................... 150,000 145,098
-------------
U.S. GOVERNMENT & AGENCIES--63.1%
U.S. Government & Agencies--63.1%
Federal Home Loan Mortgage Corp. 6.83% 2002............................ 150,000 146,204
Federal Home Loan Mortgage Corp. 7.50% TBA............................. 1,000,000 980,000
Federal Home Loan Mortgage Corp. 8.20% 1998............................ 110,000 111,718
Federal National Mortgage Association 6.50% 2026....................... 2,007,964 1,860,499
Federal National Mortgage Association 7.00% TBA........................ 1,250,000 1,191,788
Federal National Mortgage Association 8.00% TBA........................ 1,000,000 1,001,560
Federal National Mortgage Association 8.50% 2005....................... 750,000 778,313
Government National Mortgage Association 7.00% 2023.................... 250,825 239,721
Government National Mortgage Association 7.00% 2023.................... 757,846 724,296
Government National Mortgage Association 7.50% TBA..................... 1,000,000 977,810
Government National Mortgage Association 8.00% TBA..................... 3,000,000 3,005,610
United States Treasury Bonds 8.50% 2020................................ 370,000 424,634
United States Treasury Bonds 8.75% 2017................................ 90,000 105,117
United States Treasury Bonds 13.75% 2004............................... 720,000 1,027,577
United States Treasury Bonds Strip zero coupon 2004.................... 2,410,000 1,351,504
United States Treasury Bonds Strip zero coupon 2020.................... 6,640,000 1,184,244
United States Treasury Bonds Strip zero coupon 2020.................... 430,000 75,310
</TABLE>
---------------------
11
<PAGE> 13
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (continued)
United States Treasury Notes 5.63% 1997................................ $2,560,000 $ 2,544,794
United States Treasury Notes 6.88% 1999................................ 2,100,000 2,121,987
United States Treasury Notes 7.25% 2004................................ 320,000 328,000
-------------
20,180,686
-------------
UTILITIES--0.5%
Electric Utilities--0.5%
Central Maine Power Co. 7.45% 1999..................................... 155,000 150,313
-------------
TOTAL INVESTMENT SECURITIES (cost $31,608,054)......................... 31,220,416
-------------
<CAPTION>
REPURCHASE AGREEMENTS--23.6%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--23.6%
Agreement with Nomura Securities International, Inc., bearing interest
of 5.30% dated 5/31/96, to be repurchased 6/03/96 in the amount of
$5,002,208 and collateralized by $4,935,000 U.S. Treasury Notes 8.50%
due 4/15/97.......................................................... 5,000,000 5,000,000
Agreement with State Street Bank & Trust Co., bearing interest of 5.23%
dated 5/31/96, to be repurchased 6/03/96 in the amount of $2,531,103
and collateralized by $2,815,000 U.S. Treasury Bonds 6.25% due
8/15/23.............................................................. 2,530,000 2,530,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $7,530,000).......................... 7,530,000
-------------
TOTAL INVESTMENTS--
(cost $39,138,054) 121.2% 38,750,416
Liabilities in excess of other assets-- (21.2) (6,772,095)
------ -------------
NET ASSETS-- 100.0% $31,978,321
====== =============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
(1) Fair valued security; see Note 2
TBA-- Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity date.
The actual principal amount and maturity date will be
determined upon settlement.
See Notes to Financial Statements
- ---------------------
12
<PAGE> 14
- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL BOND PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
FOREIGN BONDS & NOTES--60.6% LOCAL CURRENCY) VALUE
<S> <C> <C>
--------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
AUSTRALIA--4.9%
Commonwealth of Australia 7.50% 2005............................... 700,000 $ 513,047
Commonwealth of Australia 10.00% 2006.............................. 2,800,000 2,398,604
-----------
2,911,651
-----------
BELGIUM--2.2%
Kingdom of Belgium 6.50% 2005...................................... 42,000,000 1,334,196
-----------
DENMARK--2.4%
Kingdom of Denmark 9.00% 2000...................................... 7,500,000 1,412,049
-----------
FRANCE--1.6%
Government of France 8.50% 2000.................................... 4,500,000 966,767
-----------
GERMANY--11.6%
Republic of Germany 6.25% 2006..................................... 3,000,000 1,934,273
Republic of Germany 6.75% 2004..................................... 4,000,000 2,701,442
Republic of Germany 7.13% 2002..................................... 1,200,000 837,326
Republic of Germany 8.75% 2000..................................... 2,000,000 1,485,059
-----------
6,958,100
-----------
IRELAND--2.7%
Republic of Ireland 8.00% 2000..................................... 1,000,000 1,649,722
-----------
ITALY--4.6%
Republic of Italy 10.50% 2000...................................... 4,000,000,000 2,740,081
-----------
JAPAN--3.7%
International Bank for Reconstruction & Development 6.75% 2001..... 150,000,000 1,668,750
Japan Development Bank 6.50% 2001.................................. 50,000,000 553,820
-----------
2,222,570
-----------
SPAIN--6.9%
Government of Spain 10.00% 2005.................................... 200,000,000 1,636,358
Government of Spain 10.30% 2002.................................... 300,000,000 2,500,703
-----------
4,137,061
-----------
SWEDEN--7.9%
Kingdom of Sweden 10.25% 2003...................................... 16,000,000 2,642,907
Kingdom of Sweden 13.00% 2001...................................... 11,500,000 2,079,733
-----------
4,722,640
-----------
UNITED KINGDOM--12.1%
United Kingdom Treasury 8.50% 2005................................. 1,700,000 2,701,941
United Kingdom Treasury 9.00% 2000................................. 2,800,000 4,558,732
-----------
7,260,673
-----------
TOTAL FOREIGN BONDS & NOTES (cost $36,521,454)..................... 36,315,510
-----------
</TABLE>
---------------------
13
<PAGE> 15
<TABLE>
<CAPTION>
<S> <C> <C>
PRINCIPAL
U.S. GOVERNMENT & AGENCIES--23.5% AMOUNT VALUE
<CAPTION>
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT--23.5%
United States Treasury Notes 5.25% 2001............................ $ 3,000,000 $ 2,843,910
United States Treasury Notes 6.38% 2001............................ 2,000,000 1,977,180
United States Treasury Notes 6.50% 2005............................ 3,000,000 2,922,180
United States Treasury Notes 6.88% 1999............................ 1,500,000 1,515,705
United States Treasury Notes 7.88% 2004............................ 4,500,000 4,788,990
-----------
TOTAL U.S. GOVERNMENT & AGENCIES (cost $14,073,841)................ 14,047,965
-----------
TOTAL INVESTMENT SECURITIES (cost $50,595,295)..................... 50,363,475
<CAPTION>
-----------
<S> <C> <C>
<CAPTION>
SHORT-TERM SECURITIES--16.4%
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT--16.4%
Cayman Island Time Deposit with State Street Bank & Trust Co.
5.06% due 6/03/96 (cost $9,833,000).............................. 9,833,000 9,833,000
-----------
TOTAL INVESTMENTS--
(cost $60,428,295) 100.5% 60,196,475
Liabilities in excess of other assets-- (0.5) (318,690)
------ -----------
NET ASSETS-- 100.0% $ 59,877,785
====== ===========
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<CAPTION>
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
BEF 39,084,478 USD 1,313,632 06/05/96 $ 66,928
*CAD 3,622,085 USD 2,690,000 07/18/96 45,370
*CAD 3,287,745 USD 2,413,275 08/12/96 12,775
DKK 8,258,878 USD 1,422,718 07/22/96 18,042
ESP 208,845,324 USD 1,661,591 07/16/96 42,954
ESP 345,432,559 USD 2,700,855 07/16/96 23,612
FRF 1,680,030 USD 328,773 07/23/96 3,034
FRF 3,540,514 USD 697,226 07/23/96 10,761
JPY 582,007,720 USD 5,435,768 07/17/96 11,094
*USD 346,419 DEM 533,520 06/04/96 31,080
*USD 1,297,344 DEM 1,950,660 06/04/96 82,873
*USD 1,787,201 DEM 2,725,375 06/04/96 141,175
*USD 2,840,000 DEM 4,256,322 06/04/96 171,620
*USD 10,316,677 DEM 15,835,068 06/04/96 887,644
*USD 2,620,332 CAD 3,622,085 07/18/96 24,298
*USD 3,626,853 DKK 21,125,333 07/22/96 200,893
*USD 2,391,368 CAD 3,287,725 08/12/96 9,132
-----------
1,783,285
-----------
</TABLE>
- ---------------------
14
<PAGE> 16
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS (continued)
---------------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AUD 667,030 USD 524,926 07/30/96 $ (5,564)
AUD 3,077,676 USD 2,443,675 07/30/96 (4,005)
BEF 8,190,000 DEM 398,521 09/09/96 (85)
BEF 11,890,000 DEM 582,515 09/09/96 (404)
BEF 79,681,869 DEM 3,862,801 09/09/96 (10,366)
*DEM 533,520 USD 362,685 06/04/96 (14,815)
*DEM 1,950,660 USD 1,326,050 06/04/96 (54,166)
*DEM 2,725,375 USD 1,852,698 06/04/96 (75,678)
*DEM 4,256,322 USD 2,893,430 06/04/96 (118,189)
*DEM 4,438,211 USD 2,966,005 06/04/96 (174,313)
*DEM 11,396,857 USD 7,747,535 06/04/96 (316,469)
DEM 15,970,000 USD 10,459,956 09/04/96 (64,556)
DKK 426,000 USD 72,028 07/22/96 (427)
*DKK 935,333 USD 161,125 07/22/96 (8,349)
*DKK 20,190,000 USD 3,491,871 07/22/96 (166,400)
ESP 16,260,000 USD 125,560 07/16/96 (462)
GBP 1,026,161 USD 1,554,839 08/14/96 (33,557)
GBP 1,067,016 USD 1,613,328 08/14/96 (38,307)
GBP 2,676,687 USD 4,098,008 08/14/96 (45,240)
IEP 1,073,478 USD 1,672,693 07/01/96 (32,959)
ITL 4,219,708,400 USD 2,659,257 07/15/96 (61,637)
SEK 491,000 USD 71,847 08/07/96 (1,123)
SEK 32,870,000 USD 4,839,232 08/07/96 (45,722)
------------
(1,272,793)
------------
Net Unrealized Appreciation................. $ 510,492
============
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting open forward foreign currency contracts that do not
have additional market risk but have continued counterparty
settlement risk.
<TABLE>
<S> <C> <C>
AUD--Australian Dollar ESP--Spanish Peseta ITL--Italian Lira
BEF--Belgian Franc FRF--French Franc JPY--Japanese Yen
CAD--Canadian Dollar GBP--Pound Sterling SEK--Swedish Krona
DEM--Deutsche Mark IEP--Irish Punt USD--United States Dollar
DKK--Danish Kroner
</TABLE>
See Notes to Financial Statements
---------------------
15
<PAGE> 17
- ---------------------
SUNAMERICA SERIES TRUST
HIGH-YIELD BOND PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES--94.8% AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--6.9%
Retail--6.9%
County Seat Stores, Inc. 12.00% 2002................................... $1,000,000 $ 890,000
Finlay Fine Jewelry Corp. 10.63% 2003.................................. 1,000,000 1,010,000
Hills Stores Co. 12.50% 2003*.......................................... 1,000,000 1,021,875
Specialty Retailers, Inc. 10.00% 2000.................................. 2,000,000 2,000,000
Thrifty PayLess Holdings, Inc. 12.25% 2004............................. 1,300,000 1,452,750
------------
6,374,625
------------
CONSUMER STAPLES--8.9%
Food Retail--5.7%
Grand Union Co. 12.00% 2004............................................ 1,000,000 940,000
Kash 'N Karry Food Stores, Inc. 11.50% 2003............................ 2,258,200 2,269,491
Smiths Food & Drug Centers, Inc. 11.25% 2007........................... 2,000,000 2,026,250
Food, Beverage & Tobacco--1.0%
Specialty Foods Corp. 11.13% 2002...................................... 1,000,000 907,500
Household Products--2.2%
Simmons Co. 10.75% 2006*............................................... 1,000,000 998,750
Twin Laboratories, Inc. 10.25% 2006*................................... 1,000,000 1,012,500
------------
8,154,491
------------
ENERGY--0.5%
Energy Services--0.5%
DeepTech International, Inc. 12.00% 2000............................... 500,000 497,500
------------
FINANCE--1.7%
Financial Services--1.7%
Homeside, Inc. 11.25% 2003*............................................ 1,000,000 1,011,875
Olympic Financial Ltd. 13.00% 2000..................................... 500,000 542,500
------------
1,554,375
------------
HEALTHCARE--14.2%
Health Services--11.3%
Abbey Healthcare Group, Inc. 9.50% 2002................................ 2,000,000 2,060,000
OrNda Healthcorp. 12.25% 2002.......................................... 2,000,000 2,165,000
Quorum Health Group, Inc. 8.75% 2005................................... 2,000,000 1,940,000
Tenet Healthcare Corp. 8.63% 2003...................................... 2,000,000 2,030,000
Tenet Healthcare Corp. 10.13% 2005..................................... 2,000,000 2,120,000
Medical Products--2.9%
Amerisource Distribution Corp. 11.25% 2005............................. 1,028,125 1,151,500
Dade International, Inc. 11.13% 2006................................... 500,000 515,625
Ivac Corp. 9.25% 2002.................................................. 1,000,000 1,000,625
------------
12,982,750
------------
INDUSTRIAL & COMMERCIAL--4.6%
Business Services--2.4%
Katz Corp. 12.75% 2002................................................. 1,000,000 1,111,875
Williamhouse Regency, Inc. 13.00% 2005*................................ 1,000,000 1,137,500
</TABLE>
- ---------------------
16
<PAGE> 18
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Multi-Industry--2.2%
International Semi-Tech Microelectronic, Inc. zero coupon 2003(2)...... $2,000,000 $ 1,170,000
J.B. Poindexter & Co. 12.50% 2004(1)................................... 1,000,000 830,000
------------
4,249,375
------------
INFORMATION & ENTERTAINMENT--37.5%
Broadcasting & Media--9.3%
Hollinger International Publishing, Inc. 9.25% 2006.................... 1,000,000 935,000
NWCG Holding Corp. zero coupon 1999.................................... 3,000,000 2,178,750
Park Broadcasting, Inc. 11.75% 2004*................................... 1,500,000 1,511,250
SFX Broadcasting, Inc. 10.75% 2006*.................................... 2,000,000 1,990,000
Sinclair Broadcast Group, Inc. 10.00% 2005............................. 2,000,000 1,935,000
Cable--13.8%
Bell Cablemedia PLC zero coupon 2005(2)................................ 1,750,000 1,102,500
Century Communications Corp. 11.88% 2003............................... 2,000,000 2,135,000
Comcast UK Cable Partners Ltd. zero coupon 2007(2)..................... 1,000,000 595,000
Diamond Cable Communications PLC zero coupon 2005(2)................... 1,000,000 602,500
Echostar Communications Corp. zero coupon 2004(2)...................... 1,000,000 755,000
Echostar Satellite Broadcasting Corp. zero coupon 2004(2).............. 1,250,000 831,250
International CableTel, Inc. zero coupon 2005(2)....................... 1,000,000 655,000
International CableTel, Inc. zero coupon 2006*(2)...................... 1,000,000 590,000
Simmons Cable Co.(1)(4)................................................ 2,000,000 1,340,000
Telewest PLC zero coupon 2007(2)....................................... 1,875,000 1,115,625
UIH Australia/Pacific, Inc. zero coupon 2006*(2)....................... 1,500,000 787,500
United International Holdings, Inc. zero coupon 1999................... 2,250,000 1,465,312
Videotron Holdings PLC zero coupon 2005(2)............................. 1,000,000 670,000
Gaming--11.2%
Bally's Park Place Funding, Inc. 9.25% 2004............................ 1,000,000 1,007,500
GNF Corp. 10.63% 2003.................................................. 1,000,000 1,017,500
Grand Casino, Inc. 10.13% 2003......................................... 1,000,000 1,025,000
Harvey Casino Resorts 10.63% 2006...................................... 1,000,000 1,005,000
Showboat, Inc. 13.00% 2009............................................. 1,000,000 1,145,000
Station Casinos, Inc. 10.13% 2006...................................... 1,000,000 980,000
Trump Atlantic City Associates 11.25% 2006............................. 2,000,000 2,015,000
Trump Castle Funding, Inc. 11.75% 2003................................. 2,000,000 2,005,000
Leisure & Tourism--3.2%
AMF Group, Inc. 10.88% 2006*........................................... 1,000,000 995,000
HMH Properties, Inc. 9.50% 2005........................................ 2,000,000 1,935,000
------------
34,324,687
------------
INFORMATION TECHNOLOGY--13.5%
Cellular--6.1%
Cellular Communications International, Inc. zero coupon 2000(3)........ 2,000,000 1,220,000
Comcast Cellular Corp. zero coupon 2000................................ 1,500,000 1,042,500
Intercel, Inc. zero coupon 2006(2)..................................... 1,000,000 557,500
Pricecellular Wireless Corp. zero coupon 2003(2)....................... 1,000,000 785,000
Western Wireless Corp. 10.50% 2006..................................... 2,000,000 2,011,250
Paging--2.8%
Paging Network, Inc. 11.75% 2002....................................... 1,000,000 1,087,500
Pronet, Inc. 10.88% 2006............................................... 1,500,000 1,501,875
Telecommunications--4.6%
Hyperion Telecommunications, Inc. zero coupon 2003*(2)(3).............. 2,500,000 1,407,813
MFS Communications, Inc. zero coupon 2006(2)........................... 1,000,000 612,500
PanAmSat, L.P. zero coupon 2003(2)..................................... 2,500,000 2,143,750
------------
12,369,688
------------
</TABLE>
---------------------
17
<PAGE> 19
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS--5.9%
Chemicals--2.3%
Agriculture Minerals & Chemicals, Inc. 10.75% 2003..................... $1,000,000 $ 1,070,000
LaRoche Industries, Inc. 13.00% 2004................................... 1,000,000 1,075,000
Forest Products--1.2%
Stone Container Corp. 11.88% 1998...................................... 1,000,000 1,045,000
Metals & Minerals--2.4%
Renco Metals, Inc. 12.00% 2000......................................... 2,000,000 2,222,500
------------
5,412,500
------------
UTILITIES--1.1%
Electric Utilities--1.1%
El Paso Electric Co. 8.90% 2006........................................ 1,000,000 997,500
------------
TOTAL BONDS & NOTES (cost $86,219,023)................................. 86,917,491
------------
<CAPTION>
COMMON STOCK--0.3% SHARES
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY--0.1%
Retail--0.1%
Thrifty Payless Holdings, Inc.+........................................ 5,700 81,938
------------
CONSUMER STAPLES--0.0%
Food Retail--0.0%
Smittys Supermarkets, Inc. Class B..................................... 500 4,125
------------
INFORMATION & ENTERTAINMENT--0.2%
Cable--0.2%
Echostar Communications Corp.+......................................... 4,500 155,250
Gaming--0.0%
Capital Gaming International, Inc.+.................................... 40,000 10,000
------------
165,250
------------
TOTAL COMMON STOCK (cost $304,800)..................................... 251,313
------------
<CAPTION>
PREFERRED STOCK--2.3%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT--1.1%
Broadcasting & Media--1.1%
Time Warner, Inc. Series K*............................................ 1,000 991,250
------------
MATERIALS--1.2%
Forest Products--1.2%
SDW Holdings Corp.*(1)................................................. 37,000 1,091,500
------------
TOTAL PREFERRED STOCK (cost $1,950,530)................................ 2,082,750
------------
<CAPTION>
WARRANTS--0.1%+
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES--0.0%
Household Products--0.0%
Chattem, Inc. ......................................................... 1,000 2,938
------------
</TABLE>
- ---------------------
18
<PAGE> 20
<TABLE>
<CAPTION>
WARRANTS (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
INFORMATION & ENTERTAINMENT--0.0%
Cable--0.0%
United International Holdings, Inc. ................................... 1,750 $ 4,287
Gaming--0.0%
Casino Magic Finance Corp. ............................................ 6,000 2,655
Fitzgerald Gaming Corp.*(1)............................................ 2,000 20,000
------------
26,942
------------
MATERIALS--0.1%
Forest Products--0.1%
SDW Holdings Corp.*(1)................................................. 3,700 48,100
------------
TOTAL WARRANTS (cost $54,983).......................................... 77,980
------------
TOTAL INVESTMENT SECURITIES (cost $88,529,336)......................... 89,329,534
------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT--2.8% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--2.8%
Joint Repurchase Agreement Account (Note 3)
(cost $2,536,000).................................................... $2,536,000 2,536,000
------------
TOTAL INVESTMENTS--
(cost $91,065,336) 100.3% 91,865,534
Liabilities in excess of other assets-- (0.3) (229,531)
------ ------------
NET ASSETS-- 100.0% $91,636,003
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Fair valued security; see Note 2
(2) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(3) Consists of more than one class of securities traded together
as a unit; generally bonds with attached stocks or warrants
(4) Principal and interest payments for this security are governed
by terms set forth in an override agreement dated December 31,
1995
See Notes to Financial Statements
---------------------
19
<PAGE> 21
- ---------------------
SUNAMERICA SERIES TRUST
WORLDWIDE HIGH INCOME
PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES--86.3% AMOUNT VALUE
<S> <C> <C>
--------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--6.7%
Apparel & Textiles--0.4%
Westpoint Stevens, Inc. 9.38% 2005............................... $ 150,000 $ 145,500
Housing--3.6%
Companhia Brasileira de Petroleo Ipiranga 12.50% 1997............ 800,000 818,000
Companhia Brasileira de Petroleo Ipiranga 12.50% 1997*(1)........ 500,000 511,250
Retail--2.7%
Lojas Americanas SA 11.00% 2004.................................. 1,000,000 972,500
------------
2,447,250
------------
CONSUMER STAPLES--9.1%
Food Retail--0.3%
Big V Supermarkets, Inc. 11.00% 2004............................. 35,000 32,200
Smiths Food & Drug Centers, Inc. 11.25% 2007..................... 85,000 86,169
Food, Beverage & Tobacco--8.4%
Empresas La Moderna SA de CV 10.25% 1997......................... 1,000,000 1,014,375
Empresas La Moderna SA de CV 11.38% 1999*........................ 2,000,000 2,040,000
RJR Nabisco, Inc. 8.75% 2005..................................... 40,000 39,491
Household Products--0.4%
Revlon Worldwide Corp. zero coupon 1998.......................... 160,000 131,200
------------
3,343,435
------------
ENERGY--0.2%
Energy Sources--0.2%
Nuevo Energy Co. 9.50% 2006...................................... 70,000 69,300
------------
FINANCE--10.7%
Banks--5.3%
Banamex Pagare 14.52% 1997....................................... MXN 6,446,250 589,780
Banco de Galicia Y Buenos Aires 9.00% 2003....................... 1,500,000 1,354,688
Financial Services--4.9%
ALPS Series 96-1 12.75% 2006(1).................................. 150,000 148,500
APP International Finance Co. BV 11.75% 2005..................... 100,000 102,500
Dillon Read Structured Finance 6.66% 2010........................ 92,565 63,655
Homeside, Inc. 11.25% 2003*...................................... 40,000 40,500
Russia Federation Ministry Finance 3.00% 2003*(1)................ 3,500,000 1,435,000
Insurance--0.5%
Home Holdings, Inc. 8.63% 2003................................... 110,000 81,950
Reliance Group Holdings, Inc. 9.00% 2000......................... 115,000 114,425
------------
3,930,998
------------
INDUSTRIAL & COMMERCIAL--5.8%
Aerospace & Military Technology--0.3%
Jet Equipment Trust 11.79% 2013*(1).............................. 100,000 110,552
Business Services--1.4%
Norcal Waste Systems, Inc. 12.50% 2005*(2)....................... 500,000 522,500
</TABLE>
- ---------------------
20
<PAGE> 22
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (continued)
Multi-Industry--2.8%
G-I Holdings, Inc. zero coupon 1998.............................. $ 115,000 $ 92,288
Iochpe Maxion SA 12.38% 2002..................................... 500,000 465,000
Iochpe Maxion SA 12.38% 2002*(1)................................. 500,000 465,000
Transportation--1.3%
Southland Corp. 5.00% 2003....................................... 575,000 454,250
---------------
2,109,590
---------------
INFORMATION & ENTERTAINMENT--6.4%
Broadcasting & Media--1.3%
Marvel Parent Holdings, Inc. zero coupon 1998.................... 150,000 117,000
Tele-Communications, Inc. 9.88% 2022............................. 85,000 90,308
Viacom, Inc. 8.00% 2006.......................................... 300,000 275,737
Cable--2.0%
Cablevision Systems Corp. 9.88% 2006............................. 165,000 163,350
Continental Cablevision, Inc. 9.50% 2013......................... 200,000 214,500
Echostar Satellite Broadcasting Corp. zero coupon 2004*(3)....... 200,000 131,000
Marcus Cable Co. L.P. zero coupon 2005(3)........................ 165,000 103,950
Telewest PLC zero coupon 2007(3)................................. 210,000 124,950
Gaming--1.3%
Station Casinos, Inc. 9.63% 2003................................. 400,000 387,000
Trump Atlantic City Associates 11.25% 2006....................... 95,000 95,713
Leisure & Tourism--1.8%
La Quinta Inns, Inc. 9.25% 2003.................................. 50,000 52,000
Six Flags Theme Parks, Inc. zero coupon 2005(3).................. 675,000 580,500
---------------
2,336,008
---------------
INFORMATION TECHNOLOGY--3.6%
Cellular--0.2%
Comcast Cellular Corp. zero coupon 2000.......................... 110,000 76,863
Computers & Business Equipment--0.4%
Unisys Corp. 12.00% 2003*........................................ 130,000 133,900
Telecommunications--3.0%
Brooks Fiber Properties zero coupon 2006*(3)..................... 250,000 140,000
Dial Callable Communications, Inc. zero coupon 2004(3)........... 1,000,000 652,500
Lenfest Communications, Inc. 8.38% 2005.......................... 200,000 185,000
MFS Communications, Inc. zero coupon 2006(3)..................... 205,000 125,562
---------------
1,313,825
---------------
MATERIALS--5.9%
Forest Products--3.4%
Crown Paper Co. 11.00% 2005...................................... 120,000 113,400
Florida Coast Paper LLC 12.75% 2003*............................. 100,000 102,000
Gaylord Container Corp. 11.50% 2001.............................. 40,000 41,000
Gaylord Container Corp. 12.75% 2005.............................. 40,000 42,100
Owens-Illinois, Inc. 9.75% 2004.................................. 500,000 508,750
Riverwood International Corp. 10.25% 2006........................ 70,000 69,825
S.D. Warren Co. 12.00% 2004...................................... 85,000 89,250
Stone Container Corp. 10.75% 2002................................ 200,000 202,000
TLC Beatrice International Holdings, Inc. 11.50% 2005............ 70,000 71,400
Metals & Minerals--2.5%
Algoma Steel, Inc. 12.38% 2005................................... 500,000 500,625
Sheffield Steel Corp. 12.00% 2001(4)............................. 500,000 442,500
---------------
2,182,850
---------------
</TABLE>
---------------------
21
<PAGE> 23
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS--33.1%
Foreign Government--33.1%
Federative Republic of Brazil 8.00% 2014(2)(5)................... $ 6,765,187 $ 4,059,112
Republic of Argentina 8.38% 2003................................. 500,000 430,000
Republic of Argentina Bocon zero coupon 2002(1)(2)............... ARS 1,500,000 1,125,450
Republic of Ecuador 3.00% 2015(2)................................ 5,206,350 2,238,731
Republic of Ecuador 3.00% 2015(2)................................ 1,041,270 447,746
Republic of Ecuador 6.06% 2025(2)................................ 1,400,000 785,750
Republic of South Africa 9.00% 2002.............................. ZAR 400,000 66,160
Republic of South Africa 9.50% 2007.............................. ZAR 300,000 44,692
Republic of South Africa 11.50% 2000............................. ZAR 500,000 100,574
Republic of South Africa 12.00% 2005............................. ZAR 1,380,000 255,655
Republic of South Africa 12.50% 2002............................. ZAR 1,160,000 231,502
Republic of South Africa 13.00% 2010............................. ZAR 1,240,000 231,242
Republic of Venezuela 6.38% 2007(2).............................. 3,000,000 2,115,000
---------------
12,131,614
---------------
UTILITIES--4.8%
Electric Utilities--0.2%
Midland Cogeneration 10.33% 2002................................. 41,537 43,562
Midland Funding Corp. 11.75% 2005................................ 40,000 41,500
Gas & Pipeline Utilities--4.3%
Bridas Corp. 12.50% 1999......................................... 1,500,000 1,566,563
Telephone--0.3%
Occidente Y Caribe Celular SA zero coupon 2004*(3)(4)............ 225,000 117,958
---------------
1,769,583
---------------
TOTAL BONDS & NOTES (cost $30,996,306)........................... 31,634,453
---------------
<CAPTION>
PREFERRED STOCK--0.5% SHARES
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT--0.5%
Broadcasting & Media--0.5%
Time Warner, Inc. Series K*(1) (cost $166,472)................... 165 162,525
---------------
TOTAL INVESTMENT SECURITIES (cost $31,162,778)................... 31,796,978
---------------
<CAPTION>
PRINCIPAL
AMOUNT
(DENOMINATED IN
SHORT-TERM SECURITIES--3.1% LOCAL CURRENCY)
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOREIGN SHORT-TERM NOTES--3.1%
Republic of Turkey T-Bill due 7/10/96............................ 36,000,000,000 439,442
Republic of Turkey T-Bill due 6/19/96............................ 57,330,000,000 718,270
---------------
TOTAL SHORT-TERM SECURITIES (cost $1,326,342).................... 1,157,712
---------------
</TABLE>
- ---------------------
22
<PAGE> 24
<TABLE>
<CAPTION>
<S> <C> <C>
PRINCIPAL
REPURCHASE AGREEMENT--11.9% AMOUNT VALUE
<CAPTION>
--------------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--11.9%
Agreement with State Street Bank & Trust Co., bearing interest of
4.00% dated 5/31/96 to be repurchased 6/03/96 in the amount of
$4,351,450 and collateralized by $3,755,000 U.S. Treasury Bonds
8.50% due 2/15/20 (cost $4,350,000)............................ $ 4,350,000 $ 4,350,000
---------------
TOTAL INVESTMENTS--
(cost $36,839,120) 101.8% 37,304,690
Liabilities in excess of other assets-- (1.8) (664,409)
------ ---------------
NET ASSETS-- 100.0% $ 36,640,281
====== =============
</TABLE>
-----------------------------
* Resale restricted to qualified institutional buyers
(1) Fair valued security; see Note 2
(2) Variable rate security; rate as of May 31, 1996
(3) Represents a zero coupon bond which will convert to an
interest-bearing security at a later date
(4) Consists of more than one class of securities traded together
as a unit; generally bonds with attached stocks or warrants
(5) A portion of the coupon interest is received in cash and a
portion is capitalized in the principal of the security
ARS Argentine Peso
MXN Mexican Peso
ZAR South African Rand
Allocation of net assets by country as of May 31, 1996:
<TABLE>
<S> <C>
United States 37.0%
Brazil 17.2
Argentina 12.2
Mexico 10.0
Ecuador 9.5
Venezuela 5.8
Russia 3.9
Turkey 3.1
South Africa 2.5
United Kingdom 0.3
Netherlands 0.3
</TABLE>
See Notes to Financial Statements
---------------------
23
<PAGE> 25
- ---------------------
SUNAMERICA SERIES TRUST
BALANCED/PHOENIX INVESTMENT
COUNSEL PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--59.3% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--5.2%
Apparel & Textiles--2.0%
Melville Corp. ....................................................... 10,000 $ 406,250
NIKE, Inc. ........................................................... 6,000 602,250
Retail--3.2%
AutoZone, Inc.+....................................................... 3,400 119,425
Federated Department Stores, Inc.+.................................... 15,000 519,375
PetSmart, Inc.+....................................................... 6,600 293,700
Staples, Inc.+........................................................ 20,000 400,000
TJX Cos., Inc. ....................................................... 10,000 352,500
------------
2,693,500
------------
CONSUMER STAPLES--5.0%
Food, Beverage & Tobacco--3.5%
McDonald's Corp. ..................................................... 10,000 481,250
Northland Cranberries, Inc. .......................................... 12,500 350,000
PepsiCo, Inc. ........................................................ 15,000 498,750
Philip Morris Cos., Inc. ............................................. 5,000 496,875
Household Products--1.5%
Gillette Co. ......................................................... 4,500 266,062
Procter & Gamble Co. ................................................. 6,000 527,250
------------
2,620,187
------------
ENERGY--6.5%
Energy Services--2.9%
Baker Hughes, Inc. ................................................... 16,600 520,825
Halliburton Co. ...................................................... 7,500 417,188
Schlumberger Ltd. .................................................... 7,000 583,625
Energy Sources--3.6%
Anadarko Petroleum Corp. ............................................. 3,000 161,250
Apache Corp. ......................................................... 5,000 143,125
Enron Corp. .......................................................... 3,600 144,000
Enron Oil & Gas Co. .................................................. 10,000 252,500
ENSCO International, Inc.+............................................ 12,500 379,687
Fluor Corp. .......................................................... 7,000 456,750
Sonat Offshore Drilling, Inc. ........................................ 6,250 331,250
------------
3,390,200
------------
FINANCE--5.8%
Banks--2.1%
Citicorp.............................................................. 6,700 562,800
NationsBank Corp. .................................................... 6,300 511,088
Financial Services--2.6%
Donaldson Lufkin & Jenrette, Inc. .................................... 2,500 79,687
Federal National Mortgage Association................................. 5,000 154,375
First Data Corp. ..................................................... 7,800 622,050
Travelers Group, Inc. ................................................ 12,300 510,450
</TABLE>
- ---------------------
24
<PAGE> 26
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance--1.1%
American International Group, Inc. ................................... 4,000 $ 377,000
MGIC Investment Corp. ................................................ 3,500 205,625
------------
3,023,075
------------
HEALTHCARE--6.6%
Drugs--1.6%
Alza Corp.+........................................................... 4,000 114,000
American Home Products Corp. ......................................... 9,000 481,500
Manor Care, Inc. ..................................................... 7,000 273,000
Health Services--1.1%
HEALTHSOUTH Corp.+.................................................... 3,500 122,500
Oxford Health Plans, Inc.+............................................ 9,600 453,600
Medical Products--3.9%
Genzyme Corp.+........................................................ 5,000 291,250
Guidant Corp. ........................................................ 10,500 609,000
Johnson & Johnson Co. ................................................ 5,000 486,875
Medtronic, Inc. ...................................................... 11,200 630,000
------------
3,461,725
------------
INDUSTRIAL & COMMERCIAL--8.3%
Aerospace & Military Technology--3.1%
AlliedSignal, Inc. ................................................... 8,000 438,000
Boeing Co. ........................................................... 6,000 511,500
Lockheed Martin Corp. ................................................ 3,000 251,625
United Technologies Corp. ............................................ 4,000 437,500
Business Services--1.4%
Manpower, Inc. ....................................................... 13,000 500,500
WMX Technologies, Inc. ............................................... 7,000 246,750
Electrical Equipment--1.0%
General Electric Co. ................................................. 6,000 496,500
Machinery--0.9%
Dover Corp. .......................................................... 10,100 479,750
Transportation--1.9%
AMR Corp.+............................................................ 6,000 566,250
Delta Air Lines, Inc. ................................................ 2,000 165,750
Tidewater, Inc. ...................................................... 6,000 247,500
------------
4,341,625
------------
INFORMATION & ENTERTAINMENT--2.1%
Broadcasting & Media--0.8%
Knight-Ridder, Inc. .................................................. 1,000 74,750
Tele-Communications TCI Group, Series A+.............................. 6,500 122,688
Viacom, Inc., Class B+................................................ 4,500 190,687
Leisure & Tourism--1.3%
Disney (Walt) Co. .................................................... 4,100 249,075
HFS, Inc.+............................................................ 3,300 205,837
Marriott International, Inc. ......................................... 5,000 237,500
------------
1,080,537
------------
INFORMATION TECHNOLOGY--15.7%
Computers & Business Equipment--5.9%
Ascend Communications, Inc.+.......................................... 3,400 227,375
HBO & Co. ............................................................ 4,800 599,400
Hewlett-Packard Co. .................................................. 6,700 715,225
</TABLE>
---------------------
25
<PAGE> 27
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Computers & Business Equipment (continued)
Sun Microsystems, Inc.+............................................... 8,900 $ 557,362
U.S. Robotics Corp.+.................................................. 4,900 449,575
Xerox Corp. .......................................................... 3,300 519,338
Electronics--2.0%
Intel Corp. .......................................................... 5,000 377,500
Linear Technology Corp. .............................................. 4,000 138,000
Newbridge Networks Corp.+............................................. 7,200 512,100
Software--7.8%
Cisco Systems, Inc.+.................................................. 16,400 897,900
Computer Associates International, Inc. .............................. 6,500 472,875
Intuit, Inc.+......................................................... 6,500 338,000
Microsoft Corp.+...................................................... 8,400 997,500
Netscape Communications Corp.+........................................ 6,700 456,019
Open Market, Inc.+.................................................... 10,000 317,500
Oracle Systems Corp.+................................................. 18,000 596,250
------------
8,171,919
------------
MATERIALS--1.8%
Chemicals--1.5%
Monsanto Co. ......................................................... 3,000 455,625
Raychem Corp. ........................................................ 4,500 336,375
Forest Products--0.3%
Alco Standard Corp. .................................................. 1,500 162,375
------------
954,375
------------
REAL ESTATE--0.5%
Real Estate Companies--0.5%
Green Tree Financial Corp. ........................................... 7,700 252,175
------------
UTILITIES--1.8%
Electric Utilities--0.3%
Teco Energy, Inc. .................................................... 7,000 165,375
Gas & Pipeline Utilities--0.4%
Consolidated Natural Gas Co. ......................................... 2,100 101,588
Sonat, Inc. .......................................................... 2,200 93,225
Telephone--1.1%
AT&T Corp. ........................................................... 9,600 598,800
------------
958,988
------------
TOTAL COMMON STOCK (cost $28,691,110)................................. 30,948,306
------------
<CAPTION>
PRINCIPAL
BONDS & NOTES--30.3% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE--5.6%
Financial Services--5.6%
Airplane Pass Through Trust 10.88% 2019(1)............................ $ 100,000 104,000
CS First Boston Mortgage Securities Corp. CMO 7.18% 2027(1)........... 300,810 287,179
DLJ Mortgage Acceptance Corp. 7.58% 2027(1)........................... 100,000 99,500
GE Capital Mortgage Services, Inc. 7.25% 2026(1)...................... 300,000 280,219
Merrill Lynch Mortgage Investors, Inc. 7.42% 2026..................... 100,000 97,121
Nationslink Funding Corp. CMO 7.69% 2005(1)........................... 250,000 247,500
Residential Funding Mortgage Securities 6.75% 2011(1)................. 298,138 283,883
Residential Funding Mortgage Securities 7.10% 2026(1)................. 200,000 184,875
Residential Funding Mortgage Securities 7.25% 2026.................... 299,799 279,843
</TABLE>
- ---------------------
26
<PAGE> 28
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
FINANCE (continued)
Financial Services (continued)
Resolution Trust Corp. 6.80% 2027..................................... $ 196,614 $ 184,403
Sandoz Capital BVI Ltd. 2.00% 2002*................................... 350,000 358,750
Structured Asset Securities Corp. 6.53% 2028(1)....................... 100,000 94,375
Structured Asset Securities Corp. 7.00% 2026(1)....................... 300,000 284,156
Structured Asset Securities Corp. 7.38% 2024.......................... 140,000 135,089
------------
2,920,893
------------
INDUSTRIAL & COMMERCIAL--1.0%
Business Services--0.4%
ADT Operations, Inc. zero coupon 2010................................. 400,000 222,000
Transportation--0.6%
Delta Air Lines, Inc. 3.23% 2003...................................... 300,000 321,750
------------
543,750
------------
MUNICIPAL BONDS--1.4%
Municipal Bonds--1.4%
Kern County California Pension Obligation 7.26% 2014.................. 50,000 46,929
Long Beach California Pension Obligation 6.87% 2006................... 30,000 28,680
Miami Beach Florida Special Obligation 8.60% 2021..................... 100,000 104,452
Michigan Public Power Agency Revenue 5.25% 2018....................... 55,000 49,980
Newport News Virginia 7.05% 2025...................................... 250,000 224,937
San Bernardino County California Financing Authority 6.87% 2008....... 15,000 14,172
San Bernardino County California Financing Authority 6.94% 2009....... 35,000 32,983
South Carolina State Public Service Authority 5.00% 2025.............. 40,000 34,271
University Miami Florida Exchange Revenue 7.65% 2020.................. 185,000 175,867
Ventura County California Pension 6.54% 2005.......................... 30,000 28,192
------------
740,463
------------
NON-U.S. GOVERNMENT OBLIGATIONS--2.5%
Foreign Government--2.5%
Federative Republic of Brazil 5.00% 2024.............................. 250,000 131,875
Federative Republic of Brazil 6.50% 2024.............................. 200,000 136,250
Republic of Argentina 5.25% 2023...................................... 250,000 134,375
Republic of Argentina 6.56% 2023...................................... 200,000 137,500
Republic of Colombia 9.00% 1997....................................... 300,000 304,928
Republic of the Philippines 6.25% 2017................................ 280,000 224,350
United Mexican States 6.55% 2019...................................... 300,000 235,500
------------
1,304,778
------------
REAL ESTATE--0.5%
Real Estate Companies--0.5%
Green Tree Financial Corp. 7.40% 2026(1).............................. 125,000 122,754
Green Tree Financial Corp. 7.60% 2027................................. 125,000 120,967
------------
243,721
------------
U.S. GOVERNMENT & AGENCIES--19.3%
U.S. Government & Agencies--19.3%
Government National Mortgage Association 6.50% 2023................... 284,693 262,806
Government National Mortgage Association 6.50% 2026................... 343,096 316,719
United States Treasury Bonds 6.00% 2026............................... 80,000 70,113
United States Treasury Bonds 7.63% 2025............................... 150,000 159,164
United States Treasury Notes 5.13% 1998............................... 600,000 588,936
United States Treasury Notes 5.75% 2000............................... 350,000 338,460
United States Treasury Notes 6.25% 2000............................... 350,000 345,898
United States Treasury Notes 6.50% 2005............................... 1,450,000 1,414,881
United States Treasury Notes 6.75% 1997............................... 650,000 654,875
United States Treasury Notes 6.75% 2000............................... 1,200,000 1,207,128
United States Treasury Notes 6.88% 2000............................... 450,000 454,428
</TABLE>
---------------------
27
<PAGE> 29
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (continued)
United States Treasury Notes 6.88% 2006............................... $2,125,000 $ 2,128,315
United States Treasury Notes 7.13% 2000............................... 150,000 152,695
United States Treasury Notes 7.25% 1996............................... 250,000 252,030
United States Treasury Notes 7.50% 1996............................... 200,000 202,188
United States Treasury Notes 7.50% 2005............................... 850,000 884,799
United States Treasury Notes 7.88% 2004............................... 600,000 638,532
------------
10,071,967
------------
TOTAL BONDS & NOTES (cost $15,912,966)................................ 15,825,572
------------
TOTAL INVESTMENT SECURITIES (cost $44,604,076)........................ 46,773,878
------------
<CAPTION>
SHORT-TERM SECURITIES--9.3%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES--5.4%
du Pont (E.I.) de Nemours & Co. 5.25% due 6/13/96..................... 480,000 479,160
First Deposit Master Trust 5.33% due 7/18/96.......................... 585,000 581,019
General Electric Capital Corp. 5.32% due 6/25/96...................... 500,000 498,227
Merrill Lynch & Co., Inc. 5.27% due 6/04/96........................... 1,260,000 1,259,447
------------
2,817,853
------------
FEDERAL AGENCY OBLIGATIONS--3.5%
Federal Home Loan Bank Discount Notes 5.35% due 6/03/96............... 1,820,000 1,819,459
------------
U.S. GOVERNMENT--0.4%
United States Treasury Bills 4.86% due 2/06/97........................ 210,000 202,284
------------
TOTAL SHORT-TERM SECURITIES (cost $4,840,134)......................... 4,839,596
------------
TOTAL INVESTMENTS--
(cost $49,444,210) 98.9% 51,613,474
Other assets less liabilities-- 1.1% 578,743
------- ------------
NET ASSETS-- 100.0% $ 52,192,217
======= ============
</TABLE>
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Fair valued security; see Note 2
CMO--Collateralized Mortgage Obligation
See Notes to Financial Statements
- ---------------------
28
<PAGE> 30
- ---------------------
SUNAMERICA SERIES TRUST
ASSET ALLOCATION PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--53.1% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--8.3%
Apparel & Textiles--0.2%
Fruit Of The Loom, Inc., Class A+.................................... 17,300 $ 467,100
Automotive--3.4%
Auto Desk, Inc. ..................................................... 11,000 382,250
Ford Motor Co. ...................................................... 112,100 4,091,650
Goodyear Tire & Rubber Co. .......................................... 83,600 4,221,800
Housing--1.5%
Centex Corp. ........................................................ 51,600 1,554,450
Lennar Corp. ........................................................ 87,300 2,171,588
Retail--3.2%
Fleming Cos., Inc. .................................................. 78,800 1,231,250
Penney (J.C.), Inc. ................................................. 65,000 3,371,875
Sears, Roebuck & Co. ................................................ 69,100 3,515,462
------------
21,007,425
------------
CONSUMER STAPLES--6.2%
Food, Beverage & Tobacco--5.7%
Anheuser-Busch Cos., Inc. ........................................... 34,300 2,443,875
Chiquita Brands International, Inc. ................................. 196,900 2,633,537
Philip Morris Cos., Inc. ............................................ 48,500 4,819,687
RJR Nabisco Holdings Corp. .......................................... 64,140 2,124,638
Supervalu, Inc. ..................................................... 78,200 2,424,200
Household Products--0.5%
Sunbeam Corp. ....................................................... 82,000 1,168,500
------------
15,614,437
------------
ENERGY--5.8%
Energy Services--4.2%
Ashland, Inc. ....................................................... 45,800 1,957,950
CMS Energy Corp. .................................................... 43,500 1,250,625
Mobil Corp. ......................................................... 11,900 1,343,212
Texaco, Inc. ........................................................ 41,400 3,467,250
Tosco Corp. ......................................................... 51,600 2,554,200
Energy Sources--1.6%
Atlantic Richfield Co. .............................................. 35,100 4,198,838
------------
14,772,075
------------
FINANCE--9.9%
Banks--3.8%
BankAmerica Corp. ................................................... 37,000 2,784,250
NationsBank Corp. ................................................... 50,500 4,096,812
Republic New York Corp. ............................................. 20,500 1,296,625
Standard Federal Bancorp............................................. 35,900 1,413,563
Financial Services--2.0%
Greenpoint Financial Corp. .......................................... 67,100 1,996,225
Lehman Brothers Holdings, Inc. ...................................... 65,000 1,592,500
Travelers Group, Inc. ............................................... 34,950 1,450,425
</TABLE>
---------------------
29
<PAGE> 31
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Insurance--4.1%
Allstate Corp. ...................................................... 32,300 $ 1,364,675
CIGNA Corp. ......................................................... 32,600 3,744,925
Integon Corp. ....................................................... 15,100 285,012
Lincoln National Corp. .............................................. 54,100 2,542,700
Partner Residential Holding Corp. ................................... 81,000 2,430,000
------------
24,997,712
------------
HEALTHCARE--2.4%
Health Services--1.7%
Columbia/HCA Healthcare Corp. ....................................... 28,900 1,556,988
Tenet Healthcare Corp. .............................................. 128,800 2,769,200
Medical Products--0.7%
Baxter International, Inc. .......................................... 42,700 1,889,475
------------
6,215,663
------------
INDUSTRIAL & COMMERCIAL--6.0%
Aerospace & Military Technology--3.9%
Lear Corp. .......................................................... 60,000 2,317,500
Lockheed Martin Corp. ............................................... 18,700 1,568,463
McDonnell Douglas Corp. ............................................. 35,800 3,615,800
Northrop Grumman Corp. .............................................. 36,500 2,285,812
Machinery--0.2%
Outboard Marine Corp. ............................................... 25,700 497,937
Transportation--1.9%
AMR Corp.+........................................................... 24,000 2,265,000
Consolidated Freightways, Inc.+...................................... 108,800 2,584,000
------------
15,134,512
------------
INFORMATION & ENTERTAINMENT--1.5%
Leisure & Tourism--1.5%
Brunswick Corp. ..................................................... 99,600 2,228,550
Continental Airlines, Inc. .......................................... 27,500 1,564,063
------------
3,792,613
------------
INFORMATION TECHNOLOGY--5.8%
Communication Equipment--1.2%
Lucent Technologies, Inc.+........................................... 80,700 3,066,600
Computers & Business Equipment--2.1%
COMPAQ Computer Corp.+............................................... 72,200 3,510,725
Storage Technology Corp.+............................................ 49,800 1,705,650
Electronics--2.5%
Avnet, Inc. ......................................................... 60,900 3,136,350
Intel Corp. ......................................................... 42,700 3,223,850
------------
14,643,175
------------
MATERIALS--5.4%
Chemicals--0.9%
Geon Co. ............................................................ 81,900 2,221,538
Forest Products--4.2%
Georgia-Pacific Corp. ............................................... 45,200 3,265,700
Owens Illinois, Inc. ................................................ 194,900 3,167,125
Stone Container Corp.+............................................... 179,800 2,786,900
Universal Corp. ..................................................... 59,300 1,504,737
</TABLE>
- ---------------------
30
<PAGE> 32
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (continued)
Metals & Minerals--0.3%
AK Steel Holding Corp.+.............................................. 17,600 $ 761,200
------------
13,707,200
------------
UTILITIES--1.8%
Electric Utilities--1.8%
Entergy Corp. ....................................................... 31,600 829,500
Long Island Lighting Co. ............................................ 212,700 3,642,488
------------
4,471,988
------------
TOTAL COMMON STOCK (cost $111,675,264)............................... 134,356,800
------------
<CAPTION>
PREFERRED STOCK--0.1%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT--0.1%
Broadcasting & Media--0.1%
Time Warner, Inc. Series K* (cost $241,800).......................... 240 237,150
------------
<CAPTION>
PRINCIPAL
BONDS & NOTES--38.4% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY--0.7%
Housing--0.5%
News America Holdings, Inc. 7.50% 2000............................... $ 1,340,000 1,354,003
Retail--0.2%
Federated Department Stores, Inc. 8.13% 2002......................... 210,000 205,800
Federated Department Stores, Inc. 10.00% 2001........................ 210,000 223,125
------------
1,782,928
------------
CONSUMER STAPLES--0.5%
Food, Beverage & Tobacco--0.5%
Panamerican Beverages, Inc. 8.13% 2003............................... 270,000 265,942
RJR Nabisco, Inc. 8.00% 2001......................................... 280,000 276,480
RJR Nabisco, Inc. 8.63% 2002......................................... 750,000 758,288
------------
1,300,710
------------
ENERGY--1.6%
Energy Services--1.4%
Arkla, Inc. 8.88% 1999............................................... 675,000 702,641
Arkla, Inc. 9.20% 1997............................................... 250,000 257,930
Coastal Corp. 9.75% 2003............................................. 100,000 111,734
Oryx Energy Co. 8.92% 1996........................................... 200,000 202,404
Oryx Energy Co. 9.50% 1999........................................... 600,000 629,310
Petroleo Brasileiros SA 8.75% 1996(1)................................ 1,050,000 1,054,778
Tosco Corp. 7.00% 2000............................................... 550,000 541,623
YPF Sociedad Anonima 7.50% 2002(1)................................... 102,876 101,847
Energy Sources--0.2%
Empresa Colombiana de Petroleos 7.25% 1998........................... 350,000 349,563
------------
3,951,830
------------
FINANCE--10.9%
Banks--3.1%
Auburn Hills Trust 12.00% 2020....................................... 325,000 466,085
Banco Do Brasil SA 9.50% 1997(1)..................................... 80,000 80,800
Banco Nacional de Comercio Exterior SNC 8.63% 2000................... 50,000 50,719
Banco Nacional de Comercio Exterior SNC 10.55% 1997(2)............... 560,000 578,900
BankAmerica Corp. 9.75% 2000......................................... 400,000 433,304
</TABLE>
---------------------
31
<PAGE> 33
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
FINANCE (continued)
Banks (continued)
BanPonce Financial Corp. 5.17% 1996.................................. $ 400,000 $ 399,712
Capital One Bank 8.33% 1997.......................................... 1,350,000 1,367,698
Capital One Bank 8.63% 1997.......................................... 1,000,000 1,014,040
Continental Bank 11.25% 2001......................................... 300,000 324,819
Continental Bank 12.50% 2001......................................... 450,000 547,767
Corporacion Andina de Fomento 7.25% 1998............................. 330,000 330,206
First USA Bank 6.88% 1996............................................ 350,000 350,955
First USA Bank 8.10% 1997............................................ 400,000 405,624
Security Pacific Corp. 11.50% 2000................................... 600,000 696,330
Signet Banking Corp. 9.63% 1999...................................... 775,000 821,670
Financial Services--7.8%
Airplanes Pass Through Trust 8.15% 2019(1)........................... 195,000 194,086
App International Finance zero coupon 1997........................... 700,000 655,994
App International Finance Co. BV 10.25% 2000......................... 140,000 141,400
Case Equipment Loan Trust 7.30% 2002................................. 523,546 530,116
Chevy Chase Auto Receivables 5.80% 2002.............................. 351,092 348,238
Countrywide Funding Corp. 8.43% 1999................................. 450,000 467,748
Discover Card Master Trust I 5.65% 2005(2)........................... 510,000 511,112
Discover Card Master Trust I 5.78% 2004(2)........................... 300,000 302,154
Discover Card Master Trust I 5.80% 2013(2)........................... 2,790,000 2,799,570
Financiera Energet 6.63% 1996........................................ 600,000 600,750
Financiera Energet 9.00% 1999........................................ 90,000 92,304
Fingerhut Financial Services 6.45% 2002.............................. 920,000 913,670
Ford Capital BV 9.38% 1998........................................... 225,000 234,479
Ford Capital BV 9.50% 2001........................................... 800,000 876,776
Ford Credit Auto Loan Master Trust 6.50% 2002........................ 550,000 539,858
GE Capital Mortgage Services, Inc. 6.50% 2024........................ 637,890 525,060
General Motors Acceptance Corp. 5.63% 2001........................... 750,000 706,598
General Motors Acceptance Corp. 7.63% 1998........................... 585,000 596,144
Household Finance Corp. 7.25% 2006................................... 71,917 72,097
Imexsa Export Trust 10.13% 2003*..................................... 300,000 300,375
Nacional Financiera 5.88% 1998....................................... 850,000 810,688
Nacional Financiera 8.13% 1998....................................... 30,000 29,663
Nacional Financiera 9.00% 1999....................................... 210,000 209,606
Nacional Financiera SNC 8.13% 1998................................... 250,000 247,188
Navistar Financial 6.55% 2001........................................ 408,907 409,419
Premier Auto Trust 4.90% 1998........................................ 220,554 218,829
Premier Auto Trust 7.85% 1998........................................ 1,040,000 1,052,022
Prudential Home Mortgage Securities Co. 6.13% 2008(1)(2)............. 675,648 629,408
Prudential Home Mortgage Securities Co. 6.90% 2024(3)................ 972,460 512,061
Prudential Home Mortgage Securities Co. 7.34% 2008(1)(3)............. 186,433 162,430
Prudential Home Mortgage Securities Co. 9.00% 2008(1)(3)............. 138,878 137,750
Resolution Funding Corp. zero coupon 2021............................ 1,580,000 259,499
Sears Credit Account Master Trust 6.20% 2002......................... 700,000 679,434
Sears Credit Account Master Trust 8.10% 2004......................... 700,000 727,125
Standard Credit Card Master Trust 6.25% 1998......................... 260,000 259,350
Standard Credit Card Master Trust I 7.85% 2002....................... 600,000 618,000
Standard Credit Card Master Trust I 8.25% 2003....................... 1,010,000 1,059,551
Tanger Properties Ltd. 8.75% 2001.................................... 200,000 193,625
------------
27,492,806
------------
HEALTHCARE--0.1%
Health Services--0.1%
Tenet Healthcare Corp. 8.63% 2003.................................... 240,000 243,600
------------
</TABLE>
- ---------------------
32
<PAGE> 34
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
INDUSTRIAL & COMMERCIAL--0.6%
Aerospace & Military Technology--0.1%
British Aerospace PLC 7.55% 1997*.................................... $ 150,000 $ 151,283
Multi-Industry--0.5%
Tenneco, Inc. 10.00% 1998............................................ 1,280,000 1,361,497
------------
1,512,780
------------
INFORMATION & ENTERTAINMENT--1.9%
Broadcasting & Media--1.1%
Grupo Televisa SA de CV 11.38% 2003*................................. 210,000 212,363
Rogers Cablesystems 9.63% 2002....................................... 440,000 438,900
Tele-Communications, Inc. 7.00% 1997................................. 300,000 301,305
Tele-Communications, Inc. 9.65% 2003................................. 375,000 396,728
Time Warner, Inc. 7.95% 2000......................................... 1,145,000 1,165,392
Time Warner, Inc. 9.63% 2002......................................... 200,000 218,996
Leisure & Tourism--0.8%
Blockbuster Entertainment Corp. 6.63% 1998........................... 580,000 575,470
Continental Airlines Pass Through Trust 10.22% 2014*................. 1,600,000 1,584,008
------------
4,893,162
------------
INFORMATION TECHNOLOGY--2.0%
Communication Equipment--0.7%
Cablevision Industries Corp. 10.75% 2002............................. 1,480,000 1,594,700
Computers & Business Equipment--0.9%
Comdisco, Inc. 5.75% 2001............................................ 500,000 474,110
Comdisco, Inc. 9.75% 1997............................................ 1,700,000 1,736,210
Electronics--0.0%
Commision Federal Electric 8.00% 1997................................ 60,000 60,150
Telecommunications--0.4%
360 Communications Co. 7.13% 2003.................................... 375,000 355,395
Telecomunicacoes Brasileiras SA 10.00% 1997.......................... 500,000 511,875
Telecomunicacoes Brasileiras SA 10.00% 1997.......................... 180,000 184,275
------------
4,916,715
------------
MATERIALS--0.2%
Forest Products--0.2%
PT Indah Kiat Pulp & Paper Corp. 8.88% 2000.......................... 390,000 374,888
------------
NON-U.S. GOVERNMENT OBLIGATIONS--1.3%
Foreign Government--1.3%
Government Backed Trust 9.40% 1996................................... 42,115 42,589
Quebec Province Canada 13.25% 2014................................... 625,000 758,737
Republic of Argentina 8.63% 1998(1).................................. 676,400 679,708
Republic of Argentina 8.63% 1998(1).................................. 658,600 661,821
Republic of Argentina 9.25% 2001..................................... 170,000 162,026
Republic of Colombia 9.25% 2000(1)................................... 150,000 153,660
Republic of Columbia 8.00% 2001*..................................... 100,000 99,250
State of Israel 6.38% 2005........................................... 335,000 308,500
United Mexican States 10.81% 1997(2)................................. 390,000 405,844
------------
3,272,135
------------
REAL ESTATE--0.1%
Real Estate Investment Trusts--0.1%
Chelsea GCA Realty, Inc. 7.75% 2001.................................. 350,000 338,562
------------
</TABLE>
---------------------
33
<PAGE> 35
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES--18.1%
U.S. Government & Agencies--18.1%
Federal Home Loan Mortgage Corp. 6.00% 2016.......................... $ 1,473,635 $ 1,415,147
Federal Home Loan Mortgage Corp. 7.50% TBA........................... 4,000,000 3,920,000
Federal Home Loan Mortgage Corp. 8.20% 1998.......................... 310,000 314,842
Federal Home Loan Mortgage Corp. 9.00% 2024.......................... 430,756 447,581
Federal Home Loan Mortgage Corp. 9.00% 2024.......................... 574,243 596,673
Federal National Mortgage Association 6.50% 2026..................... 1,002,928 929,273
Federal National Mortgage Association 7.00% TBA...................... 6,500,000 6,197,295
Federal National Mortgage Association 7.50% TBA...................... 3,000,000 2,999,040
Federal National Mortgage Association 7.70% 2004..................... 440,000 440,272
Federal National Mortgage Association 8.00% TBA...................... 1,000,000 1,001,560
Federal National Mortgage Association 8.50% 2005..................... 1,640,000 1,701,910
Government National Mortgage Association 7.00% 2023.................. 297,107 282,715
Government National Mortgage Association 7.00% 2023.................. 296,150 283,040
Government National Mortgage Association 7.00% 2023.................. 968,692 925,808
Government National Mortgage Association 7.00% 2023.................. 955,281 909,007
Government National Mortgage Association 7.00% 2023.................. 411,742 391,797
Government National Mortgage Association 7.50% TBA................... 3,000,000 2,933,430
Government National Mortgage Association 8.00% TBA................... 4,000,000 4,007,480
Government National Mortgage Association 9.00% TBA................... 1,000,000 1,044,370
United States Treasury Bonds 7.88% 2021.............................. 280,000 301,874
United States Treasury Bonds 8.75% 2017.............................. 1,390,000 1,623,478
United States Treasury Bonds 8.75% 2020.............................. 320,000 376,701
United States Treasury Bonds 13.75% 2004@............................ 200,000 285,438
United States Treasury Bonds Strip zero coupon 2004.................. 8,980,000 5,035,894
United States Treasury Bonds Strip zero coupon 2017.................. 50,000 10,824
United States Treasury Bonds Strip zero coupon 2019.................. 40,000 7,379
United States Treasury Bonds Strip zero coupon 2020.................. 4,300,000 766,905
United States Treasury Bonds Strip zero coupon 2020.................. 1,120,000 196,157
United States Treasury Notes 6.88% 1999.............................. 800,000 808,376
United States Treasury Notes 7.25% 2004.............................. 2,270,000 2,326,750
United States Treasury Notes 7.38% 1997.............................. 1,850,000 1,881,801
United States Treasury Notes 7.75% 1999.............................. 1,350,000 1,400,409
------------
45,763,226
------------
UTILITIES--0.4%
Electric Utilities--0.3%
Central Maine Power Co. 7.45% 1999................................... 885,000 858,237
Gas & Pipeline Utilities--0.1%
Bridas Corp. 10.25% 1998*............................................ 250,000 249,263
------------
1,107,500
------------
TOTAL BONDS & NOTES (cost $98,026,854)............................... 96,950,842
------------
TOTAL INVESTMENT SECURITIES (cost $209,943,918)...................... 231,544,792
------------
<CAPTION>
REPURCHASE AGREEMENT--16.7%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--16.7%
Agreement with State Street Bank & Trust Co., bearing interest of
5.23% dated 5/31/96, to be repurchased 6/03/96 in the amount of
$42,247,405 and collateralized by $46,930,000 U.S. Treasury Bonds
6.25% due 8/15/23@ (cost $42,229,000).............................. 42,229,000 42,229,000
------------
TOTAL INVESTMENTS--
(cost $252,172,918) 108.3% 273,773,792
Liabilities in excess of other assets-- (8.3) (20,968,396)
------ ------------
NET ASSETS-- 100.0% $252,805,396
====== ============
</TABLE>
- ---------------------
34
<PAGE> 36
-----------------------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
(1) Fair valued security; see Note 2
(2) Variable rate security; rate as of May 31, 1996
(3) Inverse floater; rate as of May 31, 1996
TBA-- Securities purchased on a forward commitment basis with an
approximate principal amount and no definitive maturity date.
The actual principal amount and maturity date will be
determined upon settlement date.
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE MAY 31, 1996 DEPRECIATION
-----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
5 Long 90 Day Euro Dollar.................... September 1996 $ 1,177,375 $ (2,032)
5 Long 90 Day Euro Dollar.................... December 1996 1,172,625 (3,157)
5 Long 90 Day Euro Dollar.................... March 1997 1,170,250 (3,407)
5 Long 90 Day Euro Dollar.................... June 1997 1,168,125 (3,532)
4 Long 90 Day Euro Dollar.................... September 1997 933,100 (3,930)
4 Long 90 Day Euro Dollar.................... December 1997 931,600 (4,430)
4 Long 90 Day Euro Dollar.................... June 1998 930,400 (5,325)
13 Long Standard & Poor's 500 Index........... September 1996 4,372,875 (42,043)
10 Long U.S. 2 Year Note...................... June 1996 2,057,656 (41,001)
5 Long U.S. 10 Year Note..................... September 1996 530,313 (5,906)
43 Long U.S. 10 Year Note..................... June 1996 4,646,688 (255,584)
4 Long U.S. Long Bond........................ September 1996 420,125 (525)
--------------
Net Unrealized Depreciation................................................. $ (370,872)
=============
</TABLE>
See Notes to Financial Statements
---------------------
35
<PAGE> 37
- ---------------------
SUNAMERICA SERIES TRUST
GROWTH-INCOME PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--93.9% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--6.3%
Automotive--2.0%
Goodyear Tire & Rubber Co............................................ 47,100 $ 2,378,550
Magna International, Inc. ADR........................................ 45,000 2,171,250
Retail--4.3%
Federated Department Stores, Inc.+................................... 79,700 2,759,613
Lowe's Cos., Inc. ................................................... 74,700 2,558,475
Nordstrom, Inc. ..................................................... 27,200 1,387,200
Pep Boys-Manny, Moe & Jack........................................... 30,100 993,300
Sears, Roebuck & Co. ................................................ 45,000 2,289,375
------------
14,537,763
------------
CONSUMER STAPLES--15.7%
Food, Beverage & Tobacco--11.2%
Campbell Soup Co. ................................................... 54,000 3,483,000
General Mills, Inc. ................................................. 42,500 2,438,437
McDonald's Corp. .................................................... 60,000 2,887,500
PepsiCo, Inc. ....................................................... 188,000 6,251,000
Philip Morris Cos., Inc. ............................................ 70,000 6,956,250
RJR Nabisco Holdings Corp. .......................................... 70,000 2,318,750
Wendy's International, Inc. ......................................... 83,000 1,494,000
Household Products--4.5%
Black & Decker Corp. ................................................ 63,700 2,619,663
Colgate-Palmolive Co. ............................................... 24,000 1,890,000
Gillette Co. ........................................................ 61,700 3,648,012
Newell Co. .......................................................... 75,000 2,250,000
------------
36,236,612
------------
ENERGY--6.0%
Energy Services--3.0%
Exxon Corp. ......................................................... 82,700 7,008,825
Energy Sources--3.0%
Atlantic Richfield Co. .............................................. 24,600 2,942,775
Enron Corp. ......................................................... 98,000 3,920,000
------------
13,871,600
------------
FINANCE--14.7%
Banks--6.6%
Chase Manhattan Corp. ............................................... 35,000 2,450,000
First Chicago Corp. ................................................. 68,052 2,968,769
First Union Corp. ................................................... 45,000 2,750,625
Fleet Financial Group, Inc. ......................................... 58,000 2,559,250
NationsBank Corp. ................................................... 37,500 3,042,187
Republic New York Corp. ............................................. 22,000 1,391,500
</TABLE>
- ---------------------
36
<PAGE> 38
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Financial Services--5.8%
Dean Witter, Discover & Co. ......................................... 45,000 $ 2,666,250
First Data Corp. .................................................... 29,000 2,312,750
MBNA Corp. .......................................................... 52,500 1,607,812
Merrill Lynch & Co., Inc. ........................................... 48,000 3,108,000
Morgan Stanley Group, Inc. .......................................... 34,100 1,687,950
Travelers Group, Inc. ............................................... 48,300 2,004,450
Insurance--2.3%
General Reinsurance Group............................................ 15,900 2,321,400
ITT Corp.+........................................................... 15,600 959,400
PMI Group, Inc. ..................................................... 44,300 1,915,975
------------
33,746,318
------------
HEALTHCARE--11.3%
Drugs--7.4%
Bristol-Myers Squibb Co. ............................................ 44,600 3,807,725
Lilly (Eli) & Co. ................................................... 25,100 1,612,675
Merck & Co., Inc. ................................................... 91,900 5,939,037
Pharmacia & Upjohn, Inc. ............................................ 48,000 1,962,000
Schering-Plough Corp. ............................................... 65,500 3,839,938
Health Services--3.2%
Columbia/HCA Healthcare Corp. ....................................... 76,700 4,132,213
United Healthcare Corp. ............................................. 40,000 2,195,000
Value Health, Inc.+.................................................. 39,000 1,062,750
Medical Products--0.7%
Baxter International, Inc. .......................................... 35,800 1,584,150
------------
26,135,488
------------
INDUSTRIAL & COMMERCIAL--7.5%
Aerospace & Military Technology--2.0%
AlliedSignal, Inc. .................................................. 85,000 4,653,750
Business Services--1.9%
Whitman Corp. ....................................................... 57,200 1,437,150
WMX Technologies, Inc. .............................................. 87,000 3,066,750
Electrical Equipment--2.2%
General Electric Co. ................................................ 61,200 5,064,300
Machinery--0.8%
Applied Materials, Inc.+............................................. 11,800 439,550
Centocor, Inc.+...................................................... 38,800 1,372,550
Transportation--0.6%
Illinois Central Corp. .............................................. 45,000 1,344,375
------------
17,378,425
------------
INFORMATION & ENTERTAINMENT--3.2%
Broadcasting & Media--2.0%
Cox Communications, Inc., Class A+................................... 90,000 2,025,000
Tele-Communications Liberty Media Group +............................ 28,650 859,500
Tele-Communications TCI Group, Series A+............................. 85,000 1,604,375
Leisure & Tourism--1.2%
Carnival Corp. ...................................................... 28,200 838,950
Disney (Walt) Co. ................................................... 33,000 2,004,750
------------
7,332,575
------------
</TABLE>
---------------------
37
<PAGE> 39
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY--14.3%
Communication Equipment--1.4%
AirTouch Communications, Inc.+....................................... 103,000 $ 3,283,125
Computers & Business Equipment--6.0%
COMPAQ Computer Corp.+............................................... 35,400 1,721,325
Hewlett-Packard Co. ................................................. 40,300 4,302,025
International Business Machines Corp. ............................... 42,100 4,494,175
Xerox Corp. ......................................................... 20,600 3,241,925
Electronics--6.9%
Altera Corp.+........................................................ 18,700 904,613
Atmel Corp.+......................................................... 38,700 1,373,850
DSC Communications Corp.+............................................ 34,200 1,030,275
General Instrument Corp.+............................................ 59,900 1,849,412
Intel Corp. ......................................................... 78,000 5,889,000
National Semiconductor Corp.+........................................ 150,000 2,437,500
Nokia Corp. ADR...................................................... 57,200 2,488,200
------------
33,015,425
------------
MATERIALS--6.9%
Chemicals--6.9%
Dow Chemical Co. .................................................... 23,200 1,940,100
Eastman Kodak Co. ................................................... 30,000 2,231,250
Monsanto Co. ........................................................ 32,000 4,860,000
Morton International, Inc. .......................................... 36,000 1,368,000
Rohm & Haas Co. ..................................................... 29,000 1,964,750
Union Carbide Corp. ................................................. 79,000 3,406,875
------------
15,770,975
------------
UTILITIES--8.0%
Electric Utilities--3.7%
FPL Group, Inc. ..................................................... 100,000 4,275,000
Houston Industries, Inc. ............................................ 189,000 4,134,375
Telephone--4.3%
AT&T Corp. .......................................................... 125,000 7,796,875
Century Telephone Enterprises, Inc. ................................. 67,600 2,197,000
------------
18,403,250
------------
TOTAL INVESTMENT SECURITIES (cost $183,586,152)...................... 216,428,431
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES--5.8% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT--5.7%
Cayman Island Time Deposit with State Street Bank & Trust Co.
4.88% due 6/03/96 @................................................ $13,002,000 13,002,000
------------
</TABLE>
- ---------------------
38
<PAGE> 40
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES (continued) AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
U.S. GOVERNMENT--0.1%
United States Treasury Bills 5.00% due 6/27/96 @..................... $ 300,000 $ 298,917
------------
TOTAL SHORT-TERM SECURITIES (cost $13,300,917)....................... 13,300,917
------------
TOTAL INVESTMENTS--
(cost $196,887,069) 99.7% 229,729,348
Other assets less liabilities-- 0.3 705,540
------ ------------
NET ASSETS-- 100.0% $230,434,888
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depositary Receipt
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C>
---------
<CAPTION>
NUMBER OF EXPIRATION VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE MAY 31, 1996 APPRECIATION
---------
<C> <S> <C> <C> <C>
15 Long Standard & Poor's 500 Index...................... June 1996 $5,001,750 $ 66,125
===========
</TABLE>
See Notes to Financial Statements
---------------------
39
<PAGE> 41
- ---------------------
SUNAMERICA SERIES TRUST
ALLIANCE GROWTH PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--95.9% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--4.9%
Apparel & Textiles--1.0%
NIKE, Inc. ........................................................... 24,700 $ 2,479,263
Automotive--0.9%
Ford Motor Co. ....................................................... 28,000 1,022,000
General Motors Corp. ................................................. 19,900 1,096,988
Retail--3.0%
AutoZone, Inc.+....................................................... 77,300 2,715,162
Corning, Inc. ........................................................ 22,000 841,500
Home Depot, Inc.+..................................................... 73,800 3,773,025
-------------
11,927,938
-------------
CONSUMER STAPLES--13.3%
Food, Beverage & Tobacco--11.3%
McDonald's Corp. ..................................................... 151,000 7,266,875
PepsiCo, Inc. ........................................................ 225,800 7,507,850
Philip Morris Cos., Inc. ............................................. 127,100 12,630,562
Household Products--2.0%
Gillette Co. ......................................................... 82,900 4,901,463
-------------
32,306,750
-------------
FINANCE--19.7%
Banks--7.2%
Chase Manhattan Corp. ................................................ 26,104 1,827,280
Citicorp.............................................................. 66,000 5,544,000
First Union Corp. .................................................... 26,300 1,607,588
NationsBank Corp. .................................................... 37,500 3,042,187
Norwest Corp. ........................................................ 160,120 5,584,185
Wells Fargo & Co. .................................................... 1 241
Financial Services--10.2%
Federal National Mortgage Association................................. 294,500 9,092,687
First Data Corp. ..................................................... 57,400 4,577,650
Household International, Inc. ........................................ 14,700 1,017,975
MBNA Corp. ........................................................... 92,500 2,832,813
Merrill Lynch & Co., Inc. ............................................ 95,100 6,157,725
Travelers Group, Inc. ................................................ 24,900 1,033,350
Insurance--2.3%
American International Group, Inc. ................................... 36,700 3,458,975
General Reinsurance Group............................................. 13,900 2,029,400
-------------
47,806,056
-------------
HEALTHCARE--15.9%
Drugs--6.9%
Amgen, Inc.+.......................................................... 127,200 7,568,400
Merck & Co., Inc. .................................................... 76,400 4,937,350
Pfizer, Inc. ......................................................... 58,800 4,160,100
Health Services--5.1%
Columbia/HCA Healthcare Corp. ........................................ 59,100 3,184,013
United Healthcare Corp. .............................................. 168,500 9,246,437
</TABLE>
- ---------------------
40
<PAGE> 42
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Medical Products--3.9%
Baxter International, Inc. ........................................... 140,200 $ 6,203,850
Johnson & Johnson Co. ................................................ 32,400 3,154,950
-------------
38,455,100
-------------
INDUSTRIAL & COMMERCIAL--9.1%
Electrical Equipment--0.8%
General Electric Co. ................................................. 23,200 1,919,800
Machinery--5.8%
Applied Materials, Inc.+.............................................. 249,400 9,290,150
Case Corp. ........................................................... 56,500 2,832,062
Deere & Co. .......................................................... 45,000 1,873,125
Transportation--2.5%
Burlington Northern Santa Fe.......................................... 20,400 1,728,900
UAL Corp. ............................................................ 78,600 4,490,025
-------------
22,134,062
-------------
INFORMATION & ENTERTAINMENT--10.2%
Broadcasting & Media--2.5%
Cox Communications, Inc., Class A+.................................... 120,100 2,702,250
Tele-Communications Liberty Media Group +............................. 49,725 1,491,750
Tele-Communications TCI Group, Series A+.............................. 95,000 1,793,125
Leisure & Tourism--7.7%
Carnival Corp. ....................................................... 50,900 1,514,275
Delta Air Lines, Inc. ................................................ 16,900 1,400,587
Disney (Walt) Co. .................................................... 111,512 6,774,354
Harrah's Entertainment, Inc. +........................................ 40,600 1,365,175
KLM Royal Dutch Airlines ADR.......................................... 55,100 1,956,050
Northwest Airlines Corp.+............................................. 141,900 5,640,525
-------------
24,638,091
-------------
INFORMATION TECHNOLOGY--18.8%
Communication Equipment--4.2%
AirTouch Communications, Inc.+........................................ 260,400 8,300,250
Ericsson (L.M.) Telephone Co., Class B ADR............................ 83,000 1,914,187
Computers & Business Equipment--6.4%
3Com Corp.+........................................................... 67,700 3,334,225
Hewlett-Packard Co. .................................................. 103,600 11,059,300
Seagate Technology, Inc.+............................................. 18,400 1,081,000
Electronics--2.4%
Altera Corp.+......................................................... 27,000 1,306,125
Intel Corp. .......................................................... 61,400 4,635,700
Software--5.8%
Cisco Systems, Inc.+.................................................. 91,800 5,026,050
Intuit, Inc.+......................................................... 21,900 1,138,800
Microsoft Corp.+...................................................... 44,900 5,331,875
Sterling Software, Inc.+.............................................. 31,800 2,559,900
-------------
45,687,412
-------------
MATERIALS--0.6%
Chemicals--0.6%
Monsanto Co. ......................................................... 10,100 1,533,938
-------------
</TABLE>
---------------------
41
<PAGE> 43
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE--1.9%
Real Estate Companies--1.9%
Green Tree Financial Corp. ........................................... 136,500 $ 4,470,375
-------------
UTILITIES--1.5%
Telephone--1.5%
AT&T Corp. ........................................................... 59,900 3,736,263
-------------
TOTAL COMMON STOCK (cost $208,640,432)................................ 232,695,985
-------------
<CAPTION>
WARRANTS--3.3% +
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY--3.3%
Electronics--3.3%
Intel Corp. (cost $3,321,125)......................................... 211,000 8,070,750
-------------
TOTAL INVESTMENT SECURITIES (cost $211,961,557)....................... 240,766,735
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES--1.5% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT--1.4%
Cayman Island Time Deposit with State Street Bank & Trust Co.
4.50% due 6/03/96 @................................................. $3,507,000 3,507,000
-------------
U.S. GOVERNMENT--0.1%
United States Treasury Bills 4.92% due 6/20/96 @...................... 160,000 159,591
-------------
TOTAL SHORT-TERM SECURITIES (cost $3,666,585)......................... 3,666,591
-------------
TOTAL INVESTMENTS--
(cost $215,628,142) 100.7% 244,433,326
Liabilities in excess of other assets-- (0.7) (1,715,279)
------ -------------
NET ASSETS-- 100.0% $242,718,047
====== ==============
</TABLE>
-----------------------------
+ Non-income producing
ADR--American Depositary Receipt
@ The security or a portion thereof represents collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE MAY 31, 1996 APPRECIATION
----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
12 Long Standard & Poor's 500 Index...................... June 1996 $4,001,700 $153,450
===========
</TABLE>
See Notes to Financial Statements
- ---------------------
42
<PAGE> 44
- ---------------------
SUNAMERICA SERIES TRUST
GROWTH/PHOENIX INVESTMENT
COUNSEL PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--85.8% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--7.3%
Retail--7.3%
Dayton Hudson Corp. .................................................. 27,300 $ 2,784,600
Federated Department Stores, Inc.+.................................... 70,000 2,423,750
Home Depot, Inc....................................................... 50,000 2,556,250
Staples, Inc.+........................................................ 50,000 1,000,000
TJX Cos., Inc. ....................................................... 93,000 3,278,250
------------
12,042,850
------------
CONSUMER STAPLES--1.5%
Food, Beverage & Tobacco--0.2%
Seagram Co., Ltd. .................................................... 8,600 297,775
Household Products--1.3%
Kimberly-Clark Corp. ................................................. 30,000 2,186,250
------------
2,484,025
------------
ENERGY--11.1%
Energy Services--6.9%
Diamond Offshore Drilling, Inc.+...................................... 68,500 3,279,438
Halliburton Co. ...................................................... 45,000 2,503,125
Schlumberger Ltd. .................................................... 30,000 2,501,250
Sonat Offshore Drilling, Inc. ........................................ 28,000 1,484,000
YPF Sociedad Anonima ADR.............................................. 80,000 1,760,000
Energy Sources--4.2%
Burlington Northern Santa Fe.......................................... 13,000 1,101,750
Dresser Industries, Inc. ............................................. 45,000 1,316,250
ENSCO International, Inc.+............................................ 30,000 911,250
Louisiana Land & Exploration Co. ..................................... 67,000 3,609,625
------------
18,466,688
------------
FINANCE--10.5%
Banks--3.6%
Citicorp.............................................................. 40,000 3,360,000
NationsBank Corp. .................................................... 32,000 2,596,000
Financial Services--2.9%
Student Loan Marketing Association.................................... 35,000 2,603,125
Travelers Group, Inc. ................................................ 52,500 2,178,750
Insurance--4.0%
ACE Ltd. ............................................................. 35,000 1,715,000
CIGNA Corp. .......................................................... 26,900 3,090,138
Everest Reinsurance Holdings, Inc. ................................... 82,000 1,916,750
------------
17,459,763
------------
HEALTHCARE--15.1%
Drugs--8.4%
Amgen, Inc.+.......................................................... 40,000 2,380,000
BioChem Pharmaceutical, Inc.+......................................... 20,000 920,000
Biogen, Inc.+......................................................... 36,000 2,178,000
Bristol-Myers Squibb Co. ............................................. 30,000 2,561,250
</TABLE>
---------------------
43
<PAGE> 45
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Drugs (continued)
Elan PLC ADR+......................................................... 25,000 $ 1,568,750
Lilly (Eli) & Co. .................................................... 40,000 2,570,000
Warner-Lambert Co. ................................................... 30,000 1,680,000
Medical Products--6.7%
Baxter International, Inc. ........................................... 60,000 2,655,000
Boston Scientific Corp.+.............................................. 37,000 1,586,375
CardioGenesis Corp.+.................................................. 10,000 172,500
Ergo Science Corp.+................................................... 14,800 301,550
Guidant Corp. ........................................................ 44,500 2,581,000
Johnson & Johnson Co. ................................................ 22,000 2,142,250
United States Surgical Corp. ......................................... 50,000 1,712,500
------------
25,009,175
------------
INDUSTRIAL & COMMERCIAL--8.5%
Aerospace & Military Technology--2.0%
Boeing Co. ........................................................... 20,400 1,739,100
United Technologies Corp. ............................................ 15,000 1,640,625
Business Services--3.2%
CUC International, Inc.+.............................................. 50,000 1,850,000
WMX Technologies, Inc. ............................................... 100,000 3,525,000
Machinery--1.6%
BJ Services Co.+...................................................... 77,000 2,598,750
Transportation--1.7%
Tidewater, Inc. ...................................................... 68,000 2,805,000
------------
14,158,475
------------
INFORMATION & ENTERTAINMENT--3.6%
Broadcasting & Media--2.8%
Grupo Televisa SA GDR................................................. 35,000 1,076,250
News Corp., Ltd. ADR.................................................. 100,000 1,937,500
Time Warner, Inc. .................................................... 42,000 1,695,750
Leisure & Tourism--0.8%
Hilton Hotels Corp. .................................................. 12,400 1,336,100
------------
6,045,600
------------
INFORMATION TECHNOLOGY--21.1%
Communication Equipment--1.3%
Lucent Technologies, Inc.+............................................ 55,000 2,090,000
Computers & Business Equipment--4.4%
Ascend Communications, Inc.+.......................................... 15,000 1,003,125
Boise Cascade Corp. .................................................. 47,000 1,974,000
Storage Technology Corp.+............................................. 88,100 3,017,425
U.S. Robotics Corp.+.................................................. 15,000 1,376,250
Electronics--5.3%
Intel Corp. .......................................................... 25,000 1,887,500
Newbridge Networks Corp.+............................................. 48,000 3,414,000
Perkin-Elmer Corp. ................................................... 55,000 2,915,000
Teradyne, Inc.+....................................................... 26,300 529,287
Software--5.9%
America Online, Inc.+................................................. 30,000 1,695,000
Cisco Systems, Inc.+.................................................. 50,000 2,737,500
Microsoft Corp.+...................................................... 25,000 2,968,750
Sterling Software, Inc.+.............................................. 30,000 2,415,000
</TABLE>
- ---------------------
44
<PAGE> 46
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Telecommunications--4.2%
Frontier Corp. ....................................................... 51,100 $ 1,635,200
MFS Communications, Inc.+............................................. 90,000 3,127,500
Paging Network, Inc.+................................................. 44,900 1,010,250
Winstar Communications, Inc.+......................................... 40,000 1,245,000
------------
35,040,787
------------
MATERIALS--4.2%
Chemicals--4.2%
Monsanto Co. ......................................................... 16,000 2,430,000
Raychem Corp. ........................................................ 60,000 4,485,000
------------
6,915,000
------------
REAL ESTATE--1.9%
Real Estate Companies--1.9%
Cheung Kong Holdings Ltd. ............................................ 150,000 1,109,883
Henderson Land Development............................................ 150,000 1,134,117
New World Development Co., Ltd. ...................................... 180,000 853,786
------------
3,097,786
------------
UTILITIES--1.0%
Telephone--1.0%
U.S. West Media Group+................................................ 90,000 1,698,750
------------
TOTAL INVESTMENT SECURITIES (cost $122,206,645)....................... 142,418,899
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES--12.9% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES--8.2%
AlliedSignal, Inc. 5.32% due 6/11/96.................................. $1,810,000 1,807,325
AT&T Corp. 5.28% due 6/28/96.......................................... 1,000,000 996,040
BellSouth Telecommunications, Inc. 5.28% due 6/12/96.................. 850,000 848,629
Cargill, Inc. 5.24% due 6/06/96....................................... 1,825,000 1,823,672
du Pont (E.I.) de Nemours & Co. 5.25% due 6/13/96..................... 1,055,000 1,053,154
Exxon Imperial U.S., Inc. 5.25% due 6/06/96........................... 2,935,000 2,932,860
Merrill Lynch & Co., Inc. 5.27% due 6/04/96........................... 1,650,000 1,649,275
Receivables Capital Corp. 5.35% due 6/21/96........................... 2,500,000 2,492,569
------------
13,603,524
------------
FEDERAL AGENCY OBLIGATIONS--4.3%
Federal Home Loan Bank Discount Notes 5.19% due 6/12/96............... 580,000 579,080
Federal Home Loan Mortgage Discount Notes 5.30% due 6/03/96........... 6,630,000 6,628,048
------------
7,207,128
------------
U.S. GOVERNMENT--0.4%
United States Treasury Bills 4.86% due 2/06/97........................ 715,000 688,728
------------
TOTAL SHORT-TERM SECURITIES (cost $21,501,521)........................ 21,499,380
------------
TOTAL INVESTMENTS--
(cost $143,708,166) 98.7% 163,918,279
Other assets less liabilities-- 1.3 2,081,460
------ ------------
NET ASSETS-- 100.0% $165,999,739
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depositary Receipt
GDR--Global Depositary Receipt
See Notes to Financial Statements
---------------------
45
<PAGE> 47
- ---------------------
SUNAMERICA SERIES TRUST
PROVIDENT GROWTH
PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--94.5% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--5.1%
Apparel & Textile--1.3%
Gucci Group NV........................................................ 6,600 $ 442,200
Tommy Hilfiger Corp.+................................................. 24,600 1,353,000
Retail--3.8%
AutoZone, Inc.+....................................................... 58,300 2,047,787
Home Depot, Inc.+..................................................... 12,300 628,838
Kohl's Corp.+......................................................... 33,000 1,093,125
Staples, Inc.+........................................................ 69,400 1,388,000
-------------
6,952,950
-------------
CONSUMER STAPLES--2.6%
Food, Beverage & Tobacco--0.7%
McDonald's Corp. ..................................................... 19,300 928,813
Household Products--1.9%
Estee Lauder Cos., Inc., Class A...................................... 7,000 266,000
Gillette Co. ......................................................... 40,500 2,394,562
-------------
3,589,375
-------------
ENERGY--0.8%
Energy Sources--0.8%
Enron Corp. .......................................................... 27,100 1,084,000
-------------
FINANCE--16.0%
Financial Services--13.2%
Federal Home Loan Mortgage Corp. ..................................... 17,000 1,404,625
Federal National Mortgage Association................................. 154,900 4,782,537
FINOVA Group, Inc. ................................................... 2,900 153,700
First Data Corp. ..................................................... 73,225 5,839,694
First USA, Inc. ...................................................... 33,500 1,943,000
MBNA Corp. ........................................................... 111,900 3,426,938
Mercury Finance Co. .................................................. 35,100 438,750
Synovus Financial Corp. .............................................. 6,400 147,200
Insurance--2.8%
American International Group, Inc. ................................... 21,500 2,026,375
MGIC Investment Corp. ................................................ 28,100 1,650,875
PMI Group, Inc. ...................................................... 6,200 268,150
-------------
22,081,844
-------------
HEALTHCARE--20.2%
Drugs--10.0%
Amgen, Inc.+.......................................................... 44,900 2,671,550
Cardinal Health, Inc. ................................................ 19,100 1,220,012
Elan PLC ADR+......................................................... 18,100 1,135,775
Lilly (Eli) & Co. .................................................... 20,500 1,317,125
Merck & Co., Inc. .................................................... 37,200 2,404,050
Pfizer, Inc. ......................................................... 70,900 5,016,175
</TABLE>
- ---------------------
46
<PAGE> 48
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (continued)
Health Services--5.7%
Columbia/HCA Healthcare Corp. ........................................ 14,800 $ 797,350
HEALTHSOUTH Corp.+.................................................... 55,000 1,925,000
Oxford Health Plans, Inc.+............................................ 60,200 2,844,450
United Healthcare Corp. .............................................. 41,900 2,299,263
Medical Products--4.5%
Boston Scientific Corp.+.............................................. 22,800 977,550
Medtronic, Inc. ...................................................... 64,200 3,611,250
Shared Medical Systems, Inc. ......................................... 6,200 414,625
St. Jude Medical, Inc.+............................................... 28,900 1,098,200
-------------
27,732,375
-------------
INDUSTRIAL & COMMERCIAL--5.6%
Business Services--4.1%
AccuStaff, Inc.+...................................................... 23,200 730,800
CUC International, Inc.+.............................................. 47,100 1,742,700
Republic Industries, Inc.+............................................ 33,000 1,716,000
Service Corp. International........................................... 24,400 1,363,350
Machinery--1.1%
American Standard Cos., Inc. ......................................... 14,600 432,525
Tyco International Ltd. .............................................. 28,100 1,109,950
Transportation--0.4%
Fritz Cos., Inc.+..................................................... 16,100 555,450
-------------
7,650,775
-------------
INFORMATION & ENTERTAINMENT--9.1%
Broadcasting & Media--1.9%
British Sky Broadcasting Group PLC ADR................................ 47,800 1,983,700
Viacom, Inc., Class B+................................................ 16,200 686,475
Leisure & Tourism--7.2%
Circus Circus Enterprises, Inc.+...................................... 24,300 1,011,488
Disney (Walt) Co. .................................................... 37,634 2,286,266
HFS, Inc.+............................................................ 68,500 4,272,687
Mirage Resorts, Inc.+................................................. 40,900 2,326,187
-------------
12,566,803
-------------
INFORMATION TECHNOLOGY--33.5%
Communication Equipment--2.7%
Ericsson (L.M.) Telephone Co. ADR..................................... 132,800 3,062,700
Glenayre Technologies, Inc.+.......................................... 12,500 615,625
Computers & Business Equipment--11.3%
3Com Corp.+........................................................... 34,500 1,699,125
Automatic Data Processing, Inc. ...................................... 26,200 1,005,425
Ceridian Corp.+....................................................... 19,400 1,025,775
Computer Sciences Corp.+.............................................. 29,700 2,342,587
Danka Business Systems PLC ADR........................................ 45,500 2,252,250
General Motors Corp., Class E......................................... 29,500 1,663,063
Hewlett-Packard Co. .................................................. 20,700 2,209,725
U.S. Robotics Corp.+.................................................. 36,000 3,303,000
Electronics--2.0%
Analog Devices, Inc.+................................................. 40,325 1,113,978
Thermo Electron Corp. ................................................ 26,300 1,676,625
Software--13.6%
Cisco Systems, Inc.+.................................................. 60,000 3,285,000
Computer Associates International, Inc. .............................. 54,500 3,964,875
</TABLE>
---------------------
47
<PAGE> 49
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (continued)
Software (continued)
Informix Corp.+....................................................... 7,900 $ 179,725
Microsoft Corp.+...................................................... 53,900 6,400,625
Oracle Systems Corp.+................................................. 109,375 3,623,047
Paychex, Inc. ........................................................ 29,350 1,291,400
Telecommunications--3.9%
ADC Telecommunications, Inc.+......................................... 15,500 713,000
Andrew Corp.+......................................................... 25,975 1,409,144
Frontier Corp. ....................................................... 63,400 2,028,800
WorldCom, Inc.+....................................................... 24,600 1,202,325
-------------
46,067,819
-------------
MATERIALS--1.6%
Chemicals--0.8%
Monsanto Co. ......................................................... 7,700 1,169,437
Forest Products--0.8%
Alco Standard Corp. .................................................. 17,300 1,081,250
-------------
2,250,687
-------------
TOTAL INVESTMENT SECURITIES (cost $97,528,537)........................ 129,976,628
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT--5.5% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--5.5%
Agreement with State Street Bank & Trust Co., bearing interest of
4.75% dated 5/31/96, to be repurchased 6/03/96 in the amount of
$7,580,950 and collateralized by $6,540,000 U.S. Treasury Bonds
8.50% due 2/15/20 (cost $7,578,000)................................. $7,578,000 7,578,000
-------------
TOTAL INVESTMENTS--
(cost $105,106,537) 100.0% 137,554,628
Other assets less liabilities-- 0.0 61,825
------ -------------
NET ASSETS-- 100.0% $137,616,453
====== =============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depositary Receipt
See Notes to Financial Statements
- ---------------------
48
<PAGE> 50
- ---------------------
SUNAMERICA SERIES TRUST
VENTURE VALUE PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--86.9% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
CONSUMER DISCRETIONARY--4.2%
Automotive--2.0%
General Motors Corp. ................................................ 106,500 $ 5,870,813
Retail--2.2%
Federated Department Stores, Inc.+................................... 101,700 3,521,362
Harcourt General, Inc. .............................................. 49,700 2,522,275
Home Depot, Inc. .................................................... 14,200 725,975
------------
12,640,425
------------
CONSUMER STAPLES--8.8%
Food, Beverage & Tobacco--7.5%
American Brands, Inc. ............................................... 3,300 144,375
Archer-Daniels-Midland Co. .......................................... 26,600 518,700
Coca-Cola Co. ....................................................... 156,700 7,208,200
Guinness PLC......................................................... 251,800 1,816,409
McDonald's Corp. .................................................... 129,200 6,217,750
Nestle SA ADR........................................................ 48,600 2,736,161
Philip Morris Cos., Inc. ............................................ 3,800 377,625
Seagram Co., Ltd. ................................................... 54,200 1,876,675
Tyson Foods, Inc. ................................................... 71,900 1,761,550
Household Products--1.3%
American Home Products Corp. ........................................ 1,900 101,650
Gillette Co. ........................................................ 41,200 2,435,950
Kimberly-Clark Corp. ................................................ 16,700 1,217,012
Maytag Corp. ........................................................ 3,200 68,800
------------
26,480,857
------------
ENERGY--4.7%
Energy Services--4.3%
Amerada Hess Corp. .................................................. 66,800 3,807,600
Amoco Corp. ......................................................... 1,100 79,750
Burlington Resources, Inc. .......................................... 129,300 4,913,400
Chevron Corp. ....................................................... 6,000 358,500
Energy Ventures, Inc.+............................................... 42,200 1,408,425
Exxon Corp. ......................................................... 9,500 805,125
Mobil Corp. ......................................................... 900 101,588
Schlumberger Ltd. ................................................... 17,100 1,425,712
Energy Sources--0.4%
Atlantic Richfield Co. .............................................. 1,800 215,325
Edison International................................................. 700 11,550
Noble Affiliates, Inc. .............................................. 22,300 755,412
Sonat, Inc. ......................................................... 1,800 76,275
Unocal Corp. ........................................................ 9,300 302,250
------------
14,260,912
------------
FINANCE--43.2%
Banks--11.6%
Banc One Corp. ...................................................... 131,580 4,868,460
Citicorp............................................................. 90,875 7,633,500
First Bank System, Inc. ............................................. 101,900 6,152,212
First Union Corp. ................................................... 1,700 103,913
</TABLE>
---------------------
49
<PAGE> 51
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (continued)
Banks (continued)
Golden West Financial Corp. ......................................... 56,600 $ 3,105,925
Signet Banking Corp. ................................................ 32,500 840,938
State Street Boston Corp. ........................................... 91,700 4,779,862
Wells Fargo & Co. ................................................... 31,100 7,495,100
Financial Services--15.6%
American Express Co. ................................................ 190,600 8,719,950
Barnett Banks, Inc. ................................................. 36,000 2,250,000
Dean Witter, Discover & Co. ......................................... 81,500 4,828,875
Donaldson Lufkin & Jenrette, Inc. ................................... 93,400 2,977,125
Federal Home Loan Mortgage Corp. .................................... 65,800 5,436,725
Morgan (J.P.) & Co., Inc. ........................................... 56,200 4,882,375
Morgan Stanley Asia-Pacific Fund..................................... 249,167 3,083,442
Morgan Stanley Group, Inc. .......................................... 141,600 7,009,200
Travelers Group, Inc. ............................................... 189,750 7,874,625
Insurance--16.0%
20th Century Industries+............................................. 114,300 1,885,950
Allstate Corp. ...................................................... 160,095 6,764,014
American International Group, Inc. .................................. 32,300 3,044,275
Berkley (W.R.) Corp. ................................................ 104,400 4,541,400
Chubb Corp. ......................................................... 141,500 6,597,437
Equitable Cos., Inc. ................................................ 303,200 7,314,700
General Reinsurance Group............................................ 57,800 8,438,800
NAC Reinsurance Corp. ............................................... 78,000 2,535,000
National Reinsurance Corp. .......................................... 33,200 1,095,600
Progressive Corp., Ohio.............................................. 53,500 2,474,375
Transatlantic Holdings, Inc. ........................................ 28,900 1,856,825
UNUM Corp. .......................................................... 28,300 1,669,700
------------
130,260,303
------------
HEALTHCARE--2.9%
Drugs--2.2%
Bristol-Myers Squibb Co. ............................................ 700 59,763
Merck & Co., Inc. ................................................... 25,000 1,615,625
Pfizer, Inc. ........................................................ 71,800 5,079,850
Medical Products--0.7%
Johnson & Johnson Co. ............................................... 21,800 2,122,775
------------
8,878,013
------------
INDUSTRIAL & COMMERCIAL--2.2%
Business Services--0.0%
Dun & Bradstreet Corp. .............................................. 400 25,550
WMX Technologies, Inc. .............................................. 1,400 49,350
Electrical Equipment--0.1%
General Electric Co. ................................................ 4,700 388,925
Machinery--0.9%
Applied Materials, Inc.+............................................. 69,400 2,585,150
Transportation--1.2%
Illinois Central Corp. .............................................. 46,850 1,399,644
Union Pacific Corp. ................................................. 29,900 2,096,737
------------
6,545,356
------------
</TABLE>
- ---------------------
50
<PAGE> 52
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT--5.9%
Broadcasting & Media--3.9%
Gannett Co., Inc. ................................................... 73,100 $ 5,098,725
News Corp., Ltd. ADR................................................. 210,000 4,068,750
Tribune Co. ......................................................... 34,700 2,572,137
Leisure & Tourism--2.0%
Disney (Walt) Co. ................................................... 41,900 2,545,425
Host Marriott Corp.+................................................. 266,300 3,495,188
-------------
17,780,225
-------------
INFORMATION TECHNOLOGY--9.4%
Communication Equipment--1.2%
AirTouch Communications, Inc.+....................................... 114,500 3,649,687
SBC Communications, Inc. ............................................ 900 44,438
Computers & Business Equipment--2.3%
Hewlett-Packard Co. ................................................. 66,000 7,045,500
Electronics--4.9%
Intel Corp. ......................................................... 141,400 10,675,700
Novellus Systems, Inc. .............................................. 45,500 2,229,500
Texas Instruments, Inc. ............................................. 30,000 1,687,500
Software--0.7%
Adobe Systems, Inc. ................................................. 58,600 2,175,525
Telecommunications--0.3%
Cellular Communications, Inc.+....................................... 17,500 940,625
-------------
28,448,475
-------------
MATERIALS--3.1%
Chemicals--1.3%
Dow Chemical Co. .................................................... 600 50,175
Eastman Kodak Co. ................................................... 50,700 3,770,813
Forest Products--1.8%
Fort Howard Corp.+................................................... 127,400 2,643,550
International Paper Co. ............................................. 1,300 51,838
Jefferson Smurfit Corp.+............................................. 84,500 1,056,250
Mead Corp. .......................................................... 29,900 1,607,125
Union Camp Corp. .................................................... 1,700 89,462
-------------
9,269,213
-------------
REAL ESTATE--1.6%
Real Estate Investment Trusts--1.6%
Federal Realty Investment Trust+..................................... 36,600 791,475
Kimco Realty Corp. .................................................. 8,350 228,581
Mid-Atlantic Realty Trust............................................ 21,800 204,375
Saul Centers, Inc. .................................................. 23,300 314,550
Simon Property Group, Inc. .......................................... 400 9,700
United Dominion Realty Trust, Inc. .................................. 40,300 589,388
Vornado Realty Trust................................................. 58,000 2,233,000
Weingarten Realty Investors.......................................... 12,000 445,500
-------------
4,816,569
-------------
UTILITIES--0.9%
Electric Utilities--0.1%
Carolina Power & Light Co. .......................................... 900 32,512
Duke Power Co. ...................................................... 1,400 67,550
Enova Corp. ......................................................... 500 10,875
New England Electric Systems......................................... 500 16,813
</TABLE>
---------------------
51
<PAGE> 53
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (continued)
Electric Utilities (continued)
Southern Co. ........................................................ 1,600 $ 37,000
Wisconsin Energy Corp. .............................................. 800 22,400
Telephone--0.8%
AT&T Corp. .......................................................... 11,400 711,075
MCI Communications Corp. ............................................ 59,200 1,724,200
-------------
2,622,425
-------------
TOTAL COMMON STOCK (cost $230,310,501)............................... 262,002,773
-------------
<CAPTION>
PREFERRED STOCK--0.1%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE--0.1%
Banks--0.1%
Banc One Corp., Series C (cost $354,674)............................. 5,800 411,800
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES--0.1% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY--0.1%
Energy Sources--0.1%
Noble Affiliates, Inc. 4.25% 2003 (cost $205,028).................... $ 200,000 211,000
-------------
TOTAL INVESTMENT SECURITIES (cost $230,870,203)...................... 262,625,573
-------------
<CAPTION>
SHORT-TERM SECURITIES--13.2%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCY OBLIGATIONS--13.2%
Federal Home Loan Mortgage Discount Notes 5.20% due 6/06/96.......... 10,025,000 10,017,760
Federal Home Loan Mortgage Discount Notes 5.21% due 6/03/96.......... 8,185,000 8,182,631
Federal Home Loan Mortgage Discount Notes 5.23% due 6/12/96.......... 6,585,000 6,574,477
Federal National Mortgage Association Discount Notes 5.21% due 6/07/96.. 14,925,000 14,912,040
-------------
TOTAL SHORT-TERM SECURITIES (cost $39,686,908)....................... 39,686,908
-------------
TOTAL INVESTMENTS--
(cost $270,557,111) 100.3% 302,312,481
Liabilities in excess of other assets-- (0.3) (961,597)
------ -------------
NET ASSETS-- 100.0% $301,350,884
====== ==============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depositary Receipt
See Notes to Financial Statements
- ---------------------
52
<PAGE> 54
- ---------------------
SUNAMERICA SERIES TRUST
GLOBAL EQUITIES PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--91.8% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
AUSTRALIA--1.1%
Coca-Cola Amatil Ltd. (Consumer Staples)............................. 66,550 $ 725,044
Mayne Nickless Ltd. (Industrial & Commercial)........................ 29,000 170,588
National Australia Bank Ltd. (Finance)............................... 54,000 506,425
Qantas Airways Ltd. (Information & Entertainment).................... 43,680 78,093
TNT Ltd. (Industrial & Commercial)................................... 123,000 148,240
Woolworths Ltd. (Consumer Discretionary)............................. 293,728 733,793
------------
2,362,183
------------
AUSTRIA--0.1%
Austria Mikro Systeme International AG (Information Technology)...... 1,300 140,282
Mayr-Melnhof Karton AG (Materials)................................... 2,580 115,542
------------
255,824
------------
BELGIUM--0.2%
Kredietbank NV (Finance)............................................. 1,110 324,930
------------
BERMUDA--0.2%
First Pacific Co., Ltd. (Finance).................................... 265,000 364,759
------------
CANADA--0.7%
Magna International, Inc. (Consumer Discretionary)................... 15,000 721,091
Renaissance Energy Ltd. (Energy)..................................... 29,400 778,033
------------
1,499,124
------------
DENMARK--0.6%
Den Danske Bank (Finance)............................................ 12,400 776,513
Tele Danmark A/S (Utilities)......................................... 10,880 535,460
------------
1,311,973
------------
FINLAND--0.6%
Nokia Corp. (Information Technology)................................. 9,400 410,014
Orion-yhtyma OY (Healthcare)......................................... 15,534 446,768
Unitas Ltd. (Finance)................................................ 166,380 349,619
------------
1,206,401
------------
FRANCE--5.2%
Assurance General de France (Finance)................................ 15,885 424,358
Banque National Paris (Finance)...................................... 23,792 891,941
Bouygues SA (Consumer Discretionary)................................. 7,000 761,002
CEP Communications (Information & Entertainment)..................... 1,800 158,394
Eaux (cie Generale) (Industrial & Commercial)........................ 5,120 547,705
Elf Aquitaine SA (Energy)............................................ 7,900 571,850
Groupe Danone (Consumer Staples)..................................... 6,020 880,379
GTM-Entrepose (Industrial & Commercial).............................. 5,410 319,713
Lafarge SA (Materials)............................................... 8,900 586,045
Legris Industries SA (Industrial & Commercial)....................... 10,430 514,489
Pechiney SA (Materials).............................................. 6,850 291,385
Peugeot SA (Consumer Discretionary).................................. 5,550 772,996
Promodes (Consumer Discretionary).................................... 830 216,913
Salomon SA (Consumer Staples)........................................ 650 466,486
Sefimeg (Real Estate)................................................ 3,700 246,213
Simco (Real Estate).................................................. 2,600 235,884
Societe de Immeubles (Real Estate)................................... 4,146 276,694
</TABLE>
---------------------
53
<PAGE> 55
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (continued)
Total SA, Series B (Energy).......................................... 14,700 $ 1,062,654
TV Francaise (Information & Entertainment)........................... 3,750 437,421
Unibail SA (Finance)................................................. 5,030 520,563
Union Immeubles de France (Real Estate).............................. 3,300 277,687
USINOR SACILOR (Materials)........................................... 24,900 399,787
------------
10,860,559
------------
GERMANY--2.7%
Bayer AG (Materials)................................................. 3,620 1,209,830
Deutsche Bank AG (Finance)........................................... 18,300 859,237
KSB Kl Schanz Beck (Finance)......................................... 925 143,660
Lufthansa AG (Information & Entertainment)........................... 4,000 619,921
Schmalbach-Lubeca AG (Materials)..................................... 3,100 572,870
Sudzucker AG (Consumer Staples)...................................... 1,133 544,969
Varta AG (Industrial & Commercial)................................... 2,410 530,642
Veba AG (Utilities).................................................. 22,300 1,166,877
------------
5,648,006
------------
HONG KONG--1.5%
CITIC Pacific Ltd. (Information & Entertainment)..................... 79,000 324,687
Consolidated Electric Power (Utilities).............................. 284,000 488,181
Dao Heng Bank Group (Finance)........................................ 116,000 434,777
Guangshen Railway Co., Ltd. (Industrial & Commercial)+............... 11,000 217,250
Hong Kong & China Gas Co., Ltd. (Utilities).......................... 103,680 164,820
Hysan Development Co., Ltd. (Real Estate)............................ 55,000 177,355
New World Development Co., Ltd. (Real Estate)........................ 35,783 169,728
New World Infrastructure Ltd. (Consumer Discretionary)............... 227 478
Sun Hung Kai Properties Ltd. (Real Estate)........................... 27,000 275,678
Swire Pacific Ltd., Class A (Multi-industry)......................... 36,000 319,879
Television Broadcasting Ltd. (Information & Entertainment)........... 89,000 351,983
Wharf Holdings Ltd. (Real Estate).................................... 81,000 312,493
------------
3,237,309
------------
INDIA--0.3%
Bajaj Auto GDR (Consumer Discretionary).............................. 14,400 550,800
------------
INDONESIA--0.7%
Hanjaya Mandala Sampoerna (Healthcare)............................... 65,000 807,449
Perusahaan Persero Part Telekom ADR (Utilities)...................... 6,000 183,000
PT Indosat (Information Technology).................................. 129,000 443,826
------------
1,434,275
------------
IRELAND--0.3%
Irish Life PLC (Finance)............................................. 144,066 576,722
------------
ITALY--1.0%
ENI SpA (Energy)..................................................... 133,000 631,508
Rinascente (Consumer Discretionary).................................. 94,200 632,170
SIP (Finance)........................................................ 361,000 722,584
------------
1,986,262
------------
JAPAN--20.5%
Amano Corp. (Industrial & Commercial)................................ 36,000 493,333
Asahi Glass Co., Ltd. (Materials).................................... 72,000 866,667
Bank Of Tokyo Ltd. (Finance)......................................... 80,300 1,903,407
Canon, Inc. (Information Technology)................................. 38,000 745,926
Chiba Bank Ltd. (Finance)............................................ 23,000 199,972
Dai Nippon Printing Co., Ltd. (Industrial & Commercial).............. 27,000 500,000
Daifuku Co., Ltd. (Industrial & Commercial).......................... 29,000 437,685
Daito Trust Construction Co. (Industrial & Commercial)............... 42,000 618,333
</TABLE>
- ---------------------
54
<PAGE> 56
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (continued)
Daiwa House Industry Co., Ltd. (Industrial & Commercial)............. 13,000 $ 198,611
Daiwa Securities Co., Ltd. (Finance)................................. 18,000 241,667
DDI Corp. (Healthcare)............................................... 170 1,473,333
East Japan Railway (Industrial & Commercial)......................... 127 699,676
Eisai Co. Ltd. (Healthcare).......................................... 26,250 481,250
Fuji Photo Film Co., Ltd. (Materials)................................ 8,000 248,889
Furukawa Co., Ltd. (Materials)....................................... 50,000 269,444
Hirose Electric Co., Ltd. (Information Technology)................... 14,000 819,259
Hokkaido Takushoku Bank Ltd. (Finance)............................... 67,000 181,148
Honda Motor Co., Ltd. (Consumer Discretionary)....................... 11,000 264,815
House Food Corp. (Consumer Staples).................................. 13,000 253,982
Hoya Corp. (Healthcare).............................................. 32,000 1,028,148
Ishikawajima-Harima Heavy Industries Co. (Industrial & Commercial)... 50,000 229,630
Ito-Yokado Co. (Consumer Discretionary).............................. 7,000 397,315
Japan Securities Finance Co., Ltd. (Finance)......................... 45,000 695,833
Kamigumi Co., Ltd. (Industrial & Commercial)......................... 29,000 265,833
Kandenko Co. (Consumer Discretionary)................................ 30,400 382,815
Kao Corp. (Consumer Staples)......................................... 52,000 693,333
Kirin Brewery Co., Ltd. (Consumer Staples)........................... 28,000 347,407
Kokuyo Co., Ltd. (Industrial & Commercial)........................... 9,000 240,833
Kuraray Co., Ltd. (Materials)........................................ 52,000 592,222
Long-Term Credit Bank of Japan Ltd. (Finance)........................ 22,000 178,037
Mabuchi Motor Co., Ltd. (Consumer Discretionary)..................... 4,000 248,148
Maeda Corp. (Industrial & Commercial)................................ 9,000 150,833
Matsushita Electric Industrial Co., Ltd. (Information Technology).... 56,000 964,444
Matsushita Electric Works Ltd. (Industrial & Commercial)............. 37,000 393,982
Mitsubishi Heavy Industrial Ltd. (Industrial & Commercial)........... 54,000 464,500
Mitsubishi Materials Corp. (Materials)............................... 31,000 180,833
Mitsubishi Oil Co., Ltd. (Utilities)................................. 48,000 418,222
Mitsui Marine & Fire Co., Ltd. (Finance)............................. 52,000 402,037
Mitsui Trust & Banking Co. (Finance)................................. 116,000 1,278,148
Mori Seiki Co., Ltd. (Industrial & Commercial)....................... 13,000 243,148
National House Industrial Co., Ltd. (Industrial & Commercial)........ 25,000 391,204
NGK Insulators Ltd. (Industrial & Commercial)........................ 21,000 233,333
Nikko Securities Co., Ltd. (Finance)................................. 38,000 418,704
Nippon Chemical Industrial (Materials)............................... 16,000 170,370
Nippon Express Co., Ltd. (Industrial & Commercial)................... 45,000 450,000
Nippon Light Metal Co., Ltd. (Materials)............................. 48,000 277,778
Nippon Paper Industries (Materials).................................. 50,000 335,648
Nippon Steel Corp. (Materials)....................................... 113,000 383,991
Nisshin Steel Co., Ltd. (Materials).................................. 205,000 827,593
NKK Corp. (Materials)................................................ 126,000 368,667
Nomura Securities International, Inc. (Finance)...................... 41,000 774,444
NTT Data Communications Systems Co. (Information Technology)......... 19 585,833
Osaka Gas Co., Ltd. (Utilities)...................................... 103,000 401,509
Rohm Co. (Information Technology).................................... 36,000 2,253,333
Sakura Bank Ltd. (Finance)........................................... 20,000 218,519
Sankyo Co., Ltd. (Healthcare)........................................ 18,000 426,667
Santen Pharmaceutical Co. (Healthcare)............................... 8,200 194,370
Seven-Eleven Japan Co., Ltd. (Consumer Discretionary)................ 29,400 1,793,945
Shimano, Inc. (Industrial & Commercial).............................. 21,000 398,611
Shimizu Co. (Consumer Discretionary)................................. 37,000 424,815
Shiseido Co., Ltd. (Healthcare)...................................... 38,000 471,482
Sony Music Entertainment, Inc. (Information & Entertainment)......... 8,000 403,704
Sumitomo Electric Industries Ltd. (Industrial & Commercial).......... 28,000 381,111
Sumitomo Marine & Fire Insurance Co., Ltd. (Finance)................. 47,000 425,611
Sumitomo Realty & Development Co., Ltd. (Real Estate)................ 58,000 458,093
Sumitomo Rubber Industries Ltd. (Industrial & Commercial)............ 30,000 262,500
Taisho Pharmaceutical Co., Ltd. (Healthcare)......................... 19,000 423,982
</TABLE>
---------------------
55
<PAGE> 57
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (continued)
Takeda Chemical Industries Ltd. (Healthcare)......................... 15,000 $ 248,611
TDK Corp. (Information Technology)................................... 12,000 683,333
Toagosei Co., Ltd. (Materials)....................................... 21,000 107,528
Tokai Bank Ltd. (Finance)............................................ 45,000 562,500
Tokyo Electric Power Co., Inc. (Utilities)........................... 23,100 592,472
Tokyo Gas Co., Ltd. (Utilities)...................................... 197,000 746,046
Tokyo Steel Manufacturing Co., Ltd. (Materials)...................... 47,000 974,815
Tostem Corp. (Industrial & Commercial)............................... 18,000 526,667
Toyo Kanetsu K.K. (Energy)........................................... 35,000 179,213
Toyota Motor Corp. (Consumer Discretionary).......................... 67,000 1,532,315
Ube Industries Ltd. (Materials)...................................... 26,000 98,222
Ushio, Inc. (Consumer Staples)....................................... 18,000 206,667
Yakult Honsha Co. (Consumer Staples)................................. 26,000 363,519
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)..................... 24,000 517,778
Yamatake-Honeywell (Information Technology).......................... 14,000 250,185
Yamazaki Baking Co. (Consumer Staples)............................... 19,000 376,482
------------
42,815,268
------------
KOREA--0.4%
Hyundai Motor Co. GDR (Consumer Discretionary)....................... 1,000 14,500
Korea Electric Power Corp. (Utilities)............................... 7,000 268,291
Korea Electric Power Corp. ADR (Utilities)........................... 2,400 62,100
Korea Mobile Telecommunications Corp. GDR (Information Technology)... 4,100 233,700
Pohang Iron & Steel Co., Ltd. ADR (Materials)........................ 11,000 290,125
------------
868,716
------------
MALAYSIA--1.2%
AMMB Holdings Bhd (Finance).......................................... 34,000 459,644
Malakoff Bhd (Industrial & Commercial)............................... 88,000 384,218
Malayan Banking Bhd (Finance)........................................ 31,000 294,292
Petronas Gas Bhd (Energy)............................................ 74,000 323,092
Rashid Hussain Bhd (Finance)......................................... 47,000 175,085
Resorts World Bhd (Information & Entertainment)...................... 92,000 530,663
Telekom Malaysia Bhd (Information Technology)........................ 47,000 429,241
------------
2,596,235
------------
NETHERLANDS--2.2%
Akzo Nobel NV (Materials)............................................ 8,860 1,072,540
Apothekers Cooperatie Opg (Healthcare)............................... 3,950 106,875
Fortis NV (Finance).................................................. 16,000 1,247,203
Internationale Nederlanden Groep NV CVA (Finance).................... 17,357 1,429,221
Koninklijke Nedlloyd NV (Industrial & Commercial).................... 14,700 330,589
Koninklijke KNP BT (Materials)....................................... 16,300 406,665
------------
4,593,093
------------
NEW ZEALAND--0.5%
Fletcher Challenge Ltd. (Industrial & Commercial).................... 100,000 128,475
Lion Nathan Ltd. (Consumer Staples).................................. 133,000 320,951
Telecommunications Corp. of New Zealand (Utilities).................. 123,000 499,993
------------
949,419
------------
NORWAY--0.5%
Bergesen D.Y. AS (Industrial & Commercial)........................... 24,300 473,067
Christiania Bank Og Kreditkasse (Finance)............................ 260,000 601,815
------------
1,074,882
------------
PHILIPPINES--0.2%
Manila Electric Co. (Utilities)...................................... 39,750 406,155
Philippine Commerce International Bank (Finance)..................... 4,470 57,625
------------
463,780
------------
</TABLE>
- ---------------------
56
<PAGE> 58
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE--0.8%
Overseas Chinese Banking Corp., Ltd. (Finance)....................... 46,000 $ 587,859
Overseas Union Bank Ltd. (Finance)................................... 85,000 603,479
Singapore Airlines Ltd. (Information & Entertainment)................ 14,000 144,125
Singapore Press Holdings Ltd. (Information & Entertainment).......... 23,400 438,594
------------
1,774,057
------------
SPAIN--0.9%
Banco Intercontinental Espanol (Finance)............................. 5,880 604,612
Repsol SA (Energy)................................................... 13,500 461,664
Tabacalera SA (Consumer Staples)..................................... 13,700 625,026
Uralita SA (Materials)............................................... 21,000 185,249
------------
1,876,551
------------
SWEDEN--1.2%
Astra AB (Healthcare)................................................ 19,600 897,102
Electrolux AB (Consumer Discretionary)............................... 10,300 525,862
Stora Kopparbergs (Materials)........................................ 42,200 555,899
Tidnings AB Marieberg (Information & Entertainment).................. 23,700 571,484
------------
2,550,347
------------
SWITZERLAND--2.3%
Baloise Holdings (Finance)........................................... 324 701,590
Ciba-Geigy AG (Materials)............................................ 1,460 1,606,408
Forbo Holding SA (Finance)........................................... 1,690 715,701
Nestle SA (Consumer Staples)......................................... 1,090 1,228,047
Sandoz AG (Healthcare)............................................... 590 611,922
------------
4,863,668
------------
TAIWAN--0.2%
Advanced Semiconductor Materials International NV GDR (Information
Technology)+....................................................... 37,080 318,888
------------
THAILAND--0.2%
Bangkok Bank (Finance)............................................... 17,000 247,019
Thai Farmers Bank (Finance).......................................... 18,000 206,112
------------
453,131
------------
UNITED KINGDOM--8.3%
Anglian Water PLC (Industrial & Commercial).......................... 83,400 775,453
B.A.T. Industries PLC (Multi-industry)............................... 156,000 1,257,090
Baird William PLC (Consumer Discretionary)........................... 48,280 155,995
British Airways PLC (Information & Entertainment).................... 59,300 515,532
British Land Co. PLC (Real Estate)................................... 107,500 683,016
British Telecommunications PLC (Information Technology).............. 108,000 594,979
British Vita PLC (Industrial & Commercial)........................... 126,800 424,435
BTR PLC (Industrial & Commercial).................................... 222,600 969,326
Coats Viyella PLC (Consumer Discretionary)........................... 60,945 171,417
Courtaulds Textiles PLC (Consumer Discretionary)..................... 11,600 67,680
Enterprise Oil PLC (Energy).......................................... 93,400 684,615
General Electric Co. (Industrial & Commercial)....................... 135,100 778,819
Glaxo Wellcome PLC (Healthcare)...................................... 43,000 560,073
Grand Metropolitan PLC (Information & Entertainment)................. 142,000 959,430
Hazlewood Foods PLC (Consumer Staples)............................... 130,200 201,767
Hepworth PLC (Industrial & Commercial)............................... 166,000 771,734
Holliday Chemical Holdings PLC (Finance)............................. 122,950 261,028
Marley PLC (Industrial & Commercial)................................. 190,000 396,017
McBride PLC (Consumer Staples)....................................... 108,000 219,247
Mowlem (John) & Co. PLC (Materials).................................. 257,000 362,421
National Power PLC (Utilities)....................................... 65,800 530,744
Northern Foods PLC (Consumer Staples)................................ 119,300 342,019
P & O PLC (Industrial & Commercial).................................. 78,104 634,224
</TABLE>
---------------------
57
<PAGE> 59
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Royal Bank of Scotland Group PLC (Finance)........................... 77,400 $ 626,109
Rugby Group PLC (Industrial & Commercial)............................ 389,000 720,370
Sainsbury (J.) PLC (Consumer Discretionary).......................... 139,650 858,070
Sears PLC (Consumer Discretionary)................................... 100,000 146,444
Tate & Lyle PLC (Consumer Staples)................................... 123,000 867,271
Vodafone Group PLC (Information Technology).......................... 230,600 913,037
Wimpey (George) PLC (Consumer Discretionary)......................... 434,800 950,051
------------
17,398,413
------------
UNITED STATES--37.2%
AirTouch Communications, Inc. (Information Technology)+.............. 37,000 1,179,375
AlliedSignal, Inc. (Industrial & Commercial)......................... 28,900 1,582,275
Altera Corp. (Information Technology)+............................... 6,400 309,600
Applied Materials, Inc. (Industrial & Commercial)+................... 6,100 227,225
AT&T Corp. (Utilities)............................................... 45,200 2,819,350
Atlantic Richfield Co. (Energy)...................................... 9,000 1,076,625
Atmel Corp. (Information Technology)+................................ 13,300 472,150
Baxter International, Inc. (Healthcare).............................. 13,200 584,100
Black & Decker Corp. (Consumer Staples).............................. 33,000 1,357,125
Bristol-Myers Squibb Co. (Healthcare)................................ 16,600 1,417,225
Campbell Soup Co. (Consumer Staples)................................. 19,300 1,244,850
Carnival Corp. (Information & Entertainment)......................... 14,500 431,375
Centocor, Inc. (Industrial & Commercial)+............................ 14,300 505,863
Century Telephone Enterprises, Inc. (Utilities)...................... 29,200 949,000
Chase Manhattan Corp. (Finance)...................................... 12,400 868,000
Colgate-Palmolive Co. (Consumer Staples)............................. 13,600 1,071,000
Columbia/HCA Healthcare Corp. (Healthcare)........................... 28,000 1,508,500
COMPAQ Computer Corp. (Information Technology)+...................... 12,900 627,263
Cox Communications, Inc., Class A (Information Technology)+.......... 28,200 634,500
Dean Witter, Discover & Co. (Finance)................................ 15,000 888,750
Disney (Walt) Co. (Information & Entertainment)...................... 13,700 832,275
Dow Chemical Co. (Materials)......................................... 8,600 719,175
DSC Communications Corp. (Information Technology)+................... 12,600 379,575
Eastman Kodak Co. (Materials)........................................ 12,000 892,500
Enron Corp. (Energy)................................................. 35,500 1,420,000
Exxon Corp. (Energy)................................................. 30,200 2,559,450
Federated Department Stores, Inc. (Consumer Discretionary)+.......... 31,500 1,090,687
First Chicago Corp. (Finance)........................................ 25,142 1,096,820
First Data Corp. (Finance)........................................... 11,000 877,250
First Union Corp. (Finance).......................................... 17,200 1,051,350
Fleet Financial Group, Inc. (Finance)................................ 22,100 975,162
FPL Group, Inc. (Utilities)+......................................... 37,000 1,581,750
General Electric Co. (Industrial & Commercial)....................... 24,300 2,010,825
General Instrument Corp. (Information Technology)+................... 24,100 744,088
General Mills, Inc. (Consumer Staples)............................... 16,100 923,737
General Reinsurance Group (Finance).................................. 6,000 876,000
Gillette Co. (Consumer Staples)...................................... 23,300 1,377,612
Goodyear Tire & Rubber Co. (Consumer Discretionary).................. 17,900 903,950
Hewlett-Packard Co. (Information Technology)......................... 15,200 1,622,600
Houston Industries, Inc. (Utilities)................................. 68,000 1,487,500
Illinois Central Corp. (Industrial & Commercial)..................... 8,100 241,988
Intel Corp. (Information Technology)................................. 28,700 2,166,850
International Business Machines Corp. (Information Technology)....... 16,200 1,729,350
ITT Corp. (Finance).................................................. 6,300 387,450
Lilly (Eli) & Co. (Healthcare)....................................... 9,200 591,100
Lowe's Cos., Inc. (Consumer Discretionary)........................... 30,100 1,030,925
May Department Stores Co. (Consumer Discretionary)................... 16,340 774,108
MBNA Corp. (Finance)................................................. 22,800 698,250
McDonald's Corp. (Consumer Staples).................................. 22,700 1,092,437
</TABLE>
- ---------------------
58
<PAGE> 60
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (continued)
Merck & Co., Inc. (Healthcare)....................................... 33,800 $ 2,184,325
Merrill Lynch & Co., Inc. (Finance).................................. 18,560 1,201,760
Monsanto Co. (Materials)............................................. 5,700 865,688
Morgan Stanley Group, Inc. (Finance)................................. 12,600 623,700
Morton International, Inc. (Materials)............................... 19,000 722,000
National Semiconductor Corp. (Information Technology)+............... 41,100 667,875
NationsBank Corp. (Finance).......................................... 14,340 1,163,332
Newell Co. (Consumer Staples)........................................ 25,000 750,000
Nordstrom, Inc. (Consumer Discretionary)............................. 8,900 453,900
Pep Boys-Manny, Moe & Jack (Consumer Discretionary).................. 11,300 372,900
PepsiCo, Inc. (Consumer Staples)..................................... 73,800 2,453,850
Philip Morris Cos., Inc. (Consumer Staples).......................... 21,700 2,156,437
PMI Group, Inc. (Finance)............................................ 16,700 722,275
Republic New York Corp. (Finance).................................... 8,500 537,625
RJR Nabisco Holdings Corp. (Consumer Staples)........................ 26,000 861,250
Rohm & Haas Co. (Materials).......................................... 10,030 679,533
Schering-Plough Corp. (Healthcare)................................... 26,200 1,535,975
Sears, Roebuck & Co. (Consumer Discretionary)........................ 15,600 793,650
Tele-Communications TCI Group, Series A (Information &
Entertainment)+.................................................... 29,000 547,375
Travelers, Inc. (Finance)............................................ 17,700 734,550
Union Carbide Corp. (Materials)...................................... 29,900 1,289,437
United Healthcare Corp. (Healthcare)................................. 7,900 433,513
Value Health, Inc. (Healthcare)+..................................... 14,700 400,575
Wendy's International, Inc. (Consumer Staples)....................... 44,400 799,200
Whitman Corp. (Industrial & Commercial).............................. 21,000 527,625
WMX Technologies, Inc. (Industrial & Commercial)..................... 31,400 1,106,850
Xerox Corp. (Information Technology)................................. 7,800 1,227,525
------------
77,701,640
------------
TOTAL COMMON STOCK (cost $170,837,734)............................... 191,917,215
------------
<CAPTION>
PREFERRED STOCK--1.1%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL--0.3%
Dixie Toga SA (Industrial & Commercial).............................. 222,623 216,312
Klabin Fabricadora (Materials)....................................... 424,625 463,630
Sider Riograndense (Materials)....................................... 758,670 11,361
------------
691,303
------------
GERMANY--0.8%
Henkel KGAA (Consumer Staples)....................................... 2,040 857,575
Hornbach Holding AG (Consumer Discretionary)......................... 6,500 455,767
KSB Kl Schanz Beck (Finance)......................................... 2,710 333,866
------------
1,647,208
------------
TOTAL PREFERRED STOCK (cost $2,283,373).............................. 2,338,511
------------
<CAPTION>
WARRANTS--0.0%+
----------------------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG--0.0%
Hong Kong & China Gas Co., Ltd. (Utilities).......................... 8,640 2,429
Hysan Development Co., Ltd. (Real Estate)............................ 2,750 1,670
------------
4,099
------------
ITALY--0.0%
Mediobanca SpA (Finance)............................................. 4,710 3,527
------------
</TABLE>
---------------------
59
<PAGE> 61
<TABLE>
<CAPTION>
WARRANTS (continued) SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
MALAYSIA--0.0%
Development & Commercial Bank Holdings Bhd (Finance)+................ 32,000 $ 40,761
Ta Enterprises Bhd (Utilities)....................................... 50,000 44,462
------------
85,223
------------
TOTAL WARRANTS (cost $5,070)......................................... 92,849
------------
TOTAL INVESTMENT SECURITIES (cost $173,126,177)...................... 194,348,575
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES--7.3% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
TIME DEPOSIT--7.3%
Cayman Island Time Deposit with State Street Bank & Trust Co.
4.88% due 6/03/96 (cost $15,296,000)............................... $15,296,000 15,296,000
------------
TOTAL INVESTMENTS--
(cost $188,422,177) 100.2% 209,644,575
Liabilities in excess of other assets-- (0.2) (486,941)
------ ------------
NET ASSETS-- 100.0% $209,157,634
====== ============
</TABLE>
-----------------------------
+ Non-income producing securities
ADR--American Depositary Receipt
GDR--Global Depositary Receipt
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<CAPTION>
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DEM 4,300,000 USD 2,834,542 07/31/96 $ 6,813
*JPY 705,000,000 USD 6,685,443 07/31/96 157,665
----------------
164,478
----------------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
--------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FRF 17,200,000 USD 3,301,344 08/30/96 $ (38,749)
*USD 6,755,462 JPY 705,000,000 07/31/96 (227,684)
----------------
(266,433)
----------------
Net Unrealized Depreciation......... $ (101,955)
==============
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting open forward foreign currency contracts that do not
have additional market risk but have continued counterparty
settlement risk.
DEM--Deutsche Mark
JPY--Japanese Yen
FRF--French Franc
USD--United States Dollar
See Notes to Financial Statements
- ---------------------
60
<PAGE> 62
- ---------------------
SUNAMERICA SERIES TRUST
INTERNATIONAL DIVERSIFIED
EQUITIES PORTFOLIO INVESTMENT PORTFOLIO--MAY 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK--92.9% SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C>
AUSTRALIA--3.1%
Amcor Holdings Ltd. (Materials)....................................... 15,900 $ 108,504
Ampolex Ltd. (Energy)................................................. 6,200 22,961
Australian National Industries Ltd. (Materials)....................... 15,000 13,050
Boral Ltd. (Industrial & Commercial).................................. 25,469 66,879
Brambles Industries Ltd. (Industrial & Commercial).................... 6,300 88,499
Broken Hill Proprietary Co. (Materials)............................... 49,100 740,674
Burns Philp & Co., Ltd. (Consumer Staples)............................ 16,509 32,019
Coca-Cola Amatil Ltd. (Consumer Staples).............................. 11,928 129,952
Coles Myer Ltd. (Consumer Discretionary).............................. 32,660 119,389
CRA Ltd. (Materials).................................................. 8,300 134,546
CSR Ltd. (Industrial & Commercial).................................... 25,700 93,742
Fosters Brewing Group Ltd. (Consumer Staples)......................... 57,700 105,001
General Property Trust (Real Estate)(1)............................... 20,300 34,511
Goodman Fielder Wattie Ltd. (Consumer Staples)........................ 33,891 35,165
Highlands Gold Ltd. (Materials)....................................... 5,459 2,832
ICI Australia Ltd. (Materials)........................................ 9,000 77,580
Lend Lease Corp., Ltd. (Real Estate).................................. 6,671 104,359
M.I.M. Holdings Ltd. (Materials)...................................... 39,695 56,395
National Australia Bank Ltd. (Finance)................................ 34,975 328,004
Newcrest Mining Ltd. (Materials)...................................... 8,400 37,277
News Corp., Ltd. (Information & Entertainment)........................ 48,847 274,080
North Ltd. (Materials)................................................ 17,987 51,826
Pacific Dunlop Ltd. (Industrial & Commercial)......................... 26,100 56,454
Pioneer International Ltd. (Consumer Staples)......................... 24,700 75,703
Renison Goldfields Consolidated Ltd. (Materials)...................... 5,620 29,156
Santos Ltd. (Energy).................................................. 15,800 55,739
Southcorp Holdings Ltd. (Industrial & Commercial)..................... 18,800 48,317
TNT Ltd. (Industrial & Commercial).................................... 12,200 14,703
Western Mining Corp. Holdings Ltd. (Materials)........................ 27,500 208,297
Westfield Trust (Finance)(1).......................................... 466 766
Westfield Trust (Real Estate)(1)...................................... 23,620 40,533
Westpac Banking Corp. (Finance)....................................... 44,900 209,646
-------------
3,396,559
-------------
AUSTRIA--1.5%
Austria Mikro Systeme International AG (Information Technology)....... 225 24,280
Austrian Airlines AG (Information & Entertainment).................... 175 31,609
Bank Austria AG (Finance)............................................. 3,500 325,869
Bank Austria AG (Finance)............................................. 360 31,842
Bau Holdings AG (Consumer Discretionary).............................. 300 19,133
Boehler-Uddeholm AG (Materials)....................................... 750 60,402
BWT AG (Consumer Staples)............................................. 125 15,770
Creditanstalt Bankverein AT (Finance)................................. 2,100 148,010
EA-Generali AG (Finance).............................................. 500 163,866
Flughafen Wien AG (Industrial & Commercial)........................... 1,500 102,928
Lenzing AG (Materials)................................................ 275 18,665
Mayr-Melnhof Karton AG (Materials).................................... 841 37,663
Oesterreichische Elektrizit Irtschafts AG (Utilities)................. 2,150 164,345
Oesterrichische Brau-Beteiligungs AG (Consumer Staples)............... 700 40,343
OMV AG (Energy)....................................................... 1,900 196,360
</TABLE>
---------------------
61
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<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRIA (continued)
Radex Heraklith Industriebeteiligungs AG (Materials).................. 1,000 $ 32,587
Steyr-Daimler-Purch AG (Consumer Staples)............................. 725 11,340
Universale Bau AG (Consumer Staples).................................. 325 14,676
VA Technolocies AG (Consumer Staples)................................. 1,050 137,452
Weinerberger Baustoffindust AG (Consumer Staples)..................... 500 103,720
Z-Laenderbank Austria AG (Finance).................................... 525 18,281
-------------
1,699,141
-------------
BRAZIL--0.2%
Centrais Electricas Brasileiras SA (Utilities)........................ 695,000 169,173
Companhia Paulista de Forca e Luz (Utilities)......................... 194,000 13,506
Companhia Siderurgica Nacional (Materials)............................ 633,000 15,972
Light Participacoes SA (Utilities)(2)................................. 308,000 0
Light-Servicos de Eletricidade SA (Utilities)......................... 138,000 45,341
-------------
243,992
-------------
FRANCE--7.1%
Accor SA (Information & Entertainment)................................ 750 108,086
Alcatel Alsthom (Information Technology).............................. 3,550 323,445
AXA SA (Finance)...................................................... 3,960 224,524
Banque National Paris (Finance)....................................... 3,550 133,086
BIC (Industrial & Commercial)......................................... 675 77,038
Bouygues SA (Consumer Discretionary).................................. 775 84,254
Canal Plus SA (Information & Entertainment)........................... 580 142,153
Carrefour SA (Consumer Discretionary)................................. 650 355,837
Chargeurs SA (Consumer Discretionary)................................. 150 42,799
Cie de St. Gobain (Materials)......................................... 2,240 285,985
Cie Financiere de Paribas (Finance)................................... 2,700 164,000
Cie Generale des Eaux (Industrial & Commercial)....................... 2,920 312,363
Compagnie Bancaire SA (Finance)....................................... 480 52,554
Compaignie UAP SA (Finance)........................................... 7,420 146,692
Compaynie de Suez SA (Finance)........................................ 3,870 149,350
Elf Aquitaine SA (Energy)............................................. 6,500 470,510
Eridania Beghin-Say SA (Consumer Staples)............................. 850 133,185
Etablissements Economiques du Casino Guichard-Perrachon
(Consumer Discretionary)............................................ 2,170 91,090
Groupe Danone (Consumer Staples)...................................... 1,855 271,280
Groupe Saint Louis (Materials)........................................ 300 81,246
Havas SA (Industrial & Commercial).................................... 1,490 127,397
L' Oreal (Consumer Staples)........................................... 1,660 505,113
L'Air Liquide SA (Materials).......................................... 1,625 282,595
Lafarge SA (Materials)................................................ 2,590 170,546
Legrand SA (Consumer Staples)......................................... 730 129,210
Lyonnaise des Eaux SA (Multi-industry)................................ 1,800 174,446
Michelin SA, Class B (Consumer Discretionary)......................... 3,120 157,222
Moet Hennessy Louis Vuitton (Consumer Staples)........................ 2,175 527,604
Pernod Ricard (Consumer Staples)...................................... 1,500 98,598
Peugeot SA (Consumer Discretionary)................................... 1,350 188,026
Pinault Printemps Redoute (Consumer Discretionary).................... 550 170,229
Promodes (Consumer Discretionary)..................................... 440 114,990
Rhone Poulenc SA (Materials).......................................... 7,720 192,347
Sagem SA (Industrial & Commercial).................................... 110 64,261
Sanofi SA (Consumer Staples).......................................... 2,375 182,759
Schneider SA (Industrial & Commercial)................................ 3,400 157,323
Simco (Real Estate)................................................... 800 72,580
Societe Eurafrance SA (Finance)....................................... 130 49,440
Societe Generale (Finance)............................................ 2,070 220,234
Sodexho SA (Industrial & Commercial).................................. 200 77,416
Thomson CSF (Industrial & Commercial)................................. 3,650 95,389
</TABLE>
- ---------------------
62
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<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (continued)
Total SA, Series B (Energy)........................................... 5,400 $ 390,363
USINOR SACILOR (Materials)............................................ 6,760 108,537
-------------
7,906,102
-------------
GERMANY--9.6%
Agiv AG (Multi-industry).............................................. 1,200 23,906
Allianz AG Holding (Finance).......................................... 650 1,078,506
AMB Aachener Und Muenchner (Finance).................................. 150 96,330
Asko Deutsche Kaushaus AG (Consumer Discretionary).................... 100 69,463
BASF AG (Materials)................................................... 1,850 514,024
Bayer AG (Materials).................................................. 2,150 718,545
Bayerische Hypotheken Und Bank AG (Finance)........................... 7,250 182,580
Bayerische Vereinsbank AG (Finance)................................... 7,800 219,790
Beiersdorf AG (Consumer Staples)...................................... 150 138,598
Bilfinger & Berger Bau AG (Consumer Discretionary).................... 150 62,418
Brau Und Brunnen AG (Consumer Staples)................................ 150 15,924
CKAG Colonia Konzern AG (Finance)..................................... 50 32,765
Continental AG (Consumer Discretionary)............................... 3,200 55,151
Daimler-Benz AG (Consumer Discretionary).............................. 1,550 847,117
Degussa AG (Materials)................................................ 300 103,113
Deutsche Bank AG (Finance)............................................ 14,000 657,339
Dresdner Bank AG (Finance)............................................ 14,750 369,717
Heidelberg Zement AG (Consumer Discretionary)......................... 150 98,788
Hochtief AG (Consumer Discretionary).................................. 250 110,583
Karstadt AG (Consumer Discretionary).................................. 350 137,844
Kaufhof Holding AG (Consumer Discretionary)........................... 250 88,057
Klockner Humboldt Deutz AG (Industrial & Commercial).................. 1,500 8,159
Linde AG (Industrial & Commercial).................................... 350 224,771
Linotype-Hell AG (Industrial & Commercial)............................ 100 7,536
Lufthansa AG (Information & Entertainment)............................ 1,050 162,729
Manitoba AG (Industrial & Commercial)................................. 350 90,367
Mannesmann AG (Industrial & Commercial)............................... 1,100 381,540
Merck KGAA (Healthcare)............................................... 5,020 190,142
Munchener Ruckversicherungs (Finance)................................. 204 360,944
Preussag AG (Materials)............................................... 650 165,908
RWE AG (Utilities).................................................... 10,100 398,771
SAP AG (Materials).................................................... 1,879 256,731
Schering AG (Consumer Staples)........................................ 2,050 154,623
Siemens AG (Industrial & Commercial).................................. 17,550 984,226
Strabag AG (Consumer Staples)......................................... 100 10,321
Thyssen AG (Materials)................................................ 1,150 212,742
Veba AG (Utilities)................................................... 15,050 787,511
Viag AG (Multi-industry).............................................. 750 291,841
Viag AG (Multi-industry).............................................. 171 64,321
Volkswagen AG (Consumer Discretionary)................................ 800 282,254
-------------
10,655,995
-------------
HONG KONG--6.0%
Applied International Holdings Ltd. (Information & Entertainment)..... 22,000 1,990
Bank of East Asia Ltd. (Finance)...................................... 28,909 102,001
Cathay Pacific Airways Ltd. (Industrial & Commercial)................. 109,000 201,453
Cheung Kong Holdings Ltd. (Real Estate)............................... 82,000 606,736
China Light & Power Co., Ltd. (Utilities)............................. 73,500 349,579
Chinese Estates Ltd. (Real Estate).................................... 62,000 55,291
Dickson Concepts International Ltd. (Consumer Discretionary).......... 29,000 33,171
Giordano International Ltd. (Consumer Discretionary).................. 24,000 21,558
Hang Lung Development Co. (Real Estate)............................... 46,000 89,476
Hang Seng Bank Ltd. (Finance)......................................... 71,100 742,032
Hong Kong & China Gas Co., Ltd. (Utilities)........................... 72,320 114,967
Hong Kong Aircraft Engineering Co., Ltd. (Industrial & Commercial).... 7,200 22,473
</TABLE>
---------------------
63
<PAGE> 65
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (continued)
Hong Kong Telecommunications Ltd. (Information Technology)............ 401,352 $ 744,368
Hongkong & Shanghai Hotels Ltd. (Information & Entertainment)......... 47,000 82,917
Hopewell Holdings Ltd. (Real Estate).................................. 158,000 94,956
Hutchison Whampoa Ltd. (Multi-industry)............................... 130,000 835,046
Hysan Development Co., Ltd. (Real Estate)............................. 41,000 132,210
Johnson Electric Holdings Ltd. (Industrial & Commercial).............. 14,000 31,122
Melco International Development Ltd. (Consumer Staples)............... 2,500 775
Miramar Hotel & Investment Co., Ltd. (Information & Entertainment).... 22,000 48,053
New World Development Co., Ltd. (Real Estate)......................... 57,146 271,058
Oriental Press Group (Information & Entertainment).................... 54,000 25,823
Peregrine Investment Holdings Ltd. (Finance).......................... 14,000 21,713
Shangri-La Asia Ltd. (Information & Entertainment).................... 41,000 56,699
Shun Tak Holdings Ltd. (Industrial & Commercial)...................... 60,000 39,936
South China Morning Post Ltd. (Information & Entertainment)........... 68,000 49,216
Stelux Holdings International Ltd. (Consumer Discretionary)........... 38,000 8,349
Sun Hung Kai Properties Ltd. (Real Estate)............................ 85,000 867,874
Swire Pacific Ltd., Class A (Multi-industry).......................... 58,000 515,361
Television Broadcasting Ltd. (Information & Entertainment)............ 16,000 63,278
Wharf Holdings Ltd. (Real Estate)..................................... 80,000 308,635
Wing Lung Bank Ltd. (Finance)......................................... 5,668 32,306
Winsor Industrial Corp., Ltd. (Consumer Discretionary)................ 13,000 11,593
-------------
6,582,015
-------------
INDONESIA--1.8%
Bank Dagang Nasional (Finance)........................................ 87,875 88,534
Bank International Indonesia (Finance)................................ 4,000 20,879
Barito Pacific Timber (Materials)..................................... 268,000 229,796
Hanjaya Mandala Sampoerna (Healthcare)................................ 80,500 999,995
Indocement Tunggal Perkasa (Consumer Staples)......................... 15,000 53,376
Jakarta International Hotel & Development (Industrial & Commercial)... 74,500 98,215
PT Ciputra Development (Consumer Staples)............................. 3,000 6,431
PT Gadjah Tunggal (Consumer Discretionary)............................ 153,000 81,994
PT Gudang Garam (Consumer Staples).................................... 24,000 97,749
PT Indah Kiat Pulp & Paper Corp. (Materials).......................... 11,250 10,731
PT Indofood Sukses Makmur (Consumer Staples).......................... 9,000 40,804
PT Indosat (Information Technology)................................... 13,000 44,727
PT Jaya Real Property (Real Estate)................................... 3,000 9,904
PT Lippo Bank (Finance)............................................... 4,000 9,089
PT Matahari Putra Prima (Consumer Discretionary)...................... 30,750 67,564
PT Modern Photo Film Co. (Information & Entertainment)................ 2,000 9,775
PT Pan Brothers Textiles (Consumer Discretionary)..................... 5,000 1,447
PT Polysindo Eka Perkasa (Consumer Discretionary)..................... 14,000 7,653
PT United Tractors (Industrial & Commercial).......................... 25,500 47,556
Sinar Mas Agro Resources Corp. (Multi-industry)....................... 37,500 30,949
-------------
1,957,168
-------------
ITALY--7.4%
Assicurazione Generali SpA (Finance).................................. 55,100 1,309,908
Banca Commerciale Italiana SpA (Finance).............................. 109,200 231,310
Banco Ambrosiano Veneto SpA (Finance)................................. 32,900 92,493
Benetton Group SpA (Consumer Discretionary)........................... 11,825 145,539
Burgo (Cartiere) SpA (Materials)...................................... 7,700 47,734
Cogefar-Impresit SpA (Industrial & Commercial)........................ 15,000 15,896
Credito Italiano SpA (Finance)........................................ 151,000 187,802
Edison SpA (Utilities)................................................ 45,000 261,765
Falck Acciaierie & Ferriere Lombarde (Materials)...................... 5,000 19,077
Fiat SpA (Consumer Discretionary)..................................... 217,000 766,089
Fiat SpA nonconvertible (Consumer Discretionary)...................... 52,700 97,463
Finanziaria Autogrill SpA (Consumer Staples).......................... 4,457 5,197
Finanziaria di Sviluppo SpA (Multi-industry).......................... 24,000 68,405
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ITALY (continued)
Gilardini SpA (Industrial & Commercial)............................... 22,500 $ 32,575
Istituto Bancario San Paolotorno (Finance)............................ 53,300 325,928
Istituto Mobiliare Italiano (Finance)................................. 42,200 345,117
Istituto Nazionale Delle Asazioni SpA (Finance)....................... 275,900 413,738
Italcementi Fabbriche SpA (Materials)................................. 17,300 142,995
Italcementi Fabbriche SpA nonconvertible (Materials).................. 7,650 27,156
Italgas-Societa Itailiana per il Gas SpA (Utilities).................. 46,900 169,372
La Rinascente Per L'Eserciz Grandi Magazzini SpA
(Consumer Discretionary)............................................ 13,000 87,242
Mediobanca SpA (Finance).............................................. 33,200 229,900
Montedison SpA (Multi-industry)....................................... 332,500 202,462
Montedison SpA nonconvertible (Multi-industry)........................ 52,100 31,555
Olivetti Group (Information Technology)............................... 248,000 155,346
Parmalat Finanz (Finance)............................................. 66,900 84,072
Pirelli SpA (Consumer Discretionary).................................. 99,000 163,530
Riunione Adriatica de Sicur (Finance)................................. 19,475 206,135
Riunione Adriatica de Sicur nonconvertible (Finance).................. 7,405 40,749
S.A.I Societa Assicuratrice Industriale SpA (Finance)................. 7,950 80,852
Saffa SpA (Materials)................................................. 1,300 3,284
Sasib SpA (Industrial & Commercial)................................... 7,400 30,679
Sirti SpA (Consumer Discretionary).................................... 14,600 93,818
SNIA BPD SpA (Multi-industry)......................................... 48,000 60,632
Telecome Italia SpA (Information Technology).......................... 440,000 880,712
Telecome Italia Mobile SpA (Information Technology)................... 437,900 936,078
Telecome Italia SpA nonconvertible (Information Technology)........... 101,000 170,432
-------------
8,163,037
-------------
JAPAN--31.4%
Advantest Corp. (Information Technology).............................. 2,200 97,574
Ajinomoto Co., Inc. (Consumer Staples)................................ 25,000 300,926
Aoki Corp. (Industrial & Commercial).................................. 13,000 51,278
Aoyama Trading Co., Ltd. (Consumer Discretionary)..................... 2,000 53,704
Asahi Bank Ltd. (Finance)............................................. 50,000 601,852
Asahi Breweries Ltd. (Consumer Staples)............................... 13,000 154,074
Asahi Chemical Industry Co., Inc. (Materials)......................... 38,000 275,852
Asahi Glass Co., Ltd. (Materials)..................................... 38,000 457,407
Bank Of Tokyo Ltd. (Finance).......................................... 30,000 711,111
Bridgestone Corp. (Industrial & Commercial)........................... 13,000 226,296
Canon, Inc. (Information Technology).................................. 23,000 451,481
Casio Computer Co. (Information Technology)........................... 8,000 76,296
Chiba Bank Ltd. (Finance)............................................. 20,000 173,889
Chiyoda Corp. (Consumer Staples)...................................... 5,000 56,019
Chugai Pharmaceutical Co., Ltd. (Healthcare).......................... 13,000 119,167
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)............... 25,000 462,963
Daiei, Inc. (Consumer Discretionary).................................. 17,000 207,778
Daikin Industries Ltd. (Consumer Staples)............................. 13,000 140,833
Daiwa House Industry Co., Ltd. (Consumer Discretionary)............... 13,000 198,611
Daiwa Securities Co., Ltd. (Finance).................................. 25,000 335,648
Ebara Corp. (Industrial & Commercial)................................. 8,000 121,481
Fanuc Ltd. (Information Technology)................................... 5,800 226,630
Fuji Bank Ltd. (Finance).............................................. 57,000 1,240,278
Fuji Photo Film Co., Ltd. (Materials)................................. 13,000 404,444
Fujitsu Ltd. (Information Technology)................................. 41,000 372,037
Furukawa Electric Co., Ltd. (Industrial & Commercial)................. 21,000 123,667
Hankyu Corp. (Industrial & Commercial)................................ 25,000 149,074
Hazama Corp. (Consumer Staples)....................................... 13,000 59,583
Hitachi Ltd. (Information Technology)................................. 76,000 703,704
Honda Motor Co., Ltd. (Consumer Discretionary)........................ 20,000 481,481
Industrial Bank of Japan Ltd. (Finance)............................... 40,000 1,029,630
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JAPAN (continued)
Ito-Yokado Co. (Consumer Discretionary)............................... 6,000 $ 340,556
Japan Airlines Co., Ltd. (Information & Entertainment)................ 50,000 403,241
Japan Energy Corp. (Energy)........................................... 32,000 123,556
Joyo Bank Ltd. (Finance).............................................. 14,000 109,926
Jusco Co., Ltd. (Consumer Discretionary).............................. 10,000 296,296
Kajima Corp. (Industrial & Commercial)................................ 25,000 261,574
Kansai Electric Power Co., Inc. (Utilities)........................... 18,100 417,306
KAO Corp. (Consumer Staples).......................................... 25,000 333,333
Kawasaki Steel Corp. (Materials)...................................... 65,000 240,741
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).............. 37,900 280,390
Kirin Brewery Co., Ltd. (Consumer Staples)............................ 25,000 310,185
Komatsu Ltd. (Industrial & Commercial)................................ 25,000 238,426
Kubota Ltd. (Industrial & Commercial)................................. 38,000 254,037
Kumagai Gumi Co., Ltd. (Consumer Discretionary)....................... 25,000 105,324
Kyowa Hakko Kogyo Co., Ltd. (Materials)............................... 13,000 127,593
Marubeni Corp. (Consumer Discretionary)............................... 38,000 207,241
Marui Co., Ltd. (Consumer Discretionary).............................. 11,000 226,111
Matsushita Electric Industrial Co., Ltd. (Information Technology)..... 38,000 654,444
Mitsubishi Chemical Corp. (Materials)................................. 38,000 187,889
Mitsubishi Corp. (Consumer Discretionary)............................. 35,000 479,630
Mitsubishi Electric Corp. (Information Technology).................... 44,000 301,481
Mitsubishi Estate Co., Ltd. (Real Estate)............................. 27,000 377,500
Mitsubishi Heavy Industrial Ltd. (Industrial & Commercial)............ 69,000 593,528
Mitsubishi Materials Corp. (Materials)................................ 25,000 145,833
Mitsubishi Trust & Banking Corp. (Finance)............................ 24,000 400,000
Mitsui & Co. (Materials).............................................. 38,000 350,093
Mitsui Engineering & Shipbuilding Co., Ltd. (Industrial &
Commercial)......................................................... 25,000 74,306
Mitsui Fudosan Co., Ltd. (Real Estate)................................ 21,000 266,389
Mitsukoshi Ltd. (Consumer Discretionary).............................. 14,000 154,259
Murata Manufacturing Co. (Industrial & Commercial).................... 5,000 183,333
NEC Corp. (Information Technology).................................... 30,000 330,556
New Oji Paper Co., Ltd. (Information & Entertainment)................. 25,000 218,287
NGK Insulators Ltd. (Industrial & Commercial)......................... 13,000 144,444
Nippon Express Co., Ltd. (Industrial & Commercial).................... 25,000 250,000
Nippon Fire & Marine Insurance Co., Ltd. (Finance).................... 13,000 85,944
Nippon Light Metal Co., Ltd. (Materials).............................. 12,000 69,444
Nippon Meat Packers, Inc. (Consumer Staples).......................... 13,000 190,185
Nippon Oil Co., Ltd. (Energy)......................................... 38,000 251,574
Nippon Steel Corp. (Materials)........................................ 95,000 322,824
Nippon Yusen Kabushiki Kaish (Industrial & Commercial)................ 38,000 223,074
Nippondenso Co., Ltd. (Industrial & Commercial)....................... 13,000 280,463
Nissan Motor Co., Ltd. (Consumer Discretionary)....................... 48,000 395,111
NKK Corp. (Materials)................................................. 73,000 213,593
Nomura Securities International, Inc. (Finance)....................... 38,000 717,778
Odakyu Electric Railway Co., Ltd. (Industrial & Commercial)........... 25,600 171,141
Osaka Gas Co., Ltd. (Utilities)....................................... 76,000 296,259
Penta Ocean Construction Co., Ltd. (Consumer Staples)................. 13,000 87,630
Pioneer Electronic NV (Information Technology)........................ 5,000 111,111
Sakura Bank Ltd. (Finance)............................................ 63,000 688,333
Sankyo Co., Ltd. (Healthcare)......................................... 13,000 308,148
Sanyo Electric Co., Ltd. (Information Technology)..................... 38,000 226,241
Secom Co. (Information Technology).................................... 3,000 194,444
Sega Enterprises Ltd. (Consumer Discretionary)........................ 3,000 140,833
Sekisui House Ltd. (Consumer Discretionary)........................... 13,000 152,870
Seven-Eleven Japan Co., Ltd. (Consumer Discretionary)................. 500 30,509
Sharp Corp. (Information Technology).................................. 25,000 407,407
Shimano, Inc. (Industrial & Commercial)............................... 4,000 75,926
Shimizu Corp. (Consumer Discretionary)................................ 18,000 206,667
Shin Etsu Chemical Co., Ltd. (Materials).............................. 5,200 104,000
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JAPAN (continued)
Shiseido Co., Ltd. (Healthcare)....................................... 6,000 $ 74,444
Shizuoka Bank Ltd. (Finance).......................................... 15,000 194,444
Showa Denko KK (Materials)............................................ 25,000 80,556
Sony Corp. (Information Technology)................................... 6,000 381,667
Sumitomo Chemical Co., Ltd. (Materials)............................... 50,000 250,000
Sumitomo Corp. (Consumer Discretionary)............................... 25,000 277,778
Sumitomo Electric Industries Ltd. (Industrial & Commercial)........... 17,000 231,389
Sumitomo Forestry Co., Ltd. (Materials)............................... 5,000 77,778
Sumitomo Metal Industries Ltd. (Materials)............................ 88,000 271,333
Sumitomo Metal Mining Co., Ltd. (Materials)........................... 12,000 112,222
Sumitomo Osaka Cement Co., Ltd. (Materials)........................... 13,000 64,519
Sumitomo Trust & Banking Co., Ltd. (Finance).......................... 63,000 1,242,500
Taisei Corp. (Consumer Discretionary)................................. 25,000 188,657
Takeda Chemical Industries Ltd. (Healthcare).......................... 25,000 414,352
Teijin Ltd. (Consumer Discretionary).................................. 25,000 129,398
Tobu Railway Co., Ltd. (Industrial & Commercial)...................... 25,000 162,269
Tohoku Electric Power Co., Inc. (Utilities)........................... 12,400 282,444
Tokai Bank Ltd. (Finance)............................................. 39,000 487,500
Tokio Marine & Fire Insurance Co., Ltd. (Finance)..................... 38,000 492,593
Tokyo Dome Corp. (Industrial & Commercial)............................ 6,000 114,444
Tokyo Electric Power Co., Inc. (Utilities)............................ 25,000 641,204
Tokyo Electron Ltd. (Information Technology).......................... 4,000 123,333
Tokyo Gas Co., Ltd. (Utilities)....................................... 66,000 249,944
Tokyu Corp. (Industrial & Commercial)................................. 25,000 187,269
Toppan Printing Co., Ltd. (Information & Entertainment)............... 17,000 242,407
Toray Industries, Inc. (Materials).................................... 38,000 256,852
Toto Ltd. (Materials)................................................. 13,000 191,389
Toyobo Co., Ltd. (Consumer Discretionary)............................. 25,000 91,667
Toyota Motor Corp. (Consumer Discretionary)........................... 58,000 1,326,482
Ube Industries Ltd. (Materials)....................................... 25,000 94,444
Yamaichi Securities Co., Ltd. (Finance)............................... 25,000 180,556
Yasuda Trust & Banking Co., Ltd. (Finance)............................ 25,000 151,389
-------------
34,671,308
-------------
MALAYSIA--2.2%
AMMB Holdings Bhd (Finance)........................................... 4,000 54,076
Amsteel Corp. Bhd (Materials)......................................... 16,000 12,241
Aokam Perdana Bhd (Materials)......................................... 2,000 3,589
Berjaya Group Bhd (Multi-industry).................................... 17,000 11,780
Commerce Asset Holding Bhd (Finance).................................. 5,000 33,647
Development & Commercial Bank Holdings Bhd (Finance).................. 16,000 53,194
Edaran Otomobil Nasional Bhd (Consumer Discretionary)................. 5,000 44,663
Golden Hope Plantations Bhd (Materials)............................... 19,000 30,290
Golden Plus Holdings Bhd (Consumer Staples)........................... 4,000 8,412
Guinness Anchor Bhd (Consumer Staples)................................ 8,000 17,304
Highlands & Lowlands Bhd (Materials).................................. 11,000 21,150
Hong Leong Industries Bhd (Consumer Staples).......................... 3,000 15,141
Hong Leong Properties Bhd (Real Estate)............................... 19,000 22,071
Hume Industries Bhd (Materials)....................................... 6,000 30,282
Idris Hydraulic Bhd (Finance)......................................... 16,000 21,406
IGB Corp. Bhd (Real Estate)........................................... 17,000 17,092
Industrial Oxygen, Inc. Bhd (Consumer Staples)........................ 16,000 22,047
Jaya Tiasa Holdings Bhd (Industrial & Commercial)..................... 5,000 31,244
Kedah Cement Holdings Bhd (Materials)................................. 10,000 19,547
Kian Joo Can Factory Bhd (Industrial & Commercial).................... 2,000 11,136
Kuala Lumpur Kepong (Materials)....................................... 13,000 31,764
Land & General Bhd (Materials)........................................ 8,000 18,906
Leader Universal Holdings Bhd (Industrial & Commercial)............... 9,000 27,038
Magnum Corp. Bhd (Information & Entertainment)........................ 22,000 37,012
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MALAYSIA (continued)
Malayan Banking Bhd (Finance)......................................... 21,000 $ 199,359
Malayan United Industries Bhd (Multi-industry)........................ 14,000 11,889
Malaysia Mining Corp. Bhd (Materials)................................. 14,800 16,599
Malaysian Airlines System RT (Information & Entertainment)............ 12,000 37,733
Malaysian International Shipping Corp. Bhd (Industrial &
Commercial)......................................................... 21,000 64,771
Malaysian Oxygen Bhd (Materials)...................................... 2,000 10,254
Malaysian Resources Corp. Bhd (Real Estate)........................... 10,000 23,233
Metroplex Bhd (Real Estate)........................................... 20,000 19,627
Mulpha International Bhd (Multi-industry)............................. 14,000 13,851
Multi Purpose Holdings Bhd (Multi-industry)........................... 15,000 23,313
Nestle SA (Consumer Staples).......................................... 3,000 23,313
Oriental Holdings Bhd (Consumer Discretionary)........................ 3,000 18,025
Pan Malaysia Cement (Materials)....................................... 17,000 19,067
Perlis Plantations Bhd (Materials).................................... 6,000 24,274
Perusahaan Otomobil Nasional Bhd (Consumer Discretionary)............. 10,000 51,672
Petaling Garden Bhd (Real Estate)..................................... 7,000 8,412
Public Bank Bhd (Finance)............................................. 16,000 43,261
R.J. Reynolds Bhd (Consumer Staples).................................. 7,000 21,310
Rashid Hussain Bhd (Finance).......................................... 8,000 29,802
Resorts World Bhd (Information & Entertainment)....................... 22,000 126,898
Rothmans of Pall Mall Bhd (Consumer Staples).......................... 5,000 48,468
Selangor Properties Bhd (Real Estate)................................. 9,000 10,455
Shell Refining Co. of Malaysia Bhd (Energy)........................... 4,000 13,459
Sime Darby Bhd (Multi-industry)....................................... 39,000 104,667
TA Enterprise Bhd (Finance)........................................... 14,000 21,758
Tan Chong Motor Holdings Ltd. (Consumer Discretionary)................ 14,000 20,749
Technology Resources Industries Bhd (Information Technology).......... 14,000 46,545
Telekom Malaysia Bhd (Information Technology)......................... 36,000 328,780
Tenaga Nasional Bhd (Utilities)....................................... 58,100 246,689
UMW Holdings Bhd (Industrial & Commercial)............................ 7,000 22,992
United Engineers Bhd (Industrial & Commercial)........................ 12,000 83,637
YTL Corp. Bhd (Consumer Discretionary)................................ 11,500 55,738
-------------
2,385,632
-------------
NETHERLANDS--3.1%
ABN AMRO Holdings NV (Finance)........................................ 4,721 260,450
Akzo Nobel NV (Materials)............................................. 1,175 142,239
Elsevier NV (Consumer Discretionary).................................. 11,600 180,029
Getronics NV (Information Technology)................................. 450 37,397
Heineken NV (Consumer Staples)........................................ 600 136,094
Internationale Nederlanden Groep NV CVA (Finance)..................... 4,200 345,839
KLM Royal Dutch Air Lines NV (Information & Entertainment)............ 1,250 44,656
Koninlijke Ahold NV (Consumer Discretionary).......................... 1,575 39,294
Koninlijke KNP BT (Materials)......................................... 1,869 100,264
Koninlijke PTT Nederland NV (Information Technology).................. 7,328 265,224
Nedlloyd Groep NV (Industrial & Commercial)........................... 350 7,871
Philips Electronics NV (Information Technology)....................... 5,050 179,227
Royal Dutch Petroleum Co. (Energy).................................... 7,900 1,198,764
Stork NV (Industrial & Commercial).................................... 425 11,474
Unilever NV CVA (Consumer Staples).................................... 2,400 326,653
Wolters Kluwer NV (Information & Entertainment)....................... 1,050 117,391
-------------
3,392,866
-------------
PORTUGAL--0.1%
Banco Portugues do Atlantico SA (Finance)............................. 8,700 132,867
-------------
SINGAPORE--2.0%
Amcol Holdings Ltd. (Consumer Staples)................................ 12,000 31,864
City Developments Ltd. (Real Estate).................................. 32,000 245,367
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SINGAPORE (continued)
Cycle & Carriage Ltd. (Consumer Discretionary)........................ 9,000 $ 94,569
DBS Land Ltd. (Real Estate)........................................... 33,000 109,648
Development Bank of Singapore (Finance)............................... 15,000 177,849
First Capital Corp., Ltd. (Real Estate)............................... 8,000 21,697
Fraser & Neave Ltd. (Consumer Staples)................................ 10,800 117,316
Hai Sun Hup Group Ltd. (Finance)...................................... 13,000 9,876
Hotel Properties Ltd. (Real Estate)................................... 17,000 30,053
Inchcape Bhd (Multi-industry)......................................... 8,000 27,149
Jurong Shipyard Ltd. (Industrial & Commercial)........................ 4,000 22,719
Keppel Corp. Ltd. (Industrial & Commercial)........................... 21,000 175,932
NatSteel Ltd. (Materials)............................................. 11,000 20,696
Neptune Orient Lines Ltd. (Industrial & Commercial)................... 32,000 32,716
Overseas Chinese Banking Corp., Ltd. (Finance)........................ 22,000 281,150
Overseas Union Enterprise Ltd. (Information & Entertainment).......... 6,000 32,801
Parkway Holdings Ltd. (Real Estate)................................... 13,000 37,842
Robinson & Co., Ltd. (Consumer Discretionary)......................... 2,000 8,023
Shangri-La Hotel Ltd. (Information & Entertainment)................... 7,000 24,054
Singapore Airlines Ltd. (Information & Entertainment)................. 31,000 319,134
Singapore Press Holdings Ltd. (Information & Entertainment)........... 5,800 108,711
Straits Trading Co., Ltd. (Materials)................................. 16,000 39,758
United Industrial Corp., Ltd. (Multi-industry)........................ 64,000 68,612
United Overseas Bank Ltd. (Finance)................................... 23,000 209,017
-------------
2,246,553
-------------
SPAIN--3.7%
Acerinox SA (Materials)............................................... 462 50,988
Autopistas Concesionaria Espana SA (Industrial & Commercial).......... 8,100 87,191
Banco Bilbao Vizcaya SA (Finance)..................................... 8,950 338,412
Banco Central Hispanoamericano SA (Finance)........................... 6,550 131,596
Banco de Santander SA (Finance)....................................... 6,350 289,702
Corporacion Bancaria de Espana SA (Finance)........................... 5,000 209,459
Corporacion Financiera Alba (Multi-industry).......................... 650 55,773
Corporacion Mapfre SA (Finance)....................................... 1,100 54,203
Dragados & Construcciones SA (Consumer Discretionary)................. 2,300 30,836
Ebro Agricolas, Compania de Alimentacion SA (Industrial &
Commercial)......................................................... 1,900 21,191
Empresa Nacional Celulos SA (Materials)............................... 850 11,957
Empresa Nacional de Electricidad SA (Utilities)....................... 10,200 633,412
Ercros SA (Materials)................................................. 6,750 4,407
Fomento Construcciones Y Contratas SA (Consumer Discretionary)........ 600 48,032
Gas Natural SDG SA (Utilities)........................................ 1,500 264,641
General de Aguas de Barcelona SA (Utilities).......................... 2,100 73,120
Iberdrola SA (Utilities).............................................. 37,000 375,277
Inmobiliaria Metropolitana Vasco Central SA (Real Estate)............. 900 29,169
Mapfre Vida SA (Finance).............................................. 13 725
Portland Valderrivas SA (Materials)................................... 275 16,714
Repsol SA (Energy).................................................... 12,000 410,368
Tabacalera SA (Consumer Staples)...................................... 1,450 66,152
Telefonica de Espana SA (Information Technology)...................... 37,400 671,465
Union Electrica-Fenosa SA (Utilities)................................. 11,600 70,412
Uralita SA (Materials)................................................ 2,100 18,525
Vallehermoso SA (Real Estate)......................................... 1,700 29,926
Viscofan Industria Navarra (Materials)................................ 950 15,542
Zardoya Otis SA (Industrial & Commercial)............................. 350 34,792
-------------
4,043,987
-------------
SWITZERLAND--3.0%
Adia SA (Industrial & Commercial)..................................... 75 17,379
Alusuisse-Lonza Holdings (Materials).................................. 25 19,537
Alusuisse-Lonza Holdings registered (Materials)....................... 50 39,273
BBC Brown Boveri Ltd. (Information Technology)........................ 95 113,560
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SWITZERLAND (continued)
Ciba-Geigy AG (Materials)............................................. 50 $ 54,854
Ciba-Geigy AG registered (Materials).................................. 270 297,076
CS Holding (Finance).................................................. 1,990 171,730
Fischer (Georg) AG (Consumer Staples)................................. 10 11,586
Gebrueder Sulzer AG (Industrial & Commercial)......................... 31 19,692
Holderbank Financiere Glarus (Finance)................................ 70 53,696
Merkur Holding AG (Consumer Discretionary)............................ 60 12,945
Nestle SA (Consumer Staples).......................................... 440 495,725
Roche Holdings AG (Healthcare)........................................ 18 218,977
Roche Holdings AG (Genusscheine NPV) (Healthcare)..................... 76 582,980
Sandoz AG (Healthcare)................................................ 400 414,862
Schweizerischer Bankgesellsch (Finance)............................... 250 50,539
SGS Societe Generale de Surance Holding SA (Materials)................ 20 45,066
SMH AG (Industrial & Commercial)...................................... 175 27,128
SMH AG registered (Materials)......................................... 40 27,327
Swiss Bank Corp. (Finance)............................................ 819 145,607
Swiss Reinsurance Co. (Finance)....................................... 150 144,786
Swissair AG (Information & Entertainment)............................. 25 24,670
Union Bank of Switzerland (Finance)................................... 225 210,707
Zuerich Versicherungs (Finance)....................................... 500 131,842
-------------
3,331,544
-------------
THAILAND--3.0%
Advance Agro PCL (Materials).......................................... 6,000 15,119
Advanced Information Services PCL (Information Technology)............ 15,400 254,174
Bangchak Petroleum PCL (Energy)....................................... 18,400 28,153
Bangkok Metropolitan Bank PCL (Finance)............................... 32,100 25,983
Bangkok Metropolitan Bank PCL local (Finance)......................... 14,000 11,332
Bank of Ayudhya PCL (Finance)......................................... 19,000 114,033
Banpu Coal PCL (Materials)............................................ 800 22,996
Charoen Pokphand Feedmill Co. PCL (Consumer Staples).................. 3,700 22,499
CMIC Finance & Security PCL (Finance)................................. 6,700 21,561
Dhana Siam Finance & Securities PCL (Finance)......................... 13,900 91,657
Finance One PCL (Finance)............................................. 3,900 29,258
General Finance & Securities PCL (Finance)............................ 7,650 29,300
Italian-Thai Development PCL (Industrial & Commercial)................ 16,500 166,785
Jasmine International PCL (Information Technology).................... 11,800 44,962
Krung Thai Bank PCL (Finance)......................................... 96,500 491,530
Land & Houses PCL (Consumer Discretionary)............................ 4,200 66,335
National Finance & Securities PCL (Finance)........................... 3,200 15,541
National Petrochemical PCL (Materials)................................ 10,900 17,538
One Holding Co., Ltd. (Multi-industry)................................ 2,900 7,271
One Holding Co., Ltd. local (Multi-industry).......................... 2,700 6,770
Phatra Thanakit PCL (Finance)......................................... 2,700 23,454
Phatra Thanakit PCL local (Finance)................................... 2,300 16,892
PTT Exploration & Production PCL (Energy)............................. 20,500 305,970
Quality House PCL (Consumer Staples).................................. 4,400 13,899
Sahavirya Steel Industries PCL (Materials)............................ 33,900 29,113
Shinawatra Computer & Communication PCL (Information Technology)...... 9,100 218,463
Shinawatra Satelite PCL (Information Technology)...................... 12,300 25,012
Siam Cement Co. (Materials)........................................... 5,700 307,439
Siam City Bank PCL (Finance).......................................... 12,100 14,214
Siam City Bank PCL local (Finance).................................... 10,000 9,970
Siam City Cement PCL (Materials)...................................... 3,600 47,477
Siam City Cement PCL local (Materials)................................ 2,000 26,376
Siam Makro PCL (Consumer Discretionary)............................... 3,700 19,239
Telecomasia Corp. PCL (Utilities)..................................... 147,300 322,797
Thai Airways International PCL (Information & Entertainment).......... 67,000 141,534
Thai Military Bank PCL (Finance)...................................... 9,100 46,352
</TABLE>
- ---------------------
70
<PAGE> 72
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
THAILAND (continued)
Thai Military Bank PCL local (Finance)................................ 4,300 $ 17,148
TPI Polene PLC (Materials)............................................ 4,300 24,532
United Communication Industries PCL (Information Technology).......... 15,400 217,689
-------------
3,310,367
-------------
UNITED KINGDOM--7.7%
Abbey National PLC (Finance).......................................... 14,200 121,689
Argyll Group PLC (Consumer Discretionary)............................. 14,900 81,970
Arjo Wiggins Appleton PLC (Materials)................................. 10,700 29,266
Associated British Foods PLC (Consumer Staples)....................... 5,100 29,954
B.A.T. Industries PLC (Multi-industry)................................ 31,899 257,051
Barclays PLC (Finance)................................................ 17,048 198,405
Bass PLC (Consumer Staples)........................................... 10,700 135,056
BICC Group PLC (Industrial & Commercial).............................. 6,800 34,300
Blue Circle Industries (Materials).................................... 12,600 68,633
BOC Group PLC (Materials)............................................. 6,100 87,913
Boots Co. PLC (Consumer Discretionary)................................ 12,600 119,107
BPB Industries PLC (Materials)........................................ 8,500 42,414
British Aerospace PLC (Industrial & Commercial)....................... 5,000 68,883
British Airways PLC (Information & Entertainment)..................... 11,800 102,585
British Gas PLC (Utilities)........................................... 42,000 123,989
British Petroleum Co. PLC (Energy).................................... 57,455 494,150
British Sky Broadcasting Group PLC (Information & Entertainment)...... 15,700 109,241
British Steel PLC (Materials)......................................... 21,700 57,251
British Telecommunications PLC (Information Technology)............... 55,100 303,549
BTR PLC (Industrial & Commercial)..................................... 42,600 185,504
Burmah Castrol PLC (Energy)........................................... 2,900 46,895
Cable & Wireless PLC (Information Technology)......................... 25,600 176,538
Cadbury Schweppes PLC (Consumer Staples).............................. 11,700 87,755
Caradon PLC (Industrial & Commercial)................................. 7,900 28,464
Coats Viyella PLC (Consumer Discretionary)............................ 8,600 24,189
Commercial Union PLC (Finance)........................................ 5,200 48,793
Courtaulds PLC (Materials)............................................ 5,000 33,512
De La Rue PLC (Information & Entertainment)........................... 2,300 25,573
General Accident PLC (Finance)........................................ 5,000 51,565
General Electric PLC (Multi-industry)................................. 33,000 190,237
GKN PLC (Industrial & Commercial)..................................... 5,400 82,761
Glaxo Wellcome PLC (Healthcare)....................................... 32,800 427,218
Granada Group PLC (Information & Entertainment)....................... 11,864 151,311
Grand Metropolitan PLC (Information & Entertainment).................. 22,736 153,617
Great Universal Stores PLC (Consumer Discretionary)................... 12,300 129,519
Guardian Royal Exchange PLC (Finance)................................. 16,400 67,984
Guinness PLC (Consumer Staples)....................................... 20,900 150,766
Hanson PLC (Multi-industry)........................................... 59,999 172,940
Harrisons & Crossfield PLC (Multi-industry)........................... 12,200 27,035
HSBC Holdings PLC (Finance)........................................... 18,900 287,029
Imperial Chemical Industries PLC (Materials).......................... 8,500 111,963
Ladbroke Group PLC (Information & Entertainment)...................... 16,300 47,867
Land Securities PLC (Real Estate)..................................... 7,600 75,494
LASMO PLC (Energy).................................................... 7,800 21,878
Lloyds TSB Group Ltd. (Finance)....................................... 52,800 255,286
Lonrho PLC (Multi-industry)........................................... 8,800 25,501
Marks & Spencer PLC (Consumer Discretionary).......................... 34,900 250,136
MEPC PLC (Real Estate)................................................ 5,800 37,525
National Power PLC (Utilities)........................................ 13,900 112,118
Peninsular & Oriental Steam PLC (Industrial & Commercial)............. 9,400 76,330
Pilkington PLC (Materials)............................................ 14,400 42,399
Prudential Corp. PLC (Finance)........................................ 25,400 169,255
Rank Organisation PLC (Information & Entertainment)................... 9,300 73,717
</TABLE>
---------------------
71
<PAGE> 73
<TABLE>
<CAPTION>
COMMON STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (continued)
Redland PLC (Materials)............................................... 7,900 $ 49,153
Reed International PLC (Information & Entertainment).................. 6,800 117,601
Reuters Holdings PLC (Industrial & Commercial)........................ 18,300 212,692
Rexam PLC (Materials)................................................. 5,800 32,357
RMC Group PLC (Materials)............................................. 3,200 49,862
Royal Bank of Scotland Group PLC (Finance)............................ 5,100 41,255
Royal Insurance Holdings PLC (Finance)................................ 8,500 55,784
RTZ Corp. PLC (Materials)............................................. 12,600 196,234
Sainsbury (J.) PLC (Consumer Discretionary)........................... 14,400 88,480
Schroders PLC (Finance)............................................... 2,400 50,209
Scottish Power PLC (Utilities)........................................ 9,100 44,774
Sears PLC (Consumer Discretionary).................................... 18,700 27,385
Sedgwick Group PLC (Finance).......................................... 2,900 6,696
Slough Estates PLC (Real Estate)...................................... 4,300 14,493
Smithkline Beecham PLC (Healthcare)................................... 24,632 250,786
Southern Electric PLC (Utilities)..................................... 3,100 34,276
Tarmac PLC (Industrial & Commercial).................................. 13,400 24,594
Taylor Woodrow PLC (Industrial & Commercial).......................... 7,200 17,741
Tesco PLC (Consumer Discretionary).................................... 19,000 88,773
Thames Water PLC (Industrial & Commercial)............................ 6,800 62,331
Thorn EMI PLC (Consumer Discretionary)................................ 5,500 153,247
TI Group PLC (Industrial & Commercial)................................ 5,000 41,027
Unilever PLC (Consumer Staples)....................................... 7,300 135,638
United Utilities PLC (Utilities)...................................... 6,500 58,926
Vodafone Group PLC (Information Technology)........................... 36,200 143,330
Zeneca Group PLC (Healthcare)......................................... 8,700 184,435
-------------
8,496,159
-------------
TOTAL COMMON STOCK (cost $98,243,409)................................. 102,615,292
-------------
<CAPTION>
PREFERRED STOCK--1.3%
----------------------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA--0.1%
News Corp., Ltd. (Information & Entertainment)........................ 24,569 119,815
-------------
AUSTRIA--0.1%
Creditanstalt Bankverein AT (Finance)................................. 1,150 62,637
-------------
BRAZIL--0.7%
Aracruz Celulose SA (Materials)....................................... 9,400 16,855
Banco Bradesco SA (Finance)........................................... 4,810,000 55,891
Banco do Brasil SA (Finance).......................................... 749,000 6,790
Banco Estado de Sao Paulo SA (Finance)................................ 436,000 1,659
Banco Itau SA (Finance)............................................... 86,000 34,846
Cemig Cia Energy MG (Utilities)....................................... 1,115,000 29,542
Centrais Electricas Brasileiras SA (Utilities)........................ 252,000 65,127
Ceval Alimentos SA (Consumer Staples)................................. 330,000 3,339
Companhia Brasileiro de Petroleo Ipiranga (Energy).................... 415,000 5,778
Companhia Cervejaraia Brahma (Consumer Staples)....................... 65,000 38,741
Companhia Energetica de Sao Paulo (Utilities)......................... 28,000 729
Companhia Siderurgica de Tubarao (Materials).......................... 709,000 12,990
Companhia Vale do Rio Doce (Materials)................................ 3,192 66,986
Itausa Investimentos Itau SA (Finance)................................ 31,000 22,979
Klabin Fabricadora (Materials)........................................ 8,000 8,735
Petroleo Brasileiros SA (Energy)...................................... 797,000 96,202
Sadia-Concordia SA (Consumer Staples)................................. 8,000 5,690
Telecomunicacoes Brasileirassa SA (Information Technology)............ 2,969,000 191,975
</TABLE>
- ---------------------
72
<PAGE> 74
<TABLE>
<CAPTION>
PREFERRED STOCK (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL (continued)
Telecomunicacoes de Sao Paulo SA (Information Technology)............. 260,000 $ 54,953
Usinas Siderurgicas de Minas Gerais SA (Materials).................... 16,473,000 17,986
-------------
737,793
-------------
GERMANY--0.3%
RWE AG (Utilities).................................................... 6,250 193,930
SAP AG (Materials).................................................... 1,235 172,787
-------------
366,717
-------------
ITALY--0.1%
Fiat SpA (Consumer Discretionary)..................................... 65,500 122,620
-------------
TOTAL PREFERRED STOCK (cost $1,306,298)............................... 1,409,582
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES--0.0% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
SPAIN--0.0%
Corporacion Mapfre SA 8.50% 1999 convertible (Finance)(2)
(cost $2,864)....................................................... $ 3,500 2,720
-------------
<CAPTION>
RIGHTS--0.1%+ SHARES
----------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL--0.0%
Telebras (Information Technology)(2).................................. 110,866 0
Telec de Sao Paulo SA (Information Technology)(2)..................... 11,142 0
-------------
0
-------------
FRANCE--0.1%
Carrefour SA (Consumer Discretionary)................................. 500 137,344
-------------
INDONESIA--0.0%
PT Polysindo Eka Perkasa (Consumer Discretionary)..................... 14,000 3,001
-------------
MALAYSIA--0.0%
Malaysia Mining Corp. Bhd (Materials)................................. 4,200 1,817
Metroplex Bhd (Real Estate)(2)........................................ 1,833 0
-------------
1,817
-------------
THAILAND--0.0%
Bangkok Metropolitan Bank PCL (Finance)............................... 5,836 2,420
Bank of Ayudhya PCL (Finance)......................................... 4,750 16,317
-------------
18,737
-------------
TOTAL RIGHTS (cost $103,209).......................................... 160,899
-------------
<CAPTION>
WARRANTS--0.0%+
----------------------------------------------------------------------------------------------------
<S> <C> <C>
BERMUDA--0.0%
Peregrine Investment Holdings Ltd. (Finance)(2)....................... 1,200 0
-------------
HONG KONG--0.0%
Hong Kong & China Gas Co., Ltd. (Utilities)........................... 8,360 2,350
Hysan Development Co., Ltd. (Real Estate)............................. 1,300 790
-------------
3,140
-------------
INDONESIA--0.0%
PT Indah Kiat Pulp & Paper Corp. (Materials).......................... 1,350 587
-------------
</TABLE>
---------------------
73
<PAGE> 75
<TABLE>
<CAPTION>
WARRANTS (continued) SHARES VALUE
----------------------------------------------------------------------------------------------------
<S> <C> <C>
ITALY--0.0%
Mediobanca SpA (Finance).............................................. 650 $ 487
Riunione Adriatica de Sicur nonconvertible (Finance).................. 150 271
Riunione Adriatica de Sicur (Finance)................................. 250 1,014
-------------
1,772
-------------
MALAYSIA--0.0%
Hong Leong Properties Bhd (Real Estate)(2)............................ 500 0
-------------
SINGAPORE--0.0%
Straits Steamship Land Ltd. (Multi-industry).......................... 4,750 6,172
-------------
TOTAL WARRANTS (cost $2,770).......................................... 11,671
-------------
TOTAL INVESTMENT SECURITIES (cost $99,658,550)........................ 104,200,164
-------------
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT--6.8% AMOUNT
----------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--6.8%
Agreement with State Street Bank & Trust Co., bearing interest of
4.75% dated 5/31/96, to be repurchased 6/03/96 in the amount of
$7,468,955 and collateralized by $6,445,000 U.S. Treasury Bonds
8.50% due 2/15/20 (cost $7,466,000)................................. $7,466,000 7,466,000
-------------
TOTAL INVESTMENTS --
(cost $107,124,550) 101.1% 111,666,164
Liabilities in excess of other assets-- (1.1) (1,198,697)
------ -------------
NET ASSETS -- 100.0% $110,467,467
====== ==============
</TABLE>
-----------------------------
+ Non-income producing securities
(1) Consists of more than one class of securities traded together
as a unit; generally bonds with attached stocks or warrants
(2) Fair valued security; see Note 2
- ---------------------
74
<PAGE> 76
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ATS 16,764,553 USD 1,568,246 07/31/96 $ 1,392
CHF 2,871,015 USD 2,343,686 07/31/96 38,298
CHF 1,172,775 USD 950,000 07/31/96 8,277
DEM 4,777,679 USD 3,139,698 07/15/96 728
DEM 14,485,265 USD 9,519,133 07/15/96 2,208
FRF 29,202,970 USD 5,685,937 08/14/96 18,634
FRF 9,400,000 USD 1,830,681 08/14/96 6,461
JPY 579,534,783 USD 5,533,080 07/15/96 132,950
JPY 95,193,000 USD 900,000 07/15/96 12,988
JPY 252,933,850 USD 2,405,000 07/30/96 43,248
JPY 579,534,783 USD 5,544,991 07/31/96 132,876
JPY 170,938,250 USD 1,855,000 08/14/96 255,646
JPY 949,206,443 USD 9,098,988 08/14/96 217,905
JPY 122,773,950 USD 1,395,000 08/30/96 243,808
NLG 1,511,925 USD 950,000 07/31/96 60,478
NLG 1,602,870 USD 1,050,305 07/31/96 107,276
*NLG 686,280 USD 449,695 07/31/96 47,774
-----------
1,330,947
-----------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ATS 483,071 USD 45,000 07/31/96 $ (149)
DEM 1,324,749 USD 870,000 07/31/96 (1,170)
FRF 904,873 USD 175,000 08/14/96 (605)
NLG 452,170 USD 265,967 07/31/96 (62)
NLG 1,702,200 USD 1,000,000 07/31/96 (1,469)
NLG 102,242 USD 60,000 07/31/96 (152)
*USD 420,000 NLG 686,280 07/31/96 (18,079)
-----------
(21,686)
-----------
Net Unrealized Appreciation.................. $ 1,309,261
===========
</TABLE>
-----------------------------
* Represents open forward foreign currency contracts and
offsetting open forward foreign currency contracts that do not
have additional market risk but have continued counterparty
settlement risk.
<TABLE>
<S> <C> <C>
ATS--Austrian Schilling FRF--French Franc NLG--Netherlands Guilder
USD--United States
CHF--Swiss Franc JPY--Japanese Yen Dollar
DEM--Deutsche Mark
</TABLE>
See Notes to Financial Statements
---------------------
75
<PAGE> 77
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
CASH FIXED HIGH-YIELD WORLDWIDE
MANAGEMENT INCOME GLOBAL BOND BOND HIGH INCOME
<S> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
ASSETS:
Investment securities, at value*................. $ -- $31,220,416 $50,363,475 $89,329,534 $31,796,978
Short-term securities*........................... 113,181,664 -- 9,833,000 -- 1,157,712
Repurchase agreements (cost equals market)....... 25,293,000 7,530,000 -- 2,536,000 4,350,000
Cash............................................. 273 781 98 8 638
Foreign currency................................. -- -- 87,245 -- 7,401
Receivables for--
Dividends and accrued interest................. 944,648 417,217 1,577,488 1,178,412 535,910
Fund shares sold............................... 382,270 122,158 68,885 190,937 138,832
Sales of investments........................... 125,561 3,933,771 -- -- 26,024
Foreign currency contracts..................... -- -- 2,456,442 -- --
Deferred organizational expenses................. 11,988 6,621 6,621 6,409 851
Prepaid expenses................................. 553 148 306 436 114
Unrealized appreciation on forward foreign
currency
contracts...................................... -- -- 1,783,285 -- --
-------------------------------------------------------------------------
139,939,957 43,231,112 66,176,845 93,241,736 38,014,460
-------------------------------------------------------------------------
LIABILITIES:
Payables for--
Fund shares redeemed........................... 483,671 42,424 45,100 24,333 33,599
Management fees................................ 64,552 18,701 37,268 50,661 29,899
Purchases of investments....................... -- 11,174,246 2,456,442 1,500,000 1,295,673
Foreign currency contracts..................... -- -- 2,451,892 -- --
Variation margin on futures contracts.......... -- -- -- -- --
Other accrued expenses........................... 35,824 17,420 35,565 30,739 15,008
Unrealized depreciation on forward foreign
currency
contracts...................................... -- -- 1,272,793 -- --
-------------------------------------------------------------------------
584,047 11,252,791 6,299,060 1,605,733 1,374,179
-------------------------------------------------------------------------
NET ASSETS....................................... $139,355,910 $31,978,321 $59,877,785 $91,636,003 $36,640,281
================================================================
Shares of beneficial interest outstanding
(unlimited shares authorized).................. 13,264,053 3,102,883 5,688,289 9,035,370 3,139,134
Net asset value per share........................ $10.51 $10.31 $10.53 $10.14 $11.67
================================================================
COMPOSITION OF NET ASSETS:
Capital paid in.................................. $136,666,714 $32,160,661 $58,282,834 $95,348,939 $33,774,994
Accumulated undistributed net investment income
(loss)......................................... 2,699,308 876,290 1,218,188 4,041,030 1,504,187
Accumulated undistributed net realized gain
(loss) on investments, futures contracts and
options contracts.............................. (152) (670,992) 107,406 (8,554,164) 898,518
Unrealized appreciation (depreciation) on
investments.................................... (9,960) (387,638) (231,820) 800,198 465,570
Unrealized foreign exchange gain (loss) on other
assets
and liabilities................................ -- -- 501,177 -- (2,988)
Unrealized appreciation (depreciation) on futures
contracts...................................... -- -- -- -- --
-------------------------------------------------------------------------
$139,355,910 $31,978,321 $59,877,785 $91,636,003 $36,640,281
================================================================
---------------
* Cost
Investment securities........................... $ -- $31,608,054 $50,595,295 $88,529,336 $31,162,778
================================================================
Short-term securities........................... $113,191,624 $ -- $ 9,833,000 $ -- $ 1,326,342
================================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
76
<PAGE> 78
<TABLE>
<CAPTION>
BALANCED/ GROWTH/
PHOENIX PHOENIX
INVESTMENT ASSET GROWTH- ALLIANCE INVESTMENT PROVIDENT VENTURE GLOBAL
COUNSEL ALLOCATION INCOME GROWTH COUNSEL GROWTH VALUE EQUITIES
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$46,773,878 $231,544,792 $216,428,431 $240,766,735 $142,418,899 $129,976,628 $262,625,573 $194,348,575
4,839,596 -- 13,300,917 3,666,591 21,499,380 -- 39,686,908 15,296,000
-- 42,229,000 -- -- -- 7,578,000 -- --
295,196 42,527 671 58 5,514 839 2,884 477
-- -- -- -- 33,015 -- 38,734 774,084
186,925 1,644,459 439,980 130,713 116,988 59,937 326,511 910,428
186,184 289,671 448,993 511,745 120,178 137,698 1,096,121 299,142
-- 24,960,074 24,438 2,205,654 3,168,772 -- 749,200 515,632
-- -- -- -- -- -- -- 2,163,136
-- 6,621 6,409 6,409 6,985 6,409 -- 6,409
122 1,028 842 747 820 645 628 898
-- -- -- -- -- -- -- 164,478
---------------------------------------------------------------------------------------------------------------------------
52,281,901 300,718,172 230,650,681 247,288,652 167,370,551 137,760,156 304,526,559 214,479,259
---------------------------------------------------------------------------------------------------------------------------
37,869 67,423 -- 29,516 22,987 17,510 78,721 37,115
29,684 135,963 121,590 125,787 91,500 91,175 184,811 138,252
-- 47,556,182 -- 4,330,346 1,212,798 -- 2,850,496 2,548,525
-- -- -- -- -- -- -- 2,162,878
-- 96,913 48,750 38,700 -- -- -- --
22,131 56,295 45,453 46,256 43,527 35,018 61,647 168,422
-- -- -- -- -- -- -- 266,433
---------------------------------------------------------------------------------------------------------------------------
89,684 47,912,776 215,793 4,570,605 1,370,812 143,703 3,175,675 5,321,625
---------------------------------------------------------------------------------------------------------------------------
$52,192,217 $252,805,396 $230,434,888 $242,718,047 $165,999,739 $137,616,453 $301,350,884 $209,157,634
==========================================================================================================================
4,181,489 19,528,570 15,793,773 15,063,466 12,601,102 9,694,931 20,997,399 14,918,155
$12.48 $12.95 $14.59 $16.11 $13.17 $14.19 $14.35 $14.02
==========================================================================================================================
$48,766,021 $220,927,427 $186,206,855 $202,929,798 $136,821,764 $102,112,097 $268,592,135 $179,390,857
495,642 3,715,703 1,186,089 397,034 468,839 4,429 1,182,903 570,343
761,290 6,932,264 10,133,540 10,432,581 8,499,310 3,051,836 (180,506) 8,086,787
2,169,264 21,600,874 32,842,279 28,805,184 20,210,113 32,448,091 31,755,370 21,222,398
-- -- -- -- (287) -- 982 (112,751)
-- (370,872) 66,125 153,450 -- -- -- --
---------------------------------------------------------------------------------------------------------------------------
$52,192,217 $252,805,396 $230,434,888 $242,718,047 $165,999,739 $137,616,453 $301,350,884 $209,157,634
==========================================================================================================================
$44,604,076 $209,943,918 $183,586,152 $211,961,557 $122,206,645 $ 97,528,537 $230,870,203 $173,126,177
==========================================================================================================================
$ 4,840,134 $ -- $ 13,300,917 $ 3,666,585 $ 21,501,521 $ -- $ 39,686,908 $ 15,296,000
==========================================================================================================================
<CAPTION>
INTERNATIONAL
DIVERSIFIED
EQUITIES
<S> <C><C>
<S> <C><C>
$104,200,164
--
7,466,000
918
286,631
364,664
249,873
100,141
3,244,919
851
242
1,330,947
117,245,350
53,959
88,979
3,344,786
3,228,594
--
39,879
21,686
6,777,883
$110,467,467
10,003,246
$11.04
$102,833,189
(1,405,372)
3,201,490
4,541,614
1,296,546
--
$110,467,467
$ 99,658,550
$ --
</TABLE>
---------------------
77
<PAGE> 79
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
WORLDWIDE
CASH FIXED GLOBAL HIGH-YIELD HIGH
MANAGEMENT INCOME BOND BOND INCOME
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
Income:
Dividends.............................................. $ -- $ -- $ -- $ -- $ --
Interest............................................... 3,039,411 1,029,451 1,932,083 4,392,972 1,945,008
----------------------------------------------------------
Total income *..................................... 3,039,411 1,029,451 1,932,083 4,392,972 1,945,008
----------------------------------------------------------
Expenses:
Management fees........................................ 292,748 111,049 222,252 294,775 149,675
Custodian fees......................................... 21,165 27,640 37,970 23,180 15,235
Auditing fees.......................................... 5,915 3,045 4,760 6,220 2,750
Reports to investors................................... 5,815 1,830 3,605 4,785 1,830
Amortization of organizational expenses................ 3,596 1,982 1,982 1,916 946
Legal fees............................................. 1,945 750 1,045 1,470 555
Trustees' fees......................................... 1,275 507 797 1,245 623
Interest expense....................................... -- -- -- 7,414 --
Other expenses......................................... 2,591 1,242 1,593 1,877 1,120
----------------------------------------------------------
Total expenses....................................... 335,050 148,045 274,004 342,882 172,734
----------------------------------------------------------
Net investment income.................................... 2,704,361 881,406 1,658,079 4,050,090 1,772,274
----------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCIES:
Net realized gain (loss) on investments................ 15 (134,758) (185,752) 483,640 913,335
Net realized gain (loss) on futures and options
contracts............................................ -- (180,880) (44,308) -- --
Net realized foreign exchange gain (loss) on other
assets and liabilities............................... -- -- 1,270,108 -- 11,025
Change in unrealized appreciation/depreciation on
investments.......................................... (13,034) (899,209) (1,147,906) 134,801 76,380
Change in unrealized foreign exchange gain/loss on
other assets and liabilities......................... -- -- (76,445) -- (2,988)
Change in unrealized appreciation/depreciation on
futures contracts.................................... -- (39,889) -- -- --
----------------------------------------------------------
Net realized and unrealized gain (loss) on investments
and foreign currencies............................... (13,019) (1,254,736) (184,303) 618,441 997,752
----------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. $2,691,342 $(373,330) $1,473,776 $4,668,531 $2,770,026
=============================================================
</TABLE>
-------------------
* Net of foreign withholding taxes on interest and dividends of $27,566,
$1,019, $68, $2,677, $3,179 $1,771, $7,009, $2,366, $181,016 and $91,216
on the Global Bond, Balanced/Phoenix Investment Counsel, Asset Allocation,
Growth-Income, Alliance Growth, Growth/Phoenix Investment Counsel,
Provident Growth, Venture Value, Global Equities and International
Diversified Equities, respectively.
See Notes to Financial Statements
- ---------------------
78
<PAGE> 80
<TABLE>
<CAPTION>
BALANCED/ GROWTH/
PHOENIX PHOENIX INTERNATIONAL
INVESTMENT ASSET GROWTH- ALLIANCE INVESTMENT PROVIDENT VENTURE GLOBAL DIVERSIFIED
COUNSEL ALLOCATION INCOME GROWTH COUNSEL GROWTH VALUE EQUITIES EQUITIES
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 186,805 $2,142,673 $1,706,174 $ 976,787 $ 703,951 $ 211,196 $1,696,073 $1,707,781 $ 761,036
633,498 2,884,869 202,462 129,429 349,645 338,976 724,217 260,238 123,760
-----------------------------------------------------------------------------------------------------------------
820,303 5,027,542 1,908,636 1,106,216 1,053,596 550,172 2,420,290 1,968,019 884,796
-----------------------------------------------------------------------------------------------------------------
149,350 739,712 648,749 636,335 517,173 497,105 872,856 754,273 385,951
25,650 56,020 31,505 32,180 35,170 26,360 65,120 193,275 191,840
3,980 16,010 14,395 14,300 10,750 8,410 16,540 13,070 6,040
2,500 12,575 10,785 10,430 8,170 6,240 13,075 10,390 4,710
-- 1,982 1,916 1,916 1,916 1,916 -- 1,916 946
915 3,595 3,139 3,235 2,530 1,960 3,825 2,875 1,535
738 2,450 2,332 2,332 1,862 1,429 2,677 1,972 847
-- -- -- -- -- -- -- -- --
1,158 3,978 3,119 2,850 3,225 2,323 2,351 3,551 1,383
-----------------------------------------------------------------------------------------------------------------
184,291 836,322 715,940 703,578 580,796 545,743 976,444 981,322 593,252
-----------------------------------------------------------------------------------------------------------------
636,012 4,191,220 1,192,696 402,638 472,800 4,429 1,443,846 986,697 291,544
-----------------------------------------------------------------------------------------------------------------
776,728 7,420,166 10,237,169 10,470,405 8,607,276 6,213,073 (169,585) 7,689,417 932,012
-- 185,412 (24,802) 201,912 -- -- -- -- --
-- -- -- -- (186) -- (317) 722,485 2,855,711
205,992 4,278,169 8,464,110 8,464,104 3,736,614 4,400,650 16,554,247 10,173,567 3,724,390
-- -- -- -- (266) -- 982 (141,398) (513,552)
-- (465,822) 66,125 56,700 -- -- -- -- --
-----------------------------------------------------------------------------------------------------------------
982,720 11,417,925 18,742,602 19,193,121 12,343,438 10,613,723 16,385,327 18,444,071 6,998,561
-----------------------------------------------------------------------------------------------------------------
$1,618,732 $15,609,145 $19,935,298 $19,595,759 $12,816,238 $10,618,152 $17,829,173 $19,430,768 $7,290,105
================================================================================================================
</TABLE>
---------------------
79
<PAGE> 81
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
CASH FIXED HIGH-YIELD WORLDWIDE
MANAGEMENT INCOME GLOBAL BOND BOND HIGH INCOME
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income.......................... $ 2,704,361 $ 881,406 $ 1,658,079 $ 4,050,090 $ 1,772,274
Net realized gain (loss) on investments........ 15 (134,758) (185,752) 483,640 913,335
Net realized gain (loss) on futures and options
contracts.................................... -- (180,880) (44,308) -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................. -- -- 1,270,108 -- 11,025
Change in unrealized appreciation/depreciation
on investments............................... (13,034) (899,209) (1,147,906) 134,801 76,380
Change in unrealized foreign exchange gain/loss
on other assets and liabilities.............. -- -- (76,445) -- (2,988)
Change in unrealized appreciation/depreciation
on futures contracts......................... -- (39,889) -- -- --
--------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations.............................. 2,691,342 (373,330) 1,473,776 4,668,531 2,770,026
--------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS PAID TO
SHAREHOLDERS:
Dividends from net investment income......... (4,240,000) (1,225,000) (4,060,000) (7,420,000) (1,700,000)
Distributions from net realized gain on
investments................................ (4,750) -- -- -- (100,000)
--------------------------------------------------------------------
Total dividends and distributions paid to
shareholders................................. (4,244,750) (1,225,000) (4,060,000) (7,420,000) (1,800,000)
--------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold...................... 304,508,067 11,553,495 11,569,805 42,034,832 23,737,448
Proceeds from shares issued for reinvestment of
dividends and distributions.................. 4,244,750 1,225,000 4,060,000 7,420,000 1,800,000
Cost of shares repurchased..................... (258,574,692) (8,676,364) (12,924,840) (37,241,027) (11,382,273)
--------------------------------------------------------------------
Net increase in net assets resulting from
capital share transactions................... 50,178,125 4,102,131 2,704,965 12,213,805 14,155,175
--------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS................... 48,624,717 2,503,801 118,741 9,462,336 15,125,201
NET ASSETS:
Beginning of period............................ 90,731,193 29,474,520 59,759,044 82,173,667 21,515,080
--------------------------------------------------------------------
End of period.................................. $139,355,910 $31,978,321 $59,877,785 $91,636,003 $36,640,281
========================================================================
---------------
Undistributed net investment income (loss)..... $ 2,699,308 $ 876,290 $ 1,218,188 $ 4,041,030 $ 1,504,187
========================================================================
Shares issued and repurchased:
Sold........................................... 28,636,226 1,080,526 1,061,917 4,011,555 2,096,438
Issued in reinvestment of dividends and
distributions................................ 408,149 118,015 391,137 744,233 166,821
Repurchased.................................... (24,263,371) (819,847) (1,189,185) (3,526,753) (1,008,653)
--------------------------------------------------------------------
Net increase................................... 4,781,004 378,694 263,869 1,229,035 1,254,606
========================================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
80
<PAGE> 82
<TABLE>
<CAPTION>
BALANCED/ GROWTH/
PHOENIX PHOENIX INTERNATIONAL
INVESTMENT ASSET GROWTH- ALLIANCE INVESTMENT PROVIDENT VENTURE GLOBAL DIVERSIFIED
COUNSEL ALLOCATION INCOME GROWTH COUNSEL GROWTH VALUE EQUITIES EQUITIES
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 636,012 $ 4,191,220 $ 1,192,696 $ 402,638 $ 472,800 $ 4,429 $ 1,443,846 $ 986,697 $ 291,544
776,728 7,420,166 10,237,169 10,470,405 8,607,276 6,213,073 (169,585) 7,689,417 932,012
-- 185,412 (24,802) 201,912 -- -- -- -- --
-- -- -- -- (186) -- (317) 722,485 2,855,711
205,992 4,278,169 8,464,110 8,464,104 3,736,614 4,400,650 16,554,247 10,173,567 3,724,390
-- -- -- -- (266) -- 982 (141,398) (513,552)
-- (465,822) 66,125 56,700 -- -- -- -- --
---------------------------------------------------------------------------------------------------------------------------
1,618,732 15,609,145 19,935,298 19,595,759 12,816,238 10,618,152 17,829,173 19,430,768 7,290,105
---------------------------------------------------------------------------------------------------------------------------
(540,000) (5,505,000) (1,680,000) (483,000) (1,265,000) -- (1,150,000) (1,885,000) (1,350,000)
(890,000) (6,805,000) (5,975,000) (13,185,000) (10,645,000) -- (1,631,000) (4,480,000) --
---------------------------------------------------------------------------------------------------------------------------
(1,430,000) (12,310,000) (7,655,000) (13,668,000) (11,910,000) -- (2,781,000) (6,365,000) (1,350,000)
---------------------------------------------------------------------------------------------------------------------------
26,186,260 58,429,437 68,520,662 114,655,378 26,067,681 31,937,095 173,133,867 52,094,841 70,429,740
1,430,000 12,310,000 7,655,000 13,668,000 11,910,000 -- 2,781,000 6,365,000 1,350,000
(8,041,310) (21,069,576) (29,302,145) (59,402,817) (22,794,663) (20,214,833) (44,520,153) (28,119,672) (16,213,037)
---------------------------------------------------------------------------------------------------------------------------
19,574,950 49,669,861 46,873,517 68,920,561 15,183,018 11,722,262 131,394,714 30,340,169 55,566,703
---------------------------------------------------------------------------------------------------------------------------
19,763,682 52,969,006 59,153,815 74,848,320 16,089,256 22,340,414 146,442,887 43,405,937 61,506,808
32,428,535 199,836,390 171,281,073 167,869,727 149,910,483 115,276,039 154,907,997 165,751,697 48,960,659
---------------------------------------------------------------------------------------------------------------------------
$52,192,217 $252,805,396 $230,434,888 $242,718,047 $165,999,739 $137,616,453 $301,350,884 $209,157,634 $110,467,467
============================================================================================================================
$ 495,642 $ 3,715,703 $ 1,186,089 $ 397,034 $ 468,839 $ 4,429 $ 1,182,903 $ 570,343 $(1,405,372)
============================================================================================================================
2,118,337 4,502,976 4,814,776 7,283,960 1,984,197 2,436,577 12,519,983 3,808,625 6,566,847
117,502 970,055 541,755 893,333 949,004 -- 208,003 472,181 130,941
(653,056) (1,633,528) (2,052,781) (3,853,207) (1,743,900) (1,541,873) (3,234,054) (2,055,690) (1,519,471)
---------------------------------------------------------------------------------------------------------------------------
1,582,783 3,839,503 3,303,750 4,324,086 1,189,301 894,704 9,493,932 2,225,116 5,178,317
============================================================================================================================
</TABLE>
---------------------
81
<PAGE> 83
- ---------------------
SUNAMERICA SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED NOVEMBER 30, 1995
<TABLE>
<CAPTION>
CASH FIXED HIGH-YIELD WORLDWIDE
MANAGEMENT INCOME GLOBAL BOND BOND HIGH INCOME
<S> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)................... $ 4,241,505 $ 1,224,668 $ 2,876,243 $ 7,526,895 $1,504,113
Net realized gain (loss) on investments........ 5,110 581,976 1,618,834 (3,711,235) 76,600
Net realized gain (loss) on futures and options
contracts.................................... -- 13,918 -- -- --
Net realized foreign exchange gain (loss) on
other assets and liabilities................. -- -- 1,319,839 -- --
Change in unrealized appreciation/depreciation
on investments............................... 44,053 1,262,150 1,593,149 4,427,627 484,883
Change in unrealized foreign exchange gain/loss
on other assets and liabilities.............. -- -- 1,814 -- --
Change in unrealized appreciation/depreciation
on futures contracts......................... -- 39,889 -- -- --
--------------------------------------------------------------------
Net increase in net assets resulting from
operations................................... 4,290,668 3,122,601 7,409,879 8,243,287 2,065,596
--------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income......... (2,210,000) (885,000) (1,700,000) (6,340,000) (114,929)
Distributions from net realized gain on
investments................................ -- -- -- -- --
--------------------------------------------------------------------
Total dividends and distributions paid to
shareholders................................. (2,210,000) (885,000) (1,700,000) (6,340,000) (114,929)
--------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold...................... 415,378,253 22,925,314 22,230,068 70,702,486 13,740,334
Proceeds from shares issued for reinvestment of
dividends and distributions.................. 2,210,000 885,000 1,700,000 6,340,000 114,929
Cost of shares repurchased..................... (418,035,564) (12,442,153) (14,423,490) (52,574,843) (4,768,369)
--------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from capital share transactions.............. (447,311) 11,368,161 9,506,578 24,467,643 9,086,894
--------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS................... 1,633,357 13,605,762 15,216,457 26,370,930 11,037,561
NET ASSETS:
Beginning of year.............................. 89,097,836 15,868,758 44,542,587 55,802,737 10,477,519
--------------------------------------------------------------------
End of year.................................... $ 90,731,193 $29,474,520 $59,759,044 $82,173,667 $21,515,080
========================================================================
---------------
Undistributed net investment income (loss)..... $ 4,234,947 $ 1,219,884 $ 3,620,109 $ 7,410,940 $1,431,913
========================================================================
Shares issued and repurchased:
Sold........................................... 39,465,595 2,218,395 2,131,775 6,846,915 1,299,782
Issued in reinvestment of dividends and
distributions................................ 214,355 90,306 170,000 648,925 11,873
Repurchased.................................... (39,709,537) (1,212,881) (1,407,509) (5,097,408) (480,433)
--------------------------------------------------------------------
Net increase (decrease)........................ (29,587) 1,095,820 894,266 2,398,432 831,222
========================================================================
</TABLE>
See Notes to Financial Statements
- ---------------------
82
<PAGE> 84
<TABLE>
<CAPTION>
BALANCED/ GROWTH/
PHOENIX PHOENIX INTERNATIONAL
INVESTMENT ASSET GROWTH- ALLIANCE INVESTMENT PROVIDENT VENTURE GLOBAL DIVERSIFIED
COUNSEL ALLOCATION INCOME GROWTH COUNSEL GROWTH VALUE EQUITIES EQUITIES
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 406,341 $ 5,320,722 $ 1,675,560 $ 481,532 $ 1,263,637 $ (45,258) $ 904,551 $ 1,450,200 $ 214,789
875,469 6,792,943 6,546,892 13,305,824 19,383,952 240,218 1,620,396 5,003,696 (585,776)
-- 37,040 -- 47,744 -- -- -- (524,955) --
-- -- 76 -- 701 -- -- 720,956 (506,494)
1,971,928 20,689,780 26,098,737 21,063,685 14,865,880 25,016,207 15,272,123 13,392,395 1,120,932
-- -- -- -- (21) -- -- 15,377 1,810,094
-- 94,950 -- 96,750 -- -- -- 182,708 --
---------------------------------------------------------------------------------------------------------------------------
3,253,738 32,935,435 34,321,265 34,995,535 35,514,149 25,211,167 17,797,070 20,240,377 2,053,545
---------------------------------------------------------------------------------------------------------------------------
(11,237) (2,240,000) (875,000) (155,000) (1,450,000) (200,000) (23,311) (855,000) (121,869)
-- (425,000) -- (725,000) -- -- -- (3,190,000) --
---------------------------------------------------------------------------------------------------------------------------
(11,237) (2,665,000) (875,000) (880,000) (1,450,000) (200,000) (23,311) (4,045,000) (121,869)
---------------------------------------------------------------------------------------------------------------------------
30,928,111 91,078,058 79,200,929 168,074,086 45,890,799 46,200,686 164,118,300 79,044,610 58,139,793
11,237 2,665,000 875,000 880,000 1,450,000 200,000 23,311 4,045,000 121,869
(3,269,069) (31,032,947) (27,140,302) (88,413,178) (35,688,009) (31,477,920) (31,455,895) (70,291,038) (23,670,269)
---------------------------------------------------------------------------------------------------------------------------
27,670,279 62,710,111 52,935,627 80,540,908 11,652,790 14,922,766 132,685,716 12,798,572 34,591,393
---------------------------------------------------------------------------------------------------------------------------
30,912,780 92,980,546 86,381,892 114,656,443 45,716,939 39,933,933 150,459,475 28,993,949 36,523,069
1,515,755 106,855,844 84,899,181 53,213,284 104,193,544 75,342,106 4,448,522 136,757,748 12,437,590
---------------------------------------------------------------------------------------------------------------------------
$32,428,535 $199,836,390 $171,281,073 $167,869,727 $149,910,483 $115,276,039 $154,907,997 $165,751,697 $48,960,659
============================================================================================================================
$ 399,630 $ 5,029,483 $ 1,673,393 $ 477,396 $ 1,261,039 $ -- $ 889,057 $ 1,468,646 $ (346,916)
============================================================================================================================
2,742,183 7,788,903 6,452,877 12,084,699 4,046,435 3,971,874 13,646,177 6,436,345 6,011,154
1,132 243,157 77,502 76,126 135,387 18,536 2,359 357,648 12,721
(296,843) (2,699,219) (2,260,341) (6,421,749) (3,175,785) (2,684,472) (2,599,805) (5,815,859) (2,470,598)
---------------------------------------------------------------------------------------------------------------------------
2,446,472 5,332,841 4,270,038 5,739,076 1,006,037 1,305,938 11,048,731 978,134 3,553,277
============================================================================================================================
</TABLE>
---------------------
83
<PAGE> 85
- ---------------------
SUNAMERICA SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. DESCRIPTION OF BUSINESS AND BASIS OF PRESENTATION: SunAmerica Series Trust
(the "Trust"), organized as a Massachusetts business trust on September 11,
1992, is an open-end management investment company. It was established to
provide a funding medium for certain annuity contracts issued by Variable
Separate Account (the "Account"), a separate account of Anchor National Life
Insurance Company ("Life Company"), organized under the laws of the state of
Arizona.
The Trust issues 14 separate series of shares ("Portfolios"), each of which
represents a separate managed portfolio of securities with its own investment
objectives. The Board of Trustees may establish additional series in the future.
The current Portfolios are the Cash Management Portfolio, Fixed Income
Portfolio, Global Bond Portfolio, High-Yield Bond Portfolio, Worldwide High
Income Portfolio, Balanced/Phoenix Investment Counsel Portfolio, Asset
Allocation Portfolio, Growth-Income Portfolio, Alliance Growth Portfolio,
Growth/Phoenix Investment Counsel Portfolio, Provident Growth Portfolio, Venture
Value Portfolio, Global Equities Portfolio and International Diversified
Equities Portfolio. All shares may be purchased or redeemed by the Account at
net asset value without any sales or redemption charge.
The investment objectives for each portfolio are as follows:
The Cash Management Portfolio seeks high current yield while preserving capital
by investing in a diversified selection of money market instruments.
The Fixed Income Portfolio seeks a high total return with only moderate price
risk by investing primarily in investment grade fixed-income securities.
The Global Bond Portfolio seeks a high total return, emphasizing current income
and, to a lesser extent, providing opportunities for capital appreciation,
through investment in high quality fixed-income securities of U.S. and foreign
issuers and through transactions in foreign currencies.
The High-Yield Bond Portfolio seeks a high level of current income and
secondarily seeks capital appreciation by investing primarily in intermediate
and long-term corporate obligations, with emphasis on higher-yielding,
higher-risk, lower-rated or unrated securities.
The Worldwide High Income Portfolio seeks high current income and, secondarily,
capital appreciation, by investing primarily in a portfolio of high-yielding
fixed-income securities of issuers located throughout the world.
The Balanced/Phoenix Investment Counsel Portfolio seeks reasonable income,
long-term capital growth and conservation of capital by investing primarily in
common stocks and fixed-income securities, with an emphasis on income-producing
securities which appear to have some potential for capital enhancement.
The Asset Allocation Portfolio seeks high total return (including income and
capital gains) consistent with preservation of capital over the long-term
through a diversified portfolio that can include common stocks and other
securities having common stock characteristics, bonds and other intermediate and
long-term fixed-income securities and money market instruments (debt securities
maturing in one year or less) in any combination.
The Growth-Income Portfolio seeks growth of capital and income by investing
primarily in common stocks or securities which demonstrate the potential for
appreciation and/or dividends.
The Alliance Growth, Growth/Phoenix Investment Counsel and Provident Growth
Portfolios each seek long-term growth of capital by investing primarily in
common stocks or securities with common stock characteristics which demonstrate
the potential for appreciation.
The Venture Value Portfolio seeks to achieve growth of capital by investing
primarily in common stocks.
The Global Equities Portfolio seeks long-term growth of capital through
investment primarily in common stocks or securities of U.S. and foreign issuers
with common stock characteristics which demonstrate the potential for
appreciation and through transactions in foreign currencies.
The International Diversified Equities Portfolio seeks long-term capital
appreciation by investing in accordance with country weightings determined by
the Subadviser in common stocks of foreign issuers which, in the aggregate,
replicate broad country indices.
In the opinion of management of the Trust, the accompanying financial
statements contain all normal and recurring adjustments necessary for the fair
presentation of the financial position of the Trust at May 31, 1996, and the
results of its operations, the changes in its net assets and its financial
highlights for the period then ended.
- ---------------------
84
<PAGE> 86
2. SIGNIFICANT ACCOUNTING POLICIES: Following is a summary of significant
accounting policies consistently followed by the Trust in the preparation of its
financial statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales
prices reported on recognized securities exchanges or, for listed securities
having no sales reported and for unlisted securities, upon last-reported bid
prices. Nonconvertible bonds, debentures, and other long-term debt securities
are valued at prices obtained for the day of valuation from a bond pricing
service of a major dealer in bonds when such prices are available; however, in
circumstances where the investment adviser deems it appropriate to do so, an
over-the-counter or exchange quotation at the mean of representative bid or
asked prices may be used. Securities traded primarily on securities exchanges
outside the United States are valued at the last sale price on such exchanges on
the day of valuation, or if there is no sale on the day of valuation, at the
last reported bid price. Short-term securities with original or remaining
maturities in excess of 60 days are valued at the mean of their quoted bid and
ask prices. Short-term securities with 60 days or less to maturity are amortized
to maturity based on their cost to the Trust if acquired within 60 days of
maturity or, if already held by the Trust on the 60th day, are amortized to
maturity based on the value determined on the 61st day. Securities for which
quotations are not readily available are valued at fair value as determined in
good faith under the direction of the Trust's Trustees.
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the
collateral pledged for investments in repurchase agreements. The underlying
collateral is valued daily on a mark-to-market basis to assure that the value,
including accrued interest, is at least equal to the repurchase price. In the
event of default of the obligation to repurchase, the Trust has the right to
liquidate the collateral and apply the proceeds in satisfaction of the
obligation. If the seller defaults and the value of the collateral declines or
if bankruptcy proceedings are commenced with respect to the seller of the
security, realization of the collateral by the Trust may be delayed or limited.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at published rates on the following basis:
(i) market value of investment securities, other assets and liabilities at the
prevailing rate of exchange at the valuation date.
(ii) purchases and sales of investment securities, income and expenses at the
rate of exchange prevailing on the respective dates of such transactions.
Assets and liabilities denominated in foreign currencies and commitments under
forward foreign currency contracts are translated into U.S. dollars at the mean
of the quoted bid and asked prices of such currencies against the U.S. dollar.
Purchases and sales of portfolio securities are translated at the rate of
exchange prevailing when such securities were acquired or sold. Income and
expenses are translated at rates of exchange prevailing when earned or incurred.
The Trust does not isolate that portion of the results of operations arising
as a result of changes in the foreign exchange rates from the changes in the
market prices of securities held at fiscal year-end. The Trust does not isolate
the effect of changes in foreign exchange rates from the changes in the market
prices of portfolio securities sold during the year.
Realized foreign exchange gain (loss) on other assets and liabilities and
change in unrealized foreign exchange gain (loss) on other assets and
liabilities include realized foreign exchange gains and losses from currency
gains or losses realized between the trade and settlement dates of securities
transactions, dividends received, the difference between the amounts of
interest, discount and foreign withholding taxes recorded on the Trust's books
and the U.S. dollar equivalent amounts actually received or paid and changes in
the unrealized foreign exchange gains and losses relating to the other assets
and liabilities arising as a result of changes in the exchange rate.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy and sell a security at a set price on a future date. Upon entering into such
a contract the Trust is required to pledge to the broker an amount of cash or
U.S. government securities equal to the minimum "initial margin" requirements of
the exchange on which the futures contract is traded. The contract amount
reflects the extent of a portfolio's exposure in these financial instruments. A
portfolio's participation in the futures markets involves certain risks,
including imperfect correlation between movements in the price of futures
contracts and movements in the price of the securities hedged or used for cover.
The Trust's activities in the futures contracts are conducted through regulated
exchanges which do not result in counterparty credit risks. Pursuant to a
contract, the portfolios agree to receive from or pay to the broker an amount of
cash equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as "variation margin" and are recorded by the portfolios as
unrealized appreciation or depreciation. When a contract is closed, the
portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
SECURITIES TRANSACTIONS, DIVIDENDS, INVESTMENT INCOME AND EXPENSES: As is
customary in the mutual fund industry, securities transactions are accounted for
on the first business day following the trade date. Interest income is accrued
daily except when collection is not expected. Dividend income and distributions
to shareholders are recorded on the ex-dividend date except for certain
dividends from foreign securities, which are recorded as soon as the Trust is
informed after the ex-dividend date. The Trust amortizes premiums and accretes
discounts on fixed income securities, as well as those original issue discounts
for which amortization is required for federal income tax purposes; gains and
losses realized upon the sale of such securities are based on their identified
cost. Portfolios which earn foreign income and capital gains may be subject to
foreign withholding taxes at various rates.
The Fund records dividends and distributions to its shareholders on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined and presented in accordance
with
---------------------
85
<PAGE> 87
federal income tax regulations, which may differ from generally accepted
accounting principles. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in capital.
Common expenses incurred by the Trust are allocated among the portfolios based
upon relative net assets. In all other respects, expenses are charged to each
series as incurred on a specific identification basis.
STATEMENT OF POSITION 93-2: In accordance with the requirements of Statement
of Position 93-2 Determination, Disclosure, and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies permanent book-tax differences relating to shareholder distributions
have been reclassified to paid-in-capital. Net investment income/loss, net
realized gain/loss, and net assets were not affected by this change.
For the year ended November 30, 1995, the reclassification arising from
book/tax differences resulted in increases (decreases) to the components of net
assets as follows:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED NET UNDISTRIBUTED NET PAID-IN
INVESTMENT INCOME/(LOSS) REALIZED GAIN/(LOSS) CAPITAL
<S> <C> <C> <C>
----------------------------------------------------
<CAPTION>
<S> <C> <C> <C>
Fixed Income............................................ $ (1,851) $ 1,851 $ --
Global Bond............................................. 1,300,053 (1,271,117) (28,936)
Growth/Phoenix Investment Counsel....................... 701 (701) --
Provident Growth........................................ 51,656 -- (51,656)
Global Equities......................................... 676,961 (676,961) --
International Diversified Equities...................... (506,037) 506,037 --
</TABLE>
3. JOINT REPURCHASE AGREEMENT ACCOUNT: The Cash Management Portfolio and
High-Yield Bond Portfolio, along with other affiliated registered investment
companies, transfer uninvested cash balances into a single joint account, the
daily aggregate balance of which is invested in one or more repurchase
agreements collateralized by U.S. Treasury or federal agency obligations. As of
May 31, 1996, the Cash Management Portfolio and High-Yield Bond Portfolio had a
27.8% and 2.8% undivided interest, respectively, which represented $25,293,000
and $2,536,000, respectively, in principal amount in a repurchase agreement in
the joint account. As of such date, each repurchase agreement in the joint
account and the collateral therefore was as follows:
Yamaichi International (America), Inc. Repurchase Agreement, 5.35% date
5/31/96, in the principal amount of $91,058,000 repurchase price $91,098,597 due
6/03/96 collateralized by $29,500,000 U.S. Treasury Bonds 8.75% due 8/15/20;
$2,960,000 U.S. Treasury Bonds 8.125% due 8/15/19; $27,380,000 U.S. Treasury
Notes 5.25% due 12/31/97; $25,000,000 U.S. Treasury Notes 6.50% due 4/30/97 and
$1,095,000 U.S. Treasury Notes 5.375% due 11/30/97, approximate aggregate value
$92,889,049.
4. FEDERAL INCOME TAXES: The Trust intends to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable income, including any net realized gain on
investments, to its shareholders. Therefore, no federal tax provision is
required.
- ---------------------
86
<PAGE> 88
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities, including short-term securities, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE UNREALIZED CAPITAL CAPITAL
UNREALIZED UNREALIZED GAIN/(LOSS) COST OF LOSS LOSS
GAIN (LOSS) NET INVESTMENTS CARRYOVER* UTILIZED
<S> <C> <C> <C> <C> <C> <C>
-----------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Cash Management........................... $ 19,414 $ (29,374) $ (9,960) $138,484,624 $ -- $ 527
Fixed Income.............................. 42,484 (430,122) (387,638) 39,138,054 291,703 503,104
Global Bond............................... 568,951 (800,771) (231,820) 60,428,295 889,577 1,582,879
High-Yield Bond........................... 2,584,349 (1,784,151) 800,198 91,065,336 9,010,069 --
Worldwide High Income..................... 1,179,160 (713,590) 465,570 36,839,120 -- --
Balanced/Phoenix Investment Counsel....... 2,842,003 (672,739) 2,169,264 49,444,210 -- --
Asset Allocation.......................... 24,158,825 (2,557,951) 21,600,874 252,172,918 -- --
Growth-Income............................. 35,688,600 (2,846,321) 32,842,279 196,887,069 -- 198,016
Alliance Growth........................... 30,780,433 (1,975,249) 28,805,184 215,628,142 -- --
Growth/Phoenix Investment Counsel**....... 21,446,936 (1,236,823) 20,210,113 143,708,166 -- 7,941,298
Provident Growth.......................... 32,768,791 (320,700) 32,448,091 105,106,537 3,161,237 23,425
Venture Value............................. 32,281,253 (525,883) 31,755,370 270,557,111 -- --
Global Equities***........................ 24,177,431 (2,955,033) 21,222,398 188,422,177 -- --
International Diversified Equities........ 6,723,147 (2,181,533) 4,541,614 107,124,550 211,683 --
</TABLE>
* Expire 2002 - 2003
** Post 10/31 Capital Loss Deferrals: Alliance Growth $12,517; Growth/Phoenix
Investment Counsel $96,044
*** Post 10/31 Currency Loss Deferrals: Global Equities $313,344
5. MANAGEMENT OF THE TRUST: SunAmerica Asset Management Corp. ("SAAMCo" or the
"Adviser"), an indirect wholly owned subsidiary of the Life Company, serves as
investment adviser for all the portfolios of the Trust. The Trust, on behalf of
each Portfolio, entered into an Investment Advisory and Management Agreement
(the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs. It is
the responsibility of the Adviser and for certain Portfolios pursuant to
Subadvisory Agreements described below, the subadvisers, to make investment
decisions for the Portfolios and to place the purchase and sale orders for the
Portfolio transactions. Such orders may be directed to any broker including, in
the manner and to the extent permitted by applicable law, affiliates of the
Adviser or a subadviser. The Agreement provides that SAAMCo shall administer the
Trust's business affairs; furnish offices, necessary facilities and equipment;
provide clerical, bookkeeping and administrative services; and permit any of its
officers or employees to serve, without compensation, as trustees or officers of
the Trust, if duly elected to such positions. There is no subadviser for the
High-Yield Bond Portfolio or the Cash Management Portfolio, and SAAMCo,
therefore, performs all investment advisory services for these Portfolios. The
term "Assets" means the average daily net assets of the portfolios.
The Trust pays SAAMCo a monthly fee calculated daily at the following annual
percentages of each Portfolio's Assets:
<TABLE>
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
<S> <C> <C>
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
Cash Management $0--$100 million 0.55%
> $100 0.50%
million
> $300 0.45%
million
Fixed Income $0--$ 50 million 0.70%
> $ 50 0.60%
million
> $150 0.55%
million
> $250 0.50%
million
Global Bond- $0--$ 50 million 0.75%
Asset Allocation > $ 50 0.65%
million
> $150 0.60%
million
> $250 0.55%
million
High-Yield Bond $0--$ 50 million 0.70%
> $ 50 0.65%
million
> $150 0.60%
million
> $250 0.55%
million
Worldwide High > $ 0 1.00%
Income- International
Diversified Equities
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
- ---------------------------------------------------------
<S> <C> <C>
Balanced/Phoenix $0--$ 50 million 0.70%
Investment Counsel- > $ 50 0.65%
Growth-Income- million 0.60%
Alliance Growth- > $150 0.55%
Growth/Phoenix million 0.50%
Investment Counsel > $300
million
> $500
million
Provident Growth $0--$ 50 million 0.85%
> $ 50 0.80%
million
> $150 0.70%
million
> $250 0.65%
million
> $350 0.60%
million
Venture Value $0--$100 million 0.80%
> $100 0.75%
million
> $500 0.70%
million
Global Equities $0--$ 50 million 0.90%
> $ 50 0.80%
million
> $150 0.70%
million
> $300 0.65%
million
</TABLE>
---------------------
87
<PAGE> 89
The organizations described below act as subadvisers to the Trust and certain
of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Under the
Subadvisory Agreements, the subadvisers manage the investment and reinvestment
of the assets of the respective Portfolios for which they are responsible. Each
of the subadvisers is independent of SAAMCo and discharges its responsibilities
subject to the policies of the Trustees and the oversight and supervision of
SAAMCo, which pays the subadvisers' fees.
Alliance Capital Management L.P. serves as subadviser for the Global Equities,
Alliance Growth and Growth-Income Portfolios; Phoenix Investment Counsel, Inc.
serves as subadviser for the Growth/Phoenix Investment Counsel and Balanced/
Phoenix Investment Counsel Portfolios; Provident Investment Counsel serves as
subadviser for the Provident Growth Portfolio; Goldman Sachs Asset Management, a
separate operating division of Goldman Sachs & Co., serves as subadviser for the
Asset Allocation and Fixed Income Portfolios; Goldman Sachs Asset Management
International, an affiliate of Goldman, Sachs & Co., serves as subadviser for
the Global Bond Portfolio; Davis Selected Advisers L.P. serves as subadviser for
the Venture Value Portfolio and Morgan Stanley Asset Management, Inc., a wholly
owned subsidiary of Morgan Stanley Group, Inc., serves as subadviser for the
International Diversified Equities and Worldwide High Income Portfolios.
The portion of the investment advisory fees received by SAAMCo which are paid
to subadvisers are as follows:
<TABLE>
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
<S> <C> <C>
- ---------------------------------------------------------
<CAPTION>
<S> <C> <C>
Fixed Income $0--$ 50 million 0.35%
> $ 50 0.25%
million 0.20%
> $150 0.15%
million
> $250
million
Global Bond- $0--$ 50 million 0.40%
Asset Allocation > $ 50 0.30%
million 0.25%
> $150 0.20%
million
> $250
million
Worldwide High Income- $0--$350 million 0.65%
International Diversified > $350 0.60%
Equities million
Balanced/Phoenix $0--$ 50 million 0.35%
Investment Counsel- > $ 50 0.30%
Growth-Income- million 0.25%
Alliance Growth- > $150 0.20%
Growth/Phoenix million 0.15%
Investment Counsel > $300
million
> $500
million
<CAPTION>
MANAGEMENT
PORTFOLIO ASSETS FEES
- ---------------------------------------------------------
<S> <C> <C>
Provident Growth $0--$ 50 million 0.50%
> $ 50 0.45%
million
> $150 0.35%
million
> $250 0.30%
million
> $350 0.25%
million
Venture Value $0--$100 million 0.45%
> $100 0.40%
million
> $500 0.35%
million
Global Equities $0--$ 50 million 0.50%
> $ 50 0.40%
million
> $150 0.30%
million
> $300 0.25%
million
</TABLE>
6. ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with
the organization and registration of the Trust amounted to $204,704.
Organizational expenses are amortized on a straight line basis by each portfolio
of the Trust over the period of benefit not to exceed 60 months from the date
the respective portfolio commenced operations.
7. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the six months ended May 31, 1996, was as
follows:
<TABLE>
<CAPTION>
BALANCED/
PHOENIX
CASH FIXED GLOBAL HIGH-YIELD WORLDWIDE INVESTMENT
MANAGEMENT INCOME BOND BOND HIGH INCOME COUNSEL
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Purchases of portfolio
securities............... $ -- $89,649,467 $57,582,618 $64,304,894 $33,473,168 $44,573,891
Sales of portfolio
securities............... -- 85,395,331 57,919,682 54,388,762 23,975,029 27,176,007
U.S. government securities
included above were as
follows:
Purchases of U.S.
government securities.... -- 77,691,599 17,107,867 -- -- 6,637,567
Sales of U.S. government
securities............... -- 72,230,049 14,859,648 -- -- 4,309,882
<CAPTION>
ASSET
ALLOCATION
<S> <C>
------------------------------------------------
<S> <C>
Purchases of portfolio
securities............... $274,049,863
Sales of portfolio
securities............... 240,799,458
U.S. government securities
included above were as
follows:
Purchases of U.S.
government securities.... 167,941,437
Sales of U.S. government
securities............... 179,775,056
</TABLE>
- ---------------------
88
<PAGE> 90
<TABLE>
<CAPTION>
GROWTH/PHOENIX
GROWTH- ALLIANCE INVESTMENT PROVIDENT VENTURE GLOBAL
INCOME GROWTH COUNSEL GROWTH VALUE EQUITIES
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Purchases of portfolio
securities................ $81,661,104 $178,094,573 $137,599,711 $59,804,015 $119,517,419 $74,277,838
Sales of portfolio
securities............... 53,955,338 115,228,794 144,804,837 50,955,318 13,209,809 56,589,076
U.S. government securities
included above were as
follows:
Purchases of U.S.
government securities.... -- -- -- -- -- --
Sales of U.S. government
securities............... -- -- -- -- -- --
<CAPTION>
INTERNATIONAL
DIVERSIFIED
EQUITIES
<S> <C>
-------------------------------------------------------------
<S> <C>
Purchases of portfolio
securities................ $69,058,961
Sales of portfolio
securities............... 13,888,010
U.S. government securities
included above were as
follows:
Purchases of U.S.
government securities.... --
Sales of U.S. government
securities............... --
</TABLE>
8. TRANSACTIONS WITH AFFILIATES: The following portfolio incurred brokerage
commissions with an affiliated broker:
<TABLE>
<CAPTION>
GOLDMAN
SACHS & CO.
-----------
<S> <C>
Fixed Income............................................................... 1,200
Asset Allocation........................................................... 2,019
</TABLE>
9. FINANCIAL INVESTMENTS WITH OFF-BALANCE SHEET RISK: At May 31, 1996, Global
Bond, Global Equities and International Diversified Equities Portfolios had
outstanding forward foreign currency exchange contracts ("forward contracts") in
order to hedge against changes in future foreign exchange rates and enhance
return. Forward contracts involve elements of market risk in excess of the
amount reflected in the Statement of Assets and Liabilities. The Trust bears the
risk of an unfavorable change in the foreign exchange rate underlying the
forward contract.
10. COMMITMENTS AND CONTINGENCIES: The High-Yield Bond Portfolio has
established an uncommitted line of credit with State Street Bank and Trust
Company with interest payable at Federal Funds rate plus 125 basis points.
Borrowings under the line of credit will commence when the Fund's cash shortfall
exceeds $100,000. The High-Yield Bond Portfolio periodically utilized the
uncommitted line of credit and incurred an interest expense of $7,414 for the
six months ended May 31, 1996.
---------------------
89
<PAGE> 91
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS*
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF
NET NET
REALIZED RATIO OF INVESTMENT
NET & TOTAL DIVIDENDS DIVIDENDS NET NET EXPENSES INCOME
ASSET NET UNREALIZED FROM DECLARED FROM NET ASSET ASSETS TO TO
VALUE INVEST- GAIN INVEST- FROM NET REALIZED VALUE END OF AVERAGE AVERAGE
PERIOD BEGINNING MENT (LOSS) ON MENT INVESTMENT GAIN ON END OF TOTAL PERIOD NET NET
ENDED OF PERIOD INCOME** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN*** (000'S) ASSETS ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash Management Portfolio
2/9/93-
11/30/93 $ 10.00 $ 0.19 $ 0.01 $ 0.20 $ -- $ -- $ 10.20 2.00% $ 24,603 0.71%+++ 2.53%+++
11/30/94 10.20 0.38 (0.02) 0.36 (0.09) -- 10.47 3.51 89,098 0.70++ 3.73++
11/30/95 10.47 0.56 0.01 0.57 (0.34) -- 10.70 5.59 90,731 0.67 5.32
5/31/96# 10.70 0.26 -- 0.26 (0.45) -- 10.51 2.48 139,356 0.62+ 5.02+
Fixed Income Portfolio
7/1/93-
11/30/93 10.00 0.14 0.05 0.19 -- -- 10.19 1.90 11,667 0.94+++ 3.92+++
11/30/94 10.19 0.52 (0.87) (0.35) (0.05) (0.04) 9.75 (3.41) 15,869 0.94++ 5.21++
11/30/95 9.75 0.60 1.00 1.60 (0.53) -- 10.82 17.01 29,475 0.96++ 5.93++
5/31/96# 10.82 0.30 (0.40) (0.10) (0.41) -- 10.31 (0.98) 31,978 0.93+ 5.56+
Global Bond Portfolio
7/1/93-
11/30/93 10.00 0.13 0.17 0.30 -- -- 10.30 3.00 25,010 1.35+++ 3.56+++
11/30/94 10.30 0.53 (0.86) (0.33) (0.09) (0.05) 9.83 (3.18) 44,543 1.06 5.29
11/30/95 9.83 0.60 0.97 1.57 (0.38) -- 11.02 16.40 59,759 0.95 5.89
5/31/96# 11.02 0.30 (0.04) 0.26 (0.75) -- 10.53 2.48 59,878 0.90+ 5.46+
High-Yield Bond Portfolio
2/9/93-
11/30/93 10.00 0.76 0.36 1.12 -- -- 11.12 11.20 41,851 0.94+++ 9.43+++
11/30/94 11.12 1.20 (1.65) (0.45) (0.29) (0.06) 10.32 (4.26) 55,803 0.92++ 11.07++
11/30/95 10.32 1.11 0.12 1.23 (1.02) -- 10.53 12.64 82,174 0.80 10.80
5/31/96# 10.53 0.48 0.08 0.56 (0.95) -- 10.14 5.50 91,636 0.79+ 9.33+
Worldwide High Income Portfolio
10/28/94-
11/30/94 10.00 0.04 (0.09) (0.05) -- -- 9.95 (0.50) 10,478 1.60+++ 4.48+++
11/30/95 9.95 1.10 0.47 1.57 (0.10) -- 11.42 16.02 21,515 1.30 10.46
5/31/96# 11.42 0.67 0.50 1.17 (0.87) (0.05) 11.67 10.90 36,640 1.15+ 11.84+
Balanced/Phoenix Investment Counsel Portfolio
10/28/94-
11/30/94 10.00 0.04 (0.08) (0.04) -- -- 9.96 (0.40) 1,516 1.00+++ 4.25+++
11/30/95 9.96 0.34 2.23 2.57 (0.05) -- 12.48 25.89 32,429 0.98++ 3.08++
5/31/96# 12.48 0.18 0.32 0.50 (0.19) (0.31) 12.48 4.15 52,192 0.86+ 2.98+
Asset Allocation Portfolio
7/1/93-
11/30/93 10.00 0.08 0.28 0.36 -- -- 10.36 3.60 35,590 0.99+++ 2.33+++
11/30/94 10.36 0.29 (0.25) 0.04 (0.05) (0.03) 10.32 0.30 106,856 0.94++ 2.71++
11/30/95 10.32 0.42 2.24 2.66 (0.20) (0.04) 12.74 26.10 199,836 0.81 3.62
5/31/96# 12.74 0.24 0.67 0.91 (0.31) (0.39) 12.95 7.27 252,805 0.74+ 3.71+
<CAPTION>
AVERAGE
COMMISSION
PERIOD PORTFOLIO PER
ENDED TURNOVER SHARE@
- ----------------------------------
<S> <C> <C>
Cash Management
2/9/93-
11/30/93 --% NA
11/30/94 -- NA
11/30/95 -- NA
5/31/96# -- NA
Fixed Income Portfolio
7/1/93-
11/30/93 208 NA
11/30/94 419 NA
11/30/95 412 NA
5/31/96# 279 NA
Global Bond Portfolio
7/1/93-
11/30/93 84 NA
11/30/94 347 NA
11/30/95 339 NA
5/31/96# 107 NA
High-Yield Bond Portfolio
2/9/93-
11/30/93 229 NA
11/30/94 225 NA
11/30/95 174 NA
5/31/96# 66 NA
Worldwide High Income Portfolio
10/28/94-
11/30/94 2 NA
11/30/95 176 NA
5/31/96# 88 NA
Balanced/Phoenix Investment Counsel Portfolio
10/28/94-
11/30/94 10 NA
11/30/95 153 NA
5/31/96# 74 .0585
Asset Allocation Portfolio
7/1/93-
11/30/93 71 NA
11/30/94 152 NA
11/30/95 207 NA
5/31/96# 113 .0587
</TABLE>
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** Does not reflect expenses that apply to the separate accounts of Anchor
National Life Insurance Company and First SunAmerica Life Insurance
Company. If such expenses had been included, total return would have
been lower for each period presented.
@ The average commission per share is derived by taking the agency
commissions paid on equity securities trades and dividing by the number of
shares purchased or sold.
# Unaudited
+ Annualized
++ During the periods ended November 30, 1993, November 30, 1994 and
November 30, 1995, the investment adviser waived a portion of or all fees
and assumed a portion of or all expenses for the portfolios. If all fees
and expenses had been incurred by the portfolios, the ratio of expenses
to average net assets and the ratio of net investment income to average
net assets would have been as follows:
<TABLE>
<CAPTION>
EXPENSES NET INVESTMENT INCOME (LOSS)
---------------------------------- ----------------------------------
11/30/93 11/30/94 11/30/95 11/30/93 11/30/94 11/30/95
<S> <C> <C> <C> <C> <C> <C>
---------------------------------- ----------------------------------
Cash Management Portfolio........................... 1.10% 0.78% 0.67% 2.14% 3.65% 5.32%
Fixed Income Portfolio.............................. 1.81 1.09 0.97 3.05 5.06 5.92
Global Bond Portfolio............................... 1.81 1.06 0.95 3.10 5.29 5.89
High-Yield Bond Portfolio........................... 1.29 0.93 0.80 9.08 11.06 10.80
Worldwide High Income Portfolio..................... -- 2.26 1.30 -- 3.82 10.46
Balanced/Phoenix Investment Counsel Portfolio....... -- 6.82 1.11 -- (1.57) 2.95
Asset Allocation Portfolio.......................... 1.67 0.94 0.81 1.65 2.71 3.62
</TABLE>
See Notes to Financial Statements
- ---------------------
90
<PAGE> 92
- ---------------------
SUNAMERICA SERIES TRUST
FINANCIAL HIGHLIGHTS* -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF
NET NET
REALIZED RATIO OF INVESTMENT
NET NET & TOTAL DIVIDENDS DIVIDENDS NET NET EXPENSES INCOME
ASSET INVEST- UNREALIZED FROM DECLARED FROM NET ASSET ASSETS TO TO
VALUE MENT GAIN INVEST- FROM NET REALIZED VALUE END OF AVERAGE AVERAGE
PERIOD BEGINNING INCOME (LOSS) ON MENT INVESTMENT GAIN ON END OF TOTAL PERIOD NET NET
ENDED OF PERIOD (LOSS)** INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN*** (000'S) ASSETS ASSETS
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth-Income Portfolio
2/9/93-
11/30/93 $ 10.00 $ 0.12 $ 0.49 $ 0.61 $ -- $ -- $ 10.61 6.10% $ 45,080 0.82%+++ 1.59%+++
11/30/94 10.61 0.13 (0.36) (0.23) (0.04) (0.01) 10.33 (2.20) 84,899 0.81++ 1.26++
11/30/95 10.33 0.17 3.31 3.48 (0.10) -- 13.71 33.89 171,281 0.77 1.42
5/31/96# 13.71 0.08 1.34 1.42 (0.12) (0.42) 14.59 10.52 230,435 0.72+ 1.20+
Alliance Growth Portfolio
2/9/93-
11/30/93 10.00 0.05 0.87 0.92 -- -- 10.92 9.20 23,256 0.82+++ 0.61+++
11/30/94 10.92 0.04 (0.14) (0.10) (0.01) (0.17) 10.64 (0.93) 53,213 0.82++ 0.37++
11/30/95 10.64 0.07 5.08 5.15 (0.03) (0.13) 15.63 48.91 167,870 0.79 0.51
5/31/96# 15.63 0.03 1.50 1.53 (0.04) (1.01) 16.11 10.14 242,718 0.72+ 0.41+
Growth/Phoenix Investment Counsel Portfolio
2/9/93-
11/30/93 10.00 0.17 0.61 0.78 -- -- 10.78 7.80 65,032 0.82+++ 2.20+++
11/30/94 10.78 0.16 (0.87) (0.71) (0.06) -- 10.01 (6.64) 104,194 0.81++ 1.52++
11/30/95 10.01 0.12 3.14 3.26 (0.13) -- 13.14 32.92 149,910 0.76 1.01
5/31/96# 13.14 0.04 1.01 1.05 (0.11) (0.91) 13.17 8.36 166,000 0.75+ 0.61+
Provident Growth Portfolio
2/9/93-
11/30/93 10.00 0.02 0.02 0.04 -- -- 10.04 0.40 42,911 0.97+++ 0.32+++
11/30/94 10.04 0.03 (0.01) 0.02 (0.01) -- 10.05 0.19 75,342 0.96++ 0.31++
11/30/95 10.05 (0.01) 3.09 3.08 (0.03) -- 13.10 30.66 115,276 0.93 (0.05)
5/31/96# 13.10 -- 1.09 1.09 -- -- 14.19 8.32 137,616 0.90+ 0.01+
Venture Value Portfolio
10/28/94-
11/30/94 10.00 0.03 (0.25) (0.22) -- -- 9.78 (2.20) 4,449 1.10+++ 3.93+++
11/30/95 9.78 0.17 3.55 3.72 (0.03) -- 13.47 38.17 154,908 1.00++ 1.43++
5/31/96# 13.47 0.09 1.00 1.09 (0.09) (0.12) 14.35 8.21 301,351 0.86+ 1.28+
Global Equities Portfolio
2/9/93-
11/30/93 10.00 0.03 0.96 0.99 -- -- 10.99 9.90 43,737 1.50+++ 0.38+++
11/30/94 10.99 0.05 0.71 0.76 (0.01) (0.07) 11.67 6.87 136,758 1.28 0.42
11/30/95 11.67 0.12 1.64 1.76 (0.08) (0.29) 13.06 15.58 165,752 1.14 1.02
5/31/96# 13.06 0.07 1.36 1.43 (0.14) (0.33) 14.02 11.08 209,158 1.05+ 1.06+
International Diversified Equities Portfolio
10/28/94-
11/30/94 10.00 0.01 (0.23) (0.22) -- -- 9.78 (2.20) 12,438 1.70+++ 1.60+++
11/30/95 9.78 0.07 0.38 0.45 (0.08) -- 10.15 4.63 48,961 1.70++ 0.76++
5/31/96# 10.15 0.04 1.11 1.15 (0.26) -- 11.04 11.52 110,467 1.54+ 0.76+
<CAPTION>
AVERAGE
COMMISSION
PERIOD PORTFOLIO PER
ENDED TURNOVER SHARE@
- ----------------------------------
<S> <C> <C>
Growth-Income Portfolio
2/9/93-
11/30/93 27% NA
11/30/94 59 NA
11/30/95 59 NA
5/31/96# 28 .0693
Alliance Growth Portfolio
2/9/93-
11/30/93 73 NA
11/30/94 146 NA
11/30/95 138 NA
5/31/96# 59 .0710
Growth/Phoenix Investment Counsel Portfolio
2/9/93-
11/30/93 165 NA
11/30/94 211 NA
11/30/95 229 NA
5/31/96# 96 .0546
Provident Growth Portfolio
2/9/93-
11/30/93 40 NA
11/30/94 54 NA
11/30/95 52 NA
5/31/96# 45 .0463
Venture Value Portfolio
10/28/94-
11/30/94 -- NA
11/30/95 18 NA
5/31/96# 7 .0600
Global Equities Portfolio
2/9/93-
11/30/93 58 NA
11/30/94 67 NA
11/30/95 106 NA
5/31/96# 32 .0254
International Diversified Equities Portfolio
10/28/94-
11/30/94 -- NA
11/30/95 52 NA
5/31/96# 19 .0013
</TABLE>
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** Does not reflect expenses that apply to the separate accounts of Anchor
National Life Insurance Company and First SunAmerica Life Insurance
Company. If such expenses had been included, total return would have
been lower for each period presented.
@ The average commission per share is derived by taking the agency
commissions paid on equity securities trades and dividing by the number of
shares purchased or sold.
# Unaudited
+ Annualized
++ During the periods ended November 30, 1993, November 30, 1994 and
November 30, 1995, the investment adviser waived a portion of or all fees
and assumed a portion of or all expenses for the portfolios. If all fees
and expenses had been incurred by the portfolios, the ratio of expenses
to average net assets and the ratio of net investment income to average
net assets would have been as follows:
<TABLE>
<CAPTION>
EXPENSES NET INVESTMENT INCOME (LOSS)
---------------------------------- ----------------------------------
11/30/93 11/30/94 11/30/95 11/30/93 11/30/94 11/30/95
<S> <C> <C> <C> <C> <C> <C>
---------------------------------- ----------------------------------
Growth-Income Portfolio............................. 1.40% 0.89% 0.77% 1.01% 1.18% 1.42%
Alliance Growth Portfolio........................... 1.56 0.96 0.79 (0.13) 0.23 0.51
Growth/Phoenix Investment Counsel Portfolio......... 1.28 0.87 0.76 1.74 1.46 1.01
Provident Growth Portfolio.......................... 1.46 1.05 0.93 (0.17) 0.22 (0.05)
Venture Value Portfolio............................. -- 3.89 1.02 -- 1.14 1.41
Global Equities Portfolio........................... 2.52 1.28 1.14 (0.64) 0.42 1.02
International Diversified Equities Portfolio........ -- 3.50 2.09 -- (0.20) 0.37
</TABLE>
See Notes to Financial Statements
---------------------
91
<PAGE> 93
R-1342
